Dreyfus U.S. Treasury Long Term Fund
SEMIANNUAL REPORT June 30, 1999
(reg.tm)
<PAGE>
The views expressed herein are current to the date of this report. These views
and the composition of the fund's portfolio are subject to change at any time
based on market and other conditions.
* Not FDIC-Insured
* Not Bank-Guaranteed
* May Lose Value
Year 2000 Issues (Unaudited)
The fund could be adversely affected if the computer systems used by The Dreyfus
Corporation and the fund's other service providers do not properly process and
calculate date-related information from and after January 1, 2000. The Dreyfus
Corporation is working to avoid Year 2000-related problems in its systems and to
obtain assurances from other service providers that they are taking similar
steps. In addition, issuers of securities in which the fund invests may be
adversely affected by Year 2000-related problems. This could have an impact on
the value of the fund's investments and its share price.
<PAGE>
Contents
THE FUND
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2 Letter from the President
3 Discussion of Fund Performance
6 Statement of Investments
8 Statement of Financial Futures
10 Statement of Assets and Liabilities
11 Statement of Operations
12 Statement of Changes in Net Assets
13 Financial Highlights
14 Notes to Financial Statements
FOR MORE INFORMATION
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Back Cover
<PAGE>
The Fund
Dreyfus U.S. Treasury
Long Term Fund
LETTER FROM THE PRESIDENT
Dear Shareholder:
We are pleased to present this semiannual report for Dreyfus U.S. Treasury Long
Term Fund, covering the six-month period from January 1, 1999 through June 30,
1999. Inside, you' ll find valuable information about how the fund was managed
during the reporting period, including a discussion with Gerald Thunelius,
portfolio manager and a member of the Dreyfus Taxable Fixed Income Team.
The past six months have produced mixed results for fixed-income investors.
That' s because economic growth has been stronger than many analysts expected,
fueling fears that inflation pressures may re-emerge. Overseas economies that
had been in recession -- including Japan and the rest of Asia -- appear to have
begun to gain strength. The U.S. economy, which is now in its eighth year of
expansion, has also grown more robustly than expected. In response, the Federal
Reserve raised short-term interest rates modestly on June 30.
In this economic climate, U.S. Treasury securities declined, giving back all of
the gains they achieved during their remarkable rally last summer and fall.
Prices of other types of bonds fell less sharply or remained relatively
unchanged when investors shifted assets back into market sectors they had
previously avoided. Accordingly, many corporate bonds, mortgage-backed
securities, asset-backed securities and U.S. dollar-denominated foreign bonds
provided higher returns than U.S. Treasuries over the first half of 1999.
We appreciate your confidence over the past six months, and we look forward to
your continued participation in Dreyfus U.S. Treasury Long Term Fund.
Sincerely,
Stephen E. Canter
President and Chief Investment Officer
The Dreyfus Corporation
July 15, 1999
<PAGE>
DISCUSSION OF FUND PERFORMANCE
Gerald Thunelius, Portfolio Manager Dreyfus Taxable Fixed Income Team
How did Dreyfus U.S. Treasury Long Term Fund perform relative to its benchmark
For the six-month period ended June 30, 1999, Dreyfus U.S. Treasury Long Term
Fund produced a total return of -5.57%,(1) including share price changes and
dividend income generated, compared to the Merrill Lynch Governments, U.S.
Treasury, Long-Term Index, the fund's benchmark, which had a return of -6.49%
. (2) During the period, the fund paid a dividend of approximately $0.403 per
share, representing an annualized distribution rate per share of 5.49%.(3)
We attribute our performance to a generally unfavorable market environment for
U.S. Treasury securities during the last six months. As global economies began
to show signs of improvement from the financial crisis that occurred before the
reporting period began, investors became more inclined to move away from the
" safe haven" provided by U.S. Treasuries. Instead, they seemed to prefer
investing in securities that carried greater risks but also had the ability to
earn higher yields.
What is the fund's investment approach?
As a U.S. Treasury fund, our goal is to provide shareholders with current income
through an investment vehicle that is made up primarily of Treasury bills, notes
and other securities that are issued or guaranteed by the United States
government or its agencies or instrumentalities. The fund may also invest in
options, futures, and enter into repurchase agreements with securities dealers
that are backed by U.S. Treasuries.
Because U.S. Treasury bills and notes are backed by the full faith and credit of
the U.S. government, they are generally considered to rank among the
highest-credit-quality investments available. By investing in these obligations,
the fund seeks to maintain a high degree of credit safety. Of course, the market
value of the fund' s portfolio securities and The Fun
<PAGE>
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
the value of fund shares are not insured or guaranteed by the U.S. government.
The fund generally maintains an average dollar-weighted portfolio that exceeds
10 years.
What other factors influenced the fund's performance?
When the Federal Reserve Board cut key short-term interest rates last fall, just
before the six-month reporting period began, they were concerned about economic
weakness in overseas markets. Many fixed-income investors had flocked to the
safe haven of U.S. Treasury securities because of these economic concerns.
The Federal Reserve Board's strategy was apparently successful: evidence emerged
in the first quarter of 1999 that troubled economies in Japan and Southeast Asia
had begun to recover. Because investors were reassured that the worst was over,
they shifted their assets away from U.S. Treasuries and into riskier securities
that offered higher potential returns. This exodus caused U.S. Treasury
securities to substantially underperform other types of fixed-income securities
A continuation of robust U.S. economic growth during the second quarter of 1999
caused additional deterioration of Treasury securities prices when investors
became concerned that the Federal Reserve might reverse course and raise key
short-term interest rates to fight inflation. By the time the Federal Reserve
actually implemented modestly higher interest rates on June 30, investors had
already translated their expectations into lower prices on U.S. Treasury
securities.
What is the fund's current strategy?
To earn as much yield as possible from our holdings, we purchased off-the-run
(" OTR") Treasuries, which are Treasury securities that were issued prior to the
most recent auction process. The benefit to owning OTR Treasuries is that they
tend to produce higher yields because they are often considered slightly less
liquid than recent issues.
U.S. agency securities provided somewhat better returns than U.S. Treasuries,
partly because they were the recipients of some of the asset
<PAGE>
that were moving away from Treasuries. Toward the end of the six-month period,
we decreased our Treasury exposure, choosing instead to redeploy those assets
into agency securities that offered higher returns. As of June 30, 1999,
approximately 24% of the portfolio's assets were allocated to agency bonds.
Another contributor to positive performance was the fund's investments in the
Treasury Inflation Protection Securities market. We bought these bonds when they
were selling at what we believed were inexpensive prices relative to
conventional Treasury securities. In an environment characterized by growing
fears of inflation, these bonds provided positive returns for the fund.
We believe we' ve created a portfolio that is conservative in nature and is
designed to provide investors with a competitive level of income, liquidity and
preservation of capital.
July 15, 1999
(1) TOTAL RETURN INCLUDES REINVESTMENT OF DIVIDENDS AND ANY CAPITAL GAINS PAID.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. SHARE PRICE, YIELD AND
INVESTMENT RETURN FLUCTUATE SUCH THAT UPON REDEMPTION, FUND SHARES MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST.
(2) THE MERRILL LYNCH GOVERNMENTS, U.S. TREASURY, LONG-TERM INDEX IS AN
UNMANAGED PERFORMANCE BENCHMARK FOR TREASURY SECURITIES WITH MATURITIES OF 10
YEARS AND OVER; ISSUES IN THE INDEX MUST HAVE PAR AMOUNTS OUTSTANDING GREATER
THAN OR EQUAL TO $1 BILLION.
(3) DISTRIBUTION RATE PER SHARE IS BASED UPON DIVIDENDS PER SHARE PAID FROM NET
INVESTMENT INCOME DURING THE PERIOD (ANNUALIZED), DIVIDED BY THE NET ASSET VALUE
PER SHARE AT THE END OF THE PERIOD.
The Fund
<PAGE>
STATEMENT OF INVESTMENTS
<TABLE>
<CAPTION>
June 30, 1999 (Unaudited)
Principal
BONDS AND NOTES--79.0% Amount ($) Value ($)
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<S> <C> <C>
U.S. GOVERNMENT AGENCIES--24.3%
Federal Farm Credit Bank,
Notes, 5.85%, 6/10/2005 4,000,000 3,907,840
Federal Home Loan Banks,
Medium-Term Notes, 6.34%, 6/13/2005 4,200,000 4,203,906
Federal Home Loan Mortgage,
Medium-Term Notes, 5.59%, 9/9/2005 10,000,000 9,629,800
Federal National Mortgage Association,
Medium-Term Notes, 5.9%, 7/9/2003 7,000,000 6,935,880
U.S. Government Gtd. Development,
Participation Ctfs.
(Gtd. By U.S. Small Business Administration):
Ser. 1997-20, Cl. E, 7.3%, 5/1/2017 1,695,209 1,720,814
Ser. 1998-20, Cl. E, 6.3%, 5/1/2018 974,746 941,319
Ser. 1998-20, Cl. J, 5.5%, 10/1/2018 1,771,313 1,635,241
Ser. 1998-20, Cl. L, 5.8%, 12/1/2018 2,952,352 2,777,927
31,752,727
U.S. TREASURY BONDS-20.8%
8.5%, 2/15/2020 7,000,000 8,763,440
9.125%, 5/15/2018 3,000,000 3,931,560
12%, 8/15/2013 5,000,000 7,001,350
12.5%, 8/15/2014 5,000,000 7,365,750
27,062,100
U.S. TREASURY NOTES-6.8%
5.5%, 5/15/2009 9,100,000 8,909,628
U.S. TREASURY PRINCIPAL STRIPS -27.1%
Zero Coupon, 5/15/2005 1,200,000 851,424
Zero Coupon, 11/15/2009 65,000,000 34,468,850
35,320,274
TOTAL BONDS AND NOTES
(cost $105,749,728) 103,044,729
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OPTIONS--.0% Contracts
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CALL OPTIONS;
U.S. Treasury Notes, 4.75%, 11/15/2008,
December '99 @ $100.375
(cost $365,625) 150 9,900
<PAGE>
Principal
SHORT-TERM INVESTMENTS-20.0% Amount ($) Value ($)
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U.S. TREASURY BILLS:
4.39%, 7/8/1999 600,000 (a) 599,609
4.19%, 7/22/1999 15,175,000 (a) 15,138,701
4.42%, 8/5/1999 150,000 (a) 149,438
4.34%, 8/19/1999 7,840,000 (a) 7,793,258
4.58%, 9/16/1999 1,460,000 (a) 1,445,696
4.7%, 9/30/1999 1,020,000 1,008,005
(cost $26,134,060) 26,134,707
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TOTAL INVESTMENTS (cost $132,249,413) 99.0% 129,189,336
CASH AND RECEIVABLES (NET) 1.0% 1,312,019
NET ASSETS 100.0% 130,501,355
(A) HELD WHOLE OR IN PART BY THE CUSTODIAN IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund
<PAGE>
STATEMENT OF FINANCIAL FUTURES
<TABLE>
<CAPTION>
June 30, 1999 (Unaudited)
Unrealized
Market Value Appreciation
Covered by (Depreciation)
Contracts Contracts ($) Expiration at 6/30/99 ($)
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<S> <C> <C>
FINANCIAL FUTURES LONG
U.S. Treasury 5 Year Notes 178 19,402,000 September '99 45,438
U.S. Treasury 10 Year Notes 477 53,036,438 September '99 (349,320)
U.S. Treasury 30 Year Bonds 228 26,426,625 September '99 309,000
FINANCIAL FUTURES SHORT
U.S. Treasury 2 Year Notes 349 72,570,188 September '99 (158,047)
TOTAL (152,929)
</TABLE>
<PAGE>
STATEMENT OF OPTIONS WRITTEN
June 30, 1999 (Unaudited)
Call Options
ISSUER Contracts Value ($)
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U.S. Treasury Notes, 4.75%, 11/15/2008,
December '99 @ $104.78125 150 987
Put Options
ISSUER
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U.S. Treasury Notes, 4.75%, 11/15/2008,
December '99 @ $95.125 150 681,450
(Premiums received $365,625) 682,437
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES
June 30, 1999 (Unaudited)
Cost Value
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ASSETS ($):
Investments in securities--See Statement of
Investments 132,249,413 129,189,336
Cash 304,839
Interest receivable 1,248,342
Receivable for futures variation margin-Note 4(a) 454,995
Paydowns receivable 89,223
Receivable for shares of Beneficial Interest subscribed 42,646
Prepaid expenses and other assets 39,588
131,368,969
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LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 55,363
Outstanding options written, at value (premiums
received $365,625)--See Statement of Options Written 682,437
Payable for shares of Beneficial Interest redeemed 94,470
Accrued expenses 35,344
867,614
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NET ASSETS ($) 130,501,355
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COMPOSITION OF NET ASSETS ($):
Paid-in capital 145,812,338
Accumulated net realized gain (loss) on investments and
financial futures (11,781,165)
Accumulated net unrealized appreciation (depreciation)
on investments [including ($152,929)
net unrealized depreciation on financial futures]--Note 4(b) (3,529,818)
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NET ASSETS ($) 130,501,355
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SHARES OUTSTANDING
(unlimited number of $.001 par value shares of
Beneficial Interest authorized) 8,803,857
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NET ASSET VALUE, offering and redemption price per share ($) 14.82
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
STATEMENT OF OPERATIONS
Six Months Ended June 30, 1999 (Unaudited)
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INVESTMENT INCOME ($):
INTEREST INCOME 4,065,667
EXPENSES:
Management fee--Note 3(a) 402,939
Shareholder servicing costs--Note 3(b) 210,314
Professional fees 23,958
Trustees' fees and expenses--Note 3(c) 16,914
Registration fees 12,456
Custodian fees--Note 3(b) 9,781
Prospectus and shareholders' reports 6,889
Loan commitment fees--Note 2 332
Miscellaneous 2,529
TOTAL EXPENSES 686,112
Less--reduction in management fee due to undertaking--Note 3(a) (148,528)
NET EXPENSES 537,584
INVESTMENT INCOME--NET 3,528,083
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REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments and options written (7,165,291)
Net realized gain (loss) on financial futures (1,103,541)
NET REALIZED GAIN (LOSS) (8,268,832)
Net unrealized appreciation (depreciation) on investments
[including ($152,929) net unrealized (depreciation)
on financial futures] (2,906,835)
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (11,175,667)
NET (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS (7,647,584)
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended
June 30, 1999 Year Ended
(Unaudited) December 31, 1998
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OPERATIONS ($):
Investment income--net 3,528,083 6,997,579
Net realized gain (loss) on investments (8,268,832) 11,171,370
Net unrealized appreciation (depreciation)
on investments (2,906,835) (4,493,318)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS (7,647,584) 13,675,631
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DIVIDENDS TO SHAREHOLDERS FROM ($):
Investment income--net (3,528,083) (6,997,579)
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BENEFICIAL INTEREST TRANSACTIONS ($):
Net proceeds from shares sold 68,155,057 87,599,125
Dividends reinvested 2,127,636 4,275,403
Cost of shares redeemed (70,491,010) (91,359,590)
INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS (208,317) 514,938
TOTAL INCREASE (DECREASE) IN NET ASSETS (11,383,984) 7,192,990
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NET ASSETS ($):
Beginning of Period 141,885,339 134,692,349
END OF PERIOD 130,501,355 141,885,339
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 4,389,391 5,530,831
Shares issued for dividends reinvested 138,168 272,160
Shares redeemed (4,532,718) (5,799,835)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING (5,159) 3,156
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased
(or decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
<TABLE>
<CAPTION>
Six Months Ended
June 30, 1999 Year Ended December 31,
----------------------------------------------------------------
(Unaudited) 1998 1997 1996 1995 1994
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<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA ($):
Net asset value,
beginning of period 16.11 15.30 14.61 15.51 13.26 15.68
Investment Operations:
Investment income--net .40 .80 .93 .98 .96 1.01
Net realized and unrealized
gain (loss) on investments (1.29) .81 .69 (.89) 2.25 (2.42)
Total from Investment Operations (.89) 1.61 1.62 .09 3.21 (1.41)
Distributions:
Dividends from investment
income--net (.40) (.80) (.93) (.99) (.96) (1.01)
Net asset value, end of period 14.82 16.11 15.30 14.61 15.51 13.26
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TOTAL RETURN (%) (11.23)(a) 10.77 11.69 .87 24.91 (9.18)
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RATIOS/SUPPLEMENTAL DATA (%):
Ratio of expenses to average
net assets .80(a) .80 .80 .80 .87 .98
Ratio of net investment income
to average net assets 5.25(a) 5.10 6.48 6.74 6.69 7.08
Decrease reflected in above
expense ratios due to
undertakings by the Manager .22(a) .21 .24 .19 .05 --
Portfolio Turnover Rate 170.19(b) 1,181.48 905.99 765.13 634.38 1,213.04
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Net Assets, end of period
($ x 1,000) 130,501 141,885 134,692 135,368 146,445 123,403
(A) ANNUALIZED.
(B) NOT ANNUALIZED.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1--Significant Accounting Policies:
Dreyfus U.S. Treasury Long Term Fund (the "fund") 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
provide investors with as high a level of current income as is consistent with
the preservation of capital. The Dreyfus Corporation (the "Manager") serves as
the fund' s investment adviser. The Manager is a direct subsidiary of Mellon
Bank, N.A. ("Mellon"). Premier Mutual Fund Services, Inc. is the distributor of
the fund's shares, which are sold to the public without a sales charge.
The fund' s financial statements are prepared in accordance with generally
accepted accounting principles which may require the use of management estimates
and assumptions. Actual results could differ from those estimates.
(a) Portfolio valuation: Investments in securities (excluding short-term
investments other than U.S. Treasury Bills) are valued each business day by an
independent pricing service (" Service" ) approved by the Board of Trustees.
Investments for which quoted bid prices are readily available and are
representative of the bid side of the market in the judgment of the Service are
valued at the mean between the quoted bid prices (as obtained by the Service
from dealers in such securities) and asked prices (as calculated by the Service
based upon its evaluation of the market for such securities). Other investments
(which constitute a majority of the portfolio securities) are carried at fair
value as determined by the Service, based on methods which include consideration
of: yields or prices of securities of comparable quality, coupon, maturity and
type; indications as to values from dealers; and general market conditions.
Short-term investments, excluding U.S. Treasury Bills, are carried at amortized
cost, which approximates values.
(b) Securities transactions and investment income: Securities transactions are
recorded on a trade date basis. Realized gain and loss from securities
transactions are recorded on the identified cost basis. Interest income,
including, where applicable, amortization of discount on investments, is
recognized on the accrual basis. Under the terms of
<PAGE>
the custody agreement, the fund received net earnings credits of $10,514 during
the period ended June 30, 1999 based on available cash balances left on deposit.
Income earned under this arrangement is included in interest income.
(c) Dividends 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 gain 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 gain can be offset by capital
loss carryovers, it is the policy of the fund not to distribute such gain.
(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 sufficient to relieve it from
substantially all Federal income and excise taxes.
The fund has an unused capital loss carryover of approximately $2,947,000
available for Federal income tax purposes to be applied against future net
securities profits, if any, realized subsequent to December 31, 1998. The
carryover does not include net realized securities losses from November 1, 1998
through December 31, 1998, which are treated, for Federal income tax purposes,
as arising in fiscal 1999. If not applied, the carryover expires in fiscal 2004
NOTE 2--Bank Line of Credit:
The fund participates with other Dreyfus-managed funds in a $600 million
redemption credit facility (the "Facility" ) to be utilized for temporary or
emergency purposes, including the financing of redemptions. In connection
therewith, the fund has agreed to pay commitment fees on its pro rata portion of
the Facility. Interest is charged to the fund at rates based on prevailing
market rates in effect at the time of borrowing. During the period ended June
30, 1999, the fund did not borrow under the Facility.
The Fund
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) (CONTINUED)
NOTE 3--Management Fee and Other Transactions With Affiliates:
(a) Pursuant to a management agreement with the Manager, the management fee is
computed at the annual rate of .60 of 1% of the value of the fund's average
daily net assets and is payable monthly. The Manager had undertaken from
January 1, 1999 through June 30, 1999 to reduce the management fee paid by the
fund, to the extent that the fund's aggregate annual expenses, exclusive of
taxes, brokerage, interest on borrowings, commitment fees and extraordinary
expenses, exceeded an annual rate of .80 of 1% of the value of the fund's
average daily net assets. The reduction in management fee, pursuant to the
undertaking, amounted to $148,528 during the period ended June 30, 1999.
(b) Under the Shareholder Services Plan, the fund reimburses Dreyfus Service
Corporation, a wholly-owned subsidiary of the Manager, an amount not to exceed
an annual rate of .25 of 1% of the value of the fund's average daily net assets
for certain allocated expenses of providing personal services and/or maintaining
shareholder accounts. The services provided may include personal services
relating to shareholder accounts, such as answering shareholder inquiries
regarding the fund and providing reports and other information, and services
related to the maintenance of shareholder accounts. During the period ended June
30, 1999, the fund was charged $152,407 pursuant to the Shareholder Services
Plan.
The fund compensates Dreyfus Transfer, Inc., a wholly-owned subsidiary of the
Manager, under a transfer agency agreement for providing personnel and
facilities to perform transfer agency services for the fund. During the period
ended June 30, 1999, the fund was charged $38,399 pursuant to the transfer
agency agreement.
The fund compensates Mellon under a custody agreement for providing custodial
services for the fund. During the period ended June 30, 1999, the fund was
charged $9,781 pursuant to the custody agreement.
(c) Each trustee who is not an "affiliated person" as defined in the Act
receives from the fund an annual fee of $2,500 and an attendance fe
<PAGE>
of $250 per meeting. The Chairman of the Board receives an additional 25% of
such compensation and the Trustee Emeritus receives 50% of such compensation.
NOTE 4--Securities Transactions:
(a) The aggregate amount of purchases and sales (including paydowns) of
investment securities, excluding short-term securities, options and financial
futures, during the period ended June 30, 1999, amounted to $220,323,617 and
$241,578,876, respectively.
In addition, the following table summarizes the fund's call/put options written
during the period ended June 30, 1999:
<TABLE>
<CAPTION>
Options Terminated
----------------------------------
Number of Premiums Net Realized
Options Written: Contracts Received ($) Costs ($) Gain (Loss) ($)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Contracts outstanding
December 31, 1998 300 365,625
Contracts written 1,976 2,122,846
Contracts terminated:
Closed 1,676 1,770,502 1,487,148 283,354
Exercised 300 352,344 352,344 --
Expired -- -- -- --
TOTAL CONTRACTS TERMINATED 1,976 2,122,846 1,839,492 283,354
Contracts outstanding
June 30, 1999 300 365,625
</TABLE>
The fund may purchase and write (sell) call/put options in order to gain
exposure to or protect against changes in the market.
As a writer of call options, the fund receives a premium at the outset and then
bears the market risk of unfavorable changes in the price of the financial
instruments underlying the options. Generally, the fund would incur a gain, to
the extent of the premium, if the price of the underlying financial instrument
decreases between the date the option is written and the date on which the
option is terminated. Generally, the fund would realize a loss, if the price of
the financial instrument increases between those dates. Contracts open at June
30, 1999 are set forth in the Statement of Options Written.
As a writer of put options, the fund receives a premium at the outset and then
bears the market risk of unfavorable changes in the price of The Fun
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Unaudited) (CONTINUED)
the financial instruments underlying the options. Generally, the fund would
incur a gain, to the extent of the premium, if the price of the underlying
financial instrument increases between the date the option is written and the
date on which the option is terminated. Generally, the fund would realize a
loss, if the price of the financial instrument decreases between those dates.
Contracts open at June 30, 1999 are set forth in the Statement of Options
Written.
The fund may invest in financial futures contracts in order to gain exposure to
or protect against changes in the market. The fund is exposed to market risk as
a result of changes in the value of the underlying financial instruments.
Investments in financial futures require the fund to "mark to market" on a daily
basis, which reflects the change in the market value of the contracts at the
close of each day's trading. Typically, variation margin payments are received
or made to reflect daily unrealized gains or losses. When the contracts are
closed, the fund recognizes a realized gain or loss. These investments require
initial margin deposits with a custodian, which consist of cash or cash
equivalents, up to approximately 10% of the contract amount. The amount of these
deposits is determined by the exchange or Board of Trade on which the contract
is traded and is subject to change. Contracts open at June 30, 1999, are set
forth in the Statement of Financial Futures.
(b) At June 30, 1999, accumulated net unrealized depreciation on investments,
options and financial futures was $3,529,818, consisting of $936,585 gross
unrealized appreciation and $4,466,403 grossunrealized depreciation.
At June 30, 1999, 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).
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NOTES
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For More Information
Dreyfus U.S. Treasury
Long Term Fund
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New York, NY 10166
Manager
The Dreyfus Corporation
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New York, NY 10166
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One Mellon Bank Center
Pittsburgh, PA 15258
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Providence, RI 02940
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60 State Street
Boston, MA 02109
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(c) 1999 Dreyfus Service Corporation 073SA996
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