<PAGE>
MORGAN STANLEY
AFRICA INVESTMENT FUND, INC.
- ---------------------------------------------
OFFICERS AND DIRECTORS
Barton M. Biggs John A. Levin
CHAIRMAN OF THE BOARD DIRECTOR
OF DIRECTORS William G. Morton, Jr.
Frederick B. Whittemore DIRECTOR
VICE-CHAIRMAN OF THE BOARD 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
TREASURER
Belinda A. Brady
ASSISTANT TREASURER
- ---------------------------------------------
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
American Stock Transfer & Trust Company
40 Wall Street
New York, New York 10005
(800) 278-4353
- ---------------------------------------------------------
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
AFRICA INVESTMENT
FUND, INC.
---------
THIRD QUARTER REPORT
SEPTEMBER 30, 1996
MORGAN STANLEY ASSET MANAGEMENT INC.
INVESTMENT ADVISER
<PAGE>
LETTER TO SHAREHOLDERS
- --------
For the nine months ended September 30, 1996, the Morgan Stanley Africa
Investment Fund, Inc. (the "Fund") had a total return, based on net asset value
per share, of -0.57%. For the period since the Fund's commencement of operations
on February 14, 1994, the Fund's total return, based on net asset value per
share, is 34.65%. For the three months ended September 30, 1996, the Fund had a
total return of 3.56% based on net asset value per share. On September 30, 1996,
the closing price of the Fund's shares on the New York Stock Exchange was
12 7/8, representing a 22.4% discount to the Fund's net asset value per share.
The decline in the Fund's performance for the nine months can be attributed
primarily to the Fund's holdings in South Africa which has experienced a
currency depreciation of 25% over the same period. For the nine months ended
September 30, 1996, the Morgan Stanley Capital International South Africa Index
declined by -14.34%.
As mentioned in prior reports, the Fund has continued to pursue its goal of
geographical diversification in undervalued regions in Africa. The following
details changes in the Fund's exposure by country over the past year.
<TABLE>
<CAPTION>
SEPTEMBER 30
------------------------
COUNTRY 1995 1996 CHANGE
- ------------- --- --- -----------
<S> <C> <C> <C>
Egypt -- 10.1% 10.1%
Zimbabwe 3.5% 9.1% 5.6%
Mauritius 1.8% 4.6% 2.8%
Botswana -- 1.4% 1.4%
Ivory Coast 2.4% 2.6% 0.2%
South Africa 59.0% 46.1% (12.9%)
Nigeria 8.2% 3.8% (4.4%)
Morocco 12.9% 11.3% (1.6%)
Ghana 1.8% 1.4% (0.4%)
Algeria 1.7% 1.4% (0.3%)
Other 8.7% 8.2% (0.5%)
</TABLE>
This diversification strategy has done well in 1996 particularly in Zimbabwe,
Egypt, and Morocco where the equity markets have provided total returns of
between 10% and 50%. The Fund's exposure to the fixed income markets has also
paid off with a year to date total return of about 20%. We remain committed to
further diversifying the Fund's portfolio in the near term as we believe that
African securities markets excluding South Africa remain undervalued.
SOUTH AFRICA
The South African rand remains volatile and is now 25% lower versus the U.S.
dollar than at the beginning of the year. Gold and foreign exchange reserves are
down to R10 billion ($2.2 billion representing 4 weeks of import cover) and on
net basis including utilized foreign credit lines are down to $2.1 billion.
September was the first month in which the Reserve Bank used foreign credit
lines of $135 million (available $3.3 billion). In our opinion, the currency
will remain vulnerable while foreign exchange controls remain in place. Given
the country's limited foreign exchange reserves, a "big bang" approach on
exchange control removal is not feasible unless the government is willing to
live with a period of increased currency volatility and the resultant
inflationary consequences. So far the depreciation in the rand has not filtered
through to the export sector. This is probably due to 1) a lag in the benefit to
come through and, 2) exporters having sold forward their production at lower
exchange rates (as low as $1=3.9 rand vs. $1=4.55 rand today). The benefit from
the 25% depreciation in the rand is expected to be realized by the exporters
beginning in December 1996. The Fund's South African equity portfolio remains
very overweight in the export sectors which in our opinion are significantly
undervalued at current prices.
M3 and private sector credit growth remains extremely high. M3 is currently
growing at 15.5% while private sector credit has been expanding at 17.7%.
Compared to a year ago these monetary aggregates have not shown any marked
improvement. This is in spite of high real interest rates of 12% on prime. The
goal of the Reserve Bank is to keep this growth in the 7-10% level (Inflation +
GDP growth or 7.5% + 3% = 10.5%). As a result, we do not expect a reduction in
interest rates while money supply growth remains high and the currency stays
unstable. Inflation which had declined to a 23-year low of 5.5% in May has
gradually increased to 7.5% in September as it was being compared to higher
drought-influenced numbers in the prior year. Inflation has been under control
mainly as a result of import tariff cuts and import surcharge abolition as well
as low price increases in South Africa from foreign suppliers. We do expect
inflation to increase to 8.5% by year end as the impact of the currency
depreciation begins to feed through. GDP growth for 1996 and 1997 is expected to
be 3% and 3.5%, respectively. In 1997 GDP will be driven a lot more from the
export oriented sectors. The equity market trades at 14 times prospective
earnings which are forecast to increase by 18%. Most of the growth in earnings
over the next year will be driven by the exporters while the
2
<PAGE>
domestic oriented industries will remain under pressure from high interest
rates, margin pressure from imports and an overextended consumer.
REST OF AFRICA
The Fund's investments in the rest of Africa have performed well in 1996.
Returns have been strong from equity investments in Zimbabwe, Morocco and Egypt
and from our overall fixed income portfolio. The Harare stock market is up over
50% so far. Provided Zimbabwe receives average rainfall, the GDP should grow for
Zimbabwe by 7% and 5% in 1996 and 1997, respectively. Inflation has declined
from 28% at the start of the year to the current level of 20%. The stock market
is still attractive as it sells at 10 times prospective earnings with real
earnings growth of about 15%.
The Mauritius market has not performed well in 1996. The SEMDEX has declined by
18.5% as of the end of September and in our opinion, is one of the most
undervalued markets in Africa. The market trades at a forward multiple of 7
times earnings, 1.2 times book value and is supported by a dividend yield of 4%.
State Bank of Mauritius, the Fund's largest investment in Mauritius, trades at 7
times June 1997 earnings, 0.9 times book value and has a dividend yield of 5.5%.
The return on assets and equity are 2.1% and 12.8%, respectively. If it were not
for the fact that State Bank is overcapitalized with a capital adequacy ratio of
28%, return on equity would have been much higher. The bank recently reported an
earnings increase of 28%. The Mauritius economy is very strong with GDP forecast
for 1996 to be 5%, the average for the past decade. Over the next year we expect
this market to re-rate significantly as domestic and international investors
begin to realize how undervalued it is.
Fixed income assets performed well during the third quarter. Oil exporting
countries credit perceptions improved as oil prices firmed up because of
tensions in the Middle East and a delay in the release of Iraqi oil stocks.
Algeria and Nigerian assets benefited the most from the rally in oil. Elsewhere,
Moroccan loans rallied based on an improving economic picture, driven mainly by
a cyclical recovery from the 1995 drought-induced recession.
As always, we continue to be very proactive in searching for undervalued
opportunities across Africa. We look forward to keeping you informed about our
ongoing strategy.
Sincerely,
[SIGNATURE]
Warren J. Olsen
PRESIDENT AND DIRECTOR
[SIGNATURE]
Marianne L. Hay
SENIOR PORTFOLIO MANAGER
[SIGNATURE]
Jaideep Khanna
PORTFOLIO MANAGER
October 24, 1996
3
<PAGE>
Morgan Stanley Africa Investment Fund, Inc.
Investment Summary as of September 30, 1996
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HISTORICAL
INFORMATION (UNAUDITED)
TOTAL RETURN (%)
----------------------------------------------------------
MARKET VALUE (1) NET ASSET VALUE (2)
---------------------------- ----------------------------
AVERAGE AVERAGE
CUMULATIVE ANNUAL CUMULATIVE ANNUAL
---------------------------- ----------------------------
<S> <C> <C> <C> <C>
FISCAL YEAR TO DATE 2.12% -- -0.57% --
ONE YEAR 14.54 14.54 % 13.07 13.07 %
SINCE INCEPTION* 4.44 1.67 34.65 11.99
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
- --------------------------------------------------------------------------------
RETURNS AND PER SHARE INFORMATION (2)
A BAR CHART REFLECTING THE DATA BELOW IS REFLECTED HERE.
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31:
<S> <C> <C> <C>
Nine Months
1994* 1995 Ended September 30, 1996 (Unaudited)
Net Asset Value Per Share $14.43 $17.05 $16.60
Market Value Per Share $11.38 $12.88 $12.88
Premium/(Discount) -21.1% -24.5% -22.4%
Income Dividends $0.54 $0.96 -
Capital Gains Distributions - $0.01 $0.27
Fund Total Return (2) 7.34% 26.14% -0.57%
</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.
* The Fund commenced operations on February 14, 1994.
4
<PAGE>
Morgan Stanley Africa Investment Fund, Inc.
Portfolio Summary as of September 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PORTFOLIO INVESTMENTS DIVERSIFICATION
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Equity Securities 81.6%
Debt Securities 12.6%
Short-Term Investments 5.8%
</TABLE>
- --------------------------------------------------------------------------------
SECTORS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
Banking 11.3%
Beverages 4.8%
Building Materials & Components 3.9%
Chemicals 7.7%
Electrical & Electronics 3.0%
Food & Household Products 4.0%
Gold Mines 4.2%
Leisure & Tourism 4.7%
Loan Agreements 12.7%
Multi-Industry 23.7%
Other 20.0%
</TABLE>
- --------------------------------------------------------------------------------
COUNTRY WEIGHTINGS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
South Africa 46.9%
Morocco 11.3%
Egypt 11.1%
Zimbabwe 9.1%
Mauritius 4.7%
Nigeria 3.8%
United Kingdom 3.1%
Ivory Coast 2.6%
Botswana 1.4%
Ghana 1.4%
Algeria 1.4%
Ireland 0.5%
Other 2.7%
</TABLE>
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
-------------
<C> <S> <C>
1. SASOL Ltd. 6.2%
2. Kingdom of Morocco Restructuring and
Consolidation Agreement 'A' 4.9
3. Central Bank of Nigeria Promissory
Note 3.8
4. Amalgamated Banks of South Africa 3.8
5. Barlow Ltd. 3.6
<CAPTION>
PERCENT OF
NET ASSETS
-------------
<C> <S> <C>
6. Delta Corp. Ltd. 3.1%
7. Corporate Africa 3.0
8. Lonrho plc 3.0
9. SNI Maroc 2.9
10. Gencor Ltd. 2.7
-----
37.0%
-----
-----
</TABLE>
- --------------------------------------------------------------------------------
*Excludes short-term securities.
5
<PAGE>
INVESTMENTS (UNAUDITED)
- ---------
SEPTEMBER 30, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- --------------------------------------------------------------------------------
- ------------
<S> <C> <C>
AFRICAN COMMON STOCKS (79.1%)
(Unless otherwise noted)
- --------------------------------------------------------------------------------
- ------------
BOTSWANA (1.4%)
BEVERAGES
Sechaba Investment Co. 5,000,000 U.S.$ 3,659
--------------
- --------------------------------------------------------------------------------
- ------------
EGYPT (10.1%)
BANKING
Commercial International Bank 35,709 4,927
Egypt American Bank 14,209 397
--------------
5,324
--------------
BUILDING MATERIALS & COMPONENTS
Alexandria Cement 2,886 380
Ameriyah Cement Co. 159,998 2,694
Helwan Portland Cement 209,800 3,006
Torah Portland Cement Co. 150,770 2,661
--------------
8,741
--------------
CHEMICALS
Paint & Chemical Industries 1,951 479
--------------
ELECTRONIC COMPONENTS & INSTRUMENTS
Egyptian Electro Cables 46,483 1,408
--------------
FINANCIAL SERVICES
Egyptian Finance & Industrial 97,450 1,737
--------------
FOOD & HOUSEHOLD PRODUCTS
Central Flour Mill 60,000 499
North Cairo Flour Mills 116,855 3,850
South Cairo & Giza Mills Bakeries 14,670 238
--------------
4,587
--------------
REAL ESTATE
Madinet Nasr Housing & Development 33,710 1,441
--------------
TOBACCO
Eastern Tobacco 156,470 2,140
--------------
25,857
--------------
- --------------------------------------------------------------------------------
- ------------
GHANA (1.4%)
BANKING
Standard Chartered Bank 555,000 1,784
--------------
BEVERAGES
Guiness Ghana 3,636,822 516
Kumasi Breweries 336,000 128
--------------
644
--------------
FINANCIAL SERVICES
Home Finance Co. 1,620,000 123
--------------
FOOD & HOUSEHOLD PRODUCTS
Unilever 1,575,800 727
--------------
- --------------------------------------------------------------------------------
- ------------
<CAPTION>
VALUE
SHARES (000)
- --------------------------------------------------------------------------------
- ------------
<S> <C> <C>
METALS -- NON-FERROUS
Ghana Pioneer Aluminum Factory 1,043,400 U.S.$ 94
--------------
TOBACCO
Pioneer Tobacco Co., Ltd. 2,897,600 210
--------------
3,582
--------------
- --------------------------------------------------------------------------------
- ------------
MAURITIUS (4.6%)
BANKING
Mauritius Commercial Bank 668,064 2,318
State Bank of Mauritius 11,106,342 4,580
--------------
6,898
--------------
FOOD & HOUSEHOLD PRODUCTS
Happy World Foods, Ltd. 940,261 639
--------------
LEISURE & TOURISM
New Mauritius Hotels 1,593,088 2,126
--------------
MULTI-INDUSTRY
Mon Tressor Desert 66,368 112
Rogers & Co. Ltd. 470,000 2,030
--------------
2,142
--------------
11,805
--------------
- --------------------------------------------------------------------------------
- ------------
MOROCCO (6.4%)
BANKING
Banque Marocaine 77,142 3,537
Wafabank 30,000 1,728
--------------
5,265
--------------
MULTI-INDUSTRY
Groupe Ona 47,500 2,438
SNI Maroc 109,640 7,377
--------------
9,815
--------------
TELECOMMUNICATIONS
Alcatel Alsthom 19,400 1,318
--------------
16,398
--------------
- --------------------------------------------------------------------------------
- ------------
SOUTH AFRICA (46.1%)
APPLIANCES & HOUSEHOLD DURABLES
Ellerine Holdings Ltd. 198,881 1,000
--------------
BANKING
Amalgamated Banks of South Africa 1,798,651 9,694
--------------
BROADCASTING & PUBLISHING
Nasionale Pers Beperk 'N' 220,000 2,144
Omni Media Corp. 100,000 1,587
Perskor Beleggings Beperk 163,200 1,684
--------------
5,415
--------------
- --------------------------------------------------------------------------------
- ------------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- --------------------------------------------------------------------------------
- ------------
<S> <C> <C>
SOUTH AFRICA (CONTINUED)
CHEMICALS
Polfin Ltd. 1,975,200 U.S.$ 3,344
SASOL Ltd. 1,353,842 15,966
--------------
19,310
--------------
CONSTRUCTION & HOUSING
Concor Ltd. 265,122 1,519
LTA Ltd. 126,700 726
--------------
2,245
--------------
ELECTRICAL & ELECTRONICS
Allied Electronics Corp., Ltd. 720,000 1,024
Dimension Data Holdings Ltd. 2,570,920 5,112
Spescom Electronics Ltd. 1,000,000 893
Voltex Holdings Ltd. 867,526 535
--------------
7,564
--------------
ENERGY SOURCES
Ingwe Coal Ltd. 39,000 294
Trans Natal Coal Corp. Ltd. 466,500 3,805
--------------
4,099
--------------
FOOD & HOUSEHOLD PRODUCTS
Premier Group Holdings Ltd. 1,191,409 1,681
--------------
GOLD MINES
Driefontein Consolidation Ltd. 462,800 5,060
Free State Consolidation Goldmines 291,500 2,779
Kloof Gold Mining 367,500 2,937
--------------
10,776
--------------
INSURANCE
AGA Holdings Ltd. 1,000,000 3,042
Sage Group Ltd. 1,005,000 3,877
--------------
6,919
--------------
LEISURE & TOURISM
Kersaf Investments Ltd. 150,000 1,554
Leisurenet Ltd. 114,510 91
Servgro International Ltd. 508,900 2,580
Spur Holdings Ltd. 700,000 1,466
Sun International (South Africa) Ltd. 2,343,571 2,480
--------------
8,171
--------------
MACHINERY & ENGINEERING
Howden Africa Holdings 1,563,940 1,534
--------------
MANUFACTURING
Tiger Wheels Ltd. 100,000 386
--------------
MERCHANDISING
Metro Cash and Carry Ltd. 523,800 1,790
--------------
METALS -- NON-FERROUS
Potgietersrust Platinums Ltd. 307,549 1,491
Rustenburg Platinum Holdings Ltd. 61,018 962
--------------
2,453
--------------
- --------------------------------------------------------------------------------
- ------------
<CAPTION>
VALUE
SHARES (000)
- --------------------------------------------------------------------------------
- ------------
<S> <C> <C>
MULTI-INDUSTRY
Anglo American Industrial Corp. 98,500 U.S.$ 3,474
Barlow Ltd. 945,700 9,172
Bidvest Group Ltd. 849,438 4,719
Corporate Africa 2,500,000 1,234
Corporate Africa (Preferred) 12,500,000 6,558
Gencor Ltd. 1,947,600 6,955
Rembrandt Group Ltd. 358,200 3,236
--------------
35,348
--------------
118,385
--------------
- --------------------------------------------------------------------------------
- ------------
ZIMBABWE (9.1%)
BEVERAGES
Delta Corp. Ltd. 2,594,489 8,029
--------------
BUILDING MATERIALS & COMPONENTS
PG Industries 1,115,614 529
Portland Holdings Ltd. 520,000 654
--------------
1,183
--------------
ENERGY SOURCES
Wankie Colliery Co. Ltd. 6,872,900 2,326
--------------
FINANCIAL SERVICES
Northchart Investment Ltd. 874,880 888
--------------
FOOD & HOUSEHOLD PRODUCTS
Colcom Holdings 2,912,500 873
Eastern Highlands 3,375,659 457
Hippo Valley Estates Ltd. 1,800,000 1,393
--------------
2,723
--------------
LEISURE & TOURISM
Zimbabwe Sun 4,668,161 1,806
--------------
METALS -- NON-FERROUS
Bindura Nickel Corp. Ltd. 525,000 584
--------------
MULTI-INDUSTRY
TA Holdings Ltd. 8,700,000 1,094
Trans Zambezi Industries Ltd. 627,482 1,506
Trans Zambezi Industries Ltd. ADR 500,000 1,200
TSL Ltd. 3,513,000 1,936
--------------
5,736
--------------
23,275
--------------
- --------------------------------------------------------------------------------
- ------------
TOTAL AFRICAN COMMON STOCKS
(Cost U.S. $177,748) 202,961
--------------
- --------------------------------------------------------------------------------
- ------------
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
- --------------------------------------------------------------------------------
- ------------
<S> <C> <C>
OTHER COMMON STOCKS (3.6%)
- --------------------------------------------------------------------------------
- ------------
IRELAND (0.5%)
MINING
Kenmare Resources 2,500,000 U.S.$ 1,282
--------------
- --------------------------------------------------------------------------------
- ------------
UNITED KINGDOM (3.1%)
ENERGY SOURCES
Wankie Colliery Co., Ltd. 300,000 77
--------------
MULTI-INDUSTRY
Lonrho plc 2,913,981 7,754
--------------
7,831
--------------
- --------------------------------------------------------------------------------
- ------------
TOTAL OTHER COMMON STOCKS
(Cost U.S. $8,272) 9,113
--------------
- --------------------------------------------------------------------------------
- ------------
<CAPTION>
FACE
AMOUNT
(000)
<S> <C> <C>
- --------------------------------------------------------------------------------
- ------------
DEBT INSTRUMENTS (12.7%)
- --------------------------------------------------------------------------------
- ------------
ALGERIA (1.4%)
LOAN AGREEMENTS
Algeria Reprofiled Loan
Agreement 'A' 1992 7.00%, 3/4/00 U.S.$ 5,000 3,488
--------------
- --------------------------------------------------------------------------------
- ------------
IVORY COAST (2.6%)
LOAN AGREEMENTS
Republic Ivory Coast Syndicated Loan 12/31/00 FRF 168,857 6,785
--------------
- --------------------------------------------------------------------------------
- ------------
MOROCCO (4.9%)
LOAN AGREEMENTS
Kingdom of Morocco Restructuring and
Consolidation Agreement 'A' 1990 6.438%,
1/1/09 (Participation: Bankers Trust, Merrill
Lynch, Bank Paribas and Salomon Brothers) U.S.$16,000 12,600
--------------
- --------------------------------------------------------------------------------
- ------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
<S> <C> <C>
- --------------------------------------------------------------------------------
- ------------
NIGERIA (3.8%)
LOAN AGREEMENTS
Central Bank of Nigeria Promissory Notes 5.25%,
1/5/10 U.S.$20,000 U.S.$ 9,756
--------------
- --------------------------------------------------------------------------------
- ------------
TOTAL DEBT INSTRUMENTS
(Cost U.S. $30,840) 32,629
--------------
- --------------------------------------------------------------------------------
- ------------
SHORT-TERM INVESTMENTS (4.0%)
- --------------------------------------------------------------------------------
- ------------
UNITED STATES (4.0%)
REPURCHASE AGREEMENT
Chase Securities, Inc. 5.40%, dated 9/30/96, due
10/1/96, to be repurchased at U.S.$10,139,
collateralized by U.S. $7,455 United States
Treasury Notes 10.625%, due 8/15/15, valued at
U.S. $10,260 (Cost U.S.$10,137) 10,137 10,137
--------------
- --------------------------------------------------------------------------------
- ------------
FOREIGN CURRENCY ON DEPOSIT WITH CUSTODIAN (1.9%)
Egyptian Pound EGP 8,535 2,511
Mauritius Rupee MUR 6,994 339
South African Rand ZAR 9,183 2,024
Zimbabwe Dollars ZWD 458 44
--------------
(Cost U.S. $4,946) 4,918
--------------
- --------------------------------------------------------------------------------
- ------------
TOTAL INVESTMENTS (101.3%)
(Cost U.S. $231,943) 259,758
--------------
- --------------------------------------------------------------------------------
- ------------
OTHER ASSETS AND LIABILITIES (-1.3%)
Other Assets U.S.$12,364
Liabilities (15,659) (3,295)
----------- --------------
- --------------------------------------------------------------------------------
- ------------
NET ASSETS (100%)
Applicable to 15,448,477 issued and outstanding U.S. $0.01
par value shares (100,000,000 shares authorized) U.S.$ 256,463
-----------
- --------------------------------------------------------------------------------
- ------------
NET ASSET VALUE PER SHARE U.S.$ 16.60
-----------
- --------------------------------------------------------------------------------
- ------------
</TABLE>
ADR -- American Depositary Receipt.
FRF -- French Franc
8
