<PAGE>
-------------------------------------------------------------------------------
MORGAN STANLEY
DEAN WITTER
GLOBAL OPPORTUNITY
BOND FUND, INC.
-------------------------------------------------------------------------------
THIRD QUARTER REPORT
SEPTEMBER 30, 2000
MORGAN STANLEY
DEAN WITTER
INVESTMENT MANAGEMENT INC.
INVESTMENT ADVISER
MORGAN STANLEY DEAN WITTER
GLOBAL OPPORTUNITY BOND FUND, INC.
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
DIRECTORS AND OFFICERS
Barton M. Biggs
CHAIRMAN OF THE BOARD
OF DIRECTORS
Harold J. Schaaff, Jr.
PRESIDENT AND DIRECTOR
John D. Barrett II
DIRECTOR
Gerard E. Jones
DIRECTOR
Graham E. Jones
DIRECTOR
John A. Levin
DIRECTOR
Andrew McNally IV
DIRECTOR
William G. Morton, Jr.
DIRECTOR
Samuel T. Reeves
DIRECTOR
Fergus Reid
DIRECTOR
Frederick O. Robertshaw
DIRECTOR
Stefanie V. Chang
VICE PRESIDENT
Arthur J. Lev
VICE PRESIDENT
Joseph P. Stadler
VICE PRESIDENT
Mary E. Mullin
SECRETARY
Belinda A. Brady
TREASURER
Robin L. Conkey
ASSISTANT TREASURER
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
INVESTMENT ADVISER
Morgan Stanley Dean Witter Investment Management Inc.
1221 Avenue of the Americas
New York, New York 10020
-------------------------------------------------------------------------------
ADMINISTRATOR
The Chase Manhattan Bank
73 Tremont Street
Boston, Massachusetts 02108
-------------------------------------------------------------------------------
CUSTODIAN
The Chase Manhattan Bank
3 Chase MetroTech Center
Brooklyn, New York 11245
-------------------------------------------------------------------------------
SHAREHOLDER SERVICING AGENT
American Stock Transfer & Trust Company
40 Wall Street
New York, New York 10005
(800) 278-4353
-------------------------------------------------------------------------------
LEGAL COUNSEL
Clifford Chance Rogers & Wells LLP
200 Park Avenue
New York, New York 10166
-------------------------------------------------------------------------------
INDEPENDENT ACCOUNTANTS
Ernst & Young LLP
787 Seventh Avenue
New York, New York 10019
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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/im.
<PAGE>
LETTER TO SHAREHOLDERS
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
For the nine months ended September 30, 2000, the Morgan Stanley Dean Witter
Global Opportunity Bond Fund, Inc. (the "Fund") had a total return, based on net
asset value per share, of 3.14% compared to 5.96% for the Emerging Markets
Bond/U.S. High Yield blended Composite (the "Emerging Markets/U.S. High Yield
Composite"), and 4.75% for the Latin American/Emerging Markets/High Yield
blended Composite (the "Latin/Emerging Markets/High Yield Composite"). For the
period from the Fund's commencement of operations on May 27, 1994 through
September 30, 2000, the Fund's total return, based on net asset value per share,
was 72.54% compared to 92.73% for the Emerging Markets/U.S. High Yield
Composite, and 85.24% for the Latin/Emerging Markets/High Yield Composite.
Effective January 1, 2000, the Fund uses as its benchmark the Emerging
Markets/U.S. High Yield Composite, which is comprised of 50% of the J.P. Morgan
Emerging Markets Bond Global Index and 50% of the C.S. First Boston High Yield
Index. At September 30, 2000, the Fund's investments in debt instruments were
comprised of 54% emerging markets debt securities and 46% U.S. high yield
securities. However, the Fund's weightings in these asset classes are not
restricted and will, under normal circumstances, fluctuate depending on market
conditions. On September 30, 2000, the closing price of the Fund's shares on the
New York Stock Exchange was $8 9/16, representing a 14.2% discount to the Fund's
net asset value per share.
Through much of the year we had a 50%/50% allocation between U.S. high yield and
emerging markets debt, so this had little impact on our performance. In U.S.
high yield, our overweight allocation to the telecommunication sectors detracted
from performance as this sector performed poorly due to operational problems for
some companies, and the sell-off and volatility in the NASDAQ. Our higher
quality portfolio within the high yield portion of the Fund helped our results
as higher-rated securities performed better than lower-rated securities. Higher
allocations to gaming and good security selection within the health care sector
also contributed to the results.
In emerging markets debt, overweights in Russia and Brazil helped returns
most of the year, but they did detract in September when the market widened
in spread. Underweight positions to the Asian countries and to Argentina have
added to relative returns, as these countries have not performed as well as
the rest of the market. Higher allocations than the benchmark to Peru and
poor security selection within the Philippines have pulled down results.
Due to the continued widening of spreads in the U.S. high yield market this
year, we have been increasing our weighting to this sector. Spreads are at
their widest level since 1991, when the U.S. was in its last recession. We
are continuing to have an overweight allocation to the telecommunication
sector as we believe it is undervalued. We also currently maintain our higher
credit quality as compared to the benchmark in high yield. In emerging
markets, we are taking a less aggressive stance, and we have overweights in
Brazil, Colombia and Russia.
We believe that the U.S. high yield market has very compelling value at the
current time. With spreads of above 800 basis points over treasuries, we
believe that there is a good cushion against any further bad news. Emerging
markets debt is fairly valued at the current time, but this market has a very
good long-term outlook. In conclusion, we believe that the Fund should
provide good returns over the coming year.
Sincerely,
/s/ Harold J. Schaaff, Jr.
Harold J. Schaaff, Jr.
PRESIDENT AND DIRECTOR
October 2000
FOREIGN INVESTING INVOLVES CERTAIN RISKS, INCLUDING CURRENCY FLUCTUATIONS AND
CONTROLS, RESTRICTIONS ON FOREIGN INVESTMENTS, LESS GOVERNMENTAL SUPERVISION
AND REGULATION, LESS LIQUIDITY AND THE POTENTIAL FOR MARKET VOLATILITY AND
POLITICAL INSTABILITY.
HIGH YIELD FIXED INCOME SECURITIES, ALSO KNOWN AS "JUNK BONDS" ARE CONSIDERED
SPECULATIVE, INVOLVE GREATER RISK OF DEFAULT AND TEND TO BE MORE VOLATILE
THAN INVESTMENT GRADE FIXED INCOME SECURITIES.
-------------------------------------------------------------------------------
DAILY NET ASSET AND MARKET VALUES, AS WELL AS MONTHLY PORTFOLIO INFORMATION FOR
THE FUND, ARE AVAILABLE ON OUR WEBSITE AT www.msdw.com/im.
2
<PAGE>
Morgan Stanley Dean Witter Global Opportunity Bond Fund, Inc.
Investment Summary as of September 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HISTORICAL
INFORMATION TOTAL RETURN (%)
---------------------------------------------------------------------------------------------------
MARKET VALUE (1) NET ASSET VALUE (2) EMBHY COMPOSITE (3) LEMHY COMPOSITE (4)
--------------------- --------------------- ---------------------- -----------------------
AVERAGE AVERAGE AVERAGE AVERAGE
CUMULATIVE ANNUAL CUMULATIVE ANNUAL CUMULATIVE ANNUAL CUMULATIVE ANNUAL
---------- ------- ---------- ------- ----------- ------- ---------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
YEAR TO DATE 11.58% -- 3.14% -- 5.96% -- 4.75% --
ONE YEAR 7.06 7.06% 15.19 15.19% 12.95 12.95% 10.98 10.98%
FIVE YEAR 41.97 7.26 61.11 10.01 68.90 11.05 62.61 10.21
SINCE INCEPTION* 48.03 6.38 72.54 8.97 92.73 10.89 85.24 10.20
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
-------------------------------------------------------------------------------
RETURNS AND PER SHARE INFORMATION:
[TOTAL RETURN GRAPH]
<TABLE>
<CAPTION>
NINE MONTHS
YEAR ENDED DECEMBER 31, ENDED
SEPTEMBER 30,
1994* 1995 1996 1997 1998 1999 2000
------ ------ ------ ------ ------- ------ -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value Per Share........ $12.25 $12.99 $14.86 $13.74 $ 9.64 $10.56 $9.98
Market Value Per Share .......... $12.50 $12.50 $14.63 $13.13 $ 8.31 $ 8.38 $8.56
Premium/(Discount) .............. 2.0% -3.8% -1.5% -4.4% -13.8% -20.6% -14.2%
Income Dividends ................ $ 0.91 $ 1.59 $ 1.49 $ 1.30 $ 1.18 $ 1.05 $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% 22.73% 3.14%
EMBHY Index Total Return (3) .... -0.85% 22.16% 23.50% 12.52% -4.74% 13.44% 5.96%
LEMHY Index Total Return (4) .... -0.46% 22.37% 25.36% 12.56% -3.19% 12.41% 4.75%
</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) From January 1, 2000, the Fund uses as its benchmark, for purpose of
comparing its performance, a composite comprised of 50% of the J.P. Morgan
Emerging Markets Bond Global 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, 2000, the Fund's investment in debt
instruments was comprised of 54% emerging markets debt securities and 46%
U.S. high yield securities. The Fund's performance will be compared to this
benchmark as the country weightings represented by the benchmark are more
representative of the Fund's portfolio.
(4) The Fund formerly used 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.
* The Fund commenced operations on May 27, 1994.
3
<PAGE>
Morgan Stanley Dean Witter Global Opportunity Bond Fund, Inc.
Portfolio Summary as of September 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
DIVERSIFICATION OF TOTAL INVESTMENTS
<TABLE>
<S> <C>
Debt Securities (90.9%)
Short-Term Investments (7.4%)
Equity Securities (1.7%)
</TABLE>
-------------------------------------------------------------------------------
COUNTRY WEIGHTINGS
<TABLE>
<S> <C>
United States (49.4%)
Other* (9.2%)
Turkey (1.9%)
Bulgaria (2.0%)
Venezuela (2.0%)
United Kingdom (2.2%)
Colombia (2.8%)
Russia (5.1%)
Mexico (7.3%)
Argentina (9.0%)
Brazil (9.1%)
</TABLE>
-------------------------------------------------------------------------------
TEN LARGEST HOLDINGS**
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-----------
<S> <C>
1. Republic of Argentina
11.75%, 6/15/15 (Argentina) 2.9%
2. Russian Federation
12.75%, 6/24/28 (Russia) 2.8
3. Federative Republic of Brazil Global Bond
14.50%, 10/15/09 (Brazil) 2.4
4. Nextel Communications, Inc. Step Bond
0.00%, 9/15/07 (United States) 2.3
5. Republic of Colombia Global Bond
11.75%, 2/25/20 (Colombia) 1.9
6. Global Crossing Holding Ltd.
9.625%, 5/15/08 (United States) 1.8%
7. Federative Republic of Brazil Bond PIK `C'
8.00%, 4/15/14 (Brazil) 1.8
8. Russian Federation Step Bond
2.25%, 3/31/30 (Russia) 1.8
9. United Mexican States Discount Bond `D'
7.925%, 12/31/19 (Mexico) 1.6
10. Horseshoe Gaming Holding
8.625%, 5/15/09 (United States) 1.6
----
20.9%
----
----
</TABLE>
* Other includes countries not shown separately and other
assets and liabilities.
** Excludes short-term investments.
4
<PAGE>
INVESTMENTS (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
------------
SEPTEMBER 30, 2000
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
DEBT INSTRUMENTS (90.9%)
-------------------------------------------------------------------------------
ALGERIA (0.5%)
SOVEREIGN (0.5%)
Republic of Algeria, Loan
Agreement, Tranche 1, Zero
Coupon, 3/31/10 U.S.$ 100 U.S.$ 87
Republic of Algeria, Loan
Agreement, Tranche 3, Zero
Coupon, 3/31/10 200 162
--------------
249
--------------
-------------------------------------------------------------------------------
ARGENTINA (7.4%)
CORPORATE (0.8%)
Cablevision SA
13.75%, 5/1/09 100 89
(a)CTI Holdings SA
0.00%, 4/15/08 325 166
Multicanal SA
13.125%, 4/15/09 190 172
--------------
427
--------------
SOVEREIGN (6.6%)
Republic of Argentina
10.25%, 7/21/30 200 163
11.75%, 4/7/09 650 613
11.75%, 6/15/15 1,730 1,592
Republic of Argentina 'L'
7.375%, 3/31/05 448 410
(b)Republic of Argentina Discount Note
7.875%, 3/31/23 400 322
Republic of Argentina Par Bond 'L-GP'
6.00%, 3/31/23 750 510
--------------
3,610
--------------
4,037
--------------
-------------------------------------------------------------------------------
AUSTRALIA (0.4%)
CORPORATE (0.4%)
Murrin Murrin Holdings
Property Ltd.
9.375%, 8/31/07 260 234
--------------
-------------------------------------------------------------------------------
BERMUDA (0.3%)
CORPORATE (0.3%)
RSL Communications, Ltd.
(a)0.00%, 6/15/08 EUR 256 29
9.125%, 3/1/08 U.S.$ 550 110
12.25%, 11/15/06 50 12
--------------
151
--------------
-------------------------------------------------------------------------------
BRAZIL (9.1%)
CORPORATE (0.5%)
(b)Banco Nacional de Desenvolvimento
Economico e Social
12.554%, 6/16/08 U.S.$ 300 U.S.$ 284
--------------
SOVEREIGN (8.6%)
Federative Republic of Brazil
11.625%, 4/15/04 400 414
Federative Republic of Brazil
'C' Bond 'L'
8.00%, 4/15/14 246 189
(b)Federative Republic of Brazil
'Z-L' Bond
6.00%, 4/15/24 300 202
(b)Federative Republic of Brazil
Bond 'EI-L'
7.375%, 4/15/06 233 219
Federative Republic of Brazil
Bond PIK 'C'
8.00%, 4/15/14 1,297 995
(b)Federative Republic of Brazil
Discount Bond
11.00%, 8/17/40 500 398
(b)Federative Republic of Brazil
E-I Euro
7.375%, 4/15/06 279 263
Federative Republic of Brazil
Global Bond
12.25%, 3/6/30 800 728
14.50%, 10/15/09 1,160 1,285
--------------
4,693
--------------
4,977
--------------
-------------------------------------------------------------------------------
BULGARIA (2.0%)
SOVEREIGN (2.0%)
Republic of Bulgaria Front Loaded
Interest Reduction Bond
(b)7.75%, 7/28/24 640 493
(a)3.00%, 7/28/12 500 366
(b)Republic of Bulgaria Past Due
Interest Bond
7.75%, 7/28/11 300 229
--------------
1,088
--------------
-------------------------------------------------------------------------------
CANADA (0.8%)
CORPORATE (0.8%)
(a)GT Group Telecom, Inc.
0.00%, 2/1/10 325 166
(b)Husky Oil Ltd.
8.90%, 8/15/28 275 267
--------------
433
--------------
-------------------------------------------------------------------------------
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COLOMBIA (2.8%)
CORPORATE (0.8%)
(a)Occidente y Caribe 'B'
0.00%, 3/15/04 U.S.$ 550 U.S.$ 399
--------------
SOVEREIGN (2.0%)
Republic of Colombia Global Bond
9.75%, 4/23/09 100 81
11.75%, 2/25/20 1,200 1,019
--------------
1,100
--------------
1,499
--------------
-------------------------------------------------------------------------------
DENMARK (0.8%)
CORPORATE (0.8%)
Callahan Nordrhein-Westfalen
14.00%, 7/15/10 450 448
--------------
-------------------------------------------------------------------------------
ECUADOR (0.3%)
SOVEREIGN (0.3%)
Republic of Ecuador
(a)4.00%, 8/15/30 445 177
12.00%, 11/15/12 18 13
--------------
190
--------------
-------------------------------------------------------------------------------
INDONESIA (0.9%)
CORPORATE (0.9%)
Indah Kiat International Finance 'B'
11.875%, 6/15/02 100 78
Paiton Energy Funding BV
9.34%, 2/15/14 225 47
Tjiwi Kimia International Global Bond
13.25%, 8/1/01 450 382
--------------
507
--------------
-------------------------------------------------------------------------------
IVORY COAST (0.1%)
SOVEREIGN (0.1%)
(a)Republic of Ivory Coast
2.00%, 3/29/18 400 72
--------------
-------------------------------------------------------------------------------
MEXICO (7.3%)
CORPORATE (1.4%)
Grupo Iusacell SA de CV
14.25%, 12/1/06 150 159
Maxcom Telecomunicaciones
SA de CV
13.75%, 4/1/07 150 82
Petroleos Mexicanos
9.50%, 9/15/27 150 155
Sanluis Corp. SA
8.875%, 3/18/08 150 140
TV Azteca 'B'
10.50%, 2/15/07 200 186
--------------
722
--------------
-------------------------------------------------------------------------------
SOVEREIGN (5.9%)
United Mexican States
9.875%, 2/1/10 U.S.$ 150 U.S.$ 160
(b)United Mexican States Discount
Bond 'A'
7.313%, 12/31/19 560 579
(b)United Mexican States Discount
Bond 'B'
7.603%, 12/31/19 250 259
(b)United Mexican States Discount Bond 'C'
7.80%, 12/31/19 100 103
(b)United Mexican States Discount Bond 'D'
7.925%, 12/31/19 850 879
United Mexican States Euro Bond
10.375%, 2/17/09 100 109
United Mexican States Global Bond
11.375%, 9/15/16 250 292
United Mexican States Par Bond 'W-A'
6.25%, 12/31/19 300 268
United Mexican States Par Bond 'W-B'
6.25%, 12/31/19 650 581
--------------
3,230
--------------
3,952
--------------
-------------------------------------------------------------------------------
MOROCCO (0.2%)
SOVEREIGN (0.2%)
(b)Morocco R&C 'A'
7.75%, 1/1/09 118 107
--------------
-------------------------------------------------------------------------------
NETHERLANDS (0.8%)
CORPORATE (0.8%)
Hermes Europe Railtel BV
11.50%, 8/15/07 190 95
Tele1 Europe AB
13.00%, 5/15/09 EUR 175 152
United Pan-Europe
Communications NV
10.875%, 8/1/09 U.S.$ 225 191
--------------
438
--------------
-------------------------------------------------------------------------------
PANAMA (0.9%)
SOVEREIGN (0.9%)
Republic of Panama Global Bond
10.75%, 5/15/20 400 392
(b)Republic of Panama Past Due Interest
Bond PIK
7.75%, 7/17/16 112 89
--------------
481
--------------
-------------------------------------------------------------------------------
PERU (0.5%)
SOVEREIGN (0.5%)
(a)Republic of Peru Front Loaded
Interest Reduction Bond
3.75%, 3/7/17 450 255
--------------
-------------------------------------------------------------------------------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
-------------------------------------------------------------------------------
PHILIPPINES (1.5%)
CORPORATE (0.5%)
Bayan Telecommunications, Inc.
13.50%, 7/15/06 U.S.$ 800 U.S.$ 290
--------------
SOVEREIGN (1.0%)
Republic of Philippines
9.875%, 1/15/19 200 164
10.625%, 3/16/25 450 384
--------------
548
--------------
838
--------------
-------------------------------------------------------------------------------
POLAND (1.0%)
CORPORATE (1.0%)
Netia Holdings II BV
13.50%, 6/15/09 EUR 375 307
PTC International Finance II SA
11.25%, 12/1/09 185 161
11.25%, 12/1/09 U.S.$ 100 98
--------------
566
--------------
-------------------------------------------------------------------------------
QATAR (0.1%)
CORPORATE (0.1%)
RAS Laffan Liquid Natural Gas
8.294%, 3/15/14 60 57
--------------
-------------------------------------------------------------------------------
RUSSIA (5.1%)
SOVEREIGN (5.1%)
Russian Federation
(a)2.25%, 3/31/30 2,531 981
8.25%, 3/31/10 420 278
12.75%, 6/24/28 1,750 1,527
--------------
2,786
--------------
-------------------------------------------------------------------------------
TURKEY (1.9%)
CORPORATE (0.4%)
Cellco Finance NV
15.00%, 8/1/05 220 227
--------------
SOVEREIGN (1.5%)
Turkey Structured Note
12/21/00 800 817
--------------
1,044
--------------
-------------------------------------------------------------------------------
UNITED KINGDOM (2.2%)
CORPORATE (2.2%)
British Sky Broadcasting Group plc
8.20%, 7/15/09 225 212
Colt Telecommunications Group plc
7.625%, 7/31/08 EUR 205 163
(a)Dolphin Telecommunications plc
0.00%, 6/1/08 190 32
0.00%, 5/15/09 U.S.$ 275 55
Espirit Telecommunications Group plc
11.00%, 6/15/08 EUR 233 93
HMV Media Group plc
10.875%, 5/15/08 GBP 125 U.S.$ 117
(a)Telewest Communications Corp.,
Senior Discount Notes
0.00%, 4/15/09 625 494
--------------
1,166
--------------
-------------------------------------------------------------------------------
UNITED STATES (42.0%)
ASSET BACKED SECURITIES (2.2%)
Aircraft Lease Portfolio
Securitization Ltd. 1996-1 P1D
12.75%, 6/15/06 U.S.$ 322 306
CA FM Lease Trust
8.50%, 7/15/17 222 208
CFS 1997-5 'A1'
7.72%, 6/15/05 248 50
DR Securitized Lease Trust
6.66%, 8/15/10 73 55
7.60%, 8/15/07 365 310
First Home Mortgage Acceptance Corp.
7.929%, 11/1/18 243 68
Jet Equipment Trust 'C1'
11.79%, 6/15/13 175 197
--------------
1,194
--------------
CORPORATE (39.8%)
Actuant Corp.
13.00%, 5/1/09 150 153
Adelphia Communications Corp. 'B'
7.75%, 1/15/09 800 667
8.375%, 2/1/08 160 138
9.875%, 3/1/07 175 165
Anthem Insurance Co., Inc.
9.125%, 4/1/10 215 201
Centennial Cellular
10.75%, 12/15/08 475 464
Centex Corp.
9.75%, 6/15/05 150 155
Chancellor Media Corp.
9.00%, 10/1/08 125 138
Chancellor Media Corp. 'B'
8.125%, 12/15/07 315 318
Charter Communications
10.25%, 1/15/10 570 558
CSC Holdings, Inc.
9.875%, 5/15/06 275 281
D.R. Horton, Inc.
8.00%, 2/1/09 175 161
Echostar DBS Corp.
9.375%, 2/1/09 625 612
EES Coke Battery Co., Inc.
9.382%, 4/15/07 100 88
-------------------------------------------------------------------------------
</TABLE>
7
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
CORPORATE (CONTINUED)
Exodus Communications, Inc.
11.625%, 7/15/10 U.S.$ 300 U.S.$ 301
Focal Communications Corp., Series B
11.875%, 1/15/10 300 228
Global Crossing Holding Ltd.
9.625%, 5/15/08 1,000 1,000
Globalstar LP
11.375%, 2/15/04 150 45
11.50%, 6/1/05 30 9
Globix Corp.
12.50%, 2/1/10 125 89
Hayes Lemmerz International, Inc.
8.25%, 12/15/08 530 429
9.125%, 7/15/07 175 150
HCA- The Healthcare Co.
6.91%, 6/15/05 410 388
7.58%, 9/15/25 130 109
7.69%, 6/15/25 220 188
8.75%, 9/1/10 200 203
Hilton Hotels
7.95%, 4/15/07 185 180
HMH Properties 'A'
7.875%, 8/1/05 185 174
Horseshoe Gaming Holding
8.625%, 5/15/09 895 877
Huntsman ICI Chemicals
10.125%, 7/1/09 EUR 225 195
10.125%, 7/1/09 U.S.$ 225 221
(a)Intermedia Communications, Inc. 'B'
0.00%, 7/15/07 375 311
International Game Technology
8.375%, 5/15/09 570 557
Lennar Corp.
9.95%, 5/1/10 200 206
Level 3 Communications, Inc.
9.125%, 5/1/08 975 843
Lyondell Chemical Co.
9.625%, 5/1/07 280 273
Motient Corp.
12.25%, 4/1/08 180 130
Musicland Group, Inc.
9.00%, 6/15/03 300 279
Musicland Group, Inc. 'B'
9.875%, 3/15/08 175 147
National Steel Corp. 'D'
9.875%, 3/1/09 490 289
(a)Nextel Communications, Inc.
0.00%, 9/15/07 1,525 1,250
0.00%, 2/15/08 300 230
NEXTLINK Communications, Inc.
(a)0.00%, 4/15/08 720 421
10.75%, 11/15/08 470 435
(a)NTL, Inc. 'B'
0.00%, 4/1/08 GBP 675 U.S.$ 599
Nuevo Energy Co.
9.375%, 10/1/10 U.S.$ 155 154
Onepoint Communications Corp. 'B'
14.50%, 6/1/08 145 145
Park Place Entertainment
7.875%, 12/15/05 720 694
Primus Telecommunications Group, Inc.
11.25%, 1/5/09 245 125
12.75%, 10/15/09 75 39
Primus Telecommunications Group, Inc.
'B'
9.875%, 5/15/08 145 72
PSINet, Inc. 'B'
10.00%, 2/15/05 810 526
(a)RCN Corp. 'B'
0.00%, 10/15/07 915 485
0.00%, 2/15/08 225 108
Rhythms NetConnections, Inc. 'B'
(a)0.00%, 5/15/08 675 257
14.00%, 2/15/10 75 50
Station Casinos, Inc.
8.875%, 12/1/08 425 410
9.75%, 4/15/07 250 249
10.125%, 3/15/06 205 205
Tenet Healthcare Corp.
8.125%, 12/1/08 335 321
8.625%, 1/15/07 405 401
TNP Enterprises, Inc.
14.50%, 4/1/11 22 222
(a)Viatel, Inc.
0.00%, 4/15/08 380 95
Vintage Petroleum, Inc.
8.625%, 2/1/09 150 149
9.75%, 6/30/09 275 286
(a)WAM! Net Inc. 'B'
0.00%, 3/1/05 365 164
Waste Management, Inc.
6.875%, 5/15/09 35 32
7.00%, 10/15/06 125 117
7.125%, 10/1/07 565 530
7.125%, 12/15/17 40 34
7.65%, 3/15/11 50 47
(a)Winstar Communications
0.00%, 4/15/10 2,325 744
XM Satellite Radio Holdings, Inc.
14.00%, 3/15/10 175 123
--------------
21,639
--------------
22,833
--------------
-------------------------------------------------------------------------------
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
VENEZUELA (2.0%)
SOVEREIGN (2.0%)
Republic of Venezuela Debt
Conversion Bond 'DL'
7.00%, 12/18/07 U.S.$ 357 U.S.$ 306
(b)Republic of Venezuela Global Bond
7.875%, 9/15/27 850 577
Republic of Venezuela Par Bond
6.75%, 3/31/20 250 187
--------------
1,070
--------------
--------------------------------------------------------------------------------
TOTAL DEBT INSTRUMENTS
(Cost U.S.$53,735) 49,478
--------------
--------------------------------------------------------------------------------
SHARES
--------------------------------------------------------------------------------
COMMON STOCKS (0.1%)
SWEDEN
Tele1 Europe Holding AB ADR
(Cost U.S.$--@) 3,288 30
--------------
--------------------------------------------------------------------------------
PREFERRED STOCK (1.5%)
UNITED STATES
Broadwing Communications
Corp., Series B, 12.50% 194 198
Concentric Network Corp. 'B',
PIK 13.50% 1,263 109
Dobson Communications Corp.
PIK 13.00% 2,170 207
Kmart Financing, 7.75% 3,500 109
Paxson Communications Corp.,
PIK 13.25% 1,819 177
--------------
--------------------------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost U.S.$766) 800
--------------
--------------------------------------------------------------------------------
NO. OF
WARRANTS
--------------------------------------------------------------------------------
WARRANTS (0.1%)
--------------------------------------------------------------------------------
CANADA (0.0%)
GT Group Telecom, Inc.,
expiring 2/1/10 325 2
--------------
--------------------------------------------------------------------------------
COLOMBIA (0.0%)
Occidente y Caribe,
expiring 3/15/04 21,790 8
--------------
--------------------------------------------------------------------------------
NO. OF VALUE
WARRANTS (000)
--------------------------------------------------------------------------------
MEXICO (0.0%)
Maxcom Telecomunicaciones SA de CV,
expiring 04/01/07 150 U.S.$ -- @
--------------
--------------------------------------------------------------------------------
UNITED STATES (0.1%)
Motient Corp.,
expiring 4/1/08 1,800 5
Onepoint Communications Corp.,
expiring 6/1/08 1,450 12
WAM! Net., Inc.,
expiring 3/1/05 6,000 7
XM Satellite Radio Holdings, Inc.,
expiring 03/15/10 175 26
--------------
50
--------------
--------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost U.S.$14) 60
--------------
--------------------------------------------------------------------------------
FACE
AMOUNT
(000)
--------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (7.4%)
--------------------------------------------------------------------------------
ARGENTINA (1.6%)
REPURCHASE AGREEMENT
Republic of Argentina, 6.15%,
dated 9/14/00, due 10/16/00,
collateralized by U.S.$1,000
Republic of Argentina Global
Bond, 11.375%, due 1/30/17,
valued at U.S.$899 U.S.$ 1,000 893
--------------
--------------------------------------------------------------------------------
UNITED STATES (5.8%)
BILLS
U.S. Treasury Bill
12/14/00 100 99
REPURCHASE AGREEMENT
(c)Chase Securities, Inc., 6.25%,
dated 9/29/00, due 10/02/00 3,064 3,064
--------------
3,163
--------------
--------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost U.S.$4,057) 4,056
--------------
-------------------------------------------------------------------------------
9
<PAGE>
-------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(Cost U.S.$58,572) U.S.$ 54,424
--------------
OTHER ASSETS AND LIABILITIES
Other Assets 6,184
Liabilities (18,873) (12,689)
-------------- --------------
--------------------------------------------------------------------------------
NET ASSETS
Applicable to 4,180,704 issued and
outstanding U.S.$0.01 par value shares
(100,000,000 shares authorized) U.S.$ 41,735
==============
--------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE U.S.$ 9.98
==============
--------------------------------------------------------------------------------
</TABLE>
(a) -- Step Bond -- coupon rate increases in increments to maturity. Rate
disclosed is as of September 30, 2000. Maturity date disclosed is the
ultimate maturity.
(b) -- Variable/floating rate security -- rate disclosed is as of September
30, 2000.
(c) -- The repurchase agreement is fully collateralized by U.S. government
and/or agency obligations based on market prices at the date of this
schedule of investments. The investment in the repurchase agreement is
through participation in a joint account with affiliated funds.
@ -- Value is less than U.S.$500.
ADR -- American Depositary Receipt
PIK -- Payment-in-Kind. Income may be paid in additional securities or cash
at the discretion of the issuer.
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
--------------------------------------------------------------------------------
<S> <C> <C>
SECURITIES SOLD SHORT
ARGENTINA BOND
Republic of Argentina
Global Bond
11.375%, 1/30/17
(Total Proceeds U.S.$882) U.S.$1,000 U.S.$ 899
--------------
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SEPTEMBER 30, 2000 EXCHANGE RATES:
--------------------------------------------------------------------------------
EUR Euro 1.132 = U.S. $1.00
GBP British Pound 0.676 = U.S. $1.00
-------------------------------------------------------------------------------
</TABLE>
10
