<PAGE>
-----------------------------------------------------------
MORGAN STANLEY
DEAN WITTER
HIGH YIELD
FUND, INC.
-----------------------------------------------------------
THIRD QUARTER REPORT
SEPTEMBER 30, 1999
MORGAN STANLEY DEAN WITTER INVESTMENT
MANAGEMENT INC.
INVESTMENT ADVISER
MORGAN STANLEY DEAN WITTER
HIGH YIELD FUND, INC.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DIRECTORS AND OFFICERS
Barton M. Biggs
CHAIRMAN OF THE BOARD
OF DIRECTORS
Michael F. Klein
PRESIDENT AND DIRECTOR
Peter J. Chase
DIRECTOR
John W. Croghan
DIRECTOR
David B. Gill
DIRECTOR
Graham E. Jones
DIRECTOR
John A. Levin
DIRECTOR
William G. Morton, Jr.
DIRECTOR
Stefanie V. Chang
VICE PRESIDENT
Harold J. Schaaff, Jr.
VICE PRESIDENT
Joseph P. Stadler
VICE PRESIDENT
Mary E. Mullin
SECRETARY
Belinda A. Brady
TREASURER
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT ADVISER
Morgan Stanley Dean Witter Investment Management Inc.
1221 Avenue of the Americas
New York, New York 10020
- --------------------------------------------------------------------------------
ADMINISTRATOR
The Chase Manhattan Bank
73 Tremont Street
Boston, Massachusetts 02108
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CUSTODIANS
The Chase Manhattan Bank
3 Chase MetroTech Center
Brooklyn, New York 11245
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SHAREHOLDER SERVICING AGENT
American Stock Transfer & Trust Company
40 Wall Street
New York, New York 10005
(800) 278-4353
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LEGAL COUNSEL
Rogers & Wells LLP
200 Park Avenue
New York, New York 10166
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INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
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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/institutional/investmentmanagement.
<PAGE>
LETTER TO SHAREHOLDERS
- ---------
For the nine months ended September 30, 1999, the Morgan Stanley Dean Witter
High Yield Fund, Inc. (the "Fund") had a total return, based on net asset value
per share, of 0.91% compared to 1.17% for the CS First Boston High Yield Index
(the "Index"). For the period since the Fund's commencement of operations on
November 30, 1993 through September 30, 1999, the Fund's total return, based on
net asset value per share, was 74.24% compared to 51.64% for the Index. On
September 30, 1999, the closing price of the Fund's shares on the New York Stock
Exchange was $11 7/8, representing a 6.9% discount to the Fund's net asset value
per share.
The high yield market underperformed higher quality bonds in the third quarter.
The stock market declined, interest rates rose slightly, and the Federal Reserve
tightened interest rates by 25 basis points. A large new issue calendar led to
supply problems, which forced high yield spreads wider. Dealers also were
lowering inventories to begin preparing for Y2K. These technical factors
occurred at the same time that net cash flows into high yield mutual funds
turned negative. High yield spreads ended the quarter 551 basis points above
treasuries, 54 basis points wider than at the end of the second quarter.
The Fund returned -1.92% in the quarter compared to -1.60% for the Index.
Spreads widened throughout the high yield market, but issues rated BB performed
better than lower quality bonds. The Fund's exposure to emerging markets debt
was a positive contributor to performance as spreads generally tightened as
worldwide economies improved and commodity prices moved higher. The Fund also
did a much better job at avoiding problem credits than the market averages.
We continued to have an overweighting to the telecommunications sector. This
sector, along with cable and media, have continued to benefit from merger and
investment activity. This activity has been very favorable for the credit
quality of high yield bonds because it usually involves a higher quality company
investing in or acquiring a lower rated company. Consolidation is being driven
by company attempts to position themselves to take advantage of the growth
prospects in these businesses in a rapidly evolving competitive environment.
Examples of transactions that occurred in the quarter include: Cincinnati Bell
agreeing to acquire IXC Communications, France Telecom investing in NTL Inc.,
Telewest receiving an equity infusion from both Microsoft and Liberty Media, and
GE's purchase of a 32% equity stake in Paxson Communications. Prices of many
issues not directly involved in a transaction have also benefited as these deals
continue to highlight the inherent asset values of many of the companies in
these sectors.
In terms of portfolio activity, we sold Rogers Cable and Communications, a
Canadian cable and telecom services provider, on strength. We also sold Allied
Waste and purchased Waste Management as we felt it had much more value. We
started this position after Waste Management was downgraded by both Moody's and
S&P. We also purchased a new deal for Stater Brothers, a west coast supermarket
chain, which we felt came at a very attractive spread. We also added to some
positions in the gaming and healthcare sectors, where we find increased value.
We expect to see continued good economic growth for the foreseeable future and
do not believe that inflation will rise meaningfully from current levels. We
feel that this economic environment, along with the widening of spreads in the
third quarter, has created an excellent opportunity for good performance in the
high yield market. We expect the technical factors that hindered the high yield
market in the third quarter will improve over the next few months. The Fund held
a reasonably high level of cash in the third quarter as the market drifted
lower. We will be spending a portion of this cash in the coming month, as we see
opportunities, to take advantage of this decline and in anticipation of a better
environment ahead. Finally, the Fund completed its rights offering in late
September and raised approximately $30.9 million in net proceeds. With the cash
raised from the offering, we have been systematically buying for the Fund,
adding to some of our current positions and buying attractive new names, as
well. The weak technical factors in the market prior to the rights offering
provided many attractive opportunities in the marketplace. We have aggressively
deployed the cash raised, and are hopeful for a strong market in the months
ahead.
Sincerely,
/s/ Michael F. Klein
Michael F. Klein
PRESIDENT AND DIRECTOR
October 1999
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.
- --------------------------------------------------------------------------------
DAILY NET ASSET AND MARKET VALUES, AS WELL AS MONTHLY PORTFOLIO INFORMATION FOR
THE FUND, ARE AVAILABLE ON OUR WEBSITE AT
www.msdw.com/institutional/investmentmanagement.
2
<PAGE>
Morgan Stanley Dean Witter High Yield Fund, Inc.
Investment Summary as of September 30, 1999 (Unaudited)
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- --------------------------------------------------------------------------------
<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 -16.81% -- 0.91% -- 1.17% --
ONE YEAR -0.09 -0.09% 6.94 6.94% 3.95 3.95%
FIVE YEAR 72.82 11.56 83.16 12.87 51.16 8.61
SINCE INCEPTION* 51.17 7.34 74.24 9.98 51.64 7.40
</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
------ ------ ------ ------ ------ ------ -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value Per Share...... $14.10 $11.96 $13.63 $14.45 $15.19 $13.62 $ 12.76
Market Value Per Share......... $14.75 $11.38 $12.88 $14.63 $16.06 $15.38 $ 11.88
Premium/(Discount)............. 4.6% -4.8% -5.5% 1.3% 5.7% 12.9% -6.9%
Income Dividends............... -- $1.37 $1.27 $1.42 $1.36 $1.42 $1.04
Capital Gains Distributions.... -- -- -- -- $0.48 $0.83 --
Fund Total Return (2).......... 0.00% -5.53% 26.07% 17.52% 18.48% 4.12% 0.91%
Index Total Return (1)(3)...... 1.26% -0.97% 17.39% 12.39% 12.65% 0.58% 1.17%
</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) The CS First Boston High Yield Index is an unmanaged index of high yield
corporate bonds.
* The Fund commenced operations on November 30, 1993.
3
<PAGE>
Morgan Stanley Dean Witter High Yield Fund, Inc.
Portfolio Summary as of September 30, 1999 (Unaudited)
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- --------------------------------------------------------------------------------
DIVERSIFICATION OF TOTAL INVESTMENTS
[CHART]
<TABLE>
<S> <C>
Debt Securities (94.1%)
Equity Securities (3.1%)
Short-Term Investments (2.8%)
</TABLE>
- --------------------------------------------------------------------------------
INDUSTRIES
[CHART]
<TABLE>
<S> <C>
Cable (6.6%)
Communications (22.7%)
Gaming (6.6%)
General Industrial (4.1%)
Health Care (7.1%)
Media & Entertainment (5.0%)
Metals (3.8%)
Packaging (3.9%)
Retail (7.4%)
Sovereign and Emerging Markets (10.2%)
Other (22.6%)
</TABLE>
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-----------
<S> <C>
1. Nextel Communications, Inc.
0.00%, 9/15/07 2.3%
2. DR Securitized Lease Trust
7.60%, 8/15/07 1.9
3. CMS Energy Corp.
7.50%, 1/15/09 1.8
4. Station Casinos, Inc.
10.125%, 3/15/06 1.7
5. Columbia/HCA Healthcare
6.91%, 6/15/05 1.6
6. Harrahs Operating Co., Inc.
7.875%, 12/15/05 1.5%
7. TV Azteca `B'
10.50%, 2/15/07 1.5
8. SD Warren Co. `B'
12.00%, 12/15/04 1.5
9. Chancellor Media Corp. `B'
8.125%, 12/15/07 1.5
10. HMH Properties `A'
7.875%, 8/1/05 1.5
----
16.8%
----
----
</TABLE>
* Excludes short-term investments.
4
<PAGE>
FINANCIAL STATEMENTS
- ---------
STATEMENT OF NET ASSETS (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
- ---------
SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (81.9%)
- --------------------------------------------------------------------------------
CABLE (6.6%)
Adelphia Communications 'B'
7.50%, 1/15/04 U.S.$ 160 U.S.$ 150
8.375%, 2/1/08 2,050 1,917
9.875%, 3/1/07 200 204
CSC Holdings, Inc.
9.875%, 5/15/06 1,470 1,534
Lenfest Communications, Inc.
7.625%, 2/15/08 800 797
8.375%, 11/1/05 625 649
(b)NTL, Inc.
0.00%, 4/1/08 2,325 1,535
Rogers Cablesystems
10.125%, 9/1/12 650 702
(b)Telewest Communication plc
0.00%, 4/15/09 GBP 1,550 1,518
(a)United Pan-Europe Communications NV
10.875%, 8/1/09 U.S.$ 1,400 1,414
-------------
10,420
-------------
- --------------------------------------------------------------------------------
CHEMICALS (2.9%)
Huntsman ICI Chemicals
(a)10.125%, 7/1/09 750 731
(a)10.125%, 7/1/09 EUR 750 778
ISP Holdings, Inc. 'B'
9.00%, 10/15/03 U.S.$ 1,550 1,515
Lyondell Chemical Co.
9.625%, 5/1/07 1,525 1,520
-------------
4,544
-------------
- --------------------------------------------------------------------------------
COMMUNICATIONS (20.5%)
American Cellular Corp.
10.50%, 5/15/08 1,255 1,293
AMSC Acquisition Co., Inc. 'B'
12.25%, 4/1/08 1,000 710
Centennial Cellular
10.75%, 12/15/08 1,205 1,258
(b)Dial Call Communications 'B'
10.25%, 12/15/05 560 564
Dobson Communications Corp.
11.75%, 4/15/07 1,045 1,102
(b)Dolphin Telecommunications plc
0.00%, 6/1/08 EUR 1,520 712
Espirit Telecom Group 'DM'
11.50%, 12/15/07 665 739
Global Crossing Holdings Ltd.
9.625%, 5/15/08 U.S.$ 1,220 1,254
Globalstar LP
11.375%, 2/15/04 1,050 683
Hermes Europe Railtel B.V.
10.375%, 1/15/09 250 244
11.50%, 8/15/07 945 954
(b)Hyperion Telecommunications, Inc.
0.00%, 4/15/03 U.S.$ 1,355 U.S.$ 1,138
(b)Intermedia Communications, Inc. 'B'
0.00%, 7/15/07 3,400 2,261
Iridium LLC/Capital Corp. 'A'
13.00%, 7/15/05 1,650 173
Metromedia Fiber Network
10.00%, 11/15/08 1,190 1,154
Nextel Communications, Inc.
(b)0.00%, 8/15/04 315 318
(b)0.00%, 9/15/07 4,900 3,614
(b)0.00%, 2/15/08 500 348
NEXTLINK Communications, Inc.
(b)0.00%, 4/15/08 2,500 1,502
(b)10.75%, 11/15/08 225 226
Primus Telecommunications Group, Inc.
11.25%, 1/5/09 560 532
Primus Telecommunications Group, Inc. 'B'
9.875%, 5/15/08 1,000 875
(a)PSINet, Inc.
11.00%, 8/1/09 700 689
PSINet, Inc. 'B'
10.00%, 2/15/05 960 922
(b)RCN Corp.
0.00%, 10/15/07 3,200 2,080
(b)Rhythms NetConnections, Inc. 'B'
0.00%, 5/15/08 1,785 888
RSL Communications Ltd.
(b)0.00%, 3/15/08 EUR 1,380 845
12.25%, 11/15/06 U.S.$ 88 88
RSL Communications plc
9.125%, 3/1/08 1,700 1,453
(a)12.00%, 11/1/08 900 891
(a)Tele1 Europe B.V.
13.00%, 5/15/09 1,210 1,186
(b)Viatel, Inc.
0.00%, 4/15/08 1,455 829
(b)WAM! Net, Inc. 'B'
0.00%, 3/1/05 1,250 745
-------------
32,270
-------------
- --------------------------------------------------------------------------------
ENERGY (2.0%)
(b)Husky Oil Ltd.
8.90%, 8/15/28 885 847
Snyder Oil Corp.
8.75%, 6/15/07 1,700 1,681
Vintage Petroleum, Inc.
8.625%, 2/1/09 185 178
9.75%, 6/30/09 485 496
-------------
3,202
-------------
- --------------------------------------------------------------------------------
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
FOOD AND BEVERAGE (0.9%)
Smithfield Foods, Inc.
7.625%, 2/15/08 U.S.$ 1,500 U.S.$ 1,350
-------------
- --------------------------------------------------------------------------------
GAMING (6.6%)
Harrahs Operating Co., Inc.
7.875%, 12/15/05 2,480 2,375
Horseshoe Gaming Holding
8.625%, 5/15/09 1,750 1,667
(a)International Game Technology
8.375%, 5/15/09 2,400 2,297
Park Place Entertainment
7.875%, 12/15/05 1,565 1,477
Station Casinos, Inc.
10.125%, 3/15/06 2,555 2,625
-------------
10,441
-------------
- --------------------------------------------------------------------------------
GENERAL INDUSTRIAL (4.1%)
Applied Power, Inc.
8.75%, 4/1/09 670 626
Axia, Inc.
10.75%, 7/15/08 585 541
Hayes Lemmerz International, Inc.
8.25%, 12/15/08 1,800 1,584
(b)Norcal Waste Systems, Inc.
13.50%, 11/15/05 1,370 1,466
Sequa Corp
9.00%, 8/1/09 845 830
Waste Management, Inc.
(a)6.875%, 5/15/09 180 158
7.00%, 10/15/06 375 339
7.125%, 10/1/07 275 249
7.125%, 12/15/17 350 288
7.65%, 3/15/11 375 342
-------------
6,423
-------------
- --------------------------------------------------------------------------------
HEALTH CARE (7.1%)
Columbia/HCA Healthcare
6.91%, 6/15/05 2,760 2,486
7.00%, 7/1/07 2,025 1,784
7.58%, 9/15/25 2,120 1,693
Fresenius Medical Capital Trust II
7.875%, 2/1/08 1,195 1,099
(a)Sirona Dental Systems
9.125%, 7/15/08 EUR 844 664
Tenet Healthcare Corp.
(a)8.125%, 12/1/08 U.S.$ 430 394
8.625%, 1/15/07 2,100 2,000
Tenet Healthcare Corp. 'B'
8.125%, 12/1/08 1,070 979
-------------
11,099
-------------
- --------------------------------------------------------------------------------
HOTELS/LODGING/RESTAURANTS (2.7%)
Hilton Hotels
7.95%, 4/15/07 U.S.$ 1,700 U.S.$ 1,623
HMH Properties 'A'
7.875%, 8/1/05 2,530 2,328
Host Marriott LP
8.375%, 2/15/06 250 235
-------------
4,186
-------------
- --------------------------------------------------------------------------------
MEDIA & ENTERTAINMENT (4.2%)
Chancellor Media Corp.
9.00%, 10/1/08 800 812
Chancellor Media Corp. 'B'
8.125%, 12/15/07 2,420 2,335
Echostar Dbs Corp.
9.375%, 2/1/09 1,900 1,869
Outdoor Systems, Inc.
8.875%, 6/15/07 1,480 1,521
-------------
6,537
-------------
- --------------------------------------------------------------------------------
METALS (3.8%)
Glencore Nickel Property Ltd.
9.00%, 12/1/14 515 439
(a)Impress Metal Packaging
9.875%, 5/29/07 EUR 1,611 1,817
Murrin Murrin Holdings Property Ltd.
(a)9.375%, 8/31/07 U.S.$ 1,075 951
9.375%, 8/31/07 750 664
National Steel Corp. 'D'
9.875%, 3/1/09 1,650 1,634
(a)Republic Technology Capital
13.75%, 7/15/09 500 475
-------------
5,980
-------------
- --------------------------------------------------------------------------------
PACKAGING (3.9%)
Norampac, Inc.
9.50%, 2/1/08 1,655 1,680
(a)Pacific Papers, Inc.
10.00%, 3/15/09 1,365 1,380
SD Warren Co. 'B'
12.00%, 12/15/04 2,235 2,357
Tembec Industries, Inc.
8.625%, 6/30/09 685 671
-------------
6,088
-------------
- --------------------------------------------------------------------------------
REAL ESTATE/BUILDING (3.1%)
American Standard Cos., Inc.
7.125%, 6/1/06 EUR 1,105 1,136
7.375%, 2/1/08 U.S.$ 750 685
D.R. Horton, Inc.
8.00%, 2/1/09 1,490 1,326
Nortek, Inc.
8.875%, 8/1/08 1,800 1,701
-------------
4,848
-------------
- --------------------------------------------------------------------------------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
RETAIL (7.4%)
(a)CA FM Lease Trust
8.50%, 7/15/17 U.S.$ 1,385 U.S.$ 1,295
(a)CEX Holdings, Inc.
9.625%, 6/1/08 1,065 1,127
DR Securitized Lease Trust
6.66%, 8/15/10 1,250 1,142
7.60%, 8/15/07 3,006 2,919
9.35%, 8/15/19 500 499
(a)HMV Media Group plc
10.875%, 5/15/08 GBP 1,035 1,712
Musicland Group, Inc.
9.00%, 6/15/03 U.S.$ 590 572
Musicland Group, Inc. 'B'
9.875%, 3/15/08 1,600 1,456
(a)Stater Brothers Hldgs
10.75%, 8/15/06 950 969
-------------
11,691
-------------
- --------------------------------------------------------------------------------
TRANSPORTATION (3.0%)
Aircraft Lease Portfolio
Securitization Ltd. 1996-1 P1D
12.75%, 6/15/06 1,526 1,526
Jet Equipment Trust 'C1'
11.79%, 6/15/13 1,500 1,809
(a)Jet Equipment Trust 'D-95'
11.44%, 11/1/14 1,100 1,312
-------------
4,647
-------------
- --------------------------------------------------------------------------------
UTILITIES (3.1%)
AES Corp.
8.50%, 11/1/07 1,430 1,305
CMS Energy Corp.
7.50%, 1/15/09 3,010 2,777
(a)RAS Laffan Liquid Natural Gas
8.294%, 3/15/14 950 869
-------------
4,951
-------------
- --------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES
(Cost U.S.$134,392) 128,677
-------------
- --------------------------------------------------------------------------------
ASSET-BACKED SECURITIES (1.1%)
- --------------------------------------------------------------------------------
Long Beach Auto 1997-1, 'B'
14.22%, 10/26/03 804 798
OHA Auto Grantor Trust 1997-1, 'B'
11.00%, 9/15/03 1,040 996
-------------
- --------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost U.S.$1,854) 1,794
-------------
- --------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATIONS (1.0%)
- --------------------------------------------------------------------------------
(a)DLJ Mortgage Acceptance Corp.
1997-CF2 S
0.357%, 10/15/30 U.S.$ 32,592 U.S.$ 664
(a)First Home Mortgage
Acceptance Corp.,
7.929%, 11/1/18 1,312 459
GMAC Commercial Mortgage
Securities, Inc. 1996-C1 X2
1.967%, 3/15/21 6,323 417
-------------
- --------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS
(Cost U.S.$2,481) 1,540
-------------
- --------------------------------------------------------------------------------
SOVEREIGN AND EMERGING MARKETS (10.1%)
- --------------------------------------------------------------------------------
Asia Pulp & Paper Co.
12.00%, 2/15/04 865 458
(a)AST Research, Inc.
7.45%, 10/1/02 925 889
(a)Bayan Telecommunications
13.50%, 7/15/06 1,675 1,583
(a)Cablevision S.A.
13.75%, 5/1/09 750 705
(b)CTI Holdings
0.00%, 4/15/08 2,275 1,126
Indah Kiat Finance
10.00%, 7/1/07 1,950 1,063
Multicanal
10.50%, 2/1/07 1,705 1,391
(a)NSM Steel, Inc.
12.25%, 2/1/08 825 1
(b)Occidente y Caribe
0.00%, 3/15/04 3,125 1,703
(a)Pindo Deli Finance (Mauritius)
10.75%, 10/1/07 1,955 1,065
(b)PTC International Finance B.V.
0.00%, 7/1/07 1,575 1,103
Republic of Columbia
9.75%, 4/23/09 930 799
Satelites Mexicanos 'B'
10.125%, 11/1/04 940 733
TV Azteca 'B'
10.50%, 2/15/07 3,075 2,368
United Mexican States
6.25%, 12/31/19 500 369
United Mexican States Par Bond 'W-A'
6.25%, 12/31/19 770 567
- --------------------------------------------------------------------------------
TOTAL SOVEREIGN AND EMERGING MARKETS
(Cost U.S.$20,178) 15,923
-------------
- --------------------------------------------------------------------------------
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCK (2.8%)
- --------------------------------------------------------------------------------
COMMUNICATIONS (2.0%)
Concentric Network Corp. 'B' 9,073 U.S.$ 835
Dobson Communications Corp. 8,500 820
IXC Communications, Inc. 'B' 1,367 1,463
-------------
3,118
-------------
- --------------------------------------------------------------------------------
MEDIA & ENTERTAINMENT (0.8%)
Paxson Communications Corp. 11,196 1,209
-------------
- --------------------------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost U.S.$3,626) 4,327
-------------
- --------------------------------------------------------------------------------
<CAPTION>
NO. OF
WARRANTS
- --------------------------------------------------------------------------------
<S> <C> <C>
WARRANTS (0.3%)
- --------------------------------------------------------------------------------
COMMUNICATIONS (0.2%)
(a)American Mobile Satellite Corp.,
expiring 4/1/08 17,250 60
(a)Globalstar Telecom,
expiring 2/15/04 1,000 93
(a)Iridium World Communications, Inc.,
expiring 7/15/05 840 1
Tele1 Europe B.V.,
expiring 5/15/09 12,100 90
-------------
244
-------------
SOVEREIGN & EMERGING MARKETS (0.1%)
(a)NSM Steel, Inc.,
expiring 2/1/08 5,223,013 5
(a)Occidente y Caribe,
expiring 3/15/04 125,000 189
-------------
194
-------------
- --------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost U.S.$--@) 438
-------------
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
- --------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (2.8%)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Chase Securities, Inc. 5.05%, dated
9/30/99, due 10/1/99, to be
repurchased at U.S.$4,436,
collateralized by U.S.$4,150
United States Treasury Bonds,
7.125%, due 2/15/23, valued
at U.S.$4,473
(Cost U.S.$4,435) U.S.$ 4,435 U.S.$ 4,435
-------------
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(Cost U.S.$166,966) 157,134
-------------
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
Other Assets U.S.$ 21,534
Liabilities (65,752) (44,218)
-------------
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NET ASSETS (100%)
Applicable to 8,848,421 issued and
outstanding U.S.$0.01 par value shares
(100,000,000 shares authorized) U.S.$ 112,916
-------------
-------------
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NET ASSET VALUE PER SHARE U.S.$ 12.76
-------------
-------------
- --------------------------------------------------------------------------------
</TABLE>
(a) -- 144A Security - certain conditions for public sale may exist.
(b) -- Step Bond -- coupon rate increases in increments to maturity. Rate
disclosed is as of September 30, 1999. Maturity date disclosed is the
ultimate maturity.
@ -- Value is less than U.S.$500.
EUR -- Euro
GBP -- British Pound
- --------------------------------------------------------------------------------
8
