<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS AND ASSET BACKED SECURITIES (9.6%)
FINANCIAL SERVICES (9.6%)
$ 1,750,000 Blackrock Capital Finance L.P., Subordinated
Bond, CSTR, Series 1997-C1, Class E , 8.480%
due 10/25/26 (s)............................... NR/NR $ 1,461,198
13,635,344 CS First Boston Mortgage Securities Corp,
REMIC:IO, CSTR, NTL, Series 1997-2, Class X,
(144A), 1.030% due 06/25/20 (v)................ NR/NR 251,402
608,560 DLJ Mortgage Acceptance Corp., CSTR,
Series 1997-D, (144A), 8.198% due 07/28/27
(v)............................................ NR/NR 594,202
3,529,056 Federal National Mortgage Association, PO,
Series 1994-53, Class G, Zero Coupon, 2.086%
(y) due 11/25/23 (s)........................... NR/NR 2,141,678
2,000,000 First Chicago/Lennar Trust, CSTR,
Series 1997-CHL1, Class D, (144A), 8.110%
due 05/29/08 (v)(s)............................ NR/NR 1,605,000
2,500,000 Green Tree Financial Corp, Subordinated Bond,
Series 1999-2, Class B1 , 8.410%
due 12/01/30................................... NR/BBB+ 2,301,550
2,000,000 Green Tree Financial Corp, Subordinated Bond,
Series 1999-3, Class B1 , 8.370%
due 02/01/31................................... NR/BBB+ 1,845,625
159,255 Home Mac Mortgage Securities Corp.,
Series 1985-1, secured by GNMA, 11.375%
due 08/01/15................................... NR/NR 158,658
1,066,579 Merrill Lynch Mortgage Investors, Inc.,
Subordinated Bond, CSTR, Series 1995-C2,
Class E, (144A), 7.878% due 06/15/21 (v)....... Ba2/NR 975,086
2,000,000 Merrill Lynch Mortgage Investors, Inc.,
Subordinated Bond, Series 1997-C1, Class F,
7.120% due 06/18/29 (s)........................ NR/BB 1,369,688
1,000,000 Morgan Stanley Capital I, Inc., Subordinated
Bond, CSTR, Series 1997-RR, Class D, (144A),
7.748% due 04/30/39 (v)........................ NR/NR 685,937
2,000,000 Morgan Stanley Capital I, Inc., Subordinated
Bond, Series 1997-C1, Class F, (144A) , 6.850%
due 02/15/20 (s)............................... Ba2/NR 1,502,188
435,000 Morgan Stanley Capital I, Inc., Subordinated
Bond, Series 1997-HF1, Class F, (144A), 6.860%
due 02/15/10 (s)............................... NR/NR 337,465
1,570,000 Morgan Stanley Capital I, Inc., Subordinated
Bond, Series 1997-HF1, Class G, (144A), 6.860%
due 05/15/11 (s)............................... NR/NR 1,069,808
1,000,000 Morgan Stanley Capital I, Inc., Subordinated
Bond, Series 1997-XL1, Class G, (144A), 7.695%
due 10/03/30................................... Ba3/BB 820,781
1,440,000 Nomura Asset Securities Corp., Sequential Payer,
Series 1998-D6, Class A1B, 6.590%
due 03/17/28 (s)............................... Aaa/AAA 1,367,100
58,227 Salomon Brothers Mortgage Securities V, Inc.,
Series 1985-1, secured by GNMA, 12.000%
due 04/01/15................................... NR/NR 58,299
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS AND
ASSET BACKED SECURITIES
(COST $21,372,454)......................... 18,545,665
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
CONVERTIBLE BONDS (0.4%)
RETAIL (0.4%)
$ 850,000 Corporate Express, Inc., 4.500% due 07/01/00
(cost $812,416)................................ B3/B- $ 842,562
------------
CORPORATE OBLIGATIONS (26.1%)
AEROSPACE (1.2%)
1,750,000 Northrop-Grumman Corp., 9.375% due 10/15/24
(s)............................................ Baa3/BBB- 1,858,325
500,000 Truserv Corp., 6.850% due 07/01/08 (f)........... NR/NR 484,415
------------
2,342,740
------------
AGRICULTURE (0.2%)
500,000 Scotts Co., (144A), 8.625% due 01/15/09.......... B2/B+ 472,500
------------
APPARELS & TEXTILES (0.7%)
120,000 Collins & Aikman Products Co., 11.500%
due 04/15/06................................... B2/B 114,600
800,000 Fruit of the Loom, Inc., 6.500% due 11/15/03..... B2/B- 440,000
1,000,000 Pillowtex Corp., Series B, 9.000%
due 12/15/07................................... Ca/CCC+ 350,000
500,000 Polymer Group, Inc., Series B, 9.000%
due 07/01/07................................... B2/B 477,500
------------
1,382,100
------------
AUTOMOTIVE SUPPLIES (0.4%)
700,000 Dura Operating Corp., Series B, 9.000%
due 05/01/09................................... B2/B 649,250
100,000 Federal-Mogul Corp., 7.500% due 01/15/09......... Ba2/BB+ 89,592
------------
738,842
------------
BANKING (0.4%)
750,000 First Union Corp., 8.125% due 06/24/02 (s)....... A2/A- 773,760
------------
BROADCASTING & PUBLISHING (2.0%)
400,000 American Media Operation, Inc., 10.250%
due 05/01/09................................... B2/B- 389,000
700,000 AMFM, Inc., 9.250% due 07/01/07 (s).............. B1/B 726,250
400,000 AMFM, Inc., Series B, 8.750% due 06/15/07........ B1/B 396,000
500,000 Echostar DBS Corp., 9.375% due 02/01/09 (s)...... B2/B 495,000
600,000 Emmis Communications Corp., Series B, 8.125%
due 03/15/09................................... B2/B- 568,500
500,000 Fox Family Worldwide, Inc., 9.250%
due 11/01/07................................... B1/B 461,250
800,000 TV Guide, Inc., 8.125% due 03/01/09.............. Ba3/B+ 786,000
------------
3,822,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
CHEMICALS (0.9%)
$ 750,000 Cytec Industries, Inc., 6.500% due 03/15/03...... Baa2/BBB $ 711,652
600,000 Huntsman ICI Chemicals, (144A), 10.125%
due 07/01/09................................... B2/B+ 594,000
500,000 Lyondell Chemical Corp., Series A, 9.625%
due 05/01/07................................... Ba3/BB 501,250
------------
1,806,902
------------
COMPUTER SOFTWARE (0.3%)
500,000 PSINet, Inc., Series B, 10.000% due 02/15/05..... B3/B- 491,250
------------
ELECTRIC (0.4%)
500,000 Calpine Corp., 7.875% due 04/01/08............... Ba1/BB+ 471,250
400,000 CMS Energy Corp., Series B, 6.750%
due 01/15/04................................... Ba3/BB 379,608
------------
850,858
------------
ELECTRONICS (0.2%)
355,000 Protection One Alarm Monitoring, Inc., 7.375%
due 08/15/05................................... Ba3/BB 213,000
700,000 Protection One Alarm Monitoring, Inc., (144A),
8.125% due 01/15/09............................ B2/B+ 196,000
------------
409,000
------------
ENERGY SOURCE (0.2%)
400,000 Cogentrix Energy, Inc., 8.750% due 10/15/08...... Ba1/BB+ 382,000
------------
ENTERTAINMENT, LEISURE & MEDIA (1.6%)
700,000 Ackerly Group, Inc., Series B, 9.000%
due 01/15/09................................... B2/B 670,250
500,000 CSC Holdings, Inc., 10.500% due 05/15/16......... B1/BB- 545,000
750,000 Destination Film Funding Corp., (144A), 6.250%
due 10/15/03................................... NR/AA- 705,765
450,000 Lamar Media Corp., 8.625% due 09/15/07........... B1/B 432,000
700,000 Premier Parks, Inc., 11.313% (y) due 04/01/08
(v)............................................ B3/B- 456,750
200,000 Time Warner Telecom LLC, 9.750% due 07/15/08..... B2/B 204,000
------------
3,013,765
------------
FINANCIAL SERVICES (3.5%)
325,000 Enterprise Rent-a-Car USA Finance Co., MTN,
(144A), 9.125% due 12/15/04.................... Baa2/BBB+ 351,117
750,000 Ford Holdings, Inc., 9.300% due 03/01/30 (s)..... A1/A 883,432
1,000,000 Ford Motor Credit Co., 7.375% due 10/28/09....... A1/A 1,008,060
635,000 Household Finance Corp., 6.500% due 11/15/08..... A2/A 599,002
750,000 Provident Financing Trust I, 7.405%
due 03/15/38................................... A2/BBB+ 634,050
695,000 Prudential Insurance Co., (144A), 6.375%
due 07/23/06................................... A2/A+ 654,252
750,000 Sears Roebuck Acceptance Corp., 6.750%
due 09/15/05................................... A2/A- 717,570
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
$ 700,000 Sun World International, Inc., Series B, 11.250%
due 04/15/04................................... B2/B $ 700,000
450,000 Termoemcali Funding Corp., (144A), 10.125%
due 12/15/14................................... NR/BB 301,446
1,000,000 Wells Fargo Co., Series H, MTN, 6.750%
due 10/01/06 (s)............................... Aa3/A+ 981,700
------------
6,830,629
------------
FOOD, BEVERAGES & TOBACCO (0.2%)
500,000 Aurora Foods, Inc., Series B, 8.750%
due 07/01/08................................... B1/B+ 475,000
------------
HEALTH SERVICES (0.6%)
200,000 Genesis Health Ventures, Inc., 9.250%
due 10/01/06................................... Caa1/CCC+ 76,000
700,000 Mariner Post-Acute Network, Inc., Series B,
9.500% due 04/01/06 {/\}....................... C/D 14,000
750,000 McKesson HBOC, Inc., 6.400% due 03/01/08......... Baa1/BBB+ 642,412
500,000 Triad Hospitals Holdings, Inc. (144A), 11.000%
due 05/15/09................................... B3/B- 491,250
------------
1,223,662
------------
INFORMATION PROCESSING (0.4%)
700,000 Verio, Inc., 11.250% due 12/01/08................ B3/B- 721,000
------------
MACHINERY (0.5%)
1,000,000 Caterpillar, Inc., 7.250% due 09/15/09........... A2/A+ 1,000,165
------------
MANUFACTURING (0.6%)
1,100,000 Falcon Holding Group L.P., Series B, 8.197% (y)
due 04/15/10 (v)............................... B2/B 783,750
300,000 Globe Manufacturing Corp., Series B, 10.000%
due 08/01/08................................... Caa1/B- 195,000
200,000 Wheeling Pittsburgh Corp., 9.250%
due 11/15/07................................... B2/B+ 184,500
------------
1,163,250
------------
MEDICAL SUPPLIES (0.6%)
750,000 Boston Scientific Corp., 6.625% due 03/15/05..... Baa3/BBB 687,382
500,000 Sunrise Medical, Inc., 7.090% due 10/28/04 (f)... NR/NR 372,335
------------
1,059,717
------------
METALS & MINING (1.2%)
153,846 P&L Coal Holdings Corp., 7.688% due 06/04/06
(v)............................................ NR/NR 153,077
400,000 P&L Coal Holdings Corp., Series B, 9.625%
due 05/15/08................................... B2/B 382,000
307,692 P&L Coal Holdings Corp., Tranche 3, 8.125%
due 06/04/06 (v)............................... NR/NR 306,154
600,000 Ryerson Tull, Inc., 8.500% due 07/15/01.......... Baa3/BBB 594,000
100,000 Ryerson Tull, Inc., 9.125% due 07/15/06.......... Baa3/BBB 98,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
METALS & MINING (CONTINUED)
$ 200,000 WHX Corp., 10.500% due 04/15/05.................. B3/B- $ 188,500
500,000 Wyman-Gordon Co., 8.000% due 12/15/07 (s)........ Ba2/NR 520,000
------------
2,241,731
------------
NATURAL GAS (0.8%)
750,000 Ferrellgas Partners, L.P., Series A, 6.990%
due 08/01/05 (f)............................... NR/NR 708,982
750,000 Williams Companies, Inc., 6.200% due 08/01/02.... Baa2/BBB- 735,067
------------
1,444,049
------------
OIL-PRODUCTION (0.8%)
300,000 Ocean Energy, Inc., Series B, 8.875%
due 07/15/07................................... Ba3/BB- 297,000
500,000 Plains Resources, Inc., Series B, 10.250%
due 03/15/06................................... B2/B 502,500
300,000 Pogo Producing Co., Series B, 10.375%
due 02/15/09................................... B2/B+ 309,000
450,000 Range Resources Corp., 8.750% due 01/15/07....... B2/B 405,000
------------
1,513,500
------------
OIL-SERVICES (0.9%)
500,000 Lasmo (USA), Inc., 7.500% due 06/30/06........... Baa2/BBB 489,830
1,000,000 Newpark Resources, Inc., Series B, 8.625%
due 12/15/07................................... B2/B+ 930,000
348,290 Oil Purchase Co., (144A), 7.100% due 04/30/02.... Ba2/BBB- 325,651
------------
1,745,481
------------
PACKAGING & CONTAINERS (0.5%)
500,000 Riverwood International Corp., 10.625%
due 08/01/07................................... B3/B- 511,250
500,000 Stone Container Corp., 12.250% due 04/01/02
(v)............................................ B3/B- 501,250
------------
1,012,500
------------
POLLUTION CONTROL (0.2%)
500,000 Allied Waste North America, Inc., (144A), 10.000%
due 08/01/09................................... B2/B+ 426,250
------------
RETAIL (0.2%)
500,000 Corning Consumer Products Co., Series B, 9.625%
due 05/01/08................................... B3/B 396,250
------------
TELECOMMUNICATIONS (3.6%)
750,000 Adelphia Communications, Inc., Series B, 8.125%
due 07/15/03 (s)............................... B1/NR 720,000
750,000 Alaska Communications Systems, (144A), 9.375%
due 05/15/09................................... B3/B+ 718,125
800,000 Bresnan Communications, Series B, 9.446% (y)
due 02/01/09 (v)............................... B2/B+ 536,000
300,000 Charter Communications Holdings LLC, 8.250%
due 04/01/07................................... B2/B+ 285,000
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
TELECOMMUNICATIONS (CONTINUED)
$ 400,000 Charter Communications Holdings LLC, 11.220% (y)
due 04/01/11 (v)............................... B2/B+ $ 240,000
650,000 Crown Castle Int'l Corp., 11.069% (y)
due 05/15/11 (v)............................... B3/B 385,937
200,000 Intermedia Communications, Inc., Series B, 8.500%
due 01/15/08................................... B2/B 176,000
200,000 Intermedia Communications, Inc., Series B, 9.500%
due 03/01/09................................... B2/B 185,000
300,000 Level 3 Communications, 9.125% due 05/01/08...... B3/B 279,000
325,000 McLeodUSA, Inc., 9.500% due 11/01/08............. B1/B+ 324,187
700,000 Metromedia Fiber Network, Inc., Series B, 10.000%
due 11/15/08................................... B2/B+ 686,000
500,000 NEXTEL Communications, Inc., 10.273% (y)
due 02/15/08 (v)............................... B1/B- 355,000
300,000 NEXTLINK Communications, 10.750% due 11/15/08.... B2/B 303,750
100,000 NEXTLINK Communications, 12.500% due 04/15/06.... B2/B 106,250
500,000 NTL Communications Corp., Series B, 11.500%
due 10/01/08................................... B3/B- 537,500
450,000 RCN Corp., 10.000% due 10/15/07.................. B3/B- 446,625
400,000 RCN Corp., Series B, 11.851% (y) due 02/15/08
(v)............................................ B3/B- 253,000
600,000 Tritel PCS, Inc., (144A) 5.424% (y) due 05/15/09
(v)............................................ B3/NR 360,000
------------
6,897,374
------------
TELEPHONE (1.4%)
2,000,000 GTE North, Inc., Series H, 5.650%
due 11/15/08................................... A2/AA- 1,804,940
300,000 ITC Deltacom, Inc., 8.875% due 03/01/08.......... B2/B 287,250
200,000 ITC Deltacom, Inc., 9.750% due 11/15/08.......... B2/B 200,000
440,000 Viatel, Inc., 11.250% due 04/15/08............... B3/B- 415,800
------------
2,707,990
------------
TRANSPORTATION (0.4%)
750,000 Atlantic Express Transportation Corp., 10.750%
due 02/01/04................................... B2/B 718,125
------------
UTILITIES (1.2%)
750,000 Kincaid Generation LLC, (144A), 7.330%
due 06/15/20................................... Baa3/BBB- 672,472
1,000,000 Southern Co. Capital Trust I, 8.190%
due 02/01/37................................... A3/BBB+ 952,200
750,000 Texas Utilities Co., 5.940% due 10/15/11 (v)..... Baa3/BBB 738,056
------------
2,362,728
------------
TOTAL CORPORATE OBLIGATIONS
(COST $55,429,635)......................... 50,425,118
------------
FOREIGN CORPORATE OBLIGATIONS (6.9%)
AUSTRALIA (0.3%)
BANKING
300,000 National Australia Bank Ltd., 6.600%
due 12/10/07................................... A1/AA- 286,029
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
FINANCIAL SERVICES
$ 450,000 St. George Funding Co., (144A), 8.485%
due 12/31/49 (v)(s)............................ Baa1/BBB+ $ 381,780
------------
667,809
------------
BERMUDA (0.2%)
TELEPHONE
500,000 Flag Ltd., 8.250% due 01/30/08................... Ba3/B+ 442,500
------------
CANADA (3.1%)
FOREST PRODUCTS & PAPER
600,000 Tembec Industries, Inc., 8.625% due 06/30/09..... Ba3/BB+ 585,000
------------
OIL PRODUCTION
750,000 Canadian Occidental Petroleum, 7.400%
due 05/01/28................................... Baa2/BBB 685,042
------------
TELECOMMUNICATION EQUIPMENT
250,000 Rogers Cantel, Inc., 8.300% due 10/01/07......... Ba3/BB+ 250,625
------------
TELECOMMUNICATIONS
465,000 Clearnet Communications, Inc., 10.791% (y)
due 12/15/05 (v)............................... B3/B 441,750
500,000 Rogers Cablesystems Ltd., 10.000%
due 12/01/07................................... Ba3/BB+ 531,250
500,000 Worldwide Fiber, Inc., 12.500% due 12/15/05...... B3/B 510,000
------------
1,483,000
------------
TELEPHONE
600,000 Call-Net Enterprises, Inc., 11.870% (y)
due 08/15/07 (v)............................... B2/B+ 393,000
510,000 Microcell Telecommunications, Inc., Series B,
11.999% (y) due 06/01/06 (v)................... B3/NR 419,475
------------
812,475
------------
TRANSPORT & SERVICES
500,000 Laidlaw, Inc., 6.720% due 10/01/27............... Baa3/BBB 432,140
700,000 Teekay Shipping Corp., 8.320% due 02/01/08....... Ba2/BB+ 609,000
------------
1,041,140
------------
WATER
1,000,000 Hydro-Quebec, Series HE, 8.625% due 06/15/29..... A2/A+ 1,118,870
------------
5,976,152
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
CHILE (0.1%)
BUILDING MATERIALS
$ 300,000 Celulosa Arauco Y Constitucion, 7.500%
due 09/15/17................................... Baa2/BBB+ $ 241,110
------------
COLOMBIA (0.1%)
FINANCIAL SERVICES
40,000 Financiera Energetica Nacional, 9.375%
due 06/15/06................................... NR/BB+ 33,200
185,000 Financiera Energetica Nacional, (144A), 9.375%
due 06/15/06................................... NR/BB+ 153,550
------------
186,750
------------
INDONESIA (0.1%)
DIVERSIFIED MANUFACTURING
100,000 Reliance Industries Ltd., (144A), 8.250%
due 01/15/27................................... Ba2/BB 91,563
100,000 Reliance Industries Ltd., (144A), 10.375%
due 06/24/16................................... Ba2/BB 92,225
------------
183,788
------------
MALAYSIA (0.5%)
OIL PRODUCTION
250,000 Petroliam Nasional Berhad, 7.625%
due 10/15/26................................... Baa3/BBB 211,525
200,000 Petroliam Nasional Berhad, (144A), 7.625%
due 10/15/26................................... Baa3/BBB 165,376
400,000 Petroliam Nasional Berhad, (144A), 7.750%
due 08/15/15 (s)............................... Baa3/BBB 354,120
------------
731,021
------------
UTILITIES
200,000 Tenaga Nasional Berhad, (144A), 7.625%
due 04/29/07................................... Baa3/BBB 185,920
------------
916,941
------------
MEXICO (0.2%)
BROADCASTING & PUBLISHING
350,000 Grupo Televisa SA, 11.320% (y) due 05/15/08
(v)............................................ Ba2/BB 301,000
100,000 TV Azteca SA de CV, Series B, 10.500%
due 02/15/07................................... B1/B+ 79,250
------------
380,250
------------
NETHERLANDS (0.4%)
FINANCIAL SERVICES
300,000 TPSA Finance BV, (144A), 7.750% due 12/10/08
(s)............................................ Baa3/BBB 286,790
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
TELECOMMUNICATIONS
$ 400,000 United Pan-Europe Communications, (144A), 10.875%
due 11/01/07................................... B2/B- $ 405,000
------------
691,790
------------
PHILIPPINES (0.3%)
TELECOMMUNICATIONS
250,000 Globe Telecom, (144A), 13.000% due 08/01/09...... B1/B 264,375
------------
UTILITIES
300,000 National Power Corp., 9.625% due 05/15/28........ Ba1/BB+ 252,000
------------
WATER
50,000 Ce Casecnan Water & Energy, Inc., Series B,
11.950% due 11/15/10........................... Ba2/BB+ 46,782
------------
563,157
------------
RUSSIA (0.0%)
TELEPHONE
200,000 AO Rostelecom Loan Participation, 9.094%
due 02/15/00 (v)............................... NR/NR 60,000
------------
SOUTH KOREA (0.1%)
BANKING
150,000 Export-Import Bank Korea, 6.500% due 02/10/02.... Baa3/BBB 145,108
------------
SWEDEN (0.4%)
TRANSPORTATION
800,000 Stena AB, 8.750% due 06/15/07.................... Ba2/BB 710,000
------------
THAILAND (0.1%)
TELECOMMUNICATIONS
200,000 Total Access Communication, (144A), 8.375%
due 11/04/06................................... B2/BB- 150,000
------------
UNITED KINGDOM (1.0%)
CHEMICALS
300,000 ZSC Specialty Chemical PLC, (144A), 11.000%
due 07/01/09................................... B2/B 301,500
------------
ELECTRIC
750,000 United Utilities PLC, 6.250% due 08/15/05........ A2/A 703,965
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
TELEPHONE
$ 500,000 Orange PLC, 8.000% due 08/01/08.................. Ba3/BB- $ 500,625
------------
WATER
500,000 Anglian Water PLC, Series B, 6.840% due 01/15/13
(f)............................................ NR/NR 443,096
------------
1,949,186
------------
TOTAL FOREIGN CORPORATE OBLIGATIONS
(COST $13,877,647)......................... 13,264,541
------------
FOREIGN GOVERNMENT OBLIGATIONS (8.1%)
CANADA (0.3%)
CAD 980,000 Government of Canada, 6.000% due 06/01/08 (s).... Aa1/AAA 664,593
------------
DENMARK (0.8%)
DKK 9,350,000 Kingdom of Denmark, 8.000% due 05/15/03 (s)...... Aaa/AAA 1,450,895
------------
FRANCE (2.2%)
EURO 1,010,857 BTAN, Five-Year French Treasury Note, 4.750%
due 03/12/02 (s)............................... Aaa/NR 1,074,255
EURO 630,000 BTAN, Two-Year French Treasury Note, 3.000%
due 07/12/01 (s)............................... Aaa/NR 653,554
Government of France.............................
EURO 2,034,000 4.000% due 04/25/09 (s).......................... Aaa/AAA 1,942,225
EURO 505,000 6.000% due 10/25/25 (s).......................... Aaa/AAA 542,458
------------
4,212,492
------------
GERMANY (0.6%)
EURO 1,083,098 Federal Republic of Germany, Series 124, 4.500%
due 08/19/02 (s)............................... Aaa/AAA 1,146,132
------------
ITALY (1.5%)
REPUBLIC OF ITALY
EURO 2,100,000 3.250% due 04/15/04 (s).......................... Aa3/AA 2,068,594
EURO 600,000 7.250% due 11/01/26 (s).......................... Aa3/AA 726,045
------------
2,794,639
------------
SPAIN (0.5%)
EURO 815,000 Government of Spain, 6.000% due 01/31/08 (s)..... Aa2/AA+ 894,725
------------
SWEDEN (0.4%)
SEK 5,800,000 Government of Sweden, 5.500% due 04/12/02 (s).... Aaa/AAA 711,780
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
UNITED KINGDOM (1.8%)
TREASURY GILT
GBP 135,000 6.250% due 11/25/10 (s).......................... Aaa/AAA $ 237,359
GBP 450,000 6.750% due 11/26/04 (s).......................... Aaa/AAA 759,080
GBP 1,105,000 7.000% due 11/06/01 (s).......................... Aaa/AAA 1,840,391
GBP 119,000 7.250% due 12/07/07 (s).......................... Aaa/AAA 213,427
GBP 230,000 7.500% due 12/07/06 (s).......................... Aaa/AAA 412,506
------------
3,462,763
------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(COST $15,616,706)......................... 15,338,019
------------
FOREIGN GOVERNMENT AGENCIES (0.7%)
MEXICO (0.6%)
450,000 Banco Nacional Obra Serv, 9.625% due 11/15/03
(s)............................................ Ba1/BB 451,125
200,000 Petroleos Mexicanos, 8.850% due 09/15/07 (s)..... Ba1/BB 182,000
300,000 Petroleos Mexicanos, 9.500% due 09/15/27......... Ba1/BB 258,000
200,000 Petroleos Mexicanos, (144A), 9.375% due 12/02/08
(s)............................................ Ba1/BB 203,000
------------
1,094,125
------------
PHILIPPINES (0.1%)
350,000 Bangko Sentral Pilipinas, 8.600% due 06/15/27.... Ba1/BB+ 275,975
------------
TOTAL FOREIGN GOVERNMENT AGENCIES
(COST $1,327,948).......................... 1,370,100
------------
PRIVATE PLACEMENT (9.2%)
APPARELS & TEXTILES (0.4%)
750,000 LD Fashion Holdings Corp., 7.130% due 05/01/05
(f)............................................ NR/NR 734,858
------------
FINANCIAL SERVICES (0.3%)
740,819 Huntington National Bank Republic, 7.240%
due 12/05/20 (f)(s)............................ NR/NR 640,230
------------
NATURAL GAS (0.2%)
500,000 Great Lake Gas Transmission, 6.730% due 03/25/18
(f)............................................ NR/NR 438,460
------------
OIL-PRODUCTION (0.2%)
163,187 Amerada Hess Corp. Leveraged Lease, 7.330%
due 01/01/14 (f)............................... NR/NR 155,997
331,899 Amerada Hess Corp. Leveraged Lease, Series A,
6.140% due 01/01/14 (f)........................ NR/NR 295,689
------------
451,686
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
REAL ESTATE (8.1%)
$ 2,939,824 127-129-131 West 96th St. Corp. (1st Mortgage
Agreement on Cooperative Building in New York
City), 6.850% due 12/01/18 (f)(s).............. NR/NR $ 2,756,320
1,087,455 14-16 East 17th St. (1st Mortgage Agreement on
Cooperative Building in New York City), 7.000%
due 03/01/21 (f)(s)............................ NR/NR 1,025,177
1,558,305 270 Fifth Ave. (1st Mortgage Agreement on
Cooperative Building in Brooklyn, New York),
6.930% due 09/01/18 (f)(s)..................... NR/NR 1,470,433
488,182 31-33 Mercer Street (1st Mortgage Agreement on
Cooperative Building in New York City), 7.490%
due 04/01/23 (f)(s)............................ NR/NR 477,574
617,836 3512 Oxford Avenue (1st Mortgage Agreement on
Cooperative Building in Riverdale, New York),
8.450% due 06/01/17 (f)(s)..................... NR/NR 643,723
618,019 3810 Greystone Avenue (1st Mortgage Agreement on
Cooperative Building in Riverdale, New York),
8.500% due 06/01/17 (f)(s)..................... NR/NR 639,854
802,999 421 West 57th Street (1st Mortgage Agreement on
Cooperative Building in New York City), 8.980%
due 07/01/22 (f)(s)............................ NR/NR 864,027
489,971 482 East 9th Street, Kensington Gardens Corp.
(1st Mortgage Agreement on Cooperative Building
in New York City), 6.850% due 12/01/18
(f)(s)......................................... NR/NR 454,825
606,834 86-06/86-42 155th Ave., Dartmouth Cooperative
Corp. (1st Mortgage Agreement on Cooperative
Building in Howard Beach, New York), 7.000%
due 01/01/14 (f)(s)............................ NR/NR 577,870
1,607,002 PC Bel Clare Estates, 33 Claroma St., St. Joseph
Township, Minnesota, 6.930% due 09/01/18 (f)... NR/NR 1,510,389
1,365,711 PC Northstar Terrace, 101 Jupiter Drive, East
Grand Forks, Minnesota, 6.625% due 10/01/18
(f)............................................ NR/NR 1,241,896
1,632,896 PC Shangri-La, 3526 North Cascade Ave., Colorado
Springs, Colorado, 6.520% due 10/01/08 (f)..... NR/NR 1,496,810
1,302,041 PC Three Lakes Estates, 2151 Three Lakes Road,
Albany, Oregon, 6.180% due 10/01/13 (f)........ NR/NR 1,140,636
1,415,511 Walgreen-Benderson, 7.625% due 11/15/13 (f)...... NR/NR 1,373,796
------------
15,673,330
------------
TOTAL PRIVATE PLACEMENT (COST $19,002,145)... 17,938,564
------------
SOVEREIGN BONDS (17.2%)
ARGENTINA (1.3%)
262,189 Republic of Argentina Bocon, Series Pre-2, 5.406%
due 04/01/01 (v)............................... B1/NR 253,144
97,815 Republic of Argentina Bocon, Series Pre-4, 5.406%
due 09/01/02 (v)............................... B1/NR 90,716
200,000 Republic of Argentina Discount Bonds
Series L-GL, 6.000% due 03/31/23 (v)........... B1/BB 151,320
175,000 Republic of Argentina Global Bonds, 9.750%
due 09/19/27................................... B1/BB 147,000
480,000 Republic of Argentina Global Bonds, 11.750%
due 04/07/09................................... B1/BB 472,800
100,000 Republic of Argentina Global Bonds, Series BGL5,
11.375% due 01/30/17........................... B1/BB 95,250
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
ARGENTINA (CONTINUED)
$ 300,000 Republic of Argentina Par Bonds, Series L-GP,
6.000% due 03/31/23 (v)........................ B1/BB $ 197,640
1,283,040 Republic of Argentina, Series FRB, 6.813%
due 03/31/05 (v)(s)............................ B1/BB 1,135,747
------------
2,543,617
------------
BRAZIL (3.3%)
100,000 Republic of Brazil Discount Bonds, Series 30 Year
ZL, 6.938% due 04/15/24 (v).................... B2/B+ 68,125
3,828,891 Republic of Brazil C Bonds, Series 20 Year,
8.000% due 04/15/14 (s)........................ B2/B+ 2,558,178
454,954 Republic of Brazil C Bonds, Series L, 8.000%
due 04/15/14................................... B2/B+ 303,966
380,000 Republic of Brazil DCB, Series 18 Year, 7.000%
due 04/15/12 (v)............................... B2/B+ 247,475
850,000 Republic of Brazil Global Bonds, 10.125%
due 05/15/27................................... B2/B+ 655,563
976,000 Republic of Brazil Global Bonds, 14.500%
due 10/15/09 (s)............................... B2/B+ 1,005,280
221,400 Republic of Brazil IDU, Series A, 6.500%
due 01/01/01 (v)............................... B2/NR 216,972
1,391,200 Republic of Brazil, Series EI-L, 6.938%
due 04/15/06 (v)(s)............................ B2/B+ 1,134,705
282,000 Republic of Brazil, Series RG, 6.938%
due 04/15/06 (v)(s)............................ B2/NR 230,008
------------
6,420,272
------------
BULGARIA (1.4%)
2,650,000 Republic of Bulgaria Discount Bonds, Series A,
6.500% due 07/28/24 (v)........................ B2/NR 1,974,250
150,000 Republic of Bulgaria Global FLIRB, Series A,
2.750% due 07/28/12 (v)........................ B2/NR 101,063
130,000 Republic of Bulgaria IAB, PDI, 6.500%
due 07/28/11 (v)............................... B2/NR 99,125
675,000 Republic of Bulgaria IAB, PDI, Series R, 6.500%
due 07/28/11 (v)(s)............................ B2/NR 514,688
------------
2,689,126
------------
COLOMBIA (1.1%)
200,000 Republic of Colombia, 10.875% due 03/09/04....... Ba2/BB+ 200,400
300,000 Republic of Colombia, 12.471% due 08/13/05 (v)... Ba2/BB+ 280,500
150,000 Republic of Columbia, 7.270% due 06/15/03........ Ba2/BB+ 133,125
1,050,000 Republic of Columbia, 7.625% due 02/15/07........ Ba2/BB+ 864,286
700,000 Republic of Columbia, 9.750% due 04/23/09........ Ba2/BB+ 632,625
------------
2,110,936
------------
COSTA RICA (0.3%)
510,000 Republic of Costa Rica, (144A), 9.335%
due 05/15/09 (s)............................... Ba1/BB 515,100
------------
CROATIA (0.4%)
1,000,000 Republic of Croatia, Series A, 6.456%
due 07/31/10 (v)............................... Baa3/BBB- 815,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
EL SALVADOR (0.1%)
$ 100,000 Republic of El Salvador, (144A), 9.500%
due 08/15/06................................... Baa3/BB+ $ 99,500
------------
LEBANON (0.1%)
150,000 Republic of Lebanon, (144A), 10.250%
due 10/06/09................................... NR/BB- 150,750
------------
LITHUANIA (0.0%)
50,000 Republic of Lithuania, 7.125% due 07/22/02....... Ba1/BBB- 47,500
------------
MEXICO (2.9%)
250,000 United Mexican States Discount Bonds, Series C,
5.874% due 12/31/19 (v)........................ Ba1/BB 218,750
250,000 United Mexican States Discount Bonds, Series D,
6.066% due 12/31/19 (v)........................ Ba1/BB 218,750
745,000 United Mexican States Global Bonds, 9.875%
due 01/15/07................................... Ba1/BB 747,354
1,100,000 United Mexican States Global Bonds, 11.375%
due 09/15/16................................... Ba1/BB 1,173,150
1,385,000 United Mexican States Global Bonds, 11.500%
due 05/15/26 (s)............................... Ba1/BB 1,546,768
700,000 United Mexican States Global Bonds, Series E,
MTN, 9.750% due 04/06/05....................... Ba1/BB 702,275
425,000 United Mexican States Global Bonds, Series XW,
10.375% due 02/17/09........................... NR/NR 431,715
250,000 United Mexican States Par Bonds, Series W-A,
6.250% due 12/31/19............................ Ba1/BB 187,350
350,000 United Mexican States Par Bonds, Series W-B,
6.250% due 12/31/19............................ Ba1/BB 262,290
------------
5,488,402
------------
MOROCCO (0.5%)
1,170,000 Kingdom of Morocco Restructuring & Consolidation
Agreement, Series A, 6.844% due 01/01/09
(v)(s)......................................... NR/NR 1,013,513
------------
PANAMA (0.9%)
150,000 Republic of Panama, 7.875% due 02/13/02.......... Ba1/BB+ 145,500
200,000 Republic of Panama, 8.875% due 09/30/27.......... Ba1/BB+ 161,500
200,000 Republic of Panama Global Bonds, 8.250%
due 04/22/08................................... Ba1/BB+ 172,500
375,000 Republic of Panama Global Bonds, 9.375%
due 04/01/29................................... Ba1/BB+ 354,375
590,000 Republic of Panama IRB, Series 18 Year, 4.250%
due 07/17/14 (v)............................... Ba1/BB+ 439,550
728,819 Republic of Panama PDI, Series 20 Year, 6.500%
due 07/17/16 (v)(s)............................ Ba1/BB+ 546,614
------------
1,820,039
------------
PERU (1.0%)
400,000 Republic of Peru Discount Bonds, Series 30 Year,
6.813% due 03/08/27 (v)(s)..................... Ba3/BB 238,000
325,000 Republic of Peru FLIRB, Series 20 Year, 3.750%
due 03/07/17 (v)............................... Ba3/BB 177,938
2,300,000 Republic of Peru PDI, Series 20 Year, 4.500%
due 03/07/17 (v)(s)............................ Ba3/BB 1,434,625
------------
1,850,563
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
PHILIPPINES (0.6%)
$ 565,000 Republic of Philippines Global Bonds, 8.875%
due 04/15/08................................... Ba1/BB+ $ 551,582
670,000 Republic of Philippines Global Bonds, 9.875%
due 01/15/19 (s)............................... Ba1/BB+ 646,550
------------
1,198,132
------------
POLAND (0.1%)
150,000 Republic of Poland Bearer PDI, 5.000%
due 10/27/14 (v)............................... Baa1/BBB 132,938
------------
QATAR (0.5%)
50,000 State of Qatar, 9.500% due 05/21/09.............. Baa2/BBB 51,563
950,000 State of Qatar, (144A), 9.500% due 05/21/09
(s)............................................ Baa2/BBB 979,688
------------
1,031,251
------------
SLOVAKIA (0.3%)
650,000 Republic of Slovakia, 9.500% due 05/28/03 (s).... Ba1/BB+ 658,125
------------
TRINIDAD & TOBAGO (0.3%)
550,000 Republic of Trinidad and Tobago, (144A), 9.875%
due 10/01/09 (s)............................... Ba1/BBB- 552,750
------------
TURKEY (0.5%)
125,000 Republic of Turkey, 9.875% due 02/23/05.......... B1/B 115,625
600,000 Republic of Turkey, 12.375% due 06/15/09......... B1/B 606,000
220,000 Republic of Turkey Global Bonds, 12.000%
due 12/15/08................................... B1/B 222,750
------------
944,375
------------
VENEZUELA (1.6%)
2,833,320 Republic of Venezuela DCB, Series DL, 6.313%
due 12/18/07 (v)(s)............................ B2/B+ 2,276,006
1,200,000 Republic of Venezuela Global Bonds, 9.250%
due 09/15/27................................... B2/B+ 807,594
------------
3,083,600
------------
TOTAL SOVEREIGN BONDS (COST $31,491,465)..... 33,165,489
------------
SUPRANATIONAL OBLIGATIONS (0.5%)
1,000,000 Inter-American Development Bank, 5.375%
due 11/18/08 (cost $993,060)................... Aaa/AAA 904,700
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (11.8%)
FEDERAL NATIONAL MORTGAGE ASSOCIATION (10.9%)
3,635,000 TBA, November, 6.500% due 10/01/29............... 3,483,348
5,950,000 TBA, November, 7.000% due 09/01/29............... 5,842,186
8,640,000 TBA, November, 7.500% due 10/01/29............... 8,658,922
3,000,000 TBA, November, 8.000% due 10/01/29............... 3,056,730
------------
21,041,186
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (0.9%)
1,730,133 7.000% due 09/15/28.............................. 1,697,138
------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $22,740,686)......................... 22,738,324
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS (3.8%)
U.S. TREASURY BONDS (0.0%)
$ 85,000 5.500% due 08/15/28 (s).......................... $ 75,596
------------
U.S. TREASURY NOTES (3.8%)
150,000 4.250% due 11/15/03 (s).......................... 140,930
120,000 5.625% due 11/30/00 (s).......................... 119,951
3,000,000 6.000% due 08/15/04 (s).......................... 3,007,020
3,450,000 6.250% due 02/28/02 (s).......................... 3,479,636
400,000 6.875% due 05/15/06 (s).......................... 415,172
------------
7,162,709
------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $7,312,977).......................... 7,238,305
------------
WARRANTS (0.0%)
ARGENTINA (0.0%)
1,150 Republic of Argentina, Expiring 02/25/00
(cost $31,803)(+).............................. 25,875
------------
RIGHTS (0.0%)
MEXICO (0.0%)
768,000 United Mexican States Value Recovery, Series A
Par, Expiring 06/30/03 (cost $0)(+)............ 0
------------
SHORT-TERM INVESTMENTS (15.7%)
COLLATERALIZED MORTGAGE OBLIGATIONS AND ASSET BACKED SECURITIES (0.3%)
574,844 Structured Asset Securities Corp., Subordinated
Bond, Series 1997-C1, Class E, (144A), 6.309%
due 08/25/00 (v)............................... NR/NR 573,406
------------
EURO DOLLAR TIME DEPOSITS (2.1%)
4,000,000 State Street Bank & Trust Co. London, 5.188%
due 11/01/99 (s)............................... 4,000,000
------------
REPURCHASE AGREEMENT (13.0%)
25,020,000 State Street Bank & Trust Co., 4.250% dated
10/29/99 due 11/01/99, proceeds $25,028,861
(collateralized by $95,000 U.S. Treasury Bonds,
8.875% due 02/15/19, valued at $120,175,
$21,685,000 U.S. Treasury Notes, 6.250%
due 05/31/00, valued at $22,335,550, $1,665,000
U.S. Treasury Bonds, 6.875% due 08/15/25,
valued at $1,764,900, $455,000 U.S. Treasury
Notes, 6.750% due 04/30/00, valued at $473,064,
$145,000 U.S. Treasury Notes, 7.250%
due 05/15/04, valued at $156,383, $670,000 U.S.
Treasury Notes, 6.125% due 07/31/00, valued at
$683,065)...................................... 25,020,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MOODY'S/S&P
PRINCIPAL RATING
AMOUNT{::} SECURITY DESCRIPTION (UNAUDITED) VALUE
- ---------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS (0.3%)
$ 310,000 Bills, 5.110% due 03/02/00 (y)(s)................ $ 305,756
200,000 Notes, 5.875% due 11/15/99 (s)................... 200,062
------------
505,818
------------
TOTAL SHORT-TERM INVESTMENTS (COST $30,100,694)................ 30,099,224
------------
TOTAL INVESTMENTS (COST $220,109,636) (110.0%)................. 211,896,486
LIABILITIES IN EXCESS OF OTHER ASSETS (-10.0%)................. (19,206,656)
------------
NET ASSETS (100.0%)............................................ $192,689,830
============
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $220,593,337 for federal income tax
purposes at October 31, 1999, the aggregate gross unrealized appreciation and
depreciation was $2,147,198 and $10,844,049, respectively, resulting in net
unrealized depreciation of $8,696,851.
+ Non-income producing security.
(f) Fair valued security. Approximately 9.4% of the market value of the
securities have been valued at fair value. (See Note 1a)
(s) Security is fully or partially segregated with custodian as collateral for
TBA and when issued securities or futures contracts or with broker as initital
margin for futures contracts. $50,891,588 of the market value has been
segregated.
(v) Rate shown reflects current rate on variable or floating rate instrument or
instrument with step-up coupon rate.
(y) Yield to maturity.
{/\} Defaulted security.
{::} Denominated in USD unless otherwise indicated.
144A - Securities restricted for resale to Qualified Institutional Buyers.
C - Capitalization.
CAD - Canadian Dollar.
CSTR - Collateral Strip Rate.
DCB - Debt Conversion Bonds.
DKK - Danish Krone.
EURO - Euro.
FLIRB - Floating Interest Rate Bond.
FRB - Federal Reserve Board.
GBP - British Pound.
IAB - Interest in Arrears Bond.
IDU - Interest Due and Unpaid Bond.
IO - Interest Only.
IRB - Interest Reduction Bonds.
MTN - Medium Term Note.
NR - Not Rated.
NTL - Notional Principal.
PO - Principal Only.
PDI - Past Due Interest.
REMIC - Real Estate Mortgage Investment Conduit.
SEK - Swedish Krona.
TBA - Security purchased on a forward commitment basis with an approximate
principal amount and no definite maturity date. The actual principal amount and
maturity will be determined upon settlement date.
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $195,089,636) $186,876,486
Repurchase Agreements (Cost $25,020,000) 25,020,000
Cash 3,801
Foreign Currency at Value (Cost $156,568) 154,734
Interest Receivable 2,959,468
Receivable for Investments Sold 2,220,046
Unrealized Appreciation of Forward Foreign
Currency Contracts 341,332
Variation Margin Receivable 34,643
Receivable for Expense Reimbursement 14,518
Deferred Organization Expenses 11,556
Prepaid Trustees' Fees 400
Prepaid Administration Fee 75
Prepaid Expenses and Other Assets 1,246
------------
Total Assets 217,638,305
------------
LIABILITIES
Payable for Investments Purchased 24,753,393
Advisory Fee Payable 74,819
Unrealized Depreciation of Forward Foreign
Currency Contracts 14,811
Administrative Services Fee Payable 4,182
Fund Services Fee Payable 113
Accrued Expenses 101,157
------------
Total Liabilities 24,948,475
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $192,689,830
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest and Dividend Income $17,484,695
EXPENSES
Advisory Fee $ 1,073,105
Custodian Fees and Expenses 245,157
Administrative Services Fee 61,940
Professional Fees and Expenses 51,854
Fund Services Fee 5,003
Amortization of Organization Expenses 4,865
Trustees' Fees and Expenses 2,377
Administration Fee 2,188
Miscellaneous 10,159
-----------
Total Expenses 1,456,648
Less: Reimbursement of Expenses (14,518)
-----------
NET EXPENSES 1,442,130
-----------
NET INVESTMENT INCOME 16,042,565
NET REALIZED GAIN (LOSS) ON
Investment Transactions (4,943,565)
Futures Contracts 548,064
Foreign Currency Contracts and Transactions (1,113,326)
-----------
Net Realized Loss (5,508,827)
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investment Transactions (7,343,284)
Futures Contracts 114,378
Foreign Currency Contracts and Translations 2,410,678
-----------
Net Change in Unrealized Depreciation (4,818,228)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 5,715,510
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
36
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
---------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 16,042,565 $ 12,998,257
Net Realized Loss on Investments, Futures and
Foreign Currency Contracts and Transactions (5,508,827) (8,737,057)
Net Change in Unrealized Depreciation of
Investments, Futures and Foreign Currency
Contracts and Translations (4,818,228) (3,001,152)
--------------- ---------------
Net Increase in Net Assets Resulting from
Operations 5,715,510 1,260,048
--------------- ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 87,676,750 199,905,113
Withdrawals (134,856,430) (67,392,063)
--------------- ---------------
Net Increase (Decrease) from Investors'
Transactions (47,179,680) 132,513,050
--------------- ---------------
Total Increase (Decrease) in Net Assets (41,464,170) 133,773,098
NET ASSETS
Beginning of Fiscal Year 234,154,000 100,380,902
--------------- ---------------
End of Fiscal Year $ 192,689,830 $ 234,154,000
=============== ===============
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL YEAR MARCH 17, 1997
ENDED OCTOBER 31, (COMMENCEMENT OF
---------------------- OPERATIONS) THROUGH
1999 1998 OCTOBER 31, 1997
---------- ---------- -------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.60% 0.63% 0.65%(a)
Net Investment Income 6.73% 6.59% 7.09%(a)
Expenses without Reimbursement 0.61% 0.63% 0.80%(a)
Portfolio Turnover 318% 368% 212%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
37
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Global Strategic Income Portfolio (the "portfolio") is one of two subtrusts
(portfolios) comprising Series Portfolio II. Series Portfolio II is registered
under the Investment Company Act of 1940, as amended, as a no-load, diversified,
open-end management investment company which was organized as a trust under the
laws of the State of New York on January 9, 1997. The portfolio commenced
operations on March 17, 1997 and received a contribution of certain assets and
liabilities including securities, with a value of $41,072,730 on that date from
the J.P. Morgan Institutional Global Strategic Income Fund in exchange for a
beneficial interest in the portfolio. The portfolio's investment objective is to
provide a high total return from a portfolio of fixed income securities of
foreign and domestic issuers. The Declaration of Trust permits the trustees to
issue an unlimited number of beneficial interests in the portfolio.
The portfolio may have elements of risk not typically associated with
investments in the United States due to concentrated investments in a limited
number of countries or regions which may vary throughout the year. Such
concentrations may subject the portfolio to additional risks resulting from
political or economic conditions in such countries or regions and the possible
imposition of adverse governmental laws or currency exchange restrictions
affecting such countries or regions which could cause the securities and their
markets to be less liquid and prices more volatile than those comparable to the
United States. The ability of the issuers of debt, asset-backed, and
mortgage-backed securities held by the portfolio to meet their obligations may
be affected by economic and political developments in a specific industry or
region. The value of asset-backed and mortgage securities can be significantly
affected by changes in interest rates or rapid principal payments including pre-
payments.
A percentage (9.4% at October 31, 1999) of the investments of the portfolio may
be highly illiquid, and there can be no assurance that the portfolio will be
able to realize such investments in a timely manner.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the portfolio:
a) The portfolio values securities that are listed on an exchange using
prices supplied daily by an independent pricing service that are based on
the last traded price on a national securities exchange or in the absence
of recorded trades, at the readily available mean of the bid and asked
prices on such exchange, if such exchange or market constitutes the
broadest and most representative market for the security. Securities
listed on a foreign exchange are valued at the last traded price or, in
the absence of recorded trades, at the readily available mean of the bid
and asked prices on such exchange available before the time when the net
assets are valued. Independent pricing service procedures may also include
the use of prices based on yields or prices of securities of comparable
quality, coupon, maturity and type, indications as to values from dealers,
operating data, and general market conditions. Unlisted securities are
valued at the average of the quoted bid and asked prices in the
over-the-counter market provided by a principal market maker or dealer. If
prices are not supplied by the portfolio's independent
38
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
pricing service or principal market maker or dealer, such securities are
priced using fair values in accordance with procedures adopted by the
portfolio's trustees. All short-term securities with a remaining maturity
of sixty days or less are valued using the amortized cost method.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the portfolio's net assets are calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the portfolio's trustees.
The portfolio's custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the portfolio. It is the
policy of the portfolio to value the underlying collateral daily on a
mark-to-market basis to determine that the value, including accrued
interest, is at least equal to the repurchase price plus accrued interest.
In the event of default of the obligation to repurchase, the portfolio has
the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation. Under certain circumstances, in the event
of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral or proceeds may be subject to legal
proceedings.
b) The books and records of the portfolio are maintained in U.S. dollars. The
market value of investment securities, other assets and liabilities and
foreign currency contracts are translated at the prevailing exchange rates
at the end of the period. Purchases, sales, income and expenses are
translated at the exchange rates prevailing on the respective dates of
such transactions. Translation gains and losses resulting from changes in
exchange rates during the reporting period and gains and losses realized
upon settlement of foreign currency transactions are reported in the
Statement of Operations. Although the net assets of the portfolio are
presented at the exchange rates and market values prevailing at the end of
the period, the portfolio does not isolate the portion of the results of
operations arising as a result of changes in foreign exchange rates from
the fluctuations arising from changes in the market prices of securities
during the period.
c) Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount becomes known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
d) The portfolio incurred organization expenses in the amount of $23,505.
These costs were deferred and are being amortized on a straight-line basis
over a five-year period from the commencement of operations of the
portfolio.
e) Expenses incurred by Series Portfolio II with respect to any two or more
portfolios in the Series Portfolio are allocated in proportion to the net
assets of each portfolio in Series Portfolio II, except where allocations
of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that
portfolio.
39
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
f) The portfolio may enter into forward and spot foreign currency contracts
to protect securities and related receivables and payables against
fluctuations in future foreign currency rates and to enhance returns. A
forward foreign currency contract is an agreement to buy or sell
currencies of different countries on a specified future date at a
specified rate. Risks associated with such contracts include the movement
in the value of the foreign currency relative to the U.S. dollar and the
ability of the counterparty to perform.
The market value of the contract will fluctuate with changes in currency
exchange rates. Contracts are valued daily at the current foreign exchange
rates, and the change in the market value is recorded by the portfolio as
unrealized appreciation or depreciation of forward foreign currency
contract translations.
g) A futures contract is an agreement to purchase/sell a specified quantity
of an underlying instrument at a specified future date or to make/receive
a cash payment based on the value of a securities index. The price at
which the purchase and sale will take place is fixed when the portfolio
enters into the contract. Upon entering into such a contract, the
portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are
known as "variation margin" and are recorded by the portfolio as
unrealized gains or losses. When the contract is closed, the portfolio
records a realized gain or loss equal to the difference between the value
of the contract at the time it was opened and the value at the time when
it was closed. The portfolio invests in futures contracts for the purpose
of hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect correlation of
movements in the price of futures contracts, interest rates and the
underlying hedged assets, and the possible inability of counterparties to
meet the terms of their contracts.
h) The portfolio may enter into commitments to buy and sell investments to
settle on future dates as part of its normal investment activities. These
commitments are reported at market value in the financial statements.
Credit risk exists on these commitments to the extent of any unrealized
gains on the underlying securities purchased and any unrealized losses on
the underlying securities sold. Market risk exists on these commitments to
the same extent as if the security were owned on a settled basis and gains
and losses are recorded and reported in the same manner. However, during
the commitment period, these investments earn no interest or dividends.
i) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code. The portfolio earns foreign income which may
be subject to foreign withholding taxes at various rates.
40
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) The portfolio has an Investment Advisor Agreement with J.P. Morgan
Investment Management, Inc. ("JPMIM"), an affiliate of Morgan Guaranty
Trust Company of New York ("Morgan") and wholly-owned subsidiary of
J.P. Morgan & Co. Incorporated ("J.P. Morgan"). Under the terms of the
agreement, the portfolio pays Morgan at an annual rate of 0.45% of the
portfolio's average daily net assets. For the fiscal year ended
October 31, 1999, such fees amounted to $1,073,105.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio has agreed to pay FDI fees equal to its
allocable share of an annual complex-wide charge of $425,000 plus FDI's
out-of-pocket expenses. The amount allocable to the portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. For the fiscal year ended October 31, 1999, the fee
for these services amounted to $2,188.
c) The portfolio has an Administrative Services Agreement (the "Services
Agreement") with Morgan under which Morgan is responsible for certain
aspects of the administration and operation of the portfolio. Under the
Services Agreement, the portfolio has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the
portfolio and other portfolios in which the trust, the J.P. Morgan Funds,
the J.P. Morgan Institutional Funds invest (the "master portfolios") and
J.P. Morgan Series Trust in accordance with the following annual schedule:
0.09% on the first $7 billion of their aggregate average daily net assets
and 0.04% of their aggregate average daily net assets in excess of
$7 billion less the complex-wide fees payable to FDI. The portion of this
charge payable by the portfolio is determined by the proportionate share
that its net assets bear to the net assets of the master portfolios, other
investors in the master portfolios for which Morgan provides similar
services and J.P. Morgan Series Trust. For the fiscal year ended
October 31, 1999, the fee for these services amounted to $61,940.
In addition, J.P. Morgan has agreed to reimburse the portfolio to the
extent necessary to maintain the total operating expenses of the portfolio
at no more than 0.65% of the average daily net assets of the portfolio
through February 28, 2001. This reimbursement arrangement can be changed
or terminated at any time after February 28, 2001, at the option of
J.P. Morgan. For the fiscal year ended October 31, 1999, J.P. Morgan has
agreed to reimburse the portfolio $14,518 for expenses under this
agreement.
d) The portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the trustees in exercising their overall supervisory
responsibilities for the portfolio's affairs. The trustees of the
portfolio represent all the existing shareholders of Group. The
portfolio's allocated portion of Group's costs in performing its services
amounted to $5,003 for the fiscal year ended October 31, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the J.P. Morgan
Institutional Funds, the master portfolios and J.P. Morgan Series Trust.
The Trustees' Fees and Expenses shown in the financial statements
represents the portfolio's allocated
41
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
portion of the total fees and expenses. The portfolio's Chairman and Chief
Executive Officer also serves as Chairman of Group and receives
compensation and employee benefits from Group in his role as Group's
Chairman. The allocated portion of such compensation and benefits included
in the Fund Services Fee shown in the financial statements was $950.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended October 31, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C>
U.S. Government and Agency Obligations........... $419,201,932 $448,093,014
Corporate and Collateralized Obligations......... 303,117,645 309,889,066
------------ ------------
$722,319,577 $757,982,080
============ ============
</TABLE>
At October 31, 1999, the portfolio had open forward currency contracts as
follows:
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
CONTRACTUAL VALUE AT APPRECIATION/
VALUE 10/31/99 (DEPRECIATION)
----------- ----------- --------------
<S> <C> <C> <C>
PURCHASE CONTRACTS
British Pound 145,989, expiring 11/04/99......... $ 238,838 $ 239,553 $ 715
Euro 160,000, expiring 12/16/99.................. 171,488 168,761 (2,727)
SETTLEMENT
VALUE
-----------
SALES CONTRACTS
British Pound 2,131,948, expiring 12/16/99....... $3,558,475 3,499,482 58,993
Canadian Dollar 979,718, expiring 12/16/99....... 655,835 667,032 (11,197)
Danish Krone 10,402,546, expiring 12/16/99....... 1,518,930 1,475,624 43,306
Euro 7,503,462, expiring 12/16/99................ 8,145,508 7,914,335 231,173
Swedish Krona 5,841,830, expiring 12/16/99....... 717,608 711,350 6,258
-------------
NET UNREALIZED APPRECIATION ON FORWARD FOREIGN
CURRENCY CONTRACTS.............................. $ 326,521
=============
</TABLE>
42
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
Open futures contracts at October 31, 1999 are summarized as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/ MARKET VALUE
CONTRACTS LONG (DEPRECIATION) OF CONTRACTS
-------------- -------------- -------------
<S> <C> <C> <C>
U.S. Five Year Note, expiring
December 1999................. 16 $(13,346) $ 1,727,250
U.S. Ten Year Note, expiring
December 1999................. 72 24,412 7,899,750
Eurex Ten Year Euro Bond,
expiring December 1999........ 22 (16,309) 2,448,506
--- -------- -----------
Totals.......................... 110 $ (5,243) $12,075,506
=== ======== ===========
</TABLE>
<TABLE>
<CAPTION>
CONTRACTS SHORT
---------------
<S> <C> <C> <C>
U.S. Long Bond, expiring
December
1999.......................... 33 $ 79,208 $ 3,748,594
U.S. Ten Year Note, expiring
December 1999................. 40 4,448 4,388,750
U.S. Ten Year Note, expiring
March 2000.................... 16 (7,682) 1,567,000
--- -------- -----------
Totals.......................... 89 $ 75,974 $ 9,704,344
=== ======== ===========
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the fund's Notes to the Financial
Statements which are included elsewhere in this report.
43
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Investors of
The Global Strategic Income Portfolio
In our opinion, the accompanying statement of assets and liabilities, including
the schedule of investments, and the related statements of operations and of
changes in net assets and the supplementary data present fairly, in all material
respects, the financial position of The Global Strategic Income Portfolio (one
of two subtrusts constituting Series Portfolio II, hereafter referred to as the
"portfolio") at October 31, 1999, the results of its operations for the year
then ended, the changes in its net assets for each of the two years in the
period then ended and its supplementary data for each of the periods indicated,
in conformity with generally accepted accounting principles. These financial
statements and supplementary data (hereafter referred to as "financial
statements") are the responsibility of the portfolio's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards, which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at October
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
New York, New York
December 17, 1999
44
