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- 3964

 

 

 

DREYFUS GOVERNMENT CASH MANAGEMENT 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)

 

 

 

 

 

Janette E. Farragher, 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:

 

1/31

 

Date of reporting period:

10/31/12

 

             

 

 

 

 

FORM N-Q

Item 1.                        Schedule of Investments.

 

 

 

STATEMENT OF INVESTMENTS          
Dreyfus Government Cash Management          
October 31, 2012 (Unaudited)          
 
  Annualized        
  Yield on Date   Principal    
U.S. Government Agencies--32.9%   of Purchase (%)   Amount ($)   Value ($)  
Federal Farm Credit Bank          
11/1/12   0.25   200,000,000 a   199,975,519  
Federal Home Loan Bank:          
11/1/12   0.22   50,000,000 a   50,026,987  
11/1/12   0.22   72,175,000 a   72,197,004  
11/1/12   0.23   100,000,000 a   99,982,415  
11/1/12   0.30   669,000,000 a   668,660,923  
11/2/12   0.12   339,000,000   338,998,870  
11/7/12   0.13   24,400,000   24,399,471  
11/9/12   0.13   20,000,000   19,999,422  
11/14/12   0.13   50,000,000   49,997,653  
11/23/12   0.16   54,500,000   54,501,018  
11/23/12   0.17   22,000,000   22,000,411  
11/28/12   0.16   183,000,000   183,001,594  
11/29/12   0.16   224,285,000   224,290,473  
11/30/12   0.13   145,100,000   145,085,389  
1/25/13   0.09   144,000,000 a   144,000,000  
2/6/13   0.21   200,000,000   199,968,401  
2/8/13   0.19   119,500,000   119,492,545  
2/8/13   0.21   30,500,000   30,496,708  
3/1/13   0.19   111,350,000   111,352,983  
3/27/13   0.16   58,000,000   57,963,540  
4/3/13   0.16   32,000,000   31,978,920  
4/17/13   0.17   119,720,000   119,625,587  
4/19/13   0.17   55,600,000   55,555,628  
4/24/13   0.17   250,000,000   249,794,583  
5/3/13   0.20   10,000,000   9,995,855  
5/8/13   0.23   250,000,000   250,000,000  
5/14/13   0.17   64,010,000   64,067,172  
5/16/13   0.20   20,000,000   20,010,976  
5/21/13   0.20   65,000,000   65,008,139  
5/21/13   0.20   41,940,000   41,947,463  
5/21/13   0.25   250,000,000   249,971,405  
5/24/13   0.20   27,700,000   27,698,899  
Federal Home Loan Mortgage Corp.:          
2/25/13   0.16   142,858,000 b   142,786,650  

 


  2/28/13   0.14   251,000,000 b   250,883,843  
  3/19/13   0.15   250,000,000 b   249,856,250  
  4/1/13   0.16   100,000,000 b   99,934,986  
  4/15/13   0.20   200,000,000 b   201,285,465  
  Federal National Mortgage Association:          
  11/1/12   0.39   601,485,000 a,b   601,477,589  
  2/27/13   0.16   300,000,000 b   299,847,583  
  3/20/13   0.16   48,379,000 b   48,349,113  
  4/3/13   0.16   99,750,000 b   99,684,290  
  4/17/13   0.17   45,000,000 b   44,964,513  
  Total U.S. Government Agencies          
  (cost $6,041,116,235)         6,041,116,235  
 
  U.S. Treasury Bills--1.1%          
  3/28/13          
  (cost $199,899,958)   0.12   200,000,000   199,899,958  
 
  U.S. Treasury Notes--21.3%          
  11/15/12   0.13   340,000,000   340,161,167  
  11/30/12   0.15   190,000,000   190,051,780  
  12/17/12   0.14   500,000,000   500,603,957  
  1/15/13   0.18   200,000,000   200,488,642  
  2/15/13   0.19   200,000,000   200,680,538  
  3/15/13   0.14   359,000,000   360,632,774  
  4/1/13   0.18   800,000,000   807,656,894  
  4/15/13   0.17   810,000,000   815,792,643  
  5/15/13   0.20   95,000,000   95,589,278  
  6/17/13   0.18   300,000,000   301,720,013  
  7/1/13   0.17   100,000,000   102,099,150  
  Total U.S. Treasury Notes          
  (cost $3,915,476,836)         3,915,476,836  
 
  Repurchase Agreements--44.6%          
  ABN AMRO Bank N.V.          
  dated 10/31/12, due 11/1/12 in the amount of          
$872,006,056 (fully collateralized by $889,250,700          
  U.S. Treasury Notes, 0.25%, due 3/31/14,          
value $889,440,032)   0.25   872,000,000   872,000,000  
  Bank of Nova Scotia          
  dated 10/31/12, due 11/1/12 in the amount of          
$630,005,775 (fully collateralized by $152,271,000          
  Federal Home Loan Bank, 0%-2.36%, due          
  12/21/12-9/6/22, value $153,669,702, $138,249,000          
  Federal Home Loan Mortgage Corp., 0%-2.38%, due          

 


  1/28/13-1/13/22, value $140,382,734 and $350,172,000        
  Federal National Mortgage Association, 0%-3.30%, due        
  1/30/13-8/27/32, value $348,554,088)   0.33   630,000,000   630,000,000  
  Barclays Capital, Inc.        
  dated 10/31/12, due 11/1/12 in the amount of        
$379,003,158 (fully collateralized by $387,770,900        
  U.S. Treasury Notes, 0.25%, due 8/15/15, value        
$386,580,094)   0.30   379,000,000   379,000,000  
  BNP Paribas        
  dated 10/31/12, due 11/1/12 in the amount of        
$250,001,944 (fully collateralized by $252,440,400        
  U.S. Treasury Notes, 0.63%-1%, due 8/31/16-8/31/17,        
  value $255,000,074)   0.28   250,000,000   250,000,000  
  Credit Agricole CIB        
  dated 10/31/12, due 11/1/12 in the amount of        
$775,005,167 (fully collateralized by $171,953,000        
  U.S. Treasury Inflation Protected Securities,        
  0.13%-1.63%, due 4/15/13-4/15/17, value $194,181,801        
and $552,022,282 U.S. Treasury Notes, 0.63%-4.63%,        
  due 12/31/12-5/15/18, value $596,318,207)   0.24   775,000,000   775,000,000  
  Credit Agricole CIB        
  dated 10/31/12, due 11/1/12 in the amount of        
$800,005,778 (fully collateralized by $1,293,999,202        
  Federal Home Loan Mortgage Corp., 1.98%-6.26%, due        
  4/1/18-11/1/42, value $208,339,272, $1,592,289,383        
  Federal National Mortgage Association, 0%-6.50%, due        
  4/1/17-4/1/50, value $545,157,100 and $196,780,645        
  Government National Mortgage Association, 1.50%-10%,        
  due 5/15/19-10/20/42, value $62,503,629)   0.26   800,000,000   800,000,000  
  Deutsche Bank Securities Inc.        
  dated 10/31/12, due 11/1/12 in the amount of        
$180,001,400 (fully collateralized by $183,340,800        

 


  U.S. Treasury Notes, 0.38%, due 6/15/15, value        
$183,600,032)   0.28   180,000,000   180,000,000  
  Deutsche Bank Securities Inc.        
  dated 10/31/12, due 11/1/12 in the amount of        
$225,002,000 (fully collateralized by $89,646,000        
  Federal National Mortgage Association, 1.25%, due        
  2/27/14, value $91,122,689 and $179,207,000        
  Resolution Funding Corp., 0%, due 10/15/20-10/15/29,        
  value $138,377,833)   0.32   225,000,000   225,000,000  
  HSBC USA Inc.        
  dated 10/31/12, due 11/1/12 in the amount of        
$225,001,563 (fully collateralized by $225,879,500        
  U.S. Treasury Notes, 0.25%-1.75%, due        
  3/31/14-9/30/16, value $229,500,645)   0.25   225,000,000   225,000,000  
  HSBC USA Inc.        
  dated 10/31/12, due 11/1/12 in the amount of        
$505,003,647 (fully collateralized by $505,678,000        
  U.S. Treasury Notes, 0.13%-2.13%, due        
  7/31/14-12/31/15, value $515,103,760)   0.26   505,000,000   505,000,000  
  JPMorgan Chase & Co.        
  dated 10/31/12, due 11/1/12 in the amount of        
$750,006,458 (fully collateralized by $758,371,000        
  Federal Home Loan Mortgage Corp., 5.50%, due 6/1/36,        
  value $147,999,414 and $1,374,369,434 Federal        
  National Mortgage Association, 2.50%-7.50%, due        
  12/1/13-11/1/42, value $617,002,898)   0.31   750,000,000   750,000,000  
  RBC Capital Markets        
  dated 10/31/12, due 11/1/12 in the amount of        
$250,001,528 (fully collateralized by $250,271,700        
  U.S. Treasury Notes, 1.25%-1.38%, due        
  11/30/15-10/31/19, value $255,000,059)   0.22   250,000,000   250,000,000  
  RBC Capital Markets        
  dated 10/31/12, due 11/1/12 in the amount of        
$250,001,667 (fully collateralized by $87,165,000        
  Federal Home Loan Bank, 0.50%-2.50%, due        
  5/28/14-10/29/27, value $88,157,124, $98,224,000        
  Federal Home Loan Mortgage Corp., 0%-3%, due        
  12/31/12-3/22/27, value $98,058,364 and $68,225,000        
  Federal National Mortgage Association, 0.30%-2%, due        
  2/13/15-6/14/32, value $68,788,435)   0.24   250,000,000   250,000,000  
  Royal Bank of Scotland        
  dated 10/31/12, due 11/1/12 in the amount of        
$400,002,889 (fully collateralized by $389,175,000        
  U.S. Treasury Notes, 1.75%-4.25%, due        
  5/31/13-11/15/21, value $408,002,124)   0.26   400,000,000   400,000,000  
  Societe Generale        
  dated 10/31/12, due 11/1/12 in the amount of        
$500,003,333 (fully collateralized by $237,267,000        

 


  U.S. Treasury Inflation Protected Securities, 1.13%,          
  due 1/15/21, value $339,655,602 and $164,291,800 U.S.          
  Treasury Notes, 2%, due 2/15/22, value $170,344,438)   0.24   500,000,000   500,000,000  
  Societe Generale          
  dated 10/31/12, due 11/1/12 in the amount of          
$200,001,389 (fully collateralized by $188,796,000          
  Resolution Funding Corp., 0%, due 4/15/18-1/15/29,          
  value $144,061,958 and $42,752,000 Tennessee Valley          
  Authority, 5.38%-5.88%, due 4/1/36-4/1/56, value          
$59,938,111)   0.25   200,000,000   200,000,000  
  TD Securities (USA) LLC          
  dated 10/31/12, due 11/1/12 in the amount of          
$1,030,007,153 (fully collateralized by $616,877,300          
  U.S. Treasury Inflation Protected Securities,          
  0.13%-3.88%, due 7/15/14-2/15/40, value          
$1,050,600,110)   0.25   1,030,000,000   1,030,000,000  
  Total Repurchase Agreements          
  (cost $8,221,000,000)         8,221,000,000  
  Total Investments (cost $18,377,493,029)     99.9 %   18,377,493,029  
  Cash and Receivables (Net)     .1 %   12,037,662  
  Net Assets     100.0 %   18,389,530,691  

 

a Variable rate security--interest rate subject to periodic change.
b The Federal Housing Finance Agency ("FHFA") placed Federal Home Loan Mortgage Corporation and Federal National Mortgage
Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these
companies.

At October 31, 2012, the cost of investments for federal income tax purposes was substantially the same as the cost for financial
reporting purposes.


The following is a summary of the inputs used as of October 31, 2012 in valuing the fund's investments:

Valuation Inputs   Short-Term Investments ($)+  
Level 1 - Unadjusted Quoted Prices   -  
Level 2 - Other Significant Observable Inputs   18,377,493,029  
Level 3 - Significant Unobservable Inputs   -  
Total   18,377,493,029  

 

+ See Statement of Investments for additional detailed categorizations.


The Financial Accounting Standards Board (“FASB”) Accounting
Standards Codification (“ASC”) 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.

Portfolio valuation: Investments in securities are valued at amortized
cost in accordance with Rule 2a-7 under the Act. If amortized cost is
determined not to approximate market value, the fair value of the portfolio
securities will be determined by procedures established by and under
the general supervision of the Board of Trustees.
The fair value of a financial instrument is the amount that would be
received to sell an asset or paid to transfer a liability in an orderly transaction
between market participants at the measurement date (i.e. the
exit price). GAAP establishes a fair value hierarchy that prioritizes the
inputs of valuation techniques used to measure fair value. This hierarchy
gives the highest priority to unadjusted quoted prices in active
markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements).
Additionally, GAAP provides guidance on determining whether the
volume and activity in a market has decreased significantly and
whether such a decrease in activity results in transactions that are not
orderly. GAAP requires enhanced disclosures around valuation inputs
and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments
relating to fair value measurements. These inputs are summarized
in the three broad levels listed below:

Level 1—unadjusted quoted prices in active markets for
identical investments.
Level 2—other significant observable inputs (including quoted
prices for similar investments, interest rates, prepayment speeds,
credit risk, etc.).
Level 3—significant unobservable inputs (including the fund’s
own assumptions in determining the fair value of investments).


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

The fund may enter into repurchase agreements with financial institutions, deemed to be creditworthy by the Manager, subject to
the seller’s agreement to repurchase and the fund’s agreement to resell such securities at a mutually agreed upon price. Pursuant to
the terms of the repurchase agreement, such securities must have an aggregate market value greater than or equal to the terms of the
repurchase price plus accrued interest at all times. If the value of the underlying securities falls below the value of the repurchase
price plus accrued interest, the fund will require the seller to deposit additional collateral by the next business day. If the request for
additional collateral is not met, or the seller defaults on its repurchase obligation, the fund maintains its right to sell the underlying
securities at market value and may claim any resulting loss against the seller.

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


STATEMENT OF INVESTMENTS          
Dreyfus Government Prime Cash Management          
October 31, 2012 (Unaudited)          
 
  Annualized        
  Yield on Date   Principal    
U.S. Government Agencies--50.9%   of Purchase (%)   Amount ($)   Value ($)  
Federal Farm Credit Bank:          
11/1/12   0.16   25,000,000   25,000,000  
11/1/12   0.25   75,000,000 a   74,990,820  
11/14/12   0.12   50,000,000   49,997,833  
11/20/12   0.12   5,000,000   4,999,683  
11/29/12   0.12   50,000,000   49,995,333  
12/11/12   0.12   10,000,000   9,998,667  
1/3/13   0.12   10,000,000   9,997,900  
1/28/13   0.13   6,000,000   6,000,035  
3/13/13   0.19   20,000,000   20,000,559  
4/15/13   0.20   95,000,000 a   95,021,593  
Federal Home Loan Bank:          
11/1/12   0.23   150,000,000 a   149,973,623  
11/2/12   0.12   102,000,000   101,999,660  
11/7/12   0.12   525,000,000   524,989,417  
11/9/12   0.16   25,000,000   24,999,111  
11/16/12   0.12   92,440,000   92,435,378  
11/28/12   0.10   120,000,000   119,991,450  
12/5/12   0.15   390,000,000   389,944,750  
12/12/12   0.17   84,975,000   84,958,548  
12/14/12   0.13   155,000,000   154,975,200  
12/24/12   0.09   91,230,000   91,217,912  
12/28/12   0.12   68,085,000   68,072,470  
1/23/13   0.13   16,000,000   15,995,205  
3/27/13   0.15   100,000,000   99,938,356  
Tennessee Valley Authority:          
11/29/12   0.12   103,573,000   103,563,319  
3/15/13   0.29   11,058,000   11,293,696  
Total U.S. Government Agencies          
(cost $2,380,350,518)         2,380,350,518  

 


U.S. Treasury Bills--6.6%          
11/1/12   0.08   12,000,000   12,000,000  
11/8/12   0.10   35,000,000   34,999,320  
11/29/12   0.13   19,000,000   18,998,079  
12/6/12   0.10   50,000,000   49,995,139  
12/20/12   0.10   43,000,000   42,994,440  
12/27/12   0.10   50,000,000   49,992,222  
1/31/13   0.14   100,000,000   99,965,875  
Total U.S. Treasury Bills          
(cost $308,945,075)         308,945,075  
 
U.S. Treasury Notes--42.3%          
11/15/12   0.12   650,000,000   650,308,956  
11/15/12   0.12   217,000,000   217,320,213  
11/30/12   0.12   360,000,000   360,107,935  
12/17/12   0.15   100,000,000   100,120,060  
12/31/12   0.14   98,000,000   98,076,932  
1/31/13   0.15   206,000,000   206,240,079  
4/1/13   0.14   150,000,000   150,379,185  
4/30/13   0.11   21,000,000   21,308,837  
4/30/13   0.14   75,000,000   75,176,396  
6/17/13   0.15   100,000,000   100,584,685  
Total U.S. Treasury Notes          
(cost $1,979,623,278)         1,979,623,278  
Total Investments (cost $4,668,918,871)     99.8 %   4,668,918,871  
Cash and Receivables (Net)     .2 %   10,390,189  
Net Assets     100.0 %   4,679,309,060  
 
a Variable rate security--interest rate subject to periodic change.          

 

At October 31, 2012, the cost of investments for federal income tax purposes was substantially the same as the cost for financial
reporting purposes.


The following is a summary of the inputs used as of October 31, 2012 in valuing the fund's investments:

Valuation Inputs   Short-Term Investments ($)+  
Level 1 - Unadjusted Quoted Prices   -  
Level 2 - Other Significant Observable Inputs   4,668,918,871  
Level 3 - Significant Unobservable Inputs   -  
Total   4,668,918,871  

 

+ See Statement of Investments for additional detailed categorizations.


The Financial Accounting Standards Board (“FASB”) Accounting
Standards Codification (“ASC”) 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.

Portfolio valuation: Investments in securities are valued at amortized
cost in accordance with Rule 2a-7 under the Act. If amortized cost is
determined not to approximate market value, the fair value of the portfolio
securities will be determined by procedures established by and under
the general supervision of the Board of Trustees.
The fair value of a financial instrument is the amount that would be
received to sell an asset or paid to transfer a liability in an orderly transaction
between market participants at the measurement date (i.e. the
exit price). GAAP establishes a fair value hierarchy that prioritizes the
inputs of valuation techniques used to measure fair value. This hierarchy
gives the highest priority to unadjusted quoted prices in active

markets for identical assets or liabilities (Level 1 measurements) and the
lowest priority to unobservable inputs (Level 3 measurements).

Additionally, GAAP provides guidance on determining whether the
volume and activity in a market has decreased significantly and
whether such a decrease in activity results in transactions that are not
orderly. GAAP requires enhanced disclosures around valuation inputs
and techniques used during annual and interim periods.
Various inputs are used in determining the value of the fund’s investments
relating to fair value measurements. These inputs are summarized
in the three broad levels listed below:

Level 1—unadjusted quoted prices in active markets for


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

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

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

Additional investment related disclosures are hereby incorporated by reference to the annual

and semi-annual reports previously filed with the Securities and Exchange Commission 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 GOVERNMENT CASH MANAGEMENT FUNDS

By: /s/ Bradley J. Skapyak

Bradley J. Skapyak

President

 

Date:

December 19, 2012

 

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:

December 19, 2012

 

By: /s/ James Windels

James Windels

Treasurer

 

Date:

December 19, 2012

 

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)

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