<PAGE>
MORGAN STANLEY
EMERGING MARKETS DEBT FUND, INC.
- ---------------------------------------------
DIRECTORS AND OFFICERS
<TABLE>
<S> <C>
Barton M. Biggs William G. Morton, Jr.
CHAIRMAN OF THE BOARD DIRECTOR
OF DIRECTORS James W. Grisham
Warren J. Olsen VICE PRESIDENT
PRESIDENT AND DIRECTOR Michael F. Klein
Peter J. Chase VICE PRESIDENT
DIRECTOR Harold J. Schaaff, Jr.
John W. Croghan VICE PRESIDENT
DIRECTOR Joseph P. Stadler
David B. Gill VICE PRESIDENT
DIRECTOR Valerie Y. Lewis
Graham E. Jones SECRETARY
DIRECTOR James R. Rooney
John A. Levin TREASURER
DIRECTOR Belinda A. Brady
ASSISTANT TREASURER
</TABLE>
- ---------------------------------------------
INVESTMENT ADVISER
Morgan Stanley Asset Management Inc.
1221 Avenue of the Americas
New York, New York 10020
- ---------------------------------------------------------
ADMINISTRATOR
The Chase Manhattan Bank
73 Tremont Street
Boston, Massachusetts 02108
- ---------------------------------------------------------
CUSTODIANS
Morgan Stanley Trust Company
One Pierrepont Plaza
Brooklyn, New York 11201
The Chase Manhattan Bank
770 Broadway
New York, New York 10003
- ---------------------------------------------------------
SHAREHOLDER SERVICING AGENT
Boston Equiserve
Investor Relations Department
P.O. Box 644
Boston, Massachusetts 02102-0644
(617) 575-3120
- ---------------------------------------------------------
LEGAL COUNSEL
Rogers & Wells
200 Park Avenue
New York, New York 10166
- ---------------------------------------------------------
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
1177 Avenue of the Americas
New York, New York 10036
- ---------------------------------------------------------
For additional Fund information, including the Fund's net asset value per share
and information regarding the investments comprising the Fund's portfolio,
please call 1-800-221-6726.
------------------------
MORGAN STANLEY
EMERGING MARKETS
DEBT FUND, INC.
---------------------
FIRST QUARTER REPORT
MARCH 31, 1997
MORGAN STANLEY ASSET MANAGEMENT INC.
INVESTMENT ADVISER
<PAGE>
LETTER TO SHAREHOLDERS
- --------
For the three months ended March 31, 1997, the Morgan Stanley Emerging Markets
Debt Fund, Inc. had a total return, based on net asset value per share, of 5.70%
compared to 0.78% for the J.P. Morgan Emerging Markets Bond Plus Index (the
"Index"). For the one year ended March 31, 1997, the Fund had a total return,
based on net asset value per share, of 51.31% compared to 35.03% for the Index.
For the period since the Fund's commencement of operations on July 23, 1993
through March 31, 1997, the Fund's total return, based on net asset value per
share, was 103.78% compared with 71.25% for the Index. On March 31, 1997, the
closing price of the Fund's shares on the New York Stock Exchange was $13.00,
representing a 7.3% discount to the Fund's net asset value per share.
For the first few weeks of the year, the trend of an across the board tightening
of credit spreads continued unabated. Attractive relative valuations, the
stretch for incremental yield, improving sovereign credits and easy global
monetary conditions prompted continued increases in allocations to emerging
market assets. Chairman Greenspan's comments on the state of credit markets,
extended valuations and mispricing of risks stopped the music suddenly. A
correction in fixed income markets started in the last week of February and
lasted for practically all of the month of March.
It is always easier with hindsight to point out the excesses in financial
markets. The only common theme this time around was the fact that it was no
different than the last time we encountered clear-air turbulence in emerging
markets. Valuations always look stretched, but somehow always justifiable,
late-comers to the party are the first to get "excessively exuberant", self-
fulfilling circular loops of logic are in fashion, hot investment ideas
proliferate as bull market geniuses are spawned every day and unsuspecting
investment professionals dance to the "its different this time around" chorus.
Before anyone knows it, a bear market/serious correction suddenly appears from
out of the blue. The specific catalyst or trigger can somehow never be
anticipated, as corrections seldom arrive accompanied by the sound of drums and
music. Two things remain true no matter what: that bulls are mortal and it
always appears pitch black before the dawn of a rally. So when the Fed is
expected to move another 100 basis points in 1997, political cycles are expected
to wreck the improving economic stories, oil prices are headed to $10 a barrel
and some emerging country is close to a default, it will be time to buy emerging
market bonds again. Or will it?
The markets didn't surprise by behaving differently this time around. An
increase in risk premiums affected all countries and all bonds. A correction,
precipitated by possible Fed action and deepened by redemptions and a reduction
in committed capital, tends to affect the broad market. Hot investments tend to
get hit the hardest as positions need to be reduced and the demand supply
imbalance grows exponentially. The weight of money heading for the exits drowns
the fundamentals for a while. The overbought and the overowned assets
underperformed as expected. The only safe havens proved to be short-duration
floating rate bonds of Argentina, Brazil and Morocco. The resilience of the
Mexican peso surprised everyone and assets with low correlations with the broad
market performed reasonably.
Over the course of the quarter, though, the improving credit stories did
outperform. Argentina, Brazil, Bulgaria, Mexico and Morocco did manage to hold
on to positive returns. The countries with deteriorating outlooks
underperformed. Ecuador, Venezuela and Russia took up the rear of the
performance pack. The performance of Panama, Peru, Philippines and Poland proved
to be mediocre.
The Fund outperformed by sticking to our religion. Buying cheap credits with an
improving economic outlook proved successful in Bulgaria as we retained our
overweight in the best performing country for the quarter based on the premise
that a political consensus existed to undertake serious macroeconomic
stabilization for the first time in many years. A transition government that
replaced the ex-socialists negotiated for help from the International Monetary
Fund (IMF), World Bank and the European Union for external financing that would
improve the country's ability to implement a currency board after the elections
scheduled for mid-April. The reformers are expected to win and implement the IMF
prescribed stabilization and de-regulation program.
Our focus on values and improvement steered us away from the pitfalls in Ecuador
as an ambitious President was ousted by the population on charges of corruption,
nepotism and conservatism. Economic policies, however well crafted, need careful
execution. Ecuador reminded us that drastic reform can run the risk of a
backlash. We managed to side-step the
2
<PAGE>
problems by reducing our exposure as valuations became stretched and the first
sign of trouble emerged.
Mexico proved to be a difficult country in 1997. The strong tail-winds of firm
oil prices, low global interest rates and a weak peso turned into head winds for
the first time since the crisis of 1995. Expensive assets and risk of further
political upheaval before the elections in July did not warrant an excessive
allocation. The country performed well in January as excessive liquidity drove
spreads lower but has underperformed the market since.
Argentina, on the other hand, was an easier credit to invest in. A buoyant
economy, bouncing of cyclical troughs, improved domestic sentiment. Intelligent
pre-financing of the government borrowing needs during easy money conditions and
refocus on structural reform of the labor markets reduced perceived risks. A
manageable fiscal position and ample domestic liquidity helped Argentina to
remain as one of the top performers in 1997.
In South Africa, the Fund invested in rand denominated South African gilts as
high real interest rates and a cheap currency proved to be attractive. Interest
rates were maintained at high levels as the Central Bank sought to cool the
growth in private sector credit. The prospect of declining inflation over the
course of the year and a tight fiscal policy made the local bond market
attractive. The currency should find support from a much smaller trade balance
and privatization related inflows during 1997.
We reduced positions in Morocco as the economic recovery after the drought in
1995 was fully priced into current prices and implementation of structural
reforms seemed to be losing steam during 1997. The prospect of favorable ratings
also buoyed prices. We used the rally in prices during February to reduce our
allocations to Morocco. We will consider increasing them again once valuations
reach attractive levels again and are consistent with an expected rating in the
BB category.
Brazil weathered its first concern over the currency fairly well but doubts over
the sustainability of the current regime remain. The appearance of large trade
deficits cast doubts on the government's balance of policies. Clearly, in the
absence of a reduction in the growth of domestic demand, higher interest rates
or a tighter fiscal policy are inevitable. Privatizations and amendments to the
Constitution, if permitted by President Cardoso, may provide short-term relief.
The government needs to deliver on key reform initiatives this year to safeguard
the long-run viability of the Real plan. We reduced our allocations to Brazil as
relative valuations proved to be unattractive compared to the possible downside
risks in the absence of reform.
A decline in oil prices burst Venezuela's bubble. Venezuela has benefited from
the rally in oil prices as higher oil prices have increased foreign reserves of
the Central Bank as well as improved the fiscal position of the government. A
slight delay in enacting other reform measures such as the labor and severance
pay reform bill and the granting of high adjustments to salaried workers gave
investors the excuse to take profits. Price declines were severe as the
Venezuelan story had been bought by all. We did not materially change our
exposure to Venezuela during the quarter.
The outlook for the market is dependent on the course of U.S. interest rates. At
this time it appears that another 50 basis points increase in Fed funds will be
necessary to slow demand. Higher wages and a resultant increase in unit labor
costs threaten the period of price stability that we have had since the late
1980's. Once this has been priced into the bond market, and a certain amount of
stability returns to the U.S. bond market, emerging market bonds should recover.
The correction in prices have restored valuations to attractive levels. Any
further declines in the absence of any major increase in U.S. rates should prove
to be buying opportunities. A buoyant U.S. dollar, a competitive environment in
goods and labor markets in the U.S., a general lack of pricing power and the
absence of a synchronized expansion in Europe and some parts of Asia should
limit the dangers of inflation in the near term.
Sincerely,
[SIGNATURE]
Warren J. Olsen
PRESIDENT AND DIRECTOR
[SIGNATURE]
Paul Ghaffari
PORTFOLIO MANAGER
APRIL 1997
3
<PAGE>
Morgan Stanley Emerging Markets Debt Fund, Inc.
Investment Summary as of March 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HISTORICAL
INFORMATION
TOTAL RETURN (%)
---------------------------------------------------------------------------
MARKET VALUE (1) NET ASSET VALUE (2) INDEX (3)
----------------------- ----------------------- -----------------------
AVERAGE AVERAGE AVERAGE
CUMULATIVE ANNUAL CUMULATIVE ANNUAL CUMULATIVE ANNUAL
----------------------- ----------------------- -----------------------
<S> <C> <C> <C> <C> <C> <C>
FISCAL YEAR TO DATE 12.08% -- 5.70% -- 0.78% --
ONE YEAR 38.53 38.53% 51.31 51.31% 35.03 35.03%
SINCE INCEPTION* 88.84+ 18.80+ 103.78+ 21.28+ 71.25 15.69
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
- --------------------------------------------------------------------------------
RETURNS AND PER SHARE INFORMATION
A BAR CHART REFLECTING THE DATA BELOW IS REFLECTED HERE.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31:
TOTAL RETURN
THREE MONTHS ENDED
1993* 1994 1995 1996 MARCH 31, 1997
<S> <C> <C> <C> <C> <C>
Net Asset Value Per Share $ 18.96 $ 12.23 $ 12.40 $ 17.31 $14.03
Market Value Per Share $ 18.13 $ 11.38 $ 12.50 $ 15.13 $13.00
Premium/(Discount) -4.4% -7.0% 0.8% -12.6% -7.3%
Income Dividends $0.16 $1.49 $1.72 $1.08 $0.55
Capital Gains Distributions - $0.41 - - $3.24
Fund Total Return (2) 35.96% -25.95% 26.85%+ 50.98% 5.70%
Index Total Return (3) 18.67% -18.93% 26.77% 39.31% 0.78%
Morgan Stanley Emerging Markets Debt Fund, Inc. (2)
J.P. Morgan Emerging Markets Bond Plus Index (3)
</TABLE>
<TABLE>
<C> <S>
(1) Assumes dividends and distributions, if any, were reinvested.
(2) Total investment return based on net asset value per share reflects the
effects of changes in net asset value on the performance of the Fund
during each period, and assumes dividends and distributions, if any, were
reinvested. These percentages are not an indication of the performance of
a shareholder's investment in the Fund based on market value due to
differences between the market price of the stock and the net asset value
per share of the Fund.
(3) Prior to fiscal year 1997, the Fund used the J.P. Morgan Emerging Markets
Bond Index as its benchmark for performance purposes. Beginning in 1997,
the Fund is now using the J.P. Morgan Emerging Markets Bond Plus Index for
the purpose of performance comparisons. This index includes a broader
range of debt instruments and more closely represents the investment
strategy of the Fund. Because the J.P. Morgan Emerging Markets Bond Plus
Index was not available prior to January 1, 1994 the performance of the
J.P. Morgan Emerging Markets Bond Index is shown for the period July 23,
1993 to December 31, 1993 and for purposes of computing cumulative
performance of the benchmark index, for that period. The J.P. Morgan
Emerging Markets Bond Plus Index is a market weighted index composed of
Brady bonds, loans and Eurobonds, as well as U.S. Dollar local market
instruments of Argentina, Brazil, Bulgaria, Mexico, Morocco, Nigeria, the
Philippines, Poland, Russia, Venezuela and South Africa.
* The Fund commenced operations on July 23, 1993.
+ This return does not include the effect of the rights issued in connection
with the Rights Offering.
</TABLE>
4
<PAGE>
Morgan Stanley Emerging Markets Debt Fund, Inc.
Portfolio Summary as of March 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS DIVERSIFICATION
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Debt Instruments 97.2%
Short-Term Investment 2.8%
</TABLE>
- --------------------------------------------------------------------------------
COUNTRY WEIGHTINGS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Argentina 18.7%
Russia 17.7%
Brazil 12.2%
Mexico 12.1%
Bulgaria 9.4%
Venezuela 7.1%
Jamaica 5.2%
Ecuador 3.9%
Peru 3.4%
Ivory Coast 2.3%
Other 8.0%
</TABLE>
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-----------
<C> <S> <C>
1. Republic of Russia Debt 17.7%
2. Republic of Argentina Debt 15.8
3. Republic of Brazil Debt 10.9
4. Republic of Bulgaria Debt 9.4
5. United Mexican States Debt 7.6
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-----------
<C> <S> <C>
6. Republic of Venezuela Debt 7.1%
7. Government of Jamaica Debt 5.2
8. Republic of Equador Debt 3.9
9. Republic of Peru Debt 3.4
10. Empresas ICA Sociedad Controladora 2.6
-----
83.6%
-----
-----
</TABLE>
* Excludes short-term investments.
5
<PAGE>
INVESTMENTS (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ---------
MARCH 31, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
<S> <C> <C>
- --------------------------------------------------------
- ------------
DEBT INSTRUMENTS (93.0%)
- --------------------------------------------------------
- ------------
ARGENTINA (18.7%)
BONDS (17.7%)
+Acindar Industries 11.30%, 11/12/98 U.S.$ 1,500 U.S.$ 1,545
Industrias Pescarmona S.A. 144A 11.75%, 3/27/98 1,000 1,027
Metrogas S.A. 'B' 10.875%, 5/15/01 4,000 4,260
Republic of Argentina 144A 11.75%, 2/12/07 ARP 8,900 8,950
Republic of Argentina 11.375%, 1/30/17 U.S.$ 1,175 1,211
+Republic of Argentina 'L' Bond 6.75%, 3/31/05 49,373 44,189
Republic of Argentina Par Bond 5.50%, 3/31/23 6,200 3,879
-------------
65,061
-------------
NOTE (1.0%)
Nortel Inversora 'A' 144A 6.00%, 3/31/07 6,723 3,580
-------------
68,641
-------------
- --------------------------------------------------------
- ------------
BRAZIL (8.0%)
BONDS
Federative Republic of Brazil 'C' Bond PIK Euro
8.00%, 4/15/04 14,098 10,498
+Federative Republic of Brazil Debt Conversion
'L' Bond 6.5625%, 4/15/12 15,800 12,467
+Federative Republic of Brazil 'Z-L' Discount
Bond 6.50%, 4/15/24 1,850 1,486
Tevecap 12.625%, 11/26/04 5,000 5,175
-------------
29,626
-------------
- --------------------------------------------------------
- ------------
BULGARIA (9.4%)
BONDS (7.1%)
Republic of Bulgaria Front Loaded Interest
Reduction Bond 'A' Euro 2.25%, 7/28/12 40,500 17,061
+Republic of Bulgaria Past Due Interest Bond
6.56%, 7/28/11 15,750 9,007
-------------
26,068
-------------
NOTE (2.3%)
Republic of Bulgaria Discount Note 6.56%,
8/20/97 20,000 8,510
-------------
34,578
-------------
- --------------------------------------------------------
- ------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
<S> <C> <C>
- --------------------------------------------------------
- ------------
ECUADOR (3.9%)
BONDS
+Republic of Ecuador Past Due Interest Bond
(Registered) 6.44%, 2/27/15 U.S.$ 9,202 U.S.$ 5,240
Republic of Ecuador Par Bond 3.50%, 2/28/25 2,100 866
+Republic of Ecuador Discount Bond 6.44%,
2/28/25 6,700 4,347
+Republic of Ecuador Past Due Interest Bond Euro
6.44%, 2/27/15 6,539 3,723
-------------
14,176
-------------
- --------------------------------------------------------
- ------------
INDIA (0.7%)
BOND
Saurashtra Cement Co. 17.00%, 9/7/97 INR 94,000 2,484
-------------
- --------------------------------------------------------
- ------------
IVORY COAST (2.3%)
BONDS
Republic of Ivory Coast Syndicated Loan, Zero
Coupon, 12/31/00 U.S.$ 5,750 2,199
Republic of Ivory Coast Syndicated Loan, Zero
Coupon, 12/31/00 FRF 89,146 6,411
-------------
8,610
-------------
- --------------------------------------------------------
- ------------
JAMAICA (5.2%)
BOND
Government of Jamaica 12.00%, 7/19/99 U.S.$ 19,100 19,100
-------------
- --------------------------------------------------------
- ------------
MEXICO (12.1%)
BONDS
Empresas ICA Sociedad Controladora 11.875%,
5/30/01 8,000 8,520
Empresas ICA Sociedad Controladora (Registered)
11.875%, 5/30/01 1,000 1,065
Empresas La Moderna 11.375%, 1/25/99 6,500 6,792
National Financiera 17.00%, 2/26/99 ZAR 12,000 2,675
- --------------------------------------------------------
- ------------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
- --------------------------------------------------------
- ------------
<S> <C> <C>
MEXICO (CONTINUED)
United Mexican States Discount Bond 6.375%,
9/9/97 U.S.$ 16,250 U.S.$ 10,923
United Mexican States Global Bond 11.375%,
9/15/16 1,850 1,898
United Mexican States Global Bond Euro 11.50%,
5/15/26 6,500 6,727
United Mexican States Global Bond 11.375%,
9/15/16 5,650 5,795
-------------
44,395
-------------
- --------------------------------------------------------
- ------------
NIGERIA (1.6%)
NOTE
Central Bank of Nigeria Promissory Note 3.86%,
1/5/10 11,000 5,775
-------------
- --------------------------------------------------------
- ------------
PANAMA (1.1%)
BONDS
Republic of Panama Interest Reduction Bond 144A
3.50%, 7/17/14 3,583 2,499
+Republic of Panama Interest Reduction Bond Euro
3.50%, 7/17/14 300 209
+Republic of Panama Past Due Interest Bond
6.56%, 7/17/16 1,724 1,375
-------------
4,083
-------------
- --------------------------------------------------------
- ------------
PERU (3.4%)
BONDS
Republic of Peru Front Loaded Interest Reduction
Bond 3.25%, 3/7/17 11,698 6,054
Republic of Peru Front Loaded Interest Reduction
Bond 3.25%, 3/7/17 5,000 2,588
Republic of Peru Past Due Interest Bond 4.00%,
3/7/17 6,494 3,734
-------------
12,376
-------------
- --------------------------------------------------------
- ------------
RUSSIA (17.7%)
BONDS (10.7%)
Ministry of Finance Tranche IV 3.00%, 5/14/03 43,590 26,753
Ministry of Finance Tranche IV (Letter of
Entitlement) 3.00%, 5/14/03 128 79
Ministry of Finance Tranche VI 144A 3.00%,
5/14/06 18,300 8,864
Russia Past Due Interest Bond, Zero Coupon,
12/31/99 5,300 3,584
-------------
39,280
-------------
- --------------------------------------------------------
- ------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
<S> <C> <C>
- --------------------------------------------------------
- ------------
RUSSIA (CONTINUED)
LOAN AGREEMENTS (3.1%)
Bank for Foreign Economic Affairs
(Participation: J.P. Morgan, Chase Securities,
Inc.) U.S.$ 9,550 U.S.$ 7,473
Bank for Foreign Economic Affairs DEM 8,200 4,086
-------------
11,559
-------------
NOTE (3.9%)
Russia Interest Arrears Note, Zero Coupon,
12/31/99 U.S.$ 25,300 14,231
-------------
65,070
-------------
- --------------------------------------------------------
- ------------
SOUTH AFRICA (1.8%)
BOND
Republic of South Africa '150' 12.00%, 2/28/05 ZAR 35,000 6,798
-------------
- --------------------------------------------------------
- ------------
VENEZUELA (7.1%)
BONDS
+Republic of Venezuela Discount Bonds 'A' 6.38%,
3/31/20 U.S.$ 9,000 7,312
+Republic of Venezuela Discount Bonds 'B' 6.38%,
3/31/20 5,600 4,550
+Republic of Venezuela Front Loaded Interest
Reduction Bond 'A' 6.75%, 3/31/07 16,190 14,121
+Republic of Venezuela Front Loaded Interest
Reduction Bond 'B' 6.75%, 3/31/07 238 208
-------------
26,191
-------------
- --------------------------------------------------------
- ------------
TOTAL DEBT INSTRUMENTS
(Cost U.S. $350,259) 341,903
-------------
- --------------------------------------------------------
- ------------
STRUCTURED INVESTMENT (4.2%)
- --------------------------------------------------------
- ------------
BRAZIL
Federative Republic of Brazil Credit Linked
Enhanced Note 9.00%, 1/5/99
(Cost U.S. $15,000) 15,000 15,431
-------------
- --------------------------------------------------------
- ------------
<CAPTION>
NO. OF
WARRANTS
<S> <C> <C>
- --------------------------------------------------------
- ------------
WARRANTS (0.0%)
- --------------------------------------------------------
- ------------
VENEZUELA
Republic of Venezuela Oil, expiring 4/15/20
(Cost U.S. $0) 104,240 --@
-------------
- --------------------------------------------------------
- ------------
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
NO. OF VALUE
CONTRACTS (000)
- --------------------------------------------------------
- ------------
<S> <C> <C>
PURCHASED OPTION (0.0%)
- --------------------------------------------------------
- ------------
BRAZIL
Federative Republic of Brazil 'C' Bond Call
Option, Strike price 77.40625, expiring 4/7/97
(Cost U.S. $397) 254 U.S.$ --@
-------------
- --------------------------------------------------------
- ------------
<CAPTION>
NO. OF
RIGHTS
<S> <C> <C>
- --------------------------------------------------------
- ------------
RIGHTS (0.0%)
- --------------------------------------------------------
- ------------
MEXICO
United Mexican States Value Recovery Rights,
expiring 6/30/03 (Cost U.S. $0) 9,230,000 --@
-------------
- --------------------------------------------------------
- ------------
<CAPTION>
AMOUNT
(000)
<S> <C> <C>
- --------------------------------------------------------
- ------------
SHORT-TERM INVESTMENT (2.8%)
- --------------------------------------------------------
- ------------
UNITED STATES
REPURCHASE AGREEMENT
Chase Securities, Inc., 6.00%, date 3/31/97, due
4/1/97, to be repurchased at U.S. $10,223,
collateralized by U.S. Treasury Bonds, 10.75%,
due 6/15/08, valued at U.S. $10,434
(Cost U.S. $10,221) U.S.$ 10,221 10,221
-------------
- --------------------------------------------------------
- ------------
<CAPTION>
AMOUNT VALUE
(000) (000)
<S> <C> <C>
- --------------------------------------------------------
- ------------
FOREIGN CURRENCY ON DEPOSIT
WITH CUSTODIAN (0.0%)
Indian Rupee
(Cost $--@) INR 10 U.S.$ --@
-------------
- --------------------------------------------------------
- ------------
TOTAL INVESTMENTS (100.0%)
(Cost $375,877) 367,555
-------------
- --------------------------------------------------------
- ------------
OTHER ASSETS AND LIABILITITES
Other Assets U.S.$ 127,233
Liabilities (192,720) (65,487)
------------- -------------
- --------------------------------------------------------
- ------------
NET ASSETS
Applicable to 21,531,260 issued and outstanding
U.S. $0.01 par value shares (100,000,000
shares authorized) U.S.$ 302,068
-------------
-------------
- --------------------------------------------------------
- ------------
NET ASSET VALUE PER SHARE U.S.$ 14.03
-------------
-------------
- --------------------------------------------------------
- ------------
</TABLE>
<TABLE>
<C> <C> <S>
ARP -- Argentine Peso
DEM -- German Mark
FRF -- French Franc
INR -- Indian Rupee
ZAR -- South African Rand
+ -- Variable/floating rate security -- rate disclosed
is as of March 31, 1997.
@ -- Amount is less than U.S. $500.
PIK -- Payment-in-Kind. Income may be paid in additional
securities or cash at the discretion of the
issuer.
</TABLE>
8
