Dreyfus
U.S. Treasury
Long Term Fund
SEMIANNUAL REPORT June 30, 2000
(reg.tm)
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
Contents
THE FUND
--------------------------------------------------
2 Letter from the President
3 Discussion of Fund Performance
6 Statement of Investments
8 Statement of Financial Futures
9 Statement of Assets and Liabilities
10 Statement of Operations
11 Statement of Changes in Net Assets
12 Financial Highlights
13 Notes to Financial Statements
FOR MORE INFORMATION
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Back Cover
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, 2000 through June 30,
2000. 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 that
manages the fund.
Tighter monetary policy adversely affected most -- but not all -- sectors of the
bond market over the past six months. This was primarily a result of efforts by
the Federal Reserve Board (the "Fed" ) to forestall potential inflationary
pressures. The Fed raised short-term interest rates three times during the
reporting period, for a total increase of 1.00 percentage points. These rate
hikes contributed to a total interest-rate increase of 1.75 percentage points
since late June 1999, before the current reporting period began.
Higher interest rates led to an erosion of most bond prices, especially among
higher yielding securities. U.S. Treasury securities represented a notable
exception. Prices of these direct obligations of the federal government rose
primarily because of reduced supply amid robust demand from domestic and foreign
investors.
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 17, 2000
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?
During the six-month reporting period ended June 30, 2000, the fund produced a
total return of 6.35%.(1) In comparison, the fund's benchmark, the Merrill Lynch
Governments, U.S. Treasury, Long-Term (10 Years and Over) Index, provided a
total return of 9.12% over the same period.(2)
We attribute the fund's underperformance to our security selection strategy
that, consistent with our efforts to maximize income, emphasized seasoned over
newly issued U.S. Treasury bonds. The more current U.S. Treasury bond issues
significantly outperformed the seasoned issues. The fund did not own the current
30-year U.S. Treasury bond and, as a result, the fund did not perform as well in
comparison with its benchmark on a total return basis.
What is the fund's investment approach?
As a U.S. Treasury securities fund, our goal is to provide shareholders with
current income through an investment vehicle that is composed of U.S. Treasury
bills, notes, bonds and other securities that are issued or guaranteed by the
United States Government, its agencies or instrumentalities. The fund may also
invest in options and futures and enter into repurchase agreements with
securities dealers that are backed by U.S. Treasuries.
Since U.S. Treasury bills, notes and bonds are backed by the full faith and
credit of the U.S. Government, they are generally considered to rank among the
highest 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 securities and the value of fund shares are not insured or
guaranteed by the U.S. Government. The fund generally maintains an average
dollar-weighted maturity that exceeds 10 years, which can result in significant
volatility if interest rates rise.
The Fund
DISCUSSION OF FUND PERFORMANCE (CONTINUED)
What other factors influenced the fund's performance?
First, the fund was influenced by inflation fears and rising interest rates over
the past six months. When the reporting period began on January 1, 2000,
investors were relieved that Y2K-related concerns proved unfounded. However,
investors soon became worried that robust economic growth might rekindle
long-dormant inflationary pressures, especially since both energy prices and
wages in a tight job market were rising. In an attempt to relieve these
pressures, the Federal Reserve Board has raised short-term interest rates three
times during the reporting period.
Second, the fund responded to forces that are unique to the U.S. Treasury
securities marketplace, which recently provided attractive returns compared to
other market sectors. In mid-January the government announced that it would use
a portion of the budget surplus to initiate a buyback program for U.S. Treasury
securities. This announcement triggered a wave of purchases of long-term U.S.
Treasury securities. Yields for these long-term securities were driven down past
yields of short-term securities and as a result created what is called an
inverted yield curve.
What is the fund's current strategy?
We have continued our efforts to invest the fund's assets in areas of the
long-term U.S. Treasury securities market that we believe offer the most
attractive income opportunities. Accordingly, we have established the fund's
average duration -- a measure of sensitivity to changing interest rates -- at
approximately 10 years, a level that we consider neutral relative to the fund's
benchmark. Our duration management strategy was designed to help us balance the
benefits of locking in prevailing yields while maintaining the flexibility to
capture higher yields if they became available. In addition, we believe that a
neutral duration management strategy enables us to derive greater value from
other fixed-income investment strategies, such as yield curve risk-reward
analysis, for as long as the future direction of interest rates remains
uncertain.
We recently reduced our holdings of U.S. Government agency securities to
approximately 6% of the fund's assets. This shift proved beneficial to the fund
after members of Congress and the U.S. Treasury Department questioned the
investment policies of some government agencies. Instead, we focused primarily
on U.S. Treasury notes and bonds during the reporting period. We also
participated in the U.S. Treasury Inflation Protected Securities market, which
helped us as inflation concerns have risen.
July 17, 2000
(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. TOTAL RETURN INCLUDES REINVESTMENT OF
DIVIDENDS. RETURN FIGURES PROVIDED REFLECT THE ABSORPTION OF FUND EXPENSES BY
THE DREYFUS CORPORATION PURSUANT TO AN UNDERTAKING IN EFFECT THAT MAY BE
EXTENDED, TERMINATED OR MODIFIED AT ANY TIME. HAD THESE EXPENSES NOT BEEN
ABSORBED, THE FUND'S RETURN WOULD HAVE BEEN LOWER.
(2) SOURCE: LIPPER INC. -- REFLECTS REINVESTMENT OF DIVIDENDS AND, WHERE
APPLICABLE, CAPITAL GAIN DISTRIBUTIONS. THE MERRILL LYNCH GOVERNMENTS, U.S.
TREASURY, LONG-TERM (10 YEARS AND OVER) 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 $1
BILLION.
The Fund
STATEMENT OF INVESTMENTS
<TABLE>
June 30, 2000 (Unaudited)
Principal
BONDS AND NOTES--88.7% Amount ($) Value ($)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES--5.6%
Federal National Mortgage Association,
Principal Strips, 0%, 1/15/2030 10,000,000 1,352,000
Tennessee Valley Authority,
Valley Indexed Principal Securities,
3.375%, 1/15/2007 5,000,000 (a) 5,011,329
6,363,329
U.S. TREASURY BONDS--68.5%
6.25%, 8/15/2023 2,000,000 2,013,120
6.25%, 5/15/2030 22,121,000 23,227,050
7.5%, 11/15/2016 5,000,000 5,632,800
7.875%, 2/15/2021 7,000,000 8,314,670
8.5%, 2/15/2020 7,600,000 9,514,212
8.75%, 5/15/2017 12,500,000 15,714,750
8.75%, 5/15/2020 4,500,000 5,765,625
9.125%, 5/15/2018 3,000,000 3,915,000
10.375%, 11/15/2009 2,500,000 2,865,625
76,962,852
U.S. TREASURY INFLATION PROTECTION SECURITIES--10.0%
3.625%, 7/15/2002 2,000,000 (a) 2,123,655
3.875%, 4/15/2029 8,750,000 (a) 9,085,547
11,209,202
U.S. TREASURY PRINCIPAL STRIPS--4.6%
0%, 11/15/2004 6,750,000 5,133,105
TOTAL BONDS AND NOTES
(cost $98,719,462) 99,668,488
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OPTIONS--.1% Contracts
------------------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS;
U.S. Treasury Notes, 6.5%, 2/15/2010,
August 2000 @ $103.578125
(cost $100,781) 75 89,175
Principal
SHORT-TERM INVESTMENTS--10.6% Amount ($) Value ($)
------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES--8.4%
Federal Home Loan Banks
6.3%, 7/3/2000 9,455,000 9,451,691
U.S. TREASURY BILLS--2.2%
5.33%, 7/20/2000 920,000 (b) 917,645
5.6%, 7/27/2000 650,000 (c) 647,699
5.51%, 8/17/2000 855,000 849,023
2,414,367
TOTAL SHORT-TERM INVESTMENTS
(cost $11,865,323) 11,866,058
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TOTAL INVESTMENTS (cost $110,685,566) 99.4% 111,623,721
CASH AND RECEIVABLES (NET) .6% 729,673
NET ASSETS 100.0% 112,353,394
(A) PRINCIPAL AMOUNT FOR ACCRUAL PURPOSES IS PERIODICALLY ADJUSTED BASED ON CHANGES TO THE CONSUMER PRICE INDEX.
(B) PARTIALLY HELD BY THE CUSTODIAN IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS.
(C) WHOLLY HELD BY THE CUSTODIAN IN A SEGREGATED ACCOUNT AS COLLATERAL FOR OPEN FINANCIAL FUTURES POSITIONS.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
The Fund
STATEMENT OF FINANCIAL FUTURES
<TABLE>
June 30, 2000 (Unaudited)
Unrealized
Market Value Appreciation
Covered by (Depreciation)
Contracts Contracts ($) Expiration at 6/30/2000 ($)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FINANCIAL FUTURES (LONG)
U.S. Treasury 30 Year Bonds 385 37,477,344 September 2000 76,750
FINANCIAL FUTURES (SHORT)
U.S. Government Agency
10 Year Notes 119 11,005,641 September 2000 (70,469)
U.S. Treasury 5 Year Notes 119 11,782,859 September 2000 (16,422)
U.S. Treasury 10 Year Notes 114 11,227,219 September 2000 (29,343)
(39,484)
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
Cost Value
--------------------------------------------------------------------------------
ASSETS ($):
Investments in securities--See Statement of
Investments 110,685,566 111,623,721
Interest receivable 1,170,666
Receivable for shares of Beneficial Interest subscribed 4,617
Prepaid expenses 9,207
112,808,211
--------------------------------------------------------------------------------
LIABILITIES ($):
Due to The Dreyfus Corporation and affiliates 58,000
Cash overdraft due to Custodian 159,137
Payable for futures variation margin--Note 4(a) 106,094
Payable for shares of Beneficial Interest redeemed 94,001
Accrued expenses 37,585
454,817
--------------------------------------------------------------------------------
NET ASSETS ($) 112,353,394
--------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS ($):
Paid-in capital 131,101,112
Accumulated net realized gain (loss) on investments (19,646,389)
Accumulated net unrealized appreciation (depreciation)
on investments [including ($39,484) net unrealized
(depreciation) on financial futures]--Note 4(b) 898,671
--------------------------------------------------------------------------------
NET ASSETS ($) 112,353,394
--------------------------------------------------------------------------------
SHARES OUTSTANDING
(unlimited number of $.001 par value shares of Beneficial
Interest authorized) 7,761,573
NET ASSET VALUE, offering and redemption price per share ($) 14.48
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
STATEMENT OF OPERATIONS
Six Months Ended June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
INVESTMENT INCOME ($):
INTEREST INCOME 3,738,718
EXPENSES:
Management fee--Note 3(a) 340,294
Shareholder servicing costs--Note 3(b) 185,536
Professional fees 25,808
Trustees' fees and expenses--Note 3(c) 19,848
Registration fees 12,482
Custodian fees--Note 3(b) 8,358
Prospectus and shareholders' reports 4,700
Loan commitment fees--Note 2 491
Miscellaneous 7,186
TOTAL EXPENSES 604,703
Less--reduction in management fee due to undertaking--Note 3(a) (150,994)
NET EXPENSES 453,709
INVESTMENT INCOME--NET 3,285,009
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--NOTE 4 ($):
Net realized gain (loss) on investments and options written (2,146,845)
Net realized gain (loss) on financial futures 789,585
NET REALIZED GAIN (LOSS) (1,357,260)
Net unrealized appreciation (depreciation) on investments
[including ($39,484) net unrealized (depreciation) on financial
futures] 4,977,753
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS 3,620,493
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 6,905,502
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended
June 30, 2000 Year Ended
(Unaudited) December 31, 1999
--------------------------------------------------------------------------------
OPERATIONS ($):
Investment income--net 3,285,009 7,150,740
Net realized gain (loss) from investments (1,357,260) (14,776,796)
Net unrealized appreciation (depreciation)
on investments 4,977,753 (3,456,099)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 6,905,502 (11,082,155)
--------------------------------------------------------------------------------
DIVIDENDS TO SHAREHOLDERS FROM ($):
INVESTMENT INCOME--NET (3,285,009) (7,150,740)
--------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS ($):
Net proceeds from shares sold 17,340,342 119,178,620
Dividends reinvested 2,145,957 4,516,859
Cost of shares redeemed (32,051,266) (126,050,055)
INCREASE (DECREASE) IN NET ASSETS FROM
BENEFICIAL INTEREST TRANSACTIONS (12,564,967) (2,354,576)
TOTAL INCREASE (DECREASE) IN NET ASSETS (8,944,474) (20,587,471)
--------------------------------------------------------------------------------
NET ASSETS ($):
Beginning of Period 121,297,868 141,885,339
END OF PERIOD 112,353,394 121,297,868
--------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS (SHARES):
Shares sold 1,232,399 7,900,927
Shares issued for dividends reinvested 150,906 303,591
Shares redeemed (2,277,093) (8,358,173)
NET INCREASE (DECREASE) IN SHARES OUTSTANDING (893,788) (153,655)
SEE NOTES TO FINANCIAL STATEMENTS.
The Fund
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated.
Total return shows how much your investment in the fund would have increased (or
decreased) during each period, assuming you had reinvested all dividends and
distributions. These figures have been derived from the fund's financial
statements.
<TABLE>
Six Months Ended
June 30, 2000 Year Ended December 31,
(Unaudited) -----------------------------------------------------------
1999 1998 1997 1996 1995
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<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA ($):
Net asset value,
beginning of period 14.01 16.11 15.30 14.61 15.51 13.26
Investment Operations:
Investment income--net .41 .82 .80 .93 .98 .96
Net realized and unrealized gain
(loss) on investments .47 (2.10) .81 .69 (.89) 2.25
Total from Investment Operations .88 (1.28) 1.61 1.62 .09 3.21
Distributions:
Dividends from investment
income--net (.41) (.82) (.80) (.93) (.99) (.96)
Net asset value, end of period 14.48 14.01 16.11 15.30 14.61 15.51
------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN (%) 12.73(a) (8.14) 10.77 11.69 .87 24.91
------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA (%):
Ratio of expenses to average net
assets .80(a) .80 .80 .80 .80 .87
Ratio of net investment income
to average net assets 5.78(a) 5.45 5.10 6.48 6.74 6.69
Decrease reflected in above expense
ratios due to undertakings by
The Dreyfus Corporation .27(a) .22 .21 .24 .19 .05
Portfolio Turnover Rate 515.98(b) 495.51 1,181.48 905.99 765.13 634.38
------------------------------------------------------------------------------------------------------------------------------------
Net Assets, end of period
($ x 1,000) 112,353 121,298 141,885 134,692 135,368 146,445
(A) ANNUALIZED.
(B) NOT ANNUALIZED.
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
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"), which is a wholly-owned subsidiary of Mellon Financial
Corporation. Effective March 22, 2000, Dreyfus Service Corporation ("DSC"), a
wholly-owned subsidiary of the Manager, became the distributor of the fund's
shares, which are sold to the public without a sales charge. Prior to March 22,
2000, Premier Mutual Fund Services, Inc. was the distributor.
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 and financial futures) 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. Securities for which there are no such valuations are valued
at fair value as determined in good faith under the direction of the Board of
Trustees. Short-term invest-
The Fund
NOTES TO FINANCIAL STATEMENTS (Unaudited) (CONTINUED)
ments, excluding U.S. Treasury Bills, are carried at amortized cost, which
approximates value. Financial futures are value at the last sales price on the
securities exchange on which such securities are primarily traded or at the last
sales price on the national securities market on each business day.
(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 the custody agreement, the
fund receives net earnings credits based on available cash balances left on
deposit.
(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 $17,033,000
available for Federal income tax purposes to be applied against future net
securities profits, if any, realized subsequent to December 31, 1999. This
amount is calculated based on Federal income tax regulations which may differ
from financial reporting in accordance with generally accepted accounting
principles. If not applied, $2,961,000 of the carryover expires in fiscal 2004
and $14,072,000 expires in fiscal 2007.
NOTE 2--Bank Line of Credit:
The fund participates with other Dreyfus-managed funds in a $500 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, 2000, the fund did not borrow under the Facility.
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, 2000 through June 30, 2000 to reduce the management fee paid by the fund, to
the extent that the fund' s aggregate annual expenses, exclusive of taxes,
brokerage fees, 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 $150,994 during the period ended June 30, 2000.
(b) Under the Shareholder Services Plan, the fund reimburses DSC 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, 2000, the fund was charged $130,156 pursuant to the Shareholder
Services Plan.
The Fund
NOTES TO FINANCIAL STATEMENTS (Unaudited) (CONTINUED)
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, 2000, the fund was charged $35,835 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, 2000, the fund was
charged $8,358 pursuant to the custody agreement.
(c) Each Board member also serves as a Board member of other funds within the
Dreyfus complex (collectively, the "Fund Group"). Effective April 11, 2000, each
Board member who is not an "affiliated person" as defined in the Act receives an
annual fee of $30,000 and an attendance fee of $4,000 for each in person meeting
and $500 for telephone meetings. These fees are allocated among the funds in the
Fund Group. The Chairman of the Board receives an additional 25% of such
compensation. Prior to April 11, 2000, each Board member who was not an
" affiliated person" as defined in the Act received from the fund an annual fee
of $2,500 and an attendance fee of $250 per meeting. The Chairman of the Board
received an additional 25% of such compensation. Subject to the fund's Emeritus
Program Guidelines, Emeritus Board members, if any, receive 50% of the fund's
annual retainer fee and per meeting fee paid at the time the Board member
achieves emeritus status.
NOTE 4--Securities Transactions:
(a) The aggregate amount of purchases and sales (including paydowns) of
investment securities, excluding short-term securities, financial futures and
options, during the period ended June 30, 2000, amounted to $544,201,362 and
$564,537,212, respectively.
In addition, the following table summarizes the fund's call/put options written
during the period ended June 30, 2000:
<TABLE>
Options Terminated
--------------------------------
Number of Premiums Net Realized
Options Written: Contracts Received ($) Cost ($) Gain (Loss) ($)
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Contracts outstanding
December 31, 1999 -- --
Contracts written 150 123,047
Contracts terminated:
Closed 150 123,047 208,594 (85,547)
CONTRACTS OUTSTANDING
JUNE 30, 2000 -- --
</TABLE>
The fund may purchase and write (sell) calls/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.
As 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 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.
The Fund
NOTES TO FINANCIAL STATEMENTS (Unaudited) (CONTINUED)
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, 2000, are set
forth in the Statement of Financial Futures.
(b) At June 30, 2000, accumulated net unrealized appreciation on investments,
options and financial futures was $898,671, consisting of $1,459,734 gross
unrealized appreciation and $561,063 gross unrealized depreciation.
At June 30, 2000, 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).
NOTES
For More Information
Dreyfus U.S. Treasury Long Term Fund
200 Park Avenue
New York, NY 10166
Manager
The Dreyfus Corporation
200 Park Avenue
New York, NY 10166
Custodian
Mellon Bank, N.A.
One Mellon Bank Center
Pittsburgh, PA 15258
Transfer Agent & Dividend Disbursing Agent
Dreyfus Transfer, Inc.
P.O. Box 9671
Providence, RI 02940
Distributor
Dreyfus Service Corporation
200 Park Avenue
New York, NY 10166
To obtain information:
BY TELEPHONE
Call 1-800-645-6561
BY MAIL Write to:
The Dreyfus Family of Funds
144 Glenn Curtiss Boulevard
Uniondale, NY 11556-0144
BY E-MAIL Send your request
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