<PAGE>
MORGAN STANLEY
GLOBAL OPPORTUNITY BOND FUND, INC.
- ---------------------------------------------
OFFICERS AND DIRECTORS
<TABLE>
<S> <C>
Barton M. Biggs William G. Morton, Jr.
CHAIRMAN OF THE BOARD DIRECTOR
OF DIRECTORS James W. Grisham
Frederick B. Whittemore VICE PRESIDENT
VICE-CHAIRMAN OF THE BOARD Michael F. Klein
OF DIRECTORS VICE PRESIDENT
Warren J. Olsen Harold J. Schaaff, Jr.
PRESIDENT AND DIRECTOR VICE PRESIDENT
Peter J. Chase Joseph P. Stadler
DIRECTOR VICE PRESIDENT
John W. Croghan Valerie Y. Lewis
DIRECTOR SECRETARY
David B. Gill James R. Rooney
DIRECTOR TREASURER
Graham E. Jones Belinda A. Brady
DIRECTOR ASSISTANT TREASURER
John A. Levin
DIRECTOR
</TABLE>
- ---------------------------------------------
INVESTMENT ADVISER
Morgan Stanley Asset Management Inc.
1221 Avenue of the Americas
New York, New York 10020
- ---------------------------------------------------------
ADMINISTRATOR
The Chase Manhattan Bank
73 Tremont Street
Boston, Massachusetts 02108
- ---------------------------------------------------------
CUSTODIANS
Morgan Stanley Trust Company
One Pierrepont Plaza
Brooklyn, New York 11201
The Chase Manhattan Bank
770 Broadway
New York, New York 10003
- ---------------------------------------------------------
SHAREHOLDER SERVICING AGENT
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
GLOBAL OPPORTUNITY
BOND 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 Global
Opportunity Bond Fund, Inc. (the "Fund") had a total return, based on net asset
value per share, of 23.68% compared to 25.15% for the J.P. Morgan Emerging
Markets Bond Index. For the period since the Fund's commencement of operations
on May 27, 1994 through September 30, 1996, the Fund's total return, based on
net asset value per share, is 39.29% compared with 49.31% for the Index. On
September 30, 1996, the closing price of the Fund's shares on the New York Stock
Exchange was $14.50, representing a 1.6% discount to the Fund's net asset value
per share.
The long term outlook for emerging markets debt still remains positive.
Improving economic fundamentals in most of the emerging market countries, a
positive to neutral global liquidity environment and attractive valuations
relative to other fixed income asset classes should continue to buoy asset
prices. In the short run, we are concerned about sloppy trading conditions that
are typically seen during the fourth quarter of each year.
This year the fourth quarter effect could be more pronounced than others, as the
trading community and hedge funds will be anxious to lock in gains in emerging
markets debt of over 40%. A reduction for risk appetite and a feeling that
spreads in the market had come in to fair levels would leave the potential
supply of paper looking for the ever reluctant marginal buyer. Further, the
economic picture should be perceived to be improving from just a cyclical bounce
from recession troughs to a more sustainable long run secular expansion of
economic activity for continued spread convergence and the jury is still out on
this specific issue. Data from the fourth quarter should give us a better idea
about the trend of economic growth.
Since the beginning of the third quarter our strategy had been to overweight
countries such as Venezuela, Ecuador, Russia and Mexico. We increased
allocations to the main Latin American countries of Argentina, Brazil and
Mexico, when we believed that the cyclical economic recoveries were taking hold
and market perceptions regarding the credit risks of these countries would
improve based on dramatic improvements in year-over-year performances during the
middle of the quarter. We reduced positions to these markets as they got fully
valued and the market got ahead of itself in pricing in all the fundamental
improvements that had taken place. Allocations were increased in the
oil-exporting sector of the market as firmer oil prices dramatically improved
the cash flow situations of countries like Venezuela and
Algeria. Leverage in the Fund was reduced substantially
as we prepared for weak performance in the fourth quarter.
During 1997, Mexico has to engineer a reduction in real interest rates, weaken
the currency and increase the rate of growth. The precise combination of
economic policies to bring about this result is yet unknown and will keep
financial markets guessing. Our sense is that in an election year the Mexican
government will struggle for a while in finding the optimal policy mix.
Meanwhile, the Peso and fixed income assets will remain volatile. Holdings of
Peso denominated paper were reduced in anticipation of fourth quarter volatility
in the currency. We do not anticipate changing our exposure to Mexico until such
time as their preference and choice of policy instruments is clear.
Argentina is more or less in the same boat as Mexico but without the degrees of
freedom in its macroeconomic policy framework. Argentine policy makers have
however concentrated on improving microeconomic efficiency by focusing on
improving tax revenue collection and reform of labor laws. President Menem is
under political pressure to increase employment generation and the pace of
economic recovery. Corruption scandals and political jostling could muddy the
waters for a while. At some point assets will cheapen relative to other
benchmarks in the market to warrant an increased allocation. Argentine
allocations were increased marginally during the quarter as the perception of a
strong economic recovery taking root spread in the marketplace. We remain
cautious as concrete signs of such a recovery are yet to emerge.
Brazil on a fundamental level remains the strongest economic story in the
region. Post Real Plan stabilization challenges remain. Some of these include
the securing of long run fiscal stabilization, reforming the social security and
tax systems and reducing the burden that monetary and exchange rate policy have
to bear in the absence of progress on the fiscal side. The strategy of using
real exchange rate appreciation and high real interest rates to control
inflation may come under question in the future as the current account
deteriorates in the future. Allocations were gradually reduced during the
quarter as asset prices firmed in advance of potential sovereign debt issuance
and repurchase of Brady bonds.
Russia remains the greatest source of risk and reward in the market. A murky
political situation with contenders for power jockeying for position in public
has coincided with lower than targeted revenue collection this fiscal
2
<PAGE>
year and could potentially jeopardize the stabilization achieved so far. The IMF
could suspend disbursements under the EFF facility if it believes sufficient
progress is not being made to remedy the situation. A withdrawal of
multi-lateral support will leave Russia with no financing alternatives but the
monetization of the fiscal deficit. The upside potential comes from a low
indebted country on the threshold of growth and stabilization and one which will
attract significant amounts of capital in the future. We believe that in the
short run there are bound to be problems which will appear insurmountable at
that time, but once political uncertainty abates, the economic picture should
improve. Our Russian positions in the non-performing loan segment and domestic
dollar denominated bonds were trimmed as valuation levels moved from cheap to
fair and market participants became excessively bullish about economic prospects
for the country.
Outside the main countries, we are invested in the oil producing countries of
Venezuela and Ecuador and expect to remain exposed to them as oil prices remain
firm. Allocations to Venezuela were reduced as the bonds approached fair
valuation levels.
Peru and Panama will continue to trade expensive to the rest of the market due
to the small size of their Brady debt and the restructuring of their economies
that is currently underway. We will continue to retain our exposures to these
credits.
Bulgaria flirted with a potential default when the country delayed implementing
a restructuring of the banking system and closing down some loss making state
owned enterprises. Allocations were increased towards the end of the quarter to
just over 2% as bond prices touched levels which we believed were attractive.
The government has moved slowly to implement the conditions laid down by the IMF
and the World Bank for a resumption in lending.
Local currency investments in Turkey were not renewed as positions matured as
the outlook for the currency and the country's fundamentals remained weak.
Investments in Rand denominated bonds of South Africa were sold as we believed
that an absence of an official policy towards the exchange rate will increase
risk premiums in the medium term. Low levels of reserves will prompt the market
to continually test the currency. Any slow down in structural reform and fiscal
contraction will be seen as a sign of weakness.
The high yield bond market performed well for the third quarter as the CS First
Boston High Yield Index rose 3.75%. This occurred in the framework of a flat
ten-year Treasury bond, three basis points lower over the quarter, but lower
short rates as the three-month rate dropped seventeen basis points to 5.03%. As
a result, the spread to Treasuries narrowed and at the end of the quarter the
Index had a spread of 383 basis points to Treasuries. The high yield market
outperformed both the domestic stock and bond markets during the quarter.
The biggest factor affecting the Fund's high yield portfolio was its weighting
in the cable television industry. This industry is viewed as one of the highest
quality in the high yield market and suffered in the early part of the year in
sympathy with the sharp rise in Treasury rates. Higher quality bonds follow
movements in the Treasury market more closely than lower quality bonds. The Fund
also benefited from its exposure to the telecommunications sector. These bonds
rallied in response to the announced merger of MFS and Worldcom.
The high yield market has been quite good for some time and the spread to
Treasuries is in the narrow end of the range. As a result, we are currently a
bit cautious. We have been upgrading the quality of the high yield portfolio in
this environment and find among our larger holdings such large corporations as
Viacom, Time Warner and Revlon. We feel these investments are improving credits
and offer good returns. In addition, we believe there is less risk of spreads
widening to Treasury bonds in the better quality sector than in much of the rest
of the market.
Sincerely,
[SIGNATURE]
Warren J. Olsen
PRESIDENT AND DIRECTOR
[SIGNATURE]
Robert E. Angevine
PORTFOLIO MANAGER
[SIGNATURE]
Paul Ghaffari
PORTFOLIO MANAGER
October 12, 1996
3
<PAGE>
Morgan Stanley Global Opportunity Bond Fund, Inc.
Investment Summary as of September 30, 1996
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HISTORICAL
INFORMATION (UNAUDITED)
TOTAL RETURN (%)
----------------------------------------------------------------------------------------
MARKET VALUE (1) NET ASSET VALUE (2) INDEX (1)(3)
---------------------------- ---------------------------- ----------------------------
AVERAGE AVERAGE AVERAGE
CUMULATIVE ANNUAL CUMULATIVE ANNUAL CUMULATIVE ANNUAL
<S> <C> <C> <C> <C> <C> <C>
---------------------------- ---------------------------- ----------------------------
FISCAL YEAR TO DATE 26.52% -- 23.68% -- 25.15% --
ONE YEAR 31.49 31.49% 30.06 30.06% 37.91 37.91%
SINCE INCEPTION* 37.10 14.39 39.29 15.16 49.31 18.62
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
- --------------------------------------------------------------------------------
RETURNS AND PER SHARE INFORMATION
A BAR CHART REFLECTING THE DATA BELOW IS REFLECTED HERE.
<TABLE>
<CAPTION>
NINE MONTHS
YEARS ENDED DECEMBER 31: ENDED SEPTEMBER 30, 1996
1994* 1995 (UNAUDITED)
<S> <C> <C> <C>
Net Asset Value Per Share $12.25 $12.99 $14.73
Market Value Per Share $12.50 $12.50 $14.50
Premium/(Discount) 2.0% -3.8% -1.6%
Income Dividends $0.91 $1.59 $1.20
Fund Total Return (2) -6.42% 20.34% 23.68%
Index Total Return (1)
(3)** -6.45% 27.54% 25.15%
</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 J.P. Morgan Emerging Markets Bond Index is a market weighted index
composed of all Brady bonds outstanding and includes Argentina, Brazil,
Bulgaria, Mexico, Nigeria, the Philippines, Poland and Venezuela.
* The Fund commenced operations on May 27, 1994.
** Unaudited.
4
<PAGE>
Morgan Stanley Global Opportunity Bond 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>
Debt Securities 97.6%
Short-Term Investments 2.1%
Equity Securities 0.3%
</TABLE>
- --------------------------------------------------------------------------------
COUNTRY WEIGHTINGS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C>
United States 27.0%
Mexico 23.7%
Brazil 12.9%
Argentina 9.4%
Venezuela 6.9%
Russia 6.2%
Panama 5.5%
Morocco 2.5%
Bulgaria 2.2%
Philippines 2.0%
Ecuador 2.0%
Peru 1.7%
Algeria 1.7%
United Kingdom 0.6%
Colombia 0.5%
Netherlands 0.3%
Other -5.1%
</TABLE>
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
------------
<C> <S> <C>
1. United Mexican States Debt 9.6%
2. Federative Republic of Brazil Debt 8.4
3. Banamex Pagare 7.4
4. Republic of Venezuela Debt 6.9
5. Republic of Russia Debt 6.2
<CAPTION>
PERCENT OF
NET ASSETS
------------
<C> <S> <C>
6. Republic of Argentina Debt 5.6%
7. Republic of Panama Debt 5.5
8. Empresas ICA Sociedad Controladora S.A. 3.4
9. Iochpe Maxion 2.8
10. The Republic of Bulgaria Debt 2.2
---
58.0%
---
---
</TABLE>
5
<PAGE>
INVESTMENTS (UNAUDITED)
- ---------
SEPTEMBER 30, 1996
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
<S> <C> <C>
- -----------------------------------------------------------------
- -------------
DEBT INSTRUMENTS (104.8%)
- --------------------------------------------------
- ----------
ALGERIA (1.7%)
LOAN AGREEMENT (1.7%)
Algeria Reprofiled Loan Agreement 'A' U.S.$ $1,500 U.S.$ 1,046
--------------
- -----------------------------------------------------------------
- -------------
ARGENTINA (9.4%)
BONDS (9.4%)
Industrias Pescarmona S.A. 11.75%,
3/27/98 1,250 1,277
Metrogas S.A. 'B' 10.875%, 5/15/01 1,000 1,023
Republic of Argentina 'L' Bond 6.63%,
3/31/05 3,234 2,713
Republic of Argentina Pre 4 Bocon
0.00%, 9/1/02 700 700
--------------
5,713
--------------
- -----------------------------------------------------------------
- -------------
BRAZIL (12.9%)
BONDS (12.9%)
Comtel Brasiliera Ltd. 'A' 10.75%,
9/26/04 1,000 1,023
Federative Republic of Brazil 'C' Bond
4.00%, 4/15/14 116 81
Federative Republic of Brazil 'C' Bond
8.00%, 4/15/14 7,198 5,075
Iochpe Maxion 12.38%, 11/8/02 1,750 1,698
--------------
7,877
--------------
- -----------------------------------------------------------------
- -------------
BULGARIA (2.2%)
BONDS (2.2%)
The Republic of Bulgaria Discount Bond
'A' Euro 6.75%, 7/28/24 700 357
The Republic of Bulgaria Front Loaded
Interest Rate Reduction Bond 2.25%,
7/28/12 3,000 984
--------------
1,341
--------------
- -----------------------------------------------------------------
- -------------
COLOMBIA (0.5%)
UNIT (0.5%)
Occidente Y Caribe (Sr. Discount Note
+ 4 Warrants) 0.00%, 3/15/04 525 277
--------------
- -----------------------------------------------------------------
- -------------
ECUADOR (2.0%)
BONDS (2.0%)
Republic of Ecuador Past Due Interest
Bond 6.50%, 2/27/15 2,379 1,221
--------------
- -----------------------------------------------------------------
- -------------
MEXICO (23.7%)
BONDS (23.7%)
Banamex Pagare Discount Bond, Zero
Coupon, 10/23/97 MXP 45,124 4,543
Cemex S.A. 12.75%, 7/15/06 U.S.$ 1,000 1,095
Empresas ICA Sociedad Controladora
S.A. 11.875%, 5/30/01 2,000 2,099
- -----------------------------------------------------------------
- -------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
<S> <C> <C>
- ---------------------------------------------------------
- ------------
Nacional Financiera 17.00%, 2/26/99 ZAR 4,000 U.S.$ 857
United Mexican States Discount Bond
'C', 6.35%, 12/31/19 U.S.$ 4,000 3,374
United Mexican States Global Bond
11.375, 9/15/16 2,500 2,490
--------------
14,458
--------------
- -----------------------------------------------------------------
- -------------
MOROCCO (2.5%)
LOAN AGREEMENT (2.5%)
Kingdom of Morocco Restructuring and
Consolidation Agreement 'A' 1990
(Participation: J.P. Morgan)
6.4375%, 1/1/09 2,000 1,575
--------------
- -----------------------------------------------------------------
- -------------
NETHERLANDS (0.3%)
BOND (0.3%)
APP International Finance 11.75%,
10/1/05 175 182
--------------
- -----------------------------------------------------------------
- -------------
PANAMA (5.5%)
BONDS (5.5%)
Republic of Panama Interest Reduction
Bond 3.50%, 7/17/14 2,100 1,328
Republic of Panama Past Due Interest
Bond 4.00%, 7/17/16 PIK 2,917 2,006
--------------
3,334
--------------
- -----------------------------------------------------------------
- -------------
PERU (1.7%)
BONDS (1.7%)
Republic of Peru Front Loaded Interest
Rate Reduction Bond 3.25%, 12/29/49 1,000 520
Republic of Peru Past Due Interest
Bond 0.00%, 12/29/49 900 524
--------------
1,044
--------------
- -----------------------------------------------------------------
- -------------
PHILIPPINES (2.0%)
BONDS (2.0%)
Philippine Long Distance Telephone Co.
9.25%, 6/30/06 155 159
Republic of Philippines 8.75%, 10/7/16 1,100 1,071
--------------
1,230
--------------
- -----------------------------------------------------------------
- -------------
RUSSIA (6.2%)
BOND (3.6%)
Ministry of Finance Tranche IV, 3.00%,
5/14/03 4,150 2,171
LOAN AGREEMENT (2.6%)
Bank for Foreign Economic Affairs 2,300 1,606
--------------
3,777
--------------
- -----------------------------------------------------------------
- -------------
UNITED KINGDOM (0.6%)
BOND (0.6%)
Telewest plc 0.00%, 10/1/07 585 376
--------------
- -----------------------------------------------------------------
- -------------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
<S> <C> <C>
- ---------------------------------------------------------
- ------------
UNITED STATES (26.7%)
BONDS (25.4%)
Advanced Micro Devices Inc. 11.00%,
8/1/03 U.S.$ 175 U.S.$ 181
Algoma Steel, Inc. 12.375%, 7/15/05 275 286
Brooks Fiber Properties 0.00%, 3/1/06 700 431
Cablevision Systems Corp. 9.25%,
11/1/05 165 159
Cablevision Systems Corp. 9.875%,
5/15/06 405 406
Collins & Aikman Products 11.50%,
4/15/06 170 179
Comcast Cellular Corp.
'A' Zero Coupon, 3/5/00 100 70
'B' Zero Coupon, 3/5/00 465 327
Comcast Corp. 9.375%, 5/15/05 390 398
Courtyard By Marriott 'B' 10.75%,
2/1/08 400 411
Crown Paper 11.00%, 9/1/05 215 214
Echostar Satellite Broadcast 0.00%,
3/15/04 815 560
Exide Corp. (Convertible) 2.90%,
12/15/05 100 61
First Nationwide 9.125%, 1/15/03 55 54
First Nationwide 10.625%, 10/1/03 95 99
Flores & Rucks 9.75%, 10/1/06 110 112
Gaylord Container Corp.
11.50%, 5/15/01 500 529
12.75%, 5/15/05 80 88
G-I Holdings, Inc. 'B' Zero Coupon,
10/1/98 340 295
Grand Casinos 10.125%, 12/1/03 400 393
HMC Acquisition Properties 9.00%,
12/15/07 350 333
Home Holdings, Inc. 8.625%, 12/15/03 550 209
Homeside, Inc. 11.25%, 5/15/03 80 87
Host Marriott Travel 9.50%, 5/15/05 450 451
Jet Equipment Trust 'C1' 11.79%,
6/15/13 175 201
K Mart Corp. 8.375%, 7/1/22 145 110
La Quinta Inns, Inc. 9.25%, 5/15/03 80 82
Lenfest Communications 8.375%, 11/1/05 500 472
Lenfest Communications 10.50%, 6/15/06 100 103
Marcus Cable Co. 0.00%, 12/15/05 850 578
Marvel Holdings, Inc., Zero Coupon,
4/15/98 250 194
MFS Communications 0.00%, 1/15/06 845 590
Midland Cogeneration Ventures 'C-91'
10.33%, 7/23/02 25 27
Midland Cogeneration Ventures 'C-94'
10.33%, 7/23/02 93 98
Midland Funding II 'A' 11.75%, 7/23/05 80 85
Nextel Communications 0.00%, 8/15/04 1,175 758
Norcal Waste Systems, Inc., 12.75%,
11/15/05 500 541
Nuevo Energy Co. 9.50%, 4/15/06 240 245
Owen-Illinois, Inc. 11.00%, 12/1/03 485 530
Paging Network, Inc. 10.125%, 8/1/07 80 83
Reliance Group Holdings, Inc. 9.00%,
11/15/00 395 400
Revlon Worldwide Corp. Zero Coupon,
3/15/98 650 573
Rogers Cablesystems 'B' 10.00%,
3/15/05 425 431
SD Warren Co. 'B' 12.00%, 12/15/04 145 156
Sheffield Steel Corp. 12.00%, 11/1/01 150 139
- -----------------------------------------------------------------
- -------------
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
<S> <C> <C>
- ---------------------------------------------------------
- ------------
Six Flags Theme Parks Inc., 'A' 0.00%,
6/15/05 U.S.$ 240 U.S.$ 212
Southland Corp. 5.00%, 12/15/03 420 334
Station Casinos, Inc. 9.625%, 6/1/03 110 108
Stone Container Corp. 11.50%, 8/15/06 250 257
Time Warner, Inc. 'K' 10.25%, 7/1/16
PIK 1 601
TLC Beatrice International Holdings
11.50%, 10/1/05 255 267
Trump Atlantic City 11.25%, 5/1/06 200 197
Unisys Corp. 12.00%, 4/15/03 220 228
Viacom, Inc. 8.00%, 7/7/06 600 559
--------------
15,492
--------------
COLLATERALIZED MORTGAGE OBLIGATIONS (1.3%)
Aircraft Lease Portfolio
Securitization Ltd., 1996-1 P1 'D'
12.75%, 6/15/06 375 386
DR Securitized Lease Trust 1993-K1 A1
6.66%, 8/15/10 168 126
DR Securitized Lease Trust 1994-K1 A
7.60%, 8/15/07 358 299
--------------
811
--------------
16,303
--------------
- -----------------------------------------------------------------
- -------------
VENEZUELA (6.9%)
BONDS (6.9%)
Republic of Venezuela Debt Conversion
Bond 'L' 6.63%, 12/18/07 1,500 1,244
Republic of Venezuela Front Loaded
Interest Rate Reduction Bond 'A'
6.63%, 3/31/07 2,500 2,109
Republic of Venezuela Front Loaded
Interest Rate Reduction Bond 'B'
6.50%, 3/31/07 1,000 845
--------------
4,198
--------------
- -----------------------------------------------------------------
- -------------
TOTAL DEBT INSTRUMENTS
(Cost $60,296) 63,952
--------------
- -----------------------------------------------------------------
- -------------
<CAPTION>
NO. OF
RIGHTS
<S> <C> <C>
- -----------------------------------------------------------------
- -------------
RIGHTS (0.0%)
- -----------------------------------------------------------------
- -------------
MEXICO (0.0%)
Mexican 'A', Expiring 6/30/03
(Cost $0) 6,153,000 --
--------------
- -----------------------------------------------------------------
- -------------
<CAPTION>
NO. OF
WARRANTS
<S> <C> <C>
- ---------------------------------------------------------
- ------------
WARRANTS (0.0%)
- -----------------------------------------------------------------
- -------------
UNITED STATES (0.0%)
Sheffield Steel Corp., expiring
11/1/01 (Cost $5) 750 2
--------------
- -----------------------------------------------------------------
- -------------
<CAPTION>
SHARES
<S> <C> <C>
- -----------------------------------------------------------------
- -------------
PREFERRED STOCKS (0.3%)
- -----------------------------------------------------------------
- -------------
UNITED STATES (0.3%)
TCI Communications, Inc., 5.00%
(Convertible) (Cost $169) 1,890 176
--------------
- -----------------------------------------------------------------
- -------------
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT AMOUNT
(000) (000)
- ---------------------------------------------------------
- ------------
<S> <C> <C>
SHORT-TERM INVESTMENT (2.2%)
- -----------------------------------------------------------------
- -------------
UNITED STATES (2.2%)
REPURCHASE AGREEMENT
Chase Securities, Inc. 5.40%, dated
6/30/96, due 10/1/96, to be
repurchased at U.S.$1,368,
collateralized by U.S.$1,115 United
States Treasury Notes 9.25%, due
2/15/16, valued at U.S.$1,375 (Cost
$1,368) U.S.$ 1,368 U.S.$ 1,368
--------------
- -----------------------------------------------------------------
- -------------
TOTAL INVESTMENTS (107.3%)
(Cost $61,838) 65,498
--------------
- -----------------------------------------------------------------
- -------------
OTHER ASSETS AND LIABILITIES (-7.3%)
Other Assets 13,905
Liabilities (18,349) (4,444)
--------------- --------------
- -----------------------------------------------------------------
- -------------
NET ASSETS (100%)
Applicable to 4,145,999 issued and outstanding
U.S.$0.01 par value shares (100,000,000 shares
authorized) U.S.$ 61,054
--------------
--------------
- -----------------------------------------------------------------
- -------------
NET ASSET VALUE PER SHARE U.S.$ 14.73
--------------
--------------
- -----------------------------------------------------------------
- -------------
</TABLE>
PIK -- Payment-in-Kind. Income may be paid in additional securities or cash at
the discretion of the issuer.
8
