<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS AND ASSET BACKED SECURITIES (11.8%)
FINANCIAL SERVICES (11.8%)
$ 110,699 Home Mac Mortgage Securities Corp., Series
1985-1, secured by GNMA, 11.375% due
08/01/15....................................... NR/NR $ 109,039
57,488 Salomon Brothers Mortgage Securities V, Inc.,
Series 1985-1, secured by GNMA, 12.000% due
04/01/15....................................... NR/NR 57,488
1,495,343 Chase Manhattan Bank - First Union National,
Sequential Payer, Series 1999-1, Class A1,
7.134% due 07/15/07............................ NR/AAA 1,465,905
500,000 Comm, Subordinated Bond, Series 2000-FL1A, Class
H, (144A), 7.410% due 03/16/03(v).............. Baa3/NR 487,460
12,180,890 CS First Boston Mortgage Securities Corp,
REMIC:IO, CSTR, NTL,
Series 1997-2, Class X, (144A), 1.013% due
06/25/20(v).................................... NR/NR 216,978
1,500,000 CS First Boston Mortgage Securities Corp., Series
1999-C1, Class A2, Sequential Payer, 7.290% due
09/15/09....................................... Aaa/NR 1,476,094
588,367 DLJ Mortgage Acceptance Corp., CSTR, Series
1997-D, (144A), 8.250% due 07/25/27(v)......... NR/NR 538,356
3,529,056 Federal National Mortgage Association, PO, Series
1994-53, Class G, Zero Coupon, 2.112%(y) due
11/25/23....................................... NR/NR 2,150,501
1,383,146 First Union Commercial Mortgage Trust, Sequential
Payer, Series 1999-C1, Class A1, 5.730% due
01/15/08....................................... NR/AAA 1,290,216
1,500,000 GMAC Commercial Mortgage Securities Inc.,
Sequential Payer,
Series 1998-C2, Class A2, 6.420% due
08/15/08....................................... Aaa/AAA 1,386,094
2,500,000 Green Tree Financial Corp., Subordinated Bond,
Series 1999-2, Class B1, 8.410% due 12/01/30... NR/BBB+ 2,221,875
2,000,000 Green Tree Financial Corp., Subordinated Bond,
Series 1999-3, Class B1, 8.370% due 02/01/31... NR/BBB+ 1,773,740
1,200,000 Heller Financial Commercial Mortgage Asset Co.,
Sequential Payer,
Series 1999-PH1, Class A2, 6.847% due
05/15/31....................................... Aaa/NR 1,136,437
1,500,000 Morgan Stanley Capital I, Inc., Sequential Payer,
Series 1998-XL1, Class A3, 6.480% due
06/03/30....................................... NR/AAA 1,398,750
1,661,015 Morgan Stanley Capital I, Inc., Sequential Payer,
Series 1999-WF-1, Class A1, 5.910% due
04/15/08....................................... Aaa/NR 1,559,797
1,000,000 Morgan Stanley Capital I, Inc., Subordinated
Bond, Series 1997-XL1, Class G, (144A), 7.695%
due 10/03/30................................... Ba3/BB 821,094
300,000 Morgan Stanley Capital I, Inc., Subordinated
Bond, CSTR, Series 2000-HG, Class E, (144A),
7.932% due 12/03/05(v)......................... Baa2/NR 293,062
1,440,000 Nomura Asset Securities Corp., Sequential Payer,
Series 1998-D6, Class A1B, 6.590% due
03/17/28....................................... Aaa/AAA 1,305,000
------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS AND
ASSET BACKED SECURITIES (COST
$20,994,060)............................... 19,687,886
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
CORPORATE OBLIGATIONS (19.2%)
AEROSPACE (0.6%)
$ 500,000 Northrop-Grumman Corp., 9.375% due 10/15/24...... Baa3/BBB- $ 500,670
500,000 Truserv Corp., 10.100% due 07/01/08(f)........... NR/NR 446,100
------------
946,770
------------
AGRICULTURE (0.3%)
500,000 Scotts Co., (144A), 8.625% due 01/15/09.......... B2/B+ 475,000
------------
AUTOMOTIVE SUPPLIES (0.2%)
400,000 Federal-Mogul Corp., 7.500% due 01/15/09......... Ba2/BB+ 304,804
------------
BANKING (0.5%)
750,000 First Union Corp., 8.125% due 06/24/02........... A2/A- 757,597
------------
BROADCASTING & PUBLISHING (1.3%)
400,000 American Media Operation, Inc., 10.250% due
05/01/09....................................... B2/B- 382,000
400,000 AMFM, Inc., 9.250% due 07/01/07.................. B1/B 401,000
400,000 AMFM, Inc., Series B, 8.750% due 06/15/07........ B1/B 399,000
500,000 Echostar DBS Corp., 9.375% due 02/01/09.......... B2/B 480,000
600,000 Emmis Communications Corp., Series B, 8.125% due
03/15/09....................................... B2/B- 564,000
------------
2,226,000
------------
CHEMICALS (0.2%)
300,000 Huntsman ICI Chemicals, 10.125% due 07/01/09..... B2/B+ 297,000
------------
COMPUTER SOFTWARE (0.9%)
500,000 PSINet, Inc., 10.500% due 12/01/06............... B3/B- 440,000
500,000 PSINet, Inc., Series B, 10.000% due 02/15/05..... B3/B- 440,000
700,000 Verio, Inc., 11.250% due 12/01/08................ B3/B- 698,250
------------
1,578,250
------------
ELECTRIC (0.4%)
300,000 Calpine Corp., 7.875% due 04/01/08............... Ba1/BB+ 282,000
400,000 CMS Energy Corp., Series B, 6.750% due
01/15/04....................................... Ba3/BB 374,380
------------
656,380
------------
ELECTRONICS (0.1%)
355,000 Protection One Alarm Monitoring, Inc., 7.375% due
08/15/05....................................... B2/B+ 244,950
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
ENERGY (0.2%)
$ 400,000 Cogentrix Energy, Inc., 8.750% due 10/15/08...... Ba1/BB+ $ 392,000
------------
ENTERTAINMENT, LEISURE & MEDIA (2.0%)
700,000 Ackerly Group, Inc., Series B, 9.000% due
01/15/09....................................... B2/B 658,000
500,000 CSC Holdings, Inc., 10.500% due 05/15/16......... Ba3/BB- 541,250
750,000 Destination Film Funding Corp., (144A), 6.250%
due 10/15/03................................... NR/NR 695,100
500,000 Fox Family Worldwide, Inc., 9.250% due
11/01/07....................................... B1/B 435,000
450,000 Lamar Media Corp., 8.625% due 09/15/07........... B1/B 418,500
700,000 Premier Parks, Inc., 12.206%(y) due
04/01/08(v).................................... B3/B- 455,000
200,000 Time Warner Telecom LLC, 9.750% due 07/15/08..... B2/B 197,500
------------
3,400,350
------------
FINANCIAL SERVICES (2.1%)
325,000 Enterprise Rent-a-Car USA Finance Co., MTN,
(144A), 9.125% due 12/15/04.................... Baa1/BBB+ 338,179
1,000,000 Ford Motor Credit Co., 7.375% due 10/28/09....... A2/A 969,000
1,500,000 Ford Motor Credit Co., 7.500% due 03/15/05....... A2/A 1,480,965
750,000 Sears Roebuck Acceptance Corp., 6.750% due
09/15/05....................................... A3/A- 704,205
------------
3,492,349
------------
FOOD, BEVERAGES & TOBACCO (0.3%)
500,000 Aurora Foods, Inc., Series B, 8.750% due
07/01/08....................................... Caa1/CCC+ 285,000
350,000 Smithfield Foods, Inc., 7.625% due 02/15/08...... Ba3/BB+ 304,937
------------
589,937
------------
HEALTH SERVICES (0.6%)
700,000 Mariner Post-Acute Network, Inc., Series B,
9.500% due 04/01/06{/\}........................ C/D 3,500
565,000 McKesson HBOC, Inc., 6.400% due 03/01/08......... Baa2/BBB 443,785
500,000 Triad Hospitals Holdings, Inc., Series B, 11.000%
due 05/15/09................................... B3/B- 520,000
------------
967,285
------------
INSURANCE (0.4%)
695,000 Prudential Insurance Co., (144A), 6.375% due
07/23/06....................................... A2/A+ 636,808
------------
MANUFACTURING (0.3%)
500,000 Polymer Group, Inc., Series B, 9.000% due
07/01/07....................................... B2/B 455,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
METALS & MINING (0.7%)
$ 400,000 P&L Coal Holdings Corp., Series B, 9.625% due
05/15/08....................................... B2/B $ 356,000
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 97,500
120,000 WHX Corp., 10.500% due 04/15/05.................. B3/B- 109,200
------------
1,156,700
------------
MISCELLANEOUS CONSUMER GOODS (0.2%)
400,000 Sun World International, Inc., Series B, 11.250%
due 04/15/04................................... B2/B 374,000
------------
NATURAL GAS (0.5%)
100,000 Ras Laffan Liquified Natural Gas, (144A), 8.294%
due 03/15/14................................... Baa3/BBB+ 93,120
750,000 Williams Companies, Inc., 6.200% due 08/01/02.... Baa2/BBB- 725,902
------------
819,022
------------
OIL-PRODUCTION (0.5%)
300,000 Ocean Energy, Inc., Series B, 8.875% due
07/15/07....................................... Ba3/BB- 295,500
300,000 Pogo Producing Co., Series B, 10.375% due
02/15/09....................................... B2/BB- 306,000
350,000 Range Resources Corp., 8.750% due 01/15/07....... B3/B- 300,125
------------
901,625
------------
OIL-SERVICES (1.0%)
500,000 Lasmo (USA), Inc., 7.500% due 06/30/06........... Baa2/BBB 473,945
1,000,000 Newpark Resources, Inc., Series B, 8.625% due
12/15/07....................................... B2/B+ 857,500
289,873 Oil Purchase Co., (144A), 7.100% due 04/30/02.... Ba2/BBB- 276,829
------------
1,608,274
------------
PACKAGING & CONTAINERS (0.6%)
500,000 Riverwood International Corp., 10.625% due
08/01/07....................................... B3/B- 492,500
500,000 Stone Container Corp., 12.250% due 04/01/02(v)... B3/B- 502,500
------------
995,000
------------
PRINTING & PUBLISHING (0.5%)
800,000 TV Guide, Inc., 8.125% due 03/01/09.............. Ba3/B+ 784,000
------------
TELECOMMUNICATIONS (3.9%)
500,000 Adelphia Communications, Inc., Series B, 8.125%
due 07/15/03................................... B1/NR 462,500
500,000 Alaska Communications Systems, 9.375% due
05/15/09....................................... B3/B+ 451,250
400,000 Charter Communications Holdings LLC, , 13.644%(y)
due 04/01/11(v)................................ B2/B+ 220,000
250,000 Charter Communications Holdings LLC, 10.000% due
04/01/09....................................... B2/B+ 240,000
650,000 Crown Castle Int'l Corp., 11.738%(y) due
05/15/11(v).................................... B3/B 383,500
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
TELECOMMUNICATIONS (CONTINUED)
$ 200,000 Intermedia Communications, Inc., Series B, 8.500%
due 01/15/08................................... B2/B $ 182,000
200,000 Intermedia Communications, Inc., Series B, 9.500%
due 03/01/09................................... B2/B 190,000
300,000 ITC Deltacom, Inc., 8.875% due 03/01/08.......... B2/B+ 279,000
200,000 ITC Deltacom, Inc., 9.750% due 11/15/08.......... B2/B+ 194,000
300,000 Level 3 Communications, 9.125% due 05/01/08...... B3/B 260,250
500,000 Metromedia Fiber Network, Inc., Series B, 10.000%
due 11/15/08................................... B2/B+ 478,750
325,000 McLeodUSA, Inc., 9.500% due 11/01/08............. B1/B+ 315,250
300,000 Nextlink Communications, 10.750% due 11/15/08.... B2/B 294,000
100,000 Nextlink Communications, 12.500% due 04/15/06.... B2/B 104,000
500,000 Nextel Communications, 9.375% due 11/15/09....... B1/B 473,750
500,000 NTL Communications Corp., Series B, 11.500% due
10/01/08....................................... B3/B- 506,250
450,000 RCN Corp., 10.000% due 10/15/07.................. B3/B- 405,000
400,000 RCN Corp., Series B, 13.768%(y) due
02/15/08(v).................................... B3/B- 237,000
600,000 Tritel PCS, Inc., 4.646%(y) due 05/15/09(v)...... B3/NR 396,000
400,000 Voicestream Wireless Co. (144A), 10.375% due
11/15/09....................................... B2/B- 408,000
------------
6,480,500
------------
TELEPHONE (0.2%)
440,000 Viatel, Inc., 11.250% due 04/15/08............... B3/B- 391,600
------------
TRANSPORT & SERVICES (0.3%)
500,000 Atlantic Express Transportation Corp., 10.750%
due 02/01/04................................... B2/B 450,000
------------
UTILITIES (0.4%)
750,000 Kincaid Generation LLC, (144A), 7.330% due
06/15/20....................................... Baa3/BBB- 661,762
------------
TOTAL CORPORATE OBLIGATIONS (COST
$35,084,287)............................... 32,042,963
------------
FOREIGN CORPORATE OBLIGATIONS (5.6%)
ARGENTINA (0.2%)
BROADCASTING & PUBLISHING
300,000 Cablevision SA, 13.750% due 05/01/09............. B1/BB 286,875
------------
AUSTRALIA (0.2%)
BANKING
300,000 National Australia Bank Ltd., 6.600% due
12/10/07....................................... A1/AA- 279,108
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
BERMUDA (0.7%)
TELECOMMUNICATIONS
$ 615,000 Flag Ltd., 8.250% due 01/30/08................... Ba3/BB- $ 547,350
600,000 Global Crossing Holdings Ltd., Inc. (144A),
9.125% due 11/15/06............................ Ba2/BB 583,500
------------
1,130,850
------------
BRAZIL (0.1%)
METALS & MINING
100,000 CSN Iron SA, 9.125% due 06/01/07................. B2/NR 82,500
------------
TELECOMMUNICATIONS
100,000 Globo Communicacoes Participacoes, 10.625% due
12/05/08....................................... B2/NR 84,000
------------
166,500
------------
CANADA (1.2%)
TELECOMMUNICATIONS
275,000 Call-Net Enterprises, Inc., 17.450%(y) due
08/15/07(v).................................... B2/B+ 137,500
465,000 Clearnet Communications, Inc., 10.543%(y) due
12/15/05(v).................................... B3/B 467,325
510,000 Microcell Telecommunications, Inc., Series B ,
11.093%(y) due 06/01/06(v)..................... B3/NR 459,000
500,000 Rogers Cablesystems Ltd., 10.000% due 12/01/07... Ba1/BB+ 522,500
350,000 Worldwide Fiber, Inc., 12.500% due 12/15/05...... B3/B+ 351,750
------------
1,938,075
------------
TRANSPORT & SERVICES
200,000 Laidlaw, Inc., 6.650% due 10/01/04............... B2/BB- 76,000
110,000 Laidlaw, Inc., 6.720% due 10/01/27............... B2/BB- 37,400
------------
113,400
------------
2,051,475
------------
COLOMBIA (0.1%)
BANKING
225,000 Financiera Energetica Nacional, (144A), 9.375%
due 06/15/06................................... NR/BB+ 177,750
------------
INDONESIA (0.1%)
CHEMICALS
250,000 Reliance Industries Ltd., (144A), 10.375% due
06/24/16....................................... Ba2/BB 244,690
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
KOREA (0.5%)
BANKING
$ 400,000 Cho Hung Bank, (144A), 11.500% due 04/01/10(v)... B1/B+ $ 392,000
400,000 Hanvit Bank, (144A), 11.750% due 03/01/10(v)..... B1/B 392,500
------------
784,500
------------
LIBERIA (0.2%)
TRANSPORT & SERVICES
400,000 Teekay Shipping Corp., 8.320% due 02/01/08....... Ba2/BB+ 366,000
------------
MEXICO (0.2%)
BROADCASTING & PUBLISHING
100,000 Grupo Televisa SA, 11.123%(y) due 05/15/08(v).... Baa3/BB+ 98,326
100,000 TV Azteca SA de CV, Series B, 10.500% due
02/15/07....................................... B1/B+ 91,250
------------
189,576
------------
TELECOMMUNICATIONS
100,000 Grupo Iusacell SA de CV, (144A), 14.250% due
12/01/06....................................... B1/B+ 105,750
------------
295,326
------------
NETHERLANDS (0.3%)
TELECOMMUNICATIONS
400,000 United Pan-Europe Communications, (144A), 10.875%
due 11/01/07................................... B2/B 374,000
100,000 Turkcell Iletisim Hizmet, (144A), 12.750% due
08/01/05....................................... B1/B 102,250
------------
476,250
------------
PHILIPPINES (0.2%)
TELECOMMUNICATIONS
250,000 Globe Telecom, (144A), 13.000% due 08/01/09...... B1/B 267,500
------------
UTILITIES
50,000 Ce Casecnan Water & Energy, Inc., Series B,
11.950% due 11/15/10........................... Ba2/BB+ 46,000
------------
313,500
------------
POLAND (0.1%)
TELECOMMUNICATIONS
250,000 PTC International Finance II SA., (144A), 11.250%
due 12/01/09................................... B2/B+ 260,000
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
SPAIN (0.6%)
BANKING
$ 1,000,000 BSCH Issuance Ltd., 7.625% due 11/03/09.......... A1/A $ 980,540
------------
UNITED KINGDOM (0.9%)
CHEMICALS
300,000 Avecia Group PLC, 11.000% due 07/01/09........... B2/B 306,000
------------
UTILITIES
750,000 United Utilities PLC, 6.250% due 08/15/05........ A3/BBB+ 684,855
------------
WATER
500,000 Anglian Water PLC, Series B , 6.840% due
01/15/13(f).................................... NR/NR 448,800
------------
1,439,655
------------
TOTAL FOREIGN CORPORATE OBLIGATIONS (COST
$9,658,213)................................ 9,253,019
------------
PRIVATE PLACEMENT (10.1%)
FINANCIAL SERVICES (0.4%)
734,415 Huntington National Bank Republic, 7.240% due
12/05/20(f).................................... NR/NR 653,291
------------
METALS & MINING (0.3%)
23,077 P&L Coal Holdings Corp., Tranche 1, 8.563% due
06/04/06(v).................................... NR/NR 22,990
115,385 P&L Coal Holdings Corp., Tranche 2, 7.688% due
06/04/06(v).................................... NR/NR 114,952
307,692 P&L Coal Holdings Corp., Tranche 3, 8.688% due
06/04/06(v).................................... NR/NR 305,923
------------
443,865
------------
OIL-PRODUCTION (0.2%)
163,187 Amerada Hess Corp. Leveraged Lease, 7.330% due
01/01/14(f).................................... NR/NR 154,504
320,715 Amerada Hess Corp. Leveraged Lease, Series A,
6.140% due 01/01/14(f)......................... NR/NR 282,479
------------
436,983
------------
REAL ESTATE (9.2%)
2,902,040 127-129-131 West 96th St. Corp. (1st Mortgage
Agreement on Cooperative Building in
New York City), 6.850% due 12/01/18(f)......... NR/NR 2,702,235
1,076,288 14-16 East 17th St. (1st Mortgage Agreement on
Cooperative Building in New York City), 7.000%
due 03/01/21(f)................................ NR/NR 1,005,738
1,537,983 270 Fifth Ave. (1st Mortgage Agreement on
Cooperative Building in Brooklyn, New York),
6.930% due 09/01/18(f)......................... NR/NR 1,441,306
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
REAL ESTATE (CONTINUED)
$ 484,295 31-33 Mercer Street (1st Mortgage Agreement on
Cooperative Building in New York City), 7.490%
due 04/01/23(f)................................ NR/NR $ 468,545
610,082 3512 Oxford Avenue (1st Mortgage Agreement on
Cooperative Building in Riverdale, New York),
8.450% due 06/01/17(f)......................... NR/NR 631,435
610,295 3810 Greystone Avenue (1st Mortgage Agreement on
Cooperative Building in Riverdale, New York),
8.500% due 06/01/17(f)......................... NR/NR 627,438
797,479 421 West 57th Street (1st Mortgage Agreement on
Cooperative Building in New York City), 8.980%
due 07/01/22(f)................................ NR/NR 854,252
483,673 482 East 9th Street, Kensington Gardens Corp.
(1st Mortgage Agreement on Cooperative Building
in New York City), 6.850% due 12/01/18(f)...... NR/NR 447,330
594,183 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).................................... NR/NR 562,258
1,586,045 PC Bel Clare Estates, 33 Claroma St., St. Joseph
Township, Minnesota, 6.930% due 09/01/18(f).... NR/NR 1,465,997
1,347,681 PC Northstar Terrace, 101 Jupiter Drive, East
Grand Forks, Minnesota, 6.625% due
10/01/18(f).................................... NR/NR 1,209,679
1,623,287 PC Shangri-La, 3526 North Cascade Ave., Colorado
Springs, Colorado, 6.520% due 10/01/08(f)...... NR/NR 1,464,156
1,290,020 PC Three Lakes Estates, 2151 Three Lakes Road,
Albany, Oregon, 6.180% due 10/01/13(f)......... NR/NR 1,110,372
1,386,904 Walgreen-Benderson, 7.625% due 11/15/13(f)....... NR/NR 1,318,308
------------
15,309,049
------------
TOTAL PRIVATE PLACEMENT (COST $17,976,914)... 16,843,188
------------
SOVEREIGN GOVERNMENTS AND AGENCIES (31.8%)
ARGENTINA (1.8%)
190,000 City of Buenos Aires (144a), 11.250% due
04/11/07....................................... B1/NR $ 175,275
726,400 Republic of Argentina Bearer Bonds, Series FRB,
7.375% due 03/31/05(v)......................... B1/BB 675,552
81,102 Republic of Argentina Bocon, Series Pre-4, 6.131%
due 09/01/02(v)................................ B1/NR 78,396
509,603 Republic of Argentina Bocon, Series Pro-2, 6.178%
due 04/01/07(v)................................ B1/NR 447,036
400,000 Republic of Argentina Discount Bonds Series L-GL,
6.875% due 03/31/23(v)......................... B1/BB 340,500
125,000 Republic of Argentina Global Bonds, 9.750% due
09/19/27....................................... B1/BB 104,750
200,000 Republic of Argentina Global Bonds, 11.375% due
03/15/10....................................... B1/BB 192,000
210,000 Republic of Argentina Global Bonds, 12.000% due
02/01/20....................................... B1/BB 207,375
350,000 Republic of Argentina Global Bonds, 12.125% due
02/25/19....................................... B1/BB 345,975
250,000 Republic of Argentina Global Bonds, Series BGL5,
11.375% due 01/30/17........................... B1/BB 238,000
240,000 Republic of Argentina Par Bonds, Series L-GP,
6.000% due 03/31/23(v)......................... B1/BB 167,700
------------
2,972,559
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
BRAZIL (2.6%)
$ 760,000 Republic of Brazil Bearer Bonds, Series NMB-L,
7.43% due 04/15/09(v).......................... B2/B+ $ 623,200
1,054,087 Republic of Brazil C Bonds, Series 20 Year,
8.000% due 04/15/14............................ B2/B+ 755,649
92,356 Republic of Brazil C Bonds, Series L, 8.000% due
04/15/14....................................... B2/B+ 66,208
180,000 Republic of Brazil DCB L, Series RG, 7.438% due
04/15/12(v).................................... B2/B+ 129,600
450,000 Republic of Brazil Discount Bonds, Series 30 Year
ZL, 7.375% due 04/15/24(v)..................... B2/NR 347,625
250,000 Republic of Brazil Global Bonds, 10.125% due
05/15/27....................................... B2/B+ 193,750
100,000 Republic of Brazil Global Bonds, 11.625% due
04/15/04....................................... B2/B+ 99,000
500,000 Republic of Brazil Global Bonds, 12.750% due
01/15/20....................................... B2/B+ 479,250
676,000 Republic of Brazil Global Bonds, 14.500% due
10/15/09....................................... B2/B+ 712,166
200,000 Republic of Brazil Par Bonds, Series Z-L 30 Year,
6.000% due 04/15/24(v)......................... B2/B+ 127,500
967,200 Republic of Brazil, Series EI-L, 7.375% due
04/15/06(v).................................... B2/B+ 863,226
------------
4,397,174
------------
BULGARIA (1.3%)
1,500,000 Republic of Bulgaria Discount Bonds, Series A,
7.063% due 07/28/24(v)......................... B2/NR 1,147,500
600,000 Republic of Bulgaria FLIRB Bearer Bonds, Series
A, 2.750% due 07/28/12(v)...................... B2/NR 417,000
225,000 Republic of Bulgaria Registered IAB, Series RPDI,
7.063% due 07/28/11(v)......................... B2/NR 169,875
630,000 Republic of Bulgaria IAB, Series PDI, 7.063% due
07/28/11(v).................................... B2/NR 475,650
------------
2,210,025
------------
CANADA (0.4%)
CAD 980,000 Government of Canada, Series WH31, 6.000% due
06/01/08(s).................................... Aa1/AAA 653,724
------------
COLOMBIA (0.7%)
400,000 Republic of Colombia, 9.750% due 04/23/09........ Ba2/BB+ 314,000
150,000 Republic of Colombia, 10.875% due 03/09/04....... Ba2/BB+ 140,250
400,000 Republic of Colombia, 11.750% due 02/25/20....... Ba2/BB+ 339,000
200,000 Republic of Colombia, Series NOV, 9.750% due
04/23/09....................................... Ba2/BB+ 174,000
150,000 Republic of Colombia, Series REGS, 7.270% due
06/15/03....................................... Ba2/BB+ 133,350
------------
1,100,600
------------
DENMARK (0.7%)
DKK 9,265,000 Kingdom of Denmark, 8.000% due 05/15/03(s)....... Aaa/AAA 1,213,628
------------
FRANCE (7.4%)
EURO 2,970,000 BTAN, Five-Year French Treasury Note, 3.500% due
07/12/04(s).................................... Aaa/NR 2,557,004
EURO 2,155,857 BTAN, Five-Year French Treasury Note, 4.750% due
03/12/02(s).................................... Aaa/NR 1,968,638
EURO 6,830,000 BTAN, Two-Year French Treasury Note, 3.000% due
07/12/01(s).................................... Aaa/NR 6,121,420
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
FRANCE (CONTINUED)
EURO 819,000 Government of France, 4.000% due 04/25/09(s)..... Aaa/AAA $ 674,291
EURO 1,080,000 Government of France, 6.000% due 10/25/25(s)..... Aaa/AAA 1,025,872
------------
12,347,225
------------
GERMANY (3.3%)
EURO 1,448,098 Republic of Germany, Series 124, 4.500% due
08/19/02(s).................................... Aaa/AAA 1,313,700
EURO 2,650,000 Republic of Germany, Series 97, 6.000% due
01/04/07(s).................................... Aaa/NR 2,513,081
EURO 1,895,000 Republic of Germany, Series 98, 5.625% due
01/04/28(s).................................... Aaa/AAA 1,709,195
------------
5,535,976
------------
ITALY (3.1%)
EURO 2,590,000 Government of Italy, 3.000% due 02/15/02(s)...... Aa3/AA 2,290,736
EURO 2,655,000 Government of Italy, 3.250% due 04/15/04(s)...... Aa3/AA 2,260,161
EURO 600,000 Government of Italy, 7.250% due 11/01/26(s)...... Aa3/AA 642,482
------------
5,193,379
------------
JAPAN (0.4%)
JPY 75,000,000 Government of Japan 10 Year, Series 217, 1.800%
due 12/21/09(s)................................ Aa1/AAA 692,228
------------
LEBANON (0.1%)
$ 150,000 Republic of Lebanon, (144A), 10.250% due
10/06/09....................................... B1/BB- 150,000
------------
MEXICO (3.1%)
200,000 Banco Nacional Obra Serv, 9.625% due 11/15/03.... Baa3/BB+ 202,500
200,000 Petroleos Mexicanos, 8.850% due 09/15/07......... Baa3/BB+ 192,000
400,000 Petroleos Mexicanos, 9.500% due 09/15/27......... Baa3/BB+ 386,000
350,000 Petroleos Mexicanos, Series P, 9.500% due
09/15/27....................................... Baa3/BB+ 350,437
250,000 United Mexican States Discount Bonds, Series D,
6.903% due 12/31/19(v)......................... Baa3/BB+ 245,000
500,000 United Mexican States Global Bonds, 8.625% due
03/12/08....................................... Baa3/BB+ 476,750
665,000 United Mexican States Global Bonds, 9.875% due
01/15/07....................................... Baa3/BB+ 683,288
475,000 United Mexican States Global Bonds, 11.375% due
09/15/16....................................... Baa3/BB+ 536,750
385,000 United Mexican States Global Bonds, 11.500% due
05/15/26....................................... Baa3/BB+ 455,263
775,000 United Mexican States Global Bonds, Series XW,
10.375% due 02/17/09........................... Baa3/BB+ 814,525
250,000 United Mexican States Par Bonds, Series W-A,
6.250% due 12/31/19............................ Baa3/BB+ 205,625
350,000 United Mexican States Par Bonds, Series W-B,
6.250% due 12/31/19............................ Baa3/BB+ 287,875
400,000 United Mexican States, Series B, 6.943% due
12/31/19(v).................................... Baa3/BB+ 392,000
------------
5,228,013
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
MOROCCO (0.3%)
$ 558,421 Kingdom of Morocco Restructuring & Consolidation
Agreement, Series A, 6.844% due 01/01/09(v).... NR/NR $ 498,391
------------
NETHERLANDS (0.7%)
EURO 1,280,000 Government of the Netherlands, Series 1 & 2,
6.000% due 01/15/06(s)......................... Aaa/AAA 1,209,705
------------
PANAMA (1.0%)
200,000 Republic of Panama Global Bonds, 8.250% due
04/22/08....................................... Ba1/BB+ 177,000
200,000 Republic of Panama Global Bonds, 8.875% due
09/30/27....................................... Ba1/BB+ 168,500
225,000 Republic of Panama Global Bonds, 9.375% due
04/01/29....................................... Ba1/BB+ 211,500
840,000 Republic of Panama IRB, Series 18 Year, 4.250%
due 07/17/14(v)................................ Ba1/BB+ 661,500
464,716 Republic of Panama PDI, Series 20 Year, 7.063%
due 07/17/16(v)................................ Ba1/BB+ 374,097
------------
1,592,597
------------
PERU (1.0%)
400,000 Republic of Peru Discount Bonds, Series 30 Year,
7.188% due 03/08/27(v)......................... Ba3/BB 272,000
525,000 Republic of Peru FLIRB, Series 20 Year , 3.750%
due 03/07/17(v)................................ Ba3/BB 320,250
1,500,000 Republic of Peru PDI, Series 20 Year, 4.500% due
03/07/17(v).................................... Ba3/BB 1,003,125
------------
1,595,375
------------
PHILIPPINES (0.8%)
350,000 Bangko Sentral Pilipinas, 8.600% due 06/15/27.... Ba1/BB+ 262,500
265,000 Republic of Philippines Global Bonds, 8.875% due
04/15/08....................................... Ba1/BB+ 242,475
620,000 Republic of Philippines Global Bonds, 9.875% due
01/15/19....................................... Ba1/BB+ 548,700
293,900 Republic of Philippines Global Bonds, 10.625% due
03/16/25....................................... Ba1/BB+ 271,490
------------
1,325,165
------------
QATAR (0.1%)
100,000 State of Qatar, (144A), 9.500% due 05/21/09...... Baa2/BBB 103,000
------------
SOUTH AFRICA (0.1%)
200,000 Republic of South Africa, 9.125% due 05/19/09.... Baa3/BBB- 193,000
------------
SWEDEN (0.4%)
SEK 5,800,000 Government of Sweden, Series 1039, 5.500% due
04/12/02(s).................................... NR/AAA 653,153
------------
TRINIDAD AND TOBAGO (0.3%)
450,000 Republic of Trinidad and Tobago, (144A), 9.875%
due 10/01/09................................... Baa3/BBB- 463,500
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MOODY'S/S&P
AMOUNT{::} SECURITY DESCRIPTION RATING VALUE
--------------------------- ------------------------------------------------- ------------ -------------
<C> <S> <C> <C>
TURKEY (1.1%)
$ 1,000,000 Republic of Turkey, 11.875% due 01/15/30......... B1/B+ $ 1,081,250
220,000 Republic of Turkey, 12.000% due 12/15/08......... B1/B+ 234,575
450,000 Republic of Turkey, 12.375% due 06/15/09......... B1/B+ 484,875
------------
1,800,700
------------
UNITED KINGDOM (0.9%)
450,000 United Kingdom Treasury Gilt, 6.750% due
11/26/04(s).................................... Aaa/AAA 731,576
444,000 United Kingdom Treasury Gilt, 7.250% due
12/07/07(s).................................... Aaa/AAA 766,979
------------
1,498,555
------------
VENEZUELA (0.2%)
190,475 Republic of Venezuela DCB, Series DL , 7.000% due
12/18/07(v).................................... B2/B 149,166
250,000 Republic of Venezuela Par, Series W-A, 6.750% due
03/31/20....................................... B2/B 174,375
------------
323,541
------------
TOTAL SOVEREIGN GOVERNMENTS AND AGENCIES
(COST $53,794,520)......................... 52,951,213
------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (1.4%)
FEDERAL NATIONAL MORTGAGE ASSOCIATION (1.4%)
2,300,000 TBA, May, 8.000% due 05/01/30 (cost
$2,310,780).................................... 2,296,412
------------
U.S. TREASURY OBLIGATIONS (1.3%)
U.S. TREASURY BONDS (0.1%)
85,000 United States Treasury Bonds, 5.500% due
08/15/28....................................... 77,204
150,000 United States Treasury Bonds, 6.125% due
08/15/29....................................... 150,351
------------
227,555
------------
U.S. TREASURY NOTES (1.2%)
150,000 United States Treasury Notes, 4.250% due
11/15/03....................................... 139,149
1,700,000 United States Treasury Notes, 6.250% due
02/28/02....................................... 1,686,723
100,000 United States Treasury Notes, 6.625% due
05/15/07....................................... 100,656
55,000 United States Treasury Notes, 6.875% due
05/15/06....................................... 55,894
------------
1,982,422
------------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$2,264,393)................................ 2,209,977
------------
RIGHTS (0.0%)
MEXICO (0.0%)
768,000 United Mexican States Value Recovery, Series A
Par, Expiring 06/20/03 (cost $0) (+)........... 0
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT{::} SECURITY DESCRIPTION VALUE
--------------------------- ------------------------------------------------- -------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (22.2%)
OTHER INVESTMENT COMPANIES (11.7%)
$ 19,597,473 J.P. Morgan Institutional Prime Money Market
Fund........................................... $ 19,597,473
------------
SOVEREIGN BONDS (0.0%)
42,054 Republic of Argentina Bocon, Series Pre-2,
6.1308% due 4/1/01(v).......................... 41,559
------------
TIME DEPOSITS (10.2%)
17,000,000 Bank of New York, 5.875% due 5/3/00(s)........... 17,000,000
------------
U.S. TREASURY OBLIGATIONS (0.3%)
310,000 United States Treasury Bills, 6.11%(y) due
10/12/00(s).................................... 301,723
140,000 United States Treasury Notes, 5.625% due
11/30/00....................................... 139,387
------------
441,110
------------
TOTAL SHORT-TERM INVESTMENTS (COST
$37,079,604)............................... 37,080,142
------------
TOTAL INVESTMENTS (COST $179,162,771) (103.4%)... 172,364,800
LIABILITIES IN EXCESS OF OTHER ASSETS (-3.4%).... (5,592,611)
------------
NET ASSETS (100.0%).............................. $166,772,189
============
</TABLE>
------------------------------
Note: Based on the cost of investments of $179,162,771 for federal income tax
purposes at April 30, 2000, the aggregate gross unrealized appreciation and
depreciation was $1,779,617 and $8,577,588, respectively, resulting in net
unrealized depreciation of $6,797,971.
+ Non-income producing security.
(f)Fair valued security. Approximately 10.03% 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 initial
margin for futures contracts, $18,722,910 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 Bond.
DKK - Danish Krone.
EURO - Euro.
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
FLIRB - Floating Interest Rate Bond.
FRB - Federal Reserve Board.
GNMA - Government National Mortgage Association.
GBP - British Pound.
IAB - Interest in Arrears Bond.
IDU - Interest Due and Unpaid Bond.
IO - Interest Only.
IRB - Interest Reduction Bond.
JPY - Japanese Yen.
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.
32
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $179,162,771 ) $172,364,800
Foreign Currency at Value (Cost $396,875 ) 391,606
Receivable for Investments Sold 11,773,074
Interest Receivable 2,161,228
Unrealized Appreciation of Forward Foreign
Currency Contracts 965,712
Variation Margin Receivable 92,544
Deferred Organization Expenses 9,137
Receivable for Expense Reimbursement 3,190
Prepaid Trustees' Fees 389
Prepaid Expenses and Other Assets 810
------------
Total Assets 187,762,490
------------
LIABILITIES
Payable for Investments Purchased 20,167,999
Payable to Custodian 517,584
Unrealized Depreciation of Forward Foreign
Currency Contracts 89,272
Variation Margin Payable 67,110
Advisory Fee Payable 60,145
Administrative Services Fee Payable 3,238
Fund Services Fee Payable 114
Accrued Expenses 84,839
------------
Total Liabilities 20,990,301
------------
NET ASSETS
Applicable to Investors' Beneficial Interests $166,772,189
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest and Dividend Income $ 7,008,590
-----------
EXPENSES
Advisory Fee $ 385,649
Custodian Fees and Expenses 96,260
Professional Fees and Expenses 25,649
Administrative Services Fee 21,094
Amortization of Organization Expense 2,419
Fund Services Fee 1,459
Trustees' Fees and Expenses 1,118
Administration Fee 604
Miscellaneous 5,048
-----------
Total Expenses 539,300
Less: Reimbursement of Expenses (18,698)
-----------
NET EXPENSES 520,602
-----------
NET INVESTMENT INCOME 6,487,988
NET REALIZED GAIN (LOSS) ON
Investment Transactions (5,930,482)
Futures Contracts 471,229
Foreign Currency Contracts and Transactions 1,415,850
-----------
Net Realized Loss (4,043,403)
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) OF
Investment Transactions 1,415,179
Futures Contracts (41,722)
Foreign Currency Contracts and Translations 644,972
-----------
Net Change in Unrealized Appreciation 2,018,429
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 4,463,014
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
DECREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,487,988 $ 16,042,565
Net Realized Loss on Investments, Futures and
Foreign Currency Contracts and Transactions (4,043,403) (5,508,827)
Net Change in Unrealized Appreciation
(Depreciation) of Investments, Futures and
Foreign Currency Contracts and Translations 2,018,429 (4,818,228)
------------ ---------------
Net Increase in Net Assets Resulting from
Operations 4,463,014 5,715,510
------------ ---------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 35,040,395 87,676,750
Withdrawals (65,421,050) (134,856,430)
------------ ---------------
Net Decrease from Investors' Transactions (30,380,655) (47,179,680)
------------ ---------------
Total Decrease in Net Assets (25,917,641) (41,464,170)
NET ASSETS
Beginning of Period 192,689,830 234,154,000
------------ ---------------
End of Period $166,772,189 $ 192,689,830
============ ===============
</TABLE>
--------------------------------------------------------------------------------
SUPPLEMENTARY DATA
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE PERIOD
FOR THE YEAR ENDED MARCH 17, 1997
SIX MONTHS ENDED OCTOBER 31, (COMMENCEMENT OF
APRIL 30, 2000 -------------- OPERATIONS) THROUGH
(UNAUDITED) 1999 1998 OCTOBER 31, 1997
---------------- ------ ------ -------------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.60%(a) 0.60% 0.63% 0.65%(a)
Net Investment Income 7.53%(a) 6.73% 6.59% 7.09%(a)
Expenses without Reimbursement 0.63%(a) 0.61% 0.63% 0.80%(a)
Portfolio Turnover 111%(b) 318% 368% 212%(b)
</TABLE>
------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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
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 (10.3% at April 30, 2000) 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
36
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 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.
37
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 in come which
may be subject to foreign withholding taxes at various rates.
38
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 six months ended April 30,
2000, such fees amounted to $385,649.
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 six months ended April 30, 2000, the fee for
these services amounted to $604.
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,
and 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 six months ended April 30,
2000, the fee for these services amounted to $21,094.
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 six months ended April 30, 2000, J.P.Morgan has agreed to
reimburse the portfolio $18,698 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 $1,459 for the six months ended April 30, 2000.
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
39
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 $300.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended April 30, 2000 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
----------------- ------------
<S> <C> <C>
U.S. Government and Agency Obligations........... $ 97,598,975 $118,706,038
Corporate and Collateralized Obligations......... 71,730,899 95,647,107
---------------- ------------
$ 169,329,874 $214,353,145
================ ============
</TABLE>
At April 30, 2000, the portfolio had open forward currency contracts as follows:
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
CONTRACTUAL VALUE AT APPRECIATION/
PURCHASE CONTRACTS VALUE 4/30/00 (DEPRECIATION)
------------------ ----------- ----------- --------------
<S> <C> <C> <C>
Danish Krone 190,000, expiring 06/28/00.......... $ 24,026 $ 23,298 $ (728)
Euro 7,700,000, expiring 05/03/00................ 7,099,400 7,016,585 $ (82,815)
Euro 225,000, expiring 06/28/00.................. 208,463 205,859 $ (2,604)
Swedish Krona 319,000, expiring 06/28/00......... 36,921 35,764 $ (1,157)
</TABLE>
<TABLE>
<CAPTION>
SETTLEMENT
SALES CONTRACTS VALUE
--------------- -----------
<S> <C> <C> <C>
Canadian Dollar 950,318, expiring 06/28/00....... $ 640,376 $ 642,345 $ (1,969)
Danish Krone 9,950,198, expiring 06/28/00........ 1,262,715 1,220,126 $ 42,589
Euro 27,701,177, expiring 06/28/00............... 26,213,787 25,344,638 $ 869,149
British Pound 933,408, expiring 06/28/00......... 1,475,176 1,461,305 $ 13,871
Japanese Yen 65,801,380, expiring 06/28/00....... 638,372 615,259 $ 23,113
Swedish Krona 6,005,011, expiring 06/28/00....... 690,232 673,241 $ 16,991
-------------
NET UNREALIZED APPRECIATION ON FORWARD FOREIGN
CURRENCY CONTRACTS.............................. $ 876,440
=============
</TABLE>
40
<PAGE>
THE GLOBAL STRATEGIC INCOME PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
Open futures contracts at April 30, 2000 are summarized as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION/ MARKET VALUE
CONTRACTS LONG (DEPRECIATION) OF CONTRACTS
--------------- -------------- --------------
<S> <C> <C> <C>
Eurex Ten Year Euro Bond, expiring June 2000..... 108 $ 32,701 $ 10,336,468
U.S. Five Year Note, expiring June 2000.......... 19 (6,636) 1,853,984
U.S. Ten Year Note, expiring June 2000........... 25 (20,997) 2,423,828
U.S. Long Bond, expiring June 2000............... 66 81,676 6,373,125
-------------- ------------- -------------
Totals........................................... 218 $ 86,744 $ 20,987,405
============== ============= =============
</TABLE>
<TABLE>
<CAPTION>
CONTRACTS SHORT
---------------
<S> <C> <C> <C>
U.S. Five Year Note, expiring June 2000.......... 13 ($ 2,915) $ 1,268,516
U.S. Ten Year Note, expiring June 2000........... 61 (54,820) 5,914,141
-------------- ------------- -------------
Totals........................................... 74 ($ 57,735) $ 7,182,657
============== ============= =============
</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.
41
