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 | 811-04813 |
Dreyfus Investment Funds (Exact name of Registrant as specified in charter) |
c/o The Dreyfus Corporation 200 Park Avenue New York, New York 10166 (Address of principal executive offices) (Zip code) |
Michael A. Rosenberg, Esq. 200 Park Avenue New York, New York 10166 (Name and address of agent for service) |
Registrant's telephone number, including area code: | (212) 922-6000 | |
Date of fiscal year end: | 12/31 | |
Date of reporting period: | 6/30/2009 |
The following N-CSR relates only to the Registrant’s series listed below and does not affect the other series of the Registrant, which have a different fiscal year end and, therefore, different N-CSR reporting requirements. Separate N-CSR Forms will be filed for those series, as appropriate.
Dreyfus/Standish Fixed Income Fund Dreyfus/Standish Global Fixed Income Fund Dreyfus/Standish International Fixed Income Fund |
1
FORM N-CSR |
Item 1. | Reports to Stockholders. |
2
The views expressed in this report reflect those of the portfolio managers only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
23 | Statement of Financial Futures |
24 | Statement of Assets and Liabilities |
25 | Statement of Operations |
26 | Statement of Changes in Net Assets |
27 | Financial Highlights |
28 | Notes to Financial Statements |
45 | Information About the Review and Approval of the Fund’s Investment Advisory Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus/Standish Global Fixed Income Fund |
The Fund
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present to you this semiannual report for Dreyfus/Standish Global Fixed Income Fund, covering the six-month period from January 1, 2009, through June 30, 2009.
The severe recession and banking crisis that dominated the financial markets at the start of 2009 appear to have moderated as of mid-year. Previously frozen credit markets have thawed, giving businesses access to the capital they need to grow. After reaching multi-year lows early in the year, higher-yielding segments of the bond market staged an impressive rally, while U.S.Treasury securities gave back some of their 2008 gains. While the U.S. economy remains weak overall, we have seen encouraging evidence of potential recovery, including a recovering housing market and improvements within certain manufacturing sectors. Meanwhile, inflation has remained tame in the face of high unemployment and unused manufacturing capacity.
Although these developments give us reasons for optimism, we remain cautious due to the speed and magnitude of the corporate bond market’s 2009 rebound. Indeed, the market’s advance was fueled more by investors’ renewed appetites for risk than improving business fundamentals. We would prefer to see a steadier rise in asset prices supported by more concrete economic data, as the rapid rise increases the possibility that profit-taking could move the market lower. In uncertain markets such as this one, even the most seasoned investors can benefit from professional counsel. To determine how your investments should be positioned for the challenges and opportunities that lie ahead, we continue to stress that you talk regularly with your financial advisor. For information about how the fund performed during the reporting period, as well as market perspectives, we have provided a Discussion of Fund Performance given by the Portfolio Managers.
Thank you for your continued confidence and support.
Jonathan R. Baum Chairman and Chief Executive Officer The Dreyfus Corporation July 15, 2009 |
2
DISCUSSION OF FUND PERFORMANCE
For the period of January 1, 2009, through June 30, 2009, as provided by David Leduc, CFA, and Thomas Fahey, Co-Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended June 30,2009,Dreyfus/Standish Global Fixed Income Fund achieved a total return of 5.93%.1 In comparison, the Barclays Capital Global Aggregate Index (the “Index”), the fund’s benchmark, achieved a total return of 1.52% for the same period.2
Global bond markets stabilized over the first half of 2009 after suffering severe dislocations amid a global credit crisis in 2008.The fund produced a higher return than its benchmark, primarily due to a well timed shift from government securities to high-quality corporate bonds that rallied as market conditions improved.
The Fund’s Investment Approach
The fund seeks to maximize total return while realizing a market level of income, consistent with preserving principal and liquidity, by normally investing at least 80% of its assets in U.S. dollar and non-U.S. dollar-denominated fixed-income securities of governments and companies located in various countries, including emerging markets. These may include high-grade and medium-grade government, corporate, mortgage-backed, asset-backed, high yield and emerging market debt securities.To protect the U.S. dollar value of the fund’s assets, we hedge most, but not necessarily all, of the portfolio’s foreign currency exposure.
The fund emphasizes rotation among undervalued countries, sectors, securities and currencies. In particular, we focus on securities with the most potential for added value, i.e., those involving potential for credit upgrades and unique structural characteristics.To identify these securities, we use macroeconomic research and quantitative analysis to allocate assets among countries and currencies based on a comparative evaluation of interest and inflation rate trends, government fiscal/monetary policy and credit quality of government debt.
Global Bond Markets Began to Rebound from 2008 Lows
2009 began in the wake of one of the most severe downturns in the global financial markets in decades. Staggering losses among mortgage-
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued) |
and asset-backed securities nearly led to the collapse of the international banking system over the second half of 2008. Meanwhile, the credit crisis contributed to the onset of the most prolonged and severe recession since the 1930s.After a long period of gains, housing prices throughout the world declined sharply, and mortgage foreclosure rates soared. Consumer confidence plummeted, resulting in constrained spending. Perhaps most significant, unemployment rates climbed as business conditions deteriorated.These developments prompted aggressive remedial measures from government and monetary authorities. Central banks reduced short-term interest rates and pumped liquidity into frozen credit markets, while government officials enacted massive economic stimulus programs.
Economic and market weakness generally prevailed over the first two months of 2009. As a result, higher yielding sectors of the global bond market continued to decline, and yield differences between high yield corporate bonds and sovereign debt obligations reached historically wide levels. In early March, however, signs of potential economic stabilization produced optimism that the global recession and financial crisis might have bottomed.The remedial measures adopted by governments around the world appeared to have averted a collapse,and investors began to look forward to better economic and market conditions. Although we saw relatively little evidence of actual economic improvement, stocks and higher yielding bonds rallied through the end of the reporting period in anticipation of a recovery.
Defensive Posture Supported Fund Performance
When 2009 began, we had maintained a substantially overweighted position in government securities, which sheltered the fund from the brunt of the credit crisis and enabled it to capture the benefits of falling interest rates. In addition, the fund’s liquid holdings of sovereign debt put it in a good position to purchase higher yielding bonds at compelling prices near the bottom of the market’s swoon.
Even before market conditions began to improve, we took advantage of a number of opportunities among high-grade corporate bonds with competitive yields, including from issuers in the battered financials sector, where we focused on very large institutions that were deemed “too big to fail” during the downturn.We found particularly attractive values among investment-grade corporate bonds in the United States;
4
conversely, we found relatively few opportunities in Japan. Otherwise, we found numerous bonds meeting our investment criteria across a diverse range of geographic regions and industry groups. As a result, the fund’s composition changed significantly over the reporting period, shifting to underweighted exposure to sovereign bonds and an overweighted position in corporate debt securities.
Positioned for Moderating Long-Term Yields
Despite the magnitude of the springtime rally, we believe that most national economies are likely to remain weak for some time, and inflation is likely to remain relatively tame.This outlook suggests that longer-term bond yields have additional room to fall in some markets, including the United States, the United Kingdom and Europe. Therefore, we have positioned the fund for narrower yield differences along the market’s maturity range. In addition, to guard against credit deterioration, we have focused mainly on debt securities with seniority in the corporate capital structure.These strategies are designed to help the fund generate competitive levels of current income while managing risks and price volatility.
July 15, 2009
The fund may, but is not required to, use derivative instruments, such as options, futures and | |
options on futures, forward contracts, swaps (including credit default swaps on corporate bonds and | |
asset-backed securities), options on swaps, and other credit derivatives. A small investment in | |
derivatives could have a potentially large impact on the fund’s performance.The use of derivatives | |
involves risks different from, or possibly greater than, the risks associated with investing directly in | |
the underlying assets. Credit default swaps and similar instruments involve greater risks than if the | |
fund had invested in the reference obligation directly, since, in addition to general market risks, they | |
are subject to illiquidity risk, counterparty risk and credit risks. | |
1 | Total return includes reinvestment of dividends and any capital gains paid. Past performance is no |
guarantee of future results. Share price and investment return fluctuate such that upon redemption, | |
fund shares may be worth more or less than their original cost. Return figure provided reflects the | |
absorption of certain 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: Barclays Capital Inc. — Reflects reinvestment of dividends and, where applicable, |
capital gain distributions.The Barclays Capital Global Aggregate Index provides a broad-based | |
measure of the global investment-grade fixed income markets.The three major components of this | |
index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate | |
Indices.The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian Government | |
securities, and USD investment-grade 144A securities. Index returns do not reflect fees and | |
expenses associated with operating a mutual fund. |
The Fund 5
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/Standish Global Fixed Income Fund from January 1, 2009 to June 30, 2009. 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 June 30, 2009 |
Expenses paid per $1,000† | $3.32 |
Ending value (after expenses) | $1,059.30 |
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 June 30, 2009 |
Expenses paid per $1,000† | $3.26 |
Ending value (after expenses) | $1,021.57 |
† Expenses are equal to the fund’s annualized expense ratio of .65%, multiplied by the average account value over the |
period, multiplied by 181/365 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS |
June 30, 2009 (Unaudited) |
Coupon | Maturity | Principal | ||||
Bonds and Notes—95.0% | Rate (%) | Date | Amount ($) | Value ($) | ||
Australia—1.0% | ||||||
BHP Billiton Finance USA, | ||||||
Gtd. Notes | 5.50 | 4/1/14 | 220,000 | 236,250 | ||
Rio Tinto Finance USA, | ||||||
Gtd. Notes | 5.88 | 7/15/13 | 190,000 | 191,360 | ||
Saint George Bank, | ||||||
Sr. Unscd. Notes | EUR | 6.50 | 6/24/13 | 100,000 | a | 152,973 |
580,583 | ||||||
Belgium—1.0% | ||||||
Anheuser-Busch InBev, | ||||||
Sr. Unscd. Notes | GBP | 9.75 | 7/30/24 | 110,000 | a | 224,475 |
Belgium Kingdom, | ||||||
Bonds Ser. 44 | EUR | 5.00 | 3/28/34 | 210,000 | a | 311,818 |
536,293 | ||||||
Brazil—2.7% | ||||||
Brazilian Government, | ||||||
Unsub. Bonds | BRL | 12.50 | 1/5/16 | 2,675,000 | a,b | 1,511,051 |
Canada—4.1% | ||||||
Barrick Gold, | ||||||
Sr. Unscd. Notes | 6.95 | 4/1/19 | 170,000 | 190,744 | ||
Canadian National Railway, | ||||||
Notes | 5.55 | 3/1/19 | 225,000 | 233,565 | ||
Encana, | ||||||
Sr. Unscd. Notes | 6.50 | 5/15/19 | 50,000 | 53,699 | ||
Husky Energy, | ||||||
Sr. Unscd. Notes | 7.25 | 12/15/19 | 80,000 | 87,568 | ||
Potash-Saskatchewan, | ||||||
Sr. Unscd. Notes | 5.25 | 5/15/14 | 110,000 | 113,640 | ||
Province of Ontario, | ||||||
Notes | CAD | 4.50 | 12/2/12 | 825,000 | a | 755,810 |
Rogers Wireless, | ||||||
Sr. Unscd. Notes | 7.50 | 3/15/15 | 45,000 | 49,008 | ||
Teck Resources, | ||||||
Sr. Scd. Notes | 10.25 | 5/15/16 | 60,000 | c | 62,927 | |
Teck Resources, | ||||||
Sr. Scd. Notes | 10.75 | 5/15/19 | 370,000 | c | 398,363 | |
Toronto-Dominion Bank, | ||||||
Sr. Unscd. Notes | EUR | 5.38 | 5/14/15 | 100,000 | a | 149,330 |
Trans-Canada Pipelines, | ||||||
Sr. Unscd. Notes | 7.63 | 1/15/39 | 145,000 | 169,774 | ||
2,264,428 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Colombia—.3% | ||||||
Republic of Colombia, | ||||||
Sr. Notes | 7.38 | 3/18/19 | 135,000 | 144,787 | ||
Denmark—.4% | ||||||
NYKREDIT, | ||||||
Sub. Notes | EUR | 4.90 | 9/22/49 | 255,000 | a,d | 248,622 |
France—3.2% | ||||||
BNP Paribas, | ||||||
Sr. Unscd. Notes | EUR | 3.25 | 3/27/12 | 100,000 | a | 141,716 |
Carrefour SA, | ||||||
Sr. Unscd. Notes | EUR | 5.13 | 10/10/14 | 50,000 | a | 74,261 |
Danone Finance, | ||||||
Gtd. Notes | EUR | 6.38 | 2/4/14 | 100,000 | a | 155,819 |
France Telecom, | ||||||
Sr. Unscd. Notes | 5.38 | 7/8/19 | 170,000 | 171,558 | ||
GDF Suez, | ||||||
Sr. Unscd. Notes | EUR | 6.25 | 1/24/14 | 75,000 | a | 116,428 |
PPR, | ||||||
Sr. Unscd. Notes | EUR | 8.63 | 4/3/14 | 205,000 | a | 314,661 |
Societe General, | ||||||
Sr. Unscd. Notes | EUR | 5.25 | 3/28/13 | 100,000 | a | 149,867 |
Societe Generale, | ||||||
Sub. Notes | EUR | 6.13 | 8/20/18 | 100,000 | a | 150,198 |
Veolia Environnement, | ||||||
Sr. Unscd. Notes | EUR | 4.88 | 5/28/13 | 65,000 | a | 94,926 |
Veolia Environnement, | ||||||
Notes | EUR | 6.75 | 4/24/19 | 150,000 | a | 227,579 |
Veolia Environnement, | ||||||
Sr. Unscd. Notes | EUR | 6.13 | 11/25/33 | 130,000 | a | 166,297 |
1,763,310 | ||||||
Germany—1.8% | ||||||
Bundesrepublik Deutschland, | ||||||
Bonds Ser. 5 | EUR | 4.00 | 1/4/37 | 125,000 | a | 168,814 |
Deutsche Bank, | ||||||
Sr. Unscd. Notes | EUR | 5.13 | 8/31/17 | 100,000 | a | 143,824 |
Eurohypo, | ||||||
Bonds Ser. 2212 | EUR | 4.50 | 1/21/13 | 370,000 | a,c | 545,295 |
KFW, | ||||||
Gtd. Notes | 3.50 | 3/10/14 | 125,000 | 127,469 | ||
985,402 |
8
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Greece—.9% | ||||||
Hellenic Republic, | ||||||
Sr. Unscd. Notes | EUR | 4.30 | 7/20/17 | 365,000 | a | 506,037 |
Hong Kong—.2% | ||||||
Hutchison Whampoa | ||||||
International, Gtd. Notes | 7.63 | 4/9/19 | 100,000 | c | 111,303 | |
Hungary—1.3% | ||||||
Hungary Government, | ||||||
Bonds Ser. 17/B | HUF | 6.75 | 2/24/17 | 130,000,000 | a | 557,828 |
Hungary Government, | ||||||
Bonds Ser. 19/A | HUF | 6.50 | 6/24/19 | 37,000,000 | a | 152,611 |
710,439 | ||||||
Indonesia—.9% | ||||||
Indonesia Government, | ||||||
Bonds | IDR | 11.50 | 9/15/19 | 5,000,000,000 | a | 505,833 |
Ireland—.4% | ||||||
Principal Financial Global, | ||||||
Sr. Scd. Notes | EUR | 4.50 | 1/26/17 | 200,000 | a | 228,929 |
Italy—3.3% | ||||||
Atlantia, | ||||||
Gtd. Notes | EUR | 1.72 | 6/9/11 | 300,000 | a,d | 408,326 |
Buoni Poliennali del Tesoro, | ||||||
Bonds | EUR | 4.50 | 8/1/18 | 250,000 | a | 359,746 |
Enel-Societa Per Azioni, | ||||||
Notes | EUR | 5.63 | 6/21/27 | 120,000 | a | 162,399 |
Finmeccanica, | ||||||
Sr. Notes | EUR | 4.88 | 3/24/25 | 80,000 | a | 91,887 |
Telecom Italia, | ||||||
Sr. Unscd. Notes | EUR | 5.25 | 3/17/55 | 400,000 | a | 382,292 |
Telecom Italia, | ||||||
Sr. Unscd. Notes | EUR | 8.25 | 3/21/16 | 135,000 | a | 215,986 |
Telecom Italia, | ||||||
Sr. Unscd. Notes | GBP | 5.63 | 12/29/15 | 150,000 | a | 229,374 |
1,850,010 | ||||||
Japan—6.6% | ||||||
Development Bank of Japan, | ||||||
Gov’t Gtd. Notes | JPY | 1.05 | 6/20/23 | 27,000,000 | a | 245,395 |
Japan Government, | ||||||
Bonds Ser. 275 | JPY | 1.40 | 12/20/15 | 16,000,000 | a | 171,376 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Japan (continued) | ||||||
Japan Government, | ||||||
Bonds Ser. 288 | JPY | 1.70 | 9/20/17 | 55,000,000 | a | 597,051 |
Japan Government, | ||||||
Bonds Ser. 11 | JPY | 1.70 | 6/20/33 | 156,000,000 | a | 1,472,393 |
Japan Government, | ||||||
Bonds | JPY | 1.00 | 6/10/16 | 130,000,000 | a | 1,197,354 |
3,683,569 | ||||||
Luxembourg—.6% | ||||||
Enel Finance International, | ||||||
Gtd. Notes | 5.70 | 1/15/13 | 100,000 | c | 104,589 | |
Telecom Italia Capital, | ||||||
Gtd. Notes | 7.00 | 6/4/18 | 160,000 | 162,131 | ||
Telecom Italia Financial SA | ||||||
Gtd. Notes | EUR | 7.50 | 4/20/11 | 60,000 | a | 90,054 |
356,774 | ||||||
Mexico—2.4% | ||||||
Mexican Bonos, | ||||||
Bonds Ser. M10 | MXN | 7.75 | 12/14/17 | 17,900,000 | a | 1,332,008 |
Netherlands—3.7% | ||||||
Deutsche Telekom | ||||||
International Financial, | ||||||
Sr. Unscd. Notes | EUR | 5.75 | 4/14/15 | 180,000 | a | 271,187 |
E.ON International Finance, | ||||||
Gtd. Notes | EUR | 4.88 | 1/28/14 | 100,000 | a | 147,454 |
E.ON International Finance, | ||||||
Gtd. Notes | EUR | 5.50 | 10/2/17 | 130,000 | a | 193,699 |
Elsevier Finance, | ||||||
Gtd. Notes | EUR | 6.50 | 4/2/13 | 100,000 | a | 148,810 |
ING Bank, | ||||||
Sub. Notes | EUR | 5.50 | 1/4/12 | 110,000 | a | 157,568 |
Koninklijke KPN NV, | ||||||
Sr. Unscd. Notes | EUR | 4.75 | 1/17/17 | 75,000 | a | 104,830 |
Koninklijke KPN NV, | ||||||
Sr. Unscd. Bonds | EUR | 6.50 | 1/15/16 | 100,000 | a | 152,988 |
Koninklijke KPN NV, | ||||||
Sr. Unscd. Notes | 8.00 | 10/1/10 | 180,000 | 188,926 | ||
Netherlands Government, | ||||||
Bonds | EUR | 4.00 | 1/15/37 | 200,000 | a | 266,703 |
10
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Netherlands (continued) | ||||||
Repsol International Finance, | ||||||
Gtd. Notes | EUR | 4.63 | 10/8/14 | 100,000 | a | 141,879 |
RWE Finance, | ||||||
Sr. Unscd. Notes | EUR | 6.63 | 1/31/19 | 50,000 | a | 80,797 |
Shell International Finance, | ||||||
Sr. Notes | 6.38 | 12/15/38 | 135,000 | 147,556 | ||
Telefonica Europ BV, | ||||||
Gtd. Notes | EUR | 5.13 | 2/14/13 | 55,000 | a | 81,605 |
2,084,002 | ||||||
Norway—1.0% | ||||||
DNB Nor Bank, | ||||||
Sub. Notes | EUR | 1.47 | 5/30/17 | 100,000 | a,d | 113,893 |
Statoilhydro ASA, | ||||||
Notes | 5.25 | 4/15/19 | 145,000 | 149,507 | ||
Yara International ASA, | ||||||
Notes | 7.88 | 6/11/19 | 270,000 | c | 281,856 | |
545,256 | ||||||
Peru—.3% | ||||||
Republic of Peru, | ||||||
Sr. Unscd. Notes | 7.13 | 3/30/19 | 150,000 | 160,875 | ||
Qatar—.3% | ||||||
State of Qatar, | ||||||
Sr. Notes | 5.15 | 4/9/14 | 150,000 | c | 150,938 | |
Russia—.9% | ||||||
Russian Federation, | ||||||
Sr. Unscd. Bonds | 7.50 | 3/31/30 | 504,000 | d | 501,228 | |
South Africa—.4% | ||||||
Republic of South Africa, | ||||||
Bonds | 6.88 | 5/27/19 | 205,000 | 211,663 | ||
South Korea—.3% | ||||||
Export-Import Bank of Korea, | ||||||
Sr. Unscd. Notes | EUR | 5.75 | 5/22/13 | 110,000 | a | 153,975 |
Spain—2.1% | ||||||
Bonos Y Oblig Del Estado, | ||||||
Sr. Bond | EUR | 4.10 | 7/30/18 | 670,000 | a | 953,713 |
Santander International, | ||||||
Gtd. Notes | EUR | 5.63 | 2/14/12 | 100,000 | a | 148,217 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Spain (continued) | ||||||
Telefonica Emisiones, | ||||||
Gtd. Notes | EUR | 5.50 | 4/1/16 | 50,000 | a | 74,216 |
1,176,146 | ||||||
Sweden—.6% | ||||||
Svenska Handelsbanken, | ||||||
Sub. Notes | EUR | 4.19 | 12/16/49 | 320,000 | a,d | 325,463 |
Switzerland—1.3% | ||||||
Credit Suisse, | ||||||
Sr. Unscd. Notes | EUR | 6.13 | 5/16/14 | 105,000 | a | 159,783 |
Credit Suisse Capital, | ||||||
Bank Gtd. Notes | EUR | 6.91 | 11/7/49 | 200,000 | a,d | 232,875 |
Credit Suisse Capital, | ||||||
Bank Gtd. Notes | EUR | 7.97 | 12/29/49 | 125,000 | a,d | 156,173 |
Credit Suisse New York, | ||||||
Sr. Notes | 5.50 | 5/1/14 | 190,000 | 197,607 | ||
746,438 | ||||||
United Kingdom—7.6% | ||||||
Barclays Bank, | ||||||
Sr. Unscd. Notes | 6.75 | 5/22/19 | 250,000 | 248,384 | ||
Barclays Bank. | ||||||
Sr. Unscd. Notes | EUR | 6.00 | 1/23/18 | 110,000 | a | 149,358 |
BAT Internaltional | ||||||
Finance PLC, | ||||||
Gtd. Notes | EUR | 5.38 | 6/29/17 | 110,000 | a | 157,334 |
BAT International | ||||||
Finance PLC, | ||||||
Gtd. Notes | GBP | 6.38 | 12/12/19 | 160,000 | a | 273,004 |
Diageo Capital, | ||||||
Gtd. Notes | 7.38 | 1/15/14 | 135,000 | 152,895 | ||
HSBC Holdings, | ||||||
Sub. Notes | EUR | 6.25 | 3/19/18 | 100,000 | a | 148,222 |
National Grid, | ||||||
Sr. Unscd. Notes | 6.30 | 8/1/16 | 75,000 | 77,163 | ||
National Grid, | ||||||
Sr. Unscd. Notes | EUR | 5.00 | 7/2/18 | 110,000 | a | 147,902 |
Reed Elsevier Investment, | ||||||
Gtd. Notes | GBP | 7.00 | 12/11/17 | 100,000 | a | 173,701 |
SABMiller, | ||||||
Gtd. Notes | 1.51 | 7/1/09 | 75,000 | c,d | 75,000 |
12
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
United Kingdom (continued) | ||||||
United Kingdom Gilt, | ||||||
Bonds | GBP | 2.25 | 3/7/14 | 160,000 | a | 252,847 |
United Kingdom Gilt, | ||||||
Bonds | GBP | 4.00 | 9/7/16 | 525,000 | a | 911,207 |
United Kingdom Gilt, | ||||||
Bonds | GBP | 4.25 | 6/7/32 | 45,000 | a | 73,048 |
United Kingdom Gilt, | ||||||
Bonds | GBP | 4.25 | 3/7/36 | 330,000 | a | 529,079 |
United Kingdom Gilt, | ||||||
Bonds | GBP | 4.50 | 3/7/19 | 140,000 | a | 245,338 |
United Kingdom Gilt, | ||||||
Bonds | GBP | 8.00 | 9/27/13 | 190,000 | a | 376,234 |
Vodafone Group, | ||||||
Sr. Unscd. Notes | GBP | 8.13 | 11/26/18 | 140,000 | a | 273,484 |
4,264,200 | ||||||
United States—45.4% | ||||||
Abbott Laboratories, | ||||||
Sr. Unscd. Notes | 5.13 | 4/1/19 | 65,000 | 67,054 | ||
Abbott Laboratories, | ||||||
Sr. Unscd. Notes | 6.00 | 4/1/39 | 45,000 | 47,686 | ||
Advanta Business Card | ||||||
Master Trust, | ||||||
Ser. 2005-A2, Cl. A2 | 0.45 | 5/20/13 | 192,593 | d | 169,001 | |
AES, | ||||||
Sr. Unscd. Notes | 7.75 | 10/15/15 | 165,000 | 154,275 | ||
American Express, | ||||||
Sr. Unscd. Notes | 7.25 | 5/20/14 | 260,000 | 269,227 | ||
Anadarko Petroleum, | ||||||
Sr. Unscd. Notes | 8.70 | 3/15/19 | 140,000 | 157,094 | ||
Anheuser-Busch InBev Worldwide, | ||||||
Gtd. Notes | 8.20 | 1/15/39 | 215,000 | c | 240,152 | |
Aramark, | ||||||
Gtd. Notes | 8.50 | 2/1/15 | 275,000 | b | 268,125 | |
AT&T, | ||||||
Notes | 5.80 | 2/15/19 | 250,000 | 254,291 | ||
AT&T, | ||||||
Sr. Unscd. Notes | EUR | 6.13 | 4/2/15 | 100,000 | a | 151,675 |
AT&T, | ||||||
Sr. Unscd. Notes | 6.40 | 5/15/38 | 120,000 | 117,850 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
United States (continued) | ||||||
Autozone, | ||||||
Sr. Unscd. Notes | 5.75 | 1/15/15 | 180,000 | 179,758 | ||
Baker Hughes, | ||||||
Sr. Unscd. Notes | 7.50 | 11/15/18 | 135,000 | 158,367 | ||
Bank of America, | ||||||
Sr. Unscd. Notes | 4.90 | 5/1/13 | 225,000 | d | 219,345 | |
Bank of America, | ||||||
Sr. Notes | 7.38 | 5/15/14 | 195,000 | 201,642 | ||
Bank of America, | ||||||
Sub. Notes | EUR | 4.00 | 3/28/18 | 200,000 | a,d | 199,254 |
Baxter International, | ||||||
Sr. Unscd. Notes | 4.00 | 3/1/14 | 135,000 | b | 136,509 | |
Bear Stearns Commercial | ||||||
Mortgage Securities, | ||||||
Ser. 2007-T26, Cl. A4 | 5.47 | 1/12/45 | 80,000 | d | 66,655 | |
Bear Stearns Commercial | ||||||
Mortgage Securities, | ||||||
Ser. 2007-T28, Cl. A4 | 5.74 | 9/11/17 | 25,000 | d | 20,697 | |
Boeing, | ||||||
Sr. Unscd. Notes | 5.00 | 3/15/14 | 145,000 | 152,819 | ||
Burlington North Santa Fe, | ||||||
Sr. Unscd. Notes | 7.00 | 2/1/14 | 145,000 | 155,274 | ||
California, | ||||||
Bonds | 7.55 | 4/1/39 | 120,000 | 109,368 | ||
Capital One Bank USA, | ||||||
Sub. Notes | 8.80 | 7/15/19 | 250,000 | 255,829 | ||
Cargill, | ||||||
Sr. Unscd. Notes | EUR | 4.38 | 4/29/13 | 200,000 | a | 285,180 |
Caterpillar, | ||||||
Notes | 7.90 | 12/15/18 | 150,000 | b | 173,297 | |
CC Holdings GS V, | ||||||
Sr. Scd. Notes | 7.75 | 5/1/17 | 255,000 | c | 249,900 | |
Chesapeake Energy, | ||||||
Gtd. Notes | 7.50 | 9/15/13 | 220,000 | 211,750 | ||
Cisco Systems, | ||||||
Sr. Unscd. Notes | 4.95 | 2/15/19 | 155,000 | 155,286 | ||
Citigroup, | ||||||
Sr. Unscd. Notes | 6.13 | 5/15/18 | 255,000 | 223,404 | ||
Citigroup Commercial | ||||||
Mortgage Trust, | ||||||
Ser. 2007-C6, Cl. A4 | 5.89 | 6/10/17 | 65,000 | d | 51,572 |
14
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
United States (continued) | |||||
Coca-Cola Enterprises, | |||||
Notes | 7.38 | 3/3/14 | 190,000 | 217,558 | |
Columbus Southern Power, | |||||
Sr. Unscd. Notes | 6.05 | 5/1/18 | 70,000 | 71,449 | |
ConocoPhillips, | |||||
Notes | 5.75 | 2/1/19 | 155,000 | 163,208 | |
Consumers Energy, | |||||
First Mortgage Bonds | 6.70 | 9/15/19 | 115,000 | 125,402 | |
Consumers Energy, | |||||
First Mortgage Bonds Ser. B | 5.38 | 4/15/13 | 140,000 | 143,793 | |
Delhaize Group, | |||||
Sr. Unscd. Notes | 6.50 | 6/15/17 | 75,000 | 76,706 | |
Dow Chemical, | |||||
Notes | 8.55 | 5/15/19 | 265,000 | 265,909 | |
E.I. Du Pont de Nemours, | |||||
Sr. Unscd. Notes | 5.88 | 1/15/14 | 215,000 | 233,058 | |
Echostar DBS, | |||||
Gtd. Notes | 7.75 | 5/31/15 | 165,000 | 157,987 | |
Echostar DBS, | |||||
Gtd. Notes | 7.13 | 2/1/16 | 105,000 | 98,437 | |
Energy Transfer Partners, | |||||
Sr. Unscd. Notes | 8.50 | 4/15/14 | 175,000 | 196,484 | |
Entergy Gulf State Louisiana, | |||||
Sr. Scd. Notes | 6.00 | 5/1/18 | 125,000 | 123,297 | |
Enterprise Products Operating, | |||||
Gtd. Notes | 4.60 | 8/1/12 | 130,000 | 130,982 | |
EQT, | |||||
Notes | 8.13 | 6/1/19 | 135,000 | 144,748 | |
Federal National | |||||
Mortgage Association | 4.50 | 7/13/39 | 1,330,000 | e,f | 1,327,506 |
Federal National | |||||
Mortgage Association | 5.00 | 7/1/33 | 630,000 | e,f | 641,517 |
General Electric Capital, | |||||
Sr. Unscd. Notes | 5.88 | 1/14/38 | 285,000 | 226,226 | |
GMAC Commercial | |||||
Mortgage Securities, | |||||
Ser. 2002-C2, Cl. A2 | 5.39 | 10/15/38 | 166,666 | 168,454 | |
GMAC Commercial | |||||
Mortgage Securities, | |||||
Ser. 2003-C3, Cl. A2 | 4.22 | 4/10/40 | 88,942 | 88,560 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
United States (continued) | ||||
Goldman Sachs Group, | ||||
Sr. Notes | 6.00 | 5/1/14 | 135,000 | 141,041 |
Goldman Sachs Group, | ||||
Sr. Notes | 7.50 | 2/15/19 | 220,000 | 235,976 |
Goldman Sachs Mortgage | ||||
Securities Corporation II, | ||||
Ser. 2007-EOP, Cl. L | 1.71 | 3/20/20 | 140,000 c,d | 85,400 |
Goodyear Tire & Rubber, | ||||
Sr. Unscd. Notes | 10.50 | 5/15/16 | 150,000 | 152,250 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2004-23, Cl. B | 2.95 | 3/16/19 | 67,171 | 67,318 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2006-19, Cl. A | 3.39 | 6/16/30 | 199,730 | 202,172 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2006-15, Cl. A | 3.73 | 3/16/27 | 280,730 | 285,597 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2006-39, Cl. A | 3.77 | 6/16/25 | 282,998 | 288,294 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2006-68, Cl. A | 3.89 | 7/16/26 | 214,767 | 219,137 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2006-67, Cl. A | 3.95 | 10/6/11 | 436,491 | 446,149 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2005-76, Cl. A | 3.96 | 5/16/30 | 261,612 | 267,600 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2005-79, Cl. A | 4.00 | 10/16/33 | 193,124 | 196,757 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2006-9, Cl. A | 4.20 | 8/16/26 | 457,954 | 467,396 |
Government National | ||||
Mortgage Association, | ||||
Ser. 2006-5, Cl. A | 4.24 | 7/16/29 | 214,347 | 219,940 |
16
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
United States (continued) | ||||||
Government National | ||||||
Mortgage Association, | ||||||
Ser. 2007-34, Cl. A | 4.27 | 11/16/26 | 164,226 | 167,918 | ||
Hewlett-Packard, | ||||||
Sr. Unscd. Notes | 4.75 | 6/2/14 | 135,000 | 141,086 | ||
Honeywell International, | ||||||
Sr. Unscd. Notes | 5.00 | 2/15/19 | 135,000 | 138,149 | ||
HSBC Capital Funding, | ||||||
Gtd. Bonds | EUR | 5.37 | 3/24/49 | 370,000 | a,d | 337,388 |
IBM, | ||||||
Notes | EUR | 6.63 | 1/30/14 | 350,000 | a | 549,242 |
Impac Secured Assets | ||||||
CMN Owner Trust, | ||||||
Ser. 2006-2, 2A1 | 0.66 | 8/25/36 | 287,609 | d | 160,018 | |
International Business Machine, | ||||||
Notes | 8.00 | 10/15/38 | 100,000 | 129,857 | ||
Ipalco Enterprises, | ||||||
Sr. Scd. Notes | 7.25 | 4/1/16 | 60,000 | c | 57,600 | |
JPMorgan Chase, | ||||||
Sr. Unscd. Notes | 4.75 | 5/1/13 | 225,000 | 228,052 | ||
JPMorgan Chase, | ||||||
Sr. Unscd. Notes | EUR | 5.25 | 5/8/13 | 150,000 | a | 218,127 |
JPMorgan Chase & Co., | ||||||
Notes | 6.30 | 4/23/19 | 400,000 | 403,059 | ||
Kentucky Power, | ||||||
Sr. Notes | 6.00 | 9/15/17 | 210,000 | c | 211,381 | |
Kinder Morgan Energy Partners, | ||||||
Sr. Unscd. Notes | 6.85 | 2/15/20 | 265,000 | 272,138 | ||
Kraft Foods, | ||||||
Sr. Unscd. Notes | EUR | 6.25 | 3/20/15 | 150,000 | a | 225,513 |
Kraft Foods, | ||||||
Sr. Unscd. Notes | 6.88 | 2/1/38 | 115,000 | 122,038 | ||
Lamar Media, | ||||||
Gtd. Notes | 6.63 | 8/15/15 | 270,000 | b | 237,600 | |
LB-UBS Commercial Mortgage Trust, | ||||||
Ser. 2007-C7, Cl. A3 | 5.87 | 9/15/45 | 180,000 | d | 138,193 | |
Marathon Oil, | ||||||
Sr. Unscd. Notes | 7.50 | 2/15/19 | 100,000 | 109,334 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
United States (continued) | |||||
Merrill Lynch Mortgage Trust, | |||||
Ser. 2005-CIP1, Cl. A2 | 4.96 | 8/12/10 | 200,000 | 196,623 | |
Merrill Lynch/Countrywide | |||||
Commercial Mortgage, | |||||
Ser. 2006-2, Cl. A4 | 5.91 | 6/12/46 | 155,000 | d | 127,802 |
Metropolitan Life Global Funding I, | |||||
Notes | 5.13 | 6/10/14 | 535,000 | c | 531,408 |
Metropolitan Life Global Funding I, | |||||
Sr. Scd. Notes | 5.13 | 4/10/13 | 100,000 | c | 101,794 |
Morgan Stanley, | |||||
Sr. Unscd. Notes | 7.30 | 5/13/19 | 305,000 | 316,825 | |
Morgan Stanley Capital I, | |||||
Ser. 2006-IQ12, Cl. A1 | 5.26 | 12/15/43 | 91,474 | 92,362 | |
Morgan Stanley Capital I, | |||||
Ser. 2007-T27, Cl. A4 | 5.80 | 6/11/17 | 35,000 | d | 29,459 |
Mosaic, | |||||
Sr. Unscd. Notes | 7.38 | 12/1/14 | 130,000 | c | 134,048 |
Newfield Exploration, | |||||
Sr. Sub. Notes | 7.13 | 5/15/18 | 25,000 | 22,844 | |
News America, | |||||
Gtd. Notes | 6.15 | 3/1/37 | 210,000 | 178,646 | |
News America, | |||||
Gtd. Notes | 6.90 | 3/1/19 | 155,000 | c | 161,798 |
NiSource Finance, | |||||
Gtd. Notes | 6.40 | 3/15/18 | 120,000 | 110,277 | |
Nordic Telephone Holdings, | |||||
Sr. Scd. Bonds | 8.88 | 5/1/16 | 90,000 | c | 87,300 |
Norfolk Southern, | |||||
Notes | 5.75 | 1/15/16 | 135,000 | c | 140,018 |
Norfolk Southern, | |||||
Sr. Unscd. Notes | 5.75 | 4/1/18 | 40,000 | 40,968 | |
NRG Energy, | |||||
Gtd. Notes | 7.38 | 1/15/17 | 290,000 | 274,050 | |
Occidental Petroleum, | |||||
Sr. Notes | 7.00 | 11/1/13 | 125,000 | 143,245 |
18
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
United States (continued) | ||||||
Pacific Gas & Electric, | ||||||
Sr. Unscd. Notes | 8.25 | 10/15/18 | 90,000 | 110,015 | ||
Peabody Energy, | ||||||
Gtd. Notes Ser. B | 6.88 | 3/15/13 | 95,000 | 94,525 | ||
Pepsico, | ||||||
Sr. Unscd. Notes | 7.90 | 11/1/18 | 125,000 | 152,337 | ||
PFIZER, | ||||||
Sr. Unscd. Notes | 5.35 | 3/15/15 | 215,000 | 231,323 | ||
Philip Morris International, | ||||||
Sr. Unscd Notes | 5.65 | 5/16/18 | 125,000 | 131,253 | ||
Philip Morris International, | ||||||
Sr. Unscd. Notes | 6.88 | 3/17/14 | 135,000 | 152,478 | ||
Plains All American Pipeline, | ||||||
Sr. Unscd. Notes | 8.75 | 5/1/19 | 65,000 | 73,883 | ||
PNC Funding, | ||||||
Gtd. Notes | 5.40 | 6/10/14 | 160,000 | 161,822 | ||
Potomac Electric Power, | ||||||
Sr. Scd. Bonds | 6.50 | 11/15/37 | 150,000 | 157,239 | ||
PSEG Power, | ||||||
Gtd. Notes | 7.75 | 4/15/11 | 90,000 | 96,366 | ||
Qwest, | ||||||
Sr. Notes | 7.63 | 6/15/15 | 145,000 | 137,025 | ||
Reed Elsevier Capital, | ||||||
Gtd. Notes | 4.63 | 6/15/12 | 320,000 | 309,528 | ||
Reed Elsevier Capital, | ||||||
Gtd. Notes | 8.63 | 1/15/19 | 110,000 | 125,188 | ||
Schering-Plough, | ||||||
Sr. Unscd. Notes | EUR | 5.00 | 10/1/10 | 50,000 | a | 72,365 |
Schering-Pough, | ||||||
Sr. Unscd. Notes | EUR | 5.38 | 10/1/14 | 140,000 | a | 206,246 |
Simon Property Group, | ||||||
Sr. Unscd. Notes | 6.75 | 5/15/14 | 265,000 | b | 266,545 | |
Sovereign Bancorp, | ||||||
Sr. Unscd. Notes | 1.46 | 3/23/10 | 75,000 | d | 69,227 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
United States (continued) | |||||
Sprint Capital, | |||||
Gtd. Notes | 6.88 | 11/15/28 | 60,000 | 42,900 | |
Staples, | |||||
Sr. Unscd. Notes | 9.75 | 1/15/14 | 70,000 | 78,257 | |
SUPERVALU, | |||||
Sr. Unscd. Notes | 8.00 | 5/1/16 | 150,000 | 146,250 | |
Terex, | |||||
Gtd. Notes | 7.38 | 1/15/14 | 250,000 | 230,000 | |
Time Warner, | |||||
Gtd. Notes | 1.15 | 11/13/09 | 55,000 | d | 54,874 |
Time Warner Cable, | |||||
Gtd. Debs | 6.75 | 6/15/39 | 280,000 | 273,381 | |
Time Warner Cable, | |||||
Gtd. Notes | 8.75 | 2/14/19 | 140,000 | 163,366 | |
U.S. Treasury, | |||||
Bonds | 5.25 | 2/15/29 | 235,000 | 264,375 | |
Unilever Capital, | |||||
Gtd. Notes | 3.65 | 2/15/14 | 145,000 | 147,691 | |
Union Pacific, | |||||
Sr. Unscd. Notes | 7.88 | 1/15/19 | 125,000 | 143,331 | |
United Parcel Service, | |||||
Sr. Unscd. Notes | 3.88 | 4/1/14 | 110,000 | 113,552 | |
Verizon Communications, | |||||
Bonds | 6.90 | 4/15/38 | 45,000 | 47,094 | |
Verizon Communications, | |||||
Sr. Unscd. Notes | 6.10 | 4/15/18 | 245,000 | 251,736 | |
Verizon Communications, | |||||
Sr. Unscd. Notes | 7.35 | 4/1/39 | 115,000 | 125,708 | |
Verizon Wireless Capital, | |||||
Sr. Unscd. Notes | 5.55 | 2/1/14 | 250,000 | c | 265,675 |
20
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
United States (continued) | |||||
Virginia Electric & Power, | |||||
Sr. Notes | 8.88 | 11/15/38 | 165,000 | 221,836 | |
Wachovia, | |||||
Sr. Unscd. Notes | 4.38 | 6/1/10 | 90,000 | 92,194 | |
Wachovia Bank Commercial | |||||
Mortgage Trust, | |||||
Ser. 2005-C16, Cl. A2 | 4.38 | 10/15/41 | 207,942 | 207,228 | |
Wachovia Bank Commercial | |||||
Mortgage Trust, | |||||
Ser. 2007-C34, Cl. A3 | 5.68 | 7/15/17 | 160,000 | 130,355 | |
Walgreen, | |||||
Notes | 5.25 | 1/15/19 | 110,000 | 114,644 | |
Waste Management, | |||||
Gtd. Notes | 7.38 | 3/11/19 | 50,000 | 53,675 | |
Wells Fargo, | |||||
Sr. Unscd. Notes | 4.38 | 1/31/13 | 225,000 | 227,123 | |
25,457,414 | |||||
Total Bonds and Notes | |||||
(cost $50,894,719) | 53,096,976 | ||||
Short-Term Investments—5.1% | |||||
U.S. Treasury Bills | |||||
0.16%, 7/16/09 | |||||
(cost $2,874,810) | 2,875,000 | b,g | 2,874,885 | ||
Other Investment—1.6% | Shares | Value ($) | |||
Registered Investment Company; | |||||
Dreyfus Institutional Preferred Plus Money Market Fund | |||||
(cost $898,388) | 898,388 | h | 898,388 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Investment of Cash Collateral | ||
for Securities Loaned—8.1% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Cash Advantage Fund | ||
(cost $4,510,835) | 4,510,835 h | 4,510,835 |
Total Investments (cost $59,178,752) | 109.8% | 61,381,084 |
Liabilities, Less Cash and Receivables | (9.8%) | (5,486,846) |
Net Assets | 100.0% | 55,894,238 |
a Principal amount stated in U.S. Dollars unless otherwise noted. |
BRL—Brazilian Real |
CAD—Canadian Dollar |
EUR—Euro |
GBP—British Pound |
HUF—Hungary Forint |
IDR—Indonesian Rupiah |
JPY—JapaneseYen |
MXN—Mexican New Peso |
b All or a portion of these securities are on loan. At June 30, 2009, the total market value of the fund’s securities on |
loan is $4,482,778 and the total market value of the collateral held by the fund is $4,510,835. |
c Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in |
transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2009, these securities |
amounted to $3,996,745 or 7.2% of net assets. |
d Variable rate security—interest rate subject to periodic change. |
e Purchased on a forward commitment basis. |
f On September 7, 2008, the Federal Housing Finance Agency (FHFA) placed Federal National Mortgage |
Association and Federal Home Loan Mortgage Corporation into conservatorship with FHFA as the conservator. As |
such, the FHFA will oversee the continuing affairs of these companies. |
g Denotes all or part of security segregated as collateral for delayed securities, futures and swap contracts. |
h Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Corporate Bonds | 62.2 | U.S. Government Agencies/ | |
Foreign/Governmental | 24.0 | Mortgage-Backed | 8.8 |
Short-Term/ | |||
Money Market Investments | 14.8 | 109.8 | |
† Based on net assets. | |||
See notes to financial statements. |
22
STATEMENT OF FINANCIAL FUTURES |
June 30, 2009 (Unaudited) |
Unrealized | ||||
Market Value | Appreciation | |||
Covered by | (Depreciation) | |||
Contracts | Contracts ($) | Expiration | at 6/30/2009 ($) | |
Financial Futures Short | ||||
U.S. Treasury 5 Year Notes | 46 | (5,277,063) | September 2009 | 9,234 |
U.S. Treasury 10 Year Notes | 42 | (4,883,156) | September 2009 | (15,086) |
U.S. Treasury Long Bond | 8 | (946,875) | September 2009 | (17,436) |
Financial Futures Long | ||||
10 Year Long Glit | 4 | 777,059 | September 2009 | 2,794 |
EURO—Bobl | 5 | 809,800 | September 2009 | (918) |
EURO—Bund | 18 | 3,057,447 | September 2009 | 39,369 |
EURO—Schatz | 4 | 605,474 | September 2009 | (212) |
U.S. Treasury 2 Year Notes | 9 | 1,945,969 | September 2009 | (2,266) |
Gross Unrealized Appreciation | 51,397 | |||
Gross Unrealized Depreciation | (35,918) | |||
See notes to financial statements. |
The Fund 23
STATEMENT OF ASSETS AND LIABILITIES |
June 30, 2009 (Unaudited) |
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments (including | ||
securities on loan, valued at $4,482,778)—Note 1(c): | ||
Unaffiliated issuers | 53,769,529 | 55,971,861 |
Affiliated issuers | 5,409,223 | 5,409,223 |
Cash | 50,000 | |
Cash denominated in foreign currencies | 230,529 | 234,521 |
Dividends and interest receivable | 834,802 | |
Unrealized appreciation on swap contracts—Note 4 | 309,745 | |
Receivable for investment securities sold | 271,119 | |
Unrealized appreciation on forward foreign | ||
currency exchange contracts—Note 4 | 108,986 | |
Receivable for shares of Beneficial Interest subscribed | 97,118 | |
Receivable for futures variation margin—Note 4 | 10,347 | |
Other receivable | 658 | |
Prepaid expenses | 10,365 | |
63,308,745 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 10,036 | |
Liability for securities on loan—Note 1(c) | 4,510,835 | |
Payable for investment securities purchased | 2,580,736 | |
Unrealized depreciation on forward foreign | ||
currency exchange contracts—Note 4 | 108,202 | |
Payable for shares of Beneficial Interest redeemed | 102,760 | |
Unrealized depreciation on swap contracts—Note 4 | 55,184 | |
Accrued expenses | 46,754 | |
7,414,507 | ||
Net Assets ($) | 55,894,238 | |
Composition of Net Assets ($): | ||
Paid-in capital | 58,041,807 | |
Accumulated undistributed investment income—net | 1,222,852 | |
Accumulated net realized gain (loss) on investments | (5,870,636) | |
Accumulated net unrealized appreciation (depreciation) on investments, | ||
swap transactions and foreign currency transactions (including | ||
$15,479 net unrealized appreciation on financial futures) | 2,500,215 | |
Net Assets ($) | 55,894,238 | |
Shares Outstanding | ||
(unlimited number of $.001 par value shares of Beneficial interest authorized) | 2,912,066 | |
Net Asset Value, offering and redemption price per share ($) | 19.19 | |
See notes to financial statements. |
24
STATEMENT OF OPERATIONS |
Six Months Ended June 30, 2009 (Unaudited) |
Investment Income ($): | |
Income: | |
Interest | 1,194,946 |
Income from securities lending | 4,769 |
Dividends: | |
Affiliated issuers | 999 |
Total Income | 1,200,714 |
Expenses: | |
Investment advisory fee—Note 3(a) | 93,624 |
Auditing fees | 56,682 |
Accounting and administration fee—Note 3(a) | 30,000 |
Custodian fees—Note 3(b) | 23,869 |
Legal fees | 16,627 |
Registration fees | 13,289 |
Shareholder servicing costs—Note 3(b) | 8,017 |
Trustees’ fees and expenses—Note 3(c) | 6,741 |
Prospectus and shareholders’ reports | 5,902 |
Loan commitment fees—Note 2 | 244 |
Miscellaneous | 29,941 |
Total Expenses | 284,936 |
Less—expense reimbursement from The Dreyfus | |
Corporation due to undertaking—Note 3(a) | (132,455) |
Less—reduction in fees due to earnings credits—Note 1(c) | (342) |
Net Expenses | 152,139 |
Investment Income—Net | 1,048,575 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments and foreign currency transactions | (826,641) |
Net realized gain (loss) on financial futures | 162,670 |
Net realized gain (loss) on swap transactions | 176,417 |
Net realized gain (loss) on forward foreign currency exchange contracts | (955,114) |
Net Realized Gain (Loss) | (1,442,668) |
Net unrealized appreciation (depreciation) on investments, foreign currency | |
transactions, financial futures and swap transactions [including $320,541 | |
net unrealized appreciation on financial futures, ($254,268) net unrealized | |
depreciation on swap transactions and $183,484 net unrealized appreciation | |
on forward foreign currency exchange contracts] | 3,311,162 |
Net Realized and Unrealized Gain (Loss) on Investments | 1,868,494 |
Net Increase in Net Assets Resulting from Operations | 2,917,069 |
See notes to financial statements.
The Fund 25
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||
June 30, 2009 | Year Ended | |
(Unaudited) | December 31, 2008 | |
Operations ($): | ||
Investment income—net | 1,048,575 | 1,897,177 |
Net realized gain (loss) on investments | (1,442,668) | 2,891,008 |
Net unrealized appreciation | ||
(depreciation) on investments | 3,311,162 | (1,768,884) |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | 2,917,069 | 3,019,301 |
Dividends to Shareholders from ($): | ||
Investment income—net | (969,806) | (3,514,522) |
Beneficial Interest Transactions ($): | ||
Net proceeds from shares sold | 11,379,762 | 1,999,500 |
Dividends reinvested | 841,557 | 3,006,638 |
Cost of shares redeemed | (1,683,314) | (1,934,700) |
Increase (Decrease) in Net Assets from | ||
Beneficial Interest Transactions | 10,538,005 | 3,071,438 |
Total Increase (Decrease) in Net Assets | 12,485,268 | 2,576,217 |
Net Assets ($): | ||
Beginning of Period | 43,408,970 | 40,832,753 |
End of Period | 55,894,238 | 43,408,970 |
Undistributed investment income—net | 1,222,852 | 1,144,083 |
Capital Share Transactions (Shares): | ||
Shares sold | 612,998 | 104,148 |
Shares issued for dividends reinvested | 46,341 | 161,964 |
Shares redeemed | (90,310) | (102,881) |
Net Increase (Decrease) in Shares Outstanding | 569,029 | 163,231 |
See notes to financial statements. |
26
FINANCIAL HIGHLIGHTS
The following tables describe the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
June 30, 2009 | Year Ended December 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Per Share Data ($): | ||||||
Net asset value, | ||||||
beginning of period | 18.53 | 18.73 | 18.60 | 18.28 | 19.64 | 20.67 |
Investment Operations: | ||||||
Investment income—neta | .41 | .86 | .85 | .70 | .75 | .83 |
Net realized and unrealized | ||||||
gain (loss) on investments | .67 | .53 | (.06)b | .22 | (.04) | .20 |
Total from Investment Operations | 1.08 | 1.39 | .79 | .92 | .71 | 1.03 |
Distributions: | ||||||
Dividends from | ||||||
investment income—net | (.42) | (1.59) | (.66) | (.60) | (2.07) | (2.06) |
Net asset value, end of period | 19.19 | 18.53 | 18.73 | 18.60 | 18.28 | 19.64 |
Total Return (%) | 5.93c | 7.50 | 4.30 | 5.09 | 3.64 | 4.98 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | ||||||
to average net assets | 1.22d | 1.02 | .91 | .81 | .77 | .68 |
Ratio of net expenses | ||||||
to average net assets | .65d | .65 | .65e | .65e | .65e | .65e |
Ratio of net investment income | ||||||
to average net assets | 4.48d | 4.52 | 4.54 | 3.79 | 3.75 | 3.86 |
Portfolio Turnover Ratef | 86.01c | 190 | 274g | 152g | 181g | 166g |
Net Assets, end of period | ||||||
($ x 1,000) | 55,894 | 43,409 | 40,833 | 41,660 | 70,168 | 72,241 |
a Based on average shares outstanding at each month end. |
b Amounts include litigation proceeds received by the fund of $.01 for the year ended December 31, 2007. |
c Not annualized. |
d Annualized. |
e Includes the fund’s share of the The Standish Mellon Global Fixed Income Portfolio’s (the Portfolio) allocated expenses. |
f The portfolio turnover rates excluding mortgage dollar roll transactions for the periods ended June 30, 2009, December |
31, 2008, 2007, 2006, 2005 and 2004 were 65.71%, 116%, 128%, 122%, 167% and 130%, respectively. |
g On October 25, 2007, the fund, which owned 100% of the Portfolio on such date, withdrew entirely from the |
Portfolio and received the Portfolio’s securties and cash in exchange for its interests in the Portfolio. Effective |
October 26, 2007, the fund began investing directly in the securities in which the Portfolio had invested. Portfolio |
turnover represents activity of both the fund and the Portfolio for the year. The amounts shown for 2004-2006 are |
ratios for the Portfolio. |
See notes to financial statements. |
The Fund 27
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus/Standish Global Fixed Income Fund (the “fund”) is a separate diversified series of Dreyfus Investment Funds (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company offering fourteen series, including the fund, as of June 30, 2009.The fund’s investment objective is to seek to maximize total return while realizing a market level of income, consistent with the preservation of capital and the maintenance of liquidity. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the fund’s investment advisor. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Trust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which requires 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), financial futures, options, swaps and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by an independent pricing service (the “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).
28
Other investments (which constitute a majority of the portfolio securities) are valued 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. Restricted securities, as well as securities or other assets for which recent market quotations are not readily available and are not valued by a pricing service approved by the Board of Trustees, or are determined by the fund not to reflect accurately fair value, are valued at fair value as determined in good faith under the direction of the Board of Trustees.The factors that may be considered when fair valuing a security include fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold and public tradin g in similar securities of the issuer or comparable issuers. Short-term investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates value. Registered investment companies that are not traded on an exchange are valued at their net asset value. Financial futures and options that are traded on an exchange, are valued 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. Options traded over-the-counter are priced at the mean between the bid and the asked price. Investments in swap transactions are valued each business day by a pricing service approved by the Board of Trustees. Swaps are valued by the service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on interest rates. Investments denominated in foreign currencies are translated to U.S . dollars at the prevailing rates of exchange on the valuation date. Forward contracts are valued at the forward rate.
The fund adopted Statement of Financial Accounting Standards No. 157 “FairValue Measurements” (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements.
The Fund 29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Various inputs are used in determining the value of the fund’s investments relating to FAS 157.These inputs are summarized in the three broad levels listed below.
Level 1—quoted prices in active markets for identical investments. Level 2—other significant observable inputs (including quoted prices for similar securities, 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.
The following is a summary of the inputs used as of June 30, 2009 in valuing the fund’s investments:
Level 2—Other | Level 3— | ||||
Level 1— | Significant | Significant | |||
Quoted | Observable | Unobservable | |||
Prices | Inputs | Inputs | Total | ||
Assets ($) | |||||
Investments in Securities: | |||||
Asset-Backed | — | 169,001 | — | 169,001 | |
Commercial | |||||
Mortgage-Backed | — | 1,563,378 | — | 1,563,378 | |
Corporate Bonds | — | 31,570,768 | — | 31,570,768 | |
Foreign Government | — | 14,622,785 | — | 14,622,785 | |
Mutual Funds | 5,409,223 | — | — | 5,409,223 | |
Municipal Bonds | — | 109,368 | — | 109,368 | |
U.S. Government | |||||
Agencies/ | |||||
Mortgage-Backed | — | 4,797,301 | — | 4,797,301 | |
U.S. Treasury Securities | — | 3,139,260 | — | 3,139,260 | |
Other Financial | |||||
Instruments† | 51,397 | 418,731 | 470,128 | ||
Liabilities ($) | |||||
Other Financial | |||||
Instruments† | (35,918) | (163,386) | (199,304) |
† Other financial instruments include derivative instruments, such as futures, forward foreign currency |
exchange contracts, swap contracts and options contracts. Amounts shown represents unrealized |
appreciation (depreciation), or in the case of options, market value at period end. |
30
The following is a reconciliation of level 3 assets for which significant unobservable inputs were used to determine fair value:
Investments in | |
Private Equities ($) | |
Balance as of 12/31/2008 | 146,140 |
Realized gain (loss) | — |
Change in unrealized appreciation (depreciation) | — |
Net purchases (sales) | (146,140) |
Transfers in and/or out of Level 3 | — |
Balance as of 6/30/2009 | — |
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies,currency gains or losses realized on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on investments are included with net realized and unrealized gain or loss on investments.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
The fund has arrangements with the custodian and cash management bank whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset custody and cash
The Fund 31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
management fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital,and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loa ned should a borrower fail to return the securities in a timely manner. During the period ended June 30, 2009, The Bank of New York Mellon earned $2,568 from lending fund portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Manager are defined as “affiliated” in the Act.
(e) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net are declared and paid quarterly. 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
32
of the Internal Revenue Code of 1986, as amended (the “Code”).To the extent that net realized capital gains can be offset by capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles.
(f) 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.
As of and during the period ended June 30, 2009, 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, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended December 31, 2008 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund has an unused capital loss carryover of $4,230,252 available for federal income tax purposes to be applied against future net securities profits, if any, realized subsequent to December 31, 2008. If not applied, $408,689 of the carryover expires in fiscal 2009, $3,621,061 expires in fiscal 2010 and $200,502 expires in fiscal 2014. It’s uncertain whether the fund will be able to realize the benefits of the remaining capital loss carryovers before they expire and the remaining capital loss carryovers could be subject to future limitations imposed by the internal revenue code related to share ownership activity.
The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2008 was as follows: ordinary income $3,514,522. The tax character of current year distributions will be determined at the end of the current fiscal year.
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
NOTE 2—Bank Lines of Credit:
TheTrust entered into two separate agreements withThe Bank of New York Mellon, an affiliate of the Manager, that enable the fund, and other funds in the Trust, to borrow, in the aggregate, (i) up to $35 million from a committed line of credit and (ii) up to $15 million under an uncommitted line of credit. In connection therewith, the fund has agreed to pay administrative and facility fees on its pro rata portion of the lines of credit. Interest is charged to the fund based on prevailing market rates in effect at the time of borrowing. During the period ended June 30, 2009, the fund did not borrow under the line of credit.
NOTE 3—Investment Advisory Fee and Other Transactions With Affiliates:
(a) Pursuant to an investment advisory agreement (“Agreement”) with the Manager, the investment advisory fee is computed at the annual rate of .40% of the value of the fund’s average daily net assets and is payable monthly.The Manager had undertaken from January 1, 2009 through June 30, 2009, to reduce the investment advisory 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, not to exceed an annual rate of .65% of the value of the fund’s average daily net assets. The expense reimbursement, pursuant to the undertaking, amounted to $132,455 during the year ended June 30, 2009.
The Trust entered into an agreement with The Bank of New York Mellon, pursuant to which The Bank of New York Mellon provides administration and fund accounting services for the fund. For these services the fund pays The Bank of NewYork Mellon a fixed fee plus asset and transaction based fees, as well as out-of-pocket expenses. Pursuant to this agreement, the fund was charged $30,000 for the period ended June 30, 2009 for administration and fund accounting services.
34
(b) 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, 2009, the fund was charged $5,372 pursuant to the transfer agency agreement.
The fund compensates The Bank of New York Mellon under cash management agreements for performing cash management services related to fund subscriptions and redemptions. During the period ended June 30, 2009, the fund was charged $342 pursuant to the cash management agreements. These fees were offset by earnings credits pursuant to the cash management agreements.
The fund also compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. During the period ended June 30, 2009, the fund was charged $23,869 pursuant to the custody agreement.
During the period ended June 30, 2009, the fund was charged $3,341 for services performed by the Chief Compliance Officer.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: investment advisory fees $18,089, custodian fees $26,382, shareholder services plan fees $180, chief compliance officer fees $1,670 and transfer agency per account fees $3,704, which are offset against an expense reimbursement currently in effect in the amount of $39,989.
(c) Each Trustee receives $45,000 per year, plus $6,000 for each joint Board meeting of The Dreyfus/Laurel Funds, Inc.,The Dreyfus/Laurel Funds Trust and The Dreyfus/Laurel Tax-Free Municipal Funds, (collectively, the “Dreyfus/Laurel Funds”) and the Trust attended, $2,000 for separate in-person committee meetings attended which are not
The Fund 35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
held in conjunction with a regularly scheduled Board meeting and $1,500 for Board meetings and separate committee meetings attended that are conducted by telephone and is reimbursed for travel and out-of-pocket expenses.With respect to Board meetings, the Chairman of the Board receives an additional 25% of such compensation (with the exception of reimbursable amounts). With respect to compensation committee meetings, the Chair of the compensation committee receives $900 per meeting. In the event that there is an in person joint committee meeting of the Dreyfus/Laurel Funds, the Trust and Dreyfus High Yield Strategies Fund, the $2,000 or $1,500 fee, as applicable, will be allocated between the Dreyfus/Laurel Funds, the Trust and Dreyfus HighYield Strategies Fund.These fees and expenses are charged and allocated to each series based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales (including paydowns) of investment securities, excluding short-term securities, financial futures, forward contracts and swap transactions, during the period ended June 30, 2009, amounted to $48,822,649 and $39,223,407, respectively, of which $9,226,000 in purchases and $9,255,455 in sales were from mortgage dollar roll transactions.
The fund adopted Statement of Financial Accounting Standards No. 161 “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.All changes to accounting policies and disclosures have been made in accordance with FAS 161 and are incorporated for the current period as part of the disclosures within this Note.
36
Fair value of derivative instruments as of June 30, 2009:
Statement of | Statement of | |||
Assets and | Assets and | |||
Liabilities | Derivative | Liabilities | Derivative | |
Derivatives | Location | Assets ($) | Location | Liabilities ($) |
Interest rate | Receivables, Net | 361,142 | Payables, | (91,102) |
contracts† | Assets—Unrealized | Net Assets— | ||
appreciation | Unrealized | |||
depreciation | ||||
Foreign exchange | Receivables | 108,986 | Payables | (108,202) |
contracts | ||||
Gross fair value | 470,128 | (199,304) | ||
of derivatives | ||||
contracts |
† | Includes cumulative appreciation/depreciation of futures contracts as reported on the Statement of |
Financial Futures, but only the unpaid variation margin is reported in the Statement of Assets | |
and Liabilities. |
The effect of derivative instruments in the Statement of Operations during the period ended June 30, 2009 is shown below:
Amount of realized gain or (loss) on derivatives ($) | |||||
Foreign | |||||
Exchange | |||||
Derivatives | Options | Futures | Contracts | Swaps | Total |
Interest rate contracts | — | 162,670 | — | 180,371 | 343,041 |
Foreign exchange contracts — | — | (955,114) | — | (955,114) | |
Credit contracts | — | — | — | (3,954) | (3,954) |
Total | — | 162,670 | (955,114) | 176,417 | (616,027) |
Change in unrealized appreciation or (depreciation) on derivatives ($) | |||||
Foreign | |||||
Exchange | |||||
Derivatives | Options | Futures | Contracts | Swaps | Total |
Interest rate contracts | — | 320,541 | — | (242,127) | 78,414 |
Foreign exchange contracts — | — | 183,484 | — | 183,484 | |
Credit contracts | — | — | — | (12,141) | (12,141) |
Total | — | 320,541 | 183,484 | (254,268) | 249,757 |
The Fund 37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
During the period ended June 30, 2009, the average notional value of interest rate contracts was $28,017,364, which represented 59.4% of average net assets.The average notional value of foreign exchange contracts was $21,792,941, which represented 46.2% of average net assets. The average notional value of credit contracts was $414,286, which represented .88% of average net assets.
Mortgage Dollar Rolls: A mortgage dollar roll transaction involves a sale by the fund of mortgage related securities that it holds with an agreement by the fund to repurchase similar securities at an agreed upon price and date.The securities purchased will bear the same interest rate as those sold, but generally will be collateralized by pools of mortgages with different prepayment histories than those securities sold.
Futures Contracts: In the normal course of pursuing its investment objectives, the fund is exposed to market risk (including equity price risk, interest rate risk and foreign currency exchange risk) as a result of changes in value of underlying financial instruments. The fund may invest in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board ofTrade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the settlement price established by the Board of Trade or exchange upon which they are traded.When the contracts are closed, the fund recognizes a realized gain or loss.There is minimal counterparty credit risk to the fund with futures, since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Contracts open at June 30, 2009 are set forth in the Statement of Financial Futures.
38
Forward Foreign Currency Exchange Contracts:The fund may enter into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of an investment strategy. When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund would incur a loss if the value of the contracts increases between the date the forward contracts are opened and the date the forward contracts are closed.The fund realizes a gain if the value of the contracts decreases between those dates. With respect to purchases of forward contracts, the fund would incur a loss if the value of the contracts decreases between the date the forward contracts are open ed and the date the forward contracts are closed. The fund realizes a gain if the value of the contracts increase between those dates.The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is typically limited to the unrealized gain on each open contract.The following summarizes open forward contracts at June 30, 2009:
Foreign | Unrealized | |||
Forward Foreign Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | |
Purchases: | ||||
Argentine Peso, | ||||
expiring 7/31/2009 | 2,100,000 | 543,338 | 543,774 | 436 |
Brazilian Real, | ||||
expiring 7/31/2009 | 1,070,000 | 544,280 | 542,743 | (1,537) |
British Pounds, | ||||
expiring 7/1/2009 | 4,126 | 6,825 | 6,788 | (37) |
Colombia Peso, | ||||
expiring | ||||
7/31/2009 | 1,204,100,000 | 556,166 | 558,611 | 2,445 |
Russian Ruble, | ||||
expiring, 7/31/2009 | 17,170,000 | 546,328 | 546,381 | 53 |
South Korean Won, | ||||
expiring 7/24/2009 | 695,500,000 | 545,918 | 546,762 | 844 |
Thai Bhat, | ||||
expiring 7/31/2009 | 18,570,000 | 545,198 | 544,718 | (480) |
The Fund 39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Foreign | Unrealized | |||
Forward Foreign Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Proceeds ($) | Value ($) (Depreciation)($) | |
Sales: | ||||
Brazilian Real, | ||||
expiring 7/24/2009 | 1,810,000 | 898,888 | 919,388 | (20,500) |
British Pounds, | ||||
expiring 7/24/2009 | 1,850,000 | 3,042,417 | 3,043,577 | (1,160) |
Canadian Dollar, | ||||
expiring 7/24/2009 | 270,000 | 234,593 | 232,155 | 2,438 |
Chilean Peso, | ||||
expiring 7/24/2009 | 288,000,000 | 539,326 | 540,801 | (1,475) |
Euro, | ||||
expiring 7/24/2009 | 8,423,000 | 11,867,922 | 11,816,656 | 51,266 |
Euro, | ||||
expiring 7/24/2009 | 120,000 | 167,050 | 168,349 | (1,299) |
Hungary Forint, | ||||
expiring 7/24/2009 | 138,190,000 | 678,733 | 708,268 | (29,535) |
Japanese Yen, | ||||
expiring 7/24/2009 | 73,770,000 | 777,164 | 765,983 | 11,181 |
Japanese Yen, | ||||
expiring 7/24/2009 | 69,670,000 | 732,780 | 723,411 | 9,369 |
Japanese Yen, | ||||
expiring 7/24/2009 | 119,090,000 | 1,253,592 | 1,236,559 | 17,033 |
Japanese Yen, | ||||
expiring 7/24/2009 | 95,770,000 | 1,008,339 | 994,418 | 13,921 |
Mexican New Peso, | ||||
expiring 7/24/2009 | 18,070,000 | 1,348,729 | 1,367,150 | (18,421) |
New Zealand Dollar, | ||||
expiring 7/24/2009 | 460,000 | 294,258 | 296,371 | (2,113) |
South African Rand, | ||||
expiring 7/24/2009 | 4,140,000 | 502,427 | 534,072 | (31,645) |
Gross Unrealized | ||||
Appreciation | 108,986 | |||
Gross Unrealized | ||||
Depreciation | (108,202) |
Swaps: The fund may enter into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument.The fund enters into these agreements for a variety of reasons, including to hedge certain market or interest rate risks, to manage the interest rate sensitivity
40
(sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
The fund accrues for the interim payments on swap contracts on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap contracts in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swaps contracts in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the contract’s term/event with the exception of forward started interest rate swaps which are recorded as realized gains or losses on the termination date. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation on swap transactions.
Interest Rate Swaps: Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount.The fund enters into these agreements for a variety of reasons, including to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.The fund may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional principal amount.The net interest received or paid on interest rate swap agreements is included within unrealized appreciation (depreciation) on swap contracts in the Statement of Assets and Liabilities. Interest rate swaps are valued daily and the change, if any, is recorded as an unrealized gain or loss in the Statement
The Fund 41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
of Operations. When a swap contract is terminated early, the fund records a realized gain or loss equal to the difference between the current realized value and the expected cash flows.
The fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from counter-party over the contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by having a master netting arrangement between the fund and the counterparty and by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty. The following summarizes open interest rate swaps entered into by the fund at June 30, 2009.
Unrealized | |||||
Notional | Reference | (Pay)/Receive Expiration | Appreciation | ||
Amount | Entity/Currency | Counterparty | Fixed Rate (%) Date (Depreciation) ($) | ||
1,570,000 | USD—3 Month | ||||
Libor | JP Morgan | 3.29 | 11/24/2018 | (49,432) | |
360,000 | GBP—6 Month | ||||
Libor | JP Morgan | 6.30 | 6/18/2011 | 46,761 | |
219,000,000 | JPY—6 Month | ||||
Yenibor | JP Morgan | 1.36 | 1/19/2012 | 43,096 | |
2,850,000 | NZD—3 Month | ||||
Libor Morgan Stanley | 7.88 | 5/18/2010 | 89,736 | ||
500,000 | NZD—3 Month | ||||
Libor | JP Morgan | 8.05 | 6/21/2012 | 32,343 | |
1,225,000 | NZD—6 Month | ||||
Libor | Barclays | 7.58 | 5/1/2013 | 80,875 | |
1,270,000 | NZD—6 Month | ||||
Libor | JP Morgan | 5.54 | 11/24/2013 | 16,934 | |
4,390,000 | NZD—6 Month | ||||
Libor | Citibank | 5.06 | 4/8/2014 | (5,752) | |
Gross Unrealized | |||||
Appreciation | 309,745 | ||||
Gross Unrealized | |||||
Depreciation | (55,184) |
Credit Default Swaps: Credit default swaps involve commitments to pay a fixed interest rate in exchange for payment if a credit event affecting a third party (the referenced company) occurs. Credit events may include a failure to pay interest or principal, bankruptcy, or restructuring. The fund enters into these agreements to manage its
42
exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. For those credit default swaps in which the fund is paying a fixed rate, the fund is buying credit protection on the instrument. In the event of a credit event, the fund would receive the full notional amount for the reference obligation. For those credit default swaps in which the fund is receiving a fixed rate, the fund is selling credit protection on the underlying instrument. The maximum pay-outs for these contracts are limited to the notional amount of each swap. Credit default swaps may involve greater risks than if the fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk.At June 30, 2009, the fund held no open credit defa ult swaps.
At June 30, 2009, accumulated net unrealized appreciation on investments was $2,202,332, consisting of $2,989,385 gross unrealized appreciation and $787,053 gross unrealized depreciation.
At June 30, 2009, 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).
NOTE 5—Change in Independent Registered Public Accounting Firm:
PricewaterhouseCoopers LLP (“PWC”), 300 Madison Avenue, New York, New York 10017, an independent registered public accounting firm, was the independent registered public accounting firm for the fund for the fiscal year ended December 31, 2008. At the meetings held on February 9-10, 2009, the Audit Committee and the Board of Trustees of the Trust engaged KPMG LLP to replace PWC as the independent registered public accounting firm for the Trust.
The Fund 43
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
During the funds’ past two fiscal years and any subsequent interim period: (i) no report on the funds’ financial statements contained an adverse opinion or a disclaimer of opinion, or was qualified or modified as to uncertainty, audit scope, or accounting principles; and (ii) there were no “disagreements” (as such term is used in Item 304 of Regulation S-K) with PWC on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreement(s), if not resolved to the satisfaction of PWC, would have caused it to make reference to the subject matter of the disagreement(s) in connection with its report.
NOTE 6—Subsequent Events Evaluation:
Dreyfus has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date of issuance of the financial statements.
At the meetings held on July 22-23, 2009, the Board of Trustees of the Trust approved a proposal to redesignate the fund’s existing shares as Class I shares, effective on or about September 1, 2009.The description of the eligibility requirements of the fund’s shares will remain the same.
44
INFORMATION ABOUT THE REVIEW AND |
APPROVAL OF THE FUND’S INVESTMENT |
ADVISORY AGREEMENT (Unaudited) |
At a meeting of the fund’s Board ofTrustees held on February 9 and 10, 2009, the Board considered the re-approval of the fund’s Investment Advisory Agreement (“Management Agreement”), pursuant to which the Manager provides the fund with investment advisory and certain administrative services.The Board members, none of whom are “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 Manager.
Representatives of the Manager reminded the Board members that the Manager became the investment adviser of the fund, effective December 1, 2008, and that there were no changes to the portfolio management of the fund as a result of the appointment of the Manager as the fund’s investment adviser.
Analysis of Nature, Extent and Quality of Services Provided to the Fund.The Board members considered information previously provided to them in a presentation from representatives of the Manager regarding services provided to other funds in the Dreyfus fund complex, and representatives of the Manager confirmed that there had been no material changes in this information. The Board also discussed the nature, extent and quality of the services provided to the fund pursuant to its Management Agreement. The Manager’s representatives reviewed the relationships the Manager has with various intermediaries and the different needs of each. The Manager’s representatives noted the distribution channels for the fund as well as the diversity of distribution among the funds in the Dreyfus fund complex, and the Manager’s corresponding need for broad, deep, and diverse resourc es to be able to provide ongoing shareholder services to each distribution channel, including those of the fund.The Manager provided the number of shareholder accounts in the fund, as well as the fund’s asset size.
The Fund 45
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S |
INVESTMENT ADVISORY AGREEMENT (Unaudited) (continued) |
The Board members also considered the Manager’s research and portfolio management capabilities and that the Manager also provides oversight of day-to-day fund operations, including assistance in meeting legal and regulatory requirements.The Board members also considered the Manager’s extensive compliance infrastructure. The Board also considered the Manager’s brokerage policies and practices, and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board members reviewed the fund’s performance and comparisons to a group of institutional global income funds (the “Performance Group”) and to a larger universe of funds, consisting of all retail and institutional global income funds (the “Performance Universe”) selected and provided by Lipper, Inc., an independent provider of investment company data.The Board was provided with a description of the methodology Lipper used to select the Performance Group and Performance Universe, as well as the Expense Group and Expense Universe (discussed below).The Board members discussed the results of the comparisons and noted that the fund’s total return performance was above the Performance Group and Performance Universe medians for the one-, two-, three-, four-, f ive- and ten-year periods ended December 31, 2008. The Board members also noted that the fund’s yield performance was variously above, at and below the Performance Group and Performance Universe medians for the past ten one-year periods ended December 31st (1999-2008).The Manager also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board members also discussed the fund’s contractual and actual management fee and expense ratio and reviewed the range of management fees and expense ratios of a comparable group of funds (the “Expense Group”) and a broader group of funds (the “Expense Universe”), each selected and provided by Lipper. A representative of the Manager informed the Board members that the Manager is currently limiting the fund’s total expense ratio (excluding taxes, brokerage
46
fees, interest on borrowings, commitment fees and other extraordinary expenses) to 0.65% of the fund’s average daily net assets and that such limitation is voluntary and may be terminated at any time.The Board noted that the fund’s contractual management fee was below the Expense Group median and that, because of the expense limitation, the fund did not pay a management fee for the fiscal year ended December 31, 2008.The Board members also were informed that the Lipper data presenting the fund’s “actual management fees” included fees paid by the fund, as calculated by Lipper, for administrative services provided by The Bank of New York Mellon, the Trust’s administrator. Such reporting was necessary, according to Lipper, to allow the Board to compare the fund’s advisory fees to those peers that include administrative fees within a blended advisory fee.The Board noted that the fund’s actual management fe e (which was zero) and the fund’s expense ratio were each below the respective Expense Group and Expense Universe medians.
A representative of the Manager noted that there were no mutual funds managed by the Manager or its affiliates with similar investment objectives, policies and strategies, and included in the same Lipper category as the fund and there were no other accounts managed by the Manager or its affiliates with similar investment objectives, policies and strategies as the fund.The Manager’s representatives reviewed the costs associated with distribution through intermediaries.
Analysis of Profitability and Economies of Scale. A representative of the Manager reminded the Board members that The Bank of New York Mellon Corporation, the parent company of the Manager, paid all of the expenses associated with the Manager becoming the fund’s investment adviser and the proxy campaign with respect to the Board members becoming the Trust’s Board members. Because the Manager only became the fund’s investment adviser effective December 1, 2008, the Manager’s representatives were not able to provide a dollar amount of expenses allocated and profit received by the Manager, but
The Fund 47
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S |
INVESTMENT ADVISORY AGREEMENT (Unaudited) (continued) |
a representative of the Manager did review the method to be used to determine such expenses and profit in the future.The Board previously had been provided with information prepared by an independent consulting firm regarding the Manager’s approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus mutual fund complex.The Board also was informed that the methodology had also been reviewed by an independent registered public accounting firm which, like the consultant, found the methodology to be reasonable. The consulting firm also analyzed where any economies of scale might emerge in connection with the management of the fund.The Board members considered potential benefits to the Manager from acting as investment adviser and noted that there were no soft dollar arrangements with respect to trading the fund’s portfolio. The Board also considered whether the fund would be able to par ticipate in any economies of scale that the Manager may experience in the event that the fund attracts a large amount of assets, noting the decrease in the fund’s recent asset levels.The Board members discussed the renewal requirements for advisory agreements and their ability to review the management fee annually.
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 continuation of the fund’s Management Agreement. Based on the discussions and considerations as described above, the Board made the following conclusions and determinations.
- The Board concluded that the nature, extent and quality of the ser- vices to be provided by the Manager are adequate and appropriate.
- The Board was satisfied with the fund’s relative performance.
- The Board concluded, taking into account the voluntary waiver of a portion of expenses by the Manager, that the fee paid by the fund to the Manager was reasonable in light of the services to be provided, comparative performance, expense and advisory fee information and potential profits to be realized and benefits to be derived by the Manager from its relationship with the fund.
48
- The Board determined that because the Manager had become the investment adviser of the fund effective December 1,2008,economies of scale were not a factor at this time, but, to the extent that material economies of scale are not shared with the fund in the future, the Board would seek to do so in connection with future renewals.
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that re-approval of the fund’s Management Agreement was in the best interests of the fund and its shareholders and that the Management Agreement would be renewed through April 4, 2010.
The Fund 49
The views expressed in this report reflect those of the portfolio managers only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
26 | Statement of Financial Futures |
27 | Statement of Options Written |
28 | Statement of Assets and Liabilities |
29 | Statement of Operations |
30 | Statement of Changes in Net Assets |
31 | Financial Highlights |
32 | Notes to Financial Statements |
49 | Information About the Review and Approval of the Fund’s Investment Advisory Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus/Standish Fixed Income Fund |
The Fund |
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present to you this semiannual report for Dreyfus/Standish Fixed Income Fund, covering the six-month period from January 1, 2009, through June 30, 2009.
The severe recession and banking crisis that dominated the financial markets at the start of 2009 appear to have moderated as of mid-year. Previously frozen credit markets have thawed, giving businesses access to the capital they need to grow. After reaching multi-year lows early in the year, higher-yielding segments of the bond market staged an impressive rally, while U.S.Treasury securities gave back some of their 2008 gains. While the U.S. economy remains weak overall, we have seen encouraging evidence of potential recovery, including a recovering housing market and improvements within certain manufacturing sectors. Meanwhile, inflation has remained tame in the face of high unemployment and unused manufacturing capacity.
Although these developments give us reasons for optimism, we remain cautious due to the speed and magnitude of the corporate bond market’s 2009 rebound. Indeed, the market’s advance was fueled more by investors’ renewed appetites for risk than improving business fundamentals. We would prefer to see a steadier rise in asset prices supported by more concrete economic data, as the rapid rise increases the possibility that profit-taking could move the market lower. In uncertain markets such as this one, even the most seasoned investors can benefit from professional counsel. To determine how your investments should be positioned for the challenges and opportunities that lie ahead, we continue to stress that you talk regularly with your financial advisor. For information about how the fund performed during the reporting period, as well as market perspectives, we have provided a Discussion of Fund Performance given by the Portfolio M anagers.
Thank you for your continued confidence and support.
Jonathan R. Baum Chairman and Chief Executive Officer The Dreyfus Corporation July 15, 2009 |
2
DISCUSSION OF FUND PERFORMANCE
For the period of January 1, 2009, through June 30, 2009, as provided by David R. Bowser, CFA, and Peter Vaream, Co-Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended June 30, 2009, Dreyfus/Standish Fixed Income Fund achieved a total return of 7.72%.1 In comparison, the Barclays Capital U.S. Aggregate Bond Index (the “Index”), the fund’s benchmark, achieved a total return of 1.90% for the same period.2
The U.S. bond market remained volatile due to the lingering effects of the global financial crisis and recession, but continued declines among higher-yielding bonds early in the reporting period were offset by a springtime rally as investors grew more comfortable with credit risk. The fund produced a significantly higher return than its benchmark, primarily as a result of an underweighted position in U.S. Treasury securities and overweight exposure to corporate bonds and mortgage-backed securities.
The Fund’s Investment Approach
The fund seeks to achieve a high level of current income, consistent with conserving principal and liquidity, and secondarily seeks capital appreciation. To achieve this, the fund invests, under normal circumstances, at least 80% of net assets in fixed-income securities issued by U.S. and foreign governments and companies.
The fund invests primarily in investment-grade securities, but may invest up to 15% of assets in below investment-grade securities, sometimes referred to as junk bonds. The fund will not invest in securities rated lower than B at the time of purchase. In this instance, we will attempt to select fixed-income securities that have the potential to be upgraded.
Sustained Market Rally Offset Earlier Weakness
The reporting period began amid a global banking crisis that had been exacerbated in 2008 by forced deleveraging among institutional
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued) |
investors, resulting in steep declines for higher yielding bonds, including mortgage-backed securities, asset-backed securities, corporate bonds and emerging-market securities. In contrast, U.S. Treasury securities had rallied strongly amid a “flight to quality,” causing their yields to fall to unprecedented low levels. Meanwhile, slumping housing markets, rising unemployment and deteriorating consumer confidence led to the longest and deepest recession since the 1930s.
The Federal Reserve Board (the “Fed”) and the U.S. government responded aggressively to the economic and financial crises. Government officials rescued a number of struggling corporations deemed “too big to fail” in 2008, and Congress followed up with the $787 billion American Recovery and Reinvestment Act of 2009. The Fed injected massive amounts of liquidity into the banking system and purchased mortgage-and asset-backed debt through unprecedented programs such as theTerm Asset-Backed Securities Loan Facility (TALF). In addition, just weeks before the start of the reporting period, the Fed completed a series of dramatic interest-rate reductions by cutting its target for the overnight federal funds rate to an all-time low of 0% to 0.25%.
As it became clearer in March 2009 that these remedial measures had helped to avert a collapse of the U.S. banking system, investor sentiment began to improve. Fixed-income investors began to look forward to better credit-market conditions, and they became more tolerant of risks they previously had avoided. Investors capitalized on attractive valuations among higher yielding bonds, sparking impressive springtime rallies. Conversely, U.S.Treasury securities gave back some of their earlier gains.
Sector Allocation Strategy Proved Effective
The fund began the reporting period with underweighted exposure to U.S.Treasury securities, which offered historically low yields. Conversely, the fund started 2009 with overweighted positions in higher yielding market sectors that had been punished during the downturn, including investment-grade corporate bonds and higher-quality mortgage-backed securities.We also had established relatively modest positions in high yield corporate bonds, commercial mortgage-backed securities and international bonds, which are not represented in the fund’s benchmark.
4
This positioning fared well during the market rally, when yield differences between U.S. Treasury securities and other market sectors narrowed from historically wide levels. Although the fund’s corporate bond investments were broadly diversified across industry groups with an emphasis on traditionally defensive areas, such as utilities, the fund received particularly strong results from securities issued by companies in the financials sector. The fund’s investments in mortgage-backed securities primarily focused on lower-coupon bonds issued by U.S. government agencies, which generally held up better than non-agency mortgages under volatile market conditions.
On the other hand, we had established a relatively long average duration to guard against the potential effects of unexpected economic weakness on longer-term interest rates, and that position detracted modestly from the fund’s relative performance over the reporting period.
Balancing Opportunity with Risk Controls
As of the reporting period’s end, we have maintained a relatively constructive approach to our sector allocation strategy, as we believe that higher-yielding bonds have room for further gains as yield differences continue to moderate along the credit spectrum. In our judgment, this strategy positions the fund to participate in the stronger segments of the fixed-income markets while managing risks and volatility effectively.
July 15, 2009
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. Return figure | |
provided reflects the absorption of certain fund expenses by The Dreyfus Corporation pursuant to | |
a voluntary undertaking in effect, which 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 Barclays Capital U.S. Aggregate Bond Index is a widely accepted, | |
unmanaged total return index of corporate, U.S. government and U.S. government agency debt | |
instruments, mortgage-backed securities and asset-backed securities with an average maturity of | |
1-10 years.The Index does not include fees and expenses to which the fund is subject. |
The Fund 5
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/Standish Fixed Income Fund from January 1, 2009 to June 30, 2009. 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 June 30, 2009 |
Expenses paid per $1,000† | $ 2.58 |
Ending value (after expenses) | $1,077.20 |
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 June 30, 2009 |
Expenses paid per $1,000† | $ 2.51 |
Ending value (after expenses) | $1,022.32 |
† Expenses are equal to the fund’s annualized expense ratio of .50%, multiplied by the average account value over the |
period, multiplied by 181/365 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS June 30, 2009 (Unaudited) |
Coupon | Maturity | Principal | |||
Bonds and Notes—119.0% | Rate (%) | Date | Amount ($) | Value ($) | |
Advertising—.0% | |||||
Lamar Media, | |||||
Gtd. Notes | 6.63 | 8/15/15 | 112,000 | a | 98,560 |
Aerospace & Defense—.3% | |||||
L-3 Communications, | |||||
Gtd. Notes, Ser. B | 6.38 | 10/15/15 | 740,000 | 675,250 | |
Agriculture—.7% | |||||
Altria Group, | |||||
Gtd. Notes | 9.70 | 11/10/18 | 615,000 | 706,182 | |
Philip Morris International, | |||||
Sr. Unscd. Notes | 5.65 | 5/16/18 | 890,000 | 934,519 | |
1,640,701 | |||||
Asset-Backed Ctfs./ | |||||
Auto Receivables—5.1% | |||||
Americredit Automobile Receivables | |||||
Trust, Ser. 2008-AF, Cl. A2A | 4.47 | 1/12/12 | 976,210 | b | 981,435 |
Americredit Automobile Receivables | |||||
Trust, Ser. 2005-DA, Cl. A3 | 4.87 | 12/6/10 | 8,806 | b | 8,810 |
Americredit Automobile Receivables | |||||
Trust, Ser. 2006-BG, Cl. A3 | 5.21 | 10/6/11 | 448,478 | 447,766 | |
Americredit Prime Automobile | |||||
Receivables, Ser. 2007-1, Cl. E | 6.96 | 1/8/11 | 894,110 | c | 441,691 |
Capital Auto Receivables Asset | |||||
Trust, Ser. 2005-1, Cl. C | 4.73 | 9/15/10 | 925,000 | b | 927,992 |
Capital Auto Receivables Asset | |||||
Trust, Ser. 2004-2, Cl. D | 5.82 | 5/15/12 | 1,805,000 | c | 1,806,656 |
Capital One Auto Finance Trust, | |||||
Ser. 2007-A, Cl. A3B | 0.32 | 8/15/11 | 401,381 | b,d | 398,976 |
Capital One Auto Finance Trust, | |||||
Ser. 2006-C, Cl. A3A | 5.07 | 7/15/11 | 335,954 | 335,957 | |
Capital One Auto Finance Trust, | |||||
Ser. 2007-C, Cl. A3A | 5.13 | 4/16/12 | 1,910,465 | 1,923,536 | |
Ford Credit Auto Owner Trust, | |||||
Ser. 2006-C, Cl. C | 5.47 | 9/15/12 | 490,000 | 464,003 | |
Ford Credit Auto Owner Trust, | |||||
Ser. 2007-A, Cl. D | 7.05 | 12/15/13 | 600,000 | c | 366,595 |
Household Automotive Trust, | |||||
Ser. 2005-3, Cl. A4 | 4.94 | 11/19/12 | 375,651 | b | 385,491 |
Hyundai Auto Receivables Trust, | |||||
Ser. 2007-A, Cl. A3A | 5.04 | 1/17/12 | 589,536 | b | 602,414 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Asset-Backed Ctfs./ | |||||
Auto Receivables (continued) | |||||
Wachovia Auto Loan Owner Trust, | |||||
Ser. 2007-1, Cl. D | 5.65 | 2/20/13 | 1,725,000 | 1,227,585 | |
WFS Financial Owner Trust, | |||||
Ser. 2005-3, Cl. B | 4.50 | 5/17/13 | 580,000 | b | 579,716 |
WFS Financial Owner Trust, | |||||
Ser. 2005-2, Cl. B | 4.57 | 11/19/12 | 247,045 | b | 247,135 |
11,145,758 | |||||
Asset-Backed Ctfs./Credit Cards—.9% | |||||
Advanta Business Card Master | |||||
Trust, Ser. 2007-A1, Cl. A | 0.37 | 1/20/15 | 198,778 | d | 174,672 |
Advanta Business Card Master | |||||
Trust, Ser. 2005-A2, Cl. A2 | 0.45 | 5/20/13 | 587,498 | b,d | 515,530 |
Advanta Business Card Master | |||||
Trust, Ser. 2006-A3, Cl. A3 | 5.30 | 5/21/12 | 468,232 | b | 416,726 |
American Express Credit Account | |||||
Master Trust, Ser. 2004-C, Cl. C | 0.84 | 2/15/12 | 168,618 | c,d | 168,411 |
Washington Mutual Master Note | |||||
Trust, Ser. 2007-B1, Cl. B1 | 4.95 | 3/17/14 | 785,000 | c | 782,382 |
2,057,721 | |||||
Asset-Backed Ctfs./ | |||||
Home Equity Loans—1.1% | |||||
Bayview Financial Acquisition | |||||
Trust, Ser. 2005-B, Cl. 1A6 | 5.21 | 4/28/39 | 158,368 | d | 114,512 |
Citicorp Residential Mortgage | |||||
Securities, Ser. 2006-2, Cl. A2 | 5.56 | 9/25/36 | 564,907 | b,d | 559,971 |
Citigroup Mortgage Loan Trust, | |||||
Ser. 2005-HE1, Cl. M1 | 0.74 | 5/25/35 | 384,935 | b,d | 374,217 |
Citigroup Mortgage Loan Trust, | |||||
Ser. 2005-WF1, Cl. A5 | 5.01 | 2/25/35 | 136,604 | d | 84,702 |
Citigroup Mortgage Loan Trust, | |||||
Ser. 2005-WF2, Cl. AF7 | 5.25 | 8/25/35 | 1,722,776 | d | 990,891 |
GSAA Home Equity Trust, | |||||
Ser. 2006-7, Cl. AV1 | 0.52 | 3/25/46 | 126,524 | b,d | 121,811 |
Mastr Asset Backed Securities | |||||
Trust, Ser. 2006-AM1, Cl. A2 | 0.44 | 1/25/36 | 292,191 | b,d | 272,086 |
2,518,190 |
8
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Asset-Backed Ctfs./ | |||||
Manufactured Housing—.4% | |||||
Green Tree Financial, | |||||
Ser. 1994-7, Cl. M1 | 9.25 | 3/15/20 | 220,470 | b | 210,716 |
Origen Manufactured Housing, | |||||
Ser. 2004-B, Cl. A2 | 3.79 | 12/15/17 | 3,203 | b | 3,176 |
Vanderbilt Mortgage Finance, | |||||
Ser. 1999-A, Cl. 1A6 | 6.75 | 3/7/29 | 1,030,000 | d | 654,116 |
868,008 | |||||
Auto Parts & Equipment—.3% | |||||
Goodyear Tire & Rubber, | |||||
Gtd. Notes | 8.63 | 12/1/11 | 720,000 | a | 712,800 |
Banks—7.0% | |||||
Barclays Bank, | |||||
Jr. Sub. Bonds | 5.93 | 12/15/49 | 1,300,000 | c,d | 741,963 |
Barclays Bank, | |||||
Sr. Unscd. Notes | 6.75 | 5/22/19 | 160,000 | 158,966 | |
Barclays Bank, | |||||
Sub. Bonds | 7.70 | 4/25/49 | 625,000 | b,c,d | 520,717 |
Capital One Financial, | |||||
Sr. Unscd. Notes | 1.57 | 9/10/09 | 2,425,000 | b,d | 2,416,265 |
Citigroup, | |||||
Sr. Unscd. Notes | 5.50 | 4/11/13 | 1,655,000 | 1,552,428 | |
Goldman Sachs Group, | |||||
Sub. Notes | 5.63 | 1/15/17 | 390,000 | 371,218 | |
Goldman Sachs Group, | |||||
Sub. Notes | 6.75 | 10/1/37 | 925,000 | 824,729 | |
JPMorgan Chase & Co., | |||||
Sr. Unscd. Notes | 6.00 | 1/15/18 | 945,000 | 940,318 | |
JPMorgan Chase & Co., | |||||
Sr. Unscd. Notes | 6.40 | 5/15/38 | 670,000 | 673,896 | |
M & I Marshall & Ilsley Bank, | |||||
Sub. Notes, Ser. BN | 1.54 | 12/4/12 | 425,000 | b,d | 295,762 |
Manufacturers & Traders Trust, | |||||
Sub. Notes | 5.59 | 12/28/20 | 625,000 | d | 484,524 |
Morgan Stanley, | |||||
Sr. Unscd. Notes | 6.60 | 4/1/12 | 805,000 | 852,831 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Banks (continued) | ||||||
NB Capital Trust IV, | ||||||
Bank Gtd. Cap. Secs | 8.25 | 4/15/27 | 265,000 | 222,990 | ||
PNC Funding, | ||||||
Gtd. Notes | 6.70 | 6/10/19 | 620,000 | 640,624 | ||
Sovereign Bancorp, | ||||||
Sr. Unscd. Notes | 1.46 | 3/23/10 | 1,235,000 | b,d | 1,139,943 | |
Sovereign Bancorp, | ||||||
Sr. Unscd. Notes | 4.80 | 9/1/10 | 577,000 | b | 563,765 | |
St. George Bank, | ||||||
Sub. Notes | 5.30 | 10/15/15 | 871,000 | c | 780,374 | |
Sumitomo Mitsui Banking, | ||||||
Sub. Notes | EUR | 4.38 | 7/15/49 | 550,000 | d,e | 586,395 |
SunTrust Preferred Capital I, | ||||||
Bank Gtd. Notes | 5.85 | 12/31/49 | 203,000 | b,d | 138,757 | |
Wells Fargo Capital XIII, | ||||||
Gtd. Secs | 7.70 | 12/29/49 | 1,875,000 | d | 1,557,441 | |
15,463,906 | ||||||
Beverages—.9% | ||||||
Anheuser-Busch InBev Worldwide, | ||||||
Gtd. Notes | 8.20 | 1/15/39 | 1,020,000 | c | 1,139,324 | |
Diageo Capital, | ||||||
Gtd. Notes | 7.38 | 1/15/14 | 710,000 | a | 804,115 | |
1,943,439 | ||||||
Chemicals—.3% | ||||||
Dow Chemical, | ||||||
Notes | 8.55 | 5/15/19 | 595,000 | 597,040 | ||
Commercial & Professional | ||||||
Services—1.4% | ||||||
Aramark, | ||||||
Gtd. Notes | 8.50 | 2/1/15 | 712,000 | a | 694,200 | |
ERAC USA Finance, | ||||||
Gtd. Notes | 6.38 | 10/15/17 | 1,425,000 | c | 1,288,640 | |
ERAC USA Finance, | ||||||
Notes | 7.95 | 12/15/09 | 1,008,000 | b,c | 1,003,481 | |
2,986,321 | ||||||
Commercial Mortgage | ||||||
Pass-Through Ctfs.—12.9% | ||||||
Banc of America Commercial | ||||||
Mortgage, Ser. 2002-2, Cl. A3 | 5.12 | 7/11/43 | 560,000 | 556,204 |
10
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Commercial Mortgage | |||||
Pass-Through Ctfs. (continued) | |||||
Bayview Commercial Asset Trust, | |||||
Ser. 2006-SP1, Cl. A1 | 0.71 | 4/25/36 | 141,334 | c,d | 84,546 |
Bayview Commercial Asset Trust, | |||||
Ser. 2006-SP2, Cl. A | 0.72 | 1/25/37 | 992,146 | c,d | 532,743 |
Bayview Commercial Asset Trust, | |||||
Ser. 2004-1, Cl. A | 0.88 | 4/25/34 | 271,893 | c,d | 169,422 |
Bayview Commercial Asset Trust, | |||||
Ser. 2005-3A, Cl. B1 | 1.54 | 11/25/35 | 111,083 | c,d | 25,025 |
Bayview Commercial Asset Trust, | |||||
Ser. 2006-2A, Cl. B2 | 1.91 | 7/25/36 | 328,853 | c,d | 67,911 |
Bayview Commercial Asset Trust, | |||||
Ser. 2006-1A, Cl. B2 | 2.14 | 4/25/36 | 167,416 | c,d | 33,629 |
Bayview Commercial Asset Trust, | |||||
Ser. 2005-3A, Cl. B3 | 3.44 | 11/25/35 | 222,166 | c,d | 57,876 |
Bayview Commercial Asset Trust, | |||||
Ser. 2005-4A, Cl. B3 | 3.94 | 1/25/36 | 75,648 | c,d | 11,347 |
Bear Stearns Commercial Mortgage | |||||
Securities, Ser. 2003-T12, Cl. A3 | 4.24 | 4/13/12 | 2,073,000 | b,d | 2,019,492 |
Bear Stearns Commercial Mortgage | |||||
Securities, Ser. 2007-T26, Cl. A4 | 5.47 | 1/12/45 | 1,015,000 | d | 845,688 |
Bear Stearns Commercial Mortgage | |||||
Securities, Ser. 2006-PW12, | |||||
Cl. AAB | 5.69 | 9/11/38 | 875,000 | d | 829,299 |
Bear Stearns Commercial Mortgage | |||||
Securities, Ser. 2007-T28, Cl. A4 | 5.74 | 9/11/17 | 1,275,000 | d | 1,055,521 |
Bear Stearns Commercial Mortgage | |||||
Securities, Ser. 1998-C1, Cl. A2 | 6.44 | 6/16/30 | 1,931 | b | 1,927 |
Credit Suisse/Morgan Stanley | |||||
Commercial Mortgage Certificates, | |||||
Ser. 2006-HC1A, Cl. A1 | 0.53 | 5/15/23 | 1,117,729 | b,c,d | 874,215 |
Crown Castle Towers, | |||||
Ser. 2006-1A, Cl. AFX | 5.24 | 11/15/36 | 2,725,000 | b,c | 2,616,000 |
Crown Castle Towers, | |||||
Ser. 2006-1A, Cl. B | 5.36 | 11/15/36 | 620,000 | b,c | 607,600 |
Crown Castle Towers, | |||||
Ser. 2006-1A, Cl. C | 5.47 | 11/15/36 | 1,555,000 | b,c | 1,523,900 |
Crown Castle Towers, | |||||
Ser. 2005-1A, Cl. D | 5.61 | 6/15/35 | 610,000 | b,c | 591,700 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Commercial Mortgage | |||||
Pass-Through Ctfs. (continued) | |||||
Crown Castle Towers, | |||||
Ser. 2006-1A, Cl. D | 5.77 | 11/15/36 | 950,000 | c | 931,000 |
CS First Boston Mortgage | |||||
Securities, Ser. 2005-C4, Cl. AAB | 5.07 | 8/15/38 | 1,050,000 | d | 1,020,097 |
First Union National Bank | |||||
Commercial Mortgage Trust, | |||||
Ser. 2001-C2, Cl. A2 | 6.66 | 1/12/43 | 504,963 | b | 520,243 |
Goldman Sachs Mortgage Securities | |||||
Corporation II, Ser. 2007-EOP, Cl. B | 0.66 | 3/20/20 | 2,965,000 | b,c,d | 2,079,724 |
Goldman Sachs Mortgage Securities | |||||
Corporation II, Ser. 2007-EOP, Cl. E | 0.85 | 3/20/20 | 1,120,000 | b,c,d | 771,500 |
Goldman Sachs Mortgage Securities | |||||
Corporation II, Ser. 2007-EOP, Cl. K | 1.46 | 3/20/20 | 650,000 | c,d | 423,459 |
Goldman Sachs Mortgage Securities | |||||
Corporation II, Ser. 2007-EOP, Cl. L | 1.71 | 3/20/20 | 35,000 | c,d | 21,350 |
JP Morgan Chase Commercial | |||||
Mortgage Securities, | |||||
Ser. 2005-LDP5, Cl. A2 | 5.20 | 12/15/44 | 1,485,000 | b | 1,438,506 |
LB-UBS Commercial Mortgage Trust, | |||||
Ser. 2007-C7, Cl. A3 | 5.87 | 9/15/45 | 1,040,000 | d | 798,447 |
Merrill Lynch Mortgage Trust, | |||||
Ser. 2005-CKI1, Cl. A2 | 5.22 | 11/12/37 | 350,000 | b,d | 340,746 |
Merrill Lynch/Countrywide | |||||
Commercial Mortgage, | |||||
Ser. 2006-2, Cl. A4 | 5.91 | 6/12/46 | 1,010,000 | d | 832,776 |
Morgan Stanley Capital I, | |||||
Ser. 2005-HQ5, Cl. A2 | 4.81 | 1/14/42 | 1,340,007 | b | 1,352,882 |
Morgan Stanley Capital I, | |||||
Ser. 2007-HQ11, Cl. A4 | 5.45 | 2/12/44 | 1,710,000 | d | 1,311,175 |
Morgan Stanley Capital I, | |||||
Ser. 2007-HQ11, Cl. AM | 5.48 | 2/12/44 | 1,000,000 | d | 516,302 |
Morgan Stanley Capital I, | |||||
Ser. 2007-T27, Cl. A4 | 5.80 | 6/11/17 | 760,000 | d | 639,677 |
Morgan Stanley Dean Witter Capital | |||||
I, Ser. 2001-PPM, Cl. A2 | 6.40 | 2/15/31 | 14,816 | 15,052 | |
Morgan Stanley Dean Witter Capital | |||||
I, Ser. 2001-PPM, Cl. A3 | 6.54 | 2/15/31 | 18,097 | 18,172 | |
SBA CMBS Trust, | |||||
Ser. 2006-1A, Cl. D | 5.85 | 11/15/36 | 375,000 | c | 337,500 |
12
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Commercial Mortgage | |||||
Pass-Through Ctfs. (continued) | |||||
TIAA Seasoned Commercial Mortgage | |||||
Trust, Ser. 2007-C4, Cl. A3 | 6.09 | 8/15/39 | 940,000 | d | 881,451 |
Wachovia Bank Commercial Mortgage | |||||
Trust, Ser. 2005-C16, Cl. A2 | 4.38 | 10/15/41 | 967,812 | b | 964,487 |
Wachovia Bank Commercial Mortgage | |||||
Trust, Ser. 2005-C19, Cl. A5 | 4.66 | 5/15/44 | 740,000 | 657,816 | |
28,376,407 | |||||
Diversified Financial Services—6.8% | |||||
American Express, | |||||
Sr. Unscd. Notes | 7.25 | 5/20/14 | 1,090,000 | 1,128,683 | |
Ameriprise Financial, | |||||
Jr. Sub. Notes | 7.52 | 6/1/66 | 610,000 | a,d | 461,121 |
Amvescap, | |||||
Gtd. Notes | 5.38 | 2/27/13 | 595,000 | 520,661 | |
BSKYB Finance UK, | |||||
Gtd. Notes | 6.50 | 10/15/35 | 825,000 | c | 727,530 |
Capital One Bank USA, | |||||
Sub. Notes | 8.80 | 7/15/19 | 450,000 | 460,493 | |
Caterpillar Financial Services, | |||||
Sr. Unscd. Notes | 7.15 | 2/15/19 | 855,000 | 916,776 | |
Countrywide Home Loans, | |||||
Gtd. Notes | 4.13 | 9/15/09 | 590,000 | b | 591,952 |
Fresenius US Finance II, | |||||
Gtd. Notes | 9.00 | 7/15/15 | 775,000 | c | 811,812 |
General Electric Capital, | |||||
Sr. Unscd. Notes | 1.20 | 10/21/10 | 825,000 | a,b,d | 810,693 |
Goldman Sachs Capital II, | |||||
Gtd. Bonds | 5.79 | 5/8/49 | 945,000 | d | 576,270 |
HSBC Finance Capital Trust IX, | |||||
Gtd. Notes | 5.91 | 11/30/35 | 1,635,000 | d | 865,281 |
Hutchison Whampoa International, | |||||
Gtd. Notes | 7.63 | 4/9/19 | 305,000 | c | 339,474 |
International Lease Finance, | |||||
Sr. Unscd. Notes | 6.38 | 3/25/13 | 895,000 | 681,454 | |
Jefferies Group, | |||||
Sr. Unscd. Notes | 7.75 | 3/15/12 | 633,000 | 632,255 | |
Leucadia National, | |||||
Sr. Unscd. Notes | 7.00 | 8/15/13 | 420,000 | 388,500 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Diversified Financial | |||||
Services (continued) | |||||
Leucadia National, | |||||
Sr. Unscd. Notes | 7.13 | 3/15/17 | 950,000 | 776,625 | |
MBNA, | |||||
Sr. Unscd. Notes | 6.13 | 3/1/13 | 435,000 | 441,574 | |
Merrill Lynch & Co., | |||||
Sub. Notes | 5.70 | 5/2/17 | 1,970,000 | 1,692,313 | |
MUFG Capital Finance I, | |||||
Bank Gtd. Bonds | 6.35 | 7/29/49 | 710,000 | d | 622,389 |
Pearson Dollar Finance Two, | |||||
Gtd. Notes | 6.25 | 5/6/18 | 1,240,000 | c | 1,191,469 |
Windsor Financing, | |||||
Sr. Scd. Notes | 5.88 | 7/15/17 | 204,082 | c | 179,809 |
14,817,134 | |||||
Electric Utilities—4.1% | |||||
AES, | |||||
Sr. Unscd. Notes | 7.75 | 10/15/15 | 1,215,000 | 1,136,025 | |
AES, | |||||
Sr. Unscd. Notes | 8.00 | 10/15/17 | 70,000 | 65,450 | |
Consolidated Edison of NY, | |||||
Sr. Unscd. Debs., Ser. 08-A | 5.85 | 4/1/18 | 720,000 | 757,829 | |
Consumers Energy, | |||||
First Mortgage Bonds, Ser. B | 5.38 | 4/15/13 | 465,000 | 477,599 | |
Enel Finance International, | |||||
Gtd. Notes | 5.70 | 1/15/13 | 550,000 | c | 575,241 |
Enel Finance International, | |||||
Gtd. Bonds | 6.25 | 9/15/17 | 1,295,000 | c | 1,354,241 |
FirstEnergy, | |||||
Sr. Unscd. Notes, Ser. B | 6.45 | 11/15/11 | 1,090,000 | 1,138,319 | |
National Grid, | |||||
Sr. Unscd. Notes | 6.30 | 8/1/16 | 735,000 | 756,199 | |
Nevada Power, | |||||
Mortgage Notes | 6.50 | 8/1/18 | 775,000 | 793,813 | |
NiSource Finance, | |||||
Gtd. Notes | 1.23 | 11/23/09 | 775,000 | d | 768,920 |
NiSource Finance, | |||||
Gtd. Notes | 5.25 | 9/15/17 | 760,000 | 652,742 |
14
Coupon | Maturity | Principal | ||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
Electric Utilities (continued) | ||||
NRG Energy, | ||||
Gtd. Notes | 7.38 | 1/15/17 | 650,000 | 614,250 |
9,090,628 | ||||
Environmental Control—1.0% | ||||
Allied Waste North America, | ||||
Sr. Unscd. Notes, Ser. B | 7.13 | 5/15/16 | 250,000 | 251,588 |
Allied Waste North America, | ||||
Sr. Unscd. Notes | 7.25 | 3/15/15 | 360,000 | 365,823 |
USA Waste Services, | ||||
Sr. Unscd. Notes | 7.00 | 7/15/28 | 596,000 | 565,751 |
Veolia Environnement, | ||||
Sr. Unscd. Notes | 5.25 | 6/3/13 | 620,000 | 641,449 |
Waste Management, | ||||
Sr. Unscd. Notes | 7.38 | 8/1/10 | 260,000 | 271,006 |
2,095,617 | ||||
Food & Beverages—1.7% | ||||
Kraft Foods, | ||||
Sr. Unscd. Notes | 6.88 | 2/1/38 | 635,000 | 673,862 |
Kroger, | ||||
Gtd. Notes | 6.15 | 1/15/20 | 595,000 | 609,104 |
Safeway, | ||||
Sr. Unscd. Notes | 6.35 | 8/15/17 | 565,000 | 598,024 |
Stater Brothers Holdings, | ||||
Gtd. Notes | 7.75 | 4/15/15 | 595,000 | 574,175 |
Stater Brothers Holdings, | ||||
Gtd. Notes | 8.13 | 6/15/12 | 670,000 | 663,300 |
SUPERVALU, | ||||
Sr. Unscd. Bonds | 7.50 | 5/15/12 | 290,000 | 288,550 |
SUPERVALU, | ||||
Sr. Unscd. Bonds | 7.50 | 11/15/14 | 75,000 | 72,375 |
SUPERVALU, | ||||
Sr. Unscd. Notes | 8.00 | 5/1/16 | 230,000 | 224,250 |
3,703,640 | ||||
Foreign/Governmental—1.2% | ||||
Federal Republic of Brazil, | ||||
Sr. Unscd. Bonds | 6.00 | 1/17/17 | 1,160,000 | 1,196,540 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date�� | Amount ($) | Value ($) | |
Foreign/Governmental (continued) | |||||
Republic of Italy, | |||||
Sr. Unscd. Notes | 5.38 | 6/12/17 | 595,000 | 605,699 | |
United Mexican States, | |||||
Sr. Unscd. Notes | 5.63 | 1/15/17 | 744,000 | a | 755,904 |
2,558,143 | |||||
Forest Products & Paper—.4% | |||||
Georgia-Pacific, | |||||
Gtd. Notes | 7.00 | 1/15/15 | 315,000 | c | 296,100 |
Georgia-Pacific, | |||||
Gtd. Notes | 8.25 | 5/1/16 | 485,000 | c | 472,875 |
768,975 | |||||
Health Care—.6% | |||||
Community Health Systems, | |||||
Gtd. Notes | 8.88 | 7/15/15 | 715,000 | 704,275 | |
Davita, | |||||
Gtd. Notes | 6.63 | 3/15/13 | 727,000 | 688,832 | |
1,393,107 | |||||
Insurance—3.0% | |||||
Ace INA Holdings, | |||||
Gtd. Notes | 5.80 | 3/15/18 | 745,000 | 743,551 | |
Jackson National Life Global | |||||
Funding, Sr. Scd. Notes | 5.38 | 5/8/13 | 785,000 | c | 756,293 |
Kingsway America, | |||||
Sr. Notes | 7.50 | 2/1/14 | 45,000 | c | 40,691 |
Lincoln National, | |||||
Sr. Unscd. Notes | 1.41 | 3/12/10 | 1,285,000 | b,d | 1,254,187 |
Lincoln National, | |||||
Jr. Sub. Cap. Secs | 6.05 | 4/20/67 | 1,965,000 | d | 1,267,425 |
MetLife, | |||||
Sr. Unscd. Notes | 5.00 | 6/15/15 | 1,098,000 | 1,047,446 | |
Nippon Life Insurance, | |||||
Notes | 4.88 | 8/9/10 | 1,000,000 | b,c | 986,411 |
Prudential Financial, | |||||
Sr. Unscd. Notes | 6.63 | 12/1/37 | 175,000 | 152,064 | |
Willis North America, | |||||
Gtd. Notes | 6.20 | 3/28/17 | 440,000 | 390,232 | |
6,638,300 |
16
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Machinery—.4% | |||||
Atlas Copco, | |||||
Sr. Unscd. Bonds | 5.60 | 5/22/17 | 670,000 | c | 645,351 |
Terex, | |||||
Gtd. Notes | 7.38 | 1/15/14 | 245,000 | 225,400 | |
870,751 | |||||
Manufacturing—.6% | |||||
Bombardier, | |||||
Sr. Unscd. Notes | 8.00 | 11/15/14 | 600,000 | c | 567,750 |
Smiths Group, | |||||
Gtd. Notes | 7.20 | 5/15/19 | 800,000 | c | 771,754 |
1,339,504 | |||||
Media—5.8% | |||||
British Sky Broadcasting, | |||||
Gtd. Notes | 8.20 | 7/15/09 | 975,000 | b | 975,575 |
Cablevision Systems, | |||||
Sr. Unscd. Notes, Ser. B | 8.00 | 4/15/12 | 100,000 | 99,500 | |
Comcast, | |||||
Gtd. Notes | 6.30 | 11/15/17 | 1,265,000 | 1,341,016 | |
Cox Communications, | |||||
Notes | 6.25 | 6/1/18 | 575,000 | c | 569,362 |
CSC Holdings, | |||||
Sr. Unscd. Notes | 8.50 | 4/15/14 | 180,000 | a,c | 179,325 |
CSC Holdings, | |||||
Sr. Unscd. Notes | 8.63 | 2/15/19 | 430,000 | c | 420,325 |
DirecTV Holdings Financing, | |||||
Gtd. Notes | 7.63 | 5/15/16 | 610,000 | 596,275 | |
Echostar DBS, | |||||
Gtd. Notes | 7.75 | 5/31/15 | 900,000 | 861,750 | |
News America, | |||||
Gtd. Notes | 6.15 | 3/1/37 | 720,000 | 612,499 | |
News America, | |||||
Gtd. Notes | 6.65 | 11/15/37 | 515,000 | 464,635 | |
News America Holdings, | |||||
Gtd. Debs | 7.70 | 10/30/25 | 945,000 | 892,365 | |
Reed Elsevier Capital, | |||||
Gtd. Notes | 4.63 | 6/15/12 | 1,070,000 | 1,034,985 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Media (continued) | |||||
TCI Communications, | |||||
Sr. Unscd. Bonds | 7.88 | 2/15/26 | 765,000 | 806,470 | |
Time Warner, | |||||
Gtd. Notes | 5.88 | 11/15/16 | 1,960,000 | a | 1,934,445 |
Time Warner Cable, | |||||
Gtd. Notes | 5.85 | 5/1/17 | 955,000 | 955,144 | |
Time Warner Cable, | |||||
Gtd. Notes | 6.75 | 7/1/18 | 865,000 | 902,473 | |
12,646,144 | |||||
Mining—1.0% | |||||
BHP Billiton Finance USA, | |||||
Gtd. Notes | 6.50 | 4/1/19 | 335,000 | 372,708 | |
Freeport-McMoRan Cooper & Gold, | |||||
Sr. Unscd. Notes | 8.38 | 4/1/17 | 590,000 | 595,262 | |
Rio Tinto Finance USA, | |||||
Gtd. Notes | 5.88 | 7/15/13 | 645,000 | 649,618 | |
Teck Resources, | |||||
Sr. Scd. Notes | 10.25 | 5/15/16 | 70,000 | c | 73,415 |
Teck Resources, | |||||
Sr. Scd. Notes | 10.75 | 5/15/19 | 495,000 | c | 532,945 |
2,223,948 | |||||
Office And Business Equipment—.3% | |||||
Xerox, | |||||
Sr. Unscd. Notes | 5.50 | 5/15/12 | 235,000 | 234,510 | |
Xerox, | |||||
Sr. Unscd. Notes | 5.65 | 5/15/13 | 335,000 | 331,178 | |
565,688 | |||||
Oil & Gas—2.8% | |||||
Anadarko Petroleum, | |||||
Sr. Unscd. Notes | 8.70 | 3/15/19 | 565,000 | 633,987 | |
Chesapeake Energy, | |||||
Gtd. Notes | 7.50 | 6/15/14 | 255,000 | 242,887 | |
Chesapeake Energy, | |||||
Gtd. Notes | 9.50 | 2/15/15 | 1,565,000 | 1,584,562 | |
Husky Energy, | |||||
Sr. Unscd. Notes | 7.25 | 12/15/19 | 585,000 | 640,342 | |
Marathon Oil, | |||||
Sr. Unscd. Notes | 7.50 | 2/15/19 | 370,000 | 404,537 |
18
Coupon | Maturity | Principal | ||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) |
Oil & Gas (continued) | ||||
Newfield Exploration, | ||||
Sr. Sub. Notes | 7.13 | 5/15/18 | 165,000 | 150,769 |
Petro-Canada, | ||||
Sr. Unscd. Notes | 6.80 | 5/15/38 | 680,000 | 672,464 |
Range Resouces, | ||||
Sr. Sub. Notes | 8.00 | 5/15/19 | 895,000 | 884,931 |
Sempra Energy, | ||||
Sr. Unscd. Notes | 6.50 | 6/1/16 | 565,000 | 590,589 |
Valero Energy, | ||||
Sr. Unscd. Notes | 9.38 | 3/15/19 | 320,000 | 365,082 |
6,170,150 | ||||
Packaging & Containers—.8% | ||||
Ball, | ||||
Gtd. Notes | 6.63 | 3/15/18 | 395,000 | 362,412 |
Crown Americas, | ||||
Gtd. Notes | 7.63 | 11/15/13 | 720,000 | 705,600 |
Owens Brockway Glass Container, | ||||
Gtd. Notes | 6.75 | 12/1/14 | 650,000 | 624,000 |
Owens Brockway Glass Container, | ||||
Gtd. Notes | 7.38 | 5/15/16 | 100,000 c | 97,500 |
1,789,512 | ||||
Pipelines—1.2% | ||||
ANR Pipeline, | ||||
Sr. Unscd. Notes | 7.00 | 6/1/25 | 10,000 | 9,730 |
El Paso, | ||||
Sr. Unscd. Notes | 8.25 | 2/15/16 | 760,000 | 742,900 |
Kinder Morgan Energy Partners, | ||||
Sr. Unscd. Notes | 6.85 | 2/15/20 | 895,000 | 919,109 |
Trans-Canada Pipelines, | ||||
Sr. Unscd. Notes | 7.63 | 1/15/39 | 770,000 | 901,559 |
2,573,298 | ||||
Real Estate—3.2% | ||||
Boston Properties, | ||||
Sr. Unscd. Notes | 5.63 | 4/15/15 | 645,000 | 590,833 |
Commercial Net Lease Realty, | ||||
Sr. Unscd. Notes | 6.15 | 12/15/15 | 565,000 | 475,297 |
Federal Realty Investment Trust, | ||||
Sr. Unscd. Bonds | 5.65 | 6/1/16 | 375,000 | 328,929 |
The Fund 19
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Real Estate (continued) | |||||
Federal Realty Investment Trust, | |||||
Sr. Unscd. Notes | 6.00 | 7/15/12 | 380,000 | 370,250 | |
Healthcare Realty Trust, | |||||
Sr. Unscd. Notes | 8.13 | 5/1/11 | 575,000 | 573,041 | |
HRPT Properties Trust, | |||||
Sr. Unscd. Notes | 1.92 | 3/16/11 | 541,000 | b,d | 471,373 |
Liberty Property, | |||||
Sr. Unscd. Notes | 5.50 | 12/15/16 | 290,000 | 236,053 | |
Mack-Cali Realty, | |||||
Sr. Unscd. Notes | 5.05 | 4/15/10 | 485,000 | b | 483,236 |
Mack-Cali Realty, | |||||
Sr. Unscd. Notes | 5.13 | 1/15/15 | 196,000 | 164,679 | |
Mack-Cali Realty, | |||||
Sr. Unscd. Notes | 5.25 | 1/15/12 | 340,000 | 309,143 | |
Prologis, | |||||
Sr. Unscd. Notes | 6.63 | 5/15/18 | 560,000 | a | 441,632 |
Regency Centers, | |||||
Gtd. Notes | 5.25 | 8/1/15 | 187,000 | 151,994 | |
Regency Centers, | |||||
Gtd. Notes | 5.88 | 6/15/17 | 330,000 | 267,743 | |
Simon Property Group, | |||||
Sr. Unscd. Notes | 5.00 | 3/1/12 | 742,000 | 740,124 | |
Simon Property Group, | |||||
Sr. Unscd. Notes | 5.75 | 5/1/12 | 236,000 | 239,937 | |
WEA Finance, | |||||
Sr. Notes | 7.13 | 4/15/18 | 895,000 | c | 831,992 |
WEA Finance, | |||||
Gtd. Notes | 7.50 | 6/2/14 | 245,000 | c | 243,170 |
6,919,426 | |||||
Residential Mortgage | |||||
Pass-Through Ctfs.—1.0% | |||||
ChaseFlex Trust, | |||||
Ser. 2006-2, Cl. A1A | 5.59 | 9/25/36 | 57,859 | b,d | 55,824 |
Countrywide Home Loan Mortgage | |||||
Pass-Through Trust, | |||||
Ser. 2005-31, Cl. 2A1 | 5.48 | 1/25/36 | 2,233,321 | d | 1,571,216 |
20
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Residential Mortgage | |||||
Pass-Through Ctfs. (continued) | |||||
Impac Secured Assets CMN Owner | |||||
Trust, Ser. 2006-1, Cl. 2A1 | 0.66 | 5/25/36 | 576,074 | b,d | 392,307 |
Structured Asset Mortgage | |||||
Investments, Ser. 1998-2, Cl. B | 5.48 | 4/30/30 | 27,862 | b,d | 19,739 |
Terwin Mortgage Trust, | |||||
Ser. 2006-9HGA, Cl. A1 | 0.39 | 10/25/37 | 94,139 | b,c,d | 84,381 |
2,123,467 | |||||
Retail—.5% | |||||
Home Depot, | |||||
Sr. Unscd. Notes | 5.88 | 12/16/36 | 449,000 | 397,396 | |
Staples, | |||||
Sr. Unscd. Notes | 9.75 | 1/15/14 | 570,000 | a | 637,238 |
1,034,634 | |||||
State/Territory Gen Oblg—4.2% | |||||
California, | |||||
GO (Various Purpose) | 7.50 | 4/1/34 | 435,000 | 401,144 | |
California, | |||||
GO (Various Purpose) | 7.55 | 4/1/39 | 1,725,000 | 1,572,165 | |
Delaware Housing Authority, | |||||
SFMR D-2, Revenue Bonds | 5.80 | 7/1/16 | 895,000 | b | 925,788 |
Erie Tobacco Asset Securitization | |||||
Corporation, Tobacco | |||||
Settlement Asset-Backed Bonds | 6.00 | 6/1/28 | 835,000 | 634,633 | |
Michigan Tobacco Settlement | |||||
Finance Authority, Tobacco | |||||
Settlement Asset-Backed Bonds | 7.31 | 6/1/34 | 4,520,000 | 3,017,462 | |
Province of Quebec Canada, | |||||
Unscd. Notes | 4.60 | 5/26/15 | 585,000 | a | 606,869 |
Tobacco Settlement Authority of | |||||
Iowa, Tobacco Settlement | |||||
Asset-Backed Bonds | 6.50 | 6/1/23 | 2,753,000 | 2,062,823 | |
9,220,884 | |||||
Steel—.3% | |||||
Arcelormittal, | |||||
Sr. Scd. Notes | 9.85 | 6/1/19 | 585,000 | 632,351 |
The Fund 21
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
Telecommunications—2.8% | |||||
AT & T, | |||||
Sr. Unscd. Notes | 5.60 | 5/15/18 | 1,465,000 | 1,475,460 | |
CC Holdings GS V, | |||||
Sr. Scd. Notes | 7.75 | 5/1/17 | 1,180,000 | c | 1,156,400 |
Cisco Systems, | |||||
Notes | 5.90 | 2/15/39 | 450,000 | 444,692 | |
Telecom Italia Capital, | |||||
Gtd. Notes | 5.25 | 11/15/13 | 630,000 | 618,363 | |
Telecom Italia Capital, | |||||
Gtd. Notes | 7.72 | 6/4/38 | 305,000 | 311,501 | |
Verizon Communications, | |||||
Sr. Unscd. Notes | 7.35 | 4/1/39 | 605,000 | 661,333 | |
Verizon Wireless Capital, | |||||
Sr. Unscd. Notes | 5.55 | 2/1/14 | 1,420,000 | c | 1,509,033 |
6,176,782 | |||||
Textiles—.4% | |||||
Mohawk Industries, | |||||
Sr. Unscd. Notes | 6.25 | 1/15/11 | 970,000 | 943,495 | |
Transportation—.1% | |||||
Norfolk Southern, | |||||
Sr. Unscd. Notes | 5.75 | 4/1/18 | 145,000 | 148,510 | |
U.S. Government Agencies—.4% | |||||
Federal National Mortgage | |||||
Association, Bonds , Ser. 1 | 4.75 | 11/19/12 | 853,000 | f | 928,416 |
U.S. Government Agencies/ | |||||
Mortgage-Backed—40.6% | |||||
Federal Home Loan Mortgage Corp.: | |||||
4.50% | 2,410,000 f,g | 2,399,456 | |||
5.50% | 5,970,000 f,g | 6,239,581 | |||
6.00% | 3,605,000 f,g | 3,762,156 | |||
3.50%, 9/1/10 | 220,274 f | 221,709 | |||
4.00%, 10/1/09 | 194,906 f | 195,620 |
22
Principal | ||
Bonds and Notes (continued) | Amount ($) | Value ($) |
U.S. Government Agencies/ | ||
Mortgage-Backed (continued) | ||
Federal Home Loan Mortgage Corp. (continued): | ||
4.50%, 10/1/09—4/1/10 | 33,420 f | 34,065 |
5.50%, 1/1/34—7/1/38 | 1,216,063 f | 1,259,366 |
6.00%, 6/1/22—11/1/37 | 353,490 f | 371,474 |
7.00%, 11/1/31 | 195,456 f | 211,869 |
Federal National Mortgage Association: | ||
4.00% | 7,120,000 f,g | 6,905,287 |
4.50% | 12,475,000 f,g | 12,451,609 |
5.00% | 14,335,000 f,g | 14,630,929 |
5.50% | 10,335,000 f,g | 10,669,275 |
6.00% | 8,080,000 f,g | 8,553,440 |
3.53%, 7/1/10 | 1,206,406 f | 1,226,356 |
4.00%, 5/1/10 | 775,621 f | 782,656 |
4.06%, 6/1/13 | 48,000 f | 49,263 |
4.50%, 11/1/14 | 11,678 f | 11,981 |
4.90%, 1/1/14 | 397,293 f | 417,862 |
5.00%, 10/1/11—1/1/36 | 3,231,866 f | 3,308,248 |
5.14%, 1/1/16 | 68,736 f | 72,678 |
5.50%, 11/1/24—9/1/34 | 3,079,615 f | 3,198,311 |
6.00%, 7/1/17—1/1/38 | 5,094,871 f | 5,333,066 |
6.50%, 12/1/15 | 3,426 f | 3,641 |
7.00%, 11/1/31—6/1/32 | 34,787 f | 38,094 |
7.50%, 2/1/29—11/1/29 | 7,699 f | 8,391 |
8.50%, 6/1/12 | 2,117 f | 2,238 |
Grantor Trust, Ser. 2002-T11, | ||
Cl. A 4.77%, 4/25/12 | 14,212 b,f | 14,200 |
Grantor Trust, Ser. 2002-T3, | ||
Cl. A 5.14%, 12/25/11 | 415,300 b,f | 416,787 |
Government National Mortgage Association I: | ||
6.00%, 1/15/32 | 2,388 b | 2,511 |
6.50%, 7/15/32 | 4,421 b | 4,753 |
8.00%, 8/15/25—11/15/26 | 27,400 b | 30,265 |
9.00%, 2/15/21 | 12,980 b | 14,084 |
The Fund 23
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Principal | ||
Bonds and Notes (continued) | Amount ($) | Value ($) |
U.S. Government Agencies/ | ||
Mortgage-Backed (continued) | ||
Government National Mortgage Association I (continued): | ||
Ser. 2004-57, Cl. A 3.02%, 1/16/19 | 635,215 b | 639,265 |
Ser. 2007-46, Cl. A 3.14%, 11/16/29 | 1,082,820 b | 1,088,929 |
Ser. 2004-25, Cl. AC 3.38%, 1/16/23 | 320,995 b | 322,483 |
Ser. 2004-77, Cl. A 3.40%, 3/16/20 | 236,787 b | 237,937 |
Ser. 2004-67, Cl. A 3.65%, 9/16/17 | 189,055 b | 189,566 |
Ser. 2005-9, Cl. A 4.03%, 5/16/22 | 863,670 b | 876,289 |
Ser. 2004-51, Cl. A 4.15%, 2/16/18 | 955,490 b | 965,825 |
Ser. 2006-9, Cl. A 4.20%, 8/16/26 | 1,765,444 b | 1,801,845 |
88,963,360 | ||
U.S. Government Securities—2.5% | ||
U.S. Treasury Bonds; | ||
4.25%, 5/15/39 | 1,140,000 | 1,128,774 |
U.S. Treasury Notes: | ||
2.50%, 3/31/13 | 1,720,000 a | 1,751,713 |
4.75%, 8/15/17 | 890,000 | 975,941 |
U.S. Treasury Strip; | ||
0.00%, 2/15/36 | 5,500,000 | 1,729,156 |
5,585,584 | ||
Total Bonds and Notes | ||
(cost $272,247,085) | 261,005,549 | |
Short-Term Investments—8.2% | ||
U.S. Treasury Bills: | ||
0.07%, 7/9/09 | 10,000,000 a | 9,999,830 |
0.16%, 7/16/09 | 1,095,000 | 1,094,956 |
0.09%, 8/6/09 | 7,000,000 | 6,999,055 |
Total Short-Term Investments | ||
(cost $18,094,132) | 18,093,841 | |
Other Investment—1.6% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Preferred | ||
Plus Money Market Fund | ||
(cost $3,471,707) | 3,471,707 h | 3,471,707 |
24
Investment of Cash Collateral | ||
for Securities Loaned—4.8% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Cash | ||
Advantage Fund | ||
(cost $10,549,435) | 10,549,435 h | 10,549,435 |
Total Investments (cost $304,362,359) | 133.6% | 293,120,532 |
Liabilities, Less Cash and Receivables | (33.6%) | (73,702,039) |
Net Assets | 100.0% | 219,418,493 |
GO—General Obligation |
SFMR—Single Family Mortgage Revenue |
a All or a portion of these securities are on loan. At June 30, 2009, the total market value of the fund’s securities on |
loan is $9,690,770 and the total market value of the collateral held by the fund is $10,549,435. |
b Denotes all or part of security segregated as collateral. |
c Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in |
transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2009, these securities |
amounted to $36,215,330 or 16.5% of net assets. |
d Variable rate security—interest rate subject to periodic change. |
e Principal amount stated in U.S. Dollars unless otherwise noted. EUR—Euro. |
f On September 7, 2008, the Federal Housing Finance Agency (FHFA) placed Federal National Mortgage |
Association and Federal Home Loan Mortgage Corporation into conservatorship with FHFA as the conservator. As |
such, the FHFA will oversee the continuing affairs of these companies. |
g Purchased on a forward commitment basis. |
h Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Corporate Bonds | 48.7 | Municipals | 4.2 |
U.S. Government & Agencies | 43.5 | Foreign/Governmental | 1.2 |
Asset/Mortgage-Backed | 21.4 | ||
Short-Term/Money Market Investments | 14.6 | 133.6 | |
† Based on net assets. | |||
See notes to financial statements. |
The Fund 25
STATEMENT OF FINANCIAL FUTURES |
June 30, 2009 (Unaudited) |
Unrealized | ||||
Market Value | Appreciation | |||
Covered by | (Depreciation) | |||
Contracts | Contracts ($) | Expiration | at 6/30/2009 ($) | |
Financial Futures Long | ||||
U.S. Treasury 2 Year Notes | 42 | 9,081,188 | September 2009 | (10,576) |
U.S. Treasury 5 Year Notes | 90 | 10,324,688 | September 2009 | 155,067 |
U.S. Long Bond | 17 | 2,012,109 | September 2009 | 35,300 |
Financial Futures Short | ||||
U.S. Treasury 10 Year Notes | 258 | (29,996,531) | September 2009 | (633,636) |
Gross Unrealized | ||||
Appreciation | 190,367 | |||
Gross Unrealized | ||||
Depreciation | (644,212) | |||
See notes to financial statements. |
26
STATEMENT OF OPTIONS WRITTEN |
June 30, 2009 (Unaudited) |
Face Amount | ||
Covered by | ||
Contracts ($) | Value ($) | |
Call Options: | ||
1M 10Yr Rec Straddle | ||
July 2009 @ 3.715 | 4,355,000 | (78,743) |
2M 2Yr Rec Swap | ||
July 2009 @ 1.24 | 12,114,000 | (4,236) |
1M 5Yr Rec Swap Straddle | ||
July 2009 @ 3.515 | 4,818,000 | (125,106) |
Federal National Mortgage Association | ||
July 2009 @ 101.313 | 7,281,000 | (14,555) |
Federal National Mortgage Association | ||
August 2009 @ 100 | 4,856,000 | (45,559) |
U.S. Treasury 10 Year Notes | ||
July 2009 @ 117.5 | 21,000 | (14,437) |
Put Options: | ||
1M 10Yr Pay Straddle | ||
July 2009 @ 3.715 | 4,355,000 | (106,108) |
2M 2Yr Pay Swap | ||
July 2009 @ 1.54 | 12,114,000 | (37,420) |
1M 5Yr Pay Swap Straddle | ||
July 2009 @ 3.515 | 4,818,000 | (1,261) |
Federal National Mortgage Association | ||
July 2009 @ 101.313 | 7,281,000 | (135,135) |
Federal National Mortgage Association | ||
August 2009 @ 100 | 4,856,000 | (80,449) |
U.S. Treasury 10 Year Notes | ||
July 2009 @ 113 | 21,000 | (6,235) |
(Premiums received $605,832) | ||
Gross Unrealized Depreciation | (649,244) | |
See notes to financial statements. |
The Fund 27
STATEMENT OF ASSETS AND LIABILITIES |
June 30, 2009 (Unaudited) |
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments (including | ||
securities on loan, valued at $9,690,770)—Note 1(c): | ||
Unaffiliated issuers | 290,341,217 | 279,099,390 |
Affiliated issuers | 14,021,142 | 14,021,142 |
Cash | 851,259 | |
Receivable for investment securities sold | 17,446,266 | |
Dividends and interest receivable | 2,269,386 | |
Receivable for futures variation margin—Note 4 | 29,547 | |
Unrealized appreciation on forward foreign | ||
currency exchange contracts—Note 4 | 7,997 | |
Prepaid expenses | 15,801 | |
313,740,788 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(b) | 203,080 | |
Payable for investment securities purchased | 81,856,400 | |
Liability for securities on loan—Note 1(c) | 10,549,435 | |
Other liabilities | 652,015 | |
Outstanding options written, at value (premiums received | ||
$605,832)—See Statement of Options Written—Note 4 | 649,244 | |
Payable for shares of Capital Stock redeemed | 295,396 | |
Unrealized depreciation on forward foreign | ||
currency exchange contracts—Note 4 | 34,516 | |
Interest payable—Note 2 | 21 | |
Accrued expenses | 82,188 | |
94,322,295 | ||
Net Assets ($) | 219,418,493 | |
Composition of Net Assets ($): | ||
Paid-in capital | 295,123,475 | |
Accumulated undistributed investment income—net | 1,670,877 | |
Accumulated net realized gain (loss) on investments | (65,611,542) | |
Accumulated net unrealized appreciation (depreciation) on investments, | ||
options transactions and foreign currency transactions [including | ||
($453,845) net unrealized (depreciation) on financial futures] | (11,764,317) | |
Net Assets ($) | 219,418,493 | |
Shares Outstanding | ||
(unlimited number of $.001 par value shares of Beneficial Interest authorized) | 11,910,600 | |
Net Asset Value, offering and redemption price per share ($) | 18.42 | |
See notes to financial statements. |
28
STATEMENT OF OPERATIONS |
Six Months Ended June 30, 2009 (Unaudited) |
Investment Income ($): | |
Income: | |
Interest | 7,036,705 |
Income from securities lending | 50,157 |
Dividends | 9,857 |
Total Income | 7,096,719 |
Expenses: | |
Investment advisory fee—Note 3(a) | 504,909 |
Administrative service fees—Note 3(b) | 90,000 |
Auditing fees | 59,544 |
Custodian fees—Note 3(c) | 49,642 |
Directors’ fees and expenses—Note 3(d) | 45,374 |
Legal fees | 40,932 |
Shareholder servicing costs—Note 3(c) | 27,538 |
Prospectus and shareholders’ reports | 23,814 |
Accounting and administration fees—Note 3(a) | 22,500 |
Registration fees | 16,008 |
Loan commitment fees—Note 2 | 15,599 |
Interest expense—Note 2 | 21 |
Miscellaneous | 31,622 |
Total Expenses | 927,503 |
Less—reduction in investment advisory fee due to undertaking—Note 3(a) | (278,362) |
Less—reduction in fees due to earnings credits—Note 1(c) | (96) |
Net Expenses | 649,045 |
Investment Income—Net | 6,447,674 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments and foreign currency transactions | (15,605,038) |
Net realized gain (loss) on options transactions | 526,365 |
Net realized gain (loss) on financial futures | 2,452,545 |
Net realized gain (loss) on swap transactions | 228,800 |
Net realized gain (loss) on forward foreign currency exchange contracts | 32,062 |
Net Realized Gain (Loss) | (12,365,266) |
Net unrealized appreciation (depreciation) on investments, options transactions, | |
financial futures, swap transactions and forward foreign currency transactions | |
[including ($3,157,018) net unrealized (depreciation) on financial futures, | |
($13,652) net unrealized (depreciation) on options transactions, ($241,234) | |
net unrealized (depreciation) on swap transactions and ($120,060) net | |
unrealized (depreciation) on forward foreign currency exchange transactions] | 23,408,313 |
Net Realized and Unrealized Gain (Loss) on Investments | 11,043,047 |
Net Increase in Net Assets Resulting from Operations | 17,490,721 |
See notes to financial statements.
The Fund 29
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||
June 30, 2009 | Year Ended | |
(Unaudited) | December 31, 2008 | |
Operations ($): | ||
Investment income—net | 6,447,674 | 21,904,971 |
Net realized gain (loss) on investments | (12,365,266) | (11,302,018) |
Net unrealized appreciation | ||
(depreciation) on investments | 23,408,313 | (29,080,065) |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | 17,490,721 | (18,477,112) |
Dividends to Shareholders from ($): | ||
Investment income—net | (5,838,214) | (19,851,849) |
Beneficial Interest Transactions ($): | ||
Net proceeds from shares sold | 14,601,247 | 23,413,889 |
Dividends reinvested | 4,327,516 | 13,684,047 |
Cost of shares redeemed | (121,904,424) | (253,599,379) |
Increase (Decrease) in Net Assets from | ||
Beneficial Interest Transactions | (102,975,661) | (216,501,443) |
Total Increase (Decrease) in Net Assets | (91,323,154) | (254,830,404) |
Net Assets ($): | ||
Beginning of Period | 310,741,647 | 565,572,051 |
End of Period | 219,418,493 | 310,741,647 |
Undistributed investment income—net | 1,670,877 | 1,061,417 |
Capital Share Transactions (Shares): | ||
Shares sold | 826,628 | 1,228,451 |
Shares issued for dividends reinvested | 245,393 | 735,348 |
Shares redeemed | (6,895,158) | (13,516,112) |
Net Increase (Decrease) in Shares Outstanding | (5,823,137) | (11,552,313) |
See notes to financial statements. |
30
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
June 30, 2009 | Year Ended December 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Per Share Data ($): | ||||||
Net asset value, | ||||||
beginning of period | 17.52 | 19.31 | 19.61 | 19.66 | 20.08 | 20.08 |
Investment Operations: | ||||||
Investment income—neta | .44 | .88 | .96 | .93 | .82 | .77 |
Net realized and unrealized | ||||||
gain (loss) on investments | .89 | (1.81) | (.26) | (.10) | (.23) | .36 |
Total from Investment Operations | 1.33 | (.93) | .70 | .83 | .59 | 1.13 |
Distributions: | ||||||
Dividends from | ||||||
investment income—net | (.43) | (.86) | (1.00) | (.88) | (1.01) | (1.13) |
Net asset value, end of period | 18.42 | 17.52 | 19.31 | 19.61 | 19.66 | 20.08 |
Total Return (%) | 7.72b | (5.00) | 3.64 | 4.38 | 2.96 | 5.74 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | ||||||
to average net assets | .71c | .52 | .51d | .50d | .49d | .48d |
Ratio of net expenses | ||||||
to average net assets | .50c | .50 | .50 | .50 | .49 | .48 |
Ratio of net investment income | ||||||
to average net assets | 4.96c | 4.72 | 4.93 | 4.75 | 4.09 | 3.77 |
Portfolio Turnover Ratee | 191.75b | 443f | 430f | 382f | 380f | 301f |
Net Assets, end of period | ||||||
($ x 1,000) | 219,418 | 310,742 | 565,572 | 559,572 | 455,891 | 463,307 |
a Based on average shares outstanding at each month end. |
b Not annualized. |
c Annualized. |
d Includes the fund’s share of the The Standish Mellon Fixed Income Portfolio’s (the Portfolio) allocated expenses. |
e The portfolio turnover rates excluding mortgage dollar roll transactions for the periods ended June 30, 2009, December |
31, 2008, 2007, 2006 2005 and 2004 were 54.01%, 72%, 166%, 139%, 106% and 98%, respectively. |
f On October 25, 2007, the fund, which owned 100% of the Portfolio on such date, withdrew entirely from the |
Portfolio and received the Portfolio’s securties and cash in exchange for its interests in the Portfolio. Effective October |
26, 2007, the fund began investing directly in the securities in which the Portfolio had invested. Portfolio turnover |
represents activity of both the fund and the Portfolio for the year.The amounts shown for 2004-2006 are ratios for |
the Portfolio. |
See notes to financial statements. |
The Fund 31
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus/Standish Fixed Income Fund (the “fund”) is a separate diversified series of Dreyfus Investment Funds (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company offering fourteen series, including the fund, as of June 30, 2009.The fund’s investment objective is to achieve a high level of current income while preserving principal and maintaining liquidity. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of BNY Mellon, serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Trust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which may require the use of management estimates and assumptions. Actual results could differ from those estimates.
The fund enters into contracts that contain a variety of indemnifica-tions.The fund’s maximum exposure, if any, under these arrangements is unknown.The fund does not anticipate recognizing any loss related to these arrangements.
(a) Portfolio valuation: Investments in securities excluding short-term investments (other than U.S. Treasury Bills), financial futures, options, swaps and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by an independent pricing service (the “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
32
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 valued 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. Restricted securities, as well as securities or other assets for which recent market quotations are not readily available and are not valued by a pricing service approved by the Board of Trustees, or are determined by the fund not to reflect accurately fair value, are valued at fair value as determined in good faith under the direction of the Board of Trustees.The factors that may be considered when fair valuing a security in clude fundamental analytical data, the nature and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold and public trading in similar securities of the issuer or comparable issuers. Short-term investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates value. Registered investment companies that are not traded on an exchange are valued at their net asset value. Financial futures and options that are traded on an exchange are valued 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. Options traded over-the-counter are priced at the mean between the bid and the asked price. Investments in swap transactions are valued each business day by a pricing service approved by the Board of Trustees. Swaps are valued by the service by using a swap pricing model which incorpo rates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads on interest rates. Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange on the valuation date. Forward contracts are valued at the forward rate.
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The fund adopted Statement of Financial Accounting Standards No. 157 “FairValue Measurements” (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements.
Various inputs are used in determining the value of the fund’s investments relating to FAS 157.These inputs are summarized in the three broad levels listed below.
Level 1—quoted prices in active markets for identical investments. Level 2—other significant observable inputs (including quoted prices for similar securities, 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.
The following is a summary of the inputs used as of June 30, 2009 in valuing the fund’s investments:
Level 2—Other | Level 3— | ||||
Level 1— | Significant | Significant | |||
Quoted | Observable | Unobservable | |||
Prices | Inputs | Inputs | Total | ||
Assets ($) | |||||
Investments in Securities: | |||||
Corporate Bonds | — 106,659,611 | — | 106,659,611 | ||
U.S. Government Agencies/ | |||||
Mortgage Backed | — | 89,891,776 | — | 89,891,776 | |
Asset-Backed | — | 16,589,677 | — | 16,589,677 | |
Commercial | |||||
Mortgage-Backed | — | 28,376,407 | — | 28,376,407 | |
Municipal Bonds | — | 9,220,884 | — | 9,220,884 | |
Foreign Government | — | 2,558,143 | — | 2,558,143 | |
U.S. Treasury Securities | — | 23,679,425 | — | 23,679,425 | |
Residential | |||||
Mortgage-Backed | — | 2,123,467 | — | 2,123,467 | |
Mutual Funds | 14,021,142 | — | — | 14,021,142 |
34
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Quoted | Observable | Unobservable | ||
Prices | Inputs | Inputs | Total | |
Assets ($) (continued) | ||||
Other Financial | ||||
Instruments† | 190,367 | 7,997 | — | 198,364 |
Liabilities ($) | ||||
Other Financial | ||||
Instruments† | (940,582) | (387,390) | — | (1,327,972) |
† Other financial instruments include derivative instruments, such as futures, foreign forward currency |
exchange contracts, swap contracts and options contracts. Amounts shown represent unrealized |
appreciation (depreciation), or in the case of options, market value at period end. |
The following is a reconciliation of the change in value of Level 3 assets (for which significant unobservable inputs were used to determine fair value):
Investments in | ||
Investments in | Asset-Backed | |
Private Equities ($) | Security ($) | |
Balance as of 12/31/2008 | 1,983,334 | 526,725 |
Realized gain (loss) | — | — |
Change in unrealized | ||
appreciation (depreciation) | — | (82,376) |
Net purchases (sales) | (1,983,334) | — |
Transfers in and/or out of Level 3 | — | (444,349) |
Balance as of 6/30/2009 | — | — |
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dol-
The Fund 35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
lar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on investments are included with net realized and unrealized gain or loss on investments.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
The fund has arrangements with the custodian and cash management bank whereby the fund may receive earnings credits when positive cash balances are maintained, which are used to offset custody and cash management fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls and delayed settlements, and their prices may be more volatile than those of comparable securities in the U.S.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all
36
income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. During the period ended June 30, 2009, The Bank of New York Mellon earned $27,008 from lending fund portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Manager are defined as “affiliated” in the Act.
(e) Concentration of Risk: The fund invests primarily in debt securities. Failure of an issuer of the debt securities to make timely interest or principal payments, or a decline or the perception of a decline in the credit quality of a debt security, can cause the debt security’s price to fall, potentially lowering the fund’s share price. In addition, the value of debt securities may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment.They may also decline because of factors that affect a particular industry.
(f) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income-net are declared and paid quarterly. 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 capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles.
(g) 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 pro-
The Fund 37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
visions of the Code, and to make distributions of taxable income sufficient to relieve it from substantially all federal income and excise taxes.
As of and during the period ended June 30, 2009, 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, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended December 31, 2008 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund has an unused capital loss carryover of $50,840,869 available for federal income tax purposes to be applied against future net securities profits, if any realized subsequent to December 31, 2008. If not applied, $36,020,187 of the carryover expires in fiscal 2009, $963,957 expires in fiscal 2014, $3,009,464 expires in fiscal 2015 and $10,847,261 expires in fiscal 2016. It’s uncertain whether the fund will be able to realize the benefits of the remaining capital loss carryovers before they expire and the remaining capital loss carryovers could be subject to future limitations imposed by the internal revenue code related to share ownership activity.
The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2008 was as follows: ordinary income $19,851,849. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The Trust entered into two separate agreements with The Bank of New York Mellon, that enable the fund, and other funds in the Trust, to borrow, in the aggregate, (i) up to $35 million from a committed line of credit and (ii) up to $15 million under an uncommitted line of credit. In connection therewith, the fund has agreed to pay administrative and facility fees on its pro rata portion of the lines of credit. Interest is charged to the fund based on prevailing markets rates in effect at the time of borrowing.
38
The average amount of borrowings outstanding under the lines of credit during the period ended June 30, 2009, was approximately $5,100 with a related weighted average annualized interest rate of .84%.
NOTE 3—Investment Advisory Fee and Other Transactions With Affiliates:
(a) Pursuant to an investment advisory agreement (“Agreement”) with the Manager, the investment advisory fee is based on the value of the fund’s average net assets and is computed at the following annual rate: .40% of the first $250 million: .35% of the next $250 million and .30% in excess of $500 million. The Manager had undertaken from January 1, 2009 through June 30, 2009, to reduce the investment advisory 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, not to exceed an annual rate of .50% of the value of the fund’s average daily net assets. The reduction in investment advisory fee, pursuant to the undertaking, amounted to $278,362 during the year ended June 30, 2009.
The Trust entered into an agreement with The Bank of New York Mellon, pursuant to which The Bank of New York Mellon provides administration and fund accounting services for the fund. For these services the fund pays The Bank of NewYork Mellon a fixed fee plus asset and transaction based fees, as well as out-of-pocket expenses. Pursuant to this agreement, the fund was charged $22,500 for the period ended June 30, 2009 for administration and fund accounting services.
(b) The fund may pay administrative service fees.These fees are paid to affiliated or unaffiliated retirement plans, omnibus accounts and platform administrators and other entities (“Plan Administrators”) that provide record keeping and/or other administrative support services to accounts, retirement plans and their participants.As compensation for such services, the fund may pay each Plan Administrator an administrative service fee in an amount of up to .15% (on an annualized basis) of the fund’s average daily net assets attributable to fund shares that are held in accounts serviced by such Plan Administrator. For the period ended
The Fund 39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
June 30, 2009, the fund was charged $90,000.The fund’s adviser or its affiliates may pay additional compensation from their own resources to Plan Administrators and other entities for administrative services, as well as in consideration of marketing or other distribution-related services. These payments may provide an incentive for these entities to actively promote the fund or cooperate with the distributor’s promotional efforts.
(c) 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, 2009, the fund was charged $13,531 pursuant to the transfer agency agreement.
The fund compensates The Bank of New York Mellon under cash management agreements for performing cash management services related to fund subscriptions and redemptions. During the period ended June 30, 2009, the fund was charged $96 pursuant to the cash management agreements. These fees were offset by earnings credits pursuant to the cash management agreements.
The fund also compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. During the period ended June 30, 2009, the fund was charged $49,642 pursuant to the custody agreement.
During the period ended June 30, 2009, the fund was charged $3,341 for services performed by the Chief Compliance Officer.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: investment advisory fees $77,731, custodian fees $36,098, administrative service fees $129,837, chief compliance officer fees $1,670 and transfer agency per account fees $18,463, which are offset against an expense reimbursement currently in effect in the amount of $60,719.
(d) Each Trustee receives $45,000 per year, plus $6,000 for each joint Board meeting of The Dreyfus/Laurel Funds, Inc.,The Dreyfus/Laurel Funds Trust and The Dreyfus/Laurel Tax-Free Municipal Funds, (collectively, the “Dreyfus/Laurel Funds”) and the Trust attended, $2,000
40
for separate in-person committee meetings attended which are not held in conjunction with a regularly scheduled Board meeting and $1,500 for Board meetings and separate committee meetings attended that are conducted by telephone and is reimbursed for travel and out-of-pocket expenses. With respect to Board meetings, the Chairman of the Board receives an additional 25% of such compensation (with the exception of reimbursable amounts).With respect to compensation committee meetings, the Chair of the compensation committee receives $900 per meeting. In the event that there is an in person joint committee meeting of the Dreyfus/Laurel Funds, the Trust and Dreyfus High Yield Strategies Fund, the $2,000 or $1,500 fee, as applicable, will be allocated between the Dreyfus/Laurel Funds, the Trust and Dreyfus HighYield Strategies Fund.These fees and expenses are charged and allocated to each series based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales (including paydowns) of investment securities, excluding short-term securities, financial futures, forward contracts and swap transactions, during the period ended June 30,2009, amounted to $607,513,179 and $741,202,553, respectively, of which $436,391,244 in purchases and $437,682,094 in sales were from mortgage dollar roll transactions.
The fund adopted Statement of Financial Accounting Standards No. 161 “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements.The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.All changes to accounting policies and disclosures have been made in accordance with FAS 161 and are incorporated for the current period as part of the disclosures within this Note.
The Fund 41
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Fair value of derivative instruments as of June 30, 2009: | ||||
Statement of | Statement of | |||
Assets and | Assets and | |||
Liabilities | Derivative | Liabilities | Derivative | |
Derivatives | Location | Assets ($) | Location | Liabilities ($) |
Interest rate | Receivables, | 190,367 | Payables, | (687,624) |
contracts† | Net Assets— | Net Assets— | ||
Unrealized | Unrealized | |||
appreciation | depreciation | |||
Foreign exchange | Receivables | 7,997 | Payables | (34,516) |
contracts | ||||
Gross fair value | ||||
of derivatives | ||||
contracts | 198,364 | (722,140) |
† | Includes cumulative appreciation/depreciation of futures contracts as reported on the Statement of |
Financial Futures, but only the unpaid variation margin is reported within the Statement of | |
Assets and Liabilities. |
The effect of derivative instruments on the Statement of Operations the period ended June 30, 2009 is shown below:
Amount of realized gain or (loss) on derivatives ($) | |||||
Foreign | |||||
Exchange | |||||
Derivatives | Options | Futures | Contracts | Swaps | Total |
Interest rate | |||||
contracts | 526,365 | 2,452,545 | — | — | 2,978,910 |
Foreign exchange | |||||
contracts | — | — | 32,062 | — | 32,062 |
Credit contracts | — | — | — | 228,800 | 228,800 |
Total | 526,365 | 2,452,545 | 32,062 | 228,800 | 3,239,772 |
Change in unrealized appreciation or (depreciation) on derivatives ($) | |||||
Foreign | |||||
Exchange | |||||
Derivatives | Options | Futures | Contracts | Swaps | Total |
Interest rate | |||||
contracts | (13,652) | (3,157,018) | — | — | (3,170,670) |
Foreign exchange | |||||
contracts | — | — | (120,060) | — | (120,060) |
Credit contracts | — | — | — | (241,234) | (241,234) |
Total | (13,652) (3,157,018) | (120,060) (241,234) | (3,531,964) |
42
During the period ended June 30, 2009, the average notional value of interest rate contracts was $52,636,789, which represented 20.1% of average net assets.The average notional value of foreign exchange contracts was $5,535,652, which represented 2.1% of average net assets. The average notional value of credit contracts was $895,714, which represented .34% of average net assets.
Mortgage Dollar Rolls: A mortgage dollar roll transaction involves a sale by the fund of mortgage related securities that it holds with an agreement by the fund to repurchase similar securities at an agreed upon price and date.The securities purchased will bear the same interest rate as those sold, but generally will be collateralized by pools of mortgages with different prepayment histories than those securities sold.
Futures Contracts: In the normal course of pursuing its investment objectives, the fund is exposed to market risk (including equity price risk, interest rate risk and foreign currency exchange risk) as a result of changes in value of underlying financial instruments. The fund may invest in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents.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. Accordingly, variation margin payments are received or made to reflect daily unrealized gains o r losses which are recorded in the Statement of Operations. Futures contracts are valued daily at the settlement price established by the Board of Trade or exchange upon which they are traded.When the contracts are closed, the fund recognizes a realized gain or loss.There is minimal counterparty credit risk to the fund with futures since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Contracts open at June 30, 2009 are set forth in the Statement of Financial Futures.
The Fund 43
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Options: A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the writer to sell, the underlying security or securities at the exercise price at any time during the option period, or at a specified date. Conversely, a put option gives the purchaser of the option the right (but not the obligation) to sell, and obligates the writer to buy the underlying security or securities at the exercise price at any time during the option period, or at a specified date.The fund may purchase and write (sell) put and call options primarily to hedge against changes in security prices, or securities that the fund intends to purchase, or against fluctuations in value caused by changes in prevailing market interest rates or other market conditions.
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 instrument underlying the option. 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 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 financial instrument underlying the option. 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. As a writer of an option, the fund may have no control over whether the underlying securities may be sold (call) or purchased (put) and as a result bear the market risk of an unfavorable change in the price of the security underlying the written option. One risk of holding a put or a call option is that if the option is not sold or exercised prior to its expiration, it becomes worthless.
44
However, this risk is limited to the premium paid by the fund. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.
The following summarizes the fund’s call/put options written for the period ended June 30, 2009:
Face Amount | Options Terminated | |||
Covered by | Premiums | Net Realized | ||
Options Written: | Contracts ($) | Received ($) | Cost ($) | Gain ($) |
Contracts outstanding | ||||
December 31, 2008 | 164,000 | 237,699 | — | — |
Contracts written | 191,482,000 | 2,121,429 | — | — |
Contracts terminated: | ||||
Contracts Closed | 82,653,000 | 1,119,603 | 1,105,588 | 14,015 |
Contracts Expired | 42,103,000 | 633,692 | — | 633,692 |
Total contracts | ||||
terminated | 124,756,000 | 1,753,295 | 1,105,588 | 647,707 |
Contracts Outstanding | ||||
June 30, 2009 | 66,890,000 | 605,833 | — | — |
Forward Foreign Currency Exchange Contracts: The fund may enter into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of an investment strat-egy.When executing forward contracts, the fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund would incur a loss if the value of the contracts increases between the date the forward contracts are opened and the date the forward contracts are closed.The fund realizes a gain if the value of the contracts decreases between those dates. With respect to purchases of forward contracts, the fund would incur a loss if the value of the contracts decreases between the date the forward contracts are ope ned and the date the forward contracts are closed. The fund realizes a gain if the value of the contracts increases between those dates.The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which
The Fund 45
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
is typically limited to the unrealized gain on each open contract.The following summarizes open forward contracts at June 30, 2009:
Foreign | Unrealized | |||
Forward Foreign Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | |
Purchases: | ||||
Argentine Peso, | ||||
expiring 7/31/2009 | 4,596,000 | 1,189,133 | 1,190,087 | 954 |
Brazilian Real, | ||||
expiring 7/31/2009 | 2,200,000 | 1,119,080 | 1,115,920 | (3,160) |
British Pound, | ||||
expiring 7/24/2009 | 710,000 | 1,176,293 | 1,168,076 | (8,217) |
Canadian Dollar, | ||||
expiring 7/24/2009 | 1,350,000 | 1,181,723 | 1,160,775 | (20,948) |
Colombia Peso, | ||||
expiring | ||||
7/31/2009 | 2,509,800,000 | 1,159,261 | 1,164,356 | 5,095 |
Euro, expiring | ||||
7/24/2009 | 435,000 | 611,453 | 610,263 | (1,190) |
Russian Ruble, | ||||
expiring | ||||
7/31/2009 | 38,086,000 | 1,211,849 | 1,211,966 | 117 |
South Korean Won, | ||||
expiring | ||||
7/24/2009 | 1,508,060,000 | 1,183,720 | 1,185,551 | 1,831 |
Thai Bhat, expiring | ||||
7/31/2009 | 38,710,000 | 1,136,491 | 1,135,490 | (1,001) |
Gross Unrealized | ||||
Appreciation | 7,997 | |||
Gross Unrealized | ||||
Depreciation | (34,516) |
Swaps: The fund may enter into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument.The fund enters into these agreements for a variety of reasons, including to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
The fund accrues for the interim payments on swap contracts on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap contracts in the Statement of Assets and
46
Liabilities. Once the interim payments are settled in cash, the net amount is recorded as realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swaps contracts in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and /or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the contract’s term/event with the exception of forward started interest rate swaps which are recorded as realized gains or losses on the termination date. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation on swap transactions.
Credit Default Swaps: Credit default swaps involve commitments to pay a fixed interest rate in exchange for payment if a credit event affecting a third party (the referenced company) occurs. Credit events may include a failure to pay interest or principal, bankruptcy, or restructuring. The fund enters into these agreements to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. For those credit default swaps in which the fund is paying a fixed rate, the fund is buying credit protection on the instrument. In the event of a credit event, the fund would receive the full notional amount for the reference obligation. For those credit default swaps in which the fund is receiving a fixed rat e, the fund is selling credit protection on the underlying instrument. The maximum pay-outs for these contracts are limited to the notional amount of each swap. Credit default swaps may involve greater risks than if the fund had invested in the reference obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk.At June 30, 2009, the fund held no open credit default swaps.
At June 30, 2009, accumulated net unrealized depreciation on investments was $11,241,827,consisting of $4,283,516 gross unrealized appreciation and $15,525,343 gross unrealized depreciation.
The Fund 47
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
At June 30, 2009, 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).
NOTE 5—Change in Independent Registered Public Accounting Firm:
PricewaterhouseCoopers LLP (“PWC”), 300 Madison Avenue, New York, New York 10017, an independent registered public accounting firm, was the independent registered public accounting firm for the fund for the fiscal year ended December 31, 2008. At the meetings held on February 9-10, 2009, the Audit Committee and the Board of Trustees of the Trust engaged KPMG LLP to replace PWC as the independent registered public accounting firm for the Trust.
During the fund’s past two fiscal years and any subsequent interim period: (i) no report on the fund’s financial statements contained an adverse opinion or a disclaimer of opinion, or was qualified or modified as to uncertainty, audit scope, or accounting principles; and (ii) there were no “disagreements” (as such term is used in Item 304 of Regulation S-K) with PWC on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreement(s), if not resolved to the satisfaction of PWC, would have caused it to make reference to the subject matter of the disagreement(s) in connection with its report.Effective on or about September 1, 2009, the single class shares of the fund will be re-designated as Class shares.There will be no change to investor eligibility.
NOTE 6—Subsequent Events Evaluation:
Dreyfus has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date of issuance of the financial statements.
At the meetings held on July 22-23, 2009, the Board of Trustees of the Trust approved a proposal to redesignate the fund’s existing shares as Class I shares, effective on or about September 1, 2009.The description of the eligibility requirements of the fund’s shares will remain the same.
48
INFORMATION ABOUT THE REVIEW AND |
APPROVAL OF THE FUND’S INVESTMENT |
ADVISORY AGREEMENT (Unaudited) |
At a meeting of the fund’s Board ofTrustees held on February 9 and 10, 2009, the Board considered the re-approval of the fund’s Investment Advisory Agreement (“Management Agreement”), pursuant to which the Manager provides the fund with investment advisory and certain administrative services.The Board members, none of whom are “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 Manager.
Representatives of the Manager reminded the Board members that the Manager became the investment adviser of the fund, effective December 1, 2008, and that there were no changes to the portfolio management of the fund as a result of the appointment of the Manager as the fund’s investment adviser.
Analysis of Nature, Extent and Quality of Services Provided to the Fund.The Board members considered information previously provided to them in a presentation from representatives of the Manager regarding services provided to other funds in the Dreyfus fund complex, and representatives of the Manager confirmed that there had been no material changes in this information. The Board also discussed the nature, extent and quality of the services provided to the fund pursuant to its Management Agreement. The Manager’s representatives reviewed the relationships the Manager has with various intermediaries and the different needs of each.The Manager’s representatives noted the distribution channels for the fund as well as the diversity of distribution among the funds in the Dreyfus fund complex, and the Manager’s corresponding need for broad, deep, and diverse resource s to be able to provide ongoing shareholder services to each distribution channel, including those of the fund. The Manager provided the number of shareholder accounts in the fund, as well as the fund’s asset size.
The Board members also considered the Manager’s research and portfolio management capabilities and that the Manager also provides oversight of day-to-day fund operations, including assistance in meeting
The Fund 49
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S |
INVESTMENT ADVISORY AGREEMENT (Unaudited) (continued) |
legal and regulatory requirements.The Board members also considered the Manager’s extensive compliance infrastructure.The Board also considered the Manager’s brokerage policies and practices and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board members reviewed the fund’s performance and comparisons to a group of institutional intermediate investment-grade debt funds (the “Performance Group”) and to a larger universe of funds, consisting of all retail and institutional intermediate investment-grade debt funds (the “Performance Universe”) selected and provided by Lipper, Inc., an independent provider of investment company data.The Board was provided with a description of the methodology Lipper used to select the Performance Group and Performance Universe, as well as the Expense Group and Expense Universe (discussed below).The Board members discussed the results of the comparisons and noted that the fund’s total return performance was below the Performance Group and Performance Universe me dians for each of the reported periods ended December 31, 2008, except the ten-year period when the fund’s total return performance was equal to the Performance Group median. The Board members also noted that the fund’s yield performance was variously above and below the Performance Group and Performance Universe medians for the past ten one-year periods ended December 31st (1999-2008). The Manager also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
The Board members also discussed the fund’s contractual and actual management fee and expense ratio and reviewed the range of management fees and expense ratios of a comparable group of funds (the “Expense Group”) and a broader group of funds (the “Expense Universe”), each selected and provided by Lipper.A representative of the Manager informed the Board members that the Manager is currently limiting the fund’s total expense ratio (excluding taxes, brokerage fees, interest on borrowings, commitment fees and other extraordinary expenses) to 0.50% of the fund’s average daily net assets and that such
50
limitation is voluntary and may be terminated at any time.The Board members also were informed that the Lipper data presenting the fund’s “actual management fees” included fees paid by the fund, as calculated by Lipper,for administrative services provided byThe Bank of NewYork Mellon, the Trust’s administrator. Such reporting was necessary, according to Lipper, to allow the Board to compare the fund’s advisory fees to those peers that include administrative fees within a blended advisory fee. The Board noted that the fund’s contractual management fee was below the Expense Group median and that, with the expense limitation, the fund’s actual management fee and expense ratio were each below the respective Expense Group and Expense Universe medians.
Representatives of the Manager reviewed with the Board members the fees paid to the Manager or its affiliates by mutual funds managed by the Manager or its affiliates with similar investment objectives, policies and strategies, and included in the same Lipper category as the fund (the “Similar Funds”). It was noted that there were no other accounts managed by the Manager or its affiliates with similar investment objectives, policies and strategies as the fund.The Manager’s representatives reviewed the costs associated with distribution through intermediaries. The Board analyzed differences in fees paid to the Manager and discussed the relationship of the fees paid in light of the services provided. The Board members considered the relevance of the fee information provided for the Similar Funds to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. A representative of the Manager reminded the Board members that The Bank of New York Mellon Corporation, the parent company of the Manager, paid all of the expenses associated with the Manager becoming the fund’s investment adviser and the proxy campaign with respect to the Board members becoming the Trust’s Board members. Because the Manager only became the fund’s investment adviser effective December 1, 2008, the Manager’s representatives were not able to provide a dollar amount of expenses allocated and profit received by the Manager, but a repre-
The Fund 51
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S |
INVESTMENT ADVISORY AGREEMENT (Unaudited) (continued) |
sentative of the Manager did review the method to be used to determine such expenses and profit in the future.The Board previously had been provided with information prepared by an independent consulting firm regarding the Manager’s approach to allocating costs to, and determining the profitability of, individual funds and the entire Dreyfus mutual fund complex.The Board also was informed that the methodology had also been reviewed by an independent registered public accounting firm which, like the consultant, found the methodology to be reasonable.The consulting firm also analyzed where any economies of scale might emerge in connection with the management of the fund.The Board members considered potential benefits to the Manager from acting as investment adviser and noted that there were no soft dollar arrangements with respect to trading the fund’s portfolio.The Board also considered whether the fund would be able to participate in any economies of scale that the Manager may experience in the event that the fund attracts a large amount of assets, noting the decrease in the fund’s recent asset levels.The Board members discussed the renewal requirements for advisory agreements and their ability to review the management fee annually.
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 continuation of the fund’s Management Agreement. Based on the discussions and considerations as described above, the Board made the following conclusions and determinations.
- The Board concluded that the nature, extent and quality of the ser- vices to be provided by the Manager are adequate and appropriate.
- While the Board was concerned with the fund’s performance, the Board noted that the Manager only became the fund’s investment adviser effective December 1, 2008 and believed the Manager would seek to improve performance. The Board determined to closely monitor performance.
52
- The Board concluded, taking into account the voluntary waiver of a portion of expenses by the Manager, that the fee paid by the fund to the Manager was reasonable in light of the services to be provided, comparative performance, expense and advisory fee information and potential profits to be realized and benefits to be derived by the Manager from its relationship with the fund.
- The Board determined that because the Manager had become the investment adviser of the fund effective December 1,2008,economies of scale were not a factor at this time, but, to the extent that material economies of scale are not shared with the fund in the future, the Board would seek to do so in connection with future renewals.
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that re-approval of the fund’s Management Agreement was in the best interests of the fund and its shareholders and that the Management Agreement would be renewed through April 4, 2010.
The Fund 53
The views expressed in this report reflect those of the portfolio managers only through the end of the period covered and do not necessarily represent the views of Dreyfus or any other person in the Dreyfus organization. Any such views are subject to change at any time based upon market or other conditions and Dreyfus disclaims any responsibility to update such views.These views may not be relied on as investment advice and, because investment decisions for a Dreyfus fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Dreyfus fund.
Contents | |
THE FUND | |
2 | A Letter from the Chairman and CEO |
3 | Discussion of Fund Performance |
6 | Understanding Your Fund’s Expenses |
6 | Comparing Your Fund’s Expenses With Those of Other Funds |
7 | Statement of Investments |
20 | Statement of Financial Futures |
21 | Statement of Assets and Liabilities |
22 | Statement of Operations |
23 | Statement of Changes in Net Assets |
24 | Financial Highlights |
25 | Notes to Financial Statements |
41 | Information About the Review and Approval of the Fund’s Investment Advisory Agreement |
FOR MORE INFORMATION | |
Back Cover |
Dreyfus/Standish International Fixed Income Fund |
The Fund
A LETTER FROM THE CHAIRMAN AND CEO
Dear Shareholder:
We are pleased to present to you this semiannual report for Dreyfus/Standish International Fixed Income Fund, covering the six-month period from January 1, 2009, through June 30, 2009.
The severe recession and banking crisis that dominated the financial markets at the start of 2009 appear to have moderated as of mid-year. Previously frozen credit markets have thawed, giving businesses access to the capital they need to grow. After reaching multi-year lows early in the year, higher-yielding segments of the bond market staged an impressive rally, while U.S.Treasury securities gave back some of their 2008 gains. While the U.S. economy remains weak overall, we have seen encouraging evidence of potential recovery, including a recovering housing market and improvements within certain manufacturing sectors. Meanwhile, inflation has remained tame in the face of high unemployment and unused manufacturing capacity.
Although these developments give us reasons for optimism, we remain cautious due to the speed and magnitude of the corporate bond market’s 2009 rebound. Indeed, the market’s advance was fueled more by investors’ renewed appetites for risk than improving business fundamentals. We would prefer to see a steadier rise in asset prices supported by more concrete economic data, as the rapid rise increases the possibility that profit-taking could move the market lower. In uncertain markets such as this one, even the most seasoned investors can benefit from professional counsel. To determine how your investments should be positioned for the challenges and opportunities that lie ahead, we continue to stress that you talk regularly with your financial advisor. For information about how the fund performed during the reporting period, as well as market perspectives, we have provided a Discussion of Fund Performance given by the Portfolio M anagers.
Thank you for your continued confidence and support.
Jonathan R. Baum Chairman and Chief Executive Officer The Dreyfus Corporation July 15, 2009 |
2
DISCUSSION OF FUND PERFORMANCE
For the period of January 1, 2009, through June 30, 2009, as provided by David Leduc, CFA, and Thomas Fahey, Co-Portfolio Managers
Fund and Market Performance Overview
For the six-month period ended June 30, 2009, Dreyfus/Standish International Fixed Income Fund achieved a total return of 5.45%.1 In comparison, the Barclays Capital Global Aggregate ex-U.S. Index (Hedged) (the “Index”), the fund’s benchmark, achieved a total return of 1.19% for the same period.2
International bond markets stabilized over the first half of 2009 after suffering severe dislocations amid a global credit crisis in 2008. The fund produced a higher return than its benchmark, primarily due to a well timed shift in emphasis from government securities to high-quality corporate bonds that rallied as market conditions improved.
The Fund’s Investment Approach
The fund seeks to maximize total return while realizing a market level of income, consistent with preserving principal and liquidity, by normally investing at least 80% of its assets in fixed income securities. The fund also normally invests at least 65% of its assets in non-U.S. dollar-denominated fixed income securities of foreign governments and companies located in various countries, including emerging markets. The fund’s investments may include non-U.S. high-grade and medium-grade government, corporate, mortgage-backed, asset-backed, high yield and emerging market debt securities.To protect the U.S. dollar value of the fund’s assets, we hedge most, but not necessarily all, of the portfolio’s foreign currency exposure
The fund emphasizes rotation among undervalued countries, sectors, securities and currencies. In particular, we focus on securities with the most potential for added value, i.e., those involving potential for credit upgrades and unique structural characteristics.To identify these securities, we use macroeconomic research and quantitative analysis to allocate assets among countries and currencies based on a comparative evaluation of interest and inflation rate trends, government fiscal/monetary policy and credit quality of government debt.
The Fund 3
DISCUSSION OF FUND PERFORMANCE (continued) |
Global Bond Markets Began to Rebound from 2008 Lows
2009 began in the wake of one of the most severe downturns in the global financial markets in decades. Staggering losses among mortgage- and asset-backed securities nearly led to the collapse of the international banking system over the second half of 2008. Meanwhile, the credit crisis contributed to the onset of the most prolonged and severe recession since the 1930s. After a long period of gains, housing prices throughout the world declined sharply, and mortgage foreclosure rates soared. Consumer confidence plummeted, resulting in constrained spending. Perhaps most significant, unemployment rates climbed as business conditions deteriorated.These developments prompted aggressive remedial measures from government and monetary authorities. Central banks reduced short-term interest rates and pumped liquidity into frozen credit markets, while government officials enacted massive economic stimulus programs.
Economic and market weakness generally prevailed over the first two months of 2009. As a result, higher yielding sectors of the global bond market continued to decline, and yield differences between high yield corporate bonds and sovereign debt obligations reached historically wide levels. In early March, however, signs of potential economic stabilization produced optimism that the global recession and financial crisis might have bottomed.The remedial measures adopted by governments around the world appeared to have averted a collapse,and investors began to look forward to better economic and market conditions. Although we saw relatively little evidence of actual economic improvement, stocks and higher yielding bonds rallied through the end of the reporting period in anticipation of a recovery.
Defensive Posture Supported Fund Performance
When 2009 began, we had maintained a substantially overweighted position in government securities, which sheltered the fund from the brunt of the credit crisis and enabled it to capture the benefits of falling interest rates. In addition, the fund’s liquid holdings of sovereign debt put it in a good position to purchase higher yielding bonds at compelling prices near the bottom of the market’s swoon.
Even before market conditions began to improve, we took advantage of a number of opportunities among high-grade corporate bonds with competitive yields, including securities from issuers in the battered
4
financials sector, where we focused on very large institutions that were deemed “too big to fail” during the downturn. We found particularly attractive values among investment-grade corporate bonds in the United States, which are not represented in the Index; conversely, we found relatively few opportunities in Japan. Otherwise, we found numerous bonds meeting our investment criteria across a diverse range of geographic regions and industry groups.As a result, the fund’s composition changed significantly, shifting to underweighted exposure to sovereign bonds and an overweighted position in corporate debt securities by the reporting period’s end.
Positioned for Moderating Long-Term Yields
Despite the magnitude of the springtime rally, we believe that most national economies are likely to remain weak for some time, and inflation is likely to remain relatively tame.This outlook suggests that longer-term bond yields have additional room to fall in some markets, including the United States, the United Kingdom and Europe. Therefore, we have positioned the fund for narrower yield differences along the market’s maturity range. In addition, to guard against potential credit deterioration, we have focused mainly on debt securities with seniority in the corporate capital structure.These strategies are designed to help the fund generate competitive levels of current income while managing risks and price volatility.
July 15, 2009
The fund may, but is not required to, use derivative instruments, such as options, futures and | |
options on futures, forward contracts, swaps (including credit default swaps on corporate bonds and | |
asset-backed securities), options on swaps, and other credit derivatives.A small investment in | |
derivatives could have a potentially large impact on the fund’s performance.The use of derivatives | |
involves risks different from, or possibly greater than, the risks associated with investing directly in | |
the underlying assets. Credit default swaps and similar instruments involve greater risks than if the | |
fund had invested in the reference obligation directly, since, in addition to general market risks, they | |
are subject to illiquidity risk, counterparty risk and credit risks. | |
1 | Total return includes reinvestment of dividends and any capital gains paid. Past performance is no |
guarantee of future results. Share price and investment return fluctuate such that upon redemption, | |
fund shares may be worth more or less than their original cost. Return figure provided reflects the | |
absorption of certain 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. — Reflects reinvestment of dividends and, where applicable, capital gain |
distributions.The Barclays Capital Global Aggregate ex-U.S. Index (Hedged) is designed to | |
measure the performance of global investment-grade, fixed-rate debt markets, excluding the United | |
States, hedged into U.S. dollars. Investors cannot invest directly in any index. |
The Fund 5
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/Standish International Fixed Income Fund from January 1, 2009 to June 30, 2009. 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 June 30, 2009 |
Expenses paid per $1,000† | $4.08 |
Ending value (after expenses) | $1,054.50 |
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 June 30, 2009 |
Expenses paid per $1,000† | $4.01 |
Ending value (after expenses) | $1,020.83 |
† Expenses are equal to the fund’s annualized expense ratio of .80%, multiplied by the average account value over the |
period, multiplied by 181/365 (to reflect the one-half year period). |
6
STATEMENT OF INVESTMENTS June 30, 2009 (Unaudited) |
Coupon | Maturity | Principal | ||||
Bonds and Notes—94.1% | Rate (%) | Date | Amount ($) | Value ($) | ||
Australia—1.1% | ||||||
BHP Billiton Finance USA, | ||||||
Gtd. Notes | 5.50 | 4/1/14 | 300,000 | 322,159 | ||
Rio Tinto Finance USA, | ||||||
Gtd. Notes | 5.88 | 7/15/13 | 225,000 | 226,611 | ||
Saint George Bank, | ||||||
Sr. Unscd. Notes | EUR | 6.50 | 6/24/13 | 150,000 | a | 229,460 |
778,230 | ||||||
Belgium—.7% | ||||||
Anheuser-Busch InBev, | ||||||
Gtd. Notes | GBP | 9.75 | 7/30/24 | 130,000 | a | 265,289 |
Belgium Kingdom, | ||||||
Bonds, Ser. 44 | EUR | 5.00 | 3/28/34 | 135,000 | a | 200,455 |
465,744 | ||||||
Brazil—2.5% | ||||||
Brazilian Government, | ||||||
Unsub. Bonds | BRL | 12.50 | 1/5/16 | 3,050,000 | a,b | 1,722,880 |
Canada—4.2% | ||||||
Barrick Gold, | ||||||
Sr. Unscd. Notes | 6.95 | 4/1/19 | 235,000 | 263,676 | ||
Canadian National Railway, | ||||||
Sr. Unscd. Notes | 5.55 | 3/1/19 | 300,000 | 311,420 | ||
Husky Energy, | ||||||
Sr. Unscd. Notes | 7.25 | 12/15/19 | 90,000 | 98,514 | ||
Province of Ontario, | ||||||
Notes | CAD | 4.50 | 12/2/12 | 1,670,000 | a | 1,529,942 |
Rogers Wireless, | ||||||
Gtd. Notes | 7.50 | 3/15/15 | 135,000 | 147,023 | ||
Teck Resources, | ||||||
Sr. Scd. Notes | 10.75 | 5/15/19 | 215,000 | c | 231,481 | |
Trans-Canada Pipelines, | ||||||
Sr. Unscd. Notes | 7.63 | 1/15/39 | 205,000 | 240,025 | ||
2,822,081 | ||||||
Colombia—.3% | ||||||
Republic of Colombia, | ||||||
Sr. Notes | 7.38 | 3/18/19 | 170,000 | 182,325 | ||
Denmark—.5% | ||||||
NYKREDIT, | ||||||
Sub. Notes | EUR | 4.90 | 9/22/49 | 350,000 | a,d | 341,245 |
The Fund 7
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Finland—.9% | ||||||
Aktia Real Estate, | ||||||
Bonds | EUR | 4.13 | 6/11/14 | 450,000 | a | 631,848 |
France—7.8% | ||||||
BNP Paribas, | ||||||
Sr. Unscd. Notes | EUR | 3.25 | 3/27/12 | 135,000 | a | 191,317 |
Carrefour SA, | ||||||
Sr. Unscd. Notes | EUR | 5.13 | 10/10/14 | 100,000 | a | 148,521 |
Danone Finance, | ||||||
Gtd. Notes | EUR | 6.38 | 2/4/14 | 150,000 | a | 233,729 |
GDF Suez, | ||||||
Sr. Unscd. Notes | EUR | 6.25 | 1/24/14 | 95,000 | a | 147,476 |
Government of France, | ||||||
Bonds | EUR | 4.25 | 10/25/18 | 1,555,000 | a | 2,277,076 |
Government of France, | ||||||
Bonds | EUR | 6.50 | 4/25/11 | 655,000 | a | 1,003,138 |
PPR, | ||||||
Sr. Unscd. Notes | EUR | 8.63 | 4/3/14 | 245,000 | a | 376,058 |
Societe Generale, | ||||||
Sr. Unscd. Notes | EUR | 5.25 | 3/28/13 | 150,000 | a | 224,801 |
Societe Generale, | ||||||
Sub. Notes | EUR | 6.13 | 8/20/18 | 150,000 | a | 225,298 |
Veola Environnement, | ||||||
Notes | EUR | 6.75 | 4/24/19 | 150,000 | a | 227,579 |
Veola Environnement, | ||||||
Sr. Unscd. Notes | EUR | 6.13 | 11/25/33 | 170,000 | a | 217,466 |
5,272,459 | ||||||
Germany—9.6% | ||||||
Bundesrepublik Deutschland, | ||||||
Bonds, Ser. 01 | EUR | 5.00 | 7/4/11 | 1,215,000 | a | 1,822,906 |
Bundesrepublik Deutschland, | ||||||
Bonds, Ser. 146 | EUR | 3.25 | 4/9/10 | 425,000 | a | 607,201 |
Bundesrepublik Deutschland, | ||||||
Bonds, Ser. 06 | EUR | 4.00 | 7/4/16 | 1,190,000 | a | 1,768,935 |
Bundesrepublik Deutschland, | ||||||
Bonds, Ser. 03 | EUR | 4.25 | 1/4/14 | 985,000 | a | 1,486,020 |
Deutsche Bank, | ||||||
Sr. Unscd. Notes | EUR | 5.13 | 8/31/17 | 150,000 | a | 215,736 |
Eurohypo, | ||||||
Bonds, Ser. 2212 | EUR | 4.50 | 1/21/13 | 430,000 | a,c | 633,721 |
6,534,519 |
8
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Greece—1.0% | ||||||
Hellenic Republic, | ||||||
Sr. Unscd. Notes | EUR | 4.30 | 7/20/17 | 510,000 | a | 707,065 |
Hungary—1.3% | ||||||
Hungary Government, | ||||||
Bonds, Ser. 17/B | HUF | 6.75 | 2/24/17 | 150,000,000 | a | 643,648 |
Hungary Government, | ||||||
Bonds, Ser. 19/A | HUF | 6.50 | 6/24/19 | 52,000,000 | a | 214,481 |
858,129 | ||||||
Indonesia—.9% | ||||||
Indonesia Government, | ||||||
Notes | IDR | 11.50 | 9/15/19 | 6,000,000,000 | a | 606,999 |
Ireland—1.4% | ||||||
Irish Treasury, | ||||||
Sr. Unscd. Notes | EUR | 4.50 | 10/18/18 | 510,000 | a | 668,483 |
Principal Financial Global, | ||||||
Sr. Scd. Notes | EUR | 4.50 | 1/26/17 | 250,000 | a | 286,162 |
954,645 | ||||||
Italy—5.1% | ||||||
Atlantia, | ||||||
Gtd. Notes | EUR | 1.72 | 6/9/11 | 300,000 | a,d | 408,326 |
Buoni Poliennali | ||||||
del Tesoro, | ||||||
Bonds | EUR | 4.50 | 8/1/18 | 1,305,000 | a | 1,877,874 |
Enel-Societa Per Azioni, | ||||||
Notes | EUR | 5.63 | 6/21/27 | 165,000 | a | 223,299 |
Telecom Italia, | ||||||
Sr. Unscd. Notes | EUR | 8.25 | 3/21/16 | 165,000 | a | 263,983 |
Telecom Italia, | ||||||
Sr. Unscd. Notes | EUR | 5.25 | 3/17/55 | 400,000 | a | 382,292 |
Telecom Italia, | ||||||
Sr. Unscd. Notes | GBP | 5.63 | 12/29/15 | 200,000 | a | 305,832 |
3,461,606 | ||||||
Japan—7.2% | ||||||
Development Bank of Japan, | ||||||
Gov’t Gtd. Notes | JPY | 1.05 | 6/20/23 | 11,000,000 | a | 99,976 |
Development Bank of Japan, | ||||||
Gov’t Gtd. Notes | JPY | 1.70 | 9/20/22 | 263,000,000 | a | 2,649,097 |
Japan Government, | ||||||
Bonds, Ser. 275 | JPY | 1.40 | 12/20/15 | 48,000,000 | a | 514,127 |
The Fund 9
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Japan (continued) | ||||||
Japan Government, | ||||||
Bonds, Ser. 8 | JPY | 1.00 | 6/10/16 | 180,000,000 | a | 1,657,874 |
4,921,074 | ||||||
Luxembourg—.5% | ||||||
Telecom Italia Capital, | ||||||
Gtd. Notes | 7.00 | 6/4/18 | 195,000 | 197,597 | ||
Telecom Italia Financial SA, | ||||||
Gtd. Notes | EUR | 7.50 | 4/20/11 | 105,000 | a | 157,594 |
355,191 | ||||||
Mexico—2.0% | ||||||
Mexican Bonos, | ||||||
Bonds, Ser. M10 | MXN | 7.75 | 12/14/17 | 18,235,000 | a | 1,356,936 |
Netherlands—8.0% | ||||||
Deutsche Telekom | ||||||
International Financial, | ||||||
Gtd. Notes | EUR | 5.75 | 4/14/15 | 205,000 | a | 308,852 |
E.ON International Finance, | ||||||
Gtd. Notes | EUR | 4.88 | 1/28/14 | 140,000 | a | 206,436 |
E.ON International Finance, | ||||||
Gtd. Notes | EUR | 5.50 | 10/2/17 | 175,000 | a | 260,749 |
Elsevier Finance, | ||||||
Gtd. Notes | EUR | 6.50 | 4/2/13 | 150,000 | a | 223,214 |
ING Bank, | ||||||
Sub. Notes | EUR | 5.50 | 1/4/12 | 150,000 | a | 214,866 |
Koninklijke KPN NV, | ||||||
Sr. Unscd. Bonds | EUR | 6.50 | 1/15/16 | 100,000 | a | 152,988 |
Koninklijke KPN NV, | ||||||
Sr. Unscd. Notes | EUR | 4.75 | 1/17/17 | 75,000 | a | 104,830 |
Netherlands Government, | ||||||
Bonds | EUR | 4.00 | 7/15/18 | 590,000 | a | 846,792 |
Netherlands Government, | ||||||
Bonds | EUR | 4.00 | 1/15/37 | 1,920,000 | a | 2,560,350 |
Repsol International Finance, | ||||||
Gtd. Notes | EUR | 4.63 | 10/8/14 | 135,000 | a | 191,537 |
RWE Finance, | ||||||
Gtd. Notes | EUR | 6.63 | 1/31/19 | 50,000 | a | 80,797 |
10
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Netherlands (continued) | ||||||
Shell International Finance, | ||||||
Gtd. Notes | EUR | 6.38 | 12/15/38 | 190,000 | a | 207,671 |
Telefonica Europ BV, | ||||||
Gtd. Notes | EUR | 5.13 | 2/14/13 | 75,000 | a | 111,279 |
5,470,361 | ||||||
New Zealand—1.4% | ||||||
New Zealand Government, | ||||||
Bonds, Ser. 413 | NZD | 6.50 | 4/15/13 | 1,350,000 | a | 922,806 |
Norway—.3% | ||||||
DNB Nor Bank, | ||||||
Sub. Notes | EUR | 1.47 | 5/30/17 | 150,000 | a,d | 170,839 |
Peru—.3% | ||||||
Republic of Peru, | ||||||
Sr. Unscd. Notes | 7.13 | 3/30/19 | 210,000 | 225,225 | ||
Qatar—.3% | ||||||
State of Qatar, | ||||||
Sr. Notes | 5.15 | 4/9/14 | 190,000 | c | 191,188 | |
Russia—.5% | ||||||
Russian Federation, | ||||||
Sr. Unscd. Bonds | 7.50 | 3/31/30 | 336,000 | d | 334,152 | |
South Africa—.4% | ||||||
Republic of South Africa, | ||||||
Sr. Unscd. Notes | 6.88 | 5/27/19 | 235,000 | 242,638 | ||
South Korea—.3% | ||||||
Export-Import Bank of Korea, | ||||||
Sr. Unscd. Notes | EUR | 5.75 | 5/22/13 | 155,000 | a | 216,965 |
Spain—.4% | ||||||
Santander International, | ||||||
Gtd. Notes | EUR | 5.63 | 2/14/12 | 100,000 | a | 148,217 |
Telefonica Emisiones, | ||||||
Gtd. Notes | EUR | 5.50 | 4/1/16 | 100,000 | a | 148,431 |
296,648 | ||||||
Supranational—.8% | ||||||
European Investment Bank, | ||||||
Sr. Unscd. Notes | JPY | 1.90 | 1/26/26 | 58,000,000 | a | 562,241 |
The Fund 11
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
Sweden—2.5% | ||||||
Svenska Handelsbanken, | ||||||
Sub. Notes | EUR | 4.19 | 12/16/49 | 225,000 | a,d | 228,841 |
Swedish Government, | ||||||
Bonds, Ser. 1045 | SEK | 5.25 | 3/15/11 | 10,385,000 | a | 1,438,997 |
1,667,838 | ||||||
Switzerland—1.0% | ||||||
Credit Suisse, | ||||||
Sr. Unscd. Notes | EUR | 6.13 | 5/16/14 | 130,000 | a | 197,827 |
Credit Suisse Capital, | ||||||
Gtd. Notes | EUR | 6.91 | 11/7/49 | 245,000 | a,d | 285,271 |
Credit Suisse Capital, | ||||||
Gtd. Notes | EUR | 7.97 | 12/29/49 | 160,000 | a,d | 199,902 |
683,000 | ||||||
United Kingdom—7.7% | ||||||
Barclays Bank, | ||||||
Sr. Unscd. Notes | 6.75 | 5/22/19 | 290,000 | 288,126 | ||
Barclays Bank, | ||||||
Sub. Notes | EUR | 6.00 | 1/23/18 | 160,000 | a | 217,248 |
BAT Internaltional | ||||||
Finance PLC, | ||||||
Gtd. Notes | EUR | 5.38 | 6/29/17 | 140,000 | a | 200,243 |
BAT International | ||||||
Finance PLC, | ||||||
Gtd. Notes | GBP | 6.38 | 12/12/19 | 185,000 | a | 315,661 |
HSBC Capital Funding, | ||||||
Gtd. Bonds | EUR | 5.37 | 3/24/49 | 525,000 | a,d | 478,726 |
HSBC Holdings, | ||||||
Sub. Notes | EUR | 6.25 | 3/19/18 | 150,000 | a | 222,333 |
National Grid, | ||||||
Sr. Unscd. Notes | 6.30 | 8/1/16 | 105,000 | 108,028 | ||
National Grid, | ||||||
Sr. Unscd. Notes | EUR | 5.00 | 7/2/18 | 160,000 | a | 215,130 |
National Grid Gas PLC, | ||||||
Gtd. Notes | GBP | 7.00 | 12/16/24 | 75,000 | a | 133,850 |
12
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
United Kingdom (continued) | ||||||
Reed Elsevier Investment, | ||||||
Gtd. Notes | GBP | 7.00 | 12/11/17 | 150,000 | a | 260,552 |
SABMiller, | ||||||
Gtd. Notes | 1.51 | 7/1/09 | 105,000 | c,d | 105,000 | |
United Kingdom Gilt, | ||||||
Bonds | GBP | 2.25 | 3/7/14 | 200,000 | a | 316,058 |
United Kingdom Gilt, | ||||||
Bonds | GBP | 4.00 | 9/7/16 | 300,000 | a | 520,690 |
United Kingdom Gilt, | ||||||
Bonds | GBP | 4.25 | 6/7/32 | 555,000 | a | 900,927 |
United Kingdom Gilt, | ||||||
Bonds | GBP | 4.25 | 3/7/36 | 390,000 | a | 625,275 |
Vodafone Group, | ||||||
Notes | GBP | 8.13 | 11/26/18 | 150,000 | a | 293,019 |
5,200,866 | ||||||
United States—23.2% | ||||||
AES, | ||||||
Sr. Unscd. Notes | 7.75 | 10/15/15 | 190,000 | 177,650 | ||
Anheuser-Busch | ||||||
InBev Worldwide, | ||||||
Gtd. Notes | 8.20 | 1/15/39 | 300,000 | c | 335,095 | |
Aramark, | ||||||
Gtd. Notes | 8.50 | 2/1/15 | 320,000 | b | 312,000 | |
AT&T, | ||||||
Sr. Unscd. Notes | 5.80 | 2/15/19 | 295,000 | 300,064 | ||
AT&T, | ||||||
Sr. Unscd. Notes | EUR | 6.13 | 4/2/15 | 100,000 | a | 151,675 |
Bank of America, | ||||||
Sr. Unscd. Notes | 4.90 | 5/1/13 | 280,000 | 272,963 | ||
Baxter International, | ||||||
Sr. Unscd. Notes | 4.00 | 3/1/14 | 180,000 | b | 182,012 | |
Bear Stearns Commercial | ||||||
Mortgage Securities, | ||||||
Ser. 2007-T28, Cl. A4 | 5.74 | 9/11/17 | 50,000 | d | 41,393 |
The Fund 13
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
United States (continued) | ||||||
Boeing, | ||||||
Sr. Unscd. Notes | 5.00 | 3/15/14 | 205,000 | 216,054 | ||
Burlington North Santa Fe, | ||||||
Sr. Unscd. Notes | 7.00 | 2/1/14 | 200,000 | 214,171 | ||
Cargill, | ||||||
Sr. Unscd. Notes | EUR | 4.38 | 4/29/13 | 200,000 | a | 285,180 |
CC Holdings GS V, | ||||||
Sr. Scd. Notes | 7.75 | 5/1/17 | 290,000 | c | 284,200 | |
Chesapeake Energy, | ||||||
Gtd. Notes | 7.50 | 9/15/13 | 230,000 | 221,375 | ||
Cisco Systems, | ||||||
Sr. Unscd. Notes | 4.95 | 2/15/19 | 215,000 | 215,397 | ||
Citigroup, | ||||||
Sr. Unscd. Notes | 6.13 | 5/15/18 | 360,000 | 315,394 | ||
Citigroup Commercial | ||||||
Mortgage Trust, | ||||||
Ser. 2007-C6, Cl. A4 | 5.89 | 6/10/17 | 70,000 | d | 55,539 | |
ConocoPhillips, | ||||||
Notes | 5.75 | 2/1/19 | 220,000 | 231,649 | ||
Consumers Energy, | ||||||
First Mortgage Bonds | 6.70 | 9/15/19 | 160,000 | 174,472 | ||
Delhaize Group, | ||||||
Sr. Unscd. Notes | 6.50 | 6/15/17 | 105,000 | 107,388 | ||
Dow Chemical, | ||||||
Sr. Unscd. Notes | 8.55 | 5/15/19 | 315,000 | 316,080 | ||
E.I. Du Pont de Nemours, | ||||||
Sr. Unscd. Notes | 5.88 | 1/15/14 | 280,000 | 303,518 | ||
Echostar DBS, | ||||||
Gtd. Notes | 7.13 | 2/1/16 | 135,000 | 126,563 | ||
Echostar DBS, | ||||||
Gtd. Notes | 7.75 | 5/31/15 | 190,000 | 181,925 | ||
Energy Transfer Partners, | ||||||
Sr. Unscd. Notes | 8.50 | 4/15/14 | 220,000 | 247,008 | ||
Entergy Gulf State Louisiana, | ||||||
First Mortgage Bonds | 6.00 | 5/1/18 | 160,000 | 157,820 |
14
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
United States (continued) | |||||
Enterprise Products Operating, | |||||
Gtd. Notes | 4.60 | 8/1/12 | 150,000 | 151,133 | |
EQT, | |||||
Sr. Unscd. Notes | 8.13 | 6/1/19 | 155,000 | 166,192 | |
General Electric Capital, | |||||
Sr. Unscd. Notes | 5.88 | 1/14/38 | 380,000 | 301,635 | |
GMAC Commercial | |||||
Mortgage Securities, | |||||
Ser. 2003-C3, Cl. A2 | 4.22 | 4/10/40 | 112,237 | 111,754 | |
GMAC Commercial | |||||
Mortgage Securities, | |||||
Ser. 2002-C2, Cl. A2 | 5.39 | 10/15/38 | 208,332 | 210,567 | |
Goldman Sachs Group, | |||||
Sr. Unscd. Notes | 7.50 | 2/15/19 | 310,000 | 332,512 | |
Goldman Sachs Mortgage | |||||
Securities Corporation II, | |||||
Ser. 2007-EOP, Cl. L | 1.71 | 3/20/20 | 185,000 c,d | 112,850 | |
Goodyear Tire & Rubber, | |||||
Sr. Unscd. Notes | 10.50 | 5/15/16 | 150,000 | 152,250 | |
Government National | |||||
Mortgage Association, | |||||
Ser. 2006-68, Cl. A | 3.89 | 7/16/26 | 228,190 | 232,833 | |
Government National | |||||
Mortgage Association, | |||||
Ser. 2005-76, Cl. A | 3.96 | 5/16/30 | 279,971 | 286,379 | |
IBM, | |||||
Notes | EUR | 6.63 | 1/30/14 | 450,000 a | 706,168 |
IBM, | |||||
Sr. Unscd. Notes | 8.00 | 10/15/38 | 120,000 | 155,829 | |
Ipalco Enterprises, | |||||
Sr. Scd. Notes | 7.25 | 4/1/16 | 75,000 c | 72,000 | |
JPMorgan Chase, | |||||
Sr. Unscd. Notes | 4.75 | 5/1/13 | 280,000 | 283,799 | |
Kinder Morgan Energy Partners, | |||||
Sr. Unscd. Notes | 6.85 | 2/15/20 | 315,000 | 323,485 |
The Fund 15
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
United States (continued) | ||||||
Kraft Foods, | ||||||
Sr. Unscd. Notes | EUR | 6.25 | 3/20/15 | 155,000 | a | 233,030 |
Kraft Foods, | ||||||
Sr. Unscd. Notes | 6.88 | 2/1/38 | 150,000 | 159,180 | ||
Lamar Media, | ||||||
Gtd. Notes | 6.63 | 8/15/15 | 316,000 | b | 278,080 | |
LB-UBS Commercial | ||||||
Mortgage Trust, | ||||||
Ser. 2007-C7, Cl. A3 | 5.87 | 9/15/45 | 205,000 | d | 157,386 | |
Marathon Oil, | ||||||
Sr. Unscd. Notes | 7.50 | 2/15/19 | 140,000 | 153,068 | ||
Merrill Lynch Mortgage Trust, | ||||||
Ser. 2005-CIP1, Cl. A2 | 4.96 | 8/12/10 | 250,000 | 245,779 | ||
Merrill Lynch/Countrywide | ||||||
Commercial Mortgage, | ||||||
Ser. 2006-2, Cl. A4 | 5.91 | 6/12/46 | 185,000 | d | 152,538 | |
Metropolitan Life | ||||||
Global Funding I, | ||||||
Notes | 5.13 | 6/10/14 | 235,000 | c | 233,422 | |
Metropolitan Life | ||||||
Global Funding I, | ||||||
Sr. Scd. Notes | 5.13 | 4/10/13 | 200,000 | c | 203,588 | |
Morgan Stanley Capital I, | ||||||
Ser. 2006-IQ12, Cl. A1 | 5.26 | 12/15/43 | 97,783 | 98,732 | ||
Mosaic, | ||||||
Sr. Unscd. Notes | 7.38 | 12/1/14 | 160,000 | c | 164,983 | |
Newfield Exploration, | ||||||
Sr. Sub. Notes | 7.13 | 5/15/18 | 25,000 | 22,844 | ||
News America, | ||||||
Gtd. Notes | 6.15 | 3/1/37 | 140,000 | 119,097 | ||
News America, | ||||||
Gtd. Notes | 6.90 | 3/1/19 | 220,000 | c | 229,648 | |
NiSource Finance, | ||||||
Gtd. Notes | 1.23 | 11/23/09 | 105,000 | d | 104,176 |
16
Coupon | Maturity | Principal | ||||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | ||
United States (continued) | ||||||
Nordic Telephone Holdings, | ||||||
Sr. Scd. Bonds | 8.88 | 5/1/16 | 135,000 | c | 130,950 | |
Norfolk Southern, | ||||||
Notes | 5.75 | 1/15/16 | 190,000 | c | 197,062 | |
Norfolk Southern, | ||||||
Sr. Unscd. Notes | 5.75 | 4/1/18 | 50,000 | 51,210 | ||
NRG Energy, | ||||||
Gtd. Notes | 7.38 | 1/15/17 | 345,000 | 326,025 | ||
Peabody Energy, | ||||||
Gtd. Notes, Ser. B | 6.88 | 3/15/13 | 120,000 | 119,400 | ||
Philip Morris International, | ||||||
Sr. Unscd Notes | 5.65 | 5/16/18 | 150,000 | 157,503 | ||
Reed Elsevier Capital, | ||||||
Gtd. Notes | 8.63 | 1/15/19 | 155,000 | 176,401 | ||
Schering-Plough, | ||||||
Sr. Unscd. Notes | EUR | 5.00 | 10/1/10 | 85,000 | a | 123,021 |
Schering-Pough, | ||||||
Sr. Unscd. Notes | EUR | 5.38 | 10/1/14 | 200,000 | a | 294,637 |
Simon Property Group, | ||||||
Sr. Unscd. Notes | 6.75 | 5/15/14 | 315,000 | b | 316,837 | |
Sovereign Bancorp, | ||||||
Sr. Unscd. Notes | 1.46 | 3/23/10 | 105,000 | d | 96,918 | |
Sprint Capital, | ||||||
Gtd. Notes | 6.88 | 11/15/28 | 75,000 | 53,625 | ||
Staples, | ||||||
Sr. Unscd. Notes | 9.75 | 1/15/14 | 100,000 | 111,796 | ||
Terex, | ||||||
Gtd. Notes | 7.38 | 1/15/14 | 275,000 | 253,000 | ||
Union Pacific, | ||||||
Sr. Unscd. Notes | 7.88 | 1/15/19 | 150,000 | 171,998 | ||
Verizon Communications, | ||||||
Bonds | 6.90 | 4/15/38 | 50,000 | 52,327 | ||
Verizon Communications, | ||||||
Sr. Unscd. Notes | 6.10 | 4/15/18 | 40,000 | 41,100 |
The Fund 17
STATEMENT OF INVESTMENTS (Unaudited) (continued)
Coupon | Maturity | Principal | |||
Bonds and Notes (continued) | Rate (%) | Date | Amount ($) | Value ($) | |
United States (continued) | |||||
Verizon Communications, | |||||
Sr. Unscd. Notes | 7.35 | 4/1/39 | 125,000 | 136,639 | |
Verizon Wireless Capital, | |||||
Sr. Unscd. Notes | 5.55 | 2/1/14 | 130,000 | c | 138,151 |
Wachovia, | |||||
Sr. Unscd. Notes | 4.38 | 6/1/10 | 110,000 | 112,681 | |
Wachovia Bank Commercial | |||||
Mortgage Trust, | |||||
Ser. 2005-C16, Cl. A2 | 4.38 | 10/15/41 | 257,092 | 256,209 | |
Wachovia Bank Commercial | |||||
Mortgage Trust, | |||||
Ser. 2007-C34, Cl. A3 | 5.68 | 7/15/17 | 180,000 | 146,649 | |
Wachovia Mortgage FSB, | |||||
Sr. Unscd. Notes | 4.13 | 12/15/09 | 250,000 | 252,329 | |
Walgreen, | |||||
Sr. Unscd. Notes | 5.25 | 1/15/19 | 160,000 | 166,755 | |
Waste Management, | |||||
Gtd. Notes | 7.38 | 3/11/19 | 70,000 | 75,144 | |
Wells Fargo, | |||||
Sr. Unscd. Notes | 4.38 | 1/31/13 | 280,000 | 282,642 | |
15,822,531 | |||||
Total Bonds and Notes | |||||
(cost $60,952,552) | 63,980,274 | ||||
Short-Term Investments—.7% | |||||
U.S. Treasury Bills | |||||
0.13%, 7/16/09 | |||||
(cost $446,976) | 447,000 | b,e | 446,982 | ||
Other Investment—.8% | Shares | Value ($) | |||
Registered Investment Company; | |||||
Dreyfus Institutional Preferred | |||||
Plus Money Market Fund | |||||
(cost $562,437) | 562,437 | f | 562,437 |
18
Investment of Cash Collateral | ||
for Securities Loaned—2.2% | Shares | Value ($) |
Registered Investment Company; | ||
Dreyfus Institutional Cash Advantage Fund | ||
(cost $1,484,651) | 1,484,651 f | 1,484,651 |
Total Investments (cost $63,446,616) | 97.8% | 66,474,344 |
Cash and Receivables (Net) | 2.2% | 1,505,414 |
Net Assets | 100.0% | 67,979,758 |
a Principal amount stated in U.S. Dollars unless otherwise noted: |
BRL—Brazilian Real |
CAD—Canadian Dollar |
EUR—Euro |
GBP—British Pound |
HUF—Hungary Forint |
IDR—Indonesian Rupiah |
JPY—JapaneseYen |
MXN—Mexican New Peso |
NZD—New Zealand Dollar |
SEK—Swedish Krona |
b All or a portion of these securities are on loan.At June 30, 2009, the total market value of the fund’s securities on |
loan is $1,486,525 and the total market value of the collateral held by the fund is $1,484,651. |
c Securities exempt from registration under Rule 144A of the Securities Act of 1933.These securities may be resold in |
transactions exempt from registration, normally to qualified institutional buyers.At June 30, 2009, these securities |
amounted to $3,263,339 or 4.8% of net assets. |
d Variable rate security—interest rate subject to periodic change. |
e Denotes all or part of security segregated as collateral for delayed securities, futures and swap contracts. |
f Investment in affiliated money market mutual fund. |
Portfolio Summary (Unaudited)† | |||
Value (%) | Value (%) | ||
Corporate Bonds | 47.9 | U.S. Government Agencies/ | |
Foreign/Governmental | 45.4 | Mortgage-Backed | .8 |
Short-Term/Money Market Investments | 3.7 | 97.8 |
The Fund 19
STATEMENT OF FINANCIAL FUTURES |
June 30, 2009 (Unaudited) |
Unrealized | ||||
Market Value | Appreciation | |||
Covered by | (Depreciation) | |||
Contracts | Contracts ($) | Expiration | at 6/30/2009 ($) | |
Financial Futures Long | ||||
10 Year Long Gilt | 7 | 1,359,854 | September 2009 | 2,586 |
Euro—Bobl | 15 | 2,429,131 | September 2009 | 6,000 |
Euro—Bund | 2 | 339,716 | September 2009 | 3,336 |
Euro—Schatz | 22 | 3,330,107 | September 2009 | (617) |
Japanese 10 Year Bond | 1 | 1,433,539 | September 2009 | 18,363 |
Financial Futures Short | ||||
U.S. Treasury 5 Year Notes | 6 | (688,313) | September 2009 | (354) |
U.S. Treasury 10 Year Notes | 87 | (10,115,109) | September 2009 | (29,480) |
U.S. Long Bond | 15 | (1,775,391) | September 2009 | (45,402) |
Gross Unrealized Appreciation | 30,285 | |||
Gross Unrealized Depreciation | (75,853) | |||
See notes to financial statements. |
20
STATEMENT OF ASSETS AND LIABILITIES |
June 30, 2009 (Unaudited) |
Cost | Value | |
Assets ($): | ||
Investments in securities—See Statement of Investments (including | ||
securities on loan, valued at $1,486,525)—Note 1(c): | ||
Unaffiliated issuers | 61,399,528 | 64,427,256 |
Affiliated issuers | 2,047,088 | 2,047,088 |
Cash | 62,525 | |
Cash denominated in foreign currencies | 368,434 | 376,122 |
Dividends and interest receivable | 1,250,008 | |
Unrealized appreciation on swap contracts—Note 4 | 1,123,289 | |
Receivable for shares of Beneficial Interest subscribed | 592,740 | |
Receivable for investment securities sold | 345,119 | |
Unrealized appreciation on forward foreign | ||
currency exchange contracts—Note 4 | 206,881 | |
Receivable for futures variation margin—Note 4 | 14,288 | |
Prepaid expenses | 13,013 | |
70,458,329 | ||
Liabilities ($): | ||
Due to The Dreyfus Corporation and affiliates—Note 3(c) | 28,496 | |
Liability for securities on loan—Note 1(c) | 1,484,651 | |
Payable for investment securities purchased | 676,784 | |
Unrealized depreciation on forward foreign | ||
currency exchange contracts—Note 4 | 150,835 | |
Unrealized depreciation on swap contracts—Note 4 | 58,647 | |
Payable for shares of Beneficial Interest redeemed | 20,950 | |
Interest payable—Note 2 | 158 | |
Accrued expenses | 58,050 | |
2,478,571 | ||
Net Assets ($) | 67,979,758 | |
Composition of Net Assets ($): | ||
Paid-in capital | 67,841,485 | |
Accumulated undistributed investment income—net | 2,383,072 | |
Accumulated net realized gain (loss) on investments | (6,398,152) | |
Accumulated net unrealized appreciation (depreciation) on investments, | ||
swap transactions and foreign currency transactions [including | ||
($45,568) net unrealized (depreciation) on financial futures] | 4,153,353 | |
Net Assets ($) | 67,979,758 | |
Shares Outstanding | ||
(unlimited number of $.01 par value shares of Beneficial Interest authorized) | 3,632,933 | |
Net Asset Value, offering and redemption price per share ($) | 18.71 | |
See notes to financial statements. |
The Fund 21
STATEMENT OF OPERATIONS |
Six Months Ended June 30, 2009 (Unaudited) |
Investment Income ($): | |
Income: | |
Interest | 1,329,379 |
Dividends; | |
Affiliated issuers | 1,263 |
Income from securities lending | 1,427 |
Total Income | 1,332,069 |
Expenses: | |
Investment advisory fee—Note 3(a) | 120,382 |
Audit fees | 48,375 |
Custodian fees—Note 3(b) | 32,531 |
Accounting and administration fee—Note 3(a) | 30,000 |
Shareholder servicing costs—Note 3(b) | 17,630 |
Legal fees | 15,543 |
Registration fees | 13,295 |
Trustees’ fees and expenses—Note 3(c) | 11,328 |
Prospectus and shareholders’ reports | 5,794 |
Loan commitment fees—Note 2 | 1,717 |
Interest expense—Note 2 | 549 |
Miscellaneous | 24,849 |
Total Expenses | 321,993 |
Less—reduction in advisory fee | |
due to undertaking—Note 3(a) | (79,950) |
Less—reduction in fees due to | |
earnings credits—Note 1(c) | (1,280) |
Net Expenses | 240,763 |
Investment Income—Net | 1,091,306 |
Realized and Unrealized Gain (Loss) on Investments—Note 4 ($): | |
Net realized gain (loss) on investments and foreign currency transactions | 185,186 |
Net realized gain (loss) on financial futures | 429,657 |
Net realized gain (loss) on swap transactions | 487,580 |
Net realized gain (loss) on forward foreign currency exchange contracts | (1,943,384) |
Net Realized Gain (Loss) | (840,961) |
Net unrealized appreciation (depreciation) on investments, foreign | |
currency transaction, financial futures and swap transaction, [including | |
$445,942 net unrealized appreciation on financial futures, ($406,183) | |
net unrealized (depreciation) on swap transactions and $1,344,057 net | |
unrealized appreciation on forward foreign currency exchange contracts] | 2,917,772 |
Net Realized and Unrealized Gain (Loss) on Investments | 2,076,811 |
Net Increase in Net Assets Resulting from Operations | 3,168,117 |
See notes to financial statements. |
22
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended | ||
June 30, 2009 | Year Ended | |
(Unaudited) | December 31, 2008 | |
Operations ($): | ||
Investment income—net | 1,091,306 | 3,412,090 |
Net realized gain (loss) on investments | (840,961) | 7,229,876 |
Net unrealized appreciation | ||
(depreciation) on investments | 2,917,772 | (3,632,115) |
Net Increase (Decrease) in Net Assets | ||
Resulting from Operations | 3,168,117 | 7,009,851 |
Dividends to Shareholders from ($): | ||
Investment income—net | (3,727,052) | (4,312,893) |
Beneficial Interest Transactions ($): | ||
Net proceeds from shares sold | 24,699,552 | 29,147,476 |
Dividends reinvested | 3,233,627 | 3,819,217 |
Cost of shares redeemed | (20,339,111) | (74,595,538)a |
Increase (Decrease) in Net Assets from | ||
Beneficial Interest Transactions | 7,594,068 | (41,628,845) |
Total Increase (Decrease) in Net Assets | 7,035,133 | (38,931,887) |
Net Assets ($): | ||
Beginning of Period | 60,944,625 | 99,876,512 |
End of Period | 67,979,758 | 60,944,625 |
Accumulated investment income—net | 2,383,072 | 5,018,818 |
Capital Share Transactions (Shares): | ||
Shares sold | 1,333,912 | 1,538,887 |
Shares issued for dividends reinvested | 182,485 | 203,271 |
Shares redeemed | (1,099,819) | (3,905,356) |
Net Increase (Decrease) in Shares Outstanding | 416,578 | (2,163,198) |
a Includes redemption-in-kind amounting to $25,283,970. | ||
See notes to financial statements. |
The Fund 23
FINANCIAL HIGHLIGHTS
The following table describes the performance for the fiscal periods indicated. Total return shows how much your investment in the fund would have increased (or decreased) during each period, assuming you had reinvested all dividends and distributions.These figures have been derived from the fund’s financial statements.
Six Months Ended | ||||||
June 30, 2009 | Year Ended December 31, | |||||
(Unaudited) | 2008 | 2007 | 2006 | 2005 | 2004 | |
Per Share Data ($): | ||||||
Net asset value, | ||||||
beginning of period | 18.95 | 18.57 | 18.14 | 17.55 | 21.35 | 21.02 |
Investment Operations: | ||||||
Investment income—neta | .33 | .72 | .69 | .53 | .75 | .75 |
Net realized and unrealized | ||||||
gain (loss) on investments | .64 | .75 | .10 | .21 | .23 | .27 |
Total from Investment Operations | .97 | 1.47 | .79 | .74 | .98 | 1.02 |
Distributions: | ||||||
Dividends from | ||||||
investment income—net | (1.21) | (1.09) | (.36) | (.15) | (4.78) | (.69) |
Net asset value, end of period | 18.71 | 18.95 | 18.57 | 18.14 | 17.55 | 21.35 |
Total Return (%) | 5.45b | 8.08 | 4.35 | 4.27 | 4.72 | 4.90 |
Ratios/Supplemental Data (%): | ||||||
Ratio of total expenses | ||||||
to average net assets | 1.07c | .80 | .70 | .68 | .58 | .57 |
Ratio of net expenses | ||||||
to average net assets | .80c | .78 | .70 | .68 | .58 | .57 |
Ratio of net investment income | ||||||
to average net assets | 3.63c | 3.84 | 3.73 | 3.01 | 3.49 | 3.43 |
Portfolio Turnover Rate | 69.67b | 158d | 168d | 89 | 168 | 170 |
Net Assets, end of period | ||||||
($ x 1,000) | 67,980 | 60,945 | 99,877 | 93,344 | 122,721 | 302,406 |
a | Based on average shares outstanding at each month end. |
b | Not Annualized. |
c | Annualized. |
d | The portfolio turnover rates excluding mortgage dollar roll transactions for the periods ended December 31, 2008 and |
2007 were 144% and 140%, respectively. | |
See notes to financial statements. |
24
NOTES TO FINANCIAL STATEMENTS (Unaudited)
NOTE 1—Significant Accounting Policies:
Dreyfus/Standish International Fixed Income Fund (the “fund”) is a separate diversified series of Dreyfus Investment Funds (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company and operates as a series company offering fourteen series, including the fund, as of June 30, 2009.The fund’s investment objective is to seek to maximize total return while realizing a market level of income, consistent with the preservation of capital and the maintenance of liquidity. The Dreyfus Corporation (the “Manager” or “Dreyfus”), a wholly-owned subsidiary of BNY Mellon, serves as the fund’s investment adviser. MBSC Securities Corporation (the “Distributor”), a wholly-owned subsidiary of the Manager, is the distributor of the fund’s shares, which are sold to the public without a sales charge.
The Trust accounts separately for the assets, liabilities and operations of each series. Expenses directly attributable to each series are charged to that series’ operations; expenses which are applicable to all series are allocated among them on a pro rata basis.
The fund’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which requires the use of management estimates and assumptions. Actual results could differ from those estimates.
The fund 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.
(a) Portfolio valuation: Investments in securities excluding short-term investments, financial futures, options, swap transactions and forward foreign currency exchange contracts are valued each business day by an independent pricing service (the “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
The Fund 25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
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 valued 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. Restricted securities, as well as securities or other assets for which recent market quotations are not readily available, that are not valued by a pricing service approved by the Board of Trustees, or are determined by the fund not to reflect accurately fair value, are valued at fair value as determined in good faith under the direction of the Board ofTrustees.The factors that may be considered when fair valuing a security include fundamental analytical data, the nat ure and duration of restrictions on disposition, an evaluation of the forces that influence the market in which the securities are purchased and sold and public trading in similar securities of the issuer or comparable issuers. Short-term investments are carried at amortized cost, which approximates value. Registered investment companies that are not traded on an exchange are valued at their net asset value. Financial futures and options that are traded on an exchange, are valued at the last sales price on the exchange on which such contracts are primarily traded or at the last sales price on the national securities market on each business day. Options traded over-the-counter are priced at the mean between the bid and the asked price. Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange on the valuation date. Forward foreign currency exchange contracts (“forward contracts”) are valued at the forward rate. Investments in swap transactions a re valued each business day by an independent pricing service approved by the Board of Trustees. Swaps are valued by the service by using a swap pricing model which incorporates among other factors, default probabilities, recovery rates, credit curves of the underlying issuer and swap spreads an interest rates.
The fund adopted Statement of Financial Accounting Standards No. 157 “FairValue Measurements” (“FAS 157”). FAS 157 establishes an authoritative definition of fair value, sets out a framework for measuring fair value, and requires additional disclosures about fair value measurements.
26
Various inputs are used in determining the value of the fund’s investments relating to FAS 157.These inputs are summarized in the three broad levels listed below.
Level 1—quoted prices in active markets for identical investments. Level 2—other significant observable inputs (including quoted prices for similar securities, 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.
The following is a summary of the inputs used as of June 30, 2009 in valuing the fund’s investments:
Level 2—Other | Level 3— | |||
Level 1— | Significant | Significant | ||
Quoted | Observable | Unobservable | ||
Prices | Inputs | Inputs | Total | |
Assets ($) | ||||
Investments in Securities: | ||||
Commercial | ||||
Mortgage-Backed | — | 1,841,725 | — | 1,841,725 |
Corporate Bonds | — | 28,896,801 | — | 28,896,801 |
Foreign Government | — | 32,722,536 | — | 32,722,536 |
Mutual Funds | 2,047,088 | — | — | 2,047,088 |
U.S. Government | ||||
Agencies/ | ||||
Mortgage-Backed | — | 519,212 | — | 519,212 |
U.S. Treasury Securities | 446,982 | 446,982 | ||
Other Financial | ||||
Instruments† | 30,285 | 1,330,170 | — | 1,360,455 |
Liabilities ($) | ||||
Other Financial | ||||
Instruments† | (75,853) | (209,482) | — | (285,335) |
† Other financial instruments include derivative instruments such as futures, forward foreign currency |
exchange contracts, swap contracts and options contracts.Amounts shown represent unrealized |
appreciation (depreciation), or in the case of options, market value at period end. |
The Fund 27
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The following is a reconciliation of the change in value of Level 3 assets (for which significant unobservable inputs were used to determine fair value):
Investments in | |
Private Equities ($) | |
Balance as of 12/31/2008 | 64,706 |
Realized gain (loss) | — |
Change in unrealized appreciation (depreciation) | — |
Net Purchases (sales) | (64,706) |
Transfers in and/or out of Level 3 | — |
Balance as of 6/30/2009 | — |
(b) Foreign currency transactions: The fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments resulting from changes in exchange rates. Foreign currency gains and losses on investments are included with net realized and unrealized gain or loss on investments.
(c) Securities transactions and investment income: Securities transactions are recorded on a trade date basis. Realized gains and losses from securities transactions are recorded on the identified cost basis. Dividend income is recognized on the ex-dividend date and interest income, including, where applicable, accretion of discount and amortization of premium on investments, is recognized on the accrual basis.
The fund has arrangements with the custodian and cash management bank whereby the fund may receive earnings credits when positive cash
28
balances are maintained, which are used to offset custody and cash management fees. For financial reporting purposes, the fund includes net earnings credits as an expense offset in the Statement of Operations.
Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, delayed settlements and their prices may be more volatile than those of comparable securities in the U.S.
Pursuant to a securities lending agreement with The Bank of New York Mellon, a subsidiary of BNY Mellon and an affiliate of Dreyfus, the fund may lend securities to qualified institutions. It is the fund’s policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned and that collateral equivalent to at least 100% of the market value of securities on loan is maintained at all times. Collateral is either in the form of cash, which can be invested in certain money market mutual funds managed by the Manager, U.S. Government and Agency securities or letters of credit.The fund is entitled to receive all income on securities loaned, in addition to income earned as a result of the lending transaction. Although each security loaned is fully collateralized, the fund bears the risk of delay in recovery of, or loss of rights in, the securi ties loaned should a borrower fail to return the securities in a timely manner. During the period ended June 30, 2009,The Bank of New York Mellon earned $476 from lending fund portfolio securities, pursuant to the securities lending agreement.
(d) Affiliated issuers: Investments in other investment companies advised by the Manager are defined as “affiliated” in the Act.
The Fund 29
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
(e) Dividends to shareholders: Dividends are recorded on the ex-dividend date. Dividends from investment income—net are declared and paid quarterly. 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 capital loss carryovers, it is the policy of the fund not to distribute such gains. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from U.S. generally accepted accounting principles.
(f) 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.
As of and during the period ended June 30, 2009, 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, the fund did not incur any interest or penalties.
Each of the tax years in the three-year period ended December 31, 2008 remains subject to examination by the Internal Revenue Service and state taxing authorities.
The fund has an unused capital loss carryover of $5,079,874 available for federal income tax purposes to be applied against future net securities profits, if any, realized subsequent to December 31, 2008. If not applied, $2,667,241 of the carryover expires in fiscal 2009 and $2,412,633 expires in fiscal 2010. Its uncertain whether the fund will be able to realize the benefits of the remaining capital loss carryovers before they expire and the remaining capital loss carryovers could be subject to future limitations imposed by the internal revenue code related to share ownership activity.
30
The tax character of distributions paid to shareholders during the fiscal year ended December 31, 2008 was as follows: ordinary income $4,312,893. The tax character of current year distributions will be determined at the end of the current fiscal year.
NOTE 2—Bank Lines of Credit:
The Trust entered into two separate agreements with The Bank of New York Mellon, an affiliate of the Manager, that enable the fund, and other funds in the Trust, to borrow, in the aggregate, (i) up to $35 million from a committed line of credit and (ii) up to $15 million under an uncommitted line of credit. In connection therewith, the fund has agreed to pay administrative and facility fees on its pro rata portion of the lines of credit. Interest is charged to the fund based on prevailing market rates in effect at the time of borrowing.
The average amount of borrowings outstanding under the lines of credit during the period ended June 30, 2009, was $47,182 with a related weighted average annualized interest rate of 2.35%.
NOTE 3—Investment Advisory Fee and Other Transactions With Affiliates:
(a) Pursuant to an investment advisory agreement (“Agreement”) with the Manager, the investment advisory fee is computed at the annual rate of .40% of the value of the fund’s average daily net assets and is payable monthly.The Manager had undertaken from January 1, 2009 through June 30, 2009 to reduce the investment advisory 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, not to exceed an annual rate of .80% of the value of the fund’s average daily net assets.The reduction in investment advisory fee, pursuant to the undertaking, amounted to $79,950 during the period ended June 30, 2009.
The Trust entered into an agreement with The Bank of New York Mellon, pursuant to which The Bank of New York Mellon provides
The Fund 31
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
administration and fund accounting services for the fund. For these services the fund pays The Bank of NewYork Mellon a fixed fee plus asset and transaction based fees, as well as out-of-pocket expenses. Pursuant to this agreement, the fund was charged $30,000 for the period ended June 30, 2009 for administration and fund accounting services.
(b) 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, 2009 the fund was charged $16,662 pursuant to the transfer agency agreement.
The fund compensates The Bank of New York Mellon under cash management agreements for performing cash management services related to fund subscriptions and redemptions. During the period ended June 30, 2009, the fund was charged $1,280 pursuant to the cash management agreements. These fees were offset by earnings credits pursuant to the cash management agreements.
The fund also compensates The Bank of New York Mellon under a custody agreement for providing custodial services for the fund. During the period ended June 30, 2009, the fund was charged $32,531 pursuant to the custody agreement.
During the period ended June 30, 2009, the fund was charged $3,341 for services performed by the Chief Compliance Officer.
The components of “Due to The Dreyfus Corporation and affiliates” in the Statement of Assets and Liabilities consist of: investment advisory fees $21,706, custodian fees $31,526, chief compliance officer fees $1,670 and transfer agency per account fees $8,623, which are offset against an expense reimbursement currently in effect in the amount of $35,029.
(c) Each Trustee receives $45,000 per year, plus $6,000 for each joint Board meeting of The Dreyfus/Laurel Funds Inc.,The Dreyfus/Laurel Funds Trust and The Dreyfus/Laurel Tax-Free Municipal Funds, (collectively, the “Dreyfus/Laurel Funds”) and the Trust attended, $2,000
32
for separate in-person committee meetings attended which are not held in conjunction with a regularly scheduled Board meeting and $1,500 for Board meetings and separate committee meetings attended that are conducted by telephone and is reimbursed for travel and out-of-pocket expenses.With respect to Board meetings, the Chairman of the Board receives an additional 25% of such compensation (with the exception of reimbursable amounts). With respect to compensation committee meetings, the Chair of the compensation committee receives $900 per meeting. In the event that there is an in-person joint committee meeting of the Dreyfus/Laurel Funds, the Trust and Dreyfus High Yield Strategies Fund, the $2,000 or $1,500 fee, as applicable, will be allocated between the Dreyfus/Laurel Funds, the Trust and Dreyfus HighYield Strategies Fund.These fees and expenses are charged and allocated to each series based on net assets.
NOTE 4—Securities Transactions:
The aggregate amount of purchases and sales (including paydowns) of investment securities, excluding short-term securities, option transactions, financial futures, forward currency exchange contracts and swap transactions, during the period ended June 30, 2009, amounted to $49,801,794 and $39,081,212, respectively.
The fund adopted Statement of Financial Accounting Standards No. 161 “Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”). FAS 161 requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The following tables show the fund’s exposure to different types of market risk as it relates to the Statement of Assets and Liabilities and the Statement of Operations, respectively.All changes to accounting policies and disclosures have been made in accordance with FAS 161 and are incorporated for the current period as part of the disclosures within this Note.
The Fund 33
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
Fair value of derivative instruments as of June 30, 2009: | ||||
Statement of | Statement of | |||
Assets and | Assets and | |||
Liabilities | Derivative | Liabilities | Derivative | |
Derivatives | Location | Assets ($) | Location | Liabilities ($) |
Interest rate | Receivables, Net | 1,153,574 | Payables, | (134,500) |
contracts† | Assets—Unrealized | Net Assets— | ||
appreciation | Unrealized | |||
depreciation | ||||
Foreign exchange | Receivables | 206,881 | Payables | (150,835) |
contracts | ||||
Gross fair value of | ||||
derivatives contracts | 1,360,455 | (285,335) |
† | Includes cumulative appreciation/depreciation of futures contracts as reported on the Statement of |
Financial Futures, but only the unpaid variation margin is reported within the Statement of | |
Assets and Liabilities. |
The effect of derivative instruments in the Statement of Operations during the period ended June 30, 2009 is shown below:
Amount of realized gain or (loss) on derivatives ($) | |||||
Foreign | |||||
Exchange | |||||
Derivatives | Options | Futures | Contracts | Swaps | Total |
Interest rate | |||||
contracts | — | 429,657 | — | 500,177 | 929,834 |
Foreign exchange | |||||
contracts | — | — | (1,943,384) | — | (1,943,384) |
Credit contracts | — | — | — | (12,597) | (12,597) |
Total | — | 429,657 | (1,943,384) | 487,580 | (1,026,147) |
Change in unrealized appreciation or (depreciation) on derivatives ($) | |||||
Foreign | |||||
Exchange | |||||
Derivatives | Options | Futures | Contracts | Swaps | Total |
Interest rate | |||||
contracts | — | 445,942 | — | (378,451) | 67,491 |
Foreign exchange | |||||
contracts | — | — | 1,344,057 | — | 1,344,057 |
Credit contracts | — | — | — | (27,733) | (27,733) |
Total | — | 445,942 | 1,344,057 | (406,184) | 1,383,815 |
34
During the period ended June 30, 2009, the average notional value of interest rate contracts was $51,242,740, which represented 84.4% of average net assets.The average notional value of foreign exchange contracts was $43,210,249, which represented 71.2% of average net assets. The average notional value of credit contracts was $688,571, which represented 1.1% of average net assets.
Futures Contracts: In the normal course of pursuing its investment objectives, the fund is exposed to market risk (including equity price risk, interest rate risk and foreign currency exchange risk) as a result of changes in value of underlying financial instruments. The fund may invest in financial futures contracts in order to manage its exposure to or protect against changes in the market. A futures contract represents a commitment for the future purchase or a sale of an asset at a specified date. Upon entering into such contracts, these investments require initial margin deposits with a broker, which consist of cash or cash equivalents. The amount of these deposits is determined by the exchange or Board ofTrade on which the contract is traded and is subject to change.Accordingly, variation margin payments are received or made to reflect daily unrealized gains or losses, which are recorded in the Statement of Operations. Futures contracts are valued daily at the settlement price established by the Board of Trade or exchange upon which they are traded.When the contracts are closed, the fund recognizes a realized gain or loss.There is minimal counterparty credit risk to the fund with futures, since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Contracts open at June 30, 2009 are set forth in the Statement of Financial Futures.
Forward Foreign Currency Exchange Contracts: The fund may enter into forward contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to settle foreign currency transactions or as a part of an investment strat-egy.When executing forward contracts, the fund is obligated to buy or
The Fund 35
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forward contracts, the fund would incur a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract decreases between those dates.With respect to purchases of forward contracts, the fund would incur a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The fund realizes a gain if the value of the contract increases between those dates. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is typically limited to the unrealized gain on each open contract. The following summarizes open contracts at June 30, 2009:
Foreign | Unrealized | |||
Forward Foreign Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Cost ($) | Value ($) (Depreciation)($) | |
Purchases: | ||||
Argentina Peso, | ||||
expiring 7/31/2009 | 2,510,000 | 649,418 | 649,939 | 521 |
Brazilian Real, | ||||
expiring 7/31/2009 | 1,280,000 | 651,101 | 649,263 | (1,838) |
British Pounds, | ||||
expiring 7/1/2009 | 3,757 | 6,215 | 6,181 | (34) |
Colombia Peso, | ||||
expiring 7/31/2009 | 1,437,100,000 | 663,788 | 666,705 | 2,917 |
Euro, | ||||
expiring 7/1/2009 | 248,632 | 349,477 | 348,796 | (681) |
Russian Ruble, | ||||
expiring 7/31/2009 | 20,490,000 | 651,966 | 652,029 | 63 |
South Korea Won, | ||||
expiring 7/24/2009 | 832,100,000 | 653,140 | 654,150 | 1,010 |
Thai Bhat, | ||||
expiring 7/31/2009 | 22,170,000 | 650,891 | 650,318 | (573) |
Sales: | Proceeds ($) | |||
Brazilian Real, | ||||
expiring 7/24/2009 | 1,820,000 | 903,854 | 924,467 | (20,613) |
British Pounds, | ||||
expiring 7/24/2009 | 2,125,000 | 3,494,669 | 3,496,001 | (1,332) |
Canadian Dollar, | ||||
expiring 7/24/2009 | 1,040,000 | 903,617 | 894,226 | 9,391 |
Chilean Peso, | ||||
expiring 7/24/2009 | 344,000,000 | 644,195 | 645,957 | (1,762) |
Euro, | ||||
expiring 7/24/2009 | 40,000 | 56,304 | 56,116 | 188 |
36
Foreign | Unrealized | |||
Forward Foreign Currency | Currency | Appreciation | ||
Exchange Contracts | Amounts | Proceeds ($) | Value ($) (Depreciation)($) | |
Sales (continued): | ||||
Euro, | ||||
expiring 7/24/2009 | 18,535,000 | 26,115,630 | 26,002,817 | 112,813 |
Euro, | ||||
expiring 7/24/2009 | 480,000 | 670,614 | 673,393 | (2,779) |
Euro, | ||||
expiring 7/24/2009 | 150,000 | 208,812 | 210,435 | (1,623) |
Euro, | ||||
expiring 7/24/2009 | 250,000 | 351,400 | 350,726 | 674 |
Hungary Forint, | ||||
expiring 7/24/2009 | 166,510,000 | 817,829 | 853,417 | (35,588) |
Japanese Yen, | ||||
expiring 7/24/2009 | 53,830,000 | 567,097 | 558,938 | 8,159 |
Japanese Yen, | ||||
expiring 7/24/2009 | 369,640,000 | 3,891,848 | 3,838,119 | 53,729 |
Japanese Yen, | ||||
expiring 7/24/2009 | 78,260,000 | 823,798 | 812,605 | 11,193 |
Japanese Yen, | ||||
expiring 7/24/2009 | 46,280,000 | 486,767 | 480,544 | 6,223 |
Mexican New Peso, | ||||
expiring 7/24/2009 | 18,290,000 | 1,365,150 | 1,383,795 | (18,645) |
New Zealand Dollar, | ||||
expiring 7/24/2009 | 2,450,000 | 1,567,241 | 1,578,497 | (11,256) |
South African Rand, | ||||
expiring 7/24/2009 | 4,820,000 | 584,951 | 621,794 | (36,843) |
Swedish Krona, | ||||
expiring 7/24/2009 | 6,330,000 | 803,187 | 820,455 | (17,268) |
Gross Unrealized | ||||
Appreciation | 206,881 | |||
Gross Unrealized | ||||
Depreciation | (150,835) |
Swaps: The fund may enter into swap agreements to exchange the interest rate on, or return generated by, one nominal instrument for the return generated by another nominal instrument. The fund enters into these agreements for a variety of reasons, including to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.
The Fund 37
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
The fund accrues for the interim payments on swap contracts on a daily basis, with the net amount recorded within unrealized appreciation (depreciation) on swap contracts in the Statement of Assets and Liabilities. Once the interim payments are settled in cash, the net amount is recorded as realized gain (loss) on swaps, in addition to realized gain (loss) recorded upon the termination of swaps contracts in the Statement of Operations. Upfront payments made and/or received by the fund, are recorded as an asset and/or liability in the Statement of Assets and Liabilities and are recorded as a realized gain or loss ratably over the contract’s term/event with the exception of forward started interest rate swaps which are recorded as realized gains or losses on the termination date. Fluctuations in the value of swap contracts are recorded for financial statement purposes as unrealized appreciation or depreciation on swap transactions.
Interest Rate Swaps: Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional principal amount.The fund enters into these agreements for a variety of reasons, including to hedge certain market or interest rate risks, to manage the interest rate sensitivity (sometimes called duration) of fixed income securities, to provide a substitute for purchasing or selling particular securities or to increase potential returns.The fund may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate on a notional principal amount.The net interest received or paid on interest rate swap agreements is included within unrealized appreciation (depreciation) on swap contracts in the Statement of Assets and Liabilities. Interest rate swaps are valued daily and the change, if any, is recorded as an unrealized gain or loss in the Statement of Operations. When a swap contract is terminated early, the fund records a realized gain or loss equal to the difference between the current realized value and the expected cash flows.
The fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the coun-terparty over the contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by having a master netting
38
arrangement between the fund and the counterparty and by the posting of collateral by the counterparty to the fund to cover the fund’s exposure to the counterparty.The following summarizes open interest rate swaps entered into by the fund at June 30, 2009.
Unrealized | |||||
Notional | Reference | (Pay)/Receive Expiration | Appreciation | ||
Amount | Entity/Currency | Counterparty | Fixed Rate (%) Date (Depreciation) ($) | ||
1,080,000 | GBP - 6 Month | ||||
Libor | JP Morgan | 5.03 | 4/4/2013 | 119,706 | |
1,080,000 | GBP - 6 Month | ||||
Libor | JP Morgan | 6.30 | 6/18/2011 | 140,285 | |
595,000,000 | JPY - 6 Month | ||||
Yenibor | JP Morgan | 1.36 | 1/19/2012 | 117,088 | |
240,000,000 | JPY - 6 Month | ||||
Yenibor | JP Morgan | 1.13 | 2/16/2019 | (54,035) | |
304,000,000 | JPY - 6 Month | ||||
Yenibor | JP Morgan | 2.08 | 7/28/2016 | 226,028 | |
5,900,000 | NZD - 3 Month | Morgan | |||
Libor | Stanley | 7.88 | 5/18/2010 | 185,769 | |
2,210,000 | NZD - 3 Month | ||||
Libor | JP Morgan | 8.05 | 6/21/2012 | 142,955 | |
2,900,000 | NZD - 6 Month | ||||
Libor | Barclays | 7.58 | 5/1/2013 | 191,458 | |
3,520,000 | NZD - 6 Month | ||||
Libor | Citibank | 5.06 | 4/8/2014 | (4,612) | |
Gross Unrealized | |||||
Appreciation | 1,123,289 | ||||
Gross Unrealized | |||||
Depreciation | (58,647) |
At June 30, 2009, accumulated net unrealized appreciation on investments was $3,027,728, consisting of $4,006,795 gross unrealized appreciation and $979,067 gross unrealized depreciation.
At June 30, 2009, 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).
NOTE 5—Change in Independent Registered Public Accounting Firm:
PricewaterhouseCoopers LLP (“PWC”), 300 Madison Avenue, New York, New York 10017, an independent registered public accounting firm, was the independent registered public accounting firm for the
The Fund 39
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
fund for the fiscal year ended December 31, 2008.At the meetings held on February 9-10, 2009, the Audit Committee and the Board of Trustees of the Trust engaged KPMG LLP to replace PWC as the independent registered public accounting firm for the Trust, effective upon the conclusion of the audit of the December 31, 2008 financial statements of the Trust.
During the fund’s past two fiscal years and any subsequent interim period: (i) no report on the fund’s financial statements contained an adverse opinion or a disclaimer of opinion, or was qualified or modified as to uncertainty, audit scope, or accounting principles; and (ii) there were no “disagreements” (as such term is used in Item 304 of Regulation S-K) with PWC on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreement(s), if not resolved to the satisfaction of PWC,would have caused it to make reference to the subject matter of the disagreement(s) in connection with its report.
NOTE 6—Subsequent Events Evaluation:
Dreyfus has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date of issuance of the financial statements.
At the meetings held on July 22-23, 2009, the Board of Trustees of the Trust approved a proposal to redesignate the fund’s existing shares as Class I shares, effective on or about September 1, 2009.The description of the eligibility requirements of the fund’s shares will remain the same.
40
INFORMATION ABOUT THE REVIEW AND |
APPROVAL OF THE FUND’S INVESTMENT |
ADVISORY AGREEMENT (Unaudited) |
At a meeting of the fund’s Board ofTrustees held on February 9 and 10, 2009, the Board considered the re-approval of the fund’s Investment Advisory Agreement (“Management Agreement”), pursuant to which the Manager provides the fund with investment advisory and certain administrative services.The Board members, none of whom are “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 Manager.
Representatives of the Manager reminded the Board members that the Manager became the investment adviser of the fund, effective December 1, 2008, and that there were no changes to the portfolio management of the fund as a result of the appointment of the Manager as the fund’s investment adviser.
Analysis of Nature, Extent and Quality of Services Provided to the Fund.The Board members considered information previously provided to them in a presentation from representatives of the Manager regarding services provided to other funds in the Dreyfus fund complex, and representatives of the Manager confirmed that there had been no material changes in this information. The Board also discussed the nature, extent and quality of the services provided to the fund pursuant to its Management Agreement. The Manager’s representatives reviewed the relationships the Manager has with various intermediaries and the different needs of each.The Manager’s representatives noted the distribution channels for the fund as well as the diversity of distribution among the funds in the Dreyfus fund complex, and the Manager’s corresponding need for broad, deep, and diverse resource s to be able to provide ongoing shareholder services to each distribution channel, including those of the fund. The Manager provided the number of shareholder accounts in the fund, as well as the fund’s asset size.
The Fund 41
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S |
INVESTMENT ADVISORY AGREEMENT (Unaudited) (continued) |
The Board members also considered the Manager’s research and portfolio management capabilities and that the Manager also provides oversight of day-to-day fund operations, including assistance in meeting legal and regulatory requirements.The Board members also considered the Manager’s extensive compliance infrastructure. The Board also considered the Manager’s brokerage policies and practices and the standards applied in seeking best execution.
Comparative Analysis of the Fund’s Performance and Management Fee and Expense Ratio. The Board members reviewed the fund’s performance and comparisons to a group of institutional international income funds (the “Performance Group”) and to a larger universe of funds, consisting of all retail and institutional international income funds (the “Performance Universe”) selected and provided by Lipper, Inc., an independent provider of investment company data.The Board was provided with a description of the methodology Lipper used to select the Performance Group and Performance Universe, as well as the Expense Group and Expense Universe (discussed below). The Board members discussed the results of the comparisons and noted that the fund’s total return performance was equal to the Performance Group median for the two-, five- and ten-year periods end ed December 31, 2008, below the Performance Group median for the one- and three-year periods ended December 31, 2008 and above the Performance Group median for the four-year period ended December 31, 2008. The Board also noted that the fund’s total return performance was above the Performance Universe medians for each of the reported periods ended December 31, 2008, except the three-year period when the fund’s total return performance was below the Performance Group median. The Board members also noted that the fund’s yield performance was variously at, above and below the Performance Group and Performance Universe medians for the past ten one-year periods ended December 31st (1999-2008).The Manager also provided a comparison of the fund’s calendar year total returns to the returns of the fund’s benchmark index.
42
The Board members also discussed the fund’s contractual and actual management fee and expense ratio and reviewed the range of management fees and expense ratios of a comparable group of funds (the “Expense Group”) and a broader group of funds (the “Expense Universe”), each selected and provided by Lipper.A representative of the Manager informed the Board members that the Manager is currently limiting the fund’s total expense ratio (excluding taxes, brokerage fees, interest on borrowings, commitment fees and other extraordinary expenses) to 0.80% of the fund’s average daily net assets and that such limitation is voluntary and may be terminated at any time.The Board members also were informed that the Lipper data presenting the fund’s “actual management fees” included fees paid by the fund, as calculated by Lipper,for administrative services provided byThe Bank of NewYork Mellon, the Trust’ ;s administrator. Such reporting was necessary, according to Lipper, to allow the Board to compare the fund’s advisory fees to those peers that include administrative fees within a blended advisory fee. The Board noted that the fund’s contractual management fee was below the Expense Group median and that, with the expense limitation, the fund’s actual management fee was below the Expense Group and Expense Universe medians and the fund’s expense ratio was above the Expense Group median and below the Expense Universe median.
Representatives of the Manager reviewed with the Board members the fees paid to the Manager or its affiliates by the only mutual fund managed by the Manager or its affiliates with similar investment objectives, policies and strategies, and included in the same Lipper category as the fund (the“Similar Fund”).It was noted that there were no other accounts managed by the Manager or its affiliates with similar investment objectives, policies and strategies as the fund. The Manager’s representatives reviewed the costs associated with distribution through intermediaries. The Board analyzed differences in fees paid to the Manager and discussed the relationship of the fees paid in light of the services provided. The
The Fund 43
INFORMATION ABOUT THE REVIEW AND APPROVAL OF THE FUND’S |
INVESTMENT ADVISORY AGREEMENT (Unaudited) (continued) |
Board members considered the relevance of the fee information provided for the Similar Fund to evaluate the appropriateness and reasonableness of the fund’s management fee.
Analysis of Profitability and Economies of Scale. A representative of the Manager reminded the Board members that The Bank of New York Mellon Corporation, the parent company of the Manager, paid all of the expenses associated with the Manager becoming the fund’s investment adviser and the proxy campaign with respect to the Board members becoming the Trust’s Board members. Because the Manager only became the fund’s investment adviser effective December 1, 2008, the Manager’s representatives were not able to provide a dollar amount of expenses allocated and profit received by the Manager, but a representative of the Manager did review the method to be used to determine such expenses and profit in the future.The Board previously had been provided with information prepared by an independent consulting firm regarding the Manager’s approach to allocating c osts to, and determining the profitability of, individual funds and the entire Dreyfus mutual fund complex.The Board also was informed that the methodology had also been reviewed by an independent registered public accounting firm which, like the consultant, found the methodology to be reasonable. The consulting firm also analyzed where any economies of scale might emerge in connection with the management of the fund.The Board members considered potential benefits to the Manager from acting as investment adviser and noted that there were no soft dollar arrangements with respect to trading the fund’s portfolio. The Board also considered whether the fund would be able to participate in any economies of scale that the Manager may experience in the event that the fund attracts a large amount of assets, noting the decrease in the fund’s recent asset levels.The Board members discussed the renewal requirements for advisory agreements and their ability to review the management fee annually.
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed busi-
44
ness decision with respect to continuation of the fund’s Management Agreement. Based on the discussions and considerations as described above, the Board made the following conclusions and determinations.
- The Board concluded that the nature, extent and quality of the ser- vices to be provided by the Manager are adequate and appropriate.
- While the Board was generally satisfied with the fund’s relative total performance as compared to the Performance Universe, the Board was somewhat concerned with the fund’s relative total return perfor- mance as compared to the Performance Group.The Board noted that the Manager only became the fund’s investment adviser effective December 1, 2008 and believed the Manager would seek to improve performance.The Board determined to closely monitor performance.
- The Board concluded, taking into account the voluntary waiver of a portion of expenses by the Manager, that the fee paid by the fund to the Manager was reasonable in light of the services to be pro- vided, comparative performance, expense and advisory fee informa- tion and potential profits to be realized and benefits to be derived by the Manager from its relationship with the fund.
- The Board determined that because the Manager had become the investment adviser of the fund effective December 1,2008,economies of scale were not a factor at this time, but, to the extent that material economies of scale are not shared with the fund in the future, the Board would seek to do so in connection with future renewals.
The Board members considered these conclusions and determinations, along with information received on a routine and regular basis throughout the year, and, without any one factor being dispositive, the Board determined that re-approval of the fund’s Management Agreement was in the best interests of the fund and its shareholders and that the Management Agreement would be renewed through April 4, 2010.
The Fund 45
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. [CLOSED END FUNDS ONLY] | |
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.
3
(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. | 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.
4
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 Investment Funds
By: | /s/ J. David Officer |
J. David Officer, | |
President | |
Date: | August 12, 2009 |
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/ J. David Officer |
J. David Officer, | |
President | |
Date: | August 12, 2009 |
By: | /s/ James Windels |
James Windels, | |
Treasurer | |
Date: | August 12, 2009 |
5
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)
6