<PAGE>
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MORGAN STANLEY
DEAN WITTER
EMERGING MARKETS
DEBT FUND, INC.
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THIRD QUARTER REPORT
SEPTEMBER 30, 2000
MORGAN STANLEY DEAN WITTER
INVESTMENT MANAGEMENT INC.
INVESTMENT ADVISER
MORGAN STANLEY DEAN WITTER
EMERGING MARKETS DEBT FUND, INC.
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DIRECTORS AND OFFICERS
Barton M. Biggs
CHAIRMAN OF THE BOARD
OF DIRECTORS
Harold J. Schaaff, Jr.
PRESIDENT AND DIRECTOR
John D. Barrett II
DIRECTOR
Gerard E. Jones
DIRECTOR
Graham E. Jones
DIRECTOR
John A. Levin
DIRECTOR
Andrew McNally IV
DIRECTOR
William G. Morton, Jr.
DIRECTOR
Samuel T. Reeves
DIRECTOR
Fergus Reid
DIRECTOR
Frederick O. Robertshaw
DIRECTOR
Stefanie V. Chang
VICE PRESIDENT
Arthur J. Lev
VICE PRESIDENT
Joseph P. Stadler
VICE PRESIDENT
Mary E. Mullin
SECRETARY
Belinda A. Brady
TREASURER
Robin L. Conkey
ASSISTANT TREASURER
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INVESTMENT ADVISER
Morgan Stanley Dean Witter Investment Management Inc.
1221 Avenue of the Americas
New York, New York 10020
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ADMINISTRATOR
The Chase Manhattan Bank
73 Tremont Street
Boston, Massachusetts 02108
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CUSTODIAN
The Chase Manhattan Bank
3 Chase MetroTech Center
Brooklyn, New York 11245
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SHAREHOLDER SERVICING AGENT
Boston Equiserve
Investor Relations Department
P.O. Box 644
Boston, Massachusetts 02102-0644
(800) 730-6001
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LEGAL COUNSEL
Clifford Chance Rogers & Wells LLP
200 Park Avenue
New York, New York 10166
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INDEPENDENT ACCOUNTANTS
Ernst & Young LLP
787 Seventh Avenue
New York, New York 10019
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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 or visit our website at www.msdw.com/im.
<PAGE>
LETTER TO SHAREHOLDERS
For the nine months ended September 30, 2000, the Morgan Stanley Dean Witter
Emerging Markets Debt Fund, Inc. (the "Fund") had a total return, based on
net asset value per share, of 11.85% compared to 12.29% for the J.P. Morgan
Emerging Markets Bond Global Index (the "Index") and 13.72% for the J.P.
Morgan Emerging Markets Bond Plus Index. For the period from the Fund's
commencement of operations on July 23, 1993 through September 30, 2000, the
Fund's total return, based on net asset value per share, was 140.21% compared
to 128.66% for the Index and 135.61% for the J.P. Morgan Emerging Markets
Bond Plus Index. On March 31, 2000, the Fund changed its index for
performance comparison purposes to the J.P. Morgan Emerging Markets Bond
Global Index as it has more comprehensive coverage of geographic regions and
types of securities in which the Fund may invest. On September 30, 2000, the
closing price of the Fund's shares on the New York Stock Exchange was
$7 5/16, representing a 14.7% discount to the Fund's net asset value per share.
The Fund performed well during the third quarter and for the first nine
months of 2000. This occurred despite high volatility in the U.S. stock
market, large swings in international oil prices, and poor performance in the
U.S. high yield markets. During July and August, emerging markets debt
performed extremely well as evidence mounted that the U.S. economy might soft
land, credit trends remained favorable, and terms of trade for many of the
large emerging countries improved. Unfortunately, this tightening in spreads
caused relative valuations to look less favorable for emerging markets debt.
Toward the end of the third quarter emerging markets debt spreads came under
a bit of pressure as volatility in other financial markets (U.S. high yield
and NASDAQ) infected the emerging asset class.
Admittedly, the fall in emerging markets debt asset prices during September
was not only an external phenomenon. Unfavorable surprises from within the
emerging world did not help. Peru was the worst performer during the third
quarter, as investors reacted negatively to the prospect of a political
vacuum after President Fujimori's surprise resignation. Investors in Turkey,
previously euphoric about the government's strong anti-inflation program,
focused on the deteriorating external imbalances and delays in the
privatization program. Finally, fiscal slippage in the Philippines became a
major concern for investors causing a sell-off in its debt.
The Fund had a total return, based on net asset value per share, of 4.33% for
the three months ended September 30, 2000, under-performing the Index by 66
basis points. Earlier in the third quarter, overweights in Russia, Brazil and
Colombia added to results as these countries performed very well. In
September, Russian debt prices fell less as a result of worsening
fundamentals and more because of investors' increased risk aversion. In a
similar vein, underweights in Argentina and the Asian countries helped
performance earlier in the quarter, but detracted from results in September,
as these asset prices remained stable during the more general market
sell-off. Also, overweights in Peru and the Philippines detracted from
returns due to political uncertainty in Peru and fiscal slippage in the
Philippines, as mentioned earlier. Finally, poor security selection in the
Philippines detracted from results as Bayantel, a Filipino corporate
position, announced flat-to-declining earnings and the company remained in
violation of its debt/equity covenants.
Over the short term, the outlook for emerging markets debt is somewhat
clouded by uncertainty of the path of global growth, inflation, and by
extension, their impact on emerging markets. Additionally, emerging markets
debt relative valuations are near historically tight levels. These factors
suggest that the balance of risks for emerging markets debt is currently
skewed to the downside. As a result, we have positioned the Fund more
defensively. However, while still susceptible to external shocks, many
emerging markets sovereign credits have reduced their vulnerability to
changes in global growth and liquidity. The combination of establishing
precautionary lines of credit with banks and multi-lateral lending
institutions, reforming of domestic pension systems and actively managing
liabilities has reduced many of the emerging market countries' dependence on
short-term financing and foreign capital flows. This should help to mitigate
the effects of a less benign global economic environment. Over the medium
term, the improved credit fundamentals in conjunction with high current
yields may provide attractive returns to investors.
Sincerely,
/s/Harold J. Schaaff, Jr.
Harold J. Schaaff, Jr.
PRESIDENT AND DIRECTOR
October 2000
THE INFORMATION CONTAINED IN THIS OVERVIEW REGARDING SPECIFIC SECURITIES IS
FOR INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE CONSTRUED AS A
RECOMMENDATION TO PURCHASE OR SELL THE SECURITIES MENTIONED.
FOREIGN INVESTING INVOLVES CERTAIN RISKS, INCLUDING CURRENCY FLUCTUATIONS AND
CONTROLS, RESTRICTIONS ON FOREIGN INVESTMENTS, LESS GOVERNMENTAL SUPERVISION
AND REGULATION, LESS LIQUIDITY AND THE POTENTIAL FOR MARKET VOLATILITY AND
POLITICAL INSTABILITY.
-------------------------------------------------------------------------------
DAILY NET ASSET AND MARKET VALUES, AS WELL AS MONTHLY PORTFOLIO INFORMATION
FOR THE FUND, ARE AVAILABLE ON OUR WEBSITE AT www.msdw.com/im.
2
<PAGE>
Morgan Stanley Dean Witter Emerging Markets Debt Fund, Inc.
Investment Summary as of September 30, 2000 (Unaudited)
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<TABLE>
<CAPTION>
HISTORICAL
INFORMATION TOTAL RETURN (%)
----------------------------------------------------------------------------------------------------------------------------------
MARKET VALUE (1) NET ASSET VALUE (2) JPM EMB GLOBAL INDEX (3) JPM EMB PLUS INDEX (4)
------------------- ------------------- ------------------------ ----------------------
AVERAGE AVERAGE AVERAGE AVERAGE
CUMULATIVE ANNUAL CUMULATIVE ANNUAL CUMULATIVE ANNUAL CUMULATIVE ANNUAL
---------- -------- ---------- ------- ---------- ------- ---------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
YEAR TO DATE 17.12% -- 11.85% -- 12.29% -- 13.72% --
ONE YEAR 18.47 18.47% 31.51 31.51% 24.90 24.90% 28.03 28.03%
FIVE YEAR 79.56 12.42 102.18 15.12 104.29 15.36 110.58 16.06
SINCE INCEPTION* 104.96 10.50 140.21 12.95 128.66 12.19 136.61 12.66
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
-------------------------------------------------------------------------------
RETURNS AND PER SHARE INFORMATION
[GRAPH]
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31, NINE MONTHS
ENDED
SEPTEMBER 30,
1993* 1994 1995 1996 1997 1998 1999 2000
------ ------ ------ ------ ------ ------ ------ ---------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value Per Share.............. $18.96 $12.23 $12.40 $17.31 $15.21 $ 7.01 $ 8.36 $ 8.57
Market Value Per Share ................ $18.13 $11.38 $12.50 $15.13 $15.38 $ 7.19 $ 6.81 $ 7.31
Premium/(Discount) .................... - 4.4% - 7.0% 0.8% - 12.6% 1.1% 2.6% - 18.5% - 14.7%
Income Dividends ...................... $ 0.16 $ 1.49 $ 1.72 $ 1.08 $ 1.27 $ 1.41 $ 1.01 $ 0.66
Capital Gains Distributions ........... -- $ 0.41 -- -- $ 3.44 $ 2.94 -- --
Fund Total Return (2).................. 35.96% -25.95% 26.85%+ 50.98% 21.71% -33.00% 36.58% 11.85%
JPM EMB Global Index Total Return (3).. 18.67% -18.35% 26.38% 35.23% 11.95% -11.54% 24.18% 12.29%
JPM EMB Plus Index Total Return (4)......18.67% -18.93% 26.77% 39.31% 13.02% -14.35% 25.97% 13.72%
</TABLE>
(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) On March 31, 2000, the Fund began using this index for performance
comparison purposes as it has more comprehensive coverage of the geographic
regions and types of securities in which the Fund may invest. The J.P.
Morgan Emerging Markets Bond Global Index (the " JPM EMB Global Index" )
tracks total returns for U.S. dollar-denominated debt instruments issued by
emerging markets sovereign and quasi-sovereign entities: Brady bonds, loans,
Eurobonds and local market instruments. The JPM EMB Global Index includes
coverage of 27 emerging market countries. Because JPM EMB Global 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 used for purposes of computing cumulative performance
of the benchmark index for that period.
(4) The J.P. Morgan Emerging Markets Bond Plus Index (the " JPM EMB Plus
Index") is a market weighted index composed of all Brady bonds, outstanding
loans and Eurobonds, as well as U.S. Dollar local market instruments of
Argentina, Brazil, Bulgaria, Colombia, Ecuador, Mexico, Morocco, Nigeria,
Panama, Peru, the Philippines, Poland, Russia, South Korea and Venezuela.
Because the JPM EMB 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 used for purposes of
computing cumulative performance of the benchmark index for that period.
* 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.
3
<PAGE>
Morgan Stanley Dean Witter Emerging Markets Debt Fund, Inc.
Portfolio Summary as of September 30, 2000 (Unaudited)
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DIVERSIFICATION OF TOTAL INVESTMENTS
[PIE CHART]
<TABLE>
<S> <C>
Short-Term Investments (6.2%)
Debt Securities (93.8%)
</TABLE>
-------------------------------------------------------------------------------
COUNTRY WEIGHTINGS
[PIE CHART]
<TABLE>
<S> <C>
Other* (8.1%)
United States (2.8%)
Philippines (3.2%)
Turkey (4.3%)
Bulgaria (4.3%)
Venezuela (4.4%)
Colombia (5.1%)
Russia (11.3%)
Brazil (20.9%)
Argentina (18.9%)
Mexico (16.7%)
</TABLE>
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TEN LARGEST HOLDINGS**
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-----------
<S> <C>
1. United Mexican States Discount Bond `A'
7.313%, 12/31/19 (Mexico) 8.0%
2. Republic of Argentina
11.75%, 6/15/15 (Argentina) 6.5
3. Russian Federation
12.75%, 6/24/28 (Russia) 5.7
4. Federative Republic of Brazil Global Bond
14.50%, 10/15/09 (Brazil) 5.5
5. Federative Republic of Brazil Bond PIK `C'
8.00%, 4/15/14 (Brazil) 4.4
6. Republic of Colombia
11.75%, 2/25/20 (Colombia) 4.2
7. Russian Federation Step Bond
2.25%, 3/31/30 (Russia) 4.1
8. Turkey Linked Structured Note
12/21/00 (Turkey) 3.5
9. Republic of Argentina
11.75%, 4/7/09 (Argentina) 3.3
10. Federative Republic of Brazil
12.25%, 3/6/30 (Brazil) 3.2
----
48.4%
====
</TABLE>
* Other includes countries not shown separately and other assets and
liabilities.
** Excludes short-term investments.
4
<PAGE>
INVESTMENTS (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
-------------------------
SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
DEBT INSTRUMENTS(93.8%)
---------------------------------------------------------------------------------------------------------------------------
ALGERIA (1.2%)
SOVEREIGN (1.2%)
Republic of Algeria, Tranche 1 Zero Coupon, 3/31/10 U.S.$ 1,400 U.S.$ 1,211
Republic of Algeria, Tranche 3 Zero Coupon, 3/31/10 2,050 1,666
-----------
2,877
-----------
------------------------------------------------------------------------------------------------------------------------
ARGENTINA (15.5%)
CORPORATE (0.4%)
Cablevision SA
13.75%, 5/1/09 500 446
CIA International Telecom
10.375%, 8/1/04 370 311
10.375%, 8/1/04 ARP 150 126
-----------
883
-----------
SOVEREIGN (15.1%)
Republic of Argentina
(a)7.875%, 3/31/23 3,200 2,574
10.25%, 7/21/30 U.S.$ 2,100 1,714
11.75%, 4/7/09 8,340 7,871
11.75%, 6/15/15 16,634 15,303
(a)Republic of Argentina 'L' 7.625%, 3/31/05 3,760 3,444
Republic of Argentina Par Bond 'L-GP' 6.00%, 3/31/23 7,150 4,858
-----------
35,764
-----------
36,647
-----------
------------------------------------------------------------------------------------------------------------------------
BRAZIL (20.9%)
CORPORATE (1.1%)
(a)Banco Nacional de Desenvolvi 12.554%, 6/16/08 2,700 2,558
-----------
SOVEREIGN (19.8%)
Federative Republic of Brazil 11.00%, 8/17/40 4,724 3,764
11.625%, 4/15/04 3,700 3,826
12.25%, 3/6/30 8,300 7,555
Federative Republic of Brazil 'C-L' Bond 8.00%, 4/15/14 1,108 850
Federative Republic of Brazil 'Z-L' Bond 6.00%, 4/15/24 3,400 2,287
(a)Federative Republic of Brazil 'EI' Bond (Registered) 7.375%, 4/15/06 3,302 3,110
(a)Federative Republic of Brazil 'EI-L' Bond 7.375%, 4/15/06 2,232 2,102
Federative Republic of Brazil Bond PIK 'C' 8.00%, 4/15/14 13,651 10,469
Federative Republic of Brazil Global Bond 14.50%, 10/15/09 11,667 12,927
-----------
46,890
-----------
49,448
-----------
-------------------------------------------------------------------------------------------------------------------------
BULGARIA (4.3%)
SOVEREIGN (4.3%)
(a)Republic of Bulgaria Discount Bond 'A' Euro 7.75%, 7/28/24 5,750 4,427
(b)Republic of Bulgaria Front -Loaded Interest Reduction Bond 3.00%, 7/28/12 4,700 3,437
(a)Republic of Bulgaria Past Due Interest Bond 7.75%, 7/28/11 3,100 2,372
-----------
10,236
-----------
-------------------------------------------------------------------------------------------------------------------------
COLOMBIA (5.1%)
CORPORATE (0.3%)
(b)Occidente y Caribe 'B' 0.00%, 3/15/04 1,050 772
-----------
SOVEREIGN (4.8%)
Republic of Colombia 9.75%, 4/23/09 1,700 1,377
11.75%, 2/25/20 11,550 9,806
-----------
11,183
-----------
11,955
-----------
-------------------------------------------------------------------------------------------------------------------------
ECUADOR (0.7%)
SOVEREIGN (0.7%)
Republic of Ecuador
(b)4.00%, 8/15/30 3,781 1,503
12.00%, 11/15/12 142 100
-----------
1,603
-----------
-------------------------------------------------------------------------------------------------------------------------
INDIA (0.1%)
CORPORATE (0.1%)
Surashtra Cement and Chemical Ltd. 19.00%, 6/26/00 INR 30,000 285
-----------
-------------------------------------------------------------------------------------------------------------------------
INDONESIA (1.7%)
CORPORATE (1.7%)
Indah Kiat International Finance 'B' 11.875%, 6/15/02 U.S.$ 900 697
Tjiwi Kimia International Global Bond 13.25%, 8/1/01 3,800 3,230
-----------
3,927
-----------
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
IVORY COAST (0.2%)
SOVEREIGN (0.2%)
(b)Republic of Ivory Coast Front - Load Interest Reduction Bond 2.00%, 3/29/18 U.S.$ 3,100 U.S.$ 558
------------
-------------------------------------------------------------------------------------------------------------------------
MEXICO (16.7%)
CORPORATE (3.0%)
Grupo Iusacell SA de CV 14.25%, 12/1/06 1,300 1,384
Petroleos Mexicanos 9.50%, 9/15/27 2,700 2,793
Sanluis Corp. SA 8.875%, 3/18/08 1,200 1,119
TV Azteca 'B' 10.50%, 2/15/07 1,900 1,767
-----------
7,063
-----------
SOVEREIGN (13.7%)
United Mexican States 9.875%, 2/1/10 1,300 1,385
(a)United Mexican States Discount Bond 'A' 7.313%, 12/31/19 18,200 18,826
United Mexican States Euro Bond 10.375%, 2/17/09 700 763
United Mexican States Global Bond 11.375%, 9/15/16 2,750 3,207
United Mexican States Par Bond 'W-A' 6.25%, 12/31/19 2,850 2,547
United Mexican States Par Bond 'W-B' 6.25%, 12/31/19 6,200 5,542
-----------
32,270
-----------
39,333
-----------
-------------------------------------------------------------------------------------------------------------------------
MOROCCO (0.3%)
SOVEREIGN (0.3%)
(a)Morocco R&C 'A' 7.75%, 1/1/09 716 648
-----------
------------------------------------------------------------------------------------------------------------------------
PANAMA (1.9%)
SOVEREIGN (1.9%)
Republic of Panama Global Bond 10.75%, 5/15/20 3,900 3,822
(a)Republic of Panama Past Due Interest Bond PIK 7.75%, 7/17/16 951 761
-----------
4,583
-----------
-------------------------------------------------------------------------------------------------------------------------
PERU (1.0%)
SOVEREIGN (1.0%)
(b)Republic of Peru Front - Loaded Interest Reduction Bond 3.75%, 3/7/17 4,098 2,327
-----------
-------------------------------------------------------------------------------------------------------------------------
PHILIPPINES (3.2%)
CORPORATE (0.4%)
Bayan Telecommunications, Inc. 13.50%, 7/15/06 2,400 840
-----------
SOVEREIGN (2.8%)
Republic of Philippines 9.875%, 1/15/19 2,100 1,730
10.625%, 3/16/25 5,750 4,902
-----------
6,632
-----------
7,472
-----------
-------------------------------------------------------------------------------------------------------------------------
POLAND (1.0%)
CORPORATE (1.0%)
Netia Holdings II BV 13.125%, 6/15/09 1,500 1,275
PTC International Finance II SA 11.25%, 12/1/09 1,000 985
-----------
2,260
-----------
-------------------------------------------------------------------------------------------------------------------------
RUSSIA (11.3%)
SOVEREIGN (11.3%)
Russian Federation
(b)2.25%, 3/31/30 25,048 9,706
8.25%, 3/31/10 5,296 3,509
12.75%, 6/24/28 15,400 13,436
-----------
26,651
-----------
-------------------------------------------------------------------------------------------------------------------------
TURKEY (4.3%)
CORPORATE (0.8%)
Cellco Finance NV 15.00%, 8/1/05 1,910 1,977
-----------
SOVEREIGN (3.5%)
Turkey Linked Structured Note, 12/21/00 8,000 8,168
-----------
10,145
-----------
-------------------------------------------------------------------------------------------------------------------------
VENEZUELA (4.4%)
SOVEREIGN (4.4%)
(a)Republic of Venezuela Debt Conversion Bond 'DL' 7.875%, 12/18/07 3,571 3,063
Republic of Venezuela Global Bond 9.25%, 9/15/27 8,500 5,767
Republic of Venezuela Par Bond 6.75%, 3/31/20 2,100 1,568
-----------
10,398
-----------
-------------------------------------------------------------------------------------------------------------------------
TOTAL DEBT INSTRUMENTS
(Cost U.S.$222,868) 221,353
-----------
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
NO. OF VALUE
WARRANTS (000)
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
WARRANTS(0.0%)
------------------------------------------------------------------------------------------------------------------------
COLOMBIA (0.0%)
Occidente y Caribe, expiring 3/15/04
(Cost U.S.$27) 41,200 U.S.$ 15
----------
------------------------------------------------------------------------------------------------------------------------
FACE
AMOUNT
(000)
------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS(6.2%)
------------------------------------------------------------------------------------------------------------------------
ARGENTINA (3.4%)
REPURCHASE AGREEMENT
Republic of Argentina, 6.15%, dated 9/14/00, due 10/16/00,
collateralized by U.S.$9,000 Republic of Argentina Global Bond, 11.375%,
due 1/30/17, valued at U.S.$8,093 U.S.$ 9,000 8,042
----------
------------------------------------------------------------------------------------------------------------------------
UNITED STATES (2.8%)
REPURCHASE AGREEMENT
(c)Chase Securities, Inc., 6.25% dated 9/29/00, due 10/02/00 6,543 6,543
----------
------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost U.S.$14,585) 14,585
----------
------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS(100.0%)
(Cost U.S.$237,480) 235,953
----------
------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
Other Assets 13,025
Liabilities (59,936) (46,911)
------- ----------
------------------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
Applicable to 22,046,681 issued and outstanding U.S.$0.01 par value shares
(100,000,000 shares authorized) U.S.$189,042
============
------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE U.S.$ 8.57
============
------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) -- Variable/floating rate security -- rate disclosed is as of September 30,
2000.
(b)-- Step Bond-- coupon rate increases in increments to maturity. Rate
disclosed is as of September 30, 2000. Maturity date disclosed is the
ultimate maturity.
(c)-- The repurchase agreement is fully collateralized by U.S. government
and/or agency obligations based on market prices at the date of this
schedule of investments. The investment in the repurchase agreement is
through participation in a joint account with affiliated funds.
PIK -- Payment-in-Kind. Income may be paid in additional securities or cash at
the discretion of the issuer.
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
SECURITIES SOLD SHORT
ARGENTINA BOND
Republic of Argentina Global Bond 11.375%, 1/30/17
(Total Proceeds U.S.$7,934) U.S.$9,000 U.S.$ 8,093
----------
------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------------------
SEPTEMBER 30, 2000 EXCHANGE RATES:
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ARP Argentine Peso 0.999 = U.S.$1.00
INR Indian Rupee 45.980 = U.S.$1.00
------------------------------------------------------------------------------------------------------------------------
</TABLE>
7
