<PAGE>
-------------------------------
MORGAN STANLEY
DEAN WITTER
HIGH YIELD
FUND, INC.
-------------------------------
FIRST QUARTER REPORT
MARCH 31, 2000
MORGAN STANLEY DEAN WITTER
INVESTMENT MANAGEMENT INC.
INVESTMENT ADVISER
MORGAN STANLEY DEAN WITTER
HIGH YIELD 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
Peter J. Chase
DIRECTOR
John W. Croghan
DIRECTOR
Graham E. Jones
DIRECTOR
John A. Levin
DIRECTOR
William G. Morton, Jr.
DIRECTOR
Stefanie V. Chang
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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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 three months ended March 31, 2000, the Morgan Stanley Dean Witter High
Yield Fund, Inc. (the "Fund") had a total return, based on net asset value per
share, of -1.59% compared to -1.29% for the CS First Boston High Yield Index
(the "Index"). For the period from the Fund's commencement of operations on
November 30, 1993 through March 31, 2000, the Fund's total return, based on net
asset value per share, was 80.71% compared to 52.81% for the Index. On March 31,
2000, the closing price of the Fund's shares on the New York Stock Exchange was
$11 1/2, representing a 5.6% discount to the Fund's net asset value per share.
The high yield market underperformed higher quality bonds in the first quarter
of 2000. Stock market volatility and the announced treasury bond buybacks caused
investors to buy treasuries at the expense of all spread products. Furthermore,
there were large outflows from high yield mutual funds as individual investors
continue to invest heavily in high-tech equity funds. This outflow of funds,
over $3 billion in the first quarter, has caused high yield mutual funds to sell
securities while high yield issuers continue to bring new supply to the market.
Spreads on the Index widened by 95 basis points to 668 over treasuries.
Our exposure to non-U.S. issues, particularly emerging markets debt, had the
largest positive impact on our results. Emerging markets debt continued to be
the best performing fixed income asset class in the first quarter led by
Mexico's upgrade to investment grade status by Moody's. Our Mexican corporate
bonds performed very well as did our position in Indah Kiat Finance, which was
upgraded by Moody's to B3.
Our portfolio also benefited from BB-rated securities as they outperformed lower
rated bonds during the first quarter. An underweight allocation to the energy
sector detracted from returns as this sector continued to do well due to high
oil prices. Our overweight in the retail sector also lowered our returns as this
sector performed worse than the overall market.
In terms of portfolio activity, we participated in several new deals including
Winstar, Maxcom, XM Satellite, Charter Communications, Group Telecom and Globix
Corp. The telecommunication and cable sectors continue to dominate the new issue
calendar, and we remain very positive about these industries and feel that these
companies represent very good value. We lowered our target weightings in several
issuers during the first quarter including Columbia/HCA, Impress Metals and TV
Azteca. We lowered our positions due to good performance and found better value
in the above-mentioned new issues.
The high yield market is trading at spread levels only surpassed during the
Russian crisis in 1998 and during the last U.S. recession in the early 1990s.
This has occurred at the same time that the global economies continue to expand
and the default rate has stabilized. We feel that patience will be rewarded in
the current environment and the high yield market should have better returns in
the months ahead once the supply/demand situation improves.
Sincerely,
/s/ Harold J. Schaaff, Jr.
Harold J. Schaaff, Jr.*
President and Director
April 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.
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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.
* HAROLD J. SCHAAFF, JR. WAS ELECTED PRESIDENT AND DIRECTOR OF THE FUND ON
MARCH 20, 2000. MR. SCHAAFF JOINED MORGAN STANLEY DEAN WITTER IN 1989 AND IS A
MANAGING DIRECTOR OF MORGAN STANLEY & CO. INCORPORATED AND MORGAN STANLEY DEAN
WITTER INVESTMENT MANAGEMENT INC. HE FORMERLY SERVED AS GENERAL COUNSEL AND
SECRETARY OF MORGAN STANLEY DEAN WITTER INVESTMENT MANAGEMENT INC.
2
<PAGE>
Morgan Stanley Dean Witter High Yield Fund, Inc.
Investment Summary as of March 31, 2000 (Unaudited)
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<TABLE>
<CAPTION>
HISTORICAL TOTAL RETURN (%)
INFORMATION ---------------------------------------------------------------------------
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 6.93% -- -1.59%+ -- -1.29% --
One Year -16.53 -16.53% 1.19+ 1.19%+ 0.30 0.30%
Five Year 77.29 12.12 78.10+ 12.24+ 45.54 7.79
Since Inception* 59.06 7.60 80.71+ 9.80+ 52.81 6.93
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
-------------------------------------------------------------------------------
RETURNS AND PER SHARE INFORMATION
[GRAPH]
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31, THREE MONTHS
ENDED
MARCH 31,
1993* 1994 1995 1996 1997 1998 1999 2000
---- ---- ---- ---- ---- ---- ---- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value Per Share .... $14.10 $11.96 $13.63 $14.45 $15.19 $13.62 $12.73 $12.18
Market Value Per Share ....... $14.75 $11.38 $12.88 $14.63 $16.06 $15.38 $11.06 $11.50
Premium/(Discount) ........... 4.6% -4.8% -5.5% 1.3% 5.7% 12.9% -13.1% -5.6%
Income Dividends ............. -- $1.37 $1.27 $1.42 $1.36 $1.42 $1.38 $0.33
Capital Gains
Distributions .............. -- -- -- -- $0.48 $0.83 -- --
Fund Total Return (2) ........ 0.00% -5.53% 26.07% 17.52% 18.48% 4.12% 6.34%+ -1.59%+
Index Total Return (1)(3) .... 1.26% -0.98% 17.39% 12.40% 12.65% 0.58% 3.28% -1.29%
</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.
+ This return does not include the effect of the rights issued in connection
with the Rights offering.
3
<PAGE>
Morgan Stanley Dean Witter High Yield Fund, Inc.
Portfolio Summary as of March 31, 2000 (Unaudited)
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DIVERSIFICATION OF TOTAL INVESTMENTS
[CHART]
<TABLE>
<S> <C>
Debt Securities (95.9%)
Equity Securities (3.8%)
Short-Term Investments (0.3%)
</TABLE>
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INDUSTRIES
[CHART]
<TABLE>
<S> <C>
Communications: Fixed (17.9%)
Cable (12.2%)
Communications: Mobile (10.2%)
Gaming (6.5%)
Health Care (6.4%)
Other (29.9%)
Services (2.8%)
Metals (2.9%)
Paper & Packaging (3.1%)
Media (3.2%)
Retail (4.9%)
</TABLE>
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TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-----------
<S> <C>
1. Columbia/HCA Healthcare 3.0%
2. Nextel Communications, Inc. 2.3
3. Adelphia Communications 2.3
4. DR Securitized Lease Trust 2.2
5. RSL Communications Ltd. 2.0
6. Intermedia Communication, Inc. 2.0
7. Station Casinos, Inc. 2.0
8. Tenet Healthcare Corp. 2.0
9. Chancellor Media Corp. 1.8
10. Jet Equipment Trust 1.6
-----
21.2%
-----
-----
</TABLE>
* Excludes short-term investments.
4
<PAGE>
FINANCIAL STATEMENTS
------
STATEMENT OF NET ASSETS (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
------
MARCH 31, 2000
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS AND NOTES (88.7%)
AUTOMOTIVE (1.3%)
(b)Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 U.S.$ 2,850 $ 2,401
---------------
-------------------------------------------------------------------------------
CABLE (12.2%)
Adelphia Communications 'B'
7.75%, 1/15/09 1,300 1,105
(b)8.375%, 2/1/08 2,050 1,824
9.375%, 11/15/09 1,250 1,172
(b)9.875%, 3/1/07 200 195
(b)Cablevision SA
13.75%, 5/1/09 750 743
Charter Communications
10.25%, 1/15/10 2,100 2,024
CSC Holdings, Inc.
7.25%, 7/15/08 1,600 1,496
9.875%, 5/15/06 1,470 1,499
(b)Echostar Dbs Corp.
9.375%, 2/1/09 1,900 1,843
Multicanal
10.50%, 2/1/07 1,705 1,615
(a)NTL, Inc.
0.00%, 4/1/08 2,325 1,488
(a)NTL, Inc. 'B'
0.00%, 4/1/08 GBP 750 788
(a)RCN Corp.
0.00%, 10/15/07 U.S.$ 3,200 2,048
Rogers Cablesystems
10.125%, 9/1/12 1,400 1,463
(a)Telewest Communication plc
0.00%, 4/15/09 GBP 2,100 1,959
(b)United Pan-Europe
Communications NV
10.875%, 8/1/09 U.S.$ 1,825 1,716
---------------
22,978
---------------
-------------------------------------------------------------------------------
CHEMICALS (2.7%)
(b)Huntsman ICI Chemicals
10.125%, 7/1/09 EUR 750 693
10.125%, 7/1/09 U.S.$ 850 820
ISP Holdings, Inc. 'B'
9.00%, 10/15/03 2,450 2,254
(b)Lyondell Chemical Co.
9.625%, 5/1/07 1,475 1,401
---------------
5,168
---------------
-------------------------------------------------------------------------------
COMMUNICATIONS: FIXED (16.2%)
(b)Bayan Telecommunications
13.50%, 7/15/06 U.S.$ 1,875 $1,584
Espirit Telecom Group 'DM'
11.50%, 12/15/07 EUR 665 605
Global Crossing Holdings Ltd.
9.625%, 5/15/08 U.S.$ 1,975 1,906
Globix Corp.
12.50%, 2/1/10 1,260 1,159
(a)GT Group Telecom
0.00%, 2/1/10 1,750 963
Hermes Europe Railtel B.V.
10.375%, 1/15/09 1,125 1,015
11.50%, 8/15/07 945 888
(a,b)Hyperion Telecommunications, Inc.
0.00%, 4/15/03 1,580 1,442
(a,b)Intermedia
Communications, Inc. 'B'
0.00%, 7/15/07 4,860 3,791
(b)Metromedia Fiber Network
10.00%, 12/15/09 EUR 1,550 1,465
(a)NEXTLINK
Communications, Inc.
0.00%, 4/15/08 U.S.$ 3,050 1,830
(b)Primus Telecommunications
Group, Inc.
11.25%, 1/5/09 1,500 1,382
(b)Primus Telecommunications
Group, Inc. 'B'
9.875%, 5/15/08 1,000 875
(b)PSINet, Inc.
11.00%, 8/1/09 960 936
(b)PSINet, Inc. 'B'
10.00%, 2/15/05 960 912
Rhythms NetConnections, Inc.
14.00%, 2/15/10 700 623
(a,b)Rhythms NetConnections, Inc. 'B'
0.00%, 5/15/08 1,785 875
RSL Communications Ltd.
(a,b)0.00%, 3/15/08 EUR 1,380 734
(b)12.25%, 11/15/06 U.S.$ 88 85
(b)RSL Communications plc
(a)0.00%, 3/1/08 1,500 810
9.125%, 3/1/08 1,700 1,351
12.00%, 11/1/08 900 824
(b)Tele1
13.00%, 5/15/09 1,910 1,948
(a)Viatel, Inc.
0.00%, 4/15/08 2,400 1,392
(a)WAM! Net, Inc. 'B'
0.00%, 3/1/05 1,875 1,050
---------------
30,445
---------------
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5
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COMMUNICATIONS: MOBILE (9.2%)
(b)AMSC Acquisition Co., Inc. 'B'
12.25%, 4/1/08 U.S.$ 1,810 $1,412
Cellco Finance NV
12.75%, 8/1/05 900 945
(b)Centennial Cellular
10.75%, 12/15/08 1,755 1,764
(a)CTI Holdings S.A.
0.00%, 4/15/08 2,250 1,462
(a)Dolphin Telecommunications plc
0.00%, 6/1/08 EUR 1,520 575
(b)0.00%, 5/15/09 U.S.$ 2,000 770
Globalstar LP
11.375%, 2/15/04 1,050 368
Iridium LLC/Capital Corp. 'A'
13.00%, 7/15/05 1,650 33
(a,b)Nextel Communications, Inc.
0.00%, 9/15/07 5,500 4,015
0.00%, 2/15/08 500 340
(b)Nuevo Grupo Iusacell SA
14.25%, 12/1/06 1,615 1,772
(a)Occidente y Caribe
0.00%, 3/15/04 3,125 1,969
(b)PTC International Finance B.V.
11.25%, 12/1/09 EUR 1,290 1,318
(b)Voicestream Wire Co.
10.375%, 11/15/09 U.S.$ 565 565
---------------
17,308
---------------
-------------------------------------------------------------------------------
ENERGY (2.3%)
(a)Husky Oil Ltd.
8.90%, 8/15/28 1,175 1,108
Snyder Oil Corp.
8.75%, 6/15/07 2,200 2,134
Vintage Petroleum, Inc.
8.625%, 2/1/09 185 174
(b)9.75%, 6/30/09 875 877
---------------
4,293
---------------
-------------------------------------------------------------------------------
FINANCIAL (0.6%)
Golden State Holdings
7.125%, 8/1/05 1,185 1,052
---------------
-------------------------------------------------------------------------------
FOOD & BEVERAGES (0.8%)
Smithfield Foods, Inc.
7.625%, 2/15/08 1,700 1,479
---------------
-------------------------------------------------------------------------------
GAMING (6.5%)
Harrahs Operating Co., Inc.
7.875%, 12/15/05 3,000 2,767
(b)Horseshoe Gaming Holding
8.625%, 5/15/09 2,060 1,885
(b)International Game Technology
8.375%, 5/15/09 U.S.$ 2,400 $2,186
Park Place Entertainment
7.875%, 12/15/05 1,380 1,270
8.50%, 11/15/06 400 388
Station Casinos, Inc.
8.875%, 12/1/08 600 558
(b)10.125%, 3/15/06 3,200 3,216
---------------
12,270
---------------
-------------------------------------------------------------------------------
GENERAL INDUSTRIAL (1.0%)
Applied Power, Inc.
8.75%, 4/1/09 670 685
Axia, Inc.
10.75%, 7/15/08 875 674
Sequa Corp.
9.00%, 8/1/09 525 485
---------------
1,844
---------------
-------------------------------------------------------------------------------
HEALTH CARE (6.4%)
Columbia/HCA Healthcare
6.91%, 6/15/05 5,190 4,720
7.00%, 7/1/07 1,045 929
Fresenius Medical Capital Trust II
7.875%, 2/1/08 2,195 1,954
(b)Sirona Dental Systems
9.125%, 7/15/08 EUR 844 634
Tenet Healthcare Corp.
8.625%, 1/15/07 U.S.$ 1,900 1,796
(b)Tenet Healthcare Corp. 'B'
8.125%, 12/1/08 2,150 1,956
---------------
11,989
---------------
-------------------------------------------------------------------------------
HOTELS & LODGING (2.6%)
Hilton Hotels
7.95%, 4/15/07 3,000 2,775
HMH Properties 'A'
7.875%, 8/1/05 2,150 1,903
(b)Host Marriott LP
8.375%, 2/15/06 250 226
---------------
4,904
---------------
-------------------------------------------------------------------------------
INDUSTRIALS (1.6%)
(b)Republic Technologies International
13.75%, 7/15/09 720 180
(b)Tenneco Automotive, Inc.
11.625%, 10/15/09 1,950 1,911
XM Satellite Radio Holdings Inc.
14.00%, 3/15/10 1,000 962
---------------
3,053
---------------
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6
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
MEDIA (2.6%)
Chancellor Media Corp.
9.00%, 10/1/08 U.S.$ 925 $930
(b)Chancellor Media Corp. 'B'
8.125%, 12/15/07 2,420 2,384
Outdoor Systems, Inc.
8.875%, 6/15/07 1,480 1,500
---------------
4,814
---------------
-------------------------------------------------------------------------------
METALS (2.9%)
Algoma Steel, Inc.
12.375%, 7/15/05 415 400
Glencore Nickel Property Ltd.
9.00%, 12/1/14 515 438
(b)Murrin Murrin Holdings
Property Ltd.
9.375%, 8/31/07 2,600 2,288
(b)National Steel Corp. 'D'
9.875%, 3/1/09 2,425 2,377
(b)NSM Steel, Inc.
12.25%, 2/1/08 825 1
---------------
5,504
---------------
-------------------------------------------------------------------------------
PAPER & PACKAGING (3.1%)
(b)Impress Metal Packaging
9.875%, 5/29/07 EUR 1,140 1,064
Norampac, Inc.
9.50%, 2/1/08 U.S.$ 2,080 2,038
(b)Pacifica Papers, Inc.
10.00%, 3/15/09 2,065 2,029
Tembec Industries, Inc.
8.625%, 6/30/09 830 791
---------------
5,922
---------------
-------------------------------------------------------------------------------
REAL ESTATE (2.0%)
American Standard Cos., Inc.
7.375%, 2/1/08 750 685
D.R. Horton, Inc.
8.00%, 2/1/09 1,490 1,233
(b)Nortek, Inc.
8.875%, 8/1/08 2,075 1,873
---------------
3,791
---------------
-------------------------------------------------------------------------------
RETAIL (4.4%)
DR Securitized Lease Trust
6.66%, 8/15/10 1,210 1,037
7.60%, 8/15/07 2,866 2,655
9.35%, 8/15/19 500 458
(b)HMV Media Group plc
10.25%, 5/15/08 345 262
(b)HMV Media Group plc 'B'
10.875%, 5/15/08 GBP 1,035 1,334
Musicland Group, Inc.
9.00%, 6/15/03 U.S.$ 590 $513
Musicland Group, Inc. 'B'
9.875%, 3/15/08 2,400 1,968
---------------
8,227
---------------
-------------------------------------------------------------------------------
SERVICES (2.8%)
Norcal Waste Systems, Inc.
13.50%, 11/15/05 1,655 1,721
Waste Management, Inc.
6.875%, 5/15/09 180 151
Waste Management, Inc.
(b)7.00%, 10/15/06 2,225 1,961
7.125%, 10/1/07 960 838
7.125%, 12/15/17 350 279
7.65%, 3/15/11 375 327
---------------
5,277
---------------
-------------------------------------------------------------------------------
SUPERMARKET/DRUG (1.6%)
(b)CA FM Lease Trust
8.50%, 7/15/17 1,359 1,282
Stater Bros. Holdings, Inc.
10.75%, 8/15/06 1,750 1,750
---------------
3,032
---------------
-------------------------------------------------------------------------------
TECHNOLOGY (0.6%)
Hyundai Semiconductor
8.25%, 5/15/04 790 723
8.625%, 5/15/07 500 450
---------------
1,173
---------------
-------------------------------------------------------------------------------
TELEPHONES (1.0%)
(a)Winstar Communications Inc.
0.00%, 4/15/10 4,150 1,935
---------------
-------------------------------------------------------------------------------
TRANSPORTATION (2.4%)
(b)Aircraft Lease Portfolio
Securitization Ltd. 1996-1 P1D
12.75%, 6/15/06 1,526 1,526
(b)Jet Equipment Trust 'C1'
11.79%, 6/15/13 1,500 1,739
(b)Jet Equipment Trust 'D-95'
11.44%, 11/1/14 1,100 1,263
---------------
4,528
---------------
-------------------------------------------------------------------------------
UTILITIES (1.9%)
AES Corp.
8.50%, 11/1/07 1,800 1,571
CMS Energy Corp.
7.50%, 1/15/09 1,510 1,330
-------------------------------------------------------------------------------
7
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
Paiton Energy Funding B.V.
9.34%, 2/15/14 U.S.$ 1,260 $255
(b)RAS Laffan Liquid Natural Gas
8.294%, 3/15/14 500 482
---------------
3,638
---------------
-------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES
(Cost $180,267) 167,025
---------------
-------------------------------------------------------------------------------
ASSET BACKED SECURITIES (0.8%)
-------------------------------------------------------------------------------
(b)Long Beach Auto 1997-1, 'B'
14.22%, 10/26/03 574 570
(b)OHA Auto Grantor Trust
1997-1, 'B' 11.00%, 9/15/03 1,033 988
-------------------------------------------------------------------------------
TOTAL ASSET BACKED SECURITIES
(Cost $1,616) 1,558
---------------
-------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATIONS (0.8%)
-------------------------------------------------------------------------------
(b)DLJ Mortgage Acceptance Corp.
1997-CF2 S 0.357%, 10/15/30 32,145 633
Federal 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 5,920 364
-------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $2,424) 1,456
---------------
-------------------------------------------------------------------------------
SOVEREIGN & EMERGING MARKETS (5.6%)
-------------------------------------------------------------------------------
Federal Republic of Brazil (Brazil)
12.75%, 1/15/20 1,450 1,438
Grupo Elektra S.A. (Mexico)
12.00%, 4/1/08 900 875
Indah Kiat Finance (Indonesia)
10.00%, 7/1/07 1,950 1,394
Maxcom Corporation (Mexico)
13.75%, 4/1/07 1,400 1,432
(b)Pindo Deli Finance (Mauritius)
10.75%, 10/1/07 1,955 1,413
(b)Satelites Mexicanos 'B' (Mexico)
10.125%, 11/1/04 940 771
(b)TV Azteca 'B' (Mexico)
10.50%, 2/15/07 1,540 1,478
Republic of Philippines (Philippines)
10.625%, 3/16/25 1,000 996
(b)Republic of Colombia (Colombia)
9.75%, 4/23/09 U.S.$ 930 $826
-------------------------------------------------------------------------------
TOTAL SOVEREIGN & EMERGING MARKETS
(Cost $10,993) 10,623
---------------
-------------------------------------------------------------------------------
SHARES
-------------------------------------------------------------------------------
PREFERRED STOCKS (3.3%)
-------------------------------------------------------------------------------
COMMUNICATIONS: FIXED (1.3%)
(b)Concentric Network Corp. 'B',
PIK 13.50% 9,695 987
IXC Communications, Inc. 'B', 12.50% 1,409 1,494
---------------
2,481
---------------
-------------------------------------------------------------------------------
COMMUNICATIONS: MOBILE (0.8%)
(b)Dobson Communications Corp.,
PIK 13.00% 11,720 1,242
Nextel Communications, Inc. 'D',
PIK 13.00% 308 313
---------------
1,555
---------------
-------------------------------------------------------------------------------
MEDIA (0.6%)
Paxson Communications
Corp., PIK 13.25% 11,931 1,211
---------------
-------------------------------------------------------------------------------
RETAIL (0.5%)
Kmart Financing, 7.75% 21,250 911
---------------
-------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS
(Cost $5,162) 6,158
---------------
-------------------------------------------------------------------------------
NO. OF
WARRANTS
-------------------------------------------------------------------------------
WARRANTS (0.5%)
-------------------------------------------------------------------------------
COMMUNICATIONS: FIXED (0.4%)
(b)Tele1 33,640 643
---------------
-------------------------------------------------------------------------------
COMMUNICATIONS: MOBILE (0.2%)
(b)American Mobile Satellite Corp.,
expiring 4/1/08 17,250 100
(b)Globalstar Telecom,
expiring 2/15/04 1,850 65
(b)Iridium World Communications, Inc.,
expiring 7/15/05 840 -- @
(b)Occidente y Caribe,
expiring 3/15/04 145,000 218
---------------
383
---------------
-------------------------------------------------------------------------------
8
<PAGE>
<CAPTION>
NO. OF VALUE
WARRANTS (000)
-------------------------------------------------------------------------------
<S> <C> <C>
WARRANTS (CONTINUED)
-------------------------------------------------------------------------------
INDUSTRIAL (0.0%)
Republic Technologies International,
expiring 7/15/09 720 $ -- @
---------------
-------------------------------------------------------------------------------
METALS (0.0%)
(b)NSM Steel, Inc., expiring 2/1/08 5,223,013 $ 5
---------------
-------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost $169) 1,031
---------------
-------------------------------------------------------------------------------
FACE
AMOUNT
(000)
-------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.3%)
-------------------------------------------------------------------------------
BILLS
U.S. Treasury Bill U.S.$ 200 199
---------------
-------------------------------------------------------------------------------
REPURCHASE AGREEMENT
Chase Securities, Inc., 5.90%,
dates 3/31/00, due 4/03/00,
to be repurchased at $303,
collateralized by $310
United States Federal Home
Loan Bank Note, 7.10%, due
3/21/02, valued at $310 303 303
---------------
-------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $502) 502
---------------
-------------------------------------------------------------------------------
TOTAL INVESTMENTS(100.0%)
(Cost $201,133) 188,353
---------------
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
Other Assets 8,306
Liabilities (55,722) (47,416)
-------------- ---------------
-------------------------------------------------------------------------------
NET ASSETS (100%)
Applicable to 11,568,696 issued and
outstanding $0.01 par value shares
(100,000,000 shares authorized) $ 140,937
---------------
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE $ 12.18
---------------
-------------------------------------------------------------------------------
</TABLE>
(a) -- Step Bond--coupon rate increases in increments to maturity. Rate
disclosed is as of March 31, 2000. Maturity date disclosed is the
ultimate maturity.
(b) -- 144A Security--certain conditions for public sale may exist.
@ -- Value is less than $500.
PIK -- Payment-in-Kind. Income may be paid in additional securities or cash at
the discretion of the issuer.
9
