<PAGE>
----------------------------------------------------------------
MORGAN STANLEY
DEAN WITTER
GLOBAL OPPORTUNITY
BOND FUND, INC.
----------------------------------------------------------------
THIRD QUARTER REPORT
SEPTEMBER 30, 1999
MORGAN STANLEY DEAN WITTER
INVESTMENT MANAGEMENT INC.
INVESTMENT ADVISER
MORGAN STANLEY DEAN WITTER
GLOBAL OPPORTUNITY BOND FUND, INC.
- --------------------------------------------------------------------------------
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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
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INVESTMENT ADVISER
Morgan Stanley Dean Witter Investment Management Inc.
1221 Avenue of the Americas
New York, New York 10020
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ADMINISTRATOR
The Chase Manhattan Bank
73 Tremont Street
Boston, Massachusetts 02108
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CUSTODIAN
The Chase Manhattan Bank
3 Chase MetroTech Center
Brooklyn, New York 11245
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SHAREHOLDER SERVICING AGENT
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
Global Opportunity Bond Fund, Inc. (the "Fund") had a total return, based on net
asset value per share, of 10.03% compared to 6.10% for the Fund's benchmark
(described below). For the period from the Fund's commencement of operations on
May 27, 1994 through September 30, 1999, the Fund's total return, based on net
asset value per share, was 49.97% compared to 66.91% for the benchmark. The Fund
uses as its benchmark, for purposes of comparing its performance, a composite
comprised of 25% of the J.P. Morgan Latin Eurobond Index, 25% of the J.P. Morgan
Emerging Markets Bond Plus Index and 50% of the CS First Boston High Yield
Index. However, the Fund's weightings in these asset classes are not restricted
and will, under normal circumstances, fluctuate depending on market conditions.
At September 30, 1999, the Fund's investments in debt instruments were comprised
of 73% emerging markets debt securities and 27% U.S. high yield securities.
On September 30, 1999, the closing price of the Fund's shares on the New York
Stock Exchange was $9.00, representing a 7.7% discount to the Fund's net asset
value per share.
Over the last few months, bad headlines plagued the emerging markets; panics
over the fate of the Argentine peso, Fed rate hikes in the U.S., scandals in
Russia, a bloodless political coup in Venezuela, increased violence in Colombia
and Indonesia, default in Ecuador, and a severe earthquake in Turkey.
Notwithstanding these events, emerging market debt has remained in a narrow
trading range. During this time, investors have collected a healthy amount of
coupon income while experiencing little overall capital appreciation or
depreciation. Considering all of the negatives mentioned above, the seemingly
miraculous performance of emerging debt is evidence of its relative cheapness
and under representation in portfolios. Current prices for emerging market debt
remain close to those seen during the Mexican and Russian crisis. Relative
valuations remain near historically wide levels as measured by spread
differentials with other fixed income alternatives. Simply put, emerging market
bonds no longer sell-off on bad news.
Within the Fund, overweight positions in Colombia and Morocco and underweight
positions in South Korea and Ecuador contributed to relative returns. Colombian
assets rallied after the announcement that the country had signed a letter of
intent with the IMF, which should lead to a $2.5 billion extended funds
facility. An overweight in Turkish local currency Treasury bills bolstered
returns, as the high yield to maturity and short duration characteristics of
these securities allowed them to outperform the market, despite the earthquake
in Turkey. Relative performance was adversely affected by security selection
decisions in Russia, an underweight in Venezuela, and overweights in Ivory Coast
and Indonesian assets.
Beyond valuation arguments, there are fundamental reasons why we think emerging
debt is attractive at current levels. Recent economic indicators have reinforced
our view that the world economy is steadily improving. The resumption of growth
in Japan and in Western Europe has positively impacted commodity prices and
economic activity in the emerging world. All indications are that economic
activity has bottomed out during the third quarter in most of Latin America and
in either the second or third quarter in Eastern Europe. Growth in Emerging Asia
continues to surprise on the upside. These are only a few of the developments
that point to a global economy moving beyond healing and into growth.
For these reasons we believe that emerging market debt currently offers
attractive risk/return characteristics and we will continue to position the Fund
more aggressively. However, we are unlikely to get immediate gratification from
this new posture. Seasonal factors such as the "year end effect" and the lagged
nature of economic statistics required to verify our expectation of economic
recoveries might inhibit any substantial rally. However, over the medium term,
we believe that the Fund should benefit from this shift in stance.
Concerning the U.S. portion of the Fund, 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 overall higher quality of the U.S. high yield portion of the Fund was a
major reason for the outperformance. Spreads widened throughout the high yield
market, but issues rated BB performed better than lower quality bonds. 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
2
<PAGE>
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 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
U.S. high yield market. We expect the technical factors that hindered the U.S.
high yield market in the third quarter will improve over the next few months.
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.
3
<PAGE>
Morgan Stanley Dean Witter Global Opportunity Bond 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 17.78% -- 10.03% -- 6.10% --
One Year 13.59 13.59% 19.49 19.49% 13.78 13.78%
Five Year 43.35 7.47 49.64 8.40 62.22 10.16
Since Inception* 38.43 6.27 49.97 7.87 66.91 10.06
</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,
1994* 1995 1996 1997 1998 1999
------ ------ ------ ------ ------ -------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value Per Share ...... $12.25 $12.99 $14.86 $13.74 $9.64 $9.75
Market Value Per Share ......... $12.50 $12.50 $14.63 $13.13 $8.31 $9.00
Premium/(Discount) ............. 2.0% -3.8% -1.5% -4.4% -13.8% -7.7%
Income Dividends ............... $ 0.91 $ 1.59 $ 1.49 $ 1.30 $1.18 $0.78
Capital Gains Distributions .... -- -- $ 0.50 $ 2.30 $0.06 --
Fund Total Return (2) .......... -6.42% 20.34% 31.45% 17.38% -21.57% 10.03%
Index Total Return (3) ......... -0.46% 22.03% 20.58% 12.56% -3.19% 6.10%
</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 Fund uses as its benchmark, for purpose of comparing its performance, a
composite comprised of 25% of the J.P. Morgan Latin Eurobond Index, 25% of
the J.P. Morgan Emerging Markets Bond Plus Index, and 50% of the CS First
Boston High Yield Index. However, the Fund's weighting in these asset
classes is not restricted and will, under normal circumstances, fluctuate
depending on market conditions. As of September 30, 1999, the Fund's
investment in debt instruments was comprised of 73% emerging markets debt
securities and 27% U.S. high yield securities.
* The Fund commenced operations on May 27, 1994.
4
<PAGE>
Morgan Stanley Dean Witter Global Opportunity Bond Fund, Inc.
Portfolio Summary as of September 30, 1999 (Unaudited)
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- --------------------------------------------------------------------------------
DIVERSIFICATION OF TOTAL INVESTMENTS
[CHART]
<TABLE>
<S> <C>
Debt Securities (94.7%)
Short-Term Investments (4.2%)
Equity Securities (1.1%)
</TABLE>
- --------------------------------------------------------------------------------
COUNTRY WEIGHTINGS
[CHART]
<TABLE>
<S> <C>
United States (29.4%)
Argentina (15.2%)
Brazil (13.7%)
Mexico (9.2%)
Russia (4.4%)
Colombia (3.7%)
Turkey (3.2%)
Netherlands (2.8%)
Venezuela (2.7%)
Philippines (2.7%)
Other (13.0%)
</TABLE>
- --------------------------------------------------------------------------------
TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-----------
<S> <C>
1. Republic of Argentina
`L' 5.938%, 3/31/05 (Argentina) 4.9%
2. Federative Republic of Brazil `C'
Bond PIK 8.00%, 4/15/14 (Brazil) 4.9
3. United Mexican States Discount
Bonds 12/31/19 (Mexico) 4.7
4. Republic of Argentina
11.75%, 4/7/09 (Argentina) 3.7
5. Federative Republic of Brazil Debt
Conversion Bond 5.938%, 4/15/12
(Brazil) 3.4
6. Republic of Argentina Global Units
(Euro) 12.125%, 2/15/19 (Argentina) 3.4
7. Russia Principal Note,
PIK 6.063%, 12/15/20 (Russia) 2.0
8. Russian Federation 11.00%, 7/24/18
(Russia) 2.0
9. Brazil Global Bond 10.125%, 5/15/27
(Brazil) 2.0
10. Bayan Telecommunications 13.50%, 7/15/06
(Philippines) 1.9
----
32.9%
----
----
</TABLE>
* Excludes short-term investments.
5
<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>
DEBT INSTRUMENTS(94.7%)
- ------------------------------------------------------------------------------
ALGERIA (0.5%)
SOVEREIGN (0.5%)
Algeria Loan Agreement
0.00%, 3/31/00 U.S.$ 100 U.S.$ 75
Algeria Loan Agreement Tranche 3
0.00%, 3/31/00 200 141
------------
216
------------
- ------------------------------------------------------------------------------
ARGENTINA (15.2%)
CORPORATE (1.3%)
(a)Cablevision S.A.
13.75%, 5/1/09 100 92
CIA International Telecom
10.375%, 8/1/04 ARP 400 296
(a)Multicanal S.A.
13.125%, 4/15/09 U.S.$ 190 179
------------
567
------------
SOVEREIGN (13.9%)
Republic of Argentina
(b)2.77%, 4/1/07 ARP 251 173
11.75%, 4/7/09 U.S.$ 1,700 1,647
(b)Republic of Argentina 'L'
5.938%, 3/31/05 2,479 2,172
Republic of Argentina Global Bond
11.375%, 1/30/17 650 614
Republic of Argentina Global
Units (Euro)
12.125%, 2/15/19 1,504 1,512
-------------
6,118
-------------
6,685
-------------
- ------------------------------------------------------------------------------
AUSTRALIA (0.3%)
CORPORATE (0.3%)
Murrin Murrin Holdings Property
Ltd.
9.375%, 8/31/07 160 142
-------------
- ------------------------------------------------------------------------------
BRAZIL (13.7%)
CORPORATE (0.2%)
(a,c)Compania Energetica Sao Paulo
9.125%, 6/26/07 100 87
-------------
SOVEREIGN (13.5%)
Brazil Global Bond
10.125%, 5/15/27 1,150 860
Federative Republic of Brazil 'C'
Bond PIK
8.00%, 4/15/14 3,448 2,157
(b)Federative Republic of Brazil
'EI-L' Bond
5.875%, 4/15/06 U.S.$ 618 U.S.$ 484
(b)Federative Republic of Brazil
Debt Conversion Bond
5.938%, 4/15/12 260 156
(b)Federative Republic of Brazil
Debt Conversion 'L' Bond
5.938%, 4/15/12 2,230 1,338
(c)Federative Republic of Brazil
'L' Bond
4.50%, 4/15/09 200 119
(b)Federative Republic of Brazil
New Money 'L' Bond
5.938%, 4/15/09 1,060 750
(b)Federative Republic of Brazil
New Money Bond
5.938%, 4/15/09 130 92
-------------
5,956
-------------
6,043
-------------
- ------------------------------------------------------------------------------
BULGARIA (2.3%)
SOVEREIGN (2.3%)
(c)Republic of Bulgaria Front Loaded
Interest Reduction Bond
2.50%, 7/28/12 350 221
(b)Republic of Bulgaria Front Loaded
Interest Reduction Bond
5.875%, 7/28/24 440 304
(b)Republic of Bulgaria Past Due
Interest Bond
5.875%, 7/28/11 680 485
-------------
1,010
-------------
- ------------------------------------------------------------------------------
CHILE (1.4%)
CORPORATE (1.4%)
(a)Embotelladora Africa S.A.
9.875%, 3/15/06 325 336
Endesa
7.75%, 7/15/08 315 296
-------------
632
-------------
- ------------------------------------------------------------------------------
COLOMBIA (3.6%)
CORPORATE (0.7%)
(c)Occidente y Caribe
0.00%, 3/15/04 550 316
-------------
SOVEREIGN (2.9%)
Republic of Colombia
9.75%, 4/23/09 600 515
Republic of Colombia Global Euro
10.875%, 3/9/04 590 584
- ------------------------------------------------------------------------------
6
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
COLOMBIA (CONTINUED)
SOVEREIGN (CONTINUED)
(b)Republic of Colombia Yankee
Notes
9.705%, 8/13/05 U.S.$ 200 U.S.$ 186
-------------
1,285
-------------
1,601
-------------
- ------------------------------------------------------------------------------
ECUADOR (0.4%)
SOVEREIGN (0.4%)
(b)Republic of Ecuador Discount Bond
6.00%, 2/28/25 510 157
-------------
- ------------------------------------------------------------------------------
GERMANY (0.5%)
CORPORATE (0.5%)
(c)RSL Communications plc
0.00%, 6/15/08 256 156
(a)Sirona Dental Systems
9.125%, 7/15/08 EUR 89 71
-------------
227
-------------
- ------------------------------------------------------------------------------
INDONESIA (0.8%)
CORPORATE (0.8%)
Indah Kiat International
Finance 'B'
11.875%, 6/15/02 U.S.$ 100 77
Tjiwi Kimia International
Global Bond
13.25%, 8/1/01 350 271
-------------
348
-------------
- ------------------------------------------------------------------------------
IVORY COAST (0.3%)
SOVEREIGN (0.3%)
(b)Ivory Coast
2.00%, 3/29/18 600 120
-------------
- ------------------------------------------------------------------------------
JORDAN (0.8%)
SOVEREIGN (0.8%)
Jordan Discount Bond
(b)6.188%, 12/23/23 368 243
(a,b)6.188%, 12/23/23 155 102
-------------
345
-------------
- ------------------------------------------------------------------------------
MEXICO (9.2%)
CORPORATE (1.5%)
Petro Mexicanos
(a)9.50%, 9/15/27 550 530
(b)9.52%, 7/15/05 140 134
-------------
664
-------------
SOVEREIGN (7.7%)
United Mexican States
0.00%, 6/30/03 3,706 --@
(b)United Mexican States Discount
Bond 'A'
6.116%, 12/31/19 260 222
(b)United Mexican States Discount
Bond 'B'
5.875%, 12/31/19 250 214
(b)United Mexican States Discount
Bond 'C'
5.874%, 12/31/19 400 342
(b)United Mexican States Discount
Bond 'D'
7.25%, 12/31/19 1,500 1,282
United Mexican States Euro Bond
10.375%, 2/17/09 250 254
United Mexican States Global Bond
11.375%, 9/15/16 795 844
United Mexican States Par Bond
'W-A'
6.25%, 12/31/19 20 15
United Mexican States Par Bond
'W-B'
6.25%, 12/31/19 320 236
-------------
3,409
-------------
4,073
-------------
- ------------------------------------------------------------------------------
MOROCCO (1.7%)
SOVEREIGN (1.7%)
(b)Morocco R&C 'A'
5.906%, 1/1/09 883 752
-------------
- ------------------------------------------------------------------------------
NETHERLANDS (2.8%)
CORPORATE (2.8%)
Hermes Europe Railtel B.V.
11.50%, 8/15/07 190 192
Netia Holdings II B.V.
13.50%, 6/15/09 EUR 375 398
(c)PTC International Finance B.V.
0.00%, 7/1/07 U.S.$ 155 108
(a)Tele1 Europe B.V.
13.00%, 5/15/09 EUR 175 183
(a)United Pan-Europe
Communications NV
10.875%, 8/1/09 U.S.$ 350 353
-------------
1,234
-------------
- ------------------------------------------------------------------------------
PANAMA (0.8%)
SOVEREIGN (0.8%)
Republic of Panama
9.375%, 4/1/29 400 373
-------------
- ------------------------------------------------------------------------------
PERU (1.0%)
SOVEREIGN (1.0%)
(c)Peru Past Due Interest Bond
4.00%, 3/7/17 370 229
- ------------------------------------------------------------------------------
7
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
PERU (CONTINUED)
SOVEREIGN (CONTINUED)
Republic of Peru Front Loaded
Interest Reduction Bond
(c)3.25%, 3/7/17 U.S.$ 150 U.S.$ 81
(a,c)3.25%, 3/7/17 250 135
-------------
445
-------------
- ------------------------------------------------------------------------------
PHILIPPINES (2.7%)
CORPORATE (2.0%)
(a)Bayan Telecommunications
13.50%, 7/15/06 900 851
Philippine Long Distance Telephone
7.85%, 3/6/07 45 38
-------------
889
-------------
SOVEREIGN (0.7%)
Republic of Philippines
9.875%, 1/15/19 300 285
-------------
1,174
-------------
- ------------------------------------------------------------------------------
RUSSIA (4.4%)
SOVEREIGN (4.4%)
(b)Russia Interest Arrears Notes
6.063%, 12/15/15 350 40
(b)Russia Principal Note, PIK
6.063%, 12/15/20 9,635 897
Russian Federation
(a) 8.75%, 7/24/05 300 126
(a) 11.00%, 7/24/18 2,110 886
-------------
1,949
-------------
- ------------------------------------------------------------------------------
SOUTH KOREA (0.5%)
SOVEREIGN (0.5%)
Republic of Korea
8.875%, 4/15/08 200 208
-------------
- ------------------------------------------------------------------------------
TURKEY (0.8%)
CORPORATE (0.8%)
(a)Cellco Finance NV
15.00%, 8/1/05 320 334
-------------
- ------------------------------------------------------------------------------
UNITED KINGDOM (1.7%)
CORPORATE (1.7%)
Colt Telecommunications
Group plc
7.625%, 7/31/08 GBP 171 177
Dolphin Telecommunication plc
(c)0.00%, 6/1/08 EUR 190 89
(a,c)0.00%, 5/15/09 U.S.$ 100 40
(a)Esprit Telecommunications
Group plc
11.00%, 6/15/08 GBP 233 253
(a)HMV Media Group plc
10.875%, 5/15/08 U.S.$ 125 U.S.$ 207
-------------
766
-------------
- ------------------------------------------------------------------------------
UNITED STATES (26.6%)
ASSET BACKED SECURITIES (2.6%)
Aircraft Lease Portfolio
Securitization Ltd.
1996-1 P1D
12.75%, 6/15/06 322 323
CFS 1997-5 'A1'
7.72%, 6/15/05 248 62
DR Securitized Lease Trust
6.66%, 8/15/10 78 71
7.60%, 8/15/07 403 391
(a)First Home Mortgage Acceptance
Corp., 1996-B, Class C
7.929%, 11/1/18 243 85
Jet Equipment Trust 'C1'
11.79%, 6/15/13 175 211
-------------
1,143
-------------
COLLATERALIZED MORTGAGE OBLIGATION (0.2%)
Long Beach Auto 1997-1, 'B'
14.22%, 10/26/03 82 81
-------------
CORPORATE (23.8%)
Adelphia Communications Corp. 'B'
7.50%, 1/15/04 55 52
7.75%, 1/15/09 100 90
8.375%, 2/1/08 160 150
9.875%, 3/1/07 150 153
American Cellular Corp.
(a)10.50%, 5/15/08 160 165
10.50%, 5/15/08 70 72
American Standard, Inc.
7.125%, 6/1/06 EUR 225 231
AMSC Acquisition Co., Inc. 'B'
12.25%, 4/1/08 U.S.$ 180 128
(a)CA FM Lease Trust
8.50%, 7/15/17 231 216
Centennial Cellular
10.75%, 12/15/08 140 146
Chancellor Media Corp. 'B'
8.125%, 12/15/07 315 304
CMS Energy Corp.
7.50%, 1/15/09 185 171
Columbia/ HCA Healthcare Corp.
7.58%, 9/15/25 130 104
Columbia/HCA Healthcare Corp.
6.91%, 6/15/05 320 288
7.69%, 6/15/25 350 287
D.R. Horton Inc.
8.00%, 2/1/09 180 160
Dobson Communications Corp.
11.75%, 4/15/07 170 179
- ------------------------------------------------------------------------------
8
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
CORPORATE (CONTINUED)
Echostar DBS Corp.
9.375%, 2/1/09 U.S.$ 190 U.S.$ 187
(a)EES Coke Battery Co., Inc.
9.382%, 4/15/07 100 97
Global Crossing Holdings Ltd.
9.625%, 5/15/08 140 144
Globalstar LP
11.375%, 2/15/04 150 97
11.50%, 6/1/05 30 19
(a)Globe Telecom, Inc.
13.00%, 8/1/09 200 206
Harrahs Operating Co., Inc.
7.875%, 12/15/05 265 254
Hayes Lemmerz International, Inc.
8.25%, 12/15/08 140 123
Hilton Hotels
7.95%, 4/15/07 185 177
HMH Properties 'A'
7.875%, 8/1/05 275 253
(a)Horseshoe Gaming Holding
8.652%, 5/15/09 210 200
(a)Huntsman ICI Chemicals
10.125%, 7/1/09 225 219
10.125%, 7/1/09 225 233
(c)Intermedia Communications, Inc. 'B'
0.00%, 7/15/07 515 342
(a)Iridium LLC/Capital Corp.
13.00%, 7/15/05 155 16
Lyondell Chemical Co
9.625%, 5/1/07 160 159
Metromedia Fiber Network 'B'
10.00%, 11/15/08 100 97
Musicland Group, Inc.
9.00%, 6/15/03 100 97
Musicland Group, Inc. 'B'
9.875%, 3/15/08 175 159
National Steel Corp 'D'
9.875%, 3/1/09 225 223
(c)Nextel Communications, Inc.
0.00%, 8/15/04 150 151
0.00%, 9/15/07 425 313
0.00%, 2/15/08 120 83
(c)NEXTLINK Communications, Inc.
0.00%, 4/15/08 325 195
(c)Norcal Waste Systems, Inc.
13.50%, 11/15/05 165 176
(a)NSM Steel, Inc.
12.25%, 2/1/08 100 --@
(c)NTL, Inc. 'B'
0.00%, 4/1/08 330 356
(a)Onepoint Communications Corp.
14.50%, 6/1/08 145 93
Park Place Entertainment
7.875%, 12/15/05 195 184
Primus Telecommunications Group,
Inc.
11.25%, 1/5/09 45 43
Primus Telecommunications Group,
Inc. 'B'
9.875%, 5/15/08 145 127
PSINet, Inc. 'B'
10.00%, 2/15/05 110 106
(a)RAS Laffan Liquid Natural Gas
8.294%, 3/15/14 100 91
(c)RCN Corp.
0.00%, 10/15/07 275 179
(c)Rhythms Netconnections 'B'
0.00%, 5/15/08 400 199
(c)RSL Communications plc
9.125%, 3/1/08 330 282
SD Warren Co. 'B'
12.00%, 12/15/04 215 227
Snyder Oil Corp.
8.75%, 6/15/07 200 198
Station Casinos, Inc.
8.875%, 12/1/08 100 97
10.125%, 3/15/06 205 211
Tenet Healthcare Corp.
8.625%, 1/15/07 375 357
(c)Viatel, Inc.
0.00%, 4/15/08 380 217
Vintage Petroleum
8.625%, 2/1/09 75 72
(c)WAM! Net, Inc. 'B'
0.00%, 3/1/05 365 218
Waste Management, Inc.
7.00%, 10/15/06 35 32
7.125%, 10/1/07 35 32
7.125%, 12/15/17 40 33
7.65%, 3/15/11 50 46
-------------
10,516
-------------
11,740
-------------
- ------------------------------------------------------------------------------
VENEZUELA (2.7%)
SOVEREIGN (2.7%)
(b)Republic of Venezuela Debt
Conversion Bond 'DL'
6.313%, 12/18/07 1,012 779
Republic of Venezuela Global Bond
9.25%, 9/15/27 600 396
-------------
1,175
-------------
- ------------------------------------------------------------------------------
TOTAL DEBT INSTRUMENTS
(Cost U.S.$42,570) 41,749
-------------
- --------------------------------------------------------------------------------
9
<PAGE>
<CAPTION>
NO. OF VALUE
WARRANTS (000)
- ------------------------------------------------------------------------------
<S> <C> <C>
WARRANTS(0.2%)
- ------------------------------------------------------------------------------
ARGENTINA (0.0%)
Republic of Argentina,
expiring 2/25/00 1,800 U.S.$ 2
-------------
- ------------------------------------------------------------------------------
COLOMBIA (0.1%)
(a)Occidente y Caribe,
expiring 3/15/04 21,790 33
-------------
- ------------------------------------------------------------------------------
NETHERLANDS (0.0%)
Tele1 Europe B.V.,
expiring 05/15/09 1,750 13
-------------
- ------------------------------------------------------------------------------
UNITED STATES (0.1%)
(a)American Mobile Satellite Corp.,
expiring 4/1/08 1,800 6
(a)NSM Steel, Inc.,
expiring 2/1/08 633,090 1
(a)Onepoint Communications Corp.,
expiring 6/1/08 1,450 --@
WAM! Net., Inc.,
expiring 3/1/05 6,000 14
-------------
21
-------------
- ------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost U.S.$14) 69
-------------
- ------------------------------------------------------------------------------
<CAPTION>
SHARES
- ------------------------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCK(0.9%)
- ------------------------------------------------------------------------------
UNITED STATES (0.9%)
Concentric Network Corp. 'B' 1,143 105
IXC Communications, Inc. 'B' 126 135
Paxson Communications Corp. 1,600 173
-------------
- ------------------------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost U.S.$339) 413
-------------
- ------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT
(000)
- ------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS(4.2%)
- ------------------------------------------------------------------------------
TURKEY (2.4%)
BILLS
Turkey Treasury Bill
0.00%, 2/9/00 TRL 339,911,000 572
0.00%, 3/15/00 299,177,000 470
-------------
1,042
-------------
- ------------------------------------------------------------------------------
UNITED STATES (1.8%)
REPURCHASE AGREEMENT
Chase Securities Inc. 5.05%,
dated 9/30/99, due
10/1/99, to be
repurchased at U.S.$816,
collateralized by
U.S.$805 United States
Treasury Bonds, 6.625%,
due 2/15/27, valued at
U.S.$823 U.S.$ 816 U.S.$ 816
-------------
- ------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost U.S.$1,984) 1,858
-------------
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS(100.0%)
(Cost U.S.$44,907) 44,089
-------------
- ------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
Other Assets U.S.$ 8,657
Liabilities (11,990) (3,333)
------------- -------------
- ------------------------------------------------------------------------------
NET ASSETS (100%)
Applicable to 4,180,704 issued and
outstanding U.S.$0.01 par value shares
(100,000,000 shares authorized) U.S.$ 40,756
-------------
- ------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE U.S.$ 9.75
-------------
- ------------------------------------------------------------------------------
</TABLE>
(a) - 144A Security - certain conditions for public sale may exist.
(b) - Variable/floating rate security -- rate disclosed is as of
September 30, 1999.
(c) - Step Bond -- coupon rate increases in increments to maturity. Rate
disclosed is as of September 30, 1999. Maturity date disclosed is
ultimate maturity.
@ - Value is less than U.S.$500.
PIK - Payment-in-Kind. Income may be paid in additional securities or cash.
10
