MERRILL LYNCH
CORPORATE BOND
FUND, INC.
FUND LOGO
Quarterly Report
June 30, 1996
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 con-
sidered 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.
Statements and other information herein are as
dated and are subject to change.
<PAGE>
Merrill Lynch
Corporate Bond Fund, Inc.
Box 9011
Princeton, NJ
08543-9011
MERRILL LYNCH CORPORATE BOND FUND, INC.
TO OUR SHAREHOLDERS
The US economy demonstrated surprising strength
during the first half of 1996. As a result, investors are
focusing on prospects for an overheating economy,
increasing inflationary pressures, and the potential
for monetary policy tightening by the Federal Reserve
Board. With more robust economic growth, a sharp
rise in prices for crude oil and agricultural commodi-
ties, and expectations of escalating wage pressures,
long-term interest rates (as measured by the yield on
the 30-year US Treasury bond) are in excess of 7%.
<PAGE>
Inflationary concerns were heightened further shortly
after the close of the June quarter with the report
of a stronger-than-expected employment report for
June. Unemployment fell to a six-year low, and hourly
wages rose sharply. This mounting evidence of a tighter
labor market and rising labor costs suggested to many
investors that the US central bank would be forced
to raise short-term interest rates in the coming
months. In the weeks ahead, investors will continue
to monitor economic data releases to determine the
potential for monetary policy tightening by the Federal
Reserve Board. A significant development in this
area may be the slowdown in the technology sector,
and its potential impact on other areas of the economy.
Evidence of more moderate, but sustained, economic
activity would be a beneficial development for the
US stock and bond markets.
Portfolio Strategy
High Income Portfolio
During the quarter ended June 30, 1996, the high-yield
market produced a modest positive return in an
environment of rising interest rates. The yield on
ten-year Treasury notes rose from 6.4% to 6.7%, while
the yield on the unmanaged Merrill Lynch High Yield
Master Index increased from 9.6% to 9.9%, and yield
spreads remained stable. Overall, the high-yield
market appeared fully valued relative to the Govern-
ment market at June 30, 1996. Yield spreads were at
the narrow end of a 15-year range. The valuation
reflected the positive fundamentals, such as:
* Defaults were below normal rates for the first five
months of the year.
* Special events such as acquisitions of high-yield
issuers by the investment-grade companies improved
returns. During the June quarter, Hilton Hotels, an
investment-grade bond issuer, announced plans to
acquire Bally's Park Place, Inc., which favorably
affected bond prices.
* Ready access to the equity market allowed high-yield
issuers to improve balance sheets. Both Trump Hotels
and Fort Howard Corp. issued equity during the
June quarter.
* Cash flows into the high-yield market were strong.
Mutual funds received healthy cash flows all year.
Other institutional buyers such as insurance com-
panies were net buyers.
<PAGE>
Absolute valuation improved considerably over the
course of the year because of the significant rise in
intermediate-term and long-term interest rates. Given
the cyclical pressures, interest rates particularly at
the short end of the yield curve could continue to rise
further. This rise could be cyclical, with interest rates
falling later this year or in 1997, or secular--a longer
term or protracted rise. We believe the rise is cyclical.
Therefore, we regard the current period as an oppor-
tunity to improve the earnings power and/or quality
of the Portfolio. We began to reposition the Portfolio
for a more favorable interest rate environment by
selectively selling short-term maturity issues with
relatively tight yield spreads to Treasury issues and
reinvesting the proceeds. For example, during the
June quarter we sold the following representative
issues: Delta Air Lines Inc., 10.50% due April 30, 2016;
MGM Grand Hotel Finance Corp., 12% due May 1,
2002; Transportadora de Gas del Sur S.A., 7.75% due
December 23, 1998; and Telecom Argentina S.A.,
8.375% due October 18, 2000. These sales were made
at spreads ranging from 140 basis points to 278 basis
points (1.40%--2.78%) of comparable Treasury securities.
During the quarter ended June 30, 1996, a few pockets
of undervaluation appeared. For example, certain
companies that issue zero-coupon bonds also have
non-cash-pay (deferred pay) high-yield bonds for
financing and building the underlying infrastructure of
their business. These securities tend to accrete for
three years--five years at a rate that is 80 basis
points--140 basis points higher than a comparable cash
pay security. For example, when the Fund purchased an
AMF Group Inc. (a B2/B-rated bowling equipment manu-
facturer and bowling center operator) bond, the cash
pay tranche was 10.875% and its pari-passu, same
maturity, five-year-zero tranche was 0/12.25%, a spread
of 138 basis points off the cash-pay tranche. Zero coupon
securities historically tend to be very sensitive to the
market, outperforming in a strong market and under-
performing in a weak market. We saw this in the
1989--1990 period when deferred interest securities
underperformed comparable cash paying securities
because of the widening of the spread between them.
In the 1991--1993 period, deferred interest securities
produced superior returns, leading investors to capi-
talize on this by overweighting this sector. In 1995,
some deferred interest securities outperformed while
others lagged, reflecting the recent issuance of deferred
interest securities by growth-oriented companies with
small but rapidly growing cash flow.
<PAGE>
During the June quarter, we established new posi-
tions and added to current holdings in the following
zero coupon bonds; Australis Media Ltd., 0/14% due
May 15, 2003; Bell Cablemedia PLC, 0/11.875% due
September 15, 2005; Grupo Televisa S.A., 0/13.25% due
May 15, 2008; Millicom International Cellular S.A.,
0/13.50% due June 1, 2006; and UIH Australia/Pacific,
0/14% due May 15, 2006. Purchases were made at
spreads ranging from 520 basis points to 716 basis
points of comparable Treasury securities.
We continued to invest selectively and generally on
weakness. Other significant purchases during the
June quarter included: Time Warner Entertainment
Co., 10.25% pay-in-kind preferred stock due July 1,
2116; Smith's Food and Drug Centers, Inc. debentures
due May 15, 2007; and Ralph's Grocery Co., 10.45%
senior notes due June 15, 2004.
At June 30, 1996, the Fund's cash equivalents were
8.3% of net assets. The average portfolio maturity
was 6.5 years. Our largest industry exposures included:
broadcasting/cable, 10.1% of net assets; energy, 8.9%;
communications, 8.1%; paper, 7.1%; and public utili-
ties, 6.4%.
Investment Grade Portfolio and
Intermediate Term Portfolio
The acceleration of job creation, which became
evident in February, adversely impacted interest rates
during the six-month period ended June 30, 1996. Job
growth averaged 223,000 jobs per months during the
first six months of 1996, compared with an average
monthly gain of only 144,000 in the same period in
1995. Combined with a surprising strength in the
wage and salary index, this data caused concern that
the period of favorable inflation developments may be
drawing to a close. Economic activity heated up in
the second quarter and there was speculation that the
Federal Reserve Board may reverse trend and tighten
interest rates during the summer months. Federal
Reserve Board Chairman Alan Greenspan lamented
that serious discussion in Washington, DC related to
reducing the Federal budget deficit had faded, which
caused investors additional concern. Trading activity
pushed the long-term Treasury note rate from under
6.63% up to 7.19% before recovering to 6.90% at
June 30, 1996.
<PAGE>
We continued our defensive stance in this environ-
ment. We achieved this by shortening the average
duration of the Investment Grade Portfolio from
5.71 years to 4.53 years. For the Intermediate Term
Portfolio, we shortened the average duration from
4.28 years to 3.84 years. These shortened durations
were accomplished by trading down the yield curve.
The Portfolios remained underweighted in the utility
and Canadian sectors. At the same time, we increased
our commitment to Yankee issues for the Investment
Grade Portfolio.
We are hopeful that economic growth will slow in
the third quarter of 1996, but we will remain wary by
continuing to maintain a defensive strategy. The
steepness of the short-term yield curve compelled
us to be fully invested, but inflationary concerns will
keep us cautious. The Portfolios' Treasury positions are
lower than usual because we believe that the wider
spreads encourage us to invest in the corporate market.
In Conclusion
We appreciate your ongoing investment with 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
<PAGE>
July 31, 1996
PERFORMANCE DATA
About Fund Performance
Investors are 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.
* 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 approximately 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.
<PAGE>
* 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).
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.
PERFORMANCE DATA (continued)
Average Annual Total Return--High Income Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 6/30/96 +10.53% + 6.11%
Five Years Ended 6/30/96 +13.66 +12.74
Ten Years Ended 6/30/96 +11.13 +10.68
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 6/30/96 + 9.54% + 5.54%
Five Years Ended 6/30/96 +12.81 +12.81
Inception (10/21/88) through
6/30/96 +11.09 +11.09
<PAGE>
[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 % Return
Without CDSC With CDSC**
Class C Shares*
Year Ended 6/30/96 + 9.48% + 8.48%
Inception (10/21/94) through
6/30/96 +11.41 +11.41
[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**
Class D Shares*
Year Ended 6/30/96 +10.11% +5.70%
Inception (10/21/94) through
6/30/96 +12.03 +9.37
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
Average Annual Total Return--Investment Grade Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 6/30/96 +4.11% -0.05%
Five Years Ended 6/30/96 +8.50 +7.62
Ten Years Ended 6/30/96 +8.25 +7.81
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
<PAGE>
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 6/30/96 +3.30% -0.59%
Five Years Ended 6/30/96 +7.66 +7.66
Inception (10/21/88) through
6/30/96 +7.97 +7.97
[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 % Return
Without CDSC With CDSC**
Class C Shares*
Year Ended 6/30/96 +3.15% +2.18%
Inception (10/21/94) through
6/30/96 +9.24 +9.24
[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**
Class D Shares*
Year Ended 6/30/96 +3.85% -0.30%
Inception (10/21/94) through
6/30/96 +9.92 +7.30
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
<PAGE>
Average Annual Total Return--Intermediate Term Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 6/30/96 +4.71% +3.66%
Five Years Ended 6/30/96 +8.25 +8.03
Ten Years Ended 6/30/96 +8.03 +7.92
[FN]
*Maximum sales charge is 1%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 6/30/96 +4.15% +3.17%
Inception (11/13/92) through
6/30/96 +6.27 +6.27
[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 % Return
Without CDSC With CDSC**
Class C Shares*
Year Ended 6/30/96 +4.03% +3.05%
Inception (10/21/94) through
6/30/96 +9.18 +9.18
[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**
Class D Shares*
<PAGE>
Year Ended 6/30/96 +4.51% +3.46%
Inception (10/21/94) through
6/30/96 +9.62 +8.97
[FN]
*Maximum sales charge is 1%.
**Assuming maximum 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
<S> <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 -- -- 1.05(a) -- -- + 2.36 -- --
1980(b) 8.73/7.91 $10.00/ 9.88 $10.00/ 9.93*** 1.07 $ 0.25 $ 0.26*** + 3.08 + 1.28% + 1.86%
1981 7.91/7.26 9.88/ 9.38 9.93/ 9.57 1.12 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 + 13.63 + 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 + 7.51 + 7.28
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
1995 7.31/7.83 10.60/11.84 10.70/11.80 0.77 0.80 0.78 + 18.38 + 19.82 + 18.10
1/1/96--6/30/96 7.83/7.77 11.84/11.17 11.80/11.28 0.35 0.35 0.34 + 3.99 - 2.51 - 1.33
------ ------ ------
Total $16.74 $16.88 $16.25
Cumulative total return as of 6/30/96: +586.42%** +426.36%** +402.80%**
<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>
PERFORMANCE DATA (continued)
<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
<S> <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 + 6.69 + 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
1995 7.31/7.83 10.60/11.84 10.70/11.80 0.72 0.71 0.72 + 17.49 +18.92 +17.50
1/1/96--6/30/96 7.83/7.77 11.84/11.17 11.80/11.28 0.32 0.31 0.32 + 3.61 - 2.88 - 1.58
------ ------ ------
Total $ 6.16 $ 6.68 $ 2.96
Cumulative total return as of 6/30/96: +124.63%** +80.38%** +24.72%**
<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>
<TABLE>
Performance Summary--Class C 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
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/21/94--12/31/94 $7.59/7.32 $10.67/10.61 $10.81/10.70 $0.18 $0.14 $0.15 - 1.15% + 0.74% + 0.38%
1995 7.32/7.83 10.61/11.84 10.70/11.80 0.71 0.70 0.72 +17.27 +18.74 +17.48
1/1/96--6/30/96 7.83/7.77 11.84/11.17 11.80/11.28 0.32 0.31 0.31 + 3.58 - 2.91 - 1.60
----- ----- ----
Total $1.21 $1.15 $1.18
Cumulative total return as of 6/30/96: +20.07%** +16.14%** +16.04%**
<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.
</TABLE>
<TABLE>
Performance Summary--Class D 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
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/21/94--12/31/94 $7.59/7.31 $10.67/10.60 $10.81/10.70 $0.19 $0.15 $0.15 - 1.17% + 0.76% + 0.41%
1995 7.31/7.83 10.60/11.84 10.70/11.80 0.75 0.77 0.77 +18.09 +19.53 +17.98
1/1/96--6/30/96 7.83/7.77 11.84/11.18 11.80/11.28 0.34 0.34 0.34 + 3.87 - 2.54 - 1.38
----- ----- ----
Total $1.28 $1.26 $1.26
Cumulative total return as of 6/30/96: +21.22%** +17.37%** +16.83%**
<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.
</TABLE>
PERFORMANCE DATA (concluded)
<TABLE>
Recent Performance Results*
<CAPTION>
Standardized
12 Month 3 Month 30-day Yield
6/30/96 3/31/96 6/30/95 % Change % Change As of 6/30/96
<S> <C> <C> <C> <C> <C> <C>
High Income Portfolio Class A Shares $ 7.77 $ 7.84 $ 7.74 + 0.39% -0.89% 9.18%
High Income Portfolio Class B Shares 7.77 7.84 7.75 + 0.26 -0.89 8.79
High Income Portfolio Class C Shares 7.77 7.85 7.75 + 0.26 -1.02 8.73
High Income Portfolio Class D Shares 7.77 7.85 7.75 + 0.26 -1.02 8.95
Investment Grade Portfolio Class A Shares 11.17 11.32 11.47 - 2.62 -1.33 6.32
Investment Grade Portfolio Class B Shares 11.17 11.32 11.47 - 2.62 -1.33 5.83
Investment Grade Portfolio Class C Shares 11.17 11.32 11.48 - 2.70 -1.33 5.77
Investment Grade Portfolio Class D Shares 11.18 11.33 11.48 - 2.61 -1.32 6.09
Intermediate Term Portfolio Class A Shares 11.28 11.42 11.49 - 1.83 -1.23 6.46
Intermediate Term Portfolio Class B Shares 11.28 11.42 11.49 - 1.83 -1.23 5.99
Intermediate Term Portfolio Class C Shares 11.28 11.42 11.50 - 1.91 -1.23 5.96
Intermediate Term Portfolio Class D Shares 11.28 11.42 11.50 - 1.91 -1.23 6.36
High Income Portfolio Class A Shares--Total Return +10.53(1) +1.51(2)
High Income Portfolio Class B Shares--Total Return + 9.54(3) +1.32(4)
High Income Portfolio Class C Shares--Total Return + 9.48(5) +1.18(6)
High Income Portfolio Class D Shares--Total Return +10.11(7) +1.32(8)
Investment Grade Portfolio Class A Shares--Total Return + 4.11(9) +0.33(10)
Investment Grade Portfolio Class B Shares--Total Return + 3.30(11) +0.14(12)
Investment Grade Portfolio Class C Shares--Total Return + 3.15(13) +0.13(14)
Investment Grade Portfolio Class D Shares--Total Return + 3.85(15) +0.27(16)
Intermediate Term Portfolio Class A Shares--Total Return + 4.71(17) +0.38(18)
Intermediate Term Portfolio Class B Shares--Total Return + 4.15(19) +0.25(20)
Intermediate Term Portfolio Class C Shares--Total Return + 4.03(21) +0.24(22)
Intermediate Term Portfolio Class D Shares--Total Return + 4.51(23) +0.36(24)
<FN>
*Investment results shown do not reflect sales charges;
results shown would be lower if a sales charge was included.
(1)Percent change includes reinvestment of $0.755 per share
ordinary income dividends.
(2)Percent change includes reinvestment of $0.185 per share
ordinary income dividends.
(3)Percent change includes reinvestment of $0.696 per share
ordinary income dividends.
(4)Percent change includes reinvestment of $0.171 per share
ordinary income dividends.
(5)Percent change includes reinvestment of $0.692 per share
ordinary income dividends.
<PAGE>
(6)Percent change includes reinvestment of $0.170 per share
ordinary income dividends.
(7)Percent change includes reinvestment of $0.736 per share
ordinary income dividends.
(8)Percent change includes reinvestment of $0.181 per share
ordinary income dividends.
(9)Percent change includes reinvestment of $0.767 per share
ordinary income dividends.
(10)Percent change includes reinvestment of $0.186 per share
ordinary income dividends.
(11)Percent change includes reinvestment of $0.679 per share
ordinary income dividends.
(12)Percent change includes reinvestment of $0.165 per share
ordinary income dividends.
(13)Percent change includes reinvestment of $0.673 per share
ordinary income dividends.
(14)Percent change includes reinvestment of $0.163 per share
ordinary income dividends.
(15)Percent change includes reinvestment of $0.739 per share
ordinary income dividends.
(16)Percent change includes reinvestment of $0.179 per share
ordinary income dividends.
(17)Percent change includes reinvestment of $0.743 per share
ordinary income dividends.
(18)Percent change includes reinvestment of $0.182 per share
ordinary income dividends.
(19)Percent change includes reinvestment of $0.683 per share
ordinary income dividends.
(20)Percent change includes reinvestment of $0.167 per share
ordinary income dividends.
(21)Percent change includes reinvestment of $0.680 per share
ordinary income dividends.
(22)Percent change includes reinvestment of $0.167 per share
ordinary income dividends.
(23)Percent change includes reinvestment of $0.731 per share
ordinary income dividends.
(24)Percent change includes reinvestment of $0.179 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
<S> <S> <S> <C> <C> <C> <C>
Airlines--1.8% Piedmont Aviation, Inc.:
BB- B1 $ 200,000 Series C, 9.70% due 1/15/1999 $ 201,676 $ 199,970
BB- B1 100,000 Series C, 10.25% due 1/15/2007 103,706 100,516
BB- B1 1,985,000 Series E, 10.30% due 3/28/2007 1,855,291 2,001,277
BB- B1 1,950,000 Series F, 10.35% due 3/28/2011 1,999,719 1,923,704
BB- B1 50,000 Series G, 10.35% due 3/28/2011 51,425 49,326
BB- B1 450,000 Series H, 9.85% due 5/08/2005 454,617 441,025
BB- B1 1,500,000 Series H, 10% due 11/08/2012 1,493,250 1,372,845
BB- B1 536,000 Series I, 10% due 11/08/2012 545,048 490,563
United Air Lines Inc.:
BB+ Baa2 4,000,000 10.02% due 3/22/2014 4,050,000 4,544,340
BB+ Baa2 2,000,000 9.08% due 10/26/2015 1,847,200 2,127,030
BB+ Baa2 7,100,000 9.35% due 4/07/2016 7,215,446 7,695,796
BB+ BBB 10,500,000 9.21% due 1/21/2017 10,480,125 11,271,015
USAir Inc.:
B B1 30,000,000 9.625% due 2/01/2001 24,109,906 28,350,000
BB- B1 21,000,000 10.375% due 3/01/2013 20,768,125 21,131,250
BB- B1 5,174,907 Series 89A1, 9.33% due 1/01/2006++ 4,895,310 5,097,284
BB B1 1,432,000 Series A, 10.70% due 1/15/2007 1,525,137 1,480,459
BB B1 1,815,000 Series C, 10.70% due 1/15/2007 1,933,048 1,876,420
B+ B2 421,000 Series E, 10.70% due 1/01/2002 382,895 429,809
BB B1 1,107,000 Series E, 10.70% due 1/15/2007 1,159,472 1,144,461
B+ B2 1,092,000 Series F, 10.70% due 1/01/2003 984,165 1,117,820
B+ B2 1,092,000 Series G, 10.70% due 1/01/2003 984,165 1,117,820
B+ B2 1,092,000 Series H, 10.70% due 1/01/2003 984,165 1,117,820
B+ B2 1,092,000 Series I, 10.70% due 1/01/2003 984,165 1,117,820
-------------- --------------
89,008,056 96,198,370
Automotive--0.9% B B3 14,000,000 Collins & Aikman Corp., 11.50% due
4/15/2006 14,000,000 14,210,000
BB- B1 20,375,000 Exide Corp., 10.75% due 12/15/2002 20,830,156 20,884,375
B B3 10,150,000 SPX Inc., 11.75% due 6/01/2002 10,175,000 10,771,688
-------------- --------------
45,005,156 45,866,063
Broadcasting/ CCC+ Caa 38,190,545 American Telecasting, Inc., 14.86%
Cable--10.0% due 6/15/2004 (a) 24,293,507 27,306,240
B- B2 19,240,000 Argyle Television Inc., 9.75%
due 11/01/2005 19,003,950 18,133,700
CCC B3 54,117,000 Australis Media Ltd., 13.23% due
5/15/2003 (a) (f) 33,632,205 32,199,615
BB- B2 53,000,000 Bell Cablemedia PLC, 11.83% due
9/15/2005 (a) 32,717,248 32,263,750
BB- B3 13,500,000 CAI Wireless Systems, Inc., 12.25%
due 9/15/2002 13,500,000 14,141,250
CCC+ Caa 8,000,000 CS Wireless Systems Inc., 11.375%
due 3/01/2006 (a) (c) 4,769,960 4,160,000
<PAGE> Century Communications Corporation:
BB- Ba3 30,750,000 9.75% due 2/15/2002 30,486,250 30,673,125
BB- Ba3 10,750,000 9.50% due 3/01/2005 10,585,000 10,400,625
BB- B1 10,000,000 Comcast Corporation, 9.50% due 1/15/2008 9,350,000 9,675,000
B B2 50,000,000 Comcast UK Cable Partners Ltd, 11.21%
due 11/15/2007 (a) 31,019,528 29,000,000
NR* NR* 50,000,000 Echostar Communications Corp., 13.48%
due 6/01/2004 (a) (i) 33,350,969 37,789,303
B- Caa 30,000,000 Echostar Satellite Broadcasting, 13.125%
due 3/15/2004 (a) 18,722,774 18,750,000
B B3 50,000,000 International Cabletel Inc., 11.50%
due 2/01/2006 (a) 29,942,585 27,875,000
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<S> <S> <S> <C> <C> <C> <C>
Broadcasting/ Lenfest Communications, Inc.:
Cable BB+ Ba3 $50,000,000 8.375% due 11/01/2005 $ 47,987,450 $ 45,750,000
(concluded) BB- B2 20,000,000 10.50% due 6/15/2006 19,844,200 20,137,500
CCC+ Caa 20,000,000 People's Choice T.V. Corporation, 13.48%
due 6/01/2004 (a) (g) 11,753,606 11,700,000
B- B3 35,000,000 SFX Broadcasting Inc., 13.97% due 5/15/2006 34,918,750 35,000,000
CCC B3 45,000,000 UIH Australia/Pacific, 14% due 5/15/2006 (a) 23,329,765 24,243,750
United International Holdings, Inc. (a):
B- B3 5,000,000 12.18% due 11/15/1999 3,286,376 3,325,000
B- B3 50,000,000 13.99% due 11/15/1999 (h) 31,678,963 34,250,000
B- B3 18,750,000 14% due 11/15/1999 11,875,990 12,375,000
BB+ Ba3 11,250,000 Videotron Groupe L'TEE, 10.25%
due 10/15/2002 11,322,500 11,700,000
Videotron Holdings PLC:
B+ B3 50,000,000 12.08% due 7/01/2004 (a) 34,019,230 36,875,000
BB+ Ba3 3,300,000 10.625% due 2/15/2005 3,279,375 3,452,625
-------------- --------------
524,670,181 531,176,483
Broadcasting & B- B2 17,500,000 EZ Communications, Inc., 9.75%
Publishing--3.5% due 12/01/2005 17,361,575 16,712,500
BB Ba3 57,500,000 Grupo Televisa S.A., 13.18% due 5/15/2008 (a) 30,986,486 30,906,250
BB- B1 21,500,000 Hollinger, Inc., 9.25% due 2/01/2006 20,925,313 19,726,250
B B3 14,000,000 The Katz Corp., 12.75% due 11/15/2002 14,313,750 15,610,000
B Caa 25,000,000 NWCG Holding Corp., 13.79%
due 6/15/1999 (a) 16,828,096 18,437,500
BB- B3 10,000,000 SCI Television Inc., 11% due 6/30/2005 10,350,000 10,412,500
<PAGE> Sinclair Broadcasting Group Inc.:
B+ B3 15,000,000 10% due 12/15/2003 15,036,250 14,362,500
B+ B1 33,815,000 10% due 9/30/2005 33,962,225 32,377,863
BB- B1 20,000,000 World Color Press, Inc., 9.125% due 3/15/2003 20,019,375 19,700,000
B B2 10,500,000 Young Broadcasting Inc., 10.125%
due 2/15/2005 10,500,000 10,053,750
-------------- --------------
190,283,070 188,299,113
Building B Caa 20,000,000 Inter-City Products Corp., 9.75%
Materials--1.7% due 3/01/2000 19,508,750 18,700,000
CCC B3 20,550,000 Nortek Inc., 9.875% due 3/01/2004 20,362,365 19,625,250
B+ B3 24,220,000 Pacific Lumber Co., 10.50% due 3/01/2003 23,920,738 23,614,500
B+ B2 29,084,000 US Gypsum Corp., 8.75% due 3/01/2017 25,890,006 28,647,740
-------------- --------------
89,681,859 90,587,490
Capital Goods--0.9% B+ B1 21,450,000 Essex Group Inc., 10% due 5/01/2003 21,546,500 21,878,861
B- B3 25,000,000 International Wire Group, 11.75%
due 6/01/2005 24,986,250 24,937,500
-------------- --------------
46,532,750 46,816,361
Chemicals--2.0% B+ Ba3 15,000,000 Agriculture Minerals & Chemicals
Company, L.P., 10.75% due 9/30/2003 15,060,000 15,825,000
G-I Holdings, Inc.:
B+ Ba3 20,469,000 11.51% due 10/01/1998 (a) 15,892,559 16,528,718
B+ Ba3 19,502,000 10% due 2/15/2006 20,184,570 19,306,980
B+ B2 25,000,000 Harris Chemical North America Inc.,
10.25% due 7/15/2001 (a) 25,000,000 25,187,500
BB- B1 30,000,000 Veridian, Inc., 9.75% due 4/01/2003 29,829,688 30,975,000
-------------- --------------
105,966,817 107,823,198
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<S> <S> <S> <C> <C> <C> <C>
Communications-- NR* NR* $25,000,000 Brooks Fiber Properties, Inc., 11.07%
8.0% due 3/01/2006 (a) $ 15,017,890 $ 13,406,250
B+ B3 41,472,000 Comunicacion Celular, 13.13%
due 11/15/2000 (a) (j) 23,724,983 26,749,440
B- B3 65,000,000 Millicom International Cellular S.A.,
<PAGE> 13.50% due 6/01/2006 (a) 34,192,665 34,775,000
Mobilemedia Communication, Inc.:
CCC+ B3 25,000,000 11.32% due 12/01/2003 (a) 18,560,534 17,875,000
B- B3 8,626,000 9.375% due 11/01/2007 7,704,955 7,763,400
CCC+ B3 60,000,000 Nextel Communications Inc., 11.32% due
8/15/2004 (a) 42,550,211 35,400,000
NR* NR* 21,000,000 Page Mart Inc., 12.74% due 11/01/2003 (a) (b) 15,451,007 15,855,000
B B2 20,000,000 Paging Network, Inc., 11.75% due 5/15/2002 20,387,500 21,600,000
B- B3 46,210,000 PanAmSat L.P., 11.09% due 8/01/2003 (a) 37,187,542 40,318,225
Rogers Communications Inc.:
BB- B2 35,925,000 10.875% due 4/15/2004 36,431,094 36,688,406
BB- B2 2,000,000 9.125% due 1/15/2006 1,897,500 1,852,500
BB- B1 15,000,000 Telecom Argentina S.A., 8.375%
due 10/18/2000 12,159,375 14,456,250
BB- B1 40,000,000 Telefonica de Argentina S.A., 11.875%
due 11/01/2004 38,763,075 43,200,000
Teleport Communications Group Inc.:
B B1 15,000,000 9.875% due 7/01/2006 15,004,500 15,004,500
B B1 26,000,000 11.122% due 7/01/2007 (a) 15,139,800 15,139,800
BB B1 70,000,000 Telewest Communications PLC, 11%
due 10/01/2007 (a) 44,413,131 41,475,000
CCC+ B3 19,730,000 USA Mobile Communications Holdings,
Inc., 9.50% due 2/01/2004 18,997,875 18,842,150
B+ B1 25,000,000 Vanguard Cellular Systems, 9.375% due
4/15/2006 24,975,250 24,250,000
-------------- --------------
422,558,887 424,650,921
Computer ComputerVision Corp.:
Services--1.2% CCC+ B3 15,000,000 11.375% due 8/15/1999 14,473,750 15,750,000
CCC+ NR* 12,500,000 8% due 12/01/2009 6,802,472 10,312,500
B- B3 40,000,000 Dictaphone Corp., 11.75% due 8/01/2005 39,705,625 38,800,000
-------------- --------------
60,981,847 64,862,500
Conglomerates-- BB- B3 39,700,000 Coltec Industries, Inc., 10.25%
2.1% due 4/01/2002 40,735,075 40,494,000
CCC+ B3 20,000,000 The Interlake Corp., 12.125% due 3/01/2002 20,147,500 20,100,000
B+ B2 10,000,000 JB Poindexter & Co., Inc., 12.50% due
5/15/2004 10,000,000 8,475,000
NR* NR* 8,500,000 MacAndrews & Forbes Group, Inc., 12.25%
due 7/01/1996 8,276,775 8,500,000
NR* NR* 9,100,000 MacAndrews & Forbes Holdings, Inc., 13%
due 3/01/1999 8,568,400 8,974,875
B+ B3 26,000,000 Sequa Corp., 9.375% due 12/15/2003 25,146,562 25,090,000
-------------- --------------
112,874,312 111,633,875
Consumer B NR* 39,760,000 Coleman Holdings, Inc., 11.57% due
Products--3.6% 5/27/1998 (a) 31,892,038 33,448,100
B+ Ba3 15,000,000 Coty Inc., 10.25% due 5/01/2005 15,000,000 15,806,250
B+ Ba2 38,880,000 International Semi-Tech Microelectronics,
Inc., 13.62% due 8/15/2003 (a) 22,887,994 22,453,200
B- Caa 12,500,000 Polymer Group Inc., 12.25% due 7/15/2002 12,500,000 13,562,500
</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
<S> <S> <S> <C> <C> <C> <C>
Consumer Revlon Consumer Products Corp.:
Products B B2 $ 3,500,000 9.50% due 6/01/1999 $ 3,196,664 $ 3,517,500
(concluded) B B2 27,000,000 9.375% due 4/01/2001 24,918,987 26,527,500
B- B3 9,500,000 10.50% due 2/15/2003 8,795,000 9,571,250
B- B3 36,650,000 Samsonite Corporation, 11.125%
due 7/15/2005 36,088,625 37,291,375
B+ B1 32,550,000 Sealy Corp., 9.50% due 5/01/2003 32,274,650 31,736,250
-------------- --------------
187,553,958 193,913,925
Convertible B B2 6,195,000 Builders Transport, Inc., 8%
Bonds**--0.3% due 8/15/2005 (3) 3,614,250 5,485,402
B B2 2,000,000 OHM Corp., 8% due 10/01/2006 (4) 1,400,000 1,735,000
BB+ Ba1 6,375,000 Quantum Health Resources Inc., 4.75%
due 10/01/2000 (2) 5,956,562 5,769,375
B B2 3,659,000 UNC, Inc., 7.50% due 3/31/2006 (1) 2,151,592 3,293,100
------------ ------------
13,122,404 16,282,877
Diversified--0.7% B B1 25,000,000 Foamex Capital Corp., 11.25%
due 10/01/2002 24,964,375 25,250,000
B- B3 10,000,000 RBX Corporation, 11.25% due 10/15/2005 10,006,250 9,500,000
------------ ------------
34,970,625 34,750,000
Energy--8.8% B+ Ba1 35,000,000 AES Corporation (The), 10.25%
due 7/15/2006 35,000,000 35,000,000
BB Ba2 30,000,000 CE Casecnan Water & Energy, 11.45%
due 11/15/2005 30,000,000 30,225,000
BB- Ba3 24,000,000 California Energy Company, Inc., 9.875%
due 6/30/2003 24,122,500 24,600,000
B+ B1 49,500,000 Clark R&M Holdings, Inc., 11% due
2/15/2000 (a) 33,574,964 34,216,875
B+ B2 9,000,000 Clark USA Inc., Series B, 10.875% due
12/01/2005 9,000,000 9,405,000
<PAGE> NR* NR* 18,500,000 Consolidated Hydro, Inc., 12.22% due
7/15/2003 (a) 14,395,714 3,977,500
B+ B1 20,000,000 Global Marine Inc., 12.75% due 12/15/1999 20,047,500 21,750,000
Gulf Canada Resources Ltd.:
BB B1 12,750,000 9% due 8/15/1999 11,735,937 12,813,750
B+ Ba3 10,000,000 9.25% due 1/15/2004 9,726,605 9,800,000
B- B1 22,000,000 KCS Energy, Inc., 11% due 1/15/2003 22,723,750 23,320,000
Maxus Energy Corp.:
BB- B1 17,750,000 9.875% due 10/15/2002 16,726,250 17,750,000
BB- B1 7,550,000 11.50% due 11/15/2015 7,363,000 7,870,875
BB- Ba3 8,750,000 Noble Drilling Corp., 9.25% due 10/01/2003 8,925,000 8,859,375
BBB- Baa3 28,000,000 Oleoducto Central S.A., 9.35% due 9/01/2005 27,967,500 27,230,000
B+ Ba3 15,000,000 Rowan Companies, Inc., 11.875% due
12/01/2001 15,085,000 16,200,000
BB- B1 25,000,000 Seagull Energy Corp., 8.625% due 8/01/2005 24,990,000 23,625,000
NR* B3 4,016,000 Tesoro Petroleum Corp., 12.75% due 3/15/2001 3,460,372 4,066,200
B- Caa 60,000,000 Transamerican Refining Corp., 19.40%
due 2/15/2002 (a) 43,230,562 37,800,000
BB+ B2 50,000,000 TransTexas Gas Corp., 11.50% due 6/15/2002 50,018,750 49,875,000
B+ B1 31,525,000 Triton Energy Corp., 10.61% due
11/01/1997 (a) 27,340,287 28,451,313
BB- B1 46,000,000 Yacimientos Petroliferos Fiscales S.A. (YPF)
(Sponsored), 8% due 2/15/2004 37,389,250 40,767,500
-------------- --------------
472,822,941 467,603,388
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<S> <S> <S> <C> <C> <C> <C>
Entertainment--2.5% AMF Group Inc.:
B- B2 $ 8,000,000 10.875% due 3/15/2006 $ 8,000,000 $ 7,940,000
B- B2 35,000,000 12.37% due 3/15/2006 (a) 19,809,287 19,425,000
BB- Ba3 5,000,000 Cinemark USA, Inc., 12% due 6/01/2002 5,058,750 5,450,000
Marvel Holdings Inc.:
B Caa 28,000,000 9.125% due 2/15/1998 24,810,750 26,530,000
B B3 14,500,000 11.69% due 4/15/1998 (a) 11,773,168 11,672,500
B B3 5,500,000 15.97% due 4/15/1998 (a) 4,054,852 4,379,375
B B2 40,000,000 Six Flags Theme Parks, 12.18% due
6/15/2005 (a) 31,783,905 33,800,000
Spectravision Inc.:
D Caa 39,250,000 11.74% due 10/01/2001 (a) 33,732,587 21,587,500
CCC- B3 24,040,000 11.65% due 12/01/2002 21,422,831 2,764,600
-------------- --------------
160,446,130 133,548,975
<PAGE>
Financial B B2 17,000,000 First Nationwide Holdings, 12.50% due
Services--1.4% 4/15/2003 16,806,710 17,807,500
NR* B3 15,000,000 Olympic Financial Ltd., 13% due 5/01/2000 15,000,000 16,575,000
BB- B1 9,000,000 Penncorp Financial Group Inc., 9.25%
due 12/15/2003 9,090,000 8,876,250
BBB NR* 1,500,000 Reliance Financial Services Corp., 10.36%
due 12/01/2000 1,200,000 1,519,680
Reliance Group Holdings, Inc.:
BB+ Ba3 7,425,000 9% due 11/15/2000 6,798,125 7,369,313
BB- B1 22,575,000 9.75% due 11/15/2003 21,362,500 22,236,375
-------------- --------------
70,257,335 74,384,118
Food & Chiquita Brands International Inc.:
Beverage--3.6% B B3 9,655,000 11.50% due 6/01/2001 9,966,881 10,161,888
B+ B1 25,000,000 9.125% due 3/01/2004 24,810,625 24,375,000
NR* NR* 26,361,000 Cumberland Farms, 10.50% due 10/01/2003 25,165,829 25,174,755
B B3 23,450,000 Curtice Burns Food, Inc., 12.25% due
2/01/2005 23,562,125 22,863,750
B- B2 26,463,000 Envirodyne Industries, Inc., 10.25% due
12/01/2001 25,608,891 22,758,180
CCC+ Caa 25,000,000 Fresh Del Monte Corp., 10% due 5/01/2003 25,012,500 23,375,000
D Ca 21,800,000 Seven-Up/RC Bottling Co. of Southern
California, Inc., 11.50% due 8/01/1999 21,967,500 14,933,000
Specialty Foods Corp.:
B B3 19,250,000 10.25% due 8/15/2001 18,784,375 17,998,750
B- B3 12,000,000 11.125% due 10/01/2002 11,970,000 11,520,000
B B3 20,000,000 Texas Bottling Group, Inc., 9% due
11/15/2003 20,002,500 19,500,000
-------------- --------------
206,851,226 192,660,323
Foreign BB Ba2 25,000,000 Banco Nationale de Commerce, 7.25%
Government due 2/02/2004 20,972,500 20,518,549
Obligations--0.8% BB- B1 25,000,000 Republic of Argentina, 8.375% due
12/20/2003 20,075,000 21,865,241
-------------- --------------
41,047,500 42,383,790
Gaming--5.2% BB B1 30,000,000 Bally's Park Place, Inc., 9.25%
due 3/15/2004 28,485,200 31,931,250
B+ B2 37,000,000 GB Property Funding Corp., 10.875%
due 1/15/2004 35,072,500 33,855,000
BB B2 15,000,000 GNF Corp., 10.625% due 4/01/2003 14,975,000 16,331,250
D NR* 7,682,000 Goldriver Hotel & Casino Corp., 13.375%
due 8/31/1999 8,609,882 4,225,100
BB Ba3 25,000,000 Grand Casinos Inc., 10.125%
due 12/01/2003 25,000,000 25,687,500
</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
<S> <B> <S> <C> <C> <C> <C>
Gaming D Caa $60,115,000 Harrah's Jazz Company, 14.25%
(concluded) due 11/15/2001 $ 49,536,050 $ 30,358,075
B+ B2 20,000,000 Hollywood Casino Corp., 12.75%
due 11/01/2003 19,135,753 20,100,000
BB- Ba3 30,000,000 Showboat Inc., 9.25% due 5/01/2008 30,107,350 30,450,000
BB- B1 60,000,000 Trump Atlantic City, 11.25% due 5/01/2006 60,014,062 60,450,000
B- B3 19,030,000 Trump Holdings, Inc., 15.50% due 6/15/2005 18,921,250 22,502,975
-------------- --------------
289,857,047 275,891,150
Health Services-- B+ B1 45,200,000 Beverly Enterprises, Inc., 9% due 2/15/2006 44,200,550 41,923,000
1.8% B+ B1 14,190,000 MEDIQ, Inc., 12.125% due 7/01/1999 14,252,600 15,396,150
B+ Ba3 20,000,000 Tenet Healthcare Corp., 10.125%
due 3/01/2005 20,062,500 21,150,000
B+ B1 20,000,000 Unilab Corp., 11% due 4/01/2006 19,843,480 18,800,000
-------------- --------------
98,359,130 97,269,150
Home Builders-- Del E. Webb Corporation:
1.7% B+ Ba3 3,500,000 10.875% due 3/31/2000 3,524,375 3,631,250
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 3,620,000
B B3 20,000,000 Greystone Homes Inc., 10.75% due 3/01/2004 19,115,000 19,900,000
B B1 10,250,000 K. Hovnanian Enterprises Inc., 11.25%
due 4/15/2002 10,204,062 9,481,250
BB Ba2 12,000,000 Standard Pacific Corp., 10.50%
due 3/01/2000 11,995,000 11,940,000
B+ Ba3 36,300,000 U.S. Home Corp., 9.75% due 6/15/2003 36,367,250 35,392,500
-------------- --------------
91,290,597 90,650,000
Hotels--1.9% BB- Ba3 75,000,000 HMC Acquisition Properties, 9%
due 12/15/2007 74,425,000 68,625,000
BB- B1 35,000,000 HMH Properties Inc., 9.50% due 5/15/2005 34,000,707 33,425,000
-------------- --------------
108,425,707 102,050,000
<PAGE>
Industrial Thermadyne Industries, Inc.:
Services--0.3% B3 Caa 5,706,000 10.25% due 5/01/2002 5,711,822 5,634,675
B3 Caa 7,912,000 10.75% due 11/01/2003 7,914,802 7,912,000
-------------- --------------
13,626,624 13,546,675
Metals & B- B2 40,000,000 Kaiser Aluminum & Chemical Corp.,
Mining--1.4% 12.75% due 2/01/2003 40,803,125 42,300,000
Maxxam Group, Inc.:
B- B3 5,000,000 11.25% due 8/01/2003 4,918,750 5,025,000
B- B3 41,155,000 12.37% due 8/01/2003 (a) 31,941,520 29,425,825
-------------- --------------
77,663,395 76,750,825
Packaging--1.8% CCC+ Ca 35,775,000 Anchor Glass Container Corp., 9.875%
due 12/15/2008 32,401,062 16,993,125
B- Caa 21,500,000 Ivex Packaging Corp., 13.22% due
3/15/2005 (a) 13,371,596 13,115,000
Owens-Illinois, Inc.:
BB Ba3 20,000,000 11% due 12/01/2003 20,810,000 21,550,000
B+ B2 6,000,000 9.95% due 10/15/2004 5,931,250 6,037,500
B+ Ba3 6,000,000 Plastic Container Corp., 10.75%
due 4/01/2001 6,022,500 5,977,500
B- B3 29,418,000 Silgan Holdings Inc., 13.25%
due 12/15/2002 (a) 29,418,000 29,932,815
-------------- --------------
107,954,408 93,605,940
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (continued) High Income Portfolio
<S> <S> <S> <C> <C> <C> <C>
Paper--6.6% BB Ba3 $35,500,000 APP International Finance, 11.75% due
10/01/2005 $ 35,306,250 $ 36,520,625
Container Corporation of America:
B+ B2 15,420,000 9.75% due 4/01/2003 15,433,400 15,207,975
B+ B2 13,000,000 11.25% due 5/01/2004 13,000,000 13,471,250
B B3 25,000,000 Crown Paper Co., 11% due 9/01/2005 23,108,781 23,906,250
BB- Ba3 50,000,000 Doman Industries Ltd., 8.75% due 3/15/2004 47,581,250 45,250,000
Fort Howard Corp.:
B+ B1 10,000,000 9.25% due 3/15/2001 10,000,000 10,025,000
B B2 35,250,000 9% due 2/01/2006 32,561,250 34,016,250
B B3 35,000,000 Gaylord Container Corp., 11.50%
due 5/15/2001 35,401,250 35,875,000
P.T. Indah Kiat International Finance:
<PAGE> BB Ba3 3,000,000 11.875% due 6/15/2002 3,000,000 3,165,000
BB Ba2 14,500,000 12.50% due 6/15/2006 14,572,500 15,442,500
B+ B2 20,000,000 Repap New Brunswick, 10.625% due 4/15/2005 20,050,000 18,900,000
BB- B1 25,000,000 Repap Wisconsin Inc., 9.25% due 2/01/2002 23,537,500 23,406,250
B B3 30,000,000 Riverwood International Corp., 10.875%
due 4/01/2008 30,105,000 29,700,000
NR* NR* 16,000,000 S.D. Warren Co., 12% due 12/15/2004 16,000,000 16,920,000
Stone Container Corp.:
B B1 15,000,000 9.875% due 2/01/2001 13,948,672 14,568,750
B- B2 15,000,000 10.75% due 10/01/2002 14,825,000 15,168,750
-------------- --------------
348,430,853 351,543,600
Restaurants-- CCC+ Caa 25,000,000 Flagstar Corp., 11.375% due 9/15/2003 25,092,500 16,875,000
0.8% B+ Ba3 25,000,000 Foodmaker, Inc., 9.75% due 11/01/2003 24,296,200 23,625,000
-------------- --------------
49,388,700 40,500,000
Retail B+ B1 20,000,000 Specialty Retailers Group, Inc., 10% due
Specialty--0.4% 8/15/2000 20,000,000 20,800,000
Steel--2.0% B B1 25,000,000 Gulf States Steel Acquisition Corp.,
13.50% due 4/15/2003 24,760,851 22,937,500
B+ B2 20,000,000 Republic Engineered Steel Inc., 9.875%
due 12/15/2001 19,455,000 18,700,000
B+ B1 24,050,000 WCI Steel, Inc., 10.50% due 3/01/2002 23,824,875 24,531,000
B B2 23,000,000 Weirton Steel Corporation, 10.75%
due 6/01/2005 22,413,750 21,965,000
BB B1 20,000,000 Wheeling-Pittsburg Steel Corp., 9.375%
due 11/15/2003 18,670,000 18,700,000
-------------- --------------
109,124,476 106,833,500
Supermarkets-- B- B2 20,325,000 Pueblo Xtra International Inc., 9.50%
1.4% due 8/01/2003 18,787,125 18,394,125
Ralph's Grocery Co.:
B B1 8,000,000 10.45% due 6/15/2004 7,715,000 7,860,000
B B1 20,000,000 10.45% due 6/15/2004 18,930,447 19,150,000
B- B3 31,000,000 Smith's Food & Drug Centers Inc., 11.25%
due 5/15/2007 31,065,000 31,310,000
-------------- --------------
76,497,572 76,714,125
Textiles--0.5% B+ B3 25,000,000 Westpoint Stevens Inc., 9.375%
due 12/15/2005 25,100,000 24,156,250
Transportation-- BB- Ba2 25,000,000 Eletson Holdings, Inc., 9.25%
2.1% due 11/15/2003 24,472,500 23,811,033
BB Ba2 20,000,000 Gearbulk Holdings, Ltd., 11.25% due
12/01/2004 20,518,750 20,900,000
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
Bonds (concluded) High Income Portfolio
<S> <S> <S> <C> <C> <C> <C>
Transportation Transportacion Maritima Mexicana,
(concluded) S.A. de C.V.:
BB- Ba2 $ 5,475,000 8.50% due 10/15/2000 $ 3,175,500 $ 5,091,750
BB- Ba2 20,000,000 9.25% due 5/15/2003 17,092,750 18,400,000
B- B3 38,106,000 Transtar Holdings, L.P., 12.42% due
12/15/2003 (a) 25,195,072 26,293,140
B+ Ba3 20,000,000 Viking Star Shipping Co., Inc., 9.625%
due 7/15/2003 20,045,000 20,300,000
-------------- --------------
110,499,572 114,795,923
Utilities--6.2% Beaver Valley Funding Corp.:
B+ B1 8,070,000 8.625% due 6/01/2007 7,099,175 7,101,519
B+ B1 34,469,000 9% due 6/01/2017 31,081,506 28,192,884
CTC Mansfield Funding Corp.:
B+ Ba3 15,950,000 10.25% due 3/30/2003 15,903,640 16,290,053
B+ Ba3 25,000,000 11.125% due 9/30/2016 26,416,875 25,680,250
BB Ba2 15,000,000 Cleveland Electric Illuminating Co., 9.50%
due 5/15/2005 14,971,200 14,809,725
BB- Ba3 27,000,000 El Paso Electric Company, 9.40%
due 5/01/2011 26,990,000 26,932,500
BB- B1 40,000,000 Metrogas, S.A., 12% due 8/15/2000 40,031,875 42,750,000
Midland Cogeneration Venture
Limited Partnership:
BB Ba3 22,301,424 10.33% due 7/23/2002++ 23,103,178 23,583,755
BB- Ba2 4,401,461 10.33% due 7/23/2002++ 4,711,405 4,665,549
B- B2 11,250,000 11.75% due 7/23/2005 11,310,000 11,767,387
B- B2 5,500,000 13.25% due 7/23/2006 6,002,565 5,907,687
NR* NR* 15,966,876 Sunflower Electric Power Corp., 8%
due 12/31/2016++ 10,473,818 12,973,087
B+ B1 20,000,000 Texas-New Mexico Power Corp., 10.75%
due 9/15/2003 20,065,000 20,950,000
BBB- NR* 42,000,000 Trans Gas de Occidente, 9.79%
due 11/01/2010 42,075,000 40,057,500
Tucson Electric & Power Co.:
NR* NR* 33,847,781 10.21% due 1/01/2009 32,005,359 31,966,860
NR* NR* 17,426,207 10.732% due 1/01/2013 16,252,461 16,204,979
-------------- --------------
328,493,057 329,833,735
<PAGE>
Waste Manage- D Caa 23,700,000 Mid-American Waste Systems, Inc.,
ment--0.3% 12.25% due 2/15/2003 23,667,250 14,812,500
Total Investments in Bonds--88.2% 4,753,013,442 4,693,195,143
Shares
Held
Preferred Stocks
<S> <C> <C> <C> <C>
Broadcasting & 421,000 K--III Communications Corp. 10,562,750 11,103,875
Publishing--0.7% 140,282 K--III Communications Corp., Series B 14,140,278 13,958,048
125,000 K--III Communications Corp., Series C 12,500,000 11,437,500
-------------- --------------
37,203,028 36,499,423
Broadcasting/Cable--0.1% 41,550 Cablevision Systems Corp., Series L 4,062,632 3,895,312
Capital Goods--0.2% 548,625 BCP/Essex Holdings, Inc., Series B 14,421,061 14,127,094
Energy--0.1% 29,517 Consolidated Hydro, Inc. 14,891,917 2,951,700
250 Transamerican Energy 25,000 26,906
-------------- --------------
14,916,917 2,978,606
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
<CAPTION>
Shares
Industries Held Issue Cost Value
Preferred Stocks (concluded) High Income Portfolio
<S> <C> <C> <C> <C>
Entertainment--1.4% 76,999 Time Warner Entertainment Co. $ 76,842,626 $ 74,304,035
Paper--0.5% 295,000 S.D. Warren Co. 8,333,750 8,628,750
535,000 S.D. Warren Co. 15,072,190 16,317,500
-------------- --------------
23,405,940 24,946,250
Steel--0.2% 550,000 USX Capital LLC 13,750,000 13,200,000
Utilities--0.2% 100,000 El Paso Electric Company 10,000,000 10,525,000
Total Investments in Preferred
Stocks--3.4% 194,602,204 180,475,720
<PAGE>
Common Stocks
Communications--0.1% 210,096 Echostar Communications Corp. 1,492,461 5,908,950
Consumer 200,369 Culligan Water Technologies Inc. 1,686,248 7,614,022
Products--0.2% 200,369 Samsonite Corp. 2,398,992 4,132,611
-------------- --------------
4,085,240 11,746,633
Energy--0.0% 57,237 Mesa Inc. 325,690 314,803
Food & Beverage--0.1% 147,263 Foodbrands America 5,771,245 1,896,011
Gaming--0.0% 75,500 Goldriver Hotel & Casino Corporation
(Class B) (d) 540,045 0
Hotels--0.0% 6,539 Buckhead America Corp. 36,373 42,503
Industrial Services--0.0% 11,400 Thermadyne Industries, Inc. 165,300 249,375
Supermarkets--0.1% 120,194 ABCO Markets Inc. 4,054,875 0
521,389 Grand Union Co. 29,475,625 3,356,442
-------------- --------------
33,530,500 3,356,442
Total Investments in
Common Stocks--0.5% 45,946,854 23,514,717
Trusts & Warrants
Broadcasting/Cable--0.0% 177,500 American Telecasting Inc. (Warrants) (e) 413,723 931,875
20,000 People's Choice T.V. Corporation
(Warrants) (e) 117,784 30,000
-------------- --------------
531,507 961,875
Communications--0.0% 41,472 Comunicacion Celular (Warrants) (e) 45,308 207,360
57,040 Page Mart Inc. (Warrants) (e) 236,127 420,670
-------------- --------------
281,435 628,030
Energy--0.0% 18,000 Consolidated Hydro Inc. (Warrants) (e) 390,123 258,750
407,677 Transamerican Refining Corp. (Warrants) (e) 950,408 917,273
20,833 UGI Corp. (Warrants) (e) 91,057 4,687
-------------- --------------
1,431,588 1,180,710
Financial Services--0.0% 7,194 Reliance Group Holdings, Inc. (Warrants) (e) 0 0
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Shares
Industries Held Issue Cost Value
Trusts & Warrents (concluded) High Income Portfolio
<S> <C> <C> <C> <C>
Gaming--0.0% 7,550 Goldriver Hotel & Casino Corp.
Liquidating Trust $ 192,320 $ 68,514
113,386 Trump Castle Funding, Inc. (Warrants) (e) 0 0
-------------- --------------
192,320 68,514
Paper--0.0% 60,000 S.D. Warren Co. (Warrants) (e) 165,310 195,000
Steel--0.0% 25,000 Gulf States Steel (Warrants) (e) 275,399 7,187
Total Investments in Trusts &
Warrants--0.0% 2,877,559 3,041,316
Face Amount
Short-Term Securities
Commercial $50,000,000 Banc One Corporation, 5.35% due 7/30/1996 49,784,514 49,784,514
Paper***--8.3% 42,300,000 Corporate Asset Funding Co., Inc., 5.33%
due 7/23/1996 42,162,220 42,162,220
99,896,000 General Electric Capital Corp., 5.56%
due 7/01/1996 99,896,000 99,896,000
75,000,000 International Securitization Corp., 5.38%
due 7/24/1996 74,742,208 74,742,208
30,000,000 McKenna Triangle National Corp., 5.34%
due 7/15/1996 29,937,700 29,937,700
Navistar Financial Corporation:
25,000,000 5.76% due 7/18/1996 24,932,000 24,932,000
20,000,000 5.73% due 7/19/1996 19,942,700 19,942,700
70,000,000 Onyx Corp., 5.83% due 7/18/1996 69,807,286 69,807,286
The Vons Companies, Inc.:
20,000,000 5.75% due 7/08/1996 19,977,639 19,977,639
10,000,000 5.61% due 7/18/1996 9,973,508 9,973,508
-------------- --------------
441,155,775 441,155,775
Total Investments in Short-Term
Securities--8.3% 441,155,775 441,155,775
Total Investments--100.4% $5,437,595,834 5,341,382,671
<PAGE> ==============
Liabilities in Excess of Other Assets--(0.4%) (22,325,108)
--------------
Net Assets--100.0% $5,319,057,563
==============
Net Asset Class A--Based on net assets of $902,188,625 and 116,159,388 shares outstanding $ 7.77
Value: ==============
Class B--Based on net assets of $3,894,915,615 and 501,338,200 shares outstanding $ 7.77
==============
Class C--Based on net assets of $296,683,655 and 38,162,416 shares outstanding $ 7.77
==============
Class D--Based on net assets of $225,269,668 and 28,985,448 shares outstanding $ 7.77
==============
<FN>
++Subject to principal paydowns.
*Not Rated.
**Industry classifications for convertible bonds are:
(1) Conglomerates; (2) Health Services;
(3) Transportation Services; (4) 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 a zero coupon or step bond; the interest
rate shown is the effective yield at the time of
purchase by the Portfolio.
(b)Each $1,000 face amount contains one warrant of
American Telecasting, Inc.
(c)Each $1,000 face amount contains four common shares
of CS Wireless Systems Inc.
(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)Each $1,000 face amount contains one warrant of
Australis Media Ltd.
(g)Each $1,000 face amount contains one warrant of
Peoples Choice T.V. Corporation.
(h)Each $1,000 face amount contains one warrant of
United International Holdings, Inc.
(i)Each $1,000 face amount contains six warrants of
Echostar Communications Corp.
(j)Each $1,000 face amount contains one warrant of
Comunicacion Celular.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS
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 Bonds & Notes:
Obligations--4.5% AAA Aaa $ 6,000,000 5.75% due 9/30/1997 $ 5,994,453 $ 5,988,720
AAA Aaa 11,000,000 8.875% due 11/15/1997 11,354,063 11,410,740
AAA Aaa 5,000,000 9.25% due 8/15/1998 5,289,844 5,300,800
AAA Aaa 9,000,000 6.375% due 5/15/1999 8,990,156 9,019,710
AAA Aaa 3,500,000 5.875% due 6/30/2000 3,502,835 3,432,170
AAA Aaa 1,000,000 6.25% due 8/31/2000 1,006,875 992,970
AAA Aaa 2,500,000 7.50% due 5/15/2002 2,634,375 2,617,175
AAA Aaa 5,000,000 7.25% due 5/15/2004 5,510,938 5,180,450
AAA Aaa 4,000,000 7.875% due 11/15/2004 4,612,500 4,299,360
AAA Aaa 4,500,000 6.875% due 5/15/2006 4,562,188 4,549,905
AAA Aaa 11,500,000 6.875% due 8/15/2025 11,150,000 11,383,160
--------------- -------------
64,608,227 64,175,160
Asset-Backed AA Aa3 28,000,000 AT&T Universal Card, Master Trust,
Securities--5.3% 5.609% due 4/17/2003 28,000,000 28,000,000
AAA Aaa 15,000,000 Advanta Corp., 5.634% due 6/15/2005 14,995,312 14,990,625
AAA Aaa 31,255,000 Banc One, Master Trust (Series B),
7.55% due 12/15/1999 31,858,028 31,801,963
--------------- -------------
74,853,340 74,792,588
Banking--11.1% AA- Aa3 2,000,000 Banc One, Dayton, 6.625% due 4/15/2003 2,082,060 1,938,700
AA- Aa3 3,000,000 Banc One, Milwaukee, 6.625% due 4/15/2003 3,123,090 2,908,050
BankAmerica Corp.:
A+ A1 4,000,000 6.65% due 5/01/2001 3,996,120 3,963,936
A+ A1 3,000,000 7.125% due 5/12/2005 3,087,560 2,956,620
A A2 5,000,000 7.125% due 5/01/2006 4,846,700 4,905,150
A A1 10,000,000 CD Continental Bank, 7.875% due 2/01/2003 10,441,600 10,287,000
A- A2 10,300,000 Chase Manhattan Bank Corporation,
8.65% due 2/13/1999 10,805,215 10,736,720
A+ A1 7,000,000 Citicorp, 8.80% due 2/01/2000 (a) 7,000,000 7,104,860
A+ A2 6,000,000 Fifth Third Bank, 6.75% due 7/15/2005 5,960,400 5,769,720
First Bank System, Inc.:
A- A3 10,000,000 6.375% due 3/15/2001 9,843,688 9,714,400
A- A3 8,500,000 6.875% due 9/15/2007 8,421,290 8,182,950
<PAGE> A A2 3,000,000 First Chicago Corp., 9% due 6/15/1999 3,182,940 3,160,440
A- A2 9,000,000 First Union Corp., 6.75% due 1/15/1998 9,069,660 9,017,460
A- A3 5,000,000 Golden West Financial Corp., 9.15%
due 5/23/1998 5,678,700 5,224,500
A A2 6,350,000 Mellon Bank Corp., 7% due 3/15/2006 6,372,797 6,189,155
NationsBank Corporation:
A A2 5,000,000 7.50% due 2/15/1997 4,995,700 5,046,650
A A2 4,000,000 7% due 5/15/2003 3,984,000 3,977,880
A- A3 6,000,000 7.75% due 8/15/2015 6,000,000 5,994,960
Norwest Corp.:
AA- Aa3 17,000,000 6.25% due 4/15/1999 16,944,240 16,834,760
AA- Aa3 3,500,000 6.75% due 5/12/2000 3,494,785 3,491,285
A+ A1 3,500,000 6.625% due 3/15/2003 3,553,235 3,382,190
A A2 11,475,000 Security Pacific Corp., 9.80% due
7/01/2003 13,389,719 13,156,891
A- A3 7,500,000 US Bancorp, 6.75% due 10/15/2005 7,459,650 7,152,525
AA+ Aa2 6,000,000 Wachovia Bank of North Carolina,
6.55% due 6/09/1997 (a) 5,995,620 6,027,660
--------------- -------------
159,728,769 157,124,462
Federal AAA Aaa 15,000,000 Federal National Mortgage Association,
Agencies--1.1% 7.85% due 9/10/2004 14,817,437 15,220,350
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
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 A- A3 $14,000,000 Chrysler Financial Corp., 10.95%
Services-- due 8/01/2017 $ 16,298,000 $ 15,305,780
Captive--4.6% Ford Motor Credit Co.:
A+ A1 10,000,000 6.25% due 11/08/2000 9,957,700 9,754,400
A+ A1 1,000,000 7.75% due 3/15/2005 999,090 1,020,840
General Motors Acceptance Corp.:
A- A3 7,630,000 5% due 1/27/1997 (a) 7,501,587 7,586,356
A- A3 8,000,000 7.60% due 1/20/1998 (a) 7,829,600 8,160,480
A- A3 6,100,000 7.125% due 5/11/1998 (a) 6,168,808 6,180,581
A- A3 4,000,000 6.625% due 10/01/2002 3,992,800 3,905,640
A- A3 7,000,000 7.125% due 5/01/2003 6,964,230 6,996,640
A- A3 7,000,000 7.40% due 9/01/2025 6,943,580 6,634,600
--------------- -------------
66,655,395 65,545,317
<PAGE>
Financial Advanta Corp.:
Services-- BBB- Baa3 15,000,000 6.26% due 9/01/1997 (b) 14,991,450 14,992,500
Consumer--6.3.% BBB- Baa3 3,000,000 7% due 5/01/2001 2,974,950 3,001,380
American General Finance Corp.:
A+ A1 1,300,000 7.70% due 11/15/1997 1,322,074 1,320,852
A+ A1 2,500,000 8.50% due 8/15/1998 2,848,650 2,593,850
A+ A1 4,000,000 5.875% due 7/01/2000 3,850,040 3,855,120
A+ A1 10,000,000 6.375% due 3/01/2003 9,926,100 9,564,000
Associates Corp. of North America:
AA- Aa3 6,000,000 8.375% due 1/15/1998 6,019,320 6,170,940
AA- Aa3 2,000,000 5.25% due 9/01/1998 1,939,180 1,948,640
AA- Aa3 1,500,000 7.25% due 9/01/1999 1,481,430 1,522,200
CIT Group Holdings, Inc.:
A+ Aa3 8,000,000 5.65% due 5/02/1997(b) 8,000,000 7,977,120
A+ Aa3 10,000,000 7% due 9/30/1997 10,090,800 10,092,400
Finova Capital Corp.:
BBB+ Baa1 18,870,000 8.25% due 3/11/1997 19,202,489 19,138,143
BBB+ Baa1 7,000,000 6.375% due 10/15/2000 6,972,850 6,863,360
--------------- -------------
89,619,333 89,040,505
Financial Bear Stearns Companies, Inc.:
Services-- A A2 2,000,000 6.75% due 5/01/2001 1,993,680 1,979,260
Other--7.4% A A2 9,900,000 6.70% due 8/01/2003 8,945,640 9,567,459
A A2 3,000,000 8.75% due 3/15/2004 3,224,430 3,220,800
Dean Witter, Discover & Co.:
A A2 3,500,000 6.75% due 8/15/2000 3,486,805 3,485,930
A A2 3,000,000 6.30% due 1/15/2006 2,986,800 2,771,808
A A2 4,500,000 6.75% due 1/01/2016 4,500,000 4,048,740
A- Baa1 6,500,000 Donaldson, Lufkin & Jenrette Inc.,
5.625% due 2/15/2016 6,487,390 6,117,846
AA Aa1 13,000,000 GE Global Insurance Holding Corp.,
7% due 2/15/2026 12,876,500 12,076,610
AAA Aaa 6,000,000 General Electric Capital Corp.,
14% due 7/01/1996 (a) 6,811,140 6,000,000
A Baa1 5,000,000 Lehman Brothers Inc., 7.375% due 8/15/1997 4,993,500 5,038,150
A+ A1 7,000,000 Morgan Stanley Group Inc.,
5.625% due 3/01/1999 6,985,580 6,822,760
PaineWebber Group Inc.:
BBB+ Baa1 10,000,000 8.875% due 3/15/2005 9,997,850 10,754,200
BBB+ Baa1 1,500,000 7.625% due 2/15/2014 1,432,470 1,410,090
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
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 Smith Barney Holdings, Inc.:
Services-- A- A3 $ 7,000,000 6.50% due 10/15/2002 $ 6,961,080 $ 6,742,470
Other A- A3 6,000,000 6.875% due 6/15/2005 5,957,580 5,778,000
(concluded) The Travelers Corp.:
A+ A1 9,000,000 9.50% due 3/01/2002 9,610,100 10,030,320
A+ A1 9,000,000 7.875% due 5/15/2025 8,994,780 9,006,660
--------------- -------------
106,245,325 104,851,103
Industrial-- AA- A1 3,000,000 Anheuser-Busch Cos., Inc., 8.75% due
Consumer 12/01/1999 3,367,590 3,183,780
Goods--8.3% Dillard Department Stores, Inc.:
A+ A2 4,000,000 7.375% due 6/15/1999 4,254,860 4,048,600
A+ A2 5,000,000 9.125% due 8/01/2011 6,054,000 5,692,650
A- A3 3,000,000 International Paper Company,
7% due 6/01/2001 2,993,730 3,007,860
JC Penney & Co.:
A+ A1 5,000,000 6.375% due 9/15/2000 4,991,900 4,923,600
A+ A1 6,000,000 6.875% due 10/15/2015 5,938,260 5,531,460
AAA Aaa 7,000,000 Johnson & Johnson Co., 8.72% due 11/01/2024 7,057,420 7,581,210
AA Aa2 5,000,000 Kimberly-Clark Corporation, 7.875%
due 2/01/2023 5,084,900 5,021,200
BBB Baa2 9,000,000 Nabisco, Inc., 7.55% due 6/15/2015 8,981,960 8,618,490
A A2 9,500,000 Philip Morris Cos., Inc., 9% due 1/01/2001 9,698,815 10,207,275
RJR Nabisco, Inc.:
BBB- Baa3 4,750,000 6.25% due 1/31/1997 4,731,000 4,725,680
BBB- Baa3 3,000,000 8.75% due 4/15/2004 2,912,220 2,988,360
BBB- Baa3 13,000,000 8.75% due 8/15/2005 12,720,550 12,863,500
Sears, Roebuck & Co.:
A- A2 5,000,000 9.25% due 4/15/1998 5,712,125 5,231,450
A- A2 8,785,000 8.45% due 11/01/1998 9,709,797 9,093,090
AA Aa2 14,345,000 Wal-Mart Stores, Inc., 8.50% due 9/15/2024 14,488,240 15,126,372
A A2 10,000,000 Walt Disney Co., 6.375% due 3/30/2001 (c) 10,000,000 9,821,600
--------------- -------------
118,697,367 117,666,177
Industrial-- Texaco Capital Inc.:
Energy--0.9% A+ A1 5,500,000 9% due 12/15/1999 6,215,190 5,886,650
A+ A1 2,000,000 8.875% due 2/15/2021 (a) 1,999,720 2,319,880
A+ A1 4,500,000 8.625% due 4/01/2032 4,792,770 5,053,320
--------------- -------------
13,007,680 13,259,850
<PAGE>
Industrial-- BBB Baa2 12,000,000 Applied Materials Inc., 8% due 9/01/2004 11,912,280 12,408,960
Other--11.7% AA- Aa2 10,400,000 Archer-Daniels-Midland Co., 8.125%
due 6/01/2012 11,522,436 11,059,776
A A3 11,000,000 Carnival Cruise Lines, Inc., 7.70%
due 7/15/2004 11,028,940 11,053,020
A- A3 6,000,000 Circus Circus Enterprises, Inc., 6.45%
due 2/01/2006 5,986,860 5,552,160
Columbia/HCA Healthcare Corp.:
A- A3 9,000,000 6.87% due 9/15/2003 9,101,160 8,854,830
A- A3 6,000,000 9% due 12/15/2014 6,651,540 6,709,800
AA- Aa3 4,500,000 du Pont (E.I.) de Nemours & Co., 8.25%
due 1/15/2022 4,676,445 4,611,015
A+ A1 2,000,000 Electronic Data Systems Corp., 6.85% due
5/15/2000 1,998,420 2,006,182
BBB Baa2 9,000,000 Federal Express Corporation, 9.65% due
6/15/2012 10,137,590 10,403,640
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
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-- BBB+ A3 $10,000,000 Harris Corporation, 7% due 1/15/2026 $ 9,950,300 $ 9,032,500
Other Lockheed Martin Corp.:
(concluded) BBB+ A3 10,000,000 6.625% due 6/15/1998 9,998,700 10,035,900
BBB+ A3 8,750,000 6.55% due 5/15/1999 8,745,800 8,729,525
BBB+ A3 5,000,000 6.85% due 5/15/2001 4,995,950 4,987,650
BBB+ A3 11,000,000 Loral Corporation, 8.375% due 6/15/2024 11,056,040 11,690,470
BBB+ A3 7,500,000 Martin Marietta Corporation, 7.375%
due 4/15/2013 7,212,075 7,356,900
McDonnell Douglas Financial Corp.:
A- Baa2 9,000,000 8.625% due 4/01/1997 9,203,220 9,163,440
A- Baa2 5,000,000 6.30% due 10/20/1999 5,029,550 4,824,400
Service Corporation International:
BBB+ Baa1 7,000,000 6.75% due 6/01/2001 6,978,580 6,944,630
BBB+ Baa1 9,500,000 7.20% due 6/01/2006 9,471,215 9,403,148
Time Warner Entertainment Co.:
BBB- Baa3 6,000,000 8.875% due 10/01/2012 6,624,540 6,261,840
BBB- Baa3 5,000,000 8.375% due 3/15/2023 5,281,450 4,868,100
--------------- -------------
167,563,091 165,957,886
Supranational-- Asian Development Bank:
2.1% AAA Aaa 3,000,000 10.75% due 6/01/1997 3,302,730 3,120,120
AAA Aaa 5,000,000 6.125% due 3/09/2004 4,952,900 4,769,550
AAA Aaa 8,000,000 Inter-American Development Bank Co.,
8.875% due 6/01/2009 10,115,250 9,171,840
AAA Aaa 10,000,000 International Bank for Reconstruction &
Development, 12.375% due 10/15/2002 13,082,110 12,772,800
--------------- -------------
31,452,990 29,834,310
<PAGE>
Transportation-- BBB+ Baa2 15,000,000 Kansas City Southern Industries, Inc.,
2.1% 7% due 12/15/2025 14,805,750 13,179,750
Southwest Airlines, Inc.:
A- Baa1 10,000,000 9.40% due 7/01/2001 11,326,040 10,829,200
A- Baa1 2,000,000 8% due 3/01/2005 1,989,220 2,062,800
A- Baa1 3,000,000 7.875% due 9/01/2007 2,983,950 3,034,830
--------------- -------------
31,104,960 29,106,580
Utilities-- GTE Corp.:
Communications-- BBB+ A3 4,000,000 9.10% due 6/01/2003 4,242,720 4,419,480
1.2% BBB+ A3 9,500,000 8.75% due 11/01/2021 9,904,225 10,558,490
AA A1 2,000,000 Southwestern Bell Telecommunications
Corp., 6.125% due 3/01/2000 2,011,250 1,962,420
--------------- -------------
16,158,195 16,940,390
Utilities-- A A2 22,800,000 Central Power & Light Co., 6%
Electric--4.3% due 10/01/1997 22,712,058 22,729,320
AA- Aa2 6,000,000 Duke Power Co., 8% due 11/01/1999 5,964,660 6,234,420
A+ A1 2,000,000 Georgia Power Co., 6.125% due 9/01/1999 1,961,420 1,966,720
AA- A1 5,000,000 Northern States Power Company, 7.125%
due 7/01/2025 5,305,900 4,772,695
A- A3 11,000,000 Public Service Electric & Gas Co.,
7.125% due 11/01/1997 11,092,510 11,082,500
AA- A1 5,000,000 TECO Energy, Inc., 9.27% due 6/12/2000 (a) 5,000,000 5,427,500
A A2 8,500,000 Virginia Electric & Power Co., 8.625%
due 10/01/2024 8,377,160 9,074,821
--------------- -------------
60,413,708 61,287,976
Utilities-- AA- A1 7,500,000 Consolidated Natural Gas Co., 8.75%
Gas--0.6% due 6/01/1999 7,450,660 7,878,300
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
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>
Yankee AA- Aa2 $ 6,000,000 ABN AMRO Bank, 7.55% due 6/28/2006 (2) $ 5,999,160 $ 6,098,280
Corporates*-- BP America Inc. (9):
14.4% AA- Aa3 4,075,000 9.375% due 11/01/2000 4,488,287 4,460,006
AA- Aa3 11,000,000 10% due 7/01/2018 11,869,080 12,082,950
<PAGE> BBB+ A3 8,885,000 Bangkok Bank Public Company Limited,
7.25% due 9/15/2005 (2) 8,799,674 8,556,788
A+ A1 10,000,000 Bass America, Inc., 8.125% due 3/31/2002 (9) 10,250,610 10,535,000
AA- Aa3 9,500,000 CRA Finance Ltd., 6.50% due 12/01/2003 (1) 9,519,310 9,005,430
A A3 4,000,000 China Light & Power Company, Limited,
7.50% due 4/15/2006 (9) 3,974,520 3,940,440
Ford Capital B.V. (2):
A+ A1 10,000,000 9.875% due 5/15/2002 10,531,200 11,305,300
A+ A1 3,995,000 9.50% due 6/01/2010 4,430,215 4,594,410
Grand Metropolitan Investment Corp. (9):
A+ A2 4,000,000 6.50% due 9/15/1999 4,000,000 3,963,640
A+ A2 9,000,000 8.625% due 8/15/2001 9,412,690 9,676,890
A A3 11,500,000 Mass Transit Railway Corp., 7.25%
due 10/01/2005 (8) 11,657,700 11,124,985
A- A2 6,250,000 Maybank New York, 7.125% due 9/15/2005 (2) 6,217,937 6,096,062
A A1 8,000,000 Midland Bank PLC, 7.625% due 6/15/2006 (2) 7,980,960 8,105,120
News American Holdings, Inc. (9):
BBB Baa3 4,000,000 9.125% due 10/15/1999 4,298,640 4,257,240
BBB Baa3 10,000,000 8.625% due 2/01/2003 10,965,400 10,623,500
BBB Baa3 10,000,000 7.60% due 10/11/2015 9,917,800 9,307,200
A A2 10,000,000 Norsk Hydro AS, 7.15% due 11/15/2025 (9) 9,958,300 9,355,600
BBB Baa1 5,000,000 Petro-Canada, 9.25% due 10/15/2021 (4) 5,300,650 5,801,250
A+ A1 12,000,000 Petronas Corp., 6.875% due 7/01/2003 (9) 11,929,530 11,817,600
Philips Electronics N.V. (9):
BBB+ A3 5,000,000 8.375% due 9/15/2006 5,726,050 5,337,300
BBB+ A3 5,000,000 7.20% due 6/01/2026 4,988,700 4,968,800
A+ A1 12,000,000 Pohang Iron & Steel Industries Co., Ltd.,
7.375% due 5/15/2005 (7) 12,217,645 11,790,240
A+ A1 12,500,000 Telekom Malaysia BHD, 7.125%
due 8/01/2005 (9) 12,644,470 12,363,625
A A2 9,000,000 WMC (Western Mining Corp.) Finance Ltd.,
7.25% due 11/15/2013 (1) 9,089,100 8,625,060
--------------- -------------
206,167,628 203,792,716
Yankee AAA Aaa 4,000,000 Export-Import Bank of Japan, 8.35%
Soverign*-- due 12/01/1999 (3) 4,226,640 4,205,400
6.1% AA- A1 4,000,000 Export-Import Bank of Korea, 6.375%
due 2/15/2006 (6) 3,977,840 3,711,720
AA- A1 7,000,000 Korea Development Bank, 7.25% due
5/15/2006 (2) 6,850,340 6,850,340
Metropolis of Tokyo (Japan) (3):
AAA Aaa 3,550,000 9.25% due 10/11/1998 4,134,756 3,753,663
AAA Aaa 3,000,000 8.70% due 10/05/1999 3,469,410 3,173,580
AAA Aaa 4,000,000 9.25% due 11/08/2000 4,219,660 4,370,920
BBB A3 5,000,000 People's Republic of China, 7.375%
due 7/03/2001 (6) 4,978,250 4,978,250
AA- Aa3 11,000,000 Province of Ontario (Canada), 7.75%
due 6/04/2002 (5) 10,910,730 11,478,940
Province of Quebec (Canada) (5):
A+ A2 9,535,000 7.50% due 7/15/2002 10,058,986 9,759,835
A+ A2 6,000,000 8.80% due 4/15/2003 6,774,360 6,547,800
A+ A2 4,500,000 13% due 10/01/2013 5,706,285 5,241,870
A+ A2 6,000,000 7.125% due 2/09/2024 5,966,040 5,482,620
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
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>
Yankee AA A1 $13,803,000 Republic of Italy, 6.875% due
Soverign* 9/27/2023 (6) $ 11,896,625 $ 12,446,441
(concluded) A- A3 5,000,000 State of Israel, 6.375% due 12/15/2005 (6) 4,957,750 4,646,400
-------------- --------------
88,127,672 86,647,779
Total Investments in Bonds &
Notes--92.0% 1,316,671,777 1,303,121,449
Short-Term Securities
Commercial 40,000,000 Ford Motor Credit Co., 5.37% due
Paper**--2.8% 7/05/1996 39,976,133 39,976,133
Repurchase 57,299,000 UBS Securities Funding, Inc., purchased on
Agreements**--4.1% 6/28/1996 to yield 5.45% to 7/01/1996 57,299,000 57,299,000
Total Investments in Short-Term
Securities--6.9% 97,275,133 97,275,133
Total Investments--98.9% $1,413,946,910 1,400,396,582
==============
Other Assets Less Liabilities--1.1% 15,734,607
Net Assets--100.0% $1,416,131,189
==============
Net Asset Class A--Based on net assets of $592,422,497 and 53,037,110 shares outstanding $ 11.17
Value: ==============
Class B--Based on net assets of $714,768,629 and 63,991,406 shares outstanding $ 11.17
==============
Class C--Based on net assets of $59,010,297 and 5,281,059 shares outstanding $ 11.17
==============
Class D--Based on net assets of $49,929,766 and 4,467,284 shares outstanding $ 11.18
==============
<PAGE>
<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.
(8) Transportation. (9) Industrial.
**Commercial Paper is traded on a discount basis; the
interest rate shown is the discount rate paid at
the time of purchase by the Portfolio.
**Repurchase Agreements are fully collateralized
by US Government Obligations.
(a)Medium-Term Note.
(b)Floating Rate Note.
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS
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 Bonds & Notes:
Obligations--3.2% AAA Aaa $ 6,000,000 7.75% due 12/31/1999 $ 6,271,875 $ 6,251,220
AAA Aaa 1,000,000 7.50% due 5/15/2002 1,053,750 1,046,870
AAA Aaa 3,000,000 6.375% due 8/15/2002 3,003,750 2,976,090
AAA Aaa 2,000,000 6.25% due 2/15/2003 1,990,313 1,964,680
AAA Aaa 2,000,000 5.875% due 11/15/2005 2,030,313 1,884,060
AAA Aaa 1,000,000 6.875% due 5/15/2006 1,010,000 1,011,090
-------------- --------------
15,360,001 15,134,010
Asset-Backed AAA Aaa 2,000,000 Banc One, Master Trust (Series B),
Securities--0.4% 7.55% due 12/15/1999 2,037,109 2,035,000
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
S&P Moody's Face
Industries Rating Rating Amount Issue Cost Value
<PAGE>
Bonds & Notes (continued) Intermediate Term Portfolio
<S> <S> <S> <C> <S> <C> <C>
Banking--18.8% A- A2 $ 3,500,000 Bank of New York Company, Inc. (The),
7.875% due 11/15/2002 $ 3,873,450 $ 3,629,990
BankAmerica Corp.:
A+ A1 5,000,000 6.65% due 5/01/2001 4,997,250 4,954,920
A A2 4,000,000 7.50% due 10/15/2002 4,268,880 4,082,120
A A2 3,000,000 7.125% due 5/12/2005 2,956,500 2,956,620
A+ A1 2,000,000 Citicorp, 8.80% due 2/01/2000 2,000,000 2,029,960
A+ A2 4,000,000 Fifth Third Bank, 6.75% due 7/15/2005 3,973,600 3,846,480
A A2 9,000,000 First Chicago Corp., 9% due 6/15/1999 9,548,820 9,481,320
A- A3 4,000,000 Golden West Financial Corp., 9.15% due
5/23/1998 4,542,960 4,179,600
BBB+ A3 5,000,000 MBNA Corporation, 7.29% due 12/08/1997 5,074,550 5,073,650
A- A3 6,000,000 Mellon Financial, 6.875% due 3/01/2003 5,483,220 5,863,980
A A1 1,000,000 Midland Bank PLC, 7.625% due 6/15/2006 992,340 1,013,140
Nationsbank Corp.:
A A2 11,500,000 6.65% due 4/09/2002 11,423,540 11,293,690
A A2 6,000,000 7% due 5/15/2003 5,976,000 5,966,820
Norwest Corp.:
AA- Aa3 7,000,000 6.25% due 4/15/1999 6,977,040 6,931,960
A+ A1 1,000,000 6.625% due 3/15/2003 1,003,060 966,340
A- A3 2,500,000 US Bancorp, 6.75% due 10/15/2005 2,486,550 2,384,175
AA+ Aa2 5,000,000 Wachovia Corporation, 6% due 3/15/1999 4,890,950 4,941,900
BBB Baa1 9,000,000 Washington Mutual Inc., 7.25% due 8/15/2005 8,930,520 8,830,260
-------------- --------------
89,399,230 88,426,925
Federal AAA Aaa 2,500,000 Federal National Mortgage Association,
Agencies--0.5% 7.85% due 9/10/2004 2,496,484 2,536,725
Financial A+ A1 5,000,000 Ford Motor Credit Co., 7.75% due 3/15/2005 4,995,450 5,104,200
Services-- General Motors Acceptance Corp.:
Captive--5.3% A- A3 6,000,000 6.70% due 4/18/1997 6,090,180 6,025,860
A- A3 2,000,000 7.60% due 1/20/1998 1,957,400 2,040,120
A- A3 5,000,000 7.125% due 5/11/1998 5,056,400 5,066,050
A- A3 5,000,000 6.625% due 10/01/2002 4,991,000 4,882,050
A- A3 2,000,000 7.125% due 5/01/2003 1,989,780 1,999,040
-------------- --------------
25,080,210 25,117,320
Financial Advanta Corp.:
Services-- BBB- Baa3 10,000,000 6.26% due 9/01/1997 (a) 9,994,300 9,995,000
Consumer--9.4% BBB- Baa3 11,000,000 7% due 5/01/2001 10,980,980 11,005,060
Associates Corp. of North America:
AA- Aa3 1,500,000 8.375% due 1/15/1998 1,504,830 1,542,735
AA- Aa3 3,000,000 5.25% due 9/01/1998 2,908,770 2,922,960
CIT Group Holdings, Inc.:
A+ Aa3 4,000,000 7.625% due 12/05/1996 3,987,120 4,027,680
A+ Aa3 3,000,000 5.592% due 2/28/1997 (a) 2,998,020 2,999,070
<PAGE> Finova Capital Corp.:
BBB+ Baa1 7,000,000 6.375% due 10/15/2000 6,972,980 6,863,360
BBB+ Baa1 5,000,000 6.625% due 9/15/2001 5,096,550 4,900,050
-------------- --------------
44,443,550 44,255,915
Financial BBB Baa2 11,580,000 Alex Brown Inc., 7.625% due 8/15/2005 11,797,083 11,598,875
Services-- Bear Stearns Companies, Inc.:
Other--9.6% A A2 2,000,000 6.75% due 5/01/2001 1,993,680 1,979,260
A A2 3,000,000 8.75% due 3/15/2004 3,224,430 3,220,800
BBB+ Baa2 4,000,000 Comdisco, Inc., 7.25% due 4/15/1998 3,990,720 4,048,200
A A2 6,250,000 Dean Witter, Discover & Co., 6.75%
due 8/15/2000 6,226,438 6,224,875
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
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>
Financial A+ A1 $ 8,000,000 Morgan Stanley Group, Inc., 5.625%
Services-- due 3/01/1999 $ 7,983,520 $ 7,797,440
Other BBB+ Baa1 4,000,000 PaineWebber Group, Inc., 8.875% due
(concluded) 3/15/2005 4,025,080 4,301,680
Smith Barney Holdings Inc.:
A- A3 3,000,000 6.50% due 10/15/2002 2,986,120 2,889,630
A- A3 1,000,000 6.875% due 6/15/2005 992,930 963,000
A+ A1 2,000,000 The Travelers Corp., 9.50% due 3/01/2002 2,168,400 2,228,960
-------------- --------------
45,388,401 45,252,720
Industrial-- AA- A1 5,481,000 Anheuser-Busch Cos., Inc., 8.75%
Consumer due 12/01/1999 6,189,909 5,816,766
Goods--9.1% A- A3 2,000,000 International Paper Company, 7% due
6/01/2001 1,995,820 2,005,240
A+ A1 5,000,000 JC Penney & Co., 6.375% due 9/15/2000 4,991,900 4,923,600
Nabisco, Inc.:
BBB Baa2 5,000,000 6.70% due 6/15/2002 4,997,050 4,877,050
BBB Baa2 3,000,000 6.85% due 6/15/2005 2,994,300 2,867,220
A A1 4,000,000 PepsiCo., Inc., 6.125% due 1/15/1998 3,972,240 3,981,640
A A2 3,500,000 Philip Morris Cos., Inc., 9% due 1/01/2001 3,576,195 3,760,575
BBB- Baa3 3,000,000 RJR Nabisco Holding Corp., 8.75%
due 4/15/2004 2,911,320 2,988,360
Sears, Roebuck & Co.:
A- A2 2,500,000 9.25% due 4/15/1998 2,837,275 2,615,725
A- A2 7,000,000 8.45% due 11/01/1998 7,762,380 7,245,490
A A2 2,000,000 Walt Disney Co., 6.375% due 3/30/2001 (b) 2,000,000 1,964,320
-------------- --------------
44,228,389 43,045,986
<PAGE>
Industrial-- Texaco Capital Inc.:
Energy--0.9% A+ A1 2,000,000 6.875% due 7/15/1999 1,996,120 2,003,400
A+ A1 2,000,000 9% due 12/15/1999 2,342,460 2,140,600
-------------- --------------
4,338,580 4,144,000
Industrial-- Applied Materials Inc.:
Other--14.4% BBB Baa2 4,000,000 6.65% due 9/05/2000 4,000,000 3,960,600
BBB Baa2 4,000,000 8% due 9/01/2004 3,970,760 4,136,320
A A3 9,000,000 Carnival Cruise Lines, Inc., 7.70% due
7/15/2004 8,799,420 9,043,380
A- A3 7,000,000 Columbia/HCA Healthcare Corp., 6.87%
due 9/15/2003 7,043,300 6,887,090
A A1 3,500,000 Electronic Data Systems Corp., 6.85%
due 5/15/2000 3,497,235 3,510,819
BBB- Ba1 10,000,000 La Quinta Inns, Inc., 7.25% due 3/15/2004 9,949,000 9,600,110
Lockheed Martin Corp.:
BBB+ A3 1,000,000 6.625% due 6/15/1998 999,870 1,003,590
BBB+ A3 2,500,000 6.55% due 5/15/1999 2,498,800 2,494,150
BBB+ A3 5,000,000 6.85% due 5/15/2001 4,995,950 4,987,650
McDonnell Douglas Corporation:
A- Baa2 4,000,000 8.625% due 4/01/1997 4,142,720 4,072,640
A- Baa2 5,000,000 6.30% due 10/20/1999 5,029,550 4,824,400
Service Corporation International:
BBB+ Baa1 1,000,000 6.75% due 6/01/2001 996,940 992,090
BBB+ Baa1 1,500,000 7.20% due 6/01/2006 1,495,455 1,484,707
BBB- Baa3 5,000,000 Time Warner Entertainment, 9.625% due
5/01/2002 5,586,000 5,510,250
BBB- Ba1 5,000,000 Time Warner Inc., 7.95% due 2/01/2000 5,172,300 5,107,500
-------------- --------------
68,177,300 67,615,296
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued)
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 BB+ Baa3 $ 4,310,000 AMR Corporation, 9.50% due 7/15/1998 $ 4,606,528 $ 4,531,793
Services--3.5% AA A1 4,000,000 Boeing Co. (The), 6.35% due 6/15/2003 3,599,960 3,855,480
Southwest Airlines, Inc.:
A- Baa1 6,500,000 9.40% due 7/01/2001 7,564,180 7,038,980
A- Baa1 1,000,000 8% due 3/01/2005 994,610 1,031,400
-------------- --------------
16,765,278 16,457,653
<PAGE>
Utilities-- BBB+ A3 1,000,000 GTE Corporation, 9.375% due 12/01/2000 1,090,310 1,084,020
Communications--
0.2%
Utilities-- A- A3 4,000,000 Pennsylvania Power & Light Co., 5.50%
Electric--0.8% due 4/01/1998 3,991,280 3,937,480
Utilities-- AA- A1 2,000,000 Consolidated Natural Gas Co., 8.75%
Gas--0.5% due 6/01/1999 2,125,440 2,100,880
Yankee BBB+ A3 5,000,000 Bangkok Metropolitan Bank Public Company
Corporates*-- Limited, 7.25% due 9/15/2005 (8) 4,949,950 4,815,300
11.2% A+ A1 3,000,000 Bass America, Inc., 6.625% due 3/01/2003 (7) 2,825,520 2,907,270
AA- Aa3 4,000,000 CRA Finance Ltd., 6.50% due 12/01/2003 (4) 4,006,020 3,791,760
A+ A1 2,000,000 Ford Capital B.V., 9.875% due 5/15/2002 (8) 2,300,380 2,261,060
Grand Metropolitan Investment Corp. (8):
A+ A2 3,000,000 6.50% due 9/15/1999 3,040,120 2,972,730
A+ A2 3,000,000 8.625% due 8/15/2001 3,069,700 3,225,630
BBB Baa3 14,500,000 News America Holdings, Inc., 8.50%
due 2/15/2005 (7) 14,789,005 15,241,240
A+ A1 2,000,000 Petronas Corp., 6.875% due 7/01/2003 (7) 1,972,960 1,969,600
BBB+ A3 5,000,000 Philips Electronics N.V., 7.75% due
4/15/2004 (7) 5,430,750 5,101,250
A+ A1 1,000,000 Pohang Iron & Steel Co., 7.375%
due 5/15/2005 (6) 1,018,160 982,520
A+ A1 9,500,000 Telekom Malaysia BHD, 7.125% due
8/01/2005 (9) 9,682,695 9,396,355
-------------- --------------
53,085,260 52,664,715
Yankee AA- A1 3,000,000 Export-Import Bank of Korea, 6.375%
Sovereign*-- due 2/15/2006 (1) 2,983,380 2,783,790
6.1% AA- A1 2,000,000 Korea Development Bank, 7.25%
due 5/15/2006 (2) 1,957,240 1,957,240
AAA Aaa 2,000,000 Metropolis of Tokyo (Japan), 8.70%
due 10/05/1999 (5) 2,312,940 2,115,720
Province of Quebec (Canada) (3):
A+ A2 9,000,000 7.50% due 7/15/2002 9,486,070 9,212,220
A+ A2 5,000,000 8.80% due 4/15/2003 5,538,670 5,456,500
BB+ Baa3 5,000,000 Republic of South Africa, 9.625%
due 12/15/1999 (1) 4,855,000 5,266,600
A- A3 2,000,000 State of Israel, 6.375% due 12/15/2005 (1) 1,983,100 1,858,560
-------------- --------------
29,116,400 28,650,630
Total Investments in Bonds & Notes--93.9% 447,123,222 442,459,275
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Face
Amount Issue Cost Value
Short-Term Securities International Term Portfolio
<C> <S> <C> <C>
Commercial $ 6,000,000 General Electric Capital Corp.,
Paper**--1.3% 5.35% due 7/02/1996 $ 5,999,108 $ 5,999,108
Repurchase 15,470,000 UBS Securities Funding, Inc., purchased on
Agreememnts***--3.3% 6/28/1996 to yield 5.45% to 7/01/1996 15,470,000 15,470,000
Total Investments in Short-Term
Securities--4.6% 21,469,108 21,469,108
Total Investments--98.5% $468,592,330 463,928,383
============
Other Assets Less Liabilities--1.5% 7,001,582
------------
Net Assets--100.0% $470,929,965
============
Net Asset Value: Class A--Based on net assets of $214,259,538 and 18,999,991 shares outstanding $ 11.28
============
Class B--Based on net assets of $217,319,205 and 19,270,406 shares outstanding $ 11.28
============
Class C--Based on net assets of $9,240,307 and 819,347 shares outstanding $ 11.28
============
Class D--Based on net assets of $30,110,915 and 2,669,904 shares outstanding $ 11.28
============
<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.
(7) Industrial. (8) Financial Institutional. (9) Communications.
**Commercial Paper is traded on a discount basis; the interest rates
shown is the discount rate paid at the time of purchase by the
Portfolio.
***Repurchase Agreements are fully collateralized by US Government
Obligations.
(a)Floating Rate Note.
</TABLE>
<PAGE>
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
Ira J. Shapiro, Secretary
Custodian
State Street Bank and Trust Company
P.O. Box 1713
Boston, Massachusetts 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
