MERRILL LYNCH
CORPORATE BOND
FUND, INC.
FUND LOGO
Quarterly Report
June 30, 1995
Officers and Directors
Arthur Zeikel, President and Director
Ronald W. Forbes, Director
Cynthia A. Montgomery, 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, MA 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 32246-6484
(800) 637-3863
<PAGE>
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
MERRILL LYNCH CORPORATE BOND FUND, INC.
TO OUR SHAREHOLDERS
In the June quarter economic data showed evidence
of slowing activity. Gross domestic product (GDP)
growth for the first three months of 1995 was reported
at 2.7%, the weakest showing in the past 18 months.
Other signs of a sluggish economy included slowing
growth in the manufacturing sector in May and June
as well as three consecutive months of declines in the
Index of Leading Economic Indicators, an occurrence
which has often (but not always) forecast recessions.
As a result, by the end of the June quarter concerns
had arisen that the economic "soft landing" could
turn into an actual recession. However, at the same
time there were also expectations that a few months
of very slow or zero growth would be followed by a
pickup in economic activity later in the year. This
view was supported by the stronger-than-expected
employment data for June and an upward revision in
May's employment figures.
<PAGE>
Thus far in 1995, economic developments have been
very positive for the US stock and bond markets, and
most US stock market averages recently have attained
record levels. In contrast, the US dollar has been
persistently weak, especially relative to the yen.
Following the Federal Reserve Board's cut in short-
term interest rates in early July, continued signs of
a moderating expansion and well-contained infla-
tionary pressures could provide further assurance that
the peak in US interest rates is behind us, creating a
stronger foundation for higher stock and bond prices.
On the other hand, indications of reaccelerating
growth and increasing inflationary pressures would
likely suggest that higher interest rates are on the
horizon, a negative development for the US financial
markets.
Portfolio Strategy
High Income Portfolio
The positive trend in the financial markets continued
during the second quarter of 1995. Ten-year US Treas-
ury note yields declined from 7.13% to 6.25% over the
three-month period ended June 30, 1995. High-yield
bonds yields also dropped but the decline was more
muted. Heavy new-issue supply was one factor affecting
the market. Fear that the economic slowdown could
deepen seems to have depressed investor psychology
toward economically sensitive cyclicals like steel
and paper. This contributed to the lag between US
Treasury securities and high-yield bonds. In July,
the high-yield market caught up as technical con-
ditions and psychology improved.
We have been positive on the market for most of this
year, believing that last year's bear market left US
Government and high-yield securities significantly
undervalued. The fundamentals unique to high-yield
securities remain positive. Credit quality trends are
stable for the market as a whole, and areas of under-
valuation exist. However, the relatively narrow spreads
between high-yield and US Government securities
reflect the solid fundamentals. Consequently, we have
become more selective recently. During the three
months ended June 30, 1995, we increased our posi-
tions in selected cyclicals which we believed were
oversold and added to our emerging market and
Atlantic City hotel/casino positions as well as selected
industrial and financial new issues. The quality focus
in new issues was on B-rated companies which
appeared particularly inexpensive.
<PAGE>
At June 30, 1995, the Portfolio's cash position was about
8% of net assets. The average portfolio maturity stood
at 7.6 years. Major industry sectors represented in the
Portfolio included: energy, 8.9% of net assets; hotels
and casinos, 7.7%; broadcasting & publishing, 7.1%; paper, 7.4%;
and communications, 7.0%.
Investment Grade Portfolio and
Intermediate Term Portfolio
The bond market rallied with unexpected vigor dur-
ing the quarter ended June 30, 1995, in response to a
significant deceleration in economic growth. The
domestic economy expanded at a 2.8% annual rate for
the first three months of 1995, the slowest rate of
growth since the summer of 1993. This was an abrupt
change from the 5.1% rate of growth recorded in
fourth quarter 1994. The slowdown offered further
evidence that the economy, after a four-year expansion,
is braking at a steady rate in a much-desired soft
landing. At the same time, signs indicated that in-
flation remains under control.
During the three-month period ended June 30, 1995,
the yield on the long-term Treasury bond dropped
76 basis points (0.76%) from 7.38% to 6.62%. Since
prices move inversely to yields, this resulted in a
strong rally in bond values, particularly in the longer-
term maturities.
In order to take advantage of the rally, we continued
to extend the average duration of the Investment
Grade Portfolio from 5.3 years in April to 5.7 years
at the end of June. This was accomplished by investing
cash flows into bonds with longer maturities. The
Portfolio's cash position remains at 4% of net assets.
For the Intermediate Term Portfolio, we continued our
program of investing cash flows into the longer end of
the intermediate market. We also completed a series
of trades which extended the average duration of the
Portfolio from 4.2 years to 4.4 years.
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.
<PAGE>
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, 1995
PERFORMANCE DATA
About Fund Performance
Since October 21, 1994, investors have been able to
purchase shares of the Fund through the Merrill
Lynch Select Pricing SM System, which offers four
pricing alternatives:
*Class A Shares incur a maximum initial sales charge
(front-end load) of 4% and bear no ongoing distribu-
tion or account maintenance fees for High Income
and Investment Grade Portfolio. Intermediate Term
Portfolio incurs a maximum initial sales charge
(front-end load) of 1% and bears no ongoing distri-
bution or account maintenance fees. Class A Shares
are available only to eligible investors.
<PAGE>
*Class B Shares are subject to a maximum contingent
deferred sales charge of 4% if redeemed during the
first year, decreasing 1% each year thereafter to 0%
after the fourth year for High Income and Investment
Grade Portfolio. Intermediate Term Portfolio is
subject to a maximum contingent deferred sales
charge of 1% if redeemed within one year of purchase.
In addition, High Income and Investment Grade
Portfolio are subject to a distribution fee of 0.50% and
an account maintenance fee of 0.25%. Intermediate
Term Portfolio is subject to a 0.25% distribution fee
and a 0.25% account maintenance fee. All three
classes of shares automatically convert to Class D
Shares after 10 years.
*Class C Shares are subject to a distribution fee of
0.55% and an account maintenance fee of 0.25% for
High Income and Investment Grade Portfolio. Inter-
mediate Term Portfolio is subject to a distribution
fee of 0.25% and an account maintenance fee of
0.25%. In addition, Class C Shares are subject to a
1% contingent deferred sales charge if redeemed
within one year of purchase.
*Class D Shares incur a maximum initial sales charge
of 4% and an account maintenance fee of 0.25% (but
no distribution fee) for High Income and Investment
Grade Portfolio. Intermediate Term Portfolio incurs a
maximum initial sales charge of 1% and an account
maintenance fee of 0.10% (but no distribution fee).
The "Average Annual Total Return" and "Performance
Summary" tables for the Fund's Class A and Class
B Shares are presented on pages 4 and 5. "Aggregate
Total Return" tables for Class C and Class D Shares
are also presented on page 4. Data for all of the Fund's
shares are presented in the "Recent Performance
Results" table on page 6.
The "Recent Performance Results" table shows
investment results before the deduction of any sales
charges for Class A and Class B Shares for the 12-
month and 3-month periods ended June 30, 1995
and for Class C and Class D Shares for the since incep-
tion and 3-month periods ended June 30, 1995.
All data in this table assume imposition of the actual
total expenses incurred by each class of shares
during the relevant period.
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. Dividends paid to each
class of shares will vary because of the different
levels of account maintenance, distribution and
transfer agency fees applicable to each class, which
are deducted from the income available to be paid
to shareholders.
<PAGE>
PERFORMANCE DATA (continued)
Average Annual Total Return
% Return Without % Return With
Sales Charge Sales Charge**
High Income Portfolio Class A Shares*
Year Ended 6/30/95 +10.54% + 6.12%
Five Years Ended 6/30/95 +14.23 +13.30
Ten Years Ended 6/30/95 +11.87 +11.42
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
High Income Portfolio Class B Shares*
Year Ended 6/30/95 + 9.84% + 5.86%
Five Years Ended 6/30/95 +13.41 +13.41
Inception (10/21/88) through 6/30/95 +11.33 +11.33
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to
0% after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
Investment Grade Portfolio Class A Shares*
Year Ended 6/30/95 +12.60% +8.09%
Five Years Ended 6/30/95 + 9.62 +8.73
Ten Years Ended 6/30/95 + 9.60 +9.15
<PAGE>
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Investment Grade Portfolio Class B Shares*
Year Ended 6/30/95 +11.83% +7.83%
Five Years Ended 6/30/95 + 8.79 +8.79
Inception (10/21/88) through 6/30/95 + 8.69 +8.69
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to
0% after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
Intermediate Term Portfolio Class A Shares*
Year Ended 6/30/95 +11.99% +10.87%
Five Years Ended 6/30/95 + 9.35 + 9.13
Ten Years Ended 6/30/95 + 9.30 + 9.19
[FN]
* Maximum sales charge is 1%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Intermediate Term Portfolio Class B Shares*
Year Ended 6/30/95 +11.41% +10.41%
Inception (11/13/92) through 6/30/95 + 7.10 + 7.10
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to
0% after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
<PAGE>
Aggregate Total Return
% Return % Return
Without CDSC With CDSC**
High Income Portfolio Class C Shares*
Inception (10/21/94) through 6/30/95 +9.68% +8.68%
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to
0% after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
High Income Portfolio Class D Shares*
Inception (10/21/94) through 6/30/95 +10.09% +5.68%
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Investment Grade Portfolio Class C Shares*
Inception (10/21/94) through 6/30/95 +12.59% +11.59%
<PAGE>
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to
0% after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
Investment Grade Portfolio Class D Shares*
Inception (10/21/94) through 6/30/95 +13.02% +8.50%
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Intermediate Term Portfolio Class C Shares*
Inception (10/21/94) through 6/30/95 +11.54% +10.54%
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to
0% after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
Intermediate Term Portfolio Class D Shares*
Inception (10/21/94) through 6/30/95 +11.79% +10.67%
[FN]
*Maximum sales charge is 1%.
**Assuming maximum sales charge.
<PAGE>
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
1994 8.32/7.31 11.97/10.60 11.92/10.70 0.80 0.77 0.77 - 2.69 - 5.06 - 3.85
1/1/95--6/30/95 7.31/7.74 10.60/11.47 10.70/11.49 0.37 0.38 0.38 + 11.38 + 12.20 + 11.30
------ ------ ------
Total $15.98 $16.11 $15.50
Cumulative total return as of 6/30/95: +521.04%** +405.52%** +380.24%**
<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>
<PAGE>
<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 -- + 0.74% + 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
1994 8.33/7.31 11.97/10.60 11.92/10.70 0.74 0.69 0.71 - 3.54 - 5.78 - 4.34
1/1/95--6/30/95 7.31/7.75 10.60/11.47 10.70/11.49 0.34 0.34 0.35 + 11.13 +11.80 +11.03
----- ----- -----
Total $5.46 $6.00 $2.27
Cumulative total return as of 6/30/95: +105.08%** +74.64%** +19.76%**
<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>
<PAGE>
PERFORMANCE DATA (concluded)
<TABLE>
Recent Performance Results*
<CAPTION>
Standardized
12 Month 3 Month 30-day Yield
6/30/95 3/31/95 6/30/94++ % Change++ % Change As of 6/30/95
<S> <C> <C> <C> <C> <C> <C>
High Income Portfolio Class A Shares $ 7.74 $ 7.53 $ 7.80 - 0.77% +2.79% 9.99%
High Income Portfolio Class B Shares 7.75 7.53 7.80 - 0.64 +2.92 9.61
High Income Portfolio Class C Shares 7.75 7.54 7.59 + 2.11 +2.79 9.57
High Income Portfolio Class D Shares 7.75 7.54 7.59 + 2.11 +2.79 9.74
Investment Grade Portfolio Class A Shares 11.47 10.92 10.96 + 4.65 +5.04 6.25
Investment Grade Portfolio Class B Shares 11.47 10.92 10.96 + 4.65 +5.04 5.74
Investment Grade Portfolio Class C Shares 11.48 10.92 10.67 + 7.59 +5.13 5.68
Investment Grade Portfolio Class D Shares 11.48 10.92 10.67 + 7.59 +5.13 6.01
Intermediate Term Portfolio Class A Shares 11.49 10.98 11.03 + 4.17 +4.64 6.21
Intermediate Term Portfolio Class B Shares 11.49 10.98 11.03 + 4.17 +4.64 5.75
Intermediate Term Portfolio Class C Shares 11.50 10.99 10.81 + 6.38 +4.64 5.73
Intermediate Term Portfolio Class D Shares 11.50 10.98 10.81 + 6.38 +4.74 6.10
High Income Portfolio Class A Shares--Total Return +10.54(1) +5.38(2)
High Income Portfolio Class B Shares--Total Return + 9.84(3) +5.32(4)
High Income Portfolio Class C Shares--Total Return + 9.68(5) +5.17(6)
High Income Portfolio Class D Shares--Total Return +10.09(7) +5.31(8)
Investment Grade Portfolio Class A Shares--Total Return +12.60(9) +6.95(10)
Investment Grade Portfolio Class B Shares--Total Return +11.83(11) +6.75(12)
Investment Grade Portfolio Class C Shares--Total Return +12.59(13) +6.82(14)
Investment Grade Portfolio Class D Shares--Total Return +13.02(15) +6.98(16)
Intermediate Term Portfolio Class A Shares--Total Return +11.99(17) +6.53(18)
Intermediate Term Portfolio Class B Shares--Total Return +11.41(19) +6.39(20)
Intermediate Term Portfolio Class C Shares--Total Return +11.54(21) +6.38(8)
Intermediate Term Portfolio Class D Shares--Total Return +11.79(22) +6.59(23)
<FN>
*Investment results shown do not reflect sales charges; results shown would
be lower if a sales charge was included.
+*Investment results shown for Class C and Class D Shares are since inception
(10/21/94).
(1)Percent change includes reinvestment of $0.830 per share ordinary income
dividends.
(2)Percent change includes reinvestment of $0.194 per share ordinary income
dividends.
(3)Percent change includes reinvestment of $0.772 per share ordinary income
dividends.
<PAGE>
(4)Percent change includes reinvestment of $0.179 per share ordinary income
dividends.
(5)Percent change includes reinvestment of $0.521 per share ordinary income
dividends.
(6)Percent change includes reinvestment of $0.178 per share ordinary income
dividends.
(7)Percent change includes reinvestment of $0.549 per share ordinary income
dividends.
(8)Percent change includes reinvestment of $0.189 per share ordinary income
dividends.
(9)Percent change includes reinvestment of $0.811 per share ordinary income
dividends.
(10)Percent change includes reinvestment of $0.206 per share ordinary income
dividends.
(11)Percent change includes reinvestment of $0.726 per share ordinary income
dividends.
(12)Percent change includes reinvestment of $0.184 per share ordinary income
dividends.
(13)Percent change includes reinvestment of $0.479 per share ordinary income
dividends.
(14)Percent change includes reinvestment of $0.183 per share ordinary income
dividends.
(15)Percent change includes reinvestment of $0.521 per share ordinary income
dividends.
(16)Percent change includes reinvestment of $0.199 per share ordinary income
dividends.
(17)Percent change includes reinvestment of $0.809 per share ordinary income
dividends.
(18)Percent change includes reinvestment of $0.204 per share ordinary income
dividends.
(19)Percent change includes reinvestment of $0.752 per share ordinary income
dividends.
(20)Percent change includes reinvestment of $0.190 per share ordinary income
dividends.
(21)Percent change includes reinvestment of $0.503 per share ordinary income
dividends.
(22)Percent change includes reinvestment of $0.529 per share ordinary income
dividends.
(23)Percent change includes reinvestment of $0.201 per share ordinary income
dividends.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds High Income Portfolio
Airlines--3.0% Delta Air Lines Inc.:
BB+ Baa3 $ 3,000,000 9.30% due 1/02/2010 $ 2,963,100 $ 3,350,262
BB+ Baa3 5,000,000 9.20% due 9/23/2014 4,839,050 5,387,500
BB+ Baa3 25,000,000 10.50% due 4/30/2016 25,481,900 29,169,624
Piedmont Aviation, Inc.:
BB- B1 200,000 Series C, 9.70% due 1/15/1999 201,676 195,757
BB- B1 100,000 Series C, 10.25% due 1/15/2007 103,706 97,354
BB- B1 1,985,000 Series E, 10.30% due 3/28/2007 1,855,291 1,937,757
BB- B1 1,950,000 Series F, 10.35% due 3/28/2011 1,999,719 1,976,110
BB- B1 50,000 Series G, 10.35% due 3/28/2011 51,425 50,670
BB- B1 450,000 Series H, 9.85% due 5/08/2005 454,617 427,460
BB- B1 1,500,000 Series H, 10% due 11/08/2012 1,493,250 1,449,113
BB- B1 536,000 Series I, 10% due 11/08/2012 545,048 517,816
United Air Lines Inc.:
BB+ Baa2 4,000,000 10.02% due 3/22/2014 4,050,000 4,443,520
BB+ Baa2 2,000,000 9.08% due 10/26/2015 1,847,200 2,071,720
BB+ Baa2 7,100,000 9.35% due 4/07/2016 7,215,446 7,182,183
BB+ Ba2 10,500,000 9.21% due 1/21/2017 10,480,125 11,023,950
USAir Inc.:
B B1 25,000,000 9.625% due 2/01/2001 19,960,000 21,375,000
BB- B1 14,500,000 10.375% due 3/01/2013 14,530,000 13,847,500
BB B1 1,432,000 Series A, 10.70% due 1/15/2007 1,525,137 1,435,709
BB B1 1,815,000 Series C, 10.70% due 1/15/2007 1,933,048 1,819,701
B+ B2 421,000 Series E, 10.70% due 1/15/2002 382,895 421,406
B+ B1 1,107,000 Series E, 10.70% due 1/15/2007 1,159,472 1,109,867
B+ B2 1,092,000 Series F, 10.70% due 1/01/2003 984,165 1,093,168
B+ B2 1,092,000 Series G, 10.70% due 1/01/2003 984,165 1,093,168
B+ B2 1,092,000 Series H, 10.70% due 1/01/2003 984,165 1,093,168
B+ B2 1,092,000 Series I, 10.70% due 1/01/2003 984,165 1,093,168
BB- B1 5,408,531 Series 89A1, 9.33% due 1/01/2006++++ 5,116,310 5,179,820
-------------- --------------
112,125,075 118,842,471
Automobile NR* B1 10,000,000 Exide Corp., 10% due 4/15/2005 10,071,250 10,312,500
Parts--0.5% B B3 10,150,000 SPX Inc., 11.75% due 6/01/2002 10,175,000 10,619,438
-------------- --------------
20,246,250 20,931,938
<PAGE>
Broadcasting & CCC+ Caa 35,500,000 American Telecasting, Inc., 14.02%
Publishing--6.5% due 6/15/2004 (a) 19,616,659 21,122,500
CCC B3 29,117,000 Australis Media Ltd., 14.074% due
5/15/2003 (a) (b) 15,012,785 15,286,425
BB- Ba3 22,500,000 Century Communications Corporation,
9.75% due 2/15/2002 22,112,500 22,865,625
B B1 10,000,000 Comcast Corporation, 9.50% due 1/15/2008 9,350,000 10,000,000
BB Ba2 10,000,000 Continental Cablevision Inc., 9.50%
due 8/01/2013 10,000,000 10,350,000
CCC Caa 14,750,000 Dial Page Inc., 12.25% due 2/15/2000 14,907,063 15,266,250
BB- Ba3 13,150,000 Heritage Media Services Corporation, 11%
due 6/15/2002 13,158,750 14,234,875
BB- Ba3 4,200,000 K-III Communications Corp., 10.625%
due 5/01/2002 4,192,500 4,473,000
B B3 14,000,000 The Katz Corp., 12.75% due 11/15/2002 14,313,750 15,260,000
B Caa 25,000,000 NWCG Holding Corp., 13.79% due 6/15/1999 (a) 14,758,854 15,625,000
CCC+ Caa 15,000,000 Peoples Choice T.V. Corporation, 13.185%
due 6/01/2004 (a) (c) 8,001,500 7,200,000
BB- B3 10,000,000 SCI Television Inc., 11% due 6/30/2005 10,350,000 10,475,000
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds (continued) High Income Portfolio
Broadcasting & B+ B3 $ 15,000,000 Sinclair Broadcasting Group Inc.,
Publishing 10% due 12/15/2003 $ 15,036,250 $ 15,075,000
(concluded) B- B3 60,000,000 United International Holdings, Inc.,
13.99% due 11/15/1999 (a) 33,666,867 36,000,000
Videotron Groupe L'TEE:
BB+ Ba3 11,250,000 10.25% due 10/15/2002 11,322,500 11,756,250
BB+ Baa3 3,300,000 10.625% due 2/15/2005 3,279,375 3,485,625
BB- B1 20,000,000 World Color Press, Inc., 9.125%
due 3/15/2003 20,019,375 19,600,000
NR* NR* 13,000,000 Young Broadcasting Inc., 10.125%
due 2/15/2005 13,000,000 13,065,000
-------------- --------------
252,098,728 261,140,550
Building CCC B3 20,000,000 Nortek Inc., 9.875% due 3/01/2004 19,834,240 18,100,000
Materials--1.7% B+ B3 24,705,000 Pacific Lumber Co., 10d due 3/01/2003 24,546,788 22,790,363
B+ B2 29,084,000 US Gypsum Corp., 8.75% due 3/01/2017 25,890,006 27,629,800
-------------- --------------
70,271,034 68,520,163
<PAGE>
Building American Standard Inc.:
Products--0.9% B+ Ba3 3,000,000 11.375% due 5/15/2004 3,120,000 3,300,000
B B1 6,000,000 11.52% due 6/01/2005 (a) 4,130,232 4,590,000
CCC- Caa 9,300,000 Amstar Corp., 11.375% due 2/15/1997 6,566,250 9,532,500
B Ba3 20,000,000 Inter-City Products Corp., 9.75%
due 3/01/2000 19,508,750 17,375,000
-------------- --------------
33,325,232 34,797,500
Capital Goods-- B+ B1 21,450,000 Essex Group Inc., 10% due 5/01/2003 21,546,500 20,809,373
1.6% B- B3 17,000,000 International Wire Group, 11.75%
due 6/01/2005 17,000,000 17,127,500
B+ B3 26,000,000 Sequa Corp., 9.375% due 12/15/2003 25,146,563 24,440,000
-------------- --------------
63,693,063 62,376,873
Chemicals--1.7% B B2 15,000,000 Agriculture Minerals & Chemicals
Company, L.P., 10.75% due 9/30/2003 15,060,000 15,431,250
B+ Ba3 45,000,000 G-I Holdings, Inc., 11.44% due 10/01/1998 (a) 31,355,533 30,375,000
B+ B2 25,000,000 Harris Chemical North America Inc.,
10.65% due 7/15/2001 (a) 23,454,019 22,812,500
-------------- --------------
69,869,552 68,618,750
Communications-- B- Caa 46,688,000 Echostar Communication Corp.,
7.0% 12.88% due 6/01/2004 (a) 28,629,009 26,612,160
CCC+ Caa 29,547,000 Horizon Cellular Telephone Co., 11.484%
due 10/01/2000 (a) 22,945,519 23,415,998
CCC+ B3 25,000,000 Mobilemedia Communication, Inc.,
11.32% due 8/01/1998 (a) 16,672,130 16,875,000
CCC+ B3 50,000,000 Nextel Communications Inc., 10.51% due
8/01/1998 (a) 33,357,874 24,250,000
NR* NR* 21,000,000 Page Mart Inc., 12.741% due 11/01/2003 (a) 13,629,065 13,335,000
B B2 20,000,000 Paging Network, Inc., 11.75% due 5/15/2002 20,387,500 21,500,000
B- B3 36,710,000 Panamsat L.P., 11.351% due 8/01/2003 (a) 26,064,623 26,431,200
BB- B2 35,925,000 Rogers Communication Inc., 10.875%
due 4/15/2004 36,431,094 37,002,750
NR* NR* 25,000,000 Telecom Argentina S.A., 8.375% due 10/18/2000 20,502,625 22,187,500
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds (continued) High Income Portfolio
Communications Telefonica de Argentina S.A.:
(concluded) BB- B1 $ 9,690,000 8.375% due 10/01/2000 $ 7,436,125 $ 8,672,550
BB- B1 25,000,000 11.875% due 11/01/2004 23,782,450 24,196,425
CCC+ B3 14,730,000 USA Mobile Communications Holdings, Inc.,
9.50% due 2/01/2004 14,135,375 13,036,050
B+ B3 35,850,000 Videotron Holdings PLC, 12.23% due
7/01/2004 (a) 21,443,396 23,571,375
-------------- --------------
285,416,785 281,086,008
Conglomerates-- NR* B3 9,083,000 Astrum International Corp., 11.50% due
4.0% 6/08/2003 9,137,780 9,587,073
BB- B1 21,200,000 Colt Industries, Inc., 10.25% due 4/01/2002 21,560,075 22,021,500
B+ B1 25,000,000 Foamex Capital Corp., 11.25% due 10/01/2002 24,964,375 24,750,000
Interlake Corp.:
B- B2 10,000,000 12% due 11/15/2001 10,000,000 10,275,000
CCC+ B3 20,000,000 12.125% due 3/01/2002 20,147,500 19,850,000
B+ B2 10,000,000 JB Poindexter & Co., Inc., 12.50% due
5/15/2004 10,000,000 9,850,000
B+ B3 20,000,000 Jordan Industries Inc., 10.375% due 8/01/2003 19,961,000 18,550,000
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% due 3/01/1999 8,568,400 9,054,500
BB- B1 30,000,000 Sherritt Gordon Ltd., 9.75% due 4/01/2003 29,829,687 29,175,000
-------------- --------------
162,445,592 161,655,573
Consumer NR* B3 10,000,000 Cabot Corporation, 12.50% due 7/15/2005 10,000,000 10,000,000
Products--4.0% B NR* 39,760,000 Coleman Holdings, Inc., 11.57% due
5/27/1998 (a) 28,644,716 29,372,700
B+ Ba3 15,000,000 Coty Inc., 10.25% due 5/01/2005 15,000,000 15,337,500
NR* NR* 5,799,000 Liggett Group, Inc., 19.75% due 2/01/1999 5,202,750 5,465,558
B- Caa 16,750,000 Polymer Group, Inc., 12.75% due 7/15/2002 16,680,000 17,001,250
Revlon Consumer Products Corp.:
B B2 3,500,000 9.50% due 6/01/1999 3,184,479 3,473,750
B B2 22,000,000 9.375% due 4/01/2001 19,950,033 21,312,500
B- B3 9,500,000 10.50% due 2/15/2003 8,795,000 9,357,500
B+ B1 19,620,000 Sealy Corp., 9.50% due 5/01/2003 19,575,475 19,325,700
NR* B3 13,000,000 Selmer Co. Inc., 11% due 5/15/2005 12,985,000 12,740,000
BB NR* 17,000,000 Terra Holdings, Inc., 10.75% due 7/01/2005 17,000,000 17,000,000
-------------- --------------
157,017,453 160,386,458
<PAGE>
Containers--2.6% B B2 30,000,000 Anchor Glass Container Corp., 9.875%
due 12/15/2008 28,437,500 27,900,000
B- Caa 21,500,000 Ivex Packaging Corp., 13.22% due 3/15/2005 (a) 11,774,264 11,717,500
Owens-Illinois, Inc.:
BB Ba3 20,000,000 11% due 12/01/2003 20,810,000 22,000,000
A A3 6,000,000 9.95% due 10/15/2004 5,931,250 6,150,000
B+ Ba3 6,000,000 Plastic Container Corp., 10.75% due 4/01/2001 6,022,500 6,270,000
B- B3 32,628,000 Silgan Holdings Inc., 12.91%
due 12/15/2002 (a) 29,066,322 30,017,760
-------------- --------------
102,041,836 104,055,260
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds (continued) High Income Portfolio
Convertible
Bonds**--0.7% B B2 $ 8,352,000 Builders Transport, Inc., 8% due
8/15/2005 (4) $ 4,886,880 $ 7,652,520
B+ Ba3 10,363,000 Lomas Financial Corp., 9% due 10/31/2003 (2) 9,654,393 1,826,479
B- B3 6,941,000 MEDIQ, Inc., 7.25% due 6/01/2006 (3) 4,539,685 5,800,073
B B2 6,000,000 Ohm Corp., 8% due 10/01/2006 (5) 4,160,000 5,595,000
B B2 5,909,000 UNC, Inc., 7.50% due 3/31/2006 (1) 3,442,530 5,259,010
-------------- --------------
26,683,488 26,133,082
Drug Stores--0.5% B B2 20,000,000 Thrifty Payless Holdings, Inc., 11.75% due
4/15/2003 20,000,000 21,200,000
<PAGE>
Energy--8.5% B+ B1 49,500,000 Clark R&M Holdings, Inc., 11% due
2/15/2000 (a) 30,182,425 31,185,000
NR* NR* 18,500,000 Consolidated Hydro, Inc., 12% due
7/15/2003 (a) 12,798,310 12,672,500
Falcon Drilling Company, Inc.:
B- B2 16,000,000 9.75% due 1/15/2001 16,000,000 15,600,000
B- B3 8,500,000 12.50% due 3/15/2005 8,500,000 8,882,500
B+ B1 20,000,000 Global Marine Inc., 12.75% due 12/15/1999 20,047,500 22,100,000
Gulf Canada Resources Ltd.:
BB B1 12,750,000 9% due 8/15/1999 11,735,937 12,750,000
B+ B2 10,000,000 9.25% due 1/15/2004 9,726,605 9,800,000
Maxus Energy Corp.:
BB- B1 10,750,000 9.875% due 10/15/2002 9,901,250 10,320,000
BB- B1 5,300,000 11.50% due 11/15/2015 4,987,000 5,220,500
BB- Ba3 8,750,000 Noble Drilling Corp., 9.25% due 10/01/2003 8,925,000 8,925,000
BBB- NR* 25,000,000 Oleoducts Central S.A., 9.35% due 9/01/2005 25,000,000 25,000,000
B+ B2 10,000,000 Petroleum Heat & Power Company, Inc.,
12.25% due 2/01/2005 10,000,000 10,750,000
B+ Ba3 15,000,000 Rowan Companies, Inc., 11.875%
due 12/01/2001 15,085,000 16,125,000
BB- B1 25,000,000 Seagull Energy Corp., 8.625% due 8/01/2005 24,990,000 23,875,000
NR* B3 8,650,000 Tesoro Petroleum Corp., 12.75% due 3/15/2001 7,677,813 8,736,500
B- Caa 44,550,000 Transamerican Refining Corp., 19.089%
due 2/15/2002 (a) 26,917,644 29,625,750
BB- B2 30,000,000 TransTexas Gas Corp., 11.50% due 6/15/2002 30,000,000 30,750,000
B+ B1 31,525,000 Triton Energy Corp., 10.61% due 11/01/1997 (a) 24,658,355 25,850,500
BB- B1 34,400,000 Yacimientos Petroliferos Fiscales S.A. (YPF)
(Sponsored), 8% due 2/15/2004 27,156,250 30,100,000
-------------- --------------
324,289,089 338,268,250
Entertainment-- B B3 11,750,000 AMC Entertainment, Inc., 12.625%
2.5% due 8/01/2002 11,696,095 13,101,250
B+ B1 9,000,000 Cinemark USA Inc., 12% due 6/01/2002 9,058,750 9,720,000
Marvel Holdings Inc:
B Caa 28,000,000 9.125% due 2/15/1998 24,810,750 25,970,000
B B3 14,500,000 11.69% due 4/15/1998 (a) 10,554,916 10,258,750
B B3 5,500,000 15.97% due 4/15/1998 (a) 3,559,214 3,822,500
NR* B2 35,500,000 Six Flags Theme Parks, 12.25% due
6/15/1998 (a) 24,988,262 25,693,125
Spectravision Inc.:
D B2 39,250,000 11.74% due 10/01/2001 (a) 33,732,587 9,420,000
CCC- B3 24,040,000 11.65% due 12/01/2002 21,422,831 1,442,400
-------------- --------------
139,823,405 99,428,025
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds (continued) High Income Portfolio
Financial B+ B1 $ 21,000,000 Lomas Mortgage USA, Inc., 10.25% due
Services--1.5% 10/01/2002 $ 21,140,625 $ 13,965,000
NR* B3 20,000,000 Olympic Financial Ltd., 13% due 5/01/2000 20,000,000 20,600,000
BBB NR* 1,500,000 Reliance Financial Services Corp., 10.36%
due 12/01/2000 1,200,000 1,496,250
Reliance Group Holdings, Inc.:
BB+ Ba3 7,425,000 9% due 11/15/2000 6,798,125 7,313,625
BB- B1 17,575,000 9.75% due 11/15/2003 16,412,500 17,091,688
-------------- --------------
65,551,250 60,466,563
Food & Chiquita Brands International Inc.:
Beverage--5.4% B+ B3 9,655,000 11.50% due 6/01/2001 9,966,881 9,992,925
B+ B1 13,000,000 9.125% due 3/01/2004 12,990,000 12,642,500
NR* NR* 15,000,000 Cumberland Farms, 10.50% due 10/01/2003 14,681,250 12,600,000
B B3 20,000,000 Curtice Burns Food, Inc., 12.25% due
2/01/2005 20,000,000 21,350,000
B- B2 26,463,000 Envirodyne Industries, Inc., 10.25% due
12/01/2001 25,608,891 21,170,400
B B3 10,520,000 Farm Fresh, Inc., 7.50% due 3/01/2010 5,488,575 6,402,146
B B3 25,000,000 Fresh Del Monte Corp., 10% due 5/01/2003 25,012,500 21,250,000
BB- Ba3 7,000,000 P&C Food Markets, Inc., 11.50% due 10/15/2001 7,100,000 7,385,000
B B2 25,000,000 Penn Traffic Co., 9.625% due 4/15/2005 24,781,750 23,625,000
B- B2 20,325,000 Pueblo Xtra International Inc., 9.50% due
8/01/2003 18,787,125 18,800,625
B- Caa 21,800,000 Seven-Up/RC Bottling Co. of Southern
California, Inc., 11.50% due 8/01/1999 21,967,500 19,293,000
B B3 22,250,000 Specialty Foods Corp., 10.25% due 8/15/2001 21,784,375 21,471,250
B B3 20,000,000 Texas Bottling Group, Inc., 9% due
11/15/2003 20,002,500 19,800,000
-------------- --------------
228,171,347 215,782,846
<PAGE>
Health Services-- B B2 5,000,000 Continental Medsystems, Inc., 10.375%
1.2% due 4/01/2003 4,993,750 5,225,000
B+ B1 11,500,000 MEDIQ/PRN Life Support Services, Inc.,
11.125% due 7/01/1999 11,455,000 10,810,000
B+ Ba3 30,000,000 National Medical Enterprises, 10.125%
due 3/01/2005 30,062,500 31,743,750
-------------- --------------
46,511,250 47,778,750
High Technology-- ComputerVision Corp.:
0.5% CCC+ B3 10,000,000 11.375% due 8/15/1999 9,706,250 9,250,000
CCC+ NR* 12,500,000 8% due 12/01/2009 6,802,472 8,562,500
-------------- --------------
16,508,722 17,812,500
Home Builders-- B- B2 21,000,000 Baldwin Homes Company, 10.375%
2.1% due 8/01/2003 20,474,500 13,020,000
Del E. Webb Corporation:
B+ Ba3 3,500,000 10.875% due 3/31/2000 3,524,375 3,605,000
B- B2 7,000,000 9.75% due 3/01/2003 6,944,910 6,685,000
B- B2 4,000,000 9% due 2/15/2006 3,140,000 3,600,000
B B3 20,000,000 Greystone Homes Inc., 10.75% due 3/01/2004 19,115,000 17,750,000
B B1 10,250,000 K Hovnanian Enterprises Inc., 11.25%
due 4/15/2002 10,204,062 9,122,500
BB Ba2 12,000,000 Standard Pacific Corp., 10.50% due 3/01/2000 11,995,000 12,300,000
B+ Ba3 20,000,000 U.S. Home Corp., 9.75% due 6/15/2003 20,000,000 19,500,000
-------------- --------------
95,397,847 85,582,500
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds (continued) High Income Portfolio
Hotels & B B2 $ 22,325,000 Aztar Corp., 11% due 10/01/2002 $ 22,557,250 $ 22,325,000
Casinos--7.7% BB B1 30,000,000 Bally's Park Place, Inc., 9.25% due 3/15/2004 28,485,200 28,275,000
NR* Caa 12,000,000 Capital Gaming International, Inc.,
11.50% due 2/01/2001 (c) 9,426,041 5,100,000
B+ B2 28,000,000 GB Property Funding Corp., 10.875%
due 1/15/2004 27,235,000 23,940,000
NR* NR* 7,682,000 Goldriver Hotel & Casino Corp., 13.375%
due 8/31/1999 8,609,882 5,723,090
B+ B1 25,000,000 Harrah's Jazz Company, 14.25% due 11/15/2001 25,020,000 26,062,500
BB- B1 35,000,000 HMH Properties, Inc., 9.50% due 5/15/2005 33,839,280 34,037,500
BB- B1 12,000,000 John Q. Hammons Hotel, Inc., 8.875%
due 2/15/2004 10,610,000 11,700,000
BB- B1 15,000,000 MGM Grand Hotel Finance Corp., 12%
due 5/01/2002 15,230,500 16,725,000
B- B3 10,000,000 Pioneer Finance Corp., 13.50% due 12/01/1998 10,542,500 8,450,000
Showboat, Inc.:
BB- Ba3 5,950,000 9.25% due 5/01/2008 5,892,875 5,474,000
B B2 29,050,000 13% due 8/01/2009 28,363,625 30,066,750
B B2 10,000,000 Station Casinos, Inc., 9.625% due 6/01/2003 8,798,744 9,275,000
NR* Caa 10,406,612 Trump Castle Funding, Inc., 11.75%
due 11/15/2003 9,300,696 7,622,843
B- B3 20,000,000 Trump Holdings, Inc., 15.50% due 6/15/2005 19,891,250 19,650,000
NR* Caa 20,434,814 Trump Taj Mahal Funding, Inc., 11.35%
due 11/15/1999++ 15,256,708 15,936,850
B+ B3 42,000,000 Trump Plaza Funding, Inc., 10.875%
due 6/15/2001 39,780,770 38,640,000
-------------- --------------
318,840,321 309,003,533
Industrial BB+ Ba3 25,000,000 ADT Operations Inc., 9.25% due 8/01/2003 25,094,187 25,875,000
Services--1.5% NR* B3 5,000,000 Day International Group Inc., 11.125%
due 6/01/2005 5,000,000 5,025,000
B- Caa 15,230,000 Southeastern Public Service Co., 11.875%
due 2/01/1998 13,547,667 15,648,825
Thermadyne Industries, Inc.:
NR* Caa 5,706,000 10.25% due 5/01/2002 5,711,822 5,648,940
NR* Caa 7,912,000 10.75% due 11/01/2003 7,914,802 7,753,760
-------------- --------------
57,268,478 59,951,525
<PAGE>
Metals & B- B2 26,750,000 Kaiser Aluminum & Chemical Corp.,
Mining--1.5% 12.75% due 2/01/2003 26,660,625 28,823,125
Maxxam Group, Inc.:
B- B3 41,155,000 12.37% due 8/01/2003 (a) 28,341,322 25,927,650
B- B3 5,000,000 11.25% due 8/01/2003 4,918,750 4,700,000
-------------- --------------
59,920,697 59,450,775
Paper--7.4% B+ B2 15,420,000 Container Corporation of America:
9.75% due 4/01/2003 15,433,400 15,342,900
B+ B2 13,000,000 11.25% due 5/01/2004 13,000,000 13,585,000
BB- Ba3 15,000,000 Doman Industries Ltd., 8.75% due 3/15/2004 15,000,000 14,325,000
Fort Howard Corp.:
B+ B1 10,000,000 9.25% due 3/15/2001 10,000,000 9,900,000
B B2 31,000,000 9% due 2/01/2006 28,380,625 28,365,000
B B3 25,000,000 Gaylord Container Corp., 11.50% due 5/15/2001 25,001,250 26,593,750
BB- B1 7,000,000 Grupo Industrial Durango, 12% due 7/15/2001 5,355,000 5,261,921
BB Ba3 5,000,000 PT Indah Kiat International Finance,
12.50% due 6/15/2006 4,900,000 5,075,000
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds (continued) High Income Portfolio
Paper
(concluded) BB Ba3 $ 12,500,000 PT Indah Kiat Pulp & Paper Corporation,
11.875% due 6/15/2002 $ 12,562,500 $ 12,687,500
BB NR* 10,000,000 PT International Indoray, 9.125%
due 10/15/2000 8,200,000 9,150,000
BB- Ba3 10,000,000 Rainy River Forest Products, 10.75%
due 10/15/2001 9,971,810 10,412,500
Repap New Brunswick:
BB- Ba3 7,000,000 9.875% due 7/15/2000 7,000,000 7,035,000
B+ B2 10,000,000 10.625% due 4/15/2005 10,000,000 10,100,000
B+ B1 25,000,000 Repap Wisconsin Inc., 9.25% due 2/01/2002 23,537,500 24,281,250
B B1 25,000,000 Riverwood International Corp., 11.25%
due 6/15/2002 25,767,500 27,312,500
B+ B1 16,000,000 S.D. Warren Co., 12% due 12/15/2004 16,000,000 17,320,000
B+ B1 11,500,000 Stone Consolidated Corp., 10.25%
due 12/15/2000 11,520,000 11,974,375
Stone Container Corp.:
B- B2 6,500,000 11% due 8/15/1999 6,418,750 6,695,000
B B1 15,000,000 9.875% due 2/01/2001 13,948,672 14,887,500
B+ B1 15,000,000 10.75% due 10/01/2002 14,825,000 15,787,500
BB B1 10,000,000 Tjiwa Kimia, Tjiwi Kimia International
Finance, 13.25% due 8/01/2001 10,021,775 10,650,000
-------------- --------------
286,843,782 296,741,696
<PAGE>
Pollution B B3 22,950,000 Mid-American Waste Systems, Inc.,
Control--0.6% 12.25% due 2/15/2003 22,891,000 23,581,125
Restaurants/ CCC+ Caa 25,000,000 Flagstar Corp., 11.375% due 9/15/2003 25,092,500 19,750,000
Food Services-- B+ Ba3 25,000,000 Foodmaker, Inc., 9.75% due 11/01/2003 24,296,200 21,125,000
1.0% -------------- --------------
49,388,700 40,875,000
Retail B- B3 10,000,000 Pamida Holdings, Inc., 11.75% due 3/15/2003 9,997,500 8,950,000
Specialty--0.7% B+ B1 21,000,000 Specialty Retailers Group, Inc., 10% due
8/15/2000 21,000,000 19,635,000
-------------- --------------
30,997,500 28,585,000
Steel--3.3% B B2 20,000,000 A.K. Steel Holding Corp., 10.75%
due 4/01/2004 20,000,000 21,100,000
B B1 25,000,000 Gulf States Steel, 13.50% due 4/15/2003 (f) 25,036,250 24,500,000
B B2 20,000,000 Republic Engineered Steel Inc., 9.875%
due 12/15/2001 19,455,000 18,150,000
B B2 10,000,000 Ucar Global Enterprises, 12% due 1/15/2005 10,000,000 10,825,000
B+ B1 22,550,000 WCI Steel, Inc., 10.50% due 3/01/2002 22,399,875 22,211,750
20,000,000 Weirton Steel Corporation, 10.75%
due 6/01/2005 19,620,000 18,800,000
BB B1 20,000,000 Wheeling-Pittsburg Steel Corp., 9.375% due
11/15/2003 18,670,000 18,300,000
-------------- --------------
135,181,125 133,886,750
Textiles--0.7% B+ B3 30,000,000 Westpoint Stevens Inc., 9.375%
due 12/15/2005 30,100,000 28,950,000
Transportation B+ B2 3,647,000 ACF Industries, Inc., 11.60% due 5/15/2000 3,482,885 3,751,941
Services--2.5% BB- Ba2 15,000,000 Eletson Holdings, Inc., 9.25% due 11/15/2003 14,372,500 14,557,765
BB Ba2 20,000,000 Gearbulk Holdings, Ltd., 11.25% due 12/01/2004 20,518,750 21,200,000
Transportacion Maritima Mexicana,
S.A. de C.V.:
BB- Ba2 5,475,000 8.50% due 10/15/2000 3,175,500 4,421,062
BB- Ba2 16,950,000 9.25% due 5/15/2003 14,263,875 13,348,125
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds (concluded) High Income Portfolio
Transportation NR* NR* $ 38,106,000 Transtar Holdings, L.P., 12.423% due
Services 12/15/2003 (a) $ 22,435,937 $ 23,054,130
(concluded) B+ Ba3 20,000,000 Viking Star Shipping Co., Inc., 9.625%
due 7/15/2003 20,045,000 19,950,000
-------------- --------------
98,294,447 100,283,023
Utilities--4.9% Beaver Valley Funding Corp.:
B+ B1 10,051,000 8.625% due 6/01/2007 8,986,077 9,045,900
B+ B1 34,469,000 9% due 6/01/2017 31,081,506 29,126,305
CTC Mansfield Funding Corp.:
B+ Ba3 6,100,000 10.25% due 3/30/2003 5,942,750 6,237,250
B+ Ba3 25,000,000 11.125% due 9/30/2016 26,416,875 25,573,500
BB Ba2 15,000,000 Cleveland Electric Illuminating Co., 9.50%
due 5/15/2005 14,971,200 15,097,800
Midland Cogeneration Venture
Limited Partnership:
BB Ba3 4,581,094 10.33% due 7/23/2002++++ 4,489,472 4,706,786
B- B2 11,250,000 11.75% due 7/23/2005 11,310,000 11,428,425
B- B2 5,500,000 13.25% due 7/23/2006 6,002,565 5,572,435
NR* NR* 15,819,656 Sunflower Electric Power Corp., 8%
due 12/31/2016++++ 10,348,142 12,893,020
B+ B1 20,000,000 Texas-New Mexico Power Corp., 10.75%
due 9/15/2003 20,065,000 21,500,000
NR* NR* 19,450,000 Transportadora de Gas del Sur, 7.75%
due 12/23/1998 16,886,625 17,261,875
Tucson Electric & Power Co.:
NR* NR* 19,023,082 10.21% due 1/01/2009 17,593,025 18,709,391
NR* NR* 17,426,207 10.732% due 1/01/2013 16,252,461 16,805,660
-------------- --------------
190,345,698 193,958,347
Total Investments in Bonds--88.2% 3,571,558,746 3,530,130,834
Shares
Held
Preferred Stocks
<PAGE>
Broadcasting &
Publishing--0.6% 421,000 K--III Communications Corp. 10,562,750 11,051,250
125,094 K--III Communications Corp. 12,655,535 12,134,136
-------------- --------------
23,218,285 23,185,386
Capital Goods--0.2% 314,000 BCP/Essex Holdings, Inc. 8,255,060 8,164,000
Energy--0.4% 29,517 Consolidated Hydro, Inc. 14,891,917 14,773,258
250 Transamerican Energy 25,000 25,281
-------------- --------------
14,916,917 14,798,539
Steel--0.3% 550,000 USX Capital LLC 13,750,000 13,406,250
Utilities--0.4% 535,000 S.D. Warren Co. 15,072,190 14,980,000
Total Investments in Preferred
Stocks--1.9% 75,212,452 74,534,175
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Shares
Industries Held Issue Cost Value
<S> <C> <S> <C> <C>
Common Stocks High Income Portfolio
Conglomerates--0.2% 200,369 Astrum International Corp. $ 4,085,240 $ 5,560,240
Containers--0.0% 150,000 Silgan Holdings Inc. 66,600 975,000
Energy--0.0% 57,237 Mesa Inc. 325,690 271,876
Financial Services--0.0% 132,585 Lomas Financial Corporation 1,689,807 74,579
Food & 120,194 Abco Markets Inc. 4,054,875 1,584,759
Beverage--0.3% 144,250 Foodbrands America 5,728,121 1,884,266
521,386 Grand Union Co. 29,475,625 7,429,750
-------------- --------------
39,258,621 10,898,775
<PAGE>
Hotels & 320,040 Capital Gaming International Inc. 2,882,508 230,029
Casinos--0.0% 75,500 Goldriver Hotel & Casino Corporation
(Class B) (d) 540,045 94,375
23,000 Trump Taj Mahal Holding Corp. (Class A) 11,500 287,500
-------------- --------------
3,434,053 611,904
Industrial Services--0.0% 11,400 Thermadyne Industries, Inc. 165,300 163,875
Total Investments in Common
Stocks--0.5% 49,025,311 18,556,249
Trusts & Warrants
Cellular Telephones--0.0% 57,040 Page Mart Inc. (Warrants) (e) 236,127 199,640
Communications--0.0% 177,500 American Telecasting Inc. (Warrants) (e) 413,723 543,594
Energy--0.0% 18,000 Consolidated Hydro Inc. (Warrants) (e) 390,123 256,500
407,678 Transamerican Refining Corp. (Warrants) (e) 950,408 1,324,953
20,833 UGI Corp. (Warrants) (e) 91,057 3,437
-------------- --------------
1,431,588 1,584,890
Financial Services--0.0% 7,194 Reliance Group Holdings, Inc. (Warrants) (e) 0 0
High Technology--0.0% 394,563 Anacomp, Inc. (Warrants) (e) 495,400 147,961
Hotels & 273,000 Capital Gaming International Inc.
Casinos--0.0% (Warrants) (e) 1,344,151 42,656
7,550 Goldriver Hotel & Casino Corp.
Liquidating Trust 192,320 137,028
113,386 Trump Castle Funding, Inc. (Warrants) (e) 0 0
-------------- --------------
1,536,471 179,684
Telecommunications--0.0% 302,500 ALC Communications Corp. (Warrants) (e) 831,875 0
<PAGE>
Utilities--0.0% 60,000 S.D. Warren Co. (Warrants) (e) 165,310 360,000
Total Investments in Trusts &
Warrants--0.0% 5,110,494 3,015,769
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Face
Amount Issue Cost Value
<S> <C> <S> <C> <C>
Short-Term Securities High Income Portfolio
Commercial
Paper***--8.3% $ 20,000,000 A.I. Credit Corp.,
5.88% due 7/06/1995 $ 19,990,200 $ 19,990,200
25,000,000 Daimler-Benz AG,
5.92% due 7/18/1995 24,938,333 24,938,333
30,000,000 Deutsche Bank Financial Inc.,
5.91% due 7/19/1995 29,921,200 29,921,200
General Electric Capital Corp.:
41,433,000 6.20% due 7/03/1995 41,433,000 41,433,000
14,000,000 5.97% due 7/11/1995 13,981,427 13,981,427
Matterhorn Capital Corp.:
1,694,000 5.93% due 7/25/1995 1,687,861 1,687,861
9,731,000 5.95% due 7/25/1995 9,695,617 9,695,617
ONYX Inc.
20,000,000 6.50% due 7/07/1995 19,985,222 19,985,222
30,000,000 6.65% due 7/26/1995 29,872,542 29,872,542
100,000,000 UBS Finance Delaware, Inc.,
6.25% due 7/03/1995 100,000,000 100,000,000
20,000,000 Vons Supermarket:
6.20% due 7/10/1995 19,975,889 19,975,889
20,000,000 6.25% due 7/25/1995 19,923,611 19,923,611
-------------- --------------
331,404,902 331,404,902
Promissory Notes--0.0% 120,000 Capital Gaming International, Inc.,
5% due 8/01/1995 120,000 120,000
Total Investments in Short-Term
Securities--8.3% 331,524,902 331,524,902
<PAGE>
Total Investments--98.9% $4,032,431,905 3,957,761,929
==============
Other Assets Less Liabilities--1.1% 43,010,614
--------------
Net Assets--100.0% $4,000,772,543
==============
Net Asset Class A--Based on net assets of $887,664,870 and 114,621,067 shares outstanding $ 7.74
Value: ==============
Class B--Based on net assets of $2,954,371,573 and 381,380,525 shares outstanding $ 7.75
==============
Class C--Based on net assets of $88,472,636 and 11,413,835 shares outstanding $ 7.75
==============
Class D--Based on net assets of $70,263,464 and 9,066,988 shares outstanding $ 7.75
==============
<FN>
(a)Represents a zero coupon or step bond; the interest rate shown is the
effective yield at the time of purchase.
(b)Represents units. Each unit consists of 1,000 Par Notes and 1 Warrant.
(c)Represents units. Each unit consists of 1,000 Par Notes and 1 Warrant 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 conditions until
the expiration date.
(f)Represents units. Each unit consists of 1,000 Par Notes and 1 Warrant.
++Represents a pay-in-kind security which may pay interest/dividend in
additional face/shares.
++++Subject to principal paydowns.
*Not Rated.
**Industry classifications 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.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds & Notes Investment Grade Portfolio
US Government United States Treasury Notes & Bonds:
Obligations--9.9% AAA Aaa $ 11,000,000 8.875% due 11/15/1997 $ 11,354,062 $ 11,720,129
AAA Aaa 8,000,000 9.25% due 8/15/1998 8,463,750 8,751,220
AAA Aaa 10,500,000 5.875% due 6/30/2000 10,508,505 10,455,651
AAA Aaa 3,000,000 7.50% due 11/15/2001 3,200,625 3,221,257
AAA Aaa 12,000,000 6.375% due 8/15/2002 11,569,524 12,146,190
AAA Aaa 10,500,000 6.50% due 5/15/2005 10,533,637 10,724,766
AAA Aaa 5,000,000 7.50% due 11/15/2016 5,538,531 5,445,312
AAA Aaa 16,000,000 8.875% due 8/15/2017 18,012,969 19,925,000
AAA Aaa 1,000,000 6.25% due 8/15/2023 794,531 944,686
AAA Aaa 15,000,000 7.50% due 11/15/2024 16,147,344 16,598,494
-------------- --------------
96,123,478 99,932,705
Banking--7.0% A A2 6,000,000 BankAmerica Corp., 7.125% due 5/12/2005 5,913,000 6,075,930
A A2 7,000,000 Citicorp, 8.80% due 2/01/2000 7,000,000 7,600,343
A A2 12,000,000 Comerica Inc., 8.375% due 7/15/2024 11,412,360 12,654,539
A- A3 8,500,000 First Bank System, Inc., 7.625% due 5/01/2005 8,497,470 8,985,095
A- A2 3,000,000 First Interstate Bancorp., 11% due 3/05/1998 (a) 3,603,060 3,317,610
A- A3 5,000,000 Golden West Financial Corp., 9.15%
due 5/23/1998 5,678,700 5,369,475
AA Aa3 6,000,000 J.P. Morgan & Company, Inc., 7.625%
due 9/15/2004 5,785,630 6,341,970
A A2 5,000,000 NationsBank Corporation, 7.50% due 2/15/1997 4,995,700 5,096,375
A+ A1 3,500,000 Norwest Corp., 6.625% due 3/15/2003 3,553,235 3,472,542
AA- A1 5,000,000 Republic Bank of NY Corp., 9.125%
due 5/15/2021 5,676,450 5,887,225
AA+ Aa2 6,000,000 Wachovia Bank of North Carolina,
6.55% due 6/09/1997 (a) 5,995,620 6,057,967
-------------- --------------
68,111,225 70,859,071
Federal AAA Aaa 15,000,000 Federal National Mortgage Association,
Agencies--1.6% 7.85% due 9/10/2004 14,817,437 15,656,925
Financial Chrysler Financial Corp.:
Services-- A- A3 2,000,000 9.50% due 12/15/1999 2,263,120 2,203,950
Captive--3.5% A- A3 14,000,000 10.95% due 8/01/2017 16,298,000 15,694,489
A+ A2 1,000,000 Ford Motor Credit Co., 7.75% due 3/15/2005 999,090 1,054,635
General Motors Acceptance Corp.:
BBB+ A3 7,575,000 8% due 10/01/1996 7,761,648 7,723,583
BBB+ A3 8,000,000 7.60% due 1/20/1998 7,829,600 8,216,937
-------------- --------------
35,151,458 34,893,594
<PAGE>
Financial BBB- Baa3 15,000,000 Advanta Corp., 6.462% due 2/02/1996 (b) 14,992,800 15,012,675
Services-- A+ A1 2,500,000 American General Finance Corp., 8.50%
Consumer--6.1% due 8/15/1998 2,848,650 2,648,675
Associates Corp. of North America:
AA- Aa3 6,000,000 8.375% due 1/15/1998 6,019,320 6,278,130
AA- Aa3 2,000,000 8.80% due 8/01/1998 2,253,820 2,131,280
AA- Aa3 1,500,000 7.25% due 9/01/1999 1,481,430 1,540,477
A A2 19,000,000 Beneficial Corporation, 5.73% due 10/14/1997 (b) 19,000,000 18,898,768
CIT Group Holdings, Inc.:
A+ Aa3 8,000,000 5.78% due 5/02/1997 (b) 8,000,000 7,956,517
A+ Aa3 7,500,000 6.625% due 6/15/2005 7,391,430 7,390,162
-------------- --------------
61,987,450 61,856,684
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds & Notes (continued) Investment Grade Portfolio
Financial Services-- Bear Stearns Companies, Inc.:
Other--8.1% A A2 $ 9,900,000 6.70% due 8/01/2003 $ 8,945,640 $ 9,626,611
A A2 3,000,000 8.75% due 3/15/2004 3,224,430 3,303,015
Dean Witter, Discover & Co.:
A A2 3,000,000 6.50% due 11/01/2005 2,965,350 2,889,135
A A2 6,000,000 6.75% due 10/15/2013 5,880,540 5,520,990
General Electric Capital Corp.:
AAA Aaa 6,000,000 14% due 7/01/1996 (a) 6,811,140 6,471,004
AAA Aaa 6,200,000 8.125% due 5/15/2012 6,301,726 6,837,143
A Baa1 5,000,000 Lehman Brothers Inc., 7.375% due 8/15/1997 4,993,500 5,024,250
A+ A1 5,000,000 Morgan Stanley Group Inc., 8.875% due 10/15/2001 5,755,450 5,519,450
BBB+ Baa1 10,000,000 PaineWebber Group Inc., 8.875% due 3/15/2005 9,997,850 10,851,700
A- A3 6,000,000 Smith Barney Holdings, Inc., 6.875% due
6/15/2005 5,957,580 5,869,266
The Travelers Corp.:
A+ A2 9,000,000 9.50% due 3/01/2002 9,610,100 10,215,180
A+ A2 9,000,000 7.875% due 5/15/2025 8,994,780 9,191,880
-------------- --------------
79,438,086 81,319,624
<PAGE>
Foreign*--11.8% A+ Aa2 11,000,000 ABN AMRO Bank, N.V., 7.25% due 5/31/2005 (2) 10,990,650 11,311,355
AA- A1 10,000,000 Aegon N.V., 8% due 8/15/2006 (2) 9,908,700 10,790,600
CRA Finance Ltd. (1):
A+ A2 4,000,000 6.50% due 12/01/2003 4,005,890 3,909,520
A+ A2 3,500,000 7.125% due 12/01/2013 3,479,700 3,394,720
AAA Aaa 4,000,000 Export-Import Bank of Japan, 8.35%
due 12/01/1999 (3) 4,226,640 4,318,900
A A2 15,835,000 Kingdom of Thailand, 8.25% due 3/15/2002 (6) 15,619,331 16,981,058
Metropolis of Tokyo (Japan) (3):
AAA Aaa 3,550,000 9.25% due 10/11/1998 4,134,756 3,861,033
AAA Aaa 3,000,000 8.70% due 10/05/1999 3,469,410 3,265,290
AAA Aaa 4,000,000 9.25% due 11/08/2000 4,219,660 4,514,880
BBB Baa1 5,000,000 Petro-Canada, 9.25% due 10/15/2021 (4) 5,300,650 5,923,900
A+ A1 12,000,000 Pohang Iron & Steel Industries,
7.375% due 5/15/2005 (7) 12,217,645 12,289,799
AA- Aa3 11,000,000 Province of Ontario (Canada), 7.75%
due 6/04/2002 (5) 10,910,730 11,697,784
Province of Quebec (Canada) (5):
A+ A2 4,000,000 8.80% due 4/15/2003 4,048,000 4,445,960
A+ A2 4,500,000 13% due 10/01/2013 5,706,285 5,515,942
AA A1 13,803,000 Republic of Italy, 6.875% due 9/27/2023 (6) 11,896,625 12,266,242
A A2 5,000,000 WMC (Western Mining Corp.) Finance,
7.25% due 11/15/2013 (1) 5,036,900 5,008,625
-------------- --------------
115,171,572 119,495,608
Industrial-- A- A2 6,000,000 American Home Products Corporation, 7.90%
Consumer due 2/15/2005 5,988,300 6,470,280
Goods--13.2% AA- A1 3,000,000 Anheuser-Busch Cos., Inc., 8.75% due 12/01/1999 3,367,590 3,286,260
A+ A1 10,000,000 Bass America, Inc., 8.125% due 3/31/2002 10,250,610 10,777,750
Dillard Department Stores, Inc.:
A+ A2 4,000,000 7.375% due 6/15/1999 4,254,860 4,132,120
A+ A2 5,000,000 9.125% due 8/01/2011 6,054,000 5,813,675
Grand Metropolitan Investment Corp.:
A+ A2 4,000,000 6.50% due 9/15/1999 4,000,000 4,009,020
A+ A2 9,000,000 8.625% due 8/15/2001 9,412,690 9,865,170
AAA Aaa 7,000,000 Johnson & Johnson Co., 8.72% due 11/01/2024 7,057,420 7,965,650
BBB Baa1 10,000,000 Kmart Corporation, 7.24% due 7/06/1999 9,734,500 10,147,604
BBB Baa2 8,000,000 Nabisco, Inc., 7.55% due 6/15/2015 7,988,960 7,963,200
A A2 9,500,000 Philip Morris Cos., Inc., 9% due 1/01/2001 9,698,815 10,457,172
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds & Notes (continued) Investment Grade Portfolio
Industrial-- RJR Nabisco, Inc.:
Consumer BBB- Baa3 $ 7,000,000 8.75% due 4/15/2004 $ 6,794,580 $ 7,207,060
Goods BBB- Baa3 13,000,000 8.75% due 8/15/2005 12,570,510 13,386,489
(concluded) Sears, Roebuck & Co.:
BBB A2 5,000,000 9.25% due 4/15/1998 5,712,125 5,365,675
BBB A2 8,785,000 8.45% due 11/01/1998 9,709,797 9,304,193
AA Aa1 7,000,000 Wal-Mart Stores, Inc., 8.50% due 9/15/2024 6,872,720 7,638,015
A A2 9,000,000 Weyerhaeuser Company, 7.95% due 3/15/2025 8,901,360 9,683,460
-------------- --------------
128,368,837 133,472,793
Industrial-- BP America Inc.:
Energy--4.0% AA- A1 3,250,000 9.375% due 11/01/2000 3,544,190 3,678,561
AA- A1 9,000,000 7.875% due 5/15/2002 9,519,510 9,693,945
AA- A1 11,000,000 10% due 7/01/2018 11,869,080 12,435,334
Texaco Capital Inc.:
A+ A1 5,500,000 9% due 12/15/1999 6,215,190 6,048,185
A+ A1 2,000,000 8.875% due 2/15/2021 1,999,720 2,425,012
A+ A1 5,000,000 8.625% due 4/01/2032 5,325,300 5,763,025
-------------- --------------
38,472,990 40,044,062
<PAGE>
Industrial-- BBB- Baa3 12,000,000 Applied Materials Inc., 8% due 9/01/2004 11,912,280 12,835,440
Other--16.7% AA- Aa2 10,100,000 Archer-Daniels-Midland Co., 8.875%
due 4/15/2011 10,888,935 11,811,242
AA- Aa3 7,800,000 Capital Cities/ABC, Inc., 8.75% due 8/15/2021 8,800,114 9,091,290
Carnival Cruise Lines, Inc.:
A- A3 1,000,000 6.15% due 10/01/2003 891,530 943,370
A- A3 8,000,000 7.70% due 7/15/2004 7,872,580 8,372,320
BBB+ A3 3,000,000 Columbia/HCA Healthcare Corp., 9% due
12/15/2014 3,190,590 3,493,035
BBB Baa3 15,000,000 Developers Diversified Realty Corporation,
6.787% due 12/27/1995 (b) 14,978,550 15,027,465
A A1 2,000,000 Electronic Data Systems, 6.85% due 5/15/2000 1,998,420 2,045,000
BBB Baa2 11,500,000 Federal Express Corporation, 9.65% due
6/15/2012 12,895,615 13,551,427
Ford Capital B.V.:
A+ A1 13,000,000 9.875% due 5/15/2002 13,570,410 15,152,150
A+ A2 3,995,000 9.50% due 6/01/2010 4,430,215 4,770,529
BBB- Baa3 9,000,000 James River Corp. of Virginia, 6.70%
due 11/15/2003 8,350,380 8,815,095
AA Aa2 8,500,000 Kaiser Foundation Hospital, 9.55% due 7/15/2005 9,561,225 10,175,265
BBB Baa2 6,000,000 Loral Corporation, 8.375% due 6/15/2024 5,493,240 6,419,760
A+ A1 4,000,000 New York Times Company, 7.625% due 3/15/2005 3,991,240 4,249,768
BBB Baa2 8,000,000 Placer Dome Inc., 7.75% due 6/15/2015 7,922,480 7,866,072
AA- Aa3 10,000,000 Reed Elsevier Capital, 7.50% due 5/15/2025 9,888,200 10,165,553
Telecommunications, Inc.:
BBB- Baa3 10,000,000 8.25% due 1/15/2003 9,713,200 10,269,300
BBB- Baa3 2,500,000 9.80% due 2/01/2012 2,631,150 2,760,662
Time Warner Entertainment Co.:
BBB- Baa3 5,000,000 10.15% due 5/01/2012 5,036,200 5,869,125
BBB- Baa3 5,000,000 8.375% due 3/15/2023 5,281,450 4,939,725
-------------- --------------
159,298,004 168,623,593
Supranational-- AAA Aaa 3,000,000 Asian Development Bank, 10.75% due 6/01/1997 3,302,730 3,246,615
3.6% AAA Aaa 8,000,000 Inter-American Development Bank Co.,
8.875% due 6/01/2009 10,115,250 9,735,560
AAA Aaa 17,500,000 International Bank for Reconstruction &
Development, 12.375% due 10/15/2002 22,022,410 23,321,550
-------------- --------------
35,440,390 36,303,725
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds & Notes (concluded) Investment Grade Portfolio
Transportation-- Southwest Airlines, Inc.:
2.2% A- Baa1 $10,000,000 9.40% due 7/01/2001 $ 11,326,040 $ 11,249,950
A- Baa1 2,000,000 8% due 3/01/2005 1,989,220 2,146,870
A- Baa1 3,000,000 7.875% due 9/01/2007 2,983,950 3,202,980
A- A3 5,000,000 Union Pacific Corp., 7.375% due 5/15/2001 5,000,000 5,192,875
-------------- --------------
21,299,210 21,792,675
Utilities-- AA Aa3 6,000,000 AT&T Corporation, 8.35% due 1/15/2025 5,893,620 6,369,990
Communications-- GTE Corp.:
2.9% BBB+ Baa1 4,000,000 9.10% due 6/01/2003 4,242,720 4,540,420
BBB+ Baa1 9,500,000 8.75% due 11/01/2021 9,904,225 10,831,520
AAA Aaa 5,500,000 Southern Bell Telephone and Telegraph
Company, 8.625% due 9/01/2026 5,341,545 5,727,590
A+ A1 2,000,000 Southwestern Bell Telecommunications
Corp., 6.125% due 3/01/2000 2,011,250 1,976,550
-------------- --------------
27,393,360 29,446,070
Utilities-- A A2 5,000,000 Central Power & Light Co., 6% due 10/01/1997 4,973,400 4,966,575
Electric--3.5% AA- Aa2 6,000,000 Duke Power Co., 8% due 11/01/1999 5,964,660 6,377,580
A A2 2,000,000 Georgia Power Co., 6.125% due 9/01/1999 1,961,420 1,978,310
AA- A1 3,000,000 Northern States Power Company, 7.125%
due 7/01/2025 2,972,040 2,972,040
BBB+ Baa1 3,425,000 PECO Energy Co., 8% due 4/01/2002 3,459,387 3,653,276
AA- Aa3 5,000,000 TECO Energy, Inc., 9.27% due 6/12/2000 (a) 5,000,000 5,595,491
A A2 8,500,000 Virginia Electric & Power Co., 8.625%
due 10/01/2024 8,377,160 9,346,039
-------------- --------------
32,708,067 34,889,311
Utilities-- Consolidated Natural Gas Co.:
Gas--0.9% AA- A1 7,500,000 8.75% due 6/01/1999 7,450,660 8,103,525
AA- A1 1,000,000 7.375% due 4/01/2005 993,380 1,037,065
-------------- --------------
8,444,040 9,140,590
<PAGE>
Total Investments in Bonds &
Notes--95.0% 922,225,604 957,727,030
Short-Term Securities
Repurchase 2,817,000 HSBC Holdings, Inc., purchased on
Agreements**--4.0% 6/30/1995 to yield 6.10% to 7/03/1995 2,817,000 2,817,000
37,314,000 Morgan Stanley Group Inc., purchased on
6/30/1995 to yield 6% due 7/03/1995 37,314,000 37,314,000
-------------- --------------
40,131,000 40,131,000
Total Investments in Short-Term
Securities--4.0% 40,131,000 40,131,000
Total Investments--99.0% $ 962,356,604 997,858,030
==============
Other Assets Less Liabilities--1.0% 10,267,823
--------------
Net Assets--100.0% $1,008,125,853
==============
Net Asset Class A--Based on net assets of $421,547,300 and 36,738,384 shares outstanding $ 11.47
Value: ==============
Class B--Based on net assets of $558,933,527 and 48,712,515 shares outstanding $ 11.47
==============
Class C--Based on net assets of $13,004,748 and 1,132,902 shares outstanding $ 11.48
==============
Class D--Based on net assets of $14,640,278 and 1,275,315 shares outstanding $ 11.48
==============
<FN>
*Corresponding industry groups for foreign securities which are denominated in US dollars:
(1) Industrial Mining; (2) Financial Institution; (3) Government Entity; Guaranteed by Japan;
(4) Energy Company; not Guaranteed by Canada; (5) Government Entity; Guaranteed by
the Province; (6) Government Entity; (7) Industrial; metals.
**Repurchase Agreements are fully collateralized
by US Government Obligations.
(a)Medium-Term Note.
(b)Floating Rate Note.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds & Notes Intermediate Term Portfolio
US Government United States Treasury Notes:
Obligations--8.0% AAA Aaa $ 1,000,000 8.875% due 11/15/1997 $ 1,032,188 $ 1,065,466
AAA Aaa 1,500,000 5.875% due 6/30/2000 1,501,215 1,493,664
AAA Aaa 2,000,000 7.875% due 8/15/2001 2,076,563 2,184,065
AAA Aaa 2,000,000 7.50% due 11/15/2001 2,133,750 2,147,505
AAA Aaa 2,000,000 6.375% due 8/15/2002 1,922,486 2,024,365
AAA Aaa 5,000,000 7.25% due 5/15/2004 5,026,563 5,339,863
AAA Aaa 5,000,000 7.875% due 11/15/2004 5,246,875 5,570,313
AAA Aaa 7,000,000 6.50% due 5/15/2005 6,838,861 7,149,844
-------------- --------------
25,778,501 26,975,085
Banking--10.7% A A2 3,000,000 BankAmerica Corp., 7.125% due 5/12/2005 2,956,500 3,037,965
A A2 2,000,000 Citicorp, 8.80% due 2/01/2000 2,000,000 2,171,527
A- A3 5,000,000 First Bank System, Inc., 7.625% due 5/01/2005 5,000,550 5,285,350
A- A2 4,500,000 First Interstate Bancorp., 11% due 3/05/1998 5,404,590 4,976,415
A- A3 4,000,000 Golden West Financial Corp., 9.15%
due 5/23/1998 4,542,960 4,295,580
AA Aa3 4,000,000 J.P. Morgan & Company, Inc., 7.625%
due 9/15/2004 3,857,080 4,227,980
A- A3 6,000,000 Mellon Financial, 6.875% due 3/01/2003 5,483,220 5,996,940
A+ A1 1,000,000 Norwest Corp., 6.625% due 3/15/2003 1,003,060 992,155
5,000,000 Wachovia Corporation, 6% due 3/15/1999 4,890,950 4,955,391
-------------- --------------
35,138,910 35,939,303
Federal AAA Aaa 2,500,000 Federal National Mortgage Association,
Agencies--0.8% 7.85% due 9/10/2004 2,496,484 2,609,487
Financial Services-- A- A3 8,000,000 Chrysler Financial Corp., 9.50% due 12/15/1999 9,275,380 8,815,800
Captive--6.6% A- A2 5,000,000 Ford Motor Credit Co., 7.75% due 3/15/2005 4,995,450 5,273,175
General Motors Acceptance Corp.:
BBB- Baa1 6,000,000 7.85% due 3/05/1997 5,977,380 6,149,617
BBB- Baa1 2,000,000 7.60% due 1/20/1998 1,957,400 2,054,234
-------------- --------------
22,205,610 22,292,826
<PAGE>
Financial Services-- BBB- Baa3 5,000,000 Advanta Corp., 6.462% due 2/02/1996 (a) 4,997,600 5,004,225
Consumer--7.7% Associates Corp. of North America:
AA- Aa3 3,000,000 8.80% due 8/01/1998 3,380,730 3,196,920
AA- Aa3 1,500,000 8.375% due 1/15/1998 1,504,830 1,569,532
A A2 7,000,000 Beneficial Corp. 5.73% due 10/14/1997 (a) 7,000,000 6,962,704
CIT Group Holdings, Inc.:
A+ Aa3 4,000,000 7.625% due 12/05/1996 3,987,120 4,079,620
A+ Aa3 3,000,000 6.162% due 2/28/1997 (a) 2,998,020 2,999,935
BBB+ Baa1 1,750,000 ReliaStar Financial Corporation, 8.625%
due 2/15/2005 1,808,590 1,900,939
-------------- --------------
25,676,890 25,713,875
Financial Services-- A A2 3,000,000 Bear Stearns Companies, Inc., 8.75%
Other--6.7% due 3/15/2004 3,224,430 3,303,015
BBB Baa2 4,000,000 Comdisco, Inc., 7.25% due 4/15/1998 3,990,720 4,094,556
BBB+ Baa1 9,000,000 PaineWebber Group Inc., 8.875% due 3/15/2005 9,036,050 9,766,530
Smith Barney Holdings, Inc.:
A- A3 2,000,000 7.98% due 3/01/2000 2,000,000 2,102,370
A- A3 1,000,000 6.875% due 6/15/2005 992,930 978,211
A+ A2 2,000,000 The Travelers Corp., 9.50% due 3/01/2002 2,168,400 2,270,040
-------------- --------------
21,412,530 22,514,722
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds & Notes (continued) Intermediate Term Portfolio
Foreign*--11.7% A+ Aa2 $ 3,500,000 ABN AMRO Bank, N.V., 7.25% due 5/31/2005 $ 3,497,025 $ 3,599,068
A+ A2 4,000,000 CRA Finance Ltd., 6.50% due
12/01/2003 (4) 4,006,020 3,909,520
Japan Finance Corp. for Municipal
Enterprises (2):
AAA Aaa 1,500,000 9.125% due 3/13/2000 1,654,665 1,650,660
AAA Aaa 4,000,000 7.375% due 4/27/2005 4,014,560 4,245,680
A A2 2,000,000 Kingdom of Thailand, 8.25% due 3/15/2002 (1) 1,971,770 2,144,750
AAA Aaa 2,000,000 Metropolis of Tokyo (Japan), 8.70%
due 10/05/1999 (5) 2,312,940 2,176,860
A+ A2 1,000,000 Pohang Iron & Steel Co., 7.375% due 5/15/2005 (6) 1,018,160 1,024,150
A+ A2 9,000,000 Province of Quebec (Canada), 8.80%
due 4/15/2003 (3) 9,288,960 10,003,410
BB Baa3 10,000,000 Republic of South Africa, 9.625%
due 12/15/1999 (1) 9,839,025 10,396,870
-------------- --------------
37,603,125 39,150,968
<PAGE>
Industrial-- A- A2 2,000,000 American Home Products Corporation,
Consumer--15.3% 7.90% due 2/15/2005 1,996,100 2,156,760
AA- A1 5,481,000 Anheuser-Busch Cos., Inc., 8.75%
due 12/01/1999 6,189,909 6,003,997
A+ A1 3,000,000 Bass America, Inc., 6.625% due 3/01/2003 2,825,520 2,968,245
Grand Metropolitan Investment Corp.:
A+ A2 3,000,000 6.50% due 9/15/1999 3,040,120 3,006,765
A+ A2 3,000,000 8.625% due 8/15/2001 3,069,700 3,288,390
BBB Baa2 3,000,000 Nabisco, Inc., 6.85% due 6/15/2005 2,994,300 2,966,865
A A1 4,000,000 PepsiCo., Inc., 6.125% due 1/15/1998 3,972,240 3,990,160
A A2 3,500,000 Philip Morris Cos., Inc., 9% due 1/01/2001 3,576,195 3,852,642
RJR Nabisco, Inc.:
BBB- Baa3 5,000,000 6.70% due 6/15/2002 4,997,050 4,967,450
BBB- Baa3 8,000,000 8.75% due 4/15/2004 7,785,920 8,236,640
Sears, Roebuck & Co.:
BBB A2 2,500,000 9.25% due 4/15/1998 2,837,275 2,682,837
BBB A2 7,000,000 8.45% due 11/01/1998 7,762,380 7,413,700
-------------- --------------
51,046,709 51,534,451
Industrial-- AA- A1 1,000,000 BP America Inc., 7.875% due 5/15/2002 1,055,380 1,077,105
Energy--1.6% Texaco Capital Inc.:
A+ A1 2,000,000 6.875% due 7/15/1999 1,996,120 2,028,840
A+ A1 2,000,000 9% due 12/15/1999 2,342,460 2,199,340
-------------- --------------
5,393,960 5,305,285
Industrial-- BBB- Baa3 4,000,000 Applied Materials Inc., 8% due 9/01/2004 3,970,760 4,278,480
Other--14.0% Carnival Cruise Lines, Inc.:
A- A3 1,000,000 6.15% due 10/01/2003 891,530 943,370
A- A3 6,000,000 7.70% due 7/15/2004 5,643,060 6,279,240
BBB Baa3 5,000,000 Developers Diversified Realty Corporation,
6.787% due 12/27/1995 (a) 4,992,500 5,009,155
A A1 3,500,000 Electronic Data Systems Corp., 6.85%
due 5/15/2000 3,497,235 3,578,750
A- A3 2,000,000 International Paper Co., 9.40% due 6/01/2002 2,201,380 2,299,050
BBB- Ba1 12,500,000 News America Holdings Inc., 8.50%
due 2/15/2005 12,639,625 13,516,750
BBB Baa3 5,000,000 Northrop Grumman Corp., 8.625%
due 10/15/2004 5,000,000 5,526,225
BBB- Baa3 5,000,000 Telecommunications, Inc., 9.25%
due 4/15/2002 5,189,300 5,435,275
-------------- --------------
44,025,390 46,866,295
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<S> <S> <S> <C> <S> <C> <C>
Bonds & Notes (concluded) Intermediate Term Portfolio
Supranational-- AAA Aaa $ 1,500,000 International Bank for Reconstruction
0.6% & Development, 12.375% due
10/15/2002 $ 1,954,980 $ 1,998,990
Transportation AA A1 4,000,000 Boeing Co. (The), 6.35% due 6/15/2003 3,599,960 3,908,660
Services--4.9% Southwest Airlines, Inc.:
A- Baa1 6,500,000 9.40% due 7/01/2001 7,564,180 7,312,467
A- Baa1 1,000,000 8% due 3/01/2005 994,610 1,073,435
A- A3 4,000,000 Union Pacific Corporation, 7.375%
due 5/15/2001 4,000,000 4,154,300
-------------- --------------
16,158,750 16,448,862
Utilities-- BBB+ Baa1 7,000,000 PECO Energy Co., 8% due 4/01/2002 7,000,440 7,466,550
Electric--4.0% A- A2 4,000,000 Pennsylvania Power & Light Co.,
5.50% due 4/01/1998 3,991,280 3,920,620
BBB Baa2 2,000,000 Texas Utilities Electric Co., 8%
due 6/01/2002 1,972,080 2,136,640
-------------- --------------
12,963,800 13,523,810
Utilities-- Consolidated Natural Gas Co.:
Gas--2.0% AA- A1 $ 2,000,000 8.75% due 6/01/1999 $ 2,125,440 $ 2,160,940
AA- A1 4,500,000 7.375% due 4/01/2005 4,470,210 4,666,792
-------------- --------------
6,595,650 6,827,732
Total Investments in Bonds &
Notes--94.6% 308,451,289 317,701,691
Short-Term Securities
Repurchase 13,448,000 Morgan Stanley & Co., Inc., purchased
Agreements**--4.0% on 6/30/1995 to yield 6% to 7/03/1995 13,448,000 13,448,000
Total Investments in Short-Term
Securities--4.0% 13,448,000 13,448,000
<PAGE>
Total Investments--98.6% $ 321,899,289 331,149,691
==============
Other Assets Less Liabilities--1.4% 4,873,649
--------------
Net Assets--100.0% $ 336,023,340
==============
Net Asset Value: Class A--Based on net assets of $168,157,602 and 14,630,251 shares outstanding $ 11.49
==============
Class B--Based on net assets of $158,318,254 and 13,773,998 shares outstanding $ 11.49
==============
Class C--Based on net assets of $910,568 and 79,201 shares outstanding $ 11.50
==============
Class D--Based on net assets of $8,636,916 and 751,343 shares outstanding $ 11.50
==============
<FN>
*Corresponding industry groups for foreign securities, which are
denominated in US dollars:
(1) Government Entity; (2) Financial Institution; Government-
Owned & Guaranteed; (3) Government Entity; Guaranteed
by Province; (4) Industrial Mining; (5) Government Entity;
Guaranteed by Japan; (6) Industrial; Metals.
**Repurchase Agreements are fully collateralized by US Government
Obligations.
(a)Floating Rate Note.
</TABLE>
