<PAGE>
BEA Strategic Global Income Fund, Inc.
153 East 53rd Street
New York, NY 10022
- ---------------------------------------------
OFFICERS AND DIRECTORS
<TABLE>
<S> <C>
William W. Priest, Jr. Suzanne E. Moran
CHAIRMAN OF THE BOARD INVESTMENT OFFICER
Prof. Enrique R. Arzac Hal Liebes
DIRECTOR SENIOR VICE PRESIDENT
Lawrence J. Fox Michael A. Pignataro
DIRECTOR SECRETARY
James S. Pasman, Jr. Wendy S. Setnicka
DIRECTOR VICE PRESIDENT
Richard J. Lindquist AND TREASURER
PRESIDENT AND CHIEF INVESTMENT Paul Roselli
OFFICER ASSISTANT TREASURER
Gregg M. Diliberto
INVESTMENT OFFICER
</TABLE>
- --------------------------------------------------------
INVESTMENT ADVISER
BEA Associates
153 East 53rd Street
New York, New York 10022
Phone 1-800-293-1232
- --------------------------------------------------------
ADMINISTRATOR
Chase Global Funds Services Co.
73 Tremont Street
Boston, Massachusetts 02108
- --------------------------------------------------------
CUSTODIAN
The Chase Manhattan Bank
3 Chase MetroTech Center
Brooklyn, New York 11245
- --------------------------------------------------------
SHAREHOLDER SERVICING AGENT
The Chase Manhattan Bank
4 New York Plaza
New York, New York 10004
Phone 1-800-428-8890
- --------------------------------------------------------
LEGAL COUNSEL
Willkie Farr & Gallagher
153 East 53rd Street
New York, New York 10022
- --------------------------------------------------------
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
1177 Avenue of the Americas
New York, New York 10036
- --------------------------------------------------------
INCREASE YOUR FUND HOLDINGS THROUGH DIVIDEND
REINVESTMENT AND DIRECT CASH PURCHASES
The Fund offers the opportunity for all shareholders to participate in the
Fund's Dividend Reinvestment and Cash Purchase Plan (the "Plan"). Under the
Plan, participating shareholders receive, in lieu of cash dividends, common
stock of the Fund. In addition, participants in the Plan have the option of
making voluntary cash payments of $100 to $1,000 (per investment period), plus
any dividends received in cash, to the Plan Agent to purchase Fund shares in the
open market. A description of the Plan and additional information concerning
terms and conditions, and any applicable charges relating to the Plan is
included at the back of this report.
- --------------------------------------------------------------------------------
BEA Strategic Global Income Fund, Inc.
- --------------------------------------------------------------------------------
FIRST QUARTER REPORT
March 31, 1998
<PAGE>
BEA STRATEGIC GLOBAL INCOME FUND, INC.
- ----------
Dear Shareholders: May 11, 1998
We are pleased to report on the activities of the BEA Strategic Global Income
Fund, Inc. ("the Fund") for the quarter ended March 31, 1998 and to discuss our
investment strategy.
At March 31, 1998, the Fund's net asset value ("NAV") was $11.02, compared
to an NAV of $10.79 at December 31, 1997. As a result, the Fund's total return
(based on NAV and assuming reinvestment of dividends of $0.295 per share) for
the period was 5.05%. For the twelve months ended March 31, 1998, the Fund's
total return was 17.30% (based on NAV and assuming reinvestment of dividends of
$.9175 per share).
At March 31, 1998, $57.8 million was invested in high yield debt securities;
$4.0 million in investment-grade debt securities; $23.3 million in
emerging-market debt securities; and the balance of $7.0 million in equity
securities. Of the debt securities, the largest concentration (52.19%) was
invested in B-rated issues.
THE MARKET
Despite some volatility during the first quarter, long-term U.S. interest
rates ended the period virtually unchanged from where they started. As
represented by the yield on the bellwether 30-year Treasury bond, rates began
the quarter at 5.92% and ended it at 5.93%.
Bonds' performance reflected several factors. Perhaps most important was the
receding impact of the "Asian Flu" of currency devaluation and widespread
weakness in global financial markets, which dominated trading activity in last
year's fourth quarter. Investor perceptions regarding any official adjustment of
interest rates were mixed, furthermore, thus muting the potential for sustained
price movement in either direction. Finally, an unusual coincidence of
conflicting economic forces (I.E., the strength of the economy coupled with the
simultaneous deflationary wave originating from the problems in Asia) remained
intact.
High yield outperformed the major investment-grade fixed income sectors in
this environment. Most investment-grade sectors (E.G., Treasury instruments,
corporate bonds, mortgage and asset-backed securities) returned between 1-2%
during the quarter, well below the 4.0% generated by the Salomon Smith Barney
High-Yield Market Index.
As we have done for many consecutive quarters now, we note several
statistics that attest to the high yield market's extraordinary vibrance. New
issuance during the first quarter reached a record $49.7 billion, handily
surpassing the previous high of $37.4 billion set in 1997's third quarter. Net
new inflows into high yield mutual funds totaled approximately $7.8 billion,
more than twice the $3.7 billion recorded in the same period a year ago. The
total size of the market grew to a new high of $500 billion, 11% higher than the
previous record of $452 billion at year-end 1997. [All data supplied by Chase
Securities.]
Emerging debt markets rebounded from their fourth-quarter woes to reach new
highs. The sector posted a strong return from mid-February to the end of March,
for several reasons. These included the announcement of an agreement to shore up
oil prices by reducing production, which most benefited the bonds of Venezuela,
Nigeria, Ecuador and Mexico; the finalization of a restructuring plan for South
Korea's commercial bank debt; successful Eurobond issuance by Argentina, Brazil,
Mexico and Russia; and rising investor enthusiasm about Russia in early March.
PORTFOLIO REVIEW
We attribute the Fund's outperformance of the broad high yield market (I.E.,
the Salomon Smith Barney index) to several factors. These included our success
both in weighting industry sectors and selecting individual securities, as well
as our meaningful allocation of assets to emerging-market debt, which generated
relatively high returns during the quarter.
Four of our largest industry allocations figured prominently in the Fund's
overall return. These included telecommunications, cable and media, gaming and
energy.
- - Aggregate telecommunications debt issues enjoyed strong quarterly
performance, powered by continued expectations of mergers and acquisitions
(M&A) activity and good industry growth. The Fund benefited
disproportionately, as our telecommunications weighting in the portfolio
exceeded that of the broad high yield market.
2
<PAGE>
- - In cable and media, we had the good fortune to own private-issue securities
in Diva Systems, an exciting company pioneering the provision of "video on
demand" services. Diva refinanced these securities during the quarter at
terms that were highly profitable to the Fund.
- - The gaming sector achieved attractive quarterly returns based on investors'
M&A expectations. We are pleased to point out in this context that one of our
gaming holdings, Casino Magic, announced in February that it would be
acquired by Hollywood Park.
- - Energy was weak during the quarter, as the debt and equity securities of
oil-related companies were hurt by a downturn in oil and gas prices. Not only
did we maintain an underweighting in energy relative to the benchmark, but we
also concentrated the Fund's holdings in energy service companies, which did
well.
Within our emerging-market holdings, effective country weightings
contributed the most to performance. More specifically, we underweighted
Argentina, Venezuela and Ecuador while overweighting Brazil, Russia and
Bulgaria. A neutral weighting in Mexico also helped returns.
OUTLOOK
HIGH YIELD. Our fundamental outlook for the high yield market continues to
be quite positive. Investor interest in the market has been rising for some time
now and does not appear to be slowing down.
The key to our view is the unusually favorable macroeconomic climate, which
has become widely known as "Goldilocks" (I.E., not too hot, not too cold, just
right). In today's Goldilocks scenario, the climate for inflation and interest
rates is benign and should remain so for the foreseeable future. With the
economy humming along at a moderate yet sustainable pace, there appears to be
little risk that inflation will appreciably increase.
Another plus for high yield is the ongoing strength of corporate M&A
activity. As we noted earlier, this trend is an important element in our
investment theses for the telecommunications and gaming industries, whose
favorable returns have been critical to the Fund's performance over the last few
quarters.
We have not changed the basic components of our strategy. These include a
preference for issues with better credit ratings within the high yield sector,
and the retention of our largest sector allocations in telecommunications, cable
and media, and gaming.
INTERNATIONAL. In our view, the prospects for emerging debt markets remain
attractive. We expect that volatility will persist and the heavy new-issue
calendar (notably including $4 billion issued by South Korea in early April)
will set the tone for relative spreads in sovereign securities. While Asia
continues to exert a critical influence, the commitment to reforms exhibited by
most Latin American and Central European nations since the crisis period in late
1997 provides the market with a strong base of support. Any stability in oil
prices at current or even higher levels should be favorable for the entire
sector.
As developments occur that we believe would be of interest to you, we will
keep you informed. Meanwhile, if you have any questions about your portfolio or
the capital markets generally, please feel free to call upon us at any time.
We appreciate your interest in the Fund and would be pleased to respond to
your questions or comments. Any questions regarding net asset value,
performance, dividends, portfolio management or allocations should be directed
to BEA Associates at (800) 293-1232. All other inquiries regarding account
information or requests for a prospectus or other reports should be directed to
the Fund's Shareholder Servicing Agent at (800) 428-8890.
Sincerely yours,
/S/ RICHARD J. LINDQUIST
Richard J. Lindquist
PRESIDENT AND CHIEF INVESTMENT OFFICER*
/S/ WILLIAM W. PRIEST, JR.
William W. Priest, Jr.
CHAIRMAN OF THE BOARD*
*Richard J. Lindquist, who is a member of the Executive Committee and is an
Executive Director of BEA Associates, is primarily responsible for management of
the Fund's assets. He has served in such capacity since November 21, 1996. Prior
to November 21, 1996, he served as Vice President to the Fund, a position he
assumed on August 15, 1989. Mr. Lindquist joined BEA Associates on May 1, 1995
as a result of BEA's acquisition of CS First Boston Investment Management
Corporation ("CSFBIM"). Prior to joining BEA Associates, Mr. Lindquist served
various offices at CSFBIM beginning in July, 1989. Mr. Lindquist is also
President and Chief Investment Officer of BEA Income Fund, Inc.
William W. Priest, Jr., who is Chairman of the Executive Committee and holds
the offices of Executive Director and Chief Executive Officer of BEA Associates
joined BEA Associates in 1972. Mr. Priest is Director and President of The
Indonesia Fund, Inc., and Director and Chairman of the Board of BEA Income Fund,
Inc., The Brazilian Equity Fund, Inc., The Chile Fund, Inc., The Emerging
Markets Infrastructure Fund, Inc., The Emerging Markets Telecommunications Fund,
Inc., The First Israel Fund, Inc., The Latin America Equity Fund, Inc., The
Latin America Investment Fund, Inc. and The Portugal Fund, Inc.
3
<PAGE>
PORTFOLIO OF INVESTMENTS (UNAUDITED)
- ---------
MARCH 31, 1998
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
- --------------------------------------------------------------------------------------------
- -----------------
DOMESTIC SECURITIES (73.9%)
- --------------------------------------------------------------------------------------------
- -----------------
CORPORATE OBLIGATIONS (63.1%)
- --------------------------------------------------------------------------------------------
- -----------------
AUTOMOTIVE (1.6%)
Cambridge Industries, Inc.
Sr. Sub. Notes
10.25%, 7/15/07 N/R $ 250 $ 262,187
Collins & Aikman
Products Corp.
Sr. Sub. Notes
11.50%, 4/15/06 B3 250 281,250
Consorcio G Grupo Dina S.A./ MCII Holdings
(U.S.A.), Inc.
Sr. Secured Discount Notes
Zero Coupon, 11/15/02 N/R 400 378,000
Delco Remy International, Inc.
Gtd. Sr. Sub. Notes
10.625%, 8/1/06 B2 250 275,625
Oxford Automotive, Inc.
Gtd. Sr. Sub. Notes
10.125%, 6/15/07 Caa1 250 265,625
-----------
GROUP TOTAL 1,462,687
-----------
- --------------------------------------------------------------------------------------------
- -----------------
BROADCASTING (5.5%)
(3)(8) Acme Television, L.L.C./
ACME Financial Corp.
Gtd. Sr. Discount Notes
0.00%, 9/30/04 B3 500 410,000
(8) Australis Holdings Pty. Ltd.
Yankee Sr. Secured
Discount Notes
0.00%, 11/1/02 N/R 250 57,855
(8) Australis Media Ltd.
Yankee Units
0.00%, 5/15/03 C 229 57,213
(8) Capstar Broadcasting Partners, Inc.
Sr. Discount Notes
0.00%, 2/1/09 N/R 500 375,000
Digital Television Services, L.L.C./DTS
Capital, Inc.
Gtd. Sr. Sub. Notes
12.50%, 8/1/07 B3 250 286,250
(8) EchoStar Communications Corp.
Gtd. Sr. Discount Notes
0.00%, 6/1/04 B2 300 289,875
Jacor Communications, Inc.
Sr. Sub. Notes
8.00%, 2/15/10 B2 250 251,562
(3) Mentus Media Corp.
Units
12.00%, 2/1/03 N/R 350 350,875
Pegasus Media & Communications, Inc.
Series B, Notes
12.50%, 7/1/05 B2 250 286,250
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
Sinclair Broadcast Group, Inc.:
Sr. Sub. Notes
10.00%, 9/30/05 B2 $ 300 $ 324,750
Gtd. Sr. Sub. Notes
8.75%, 12/15/07 B2 250 257,500
(3) Source Media, Inc.
Gtd. Sr. Secured Notes
12.00%, 11/1/04 B3 250 248,750
(8) Spanish Broadcasting System, Inc.
Sr. Notes
12.50%, 6/15/02 B2 250 286,250
(3)(8) United International Holdings
Sr. Secured Discount Notes
0.00%, 2/15/08 B3 500 311,875
Univision Network
Holding L.P.
Sub. Notes Zero Coupon,
12/17/02 N/R 573 638,979
Young Broadcasting, Inc.
Series B, Gtd. Sr. Sub. Notes:
9.00%, 1/15/06 B2 200 207,500
8.75%, 6/15/07 B2 450 462,375
-----------
GROUP TOTAL 5,102,859
-----------
- --------------------------------------------------------------------------------------------
- -----------------
BUSINESS SERVICES (0.3%)
Iron Mountain, Inc.
Sr. Notes
8.75%, 9/30/09 B3 250 258,125
-----------
- --------------------------------------------------------------------------------------------
- -----------------
CABLE (6.0%)
Adelphia
Communications Corp.
Series B, Sr. Notes
8.375%, 2/1/08 B3 200 200,500
CSC Holdings, Inc.
Sr. Sub. Debentures
9.825%, 2/13/13 B1 250 276,250
Century
Communications Corp.
Sr. Notes
8.75%, 10/1/07 Ba3 250 260,000
Charter Communications Southeast L.P.
Series B, Sr. Notes
11.25%, 3/15/06 B3 250 277,500
Comcast Corp.
Sr. Sub. Notes
9.125%, 10/15/06 Ba3 250 265,000
(8) Comcast UK Cable
Partners Ltd.
Yankee Sr. Debentures
0.00%, 11/15/07 B2 500 415,000
(3)(8) DIVA Systems Corp.
Units
0.00%, 3/1/08 N/R 811 462,270
(8) Diamond Cable Communications plc
Yankee Discount Notes
0.00%, 12/15/05 Caa1 500 397,500
</TABLE>
4
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(4) Falcon Holding Group L.P.
Sr. Sub. Notes
11.00%, 9/15/03 B3 $ 215 $ 230,939
Helicon Group L.P.
Series B, Sr. Secured Notes
11.00%, 11/1/03 B1 200 215,250
InterMedia Capital Partners IV
L.P./InterMedia Partners Capital Corp.
Sr. Notes
11.25%, 8/1/06 B2 250 280,313
Lenfest Communications, Inc.
Sr. Sub. Notes
10.50%, 6/15/06 B2 500 570,000
(8) Marcus Cable Co.
Sr. Discount Notes
0.00%, 12/15/05 B3 350 318,500
NTL, Inc.:
(8) Series B, Sr. Deferred
Coupon Notes
0.00%, 2/1/06 B3 500 407,500
Series B, Sr. Notes
10.00%, 2/15/07 B3 250 270,625
OpTel, Inc.
Series B, Sr. Notes
13.00%, 2/15/05 B3 250 277,500
Rifkin Acquisitions Partners L.P.
Sr. Sub. Notes
11.125%, 1/15/06 B3 250 276,875
(8) Telewest Communications plc
Yankee Sr. Sub. Discount Debentures
0.00%, 10/1/07 B1 250 203,750
-----------
GROUP TOTAL 5,605,272
-----------
- --------------------------------------------------------------------------------------------
- -----------------
CHEMICALS (1.8%)
Applied Extrusion Technologies, Inc.
Series B, Sr. Notes
11.50%, 4/1/02 B2 250 267,188
Huntsman Polymers Corp.
Sr. Notes
11.75%, 12/1/04 B1 400 446,500
NL Industries Inc.:
Sr. Secured Notes
11.75%, 10/15/03 B1 150 166,875
(8) Sr. Secured Discount Debentures
0.00%, 10/15/05 B2 250 255,625
Texas Petrochemical Corp.
Series B, Sr. Sub. Notes
11.125%, 7/1/06 B3 200 220,750
UCC Investor's Holdings, Inc.
Sr. Sub. Notes
11.00%, 5/1/03 B2 350 371,000
-----------
GROUP TOTAL 1,727,938
-----------
- --------------------------------------------------------------------------------------------
- -----------------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
CONSTRUCTION & BUILDING MATERIALS (0.5%)
(3) American Architectural Products Corp.
Sr. Notes
11.75%, 12/1/07 Caa1 $ 250 $ 261,875
Presley Companies
Sr. Notes
12.50%, 7/1/01 Caa3 250 241,250
-----------
GROUP TOTAL 503,125
-----------
- --------------------------------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (2.7%)
(8) Coinstar Inc.
Sr. Discount Notes
0.00%, 10/1/06 N/R 600 468,750
(3) Holmes Products Corp.
Gtd. Sr. Sub. Notes
9.875%, 11/15/07 B3 200 207,000
Jordan Industries, Inc.
Series B, Sr. Notes
10.375%, 8/1/07 N/R 225 232,875
Playtex Products, Inc.
Series B, Gtd. Sr. Notes
8.875%, 7/15/04 B1 200 207,000
Renaissance Cosmetics, Inc.
Gtd. Sr. Notes
11.75%, 2/15/04 Caa2 250 134,375
(3) Revlon Consumer Products, Inc.
Series B, Sr. Sub. Notes
8.625%, 2/1/08 B3 250 253,750
Revlon Worldwide
(Parent) Corp.
Series B, Sr. Secured Discount Notes Zero
Coupon,
3/15/01 B3 300 231,000
Signature Brands USA, Inc.
Sr. Sub. Notes
13.00%, 8/15/02 B3 500 551,250
(2) Town & Country Corp.
Sr. Sub. Notes
13.00%, 5/31/98 Ca 616 240,266
-----------
GROUP TOTAL 2,526,266
-----------
- --------------------------------------------------------------------------------------------
- -----------------
ELECTRONICS (2.3%)
Advanced Micro Devices, Inc.
Sr. Secured Notes
11.00%, 8/1/03 Ba1 250 267,500
(3) Details, Inc.
Sr. Sub. Notes
10.00%, 11/15/05 N/R 250 261,250
(3) Flextronics International Ltd.
Sr. Sub. Notes
8.75%, 10/15/07 B2 300 301,500
Unisys Corp.
Sr. Notes
11.75%, 10/15/04 B1 300 347,250
(3) Verio, Inc.
Units
13.50%, 6/15/04 N/R 400 540,000
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
Viasystems, Inc.
Sr. Sub. Notes
9.75%, 6/1/07 B3 $ 250 $ 261,875
(3) Zilog, Inc.
Sr. Notes
9.50%, 3/1/05 B2 150 147,375
-----------
GROUP TOTAL 2,126,750
-----------
- --------------------------------------------------------------------------------------------
- -----------------
ENERGY (2.9%)
Belden & Blake Energy Co.
Series B, Gtd. Sr. Sub. Notes
9.875%, 6/15/07 N/R 200 203,500
Bellwether Exploration Co.
Gtd. Sr. Sub. Notes
10.875%, 4/1/07 B3 350 371,000
(3) Canadian Forest Oil Ltd.
Gtd. Sr. Sub. Notes
8.75%, 9/15/07 B2 250 255,000
Cliffs Drilling Co.
Series D, Gtd. Sr. Notes
10.25%, 5/15/03 N/R 250 270,625
Dawson Production Services, Inc.
Sr. Notes
9.375%, 2/1/07 B1 150 154,312
Dual Drilling Co.
Gtd. Sr. Sub. Notes
9.875%, 1/15/04 Baa3 250 269,375
Energy Corp. of America
Series A, Sr. Sub. Notes
9.50%, 5/15/07 B2 250 250,313
H.S. Resources, Inc.
Gtd. Sr. Sub. Notes
9.25%, 11/15/06 B2 250 256,250
Southwest Royalties, Inc.
Gtd. Sr. Notes
10.50%, 10/15/04 B3 250 222,500
TransAmerican Energy
Sr. Secured Notes
11.50%, 6/15/02 B3 200 199,000
Wiser Oil Co.
Gtd. Sr. Sub. Notes
9.50%, 5/15/07 B2 250 243,125
-----------
GROUP TOTAL 2,695,000
-----------
- --------------------------------------------------------------------------------------------
- -----------------
ENTERTAINMENT (2.9%)
American Skiing Co.
Series B, Sr. Sub. Notes
12.00%, 7/15/06 B3 200 224,500
Bally Total Fitness
Holding Corp.
Series B, Sr. Sub. Notes
9.875%, 10/15/07 B3 250 266,250
Booth Creek Ski Holdings, Inc.
Series B, Sr. Notes
12.50%, 3/15/07 Caa1 250 258,125
Cinemark U.S.A., Inc.
Series D, Sr. Sub. Notes
9.625%, 8/1/08 N/R 200 210,250
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
Cobblestone Holdings, Inc.
Series B, Sr. Notes
Zero Coupon, 6/1/04 Caa1 $ 300 $ 152,250
Genmar Holdings, Inc.
Series A, Sr. Sub. Notes
13.50%, 7/15/01 Caa2 500 510,000
PTI Holdings, Inc.
Sub. Notes
Zero Coupon, 12/17/02 N/R 507 565,210
(3) Premier Cruises, Ltd.
Sr. Notes
11.00%, 3/15/08 B3 250 246,875
(3) Production Resource Group L.L.C./PRG Finance
Group
Gtd. Sr. Sub. Notes
11.50%, 1/15/08 Caa2 250 246,563
-----------
GROUP TOTAL 2,680,023
-----------
- --------------------------------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (0.3%)
(2) Westfed Holdings
Sr. Debentures
15.50%, 9/15/99 N/R 250 250,000
-----------
- --------------------------------------------------------------------------------------------
- -----------------
FOOD & BEVERAGES (0.8%)
AmeriServ Food Distribution, Inc.
Gtd. Sr. Notes
8.875%, 10/15/06 B1 250 257,500
Archibald Candy Corp.
Gtd. Sr. Secured Notes
10.25%, 7/1/04 B2 250 266,250
Fleming Companies, Inc.
Gtd. Sr. Sub. Notes
10.50%, 12/1/04 B3 200 212,500
-----------
GROUP TOTAL 736,250
-----------
- --------------------------------------------------------------------------------------------
- -----------------
HEALTH CARE (0.3%)
Integrated Health Services, Inc.
Sr. Sub. Notes
9.25%, 1/15/08 B2 250 263,125
-----------
- --------------------------------------------------------------------------------------------
- -----------------
INDUSTRIAL GOODS & MATERIALS (3.2%)
Atlantis Group, Inc.
Sr. Notes
11.00%, 2/15/03 B2 250 266,250
(3) Golden Ocean Group, Ltd.
Units
10.00%, 8/31/01 B3 684 524,115
Haynes International, Inc.
Sr. Notes
11.625%, 9/1/04 B3 250 283,125
(8) IHF Holdings, Inc.
Series B, Sr. Sec.
Discount Notes
0.00%, 11/15/04 Caa2 250 211,250
MVE, Inc.
Sr. Secured Debentures
12.50%, 2/15/02 B3 440 447,700
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
Park-Ohio Industries, Inc.
Sr. Sub. Notes
9.25%, 12/1/07 B2 $ 200 $ 210,500
SRI Receivables
Purchase Co., Inc.
Series B, Notes
12.50%, 12/15/00 N/R 500 520,000
Specialty Equipment Companies, Inc.
Sr. Sub. Notes
11.375%, 12/1/03 B3 450 487,125
-----------
GROUP TOTAL 2,950,065
-----------
- --------------------------------------------------------------------------------------------
- -----------------
METALS & MINING (2.8%)
Algoma Steel, Inc.
Yankee First Mortgage Notes
12.375%, 7/15/05 B1 250 297,500
Bayou Steel Corp.
First Mortgage Notes
10.25%, 3/1/01 B2 250 257,500
Gulf States Steel, Inc.
First Mortgage Notes
13.50%, 4/15/03 B1 250 258,125
(3) Metallurg, Inc.
Gtd. Sr. Notes
11.00%, 12/1/07 B3 250 262,500
NS Group, Inc.
Gtd. Sr. Secured Debentures
13.50%, 7/15/03 Ba2 150 174,938
Republic Engineered Steel, Inc.
First Mortgage Bonds
9.875%, 12/15/01 Caa1 250 252,500
Sheffield Steel Corp.
Series B, First Mortgage Notes
11.50%, 12/1/05 N/R 250 260,000
WCI Steel, Inc.
Series B, Sr. Secured Notes
10.00%, 12/1/04 B2 250 263,750
Weirton Steel Corp.
Sr. Notes
11.375%, 7/1/04 B2 300 324,000
(3) Wheeling-Pittsburgh Corp.
Sr. Notes
9.25%, 11/15/07 B2 250 253,750
-----------
GROUP TOTAL 2,604,563
-----------
- --------------------------------------------------------------------------------------------
- -----------------
PACKAGING/CONTAINERS (2.9%)
(3) AEP Industries, Inc.
Sr. Sub. Notes
9.875%, 11/15/07 B2 400 425,500
BWAY Corp.
Gtd. Sr. Sub. Notes
10.25%, 4/15/07 B2 150 162,750
Container Corp. of America
Gtd. Sr. Notes
9.75%, 4/1/03 B1 250 268,437
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(8) Crown Packaging
Enterprises Ltd.
Yankee Sr. Secured Discount Notes
0.00%, 8/1/06 Ca $ 775 $ 7,750
Four M Corp.
Series B, Sr. Secured Notes
12.00%, 6/1/06 B3 350 372,313
Gaylord Container Corp.
Series B, Sr. Notes
9.75%, 6/15/07 B3 250 256,875
Plastic Containers, Inc.
Series B, Sr. Secured Notes
10.00%, 12/15/06 B1 250 276,250
Radnor Holdings, Inc.
Series B, Gtd. Sr. Notes
10.00%, 12/1/03 B2 400 421,000
Riverwood International Corp.
Gtd. Sr. Sub. Notes
10.875%, 4/1/08 Caa1 250 253,125
(3) Stone Container Finance Co.
Yankee Gtd. Sr. Notes
11.50%, 8/15/06 B2 250 262,188
-----------
GROUP TOTAL 2,706,188
-----------
- --------------------------------------------------------------------------------------------
- -----------------
PAPER & FOREST PRODUCTS (1.0%)
(4) Ainsworth Lumber Co. Ltd.
Yankee Sr. Secured Notes
12.50%, 7/15/07 B3 250 256,875
Mail-Well Corp.
Sr. Sub. Notes
10.50%, 2/15/04 B1 500 537,500
Malette, Inc.
Yankee Sr. Secured Debentures
12.25%, 7/15/04 Ba3 150 168,000
-----------
GROUP TOTAL 962,375
-----------
- --------------------------------------------------------------------------------------------
- -----------------
PUBLISHING & INFORMATION SERVICES (0.9%)
(3) Ampex Corp.
Sr. Notes
12.00%, 3/15/03 N/R 250 250,000
(8) InterAct Systems, Inc.
Sr. Discount Notes
0.00%, 8/1/03 N/R 400 159,000
(3)(8) Liberty Group Publishing, Inc.
Sr. Discount Debentures
0.00%, 2/1/09 Caa1 300 180,375
(3) T/SF Communications Corp.
Gtd. Sr. Sub. Notes
10.375%, 11/1/07 B3 250 253,125
-----------
GROUP TOTAL 842,500
-----------
- --------------------------------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (4.7%)
(3) American Restaurant Group Inc.
Gtd. Sr. Secured Notes
11.50%, 2/15/03 B3 250 258,125
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
Casino America, Inc.
Gtd. Sr. Notes
12.50%, 8/1/03 B1 $ 250 $ 278,750
Casino Magic of Louisiana, Corp.
Series B, Gtd. First Mortgage Notes
13.00%, 8/15/03 B3 600 697,500
Colorado Gaming & Entertainment, Co.
Gtd. Sr. Notes
12.00%, 6/1/03 N/R 443 477,998
Elsinore Corp.
Second Mortgage Notes
13.50%, 8/20/01 N/R 52 52,000
Friendly Ice Cream Corp.
Gtd. Sr. Notes
10.50%, 12/1/07 B1 250 264,375
HMC Acquisition Properties,
Series B, Gtd. Sr. Notes
9.00%, 12/15/07 Ba3 450 472,500
Hollywood Park, Inc.
Sr. Sub. Notes
9.50%, 8/1/07 B2 200 209,000
Horseshoe Gaming L.L.C.:
Series B, Gtd. Sr. Notes
12.75%, 9/30/00 B1 375 416,719
Series B, Sr. Sub. Notes
9.375%, 6/15/07 B3 500 538,750
Mohegan Tribal Gaming Authority
Series B, Sr. Secured Notes
13.50%, 11/15/02 Ba1 200 258,250
Prime Hospitality Corp.
Secured First Mortgage Notes
9.25%, 1/15/06 Ba2 250 265,625
Waterford Gaming L.L.C./ Waterford Gaming
Finance Corp.
Sr. Notes
12.75%, 11/15/03 N/R 189 209,081
-----------
GROUP TOTAL 4,398,673
-----------
- --------------------------------------------------------------------------------------------
- -----------------
RETAIL (2.8%)
Brylane L.P.
Gtd. Sr. Sub. Notes
10.00%, 9/1/03 B1 500 530,000
(3) County Seat Stores, Inc.
Units
12.75%, 11/1/04 N/R 250 253,125
Dairy Mart Convenience Stores, Inc.
Sr. Sub. Notes
10.25%, 3/15/04 B3 301 300,247
Great American Cookie Co.
Series B, Sr. Secured Debentures
10.875%, 1/15/01 B3 500 517,500
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
Jitney-Jungle Stores of America, Inc.:
Gtd. Sr. Sub. Notes
10.375%, 9/15/07 N/R $ 250 $ 260,000
Gtd. Sr. Notes
12.00%, 3/1/06 B2 250 285,000
K Mart Corp.
Debentures
7.75%, 10/1/12 Ba2 200 200,250
Pantry, Inc.
Sr. Sub. Notes
10.25%, 10/15/07 B3 300 310,500
-----------
GROUP TOTAL 2,656,622
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (14.2%)
Advanced Radio Telecommunications Corp.
Sr. Notes
14.00%, 2/15/07 Caa2 250 275,937
(8) American Communications Services, Inc.
Sr. Discount Notes
0.00%, 11/1/05 N/R 1,000 855,000
Concentric Network Corp.
Units
12.75%, 12/15/07 N/R 250 287,500
(3) Convergent Communications, Inc.
Units
13.00%, 4/1/08 N/R 250 251,250
(3)(8) DTI Holdings, Inc.
Units
0.00%, 3/1/08 N/R 500 293,750
(8) Echostar Satellite Broadcasting Corp.
Sr. Secured Discount Notes
0.00%, 3/15/04 B3 250 229,062
Fox/Liberty Networks L.L.C.
Sr. Notes
8.875%, 8/15/07 B1 250 260,000
(3)(8) GST Telecommunications, Inc.
Conv. Sr. Sub. Discount Notes
0.00%, 12/15/05 N/R 100 79,250
(8) GST USA, Inc.
Gtd. Sr. Discount Notes
0.00%, 12/15/05 N/R 800 667,000
Geotek Communications, Inc.
Conv. Sr. Sub. Notes
12.00%, 12/15/01 Caa2 350 199,500
Globalstar, L.P./Globalstar Capital Corp.
Sr. Notes
10.75%, 11/1/04 B3 300 309,000
(8) ICG Holdings, Inc.:
Gtd. Sr. Discount Notes
0.00%, 9/15/05 N/R 350 298,375
Gtd. Sr. Exchange Discount Notes
0.00%, 3/15/07 N/R 1,000 706,250
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(8) Intermedia Communications, Inc.:
Sr. Discount Notes
0.00%, 7/15/07 B2 $ 200 $ 149,750
Series B, Sr. Notes
8.875%, 11/1/07 B2 150 160,500
(3) Iridium L.L.C./Iridium Capital Corp.
Sr. Notes
11.25%, 7/15/05 B3 250 265,000
(8) Jordan Telecommunications Products, Inc.
Series B, Sr. Discount Notes
0.00%, 8/1/07 N/R 250 212,188
(8) McCaw International Ltd.
Sr. Discount Notes
0.00%, 4/15/07 Caa1 750 498,750
McLeod USA, Inc.:
(8) Sr. Discount Notes
0.00%, 3/1/07 B2 100 76,625
Sr. Notes
9.25%, 7/15/07 B2 200 214,250
(8) MetroNet Communications Corp.
Sr. Discount Notes
0.00%, 11/1/07 B3 350 229,688
NEXTLINK Communications, Inc.
Sr. Notes
12.50%, 4/15/06 B3 100 115,625
(3)(8) Nextel Communications, Inc.
Sr. Discount Notes
0.00%, 2/15/08 B2 900 576,000
Orion Network Systems, Inc.
Gtd. Sr. Notes
11.25%, 1/15/07 B2 250 289,375
(8) Pagemart Nationwide, Inc.
Sr. Discount Notes
0.00%, 2/1/05 B3 750 663,750
(3) Petersburg Long Distance, Inc.:
Conv. Sub. Notes
9.00%, 6/1/06 N/R 80 98,800
(8) Units
0.00%, 6/1/04 N/R 560 532,000
(3)(8) Pinnacle Holdings, Inc.
Sr. Discount Notes
0.00%, 3/15/08 N/R 100 62,625
(3)(8) Price Communications Corp./ Price
Communications Cellular Holdings, Inc.
Units
0.00%, 8/1/07 Caa1 350 244,563
(8) PriCellular Wireless Corp.
Discount Notes
0.00%, 10/1/03 B3 300 321,000
(8) Qwest Communications International, Inc.
Sr. Discount Notes
0.00%, 10/15/07 B2 250 183,750
(3) RCN Corp.
Sr. Discount Notes
0.00%, 2/15/08 B3 300 188,625
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(3) RSL Communications plc
Sr. Notes
9.125%, 3/1/08 B3 $ 250 $ 252,813
Sprint Spectrum L.P./Sprint Spectrum Finance
Corp.
Sr. Notes
11.00%, 8/15/06 B2 450 519,750
Star Choice Communications, Inc.
Units
13.00%, 12/15/05 B3 200 209,000
(3)(8) TCI Satellite Entertainment, Inc.:
Sr. Sub. Discount Notes
0.00%, 2/15/07 Caa1 150 108,000
Sr. Sub. Notes
10.875%, 2/15/07 Caa1 300 320,250
Talton Holdings, Inc. Gtd.
Sr. Notes
11.00%, 6/30/07 B2 250 275,625
(8) Teleport Communications Group, Inc.:
Sr. Discount Notes
0.00%, 7/1/07 Baa3 550 474,375
Sr. Notes
9.875%, 7/1/06 Baa3 250 285,625
UNIFI Communications, Inc.
Sr. Notes
14.00%, 3/1/04 N/R 250 167,187
(8) USN Communications Inc.
Units
0.00%, 8/15/04 Caa1 305 250,100
Western Wireless Corp.
Sr. Sub. Notes
10.50%, 2/1/07 B3 250 274,687
(8) WinStar Communications, Inc.
Sr. Discount Notes
0.00%, 10/15/05 Caa1 400 335,000
-----------
GROUP TOTAL 13,267,150
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TEXTILES/APPAREL (0.3%)
Maxim Group, Inc.
Series B, Gtd. Sr. Sub. Notes
9.25%, 10/15/07 B2 250 253,437
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TRANSPORTATION (2.1%)
AirTran Airlines, Inc.
Series B, Gtd. Sr. Notes
10.50%, 4/15/01 B2 500 491,875
CHC Helicopter Corp.
Yankee Sr. Sub. Notes
11.50%, 7/15/02 B3 250 268,125
(3) Ermis Maritime Holdings, Ltd.
Units
12.50%, 3/15/06 B3 275 277,406
(3) Trans World Airlines, Inc.
Sr. Notes
11.375%, 3/1/06 Caa1 250 252,500
USAir, Inc.
Sr. Notes
10.00%, 7/1/03 B3 400 423,500
</TABLE>
9
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(3) Ultrapetrol (Bahamas), Ltd.
Gtd. First Preferred Ship
Mortgage Notes
10.50%, 4/1/08 B1 $ 250 $ 250,625
-----------
GROUP TOTAL 1,964,031
-----------
- --------------------------------------------------------------------------------------------
- -----------------
WASTE MANAGEMENT (0.3%)
Allied Waste North America, Inc.
Gtd. Sr. Sub. Notes
10.25%, 12/1/06 B2 250 278,437
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $56,225,084) 58,821,461
-----------
- --------------------------------------------------------------------------------------------
- -----------------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.8%)
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
Asset Securitization Corp.
Series 1996-MD6, Class A6
7.28%, 11/13/26 Baa2 230 237,726
Drexel, Burnham & Lambert Trust REMIC-PAC,
Series S, Class 2
9.00%, 8/1/18 Aaa 550 550,037
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $801,075) 787,763
-----------
- --------------------------------------------------------------------------------------------
- -----------------
ASSET BACKED OBLIGATIONS (2.3%)
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
Green Tree Financial Corp. Manufactured
Housing Installment Sale Contracts:
Series 1993-4,
Class B1
7.20%, 1/15/19 Baa3 1,043 1,042,020
Series 1995-6,
Class A3
6.65%, 9/15/26 Aaa 410 411,792
(9) Merrill Lynch Home Equity Acceptance Trust,
Series 1994-A,
Class A-2
6.38%, 7/17/22 A3 554 550,623
Nationscredit Grantor Trust, Boat Retail
Installment Sale Contracts,
Series 1996-1,
Class A
5.85%, 9/15/11 Aaa 150 148,093
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL ASSET BACKED OBLIGATIONS
(Cost $2,168,394) 2,152,528
-----------
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
Shares/
Units Value
<C> <S> <C> <C> <C>
- --------------------------------------------------------------------------------------------
- -----------------
COMMON STOCKS (2.1%)
- --------------------------------------------------------------------------------------------
- -----------------
BROADCASTING (0.0%)
(1) Pegasus Communications Corp. 1,128 $ 25,944
-----------
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
CABLE (0.0%)
(1) OpTel, Inc. 250 3
-----------
- --------------------------------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (0.1%)
(1) Coinstar, Inc. 4,196 38,026
-----------
- --------------------------------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (0.0%)
(1)(5) Westfed Holdings, Inc.
Class B (acquired 9/20/88, cost $127) 4,223 0
-----------
- --------------------------------------------------------------------------------------------
- -----------------
FOOD & BEVERAGES (1.4%)
(1)(5) Dr. Pepper Bottling Holdings, Inc.
Class A (acquired 10/21/88, cost $40,500) 45,000 1,327,500
(1)(3) Specialty Foods Corp. 22,500 2,250
-----------
GROUP TOTAL 1,329,750
-----------
- --------------------------------------------------------------------------------------------
- -----------------
INDUSTRIAL GOODS & MATERIALS (0.2%)
(1)(5)(7) CIC I Acquisition Corp.
(acquired 10/18/89, cost $1,076,725) 2,944 200,192
-----------
- --------------------------------------------------------------------------------------------
- -----------------
METALS & MINING (0.0%)
(1) Sheffield Steel Corp. 2,500 6,125
-----------
- --------------------------------------------------------------------------------------------
- -----------------
PACKAGING/CONTAINERS (0.0%)
(1) Crown Packaging
Enterprises Ltd. 100,750 1,008
-----------
- --------------------------------------------------------------------------------------------
- -----------------
PAPER & FOREST PRODUCTS (0.2%)
(1)(3) Mail-Well, Inc. 5,326 201,722
-----------
- --------------------------------------------------------------------------------------------
- -----------------
RESTAURANTS, HOTELS & GAMING (0.1%)
(1) Casino America, Inc. 4,982 14,012
(1) Colorado Gaming & Entertainment, Co. 8,822 36,391
(1) Elsinore Corp. 6,178 9,653
(1) Motels of America, Inc. 250 4,250
-----------
GROUP TOTAL 64,306
-----------
- --------------------------------------------------------------------------------------------
- -----------------
RETAIL (0.0%)
(1)(5) Jewel Recovery L.P.
(acquired 7/30/93-10/31/97, cost $0) 33,040 0
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (0.1%)
(1) Intermedia Communications, Inc. 106 8,440
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
Shares/
Units Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(1) Nextel Communications, Inc.
Class A 774 $ 26,074
(1) Pagemart Nationwide, Inc. 3,500 31,500
-----------
GROUP TOTAL 66,014
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL COMMON STOCKS
(Cost $1,379,636) 1,933,090
-----------
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
PREFERRED STOCKS (4.3%)
- --------------------------------------------------------------------------------------------
- -----------------
AEROSPACE/DEFENSE (0.4%)
(1) GPA Group plc
7% Second Preference Cum. Conv. 650,000 367,250
-----------
- --------------------------------------------------------------------------------------------
- -----------------
BROADCASTING (0.8%)
(1) Granite Broadcasting Corp.
12.75% Cum. Exchangeable 12 13,396
(1) Source Media, Inc.
13.5% Units 4,000 99,000
(1)(3) Spanish Broadcasting System, Inc.
14.25% Cum. Exchangeable 5,710 599,550
-----------
GROUP TOTAL 711,946
-----------
- --------------------------------------------------------------------------------------------
- -----------------
CABLE (0.3%)
Adelphia Communications Corp.
13% Cum. Exchangeable, Series B 2,500 295,000
(1) NTL, Inc.
13% Exchangeable 1 1,252
-----------
GROUP TOTAL 296,252
-----------
- --------------------------------------------------------------------------------------------
- -----------------
CONSUMER PRODUCTS & SERVICES (0.0%)
Renaissance Cosmetics, Inc.
14% Cumulative 245 24,500
-----------
- --------------------------------------------------------------------------------------------
- -----------------
FINANCIAL SERVICES (0.0%)
(1)(5)(7) West Fed Holdings, Inc.
Class A (acquired 9/20/88-6/18/93, cost
$1,203,480) 14,246 14,246
-----------
- --------------------------------------------------------------------------------------------
- -----------------
PAPER & FOREST PRODUCTS (0.7%)
(1) SD Warren Co.
14% Cum. Exchangeable, Series B 13,000 643,500
-----------
- --------------------------------------------------------------------------------------------
- -----------------
PUBLISHING & INFORMATION SERVICES (0.6%)
(1)(3) Liberty Group Publishing, Inc.
14.75% Cum. Exchangeable 7,000 176,750
Primedia, Inc.
10% Cum. Exchangeable, Series D 3,500 360,500
-----------
GROUP TOTAL 537,250
-----------
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
Shares/
Units Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
RESTAURANTS, HOTELS & GAMING (0.2%)
(1) AmeriKing, Inc.
13% Cum. Exchangable 5,681 $ 153,387
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TELECOMMUNICATIONS (1.3%)
(1)(3) Intermedia Communications, Inc.
7% Jr. Convertible, Series E 15,000 530,625
NEXTLINK Communications, Inc.
14% Cum. Exchangeable 6,886 430,375
(1) Nextel Communications, Inc.
13% Exchangeable, Series D 265 299,450
-----------
GROUP TOTAL 1,260,450
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL PREFERRED STOCKS
(Cost $4,386,790) 4,008,781
-----------
- --------------------------------------------------------------------------------------------
- -----------------
RIGHTS (0.1%)
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(1) Terex Corp.
expiring 5/15/02
(Cost $0) 2,000 40,000
-----------
- --------------------------------------------------------------------------------------------
- -----------------
WARRANTS (1.0%)
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(1) Advanced Radio Telecommunications Corp.
expiring 2/15/07 3,750 80,325
(1) American Communications Services, Inc.
expiring 11/1/05 1,000 110,000
(1) American Telecasting, Inc.
expiring 6/23/99 350 0
(1) Ampex Corp.
expiring 3/15/03 8,500 14,875
(1) Australis Holdings Pty Ltd.
expiring 10/30/01 250 2
(1) Australis Media Ltd.
expiring 5/15/00 225 1
(1) Boomtown, Inc.
expiring 11/1/98 500 5
(1) CHC Helicopter Corp.
expiring 12/15/00 2,000 6,000
(1) Casino America, Inc.
expiring 5/3/01 882 0
(1) Cellular Communications International, Inc.
expiring 8/15/03 700 17,500
(1) Central Bank of Nigeria
expiring 11/15/00 500 0
(1)(7) CHI Energy, Inc.:
Series B,
expiring 11/8/03 3,790 9,100
Series C,
expiring 11/8/05 2,459 5,904
(1)(7) Consolidated Hydro, Inc.
expiring 12/31/03 2,700 0
</TABLE>
11
<PAGE>
<TABLE>
<CAPTION>
Shares/
Units Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(1) County Seat Stores, Inc.
expiring 10/15/98 500 $ 5
(1) Crown Packaging Holdings, Ltd.
expiring 11/1/03 1,000 500
(1) DIVA Systems Corp.
expiring 5/15/06 900 207,000
(1) Dairy Mart Convenience Stores, Inc.:
expiring 5/13/98 1 0
expiring 12/1/01 4,172 2,086
(1)(5) Elsinore Corp.
expiring 10/8/98 5,329 0
(1) Great American Cookie Co.
expiring 1/30/00 90 900
(1) Hemmeter Enterprises, Inc.
expiring 12/15/99 3,000 0
(1) In-Flight Phone Corp.
expiring 8/31/02 500 0
(1) IntelCom Group, Inc.
expiring 9/1/05 1,155 28,875
(1) Interact Systems, Inc.
expiring 8/1/03 400 0
(1) Intermedia Communications, Inc.
expiring 6/1/00 300 48,300
(1) McCaw International Ltd.
expiring 4/15/07 750 3,750
(1) NEXTLINK Communications, Inc.
expiring 2/1/09 6,000 0
(1) Nextel Communications, Inc.
expiring 4/25/99 500 1,445
(1) Orion Network Systems, Inc.
expiring 1/15/07 250 3,500
(1) Price Communications Corp.
expiring 8/1/07 1,204 12,040
(1) Purity Supreme
expiring 8/1/97 1,733 0
(1) Renaissance Cosmetics, Inc.:
expiring 4/3/01 200 2
expiring 8/31/06 1,000 1,000
(1) SD Warren Co. expiring 12/15/06 8,000 40,000
(1) Signature Brands Ltd.
expiring 8/15/02 500 0
(1) Spanish Broadcasting Systems:
expiring 6/29/99 500 175,000
expiring 6/30/99 500 100,000
(1) UNIFI Communications
expiring 3/1/07 250 3,750
(1) USN Communications, Inc.
expiring 10/15/04 3,050 74,725
(1) United International Holdings
expiring 11/15/99 600 7,200
(1)(3) Wright Medical Technology
expiring 6/30/03 206 20,588
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL WARRANTS
(Cost $909,640) 974,378
-----------
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
Face
Moody's Amount
Ratings (000) Value
<C> <S> <C> <C> <C>
- --------------------------------------------------------------------------------------------
- -----------------
SHORT-TERM INVESTMENTS (0.2%)
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
Federal Home Loan Bank
Discount Note
Zero Coupon, 4/1/98
(Cost $161,000) N/R $ 161 $ 161,000
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL DOMESTIC SECURITIES
(Cost $66,031,619) 68,879,001
-----------
- --------------------------------------------------------------------------------------------
- -----------------
FOREIGN SECURITIES (25.0%)
- --------------------------------------------------------------------------------------------
- -----------------
CORPORATE OBLIGATIONS (4.8%)
- --------------------------------------------------------------------------------------------
- -----------------
BRAZIL (2.6%)
Cia. Petroleo Ipiranga S.A.
Sr. Unsub. Notes
10.625%, 2/25/02 N/R USD 2,050 2,111,254
Arisco Produtos
Alimenticios S.A.
Gtd. Notes
10.75%, 5/22/05 N/R USD 280 268,800
-----------
2,380,054
-----------
- --------------------------------------------------------------------------------------------
- -----------------
INDONESIA (0.5%)
P.T. Indah Kiat Pulp & Paper Corp.
Gtd. Global Bonds, Series A
11.375%, 6/15/99 Caa1 USD 500 472,500
-----------
- --------------------------------------------------------------------------------------------
- -----------------
RUSSIA (1.7%)
(3) AO Sibneft
Loan Participation Notes
9.625%, 8/15/00 N/R USD 1,675 1,612,188
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL CORPORATE OBLIGATIONS
(Cost $4,650,526) 4,464,742
-----------
- --------------------------------------------------------------------------------------------
- -----------------
GOVERNMENT OBLIGATIONS (20.2%)
- --------------------------------------------------------------------------------------------
- -----------------
ARGENTINA (3.6%)
(9) Republic of Argentina:
BOCON PRO1 Notes
3.154%, 4/1/07 Ba3 USD 600 567,096
Debentures
6.625%, 3/31/05 B1 USD 1,421 1,313,956
(8) Secured Par Bonds,
Series L-GP
5.75%, 3/31/23 Ba3 USD 1,900 1,446,115
-----------
3,327,167
-----------
- --------------------------------------------------------------------------------------------
- -----------------
BRAZIL (5.7%)
Federal Republic of Brazil:
(8) Capitalization Bonds
8.00%, 4/15/14 B1 USD 2,890 2,432,301
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
(9) Debt Conversion Bonds, Series L
6.75%, 4/15/12 B1 USD 750 $ 602,245
(4)(9) MYDFA Trust Certificates
6.563%, 9/15/07 N/R USD 2,634 2,331,425
-----------
5,365,971
-----------
- --------------------------------------------------------------------------------------------
- -----------------
BULGARIA (0.9%)
(8) Republic of Bulgaria:
Discount Note,
Series A
6.563%, 7/28/24 B2 USD 615 502,762
Front Loaded Interest Reduction Bonds,
Series A
2.25%, 7/28/12 B2 USD 500 333,125
-----------
835,887
-----------
- --------------------------------------------------------------------------------------------
- -----------------
ECUADOR (0.4%)
(8) Government of Ecuador
Par Bonds
3.50%, 2/28/25 B1 630 344,169
-----------
- --------------------------------------------------------------------------------------------
- -----------------
MEXICO (3.7%)
United Mexican States:
Certificado de Tesoreria
Zero Coupon, 12/17/98 N/R USD 351 351,403
Global Bonds
11.50%, 5/15/26 Ba2 USD 380 462,650
Secured Par Bonds, Series W-A
6.25%, 12/31/19 Ba2 USD 2,000 1,759,982
Secured Par Bonds, Series W-B
6.25%, 12/31/19 Ba2 USD 1,000 848,900
-----------
3,422,935
-----------
- --------------------------------------------------------------------------------------------
- -----------------
RUSSIA (3.7%)
(8) Bank of Foreign Economic Affairs of the USSR
(Vnesheconombank)
Debentures
3.249%, 12/15/20 N/R USD 1,770 1,124,127
(9) Republic of Russia
Interest Notes, Series US
6.719%, 12/15/15 N/R USD 2,760 1,959,324
Ministry of Finance
Unsub. Notes
10.00%, 6/26/07 Ba3 USD 380 362,900
-----------
3,446,351
-----------
<CAPTION>
Face
Moody's Amount
Ratings (000) Value
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
- --------------------------------------------------------------------------------------------
- -----------------
SOUTH AFRICA (0.4%)
Republic of South Africa
Consolidation Bonds, Series 153
13.00%, 8/31/10 Baa1 USD 1,800 354,197
-----------
- --------------------------------------------------------------------------------------------
- -----------------
VENEZUELA (1.8%)
Republic of Venezuela:
(9) Debt Conversion Bonds, Series DL
6.813%, 12/18/07 Ba2 USD 238 $ 216,667
(9) Front Loaded Interest Reduction Bonds,
Series A
6.625%, 3/31/07 Ba2 USD 905 821,070
Unsecured Bonds
9.25%, 9/15/27 Ba2 USD 770 702,625
-----------
1,740,362
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL GOVERNMENT OBLIGATIONS
(Cost $18,335,214) 18,837,039
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL FOREIGN SECURITIES
(Cost $22,985,740) 23,301,781
-----------
- --------------------------------------------------------------------------------------------
- -----------------
TOTAL INVESTMENTS (98.9%)
(Cost $89,017,359) 92,180,782
-----------
- --------------------------------------------------------------------------------------------
- -----------------
ASSETS IN EXCESS OF OTHER
LIABILITIES (1.1%)
997,193
-----------
- --------------------------------------------------------------------------------------------
- -----------------
NET ASSETS (100%)
Applicable to 8,454,140 issued and outstanding $0.001 par value shares
(authorized 100,000,000 shares) $93,177,975
-----------
-----------
- --------------------------------------------------------------------------------------------
- -----------------
NET ASSET VALUE PER SHARE
$ 11.02
-----------
-----------
- --------------------------------------------------------------------------------------------
- -----------------
MARKET PRICE PER SHARE
$ 10.31
-----------
-----------
<CAPTION>
- --------------------------------------------------------------------------------------------
- -----------------
<C> <S> <C> <C> <C>
N/R--Not Rated.
TBA--Security is subject to delayed delivery.
(1) Non-income producing security.
(2) Defaulted security.
(3) 144A Security. Certain conditions for public sale may exist.
(4) Payment in kind bond. Market value includes accrued interest.
(5) Restricted as to private and public resale. Total cost of restricted securities at
March 31, 1998, aggregated $2,320,833. Total market value of restricted securities
owned at March 31, 1998 was $1,541,938 or 1.6% of net assets.
(6) Private Placement.
(7) Securities for which market quotations are not readily available are valued at fair
value as determined in good faith by the Board of Directors.
(8) Step Bond--Coupon rate is low or zero for an initial period and then increases to a
higher coupon rate thereafter. Maturity date disclosed is the ultimate maturity.
(9) Floating Rate--The interest rate changes on these instruments based upon a designated
base rate. The rates shown are those in effect at March 31, 1998.
</TABLE>
13
<PAGE>
DESCRIPTION OF DIVIDEND REINVESTMENT
AND CASH PURCHASE PLAN
- ---------
Pursuant to the BEA Strategic Global Income Fund, Inc.'s (the "Fund") Dividend
Reinvestment and Cash Purchase Plan (the "Plan"), shareholders may elect to have
all dividends and distributions, net of any U.S. withholding tax, automatically
reinvested in additional shares of the Fund by The Chase Manhattan Bank, as the
plan agent (the "Plan Agent"). Shareholders who do not make this election will
receive all dividends and distributions in cash, net of any applicable U.S.
withholding tax, paid in dollars by check mailed directly to the shareholder by
the Plan Agent, as dividend-paying agent. Shareholders who do not wish to have
dividends and distributions automatically reinvested should notify the Plan
Agent for the Fund, at Dividend Reinvestment Department -- Retail, 4 New York
Plaza, New York, NY 10004. A shareholder whose shares are held by a broker or
nominee that does not provide a dividend reinvestment program may be required to
have his shares registered in his own name to participate in the Plan. Investors
who own shares of the Fund's common stock registered in street name should
contact the broker or nominee for details concerning participation in the Plan.
Certain distributions of cash attributable to (a) some of the dividends and
interest amounts paid to the Fund and (b) certain capital gains earned by the
Fund that are derived from securities of certain foreign issuers are subject to
taxes payable by the Fund at the time amounts are remitted. Such taxes, if any,
will be borne by the Fund and allocated to all shareholders in proportion to
their interests in the Fund.
The Plan Agent serves as agent for the shareholders in administering the
Plan. If the Board of Directors of the Fund declares an income dividend or a
capital gains distribution payable either in the Fund's common stock or in cash,
as shareholders may have elected, nonparticipants in the Plan will receive cash
and participants in the Plan will receive the equivalent in shares of the Fund
valued at the lower of market price or net asset value as determined at the time
of purchase (generally on the payable date of the dividend) as set forth below.
Whenever market price is equal to or exceeds net asset value at the time shares
are valued for the purpose of determining the number of shares equivalent to the
cash dividend or distribution, participants will be issued shares of the Fund at
a price equal to net asset value but not less than 95% of the then current
market price of the Fund shares. The Fund will not issue shares under the Plan
below net asset value. If net asset value determined as at the time of purchase
exceeds the market price of Fund shares at such time, or if the Fund should
declare a dividend or other distribution payable only in cash (I.E., if the
Board of Directors should preclude reinvestment at net asset value), the Agent
will, as agent for the participants, endeavor to buy Fund shares in the open
market, on the New York Stock Exchange or elsewhere, on behalf of all
participants, and will allocate to you your pro rata portion based on the
average price paid (including brokerage commissions) for all shares purchased.
Shares acquired on behalf of participants in the open market will be purchased
at the prevailing market price. Fractions of a share allocated to you will be
computed to four decimal places. If, before the Agent has completed its
purchases, the market price exceeds the net asset value of a Fund share, the
average per share purchase price paid by the Agent may exceed the net asset
value of the Fund's shares, resulting in the acquisition of fewer shares than if
the dividend or distribution had been paid in shares issued by the Fund.
For all purposes of the Plan: (a) the market price of the Fund's common
stock on a dividend payment date shall be the last sale price on the New York
Stock Exchange on that date, or, if there is no such sale, then the mean between
the closing bid and asked quotations for such stock, and (b) net asset value per
share of the Fund's common stock on a particular date shall be as determined by
or on behalf of the Fund.
Participants in the Plan have the option of making additional cash payments
to the Plan Agent, monthly, in any amount from $100 to $1,000, for investment in
the Fund's common stock. Shareholders should be aware that cash contributions
will be used to purchase shares of the Fund in the open market regardless of
whether such shares are selling above, at or below the market price that
reflects a premium to the Fund's net asset value.
Cash contributions should be in the form of a check or money order and made
payable in U.S. dollars and directed to The Chase Manhattan Bank, Dividend
Reinvestment Department -- Retail, 4 New York Plaza, New York, NY 10004.
Deliveries to any other address do not constitute valid delivery.
A detachable form for use in making voluntary cash payments will be attached
to each Dividend Reinvestment Plan statement you receive. The same amount of
money need not be sent each month and there is no obligation to make an optional
cash payment each month.
Payments received by the Agent will be used to purchase stock under the
Plan. Prior to such purchase of stock by the Agent, no interest will be paid on
such funds sent to the Agent. Therefore, voluntary cash payments should be sent
to reach the Agent shortly (but at least five business days) before the dividend
payment date. Voluntary cash payments received after the five business day
deadline will be invested by the Agent on the next succeeding dividend payment
date. Dividend payment dates are expected to be the 15th (or next business day)
of each month.
You may obtain a refund of any voluntary payment if a request for such a
refund is received in writing by the Agent not less than 48 hours before the
next succeeding dividend payment.
There is no charge to participants for reinvesting dividends or capital
gains distributions. The Agent's fees for the handling of reinvestment of
dividends and distributions will be paid by the Fund. There will be no brokerage
charges with respect to shares issued directly by the Fund as a result of
dividends or capital gains distributions payable either in shares or in cash.
However, each participant will pay a pro
14
<PAGE>
rata share of brokerage commissions incurred with respect to the Agent's open
market purchases in connection with the reinvestment of dividends, capital gains
distributions, or voluntary cash payments.
Brokerage charges for purchasing small amounts of stock for individual
accounts through the Plan are expected to be less than the usual brokerage
charges for such transactions because the Agent will be purchasing stock for all
participants in blocks and pro rating the lower commissions thus attainable.
The receipt of dividends and distributions in stock under the Plan will not
relieve participants of any income tax (including withholding tax) that may be
payable on such dividends and distributions.
While the Fund presently intends to continue the Plan indefinitely,
experience under the Plan may indicate that changes are desirable. Accordingly,
the Fund reserves the right to amend or terminate the Plan as applied to any
voluntary cash payments made and any dividend or distribution paid subsequent to
notice of the change sent to all shareholders of the Fund at least 30 days
before the record date for such dividend or distribution. The Plan also may be
amended or terminated by the Agent by at least 30 days' written notice to all
shareholders of the Fund.
Any notices, questions or other correspondence regarding the Plan should be
addressed to The Chase Manhattan Bank, Customer Service Department, 4 New York
Plaza, New York, NY 10004. Be sure to include a reference to BEA Strategic
Global Income Fund, Inc. or you may call (800) 428-8890.
15
