lp14123.htm - Generated by SEC Publisher for SEC Filing

N-CSRS 1 lp14123.htm SEMI-ANNUAL REPORT lp14123.htm - Generated by SEC Publisher for SEC Filing

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number			811-23296

	Dreyfus Institutional Liquidity Funds
	(Exact name of Registrant as specified in charter)

	c/o BNY Mellon Investment Adviser, Inc. 240 Greenwich Street New York, New York 10286
	(Address of principal executive offices) (Zip code)

	Bennett A. MacDougall, Esq. 240 Greenwich Street New York, New York 10286
	(Name and address of agent for service)

Registrant's telephone number, including area code:				(212) 922-6400

Date of fiscal year end:		11/30
Date of reporting period:		05/31/19

FORM N-CSR

Item 1. Reports to Stockholders.

Dreyfus Treasury and Agency Liquidity Money Market Fund

SEMIANNUAL REPORT

May 31, 2019

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The views expressed in this report reflect those of the portfolio manager(s) only through the end of the period covered and do not necessarily represent the views of BNY Mellon Investment Adviser, Inc. or any other person in the BNY Mellon Investment Adviser, Inc. organization. Any such views are subject to change at any time based upon market or other conditions and BNY Mellon Investment Adviser, Inc. disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund in the BNY Mellon Family of Funds are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund in the BNY Mellon Family of Funds.

Not FDIC-Insured • Not Bank-Guaranteed • May Lose Value

Contents

THE FUND


A Letter from the President of
BNY Mellon Investment Adviser, Inc.	2
Discussion of Fund Performance	3
Understanding Your Fund’s Expenses	5
Comparing Your Fund’s Expenses
With Those of Other Funds	5
Statement of Investments	6
Statement of Assets and Liabilities	9
Statement of Operations	10
Statement of Changes in Net Assets	11
Financial Highlights	12
Notes to Financial Statements	13
Information About the Renewal of
the Fund’s Management Agreement	18

FOR MORE INFORMATION

Back Cover


	Dreyfus Treasury and Agency Liquidity Money Market Fund		The Fund

A LETTER FROM THE PRESIDENT OF BNY MELLON INVESTMENT ADVISER, INC.

Dear Shareholder:

We are pleased to present this semiannual report for, Dreyfus Treasury and Agency Liquidity Money Market Fund, covering the six-month period from December 1, 2018 through May 31, 2019. For information about how the fund performed during the reporting period, as well as general market perspectives, we provide a Discussion of Fund Performance on the pages that follow.

U.S. equity markets experienced a sharp sell-off in December 2018, triggered in part by heightened concerns over rising interest rates, trade tensions and slowing global growth. The slump largely erased prior gains on U.S. indices, while losses deepened in international markets. In December, it appeared that the U.S. Federal Reserve (the “Fed”) would maintain its hawkish stance on monetary policy. However, comments made by the Fed in January indicated that it would slow the pace of interest-rate increases; this helped stimulate a rebound across equity markets that continued through much of the reporting period. However, in May, escalating trade tensions once again disrupted equity market progress, causing stock prices to pull back.

At the end of 2018, equity volatility and global growth concerns triggered a flight to quality in many areas of the bond market, raising Treasury prices and flattening the yield curve. After encouraging comments by the Fed in January, fixed-income markets rallied. Bond prices benefited from falling rates through the end of the period.

We remain positive on the near-term economic outlook for the U.S. but will monitor relevant data for any signs of a change. As always, we encourage you to discuss the risks and opportunities in today’s investment environment with your financial advisor.

Thank you for your continued confidence and support.

Sincerely,

Renee LaRoche-Morris
President
BNY Mellon Investment Adviser, Inc.
June 17, 2019

DISCUSSION OF FUND PERFORMANCE (Unaudited)

For the period from December 1, 2018 through May 31, 2019, as provided by Thomas Riordan, Portfolio Manager

Market and Fund Performance Overview

For the six-month period ended May 31, 2019, Dreyfus Treasury and Agency Liquidity Money Market Fund produced an annualized yield of 2.35%. Taking into account the effects of compounding, the fund produced an annualized effective yield of 2.38%.¹

Yields of money market instruments climbed over the reporting period, in response to one interest-rate hike by the Federal Reserve Board (the “Fed”).

The Fund’s Investment Approach

The fund seeks as high a level of current income as is consistent with the preservation of capital and the maintenance of liquidity. The fund pursues its investment objective by investing only in U.S. Treasury securities, repurchase agreements collateralized solely by U.S. Treasury securities or securities issued by U.S. government agencies that are backed by the full faith and credit of the U.S. government, and cash. The fund is a money market fund subject to the maturity, quality, liquidity, and diversification requirements of Rule 2a-7 under the Investment Company Act of 1940, as amended, and seeks to maintain a stable share price of $1.00.

The fund is a “government money market fund,” as that term is defined in Rule 2a-7, and as such is required to invest at least 99.5% of its total assets in securities issued or guaranteed as to principal and interest by the U.S. government or its agencies or instrumentalities, repurchase agreements collateralized solely by cash and/or government securities, and cash. The fund normally invests at least 80% of its net assets in U.S. Treasury securities and repurchase agreements collateralized solely by U.S. Treasury securities or securities issued by U.S. government agencies that are backed by the full faith and credit of the U.S. government (i.e., under normal circumstances, the fund will not invest more than 20% of its net assets in cash or repurchase agreements collateralized by cash), and typically invests exclusively in such securities.

Fed Puts Rate Hikes on Pause, Economic Growth Remains Steady

The reporting period began amid investor concerns about wavering economic growth and the possibility that the Fed would be too aggressive in raising short-term interest rates. A shift in the Fed’s stance early in the reporting period, however, eased investor worries and provided a boost to capital markets.

The Fed last raised short-term interest rates in December 2018, prior to shifting to its more accommodative stance. That rate hike brought the federal funds target rate to 2.25%-2.50%. Unemployment ticked up to 3.9% in December, while job creation remained strong, with new positions numbering 227,000. Gross domestic product (GDP) data released during the month showed that third-quarter economic growth amounted to 3.4%.

In January 2019, the unemployment rate rose to 4.0%, and the economy generated 312,000 new jobs, while the core personal consumption expenditures (PCE) index fell to 1.8% from

DISCUSSION OF FUND PERFORMANCE (Unaudited) (continued)

2.0% in December. In addition, the Fed indicated that it would pause its interest-rate-hike plans, making future hikes more data-dependent.

In February, unemployment fell to 3.8%, and job creation fell to just 56,000. The unemployment rate remained unchanged in March, while new jobs rebounded to 153,000, and the PCE index fell further to 1.5%. GDP for the fourth quarter of 2018 came in at 2.2%, according to the third estimate, while GDP for the year rose 2.9%. April experienced a further drop in unemployment to 3.6%, while job creation improved to 216,000. The second estimate for first-quarter 2019 GDP showed that the economy grew at a rate of 3.1%. In May, the unemployment rate held steady at 3.6%, but job creation slumped to just an estimated 72,000.

Fed Backs Off Hawkish Stance

The Fed shifted its policy stance during the reporting period, implementing one interest-rate hike in December, bringing the federal funds rate to between 2.25% and 2.50%, but officials also indicated that further increases would be “data-dependent.” Although the Fed has also continued to tighten monetary conditions by further reducing its balance sheet through the sale of U.S. government securities, it has indicated that this program would end in September 2019.

In this interest-rate environment, we have maintained the fund’s weighted average maturity in a range that is in line with industry averages. As always, we have retained our longstanding focus on quality and liquidity.

June 17, 2019

¹Annualized effective yield is based upon dividends declared daily and reinvested monthly. Past performance is no guarantee of future results. Yields fluctuate.

You could lose money by investing in a money market fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. BNY Mellon Investment Adviser, Inc. has no legal obligation to provide financial support to the fund, and you should not expect that BNY Mellon Investment Adviser, Inc. will provide financial support to the fund at any time.

Although the fund’s board has no current intention to impose a fee upon the sale of shares or temporarily suspend redemptions if the fund’s liquidity falls below certain levels, the board reserves the ability to do so after providing at least 60 days’ prior written notice to shareholders.

UNDERSTANDING YOUR FUND’S EXPENSES (Unaudited)

As a mutual fund investor, you pay ongoing expenses, such as management fees and other expenses. Using the information below, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You also may pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial adviser.

Review your fund’s expenses

The table below shows the expenses you would have paid on a $1,000 investment in Dreyfus Treasury and Agency Liquidity Money Market Fund from December 1, 2018 to May 31, 2019. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.


Expenses and Value of a $1,000 Investment
assuming actual returns for the six months ended May 31, 2019

Expenses paid per $1,000^†			$.45
Ending value (after expenses)			$1,011.80

COMPARING YOUR FUND’S EXPENSES
WITH THOSE OF OTHER FUNDS (Unaudited)

Using the SEC’s method to compare expenses

The Securities and Exchange Commission (“SEC”) has established guidelines to help investors assess fund expenses. Per these guidelines, the table below shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total cost) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.


Expenses and Value of a $1,000 Investment
assuming a hypothetical 5% annualized return for the six months ended May 31, 2019

Expenses paid per $1,000^†			$.45
Ending value (after expenses)			$1,024.48

^† Expenses are equal to the fund’s annualized expense ratio of .09%, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

STATEMENT OF INVESTMENTS

May 31, 2019 (Unaudited)



U.S. Treasury Notes - 1.7%	Annualized Yield (%)	Principal Amount($)		Value($)
6/30/19	1.63	60,000,000		59,960,644
7/15/19	0.75	100,000,000		99,798,832
Total U.S. Treasury Notes (cost $159,759,476)				159,759,476
U.S. Treasury Bills - 10.3%
6/13/19	2.52	470,000,000	^a	469,611,467
11/21/19	2.40	500,000,000	^a	494,377,500
Total U.S. Treasury Bills (cost $963,988,967)				963,988,967
U.S. Treasury Floating Rate Notes - 18.6%
6/4/19, 3 Month U.S. T-BILL +.06%	2.38	476,000,000	^b	476,001,878
6/4/19, 3 Month U.S. T-BILL +.03%	2.36	192,000,000	^b	192,011,466
6/4/19, 3 Month U.S. T-BILL +.04%	2.37	300,000,000	^b	299,995,560
6/4/19, 3 Month U.S. T-BILL +.05%	2.37	303,000,000	^b	302,705,629
6/4/19, 3 Month U.S. T-BILL +.12%	2.44	200,000,000	^b	199,919,259
6/4/19, 3 Month U.S. T-BILL +.14%	2.49	265,000,000	^b	264,999,540
Total U.S. Treasury Floating Rate Notes (cost $1,735,633,332)				1,735,633,332
Repurchase Agreements - 69.5%
Barclays Bank PLC , Tri-Party Agreement thru BNY Mellon, dated 5/31/19, due 6/3/19 in the amount of $1,100,227,334 (fully collateralized by $996,631,800 U.S. Treasuries, 0.13%-2%, due 7/15/19-1/15/26, value $1,122,000,052)	2.48	1,100,000,000		1,100,000,000
CIBC/NY , Tri-Party Agreement thru BNY Mellon, dated 5/3/19, due 7/2/19 in the amount of $301,215,000 (fully collateralized by $286,207,400 U.S. Treasuries (including strips), 0%-3.63%, due 11/7/19-8/15/48, value $306,000,016)	2.43	300,000,000	^c	300,000,000
CIBC/NY , Tri-Party Agreement thru BNY Mellon, dated 5/31/19, due 6/3/19 in the amount of $250,051,666 (fully collateralized by $269,618,600 U.S. Treasuries (including strips), 0%-4.25%, due 2/28/26-8/15/47, value $255,000,026)	2.48	250,000,000		250,000,000



Repurchase Agreements - 69.5% (continued)	Annualized Yield (%)	Principal Amount ($)	Value($)
Credit Agricole CIB , Tri-Party Agreement thru BNY Mellon, dated 5/31/19, due 6/3/19 in the amount of $1,642,339,346 (fully collateralized by $1,611,256,467 U.S. Treasuries (including strips), 0%-8.13%, due 6/13/19-5/15/48, value $1,674,840,018)	2.48	1,642,000,000	1,642,000,000
Fixed Income Clearing Corp. , Tri-Party Agreement thru State Street, dated 5/31/19, due 6/3/19 in the amount of $900,186,000 (fully collateralized by $903,620,000 U.S. Treasuries, 0.13%-2.25%, due 4/15/22-5/15/22, value $918,000,977)	2.48	900,000,000	900,000,000
HSBC Securities USA Inc. , Tri-Party Agreement thru JP Morgan Chase Bank, dated 5/31/19, due 6/3/19 in the amount of $750,155,625 (fully collateralized by $1,627,538,228 Agency Mortgage-Backed Securities, Interest Only, due 5/20/43-1/20/49, value $765,000,000)	2.49	750,000,000	750,000,000
Natixis/NY , Tri-Party Agreement thru BNY Mellon, dated 5/31/19, due 6/3/19 in the amount of $501,113,750 (fully collateralized by $493,193,880 U.S. Treasuries (including strips), 0%-7.63%, due 7/15/19-5/15/48, value $510,000,000)	2.43	500,000,000	500,000,000
Nomura Securities International Inc. , Tri-Party Agreement thru BNY Mellon, dated 5/31/19, due 6/3/19 in the amount of $850,175,666 (fully collateralized by $932,621,465 U.S. Treasuries (including strips), 0%-8%, due 6/20/19-2/15/49, value $867,000,000)	2.48	850,000,000	850,000,000

STATEMENT OF INVESTMENTS (Unaudited) (continued)



Repurchase Agreements - 69.5% (continued)	Annualized Yield (%)	Principal Amount ($)	Value($)
TD Securities USA LLC , Tri-Party Agreement thru BNY Mellon, dated 5/31/19, due 6/3/19 in the amount of $200,041,334 (fully collateralized by $194,068,500 U.S. Treasuries (including strips), 2.13%-4.25%, due 4/30/21-11/15/47, value $204,000,048)	2.48	200,000,000	200,000,000
Total Repurchase Agreements (cost $6,492,000,000)			6,492,000,000
Total Investments (cost $9,351,381,775)		100.1%	9,351,381,775
Liabilities, Less Cash and Receivables		(.1%)	(10,675,271)
Net Assets		100.0%	9,340,706,504

^a Security is a discount security. Income is recognized through the accretion of discount.

^b Variable rate security—rate shown is the interest rate in effect at period end. Date shown represents the earlier of the next interest reset date or ultimate maturity date.

^c Illiquid security; investment has a put feature and a variable or floating rate. The interest rate shown is the current rate as of May 31, 2019 and changes periodically. The due date shown reflects early termination date and the amount due represents the receivable of the fund as of the next interest payment date. At May 31, 2019, these securities amounted to $300,000,000 or 3.21% of net assets.


Portfolio Summary (Unaudited) ^†	Value (%)
Repurchase Agreements	69.5
U.S. Government Securities	30.6
	100.1

^†Based on net assets.

See notes to financial statements.

STATEMENT OF ASSETS AND LIABILITIES

May 31, 2019 (Unaudited)



	Cost	Value
Assets ($):
Investments in securities—See Statement of Investments (including repurchase agreements of $6,492,000,000) —Note 1(b)	9,351,381,775	9,351,381,775
Interest receivable		6,498,952
Prepaid expenses		35,731
		9,357,916,458
Liabilities ($):
Due to BNY Mellon Investment Adviser, Inc. and affiliates—Note 2(b)		656,991
Cash overdraft due to Custodian		16,443,644
Trustees fees and expenses payable		68,905
Accrued expenses		40,414
		17,209,954
Net Assets ($)		9,340,706,504
Composition of Net Assets ($):
Paid-in capital		9,340,696,248
Total distributable earnings (loss)		10,256
Net Assets ($)		9,340,706,504


Shares Outstanding
(unlimited number of $.001 par value shares of Beneficial Interest authorized)			9,340,696,248
Net Asset Value Per Share ($)			1.00

See notes to financial statements.

STATEMENT OF OPERATIONS

Six Months Ended May 31, 2019 (Unaudited)





Investment Income ($):
Interest Income					110,380,146
Expenses:
Management fee—Note 2(a)					3,623,186
Trustees’ fees and expenses—Note 2(c)					246,282
Custodian fees—Note 2(b)					72,946
Professional fees					41,237
Prospectus and shareholders’ reports					4,512
Registration fees					764
Shareholder servicing costs—Note 2(b)					45
Miscellaneous					45,052
Total Expenses					4,034,024
Investment Income—Net, representing net increase in net assets resulting from operations					106,346,122

See notes to financial statements.

STATEMENT OF CHANGES IN NET ASSETS



	Six Months Ended May 31, 2019 (Unaudited)	Year Ended November 30, 2018^a
Operations ($):
Investment income—net	106,346,122	163,165,414
Net realized gain (loss) on investments	-	10,256
Net Increase (Decrease) in Net Assets Resulting from Operations	106,346,122	163,175,670
Distributions ($):
Distributions to shareholders	(106,346,122)	(163,165,414)
Beneficial Interest Transactions ($1.00 per share):
Net proceeds from shares sold	49,643,319,403	132,532,850,660
Cost of shares redeemed	(50,157,299,809)	(122,678,274,006)
Increase (Decrease) in Net Assets from Beneficial Interest Transactions	(513,980,406)	9,854,576,654
Total Increase (Decrease) in Net Assets	(513,980,406)	9,854,586,910
Net Assets ($):
Beginning of Period	9,854,686,910	100,000
End of Period	9,340,706,504	9,854,686,910

^aFrom December 18, 2017 (commencement of operations) to November 30, 2018.
See notes to financial statements.

FINANCIAL HIGHLIGHTS

The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions. These figures have been derived from the fund’s financial statements.


	Six Months Ended
	May 31, 2019	Year Ended
	(Unaudited)	November 30, 2018^a
Per Share Data ($):
Net asset value, beginning of period	1.00	1.00
Investment Operations:
Investment income—net	.012	.016
Distributions:
Dividends from investment income—net	(.012)	(.016)
Net asset value, end of period	1.00	1.00
Total Return (%)^b	1.18	1.63
Ratio of total expenses to average net assets^c	.09	.10
Ratio of net expenses to average net assets^c	.09	.08
Ratio of net investment income to average net assets^c	2.35	1.69
Net Assets, end of period ($ x 1,000)	9,340,707	9,854,687

^aFrom December 18, 2017 (commencement of operations) to November 30, 2018.

^b Not annualized.

^c Annualized.

See notes to financial statements.

NOTES TO FINANCIAL STATEMENTS (Unaudited)

NOTE 1—Significant Accounting Policies:

Dreyfus Treasury and Agency Liquidity Money Market Fund (the “fund”) is the sole series of Dreyfus Institutional Liquidity Funds (the “Company”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as a diversified open-end management investment company. The fund’s investment objective is to seek as high a level of current income as is consistent with the preservation of capital and the maintenance of liquidity. BNY Mellon Investment Adviser, Inc. (the “Adviser”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment adviser. BNY Mellon Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Adviser, is the distributor of the fund’s shares, which are sold to the public without a sales charge.

Effective June 3, 2019, The Dreyfus Corporation, the fund’s investment adviser and administrator, changed its name to “BNY Mellon Investment Adviser, Inc.”, MBSC Securities Corporation, the fund’s distributor, changed its name to “BNY Mellon Securities Corporation” and Dreyfus Transfer, Inc., the fund’s transfer agent, changed its name to “BNY Mellon Transfer, Inc.”

The fund operates as a “government money market fund” as that term is defined in Rule 2a-7 under the Act. It is the fund’s policy to maintain a constant net asset value (“NAV”) per share of $1.00 and the fund has adopted certain investment, portfolio valuation and dividend and distribution policies to enable it to do so. There is no assurance, however, that the fund will be able to maintain a constant NAV per share of $1.00.

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The fund’s financial statements are prepared in accordance with GAAP, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.

The Company enters into contracts that contain a variety of indemnifications. The fund’s maximum exposure under these arrangements is unknown. The fund does not anticipate recognizing any loss related to these arrangements.

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

(a) Portfolio valuation: Investments in securities are valued at amortized cost in accordance with Rule 2a-7 under the Act. If amortized cost is determined not to approximate market value, the fair value of the portfolio securities will be determined by procedures established by and under the general supervision of the Company’s Board of Trustees (the “Board”).

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs of valuation techniques used to measure fair value. This hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements).

Additionally, GAAP provides guidance on determining whether the volume and activity in a market has decreased significantly and whether such a decrease in activity results in transactions that are not orderly. GAAP requires enhanced disclosures around valuation inputs and techniques used during annual and interim periods.

Various inputs are used in determining the value of the fund’s investments relating to fair value measurements. These inputs are summarized in the three broad levels listed below:

Level 1—unadjusted quoted prices in active markets for identical investments.

Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.).

Level 3—significant unobservable inputs (including the fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, money market securities are valued using amortized cost, in accordance with rules under the Act. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected within Level 2 of the fair value hierarchy.

The following is a summary of the inputs used as of May 31, 2019 in valuing the fund’s investments:


Valuation Inputs	Short-Term Investments ($)^†
Level 1 - Unadjusted Quoted Prices	-
Level 2 - Other Significant Observable Inputs	9,351,381,775
Level 3 - Significant Unobservable Inputs	-
Total	9,351,381,775

^† See Statement of Investments for additional detailed categorizations.

At May 31, 2019, there were no transfers between levels of the fair value hierarchy. It is the fund’s policy to recognize transfers between levels at the end of the reporting period.

(b) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Interest income, adjusted for accretion of discount and amortization of premium on investments, is earned from settlement date and is recognized on the accrual basis. Realized gains and losses from securities transactions are recorded on the identified cost basis.

The fund may enter into repurchase agreements with financial institutions, deemed to be creditworthy by the Adviser, subject to the seller’s agreement to repurchase and the fund’s agreement to resell such securities at a mutually agreed upon price. Pursuant to the terms of the repurchase agreement, such securities must have an aggregate market value greater than or equal to the terms of the repurchase price plus accrued interest at all times. If the value of the underlying securities falls below the value of the repurchase price plus accrued interest, the fund will require the seller to deposit additional collateral by the next business day. If the request for additional collateral is not met, or the seller defaults on its repurchase obligation, the fund maintains its right to sell the underlying securities at market value and may claim any resulting loss against the seller. The collateral is held on behalf of the fund by the tri-party administrator with respect to any tri-party agreement. The fund may also jointly enter into one or more repurchase agreements with other funds managed by the Adviser in accordance with an exemptive order granted by the SEC pursuant to section 17(d) and Rule 17d-1 under the Act. Any joint repurchase agreements must be collateralized fully by U.S. Government securities.

(c) Dividends and distributions to shareholders: It is the policy of the fund to declare dividends daily from investment income-net. Such dividends are paid monthly. Dividends from net realized capital gains, if any, are normally declared and paid annually, but the fund may make distributions on a more frequent basis to comply with the distribution requirements of the Internal Revenue Code of 1986, as amended (the “Code”). To the extent that net realized capital gains can be offset by

NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

capital loss carryovers, it is the policy of the fund not to distribute such gains.

(d) Federal income taxes: It is the policy of the fund to continue to qualify as a regulated investment company, if such qualification is in the best interests of its shareholders, by complying with the applicable provisions of the Code, and to make distributions of taxable income and net realized capital gain sufficient to relieve it from substantially all federal income and excise taxes.

As of and during the period ended May 31, 2019, the fund did not have any liabilities for any uncertain tax positions. The fund recognizes interest and penalties, if any, related to uncertain tax positions as income tax expense in the Statement of Operations. During the period ended May 31, 2019, the fund did not incur any interest or penalties.

The tax year in the period ended November 30, 2018 remains subject to examination by the Internal Revenue Service and state taxing authorities.

The tax character of distributions paid to shareholders during the fiscal year ended November 30, 2018 was all ordinary income. The tax character of current year distributions will be determined at the end of the current fiscal year.

At May 31, 2019, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes (see the Statement of Investments).

(e) New Accounting Pronouncements: In March 2017, the FASB issued Accounting Standards Update 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization On Purchased Callable Debt Securities (“ASU 2017-08”). The update shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. ASU 2017-08 will be effective for fiscal years beginning after December 15, 2018.

Also in August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update provides guidance that modifies certain disclosure requirements for fair value measurements. ASU 2018-13 will be effective for fiscal years beginning after December 15, 2019. Management is currently assessing the potential impact of these changes to future financial statements.

NOTE 2—Management Fee and Other Transactions with Affiliates:

(a) Pursuant to a management agreement with the Adviser, the management fee is computed at the annual rate of .08% of the value of the fund’s average daily net assets and is payable monthly.

(b) The fund has an arrangement with the transfer agent whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset transfer agency fees and the fund has an arrangement with the custodian to receive interest income or be charged an overdraft fees when cash balances are maintained. For financial reporting purposes, the fund includes net earnings credits, if any, as an expense offset in the Statement of Operations.

The fund compensates BNY Mellon Transfer, Inc., a wholly-owned subsidiary of the Adviser, under a transfer agency agreement for providing transfer agency and cash management services for the fund. The majority of transfer agency fees are comprised of amounts paid on a per account basis, while cash management fees are related to fund subscriptions and redemptions. During the period ended May 31, 2019, the fund was charged $41 for transfer agency services. These fees are included in Shareholder servicing costs in the Statement of Operations.

The fund compensates The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of the Adviser, under a custody agreement for providing custodial services for the fund. These fees are determined based on net assets, geographic region and transaction activity. During the period ended May 31, 2019, the fund was charged $72,946 pursuant to the custody agreement.

During the period ended May 31, 2019, the fund was charged $5,044 for services performed by the Chief Compliance Officer and his staff. These fees are included in Miscellaneous in the Statement of Operations.

The components of “Due to BNY Mellon Investment Adviser, Inc. and affiliates” in the Statement of Assets and Liabilities consist of: management fees $627,884, custodian fees $25,000 and Chief Compliance Officer fees $4,090 and $17 transfer agency fees.

(c) Each Board member also serves as a Board member of other funds in the BNY Mellon Family of Funds complex. Annual retainer fees and attendance fees are allocated to each fund based on net assets.

INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited)

At a meeting of the fund’s Board of Trustees held on May 1, 2019, the Board considered the renewal of the fund’s Management Agreement pursuant to which the Adviser provides the fund with investment advisory and administrative services (the “Agreement”). The Board members, a majority of whom are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the fund, were assisted in their review by independent legal counsel and met with counsel in executive session separate from representatives of the Adviser. In considering the renewal of the Agreement, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Board member may have attributed different weights to the factors considered.

Analysis of Nature, Extent, and Quality of Services Provided to the Fund. The Board considered information provided to it at the meeting and in previous presentations from representatives of the Adviser regarding the nature, extent, and quality of the services provided to funds in the BNY Mellon fund complex. The Adviser provided the number of open accounts in the fund, the fund’s asset size and the allocation of fund assets among distribution channels. The Adviser also had previously provided information regarding the diverse intermediary relationships and distribution channels of funds in the BNY Mellon fund complex (such as retail direct or intermediary, in which intermediaries typically are paid by the fund and/or the Adviser) and the Adviser’s corresponding need for broad, deep, and diverse resources to be able to provide ongoing shareholder services to each intermediary or distribution channel, as applicable to the fund.

The Board also considered research support available to, and portfolio management capabilities of, the fund’s portfolio management personnel and that the Adviser also provides oversight of day-to-day fund operations, including fund accounting and administration and assistance in meeting legal and regulatory requirements. The Board also considered the Adviser’s extensive administrative, accounting and compliance infrastructures.

Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information comparing (1) the fund’s performance with the performance of a group of comparable funds (the “Performance Group”) and with a broader group of funds (the “Performance Universe”), all for various periods ended March 31, 2019, and (2) the fund’s actual and contractual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Adviser previously had furnished the Board with a description of the methodology Broadridge used to select the Performance Group and Performance Universe and the Expense Group and Expense Universe.

Representatives of the Adviser stated that the usefulness of performance comparisons may be affected by a number of factors, including different investment limitations and policies that may be applicable to the fund and comparison funds. The Board discussed with representatives of the Adviser and/or its affiliates the results of the comparisons for the one year of performance shown (the only full year of performance since the fund’s inception) and considered that the fund’s net total return performance (including fees and expenses) was above the Performance Group and Performance Universe medians for the one-year period and the fund’s gross total return performance (without including fees and expenses) was below the Performance Group and Performance Universe medians by four basis points.

The Board also reviewed the range of actual and contractual management fees and total expenses of the Expense Group and Expense Universe funds and discussed the results of the comparisons. The Board considered that the fund’s contractual management fee was below the Expense Group median (lowest in the Expense Group) and the fund’s actual management fee (lowest in the Expense Group) and total expenses were below the Expense Group and Expense Universe medians. The Board also considered the voluntary fee waiver by the Adviser.

Representatives of the Adviser reviewed with the Board the management fees paid by funds advised or administered by the Adviser that are in the same Lipper category as the fund (the “Similar Funds”), and explained the nature of the Similar Funds. They discussed differences in fees paid and the relationship of the fees paid in light of any differences in the services provided and other relevant factors. The Board considered the relevance of the fee information provided for the Similar Funds to evaluate the appropriateness of the fund’s management fee.

Analysis of Profitability and Economies of Scale. Representatives of the Adviser reviewed the expenses allocated and profit received by the Adviser and its affiliates and the resulting profitability percentage for managing the fund and the aggregate profitability percentage to the Adviser and its affiliates for managing the funds in the BNY Mellon fund complex, and the method used to determine the expenses and profit. The Board concluded that the profitability results were not unreasonable, given the services rendered and service levels provided by the Adviser. The Board also had been provided with information prepared by an independent consulting firm regarding the Adviser’s approach to allocating costs to, and determining the profitability of, individual funds and the entire BNY Mellon fund complex. The consulting firm also had analyzed where any economies of scale might emerge in connection with the management of a fund.

The Board considered, on the advice of its counsel, the profitability analysis (1) as part of its evaluation of whether the fees under the Agreement, considered in relation to the mix of services provided by the Adviser, including the nature, extent and quality of such services, supported the renewal of the Agreement and (2) in light of the relevant circumstances for the fund and the extent to which economies of scale would be realized if the fund grows and whether fee levels reflect these economies of scale for the benefit of fund shareholders. Representatives of the Adviser stated that a discussion of

INFORMATION ABOUT THE RENEWAL OF THE FUND’S MANAGEMENT AGREEMENT (Unaudited) (continued)

economies of scale is predicated on a fund having achieved a substantial size with increasing assets and that, if a fund’s assets had been stable or decreasing, the possibility that the Adviser may have realized any economies of scale would be less. Representatives of the Adviser also stated that, as a result of shared and allocated costs among funds in the BNY Mellon fund complex, the extent of economies of scale could depend substantially on the level of assets in the complex as a whole, so that increases and decreases in complex-wide assets can affect potential economies of scale in a manner that is disproportionate to, or even in the opposite direction from, changes in the fund’s asset level. The Board also considered potential benefits to the Adviser from acting as investment adviser and took into consideration that there were no soft dollar arrangements in effect for trading the fund’s investments.

At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreement. Based on the discussions and considerations as described above, the Board concluded and determined as follows.

· The Board concluded that the nature, extent and quality of the services provided by the Adviser are adequate and appropriate.

· The Board was satisfied with the fund’s performance.

· The Board concluded that the fee paid to the Adviser continued to be appropriate under the circumstances and in light of the factors and the totality of the services provided as discussed above.

· The Board determined that the economies of scale which may accrue to the Adviser and its affiliates in connection with the management of the fund had been adequately considered by the Adviser in connection with the fee rate charged to the fund pursuant to the Agreement and that, to the extent in the future it were determined that material economies of scale had not been shared with the fund, the Board would seek to have those economies of scale shared with the fund.

In evaluating the Agreement, the Board considered these conclusions and determinations and also relied on its previous knowledge, gained through meetings and other interactions with the Adviser and its affiliates, of the Adviser and the services provided to the fund by the Adviser. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the fund and the investment management and other services provided under the Agreement, including information on the investment performance of the fund in comparison to similar mutual funds and benchmark performance measures; general market outlook as applicable to the fund; and compliance reports. In addition, the Board’s consideration of the contractual fee arrangements for this fund had the benefit of a number of years of reviews of the Agreement for the fund, or substantially similar agreements for other BNY Mellon funds that the Board oversees, during which lengthy discussions took place between the Board and representatives of the Adviser. Certain aspects of the

arrangements may receive greater scrutiny in some years than in others, and the Board’s conclusions may be based, in part, on their consideration of the fund’s arrangements, or substantially similar arrangements for other BNY Mellon funds that the Board oversees, in prior years. The Board determined to renew the Agreement.

For More Information

Dreyfus Treasury and Agency Liquidity Money Market Fund
240 Greenwich Street
New York, NY 10286

Adviser
BNY Mellon Investment Adviser, Inc.
240 Greenwich Street
New York, NY 10286

Custodian
The Bank of New York Mellon
240 Greenwich Street
New York, NY 10286

Transfer Agent &
Dividend Disbursing Agent
BNY Mellon Transfer, Inc.
240 Greenwich Street
New York, NY 10286

Distributor
BNY Mellon Securities Corporation
240 Greenwich Street
New York, NY 10286


Ticker Symbol:	DTLXX

Telephone Call your representative or 1-800-373-9387

Mail BNY Mellon Family of Funds to: BNY Mellon Institutional Services, 144 Glenn Curtiss Boulevard, Uniondale, NY 11556-0144

E-mail Send your request to instserv@bnymellon.com

Internet Access Dreyfus Money Market Funds at www.dreyfus.com

The fund will disclose daily, on www.dreyfus.com, the fund’s complete schedule of holdings as of the end of the previous business day. The schedule of holdings will remain on the website until the fund files its Form N-Q or Form N-CSR for the period that includes the date of the posted holdings.

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov.

Information regarding how the fund voted proxies related to portfolio securities for the most recent 12-month period ended June 30 is available at www.dreyfus.com and on the SEC’s website at www.sec.gov and without charge, upon request, by calling 1-800-373-9387.

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures applicable to Item 10.

Item 11. Controls and Procedures.

(a) The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) There were no changes to the Registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1) Not applicable.

(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940.

(a)(3) Not applicable.

(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dreyfus Institutional Liquidity Funds

By: /s/ Renee LaRoche-Morris

Renee LaRoche-Morris

President (Principal Executive Officer)

Date: July 26, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this Report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By: /s/ Renee LaRoche-Morris

Renee LaRoche-Morris

President (Principal Executive Officer)

Date: July 26, 2019

By: /s/ James Windels

James Windels

Treasurer (Principal Financial Officer)

Date: July 26, 2019

EXHIBIT INDEX

(a)(2) Certifications of principal executive and principal financial officers as required by Rule 30a-2(a) under the Investment Company Act of 1940. (EX-99.CERT)

(b) Certification of principal executive and principal financial officers as required by Rule 30a-2(b) under the Investment Company Act of 1940. (EX-99.906CERT)