<PAGE>
------------------------------
MORGAN STANLEY
DEAN WITTER
GLOBAL OPPORTUNITY
BOND FUND, INC.
------------------------------
FIRST QUARTER REPORT
MARCH 31, 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
Peter J. Chase
DIRECTOR
John W. Croghan
DIRECTOR
Graham E. Jones
DIRECTOR
John A. Levin
DIRECTOR
William G. Morton, Jr.
DIRECTOR
Stefanie V. Chang
VICE PRESIDENT
Joseph P. Stadler
VICE PRESIDENT
Mary E. Mullin
SECRETARY
Belinda A. Brady
TREASURER
Robin L. Conkey
ASSISTANT TREASURER
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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
Rogers & Wells LLP
200 Park Avenue
New York, New York 10166
-------------------------------------------------------------------------------
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers 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 or visit our website at
www.msdw.com/institutional/investmentmanagement.
<PAGE>
LETTER TO SHAREHOLDERS
---------
For the three months ended March 31, 2000, the Morgan Stanley Dean Witter Global
Opportunity Bond Fund, Inc. (the "Fund") had a total return, based on net asset
value per share, of 4.53% compared to 2.62% for the Emerging Markets Bond/High
Yield blended benchmark (the "EMBHY benchmark"), and 1.94% for the
Latin/Emerging Markets Bond/High Yield blended benchmark (the "LEMBHY
benchmark"). For the period from the Fund's commencement of operations on May
27, 1994 through March 31, 2000, the Fund's total return, based on net asset
value per share, was 74.87% compared to 86.66% for the EMBHY benchmark and
80.26% for the LEMBHY benchmark. The Fund formerly used as its benchmark, for
purposes of comparing its performance, the LEMBHY benchmark which is 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. Since
January 1, 2000, the Fund uses as its benchmark the EMBHY benchmark, 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 March 31, 2000, the Fund's
investments in debt instruments were comprised of 68% emerging markets debt
securities and 32% 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. Commencing with this report, the
Fund's performance will be compared to the EMBHY benchmark as the country
weightings represented by this benchmark are more representative of the Fund's
portfolio.
On March 31, 2000, the closing price of the Fund's shares on the New York Stock
Exchange was $8 13/16, representing a 17.8% discount to the Fund's net asset
value per share.
Global high yield bonds went in opposite directions in the first quarter of
2000. The U.S. high yield market did poorly as stock market volatility and the
announced treasury bond buybacks caused investors to buy treasuries at the
expense of all spread products. Furthermore, there continues to be large
outflows from high yield mutual funds as individual investors continue to invest
heavily in high-tech equity funds. On the other hand, emerging markets debt
posted a great first quarter with strong returns and was the best performing
fixed income asset class during this period.
Higher exposure than the benchmark to emerging markets debt had the largest
positive impact on our results. Our positions in Mexico, Brazil and Russia added
to performance as these countries all had strong returns and Mexico was upgraded
to investment grade by Moody's. Very good security selection within Russia added
to returns as this was the best performing country within emerging markets debt.
In the U.S., our larger allocation to telecommunications added to results as
this sector performed well early in the first quarter. An underweight allocation
to the energy sector in high yield detracted from returns as this sector
continued to do well due to high oil prices.
The U.S. high yield market is trading at spread levels only surpassed during the
Russian crisis in 1998 and during the last U.S. recession in the early 1990s.
Because of this we have slightly increased our exposure to U.S. high yield and
lowered emerging markets debt. The global economies continue to expand with
modest-to-low inflation which we hope will position the Fund for strong returns
in the year ahead.
Sincerely,
/s/ Harold J. Schaaff, Jr.
Harold J. Schaaff, Jr.*
PRESIDENT AND DIRECTOR
April 2000
THE INFORMATION CONTAINED IN THIS OVERVIEW REGARDING SPECIFIC SECURITIES IS FOR
INFORMATIONAL PURPOSES ONLY AND SHOULD NOT BE CONSTRUED AS A RECOMMENDATION TO
PURCHASE OR SELL THE SECURITIES MENTIONED.
-------------------------------------------------------------------------------
DAILY NET ASSET AND MARKET VALUES, AS WELL AS MONTHLY PORTFOLIO INFORMATION FOR
THE FUND, ARE AVAILABLE ON OUR WEBSITE AT
www.msdw.com/institutional/investmentmanagement.
* HAROLD J. SCHAAFF, JR. WAS ELECTED PRESIDENT AND DIRECTOR OF THE FUND ON MARCH
20, 2000. MR. SCHAAFF JOINED MORGAN STANLEY DEAN WITTER IN 1989 AND IS A
MANAGING DIRECTOR OF MORGAN STANLEY & CO. INCORPORATED AND MORGAN STANLEY DEAN
WITTER INVESTMENT MANAGEMENT INC. HE FORMERLY SERVED AS GENERAL COUNSEL AND
SECRETARY OF MORGAN STANLEY DEAN WITTER INVESTMENT MANAGEMENT INC.
2
<PAGE>
Morgan Stanley Dean Witter Global Opportunity Bond Fund, Inc.
Investment Summary as of March 31, 2000 (Unaudited)
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
<TABLE>
<CAPTION>
HISTORICAL TOTAL RETURN (%)
INFORMATION ---------------------------------------------------------------------
MARKET VALUE (1) NET ASSET VALUE (2) INDEX (3)
-------------------- -------------------- ----------------------
AVERAGE AVERAGE AVERAGE
CUMULATIVE ANNUAL CUMULATIVE ANNUAL CUMULATIVE ANNUAL
---------- ------- ---------- ------- ---------- --------
<S> <C> <C> <C> <C> <C> <C>
Fiscal Year to Date 8.35% -- 4.53% -- 2.62% --
One Year 9.87 9.87% 22.24 22.24% 12.50 12.50%
Five Year 61.92 10.12 102.74 15.18 94.35 14.21
Since Inception* 43.75 6.41 74.87 10.04 86.66 11.27
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
-------------------------------------------------------------------------------
RETURNS AND PER SHARE INFORMATION:
[GRAPH]
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31, THREE MONTHS
ENDED
MARCH 31,
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 $10.72
Market Value Per Share .......... $12.50 $12.50 $14.63 $13.13 $8.31 $8.38 $8.81
Premium/(Discount) .............. 2.0% -3.8% -1.5% -4.4% -13.8% -20.6% -17.8%
Income Dividends ................ $0.91 $1.59 $1.49 $1.30 $1.18 $1.05 $0.26
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% 4.53%
EMBHY Index Total Return (3) .... -0.85% 22.16% 23.50% 12.52% -4.74% 13.44% 2.62%
LEMBHY Index Total Return (4) ... -0.46% 22.37% 25.36% 12.56% -3.19% 12.41% 1.94%
</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 now 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 March 31, 2000, the Fund's investment in debt instruments was
comprised of 68% emerging markets debt securities and 32% U.S. high yield
securities. Commencing with this report, 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 March 31, 2000 (Unaudited)
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
DIVERSIFICATION OF TOTAL INVESTMENTS
[CHART]
<TABLE>
<S> <C>
Debt Securities (97.5%)
Equity Securities (1.7%)
Short-Term Investments (0.8%)
</TABLE>
-------------------------------------------------------------------------------
COUNTRY WEIGHTINGS
[CHART]
<TABLE>
<S> <C>
United States (32.3%)
Argentina (12.5%)
Mexico (10.9%)
Brazil (10.0%)
Russia (7.5%)
Philippines (4.2%)
Peru (3.3%)
United Kingdom (2.8%)
Colombia (2.6%)
Venezuela (1.9%)
Other (12.0%)
</TABLE>
-------------------------------------------------------------------------------
TEN LARGEST HOLDINGS*
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-----------
<S> <C>
1. Russia Principal Note PIK
6.906%, 12/15/20 (Russia) 4.5%
2. Republic of Argentina Par Bond 'L-GP'
6.00%, 3/31/23 (Argentina) 3.8
3. Republic of Argentina
11.75%, 4/07/09 (Argentina) 2.8
4. United Mexican States Discount Bond 'D'
6.903%, 12/31/19 (Mexico) 2.7
5. Republic of Argentina 'L'
7.375%, 3/31/05 (Argentina) 2.7
6. Republic of Peru Front Loaded Interest
Reduction Bond
3.75%, 3/7/17 (Peru) 2.5
7. Federative Republic of Brazil Global Bond
14.50%, 10/15/09 (Brazil) 2.4
8. Federative Republic of Brazil 'EI-L' Bond
6.938%, 4/15/06 (Brazil) 2.3
9. Level 3 Communications, Inc.
9.125%, 5/1/08 (United States) 1.9
10. United Mexican States Private Placement Bond
7.50%, 3/8/10 (Mexico) 1.8
----
27.4%
----
----
</TABLE>
* Excludes short-term investments.
4
<PAGE>
FINANCIAL STATEMENTS
---------
STATEMENT OF NET ASSETS (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS)
---------
MARCH 31, 2000
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
DEBT INSTRUMENTS (97.5%)
-------------------------------------------------------------------------------
ARGENTINA (12.5%)
CORPORATE (1.9%)
(c)Cablevision S.A.
13.75%, 5/1/09 U.S.$ 100 U.S.$ 99
CIA International Telecom
(c)10.375%, 8/1/04 ARP 300 272
10.375%, 8/1/04 100 91
(b)CTI Holdings S.A.
0.00%, 4/15/08 U.S.$ 225 146
(c)Multicanal S.A.
13.125%, 4/15/09 190 201
---------------
809
---------------
SOVEREIGN (10.6%)
Republic of Argentina
11.75%, 4/7/09 1,250 1,235
12.00%, 2/1/20 600 607
(a)Republic of Argentina 'L'
7.375%, 3/31/05 1,241 1,162
Republic of Argentina Par
Bond 'L-GP'
6.00%, 3/31/23 2,350 1,650
---------------
4,654
---------------
5,463
---------------
-------------------------------------------------------------------------------
AUSTRALIA (0.3%)
CORPORATE (0.3%)
Murrin Murrin Holdings Property Ltd.
9.375%, 8/31/07 160 141
---------------
-------------------------------------------------------------------------------
BRAZIL (10.0%)
SOVEREIGN (10.0%)
Federative Republic of Brazil
'C' Bond
8.00%, 4/15/14 243 182
Federative Republic of Brazil
'C' Bond PIK
8.00%, 4/15/14 792 596
Federative Republic of Brazil
'EI-L' Bond
6.938%, 4/15/06 1,128 1,026
(a)Federative Republic of Brazil
Debt Conversion Bond
7.00%, 4/15/12 260 198
(a)Federative Republic of Brazil
Debt Conversion Bond 'L'
7.00%, 4/15/12 430 327
Federative Republic of Brazil
Global Bond
12.25%, 3/6/30 300 290
12.75%, 1/15/20 400 396
14.50%, 10/15/09 960 1,047
-------------------------------------------------------------------------------
(a)Federative Republic of Brazil
New Money 'L' Bond
7.00%, 4/15/09 U.S.$ 360 U.S.$ 305
(a)Federative Republic of Brazil
New Money Bond
7.00%, 4/15/09 30 26
---------------
4,393
---------------
-------------------------------------------------------------------------------
BULGARIA (1.4%)
SOVEREIGN (1.4%)
(a)Republic of Bulgaria Front Loaded
Interest Reduction Bond
7.063%, 7/28/24 740 601
---------------
-------------------------------------------------------------------------------
CHILE (0.8%)
CORPORATE (0.8%)
(c)Embotelladora Africa S.A. 'A'
9.875%, 3/15/06 325 340
---------------
-------------------------------------------------------------------------------
COLOMBIA (2.5%)
CORPORATE (0.7%)
(b,c)Occidente y Caribe
0.00%, 3/15/04 550 330
---------------
SOVEREIGN (1.8%)
Republic of Colombia Global Bond
9.75%, 4/23/09 100 89
11.75%, 2/25/20 700 679
---------------
768
---------------
1,098
---------------
-------------------------------------------------------------------------------
ECUADOR (0.5%)
SOVEREIGN (0.5%)
(a)Republic of Ecuador Discount Bond
6.75%, 2/28/25 510 213
---------------
-------------------------------------------------------------------------------
GERMANY (0.2%)
CORPORATE (0.2%)
(c)Sirona Dental Systems
9.125%, 7/15/08 89 67
---------------
-------------------------------------------------------------------------------
INDONESIA (1.1%)
CORPORATE (1.1%)
Indah Kiat International
Finance 'B'
11.875%, 6/15/02 U.S.$ 100 87
Tjiwi Kimia International
Global Bond
13.25%, 8/1/01 450 405
---------------
492
---------------
-------------------------------------------------------------------------------
5
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
IVORY COAST (0.3%)
SOVEREIGN (0.3%)
Ivory Coast
2.00%, 3/29/18 U.S.$ 800 U.S.$ 144
---------------
-------------------------------------------------------------------------------
JORDAN (0.3%)
SOVEREIGN (0.3%)
(a)Jordan Discount Bond
7.00%, 12/23/23 155 126
---------------
-------------------------------------------------------------------------------
MEXICO (10.9%)
CORPORATE (2.3%)
Grupo Elektra S.A.
12.00%, 4/1/08 100 96
Maxcom Corp.
13.75%, 4/1/07 150 153
(c)Nuevo Grupo Iusacell S.A.
14.25%, 12/1/06 150 162
(c)Sanluis Corp. S.A.
8.875%, 3/18/08 350 323
(c)TV Azteca 'B'
10.50%, 2/15/07 300 284
---------------
1,018
---------------
SOVEREIGN (8.6%)
(a)United Mexican States
Discount Bond 'A'
6.116%, 12/31/19 260 256
(a)United Mexican States
Discount Bond 'B'
5.875%, 12/31/19 250 247
(a)United Mexican States
Discount Bond 'C'
6.836%, 12/31/19 100 99
(a)United Mexican States
Discount Bond 'D'
6.903%, 12/31/19 1,200 1,185
United Mexican States
Euro Bond
10.375%, 2/17/09 250 270
United Mexican States
Global Bond
11.375%, 9/15/16 575 685
United Mexican States Par
Bond 'W-B'
6.25%, 12/31/19 900 768
United Mexican States
Private Placement Bond
7.50%, 3/8/10 EUR 250 243
---------------
3,753
---------------
4,771
---------------
-------------------------------------------------------------------------------
MOROCCO (0.5%)
SOVEREIGN (0.5%)
(a)Morocco R&C 'A'
6.844%, 1/1/09 U.S.$ 237 U.S.$ 214
---------------
-------------------------------------------------------------------------------
NETHERLANDS (1.6%)
CORPORATE (1.6%)
Hermes Europe Railtel B.V.
11.50%, 8/15/07 190 179
Tele1
13.00%, 5/15/09 EUR 175 178
(c)United Pan-Europe
Communications NV
10.875%, 8/1/09 U.S.$ 350 329
---------------
686
---------------
-------------------------------------------------------------------------------
PANAMA (0.5%)
SOVEREIGN (0.5%)
Republic of Panama Global Bond
8.875%, 9/30/27 150 132
(a)Republic of Panama Past Due
Interest Bond PIK
7.063%, 7/17/16 109 93
---------------
225
---------------
--------------------------------------------------------------------------------
PERU (3.3%)
SOVEREIGN (3.3%)
(b)Republic of Peru Front Loaded
Interest Reduction Bond
3.75%, 3/7/17 1,900 1,178
(b)Republic of Peru Past Due
Interest Bond
4.50%, 3/7/17 370 247
---------------
1,425
---------------
-------------------------------------------------------------------------------
PHILIPPINES (4.2%)
CORPORATE (2.1%)
(c)Bayan Telecommunications
13.50%, 7/15/06 800 690
(c)Globe Telecom
13.00%, 8/1/09 200 219
---------------
909
---------------
SOVEREIGN (2.1%)
Republic of Philippines
9.875%, 1/15/19 300 274
10.625%, 3/16/25 700 669
---------------
943
---------------
1,852
---------------
-------------------------------------------------------------------------------
6
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
POLAND (1.5%)
CORPORATE (1.5%)
Netia Holdings II B.V.
13.50%, 6/15/09 EUR 375 U.S.$ 374
PTC International
Finance II S.A.
11.25%, 12/1/09 185 182
(c)11.25%, 12/1/09 U.S.$ 100 102
---------------
658
---------------
-------------------------------------------------------------------------------
RUSSIA (7.5%)
SOVEREIGN (7.5%)
Russia Federation
10.00%, 6/26/07 900 670
(a)Russia Interest Arrears Notes
6.906%, 12/15/15 350 104
(a)Russia Principal Note PIK
6.906%, 12/15/20 6,835 1,989
Russian Federation
12.75%, 6/24/28 600 511
---------------
3,274
---------------
-------------------------------------------------------------------------------
SOUTH AFRICA (0.6%)
SOVEREIGN (0.6%)
Republic of South Africa
13.00%, 8/31/10 ZAR 1,700 245
---------------
-------------------------------------------------------------------------------
SOUTH KOREA (1.0%)
SOVEREIGN (1.0%)
Korea Monetary Stab Bond
Zero Coupon, 7/31/00 U.S.$ 500,000 442
---------------
-------------------------------------------------------------------------------
TURKEY (0.5%)
CORPORATE (0.5%)
(c)Cellco Finance NV
15.00%, 8/1/05 220 234
---------------
-------------------------------------------------------------------------------
UNITED KINGDOM (2.8%)
CORPORATE (2.8%)
Colt Telecommunications
Group plc
7.625%, 7/31/08 EUR 205 188
(b)Dolphin Telecommunication plc
0.00%, 6/1/08 190 72
0.00%, 5/15/09 U.S.$ 275 106
(b)Esprit Telecommunications
Group plc
11.00%, 6/15/08 EUR 233 206
(c)HMV Media Group plc
10.875%, 5/15/08 GBP 125 161
RSL Communications plc
(b)0.00%, 6/15/08 EUR 256 136
9.125%, 3/1/08 U.S.$ 450 357
---------------
1,226
---------------
-------------------------------------------------------------------------------
UNITED STATES (30.8%)
ASSET BACKED SECURITIES (3.0%)
(c)Aircraft Lease Portfolio
Securitization Ltd.
1996-1 P1D
12.75%, 6/15/06 U.S.$ 322 U.S.$ 322
(c)CA FM Lease Trust
8.50%, 7/15/17 226 214
(c)CFS 1997-5 'A1'
7.72%, 6/15/05 248 62
DR Securitized Lease Trust
6.66%, 8/15/10 75 64
7.60%, 8/15/07 384 356
First Home Mortgage
Acceptance Corp.
7.929%, 11/1/18 243 85
Jet Equipment Trust 'C1'
11.79%, 6/15/13 175 203
---------------
1,306
---------------
CORPORATE (27.8%)
Adelphia Communications
Corp. 'B'
(c)7.50%, 1/15/04 55 50
7.75%, 1/15/09 150 128
(c)8.375%, 2/1/08 160 142
(c)9.875%, 3/1/07 150 146
AMSC Acquisition Co., Inc. 'B'
12.25%, 4/1/08 180 140
Chancellor Media Corp. 'B'
8.125%, 12/15/07 315 310
Charter Communications
10.25%, 1/15/10 285 275
Columbia/HCA Healthcare Corp.
6.91%, 6/15/05 295 268
7.58%, 9/15/25 130 107
7.69%, 6/15/25 350 291
D.R. Horton, Inc.
8.00%, 2/1/09 150 124
(c)Echostar DBS Corp.
9.375%, 2/1/09 190 184
(c)EES Coke Battery Co., Inc.
9.382%, 4/15/07 100 95
Global Crossing Holdings Ltd.
9.625%, 5/15/08 550 531
Globalstar LP
11.375%, 2/15/04 150 53
11.50%, 6/1/05 30 10
Globix Corp.
12.50%, 2/1/10 125 115
(b)GT Group Telecom
0.00%, 2/1/10 165 91
(c)Hayes Lemmerz
International, Inc.
8.25%, 12/15/08 420 354
-------------------------------------------------------------------------------
7
<PAGE>
<CAPTION>
FACE
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
Hilton Hotels
7.95%, 4/15/07 U.S.$ 185 U.S.$ 171
HMH Properties 'A'
7.875%, 8/1/05 255 226
(c)Horseshoe Gaming
Holdings
8.625%, 5/15/09 210 192
(c)Huntsman ICI Chemicals
10.125%, 7/1/09 EUR 225 208
10.125%, 7/1/09 U.S.$ 225 217
(b)Intermedia
Communications, Inc. 'B'
0.00%, 7/15/07 625 487
(c)Iridium LLC/Capital Corp.
13.00%, 7/15/05 155 3
Level 3 Communications, Inc.
9.125%, 5/1/08 975 843
Long Beach Auto 1997-1, 'B'
14.22%, 10/26/03 59 58
Lyondell Chemical Co.
9.625%, 5/1/07 145 138
Musicland Group, Inc.
9.00%, 6/15/03 100 87
Musicland Group, Inc. 'B'
9.875%, 3/15/08 175 144
National Steel Corp. 'D'
9.875%, 3/1/09 225 220
(b)Nextel Communications, Inc.
0.00%, 9/15/07 1,050 766
0.00%, 2/15/08 300 204
(b)NEXTLINK Communications, Inc.
0.00%, 4/15/08 720 432
(c)NSM Steel, Inc.
12.25%, 2/1/08 100 -- @
(b)NTL, Inc. 'B'
0.00%, 4/1/08 GBP 330 347
(c)Onepoint Communications
Corp. 'B'
14.50%, 6/1/08 U.S.$ 145 94
(c)Paiton Energy Funding BV
9.34%, 2/15/14 225 46
Park Place Entertainment
7.875%, 12/15/05 85 78
Primus Telecommunications
Group, Inc.
11.25%, 1/5/09 100 92
(c)Primus Telecommunications
Group, Inc. 'B'
9.875%, 5/15/08 145 127
(c)PSINet, Inc.
11.00%, 8/1/09 350 341
(c)PSINet, Inc. 'B'
10.00%, 2/15/05 U.S.$ 110 U.S.$ 105
(c)RAS Laffan Liquid Natural Gas
8.294%, 3/15/14 60 58
(b)RCN Corp. 'B'
0.00%, 10/15/07 275 176
0.00%, 2/15/08 225 134
(b)Rhythms NetConnections 'B'
0.00%, 5/15/08 400 196
Snyder Oil Corp.
8.75%, 6/15/07 200 194
(c)Station Casinos, Inc.
8.875%, 12/1/08 150 140
10.125%, 3/15/06 205 206
Tenet Healthcare Corp.
8.625%, 1/15/07 405 383
(b)Viatel, Inc.
0.00%, 4/15/08 380 220
Vintage Petroleum
8.625%, 2/1/09 150 141
(b)WAM! Net Inc. 'B'
0.00%, 3/1/05 365 204
(c)Waste Management, Inc.
6.875%, 5/15/09 35 29
7.00%, 10/15/06 125 110
7.125%, 10/1/07 315 275
7.125%, 12/15/17 40 32
7.65%, 3/15/11 50 44
(b)Winstar Communications Inc.
0.00%, 4/15/10 1,030 480
XM Satellite Radio
Holdings Inc.
14.00%, 3/15/10 100 96
---------------
12,158
---------------
13,464
---------------
-------------------------------------------------------------------------------
VENEZUELA (1.9%)
SOVEREIGN (1.9%)
Republic of Venezuela Debt
Conversion Bond 'DL'
7.00%, 12/18/07 381 307
Republic of Venezuela
Global Bond
9.25%, 9/15/27 800 529
---------------
836
---------------
-------------------------------------------------------------------------------
TOTAL DEBT INSTRUMENTS
(Cost U.S.$42,952) 42,630
---------------
-------------------------------------------------------------------------------
8
<PAGE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (0.1%)
-------------------------------------------------------------------------------
SWEDEN
Tele1 (Cost U.S.$--@) 3,288 U.S.$ 63
---------------
-------------------------------------------------------------------------------
PREFERRED STOCK (1.5%)
-------------------------------------------------------------------------------
UNITED STATES
Concentric Network Corp.
'B', 13.50% 1,222 125
Dobson Communications Corp. 1,050 111
IXC Communications, Inc.
'B', 12.50% 129 137
Kmart Financing, 7.75% 2,000 86
Paxson Communications
Corp., 13.25% 1,706 173
---------------
-------------------------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost U.S.$544) 632
---------------
-------------------------------------------------------------------------------
NO. OF
RIGHTS
-------------------------------------------------------------------------------
RIGHTS (0.0%)
-------------------------------------------------------------------------------
MEXICO (0.0%)
United Mexican States
(Cost U.S.$--@) 2,784,000 -- @
-------------------------------------------------------------------------------
NO. OF
WARRANTS
-------------------------------------------------------------------------------
WARRANTS (0.1%)
-------------------------------------------------------------------------------
COLOMBIA (0.1%)
Occidente y Caribe,
expiring 3/15/04 21,790 33
---------------
-------------------------------------------------------------------------------
UNITED STATES (0.0%)
American Mobile Satellite
Corp., expiring 4/1/08 1,800 10
NSM Steel, Inc.,
expiring 2/1/08 633,090 1
Onepoint Communications
Corp., expiring 6/1/08 1,450 -- @
WAM! Net., Inc.,
expiring 3/1/05 6,000 7
---------------
18
---------------
-------------------------------------------------------------------------------
TOTAL WARRANTS
(Cost U.S.$14) 51
---------------
-------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS (0.8%)
-------------------------------------------------------------------------------
TURKEY (0.6%)
BILLS
Turkey Treasury Bill
8/23/00 TRL 182,000,000 U.S.$ 253
---------------
-------------------------------------------------------------------------------
UNITED STATES (0.2%)
BILLS
U.S. Treasury Bill
4/27/00 U.S.$ 100 100
---------------
-------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost U.S.$371) 353
---------------
-------------------------------------------------------------------------------
TOTAL INVESTMENTS (100.0%)
(Cost U.S.$43,881) 43,729
---------------
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES
Other Assets 10,313
Liabilities (9,213) 1,100
---------------- ---------------
-------------------------------------------------------------------------------
NET ASSETS
Applicable to 4,180,704 issued and
outstanding U.S.$0.01 par value shares
(100,000,000 shares authorized) U.S.$ 44,829
---------------
-------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE U.S.$ 10.72
---------------
-------------------------------------------------------------------------------
</TABLE>
(a) -- Variable/floating rate security -- rate disclosed is as of
March 31, 2000.
(b) -- Step Bond -- coupon rate increases in increments to maturity. Rate
disclosed is as of March 31, 2000. Maturity date disclosed is ultimate
maturity.
(c) -- 144A Security -- certain conditions for public sale may exist.
@ -- Value is less than U.S.$500.
PIK -- Payment-in-Kind. Income may be paid in additional securities or cash.
9
