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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY

Investment Company Act file number

811-08703

 

 

 

Dreyfus High Yield Strategies Fund

 

 

(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)

 

 

 

 

 

Bennett A. MacDougall, Esq.

200 Park Avenue

New York, New York  10166

 

 

(Name and address of agent for service)

 

 

Registrant's telephone number, including area code: 

(212) 922-6400

 

 

Date of fiscal year end:

 

  03/31

 

Date of reporting period:

  12/31/17

 

             

 


 

FORM N-Q

Item 1.                         Schedule of Investments.

 


 

STATEMENT OF INVESTMENTS
Dreyfus High Yield Strategies Fund
December 31, 2017 (Unaudited)

  Coupon  Maturity  Principal    
Description  Rate (%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3%           
Casinos - 4.3%           
Caesars Growth Properties Holdings,           
Scd. Notes  9.38  5/1/22  1,225,000   1,313,813 
Eldorado Resorts,           
Gtd. Notes  7.00  8/1/23  725,000 b  777,563 
International Game Technology,           
Sr. Scd. Notes  6.50  2/15/25  515,000 b,c  578,088 
MGM Resorts International,           
Gtd. Notes  7.75  3/15/22  740,000 b  845,450 
Scientific Games International,           
Gtd. Notes  10.00  12/1/22  4,915,000 b  5,412,644 
TVL Finance,           
Sr. Scd. Notes  GBP 8.50  5/15/23  1,399,500 c  2,066,693 
          10,994,251 
Consumer Discretionary - 11.9%           
Aston Martin Capital Holdings,           
Sr. Scd. Notes  6.50  4/15/22  950,000 c  1,001,063 
Beacon Roofing Supply,           
Gtd. Notes  6.38  10/1/23  805,000 b  860,344 
Beazer Homes USA,           
Gtd. Notes  8.75  3/15/22  1,100,000 b  1,215,390 
Brookfield Residential Properties,           
Gtd. Notes  6.38  5/15/25  910,000 c  969,150 
CalAtlantic Group,           
Gtd. Notes  8.38  5/15/18  2,025,000 b  2,070,562 
CBS Radio,           
Sr. Unscd. Notes  7.25  11/1/24  1,795,000 b,c  1,901,578 
DriveTime Automotive Group,           
Sr. Scd. Notes  8.00  6/1/21  1,755,000 b,c  1,763,775 
Eldorado Resorts,           
Gtd. Notes  6.00  4/1/25  430,000 b  451,500 
Mattamy Group,           
Sr. Unscd. Notes  6.88  12/15/23  1,815,000 b,c  1,928,437 
MGM Resorts International,           
Gtd. Notes  6.00  3/15/23  485,000 b  525,013 
Midcontinent Communications,           
Gtd. Notes  6.88  8/15/23  1,155,000 b,c  1,231,519 
Prime Security Services Borrower,           
Scd. Notes  9.25  5/15/23  3,675,000 b,c  4,088,437 
Radiate Holdco,           
Sr. Unscd. Notes  6.63  2/15/25  960,000 c  909,600 
Reliance Intermediate Holdings,           
Sr. Scd. Notes  6.50  4/1/23  1,493,000 b,c  1,582,580 

 


 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

  Coupon  Maturity  Principal    
Description  Rate (%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3% (continued)           
Consumer Discretionary - 11.9% (continued)         
SFR Group,           
Sr. Scd. Notes  7.38  5/1/26  3,675,000 b,c  3,799,031 
TI Group Automotive Systems,           
Sr. Unscd. Notes  8.75  7/15/23  1,249,000 b,c  1,345,798 
Townsquare Media,           
Gtd. Notes  6.50  4/1/23  1,285,000 b,c  1,260,906 
Wave Holdco,           
Sr. Unscd. Notes  8.25  7/15/19  1,228,528 b,c  1,232,214 
William Lyon Homes,           
Gtd. Notes  5.88  1/31/25  2,270,000 b  2,323,912 
          30,460,809 
Consumer Staples - 2.5%           
Kronos Acquisition Holdings,           
Sr. Unscd. Notes  9.00  8/15/23  2,110,000 b,c  1,978,125 
New Albertson's,           
Sr. Unscd. Bonds  8.00  5/1/31  2,390,000   2,151,000 
Post Holdings,           
Gtd. Notes  8.00  7/15/25  1,975,000 b,c  2,229,281 
          6,358,406 
Energy - 19.4%           
Alta Mesa Holdings,           
Gtd. Notes  7.88  12/15/24  1,865,000 b  2,053,831 
Archrock Partners,           
Gtd. Notes  6.00  4/1/21  240,000 b  241,200 
Archrock Partners,           
Sr. Unscd. Notes  6.00  10/1/22  1,270,000 b  1,276,350 
California Resources,           
Scd. Notes  8.00  12/15/22  685,000 c  567,694 
Carrizo Oil & Gas,           
Gtd. Notes  7.50  9/15/20  1,961,000 b  2,000,220 
Cheniere Corpus Christi Holdings,           
Sr. Scd. Notes  7.00  6/30/24  2,235,000 b  2,547,900 
Cheniere Corpus Christi Holdings,           
Sr. Scd. Notes  5.88  3/31/25  495,000 b  537,384 
Cheniere Energy Partners,           
Sr. Scd. Notes  5.25  10/1/25  690,000 c  703,800 
Chesapeake Energy,           
Gtd. Notes  8.00  6/15/27  915,000 c  880,688 
Chesapeake Energy,           
Scd. Notes  8.00  12/15/22  392,000 c  424,340 
Chesapeake Energy,           
Sr. Unscd. Notes  8.00  1/15/25  1,065,000 c  1,076,981 
CVR Refining,           
Gtd. Notes  6.50  11/1/22  2,050,000 b  2,121,750 
Energy Transfer Equity,           
Sr. Scd. Notes  7.50  10/15/20  2,500,000 b  2,756,250 

 


 

  Coupon  Maturity  Principal    
Description  Rate (%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3% (continued)           
Energy - 19.4% (continued)           
Enviva Partners,           
Gtd. Notes  8.50  11/1/21  2,695,000 b  2,880,281 
Everest Acquisition Finance,           
Scd. Notes  8.00  2/15/25  640,000 b,c  470,400 
Extraction Oil & Gas,           
Gtd. Notes  7.88  7/15/21  2,165,000 b,c  2,300,312 
Forum Energy Technologies,           
Gtd. Notes  6.25  10/1/21  975,000 b  982,313 
Genesis Energy,           
Gtd. Notes  6.75  8/1/22  1,900,000 b  1,980,750 
Genesis Energy,           
Gtd. Notes  6.50  10/1/25  580,000   591,600 
Gulfport Energy,           
Gtd. Notes  6.00  10/15/24  1,095,000 b  1,100,475 
Matador Resources,           
Gtd. Notes  6.88  4/15/23  1,955,000 b  2,062,525 
Nabors Industries,           
Gtd. Notes  9.25  1/15/19  1,700,000 b  1,810,500 
Noble Holding International,           
Gtd. Notes  7.75  1/15/24  1,495,000 b  1,293,175 
Oasis Petroleum,           
Gtd. Notes  6.50  11/1/21  225,000 b  230,344 
Oasis Petroleum,           
Gtd. Notes  6.88  3/15/22  1,200,000 b  1,234,500 
PDC Energy,           
Gtd. Notes  6.13  9/15/24  1,490,000 b  1,549,600 
Precision Drilling,           
Gtd. Notes  7.75  12/15/23  1,325,000 b  1,397,875 
Sanchez Energy,           
Gtd. Notes  7.75  6/15/21  2,835,000 b  2,679,075 
SemGroup,           
Gtd. Notes  7.25  3/15/26  3,000,000 c  3,082,500 
SESI,           
Gtd. Notes  7.75  9/15/24  1,490,000 c  1,586,850 
SRC Energy,           
Sr. Unscd. Notes  6.25  12/1/25  1,275,000 c  1,310,063 
Trinidad Drilling,           
Sr. Unscd. Notes  6.63  2/15/25  1,710,000 b,c  1,633,050 
Unit,           
Gtd. Notes  6.63  5/15/21  610,000 b  617,625 
Whiting Petroleum,           
Sr. Unscd. Notes  6.63  1/15/26  1,630,000 c  1,664,638 
          49,646,839 
Financials - 16.8%           
Ally Financial,           
Gtd. Notes  7.50  9/15/20  860,000 b  954,600 

 


 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

    Coupon  Maturity  Principal    
Description  Rate(%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3% (continued)             
Financials - 16.8% (continued)             
Ally Financial,             
Gtd. Notes    8.00  11/1/31  3,045,000 b  3,973,725 
Ashton Woods USA,             
Sr. Unscd. Notes    6.88  2/15/21  625,000 b,c  639,844 
AssuredPartners,             
Sr. Unscd. Notes    7.00  8/15/25  685,000 c  683,288 
Cabot Financial,             
Sr. Scd. Notes  GBP  8.38  8/1/20  475,000   671,622 
Cabot Financial,             
Sr. Scd. Notes  GBP  7.50  10/1/23  1,200,000 c  1,702,263 
Consolidated Energy Finance,             
Gtd. Notes    6.75  10/15/19  427,000 b,c  435,006 
Eagle Holding Co II,             
Sr. Unscd. Notes    7.63  5/15/22  2,925,000 c  2,983,500 
FBM Finance,             
Sr. Unscd. Notes    8.25  8/15/21  2,521,000 b,c  2,691,167 
Garfunkelux Holdco 2,             
Scd. Bonds  GBP 11.00   11/1/23  1,170,000 c  1,708,945 
Garfunkelux Holdco 3,             
Sr. Scd. Notes  GBP  8.50  11/1/22  595,000   843,504 
Hub Holdings,             
Sr. Unscd. Notes    8.13  7/15/19  3,740,000 b,c  3,749,350 
HUB International,             
Sr. Unscd. Notes    7.88  10/1/21  1,175,000 b,c  1,224,938 
International Lease Finance,             
Sr. Unscd. Notes    8.25  12/15/20  3,195,000 b  3,677,670 
International Lease Finance,             
Sr. Unscd. Notes    8.63  1/15/22  1,255,000 b  1,512,595 
JPMorgan Chase & Co.,             
Jr. Sub. Notes    6.10  12/31/49  1,263,000   1,389,363 
Navient,             
Sr. Unscd. Notes    8.45  6/15/18  2,675,000 b  2,749,900 
Solera,             
Sr. Unscd. Notes    10.50  3/1/24  2,650,000 b,c  2,994,447 
Tempo Acquisition,             
Sr. Unscd. Notes    6.75  6/1/25  1,205,000 c  1,229,100 
USIS Merger Sub,             
Sr. Unscd. Notes    6.88  5/1/25  2,335,000 c  2,364,187 
VHF Parent,             
Scd. Notes    6.75  6/15/22  1,805,000 c  1,904,275 
York Risk Services Holding,             
Gtd. Notes    8.50  10/1/22  3,055,000 b,c  2,993,900 
            43,077,189 
Health Care - 11.4%             
Auris Luxembourg II,             
Sr. Scd. Bonds  EUR  8.00  1/15/23  530,000 c  665,447 

 


 

    Coupon  Maturity  Principal    
Description  Rate (%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3% (continued)             
Health Care - 11.4% (continued)             
Auris Luxembourg II,             
Sr. Scd. Bonds  EUR  8.00  1/15/23  1,165,000   1,462,729 
HCA,             
Gtd. Notes    7.50  2/15/22  5,470,000 b  6,167,425 
Jaguar Holding Co II,             
Gtd. Notes    6.38  8/1/23  390,000 b,c  394,875 
MPH Acquisition Holdings,             
Sr. Unscd. Notes    7.13  6/1/24  2,645,000 b,c  2,823,537 
Polaris Intermediate,             
Sr. Unscd. Notes    8.50  12/1/22  2,925,000 c  3,042,000 
Prestige Brands,             
Gtd. Notes    6.38  3/1/24  890,000 b,c  926,713 
Synlab Unsecured Bondco,             
Gtd. Bonds  EUR  8.25  7/1/23  2,125,000   2,777,793 
Tenet Healthcare,             
Sr. Unscd. Notes    8.13  4/1/22  2,235,000 b  2,282,494 
Universal Hospital Services,             
Scd. Notes    7.63  8/15/20  1,100,000   1,105,500 
Valeant Pharmaceuticals International,             
Gtd. Notes    7.50  7/15/21  1,850,000 b,c  1,889,312 
Valeant Pharmaceuticals International,             
Gtd. Notes    5.88  5/15/23  710,000 b,c  659,413 
Valeant Pharmaceuticals International,             
Gtd. Notes    6.13  4/15/25  1,155,000 b,c  1,061,156 
Valeant Pharmaceuticals International,             
Gtd. Notes    9.00  12/15/25  2,235,000 c  2,334,904 
Valeant Pharmaceuticals International,             
Sr. Scd. Notes    7.00  3/15/24  490,000 b,c  525,525 
West Street Merger Sub,             
Sr. Unscd. Notes    6.38  9/1/25  1,115,000 c  1,123,363 
            29,242,186 
Industrials - 12.4%             
Ahern Rentals,             
Scd. Notes    7.38  5/15/23  1,385,000 b,c  1,308,825 
BlueLine Rental,             
Scd. Notes    9.25  3/15/24  2,180,000 b,c  2,332,600 
Bombardier,             
Sr. Unscd. Notes    7.75  3/15/20  425,000 b,c  458,469 
Bombardier,             
Sr. Unscd. Notes    7.50  3/15/25  1,745,000 b,c  1,766,812 
Brand Energy & Infrastructure Services,             
Sr. Unscd. Notes    8.50  7/15/25  2,525,000 c  2,657,562 
Cemex,             
Sr. Scd. Notes    7.75  4/16/26  1,310,000 c  1,486,850 
Engility,             
Gtd. Notes    8.88  9/1/24  2,075,000 b  2,225,437 

 


 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

  Coupon  Maturity  Principal    
Description  Rate (%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3% (continued)           
Industrials - 12.4% (continued)           
Gates Global,           
Gtd. Notes  6.00  7/15/22  2,175,000 b,c  2,234,812 
GFL Environmental,           
Sr. Unscd. Notes  9.88  2/1/21  2,630,000 b,c  2,777,937 
Grinding Media,           
Sr. Scd. Notes  7.38  12/15/23  2,330,000 b,c  2,507,546 
RSI Home Products,           
Scd. Notes  6.50  3/15/23  1,270,000 b,c  1,336,675 
Team Health Holdings,           
Sr. Unscd. Notes  6.38  2/1/25  2,080,000 c  1,866,800 
Tutor Perini,           
Sr. Unscd. Notes  6.88  5/1/25  840,000 c  905,100 
Welbilt,           
Sr. Unscd. Notes  9.50  2/15/24  1,600,000   1,830,000 
WFS Global Holdings,           
Sr. Scd. Bonds  EUR     9.50  7/15/22  745,000   956,905 
Wrangler Buyer,           
Sr. Unscd. Notes  6.00  10/1/25  405,000 c  419,175 
XPO Logistics,           
Gtd. Notes  6.50  6/15/22  1,815,000 b,c  1,901,212 
XPO Logistics,           
Gtd. Notes  6.13  9/1/23  495,000 b,c  525,319 
Zachry Holdings,           
Sr. Unscd. Notes  7.50  2/1/20  2,300,000 b,c  2,346,000 
          31,844,036 
Information Technology - 11.9%           
Ascend Learning,           
Sr. Unscd. Notes  6.88  8/1/25  920,000 c  952,200 
BMC Software Finance,           
Sr. Unscd. Notes  8.13  7/15/21  1,480,000 b,c  1,496,650 
Dell International,           
Gtd. Notes  7.13  6/15/24  855,000 b,c  936,432 
Everi Payments,           
Gtd. Notes  10.00  1/15/22  750,000   808,594 
Everi Payments,           
Gtd. Notes  7.50  12/15/25  1,085,000 c  1,078,219 
Exela Intermediate,           
Sr. Scd. Notes  10.00  7/15/23  695,000 c  679,363 
First Data,           
Gtd. Notes  7.00  12/1/23  4,450,000 b,c  4,717,000 
Genesys Telecommunications           
Laboratories,           
Gtd. Notes  10.00  11/30/24  2,590,000 b,c  2,836,050 
Infor Software Parent,           
Gtd. Notes  7.13  5/1/21  2,410,000 b,c  2,476,275 
Infor US,           
Gtd. Notes  6.50  5/15/22  735,000 b  764,400 

 


 

  Coupon  Maturity  Principal    
Description  Rate (%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3% (continued)           
Information Technology - 11.9% (continued)         
Olympus,           
Sr. Unscd. Notes  8.50  10/15/25  1,695,000 c  1,682,287 
Rackspace Hosting,           
Sr. Unscd. Notes  8.63  11/15/24  1,960,000 b,c  2,097,200 
Riverbed Technology,           
Gtd. Notes  8.88  3/1/23  1,274,000 b,c  1,207,115 
RP Crown Parent,           
Sr. Scd. Notes  7.38  10/15/24  1,795,000 b,c  1,884,750 
Sophia,           
Sr. Unscd. Notes  9.00  9/30/23  2,435,000 b,c  2,587,187 
TTM Technologies,           
Gtd. Notes  5.63  10/1/25  1,250,000 c  1,284,375 
ViaSat,           
Sr. Unscd. Notes  5.63  9/15/25  1,150,000 c  1,164,375 
Western Digital,           
Gtd. Notes  10.50  4/1/24  1,585,000   1,840,581 
          30,493,053 
Materials - 26.5%           
AK Steel,           
Gtd. Notes  6.38  10/15/25  630,000   626,850 
AK Steel,           
Gtd. Notes  7.00  3/15/27  1,850,000 b  1,891,625 
Anglo American Capital,           
Gtd. Notes  9.38  4/8/19  2,535,000 c  2,755,125 
ArcelorMittal,           
Sr. Unscd. Bonds  7.50  10/15/39  1,330,000 b  1,709,050 
ARD Finance,           
Sr. Scd. Notes  7.13  9/15/23  2,000,000 b  2,095,000 
Ardagh Packaging Finance,           
Gtd. Notes  7.25  5/15/24  3,490,000 b,c  3,812,825 
Big River Steel,           
Sr. Scd. Notes  7.25  9/1/25  2,275,000 c  2,411,500 
BWAY Holding,           
Sr. Unscd. Notes  7.25  4/15/25  3,260,000 c  3,374,100 
Chemours,           
Gtd. Notes  7.00  5/15/25  1,540,000 b  1,678,600 
Consolidated Energy Finance,           
Sr. Unscd. Notes  6.88  6/15/25  1,225,000 c  1,301,563 
Constellium,           
Sr. Unscd. Notes  6.63  3/1/25  1,930,000 b,c  2,038,562 
CVR Partners,           
Scd. Notes  9.25  6/15/23  2,320,000 b,c  2,505,600 
First Quantum Minerals,           
Gtd. Notes  7.25  4/1/23  2,750,000 b,c  2,970,000 
FMG Resources August 2006,           
Sr. Scd. Notes  9.75  3/1/22  1,625,000 b,c  1,802,125 

 


 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

    Coupon  Maturity  Principal    
Description  Rate (%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3% (continued)             
Materials - 26.5% (continued)             
Freeport-McMoRan,             
Gtd. Notes    5.45  3/15/43  1,145,000 b  1,149,294 
Hillman Group,             
Gtd. Notes    6.38  7/15/22  1,265,000 b,c  1,268,163 
Horizon Holdings I,             
Gtd. Notes  EUR  7.25  8/1/23  570,000 c  729,906 
Horizon Parent Holdings,             
Sr. Scd. Bonds  EUR  8.25  2/15/22  1,735,000 c  2,227,392 
Hudbay Minerals,             
Gtd. Notes    7.25  1/15/23  735,000 b,c  782,775 
Hudbay Minerals,             
Gtd. Notes    7.63  1/15/25  2,700,000 b,c  2,970,000 
Kleopatra Holdings I,             
Sr. Scd. Notes  EUR  8.50  6/30/23  1,480,000 c  1,815,683 
Kraton Polymers,             
Gtd. Notes    10.50  4/15/23  3,577,000 b,c  4,059,895 
Kraton Polymers,             
Gtd. Notes    7.00  4/15/25  1,480,000 b,c  1,591,000 
Mercer International,             
Gtd. Notes    7.75  12/1/22  2,620,000 b  2,777,200 
Mercer International,             
Sr. Unscd. Notes    6.50  2/1/24  255,000 b  271,575 
Mercer International,             
Sr. Unscd. Notes    5.50  1/15/26  640,000 c  651,200 
Novelis,             
Gtd. Notes    6.25  8/15/24  840,000 b,c  882,000 
Novelis,             
Gtd. Notes    5.88  9/30/26  665,000 b,c  679,963 
Peabody Energy,             
Sr. Scd. Notes    6.00  3/31/22  380,000 c  395,675 
Peabody Energy,             
Sr. Scd. Notes    6.38  3/31/25  465,000 c  485,344 
Platform Specialty Products,             
Sr. Unscd. Notes    5.88  12/1/25  1,800,000 c  1,788,750 
Ply Gem Industries,             
Gtd. Notes    6.50  2/1/22  435,000 b  452,944 
Reynolds Group Issuer,             
Gtd. Notes    7.00  7/15/24  2,620,000 b,c  2,810,932 
Signode Industrial Group,             
Gtd. Notes    6.38  5/1/22  2,520,000 b,c  2,642,850 
Summit Materials,             
Gtd. Notes    8.50  4/15/22  2,030,000 b  2,258,375 
Teck Resources,             
Gtd. Notes    8.50  6/1/24  830,000 c  939,975 
Teck Resources,             
Gtd. Notes    6.25  7/15/41  880,000 b  1,012,000 
Tronox Finance,             
Gtd. Notes    7.50  3/15/22  975,000 b,c  1,021,313 

 


 

  Coupon  Maturity  Principal    
Description  Rate (%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3% (continued)           
Materials - 26.5% (continued)           
Univar USA,           
Gtd. Notes  6.75  7/15/23  1,200,000 b,c  1,260,000 
          67,896,729 
Real Estate - 1.1%           
Greystar Real Estate,           
Sr. Scd. Notes  5.75  12/1/25  1,270,000 c  1,311,275 
Uniti Group,           
Gtd. Notes  8.25  10/15/23  1,450,000 b  1,402,875 
          2,714,150 
Telecommunications - 18.9%           
Altice Financing,           
Sr. Scd. Bonds  7.50  5/15/26  790,000 b,c  843,325 
Altice Finco,           
Gtd. Notes  7.63  2/15/25  705,000 b,c  719,981 
Altice Finco,           
Scd. Notes  8.13  1/15/24  1,900,000 b,c  1,995,000 
Altice Luxembourg,           
Gtd. Notes  7.75  5/15/22  2,330,000 b,c  2,286,312 
Altice Luxembourg,           
Gtd. Notes  7.63  2/15/25  2,060,000 b,c  1,980,175 
CB Escrow,           
Sr. Unscd. Notes  8.00  10/15/25  1,270,000 c  1,295,400 
CenturyLink,           
Sr. Unscd. Notes, Ser. W  6.75  12/1/23  2,915,000 b  2,867,631 
Crystal Almond,           
Sr. Scd. Bonds  EUR 10.00  11/1/21  1,150,000   1,538,720 
CSC Holdings,           
Sr. Unscd. Notes  10.13  1/15/23  4,900,000 b,c  5,530,875 
Digicel,           
Gtd. Notes  6.75  3/1/23  615,000 c  606,950 
Digicel Group,           
Sr. Unscd. Notes  8.25  9/30/20  3,175,000 c  3,131,502 
Digicel Group,           
Sr. Unscd. Notes  7.13  4/1/22  1,425,000 c  1,324,922 
DISH DBS,           
Gtd. Notes  7.75  7/1/26  4,320,000 b  4,557,600 
Hughes Satellite Systems,           
Gtd. Notes  7.63  6/15/21  3,010,000 b  3,337,337 
Intelsat Jackson Holdings,           
Gtd. Notes  7.50  4/1/21  1,170,000   1,070,550 
Intelsat Jackson Holdings,           
Sr. Unscd. Notes  9.75  7/15/25  810,000 c  781,650 
Sable International Finance,           
Gtd. Notes  6.88  8/1/22  2,385,000 b,c  2,534,062 
Sprint,           
Gtd. Notes  7.63  2/15/25  375,000 b  393,750 

 


 

STATEMENT OF INVESTMENTS (Unaudited) (continued)

  Coupon  Maturity  Principal    
Description  Rate (%)  Date  Amount ($)a   Value ($) 
Bonds and Notes - 139.3% (continued)           
Telecommunications - 18.9% (continued)           
Sprint Capital,           
Gtd. Notes  8.75  3/15/32  800,000 b  910,000 
Sprint Communications,           
Gtd. Notes  9.00  11/15/18  1,175,000 b,c  1,238,274 
Sprint Communications,           
Sr. Unscd. Notes  11.50  11/15/21  5,325,000 b  6,456,562 
T-Mobile USA,           
Gtd. Bonds  6.84  4/28/23  2,840,000 b  2,982,000 
          48,382,578 
Utilities - 2.2%           
Dynegy,           
Gtd. Notes  7.63  11/1/24  1,495,000   1,610,863 
NRG Energy,           
Gtd. Notes  7.25  5/15/26  1,400,000   1,531,236 
NRG Energy,           
Gtd. Notes  6.63  1/15/27  950,000 b  1,009,375 
The Williams Companies,           
Sr. Unscd. Notes  7.88  9/1/21  1,335,000 b  1,548,600 
          5,700,074 
Total Bonds and Notes           
(cost $345,920,927)          356,810,300 
 
Floating Rate Loan Interests - 3.0%           
Energy - .4%           
Granite Acquisition,           
Second Lien Term B Loan, LIBOR +           
7.25%  8.58  10/14/22  1,125,000 d  1,132,875 
Financials - 1.6%           
Asurion,           
Term Loan, LIBOR + 6.00%  7.57  7/14/25  2,810,000 d  2,893,415 
Capital Automotive,           
Term Loan, LIBOR + 6.00%  7.57  3/21/25  1,115,000 d  1,148,450 
          4,041,865 
Information Technology - 1.0%           
Almonde,           
Second Lien Term Loan, LIBOR + 7.25%  8.73  4/28/25  1,510,000 d  1,518,305 
Paysafe Group,           
Second Lien Term Loan, LIBOR + 7.25%  8.64  12/20/25  935,000 d  935,000 
          2,453,305 
Total Floating Rate Loan Interests           
(cost $7,585,441)          7,628,045 
 
Short-Term Investments - .1%           
U. S. Treasury Bills           
(cost $259,529)  1.11  3/1/18  260,000 e  259,469 

 


 

Description  Shares   Value ($)  
Other Investment - 2.1%         
Registered Investment Company;         
Dreyfus Institutional Preferred         
Government Plus Money Market Fund         
(cost $5,406,487)  5,406,487 f  5,406,487  
Total Investments (cost $359,172,384)  144.5 %  370,104,301  
Liabilities, Less Cash and Receivables  (44.5 %)  (113,941,835)
Net Assets  100.0 %  256,162,466  

 

LIBOR—London Interbank Offered Rate 
 
EUR—Euro 
GBP—British Pound 

 

a Amount stated in U.S. Dollars unless otherwise noted above. 
b Security, or portion thereof, on collateral for Revolving Credit and Security Agreement. 
c Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in 
transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2017, these securities were valued 
at $219,783,137 or 85.8% of net assets. 
d Variable rate security—rate shown is the interest rate in effect at period end. 
e Held by a broker as collateral for open forward currency exchange contracts. 
f Investment in affiliated money market mutual fund. 

 


 

STATEMENT OF INVESTMENTS
Dreyfus High Yield Strategies Fund
December 31, 2017 (Unaudited)

The following is a summary of the inputs used as of December 31, 2017 in valuing the fund’s investments:

        Level 3 -     
  Level 1 -  Level 2 - Other   Significant     
  Unadjusted Quoted Significant   Unobservable     
  Prices Observable Inputs   Inputs  Total  
Assets ($)             
Investments in Securities:             
Corporate Bonds  -  356,810,300   - 356,810,300  
Floating Rate Loan Interests  -  7,628,045   -  7,628,045  
Registered Investment             
     Company  5,406,487  -   -  5,406,487  
U.S. Treasury  -  259,469   -  259,469  
Other Financial Instruments:             
Forward Foreign Currency             
     Exchange Contracts††  -  36,666   -  36,666  
Liabilities ($)             
Other Financial Instruments:             
Forward Foreign Currency             
Exchange Contracts††  -  (392,794) -  (392,794)  

 

  See Statement of Investments for additional detailed categorizations. 
††  Amount shown represents unrealized appreciation (depreciation) at period end. 

 


 

STATEMENT OF FORWARD FOREIGN CURRENCY EXCHANGE
CONTRACTS
Dreyfus High Yield Strategies Fund
December 31, 2017 (Unaudited)

Counterparty/  Purchased    Sold    Unrealized  
Purchased  Currency  Currency  Currency Settlement Appreciation  
Currency  Amounts  Sold  Amounts  Date (Depreciation)($)  
Barclays Bank             
    United States         
Euro  1,440,000  Dollar  1,694,674  1/31/18  36,666  
United States             
Dollar  3,272,098  British Pound  2,450,000  1/31/18  (39,581)  
Commonwealth Bank of Australia           
United States             
Dollar  5,024,433  Euro  4,270,000  1/31/18  (109,471)
Goldman Sachs International           
United States             
Dollar  4,201,487  Euro  3,570,000  1/31/18  (90,793)
United States             
Dollar  3,885,412  British Pound  2,910,000  1/31/18  (48,052)
Morgan Stanley Capital Services           
United States             
Dollar  4,836,635  Euro  4,110,000  1/31/18  (104,897)
Gross Unrealized Appreciation        36,666  
Gross Unrealized Depreciation        (392,794)
 
See notes to financial statements.             

 


 

NOTES

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

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

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

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

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the fund’s investments are as follows: Registered investment companies that are not traded on an exchange are valued at their net asset value and are generally categorized within Level 1 of the fair value hierarchy.

Investments in securities, excluding short-term investments (other than U.S. Treasury Bills), financial futures and forward foreign currency exchange contracts (“forward contracts”) are valued each business day by an independent pricing service (the “Service”) approved by the fund's Board Members (the “Board”). Investments for which quoted bid prices are readily available and are representative of the bid side of the


 

NOTES

market in the judgment of the Service are valued at the mean between the quoted bid prices (as obtained by the Service from dealers in such securities) and asked prices (as calculated by the Service based upon its evaluation of the market for such securities). Other investments (which constitute a majority of the portfolio securities) are valued as determined by the Service, based on methods which include consideration of the following: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. These securities are generally categorized within Level 2 of the fair value hierarchy.

U.S. Treasury Bills are valued at the mean price between quoted bid prices and asked prices by the Service. These securities are generally categorized within Level 2 of the fair value hierarchy.

The Service is engaged under the general supervision of the Board.

When market quotations or official closing prices are not readily available, or are determined to not accurately reflect fair value, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded (for example, a foreign exchange or market), but before the fund calculates its net asset value, the fund may value these investments at fair value as determined in accordance with the procedures approved by the Board. Certain factors may be considered when fair valuing investments such as: 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. These securities are either categorized within Level 2 or 3 of the fair value hierarchy depending on the relevant inputs used.

For restricted securities where observable inputs are limited, assumptions about market activity and risk are used and are generally categorized within Level 3 of the fair value hierarchy.

Investments denominated in foreign currencies are translated to U.S. dollars at the prevailing rates of exchange.

Financial futures, which 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 and are generally categorized within Level 1 of the fair value hierarchy. Forward contracts are valued at the forward rate and are generally categorized within Level 2 of the fair value hierarchy.

Derivatives: A derivative is a financial instrument whose performance is derived from the performance of another asset. Each type of derivative instrument that was held by the fund at December 31, 2017 is discussed below.

Forward Foreign Currency Exchange Contracts: The fund enters 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 its


 

NOTES

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 incurs 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 incurs 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. Any realized or unrealized gains or losses which occurred during the period are reflected in the Statement of Operations. The fund is exposed to foreign currency risk as a result of changes in value of underlying financial instruments. The fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is generally limited to the unrealized gain on each open contract. This risk may be mitigated by Master Agreements, if any, between the fund and the counterparty and the posting of collateral, if any, by the counterparty to the fund to cover the fund’s exposure to the counterparty.

At December 31, 2017, accumulated net unrealized appreciation on investments was $10,931,917, consisting of $14,575,058 gross unrealized appreciation and $3,643,141 gross unrealized depreciation.

At December 31, 2017, 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).

Additional investment related disclosures are hereby incorporated by reference to the annual and semi-annual reports previously filed with the SEC on Form N-CSR.


 

Item 2.             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-Q 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-Q is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b)        There were no changes to the Registrant's internal control over financial reporting that occurred during the Registrant's most recently ended fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. 

Item 3.             Exhibits.

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


 

FORM N-Q

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 High Yield Strategies Fund

By:       /s/ Bradley J. Skapyak

            Bradley J. Skapyak

            President

 

Date:    February 16, 2018

 

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/ Bradley J. Skapyak

            Bradley J. Skapyak

            President

 

Date:    February 16, 2018

 

By:       /s/ James Windels

            James Windels

            Treasurer

 

Date:    February 16, 2018

 

EXHIBIT INDEX

(a)        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)