<PAGE>
------------------------------------------------
THE BRINSON RELATIONSHIP FUNDS
BRINSON GLOBAL SECURITIES FUND
BRINSON POST-VENTURE FUND
BRINSON HIGH YIELD FUND
BRINSON EMERGING MARKETS EQUITY FUND
BRINSON EMERGING MARKETS DEBT FUND
SEMI-ANNUAL REPORT
JUNE 30, 1996
GLOBAL INSTITUTIONAL ASSET MANAGEMENT
------------------------------------------------
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
Page
<S> <C>
Brinson Global Securities Fund........................................... 1
Schedule of Investments............................................ 5
Statement of Assets and Liabilities................................ 16
Statement of Operations............................................ 17
Statements of Changes in Net Assets................................ 18
Financial Highlights............................................... 19
Brinson Post-Venture Fund................................................ 20
Schedule of Investments............................................ 23
Statement of Assets and Liabilities................................ 27
Statement of Operations............................................ 28
Statements of Changes in Net Assets................................ 29
Financial Highlights............................................... 30
Brinson High Yield Fund.................................................. 31
Schedule of Investments............................................ 34
Statement of Assets and Liabilities................................ 36
Statement of Operations............................................ 37
Statements of Changes in Net Assets................................ 38
Financial Highlights............................................... 39
Brinson Emerging Markets Equity Fund..................................... 40
Schedule of Investments............................................ 43
Statement of Assets and Liabilities................................ 51
Statement of Operations............................................ 52
Statements of Changes in Net Assets................................ 53
Financial Highlights............................................... 54
Brinson Emerging Markets Debt Fund....................................... 55
Schedule of Investments............................................ 58
Statement of Assets and Liabilities................................ 60
Statement of Operations............................................ 61
Statements of Changes in Net Assets................................ 62
Financial Highlights............................................... 63
The Brinson Relationship Funds -- Notes to Financial Statements........ 64
</TABLE>
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- ----------------------------------------------------------------------------
The Brinson Global Securities Fund is an actively managed, diversified
portfolio that provides integrated asset management across and within
securities markets. The investment process is strategic in nature and is
driven by deviations of market price from fundamental value. This
philosophy offers the greatest potential for achieving enhanced long-term
returns, while controlling risk.
Since its inception on April 30, 1995, the Brinson Global Securities Fund
has produced an annualized return of 19.64%, as compared to an annualized
return of 17.72% for its benchmark, the Global Securities Index. For the first
half of 1996, the Fund returned 5.26%, versus the 5.69% return of the benchmark.
Substantial positive contributions to performance came from equity security
selection and from the strategy of hedging risks in the overpriced yen,
deutschemark, and DM-related currencies. Because many equity markets provided
double-digit returns in dollar-hedged terms, the primary negative contributor to
performance was the above-normal allocation to bond markets with corresponding
underweights in equities.
Market strategy within the Fund centers on reducing the risk of exposure
to the overpriced equity markets: the relatively attractive bond markets are
the primary overweights.
Currency strategy continues to focus on controlling the risk of exposure
to the overpriced yen and DM-related currencies. Strategy primarily favors
the attractively priced U.S. dollar.
1
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 04/30/95*
06/30/96 06/30/96 to 06/30/96
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Global Securities Fund 5.26% 18.10% 19.64%
- --------------------------------------------------------------------------------
Global Securities Index 5.69% 16.23% 17.72%
- --------------------------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson Global Securities Fund.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson Global
Securities Fund and the Global Securities Index if you had invested $100,000 on
April 30, 1995. Past performance is no guarantee of future results. Share price
and return will vary with market conditions; investors may realize a gain or
loss upon redemption.
Brinson Global Securities Fund
vs. Global Securities Index
<TABLE>
<CAPTION>
Brinson Global Securities Global Securities
Fund Index
<S> <C> <C>
04/30/95 100,000.00 100,000.00
05/31/95 103,327.00 102,509.46
06/30/95 104,439.00 104,073.73
07/31/95 106,942.00 107,315.76
08/31/95 108,458.00 106,940.77
09/30/95 110,483.00 109,802.86
10/31/95 111,333.00 109,113.68
11/30/95 114,689.00 112,379.71
12/31/95 117,181.00 114,455.20
01/31/96 119,499.00 116,105.57
02/29/96 119,014.00 116,849.23
03/31/96 120,123.00 117,787.21
04/30/96 121,860.00 119,679.68
05/31/96 122,513.00 120,984.38
06/30/96 123,345.00 120,969.00
</TABLE>
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without fees or transaction costs for rebalancing.
2
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOP TEN U.S. EQUITY HOLDINGS TOP TEN NON U.S. EQUITY HOLDINGS
As of June 30, 1996 (Unaudited) As of June 30, 1996 (Unaudited)
Percent of Percent of
Net Assets Net Assets
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
1. Citicorp 1.70% 1. Royal Dutch Petroleum Co. NY Shares 0.25%
2. Lockheed Martin Corp. 1.65 2. Matsushita Electric Industrial Co. 0.24
3. Chase Manhattan Corp. 1.41 3. Toray Industries, Inc. 0.23
4. Burlington Northern Santa Fe 1.28 4. Lloyds TSB Group PLC 0.23
5. Enron Corp. 1.25 5. Ito Yokado Co. Ltd. 0.23
6. Avon Products, Inc. 1.13 6. General Electric Co. PLC 0.23
7. Schering Plough Corp. 1.03 7. Broken Hill Proprietary Co. Ltd. 0.21
8. Kimberly-Clark Corp. 0.98 8. Royal Dutch Petroleum Co. 0.21
9. Mattel, Inc. 0.93 9. British Petroleum Co. PLC 0.20
10. Aon Corp. 0.88 10. British Telecommunications PLC 0.19
</TABLE>
3
<PAGE>
BRINSON GLOBAL SECURITIES FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1996 (Unaudited)
<TABLE>
<S> <C> <C> <C>
U.S. EQUITIES NON-U.S. EQUITIES
Basic Industries Aerospace & Military............................ 0.05%
Chemicals.............................. 0.27% Airlines........................................ 0.02
Housing / Paper........................ 1.22 Appliances & Household Durables................. 0.48
Metals................................. 0.12 Automobiles..................................... 0.56
----- Banking......................................... 2.27
1.61 Beverages & Tobacco............................. 0.50
Capital Investment Broadcasting & Publishing....................... 0.23
Capital Goods.......................... 3.05 Building Materials.............................. 0.21
Technology............................. 1.37 Business & Public Service....................... 0.65
----- Chemicals....................................... 0.78
4.42 Construction.................................... 0.41
Consumer Data Processing................................. 0.19
Autos / Durables......................... 0.35 Electronic Components........................... 0.22
Discretionary............................ 2.42 Electronics..................................... 0.80
Health : Drugs........................... 2.50 Energy Sources.................................. 1.64
Health : Non-Drugs....................... 1.26 Financial Services.............................. 0.22
Non-Durables............................. 3.58 Food & House Products........................... 0.87
Retail / Apparel......................... 1.47 Forest Products................................. 0.32
----- Goldmines....................................... 0.04
11.58 Health & Personal Care.......................... 0.61
Industrial Components........................... 0.44
Energy...................................... 1.76 Insurance....................................... 0.77
Leisure & Tourism............................... 0.21
Financial Machinery & Engineering......................... 0.32
Banks..................................... 3.73 Merchandising................................... 0.92
Non-Banks................................. 3.36 Metals-Steel.................................... 0.37
----- Miscellaneous Materials......................... 0.27
7.09 Multi-Industry.................................. 0.73
Non-Ferrous Metals.............................. 0.39
Services................................... 2.19 Real Estate..................................... 0.08
Recreation...................................... 0.12
Transportation............................. 1.65 Shipping........................................ 0.13
Telecommunications.............................. 0.84
Utilities.................................. 1.34 Textiles & Apparel.............................. 0.06
Transportation.................................. 0.17
Miscellaneous.............................. 0.91 Utilities....................................... 1.07
----- ------
Total U.S. Equities.............. 32.55 Total Non-U.S. Equities............... 17.96
----- ------
U.S. BONDS
Corporate Bonds
Asset-Backed.................................. 0.82
CMO........................................... 0.78
Financial..................................... 1.84
Telecommunications............................ 0.54
Transportation................................ 0.18
------
Total U.S. Corporate Bonds............ 4.16
------
U.S. Government Agencies........................ 5.85
U.S. Government Obligations..................... 7.98
International Dollar Bonds...................... 2.40
------
Total U.S. Bonds...................... 20.39
------
NON-U.S. BONDS
Foreign Financial Bonds......................... 0.63
Foreign Government Bonds........................ 26.24
------
Total Non-U.S. Bonds.................. 26.87
------
SHORT-TERM INVESTMENTS............................ 19.76
------
TOTAL INVESTMENTS..................... 117.53
LIABILITIES,
LESS CASH AND OTHER ASSETS...................... (17.53)
------
NET ASSETS............................ 100.00%
======
</TABLE>
4
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- ---------------
<S> <C> <C>
Equities - 50.51%
U.S. Equities - 32.55%
Aetna Life & Casualty Co. .................................................... 86,800 $ 6,206,200
Allergan, Inc. ............................................................... 144,800 5,683,400
Allstate Corp. ............................................................... 82,400 3,759,500
Alza Corp. (b) ............................................................... 141,100 3,862,612
American Mobile Satellite Corp., Inc. (b) .................................... 14,900 230,950
Aon Corp. .................................................................... 176,200 8,942,150
Automatic Data Processing, Inc. .............................................. 165,600 6,396,300
Avon Products, Inc. .......................................................... 254,000 11,461,750
Bard (C.R.), Inc. ............................................................ 87,500 2,975,000
Beckman Instruments, Inc. .................................................... 56,600 2,150,800
Biogen, Inc. (b) ............................................................. 13,100 718,863
Birmingham Steel Corp. ....................................................... 56,700 928,462
Boeing Co. ................................................................... 37,500 3,267,188
Boston Technology, Inc. (b) .................................................. 56,500 953,438
Brinker International, Inc. (b) .............................................. 40,900 613,500
Burlington Northern Santa Fe ................................................. 161,500 13,061,312
Centerior Energy Co. ......................................................... 118,800 876,150
Chase Manhattan Corp. ........................................................ 203,900 14,400,438
CIGNA Corp. .................................................................. 70,000 8,251,250
Citicorp ..................................................................... 209,000 17,268,625
CMS Energy Corp. ............................................................. 154,400 4,767,100
Coca-Cola Enterprises, Inc. .................................................. 135,400 4,688,225
Comerica, Inc. ............................................................... 38,800 1,731,450
Comverse Technology, Inc. (b) ................................................ 43,200 1,317,600
Cooper Cameron Corp. (b) ..................................................... 20,547 898,931
Corning, Inc. ................................................................ 220,600 8,465,525
Dial Corp. ................................................................... 115,400 3,303,325
EMC Corp./Mass (b) ........................................................... 160,600 2,991,175
Enron Corp. .................................................................. 311,500 12,732,562
Entergy Corp. ................................................................ 42,900 1,217,288
Federal Express Corp. (b) .................................................... 14,000 1,148,000
Federated Department Stores (b) .............................................. 184,600 6,299,475
FileNet Corp. (b) ............................................................ 21,300 777,450
First Data Corp. ............................................................. 42,180 3,358,582
Food Lion, Inc. Class A. ..................................................... 200,700 1,593,056
Ford Motor Co. ............................................................... 142,500 4,613,438
Forest Laboratories, Inc. (b) ................................................ 95,900 3,704,138
Gannett Co., Inc. ............................................................ 94,300 6,671,725
General Instrument Corp. (b) ................................................. 225,000 6,496,875
Genzyme Corp. (b) ............................................................ 18,500 929,625
Goodyear Tire & Rubber Co. ................................................... 169,400 8,173,550
Health Care and Retirement Corp. (b) ......................................... 76,050 1,806,187
Honeywell, Inc. .............................................................. 114,100 6,218,450
Inland Steel Industries, Inc. ................................................ 35,200 690,800
Interpublic Group of Companies, Inc. ......................................... 70,200 3,290,625
James River Corp. of Virginia ................................................ 81,200 2,141,650
Kimberly-Clark Corp. ......................................................... 129,200 9,980,700
Kroger Co. (b) ............................................................... 59,500 2,350,250
Lockheed Martin Corp. ........................................................ 200,000 16,800,000
Lyondell Petrochemical Co. ................................................... 154,400 3,724,900
Magna Group, Inc. ............................................................ 25,400 609,600
Manor Care, Inc. ............................................................. 92,400 3,638,250
Mattel, Inc. ................................................................. 329,000 9,417,625
Melville Corp. ............................................................... 192,000 7,776,000
Nabisco Holdings Corp. Class A ............................................... 18,800 665,050
National Semiconductor Corp. (b) ............................................. 164,700 2,552,850
Nextel Communications, Inc. Class A (b) ...................................... 142,200 2,710,688
Old Republic International Corp. ............................................. 82,050 1,774,331
Owens Illinois, Inc. (b) ..................................................... 126,300 2,020,800
Pentair, Inc. ................................................................ 66,400 1,992,000
Pfizer, Inc. ................................................................. 16,500 1,177,687
Philip Morris Companies, Inc. ................................................ 30,100 3,130,400
</TABLE>
5
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- ---------------
<S> <C> <C>
U.S. Equities - (continued)
RJR Nabisco Convertible Preferred "C" ........................................ 459,600 $ 2,987,400
RJR Nabisco Holdings Corp. ................................................... 48,100 1,491,100
Schering Plough Corp. ........................................................ 166,500 10,447,875
Seagate Technology, Inc. (b) ................................................. 43,900 1,975,500
Sprint Corp. ................................................................. 110,200 4,628,400
State Street Boston Corp. .................................................... 34,400 1,754,400
Timken Co. ................................................................... 39,400 1,526,750
Transamerica Corp. ........................................................... 39,200 3,204,600
Tyson Foods, Inc. Class A .................................................... 116,700 3,194,663
Ultramar Corp. ............................................................... 61,700 1,789,300
US Bancorp ................................................................... 96,200 3,475,225
USF&G Corp. .................................................................. 128,000 2,096,000
Westvaco Corp. ............................................................... 33,800 1,009,775
Whitman Corp. ................................................................ 59,300 1,430,612
WMX Technologies, Inc. ....................................................... 179,300 5,872,075
York International Corp. ..................................................... 19,600 1,014,300
360 Communications Co. (b) ................................................... 49,100 1,178,400
---------------
Total U.S. Equities .......................................................... 331,432,201
---------------
Non-U.S. Equities - 17.96%
Australia - 0.88%
Amcor Ltd. ................................................................... 85,200 580,071
ANZ Banking Group Ltd. ....................................................... 96,530 457,387
Boral Ltd. ................................................................... 98,900 256,883
Broken Hill Proprietary Co. Ltd. ............................................. 156,849 2,169,096
CRA Ltd. ..................................................................... 53,009 816,101
David Jones Ltd. ............................................................. 259,000 358,788
Lend Lease Corp. Ltd. ........................................................ 43,980 675,018
M.I.M. Holdings Ltd. ......................................................... 210,200 271,332
National Australia Bank Ltd. ................................................. 86,920 803,865
News Corp. Ltd. .............................................................. 79,420 450,703
Pacific Dunlop Ltd. .......................................................... 137,145 308,725
Qantas Airways Ltd. .......................................................... 147,280 249,234
Santos Ltd. .................................................................. 137,785 477,177
WMC Ltd. ..................................................................... 44,415 318,124
Westpac Banking Corp. Ltd. ................................................... 182,050 806,723
---------------
8,999,227
---------------
Belgium - 0.59%
Delhaize-Le Lion S.A. ........................................................ 8,900 444,590
Electrabel S.A. .............................................................. 5,180 1,106,142
Fortis AG .................................................................... 4,590 602,156
Fortis AG Coupons ............................................................ 4,590 14,686
Groupe Bruxelles Lambert S.A. ................................................ 3,050 381,628
Kredietbank NV ............................................................... 2,830 846,410
Petrofina S.A. ............................................................... 2,600 814,966
Societe Generale de Belgique ................................................. 4,180 316,880
Solvay S.A. Class A .......................................................... 915 561,490
Tractebel .................................................................... 1,315 538,317
Union Miniere Group S.A. (b) ................................................. 4,950 379,203
---------------
6,006,468
---------------
Canada - 0.65%
Alcan Aluminium Ltd. ......................................................... 16,150 491,383
Bank of Montreal ............................................................. 33,255 813,354
Barrick Gold Corp. ........................................................... 12,795 347,140
Canadian Pacific Ltd. ........................................................ 43,190 945,651
Imperial Oil Ltd. ............................................................ 14,075 593,673
Moore Corp. Ltd. ............................................................. 9,600 179,613
Noranda, Inc. ................................................................ 16,565 339,039
Norcen Energy Resources Ltd. ................................................. 14,490 254,127
Northern Telecom Ltd. ........................................................ 8,530 463,791
NOVA Corp. ................................................................... 35,960 325,209
Royal Bank of Canada ......................................................... 24,145 579,048
</TABLE>
6
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- ---------------
<S> <C> <C>
Canada - (continued)
Seagram Co. Ltd. ............................................................. 14,265 $ 477,903
Thomson Corp. ................................................................ 38,570 610,071
TransCanada Pipelines Ltd. ................................................... 16,255 241,040
---------------
6,661,042
---------------
Finland - 0.12%
Merita Ltd. Class A (b) ...................................................... 48,000 100,217
Nokia Ab Class A.............................................................. 19,000 699,326
Outokumpu Class A ............................................................ 7,500 125,918
UPM-Kymmene Corp. ............................................................ 16,000 330,959
---------------
1,256,420
---------------
France - 1.77%
Accor S.A. ................................................................... 4,700 657,343
Alcatel Alsthom .............................................................. 6,811 594,044
Banque Nationale de Paris .................................................... 26,280 922,454
CEP Communications ........................................................... 4,003 338,249
CEP Communications Warrants "97" (b) ......................................... 4,003 11,664
Cie Bancaire S.A. ............................................................ 5,923 667,315
Cie de Saint Gobain .......................................................... 7,684 1,028,414
Cie de Suez .................................................................. 9,435 345,107
Cie Generale des Eaux ........................................................ 12,613 1,408,795
Colas ........................................................................ 2,105 377,003
Credit Local de France ....................................................... 11,181 910,031
Elf Aquitaine S.A. ........................................................... 12,518 920,613
GAN (b) ...................................................................... 4,225 113,258
LVMH ......................................................................... 7,203 1,708,404
Michelin Class B ............................................................. 14,005 684,471
Pechiney S.A. Class A ........................................................ 12,305 496,933
Peugeot S.A. ................................................................. 12,610 1,687,702
Rhone-Poulenc Class A ........................................................ 28,000 735,897
SEITA ........................................................................ 9,100 417,172
Societe Generale ............................................................. 12,976 1,426,654
Total S.A. Class B ........................................................... 18,827 1,396,299
UAP .......................................................................... 24,256 492,376
Usinor Sacilor ............................................................... 43,200 623,077
---------------
17,963,275
---------------
Germany - 1.23%
Allianz AG Holding ........................................................... 738 1,282,930
BASF AG ...................................................................... 1,847 526,033
Bayer AG ..................................................................... 24,630 866,524
Bayerische Motoren Werke AG .................................................. 1,096 632,931
Bayerische Vereinsbank AG .................................................... 14,210 397,704
Commerzbank AG ............................................................... 2,224 459,967
Daimler-Benz AG (b) .......................................................... 1,055 565,934
Daimler-Benz AG Rights (b) ................................................... 1,055 146
Deutsche Bank AG ............................................................. 29,920 1,417,273
Hoechst AG ................................................................... 12,000 405,230
Kaufhof Holding AG ........................................................... 1,635 618,187
M.A.N. AG .................................................................... 950 238,109
Mannesmann AG ................................................................ 2,845 979,423
Muenchener Rueckver AG ....................................................... 393 802,989
Muenchener Rueckver AG Warrants "98" (b) ..................................... 8 993
Preussag AG .................................................................. 2,396 603,683
RWE AG ....................................................................... 13,500 525,064
Schering AG .................................................................. 5,070 367,567
Siemens AG ................................................................... 7,500 401,978
Thyssen AG ................................................................... 3,300 603,804
VEBA AG ...................................................................... 14,770 785,029
---------------
12,481,498
---------------
</TABLE>
7
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- ---------------
<S> <C> <C>
Italy - 0.57%
Assicurazioni Generali ....................................................... 29,800 $ 687,191
Danieli & Co. Savings (Risp) ................................................. 56,000 199,093
Edison Spa ................................................................... 65,000 392,217
ENI ADR (c) .................................................................. 18,300 915,000
Fiat Spa-Priv ................................................................ 232,300 407,637
INA-Istituto Nazionale delle Assicurazioni ................................... 100,000 149,059
Istituto Mobilaire Italiano Spa .............................................. 76,900 642,108
Italgas Spa .................................................................. 96,500 360,392
La Rinascente ................................................................ 32,000 229,101
La Rinascente Savings (Risp) ................................................. 25,600 70,974
La Rinascente Warrants "99" (b) .............................................. 2,880 2,345
Mediobanca Spa ............................................................... 18,850 119,707
Montedison Spa (b) ........................................................... 327,400 190,295
SAI-Savings (Risp) ........................................................... 46,200 179,019
Telecom Italia Spa ........................................................... 397,000 684,996
Telecom Italia Mobile Spa .................................................... 432,000 588,982
---------------
5,818,116
---------------
Japan - 5.38%
Amada Co. Ltd. ............................................................... 85,000 914,467
Asahi Glass Co. Ltd. ......................................................... 101,000 1,206,312
Bank of Tokyo-Mitsubishi Ltd. ................................................ 75,800 1,762,286
Canon, Inc. .................................................................. 72,000 1,496,699
Canon Sales Co., Inc. ........................................................ 25,650 713,270
Citizen Watch Co. Ltd. ....................................................... 78,000 649,280
Dai Nippon Printing Co. Ltd. ................................................. 77,000 1,488,311
Daiichi Pharmaceutical Co. Ltd. .............................................. 56,000 862,863
Daikin Industries Ltd. ....................................................... 84,000 919,025
Daiwa House Industry Co. Ltd. ................................................ 42,000 650,976
Fanuc ........................................................................ 33,500 1,331,675
Fujitsu ...................................................................... 50,000 455,866
Hitachi Ltd. ................................................................. 164,000 1,525,145
Honda Motor Co. .............................................................. 38,000 983,941
Inax ......................................................................... 106,000 1,053,415
Isetan ....................................................................... 28,000 423,773
Ito Yokado Co. Ltd. .......................................................... 39,000 2,350,353
Kaneka Corp. ................................................................. 10,000 67,195
Keio Teito Electric Railway .................................................. 95,000 562,994
Kinki Nippon Railway ......................................................... 96,000 690,582
Kirin Brewery Co. Ltd. ....................................................... 91,000 1,111,765
Kokuyo ....................................................................... 17,000 469,633
Kuraray Co. Ltd. ............................................................. 74,000 829,858
Maeda Road Construction ...................................................... 19,000 327,403
Marui Co. Ltd. ............................................................... 13,000 288,016
Matsushita Electric Industrial Co. ........................................... 133,000 2,473,710
Mitsubishi Paper Mills ....................................................... 104,000 649,518
NGK Insulators ............................................................... 136,000 1,525,145
Nintendo Corp. Ltd. .......................................................... 7,200 535,661
Nippon Denso Co. Ltd. ........................................................ 57,000 1,236,855
Nippon Meat Packers, Inc. .................................................... 53,000 753,820
Nippon Steel Co. ............................................................. 67,000 229,683
Okumura ...................................................................... 59,000 492,736
Osaka Gas Co. ................................................................ 344,000 1,257,679
Pioneer Electronic Corp. ..................................................... 12,000 285,554
Sankyo Co. Ltd. .............................................................. 61,000 1,579,484
Secom ........................................................................ 20,000 1,320,187
Seino Transportation ......................................................... 29,000 457,416
Sekisui House Ltd. ........................................................... 161,000 1,834,860
Shinmaywa Industries Ltd. .................................................... 76,000 776,066
Sony Corp. ................................................................... 25,600 1,682,838
Sumitomo Bank ................................................................ 89,000 1,720,255
Sumitomo Electric Industries ................................................. 69,000 987,679
Takeda Chemical Industries ................................................... 62,000 1,096,631
</TABLE>
8
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- ---------------
<S> <C> <C>
Japan - (continued)
TDK Corp. .................................................................... 16,000 $ 954,036
Tokio Marine & Fire Insurance Co. ............................................ 76,000 1,011,657
Tokyo Electric Power ......................................................... 36,300 920,065
Tokyo Steel Mfg. ............................................................. 62,000 1,215,338
Tonen Corp. .................................................................. 61,000 895,412
Toray Industries, Inc. ....................................................... 343,000 2,364,193
Toshiba Corp. ................................................................ 196,000 1,393,855
Toyo Suisan Kaisha ........................................................... 46,000 561,991
Toyota Motor Corp. ........................................................... 26,000 649,518
Yamazaki Baking Co. Ltd. ..................................................... 40,000 740,326
---------------
54,737,271
---------------
Malaysia - 0.47%
Genting Bhd .................................................................. 25,000 195,375
Hume Industries (Malaysia) Bhd ............................................... 57,000 278,695
Kuala Lumpur Kepong Bhd ...................................................... 113,500 286,570
Land & General Holdings Bhd .................................................. 110,000 271,121
Malayan Banking Bhd .......................................................... 55,000 529,016
Malaysia International Shipping Bhd (Frgn.) .................................. 72,000 223,629
Nestle (Malaysia) Bhd ........................................................ 31,000 249,720
Public Bank Bhd (Frgn.) ...................................................... 166,000 459,041
Resorts World Bhd ............................................................ 46,000 263,626
Sime Darby Bhd ............................................................... 184,000 508,817
Telekom Malaysia Bhd ......................................................... 81,000 720,664
Tenaga Nasional Bhd .......................................................... 151,000 635,420
YTL Corp. Bhd ................................................................ 29,000 151,090
---------------
4,772,784
---------------
Netherlands - 1.26%
ABN AMRO Holdings NV ......................................................... 22,587 1,212,121
Akzo Nobel NV ................................................................ 2,300 275,558
DSM NV ....................................................................... 4,725 469,206
Hoogovens NV ................................................................. 6,300 233,265
ING Groep NV ................................................................. 52,744 1,572,834
KPN NV ....................................................................... 28,825 1,090,922
Philips Electronics NV ....................................................... 14,835 482,361
Royal Dutch Petroleum Co. .................................................... 13,700 2,115,719
Royal Dutch Petroleum Co. NY Shares (c) ...................................... 16,700 2,567,625
Unilever NV .................................................................. 11,515 1,666,298
Vendex International NV ...................................................... 15,400 536,821
VNU-Ver Ned Uitgevers ........................................................ 38,500 597,721
---------------
12,820,451
---------------
New Zealand - 0.51%
Brierley Investments Ltd. .................................................... 851,100 804,630
Carter Holt Harvey Ltd. ...................................................... 553,900 1,263,607
Fletcher Challenge Building .................................................. 119,075 232,489
Fletcher Challenge Energy .................................................... 148,075 326,643
Fletcher Challenge Forest Ltd. ............................................... 39,629 49,139
Fletcher Challenge Paper ..................................................... 212,150 409,853
Telecom Corp. of New Zealand Ltd. ............................................ 413,900 1,735,335
Telecom Corp. of New Zealand Ltd. ADS (c) .................................... 5,320 355,110
---------------
5,176,806
---------------
Spain - 0.64%
Banco Bilbao Vizcaya S.A. .................................................... 11,295 457,224
Banco Central Hispanoamericano ............................................... 10,830 220,467
Banco Intercontinental Espanol S.A. .......................................... 4,280 478,371
Banco Popular Espanol S.A. ................................................... 2,470 440,016
Banco Santander S.A. ......................................................... 9,290 433,303
Cia Sevillana de Electricidad ................................................ 46,500 427,967
Empresa Nacional de Electridad S.A. .......................................... 13,400 835,077
Fomento de Construcciones y Contratas S.A. ................................... 3,700 305,902
Iberdrola S.A. ............................................................... 85,190 873,754
</TABLE>
9
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- ---------------
<S> <C> <C>
Spain - (continued)
Repsol S.A. .................................................................. 10,250 $ 356,161
Repsol S.A. ADR (c) .......................................................... 6,680 232,130
Telefonica de Espana ......................................................... 59,060 1,087,128
Vallehermosa S.A. ............................................................ 8,700 171,678
Viscofan Envolturas Celulosicas S.A. ......................................... 13,340 210,696
---------------
6,529,874
---------------
Switzerland - 0.50%
ABB AG (Bearer) .............................................................. 220 272,100
Ciba-Geigy AG (Reg.) ......................................................... 703 856,564
CS Holdings AG (Reg.) ........................................................ 5,366 510,190
Nestle S.A. (Reg.) ........................................................... 1,234 1,408,905
Roche Holding AG (Gen.) ...................................................... 93 709,240
Schweiz Bankgesellschaft (Bearer) ............................................ 504 493,289
Societe Generale de Surveillance Holding S.A. (Bearer) ....................... 185 442,693
Zurich Versicherungs (Reg.) .................................................. 1,558 424,479
---------------
5,117,460
---------------
United Kingdom - 3.39%
Asda Group PLC ............................................................... 173,000 313,201
Bass PLC ..................................................................... 84,200 1,058,552
Booker PLC ................................................................... 42,300 247,818
British Gas PLC .............................................................. 417,300 1,160,788
British Petroleum Co. PLC .................................................... 231,930 2,034,569
British Steel PLC ............................................................ 324,000 828,252
British Telecommunications PLC ............................................... 359,050 1,930,556
B.A.T. Industries PLC ........................................................ 125,000 973,194
Charter PLC .................................................................. 47,191 680,548
Coats Viyella PLC ............................................................ 221,800 592,845
FKI PLC ...................................................................... 157,687 416,578
General Electric Co. PLC ..................................................... 432,500 2,332,207
Glaxo Wellcome PLC ........................................................... 55,700 750,024
Grand Metropolitan PLC ....................................................... 247,100 1,639,653
Guinness PLC ................................................................. 187,700 1,365,091
Hanson PLC ................................................................... 240,900 675,718
Hillsdown Holdings PLC ....................................................... 179,700 485,902
House of Fraser PLC .......................................................... 303,900 821,734
Legal & General Group PLC .................................................... 52,700 547,883
Lloyds Abbey Life PLC ........................................................ 67,500 536,014
Lloyds TSB Group PLC ......................................................... 481,000 2,354,546
Marks & Spencer PLC .......................................................... 105,800 773,565
Mirror Group PLC ............................................................. 115,100 366,674
National Power PLC ........................................................... 86,100 695,758
National Westminster Bank PLC ................................................ 102,000 976,410
Ocean Group PLC .............................................................. 65,200 463,037
Peninsular & Oriental Steam Navigation Co. ................................... 78,900 595,888
Reckitt & Colman PLC ......................................................... 65,500 688,081
Redland PLC .................................................................. 52,500 327,156
RJB Mining PLC ............................................................... 71,400 613,585
Rolls-Royce PLC .............................................................. 160,300 557,998
Royal Insurance Holdings PLC ................................................. 84,500 522,626
RTZ Corp. PLC ................................................................ 48,400 716,786
Scottish Hydro-Electric PLC .................................................. 66,400 305,430
Sears PLC .................................................................... 372,600 573,231
Sedgwick Group PLC ........................................................... 230,600 494,527
SmithKline Beecham PLC ....................................................... 81,700 874,133
Tesco PLC .................................................................... 229,200 1,047,161
Thames Water PLC ............................................................. 70,900 624,713
Unilever PLC ................................................................. 34,100 678,291
</TABLE>
10
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- ---------------
<S> <C> <C>
United Kingdom - (continued)
Vodafone Group PLC ........................................................... 97,800 $ 364,755
W.H. Smith Group PLC ......................................................... 64,500 476,107
---------------
34,481,585
---------------
Total Non-U.S. Equities ...................................................... 182,822,277
---------------
Total Equities
(Cost $446,083,435) ....................................................... 514,254,478
---------------
<CAPTION>
Face
Amount Value
------------- ---------------
<S> <C> <C>
Bonds - 47.26%
U.S. Bonds - 20.39%
U.S. Corporate Bonds - 4.16%
American Express Credit Account Master Trust 96-1A, 6.80%, due 12/15/03 ...... $ 3,140,000 $ 3,153,502
Bell South Corp., 0.000%, due 12/15/15 ....................................... 680,000 136,002
Citicorp Mortgage Securities, 5.750%, due 06/25/09 ........................... 3,973,394 3,267,918
Countrywide Funding FRN, 6.600%, due 12/01/03 ................................ 3,000,000 2,876,250
Delta Air Lines, 10.060%, due 01/02/16 ....................................... 1,615,000 1,866,323
Ford Motor Credit Corp. MTN, 5.370%, due 09/08/98 ............................ 5,000,000 4,880,750
GE Capital Mtg. Services, Inc. 94-10A, 6.500%, due 03/25/24 .................. 3,592,581 2,860,844
GMAC MTN, 7.450%, due 06/05/97 ............................................... 5,250,000 5,312,024
Green Tree Financial
94-2, 8.300%, due 05/15/19 ............................................... 1,640,000 1,683,083
94-6, 8.250%, due 11/15/19 ............................................... 100,000 105,519
Nationwide CSN Trust, 9.875%, due 02/15/25 ................................... 2,500,000 2,747,933
News America Corp., 7.750%, due 01/20/24 ..................................... 5,750,000 5,337,506
Salomon, Inc., 6.750%, due 02/15/03 .......................................... 3,000,000 2,873,445
Standard Credit Card Trust
94-1A, 4.650%, due 02/07/97 .............................................. 4,640,000 4,605,525
90-6A, 9.375%, due 07/10/97 .............................................. 600,000 619,158
---------------
42,325,782
---------------
International Dollar Bonds - 2.40%
Abbey National, 5.000%, due 01/31/97 ......................................... 700,000 696,325
African Development Bank, 7.375%, due 04/06/23 ............................... 600,000 574,045
Bangkok Bank Public Co. Ltd., 7.250%, due 09/15/05 ........................... 3,000,000 2,898,300
Hanson PLC Notes, 6.750%, due 09/15/05 ....................................... 2,460,000 2,359,029
International Bank for Reconstruction & Development, 9.250%, due 11/17/98 .... 700,000 745,187
Kingdom of Sweden, 12.750%, due 10/15/97 .................................... 700,000 760,185
Korea Development Bank, 6.500%, due 11/15/02 ................................. 535,000 513,190
Petroliam Nasional, 7.125%, due 08/15/05 ..................................... 700,000 690,498
Province of Ontario, 8.500%, due 08/30/96 .................................... 600,000 602,284
Province of Quebec, 9.000%, due 05/08/01 ..................................... 600,000 641,550
Republic of Austria, 8.625%, due 01/14/00 ................................... 600,000 633,000
Republic of Ireland, 9.500%, due 04/03/00 ................................... 700,000 764,894
Republic of Italy
0.000%, due 03/01/99 .................................................... 600,000 501,000
6.875%, due 09/27/23 .................................................... 4,750,000 4,269,903
Royal Bank of Scotland, 7.375%, due 04/01/06 ................................. 440,000 429,659
Smurfit Capital Funding, 7.500%, due 11/20/25 ................................ 5,000,000 4,649,140
State Bank of New South Wales, 10.375%, due 04/26/99 ......................... 700,000 767,399
Swedbank FRN, 7.718%, due 10/29/49 ........................................... 750,000 770,625
Swedish Export Credit, 9.875%, due 03/15/38 .................................. 525,000 569,187
Telstra Corp. Ltd., 6.500%, due 11/28/05 ..................................... 650,000 617,945
---------------
24,453,345
---------------
U.S. Government Agencies - 5.85%
Federal Home Loan Mortgage Corp.
10.000%, due 07/15/20 .................................................... 3,000,000 3,243,450
6.750%, due 06/15/23 ..................................................... 10,000,000 9,688,800
Federal Home Loan Mortgage Corp. Gold, 9.500%, due 04/01/25 .................. 3,109,444 3,302,799
</TABLE>
11
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------- ---------------
<S> <C> <C> <C>
U.S. Government Agencies - (continued)
Federal National Mortgage Association
7.000%, due 03/01/03 ..................................................... $ 3,760,000 $ 3,745,900
7.400%, due 07/01/04 ..................................................... 2,100,000 2,154,214
6.220%, due 03/13/06 ..................................................... 1,000,000 944,230
8.500%, due 06/25/06 ..................................................... 5,895,000 5,987,198
6.000%, due 12/25/08 ..................................................... 1,800,000 1,589,202
3.000%, due 03/01/26 ..................................................... 5,045,000 4,718,614
6.500%, due 03/01/26 ..................................................... 7,085,000 6,626,636
Government National Mortgage Association
8.000%, due 11/15/22 ..................................................... 5,374,128 5,447,270
7.500%, due 12/15/22 ..................................................... 3,848,984 3,819,924
8.000%, due 12/15/22 ..................................................... 2,501,497 2,535,542
7.500%, due 03/15/26 ..................................................... 2,015,000 1,985,390
Tennessee Valley Authority, 6.875%, due 12/15/43 ............................. 4,215,000 3,726,747
---------------
59,515,916
---------------
U.S. Government Obligations - 7.98%
U.S. Treasury Notes and Bonds
6.625%, due 03/31/97 ..................................................... 1,150,000 1,157,546
6.375%, due 03/31/01 ..................................................... 25,775,000 25,654,167
5.750%, due 08/15/03 ..................................................... 12,615,000 12,003,955
7.875%, due 11/15/04 ..................................................... 5,000,000 5,375,000
6.500%, due 05/15/05 ..................................................... 15,820,000 15,597,523
8.125%, due 05/15/21 ..................................................... 330,000 371,765
U.S. Treasury Principal Strips
0.000%, due 11/15/04 ..................................................... 16,715,000 9,541,423
0.000%, due 05/15/05 ..................................................... 18,245,000 10,046,062
0.000%, due 02/15/15 ..................................................... 470,000 127,027
0.000%, due 08/15/15 ..................................................... 1,400,000 364,644
0.000%, due 11/15/15 ..................................................... 4,000,000 1,021,840
---------------
Total U.S. Government Obligations ............................................ 81,260,952
---------------
Total U.S. Bonds ............................................................. 207,555,995
---------------
Non-U.S. Bonds - 26.87%
Australia - 1.37%
Government of Australia
9.750%, due 03/15/02 ..................................................... AUD 8,450,000 6,945,627
9.000%, due 09/15/04 ..................................................... 8,750,000 6,958,816
---------------
13,904,443
---------------
Belgium - 1.25%
Kingdom of Belgium
9.000%, due 07/30/98 ..................................................... BEF 77,000,000 2,685,141
8.750%, due 06/25/02 ..................................................... 88,000,000 3,192,886
8.500%, due 10/01/07 ..................................................... 148,000,000 5,304,661
7.500%, due 07/29/08 ..................................................... 11,000,000 363,402
8.000%, due 03/28/15 ..................................................... 35,000,000 1,167,452
---------------
12,713,542
---------------
Canada - 2.87%
Government of Canada
7.500%, due 09/01/00 ..................................................... CAD 7,350,000 5,503,673
7.250%, due 06/01/03 ..................................................... 6,000,000 4,365,553
9.000%, due 03/01/11 ..................................................... 3,500,000 2,786,313
4.250%, due 12/01/21 (d) ................................................. 17,300,000 12,498,819
9.000%, due 06/01/25 ..................................................... 2,500,000 2,006,609
4.250%, due 12/01/26 (d) ................................................. 3,000,000 2,062,718
---------------
29,223,685
---------------
</TABLE>
12
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------- ---------------
<S> <C> <C> <C>
Denmark - 2.82%
Kingdom of Denmark
9.000%, due 11/15/98 ..................................................... DKK 13,400,000 $ 2,478,401
9.000%, due 11/15/00 ..................................................... 20,000,000 3,776,512
8.000%, due 05/15/03 ..................................................... 44,500,000 8,030,971
7.000%, due 12/15/04 ..................................................... 53,400,000 9,008,951
8.000%, due 03/15/06 ..................................................... 14,400,000 2,553,366
7.000%, due 11/10/24 ..................................................... 19,800,000 2,909,978
---------------
28,758,179
---------------
France - 3.37%
Government of France (OAT)
9.500%, due 06/25/98 ..................................................... FRF 24,800,000 5,251,935
7.750%, due 04/12/00 ..................................................... 9,500,000 1,993,833
8.250%, due 02/27/04 ..................................................... 5,000,000 1,082,653
6.750%, due 10/25/04 ..................................................... 14,400,000 2,857,063
7.500%, due 04/25/05 ..................................................... 26,600,000 5,539,600
7.750%, due 10/25/05 ..................................................... 41,500,000 8,770,785
8.500%, due 12/26/12 ..................................................... 39,400,000 8,831,325
---------------
34,327,194
---------------
Germany - 5.98%
Bundesrepublik Deutscheland
8.500%, due 08/21/00 ..................................................... DEM 19,400,000 14,189,620
8.375%, due 05/21/01 ..................................................... 18,800,000 13,784,114
6.750%, due 04/22/03 ..................................................... 27,800,000 18,834,084
6.500%, due 07/15/03 ..................................................... 5,900,000 3,930,878
6.000%, due 06/20/16 ..................................................... 3,500,000 2,030,189
6.250%, due 01/04/24 ..................................................... 3,000,000 1,733,460
Treuhandanstalt
6.875%, due 06/11/03 ..................................................... 5,800,000 3,945,418
6.250%, due 03/04/04 ..................................................... 3,700,000 2,415,538
---------------
60,863,301
---------------
Italy - 2.77%
Republic of Italy (BTP)
9.000%, due 10/01/96 ..................................................... ITL 5,000,000,000 3,264,293
9.500%, due 12/01/97 ..................................................... 5,700,000,000 3,765,913
8.500%, due 01/01/99 ..................................................... 6,400,000,000 4,202,927
8.500%, due 08/01/99 ..................................................... 2,600,000,000 1,699,637
9.000%, due 10/01/03 ..................................................... 6,700,000,000 4,393,383
8.500%, due 01/01/04 ..................................................... 9,430,000,000 5,988,519
10.500%, due 09/01/05 .................................................... 7,000,000,000 4,912,486
---------------
28,227,158
---------------
Netherlands - 3.49%
Government of Nederlands
9.000%, due 07/01/00 ..................................................... NLG 3,040,000 2,023,224
8.500%, due 03/15/01 ..................................................... 8,210,000 5,413,530
8.250%, due 06/15/02 ..................................................... 3,800,000 2,504,540
6.500%, due 04/15/03 ..................................................... 3,600,000 2,172,359
8.250%, due 02/15/07 ..................................................... 15,690,000 10,368,692
8.250%, due 09/15/07 ..................................................... 19,690,000 13,023,616
---------------
35,505,961
---------------
Spain - 1.14%
Government of Spain
8.300%, due 12/15/98 ..................................................... ESP 622,000,000 4,927,548
7.400%, due 07/30/99 ..................................................... 163,000,000 1,263,460
10.300%, due 06/15/02 .................................................... 380,000,000 3,216,418
10.000%, due 02/28/05 .................................................... 270,000,000 2,242,810
---------------
11,650,236
---------------
</TABLE>
13
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------- ---------------
<S> <C> <C> <C>
United Kingdom - 1.81%
UK Treasury
7.000%, due 11/06/01 ..................................................... GBP 730,000 $ 1,117,405
8.000%, due 06/10/03 ..................................................... 4,305,000 6,815,414
6.750%, due 11/26/04 ..................................................... 3,340,000 4,856,235
8.500%, due 12/07/05 ..................................................... 3,475,000 5,631,350
---------------
18,420,404
---------------
Total Non-U.S. Bonds ......................................................... 273,594,103
---------------
Total Bonds
(Cost $483,767,752) ...................................................... 481,150,098
---------------
Short-Term Investments - 19.76%
U.S. Government Obligations - 0.33%
U.S. Treasury Bills
5.030%, due 11/14/96 ..................................................... 160,000 156,960
5.050%, due 11/14/96 ..................................................... 75,000 73,569
5.090%, due 11/14/96 ..................................................... 360,000 353,078
5.140%, due 11/14/96 ..................................................... 2,165,000 2,122,960
5.339%, due 11/14/96 ..................................................... 590,000 578,544
---------------
3,285,111
---------------
Commercial Paper - 19.43%
Airtouch Communications, Inc., 5.480%, due 07/01/96 .......................... 2,000,000 2,000,000
Ashland, Inc., 5.550%, due 07/02/96 .......................................... 1,500,000 1,499,769
Baxter International, Inc., 5.520%, due 07/08/96 ............................. 1,500,000 1,498,390
ConAgra, Inc., 5.570%, due 07/11/96 .......................................... 1,000,000 998,453
Cooper Industries, Inc., 5.580%, due 07/01/96 ................................ 37,111,000 37,111,000
Crown Cork & Seal Co., Inc., 5.490%, due 07/31/96 ............................ 1,300,000 1,294,058
Dial Corp.
5.650%, due 07/23/96 ..................................................... 1,000,000 996,547
5.550%, due 08/06/96 ..................................................... 1,000,000 994,450
Excel Paralubes Funding Corp., 5.480%, due 07/12/96 .......................... 1,500,000 1,497,488
Mattel, Inc.
5.500%, due 07/25/96 ..................................................... 1,500,000 1,494,500
5.480%, due 08/22/96 ..................................................... 1,200,000 1,190,501
Melville Corp., 5.680%, due 07/01/96 ......................................... 7,010,000 7,010,000
Praxair, Inc., 5.600%, due 07/01/96 .......................................... 44,555,000 44,555,000
PS Colorado Credit Corp., 5.520%, due 07/01/96 ............................... 1,000,000 1,000,000
Sundstrand Corp.
5.550%, due 07/12/96 ..................................................... 1,000,000 998,304
5.500%, due 07/23/96 ..................................................... 1,000,000 996,639
Supervalu, Inc., 5.600%, due 07/01/96 ........................................ 35,000,000 35,000,000
Texas Utilities Co., 5.650%, due 07/01/96 .................................... 11,000,000 11,000,000
Textron, Inc., 5.600%, due 07/03/96 .......................................... 11,660,000 11,656,372
The Limited, Inc., 5.650%, due 07/01/96 ...................................... 30,557,000 30,557,000
Unocal Corp., 5.520%, due 07/18/96 ........................................... 1,500,000 1,496,090
Whitman Corp.
5.520%, due 07/09/96 ..................................................... 2,000,000 1,997,547
5.600%, due 08/19/96 ..................................................... 1,000,000 992,378
---------------
197,834,486
---------------
Total Short-Term Investments
(Cost $201,119,597) ...................................................... 201,119,597
---------------
Total Investments
(Cost $1,130,970,784) - 117.53% (a) ...................................... 1,196,524,173
---------------
Liabilities, less cash and other assets - (17.53%) ........................... (178,444,351)
---------------
Net Assets - 100% ............................................................ $ 1,018,079,822
===============
</TABLE>
See accompanying notes to schedule of investments.
14
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $1,130,970,784; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................... $ 86,317,014
Gross unrealized depreciation................... (20,763,625)
------------
Net unrealized appreciation................ $ 65,553,389
============
</TABLE>
(b) Non-income producing security.
(c) Denominated in U.S. dollars.
(d) Linked to Canadian's retail price index. Reset semi-annually.
FRN: Floating rate note - The rate disclosed is that in effect at June 30, 1996.
MTN: Medium term note
FORWARD FOREIGN CURRENCY CONTRACTS (Note 5)
The Brinson Global Securities Fund had the following open forward foreign
currency contracts as of June 30, 1996:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain/(Loss)
---------- ------------- ------------ -----------
<S> <C> <C> <C> <C>
Forward Foreign Currency Buy Contracts:
Dutch Guilder............................. 11/05/96 5,500,000 $ 3,251,850 $ 6,906
French Franc.............................. 11/05/96 90,000,000 17,586,076 197,245
German Mark............................... 11/05/96 6,000,000 3,973,012 8,233
Japanese Yen.............................. 11/05/96 300,000,000 2,785,241 (93,340)
Forward Foreign Currency Sale Contracts:
Australian Dollar......................... 11/06/96 20,700,000 16,223,868 20,871
Belgian Franc............................. 11/05/96 600,000,000 19,303,317 (42,152)
British Pound............................. 11/05/96 6,450,000 10,013,998 (214,563)
Canadian Dollar........................... 11/05/96 30,700,000 22,564,404 (29,497)
Danish Kroner............................. 11/05/96 170,000,000 29,153,908 (136,141)
Dutch Guilder............................. 11/05/96 89,500,000 52,916,464 (1,003)
French Franc.............................. 11/05/96 365,000,000 71,321,307 (225,790)
German Mark............................... 11/05/96 120,000,000 79,460,248 (189,260)
Japanese Yen.............................. 11/05/96 6,100,000,000 56,633,231 1,483,621
Swiss Franc............................... 11/05/96 4,500,000 3,634,072 69,936
----------
Total................................. $ 855,066
==========
</TABLE>
FUTURES CONTRACTS (Note 6)
Futures Contracts:
The Brinson Global Securities Fund had the following open futures contracts as
of June 30, 1996:
<TABLE>
<CAPTION>
Settlement Cost/ Current Unrealized
Date Proceeds Value Gain
---------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
Topix, 35 contracts................................. Sept. 1996 $ 5,405,657 $ 5,459,905 $ 54,248
Standard & Poor's 500, 255 contracts............... Sept. 1996 86,183,625 86,292,000 108,375
Interest Rate Futures Buy Contracts
5 year U.S. Treasury Notes, 320 contracts........... Sept. 1996 33,727,438 33,840,000 112,562
10 year U.S. Treasury Notes, 174 contracts.......... Sept. 1996 18,625,625 18,705,000 79,375
30 year U.S. Treasury Bonds, 139 contracts.......... Sept. 1996 15,097,875 15,224,844 126,969
Index Futures Sale Contracts
Standard & Poor's 500, 186 contracts................ Sept. 1996 62,956,350 62,942,400 13,950
--------
Total........................................... $495,479
========
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at June 30, 1996 were $2,051,275 and
$3,285,111, respectively.
See accompanying notes to financial statements.
15
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $1,130,970,784) (Note 1)........................... $ 1,196,524,173
Cash........................................................................... 15,959,547
Foreign currency, at value (Cost $3,034,238)................................... 3,048,880
Receivables:
Investment securities sold.................................................. 14,770,692
Dividends................................................................... 1,529,560
Interest.................................................................... 10,650,420
Fund shares sold............................................................ 162,052
Net unrealized appreciation on forward foreign currency contracts........... 855,066
Variation margin (Note 6)................................................... 260,309
Due from Advisor (Note 2)...................................................... 25,861
Other assets................................................................... 63,098
---------------
TOTAL ASSETS......................................................... 1,243,849,658
---------------
LIABILITIES:
Payables:
Investment securities purchased............................................. 208,514,220
Fund shares redeemed........................................................ 17,000,000
Accrued expenses............................................................ 137,264
Other liabilities.............................................................. 118,352
---------------
TOTAL LIABILITIES.................................................... 225,769,836
---------------
NET ASSETS:
Applicable to 82,539,020 shares; no par value, unlimited shares authorized..... $ 1,018,079,822
===============
Net asset value, offering price and redemption
price per share ($1,018,079,822 / 82,539,020 shares)........................ $ 12.3345
===============
NET ASSETS CONSIST OF:
Paid in capital................................................................ $ 821,474,214
Accumulated net investment income.............................................. 54,430,573
Accumulated net realized gain.................................................. 75,375,210
Net unrealized appreciation.................................................... 66,799,825
---------------
NET ASSETS........................................................... $ 1,018,079,822
===============
</TABLE>
See accompanying notes to financial statements.
16
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ........................................................................... $ 18,040,338
Dividends (net of $346,737 for foreign taxes withheld).............................. 5,522,564
------------
TOTAL INCOME.............................................................. 23,562,902
------------
EXPENSES:
Accounting.......................................................................... 148,308
Custodian........................................................................... 77,668
Administration...................................................................... 72,216
Professional........................................................................ 38,443
Other............................................................................... 13,584
------------
TOTAL EXPENSES............................................................ 350,219
Expenses reimbursed by Advisor (Note 2)................................... (99,896)
------------
NET EXPENSES.............................................................. 250,323
------------
NET INVESTMENT INCOME..................................................... 23,312,579
------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments..................................................................... 15,532,398
Futures contracts............................................................... 895,372
Foreign currency transactions.................................................. 15,638,503
------------
Net realized gain........................................................... 32,066,273
------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency................................................ (3,273,280)
Futures contracts............................................................... (1,565,367)
Forward contracts............................................................... 548,066
Translation of other assets and liabilities denominated in foreign currency..... (104,574)
------------
Change in net unrealized appreciation or depreciation....................... (4,395,155)
------------
Net realized and unrealized gain.................................................... 27,671,118
------------
Net increase in net assets resulting from operations................................ $ 50,983,697
============
</TABLE>
See accompanying notes to financial statements.
17
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1996 Ended
(Unaudited) December 31, 1995*
---------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income...................................... $ 23,312,579 $ 31,117,994
Net realized gain.......................................... 32,066,273 43,308,937
Change in net unrealized appreciation or depreciation...... (4,395,155) 71,194,980
--------------- --------------
Net increase in net assets resulting from operations....... 50,983,697 145,621,911
--------------- --------------
CAPITAL SHARE TRANSACTIONS:
Shares sold................................................ 78,947,260 1,065,237,178
Shares redeemed............................................ (79,405,611) (243,304,623)
--------------- --------------
Net increase (decrease) in net assets
resulting from capital share transactions (a)........... (458,351) 821,932,555
--------------- --------------
TOTAL INCREASE IN NET ASSETS...................... 50,525,346 967,554,466
NET ASSETS:
Beginning of period........................................ 967,554,476 10
--------------- --------------
End of period (including accumulated net investment
income of $54,430,573 and $31,117,994, respectively).... $ 1,018,079,822 $ 967,554,476
=============== ==============
(a) A summary of capital share transactions follows:
<CAPTION>
Shares Shares
---------------- ------------------
<S> <C> <C>
Shares sold................................................ 6,527,172 105,297,553
Shares redeemed............................................ (6,557,570) (22,728,136)
--------------- --------------
Net increase or decrease in shares outstanding......... (30,398) 82,569,417
=============== ==============
</TABLE>
* The Fund commenced operations April 28, 1995
See accompanying notes to financial statements.
18
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1996 Ended
(Unaudited) December 31, 1995*
---------------- ------------------
<S> <C> <C>
Net asset value, beginning of period....................... $ 11.7181 $10.0000
---------- --------
Income from investment operations:
Net investment income................................... 0.2826 0.3769
Net realized and unrealized gain........................ 0.3338 1.3412
---------- --------
Total income from investment operations............ 0.6164 1.7181
---------- --------
Net asset value, end of period............................. $ 12.3345 $11.7181
========== ========
Total return............................................... 5.26% 17.18%
Ratios/Supplemental data
Net assets, end of period (in 000s)..................... $1,018,080 $967,554
Ratio of expenses to average net assets:
Before expense reimbursement....................... 0.07%** 0.14%**
After expense reimbursement........................ 0.05%** 0.05%**
Ratio of net investment income to average net assets:
Before expense reimbursement....................... 4.64%** 4.95%**
After expense reimbursement........................ 4.66%** 5.04%**
Portfolio turnover rate................................. 60% 158%
Average commission rate paid per share.................. $ 0.0285 $ 0.0307
</TABLE>
* The Fund commenced operations April 28, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
19
<PAGE>
BRINSON POST-VENTURE FUND
- -----------------------------------------------------------------------------
The Brinson Post-Venture Fund is a value-oriented, open-end fund that
invests primarily in publicly-traded companies with market capitalizations
between $50 million and $300 million. The portfolio seeks companies that offer
premium returns through strong, innovative management teams, good long-term
earnings prospects, strong balance sheets and good financial controls. The
portfolio's emphasis is on companies that developed with the assistance of
professional venture capitalist, since we believe they have stronger management
and are better positioned for growth in the future.
Since its inception on April 30, 1995, the Brinson Post-Venture Fund has
provided an annualized return of 29.29% compared to 33.23% for the Wilshire
Small Stock Index, a capitalization weighted index of companies which represents
the lower five percent of market capitalizations within the Wilshire 5000.
For the first six months of 1996, the Brinson Post-Venture Fund had a return of
12.60%, which was 390 basis points less than the 16.50% return for the
Wilshire Small Stock Index. The following paragraphs review the relative
performance of the Post-Venture Fund in terms of industry weightings and stock
specific issues.
Industry selection had a modest negative impact on Fund performance in the
first half. Overweightings in business machines and insurance and
underweightings in business services, chemicals, and telephone diminished
overall Fund performance. On the positive side, underweightings in banks,
electronics, and miscellaneous finance and an overweighting in retail enhanced
Fund performance.
The overall stock specific influence was negative in the first six months.
The Fund's better performing stocks included Claire's Stores, Coachmen
Industries, Amre, American Travelers and Computer Task Group. The worst
performing stocks included MacNeal Schwendler, American Business Products and
John B. Sanfilippo.
20
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 04/30/95*
06/30/96 06/30/96 to 06/30/96
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Post-Venture Fund 12.60% 28.25% 29.29%
- --------------------------------------------------------------------------------
Wilshire Small Stock Index 16.50% 29.45% 33.23%
- --------------------------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson Post-Venture Fund.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson Post-
Venture Fund and the Wilshire Small Stock Index if you had invested $100,000 on
April 30, 1995. Past performance is no guarantee of future results. Share price
and return will vary with market conditions; investors may realize a gain or
loss upon redemption.
Brinson Post-Venture Fund
vs. Wilshire Small Stock Index
<TABLE>
<CAPTION>
Brinson Post-Venture Wilshire Small Stock
Fund Index
<S> <C> <C>
04/30/95 100,000.00 100,000.00
05/31/95 100,802.00 102,030.00
06/30/95 105,306.00 107,957.94
07/31/95 109,310.00 114,392.24
08/31/95 113,508.00 117,835.44
09/30/95 113,864.00 120,474.96
10/31/95 112,673.00 114,390.97
11/30/95 117,557.00 117,307.94
12/31/95 119,936.00 119,959.10
01/31/96 118,542.00 120,834.80
02/29/96 121,360.00 124,278.60
03/31/96 125,800.00 127,895.10
04/30/96 134,578.00 137,282.60
05/31/96 141,097.00 146,233.43
06/30/96 135,051.00 139,755.29
</TABLE>
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without fees or transaction costs for rebalancing.
21
<PAGE>
BRINSON POST-VENTURE FUND
- --------------------------------------------------------------------------------
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ----------------------------------------------------------
<S> <C>
1. American Travelers Corp. 3.32%
2. Applied Power, Inc. Class A 2.64
3. Coachman Industries, Inc. 2.60
4. AMRE, Inc. 2.50
5. First America Corp. Tenn 2.47
6. Kent Electronics Corp. 2.23
7. Financial Security Assurance Holdings 2.15
8. Nichols Research Corp. 2.06
9. Silicon Valley Bancshares 2.00
10. CWM Mortgage Holdings, Inc. 1.71
</TABLE>
Industry Diversification
As a Percent of Net Assets
As of June 30, 1996 (Unaudited)
<TABLE>
<S> <C>
U.S. EQUITIES
Capital Investment
Capital Goods............................ 3.85%
Technology............................... 16.06
------
19.91
Consumer
Durables................................ 9.23
Non-Durables............................ 18.36
------
27.59
Energy.................................... 2.79
Finance................................... 21.62
Materials & Service....................... 18.17
Transportation............................ 2.60
Utilities................................. 3.46
------
Total U.S. Equities.................. 96.14
------
SHORT-TERM INVESTMENTS...................... 3.71
------
TOTAL INVESTMENTS.................... 99.85
CASH AND OTHER ASSETS,
LESS LIABILITIES.......................... 0.15
------
NET ASSETS........................... 100.00%
======
</TABLE>
22
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
U.S. Equities - 96.14%
AFC Cable Systems, Inc. (b) ............................. 40,950 $ 675,675
Allied Capital Corp. II ................................. 39,700 724,525
Allied Holdings, Inc. (b) ............................... 127,000 1,333,500
Allied Life Financial Corp. ............................. 97,525 1,950,500
Alpha Microsystems (b) .................................. 113,200 297,150
Alpharma, Inc, Class A .................................. 84,800 1,685,400
Ambassador Apartments, Inc. ............................. 104,800 1,768,500
American Business Products, Inc. ........................ 164,770 3,604,344
American Classic Voyages Company (b) .................... 86,800 640,150
American Software, Inc. Class A (b) .................... 192,200 888,925
American Travelers Corp. (b) ............................ 370,750 8,527,250
AMRE, Inc. (b) .......................................... 294,094 6,433,306
Applied Power, Inc. Class A ............................. 242,200 6,781,600
Atmos Energy Corp. ...................................... 142,850 4,374,781
Bacou USA, Inc. (b) ..................................... 53,100 942,525
BEI Electronics, Inc. ................................... 173,700 1,780,425
Best Products Corp., Inc. (b) ........................... 116,500 192,947
Bon Ton Stores, Inc. (b) ................................ 266,319 1,364,885
Brewer (C.) Homes, Inc. Class A (b) ..................... 124,195 434,683
Carmike Cinemas, Inc. Class A (b) ....................... 119,300 3,221,100
Centerpoint Properties Corp. ............................ 146,600 3,555,050
CFM Technologies, Inc. (b) .............................. 52,100 521,000
Chandler Insurance Co. Ltd. (b) ......................... 191,100 1,170,487
Chico's FAS, Inc. (b) ................................... 143,400 1,451,925
Cinergi Pictures Entertainment, Inc. (b) ................ 132,000 297,000
Claire's Stores, Inc. ................................... 148,367 4,098,638
Clean Harbors, Inc. (b) ................................. 260,000 747,500
Coachmen Industries, Inc. ............................... 190,700 6,674,500
Commercial Intertech Corp. .............................. 98,600 2,538,950
Communications Central, Inc. (b) ........................ 126,700 981,925
Computer Task Group, Inc. ............................... 101,400 2,864,550
Connecticut Energy Corp. ................................ 179,000 3,401,000
Coventry Corp. (b) ...................................... 142,895 2,250,596
CPI Corp. ............................................... 47,400 782,100
Crown Crafts Inc. ....................................... 57,400 588,350
CWM Mortgage Holdings, Inc. ............................. 258,100 4,387,700
Dallas Semiconductor Corp. .............................. 51,300 929,813
Davco Restaurants, Inc. (b) ............................. 55,100 482,125
Dayton Superior Corp. (b) ............................... 79,100 1,038,187
Delphi Information Systems, Inc. (b) .................... 500,000 687,500
Department 56, Inc. (b) ................................. 56,900 1,287,363
DH Technology, Inc. (b) ................................. 165,075 3,961,800
Digicon, Inc. (b) ....................................... 39,100 654,925
Dorsey Trailers, Inc. (b) ............................... 57,700 274,075
Dress Barn, Inc. (b) .................................... 237,150 2,490,075
Drug Emporium, Inc. (b) ................................. 102,600 461,700
DuPont Photomasks, Inc. (b) ............................. 47,700 977,850
El Chico Restaurants, Inc. (b) .......................... 66,600 532,800
Electromagnetic Sciences, Inc. (b) ...................... 138,900 2,031,413
Eskimo Pie Corp. ........................................ 64,900 1,151,975
Evans & Sutherland Computer Corp. (b) ................... 97,000 2,061,250
Financial Security Assurance Holdings ................... 202,273 5,537,223
First America Corp. Tenn ................................ 150,600 6,344,025
Fortress Group, Inc. (b) ................................ 88,400 773,500
Fred's, Inc. ............................................ 78,200 860,200
General Physics Corp. ................................... 179,100 738,787
Granite Broadcasting Corp. (b) .......................... 90,200 1,166,963
Granite Broadcasting Corp. Preferred .................... 31,100 2,079,324
Hadco Corp. (b) ......................................... 40,000 860,000
Haggar Corp. ............................................ 55,800 753,300
Harborside Healthcare Corp. (b) ......................... 44,400 455,100
Hartmarx Corp. (b) ...................................... 281,100 1,756,875
Helen of Troy Ltd. (b) .................................. 132,800 3,784,800
</TABLE>
23
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
U.S. Equities - (continued)
Huffy Corp. ............................................. 226,050 $ 2,910,394
Hycor Biomedical, Inc. (b) .............................. 178,800 804,600
Information Resources, Inc. (b) ......................... 155,400 1,903,650
Insilco Corp. (b) ....................................... 16,900 566,150
Integrated Circuit Systems, Inc. (b) .................... 94,600 1,016,950
Intertan, Inc. (b) ...................................... 214,100 1,231,075
Kellwood Co. ............................................ 231,375 4,251,516
Kent Electronics Corp. (b) .............................. 183,400 5,731,250
KLLM Transport Services, Inc. (b) ....................... 122,065 1,495,296
Landstar System, Inc. (b) ............................... 54,600 1,583,400
Logicon, Inc. ........................................... 46,000 1,374,250
Longhorn Steaks, Inc. (b) ............................... 91,961 2,299,025
LTC Properties, Inc. .................................... 216,900 3,578,850
M/A/R/C, Inc. ........................................... 104,680 2,276,790
M.S. Carriers, Inc. (b) ................................. 102,700 2,105,350
MacNeal Schwendler Corp. ................................ 237,420 1,780,650
Methode Electronics, Inc. Class A ....................... 170,480 2,898,160
Michael Anthony Jewelers, Inc. (b) ...................... 242,735 804,060
Microsemi Corp. (b) ..................................... 81,400 742,775
National Computer Systems, Inc. ......................... 120,320 2,571,840
National Insurance Group (b) ............................ 140,650 843,900
Newport Corp. ........................................... 182,980 1,806,928
Nichols Research Corp. (b) .............................. 169,103 5,284,469
North American Vaccine, Inc. (b) ........................ 88,300 1,611,475
North Fork Bancorporation, Inc. ......................... 149,500 3,905,687
Norton McNaughton, Inc. (b) ............................. 109,700 795,325
Pharmaceutical Resources, Inc. (b) ...................... 93,300 466,500
Piccadilly Cafeterias, Inc. ............................. 156,500 1,643,250
Pool Energy Services Co. (b) ............................ 319,000 3,788,125
Premier Financial Bancorp, Inc. ......................... 60,900 822,150
Pride Petroleum Services, Inc. (b) ...................... 151,900 2,164,575
ProCyte Corp. (b) ....................................... 367,300 1,308,506
Q Logic Corporation (b) ................................. 94,400 944,000
Quantum Corp. (b) ....................................... 65,100 952,088
Quixote Corp. ........................................... 170,700 1,152,225
Ramsay Health Care, Inc. (b) ............................ 222,900 668,700
Regal Beloit Corp. ...................................... 103,320 2,040,570
Regency Health Services, Inc. (b) ....................... 154,299 1,755,151
RFS Hotel Investors, Inc. ............................... 253,600 3,930,800
Rhodes, Inc. (b) ........................................ 225,200 2,505,350
Safeguard Health Enterprises, Inc. (b) .................. 134,200 2,398,825
Sanfilippo (John B.) & Son, Inc. (b) .................... 210,900 1,291,762
Scotsman Industries, Inc. ............................... 157,900 3,177,738
Shelby Williams Industries, Inc. ........................ 150,200 1,652,200
Shelter Components Corp. ................................ 48,100 811,687
Sholodge, Inc. (b) ...................................... 69,800 872,500
Shorewood Packaging Corp. (b) ........................... 172,000 2,644,500
Sierra Health Services, Inc. (b) ........................ 55,600 1,751,400
Silicon Valley Bancshares (b) ........................... 199,390 5,134,293
Silicon Valley Group, Inc. (b) .......................... 14,400 270,000
Sizzler International, Inc. (b) ......................... 153,990 481,219
Southern Pacific Funding Corp. (b) ...................... 91,000 1,592,500
Standard Microsystems Corp. (b) ......................... 26,900 410,225
Stanley Furniture Co, Inc. (b) .......................... 138,760 1,491,670
Sterling Healthcare Group (b) ........................... 39,500 790,000
Sterling Software, Inc. (b) ............................. 13,060 1,005,620
Stevens International, Inc. Series A (b) ................ 124,100 310,250
Storage USA, Inc. ....................................... 106,900 3,447,525
Sun Healthcare Group, Inc. (b) .......................... 118,180 1,684,065
Team, Inc. (b) .......................................... 140,680 290,152
Triad Systems Corp. (b) ................................. 217,445 1,386,212
Tripos, Inc. (b) ........................................ 44,033 385,289
</TABLE>
24
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------- ------------
<S> <C> <C>
U.S. Equities - (continued)
Tuesday Morning Corp. (b) ............................... 155,820 $ 2,084,092
URS Corp. (b) ........................................... 32,599 256,717
Versa Technologies, Inc. ................................ 168,600 2,276,100
York Group, Inc. ........................................ 47,300 815,925
------------
Total U.S. Equities (Cost $206,984,164).................. 247,094,661
------------
<CAPTION>
Face
Amount Value
---------- ------------
<S> <C> <C>
Short-Term Investments - 3.71%
U.S. Government Obligations - 0.21%
U.S. Treasury Bill, 5.140%, due 11/14/96 ............... $ 545,000 $ 534,417
------------
Commercial Paper - 3.50%
Airtouch Communications, Inc., 5.480%, due 07/01/96 ..... 500,000 500,000
Ashland, Inc., 5.550%, due 07/02/96 ..................... 1,000,000 999,846
ConAgra, Inc., 5.570%, due 07/11/96 ..................... 1,000,000 998,453
Cooper Industries, Inc., 5.580%, due 07/01/96 ........... 1,930,000 1,930,000
Dial Corp., 5.550%, due 08/06/96 ........................ 1,000,000 994,450
FMC Corp., 5.480%, due 07/08/96 ......................... 500,000 499,467
Mattel, Inc., 5.500%, due 07/25/96 ...................... 475,000 473,259
PS Colorado Credit Corp., 5.520%, due 07/01/96 .......... 1,000,000 1,000,000
Sundstrand Corp., 5.550% , due 07/12/96 ................. 1,000,000 998,304
Tyson Foods, Inc., 5.510%, due 07/08/96 ................. 600,000 599,357
------------
8,993,136
------------
Total Short-Term Investments
(Cost $9,527,553) ................................... 9,527,553
------------
Total Investments
(Cost $216,511,717) - 99.85% (a) .................... 256,622,214
------------
Cash and other assets, less liabilities - 0.15% ......... 398,055
------------
Net Assets - 100% ....................................... $257,020,269
============
</TABLE>
See accompanying notes to financial statements.
25
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $216,511,717; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation................... $ 53,336,808
Gross unrealized depreciation................... (13,226,311)
------------
Net unrealized appreciation................ $ 40,110,497
============
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS (Note 6)
Index Futures Contracts:
The Brinson Post-Venture Fund had the following open index futures contracts as
of June 30, 1996:
<TABLE>
<CAPTION>
Settlement Current Unrealized
Date Cost Value Gain
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
Standard & Poor's 500, 8 contracts Aug. 1996 $2,687,200 $2,707,200 $20,000
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at June 30, 1996 was $534,417.
See accompanying notes to financial statements.
26
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $216,511,717) (Note 1)............................. $ 256,633,214
Cash........................................................................... 7,507,944
Receivables:
Investment securities sold.................................................. 161,905
Dividends................................................................... 343,246
Variation margin (Note 6)................................................... 15,000
Due from Advisor (Note 2)...................................................... 40,816
-------------
TOTAL ASSETS......................................................... 264,691,125
-------------
LIABILITIES:
Payables:
Investment securities purchased............................................. 7,630,040
Accrued expenses............................................................ 40,816
-------------
TOTAL LIABILITIES.................................................... 7,670,856
-------------
NET ASSETS:
Applicable to 19,031,285 shares; no par value, unlimited shares authorized..... $ 257,020,269
=============
Net asset value per share
($257,020,269 / 19,031,285 shares).......................................... $ 13.5051
=============
NET ASSETS CONSIST OF:
Paid in capital................................................................ $ 181,635,538
Accumulated net investment income.............................................. 5,812,159
Accumulated net realized gain.................................................. 29,442,075
Net unrealized appreciation.................................................... 40,130,497
-------------
NET ASSETS........................................................... $ 257,020,269
=============
</TABLE>
See accompanying notes to financial statements.
27
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends....................................... $ 1,795,517
Interest........................................ 462,309
-----------
TOTAL INCOME.......................... 2,257,826
-----------
EXPENSES:
Accounting...................................... 44,724
Professional.................................... 19,171
Administration.................................. 14,754
Custodian....................................... 10,000
Other........................................... 2,707
-----------
TOTAL EXPENSES........................ 91,356
-----------
Expenses reimbursed by Advisor
(Note 2)............................ (91,356)
-----------
NET EXPENSES.......................... 0
-----------
NET INVESTMENT INCOME................. 2,257,826
-----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments................................. 10,876,475
Futures contracts........................... 373,770
-----------
Net realized gain.................... 11,250,245
-----------
Change in net unrealized appreciation or
depreciation on:
Investments................................. 14,354,952
Futures contracts........................... 67,400
-----------
Change in net unrealized appreciation
or depreciation....................... 14,422,352
-----------
Net realized and unrealized gain................ 25,672,597
-----------
Net increase in net assets resulting from
operations.................................... $27,930,423
===========
</TABLE>
See accompanying notes to financial statements.
28
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1996 Ended
(Unaudited) December 31, 1995*
------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income............ $ 2,257,826 $ 3,554,333
Net realized gain................ 11,250,245 18,191,830
Change in net unrealized
appreciation or depreciation.... 14,422,352 25,708,145
------------ ------------
Net increase in net assets
resulting from operations....... 27,930,423 47,454,308
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold...................... 8,495,859 265,433,355
Shares redeemed.................. (36,216,337) (56,077,349)
------------ ------------
Net increase (decrease) in net
assets resulting from capital
share transactions (a)......... (27,720,478) 209,356,006
------------ ------------
TOTAL INCREASE IN NET ASSETS. 209,945 256,810,314
------------ ------------
NET ASSETS:
Beginning of period.............. 256,810,324 10
------------ ------------
End of period (including
accumulated net investment
income of $5,812,159 and
$3,554,333 respectively........ $257,020,269 $256,810,324
============ ============
(a) A summary of capital share
transactions follows:
Shares Shares
------------ ------------
Shares sold...................... 627,866 26,449,077
Shares redeemed.................. (3,008,788) (5,036,871)
------------ ------------
Net increase (decrease) in
shares outstanding.......... (2,380,922) 21,412,206
============ ============
</TABLE>
* The Fund commenced operations April 28, 1995
See accompanying notes to financial statements.
29
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1996 Ended
(Unaudited) December 31, 1995*
---------------- ------------------
<S> <C> <C>
Net asset value, beginning of period....................... $ 11.9936 $ 10.0000
---------- ----------
Income from investment operations:
Net investment income................................... 0.1394 0.1660
Net realized and unrealized gain........................ 1.3721 1.8276
---------- ----------
Total income from investment operations............ 1.5115 1.9936
---------- ----------
Net asset value, end of period............................. $ 13.5051 $ 11.9936
========== ==========
Total return............................................... 12.60% 19.94%
Ratios/Supplemental data
Net assets, end of period (in 000s)..................... $ 257,020 $ 256,810
Ratio of expenses to average net assets:
Before expense reimbursement..................... 0.07%** 0.17%**
After expense reimbursement...................... 0.00%** 0.00%**
Ratio of net investment income to average net assets:
Before expense reimbursement..................... 1.76%** 1.85%**
After expense reimbursement...................... 1.83%** 2.02%**
Portfolio turnover rate................................. 16% 25%
Average commission rate paid per share.................. $ 0.0348 $ 0.0255
</TABLE>
* The Fund commenced operations April 28, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
30
<PAGE>
BRINSON HIGH YIELD FUND
- ------------------------------------------------------------------------------
The Brinson High Yield Fund is an actively managed bond portfolio that
invests primarily in the below investment grade U.S. fixed income market. This
can be an attractive asset class for those who wish to take advantage of the
higher than expected returns in the higher risk segments of the fixed income
market. Diversified and intensive credit analysis are emphasized as a means
of managing credit risk.
The Brinson High Yield Fund has provided an annualized total return of
10.98% since its inception on April 30, 1995 versus 11.73% for its benchmark,
the First Boston High Yield Bond Index. The Fund outperformed its benchmark in
the first half of the year, registering a 5.22% gain versus the 3.77% total
return of the index. High yield bond returns fell between the negative U.S.
Treasury returns and the strong stock market gains. The average spread to
Treasuries of the index has declined from 484 to 417 basis points during the
year. Healthy corporate earnings, modest economic growth and robust inflows into
high yield mutual funds helped to offset rising interest rates.
During the first six months of 1996 the upper tier segment of the market
has been the laggard among the quality tiers with a 0.90% total return due to
its greater sensitivity to interest rates. The middle and lower tier have
achieved 4.55% and 10.10% total returns, respectively. The portfolio's
performance has been favorably impacted by the underweight of the upper tier,
but negatively impacted by the underweight of the lower tier.
The best performing industries in the first six months of 1996 were
technology, entertainment, gaming and restaurants with 12.87%, 12.00%, 11.96%
and 8.29% total returns, respectively. The worst performers were airlines,
cable TV, media and communications at - 1.81%, -0.78%, 1.43% and 1.51%. The
Fund's large underweight in cable TV, large overweight in entertainment and no
exposure to airline bonds favorably impacted performance in the first half of
1996. The Fund's lack of exposure to gaming, restaurant and technology bonds
negatively impacted performance.
The Fund owns approximately 50 different issues in an effort to provide a
broadly diversified portfolio. During the first six months of 1996 we added 15
new credits to the Fund. Most of these were as a result of purchasing new
issues in the market. The high yield market is on a record pace for new
issuance with $40.9 billion completed year-to-date. Credit selection remains
the primary contributor to portfolio performance. The best performers in the
first half included Big 5 Holdings, Nextel Communications, Scotsman Holdings,
American Communications Services units and Norcal Waste. The average yield of
the portfolio was 10.93% versus 10.67% for the index at June 30th.
31
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 04/30/95*
06/30/96 06/30/96 to 06/30/96
- --------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson High Yield Fund 5.22% 12.34% 10.98%
- --------------------------------------------------------------------------------
HIgh Yield Bond Index 3.77% 9.97% 11.73%
- --------------------------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson High Yield Fund.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson High
Yield Fund and the High Yield Bond Index if you had invested $100,000 on
April 30, 1995. Past performance is no guarantee of future results. Share price
and return will vary with market conditions; investors may realize a gain or
loss upon redemption.
Brinson High Yield Fund
vs. High Yield Bond Index
<TABLE>
<CAPTION>
Brinson High Yield High Yield
Fund Bond Index
<S> <C> <C>
04/30/95 100,000.00 100,000.00
05/31/95 100,662.00 102,820.00
06/30/95 100,553.00 103,498.61
07/31/95 101,729.00 105,102.84
08/31/95 102,291.00 105,397.12
09/30/95 103,491.00 106,609.19
10/31/95 104,956.00 107,792.56
11/30/95 105,941.00 108,299.18
12/31/95 107,361.00 109,674.58
01/31/96 108,820.00 111,758.40
02/29/96 110,836.00 112,350.71
03/31/96 110,503.00 112,047.37
04/30/96 111,210.00 112,652.42
05/31/96 112,623.00 113,564.91
06/30/96 112,963.00 113,814.75
</TABLE>
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without fees or transaction costs for rebalancing.
32
<PAGE>
BRINSON HIGH YIELD FUND
- --------------------------------------------------------------------------------
Industry Diversification
As a Percent of Net Assets
As of June 30, 1996 (Unaudited)
<TABLE>
<S> <C>
U.S. BONDS
Corporate Bonds
Consumer..................................... 35.25%
Industrial................................... 42.85
Telecommunications........................... 8.90
Utilities.................................... 0.74
------
Total U.S. Corporate Bonds............... 87.74
------
U.S. Government Obligations.................... 0.80
------
Total U.S. Bonds......................... 88.54
------
U.S. EQUITIES
Common Stock .................................. 0.52
Preferred Stock ............................... 5.49
Warrants ...................................... 0.83
------
Total U.S. Equities ..................... 6.84
------
SHORT-TERM INVESTMENTS .......................... 4.61
------
TOTAL INVESTMENTS ....................... 99.99
CASH AND OTHER ASSETS,
LESS LIABILITIES .............................. 0.01
------
NET ASSETS .............................. 100.00%
======
</TABLE>
33
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
U.S. Bonds - 88.54%
U.S. Corporate Bonds - 87.74%
Acetex Corp., 9.750%, due 10/01/03 .............................................. $ 2,500,000 $ 2,443,750
Adams Outdoor Advertising, 10.750%, due 03/15/06 ................................ 3,000,000 3,075,000
Allied Waste Industries, 12.000%, due 02/01/04 .................................. 2,500,000 2,737,500
American Communication Services, 0.000%, due 11/01/05 (c) ....................... 4,000,000 2,220,000
American Radio Systems, 9.000%, 02/01/06 ........................................ 3,000,000 2,812,500
Arch Communications Group, 0.000%, due 03/15/08 (d) ............................. 3,700,000 1,905,500
Big 5 Holdings, Inc., 13.625%, due 09/15/02 ..................................... 2,000,000 1,855,000
Clark USA, Inc., 10.875%, due 12/01/05 .......................................... 3,500,000 3,583,125
Cobblestone Golf Group, Inc., 11.500%, due 06/01/03 ............................. 2,000,000 2,010,000
Coinmach Corp., 11.750%, due 11/15/05 ........................................... 2,600,000 2,723,500
Corporate Express, Inc., 9.125%, due 03/15/04 ................................... 3,000,000 2,940,000
Dade International, Inc., 11.125%, due 05/01/06 ................................. 750,000 776,250
Dominick's Finer Foods, 10.875%, due 05/01/05 ................................... 2,500,000 2,637,500
Fieldcrest Cannon, Inc., 11.250%, due 06/15/04 .................................. 1,500,000 1,503,750
Florist Transworld Delivery, 14.000%, due 12/15/01 .............................. 4,000,000 4,030,000
Fortress Group, Inc., 13.750%, due 05/15/03 ..................................... 2,500,000 2,581,250
Fundy Cable Ltd., 11.000%, due 11/15/05 ......................................... 3,000,000 3,037,500
Gaylord Container Corp., 12.750%, due 05/15/05 .................................. 1,750,000 1,839,687
Hines Horticulture, 11.750%, due 10/15/05 ....................................... 4,000,000 4,180,000
Icon Health & Fitness Capital, Inc., 13.000%, due 07/15/02 ...................... 4,000,000 4,445,000
Indspec Chemical Corp., 0.000%, due 12/01/03 (e) ................................ 4,000,000 3,430,000
Inland Steel Co., 12.750%, due 12/15/02 ......................................... 2,700,000 3,066,498
Lear Seating Corp., 8.250%, due 02/01/02 ........................................ 3,000,000 2,857,500
Mail-Well, Inc., 10.500%, due 02/15/04 .......................................... 1,000,000 960,000
Mesa Operating Co., 0.000%, due 07/01/06 (f) .................................... 3,750,000 2,193,750
Monarch Acquisition Corp., 12.500%, due 07/01/03 ................................ 3,500,000 3,701,250
Nextel Communications, Inc., 0.000%, due 08/15/04 (g) ........................... 5,500,000 3,258,750
Nextlink Communications, 12.500%, due 04/15/06 .................................. 1,500,000 1,494,375
Norcal Waste Systems, 12.750%, due 11/15/05 ..................................... 2,500,000 2,637,500
Plantronics, Inc., 10.000%, due 01/15/01 ........................................ 1,500,000 1,515,000
Premier Parks, 12.000%, due 08/15/03 ............................................ 3,500,000 3,710,000
Remington Product Co. LLC, 11.000%, due 05/15/06 ................................ 3,500,000 3,482,500
Renaissance Cosmetics, 13.750%, due 08/15/01 .................................... 3,500,000 3,500,000
Rexene Corp., 11.750%, due 12/15/04 ............................................. 1,250,000 1,296,875
Riverwood International Corp., 10.875%, due 04/01/08 ............................ 3,000,000 2,947,500
Ryerson Tull, Inc., 9.125%, due 07/15/06 ........................................ 1,000,000 1,003,750
Scotsman Holdings PIK, 11.000%, due 03/01/04 .................................... 4,547,050 4,319,698
Sealy Corp., 9.500%, due 05/01/03 ............................................... 1,500,000 1,447,500
Selmer Co., 11.000%, due 06/30/00 ............................................... 2,000,000 2,150,000
Tanger Properties Ltd., 8.750%, due 03/11/01 .................................... 3,000,000 2,931,990
Tenet Healthcare, 10.125%, due 03/01/05 ......................................... 3,000,000 3,157,500
Texas-New Mexico Power Co., 10.750%, due 09/15/03 ............................... 1,000,000 1,037,500
Triangle Pacific Corp., 10.500%, due 08/01/03 ................................... 2,450,000 2,535,750
Trism, Inc., 10.750%, due 12/15/00 .............................................. 1,500,000 1,406,250
Tultex Corp., 10.625%, due 03/15/05 ............................................. 3,300,000 3,403,125
Victory Markets, Inc., 12.500%, due 03/15/00 (h) ................................ 2,000,000 140,000
Wright Medical Technology, 10.750%, due 07/01/00 ................................ 3,250,000 3,209,375
Young Broadcasting Corp., 9.000%, due 01/15/06 .................................. 3,000,000 2,662,500
-------------
122,793,248
-------------
U.S. Government Obligations - 0.80%
U.S. Treasury Bond, 8.125%, due 05/15/21 ........................................ 1,000,000 1,126,562
-------------
Total U.S. Bonds (Cost $123,578,612) ............................................ 123,919,810
-------------
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
U.S. Equities - 6.84%
American Communication Services Warrants (b) .................................... 6,000 $ 600,000
BCP/Essex Holdings, Inc. Preferred 15.00% (b) ................................... 84,216 2,231,711
Cablevision Systems Preferred 11.125% (b) ....................................... 36,060 3,398,673
Dial Call Communications Inc. Warrants (b) ...................................... 2,315 23
F.T.D. Class B (b) .............................................................. 40,625 203,125
</TABLE>
34
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- -------------
<S> <C> <C>
U.S. Equities - (continued)
Icon Health & Fitness Capital, Inc. Warrants (b) ................................ 4,000 $ 100,000
Mail-Well, Inc. (b) ............................................................. 14,210 121,225
Renaissance Cosmetics Warrants (b) .............................................. 4,000 90,000
S.D. Warren Co. Preferred 14.00% (b) ............................................ 60,000 2,010,000
S.D. Warren Co. Warrants (b) .................................................... 60,000 300,000
Scotsman Holdings (b) ........................................................... 29,992 404,892
Town & Country Corp. Convertible Preferred 6.00% (b) ............................ 19,657 39,314
Wright Medical Technology Warrants (b) .......................................... 618 80,325
-------------
Total U.S. Equities (Cost $8,467,541) ........................................... 9,579,288
-------------
<CAPTION>
Face
Amount Value
------------- -------------
<S> <C> <C>
Short-Term Investments - 4.61%
Commercial Paper - 4.61%
Cooper Industries, Inc., 5.580%, due 07/01/96 ................................... $ 2,000,000 $ 2,000,000
Praxair, Inc., 5.600%, due 07/01/96 ............................................. 2,445,000 2,445,000
Supervalu, Inc., 5.600%, due 07/01/96 ........................................... 2,000,000 2,000,000
-------------
Total Short-Term Investments
(Cost $6,445,000) ........................................................... 6,445,000
-------------
Total Investments
(Cost $138,491,153) - 99.99% (a) ............................................ 139,944,098
-------------
Cash and other assets, less liabilities - 0.01% ................................. 12,416
-------------
Net Assets - 100% ............................................................... $ 139,956,514
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $138,491,153; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.......................... $4,188,708
Gross unrealized depreciation.......................... (2,735,763)
----------
Net unrealized appreciation.................. $1,452,945
==========
</TABLE>
(b) Non-income producing security.
(c) Interest rate 0.00% until 11/01/00, then 13.000% to maturity.
(d) Interest rate 0.00% until 03/15/01, then 10.875% to maturity.
(e) Interest rate 0.00% until 12/01/98, then 11.500% to maturity.
(f) Interest rate 0.00% until 07/01/96, then 11.625% to maturity.
(g) Interest rate 0.00% until 02/15/99, then 9.750% to maturity.
(h) Security in default as to payment of interest.
PIK: Payment in kind bond - Interest is paid in additional bonds.
See accompanying notes to financial statements.
35
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $138,491,153) (Note 1).. $139,944,098
Cash................................................ 6,452,738
Receivables:
Interest......................................... 3,095,874
Dividends........................................ 60,202
Due from Advisor (Note 2)........................... 35,640
------------
TOTAL ASSETS.............................. 149,588,552
------------
LIABILITIES:
Payables:
Investment securities purchased.................. 9,596,398
Accrued expenses................................. 35,640
------------
TOTAL LIABILITIES......................... 9,632,038
------------
NET ASSETS:
Applicable to 12,389,605 shares; no par value,
unlimited shares authorized........................ $139,956,514
============
Net asset value, offering price and redemption
price per share ($139,956,514 /
12,389,605 shares................................ $ 11.2963
============
NET ASSETS CONSIST OF:
Paid in capital..................................... $127,675,805
Accumulated net investment income................... 11,116,816
Accumulated net realized loss....................... (289,052)
Net unrealized appreciation......................... 1,452,945
------------
NET ASSETS................................ $139,956,614
============
</TABLE>
See accompanying notes to financial statements.
36
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................. $ 5,529,155
Dividends............................................ 150,102
-----------
TOTAL INCOME............................... 5,679,257
-----------
EXPENSES:
Accounting........................................... 41,597
Professional......................................... 21,072
Administration....................................... 7,177
Custodian............................................ 4,500
Other................................................ 2,893
-----------
TOTAL EXPENSES..................................... 77,239
Expenses reimbursed by Advisor (Note 2)............ (77,239)
-----------
NET EXPENSES....................................... 0
NET INVESTMENT INCOME.............................. 5,679,257
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain.................................... 952,223
Change in net unrealized depreciation................ (680,625)
-----------
Net realized and unrealized gain..................... 271,598
-----------
Net increase in net assets resulting from operations. $ 5,950,855
===========
</TABLE>
See accompanying notes to financial statements.
37
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1996 Ended
(Unaudited) December 31, 1995*
---------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income........................................ $ 5,679,257 $ 5,437,559
Net realized gain (loss)..................................... 952,223 (1,241,275)
Change in net unrealized appreciation or depreciation........ (680,625) 2,133,570
------------- -------------
Net increase in net assets resulting from operations......... 5,950,855 6,329,854
------------- -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold.................................................. 26,056,237 122,069,499
Shares redeemed.............................................. (3,500) (20,446,441)
------------- -------------
Net increase in net assets
resulting from capital share transactions (a)............. 26,052,737 101,623,058
------------- -------------
TOTAL INCREASE IN NET ASSETS........................ 32,003,592 107,952,912
------------- -------------
NET ASSETS:
Beginning of period.......................................... 107,952,922 10
------------- -------------
End of period (including accumulated net investment
income of $11,116,816 and $5,437,559, respectively)....... $ 139,956,514 $ 107,952,922
============= =============
</TABLE>
(a) A summary of capital share transactions follows:
<TABLE>
<CAPTION>
Shares Shares
------------- -------------
<S> <C> <C>
Shares sold.................................................. 2,334,802 12,072,988
Shares redeemed.............................................. (311) (2,017,875)
------------- -------------
Net increase in shares outstanding....................... 2,334,491 10,055,113
============= =============
</TABLE>
* The Fund commenced operations April 28, 1995
See accompanying notes to financial statements.
38
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1996 Ended
(Unaudited) December 31, 1995*
---------------- ------------------
<S> <C> <C>
Net asset value, beginning of period.... $ 10.7361 $ 10.0000
---------------- ------------------
Income from investment operations:
Net investment income................ 0.3565 0.5408
Net realized and unrealized gain..... 0.2037 0.1953
---------------- ------------------
Total income from investment
operations....................... 0.5602 0.7361
---------------- ------------------
Net asset value, end of period.......... $ 11.2963 $ 10.7361
================ ==================
Total return............................ 5.22% 7.36%
Ratios/Supplemental data
Net assets, end of period (in 000s).. $ 139,957 $ 107,953
Ratio of expenses to average net
assets:
Before expense reimbursement...... 0.13%** 0.33%**
After expense reimbursement..... 0.00%** 0.00%**
Ratio of net investment income to
average net assets:
Before expense reimbursement...... 9.47%** 9.33%**
After expense reimbursement....... 9.60%** 9.66%**
Portfolio turnover rate.............. 25% 25%
</TABLE>
* The Fund commenced operations April 28, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
39
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- -------------------------------------------------------------------------------
The Brinson Emerging Markets Equity Fund invests in the common stocks of
less developed countries and also considers those not covered in our developed
markets portfolios. We continually examine newly emerging markets in
anticipation of gaining broad diversification benefits and identifying
discrepancies between prices and fundamental values across markets.
For the first half of 1996 the Brinson Emerging Markets Equity Fund
returned 13.46% compared to the 14.83% return of its benchmark, the Brinson
Emerging Markets Normal Index. The Normal Index is constructed to minimize
country specific risk while providing broad exposure to the growth opportunities
in the emerging markets. The International Finance Corporation's Investable
Index, a market capitalization weighted benchmark, returned 12.13% during the
same period.
Market/Currency allocation made a significant positive contribution to the
year-to-date performance. Since the currency markets are not well developed in
most emerging countries, hedging the currency exposure is generally not an
option. Country strategy therefore combines return expectation from both the
local equity market and the currency. Overweight positions in Poland, Turkey,
India, and the Czech Republic aided performance. These markets were up a very
strong 74.54%, 48.75%, 29.52%, and 19.96% year-to-date, respectively, in U.S.
dollar terms. Partially offsetting these positive contributions were underweight
positions in the Philippines, Brazil, and Malaysia, all of which exceeded the
benchmark, returning 26.96%, 23.01%, and 17.77%, respectively.
Opportunity costs were the biggest detractor from mid-year performance as
difficulty entering markets or increasing our positions (particularly in India
and Poland in the beginning of the year) forced us to remain in cash. To a
lesser extent, negative stock selection, specifically in Chile, also offset the
positive contribution from the market/currency decisions.
At present, the Fund is favoring Israel, India, Poland, Chile, Portugal and
Korea and is underweight in Brazil, the Philippines, Malaysia and China.
40
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 months 06/30/95*
ended to
06/30/96 06/30/96
- ----------------------------------------------------------------------
<S> <C> <C>
Brinson Emerging Markets Equity Fund 13.46% 5.70%
- ----------------------------------------------------------------------
Brinson Emerging Markets Normal Index 14.83% 9.64%
- ----------------------------------------------------------------------
IFC Investable Index 12.13% 10.71%
- ----------------------------------------------------------------------
</TABLE>
* Inception date of the Brinson Emerging Markets Equity Fund.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson
Emerging Markets Equity Fund, the Brinson Emerging Markets Normal Index and the
IFC Investable Index if you had invested $100,000 on June 30, 1995. Past
performance is no guarantee of future results. Share price and return will vary
with market conditions; investors may realize a gain or loss upon redemption.
Brinson Emerging Markets Equity Fund
vs. Brinson Emerging Markets Normal Index
and IFC Investable Index
<TABLE>
<CAPTION>
Brinson Emerging Markets IFC Investable Brinson Emerging Markets
Equity Fund Index Normal Index
<S> <C> <C> <C>
06/30/95 100,000.00 100,000.00 100,000.00
07/31/95 99,469.00 103,182.02 102,850.20
08/31/95 94,941.00 100,416.48 98,386.10
09/30/95 95,041.00 99,655.43 97,962.40
10/31/95 92,298.00 95,895.13 94,979.00
11/30/95 90,060.00 95,415.73 92,640.40
12/31/95 93,164.00 98,735.58 95,588.00
01/31/96 99,521.00 107,014.23 103,818.90
02/29/96 99,709.00 104,638.20 103,205.70
03/31/96 100,005.00 106,166.29 103,477.90
04/30/96 104,747.00 110,456.93 108,273.20
05/31/96 103,691.00 109,477.15 107,510.00
06/30/96 105,701.00 110,708.61 109,643.90
</TABLE>
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
41
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
- --------------------------------------------------------------------------------
Top Ten Non-U.S. Equity Holdings
As of June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- ---------------------------------------------------------------------
<S> <C>
1. CPT Telefonica del Peru S.A. Class B 1.17%
2. Estabelecimentos Jeronimo Martins & Fihlo-SGPS S.A. 0.86
3. Telecomunicacoes Brasileiras S.A. Preferred 0.83
4. Philippine Long Distance Telephone Co. 0.73
5. Telekom Malaysia BHD 0.73
6. Portugal Telecom S.A. 0.72
7. Hellenic Telecommunication Organization S.A. 0.71
8. De Beers Centenary AG 0.64
9. Tenaga Nasional BHD 0.63
10. Sime Darby BHD 0.63
</TABLE>
Market Allocation
As of June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Market Normal
Allocation Policy
- ---------------------------------------------------
<S> <C> <C>
Argentina 5.9% 5.9%
Brazil 4.9 5.9
Chile 6.4 5.9
Mexico 5.9 5.9
Indonesia 5.4 5.9
Korea 6.4 5.9
Malaysia 4.9 5.9
Philippines 4.9 5.9
Taiwan 5.9 5.9
Thailand 5.9 5.9
Greece 5.4 5.9
Israel 6.9 5.9
Portugal 6.3 5.0
South Africa 5.4 5.9
Turkey 5.9 5.9
China 1.4 3.0
India 4.0 3.0
Peru 3.0 3.0
Poland 4.3 3.0
Czech Republic 1.2 0.0
Cash 0.2 0.0
- ---------------------------------------------------
100.0% 100.0%
</TABLE>
Totals may not add due to rounding.
42
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Non-U.S. Equities - 53.21%
Argentina - 1.56%
Astra Cia Argentina de Petroleo S.A. .................................................... 25,000 $ 60,090
Banco de Galicia y Buenos Aires S.A. Class B ............................................ 23,500 150,626
Banco Frances del Rio de la Plata S.A. .................................................. 11,000 105,979
Buenos Aires Embotelladora S.A. Class B ................................................. 80 53,680
Cia Interamericana de Automo S.A. (b) ................................................... 14,500 103,105
Corp. Cementera Argentina S.A. (b) ...................................................... 3,000 13,821
Disco S.A. ADR (b,c) .................................................................... 6,000 132,750
Inversiones y Representaciones S.A. ..................................................... 24,000 81,722
Juan Minetti S.A. ....................................................................... 3,000 13,821
Metrogas S.A. Series B .................................................................. 13,000 13,670
Molinos Rio de la Plata S.A. Class B .................................................... 6,500 69,980
Perez Companc S.A. Class B .............................................................. 54,250 359,946
Siderca S.A. Class A .................................................................... 72,000 98,428
Telecom Argentina S.A. Class B .......................................................... 23,000 108,493
Telefonica de Argentina S.A. Class B .................................................... 50,000 149,224
Transportadora de Gas del Sursa S.A. Class B ............................................ 24,000 59,129
YPF Sociedad Anomina S.A. Class D ....................................................... 12,000 274,612
------------
1,849,076
------------
Brazil - 4.88%
Aracruz Celulose S.A. Preferred B ....................................................... 64,000 120,478
Banco Bradesco S.A. Preferred ........................................................... 31,950,000 256,808
Banco Itau S.A. Preferred ............................................................... 410,000 167,430
Brazil Fund, Inc. (c) ................................................................... 20,266 483,851
Centrais Electricas Brasileiras S.A. .................................................... 1,540,000 421,813
Centrais Electricas Brasileiras S.A. Preferred B ........................................ 615,000 174,577
Cia Cervejaria Brahma ................................................................... 117,800 73,332
Cia Cervejaria Brahma Preferred ......................................................... 316,000 187,271
Cia Energetica de Minas Gerais Preferred ................................................ 5,630,000 151,965
Cia Energetica de Sao Paulo Preferred (b) ............................................... 3,000,000 109,363
Cia Paranaense de Energia ............................................................... 7,420,000 84,990
Cia Paulista de Forca e Luz (b) ......................................................... 220,000 20,159
Cia Siderurgica Belgo-Mineira ........................................................... 670,000 46,713
Cia Siderurgica Nacional ................................................................ 5,610,000 145,279
Cia Suzano de Papel e Celulose Preferred ................................................ 14,000 54,382
Cia Vale do Rio Doce .................................................................... 9,546 191,586
Cia Vale do Rio Doce Preferred........................................................... 7,314 181,393
Cia Vidraria Santa Marina ............................................................... 12,000 47,211
Copene Petroquimica do Nordeste S.A. .................................................... 146,000 70,528
Industrias Klabin de Papel e Celulose S.A. Preferred .................................... 56,000 70,279
Itausa Investimentos Itau S.A. Preferred ................................................ 167,000 128,078
Light Participacoes ..................................................................... 310,000 12,350
Lojas Americanas S.A. Preferred ......................................................... 2,400,000 47,689
Perdigao S.A. Comercio e Industria Preferred ............................................ 6,500,000 11,589
Petroleo Brasileiro S.A. Preferred ...................................................... 3,250,000 406,574
Souza Cruz S.A. ......................................................................... 10,000 87,948
Telecomunicacoes Brasileiras S.A. ....................................................... 4,470,000 266,241
Telecomunicacoes Brasileiras S.A. Preferred ............................................. 13,650,000 976,165
Telecomunicacoes de Sao Paulo S.A. ...................................................... 1,080,000 190,398
Telecomunicacoes de Sao Paulo S.A. Preferred ............................................ 1,790,000 385,099
Usinas Siderurgicas de Minas Gerais Preferred ........................................... 105,200,000 113,164
White Martins S.A. ...................................................................... 58,300,000 81,293
------------
5,765,996
------------
Chile - 4.52%
Chile Fund, Inc (c) ..................................................................... 218,000 5,341,000
------------
China - 1.42%
Guangshen Railway Co. Ltd. ADR (b,c) .................................................... 5,000 95,625
Jinqiao Export Processing Zone Dev. Co. Ltd. Class B (c) ................................ 100,000 39,000
Maanshan Iron & Steel Co. (d) ........................................................... 2,020,000 354,912
Shanghai Chlor-Alkali Chemical Co. Class B (c) .......................................... 365,000 89,060
Shanghai Dajiang Group Co. Ltd. Class B (c) ............................................. 160,000 82,880
Shanghai Dazhong Taxi Co. Class B (c) ................................................... 55,000 40,150
</TABLE>
43
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
China - (continued)
Shanghai Diesel Engine Co. Ltd. Class B (c) ............................................. 114,000 $ 47,880
Shanghai Industrial Sewing Machine Co. Ltd. Class B (b,c) ............................... 210,000 28,980
Shanghai Petrochemical Co. Ltd. (d) ..................................................... 1,390,000 395,065
Shanghai Tire & Rubber Co. Ltd. Class B (c) ............................................. 170,000 42,500
Shanghai Waigaoqiao Free Trade Zone Dev. Co. Ltd. Class B (c) ........................... 100,000 42,000
Shanghai Yaohua Pilkington Glass Co. Ltd. Class B (b,c) ................................. 198,750 119,250
Tsingtao Brewery Co. Ltd. (d) ........................................................... 274,000 99,115
Yizheng Chemical Fibre Co. Ltd. (d) ..................................................... 900,000 198,825
------------
1,675,242
------------
Greece - 4.40%
AEGEK ................................................................................... 30,000 199,379
Alfa-Beta Vassilopoulos S.A. ............................................................ 7,000 100,313
Alfa-Beta Vassilopoulos S.A. Preferred .................................................. 3,200 35,224
Alpha Credit Bank ....................................................................... 2,093 110,411
Aluminum of Greece S.A. ................................................................. 2,000 85,152
Commercial Bank of Greece S.A. .......................................................... 20,290 661,592
Elais Co. S.A. .......................................................................... 4,650 150,656
Ergo Bank S.A. .......................................................................... 11,620 639,530
ETBA Leasing S.A. ....................................................................... 8,300 117,218
Hellas Can Packaging S.A. ............................................................... 19,900 425,695
Hellenic Bottling Co. S.A. .............................................................. 18,320 608,010
Hellenic Sugar Industry S.A. ............................................................ 11,950 112,180
Hellenic Telecommunication Organization S.A. ............................................ 51,000 845,243
Heracles General Cement Co. S.A. ........................................................ 27,850 334,320
Intracom S.A. ........................................................................... 6,900 122,181
Ionian Bank S.A. ........................................................................ 9,600 172,264
Michaniki S.A. .......................................................................... 5,800 67,336
Titan Cement Co. S.A. ................................................................... 8,450 417,328
------------
5,204,032
------------
India - 1.93%
Morgan Stanley India Investment Fund, Inc. (b,c) ........................................ 203,000 2,283,750
------------
Indonesia - 2.05%
Bank Dagang Nasional Indonesia .......................................................... 95,875 80,328
Bank Internasional Indonesia ............................................................ 13,000 64,234
Barito Pacific Timber ................................................................... 80,500 52,746
Ciputra Development ..................................................................... 31,500 63,949
Gadjah Tunggal .......................................................................... 90,000 44,470
Gudang Garam ............................................................................ 86,000 368,583
Gudang Garam Foreign .................................................................... 4,500 19,286
Hanjaya Mandala Sampoerna (b) ........................................................... 30,000 341,579
Indah Kiat Pulp & Paper Corp. ........................................................... 46,602 45,552
Indah Kiat Pulp & Paper Corp. Rights .................................................... 11,650 11,388
Indah Kiat Pulp & Paper Corp. Warrants .................................................. 6,990 3,529
Indocement Tunggal Perkasa .............................................................. 49,000 168,426
Indosat ................................................................................. 66,000 221,898
Inti Indorayon Utama .................................................................... 44,500 43,020
Kalbe Farma ............................................................................. 17,500 39,099
Lippo Bank .............................................................................. 19,500 33,094
Mayora Indah ............................................................................ 122,000 68,144
Modern Photo Film Co. ................................................................... 21,000 90,228
Semen Gresik ............................................................................ 41,000 119,349
Telekomunikasi Indonesia ................................................................ 360,000 545,238
------------
2,424,140
------------
Israel - 3.59%
Africa-Israel Investments (1985) Ltd. (b) ............................................... 45 37,924
Africa-Israel Investments (1985) Ltd. Preferred (b) ..................................... 90 84,298
Bank Hapoalim Ltd. ...................................................................... 341,000 499,944
Bank Leumi Le-Israel (b) ................................................................ 212,000 250,233
Bezeq Israeli Telecommunications Corp. Ltd. ............................................. 150,100 396,301
</TABLE>
44
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Israel - (continued)
Clal Electronics Industries Ltd. (b) .................................................... 740 $ 75,352
Clal Industries Ltd. .................................................................... 40,807 210,157
Clal Israel Ltd. (b) .................................................................... 600 14,192
Dead Sea Bromine (b) .................................................................... 9,100 45,989
Dead Sea Works Ltd. ..................................................................... 72,889 192,445
Discount Investment Corp. ............................................................... 3,100 209,106
Elbit Ltd. (b) .......................................................................... 1,600 94,765
Elco Holdings Ltd. ...................................................................... 3,900 153,509
First International Bank Israel Ltd. .................................................... 2,000 207,797
IDB Development Corp. Ltd. (b) .......................................................... 9,700 176,019
IDB Holding Corp. Ltd. (b) .............................................................. 24,500 98,475
Industrial Buildings Corp. (b) .......................................................... 60,200 58,715
Israel Chemicals Ltd. (b) ............................................................... 290,000 242,312
Koor Industries Ltd. .................................................................... 3,750 315,897
Makhteshim Chemical Works Ltd. .......................................................... 16,000 87,321
Osem Investment Ltd. .................................................................... 13,050 76,369
Shekem Ltd. (b) ......................................................................... 120,000 52,929
Supersol Ltd. (b) ....................................................................... 7,600 160,692
Tadiran Ltd. ............................................................................ 28,000 119,674
Teva Pharmaceutical Industries Ltd. ..................................................... 1,020 383,278
------------
4,243,693
------------
Korea - 1.44%
Anam Electronics Co. (b) ................................................................ 1,900 25,765
Cho Hung Bank Co. Ltd. .................................................................. 3,800 46,063
Commercial Bank of Korea ................................................................ 14,000 135,500
Daelim Industrial Co. ................................................................... 7,568 116,621
Daewoo Electronics Co. .................................................................. 4,500 39,443
Daewoo Heavy Industries ................................................................. 2,500 21,204
Daewoo Securities Co. Ltd. Preferred .................................................... 2,600 38,142
Daewoo Telecom Co. ...................................................................... 1,500 16,495
Dong Shin Construction Co. .............................................................. 4,800 36,037
Dong-A Pharmaceutical Co. Ltd. .......................................................... 700 17,949
Hanil Bank .............................................................................. 4,100 44,979
Hanwha Machinery Co. Ltd. (b) ........................................................... 1,500 22,745
Housing & Commercial Bank, Korea (b) .................................................... 3,860 106,125
Hyundai Engineering & Construction Co. (b) .............................................. 1,700 76,276
Hyundai Motor Co. Ltd. .................................................................. 70 3,037
Hyundai Securities Co. .................................................................. 1,500 34,764
Keum Kang Development Ind. Co. .......................................................... 1,300 23,558
Kookmin Bank ............................................................................ 260 5,673
Korea Electric Power Corp. .............................................................. 4,760 188,951
Korea Mobile Telecommunications Corp. ................................................... 90 106,512
Korean Air .............................................................................. 1,000 25,863
Kumho Construction & Engineering Co. Ltd. ............................................... 3,400 33,951
LG Cable & Machinery .................................................................... 1,000 19,478
LG Information & Communication .......................................................... 176 20,307
LG Insurance Co. Ltd. ................................................................... 20 2,136
LG Metal ................................................................................ 1,200 19,675
Orion Electric Co. ...................................................................... 1,000 19,231
Pohang Iron & Steel Co. Ltd. ............................................................ 300 23,719
Poongsan Corp. .......................................................................... 1,500 19,971
Samsung Display Devices Co. ............................................................. 500 35,812
Samsung Electronics Co. ................................................................. 2,194 184,192
Samsung Heavy Industries ................................................................ 1,974 30,662
Shinan Bank ............................................................................. 1,580 35,169
Ssangyong Cement Co. Ltd. ............................................................... 2,600 62,182
Ssangyong Investment & Securities Co. Ltd. .............................................. 2,500 44,997
Yukong Ltd. ............................................................................. 800 23,472
------------
1,706,656
------------
</TABLE>
45
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Malaysia - 4.76%
Genting Bhd ............................................................................. 28,000 $ 218,820
Hume Industries (Malaysia) Bhd .......................................................... 58,000 283,584
Kuala Lumpur Kepong Bhd ................................................................. 193,500 488,558
Land & General Holdings Bhd ............................................................. 136,000 335,204
Malayan Banking Bhd ..................................................................... 66,000 634,819
Malaysia International Shipping Bhd (Frgn.) ............................................. 85,000 264,007
Nestle (Malaysia) Bhd ................................................................... 34,000 273,886
Public Bank Bhd (Frgn.) ................................................................. 145,000 400,970
Resorts World Bhd ....................................................................... 33,000 189,123
Sime Darby Bhd .......................................................................... 268,000 741,103
Telekom Malaysia Bhd .................................................................... 97,000 863,017
Tenaga Nasional Bhd ..................................................................... 177,000 744,830
YTL Corp. Bhd ........................................................................... 36,000 187,560
------------
5,625,481
------------
Mexico - 1.09%
Alfa S.A. Class A ....................................................................... 15,558 69,993
Apasco S.A. ............................................................................. 8,000 44,012
Cemex S.A. Class A ...................................................................... 15,000 54,224
Cemex S.A. Class B ...................................................................... 14,000 55,227
Cifra S.A. Series A (b) ................................................................. 28,000 40,635
Cifra S.A. Series B (b) ................................................................. 34,000 49,073
El Puerto de Liverpool S.A. Series 1 .................................................... 25,000 20,713
Empresas ICA Sociedad Controladora S.A. ................................................. 3,000 42,152
Empresas La Moderna S.A. Series A ....................................................... 9,000 40,252
Fomento Economico Mexicano S.A. Class B ................................................. 18,000 51,532
Grupo Carso S.A. Series A1 (b) .......................................................... 21,000 148,779
Grupo Financiero Banamex Accival S.A. Class B ........................................... 17,510 36,500
Grupo Industrial Bimbo S.A. Series A .................................................... 9,000 41,202
Grupo Mexico S.A. Series B (b) .......................................................... 17,000 52,258
Grupo Televisa S.A. Series CPO (b) ...................................................... 4,500 70,649
Industrias Penoles S.A. ................................................................. 9,000 41,202
Kimberly-Clark de Mexico S.A. Class A ................................................... 1,500 27,310
Kimberly-Clark de Mexico S.A. Class B ................................................... 1,000 18,207
Telefonos de Mexico S.A. ................................................................ 190,000 322,862
Vitro S.A. .............................................................................. 27,000 62,338
------------
1,289,120
------------
Peru - 2.93%
Banco Wiese ............................................................................. 54,000 96,879
Banco Wiese ADR (c) ..................................................................... 8,500 60,562
Cementos Lima S.A. ...................................................................... 15,470 216,709
Cerveceria Backus & Johnston S.A. ....................................................... 257,613 321,832
Cia de Minas Buenaventura S.A. Class A .................................................. 14,836 130,713
Cia de Minas Buenaventura S.A. Class B .................................................. 3,449 33,905
Cia Minera Milpo S.A. ................................................................... 3,000 18,678
Cia Nacional De Cerveza ................................................................. 21,000 73,544
CPT Telefonica del Peru S.A. Class B .................................................... 689,115 1,388,730
Credicorp Lima Registered (c) ........................................................... 11,803 234,590
Credicorp Ltd. (c) ...................................................................... 18,800 373,645
Ferreyros S.A. .......................................................................... 50,000 67,584
Minsur S.A. ............................................................................. 2,000 17,818
Southern Peru Copper Corp. (c) .......................................................... 27,675 435,881
------------
3,471,070
------------
Philippines - 4.09%
Ayala Corp. Class B ..................................................................... 375,400 709,272
Ayala Land, Inc. Class B ................................................................ 373,200 669,504
Engineering & Equipment Corp. ........................................................... 130,000 11,413
JG Summit Holding, Inc. Class B ......................................................... 854,000 319,446
Manila Electric Co. Class B ............................................................. 40,500 425,110
Metropolitan Bank & Trust Co. ........................................................... 12,325 345,770
Petron Corp. ............................................................................ 1,050,000 480,932
</TABLE>
46
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Philippines - (continued)
Philippine Commercial International Bank (c) ............................................ 22,700 $ 283,760
Philippine Long Distance Telephone Co. .................................................. 14,550 866,366
San Miguel Corp. Class B ................................................................ 118,280 408,577
SM Prime Holdings, Inc. ................................................................. 1,160,400 301,183
Universal Robina Corp. .................................................................. 24,000 12,825
------------
4,834,158
------------
Poland - 1.46%
Bank Inicjatyw Gospodarczych ............................................................ 152,000 190,049
Bank Rozwoju Eksportu S.A. .............................................................. 13,500 352,480
E. Wedel S.A. ........................................................................... 2,200 98,702
Elektrim Spolka Akcyjna S.A. ............................................................ 32,000 262,421
Exbud S.A. (b) .......................................................................... 3,700 39,459
Huta Szkla Gospodarczego Irena .......................................................... 2,000 17,946
Mostostal-Export S.A. ................................................................... 27,000 92,340
Okocimskie Zaklady Piwowarsk (b) ........................................................ 12,000 114,735
Polifarb-Cieszyn S.A. (b) ............................................................... 18,000 91,347
Universal S.A. .......................................................................... 14,500 39,992
Vistula S.A. ............................................................................ 8,000 30,596
Wielkopolski Bank Kredytowy S.A. ........................................................ 74,000 400,029
------------
1,730,096
------------
Portugal - 5.29%
Banco Comercial Portugues ............................................................... 50,200 592,680
Banco Comercial Portugues Rights ........................................................ 10,920 128,926
Banco Espirito Santo e Comercial de Lisboa .............................................. 38,400 616,086
Banco Totta & Acores .................................................................... 13,400 261,937
Banco Totta & Acores Bonus Shares ....................................................... 454 8,875
BPI-SGPS S.A. ........................................................................... 22,300 282,495
BPI-SGPS S.A. Rights .................................................................... 9,767 127,156
Cimentos de Portugal S.A. ............................................................... 19,800 411,176
Corticeira Amorim S.A. .................................................................. 23,600 265,527
Estabelecimentos Jeronimo Martins & Filho-SGPS S.A. ..................................... 11,300 1,016,816
Modelo Continente-SGPS S.A. ............................................................. 11,700 341,006
Modelo Continente-SGPS S.A. Rights ...................................................... 7,500 218,593
Portugal Telecom S.A. ................................................................... 32,400 846,314
Sociedade de Construcoes Soares da Costa S.A. ........................................... 3,700 31,405
Sonae Investimentos-SGPS S.A. ........................................................... 25,200 654,545
Soporcel-Sociedade Portuguesa de Celulose S.A. .......................................... 20,400 449,543
------------
6,253,080
------------
South Africa - 4.56%
Amalgamated Banks of South Africa ....................................................... 43,015 238,404
Anglo American Coal Corp. Ltd. .......................................................... 1,250 90,640
Anglo American Corp. of South Africa .................................................... 1,150 72,899
Anglo American Industrial Corp. Ltd. .................................................... 4,817 193,557
Anglovaal Ltd. .......................................................................... 5,968 217,755
Barlow Ltd. ............................................................................. 14,727 153,892
De Beers Centenary AG ................................................................... 22,133 761,568
Edgars Stores Ltd. ...................................................................... 1,200 34,917
First National Bank Holdings Ltd. ....................................................... 24,700 178,250
Free State Consolidated Gold Mines Ltd. ................................................. 3,300 31,054
Gencor Ltd. ............................................................................. 48,375 178,740
Impala Platinum Holdings Ltd. ........................................................... 9,822 141,196
ISCOR Ltd. .............................................................................. 211,350 165,457
Kloof Gold Mining Co. Ltd. .............................................................. 20,178 191,049
Liberty Life Association of Africa Ltd. ................................................. 15,500 496,646
Murray & Roberts Holdings Ltd. .......................................................... 28,100 112,262
Nampak Ltd. ............................................................................. 15,700 64,899
Nedcor Ltd. ............................................................................. 14,368 217,330
Pepkor Ltd. ............................................................................. 13,736 66,613
Pick'n Pay Stores Ltd. .................................................................. 12,900 44,834
Rembrandt Group Ltd. .................................................................... 33,419 314,101
Rustenburg Platinum Holdings Ltd. ....................................................... 12,404 193,351
</TABLE>
47
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
South Africa - (continued)
Samancor Ltd. ........................................................................... 11,797 $ 153,241
Sappi Ltd. .............................................................................. 7,049 77,973
Sasol Ltd. .............................................................................. 27,300 296,307
South African Breweries Ltd. ............................................................ 14,200 416,461
Tiger Oats Ltd. ......................................................................... 10,650 149,409
Vaal Reefs Exploration & Mining Co. Ltd. ................................................ 514 41,960
Western Areas Gold Mining Co. Ltd. ...................................................... 6,353 99,030
------------
5,393,795
------------
Taiwan - 0.14%
Taiwan Fund, Inc. (c) ................................................................... 7,000 168,000
------------
Thailand - 1.20%
Advanced Info Service PLC ............................................................... 3,300 51,710
Advanced Info Service PLC Foreign ....................................................... 1,500 22,206
Asia Credit PLC Foreign ................................................................. 9,500 60,593
Bangkok Bank PLC Foreign ................................................................ 8,100 109,704
Bangkok Expressway PLC (b) .............................................................. 35,000 57,531
Bank of Ayudhya PLC Foreign ............................................................. 21,500 118,508
Electricity Generating PLC Foreign ...................................................... 9,000 31,359
First Bangkok City Bank PLC Foreign ..................................................... 9,000 14,882
Industrial Finance Corp. of Thailand .................................................... 11,000 49,372
Italian-Thai Development PLC ............................................................ 6,300 58,537
Jasmine International PLC ............................................................... 21,500 77,030
Krung Thai Bank PLC Foreign ............................................................. 8,000 37,482
Land & House PLC Foreign ................................................................ 4,800 60,474
National Finance & Securities Co. Ltd. Foreign .......................................... 8,000 35,592
PTT Exploration & Production PLC Foreign ................................................ 4,600 67,372
Shinawatra Computer Co. PLC ............................................................. 2,800 60,191
Shinawatra Computer Co. PLC Foreign ..................................................... 1,300 28,151
Siam Cement PLC Foreign ................................................................. 1,900 93,208
Siam City Bank PLC Foreign .............................................................. 12,000 12,874
Siam City Bank THB5 ..................................................................... 63,000 58,289
Siam City Cement PLC Foreign ............................................................ 5,200 65,514
TelecomAsia Corp. PLC (b) ............................................................... 43,000 91,420
Thai Petrochemical Industry PLC ......................................................... 8,500 9,287
Thai Petrochemical Industry PLC New Shares .............................................. 2,125 837
Thai Telephone & Communication PLC (b) .................................................. 23,400 50,210
TPI Polene PLC .......................................................................... 3,300 14,941
TPI Polene PLC Foreign .................................................................. 2,200 11,953
United Communication Industry ........................................................... 5,100 67,065
------------
1,416,292
------------
Turkey - 1.90%
Akbank T.A.S. ........................................................................... 150,000 18,074
Akcimento T.A.S. ........................................................................ 700,000 63,046
Brisa Bridgestone Sabanci Lastik San Ve T.A.S. .......................................... 290,000 116,477
Cimentas A.S. ........................................................................... 280,000 61,342
Dogan Sirketler Grubu Holding A.S. ...................................................... 2,500,000 106,496
Ege Biracilik Ve Malt Sanayii A.S. ...................................................... 200,000 91,283
Eregli Demir Ve Celik Fabrikalari T.A.S. ................................................ 850,000 94,143
Izmir Demir Celik Sanayii A.S. .......................................................... 11,073,600 121,299
Koc Holding A.S. ........................................................................ 950,000 231,249
Kordsa Kord Bezi Sanayii Ve T.A.S. ...................................................... 200,000 63,289
Migros Turk T.A.S. ...................................................................... 55,000 48,197
Netas-Northern Elektrik Telekomunikasyon A.S. ........................................... 400,000 94,934
Otosan Otomobil Sanayii A.S. ............................................................ 320,000 109,052
Petkim Petrokimya Holding A.S. .......................................................... 280,000 132,908
Tat Konserve Sanayii A.S. ............................................................... 180,000 42,173
Tofas-Turk Otomobil Fabrikasi A.S. ...................................................... 1,600,000 76,921
Tupras-Turkiye Petrol Rafinerileri A.S. ................................................. 850,000 160,353
Turkiye Garanti Bankasi A.S. ............................................................ 5,300,000 361,236
</TABLE>
48
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------- ------------
<S> <C> <C>
Turkey - (continued)
Yapi Ve Kredi Bankasi A.S. .............................................................. 9,200,000 $ 260,338
------------
2,252,810
------------
Total Non-U.S. Equities
(Cost $60,273,455) ................................................................... 62,927,487
------------
<CAPTION>
Face
Amount Value
----------- ------------
<S> <C> <C>
Short-Term Investments - 43.56%
U.S. Government Obligations - 3.40%
U.S. Treasury Note, 7.250%, due 11/30/96 ................................................ $4,000,000 $ 4,027,500
------------
Commercial Paper - 40.16%
Airtouch Communications, Inc., 5.460%, due 07/01/96 ..................................... 2,000,000 2,000,000
Ashland, Inc.
5.500%, due 07/02/96 ................................................................ 2,500,000 2,499,618
5.550%, due 07/02/96 ................................................................ 1,500,000 1,499,769
Baxter International, Inc., 5.520%, due 07/08/96 ........................................ 1,500,000 1,498,390
ConAgra, Inc., 5.570%, due 07/11/96 ..................................................... 2,000,000 1,996,906
Crown Cork & Seal Co., Inc.
5.490%, due 07/31/96 ................................................................ 1,000,000 995,429
5.560%, due 08/06/96 ................................................................ 400,000 397,664
Dial Corp.
5.650%, due 07/23/96 ................................................................ 2,000,000 1,993,094
5.480%, due 07/24/96 ................................................................ 2,500,000 2,491,247
5.550%, due 08/06/96 ................................................................ 2,000,000 1,988,900
Excel Paralubes Funding Corp.
5.480%, due 07/12/96 ................................................................ 1,500,000 1,497,488
5.550%, due 07/25/96 ................................................................ 1,000,000 996,300
FMC Corp., 5.480%, due 07/08/96 ......................................................... 4,500,000 4,495,208
Mattel, Inc.
5.500%, due 07/25/96 ................................................................ 1,500,000 1,494,500
5.500%, due 08/12/96 ................................................................ 1,000,000 993,583
5.480%, due 08/22/96 ................................................................ 1,000,000 992,084
Melville Corp., 5.680%, due 07/01/96 .................................................... 2,002,000 2,002,000
PS Colorado Credit Corp., 5.520%, due 07/01/96 .......................................... 2,000,000 2,000,000
Sundstrand Corp.
5.550%, due 07/12/96 ................................................................ 2,000,000 1,996,608
5.500%, due 07/23/96 ................................................................ 850,000 847,143
Texas Utilities Co., 5.650%, due 07/01/96 ............................................... 2,000,000 2,000,000
Textron, Inc., 5.600%, due 07/03/96 ..................................................... 2,000,000 1,999,378
The Limited, Inc., 5.650%, due 07/01/96 ................................................. 2,443,000 2,443,000
Tyson Foods, Inc., 5.510%, due 07/08/96 ................................................. 400,000 399,571
Union Pacific Corp., 5.490%, due 07/19/96 ............................................... 500,000 498,628
Unocal Corp., 5.520%, due 07/18/96 ...................................................... 1,500,000 1,496,090
Whitman Corp.
5.520%, due 07/09/96 ................................................................ 2,000,000 1,997,547
5.600%, due 08/19/96 ................................................................ 2,000,000 1,984,756
------------
47,494,901
Total Short-Term Investments ------------
(Cost $51,522,701) .................................................................. 51,522,401
------------
Total Investments
(Cost $111,796,156) - 96.77% (a) ..................................................... 114,449,888
------------
Cash and other assets, less liabilities - 3.23% ......................................... 3,818,471
------------
Net Assets - 100% ....................................................................... $118,268,359
============
</TABLE>
See accompanying notes to financial statements.
49
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $111,796,156; and net
unrealized appreciation consisted of:
Gross unrealized appreciation................... $ 5,780,386
Gross unrealized depreciation................... (3,126,654)
-----------
Net unrealized appreciation................. $ 2,653,732
===========
(b) Non-income producing security.
(c) Denominated in U.S. dollars.
(d) Denominated in Hong Kong dollars.
EQUITY SWAP CONTRACTS (Note 4)
The Brinson Emerging Markets Equity Fund has entered into equity swap contracts
as of June 30, 1996. These swaps serve to reduce the Fund's exposure, as a
percentage of net assets, to short-term investments and cash and other net
assets from 46.79% to 2.18% and increase the Fund's exposure to various
countries. The following reflects the open swap positions as of June 30, 1996
aggregated by country exposure:
<TABLE>
<CAPTION>
Net Unrealized
Notional Amounts Maturity Dates Country Gain (Loss) Exposure
- ---------------- ------------------ -------------- -------------- --------
<S> <C> <C> <C> <C>
$ 5 ,098,709 09/27/96-12/12/96 Argentina $ (18,682) 4.29%
2,000,000 07/12/96 Chile (69,439) 1.63
1,245,298 07/11/96-09/30/96 Czech Republic 83,820 1.12
1,009,120 09/30/96 Greece (53,334) 0.81
2,460,253 09/30/96-02/28/97 India 41,820 2.12
3,547,590 09/30/96-12/12/96 Indonesia 7,673 3.01
3,529,806 09/30/96-12/11/97 Israel (300,960) 2.73
5,015,014 09/30/96-12/12/96 Korea (473,553) 3.84
4,627,641 09/27/96-12/12/96 Mexico 247,443 4.12
1,000,000 05/17/97 Philippines 5,402 0.85
2,742,703 09/30/96-12/11/97 Poland 1,286,180 3.41
1,250,000 09/30/96 Portugal 107,618 1.15
1,000,000 09/30/96 South Africa (20,457) 0.83
6,116,782 09/30/96-03/04/97 Taiwan 1,083,197 6.09
5,232,577 09/30/96-12/12/96 Thailand (203,204) 4.25
4,351,931 09/30/96-12/12/96 Turkey 804,892 4.36
----------- ---------- -----
$50,227,424 $2,528,416 44.61%
=========== ========== =====
</TABLE>
See accompanying notes to financial statements.
50
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $111,796,156) (Note 1).............................. $114,449,888
Cash............................................................................ 8,241,611
Foreign currency, at value (Cost $613,724)...................................... 611,127
Receivables:
Net unrealized gain on open equity swap contracts (Note 4)................... 2,528,416
Equity swap contracts closed................................................. 1,207,220
Dividends.................................................................... 167,944
Interest .................................................................... 24,563
------------
TOTAL ASSETS.......................................................... 127,230,769
------------
LIABILITIES:
Payables:
Investment securities purchased.............................................. 8,443,327
Equity swap contracts closed................................................. 370,437
Accrued expenses............................................................. 147,215
Other liabilities............................................................... 1,431
------------
TOTAL LIABILITIES..................................................... 8,962,410
------------
NET ASSETS:
Applicable to 11,188,982 shares; no par value, unlimited shares authorized...... $118,268,359
============
Net asset value per share
($118,268,359 / 11,188,982 shares)........................................... $ 10.5701
============
Maximum offering price per share (net asset value,
plus 1.52% of net asset value, or 1.50% of offering price) (Note 7).......... $ 10.7311
============
Redemption price per share (net asset value,
less 1.50% of net asset value, or 1.52% of redemption value) (Note 7)........ $ 10.4115
============
NET ASSETS CONSIST OF:
Paid in capital................................................................. $109,516,340
Accumulated net investment income............................................... 2,963,378
Accumulated net realized gain................................................... 610,520
Net unrealized appreciation..................................................... 5,178,121
------------
NET ASSETS............................................................ $118,268,359
============
</TABLE>
See accompanying notes to financial statements.
51
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- -----------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest........................................ $ 1,442,058
Dividends (net of $75,811 for
foreign taxes withheld)....................... 781,645
-----------
TOTAL INCOME.......................... 2,223,703
-----------
EXPENSES:
Custodian....................................... 101,196
Accounting...................................... 65,454
Professional.................................... 41,565
Other........................................... 46,799
-----------
TOTAL EXPENSES........................ 255,014
-----------
NET INVESTMENT INCOME................. 1,968,689
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments................................. (55,768)
Equity swap contracts....................... 1,660,259
Foreign currency transactions............... (93,571)
-----------
Net realized gain....................... 1,510,920
-----------
Change in net unrealized appreciation or
depreciation on:
Investments and foreign currency............ 8,853,417
Translation of other assets and liabilities
denominated in foreign currency........... (12,469)
-----------
Change in net unrealized appreciation
or depreciation....................... 8,840,948
-----------
Net realized and unrealized gain................ 10,351,868
-----------
Net increase in net assets resulting
from operations............................... $12,320,557
===========
</TABLE>
See accompanying notes to financial statements.
52
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
- -----------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1996 Ended
(Unaudited) December 31, 1995*
---------------- -----------------
<S> <C> <C>
OPERATIONS:
Net investment income............ $ 1,968,689 $ 994,689
Net realized gain (loss)......... 1,510,920 (900,400)
Change in net unrealized
appreciation or depreciation... 8,840,948 (3,662,827)
------------ -------------
Net increase (decrease) in net
assets resulting from
operations.................... 12,320,557 (3,568,538)
------------ -------------
CAPITAL SHARE TRANSACTIONS:
Shares sold (Note 7)............. 15,820,827 93,700,000
Shares redeemed.................. (1,997) (2,500)
------------ -------------
Net increase in net assets
resulting from capital share
transactions (a)............... 15,818,830 93,697,500
------------ -------------
TOTAL INCREASE IN NET
ASSETS................ 28,139,387 90,128,962
------------ -------------
NET ASSETS:
Beginning of period.............. 90,128,972 10
------------ -------------
End of period (including
accumulated net investment
income of $2,963,378 and
$994,689 respectively)......... $118,268,359 $ 90,128,972
============ ============
(a) A summary of capital share
transactions follows:
Shares Shares
------------ -------------
Shares sold...................... 1,514,918 9,674,521
Shares redeemed.................. (194) (264)
------------ -------------
Net increase in shares
outstanding................ 1,514,724 9,674,257
============ =============
</TABLE>
* The Fund commenced operations June 30, 1995
See accompanying notes to financial statements.
53
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1996 Ended
(Unaudited) December 31, 1995*
---------------- -----------------
<S> <C> <C>
Net asset value, beginning of
period............................ $ 9.3164 $10.0000
-------- --------
Income from investment operations:
Net investment income............ 0.1620 0.1028
Net realized and unrealized
gain (loss)..................... 1.0917 (0.7864)
-------- --------
Total gain (loss) from
investment operations...... 1.2537 (0.6836)
-------- --------
Net asset value, end of period...... $10.5701 $ 9.3164
======== ========
Total return........................ 13.46% (6.84%)
Ratios/Supplemental data
Net assets, end of period
(in 000s)...................... $118,268 $ 90,129
Ratio of expenses to average
net assets..................... 0.50%** 0.50%**
Ratio of net investment income
to average net assets.......... 3.86%** 3.86%**
Portfolio turnover rate.......... 10% 2%
Average commission rate paid
per share...................... $ 0.0012 $ 0.0016
</TABLE>
* The Fund commenced operations June 30, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
54
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
The Brinson Emerging Markets Debt Fund is an actively managed diversified
portfolio of fixed income securities issued by sovereign, agency and corporate
borrowers domiciled in countries typically excluded from the definition of
"developed" markets. Our goal is to achieve a return exceeding that of an
appropriate benchmark through active management. Fundamental economic and
political analyses are the key elements of the process. Relative value
analysis drives our duration, country allocation and security selection
strategies.
Since June 30, 1995, the Brinson Emerging Markets Debt Fund has earned
a total return of 36.38%, compared to the 34.84% return of its benchmark.
For the first half of the year, the portfolio returned 17.17% versus 15.47%
for the benchmark.
At year-end, J.P. Morgan's Emerging Markets Bond Index Plus (EMBI+)
supplanted the Emerging Markets Bond Index (EMBI) as our Fund benchmark. The
goal was to include a wider range of markets and debt instruments than the EMBI,
which comprises only Brady bonds; the EMBI+ comprises 79% Brady bonds, 12%
loans, 6% Eurobonds and 3% domestic issues as of June 1996.
The exceptionally large incremental return of the EMBI+ over equivalent
duration U.S. Treasury securities year-to-date, 16.30%, was due to incremental
yield and to principal gains resulting from credit spreads narrowing
approximately 2.5%.
Both market/country allocation strategies and security selection improved
portfolio results, the most notable of which were timely overweights in
Venezuela and Russia. Given the repeated monthly pattern of huge deviations in
total return for the best and worst performing countries, even small
underweights/overweights produce meaningful portfolio results. Because U.S.
interest rates have risen since we moved our interest rate duration strategy
to 1.2 times the index in March, this strategy has modestly detracted from
performance.
Our duration strategy continues to reflect a view that U.S. interest rates
will decline. The only notable country strategies are slight overweights in
Venezuela, Panama and Russia, which are offset by an underweight in Brazil.
55
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
Total Return
<TABLE>
<CAPTION>
6 months
ended 6/30/95*
06/30/96 to 6/30/96
- ---------------------------------------------------------------------
<S> <C> <C>
Brinson Emerging Markets Debt Fund 17.17% 36.38%
- ---------------------------------------------------------------------
JP Morgan EMBI+ 15.47% 34.84%
- ---------------------------------------------------------------------
</TABLE>
* Inception date of the Brinson Emerging Markets Debt Fund.
Illustration of an Assumed Investment of $100,000
This chart shows the growth in the value of an investment in the Brinson
Emerging Markets Debt Fund and the JP Morgan EMBI+ if you had invested $100,000
on June 30, 1995. Past performance is no guarantee of future results. Share
price and return will vary with market conditions; investors may realize a gain
or loss upon redemption.
Brinson Emerging Markets Debt Fund
vs. JP Morgan EMBI+
<TABLE>
<CAPTION>
Brinson Emerging Markets JP Morgan
Debt Fund EMBI+
<S> <C> <C>
06/30/95 100,000.00 100,000.00
07/31/95 98,952.00 100,073.63
08/31/95 101,671.00 102,435.36
09/30/95 105,713.00 105,964.34
10/31/95 104,843.00 104,875.67
11/30/95 108,802.00 108,546.33
12/31/95 116,401.00 116,771.85
01/31/96 127,448.00 125,645.95
02/29/96 118,868.00 118,714.79
03/31/96 121,904.00 121,419.01
04/30/96 129,544.00 128,043.28
05/31/96 132,236.00 130,258.91
06/30/96 136,384.00 134,837.96
</TABLE>
Fund returns are net of all fees and costs, while the Index returns are based
solely on market returns without deduction for fees or transaction costs for
rebalancing.
56
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
- --------------------------------------------------------------------------------
Market Allocation
As of June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Market
Allocation Index
- ----------------------------------------------
<S> <C> <C>
Argentina 15.3% 18.6%
Brazil 22.6 29.4
Bulgaria 1.6 1.8
Ecuador 3.8 2.4
Mexico 17.6 17.3
Morocco 0.0 1.5
Nigeria 2.6 0.9
Panama 2.4 0.5
Peru 0.0 1.4
Philippines 0.0 2.9
Poland 4.6 4.7
Russia 10.6 8.9
South Africa 0.0 0.7
Venezuela 10.9 9.0
Cash 8.0 0.0
- ----------------------------------------------
100.0% 100.0%
</TABLE>
57
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- ---------------------------------------------------------------
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
Bonds - 90.29%
International Dollar Bonds - 79.68%
Argentina - FRB FRN, 6.312%, due 03/31/05 .........................$21,780,000 $ 17,001,904
Argentina - Par Series L-GP FRN, 5.250%, due 03/31/23 ............. 12,500,000 6,851,500
Brazil - C Bond, 4.000%, due 04/15/14 ............................. 11,203,151 6,924,891
Brazil - DCB L FRN, 6.563%, due 04/15/12 .......................... 22,750,000 15,484,105
Brazil - Par Z-L, 4.250%, due 04/15/24 ............................ 18,000,000 9,888,660
Brazil New Money Bond L FRN, 6.563%, due 04/15/09 ................. 4,000,000 2,915,000
Bulgaria - Disc. Series A FRN, 6.250%, due 07/28/24 ............... 4,750,000 2,452,187
Equador - Disc. FRN, 6.063%, due 02/28/25 ......................... 6,000,000 3,390,000
Equador - Par, 3.000%, due 02/28/25 ............................... 6,750,000 2,438,437
Mexico - Disc. Series B FRN, 6.391%, due 12/31/19 ................. 4,000,000 3,130,000
Mexico - Disc. Series C FRN, 6.609%, due 12/31/19 ................. 4,000,000 3,130,000
Mexico - Disc. Series D FRN, 6.453%, due 12/31/19 ................. 5,000,000 3,912,500
Mexico - Par Series A, 6.250%, due 12/31/19 ....................... 5,750,000 3,723,125
Mexico - Par Series B, 6.250%, due 12/31/19 ....................... 21,000,000 13,597,500
Nigeria - Par Series WW, 6.250%, due 11/15/20 ..................... 7,750,000 4,112,305
Panama - IRB, 3.500%, due 07/17/14 ................................ 7,000,000 3,867,500
Poland - Reg. Disc. FRN, 6.438%, due 10/27/24 ..................... 3,000,000 2,812,500
Poland - Series PDIB, 3.750%, due 10/27/14 ........................ 5,750,000 4,413,125
Venezuela - DCB Series DL FRN, 6.563%, due 12/18/07 ............... 6,750,000 4,758,750
Venezuela - Par Series W-A, 6.750%, due 03/31/20 .................. 4,500,000 2,756,250
Venezuela Series A FRN, 6.375%, due 03/31/07 ...................... 9,250,000 6,671,563
Venezuela Series B FRN, 6.500%, due 03/31/07 ...................... 4,000,000 2,885,000
------------
127,116,802
------------
Loan Participation Certificate - 10.61%
Vneshekonom Bank Loan Participation, 0.000%, due 01/01/00 ......... 35,000,000 16,931,250
------------
Total Bonds
(Cost $130,978,673) ........................................... 144,048,052
------------
Short Term Investments - 13.50%
U.S. Government Obligations - 0.07%
U.S. Treasury Bill, 5.090%, due 11/14/96 .......................... 115,000 112,789
------------
Commercial Paper - 13.43%
Ashland, Inc.
5.500%, due 07/02/96 .......................................... 2,500,000 2,499,618
5.550%, due 07/02/96 .......................................... 1,000,000 999,845
ConAgra, Inc., 5.570%, due 07/11/96 ............................... 1,000,000 998,453
Cooper Industries, Inc., 5.580%, due 07/01/96 ..................... 2,685,000 2,685,000
Dial Corp.
5.650%, due 07/23/96 .......................................... 1,000,000 996,547
5.550%, due 08/06/96 .......................................... 750,000 745,838
FMC Corp., 5.480%, due 07/08/96 ................................... 500,000 499,467
Praxair, Inc., 5.600%, due 07/01/96 ............................... 2,000,000 2,000,000
PS Colorado Credit Corp., 5.520%, due 07/01/96 .................... 2,000,000 2,000,000
Sundstrand Corp., 5.550%, due 07/12/96 ............................ 1,000,000 998,304
Texas Utilities Co., 5.650%, due 07/01/96 ......................... 2,000,000 2,000,000
Textron, Inc., 5.600%, due 07/03/96 ............................... 2,000,000 1,999,378
The Limited, Inc., 5.650%, due 07/01/96 ........................... 2,000,000 2,000,000
Tyson Foods, Inc., 5.510%, due 07/08/96 ........................... 1,000,000 996,327
------------
21,418,777
------------
Total Short-Term Investments
(Cost $21,531,566) ............................................ 21,531,566
------------
Total Investments
(Cost $152,510,239) - 103.79% (a) ............................. 165,579,618
------------
Liabilities, less cash and other assets - (3.79%).................. (6,045,130)
------------
Net Assets - 100% ................................................. $159,534,488
============
</TABLE>
See accompanying notes to schedule of investments.
58
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1996 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $152,510,239; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C> <C>
Gross unrealized appreciation.................. $13,176,363
Gross unrealized depreciation.................. (106,984)
-----------
Net unrealized appreciation $13,069,379
===========
</TABLE>
FRN: Floating rate note - The rate disclosed is that in effect at June 30, 1996.
FUTURES CONTRACTS (Note 6)
Futures Contracts:
The Brinson Emerging Markets Debt Fund had the following open futures contracts
as of June 30, 1996:
<TABLE>
<S> <C> <C> <C> <C>
Settlement Current Unrealized
Date Cost Value Gain
----------- ---------- ---------- ------------
Interest Rate Futures Buy Contracts
10 year U.S. Treasury Notes, 90 contracts................. Sept. 1996 $9,517,187 $9,675,000 $ 157,813
30 year U.S. Treasury Bonds, 42 contracts................. Sept. 1996 4,589,813 4,600,313 10,500
----------
Total..................................................... $168,313
========
</TABLE>
The segregated cash and market value of investments pledged to cover margin
requirements for the open futures positions at June 30, 1996 were $110,000 and
$112,789, respectively.
59
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $152,510,239) (Note 1)........... $ 165,579,618
Cash......................................................... 10,799,586
Receivables:
Interest ................................................. 2,299,010
Variation margin (Note 6)................................. 111,937
-------------
TOTAL ASSETS....................................... 178,790,151
-------------
LIABILITIES:
Payables:
Investment securities purchased........................... 19,065,629
Accrued expenses.......................................... 190,034
-------------
TOTAL LIABILITIES.................................. 19,255,663
-------------
NET ASSETS:
Applicable to 11,697,452 shares; no par value, unlimited
shares authorized........................................... $ 159,534,488
=============
Net asset value, offering price and redemption
price per share ($159,534,488 / 11,697,452 shares)........ $ 13.6384
=============
Maximum offering price per share (net asset value,
plus 0.50% of net asset value, or 0.50% of offering
price) (Note 7)........................................... $ 13.7069
=============
NET ASSETS CONSIST OF:
Paid in capital.............................................. $ 126,773,694
Accumulated net investment income............................ 12,982,546
Accumulated net realized gain................................ 6,540,556
Net unrealized appreciation.................................. 13,237,692
-------------
NET ASSETS......................................... $ 159,534,488
=============
</TABLE>
See accompanying notes to financial statements.
60
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $ 8,605,460
-----------
TOTAL INCOME............................................... 8,605,460
-----------
EXPENSES:
Accounting........................................................... 117,123
Professional......................................................... 44,301
Custodian............................................................ 23,853
Administration....................................................... 16,310
Other................................................................ 31,289
-----------
TOTAL EXPENSES............................................. 232,876
-----------
NET INVESTMENT INCOME...................................... 8,372,584
-----------
NET REALIZED AND UNREALIZED GAIN:
Net realized gain on:
Investments...................................................... 4,541,852
Futures contracts................................................ 1,156,466
-----------
Net realized gain......................................... 5,698,318
-----------
Change in net unrealized appreciation or depreciation on:
Investments...................................................... 6,794,146
Futures contracts................................................ 339,063
-----------
Change in net unrealized appreciation or depreciation..... 7,133,209
-----------
Net realized and unrealized gain..................................... 12,831,527
-----------
Net increase in net assets resulting from operations................. $21,204,111
===========
</TABLE>
See accompanying notes to financial statements.
61
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1995 Ended
(Unaudited) December 31, 1995*
---------------- ------------------
<S> <C> <C>
OPERATIONS:
Net investment income........................................ $ 8,372,584 $ 4,609,962
Net realized gain............................................ 5,698,318 842,238
Change in net unrealized appreciation or depreciation........ 7,133,209 6,104,483
------------ ------------
Net increase in net assets resulting from operations......... 21,204,111 11,556,683
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold (Note 7)......................................... 18,678,181 108,100,000
Shares redeemed.............................................. (1,997) (2,500)
------------ ------------
Net increase in net assets
resulting from capital share transactions (a)............. 18,676,184 108,097,500
------------ ------------
TOTAL INCREASE IN NET ASSETS........................ 39,880,295 119,654,183
------------ ------------
NET ASSETS:
Beginning of period.......................................... 119,654,193 10
------------ ------------
End of period (including accumulated net investment
income of $12,982,546 and $4,609,962, respectively)....... $159,534,488 $119,654,193
============ ============
</TABLE>
(a) A summary of capital share transactions follows:
<TABLE>
<CAPTION>
Shares Shares
--------- ----------
<S> <C> <C>
Shares sold.................................................. 1,418,140 10,279,700
Shares redeemed.............................................. (151) (238)
------------ ------------
Net increase in shares outstanding....................... 1,417,989 10,279,462
============ ============
</TABLE>
* The Fund commenced operations June 30, 1995
See accompanying notes to financial statements.
62
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
The table below sets forth financial data for one share of capital stock
outstanding throughout each period presented.
<TABLE>
<CAPTION>
Six Months Ended Period
June 30, 1996 Ended
(Unaudited) December 31, 1995*
---------------- ------------------
<S> <C> <C>
Net asset value, beginning of period........................ $ 11.6401 $ 10.0000
---------- ----------
Income from investment operations:
Net investment income.................................... 0.6614 0.4485
Net realized and unrealized gain......................... 1.3369 1.1916
---------- ----------
Total income from investment operations............. 1.9983 1.6401
---------- ----------
Net asset value, end of period.............................. $ 13.6384 $ 11.6401
========== ==========
Total return................................................ 17.17% 16.40%
Ratios/Supplemental data
Net assets, end of period (in 000s)...................... $ 159,534 $ 119,654
Ratio of expenses to average net assets.................. 0.35% 0.50%**
Ratio of net investment income to average net assets..... 12.57% 12.95%**
Portfolio turnover rate.................................. 39% 29%
</TABLE>
* The Fund commenced operations June 30, 1995
** Annualized
Total return has not been annualized
See accompanying notes to financial statements.
63
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
The Brinson Relationship Funds (the "Trust") is an open-end, management
investment company registered under the Investment Company Act of 1940, as
amended. The Trust currently offers shares of six series representing separate
portfolios of investments, each of which is non-diversified. The six series are:
Brinson Global Securities Fund, Brinson Short-Term Fund, Brinson Post-Venture
Fund, Brinson High Yield Fund, Brinson Emerging Markets Equity Fund and Brinson
Emerging Markets Debt Fund (each a "Fund", and collectively the "Funds"). The
Brinson Short-Term Fund was operational on June 28, 1996. The following is a
summary of significant accounting policies consistently followed by the Funds,
except for the Brinson Short-Term Fund, in the preparation of their financial
statements.
A. Investment Valuation: Securities for which market quotations are readily
available are valued at the last available sales price on the exchange or market
on which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which such securities are
principally traded. Fixed income/debt securities are valued by using market
quotations or independent services that use prices provided by market makers or
estimates of market values obtained from yield data relating to instruments or
securities with similar characteristics. Securities for which market quotations
are not readily available, including restricted securities which are subject to
limitations on their sale and equity swap contracts, are valued at fair value as
determined in good faith by or under the direction of the Trust's Board of
Trustees. Investments in Mutual Funds are valued each day based on the closing
Net Asset Value of the Fund. Futures contracts are valued at the settlement
price established each day on the exchange on which they are traded. Forward
contracts are valued daily using quoted forward exchange rates. Equity swap
values are derived based on the values, or estimates of the values, of the
applicable equity indices and foreign exchange rates underlying the contracts.
Short-term obligations with a maturity of 60 days or less are valued at
amortized cost, which approximates market value.
B. Foreign Currency Translation: Investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars at the mean
between the bid and offered quotations of such currencies against the U.S.
dollar as of the date of valuation. Purchases and sales of portfolio securities,
commitments under forward foreign currency contracts, income receipts and
expense accruals are translated at the prevailing exchange rate on the date of
each transaction. Realized and unrealized foreign exchange gains or losses on
investments are included as a component of net realized and unrealized gain or
loss on investments in the statement of operations.
C. Investment Transactions: Investment transactions are accounted for on a
trade date basis. Gains and losses on investments sold are determined on an
identified cost basis.
D. Investment Income: Interest income, which includes amortization of premiums
and discounts, is recorded on the accrual basis. Dividend income is recorded on
the ex-dividend date, except that certain dividends from foreign securities are
recorded as the information becomes available.
E. Federal Income Taxes: The Trust has received rulings from the Internal
Revenue Service that each Fund will be treated as a separate partnership for
federal income tax purposes. Income taxes are not provided for by the Funds
because taxable income (loss) of the Funds is includable in the income tax
returns of the investors.
F. Partnership Allocations: For federal income tax purposes, an investor's
distributive share of each item of a Fund's income, gain, loss, deduction and
credit will be determined by the Agreement and Declaration of Trust (the "Trust
Agreement") so long as the allocation has "substantial economic effect" within
the meaning of Code Section 704 and the regulations thereunder. The Trust has
received rulings from the Internal Revenue Service that this allocation method
has substantial economic effect.
G. Use of Estimates: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimates.
64
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
2. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Brinson Partners, Inc. (the "Advisor"), a registered investment advisor, manages
the assets of the Trust pursuant to an Investment Advisory Agreement with the
Trust (the "Advisory Agreement"). The Advisor does not receive any compensation
under the Advisory Agreement for providing investment advisory services. The
Advisor has agreed to reimburse the Brinson Post-Venture Fund and Brinson High
Yield Fund for all operating expenses. The Advisor has agreed to reimburse
Brinson Global Securities Fund to the extent that total operating expenses
exceed 0.05% of average daily net assets. The Advisor has agreed to reimburse
Brinson Emerging Markets Equity Fund and Brinson Emerging Markets Debt Fund to
the extent that total operating expenses exceed 0.50% of average daily net
assets. Certain officers of the Funds are also officers and directors of the
Advisor. All officers serve without direct compensation from the Funds.
3. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended June 30, 1996, excluding short-
term investments, were as follows:
<TABLE>
<CAPTION>
Purchases Proceeds from sales
------------ -------------------
<S> <C> <C>
Brinson Global Securities Fund............. $658,645,842 $567,018,243
Brinson Post-Venture Fund.................. 38,337,200 43,894,333
Brinson High Yield Fund.................... 64,301,741 32,269,004
Brinson Emerging Markets Equity Fund....... 33,973,783 5,431,680
Brinson Emerging Markets Debt Fund......... 64,207,034 50,855,231
</TABLE>
4. EQUITY SWAP CONTRACTS
The Brinson Emerging Markets Equity Fund enters into equity swap contracts.
Equity swaps often provide a less expensive, and in some cases the only, means
of investing in certain emerging markets. In these swaps, the Fund agrees to
receive the return on an emerging market equity index and pay a floating
interest rate based on the notional amount of each contract.
Fluctuations in the value of open swap contracts are recorded daily as net
unrealized gains or losses. The Fund realizes a gain or loss upon termination or
reset of the contracts. The statement of operations reflects net realized and
net unrealized gains and losses on these contracts. Amounts receivable or
payable related to terminated or reset equity swap contracts are reflected as
receivable or payable for equity swap contracts closed on the statement of
assets and liabilities.
Credit risk may arise as a result of the failure of the swap counterparty to
comply with the terms of the swap contract. The Fund considers the
creditworthiness of each counterparty to a swap contract in evaluating potential
credit risk. The credit risk to the Fund is limited to the net receivable by
counterparty, if any, on the swap contracts. Additionally, risks may arise from
unanticipated movements in interest rates, foreign exchange rates or in the
value of the underlying indices.
At June 30, 1996, the Brinson Emerging Markets Equity Fund had open equity swap
contracts with five international dealers, including the Fund's custodian.
At June 30, 1996, the Brinson Emerging Markets Equity Fund had short-term
investments segregated with its custodian equal to, or in excess of, the
notional amount of its open equity swap contracts.
5. FORWARD FOREIGN CURRENCY CONTRACTS
The Brinson Global Securities Fund engages in portfolio hedging with respect to
changes in currency exchange rates by entering into forward foreign currency
contracts to purchase or sell currencies. Forward foreign currency contracts are
also used to achieve currency allocation strategies. A forward foreign currency
contract is a commitment to purchase or sell a foreign currency at a future date
at a negotiated forward rate. Risks associated with such contracts include
movement in the value of the foreign currency relative to the U.S. dollar and
the ability of the counterparty to perform. The unrealized gain, if any,
represents the credit risk to the Fund on a forward foreign currency contract.
Fluctuations in the value of forward foreign currency contracts are recorded
daily as net unrealized gains or losses. The Fund realizes a gain or loss upon
settlement of the contracts. The statement of operations reflects net realized
and net unrealized gains and losses on these contracts. The counterparty to all
forward foreign currency contracts at, and for the six months ended June 30,
1996 was the Fund's custodian.
65
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
The Funds may purchase or sell exchange-traded futures contracts, which are
contracts that obligate the Funds to make or take delivery of a financial
instrument or the cash value of a securities index at a specified future date at
a specified price. The Funds enter into such contracts to hedge a portion of
their portfolio. Risks of entering into futures contracts include the
possibility that there may be an illiquid market or that a change in the value
of the contract may not correlate with changes in the value of the underlying
securities. Upon entering into a futures contract, the Funds are required to
deposit either cash or securities (initial margin). Subsequent payments
(variation margin) are made or received by the Funds, generally on a daily
basis. The variation margin payments are equal to the changes in the contract
value and are recorded as unrealized gains or losses. The Funds recognize a
realized gain or loss when the contract is closed or expires. The statement of
operations reflects net realized and net unrealized gains and losses on these
contracts.
7. TRANSACTION CHARGES
Effective December 20, 1995, investors in the Brinson Emerging Markets Equity
Fund and the Brinson Emerging Markets Debt Fund are subject to a transaction
charge equal to 1.50% and 0.50%, respectively, on Fund share purchases.
Therefore, the shares of each of these Funds are sold at a price which is equal
to the net asset value of such shares, plus the transaction charge. The
transaction charge is retained by the Funds and is intended to defray
transaction costs associated with the purchase and sale of securities within the
Funds. Transaction charges received by the Brinson Emerging Markets Equity Fund
and the Brinson Emerging Markets Debt Fund were $237,313 and $93,391,
respectively, for the six months ended June 30, 1996, and were included in
shares sold on the statements of changes in net assets.
Effective February 20, 1996, investors in the Brinson Emerging Markets Equity
Fund are also subject to a transaction charge equal to 1.50% on Fund share
redemptions. For the six months ended June 30, 1996, the transaction charges
received by the Brinson Emerging Markets Equity Fund were $30.
This report is submitted for the general information of the shareholders
of the Funds. It is not authorized for distribution to prospective
investors in the Funds unless preceded or accompanied by an effective
Prospectus which includes details regarding each Fund's objectives,
policies, expenses and other information.
66
