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Previous: FEDERAL EXPRESS CORP, S-8, 1994-08-12 |
Next: GENERAL AMERICAN TRANSPORTATION CORP /NY/, 8-K, 1994-08-12 |
MERRILL
LYNCH
CORPORATE
BOND
FUND, INC.
FUND LOGO
Quarterly Report June 30, 1994
This report is not authorized for use as an offer of sale
or a solicitation of an offer to buy shares of the Fund
unless accompanied or preceded by the Fund's current
prospectus. Past performance results shown in this report
should not be considered a representation of future
performance. Investment return and principal value
of shares will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
Merrill Lynch
Corporate Bond Fund, Inc.
Box 9011
Princeton, NJ
08543-9011
<PAGE>
MERRILL LYNCH CORPORATE BOND FUND, INC.
TO OUR SHAREHOLDERS
The expectation of increasing inflationary pressures
and higher interest rates initially heightened investor
concerns and increased financial market volatility
during the June quarter. However, by the quarter's
close, it was the weakness of the US dollar in foreign
exchange markets that dominated the financial news
and prolonged stock and bond market declines.
The US dollar's weakness relative to other major
currencies reflects the deteriorating US trade deficit
and widening net long-term capital outflows. In 1993,
an expanding US economy and recession in other
industrial countries led to a higher level of imports
and weaker export growth, widening the US trade
deficit further. In addition, global investors favored
non-US dollar denominated assets throughout 1993,
which has further depressed the dollar's value. This
trend is not improving significantly thus far in 1994
since foreign inflows into US capital markets continue
to decline, although US investors are investing outside
of the United States to a lesser degree.
Over the longer term, if the economies of the United
States' major trading partners expand (improving the
prospects for US export growth), the outlook for the
US dollar is likely to improve. In the near term,
central banks have attempted to reverse the dollar's
decline through currency market intervention. These
efforts have met with limited success thus far, giving
rise to the concern that the Federal Reserve Board
will be forced to continue to raise short-term interest
rates to attract investment capital back to the United
States and bolster the dollar's value. However,
further interest rate increases may jeopardize the US
economic expansion. In the weeks ahead, investors
will continue to assess economic data and inflation-
ary trends as they focus on the US dollar in order to
gauge whether further increases in short-term interest
rates are imminent.
<PAGE>
Portfolio Strategy
High Income Portfolio
During the quarter ended June 30, 1994, the high-yield
bond market eroded further in sympathy with interme-
diate-term and long-term US Treasury securities. The
latter markets were reacting to further Federal Reserve
Board tightening. Valuations remained little changed
with the yield premium of the Merrill Lynch High Yield
Master Index only slightly lower at 45.0% on June 30
compared with 46.4% at the beginning of the quarter.
The market turbulence created a number of attractive
buying opportunities, and our strategy involved selec-
tive buying during periods of pronounced weakness.
Over the course of the June quarter, new purchases
yielded from 10.25% to 13.50% with an average yield of
11.90%. While it is difficult to say how much further
the trend to higher short-term interest rates may go,
rising interest rates increase the risk of economic
weakening. With the impact of a softening economy
on corporate profits in mind, we have begun to move
away from companies whose earnings are correlated
closely with the business cycle and into less cyclical
holdings. We also are looking to improve the credit
quality of our holdings, increasing the portion of the
portfolio in BB-rated securities and lowering the por-
tion in B-rated securities. The yield spreads between
securities rated BB and those rated B are very tight
historically at about 160 basis points (1.60%).
The positives for the high-yield market include excel-
lent long-term valuation, generally stable-to-improving
credit quality as the result of strong corporate profits
and the continuing trend of reequitization (the
replacement of debt with equity on corporate balance
sheets). The major negative is the overall environ-
ment of rising short-term interest rates and soft bond
prices. We expect that this difficult period will provide
opportunities to improve the portfolio.
At June 30, 1994, the portfolio's cash position was
5.0% of net assets. Average maturity of the invested
portion of the portfolio was nine years. Major indus-
tries represented in the portfolio included energy,
8.5% of net assets; hotels and casinos, 7.1%; food and
beverage, 6.8%; paper, 5.8%; and communications, 5.7%.
<PAGE>
Investment Grade Portfolio
Interest rates moved intermittently higher during the
quarter, continuing the climb in yield that began at
the beginning of the year. Part of this increase can be
attributed to the activity of the Federal Reserve Board,
which tightened short-term interest rates four times
since February. While the rate of inflation remained
contained, other factors also contributed to the jump
in interest rates. These included the collapse of trade
talks with Japan, which led to a drop in the value of
the US dollar to a historic low in relation to the yen.
Investors also reacted to concerns about the uncer-
tainty surrounding the growing tension on the Korean
peninsula, the Whitewater situation and the assassi-
nation of a Mexican presidential candidate.
The decline in the market value of fixed-income
securities can be measured in the performance of the
unmanaged Merrill Lynch Corporate Bond Master
Index, which had a return of -1.41% for the June
quarter. The US Treasury bond market fared somewhat
worse, with the total return on the 10-year US Treasury
at -2.75% and on the 30-year US Treasury at -4.34%
for the period ended June 30, 1994. The June quar-
terly total returns on the Fund's Class A Shares and
Class B Shares were -1.24% and -1.48%, respectively.
(Complete performance information, including aver-
age annual total returns, can be found on pages
3, 4 and 5 of this report to shareholders.)
During the June quarter, we shortened the average
maturity of the portfolio from 10.0 years to 8.2 years.
This was accomplished by the sale of long-term indus-
trial issues whose prices we believed would be vul-
nerable in the current environment. We also reduced
our holdings of banks and thrift institutions. We
invested the proceeds in consumer financial services
and foreign sovereign credits. We also increased cash
and liquid holdings. This cautious strategy reflected
our concern that interest rates would continue
to rise.
<PAGE>
Intermediate Term Portfolio
Bond price deterioration occurred universally along
the yield curve. In the intermediate-term area, the
total return was -1.20%, as measured by the unman-
aged Merrill Lynch Corporate Intermediate Term Index
for the three-month period ended June 30, 1994. The
June quarterly total returns on the Fund's Class A
Shares and Class B Shares were -0.89% and -1.00%,
respectively. (Complete performance information,
including average annual total returns, can be found
on pages 3, 4 and 5 of this report to shareholders.)
Given our concern that bond prices would continue
to erode, we adopted a defensive strategy in which
we shortened the average maturity of the portfolio
from 6.3 years to 5.4 years. This shortening was
achieved by the sale of securities in the seven-year--
ten-year maturity range. We invested in consumer
financial services and foreign sovereign credits, both
of which we expect to perform relatively well in the
current environment. We increased the Portfolio's
position in cash and liquid holdings as well. We intend
to maintain this conservative posture until there is
some indication of a change in economic fundamentals.
In Conclusion
We appreciate your ongoing investment in Merrill
Lynch Corporate Bond Fund, Inc., and we look
forward to assisting you with your financial needs
and objectives in the months and years ahead.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Vincent T. Lathbury III)
Vincent T. Lathbury III
Vice President and Portfolio Manager
(Jay C. Harbeck)
Jay C. Harbeck
Vice President and Portfolio Manager
July 27, 1994
<PAGE>
OFFICERS AND DIRECTORS
Arthur Zeikel, President and Director
Ronald W. Forbes, Director
Charles C. Reilly, Director
Kevin A. Ryan, Director
Richard R. West, Director
Terry K. Glenn, Executive Vice President
N. John Hewitt, Senior Vice President
Donald C. Burke, Vice President
Jay C. Harbeck, Vice President
Vincent T. Lathbury III, Vice President
Gerald M. Richard, Treasurer
Michael J. Hennewinkel, Secretary
Custodian
State Street Bank and Trust Company
P.O. Box 1713
Boston, Massachusetts 02101
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
PERFORMANCE DATA
None of the past results shown should be considered a representation of
future performance. Investment return and principal value of shares will
fluctuate so that shares, when redeemed, may be worth more or less than
their original cost.
<PAGE>
Average Annual Total Return
% Return Without % Return With
Sales Charge Sales Charge**
High Income Portfolio Class A Shares*
Year Ended 6/30/94 + 4.26% + 0.09%
Five Years Ended 6/30/94 +12.88 +11.96
Ten Years Ended 6/30/94 +13.26 +12.80
Investment Grade Portfolio Class A Shares*
Year Ended 6/30/94 - 1.98% - 5.90%
Five Years Ended 6/30/94 + 8.40 + 7.52
Ten Years Ended 6/30/94 +11.33 +10.88
Intermediate Term Portfolio Class A Shares*
Year Ended 6/30/94 - 1.13% - 3.11%
Five Years Ended 6/30/94 + 8.43 + 8.00
Ten Years Ended 6/30/94 +10.77 +10.55
[FN]
*For High Income and Investment Grade Portfolios, maximum sales
charge is 4%. For Intermediate Term Portfolio, maximum sales
charge is 2%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
High Income Portfolio Class B Shares*
Year Ended 6/30/94 + 3.50% - 0.30%
Five Years Ended 6/30/94 +12.01 +12.01
Inception (10/21/88) through 6/30/94
+11.59 +11.59
Investment Grade Portfolio Class B Shares*
Year Ended 6/30/94 - 2.79% - 6.27%
Five Years Ended 6/30/94 + 7.57 + 7.57
Inception (10/21/88) through 6/30/94 + 8.14 + 8.14
<PAGE>
Intermediate Term Portfolio Class B Shares*
Year Ended 6/30/94 - 1.61% - 3.42%
Inception (11/13/92) through 6/30/94
+ 4.54 + 3.98
[FN]
*For High Income and Investment Grade Portfolios, maximum contingent
deferred sales charge is 4% and is reduced to 0% after 4 years. For
Intermediate Term Portfolio, maximum contingent deferred sales charge
is 2% and is reduced to 0% after 2 years.
**Assuming payment of applicable contingent deferred sales charge.
PERFORMANCE DATA (continued)
<TABLE>
Performance Summary--Class A Shares
<CAPTION>
1/1-12/31 Beginning/Ending Net Asset Value Dividends Paid* % Change**
------------------------------------------ --------------------------------- ----------------------------------
Period High Investment Intermediate High Investment Intermediate High Investment Intermediate
Covered Income Grade Term Income Grade Term Income Grade Term
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
11/10/78--12/31/78 $9.60/9.54 -- -- $ 0.13 -- -- + 0.73% -- --
1979 9.54/8.73 -- -- 1.03(a) -- -- + 2.36 -- --
1980(b) 8.73/7.91 $10.00/9.88 $10.00/9.93*** 1.07 $ 0.25 $ 0.25*** + 3.08 + 1.28% + 1.86%
1981 7.91/7.26 9.88/9.38 9.93/9.57 1.13 1.46 1.37 + 6.48 + 10.52 + 11.11
1982 7.26/7.74 9.38/10.51 9.57/10.59 1.04 1.36 1.36 + 23.09 + 28.74 + 26.74
1983 7.74/8.10 10.51/10.24 10.59/10.37 1.01 1.22 1.20 + 18.32 + 9.42 + 9.63
1984 8.10/7.72 10.24/10.44 10.37/10.52 1.02 1.21 1.18 + 8.66 + 15.10 + 14.00
1985 7.72/8.29 10.44/11.45 10.52/11.33 1.01 1.18 1.16 + 21.61 + 22.23 + 19.86
1986 8.29/8.34 11.45/11.95 11.33/11.87 0.98 1.07 1.03 + 12.91 + 14.26 + 14.34
1987 8.34/7.80 11.95/11.00 11.87/10.99 0.95 0.99 0.94 + 4.94 + 0.45 + 0.65
1988 7.80/7.80 11.00/10.90 10.99/10.83 0.95 0.99 0.97 + 12.71 + 8.30 + 7.51
1989 7.80/7.17 10.90/11.33 10.83/11.13 0.97 1.00 0.98 + 4.33 + 13.61 + 12.33
1990 7.17/5.88 11.33/11.13 11.13/11.05 1.00 0.94 0.97 - 4.61 + 6.97 + 8.43
1991 5.88/7.21 11.13/12.03 11.05/11.77 0.90 0.91 0.92 + 39.75 + 17.08 + 15.53
1992 7.21/7.78 12.03/11.86 11.77/11.60 0.86 1.03(c) 0.99(d) + 20.64 + 7.53 + 7.29
1993 7.78/8.32 11.86/11.97 11.60/11.92 0.76 1.35(e) 1.03(f) + 17.39 + 12.49 + 11.82
1/1/94--6/30/94 8.32/7.80 11.97/10.96 11.92/11.03 0.33 0.34 0.34 - 1.95 - 5.40 - 4.45
------ ------ ------
Total $15.14 $15.30 $14.69
Cumulative total return as of 6/30/94: +461.81%** +348.96%** +328.83%**
<PAGE>
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains
distributions at net asset value on the payable date, and do not
include sales charge; results would be lower if sales charge was
included.
***Adjusted for a 10-for-1 split effected in the form of a dividend
through January 1981.
(a)Distribution for High Income Portfolio includes $0.024 per share
capital gains distributions.
(b)For Investment Grade and Intermediate Term Portfolios, period covered
is 10/31/80--12/31/80.
(c)Distribution for Investment Grade Portfolio includes $0.036 per share
capital gains distributions.
(d)Distribution for Intermediate Term Portfolio includes $0.012 per share
capital gains distributions.
(e)Distribution for Investment Grade Portfolio includes $0.261 per share
capital gains distributions.
(f)Distribution for Intermediate Term Portfolio includes $0.093 per share
capital gains distributions.
</TABLE>
<TABLE>
Performance Summary--Class B Shares
<CAPTION>
1/1-12/31 Beginning/Ending Net Asset Value Dividends Paid* % Change**
------------------------------------------ --------------------------------- ----------------------------------
Period High Investment Intermediate High Investment Intermediate High Investment Intermediate
Covered Income Grade Term Income Grade Term Income Grade Term
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/21/88--12/31/88 $7.92/7.80 $11.08/10.90 -- $0.18 $0.18 -- + .74% + 0.05% --
1989 7.80/7.17 10.90/11.33 -- 0.91 0.91 -- + 3.54 +12.77 --
1990 7.17/5.89 11.33/11.13 -- 0.95 0.86 -- - 5.18 + 6.16 --
1991 5.89/7.22 11.13/12.03 -- 0.84 0.83 -- +38.67 +16.19 --
1992 7.22/7.78 12.03/11.86 $11.68/11.60 0.80 0.94(a) $0.24(b) +19.57 + 6.71 + 1.34%
1993 7.78/8.33 11.86/11.97 11.60/11.92 0.70 1.25(c) 0.97(d) +16.65 +11.65 +11.26
1/1/94--6/30/94 8.33/7.80 11.97/10.96 11.92/11.03 0.31 0.30 0.31 - 2.41 - 5.81 - 4.67
----- ----- -----
Total $4.69 $5.27 $1.52
Cumulative total return as of 6/30/94: +86.70%** +56.16%** + 7.49%**
<PAGE>
<FN>
*Figures may include short-term capital gains
distributions.
**Figures assume reinvestment of all dividends
and capital gains distributions at net asset
value on the payable date, and do not reflect
deduction of any sales charge; results would
be lower if sales charge was deducted.
***Figures for Intermediate Term Portfolio Class B
Shares are since inception on November 13, 1992.
(a)Distribution for Investment Grade Portfolio
includes $0.036 per share capital gains
distributions.
(b)Distribution for Intermediate Term Portfolio
includes $0.012 per share capital gains
distributions.
(c)Distribution for Investment Grade Portfolio
includes $0.261 per share capital gains
distributions.
(d)Distribution for Intermediate Term Portfolio
includes $0.093 per share capital gains
distributions.
</TABLE>
PERFORMANCE DATA (concluded)
<TABLE>
Recent Performance Results*
<CAPTION>
12 Month 3 Month
6/30/94 3/31/94 6/30/93 % Change % Change
<S> <C> <C> <C> <C> <C>
High Income Portfolio Class A Shares $ 7.80 $ 8.08 $ 8.20 - 4.88% -3.47%
High Income Portfolio Class B Shares 7.80 8.08 8.20 - 4.88% -3.47
Investment Grade Portfolio Class A Shares 10.96 11.28 12.47 -10.19(1) -2.84
Investment Grade Portfolio Class B Shares 10.96 11.28 12.47 -10.19(1) -2.84
Intermediate Term Portfolio Class A Shares 11.03 11.31 12.16 - 8.58(2) -2.48
Intermediate Term Portfolio Class B Shares 11.03 11.31 12.16 - 8.58(2) -2.48
High Income Portfolio Class A Shares--Total Return + 4.26(3) -1.25(4)
High Income Portfolio Class B Shares--Total Return + 3.50(5) -1.40(6)
Investment Grade Portfolio Class A Shares--Total Return - 1.98(7) -1.24(8)
Investment Grade Portfolio Class B Shares--Total Return - 2.79(9) -1.48(10)
Intermediate Term Portfolio Class A Shares--Total Return - 1.13(11) -0.89(12)
Intermediate Term Portfolio Class B Shares--Total Return - 1.61(13) -1.00(14)
High Income Portfolio Class A Shares--Standardized 30-day Yield 9.51%
High Income Portfolio Class B Shares--Standardized 30-day Yield 9.11%
Investment Grade Portfolio Class A Shares--Standardized 30-day Yield 6.28%
Investment Grade Portfolio Class B Shares--Standardized 30-day Yield 5.77%
Intermediate Term Portfolio Class A Shares--Standardized 30-day Yield 6.38%
Intermediate Term Portfolio Class B Shares--Standardized 30-day Yield 6.00%
<PAGE>
<FN>
*Investment results shown for the 3-month and 12-month periods are before the
deduction of any sales charges.
(1)Percent change includes reinvestment of $0.261 per share capital gains distributions.
(2)Percent change includes reinvestment of $0.093 per share capital gains distributions.
(3)Percent change includes reinvestment of $0.721 per share ordinary income dividends.
(4)Percent change includes reinvestment of $0.150 per share ordinary income dividends.
(5)Percent change includes reinvestment of $0.661 per share ordinary income dividends.
(6)Percent change includes reinvestment of $0.137 per share ordinary income dividends.
(7)Percent change includes reinvestment of $1.030 per share ordinary income dividends
and $0.261 per share capital gains distributions.
(8)Percent change includes reinvestment of $0.152 per share ordinary income dividends.
(9)Percent change includes reinvestment of $0.942 per share ordinary income dividends
and $0.261 per share capital gains distributions.
(10)Percent change includes reinvestment of $0.134 per share ordinary income dividends.
(11)Percent change includes reinvestment of $0.904 per share ordinary income dividends
and $0.093 per share capital gains distributions.
(12)Percent change includes reinvestment of $0.150 per share ordinary income dividends.
(13)Percent change includes reinvestment of $0.846 per share ordinary income dividends
and $0.093 per share capital gains distributions.
(14)Percent change includes reinvestment of $0.138 per share ordinary income dividends.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds High Income Portfolio
<C> <S> <S> <C> <S> <C> <C>
Airlines--3.2% Delta Air Lines Inc.:
BB+ Baa3 $ 1,952,998 9.875% due 4/30/2008++++ $ 1,970,087 $ 1,915,002
BB+ Baa3 3,000,000 9.30% due 1/02/2010 2,963,100 2,744,331
BB+ Baa3 5,000,000 9.20% due 9/23/2014++++ 4,839,050 4,391,325
BB+ Baa3 28,000,000 10.50% due 4/30/2016 28,481,900 27,333,880
Piedmont Aviation, Inc.:
BB B1 200,000 Series C, 9.70% due 1/15/1999 201,676 187,792
BB B1 100,000 Series C, 10.25% due 1/15/2007 103,706 89,812
BB B1 1,985,000 Series E, 10.30% due 3/28/2007 1,855,291 1,823,798
BB B1 1,950,000 Series F, 10.35% due 3/28/2011 1,999,719 1,831,937
BB B1 50,000 Series G, 10.35% due 3/28/2011 51,425 46,973
BB B1 450,000 Series H, 9.85% due 5/08/2005 454,617 403,259
BB B1 1,500,000 Series H, 10.00% due 11/08/2012 1,493,250 1,339,260
BB B1 536,000 Series I, 10.00% due 11/08/2012 545,048 478,562
United Air Lines Inc.:
BB+ Baa2 7,100,000 9.35% due 4/07/2016 7,215,446 6,816,000
BB Baa1 10,500,000 9.21% due 1/21/2017 10,480,125 8,959,703
USAir Inc.:
B B1 28,000,000 9.625% due 2/01/2001 22,360,000 19,320,000
BB B1 1,432,000 Series A, 10.70% due 1/15/2007 1,525,137 1,328,244
BB B1 1,815,000 Series C, 10.70% due 1/15/2007 1,933,048 1,683,494
BB B1 1,107,000 Series E, 10.70% due 1/15/2007 1,159,472 1,026,792
BB B1 5,621,159 Series 89A1, 9.33% due 1/01/2006++++ 5,317,451 4,809,560
BB B1 5,000,000 Series 89A2, 9.82% due 1/01/2013++++ 4,837,500 4,277,845
BB B1 14,500,000 Series 93A3, 10.375% due 3/01/2013 14,530,000 12,832,500
-------------- --------------
114,317,048 103,640,069
Automobile B B2 8,500,000 JPS Automotive Products Corp.,
Parts--0.6% 11.125% due 6/15/2001 8,500,000 8,489,375
B B3 10,150,000 SPX Inc., 11.75% due 6/01/2002 10,175,000 10,353,000
-------------- --------------
18,675,000 18,842,375
<PAGE>
Broadcasting & B B2 10,550,000 Century Communications Corp., 11.875%
Publishing--4.0% due 10/15/2003 10,550,000 11,248,938
BB- Ba2 15,000,000 Continental Cablevision Inc., 9.50%
due 8/01/2013 15,000,000 13,762,500
BB- Ba3 13,150,000 Heritage Media Services Corporation, 11.00%
due 6/15/2002 13,158,750 13,610,250
BB- Ba3 9,200,000 K-III Communications Corp.,
10.625% due 5/01/2002 9,192,500 9,338,000
B B3 10,000,000 The Katz Corp., 12.75% due 11/15/2002 10,125,000 10,750,000
B NR 15,200,000 NWCG Holding Corp., 13.50% due 6/15/1999 7,952,944 7,952,944
CCC+ B3 10,000,000 SCI Television Inc., 11.00% due 6/30/2005 10,350,000 10,225,000
B+ B3 12,500,000 Sinclair Broadcasting Group Inc.,
10.00% due 12/15/2003 12,530,000 12,437,500
B- B3 9,000,000 Summit Communications Group Inc.,
10.50% due 4/15/2005 9,000,000 9,270,000
BB+ Ba3 10,000,000 Videotron Groupe L'TEE, 10.25%
due 10/15/2002 10,097,500 10,150,000
BB- B1 22,750,000 World Color Press, Inc., 9.125% due 3/15/2003 22,769,375 21,498,750
-------------- --------------
130,726,069 130,243,882
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<C> <S> <S> <C> <S> <C> <C>
Building CCC Caa $ 20,000,000 Nortek Inc., 9.875% due 3/01/2004 $ 19,834,240 $ 18,200,000
Materials--2.2% B+ B3 21,455,000 Pacific Lumber Co., 10.50% due 3/01/2003 21,514,913 20,972,263
US Gypsum Corp.:
BB- B1 7,000,000 10.25% due 12/15/2002 6,993,750 7,026,250
B B2 29,084,000 8.75% due 3/01/2017 25,890,006 24,721,400
-------------- --------------
74,232,909 70,919,913
<PAGE>
Building American Standard Inc.:
Products--1.2% B Ba3 6,750,000 9.875% due 6/01/2001 6,750,000 6,480,000
B+ Ba3 10,150,000 9.25% due 12/01/2016 10,203,625 9,388,750
B- B3 9,300,000 Amstar Corp., 11.375% due 2/15/1997 6,566,250 9,300,000
CCC- Caaa 16,000,000 Inter-City Products Corp., 9.75%
due 3/01/2000 15,888,750 14,320,000
-------------- --------------
39,408,625 39,488,750
Capital B+ B1 21,450,000 Essex Group Inc., 10.00% due 5/01/2003 21,546,500 21,235,500
Goods--1.2% B+ B3 16,935,000 Sequa Corp., 9.375% due 12/15/2003 17,066,800 16,680,975
-------------- --------------
38,613,300 37,916,475
Chemicals--2.4% B B2 17,000,000 Agriculture Minerals & Chemicals Company,
L.P., 10.75% due 9/30/2003 17,060,000 17,255,000
B Ba3 42,540,000 G-I Holdings, Inc., 11.38% due 10/01/1998 (a) 26,570,634 26,268,450
B+ B2 18,750,000 Harris Chemical North America Inc.,
10.25% due 7/15/2001 (a) 15,320,609 15,000,000
B- B3 20,000,000 UCC Investors Holding, Inc., 11.00%
due 5/01/2003 20,550,000 20,400,000
-------------- --------------
79,501,243 78,923,450
Communications-- CCC+ Caa 21,570,000 American Telecasting, Inc., 12.50%
5.7% due 6/15/2004 11,444,763 11,432,100
B- B3 13,000,000 Dial Page Inc., 12.25% due 2/15/2000 13,080,500 13,325,000
B- Caa 46,688,000 Echostar Communication Corp.,
13.01% due 6/01/2004 25,158,870 24,511,200
CCC+ Caa 20,235,000 Horizon Cellular Telephone Co.,
11.375% due 10/01/2000 (a) 13,626,820 14,468,025
CCC+ B3 17,000,000 Mobilemedia Communication, Inc., 10.50%
due 12/01/2003 (a) 10,497,737 10,115,000
CCC+ B3 40,000,000 Nextel Communications Inc., 9.75% due
8/15/2004 (a) 25,277,717 23,000,000
NR NR 12,400,000 Page Mart Inc., 12.25% due 11/01/2003 (a) (b) 7,315,958 7,564,000
B B2 20,000,000 Paging Network, Inc., 11.75% due 5/15/2002 20,387,500 21,100,000
Panamsat L.P.:
B+ Ba3 4,750,000 9.75% due 8/01/2000 4,750,000 4,678,750
B- B3 28,710,000 11.375% due 8/01/2003 (a) 17,680,466 18,805,050
BB- Ba3 20,925,000 Rogers Communication Inc., 10.875%
due 4/15/2004 21,384,219 21,657,375
CCC+ B3 12,730,000 USA Mobile Communications Holdings, Inc.,
9.50% due 2/01/2004 12,547,875 11,807,075
-------------- --------------
183,152,425 182,463,575
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<C> <S> <S> <C> <S> <C> <C>
Conglomerates-- NR NR $ 9,083,000 Astrum International Corp., 11.50% due
5.4% 6/08/2003 $ 9,137,780 $ 9,241,953
Collins & Aikman Group Inc.:
CCC+ Caa 4,300,000 11.375% due 5/01/1997 4,215,114 4,347,899
B Caa 9,900,000 10.00% due 1/31/2005 (a) 8,005,627 9,801,000
Colt Industries, Inc.:
B+ B1 20,000,000 10.25% due 4/01/2002 20,350,000 20,300,000
BB Ba2 3,237,000 11.25% due 12/01/2015 3,447,998 3,463,590
B+ B1 18,500,000 Foamex Capital Corp., 11.25% due 10/01/2002 18,495,000 18,962,500
NR NR 13,000,000 Gillette Holdings, Inc., 12.25% due 6/30/2002 13,346,250 13,845,000
CCC+ B3 23,250,000 The Interlake Corp., 12.125% due 3/01/2002 23,483,750 22,087,500
B B2 10,000,000 JB Poindexter & Co., Inc., 12.50% due
5/15/2004 10,000,000 10,100,000
B+ B3 20,000,000 Jordan Industries Inc., 10.375% due
8/01/2003 19,961,000 19,550,000
NR NR 8,500,000 MacAndrews & Forbes Group, Inc., 12.25%
due 7/01/1996 8,276,775 8,542,500
NR NR 9,100,000 MacAndrews & Forbes Holdings, Inc.,
13.00% due 3/01/1999 8,568,400 9,122,750
BB- Ba3 25,000,000 Sherritt Gordon Ltd., 9.75% due 4/01/2003 24,979,063 24,687,500
-------------- --------------
172,266,757 174,052,192
Consumer NR NR 19,450,000 Coleman Holdings, Inc., 10.875% due
Products--3.4% 5/27/1998 (a) 12,552,697 12,739,750
Formica Corporation:
NR NR 23,500,000 13.06% due 10/01/2001 (a) 21,230,207 22,207,500
NR Caa 9,000,000 13.928% due 9/15/2005 9,000,000 8,797,500
Liggett Group Inc.:
NR NR 13,000,000 11.50% due 2/01/1999 12,261,016 9,230,000
NR NR 4,299,000 16.50% due 2/01/1999 3,909,000 3,234,998
B- Caa 13,000,000 Polymer Group, Inc., 12.25% due 7/15/2002 13,000,000 13,000,000
NR B3 5,500,000 Revlon Consumer Products Corp., 10.50%
due 2/15/2003 5,624,375 4,565,000
B- B3 40,350,000 Revlon Worldwide Corp., 12.00% due
3/15/1998 (a) 25,652,475 16,745,250
B+ B1 19,620,000 Sealy Corp., 9.50% due 5/01/2003 19,721,800 18,540,900
-------------- --------------
122,951,570 109,060,898
<PAGE>
Containers--3.7% B B2 20,000,000 Anchor Glass Container Corp., 9.875%
due 12/15/2008 20,000,000 18,600,000
Ivex Packaging Corp.:
B+ B3 13,250,000 12.50% due 12/15/2002 13,157,117 13,978,750
B- Caa 21,500,000 13.25% due 3/15/2005 (a) 9,663,664 10,965,000
BB Ba3 20,000,000 Owens-Illinois, Inc., 11.00% due 12/01/2003 20,446,250 21,250,000
B+ Ba3 10,000,000 Plastic Container Corp., 10.75% due
4/01/2001 10,022,500 10,050,000
B- B3 32,628,000 Siligan Holdings Inc., 13.25% due
12/15/2002 (a) 25,753,947 26,428,680
B+ Ba3 20,000,000 Sweetheart Cup Co., 9.625% due 9/01/2000 20,000,000 19,700,000
-------------- --------------
119,043,478 120,972,430
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<C> <S> <S> <C> <S> <C> <C>
Convertible B+ B2 $ 8,352,000 Builders Transport, Inc., 8.00% due
Bonds*--1.0% 8/15/2005 (4) $ 4,886,880 $ 7,654,374
B+ Ba3 10,362,000 Lomas Financial Corp., 9.00% due
10/31/2003 (2) 9,653,775 8,289,600
B- B3 6,941,000 MEDIQ, Inc., 7.25% due 6/01/2006 (3) 4,539,685 4,789,290
B+ B2 6,000,000 Ohm Corp., 8.00% due 10/01/2006 (5) 4,160,000 5,190,000
B+ B2 5,909,000 UNC, Inc., 7.50% due 3/31/2006 (1) 3,442,530 4,697,655
-------------- --------------
26,682,870 30,620,919
Drug Stores--0.8% B B2 24,000,000 Thrifty Payless Holdings, Inc., 11.75% due
4/15/2003 24,000,000 24,600,000
<PAGE>
Energy--8.5% B+ B1 49,500,000 Clark R&M Holdings, Inc., 11.00% due
2/15/2000 (a) 27,102,768 27,225,000
NR NR 18,500,000 Consolidated Hydro, Inc., 12.00% due
7/15/2003 (a) 10,802,439 10,822,500
CC Caa 2,037,000 Empire Gas Corp., 12.00% due 3/31/2002 1,606,510 2,047,185
B- B2 16,000,000 Falcon Drilling Company, Inc., 9.75% due
1/15/2001 16,000,000 15,673,919
B B2 20,200,000 Ferrell Gas Companies, Inc., 11.625% due
12/15/2003 20,465,678 22,321,000
B+ B1 20,000,000 Global Marine Inc., 12.75% due 12/15/1999 20,047,500 21,775,000
Gulf Canada Resources Ltd.:
BB B1 12,750,000 9.00% due 8/15/1999 11,735,938 12,558,750
B+ B2 8,700,000 9.25% due 1/15/2004 8,488,355 8,134,500
Maxus Energy Corp.:
BB B1 9,750,000 9.875% due 10/15/2002 9,067,500 9,311,250
BB B1 2,550,000 11.50% due 11/15/2015 2,534,500 2,639,250
Mesa Capital Corp.:
CCC+ B3 666,000 12.75% due 6/30/1996 (a) 481,583 586,080
CCC+ B3 4,341,000 12.75% due 6/30/1998 (a) 3,329,603 3,928,605
C Caa 7,610,000 National Propane Corp., 13.125% due 3/01/1999 5,405,665 7,667,075
BB- Ba3 8,750,000 Noble Drilling Corp., 9.25% due 10/01/2003 8,925,000 8,400,000
BBB- Ba2 18,000,000 Oryx Energy Co., 10.375% due 9/15/2018 17,823,010 18,533,339
B+ Ba3 15,000,000 Rowan Companies, Inc., 11.875%
due 12/01/2001 15,085,000 15,975,000
BB- Ba3 25,000,000 Seagull Energy Corp., 8.625% due 8/01/2005 24,990,000 23,125,000
CCC+ Caa 8,650,000 Tesoro Petroleum Corp., 12.75% due 3/15/2001 7,483,899 8,650,000
BB- B1 23,000,000 Trans Texas Gas Corp., 10.50% due 9/01/2000 23,000,000 23,057,500
B+ B1 31,525,000 Triton Energy Corp., 12.816% due 11/01/1997 (a) 22,256,659 22,540,375
BB- B1 9,000,000 Yacimientos Petroliferos Fiscales
S.a. (YpF) (Sponsored) (ADR),
8.00% due 2/15/2004 (f) 7,800,000 7,650,000
-------------- --------------
264,431,607 272,621,328
Entertainment--3.0% B B3 11,750,000 AMC Entertainment, Inc., 12.625% due
8/01/2002 11,696,095 12,983,750
B+ B1 9,000,000 Cinemark USA Inc., 12.00% due 6/01/2002 9,058,750 9,832,500
B B3 50,000,000 Marvel Holdings Inc., 11.475% due 4/15/1998 (a) 32,795,785 31,000,000
B B3 10,000,000 Plitt Theatres, Inc., 10.875% due 6/15/2004 10,000,000 10,125,000
SPI Holding Inc.:
B+ B2 39,250,000 11.50% due 10/01/2001 (a) 28,756,638 23,942,500
B- B3 21,265,000 11.65% due 12/01/2002++ 20,964,181 9,578,837
-------------- --------------
113,271,449 97,462,587
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<C> <S> <S> <C> <S> <C> <C>
Financial American Annuity Group Inc.:
Services--2.1% B+ Ba3 $ 11,000,000 9.50% due 8/15/2001 $ 11,000,000 $ 10,793,750
B- B2 12,000,000 11.125% due 2/01/2003 12,000,000 12,300,000
BB Ba1 21,000,000 Lomas Mortgage USA, Inc., 10.25% due
10/01/2002 21,140,625 20,580,000
BB+ NR 3,000,000 Reliance Financial Services Corp., 10.36%
due 12/01/2000 2,380,000 3,022,500
Reliance Group Holdings, Inc.:
BB+ Ba3 15,425,000 9.00% due 11/15/2000 14,198,125 14,113,875
BB- B1 9,575,000 9.75% due 11/15/2003 9,537,500 8,713,250
-------------- --------------
70,256,250 69,523,375
Food & Beverage-- Chiquita Brands International Inc.:
6.8% B+ B3 5,745,000 11.50% due 6/01/2001 6,139,969 5,917,350
BB- B1 13,000,000 9.125% due 3/01/2004 12,990,000 12,025,000
NR NR 15,000,000 Cumberland Farms, 10.50% due 10/01/2003 14,681,250 13,500,000
BB- B1 25,000,000 Del Monte Corp., 10.00% due 5/01/2003 25,012,500 22,875,000
B- B2 26,463,000 Envirodyne Industries, Inc., 10.25% due
12/01/2001 25,608,891 23,552,070
B- B3 10,520,000 Farm Fresh, Inc., 7.50% due 3/01/2010 5,488,575 6,714,874
B+ B2 29,500,000 Grand Union Corp., 12.25% due 7/15/2002 29,475,625 28,688,750
BB- Ba3 7,000,000 P&C Food Markets, Inc., 11.50% due 10/15/2001 7,100,000 7,455,000
B B2 25,000,000 Penn Traffic Co., 9.625% due 4/15/2005 24,781,750 23,625,000
B- B2 15,325,000 Pueblo Xtra International Inc., 9.50% due
8/01/2003 14,549,625 13,869,125
B- Caa 21,800,000 Seven-Up/RC Bottling Co. of Southern
California, Inc., 11.50% due 8/01/1999 21,967,500 21,800,000
Specialty Foods Corp.:
B B2 20,000,000 10.25% due 8/15/2001 19,618,750 18,200,000
B- B3 2,250,000 11.25% due 8/15/2003 2,261,250 2,047,500
B B3 20,000,000 Texas Bottling Group, Inc., 9.00% due
11/15/2003 20,002,500 18,475,000
-------------- --------------
229,678,185 218,744,669
<PAGE>
Health Services-- BB- Ba2 5,000,000 American Medical International Inc.,
1.8% 11.25% due 6/01/2015 5,097,500 5,319,255
B+ B1 11,500,000 Continental Medical Systems, Inc., 10.875%
due 8/15/2002 11,523,750 11,155,000
B+ B1 10,000,000 Continental Medsystems, Inc., 10.375% due
4/01/2003 9,991,250 9,425,000
HealthTrust Co. (The Hospital):
B B1 12,500,000 10.25% due 4/15/2004 12,500,000 12,500,000
B+ B1 10,000,000 8.75% due 3/15/2005 9,850,000 9,050,000
B+ B1 11,500,000 MEDIQ/PRN Life Support Services, Inc.,
11.125% due 7/01/1999 11,455,000 11,557,500
-------------- --------------
60,417,500 59,006,755
High Technology-- ComputerVision Corp.:
0.5% B- B3 10,000,000 11.375% due 8/15/1999 9,706,250 8,950,000
B- NR 12,500,000 8.00% due 12/01/2009 6,802,473 8,125,000
-------------- --------------
16,508,723 17,075,000
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<C> <S> <S> <C> <S> <C> <C>
Home Builders-- B- B2 $ 20,000,000 Baldwin Homes Company, 10.375%
2.8% due 8/01/2003 $ 19,879,500 $ 16,900,000
Del E. Webb Corporation:
B+ Ba3 7,000,000 10.875% due 3/31/2000 7,002,795 6,895,000
B- B2 7,500,000 9.75% due 3/01/2003 7,440,975 7,012,500
B- B2 5,000,000 9.00% due 2/15/2006 4,993,750 4,350,000
B B3 14,000,000 Greystone Homes Inc., 10.75% due 3/01/2004 14,000,000 13,825,000
B B1 10,250,000 K Hovnanian Enterprises, 11.25%
due 4/15/2002 10,204,063 10,455,000
BB Ba2 12,000,000 Standard Pacific Corp., 10.50% due 3/01/2000 11,995,000 11,820,000
B+ Ba3 20,000,000 U.S. Home Corp., 9.75% due 6/15/2003 20,000,000 19,000,000
-------------- --------------
95,516,083 90,257,500
<PAGE>
Hotels & B B2 22,325,000 Aztar Corp., 11.00% due 10/01/2002 22,557,250 21,097,125
Casinos--7.1% BB B1 25,000,000 Bally's Park Place, Inc., 9.25% due 3/15/2004 24,267,700 22,375,000
NR NR 12,000,000 Capital Gaming International, Inc., 11.50%
due 2/01/2001 (c) 13,600,200 12,600,000
B+ B2 27,000,000 GB Property Funding Corp., 10.875% due
1/15/2004 26,452,500 21,870,000
B+ B2 24,750,000 GNS Finance Corp., 9.25% due 3/15/2003 24,610,371 23,760,000
NR NR 7,682,000 Goldriver Hotel & Casino Corporation,
11.375% due 8/31/1999 (a) 8,609,882 7,566,770
BB- B1 20,000,000 Host Marriott Corp., 10.375% due 6/15/2011 20,409,375 20,087,500
BB- B1 6,000,000 JQ Hammons Hotel, Inc., 8.875%
due 2/15/2004 5,325,000 5,400,000
BB- B1 15,000,000 MGM Grand Hotel Finance Corp., 12.00%
due 5/01/2002 15,230,500 16,350,000
CCC+ B2 10,000,000 Pioneer Finance Corp., 13.50% due
12/01/1998 10,542,500 10,437,500
BB- Ba3 25,000,000 Showboat, Inc., 9.25% due 5/01/2008 24,920,000 22,562,500
Trump Castle Funding Inc.:
NR Caa 8,585,612 11.75% due 11/15/2003 6,893,175 6,310,425
NR Ca 1,821,627 7.00% due 11/15/2005++ (a) 1,315,773 1,213,312
B B3 31,250,000 Trump Plaza Funding, Inc., 10.875% due
6/15/2001 31,037,645 25,937,500
NR Caa 16,239,043 Trump Taj Mahal Funding, Inc., 11.35% due
11/15/1999++ 12,030,423 13,080,615
-------------- --------------
247,802,294 230,648,247
Industrial BB- B2 25,000,000 ADT Operations Inc., 9.25% due 8/01/2003 25,094,187 23,437,500
Services--2.1% B- B3 10,000,000 Bell & Howell Co., 10.75% due 10/01/2002 10,040,000 10,356,353
B+ B1 15,000,000 Repap Wisconsin Inc., 9.25% due 2/01/2002 14,642,500 13,575,000
C Caa 7,720,000 Southeastern Public Service Co., 11.875%
due 2/01/1998 5,699,947 7,604,200
Thermadyne Industries, Inc.:
NR Caa 5,706,000 10.25% due 5/01/2002 5,711,468 5,549,085
NR Caa 7,913,000 10.75% due 11/01/2003 7,915,156 7,695,393
-------------- --------------
69,103,258 68,217,531
Metals & B- B2 26,750,000 Kaiser Aluminum & Chemical Corp.,
Mining--1.8% 12.75% due 2/01/2003 26,660,625 27,151,250
Maxxam Group, Inc.:
B- B3 5,000,000 11.25% due 8/01/2003 4,918,750 4,675,000
B- B3 41,155,000 12.25% due 8/01/2003 (a) 23,904,674 25,310,325
-------------- --------------
55,484,049 57,136,575
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<C> <S> <S> <C> <S> <C> <C>
Paper--5.8% Container Corporation of America:
B+ B2 $ 15,420,000 9.75% due 4/01/2003 $ 15,433,400 $ 14,726,100
B+ B2 13,000,000 11.25% due 5/01/2004 13,000,000 13,390,000
BB- Ba3 15,000,000 Doman Industries Ltd., 8.75% due 3/15/2004 15,000,000 13,500,000
Fort Howard Corp.:
B+ B1 11,000,000 9.25% due 3/15/2001 11,000,000 10,285,000
B B2 11,000,000 10.00% due 3/15/2003 11,000,000 10,285,000
B B2 20,000,000 9.00% due 2/01/2006 19,185,000 17,100,000
B B3 25,000,000 Gaylord Container Corp., 11.50% due
5/15/2001 25,001,250 26,125,000
BB Ba3 10,000,000 PT Indah Kiat Pulp & Paper Corporation,
11.875% due 6/15/2002 10,000,000 10,000,000
B B1 24,000,000 Riverwood International Corp., 11.25%
due 6/15/2002 24,722,500 24,960,000
B+ B1 11,500,000 Stone-Consolidated Corp., 10.25%
due 12/15/2000 11,520,000 11,212,500
Stone Container Corp.:
B B2 3,625,000 10.75% due 6/15/1997 3,106,125 3,606,875
B B1 3,000,000 12.625% due 7/15/1998 3,000,000 3,157,500
B- B2 6,500,000 11.50% due 9/01/1999 6,264,562 6,532,500
B B1 23,375,000 9.875% due 2/01/2001 21,920,547 21,738,750
-------------- --------------
190,153,384 186,619,225
Pollution Control B B3 20,000,000 Mid-American Waste Systems, Inc., 12.25%
0.6% due 2/15/2003 20,000,000 20,425,000
Railroads--0.5% B+ Ba3 15,000,000 Southern Pacific Rail Co., 9.375% due
8/15/2005 15,000,000 15,000,000
<PAGE>
Restaurants/ Family Restaurants Inc.:
Food Services-- B B1 13,000,000 9.75% due 2/01/2002 13,000,000 11,895,000
2.6% B- B3 13,500,000 10.875% due 2/01/2004 (a) 9,947,878 8,707,500
B- B2 30,000,000 Flagstar Corp., 11.375% due 9/15/2003 30,092,500 27,450,000
Foodmaker, Inc:
B- B2 16,000,000 9.75% due 6/01/2002 15,455,000 14,440,000
B+ B3 23,000,000 Series 1993A, 9.75% due 11/01/2003 22,641,200 20,110,625
-------------- --------------
91,136,578 82,603,125
Retail B- B3 10,000,000 Pamida Holdings, Inc., 11.75% due 3/15/2003 9,997,500 10,200,000
Specialty--1.1% Specialty Retailers Group, Inc.:
B+ B1 21,000,000 10.00% due 8/15/2000 21,000,000 20,685,000
B- B3 3,670,000 11.00% due 8/15/2003 3,673,350 3,651,650
-------------- --------------
34,670,850 34,536,650
Steel--2.1% B B2 21,000,000 A.K. Steel Holding Corp., 10.75%
due 4/01/2004 21,000,000 21,131,250
B B2 15,000,000 Republic Engineered Steel Inc., 9.875%
due 12/15/2001 15,000,000 14,625,000
B+ B1 17,500,000 WCI Steel, Inc., 10.50% due 3/01/2002 17,500,000 17,762,500
BB- B1 12,000,000 Wheeling-Pittsburg Steel Corp.,
9.375% due 11/15/2003 11,650,000 11,160,000
-------------- --------------
65,150,000 64,678,750
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (concluded) High Income Portfolio
<C> <S> <S> <C> <S> <C> <C>
Textiles--0.8% B+ B3 $ 30,000,000 Westpoint Stevens Inc., 9.375%
due 12/15/2005 $ 30,100,000 $ 27,262,500
Transportation B+ B1 4,371,000 ACF Industries, Inc., 11.60% due 5/15/2000 4,174,305 4,411,298
Services--1.8% BB Ba2 9,000,000 Eletson Holdings, Inc., 9.25% due 11/15/2003 9,000,000 8,749,778
BB- B1 7,000,000 International Shipholding Corp., 9.00% due
7/01/2003 6,998,750 6,580,000
NR NR 36,106,000 Transtar Holdings, L.P., 13.375% due
12/15/2003 (a) 18,479,726 19,768,035
B+ Ba3 19,000,000 Viking Star Shipping, Inc., 9.625%
due 7/15/2003 19,077,500 18,525,000
-------------- --------------
57,730,281 58,034,111
<PAGE>
Utilities--4.6% Beaver Valley Funding Corp.:
B+ Ba3 5,299,000 8.625% due 6/01/2007 5,047,297 4,888,327
B Ba3 35,000,000 9.00% due 6/01/2017 31,579,000 29,050,000
CTC Mansfield Funding Corp.:
B Ba3 5,000,000 10.25% due 3/30/2003 4,900,000 4,900,000
BB+ Ba1 19,500,000 11.125% due 9/30/2016 21,013,750 18,970,770
Midland Cogeneration Venture
Limited Partnership:
BB- Ba2 4,610,891 10.33% due 7/23/2002++++ 4,760,745 4,558,603
BB- Ba2 11,250,000 11.75% due 7/23/2005 11,310,000 11,277,618
B- B2 5,500,000 13.25% due 7/23/2006 6,002,565 5,845,812
NR NR 14,458,842 Sunflower Electric Power Corp., 8.00%
due 12/31/2016++++ 9,268,336 11,892,397
Texas-New Mexico Power Corp.:
BB Ba3 5,000,000 9.25% due 9/15/2000 5,000,000 4,989,550
B B1 18,000,000 10.75% due 9/15/2003 18,060,000 18,360,000
B Ba3 5,000,000 Transco Energy Co., 9.875% due 6/15/2020 4,687,500 4,700,000
Tucson Electric & Power Co.:
NR NR 12,323,081 Series B, 10.21% due 1/01/2009 11,547,774 11,368,042
NR NR 17,426,207 Series C, 10.732% due 1/01/2013 16,252,461 16,337,069
-------------- --------------
149,429,428 147,138,188
Total Investments in Bonds--91.2% 3,019,411,213 2,938,736,044
<CAPTION>
Shares
Held
Preferred Stocks
<S> <C> <S> <C> <C>
Broadcasting & 421,000 K-III Communications Corp. 10,562,750 11,156,500
Publishing--0.7% 111,551 K-III Communications Corp.++ 11,361,273 10,942,478
-------------- --------------
21,924,023 22,098,978
Energy--0.5% 29,517 Consolidated Hydro, Inc. 14,891,917 15,230,772
Steel--0.4% 600,000 USX Capital LLC 15,000,000 14,025,000
Total Investments in Preferred Stocks--1.6% 51,815,940 51,354,750
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Shares
Industries Held Issue Cost Value
Common Stocks High Income Portfolio
<C> <C> <S> <C> <C>
Conglomerates--0.1% 200,369 Astrum International Corp. $ 4,085,240 $ 4,032,426
Containers--0.0% 150,000 Silgan Holdings Corp. 66,600 975,000
Energy--0.1% 57,237 Mesa Inc. 325,690 321,958
122,500 Petrolane Inc. 1,424,062 1,316,875
-------------- --------------
1,749,752 1,638,833
Financial Services--0.0% 132,527 Lomas Financial Corporation 1,689,719 828,294
Food & 120,194 Abco Markets Inc. 4,054,875 1,584,759
Beverage--0.2% 142,807 Doskocil Companies, Inc. 5,716,757 1,276,338
313,879 RJR Nabisco Holdings Corp. 3,060,320 1,922,509
-------------- --------------
12,831,952 4,783,606
Hospital Supplies--0.2% 305,003 Ply-Gem Industries, Inc. 5,797,539 6,290,687
Hotels & 74,302 Buckhead Corporation of America 185,755 185,755
Casinos--0.0% 75,500 Goldriver Hotel & Casino Corporation
(Class B) (d) 540,045 280,766
23,000 Trump Taj Mahal Holding Corp. (Class A) 11,500 497,375
-------------- --------------
737,300 963,896
Industrial Services--0.0% 11,400 Thermadyne Industries 165,300 138,225
Steel--0.0% 47,242 LTV Corp. 5,521,163 726,346
Total Investments in Common Stocks--0.6% 32,644,565 20,377,313
Trusts & Warrants
<PAGE>
Energy--0.0% 18,000 Consolidated Hydro Inc. (Warrants) (e) 390,123 432,000
20,833 UGI Corp. (Warrants) (e) 91,057 31,901
-------------- --------------
481,180 463,901
Financial Services--0.0% 7,194 Reliance Group Holdings, Inc. (Warrants) (e) 0 0
High Technology--0.0% 394,563 Anacomp, Inc. (Warrants) (e) 495,400 542,524
Hotels & 30,000 Capital Gaming (Warrants) (e) 52,500 15,000
Casinos--0.0% 7,550 Goldriver Hotel & Casino Corp.
Liquidating Trust 192,320 137,028
-------------- --------------
244,820 152,028
Paper--0.1% 813,584 Gaylord Container Corp. (Warrants) (e) 1,707,305 3,101,789
Telecommunications--0.0% 302,500 ALC Communications Corp. (Warrants) (e) 831,875 0
Total Investments in Trusts &
Warrants--0.1% 3,760,580 4,260,242
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Face
Amount Issue Cost Value
Short-Term Securities High Income Portfolio
<C> <C> <S> <C> <C>
Commercial
Paper**--5.0% $ 76,450,000 General Electric Capital Corp., 4.30
due 7/01/1994 $ 76,450,000 $ 76,450,000
Oryx Inc.:
30,000,000 4.62% due 7/18/1994 29,934,550 29,934,550
20,000,000 4.85% due 8/01/1994 19,916,472 19,916,472
Vons Companies, Inc.:
10,000,000 4.56% due 7/06/1994 9,993,666 9,993,666
10,000,000 4.55% due 7/11/1994 9,987,361 9,987,361
10,000,000 4.58% due 7/26/1994 9,968,194 9,968,194
10,000,000 4.62% due 7/26/1994 9,967,916 9,967,916
-------------- --------------
166,218,159 166,218,159
<PAGE>
Total Investments in Short-Term
Securities--5.0% 166,218,159 166,218,159
Total Investments--98.5% $3,273,850,457 3,180,946,508
==============
Other Assets Less Liabilities--1.5% 47,674,113
--------------
Net Assets--100.0% $3,228,620,621
==============
Net Asset
Value: Class A--Based on net assets of $890,451,975 and 114,203,369 capital shares outstanding $ 7.80
==============
Class B--Based on net assets of $2,338,168,646 and 299,793,296 capital shares outstanding $ 7.80
==============
<FN>
++Represents a pay-in-kind security which may
pay interest/dividend in additional face/shares.
++++Subject to principal paydowns.
*Industry classification for convertible bonds are:
(1)Conglomerates; (2)Financial Services;
(3)Health Services; (4)Transportation Services;
(5)Waste Management.
**Commercial Paper is traded on a discount basis;
the interest rates shown are the discount rates
paid at the time of purchase by the Portfolio.
(a)Represents the effective yield at the time
of purchase.
(b)Represents units. Each unit consists of 10 Senior
Discount Notes and 46 Warrants.
(c)Represents units. Each unit consists of one
11.5% Note due 2001, 20.25 Warrants and 26.67
shares of Common Stock.
(d)Each share of Series B Stock contains a right
which entitles the Portfolio to purchase a
predetermined number of shares of preferred
stock. The purchase price and number of shares
are subject to adjustment.
(e)Warrants entitle the portfolio to purchase a
predetermined number of shares of common
stock/face amount of bonds. The purchase
price and number of shares/face amount are
subject to adjustment under certain condi-
tions until the expiration date.
(f)American Depositary Receipts (ADR).
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds & Notes Investment Grade Portfolio
<S> <S> <S> <C> <S> <C> <C>
US Government United States Treasury Notes & Bonds:
Obligations--9.1% NR Aaa $18,000,000 8.25% due 7/15/1998 $ 20,015,625 $ 18,905,625
NR Aaa 3,000,000 8.75% due 8/15/2000 3,569,453 3,247,027
NR Aaa 2,000,000 8.50% due 11/15/2000 2,150,000 2,140,000
NR Aaa 8,000,000 7.50% due 5/15/2002 8,285,625 8,116,260
NR Aaa 8,000,000 6.375% due 8/15/2002 8,515,469 7,557,460
NR Aaa 27,000,000 7.25% due 5/15/2004 27,333,676 26,852,209
NR Aaa 10,000,000 7.50% due 11/15/2016 11,087,231 9,725,025
NR Aaa 2,500,000 7.125% due 2/15/2023 2,403,906 2,339,842
------------- -------------
83,360,985 78,883,448
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds & Notes (continued) Investment Grade Portfolio
<S> <S> <S> <C> <S> <C> <C>
Banking--10.7% A A1 $18,500,000 Comerica Bank, 4.61% due 5/26/1997 (a) $ 18,484,328 $ 18,416,582
First Interstate Bancorp.:
BBB+ Baa1 15,500,000 4.187% due 6/25/1997 15,480,935 15,557,036
A- A3 3,000,000 11.00% due 3/05/1998 3,603,060 3,360,675
BBB+ Baa1 3,000,000 9.90% due 11/15/2001 3,642,840 3,321,218
First Union Corp.:
A- A3 1,000,000 8.125% due 6/24/2002 1,109,750 1,003,855
A- A3 8,300,000 8.00% due 11/15/2002 8,810,850 8,324,982
Golden West Financial Corp.:
A- A3 5,000,000 9.15% due 5/23/1998 5,678,700 5,326,650
A- A3 5,000,000 8.375% due 4/15/2002 5,035,950 5,105,300
A- A3 8,000,000 Huntington Bancshares, Inc., 7.625%
due 1/15/2003 8,405,600 7,821,560
AA A2 3,500,000 Norwest Corp., 6.625% due 3/15/2003 3,553,235 3,238,357
AA- A1 5,000,000 Republic Bank of NY Corp.,
9.125% due 5/15/2021 5,676,450 5,406,425
AA+ Aa2 9,000,000 Wachovia Bank of North Carolina,
6.55% due 6/09/1997 (a) 8,993,430 8,949,868
A A2 7,000,000 World Savings and Loan Association,
9.90% due 7/01/2000 7,430,130 7,652,120
------------- -------------
95,905,258 93,484,628
<PAGE>
Federal Federal National Mortgage Association:
Agencies--3.4% AAA Aaa 7,000,000 6.85% due 4/05/2004 6,713,438 6,621,545
AAA Aaa 8,500,000 7.65% due 4/29/2004 8,392,835 8,264,499
AAA Aaa 9,500,000 7.55% due 6/10/2004 9,486,641 9,229,844
AAA Aaa 5,000,000 Private Export Funding,
8.35% due 1/31/2001 5,786,950 5,302,425
------------- -------------
30,379,864 29,418,313
Financial Services-- Chrysler Financial Corp.:
Captive--3.9% BBB+ A3 2,000,000 9.50% due 12/15/1999 2,263,120 2,160,370
BBB+ A3 8,000,000 10.95% due 8/01/2017 9,701,900 9,125,480
A A2 1,000,000 Ford Motor Credit Corp., 7.75%
due 11/15/2002 1,040,130 989,475
General Motors Acceptance Corp.:
BBB+ Baa1 14,000,000 4.76% due 5/13/1996 (a) 13,980,260 13,977,180
BBB+ Baa1 7,575,000 8.00% due 5/13/1996 7,761,648 7,740,248
------------- -------------
34,747,058 33,992,753
Financial Services-- American General Finance Corp.:
Consumer--6.2% A+ A1 2,500,000 8.50% due 8/15/1998 2,848,650 2,601,100
A+ A1 9,000,000 7.45% due 7/01/2002 9,131,640 8,767,170
Associates Corp. of North America:
AA- A1 2,000,000 8.80% due 8/01/1998 2,253,820 2,097,500
AA- A1 1,550,000 6.75% due 10/15/1999 1,612,945 1,496,843
CIT Group Holdings, Inc.:
A+ A1 8,000,000 4.80% due 8/31/1995 8,000,000 8,004,960
A+ A1 18,000,000 4.85% due 9/15/1995 (a) (b) 18,022,500 18,022,500
A+ A2 6,000,000 Commercial Credit Co., 6.70% due 8/01/1999 6,001,800 5,784,930
A+ A2 7,000,000 Transamerica Finance Corp., 7.50%
due 3/15/2004 7,000,000 6,737,570
------------- -------------
54,871,355 53,512,573
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds & Notes (continued) Investment Grade Portfolio
<S> <S> <S> <C> <S> <C> <C>
Financial Services-- Dean Witter & Discover:
Other--7.1% A A3 $ 5,000,000 6.50% due 11/01/2005 $ 4,942,250 $ 4,409,500
A A3 6,000,000 6.75% due 10/15/2013 5,880,540 4,949,100
General Electric Capital Corp.:
A Aa3 19,000,000 4.51% due 5/09/1996 19,000,000 19,011,780
AAA Aaa 4,500,000 8.70% due 2/15/2003 5,449,725 4,774,387
A+ A1 10,000,000 Morgan Stanley Group Inc., 8.875%
due 10/15/2001 11,482,400 10,514,350
PaineWebber Group Inc.:
BBB+ A3 3,000,000 6.25% due 6/15/1998 3,078,060 2,849,310
BBB+ A3 7,000,000 9.25% due 12/15/2001 8,185,100 7,338,240
A+ A3 8,000,000 Torchmark Corp., 9.625% due 5/01/1998 7,941,440 8,539,840
------------- -------------
65,959,515 62,386,507
Foreign*--6.5% CRA Finance Ltd. (1):
A+ A2 4,000,000 6.50% due 12/01/2003 4,005,890 3,598,580
A+ A2 3,500,000 7.125% due 12/01/2013 3,479,700 3,058,807
AAA Aaa 4,000,000 Export-Import Bank of Japan, 8.35%
due 12/01/1999 (2) 4,226,640 4,188,300
Japan Finance Corp. for Municipal
Enterprises (2):
AAA Aaa 4,500,000 9.125% due 3/13/2000 4,963,995 4,883,422
AAA Aaa 2,000,000 8.70% due 7/30/2001 2,237,380 2,118,600
Metropolis of Tokyo (Japan) (3):
AAA Aaa 3,550,000 9.25% due 10/11/1998 4,134,756 3,821,664
AAA Aaa 3,000,000 8.70% due 10/05/1999 3,469,410 3,182,835
AAA Aaa 4,000,000 9.25% due 11/08/2000 4,219,660 4,356,700
BBB Baa1 3,000,000 Petro Canada, 8.60% due 10/15/2001 (4) 3,292,470 3,099,765
Province of Ontario (Canada) (5):
AA- Aa2 7,000,000 8.00% due 10/17/2001 7,564,970 7,150,675
AA- Aa2 5,000,000 7.75% due 6/04/2002 5,398,150 4,987,025
A+ A1 3,000,000 Province of Quebec (Canada), 13.00% due
10/01/2013 (5) 3,918,120 3,693,855
AA A1 6,000,000 Republic of Italy, 6.875% due 9/27/2023 (6) 5,774,220 4,898,100
A A2 5,000,000 Western Mining Corporation Holdings, Ltd.,
7.25% due 11/15/2013 (2) 5,036,900 4,413,625
------------- -------------
61,722,261 57,451,953
<PAGE>
Industrial-- AA- A1 3,000,000 Anheuser-Busch Cos., Inc., 8.75% due
Consumer--10.4% 12/01/1999 3,367,590 3,164,805
Bass America, Inc.:
A+ A1 3,000,000 6.75% due 8/01/1999 3,027,270 2,907,255
A+ A1 7,000,000 8.125% due 3/31/2002 7,162,320 7,127,925
Dilliard Department Stores, Inc.:
A+ A2 4,000,000 7.375% due 6/15/1999 4,254,860 3,968,520
A+ A2 5,000,000 9.125% due 8/01/2011 6,054,000 5,368,950
Grand Metropolitan Investment Corp.:
A+ A2 4,000,000 6.50% due 9/15/1999 4,000,000 3,822,380
A+ A2 9,000,000 8.625% due 8/15/2001 9,412,690 9,398,385
A+ A2 4,000,000 9.00% due 8/15/2011 4,764,410 4,261,440
Penney (J.C.) Co., Inc.:
A+ A2 3,000,000 6.875% due 6/15/1999 2,989,380 2,947,440
A+ A2 7,000,000 7.375% due 6/15/2004 6,963,600 6,810,230
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds & Notes (continued) Investment Grade Portfolio
<S> <S> <S> <C> <S> <C> <C>
Industrial-- A A2 $ 5,000,000 Philip Morris Cos., Inc., 7.25%
Consumer due 1/15/2003 $ 5,113,110 $ 4,681,450
(concluded) Sears Roebuck & Co.:
BBB+ Baa1 5,000,000 9.25% due 4/15/1998 5,712,125 5,312,775
BBB+ Baa1 8,785,000 8.45% due 11/01/1998 9,709,797 9,111,362
AA Aa1 16,810,000 Wal-Mart Stores, Inc., 8.625% due 4/01/2001 18,401,637 17,766,321
AA Aa3 5,000,000 Warner-Lambert Co., 6.625% due 9/15/2002 4,910,350 4,679,425
------------- -------------
95,843,139 91,328,663
Industrial-- A- A2 5,000,000 Atlantic Richfield Company (ARCO), 10.375%
Energy--4.6% due 7/15/1995 5,266,660 5,216,250
AA- A1 9,000,000 BP America Inc. (Guaranteed by the British
Petroleum Co., PLC), 7.875% due 5/15/2002 9,519,510 9,097,199
Burlington Resources, Inc.:
A- A3 8,500,000 9.625% due 6/15/2000 9,720,390 9,257,987
A- A3 1,000,000 8.50% due 10/01/2001 1,165,780 1,038,805
Texaco Capital Inc.:
A+ A1 5,500,000 9.00% due 12/15/1999 6,215,190 5,860,855
A+ A1 2,000,000 8.875% due 9/01/2021 2,440,280 2,134,910
A+ A1 5,000,000 8.00% due 8/01/2032 4,848,650 4,811,925
BBB Baa2 3,000,000 Union Oil Co. of California, Inc.,
9.25% due 2/01/2003 3,422,340 3,219,450
------------- -------------
42,598,800 40,637,381
<PAGE>
Industrial-- AA- Aa2 10,000,000 Archer-Daniels-Midland Co., 6.25% due
Other--10.5% 5/15/2003 9,950,460 9,086,050
A+ A1 4,000,000 Capital Cities/ABC, Inc., 8.875% due
12/15/2000 4,305,360 4,318,660
A- A3 6,000,000 Carnival Cruise Lines, Inc., 6.15%
due 10/01/2003 5,996,700 5,235,180
A A2 6,000,000 Communications Satellite Corp., 8.125%
due 4/01/2004 6,376,270 6,055,440
Ford Capital B.V.:
A A2 2,500,000 9.375% due 5/15/2001 2,762,725 2,691,250
A A2 4,000,000 9.50% due 7/01/2001 4,527,920 4,337,980
A A2 9,000,000 9.875% due 5/15/2002 9,080,850 9,975,734
BBB- Baa3 5,000,000 Georgia Pacific Corp., 9.95% due 6/15/2002 5,772,150 5,552,900
A- A3 7,710,000 International Paper Co., 9.70% due
3/15/2000 9,293,944 8,466,428
AA Aa2 8,740,000 Kaiser Foundation Hospital, 9.00% due
11/01/2001 9,835,623 9,329,251
AAA Aaa 8,500,000 Stanford University, 6.875% due 2/01/2024 8,435,400 7,428,711
Telecommunications, Inc.:
BBB- Baa3 2,500,000 9.25% due 4/15/2002 2,968,375 2,593,662
BBB- Baa3 10,000,000 9.25% due 1/15/2023 11,433,450 9,893,500
BBB- Baa3 5,000,000 Time Warner Entertainment Co.,
8.375% due 3/15/2023 5,281,450 4,422,500
AAA Aaa 3,000,000 United Parcel Service of America Inc., 8.375%
due 4/01/2020 2,859,590 3,089,145
------------- -------------
98,880,267 92,476,391
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds & Notes (concluded) Investment Grade Portfolio
<S> <S> <S> <C> <S> <C> <C>
Supranational-- Asian Development Bank:
7.4% AAA Aaa $ 3,000,000 10.75% due 6/01/1997 $ 3,302,730 $ 3,307,305
AAA Aaa 9,000,000 9.125% due 6/01/2000 9,455,080 9,795,105
AAA Aaa 4,000,000 8.50% due 5/02/2001 4,299,200 4,210,720
European Investment Bank:
AAA Aaa 2,000,000 8.875% due 3/01/2001 2,380,320 2,154,460
AAA Aaa 4,000,000 9.125% due 6/01/2002 4,890,870 4,370,180
Inter-American Development Bank:
AAA Aaa 8,000,000 8.875% due 6/01/2009 10,115,250 8,895,480
AAA Aaa 5,000,000 8.50% due 3/15/2011 5,955,170 5,278,750
AAA Aaa 5,000,000 7.125% due 3/15/2023 4,546,550 4,375,300
AAA Aaa 17,500,000 International Bank for Reconstruction &
Development, 12.375% due 10/15/2002 22,022,410 22,566,775
------------- -------------
66,967,580 64,954,075
<PAGE>
Transportation-- Southwest Airlines, Inc.:
1.0% A- Baa1 4,000,000 9.40% due 7/01/2001 4,814,240 4,321,060
A- Baa1 2,000,000 8.75% due 10/15/2003 2,138,860 2,098,330
A- Baa1 3,000,000 7.875% due 9/01/2007 2,983,950 2,889,780
------------- -------------
9,937,050 9,309,170
Utilities-- BBB+ Baa1 4,000,000 GTE Corp., 9.10% due 6/01/2003 4,242,720 4,281,780
Communications-- AA- Aa3 5,000,000 General Telephone of California, Inc., 6.75%
3.0% due 3/15/2004 4,864,250 4,669,275
AA- Aa2 2,000,000 New England Telephone & Telegraph Co.,
8.625% due 8/01/2001 2,233,620 2,115,210
Pacific Bell, Inc.:
AA- Aa3 6,500,000 8.70% due 6/15/2001 6,582,540 6,881,127
AA- Aa3 3,000,000 7.25% due 7/01/2002 2,985,420 2,936,325
AA- Aa3 4,500,000 7.375% due 6/15/2025 4,602,510 4,015,597
A+ A1 2,000,000 Southwestern Bell Telecommunications
Corp., 6.125% due 3/01/2000 2,011,250 1,880,120
------------- -------------
27,522,310 26,779,434
Utilities-- A+ A1 25,000,000 Baltimore Gas & Electric Co.,
Electric-- 4.025% due 4/15/1999 24,912,500 24,997,217
7.4% Central Power & Light Co.:
A A2 5,000,000 6.00% due 10/01/1997 4,973,400 4,844,025
A A2 5,000,000 7.50% due 4/01/2023 5,118,750 4,477,125
A A2 2,000,000 Georgia Power Co., 6.125% due 9/01/1999 1,961,420 1,900,820
A A1 12,000,000 Pacific Gas & Electric Co., 7.875% due
3/01/2002 12,232,160 12,130,679
A A2 8,000,000 Pennsylvania Power & Light Co.,
7.75% due 5/01/2002 8,388,270 7,995,159
AA- Aa3 5,000,000 TECO Energy, Inc., 9.27% due 6/12/2000 (a) 5,000,000 5,442,483
A A2 4,000,000 Virginia Electric & Power Co.,
6.75% due 10/01/2023 3,409,200 3,306,280
------------- -------------
65,995,700 65,093,788
Utilities-- Consolidated Natural Gas Co.:
Gas--1.0% AA- A1 1,000,000 9.375% due 2/01/1997 1,031,440 1,058,690
AA- A1 7,500,000 8.75% due 6/01/1999 7,450,660 7,892,212
------------- -------------
8,482,100 8,950,902
Total Investments in
Bonds & Notes--92.2% 843,173,242 808,659,979
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Face
Industries Amount Issue Cost Value
Short-Term Securities Investment Grade Portfolio
<S> <C> <S> <C> <C>
Commercial $ 20,000,000 American Express Credit Corp.,
Paper**--2.2 4.15% due 7/05/1994 $ 19,990,777 $ 19,990,777
Repurchase 37,898,000 Swiss Bank Corp., purchased on 6/30/1994 to
Agreements***--4.3% yield 4.25% to 7/01/1994 37,898,000 37,898,000
Total Investments in Short-Term
Securities--6.5% 57,888,777 57,888,777
Total Investments--98.7% $901,062,019 866,548,756
============
Other Assets Less Liabilities--1.3% 11,187,053
------------
Net Assets--100.0% $877,735,809
============
Net Asset Class A--Based on net assets of $377,626,961 and 34,464,950 capital shares outstanding $ 10.96
Value: =============
Class B--Based on net assets of $500,108,848 and 45,644,272 capital shares outstanding $ 10.96
=============
<FN>
*Corresponding industry groups for foreign securities,
which are denominated in US dollars:
(1)Industrial Mining.
(2)Financial Institution; Government-Owned & Guaranteed.
(3)Government Entity; Guaranteed by Japan.
(4)Energy Company; not Guaranteed by Canada.
(5)Government Entity; Guaranteed by the Province.
(6)Government Entity; Guaranteed by Italy.
**Commercial Paper is traded on a discount basis; the interest rate
shown is the interest rate paid at the time of purchase by the Portfolio.
***Repurchase Agreements are fully collateralized by US Government
Obligations.
(a)Medium-Term Note.
(b)The interest rate is subject to change periodically based upon the prevailing
market rates. The interest rate shown is the rate in effect at June 30, 1994.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds & Notes Intermediate Term Portfolio
<S> <S> <S> <C> <S> <C> <C>
US Government United States Treasury Notes:
Obligations--7.3% NR Aaa $ 3,000,000 8.25% due 7/15/1998 $ 3,374,531 $ 3,150,938
NR Aaa 6,000,000 4.75% due 8/31/1998 5,918,760 5,552,835
NR Aaa 2,000,000 8.50% due 11/15/2000 2,150,000 2,140,000
NR Aaa 7,000,000 7.50% due 5/15/2002 7,249,219 7,101,727
NR Aaa 5,500,000 7.25% due 5/15/2004 5,580,469 5,469,894
------------ ------------
24,272,979 23,415,394
Banks & Thrifts-- A A1 7,000,000 Comerica Bank, 4.61% due 5/26/1997 6,994,068 6,968,437
12.5% First Interstate Bancorp.:
A- A3 4,500,000 11.00% due 3/05/1998 5,404,590 5,041,012
BBB+ Baa1 7,000,000 9.90% due 11/15/2001 8,552,250 7,749,509
A- A3 5,000,000 First Union Corp., 8.00% due 11/15/2002 5,002,240 5,015,050
Golden West Financial Corp.:
A- A3 4,000,000 9.15% due 5/23/1998 4,542,960 4,261,320
A- A3 1,000,000 8.375% due 4/15/2002 987,040 1,021,060
A+ A2 3,000,000 Norwest Corp., 6.625% due 3/15/2003 3,002,870 2,775,735
AA+ Aa2 5,000,000 Wachovia Corporation, 6.55% due 6/09/1997 4,996,350 4,972,149
A A2 2,000,000 World Savings and Loan Association,
9.90% due 7/01/2000 2,072,740 2,186,320
------------ ------------
41,555,108 39,990,592
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds & Notes (continued) Intermediate Term Portfolio
<S> <S> <S> <C> <S> <C> <C>
Federal Federal National Mortgage Association:
Agencies--1.2% NR Aaa $ 2,000,000 7.65% due 4/29/2004 $ 1,975,620 $ 1,944,588
NR Aaa 2,000,000 7.55% due 6/10/2004 1,997,188 1,943,125
------------ ------------
3,972,808 3,887,713
Financial Services-- BBB+ A3 8,000,000 Chrysler Financial Corp., 9.50% due 12/15/1999 9,275,380 8,641,480
Captive--7.0% Ford Motor Credit Co.:
A A2 2,000,000 7.25% due 5/15/1999 1,964,280 1,983,760
A A2 3,000,000 7.75% due 11/15/2002 3,032,570 2,968,425
BBB+ Baa1 9,000,000 General Motors Acceptance Corp.,
4.76% due 6/07/1996 8,987,053 8,985,330
------------ ------------
23,259,283 22,578,995
Financial Services-- American General Finance Corp.:
Consumer--7.0% A+ A1 1,500,000 8.50% due 8/15/1998 1,680,255 1,560,660
A+ A1 1,000,000 7.45% due 7/01/2002 997,800 974,130
A+ A1 3,500,000 6.375% due 3/01/2003 3,457,190 3,174,360
Associates Corp. of North America:
AA- A1 3,000,000 8.80% due 8/01/1998 3,380,730 3,146,250
AA- A1 1,500,000 7.50% due 5/15/1999 1,645,950 1,499,580
CIT Group Holdings, Inc.:
A+ A1 3,000,000 4.80% due 8/31/1995 3,000,000 3,001,860
A+ A1 7,000,000 4.85% due 9/15/1995 (a) (b) 7,008,750 7,008,750
A+ A1 2,000,000 Commercial Credit Co., 6.70%
due 8/01/1999 2,001,200 1,928,310
------------ ------------
23,171,875 22,293,900
<PAGE>
Financial Services-- AAA Aaa 7,000,000 General Electric Capital Corp., 4.51%
Other--7.2% due 5/09/1996 7,000,000 7,004,340
Morgan Stanley Group Inc.:
A+ A1 2,500,000 9.375% due 6/15/2001 2,952,975 2,686,350
A+ A1 3,000,000 8.875% due 10/15/2001 3,482,840 3,154,305
PaineWebber Group Inc.:
BBB+ A3 2,000,000 6.25% due 6/15/1998 2,052,040 1,899,540
BBB+ Aa3 7,000,000 9.25% due 12/15/2001 8,174,550 7,338,240
A+ A3 1,000,000 Torchmark Corp., 9.625% due 5/01/1998 1,139,040 1,067,480
------------ ------------
24,801,445 23,150,255
Foreign*--5.1% A+ A2 4,000,000 CRA Finance Ltd., 6.50% due 12/01/2003 (1) 4,006,020 3,598,580
AAA Aaa 1,500,000 Japan Finance Corp. for Municipal
Enterprises, 9.125% due 3/13/2000 (2) 1,654,665 1,627,807
AAA Aaa 2,000,000 Metropolis of Tokyo (Japan),
8.70% due 10/05/1999 (2) 2,312,940 2,121,890
BBB Baa1 5,000,000 Petro Canada, 8.60% due 10/15/2001 (4) 5,194,980 5,166,275
AA- Aa3 1,000,000 Province of Ontario (Canada),
8.00% due 10/17/2001 (3) 1,080,710 1,021,525
A+ A1 3,000,000 Province of Quebec (Canada),
7.50% due 7/15/2002 (3) 3,228,060 2,887,995
------------ ------------
17,477,375 16,424,072
Industrial-- AA- A1 5,481,000 Anheuser-Busch Cos., Inc., 8.75%
Consumer--11.7% due 12/01/1999 6,189,909 5,782,098
Bass America, Inc.:
A+ A1 1,000,000 6.75% due 8/01/1999 1,009,090 969,085
A+ A1 2,000,000 8.125% due 3/31/2002 2,065,740 2,036,550
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds & Notes (continued) Intermediate Term Portfolio
<S> <S> <S> <C> <S> <C> <C>
Industrial-- Dillard Department Stores, Inc.:
Consumer A+ A2 $ 4,000,000 7.375% due 6/15/1999 $ 4,191,980 $ 3,968,520
(concluded) A+ A2 1,000,000 7.15% due 9/01/2002 1,046,710 961,630
Grand Metropolitan Investment Corp.:
A+ A2 3,000,000 6.50% due 9/15/1999 3,040,120 2,866,785
A+ A2 3,000,000 8.625% due 8/15/2001 3,069,700 3,132,795
A+ A2 1,000,000 Penney (J.C.) Inc., 6.875% due 6/15/1999 996,460 982,480
A A1 4,000,000 PepsiCo, Inc., 6.125% due 1/15/1998 3,972,240 3,880,560
Sears, Roebuck & Co.:
BBB+ Baa1 2,500,000 9.25% due 4/15/1998 2,837,275 2,656,387
BBB+ Baa1 7,000,000 8.45% due 11/01/1998 7,762,380 7,260,050
AA Aa1 2,000,000 Wal-Mart Stores, Inc., 8.625% due 4/01/2001 2,101,960 2,113,780
AA Aa3 1,000,000 Warner-Lambert Co., 6.625% due 9/15/2002 1,024,270 935,885
------------ ------------
39,307,834 37,546,605
Industrial-- A A2 2,000,000 Atlantic Richfield Company (ARCO), 10.375%
Energy--8.0% due 7/15/1995 2,176,960 2,086,500
AA- A1 1,000,000 BP America Inc. (Guaranteed by the
British Petroleum Co., PLC),
7.875% due 5/15/2002 1,055,380 1,010,800
Burlington Resources, Inc.:
A- A3 5,000,000 7.15% due 5/01/1999 4,986,850 4,943,650
A- A3 3,500,000 9.625% due 6/15/2000 4,186,510 3,812,112
A- A3 1,000,000 8.50% due 10/01/2001 1,165,780 1,038,805
Texaco Capital Inc.:
A+ A1 2,000,000 6.875% due 7/15/1999 1,996,120 1,955,190
A+ A1 2,000,000 9.00% due 12/15/1999 2,342,460 2,131,220
BBB Baa2 8,250,000 Union Oil of California, Inc.,
9.75% due 12/01/2000 9,919,305 9,072,360
------------ ------------
27,829,365 26,050,637
<PAGE>
Industrial-- AA- Aa2 2,000,000 Archer-Daniels-Midland Co., 6.25% due
Other--11.6% 5/15/2003 1,989,000 1,817,210
A+ A1 3,000,000 Capital Cities/ABC, Inc., 8.875% due
12/15/2000 3,514,560 3,238,995
A- A3 2,000,000 Carnival Cruise Lines, Inc., 6.15% due
10/01/2003 1,998,900 1,745,060
AA Aa2 3,500,000 Kaiser Foundation Hospital, 9.00% due
11/01/2001 3,881,070 3,735,970
BBB- Ba1 6,250,000 News America Holdings Inc., 7.50% due
3/01/2000 6,314,782 6,043,000
BBB- Baa3 14,000,000 Telecommunications, Inc., 9.25% due
4/15/2002 15,921,860 14,524,510
BBB- Baa2 6,000,000 Tenneco, Inc., 8.00% due 11/15/1999 6,371,100 6,062,520
------------ ------------
39,991,272 37,167,265
Supranational-- Asian Development Bank:
3.7% AAA Aaa 2,000,000 9.125% due 6/01/2000 2,234,280 2,176,690
AAA Aaa 2,500,000 8.50% due 5/02/2001 2,687,000 2,631,700
AAA Aaa 4,800,000 European Investment Bank, 9.125% due
6/01/2002 5,819,666 5,244,216
AAA Aaa 1,500,000 International Bank of Reconstruction &
Development, 12.375% due 10/15/2002 1,954,980 1,929,589
------------ ------------
12,695,926 11,982,195
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds & Notes (concluded) Intermediate Term Portfolio
<S> <S> <S> <C> <S> <C> <C>
Transportation--2.0% Southwest Airlines, Inc.:
A- Baa1 $ 5,000,000 9.40% due 7/01/2001 $ 5,949,310 $ 5,401,325
A- Baa1 1,000,000 8.75% due 10/15/2003 1,069,430 1,049,165
------------ ------------
7,018,740 6,450,490
Utilities-- AA- Aa3 6,000,000 General Telephone of California, Inc.,
Communications-- 6.75% due 3/15/2004 5,837,100 5,603,130
2.4% AA- Aa3 2,000,000 Pacific Bell, Inc., 8.70% due 6/15/2001 2,163,420 2,117,270
------------ ------------
8,000,520 7,720,400
Utilities-- A+ A1 7,000,000 Baltimore Gas & Electric Company,
Electric--4.6% 4.025% due 4/15/1999 6,975,500 6,999,221
A A1 3,000,000 Pacific Gas & Electric Co., 7.875% due
3/01/2002 3,058,040 3,032,670
Pennsylvania Power & Light Co.:
A A2 4,000,000 5.50% due 4/01/1998 3,991,280 3,788,020
A A2 1,000,000 7.75% due 5/01/2002 1,043,980 999,395
------------ ------------
15,068,800 14,819,306
Utilities-- Consolidated Natural Gas Co.:
Gas--1.9% AA- A1 4,000,000 9.375% due 2/01/1997 4,125,760 4,234,760
AA- A1 2,000,000 8.75% due 6/01/1999 2,125,440 2,104,590
------------ ------------
6,251,200 6,339,350
Total Investments in
Bonds & Notes--93.2% 314,674,530 299,817,169
<PAGE>
<CAPTION>
Short-Term Securities
<S> <C> <S> <C> <C>
Commercial 10,000,000 American Express Credit Corporation,
Paper**--3.1% 4.15% due 7/05/1994 9,995,388 9,995,388
Repurchase 9,104,000 Swiss Bank Corp. purchased on 6/30/1994
Agreements***--2.8% to yield 4.25% to 7/01/1994 9,104,000 9,104,000
Total Investments in Short-Term
Securities--5.9% 19,099,388 19,099,388
Total Investments--99.1% $333,773,918 318,916,557
============
Other Assets Less Liabilities--0.9% 2,983,364
------------
Net Assets--100.0% $321,899,921
============
Net Asset Value: Class A--Based on net assets of $176,832,350 and 16,033,988 capital shares outstanding $ 11.03
============
Class B--Based on net assets of $145,067,571 and 13,153,387 capital shares outstanding $ 11.03
============
<FN>
(a)Medium-Term Note.
(b)The interest rate is subject to change periodically based upon
the prevailing market rate. The interest rate shown is the rate
in effect at June 30, 1994.
*Corresponding industry groups for foreign securities, which are
denominated in US dollars:
(1)Industrial Mining.
(2)Government Entity; Guaranteed by Japan.
(3)Government Entity; Guaranteed by Province.
(4)Energy Company; not Guaranteed by Canada.
**Commercial Paper is traded on a discount basis; the interest rates shown
are the discount rates paid at the time of purchase by the Portfolio.
***Repurchase Agreements are fully collateralized by US Government
Obligations.
</TABLE>
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