MERRILL LYNCH
WORLD INCOME
FUND, INC.
FUND LOGO
Quarterly Report
March 31, 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 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.
Statements and other information herein are as dated and are subject
to change.
<PAGE>
Merrill Lynch
World Income
Fund, Inc.
Box 9011
Princeton, NJ
08543-9011
MERRILL LYNCH WORLD INCOME FUND, INC.
Officers and
Directors
Arthur Zeikel, President and Director
James H. Bodurtha, Director
Herbert I. London, Director
Robert R. Martin, Director
Joseph L. May, Director
Andre F. Perold, Director
Terry K. Glenn, Executive Vice President
N. John Hewitt, Senior Vice President
Donald C. Burke, Vice President
Vincent T. Lathbury III, Vice President
Robert J. Parish, Vice President
Gerald M. Richard, Treasurer
Mark B. Goldfus, Secretary
Custodian
State Street Bank & Trust Company
P.O. Box 351
Boston, Massachusetts 02101
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
<PAGE>
DEAR SHAREHOLDER
Around the world signs are emerging of a revival in economic growth
caused largely by the drop in world interest rates in 1995. These
signs are clearly evident in Japan and visible in the United States.
In Europe, indicators point to the end of the severe economic
weakness, but the persistence of tight monetary and fiscal policies
since the 1993 recession seriously hampered the domestic recovery.
One of the key issues now facing central banks and fixed-income
investors is whether growth will accelerate sufficiently to push
short-term interest rates and inflation higher. The Group of Seven
(G-7) industrial nations supply growth accelerated since hitting a
15-year low in early 1995 indicating that the reflationary policies
implemented last year are boosting liquidity. Although this will be
positive for economic growth if it continues, G-7 industrial
production continues to decline, spare capacity is still growing,
and inflation remains subdued.
The surge in US employment in February suggests a sharp bounce in
first quarter 1996 activity relative to the below potential rate of
+0.5% posted in fourth quarter 1995. Therefore the Federal Reserve
Board did not lower interest rates again at its Federal Open Market
Committee meeting. However, at the January meeting members stated
that the risks of a shortfall in growth were believed to be
significant. Given this concern and the subdued nature of the
leading indicators of inflation, the Federal Reserve Board may be
able to tolerate above trend growth over the near term.
In Europe, monetary reflation efforts accelerated with the
Bundesbank further reducing the key repurchase rate another 68 basis
points (0.68%) after the more than 100 basis point drop last year.
European growth remains weak, especially in Germany and France,
ensuring that the Bundesbank will remain in an easing mode while
continuing to talk down its currency to improve competitiveness.
Leading indicators point to slowing in the Australian economy,
albeit on a gradual basis, while inflation appears likely to have
hit its cyclical peak in the fourth quarter of 1995. Canadian growth
remained below potential for five consecutive quarters, which along
with declining inflation, allowed the Bank of Canada to lower
interest rates while the Federal Reserve Board's monetary policy was
on hold. Signs of Canadian growth have emerged largely because of
these interest rate declines, likely allowing for a first half
growth that should match the trend in other countries.
<PAGE>
Investment Outlook & Portfolio
Strategy
The global bond markets have displayed two faces so far this year,
with the latest leg of the 1995 bull market continuing through
January followed by a reversal in February and a small recovery in
March. Six of the 13 markets in the unmanaged JP Morgan Global Index
showed a negative total return in local currency terms, while only
four markets showed a positive return in US dollar terms. The Fund's
overweighted position in three of these four markets combined with
its overweighting in the US high-yield market allowed it to post a
+1.4% return for the quarter ended March 31, 1996.
The US bond market reversed sharply to the downside in February
largely because of an enormous new issuance calendar set against a
background of already recognized positive fundamentals. Federal
Reserve Board Chairman Alan Greenspan compounded matters in early
February by suggesting growth is "on track" during congressional
testimony, causing the market to immediately price out the
likelihood of another imminent Federal Reserve Board monetary
easing. Europe posted a modest positive return in local currency
terms so far this year largely because of stellar performances from
Italy, Sweden and Spain. This is unusual because historically when
Germany and the United States sold off in tandem, the higher-
yielding European markets underperformed. Overweight positions in
Germany coupled with better-than-expected inflation led to this
outperformance. The momentum driving emerging markets since mid-1995
continued into 1996. The combination of lower US interest rates and
the prospect of stable-to-improving fundamentals supported gains
this year. Although the emerging markets suffered sharply during the
February/March selloff in the United States, the unmanaged JP Morgan
Emerging Bond Index posted a +4% return.
Since year-end, the portfolio mix of dollar bloc investments
(Canada, Australia and New Zealand) relative to our European
holdings shifted slightly, with the dollar bloc up 4% and Europe
down 4%. Within the dollar bloc we moved our New Zealand position
into Australia and the United States at 1% each, while initiating a
2% position in Canada. We also initiated a modest Brady Bond sub-
portfolio within the emerging markets portfolio with investments in
Argentina, Mexico, Brazil, Ecuador, Poland, and the Philippines. In
Europe, we moved our Swedish position into Germany and reduced Italy
and Spain in favor of Denmark. The average maturity of the portfolio
was unchanged at 6.9 years although we used the rise in yields to
extend duration in Denmark with an offsetting reduction in Italy.
From a currency perspective, our overweighted position in the
Italian lira and Australian dollar benefited the Fund because these
currencies appreciated over 4% versus the US dollar. We believe the
sharp decline in bond prices since January has likely corrected the
bond markets' overvaluation, therefore we do not expect a continuation
of the downtrend beyond the recent lows. With regards to currency
movements, the relatively better growth outlook for the United States
coupled with a G-7 desire to see the dollar firm could keep a solid
floor under the US dollar for now. In addition, we believe any formal
delay in the timetable for European Monetary Union will not be
announced this year.
<PAGE>
High-Yield Market
The high-yield bond market gave ground grudgingly in the face of a
major drop in Government bonds and high-grade bonds prices. Ten-year
Treasury bond yields rose over 0.75%; high-yield bond yields were up
only 0.125%--0.25%. Thus, yield spreads between the two markets
tightened significantly. The yield spread between ten-year Treasury
bonds and the unmanaged Merrill Lynch High Yield Master Index II at
December 31, 1995 was 420 basis points compared to 361 basis points
at March 31, 1996. The unsynchronous performance of the two markets
is not surprising. While high-yield bonds have a coupon and maturity
date like Government bonds, the supply and demand characteristics of
the two markets are different. In addition, high-yield bonds possess
credit risk and investor perception toward credit risk changes. The
table below reflects the correlation of investment returns of US
Treasury notes with other financial asset categories for the 1980--
1995 period. A perfect correlation would be 1.0 and no correlation
would be 0.
Correlation With
US Treasury Notes
Equity Indexes
Standard & Poor's 500 0.29
Wiltshire 5000 0.29
High Yield Index 0.60
Bond Indexes
High Quality Corporate 0.93
Mortgage Index 0.91
The internal dynamics of the high-yield market included a tightening
in spreads between quality groups as issues rated BB had a total
return of 0.28%, compared to a +2.67% return for B-rated issues. We
believe that BB- rated issues were somewhat overvalued in 1995
because of their close link with high grades and that the first
quarter correction brings them into a more appropriate valuation
relationship. During the quarter ended March 31, 1996, the
portfolio's return benefited from higher exposure to better
performing B-rated bonds (56.5% of net assets) versus the unmanaged
Merrill Lynch Master II Index (47.3%).
<PAGE>
The fundamentals of the high-yield market remain sound, although
valuation is somewhat extended. Assets continued to flow into mutual
funds and liquidity remains ample. However, the market may well
underperform Treasury notes and other asset categories modestly in
the upcoming quarter. Accordingly, we committed assets
unaggressively and during periods of market weakness. The Fund's
allocation to the high-yield market was reduced during the quarter
ended March 31, 1996 from 45% of net assets to 40%.
The average portfolio maturity of the high-yield section of Merrill
Lynch World Income Fund, Inc. was 8.5 years. The Fund's high-yield
sector remained broadly diversified with 63 issuers in 22 different
business categories. Major industry sectors included: energy, 4.1%
of net assets; utilities, 2.8%; paper, 2.8%; conglomerates, 2.8%;
food & beverage, 2.7%; and airlines, 2.7%.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Robert J. Parish)
Robert J. Parish
Vice President and Portfolio Manager
(Vincent T. Lathbury III)
Vincent T. Lathbury III
Vice President and Portfolio Manager
May 9, 1996
<PAGE>
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 distribution 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. In addition, Class B
Shares are subject to a distribution fee of 0.50% and an account
maintenance fee of 0.25%. These shares automatically convert to
Class D Shares after 10 years.
* Class C Shares are subject to a distribution fee of 0.55% and an
account maintenance fee of 0.25%. In addition, Class C Shares are
subject to a 1% contingent deferred sales charge if redeemed within
one year of purchase.
* Class D Shares incur a maximum initial sales charge of 4% and an
account maintenance fee of 0.25% (but no distribution fee).
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.
Average Annual
Total Return
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares++*
<PAGE>
Year Ended 3/31/96 +14.06% +9.50%
Five Years Ended 3/31/96 + 9.57 +8.68
Inception (9/29/88) through 3/31/96 +10.35 +9.75
[FN]
++Performance results for per share net asset value of Class A
Shares prior to November 18, 1991 are for the period when the Fund
was closed-end.
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 3/31/96 +13.06% +9.06%
Inception (11/18/91) through 3/31/96 + 6.85 +6.85
[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 3/31/96 +13.11% +12.11%
Inception (10/21/94) through 3/31/96 + 9.72 + 9.72
[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 3/31/96 +13.77% +9.22%
Inception (10/21/94) through 3/31/96 +10.36 +7.29
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
<PAGE>
<TABLE>
Performance
Summary--
Class A Shares++
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<S> <C> <C> <C> <C> <C>
9/29/88--12/31/88 $9.35 $9.68 $0.001 $0.280 + 6.53%
1989 9.68 9.13 0.002 1.159 + 6.32
1990 9.13 8.53 -- 1.463 + 9.46
1991 8.53 9.30 -- 1.106 +21.99
1992 9.30 8.85 0.019 0.990 + 6.15
1993 8.85 9.28 0.028 0.750 +14.12
1994 9.28 8.20 -- 0.711 - 4.05
1995 8.20 8.69 -- 0.718 +15.35
1/1/96--3/31/96 8.69 8.64 -- 0.159 + 1.37
------ ------
Total $0.050 Total $7.336
Cumulative total return as of 3/31/96: +109.43%**
</TABLE>
<TABLE>
Performance
Summary--
Class B Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change***
<S> <C> <C> <C> <C> <C>
11/18/91--12/31/91 $9.26 $9.30 -- $0.112 + 1.64%
1992 9.30 8.85 $0.019 0.919 + 5.34
1993 8.85 9.28 0.028 0.681 +13.27
1994 9.28 8.19 -- 0.645 - 4.90
1995 8.19 8.69 -- 0.653 +14.61
1/1/96--3/31/96 8.69 8.63 -- 0.143 + 1.07
------ ------
Total $0.047 Total $3.153
Cumulative total return as of 3/31/96: +33.60%***
</TABLE>
<PAGE>
<TABLE>
Performance
Summary--
Class C Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change***
<S> <C> <C> <C> <C> <C>
10/21/94--12/31/94 $8.42 $8.19 -- $0.129 - 1.20%
1995 8.19 8.68 -- 0.645 +14.38
1/1/96--3/31/96 8.68 8.63 -- 0.142 + 1.18
------
Total $0.916
Cumulative total return as of 3/31/96: +14.34%***
</TABLE>
<TABLE>
Performance
Summary--
Class D Shares
<CAPTION>
Net Asset Value Capital Gains
Period Covered Beginning Ending Distributed Dividends Paid* % Change**
<S> <C> <C> <C> <C> <C>
10/21/94-- 12/31/94 $8.43 $8.20 -- $0.139 - 1.09%
1995 8.20 8.69 -- 0.697 +15.06
1/1/96--3/31/96 8.69 8.64 -- 0.154 + 1.31
------
Total $0.990
Cumulative total return as of 3/31/96: +15.30%**
<FN>
++Performance results for per share net asset value of Class A
Shares prior to November 18, 1991 are for the period when the Fund
was closed-end.
*Figures may include short-term capital gains distributions and
return of capital distribution, if any.
**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.
***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>
<PAGE>
PERFORMANCE DATA (concluded)
<TABLE>
Recent
Performance
Results
<CAPTION>
12 Month 3 Month
3/31/96 12/31/95 3/31/95 % Change % Change
<S> <C> <C> <C> <C> <C>
Class A Shares* $8.64 $8.69 $8.23 + 4.98% -0.58%
Class B Shares* 8.63 8.69 8.23 + 4.86 -0.69
Class C Shares* 8.63 8.68 8.22 + 4.99 -0.58
Class D Shares* 8.64 8.69 8.23 + 4.98 -0.58
Class A Shares--Total Return* +14.06(1) +1.37(2)
Class B Shares--Total Return* +13.06(3) +1.07(4)
Class C Shares--Total Return* +13.11(5) +1.18(6)
Class D Shares--Total Return* +13.77(7) +1.31(8)
Class A Shares--Standardized 30-day Yield 7.75%
Class B Shares--Standardized 30-day Yield 7.30%
Class C Shares--Standardized 30-day Yield 7.24%
Class D Shares--Standardized 30-day Yield 7.51%
<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 $0.713 per share ordinary
income dividends.
(2)Percent change includes reinvestment of $0.159 per share ordinary
income dividends.
(3)Percent change includes reinvestment of $0.647 per share ordinary
income dividends.
(4)Percent change includes reinvestment of $0.143 per share ordinary
income dividends.
(5)Percent change includes reinvestment of $0.639 per share
ordinary income dividends.
(6)Percent change includes reinvestment of $0.142 per share ordinary
income dividends.
(7)Percent change includes reinvestment of $0.691 per share ordinary
income dividends.
(8)Percent change includes reinvestment of $0.154 per share ordinary
income dividends.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Percent of
AFRICA Industries Face Amount Fixed-Income Investments Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
South Foreign US$ 3,000,000 Republic of South Africa, 9.625%
Africa Government due 12/15/1999 $ 2,990,550 $ 3,176,250 0.2%
Obligations
Total Fixed-Income Investments in
South Africa 2,990,550 3,176,250 0.2
Convertible Bonds
South Metals & Mining 1,000,000 Samancor Ltd., 7% due 6/30/2004 965,000 960,000 0.1
Africa
Total Investments in South African
Convertible Bonds 965,000 960,000 0.1
Total Investments in African
Securities 3,955,550 4,136,250 0.3
LATIN AMERICA &
THE CARIBBEAN Fixed-Income Investments
Argentina Communications Telecom Argentina Stet--France
Telecom S.A.:
3,000,000 8.375% due 10/18/2000 2,697,500 2,827,500 0.2
3,000,000 12% due 11/15/2002 3,225,000 3,142,500 0.2
10,000,000 Telefonica de Argentina S.A.,
11.875% due 11/01/2004 9,800,800 10,350,000 0.7
-------------- -------------- ------
15,723,300 16,320,000 1.1
Foreign Republic of Argentina:
Government 4,000,000 8.375% due 12/20/2003 3,387,000 3,370,000 0.3
Obligations 2,000,000 6.812% due 3/31/2005 1,538,750 1,440,000 0.1
-------------- -------------- ------
4,925,750 4,810,000 0.4
Total Fixed-Income Investments
in Argentina 20,649,050 21,130,000 1.5
Brazil Banking 3,000,000 Banco Bradesco S.A., 8.625% due
12/12/1997 2,992,500 3,000,000 0.2
Construction 3,000,000 Compania Brasileira de Projetos e
Obras, 12.50% due 12/22/1997 2,985,000 3,030,000 0.2
Foreign 2,122,420 Republic of Brazil, 8% due 4/15/2014 1,346,376 1,249,575 0.1
Government
Obligations
<PAGE>
Total Fixed-Income Investments
in Brazil 7,323,876 7,279,575 0.5
Colombia Banking & 5,000,000 Banco Ganadero S.A., 9.75% due
Finance 8/26/1999 4,992,340 5,112,500 0.3
5,000,000 Financira Energetica Nacional, 9%
due 11/08/1999 5,140,000 5,181,250 0.4
-------------- -------------- ------
10,132,340 10,293,750 0.7
Utilities 10,000,000 Transgas de Occidente S.A., 9.79%
due 11/01/2010 10,137,500 9,762,500 0.7
Total Fixed-Income Investments
in Colombia 20,269,840 20,056,250 1.4
Ecuador Foreign Ecuador, Government Brady Bonds:
Government 1,040,953 6.812% due 2/27/2015 444,336 404,015 0.0
Obligations 1,000,000 6.062% due 2/28/2025 543,995 540,000 0.0
Total Fixed-Income Investments
in Ecuador 988,331 944,015 0.0
Mexico Building Materials Cemex S.A.:
2,000,000 8.875% due 6/10/1998 1,940,000 1,962,500 0.1
2,000,000 10% due 11/05/1999 1,945,000 1,987,500 0.1
-------------- -------------- ------
3,885,000 3,950,000 0.2
Foreign 4,000,000 Mexican Par Bonds, 6.25% due
Government 12/31/2019 2,715,000 2,545,000 0.2
Obligations United Mexican States, Government
Bonds:
3,000,000 10.812% due 7/21/1997 3,086,250 3,108,750 0.2
Pound 10,000,000 12.25% due 12/03/1998 17,422,208 15,432,419 1.1
Sterling
US$ 4,000,000 9.75% due 2/06/2001 4,000,000 3,905,000 0.3
4,000,000 United Mexican States, Value
Recovery Rights (f) 0 0 0.0
-------------- -------------- ------
27,223,458 24,991,169 1.8
Total Fixed-Income Investments
in Mexico 31,108,458 28,941,169 2.0
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
LATIN AMERICA &
THE CARIBBEAN
Percent of
(concluded) Industries Face Amount Fixed-Income Investments Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Trinidad & Foreign Republic of Trinidad & Tobago:
Tobago Government US$ 3,000,000 11.50% due 11/20/1997 $ 3,123,750 $ 3,150,000 0.2%
Obligations 2,000,000 9.75% due 11/03/2000 1,995,800 2,070,000 0.2
Total Fixed-Income Investments
in Trinidad & Tobago 5,119,550 5,220,000 0.4
Total Investments in Latin
American & Caribbean Securities 85,459,105 83,571,009 5.8
NORTH
AMERICA
Canada Energy 10,000,000 Gulf Canada Resources, Ltd., 9%
due 8/15/1999 9,158,438 10,200,000 0.7
Foreign Canadian Government Bonds:
Government C$ 18,500,000 7.50% due 3/01/2001 13,837,321 13,837,321 1.0
Obligations 19,000,000 8.75% due 12/01/2005 15,053,153 14,990,826 1.0
8,000,000 8% due 6/01/2023 5,768,795 5,783,486 0.4
-------------- -------------- ------
34,659,269 34,611,633 2.4
Paper US$ 5,000,000 Doman Industries Ltd., 8.75% due
3/15/2004 4,800,000 4,600,000 0.3
Total Fixed-Income Investments
in Canada 48,617,707 49,411,633 3.4
United Airlines 10,000,000 Delta Air Lines, Inc., 10.50% due
States 4/30/2016 10,287,500 12,090,700 0.8
7,100,000 United Air Pass-Through, 10.125%
due 3/22/2015 7,684,046 8,358,901 0.6
15,000,000 USAir Inc., 10.375% due 3/01/2013 15,000,000 15,150,000 1.1
-------------- -------------- ------
32,971,546 35,599,601 2.5
<PAGE>
Broadcasting/ 10,000,000 Videotron Group, Ltd. Co., 10.25%
Cable due 10/15/2002 10,043,750 10,450,000 0.7
Building 15,300,000 Pacific Lumber Co., 10.50% due
Materials 3/01/2003 15,462,750 14,841,000 1.0
11,035,000 USG Corp., 8.75% due 3/01/2017 9,717,469 11,145,350 0.8
-------------- -------------- ------
25,180,219 25,986,350 1.8
Chemicals GI Holdings, Inc.:
10,853,000 9.24%* due 10/01/1998 8,228,140 8,655,268 0.6
10,340,000 10% due 2/15/2006 10,701,900 10,340,000 0.7
10,000,000 Uniroyal Chemical Co., 9% due
9/01/2000 10,000,000 10,000,000 0.7
-------------- -------------- ------
28,930,040 28,995,268 2.0
Conglomerates 5,500,000 ADT Operations, 9.25% due 8/01/2003 5,520,625 5,706,250 0.4
10,000,000 Coltec Industries Inc., 10.25%
due 4/01/2002 10,332,500 10,200,000 0.7
10,000,000 Sequa Corp., 9.375% due 12/15/2003 9,915,000 9,500,000 0.7
10,000,000 Sherritt Gordon, Ltd., 9.75% due
4/01/2003 10,048,250 10,362,500 0.7
-------------- -------------- ------
35,816,375 35,768,750 2.5
Consumer 15,000,000 Revlon Consumer Products Corp.,
Products 9.375% due 4/01/2001 13,245,631 15,000,000 1.0
Energy 10,000,000 Clark R & M Holdings, Inc.,
10.43%* due 2/15/2000 6,711,808 6,725,000 0.5
9,100,000 Maxus Energy Corp., 9.875% due
10/15/2002 9,086,800 9,100,000 0.6
5,000,000 Oleoducts Central S.A., 9.35% due
9/01/2005 5,000,000 4,962,500 0.3
10,000,000 Rowan Companies, Inc., 11.875% due
12/01/2001 10,402,500 10,850,000 0.8
15,000,000 Seagull Energy Corp., 8.625% due
8/01/2005 15,000,000 14,400,000 1.0
12,500,000 TransTexas Gas Corp., 11.50% due
6/15/2002 12,496,125 12,312,500 0.9
-------------- -------------- ------
58,697,233 58,350,000 4.1
Entertainment 20,280,000 Marvel Holdings Inc., 10.55%* due
4/15/1998 15,972,189 15,311,400 1.1
5,000,000 Spectravision Inc., 10.92%* due
10/01/2001 4,410,496 1,375,000 0.1
-------------- -------------- ------
20,382,685 16,686,400 1.2
<PAGE>
Financial 10,000,000 Penn Financial Corp., 9.25% due
Services 12/15/2003 10,000,000 10,000,000 0.7
10,000,000 Reliance Group Holdings, Inc., 9%
due 11/15/2000 10,000,000 10,100,000 0.7
-------------- -------------- ------
20,000,000 20,100,000 1.4
Food & 9,500,000 Coca-Cola Bottling Co., 9% due
Beverage 11/15/2003 9,505,000 9,690,000 0.7
19,000,000 Del Monte Corp., 10% due 5/01/2003 19,025,313 17,670,000 1.2
10,000,000 Specialty Foods Corp., 10.25% due
8/15/2001 10,000,000 9,050,000 0.6
-------------- -------------- ------
38,530,313 36,410,000 2.5
Gaming 1,906,000 Goldriver Hotel & Casino Corp.,
13.375%due 8/31/1999 2,645,548 1,067,360 0.1
10,000,000 Greate Bay Properties, Inc., 10.875%
due 1/15/2004 9,996,250 8,900,000 0.6
7,500,000 Harrah's Jazz Co., 14.25% due
11/15/2001 5,178,125 3,806,250 0.2
10,000,000 Showboat, Inc., 9.25% due 5/01/2008 9,748,750 10,200,000 0.7
10,000,000 Trump Plaza Funding, Inc., 10.875%
due 6/15/2001 7,536,875 11,100,000 0.8
-------------- -------------- ------
35,105,548 35,073,610 2.4
Home Builders Del E. Webb Corp.:
9,250,000 10.875% due 3/31/2000 9,376,875 9,296,250 0.6
3,500,000 9.75% due 3/01/2003 3,472,455 3,543,750 0.2
375,000 Kaufman & Broad Home, Inc., 10.375%
due 9/01/1999 378,750 382,500 0.0
Ryland Group, Inc.:
9,000,000 10.50% due 7/15/2002 8,907,530 9,135,000 0.7
1,250,000 9.625% due 6/01/2004 1,178,125 1,246,875 0.1
5,250,000 US Home Corp., 9.75% due 6/15/2003 5,408,655 5,355,000 0.4
-------------- -------------- ------
28,722,390 28,959,375 2.0
Packaging 15,000,000 Owens-Illinois, Inc., 11% due
12/01/2003 16,794,063 16,443,750 1.1
Paper 10,000,000 Container Corp. of America, 9.75%
due 4/01/2003 10,200,000 9,900,000 0.7
15,000,000 Fort Howard Corp., 9% due 2/01/2006 15,007,500 14,550,000 1.0
Stone Container Corp.:
10,000,000 9.875% due 2/01/2001 9,317,650 9,400,000 0.7
5,000,000 10.75% due 10/01/2002 4,950,000 4,962,500 0.3
-------------- -------------- ------
39,475,150 38,812,500 2.7
<PAGE>
Restaurants 15,000,000 Flagstar Corp., 11.375% due 9/15/2003 14,640,000 11,100,000 0.8
Steel 3,500,000 WCI Steel Inc., 10.50% due 3/01/2002 3,320,000 3,517,500 0.2
Supermarkets 10,000,000 Grand Union Co., 12% due 9/01/2004 10,017,717 8,775,000 0.6
15,000,000 Pueblo Xtra International Inc.,
9.50% due 8/01/2003 15,111,875 13,050,000 0.9
-------------- -------------- ------
25,129,592 21,825,000 1.5
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
NORTH AMERICA Percent of
(continued) Industries Face Amount Fixed-Income Investments Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Textiles US$10,000,000 WestPoint Stevens Inc., 8.75% due
States 12/15/2001 $ 10,093,750 $ 9,975,000 0.7%
(concluded)
Transportation 10,000,000 Viking Star Shipping Co., 9.625%
due 7/15/2003 10,028,438 10,300,000 0.7
US Government 61,000,000 US Treasury Bonds, 6.875% due
Obligations 8/15/2025 65,405,781 61,952,820 4.3
6,500,000 US Treasury Notes, 6.50% due
8/15/2005 6,536,563 6,525,415 0.5
-------------- -------------- ------
71,942,344 68,478,235 4.8
Utilities 9,848,000 Beaver Valley II Funding, 9% due
6/01/2017 7,262,900 8,297,629 0.5
4,000,000 CTC Mansfield Funding Corp., 11.125%
due 9/30/2016 4,301,250 4,167,920 0.3
Midland Cogeneration Venture Limited
Partnership:
8,224,404 10.33% due 7/23/2002 (b) 8,059,916 8,656,185 0.6
10,000,000 13.25% due 7/23/2006 11,183,750 10,966,700 0.8
9,100,000 Tucson Electric & Power Co.,
10.732% due 1/01/2013 8,713,250 8,582,301 0.6
-------------- -------------- ------
39,521,066 40,670,735 2.8
Total Fixed-Income Investments
in the United States 578,570,133 568,502,074 39.4
Convertible Bonds
<PAGE>
Canada Industrial 1,000,000 Laidlaw Inc., 6% due 1/15/1999 1,263,130 1,240,000 0.1
Services
Metals & 500,000 Inco Ltd., 5.75% due 7/01/2004 525,375 652,500 0.0
Mining
Paper 2,000,000 Repap Enterprises Inc., 8.50% due
8/01/1997 2,095,024 1,972,500 0.1
Total Investments in Canadian
Convertible Bonds 3,883,529 3,865,000 0.2
United Airlines 1,860,000 AMR Corp., 6.125% due 11/01/2024 1,659,115 2,134,350 0.2
States 515,000 Air Wis Services, Inc., 7.75% due
6/15/2010 466,229 472,513 0.0
-------------- -------------- ------
2,125,344 2,606,863 0.2
Building & 800,000 Continental Homes Holding Corp.,
Construction 6.875% due 11/01/2002 800,000 868,000 0.1
1,500,000 Toll Brothers Inc., 4.75% due
1/15/2004 1,500,000 1,466,250 0.1
1,000,000 US Home Corp., 4.875% due 11/01/2005 991,000 903,750 0.1
-------------- -------------- ------
3,291,000 3,238,000 0.3
Computers 2,500,000 Data General Corp., 7.75% due
6/01/2001 2,479,375 2,568,750 0.2
1,250,000 Safeguard Scientifics, Inc., 6%
due 2/01/2006 1,250,000 1,407,813 0.1
1,000,000 Storage Technology Corp., 8% due
5/31/2015 1,132,500 1,000,000 0.1
-------------- -------------- ------
4,861,875 4,976,563 0.4
Conglomerates Polyphase Corp.:
500,000 12% due 12/01/1997 500,000 471,250 0.0
2,000,000 12% due 7/01/1999 2,000,000 1,710,000 0.1
2,000,000 Thermo Electron Corp., 4.25% due
1/01/2003 2,000,000 2,420,000 0.2
-------------- -------------- ------
4,500,000 4,601,250 0.3
Electronics 1,500,000 Park Electrochemical Corporation,
5.50% due 3/01/2006 1,487,750 1,398,750 0.1
1,500,000 Thermaquest Corp., 5% due 8/15/2000 1,500,000 1,680,000 0.1
1,500,000 Thermo Optik Corp., 5% due 10/15/2000 1,500,000 1,680,000 0.1
1,000,000 Zenith Electronics Corp., 8.50% due
11/19/2000 990,000 985,000 0.1
-------------- -------------- ------
5,477,750 5,743,750 0.4
<PAGE>
Food & Beverage 2,250,000 Boston Chicken Inc., 4.50% due
2/01/2004 2,250,000 2,790,000 0.2
Healthcare 1,500,000 Integrated Health Services Inc.,
5.75% due 1/01/2001 1,493,750 1,395,000 0.1
18,829,000 Pacific Physician Services, Inc.,
5.50% due 12/15/2003 18,738,414 18,734,855 1.3
700,000 Pharmaceutical Marketing Services,
Inc., 6.25% due 2/01/2003*** 536,700 602,000 0.0
1,000,000 US Diagnostic Labs, Inc., 9% due
3/31/2003 1,000,000 1,000,000 0.1
-------------- -------------- ------
21,768,864 21,731,855 1.5
Industrial 500,000 Mascotech, Inc., 4.50% due 12/15/2003 500,000 388,125 0.0
140,000 Recognition Equipment International,
Inc.,7.25% due 4/15/2011 103,600 121,800 0.0
-------------- -------------- ------
603,600 509,925 0.0
Insurance 1,225,000 American Travelers Corp., 6.50% due
10/01/2005*** 1,384,500 1,791,562 0.1
2,000,000 Statesman Group, Inc. (The), 6.25%
due 5/01/2003 2,060,000 2,060,000 0.1
1,250,000 Zurich Reinsurance Centre Holdings,
Inc., 1% due 4/15/2003 1,009,625 1,015,625 0.1
-------------- -------------- ------
4,454,125 4,867,187 0.3
Machine-- 1,500,000 Cooper Industries, Inc., 7.05%
Diversified due 1/01/2015 1,474,999 1,552,500 0.1
Mining 2,000,000 Coeur d'Alene Mines Corp., 6.375%
due 1/31/2004*** 1,916,550 2,040,000 0.1
Oil--Domestic 3,750,000 USX Corp., 7% due 6/15/2017 3,259,150 3,510,937 0.3
2,080,000 Wainoco Oil Corp., 7.75% due
6/01/2014 1,880,352 1,635,400 0.1
-------------- -------------- ------
5,139,502 5,146,337 0.4
Paper 800,000 Sappi Ltd., 7.50% due 8/01/2002 800,000 756,000 0.1
Pharmaceuticals 2,600,000 Bindley Western Industries, Inc.,
6.50% due 10/01/2002 2,563,000 2,652,000 0.2
2,000,000 IVAX Corp., 6.50% due 11/15/2001 1,897,500 2,042,500 0.1
-------------- -------------- ------
4,460,500 4,694,500 0.3
<PAGE>
Publishing/ 2,150,000 Graphic Industries, Inc., 7% due
Printing 5/15/2006 1,899,375 1,956,500 0.1
Real Estate 1,720,000 Pacific Gulf Properties, Inc.,
Investment 8.375% due 2/15/2001 1,513,262 1,677,000 0.1
Trust
Retail 200,000 Baby Superstores Inc., 4.875% due
10/01/2000 200,000 196,000 0.0
825,000 Baker (J.) Inc., 7% due 6/01/2002 824,527 589,875 0.0
1,000,000 Michaels Stores, Inc., 6.75% due
1/15/2003 1,016,000 790,000 0.1
-------------- -------------- ------
2,040,527 1,575,875 0.1
Telecommunications 3,420,000 Intelcom Group Inc., 7% due
10/30/1998 (a) 3,365,137 3,873,150 0.3
Textiles 1,025,000 Fieldcrest Cannon, Inc., 6% due
3/15/2012 763,625 804,625 0.1
Transportation 212,000 Alaska Air Group Inc., 7.75% due
6/15/2010 193,450 207,760 0.0
300,000 Varlen Corp., 6.50% due 6/01/2003 297,000 309,000 0.0
-------------- -------------- ------
490,450 516,760 0.0
Total Investments in United
States Convertible Bonds 73,196,485 75,658,640 5.3
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
NORTH AMERICA Convertible Preferred Stocks, Percent of
(concluded) Industries Shares Held Common Stocks & Warrants Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Banking & Finance 38,300 Rochester Community Savings Bank,
States $1.75 (Series B) $ 1,100,014 $ 1,426,675 0.1%
(concluded) 38,837 Southern National Corp., Pfd.
$1.6875 843,178 1,077,733 0.1
50,200 Union Planters Corp., Pfd. $2.00 1,775,655 1,895,050 0.1
-------------- -------------- ------
3,718,847 4,399,458 0.3
<PAGE>
Electronics 85,154 Rexel S.A. 787,820 1,043,136 0.1
Environmental 35,200 Allied Waste Industries, Inc., $90
Conv. Pfd.***(e) 3,520,401 6,512,000 0.5
Food & Beverage 465,500 RJR Nabisco, Inc., Pfd. $.60
(Series C) 3,021,638 2,851,187 0.2
Forest Products 44,800 James River Corp. of Virginia 1,969,537 2,122,400 0.2
& Paper 15,000 James River Corp. of Virginia,
$3.375 (Series K), Conv. Pfd. 668,330 699,375 0.0
-------------- -------------- ------
2,637,867 2,821,775 0.2
Gaming 75,000 Goldriver Hotel & Casino Corp.,
Liquidating Trust 75,000 26,719 0.0
30,000 Goldriver Hotel & Casino Corp.
(Series B)(d) 219,738 0 0.0
6,000 Trump Taj Mahal Funding, Inc.
(Class A) 3,000 156,000 0.0
-------------- -------------- ------
297,738 182,719 0.0
High Technology 91,053 Anacomp, Inc. (Warrants)(c) 120,000 9 0.0
Hotels 1,608 Buckhead America Corp. 8,291 8,442 0.0
Industrial 109,000 Albany International Corp. (Class A) 2,057,546 2,180,000 0.2
Services 20,000 Mascotech, Inc., Pfd. $1.20 312,460 280,000 0.0
10,000 UGI Corp. (Warrants)(c) 43,750 1,500 0.0
-------------- -------------- ------
2,413,756 2,461,500 0.2
Insurance 66,200 Kemper Corp., Pfd. $5.25 (Series E) 3,248,624 3,508,600 0.2
1,500 Westbridge Capital Corp., Pfd. 1,500,000 1,245,000 0.1
-------------- -------------- ------
4,748,624 4,753,600 0.3
Mining 50,000 Coeur d'Alene Mines Corp., Pfd.*** 1,062,500 1,056,250 0.1
Oil & Gas 28,000 Callon Petroleum Co. 700,000 791,000 0.1
39,000 Enron Corp. 848,250 989,625 0.1
35,000 Lomak Petroleum Inc. 1,085,525 1,207,500 0.1
43,000 Snyder Oil Corp., Pfd. $1.50
(Series A) 906,023 790,125 0.0
20,000 Western Gas Resources, Inc., Pfd.
$2.62 1,000,000 740,000 0.0
-------------- -------------- ------
4,539,798 4,518,250 0.3
<PAGE>
Telecommunications 35,000 U.S. West Communications, Inc.,
Conv. Pfd. 840,000 945,000 0.0
Total Investments in United States
Convertible Preferred Stocks,
Common Stocks & Warrants 27,717,280 31,553,326 2.2
Total Investments in North
American Securities 731,985,134 728,990,673 50.5
PACIFIC
BASIN Face Amount Fixed-Income Investments
Australia Foreign Australian Government Bonds:
Government A$ 61,000,000 10% due 10/15/2002 49,996,626 50,514,251 3.5
Obligations 32,000,000 9.50% due 8/15/2003 25,892,299 25,930,306 1.8
30,000,000 10% due 2/15/2006 24,549,897 25,163,262 1.7
Total Fixed-Income Investments
in Australia 100,438,822 101,607,819 7.0
Hong Kong Financial 2,500,000 Henderson Capital International,
Services 5% due 10/27/1996 2,622,500 2,643,750 0.2
Total Fixed-Income Investments in
Hong Kong 2,622,500 2,643,750 0.2
Indonesia Banking US$ 5,000,000 P.T. Indah Kiat International Finance,
12.50% due 6/15/2006 5,025,000 5,000,000 0.4
Total Fixed-Income Investments in
Indonesia 5,025,000 5,000,000 0.4
Philippines Banking 500,000 Central Bank of the Philippines, 6.25%
due 12/01/2017 379,375 392,500 0.0
Industrial 3,000,000 San Miguel Corp., 9% due 4/27/2000 2,981,000 3,127,500 0.2
Telecommunications 5,000,000 Philippine Long Distance Telephone
Co., 9.875% due 8/01/2005 4,999,350 5,193,750 0.4
Total Fixed-Income Investments in
the Philippines 8,359,725 8,713,750 0.6
Total Investments in Pacific Basin
Securities 116,446,047 117,965,319 8.2
<PAGE>
WESTERN EUROPE
Denmark Foreign Denmark Government Bonds:
Government Dkr 226,000,000 8% due 5/15/2003 41,463,328 41,854,938 2.9
Obligations 361,770,000 8% due 3/15/2006 66,009,269 65,563,865 4.5
Total Fixed-Income Investments
in Denmark 107,472,597 107,418,803 7.4
Germany Banking DM 20,000,000 Deutsche Pfandbriefe Bank, 5.625%
due 2/07/2003 13,401,519 13,158,894 0.9
Consumer US$ 10,000,000 Tarkett International, 9% due
Products 3/01/2002 10,000,000 10,325,000 0.7
Foreign DM 25,000,000 German Unity Fund, 8% due 1/21/2002 19,690,080 18,772,031 1.3
Government 20,000,000 Treuhandanstalt, 7.125% due
Obligations 1/29/2003 14,607,961 14,375,000 1.0
-------------- -------------- ------
34,298,041 33,147,031 2.3
Total Fixed-Income Investments
in Germany 57,699,560 56,630,925 3.9
Ireland Dental US$ 500,000 Phoenix Shannon PLC, 9.50%
Equipment due 11/01/2000 500,000 498,437 0.0
& Supplies
Total Fixed-Income Investments
in Ireland 500,000 498,437 0.0
Italy Foreign Buoni Poliennali del Tesoro
Government (Italian Government Bonds):
Obligations Lit37,400,000,000 9.50% due 12/01/1997 24,065,227 23,683,485 1.7
33,500,000,000 10.50% due 4/01/2000 20,327,090 21,568,698 1.5
38,400,000,000 8.50% due 8/01/2004 22,240,741 21,765,718 1.5
Total Fixed-Income Investments
in Italy 66,633,058 67,017,901 4.7
Poland Foreign Polish Government Brady Bonds:
Government US$ 2,000,000 3.75% due 10/27/2014 1,340,625 1,510,000 0.1
Obligations 1,000,000 6.875% due 10/27/2024 863,750 892,500 0.1
Total Fixed-Income Investments
in Poland 2,204,375 2,402,500 0.2
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
WESTERN
EUROPE Percent of
(concluded) Industries Face Amount Fixed-Income Investments Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Spain Foreign Government of Spain:
Government Pta 1,149,000,000 12.25% due 3/25/2000 $ 9,630,525 $ 10,196,866 0.7%
Obligations 950,000,000 10.10% due 2/28/2001 7,935,815 7,908,497 0.5
5,100,000,000 11.30% due 1/15/2002 45,100,158 44,487,262 3.1
800,000,000 10% due 2/28/2005 6,619,009 6,541,116 0.5
Total Fixed-Income Investments
in Spain 69,285,507 69,133,741 4.8
United Broadcasting/ US$ 3,000,000 Videotron Holdings PLC,
Kingdom Cable 10.82%* due 8/15/2005 1,844,840 1,905,000 0.1
Communications 20,000,000 Telewest Communications PLC, 11.41%*
due 10/01/2007 12,349,100 11,900,000 0.8
Foreign United Kingdom Gilt:
Government Pound 9,500,000 8% due 6/10/2003 14,855,563 14,567,818 1.0
Obligations Sterling 45,850,000 8.50% due 12/07/2005 73,897,523 71,642,900 5.0
8,500,000 9% due 7/12/2011 14,642,595 13,650,607 1.0
-------------- -------------- ------
103,395,681 99,861,325 7.0
Total Fixed-Income Investments
in the United Kingdom 117,589,621 113,666,325 7.9
Total Investments in Western
European Securities 421,384,718 416,768,632 28.9
SHORT-TERM
SECURITIES Issue
Commercial US$ 24,211,000 Ford Motor Credit Co., 5.45% due
Paper** 4/01/1996 24,211,000 24,211,000 1.7
US Government 35,000,000 Federal National Mortgage
& Agency Association, 5.17% due 4/26/1996 34,874,340 34,874,340 2.4
Obligations** US Treasury Bills:
5,000,000 5.03% due 4/11/1996 4,993,014 4,992,950 0.3
30,000 5.101% due 6/27/1996 29,641 29,629 0.0
-------------- -------------- ------
39,896,995 39,896,919 2.7
<PAGE>
Total Investments in Short-Term
Securities 64,107,995 64,107,919 4.4
OPTIONS Number of Contracts/ Premiums
PURCHASED Face Amount Paid
Currency Put 14,310,800 Australian Dollar, expiring April 1996
Options at A$0.753 91,532 1,431 0.0
Purchased 38,200,000 Australian Dollar, expiring May 1996
at A$0.764 365,276 110,780 0.0
Total Options Purchased 456,808 112,211 0.0
Total Investments 1,423,795,357 1,415,652,013 98.1
OPTIONS Premiums
WRITTEN Received
Currency Call 14,497,000 Australian Dollar, expiring April
Options Written 1996 at A$0.763 (91,534) (356,626) 0.0
38,700,000 Australian Dollar, expiring May
1996 at A$0.774 (365,274) (588,240) 0.0
44,892,000 Australian Dollar, expiring June
1996 at A$0.774 (514,013) (785,610) (0.1)
-------------- -------------- ------
(970,821) (1,730,476) (0.1)
Currency Put 40,000,000 German Deutschemark/Italian Lira,
Options Written expiring May 1996 at DM/Lit 1,070 (388,231) (317,560) 0.0
40,000,000 German Deutschemark/Spanish Peseta,
expiring May 1996 at DM/Pta 84.20 (148,800) (99,520) 0.0
-------------- -------------- ------
(537,031) (417,080) 0.0
Total Options Written (1,507,852) (2,147,556) (0.1)
<PAGE>
Total Investments, Net of Options Written $1,422,287,505 1,413,504,457 98.0
==============
Short Sales (Proceeds--$5,397,959)*** (6,028,443) (0.4)
Variation Margin on Financial Futures Contracts**** (14,688) 0.0
Unrealized Appreciation on Forward Foreign Exchange Contracts***** 155,434 0.0
Other Assets Less Liabilities 35,121,119 2.4
-------------- ------
Net Assets $1,442,737,879 100.0%
============== ======
Net Asset Value: Class A--Based on net assets of $242,122,447 and
28,022,222 shares outstanding $ 8.64
==============
Class B--Based on net assets of $1,184,623,847 and
137,190,584 shares outstanding $ 8.63
==============
Class C--Based on net assets of $6,670,949 and
773,178 shares outstanding $ 8.63
==============
Class D--Based on net assets of $9,320,636 and
1,078,783 shares outstanding $ 8.64
==============
<FN>
(a)Represents a pay-in-kind security which may pay interest/
dividends in additional face/shares.
(b)Subject to principal paydowns as a result of prepayments or
refinancings of the underlying mortgage instruments. As a result,
the average life may be substantially less than the original
maturity.
(c)Warrants entitle the Fund to purchase a predetermined number of
shares of Common Stock. The purchase price and number of shares are
subject to adjustment under certain conditions until the expiration
date.
(d)Each share of Series B stock contains a right which entitles the
holder to purchase a predetermined number of shares of Preferred
Stock.
(e)Each unit consists of 10 shares of Allied Waste Industries, Inc.
(f)The rights may be exercised until 2/06/2001.
*Represents a zero coupon or step bond; the interest rate shown is
the effective yield at the time of purchase by the Fund.
**Commercial Paper and certain US Government & Agency Obligations
are traded on a discount basis; the interest rates shown are the
discount rates paid at the time of purchase by the Fund.
***Covered Short Sales entered into as of March 31, 1996 were as
follows:
<PAGE>
Common
Shares Issue Value
446,370 Allied Waste Industries, Inc. $(4,017,330)
43,100 American Travelers Corp. (1,276,838)
19,000 Coeur d'Alene Mines Corp. (387,125)
26,200 Pharmaceutical Marketing Services, Inc. (347,150)
Total (Proceeds--$5,397,959) $(6,028,443)
===========
****Financial futures contracts sold as of March 31, 1996 were as
follows:
Number of Expiration
Contracts Issue Date Value
94 US Treasury Bonds June 1996 $10,478,063
Total Financial Futures Contracts Sold
(Total Contract Price--$10,463,375) $10,478,063
===========
*****Forward foreign exchange contracts as of March 31, 1996 were as follows:
Unrealized
Foreign Currency Expiration Appreciation
Purchased Date (Depreciation)
A$ 5,000,000 April 1996 $ 17,910
DM 216,288,869 April 1996 (141,830)
Lit 94,885,080,000 April 1996 83,879
Total (US$ Commitment--$211,217,680) $ (40,041)
----------
<PAGE>
Unrealized
Foreign Expiration Appreciation
Currency Sold Date (Depreciation)
A$ 18,500,000 April 1996 $ (69,227)
DM 89,000,000 April 1996 49,020
Pound Sterling 14,018,304 April 1996 (73,693)
Lit 153,675,791,000 April 1996 319,398
Pta 3,385,340,000 April 1996 (30,023)
Total (US$ Commitment--$221,641,868) $ 195,475
----------
Total Unrealized Appreciation on Forward
Foreign Exchange Contracts--Net $ 155,434
==========
</TABLE>
