<PAGE>
- --------------------------------------------------------------------------------
THE BRINSON RELATIONSHIP FUNDS
BRINSON GLOBAL SECURITIES FUND
BRINSON SHORT-TERM FUND
BRINSON POST-VENTURE FUND
BRINSON HIGH YIELD FUND
BRINSON EMERGING MARKETS EQUITY FUND
BRINSON EMERGING MARKETS DEBT FUND
SEMI-ANNUAL REPORT
JUNE 30, 1997
[GRAPHIC APPEARS HERE]
GLOBAL INSTITUTIONAL ASSET MANAGEMENT
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
<TABLE>
Page
<S> <C> <C>
Brinson Global Securities Fund.................................................. 1
Schedule of Investments.............................................. 5
Statement of Assets and Liabilities.................................. 23
Statement of Operations.............................................. 24
Statements of Changes in Net Assets.................................. 25
Financial Highlights................................................. 26
Brinson Short-Term Fund......................................................... 27
Schedule of Investments.............................................. 28
Statement of Assets and Liabilities.................................. 29
Statement of Operations.............................................. 30
Statements of Changes in Net Assets.................................. 31
Financial Highlights................................................. 32
Brinson Post-Venture Fund....................................................... 33
Schedule of Investments.............................................. 36
Statement of Assets and Liabilities.................................. 40
Statement of Operations.............................................. 41
Statements of Changes in Net Assets.................................. 42
Financial Highlights................................................. 43
Brinson High Yield Fund......................................................... 44
Schedule of Investments.............................................. 47
Statement of Assets and Liabilities.................................. 50
Statement of Operations.............................................. 51
Statements of Changes in Net Assets.................................. 52
Financial Highlights................................................. 53
Brinson Emerging Markets Equity Fund............................................ 54
Schedule of Investments.............................................. 57
Statement of Assets and Liabilities.................................. 70
Statement of Operations.............................................. 71
Statements of Changes in Net Assets.................................. 72
Financial Highlights................................................. 73
Brinson Emerging Markets Debt Fund.............................................. 74
Schedule of Investments.............................................. 77
Statement of Assets and Liabilities.................................. 80
Statement of Operations.............................................. 81
Statements of Changes in Net Assets.................................. 82
Financial Highlights................................................. 83
The Brinson Relationship Funds -- Notes to Financial Statements................ 84
</TABLE>
<PAGE>
BRINSON GLOBAL SECURITIES FUND
================================================================================
The Brinson Global Securities Fund is diversified across the equity and fixed
income markets of the U.S. and a broad range of other countries. This Fund is
actively managed within an asset allocation framework, involving value-based
market, currency and individual security selection. Our senior asset allocation,
equity and fixed income professionals form the investment team for this Fund,
supported by a globally integrated market analysis system. Security selection
within each market is based on the fundamental research of our analytical teams
in Chicago, Basel, Frankfurt, London, Melbourne, Paris, Singapore, Sydney and
Tokyo.
Since its inception on April 30, 1995, the Global Securities Fund has produced
an annualized return of 19.58%, compared to the return of 17.85% for its
benchmark, the Global Securities Markets Index (GSMI). For the first half of
1997, the Fund returned 9.29%, trailing the 10.69% return of the benchmark.
A substantial positive contribution to performance came from the active
overweight of the U.S. dollar relative to the yen, deutschemark and DM-related
currencies. These currencies moved from a substantially overvalued status to
levels that were closer to our long-term equilibriums.
The Fund's market strategy centers on reducing the risk of exposure to the
overpriced equity markets; the relatively attractive bond markets are the
primary overweights. Consequently, market allocation made a substantial negative
contribution to Fund performance. Numerous equity markets provided double-digit
returns in dollar-hedged terms. Bond markets, especially outside the U.S.,
provided positive returns. However, bond markets rallies failed to match the
torrid pace of world equity markets.
The strategy for emerging markets equities is neutral to the normal policy
exposure of 3.0%. The emerging debt strategy mirrors the developed bond market
overweight, with a 3.0% exposure relative to the 2.0% normal policy. A small
underweight is carried in the U.S. high yield bond market.
1
<PAGE>
BRINSON GLOBAL SECURITIES FUND
================================================================================
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 04/30/95*
6/30/97 6/30/97 to 6/30/97
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Global Securities Fund 9.29% 19.43% 19.58%
- --------------------------------------------------------------------------------------------
Global Securities Markets Index ** 10.69% 18.00% 17.85%
- --------------------------------------------------------------------------------------------
</TABLE>
* Performance inception date of the Brinson Global Securities Fund.
** An un-managed index compiled by the Advisor, constructed as follows: 40%
Wilshire 5000 Index; 22% MSCI Non-U.S. Equity (Free) Index; 19% Salomon BIG Bond
Index; 2% International Dollar Bond Index; 9% Salomon Non-U.S. Government Bond
Index (unhedged); 2% JP Morgan EMBI+; 3% IFC Investable Index; and 3% High Yield
Bond Index.
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 Markets 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 Markets Index
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Brinson Global Global Securities
Securities Fund Markets Index
<S> <C> <C>
04/30/95 100,000 100,000
05/31/95 103,327 102,509
06/30/95 104,439 104,074
07/31/95 106,942 107,316
08/31/95 108,458 106,941
09/30/95 110,483 109,803
10/31/95 111,333 109,114
11/30/95 114,689 112,380
12/31/95 117,181 114,455
01/31/96 119,499 116,106
02/29/96 119,014 116,849
03/31/96 120,123 117,787
04/30/96 121,860 119,680
05/31/96 122,513 120,984
06/30/96 123,345 120,969
07/31/96 121,479 117,459
08/31/96 123,345 119,490
09/30/96 127,331 123,636
10/31/96 129,524 124,871
11/30/96 134,752 130,122
12/31/96 134,788 128,963
01/31/97 136,535 130,851
02/28/97 137,807 131,466
03/31/97 135,713 128,577
04/30/97 137,315 131,180
05/31/97 143,170 137,812
06/30/97 147,309 142,745
</TABLE>
04/30/95 = $100,000 Data through 6/30/97
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.
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, 1997 (Unaudited) As of June 30, 1997 (Unaudited)
Percent of Percent of
Net Assets Net Assets
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
1. Xerox Corp. 1.35 % 1. Glaxo Wellcome PLC 0.23 %
2. Chase Manhattan Corp. 1.22 2. Telecom Corp. of New Zealand Ltd. 0.23
3. Lockheed Martin Corp. 1.07 3. Royal Dutch Petroleum Co. 0.22
4. Philip Morris Companies, Inc. 1.06 4. Broken Hill Proprietary Co. Ltd. 0.21
5. Aon Corp. 0.88 5. General Electric Co. PLC 0.20
6. CIGNA Corp. 0.87 6. British Telecommunications PLC 0.19
7. Burlington Northern Santa Fe 0.80 7. Matsushita Electric Industrial Co. 0.19
8. Goodyear Tire & Rubber Co. 0.79 8. Lloyds TSB Group PLC 0.18
9. Federal Express Corp. 0.73 9. Toray Industries, Inc. 0.18
10. Citicorp 0.72 10. British Petroleum Co. PLC 0.18
</TABLE>
3
<PAGE>
BRINSON GLOBAL SECURITIES FUND
================================================================================
Industry Diversification
As a Percent of Net Assets
As of June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
U.S. EQUITIES
<S> <C>
Basic Industries
Chemicals ........................... 0.59 %
Housing / Paper ..................... 1.20
Metals .............................. 0.16
------
1.95
Capital Investment
Capital Goods ....................... 1.99
Technology .......................... 2.68
------
4.67
Consumer
Autos / Durables .................... 0.83
Discretionary ....................... 1.24
Health : Drugs ...................... 1.94
Health : Non-Drugs .................. 0.96
Non-Durables ........................ 2.66
Retail / Apparel .................... 1.16
------
8.79
Energy ................................... 1.14
Financial
Banks ............................... 1.97
Non-Banks ........................... 2.06
------
4.03
Transportation ........................... 1.51
Utilities ................................ 1.65
Services/Miscellaneous ................... 2.16
Post Venture ............................. 1.29
------
Total U.S. Equities .............. 27.19
NON-U.S. EQUITIES
Aerospace & Military ..................... 0.03
Airlines ................................. 0.11
Appliances & Household.................... 0.41
Automobiles .............................. 0.45
Banking .................................. 2.13
Beverages & Tobacco ...................... 0.32
Broadcasting & Publishing ................ 0.27
Building Materials ....................... 0.32
Business & Public Service ................ 0.68
Chemicals ................................ 0.73
Construction ............................. 0.28
Data Processing .......................... 0.19
Electric Components ...................... 0.23
Electronics .............................. 0.71
Energy ................................... 1.31
Financial Services ....................... 0.25
Food & House Products .................... 0.64
Forest Products .......................... 0.37
Gold Mining .............................. 0.01
Health & Personal Care ................... 0.93
Industrial Components .................... 0.33
Insurance ................................ 0.85
Leisure & Tourism ........................ 0.11
Machinery & Engineering .................. 0.18
Merchandising ............................ 0.75
Metals-Steel ............................. 0.35
Miscellaneous Materials .................. 0.11
Multi-Industry ........................... 0.88
Non-Ferrous Metals ....................... 0.39
Real Estate .............................. 0.18
Recreation ............................... 0.14
Shipping ................................. 0.09
Telecommunications ....................... 1.11
Textiles & Apparel ....................... 0.04
Transportation ........................... 0.15
Utilities ................................ 0.87
Wholesale & International Trade .......... 0.05
------
Total Non-U.S. Equities .......... 16.95
EMERGING MARKETS EQUITIES ................... 3.06
U.S. BONDS
Corporate Bonds
Asset-Backed ........................ 1.26
CMO ................................. 0.19
Consumer ............................ 0.69
Financial ........................... 1.34
Industrial .......................... 0.63
Transportation ...................... 0.29
------
Total U.S. Corporate Bonds ....... 4.40
International Dollar Bonds
Foreign Energy ...................... 0.28
Foreign Financial ................... 2.46
Foreign Government .................. 0.23
Foreign Industrial .................. 0.24
Foreign Telecommunications .......... 0.07
Foreign Utilities ................... 0.28
------
Total International Dollar Bonds 3.56
U.S. Government Agencies ................. 7.60
U.S. Government Obligation................ 10.14
------
Total U.S. Bonds ............... 25.70
HIGH YIELD BONDS ......................... 2.42
NON-U.S. BONDS
Foreign Financial Bonds ................ 0.97
Foreign Government Bonds ............... 16.29
------
Total Non-U.S. Bonds ........... 17.26
EMERGING MARKETS DEBT .................... 3.10
------
SHORT-TERM INVESTMENTS ................... 3.76
------
TOTAL INVESTMENTS .............. 99.44
CASH AND OTHER ASSETS,
LESS LIABILITIES ...................... 0.56
------
NET ASSETS .................. 100.00%
</TABLE>
4
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------------ --------------------
<S> <C> <C>
Equities -- 47.20%
U.S. Equities -- 27.19%
Aetna Inc. ........................................... 62,600 $ 6,408,675
Allergan, Inc. ....................................... 163,100 5,188,619
Alza Corp. (b)........................................ 158,900 4,608,100
Aon Corp. ............................................ 319,400 16,528,950
Automatic Data Processing, Inc. ...................... 155,300 7,299,100
Beckman Instruments, Inc. ............................ 52,500 2,533,125
Birmingham Steel Corp. ............................... 63,700 987,350
Boston Technology, Inc. (b) .......................... 65,900 1,948,169
Brinson Post-Venture Fund (b) ........................ 1,414,294 24,192,198
Browning-Ferris Industries, Inc. ..................... 120,600 4,009,950
Burlington Northern Santa Fe Corp. ................... 167,100 15,018,112
Centerior Energy Corp. ............................... 138,800 1,552,825
Champion Enterprises, Inc. (b) ....................... 75,000 1,125,000
Chase Manhattan Corp. ................................ 237,200 23,023,225
CIGNA Corp. .......................................... 92,000 16,330,000
Circuit City Stores, Inc. ............................ 235,000 8,357,187
Citicorp ............................................. 111,700 13,466,831
CMS Energy Corp. ..................................... 180,300 6,355,575
Coca-Cola Enterprises, Inc. .......................... 128,300 2,950,900
Comerica, Inc. ....................................... 43,700 2,971,600
Comverse Technology, Inc. (b) ........................ 29,500 1,537,688
Corning, Inc. ........................................ 203,200 11,303,000
Covance, Inc. ........................................ 80,150 1,547,897
CPC International, Inc. .............................. 69,600 6,424,950
CVS Corp. ............................................ 101,000 5,176,250
Dial Corp. ........................................... 103,000 1,609,375
Eastman Chemical Co. ................................. 108,800 6,908,800
EMC Corp. (b) ......................................... 302,500 11,797,500
Enron Corp. .......................................... 306,800 12,521,275
Federal Express Corp. (b) ............................. 236,500 13,657,875
Federated Department Stores (b) ....................... 91,700 3,186,575
FileNet Corp. (b) ..................................... 32,500 471,250
First American Corp. ................................. 41,600 1,596,400
First Bank System, Inc. .............................. 33,900 2,894,213
First Data Corp. ..................................... 264,070 11,602,575
First of America Bank Corp. .......................... 30,700 1,404,525
First Security Corp. ................................. 52,500 1,433,906
Fleetwood Enterprises, Inc. .......................... 37,500 1,117,969
Food Lion Inc. Class A ............................... 291,600 2,086,762
Forest Laboratories, Inc. (b) ......................... 73,100 3,029,081
Gannett Co., Inc. .................................... 104,300 10,299,625
General Instrument Corp. (b) .......................... 362,700 9,067,500
Genzyme Corp. (b) ..................................... 64,300 1,776,287
Geon Co. ............................................. 43,900 888,975
Goodyear Tire & Rubber Co. ........................... 234,700 14,859,444
</TABLE>
5
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
---------------- -------------------
<S> <C> <C>
U.S. Equities (continued)
Harnischfeger Industries, Inc. ........................ 105,500 $ 4,378,250
Health Care and Retirement Corp. (b) ................... 110,600 3,691,275
Hibernia Corp. Class A ................................ 88,300 1,230,681
Informix Corp. (b) ..................................... 84,600 761,400
Interpublic Group of Companies, Inc. .................. 69,100 4,236,694
James River Corp. of Virginia ......................... 125,400 4,639,800
Kroger Co. (b)......................................... 86,700 2,514,300
Lockheed Martin Corp. ................................. 194,241 20,116,083
Lyondell Petrochemical Co. ............................ 174,000 3,795,375
Manor Care, Inc. ...................................... 141,600 4,619,700
Marquette Real Estate Preferred 144-A .................. 6,570 6,438,600
Martin Marietta Materials, Inc. ....................... 46,563 1,507,477
Masco Corp. ........................................... 185,400 7,740,450
Mattel, Inc. .......................................... 246,100 8,336,637
Nabisco Holdings Corp. Class A ........................ 162,100 6,463,737
National Service Industries Inc. ...................... 31,100 1,514,181
Nextel Communications, Inc. Class A (b) ................ 242,400 4,575,300
Octel Communications Corp. (b) ......................... 52,800 1,237,500
Old Republic International Corp. ...................... 57,250 1,735,391
Peco Energy Co. ....................................... 404,600 8,496,600
Pentair, Inc. ......................................... 84,100 2,764,788
Pharmacia & Upjohn, Inc. .............................. 202,500 7,036,875
Philip Morris Companies, Inc. ......................... 448,800 19,915,500
Raytheon Co. .......................................... 59,100 3,014,100
Regions Financial Corp. ............................... 40,800 1,290,300
Reynolds & Reynolds Co. Class A ....................... 57,100 899,325
Schering Plough Corp. ................................. 279,000 13,357,125
Seagate Technology, Inc. (b) ........................... 44,100 1,551,769
Timken Co. ............................................ 60,300 2,144,419
Trinity Industries, Inc. .............................. 32,800 1,041,400
Tyson Foods, Inc. Class A ............................. 323,700 6,150,300
UCAR International, Inc. (b) ........................... 5,600 256,200
Ultramar Diamond Shamrock Corp. ....................... 180,990 5,904,799
US Bancorp ............................................ 96,800 6,207,300
Vencor, Inc. (b) ....................................... 83,200 3,515,200
Viad Corp. ............................................ 156,100 3,004,925
Westvaco Corp. ........................................ 38,000 1,194,625
Witco Corp. ........................................... 19,100 724,606
Xerox Corp. ........................................... 321,000 25,318,875
York International Corp. .............................. 99,000 4,554,000
360 Communications Co. (b) ............................ 47,233 808,865
-------------------
Total U.S.Equities ................................... 511,739,915
-------------------
</TABLE>
6
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------------ ------------------
<S> <C> <C>
Non-U.S. Equities 16.95%
Australia -- 0.96%
Amcor Ltd. .......................................... 104,330 $ 687,842
Boral Ltd. .......................................... 169,760 530,357
Brambles Industries Ltd. ............................ 25,410 498,602
Broken Hill Proprietary Co. Ltd. .................... 272,929 3,983,844
Coca-Cola Amatil Ltd. ............................... 31,230 402,437
CSR LTD ............................................. 134,070 515,283
David Jones Ltd. .................................... 424,090 587,796
Lend Lease Corp. Ltd. ............................... 30,440 638,557
M.I.M. Holdings Ltd. ................................ 314,263 461,473
National Australia Bank Ltd. ........................ 157,900 2,244,121
News Corp. Ltd. ..................................... 309,890 1,474,274
News Corp. Ltd. Preferred ........................... 67,330 263,315
Pacific Dunlop Ltd. ................................. 203,535 597,754
Qantas Airways Ltd. ................................. 218,181 506,729
Rio Tinto Ltd. ...................................... 80,509 1,361,963
Santos Ltd. ......................................... 71,760 299,457
Westpac Banking Corp. Ltd. ......................... 282,780 1,688,511
WMC Ltd. ............................................ 142,675 892,547
Woolworth's Ltd. .................................... 113,210 368,953
------------------
18,003,815
------------------
Belgium -- 0.61%
Delhaize-Le Lion S.A. ............................... 14,130 742,857
Electrabel S.A. ..................................... 8,010 1,717,861
Fortis AG ........................................... 711 158
Fortis AG Strip (b) ................................. 7,931 1,639,147
Generale de Banque S.A. ............................. 1,730 666,495
Groupe Bruxelles Lambert S.A. ....................... 4,730 793,377
Kredietbank NV ...................................... 2,780 1,121,280
Petrofina S.A. ...................................... 4,270 1,618,324
Societe Generale de Belgique ........................ 7,500 700,974
Solvay S.A. Class A ................................. 1,334 786,670
Tractebel ........................................... 2,045 853,268
Tractebel Warrants "99" (b) ......................... 1,815 19,488
Union Miniere Group S.A. (b) ........................ 8,739 819,205
------------------
11,479,104
------------------
Canada -- 0.56%
Alcan Aluminium Ltd. ................................ 20,400 696,463
Bank of Montreal .................................... 18,365 717,508
Barrick Gold Corp. .................................. 12,395 269,984
BCE, Inc. ........................................... 22,550 627,660
Canadian National Railway Co. ....................... 14,150 617,447
Canadian Pacific Ltd. ............................... 46,540 1,325,763
Hudson's Bay Co. .................................... 19,300 433,676
Imperial Oil Ltd. ................................... 16,755 859,246
MacMillan Bloedel Ltd. .............................. 30,460 418,394
</TABLE>
7
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------------- -------------------
<S> <C> <C>
Canada -- (continued)
Moore Corp. Ltd. ..................................... 18,290 $ 360,603
Noranda, Inc. ........................................ 21,025 453,388
Northern Telecom Ltd. ................................ 7,040 635,059
NOVA Corp. ........................................... 31,940 273,189
Royal Bank of Canada ................................. 20,695 938,295
Seagram Co. Ltd. ..................................... 17,875 719,094
Thomson Corp. ........................................ 28,800 663,845
TransCanada Pipelines Ltd. ........................... 27,835 559,888
-------------------
10,569,502
-------------------
Finland -- 0.15%
Merita Ltd. Class A .................................. 89,650 298,592
Nokia Ab Class A ..................................... 18,150 1,355,432
Outokumpu OY Class A ................................. 15,420 305,776
Pohjola Insurance Group Class B ...................... 3,950 117,111
The Rauma Group ....................................... 648 14,846
Sampo Insurance Co. Ltd. Class A ..................... 1,620 157,503
UPM-Kymmene Corp. .................................... 23,630 545,917
-------------------
2,795,177
-------------------
France -- 1.28%
Accor S.A. ........................................... 6,226 933,211
Alcatel Alsthom ...................................... 9,172 1,149,820
AXA-UAP ............................................... 18,464 1,149,479
AXA-UAP Rights (b) .................................... 14,094 54,734
Banque Nationale de Paris ............................ 31,390 1,294,951
Cie Bancaire S.A. .................................... 6,406 818,344
Cie de Saint Gobain .................................. 9,629 1,405,562
Cie de Suez .......................................... 151,240 372,239
Cie Generale Des Eaux ................................ 7,440 954,236
Cie Generale Des Eaux Warrants "01" (b) .............. 12,360 7,411
Colas ................................................ 1,945 256,749
Dexia France ......................................... 9,841 958,789
Elf Aquitaine S.A. ................................... 14,058 1,518,101
Groupe Danone ........................................ 5,800 959,257
Lafarge S.A. ......................................... 8,920 555,316
Lagardere S.C.A. ..................................... 18,900 549,520
LVMH ................................................. 3,453 929,269
Lyonnaise des Eaux S.A. .............................. 9,270 934,737
Michelin Class B ..................................... 19,897 1,195,989
Pechiney S.A. Class A ................................ 20,793 819,891
Peugeot S.A. ......................................... 11,100 1,073,889
Rhone-Poulenc Class A ................................ 30,260 1,236,995
SEITA ................................................ 21,390 677,660
Societe Generale ..................................... 10,046 1,122,496
Thomson CSF............................................ 20,000 515,755
Total S.A. Class B ................................... 12,691 1,284,015
</TABLE>
8
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------------ ---------------
<S> <C> <C>
France -- (continued)
Usinor Sacilor ........................................ 78,320 $ 1,414,056
---------------
24,142,471
---------------
Germany -- 1.65%
Allianz AG Holding .................................... 13,000 2,778,893
BASF AG ............................................... 36,150 1,334,932
Bayer AG .............................................. 47,870 1,846,014
Bayerische Motoren Werke AG ........................... 1,606 1,325,277
Commerzbank AG ........................................ 39,560 1,130,545
Daimler-Benz AG ....................................... 18,330 1,492,613
Deutsche Bank AG ...................................... 37,810 2,221,820
Deutsche Telekom AG ................................... 73,570 1,809,064
Henkel KGaA-Vorzug AG ................................. 14,260 803,588
Hochtief AG ........................................... 11,000 492,368
Hoechst AG ............................................ 15,230 645,872
M.A.N. AG ............................................. 2,400 747,848
Mannesmann AG ......................................... 3,495 1,562,381
Metro AG .............................................. 11,420 1,245,151
Muenchener Rueckver AG ................................ 663 1,879,502
Muenchener Rueckver AG Warrants "98" (b)............... 8 2,869
Preussag AG ........................................... 3,716 1,093,945
RWE AG ................................................ 27,280 1,174,108
Schering AG ........................................... 15,250 1,634,741
Siemens AG ............................................ 13,000 779,209
Thyssen AG ............................................ 5,860 1,410,691
VEBA AG ............................................... 31,570 1,784,486
Volkswagen AG ......................................... 2,340 1,775,209
---------------
30,971,126
---------------
Hong Kong -- 0.28%
Cheung Kong Holdings Ltd. 51,000 503,595
China Light & Power Co. Ltd. .......................... 98,500 558,149
Guoco Group Ltd. ...................................... 60,000 315,981
Hang Seng Bank Ltd. ................................... 39,500 563,390
Hong Kong Telecommunications Ltd. ..................... 169,600 404,993
Hutchinson Whampoa Ltd. ............................... 108,000 934,003
Jardine Matheson Holdings Ltd. ADR (c).................. 38,400 272,640
New World Development Co. Ltd. ........................ 68,000 405,509
Sun Hung Kai Properties Ltd. .......................... 34,000 409,239
Swire Pacific Ltd. Class A ............................ 56,000 504,176
Wharf (Holdings) Ltd. ................................. 86,000 372,982
---------------
5,244,657
---------------
Italy -- 0.63%
Assicurazioni Generali ................................ 65,630 1,191,870
Banca Commerciale Italiana ............................ 173,000 357,896
Credito Italiano Spa .................................. 445,000 813,371
Danieli & Co. Savings (Risp) .......................... 115,000 402,145
Edison Spa ............................................ 71,000 352,809
</TABLE>
9
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------------ ------------------
<S> <C> <C>
Italy -- (continued)
ENI ADR (c) ............................................. 18,700 $ 1,063,563
ENI Spa ................................................ 150,000 848,516
Fiat Spa-Priv .......................................... 464,800 857,756
INA-Istituto Nazionale delle Assicurazioni ............. 261,000 397,291
Instituto Mobiliare Italiano Spa ....................... 69,100 621,352
Italgas Spa ............................................ 72,500 234,352
La Rinascente Spa ...................................... 45,000 249,794
La Rinascente Spa Rights (b)............................. 45,000 2,010
La Rinascente Spa RNC .................................. 71,600 174,003
La Rinascente Spa RNC Rights (b) ........................ 71,600 11,656
La Rinascente Spa Warrants "99" (b)...................... 2,880 1,422
Mediobanca Spa ......................................... 35,850 217,439
Montedison Spa (b) ...................................... 1,107,756 730,474
SAI - Savings (Risp) ................................... 57,200 176,155
Telecom Italia Mobile Spa .............................. 186,000 601,234
Telecom Italia Mobile Spa RNC .......................... 522,000 932,636
Telecom Italia Spa ..................................... 144,000 430,773
Telecom Italia Spa RNC ................................. 585,000 1,156,935
------------------
11,825,452
------------------
Japan -- 3.97%
Amada Co. Ltd. ......................................... 118,000 1,041,510
Asahi Glass Co. Ltd. ................................... 139,000 1,384,777
Bank of Tokyo-Mitsubushi, Ltd. ......................... 125,800 2,528,533
Canon, Inc. ............................................ 94,000 2,562,964
Canon Sales Co., Inc. .................................. 38,700 902,989
Citizen Watch Co. Ltd. ................................. 109,000 842,052
Dai Nippon Printing Co. Ltd. ........................... 106,000 2,399,196
Daiichi Pharmaceutical Co. Ltd. ........................ 77,000 1,359,259
Daikin Industries Ltd. ................................. 116,000 1,054,269
Daiwa House Industry Co. Ltd. .......................... 59,000 721,839
Fanuc .................................................. 46,700 1,795,683
Fujitsu ................................................ 70,000 972,647
Hitachi Ltd. ........................................... 228,000 2,550,380
Honda Motor Co. ........................................ 30,000 904,483
Inax ................................................... 117,000 877,270
Isetan ................................................. 40,000 496,373
Ito Yokado Co. Ltd. .................................... 45,000 2,615,136
Kaneka Corp. ........................................... 110,000 690,204
Keio Teito Electric Railway ............................ 132,000 628,681
Kinki Nippon Railway ................................... 133,000 813,598
Kirin Brewery Co. Ltd. ................................. 126,000 1,310,321
Kokuyo ................................................. 36,000 975,269
Kuraray Co. Ltd. ....................................... 143,000 1,424,626
Kyocera Corp. .......................................... 13,600 1,081,535
Maeda Road Construction ................................ 26,000 223,805
Marui Co. Ltd. ......................................... 62,000 1,154,068
</TABLE>
10
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------------------- ------------------
<S> <C> <C>
Japan -- (continued)
Matsushita Electric Industrial Co. ...................... 173,000 $ 3,492,353
Mitsubishi Paper Mills .................................. 146,000 571,598
NGK Insulators .......................................... 187,000 2,059,075
Nintendo Corp. Ltd. ..................................... 10,900 914,446
Nippon Denso Co. Ltd. ................................... 55,000 1,316,962
Nippon Meat Packers, Inc. ............................... 73,000 944,158
Nippon Steel Co. ........................................ 93,000 297,457
Okumura ................................................. 119,000 631,242
Osaka Gas Co. ........................................... 227,000 652,652
Sankyo Co. Ltd. ......................................... 84,000 2,826,182
Sanwa Bank Ltd. ......................................... 57,000 846,806
Secom ................................................... 26,000 1,910,863
Seino Transportation .................................... 67,000 726,033
Sekisui House Ltd. ...................................... 224,000 2,270,733
Shinmaywa Industries Ltd. ............................... 54,000 380,827
Sony Corp. .............................................. 25,400 2,217,478
Sumitomo Bank ........................................... 122,000 2,004,369
Sumitomo Electric Industries ............................ 96,000 1,610,766
Sumitomo Trust & Banking ................................ 66,000 709,429
Takeda Chemical Industries .............................. 73,000 2,054,182
TDK Corp. ............................................... 19,000 1,396,400
Tokio Marine & Fire Insurance Co. ....................... 105,000 1,376,387
Tokyo Electric Power .................................... 31,300 659,207
Tokyo Steel Mfg. ........................................ 85,000 950,800
Tonen Corp. ............................................. 83,000 1,000,961
Toray Industries, Inc. .................................. 474,000 3,384,235
Toshiba Corp. ........................................... 270,000 1,738,967
Toyo Suisan Kaisha ...................................... 63,000 644,149
Toyota Motor Corp. ...................................... 30,000 886,131
Yamazaki Baking Co. Ltd. ................................ 56,000 988,552
------------------
74,774,867
------------------
Malaysia -- 0.31%
Hume Industries (Malaysia) Bhd .......................... 67,000 307,924
Kuala Lumpur Kepong Bhd ................................. 160,500 397,435
Land & General Holdings Bhd ............................. 202,000 232,092
Malayan Banking Bhd ..................................... 82,400 865,135
Malaysian International Shipping Bhd (Frgn.) ............ 83,000 215,392
Nestle (Malaysia) Bhd ................................... 28,000 209,667
New Strait Times Press Bhd .............................. 18,000 105,547
Perusahaan Otomobil Nasional Bhd ........................ 29,000 135,578
Public Bank Bhd (Frgn.) ................................. 148,333 231,550
Resorts World Bhd ....................................... 104,000 313,154
Rothmans of Pall Mall Bhd ............................... 13,000 127,734
Sime Darby Bhd .......................................... 185,000 615,689
Telekom Malaysia Bhd .................................... 140,500 656,854
Tenaga Nasional Bhd ..................................... 175,000 852,813
</TABLE>
11
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------------ -------------------
<S> <C> <C>
Malaysia -- (continued)
UMW Holdings Bhd ......................................... 35,000 $ 165,016
United Engineers Ltd. .................................... 45,000 324,485
YTL Corp. Bhd ............................................ 47,000 145,246
YTL Power International Bhd (b) .......................... 4,600 6,197
-------------------
5,907,508
-------------------
Netherlands -- 1.10%
ABN AMRO Holdings NV ..................................... 88,456 1,652,370
Akzo Nobel NV ............................................ 2,940 403,644
DSM NV ................................................... 5,625 560,691
Elsevier NV .............................................. 78,220 1,309,455
Heineken NV .............................................. 3,150 538,585
Hoogovens NV ............................................. 8,640 482,425
ING Groep NV ............................................. 57,793 2,669,457
KLM Royal Dutch Air Lines NV ............................. 29,760 918,940
KPN NV ................................................... 47,494 1,866,502
Philips Electronics NV ................................... 27,565 1,978,073
Royal Dutch Petroleum Co. ................................ 80,080 4,173,005
Royal Dutch Petroleum Co. NY Shares (c) ................... 37,200 2,022,750
Unilever NV .............................................. 9,965 2,101,535
-------------------
20,677,432
-------------------
New Zealand -- 0.64%
Brierley Investments Ltd. ................................ 2,033,570 1,984,831
Carter Holt Harvey Ltd. .................................. 701,190 1,810,767
Fletcher Challenge Building .............................. 242,138 727,057
Fletcher Challenge Energy ................................ 267,483 806,785
Fletcher Challenge Forests Ltd. .......................... 462,048 670,198
Fletcher Challenge Paper ................................. 481,062 1,164,050
Telecom Corp. of New Zealand Ltd. ........................ 866,070 4,402,671
Telecom Corp. of New Zealand Ltd. ADS (c).................. 10,840 441,730
-------------------
12,008,089
-------------------
Singapore -- 0.29%
City Developments Ltd. ................................... 44,000 430,829
DBS Land Ltd............................................... 72,000 227,612
Development Bank of Singapore Ltd. ....................... 54,000 679,815
Fraser & Neave Ltd. ...................................... 10,000 71,339
Hotel Properties Ltd. .................................... 135,000 229,438
Keppel Corp. Ltd. (b) .................................... 32,500 144,338
Oversea-Chinese Banking Corp. Ltd. ....................... 97,400 1,008,197
Singapore Airlines Ltd. (Frgn.) .......................... 68,000 608,756
Singapore Press Holdings Ltd. (Frgn.) .................... 34,000 684,851
Singapore Telecommunications, Ltd. ....................... 259,000 478,221
</TABLE>
12
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------------------- -------------------
<S> <C> <C>
Singapore -- (continued)
United Overseas Bank Ltd. (Frgn.) ................... 68,000 $ 699,119
Wing Tai Holdings Ltd. .............................. 66,000 190,180
-------------------
5,452,695
-------------------
Spain -- 0.48%
Acerinox S.A. ....................................... 1,923 361,012
Banco Bilbao-Vizcaya S.A. ........................... 11,555 940,459
Banco Central Hispanoamericano ...................... 14,020 513,822
Banco Popular Espanol S.A. .......................... 2,410 591,562
Banco Santander S.A. ................................ 27,390 845,519
Empresa Nacional de Electridad S.A. ................. 15,440 1,298,652
Fomento de Construcciones y Contratas S.A. .......... 3,450 440,780
Gas Natural SDG S.A. ................................ 2,440 534,056
Iberdrola S.A. ...................................... 58,480 739,599
Mapfre Corp. ........................................ 5,170 275,602
Repsol S.A. ......................................... 10,990 465,545
Repsol S.A. ADR (c) .................................. 6,780 287,726
Telefonica de Espana ................................ 41,520 1,202,660
Vallehermosa S.A. ................................... 9,430 254,874
Viscofan Envolturas Celulosicas S.A. ................ 12,930 302,875
-------------------
9,054,743
-------------------
Switzerland -- 0.37%
ABB AG (Bearer) ..................................... 250 378,970
Alusuisse-Lonza Holding AG (Reg.) ................... 280 290,390
Ciba Specialty Chemicals AG (Reg.) .................. 1,236 114,452
CS Holdings AG (Reg.) ............................... 3,376 434,186
Nestle S.A. (Reg.) .................................. 1,016 1,342,216
Novartis AG (Reg.) .................................. 1,236 1,978,753
Roche Holding AG (Gen.) ............................. 138 1,249,942
Swiss Reinsurance Co. (Reg.) ........................ 240 339,941
UBS (Bearer) ........................................ 341 390,610
Zurich Versicherungs (Reg.) ......................... 1,348 537,203
-------------------
7,056,663
-------------------
United Kingdom -- 3.67%
Abbey National PLC .................................. 83,380 1,137,915
Bass PLC ............................................ 50,930 621,315
B.A.T. Industries PLC ............................... 291,700 2,609,449
BG PLC .............................................. 593,820 2,174,260
Booker PLC .......................................... 65,180 296,149
British Energy PLC .................................. 541,370 1,319,975
British Petroleum Co. PLC ........................... 269,697 3,352,978
British Steel PLC ................................... 669,530 1,665,886
British Telecommunications PLC ...................... 481,570 3,574,606
BTR PLC ............................................. 159,580 545,788
Centrica PLC ........................................ 652,770 793,080
Charter PLC ......................................... 75,476 1,001,783
Coats Viyella PLC ................................... 343,240 719,784
</TABLE>
13
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------------------- ------------------
<S> <C> <C>
United Kingdom -- (continued)
FKI PLC .......................................... 383,887 $ 1,086,141
General Electric Co. PLC ......................... 629,650 3,762,076
Glaxo Wellcome PLC ............................... 213,100 4,406,703
Grand Metropolitan PLC ........................... 160,560 1,544,540
Guinness PLC ..................................... 216,190 2,115,665
Hanson PLC ....................................... 129,122 640,399
Hillsdown Holdings PLC ........................... 420,380 1,185,893
House of Fraser PLC .............................. 449,300 1,192,700
HSBC Holdings PLC ................................ 92,450 2,844,201
Imperial Chemical Industries PLC ................. 35,550 493,446
Inchcape PLC ..................................... 149,530 704,285
Legal & General Group PLC ........................ 204,100 1,382,520
Lloyds TSB Group PLC ............................. 334,370 3,433,574
Marks & Spencer PLC .............................. 244,760 2,028,634
Mirror Group PLC ................................. 202,450 633,446
National Westminster Bank PLC .................... 84,420 1,134,545
Northern Foods PLC ............................... 243,960 807,989
Peninsular & Oriental Steam Navigation Co. ....... 155,460 1,547,226
Reckitt & Colman PLC ............................. 45,095 673,217
Redland PLC ...................................... 75,840 429,152
Reuters Holdings PLC ............................. 96,470 1,016,319
Rio Tinto PLC ................................... 92,920 1,618,387
RJB Mining PLC ................................... 171,130 1,025,327
Royal & Sun Alliance Insurance Group PLC ......... 241,665 1,785,791
Sainsbury (J.) PLC ............................... 193,080 1,169,695
Scottish Hydro-Electric PLC ...................... 103,820 717,072
Sears PLC ........................................ 575,820 651,673
Sedgwick Group PLC ............................... 391,640 801,726
SmithKline Beecham PLC ........................... 110,510 2,033,266
Smurfit (Jefferson) Group PLC .................... 353,340 1,017,356
Tesco PLC ........................................ 162,860 1,005,593
Thames Water PLC ................................. 110,690 1,271,134
Unilever PLC ..................................... 25,490 729,255
Vodafone Group PLC ............................... 151,310 737,852
Williams PLC ..................................... 196,990 1,065,520
Yorkshire Water PLC .............................. 82,010 536,406
------------------
69,041,692
------------------
Total Non-U.S. Equities ........................... 319,004,993
------------------
Emerging Markets Equities -- 3.06%
Brinson Emerging Markets Equity Fund (b)........... 4,705,011 57,705,548
------------------
Total Equities (Cost $727,749,166) ................ 888,450,456
------------------
</TABLE>
14
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------------- -------------------
<S> <C> <C>
Bonds -- 48.48%
U.S. Bonds -- 25.70%
U.S. Corporate Bonds -- 4.40%
Capital One Bank 6.830%, due 05/17/99.............................. $ 6,770,000 $ 6,797,405
Chase Manhattan Auto Owner Trust 96c-A4 6.150%,
due 03/15/02......................................................... 265,000 262,994
Chase Manhattan Credit Card Trust 96-4A 6.730%,
due 02/15/03......................................................... 4,340,000 4,381,360
Chemical Master Credit Card Trust 95-2A 6.230%, due 06/15/03......... 3,915,000 3,890,296
Citicorp Mortgage Securities, Inc. 94-9 Class A8 5.750%, due
06/25/09............................................................. 4,188,344 3,538,690
Comcast Cable Communications 144-A 8.500%, due 05/01/27............. 7,780,000 8,388,085
Continental Airlines, Inc., Pass Thru 144-A 7.461%, due 04/01/15.... 5,450,000 5,513,378
Countrywide Funding FRN 6.360%, due 12/01/03....................... 3,000,000 2,865,585
Dayton Hudson Credit Card Master Trust 95-1A 6.100%, due
02/25/02............................................................. 650,000 651,411
Donaldson Lufkin & Jenrette FRN 6.700%, due 06/30/00............... 4,650,000 4,650,000
Green Tree Financial 94-6 8.250%, due 01/15/20..................... 310,000 327,429
Jefferson-Pilot 144-A 8.140%, due 01/15/46 ......................... 5,000,000 4,952,055
Kern River Funding Corp. 144-A Series B 6.720%, due 09/30/01...... 275,000 274,162
Lehman Brothers Holdings 7.250%, due 04/15/03...................... 250,000 251,204
Lockheed Martin Corp. 7.700%, due 06/15/08......................... 3,000,000 3,134,874
News America 7.750%, due 01/20/24.................................. 7,115,000 6,750,826
Premier Auto Trust 96-4A 6.400%, due 10/06/01...................... 5,475,000 5,484,636
Salomon, Inc.
6.500%, due 03/01/00............................................. 2,780,000 2,762,405
6.750%, due 02/15/03............................................. 3,000,000 2,939,898
Standard Credit Card Trust 90-1A 9.375%, due 07/10/97............... 600,000 600,636
The Money Store 97-8 A-8 6.900%, due 02/15/06...................... 3,000,000 3,000,000
Time Warner, Inc. 9.150%, due 02/01/23............................. 4,465,000 4,927,869
Time Warner Entertainment, Inc. 8.375%, due 03/15/23............... 1,250,000 1,281,193
World Omni Automobile Lease Securitization Trust 6.850%, due
06/25/03............................................................. 5,060,000 5,116,824
--------------------
82,743,215
--------------------
International Dollar Bonds -- 3.56%
Abbey National PLC 7.350%, due 10/29/49............................ 645,000 643,611
ABN AMRO Bank NV (Chicago) 6.625%, due 10/31/01.................... 1,000,000 993,155
</TABLE>
15
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------------ ----------------
<S> <C> <C>
International Dollar Bonds (continued)
African Development Bank 7.375% due 04/06/23........................ $ 600,000 $ 597,926
AT&T Corp., 8.250%, due 01/11/00................................... 430,000 446,200
Bangkok Bank 144-A 8.250%, due 03/15/16........................... 7,060,000 7,058,588
Bank Austria AG 144-A 7.250%, due 02/15/17......................... 2,400,000 2,368,226
Banque Paribas, Sub. Notes 6.875%, due 03/01/09.................... 640,000 606,803
Bayerische Landesbank 6.850%, due 07/19/01......................... 3,820,000 3,847,573
Credit Suisse-London 144-A 7.900%, due 04/29/49.................... 3,610,000 3,711,087
Den Danske Bank 144-A 7.400%, due 06/15/10......................... 3,735,000 3,763,494
DR Investments 7.450%, due 05/15/07................................ 30,000 30,302
Empresa Nacional Electric 7.875%, due 02/01/27..................... 875,000 882,452
Empresa Nacional Electric 8.125%, due 02/01/2097................... 4,320,000 4,420,159
International Bank for Reconstruction & Development 9.250%, due
11/17/98............................................................. 700,000 727,147
International Telecom Satelite 8.125%, due 02/28/05................ 890,000 942,959
Japanese Development Bank 8.375%, due 02/15/01..................... 30,000 31,781
Kingdom of Sweden 12.750%, due 10/15/97............................. 700,000 712,963
LKB-Baden Wuerttemberg-Finance 8.125%
due 01/27/00......................................................... 1,030,000 1,068,002
Montell Finance Co. 144-A 8.100%, due 03/15/27..................... 5,520,000 5,670,442
National Westminster Bank 7.750%, due 10/16/07..................... 1,000,000 1,024,726
Pan Pacific Industry PLC 144-A 0.000%, due 04/28/07................ 250,000 110,187
Petroleum Geo-Services 7.500%, due 03/31/07........................ 4,335,000 4,384,948
Petroliam Nasional 7.125%, due 08/15/05............................ 730,000 729,696
Province of Quebec
7.500% due 07/15/02.............................................. 600,000 615,702
7.500% due 07/15/23.............................................. 375,000 368,880
Ras Laffan Liquefied Natural Gas Co. Ltd. 144-A 8.294%,
due 03/15/14......................................................... 4,340,000 4,537,453
Republic of Austria 8.625%, due 01/14/00............................ 600,000 629,015
Republic of Ireland 9.500% due 04/03/00............................. 700,000 750,361
Republic of Italy 0.000%, due 03/01/99.............................. 600,000 539,802
Royal Bank of Scotland 7.375%, due 04/29/49......................... 1,185,000 1,180,997
Skandinaviska Enskilda Banken 144-A 6.625%, due 03/29/49............ 8,195,000 8,111,411
Southern Investments UK 6.800%, due 12/01/06....................... 2,740,000 2,676,706
State Bank of New South Wales 10.375%, due 04/26/99................ 700,000 746,375
Swedbank FRN 7.773%, due 10/29/49.................................. 780,000 793,650
Swedish Export Credit 9.875%, due 03/15/38......................... 525,000 559,861
Telstra Corp. Ltd. 6.500%, due 11/28/05............................ 650,000 625,186
Usinor Sacilor 7.250%, due 08/01/06................................ 30,000 29,860
----------------
66,937,686
----------------
</TABLE>
16
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------------ -------------------
<S> <C> <C>
U.S. Government Agencies -- 7.60%
Federal Home Loan Mortgage Corp.
5.800%, due 08/15/19.............................. $ 550,000 $ 517,429
7.500%, due 01/15/23.............................. 2,539,073 2,425,754
7.238%, due 05/01/26.............................. 1,647,961 1,697,334
Federal Home Loan Mortgage Corp. Gold
6.500%, due 12/01/03 TBA.......................... 5,700,000 5,626,972
9.000%, due 04/01/25.............................. 5,371,054 5,669,819
9.500%, due 04/01/25.............................. 2,409,180 2,580,083
Federal National Mortgage Association
6.500%, due 12/01/03 TBA.......................... 9,870,000 9,740,456
6.500%, due 12/01/03 Balloon TBA.................. 12,685,000 12,042,822
6.220%, due 03/13/06.............................. 1,000,000 966,901
7.875%, due 02/24/05.............................. 5,000,000 5,336,445
8.500%, due 06/25/06.............................. 6,214,978 6,430,259
6.500%, due 05/25/08.............................. 3,062,834 3,009,602
7.000%, due 11/01/25.............................. 10,917,574 10,699,255
6.500%, due 12/01/26 TBA.......................... 10,000,000 9,565,650
7.500%, due 12/01/26 TBA.......................... 22,395,000 22,444,045
6.070%, due 08/01/29 TBA.......................... 5,525,000 5,459,391
Federal National Mortgage Association Strip
8.000%, due 07/01/24 interest only................ 28,979 9,406
0.000%, due 07/01/26 principal only............... 16,409 10,964
0.000%, due 04/01/27 principal only............... 11,273,312 7,474,150
Government National Mortgage Association
8.000%, due 11/15/22.............................. 4,857,131 4,997,065
7.500%, due 12/15/22.............................. 3,468,123 3,500,169
8.000%, due 12/15/22.............................. 2,216,616 2,280,476
7.500%, due 12/15/23.............................. 2,212,546 2,230,623
7.000%, due 08/15/24.............................. 5,831,952 5,756,370
7.500%, due 11/15/24.............................. 7,710,565 7,764,076
Tennesse Valley Authority
6.375%, due 06/15/05.............................. 5,000,000 4,891,845
-------------------
143,127,361
-------------------
U.S. Government Obligations -- 10.14%
U.S. Treasury Notes and Bonds
6.625%, due 07/31/01.............................. 13,210,000 13,342,100
6.250%, due 10/31/01.............................. 57,495,000 57,243,459
7.000%, due 07/15/06.............................. 19,540,000 20,101,775
6.000%, due 02/15/26.............................. 36,095,000 32,293,763
U.S. Treasury Principal Strips
0.000%, due 05/15/03 ............................. 200,000 137,606
0.000%, due 08/15/03.............................. 17,870,000 12,092,272
0.000%, due 11/15/04 ............................. 53,205,000 32,964,754
0.000%, due 05/15/08.............................. 46,415,000 22,505,241
0.000%, due 02/15/19 ............................. 1,055,000 235,814
-------------------
190,916,784
-------------------
Total U.S. Bonds ..................................... 483,725,046
--------------------
</TABLE>
17
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------------- -----------------
<S> <C> <C>
High Yield Bonds -- 2.42%
Brinson High Yield Fund (b) ...................... 3,477,248 $ 45,597,158
-----------------
<CAPTION>
Face
Amount
-----------------
<S> <C> <C>
Non-U.S. Bonds 17.26%
Australia -- 1.37%
Government of Australia
9.500%, due 08/15/03......................... AUD 15,200,000 12,976,301
9.000%, due 09/15/04......................... 8,130,000 6,825,190
10.000%, due 02/15/06......................... 6,700,000 5,981,842
-----------------
25,783,333
-----------------
Belgium -- 0.77%
Kingdom of Belgium
9.000%, due 07/30/98......................... BEF 77,000,000 2,268,876
5.00%, due 03/28/01......................... 171,000,000 4,866,008
8.750%, due 06/25/02......................... 16,000,000 523,928
9.000%, due 03/28/03......................... 17,000,000 567,928
6.500%, due 03/31/05......................... 25,000,000 741,586
8.500%, due 10/01/07......................... 125,000,000 4,200,974
7.500%, due 07/29/08......................... 27,000,000 848,604
8.000%, due 03/28/15......................... 17,000,000 556,626
-----------------
14,574,530
-----------------
Canada -- 2.59%
Government of Canada
7.500%, due 09/01/00......................... CAD 6,120,000 4,711,238
7.250%, due 06/01/03......................... 7,795,000 6,012,366
6.500%, due 06/01/04......................... 5,000,000 3,707,053
8.750%, due 12/01/05......................... 7,600,000 6,402,708
7.000%, due 12/01/06......................... 3,200,000 2,433,169
7.250%, due 06/01/07......................... 1,900,000 1,468,423
9.000%, due 03/01/11......................... 5,255,000 4,604,600
4.250%, due 12/01/21 (d)..................... 22,095,000 17,200,579
9.000%, due 06/01/25......................... 75,000 68,429
4.250%, due 12/01/26 (d)..................... 3,000,000 2,201,577
-----------------
48,810,142
-----------------
Denmark -- 2.00%
Kingdom of Denmark
9.000%, due 11/15/98......................... DKK 13,400,000 2,154,889
9.000%, due 11/15/00......................... 22,200,000 3,810,430
8.000%, due 05/15/03......................... 30,100,000 5,137,795
7.000%, due 12/15/04......................... 78,400,000 12,669,190
8.000%, due 03/15/06......................... 31,800,000 5,391,454
7.000%, due 11/15/07......................... 34,000,000 5,386,611
7.000%, due 11/10/24......................... 21,000,000 3,132,248
-----------------
37,682,617
-----------------
</TABLE>
18
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
----------------- ------------------
<S> <C> <C>
France -- 0.73%
Government of France (BTAN)
5.750%, due 03/12/01.............................. FRF 24,500,000 $ 4,386,297
Government of France (OAT)
9.500%, due 06/25/98........................... 6,800,000 1,224,371
7.500%, due 04/25/05........................... 5,900,000 1,144,727
7.250%, due 04/25/06........................... 27,500,000 5,273,292
8.500%, due 12/26/12........................... 7,500,000 1,601,431
------------------
13,630,118
------------------
Germany -- 4.22%
Bundesrepublik Deutscheland
7.000%, due 09/20/99........................... DEM 5,900,000 3,625,118
8.500%, due 08/21/00........................... 16,350,000 10,600,384
5.250%, due 02/21/01........................... 11,500,000 6,833,611
8.375%, due 05/21/01........................... 15,450,000 10,146,322
6.750%, due 04/22/03........................... 14,200,000 8,892,724
6.500%, due 07/15/03........................... 12,900,000 7,980,145
6.750%, due 07/15/04........................... 2,800,000 1,750,281
6.000%, due 01/05/06........................... 2,100,000 1,242,454
6.250%, due 04/26/06........................... 12,500,000 7,508,177
6.000%, due 06/20/16........................... 3,500,000 1,951,251
6.250%, due 01/04/24........................... 1,160,000 647,632
Treuhandanstalt
6.875%, due 06/11/03........................... 11,300,000 7,108,378
6.250%, due 03/04/04........................... 18,200,000 11,089,613
------------------
79,376,090
------------------
Italy -- 1.68%
Republic of Italy (BTP)
9.500%, due 12/01/97........................... ITL 4,500,000,000 2,657,949
8.500%, due 01/01/99........................... 4,400,000,000 2,666,894
9.500%, due 02/01/01........................... 12,200,000,000 7,904,367
11.500%, due 03/01/03.......................... 6,000,000,000 4,323,949
9.000%, due 10/01/03........................... 8,800,000,000 5,780,123
8.500%, due 01/01/04........................... 5,430,000,000 3,495,114
10.500%, due 09/01/05.......................... 6,700,000,000 4,821,716
------------------
31,650,112
------------------
Netherlands -- 0.98%
Government of Netherlands
7.500%, due 06/15/99........................... NLG 1,400,000 765,343
8.250%, due 06/15/02........................... 3,800,000 2,242,995
6.500%, due 04/15/03........................... 12,500,000 6,883,836
5.750%, due 01/15/04........................... 13,600,000 7,177,257
8.500%, due 06/01/06........................... 2,300,000 1,418,057
------------------
18,487,488
------------------
Spain -- 0.43%
Kingdom of Spain
7.900%, due 02/28/02........................... ESP 325,000,000 2,423,242
10.000%, due 02/28/05.......................... 300,000,000 2,518,327
6.750%, due 04/15/00........................... 450,000,000 3,157,643
------------------
8,099,212
------------------
</TABLE>
19
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
-------------------- ------------------
<S> <C> <C>
Sweden -- 0.46%
Kingdom of Sweden
13.000%, due 06/15/01.................................. SWK 12,000,000 $ 1,956,945
10.250%, due 05/05/03.................................. 16,000,000 2,496,715
6.000%, due 02/09/05................................... 21,000,000 2,660,279
9.000%, due 04/20/09................................... 10,000,000 1,526,564
------------------
8,640,503
------------------
United Kingdom -- 2.03%
UK Treasury
7.000%, due 11/06/01.................................... GBP 1,105,000 1,832,619
8.000%, due 06/10/03.................................... 6,085,000 10,553,811
6.750%, due 11/26/04.................................... 4,010,000 6,550,686
8.500%, due 12/07/05.................................... 1,820,000 3,316,813
7.500%, due 12/07/06.................................... 2,565,000 4,400,970
9.000%, due 10/13/08.................................... 4,535,000 8,596,076
8.000%, due 09/27/13.................................... 1,620,000 2,897,777
------------------
38,148,752
------------------
Total Non-U.S. Bonds ....................................... 324,882,897
------------------
<CAPTION>
Shares
--------------
<S> <C> <C>
Emerging Markets Debt -- 3.10%
Brinson Emerging Markets Debt Fund (b) .................... 3,054,184 58,319,034
------------------
Total Bonds (Cost $906,706,562) ............................ 912,524,135
------------------
<CAPTION>
Face
Amount
--------------
<S> <C> <C>
Short-Term Investments -- 3.76%
U.S. Government Obligations -- 0.25%
U.S. Treasury Bill
5.520%, due 11/13/97.................................... $ 4,780,000 4,687,684
------------------
Commercial Paper -- 3.51%
American Stores Co. 5.830%, due 07/23/97................... 2,000,000 1,992,874
CSX Corp.
5.780%, due 07/09/97.................................... 4,500,000 4,494,220
5.800%, due 07/22/97.................................... 3,000,000 2,989,850
Crown Cork & Seal Co.
5.800%, due 07/09/97.................................... 2,000,000 1,997,422
5.780%, due 07/14/97.................................... 6,500,000 6,486,433
5.770%, due 07/15/97.................................... 2,500,000 2,494,390
Excel Paralubes Funding Corp.
5.750%, due 07/08/97................................... 2,700,000 2,696,981
5.800%, due 07/08/97................................... 1,000,000 998,872
GATX Capital, 5.900%, due 07/02/97......................... 3,000,000 2,999,508
Hughes Electronics Corp.
5.850%, due 07/10/97................................... 1,700,000 1,697,514
5.780%, due 07/11/97................................... 2,000,000 1,996,789
5.850%, due 08/11/97................................... 2,000,000 1,986,675
5.880%, due 08/12/97................................... 2,500,000 2,482,850
</TABLE>
20
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
---------------- ---------------
<S> <C> <C>
Commercial Paper (continued)
Marriot Corp. 5.770%, due 07/08/97......................... $ 2,500,000 $ 2,497,195
Norfolk Southern Corp.
5.770%, due 07/10/97..................................... 1,000,000 998,557
5.780%, due 07/18/97..................................... 3,000,000 2,991,812
Occidental Petroleum 5.800%, due 08/13/97.................. 7,500,000 7,448,041
Sundstrand Corp. 5.800%, due 07/09/97...................... 3,000,000 2,996,133
Tenneco, Inc.
5.780%, due 07/17/97..................................... 3,000,000 2,992,293
5.800%, due 07/23/97..................................... 3,500,000 3,487,594
Texaco Utilities Co. 5.810%, due 07/07/97.................. 5,500,000 5,494,674
Trinova 5.750%, due 07/02/97............................... 2,000,000 1,999,680
---------------
66,220,357
---------------
Total Short-Term Investments (Cost $70,904,295) 70,908,041
---------------
Total Investments (Cost $1,705,360,023) - 99.44% (a) 1,871,882,632
---------------
Cash and other assets, less liabilities -- 0.56% 10,449,358
---------------
Net Assets -- 100% $1,882,331,990
===============
</TABLE>
See accompanying notes to schedule of investments.
21
<PAGE>
BRINSON GLOBAL SECURITIES FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $1,705,360,023; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation ....................... $ 207,849,606
Gross unrealized depreciation ....................... (41,326,997)
------------
Net unrealized appreciation ................. $ 166,522,609
============
</TABLE>
(b) Non-income producing security
(c) Denominated in U.S. dollars.
(d) Linked to Canada's retail price index. Reset semi-annually.
FRN: Floating rate note. The rate disclosed is that in effect at June 30, 1997.
TBA: When-issued security. Security is subject to delayed delivery.
144A: Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30,
1997, the value of these securities amounted to $60,897,168 or 3.24% of
net assets.
FORWARD FOREIGN CURRENCY CONTRACTS (Note 5)
The Brinson Global Securities Fund had the following open forward foreign
currency contracts as of June 30, 1997:
<TABLE>
<CAPTION>
Settlement Local Current Unrealized
Date Currency Value Gain (Loss)
-------- -------------- ------------- -------------
<S> <C> <C> <C> <C>
Forward Foreign Currency Buy Contracts:
Belgian Franc ............................. 08/05/97 380,000,000 $ 10,596,411 $ (446,570)
British Pound ............................. 08/05/97 23,000,000 38,236,468 1,099,518
Danish Kroner ............................. 08/05/97 38,400,000 5,803,716 (249,724)
Frenc Franc ............................... 08/05/97 437,000,000 74,613,996 (2,957,632)
German Mark ............................... 08/05/97 91,700,000 52,763,313 (2,301,114)
Italian Lira .............................. 08/05/97 39,000,000,000 22,894,915 (415,805)
Japanese Yen .............................. 08/05/97 11,180,000,000 98,223,628 5,840,882
Netherlands Guilder ....................... 08/05/97 103,000,000 52,705,372 (2,284,625)
Swiss Franc ............................... 08/05/97 32,000,000 22,046,007 (337,876)
Forward Foreign Currency Sale Contracts:
Australian Dollar ......................... 08/05/97 56,100,000 42,044,833 1,814,260
Belgian Franc ............................. 08/05/97 930,000,000 25,933,321 1,738,814
British Pound ............................. 08/05/97 63,500,000 105,565,900 (3,654,150)
Canadian Dollar ........................... 08/05/97 45,000,000 32,692,322 1,212,368
Danish Kroner ............................. 08/05/97 243,000,000 36,726,643 2,227,064
French Franc .............................. 08/05/97 437,000,000 74,613,996 4,844,883
German Mark ............................... 08/05/97 187,000,000 107,598,032 7,022,209
Italian Lira .............................. 08/05/97 66,500,000,000 39,038,766 1,108,574
Netherlands Guilder ....................... 08/05/97 123,000,000 62,939,425 4,455,989
Swiss Franc ............................... 08/05/97 7,000,000 4,822,564 183,157
---------------
Total ............................... $18,900,222
===============
</TABLE>
FUTURES CONTRACTS (Note 6)
The Brinson Global Securities Fund had the following open futures contracts as
of June 30, 1997:
<TABLE>
<CAPTION>
Settlement Cost/ Current Unrealized
Date Proceeds Value Gain (Loss)
---------------- --------------- ---------------- ----------------
<S> <C> <C> <C> <C>
Interest Rate Futures Buy Contracts
5 year U.S. Treasury Notes, 250 contracts ... September 1997 $26,278,231 $26,472,657 $194,426
10 year U.S. Treasury Notes, 447 contracts .. September 1997 47,861,435 48,220,125 358,690
30 year U.S. Treasury Bonds, 268 contracts .. September 1997 29,239,360 29,764,750 525,390
Index Futures Sales Contracts
Standard & Poors's 500, 214 contracts ....... September 1997 90,761,975 95,256,750 (4,494,775)
--------------
Total ................................ $(3,416,269)
==============
</TABLE>
The segregated market value of investments pledged to cover margin requirements
for the open futures positions at June 30, 1997 was $4,687,684.
See accompanying note to financial statements.
22
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Note 1):
Unaffiliated issuers (Cost $1,543,434,327) .................................... $1,686,068,694
Affiliated issuers (Cost $161,925,696) ........................................ 185,813,938
Foreign currency, at value (Cost $4,855,890) ..................................... 4,857,017
Receivables:
Investment securities sold .................................................... 189,079,789
Dividends ..................................................................... 3,835,794
Interest ...................................................................... 15,878,700
Fund shares sold .............................................................. 28,185,647
Net unrealized appreciation on forward foreign currency contracts ............. 18,900,222
Variation margin (Note 6) ..................................................... 276,095
Other assets ..................................................................... 59,013
--------------
TOTAL ASSETS ........................................................... 2,132,954,909
--------------
LIABILITIES:
Payables:
Investment securities purchased ............................................... 165,853,173
Fund shares redeemed .......................................................... 5,070,429
Due to custodian bank ......................................................... 79,686,412
Other liabilities ................................................................ 12,905
--------------
TOTAL LIABILITIES ...................................................... 250,622,919
--------------
NET ASSETS:
Applicable to 127,781,377 shares; no par value, unlimited shares authorized ...... $1,882,331,990
==============
Net asset value, offering price and redemption
price per share ($1,882,331,990 / 127,781,377 shares) ......................... $14.7309
==============
NET ASSETS CONSIST OF:
Paid in capital .................................................................. $1,391,689,960
Accumulated net investment income ................................................ 118,496,607
Accumulated net realized gain .................................................... 190,183,777
Net unrealized appreciation ...................................................... 181,961,646
--------------
NET ASSETS ............................................................. $1,882,331,990
==============
</TABLE>
See accompanying notes to financial statements.
23
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest (net of $29,010 for foreign taxes withheld) ............................. $ 23,849,951
Dividends (net of $693,338 for foreign taxes withheld) ........................... 8,813,853
-------------
TOTAL INCOME ........................................................... 32,663,804
-------------
EXPENSES:
Custodian ........................................................................ 140,031
Administration ................................................................... 121,792
Accounting ....................................................................... 94,420
Legal ............................................................................ 33,521
Other ............................................................................ 53,518
-------------
TOTAL EXPENSES ......................................................... 443,282
-------------
NET INVESTMENT INCOME .................................................. 32,220,522
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments .................................................................. 56,121,734
Futures contracts ............................................................ (10,466,446)
Foreign currency transactions ................................................ 23,855,924
-------------
Net realized gain ........................................................ 69,511,212
-------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency ............................................. 49,170,386
Futures contracts ............................................................ (3,417,741)
Forward contracts ............................................................ 11,505,183
Translation of other assets and liabilities denominated in foreign currency .. (97,090)
-------------
Change in net unrealized appreciation or depreciation .................... 57,160,738
-------------
Net realized and unrealized gain ................................................. 126,671,950
-------------
Net increase in net assets resulting from operations ............................. $ 158,892,472
=============
</TABLE>
See accompanying notes to financial statements.
24
<PAGE>
BRINSON GLOBAL SECURITIES FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year
June 30, 1997 Ended
(Unaudited) December 31, 1996
----------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income ............................................ $32,220,522 $55,158,091
Net realized gain ................................................ 69,511,212 77,363,628
Change in net unrealized appreciation or depreciation ............ 57,160,738 53,605,928
----------------- ------------------
Net increase in net assets resulting from operations ............. 158,892,472 186,127,647
----------------- ------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold ...................................................... 148,075,871 866,421,331
Shares redeemed .................................................. (183,145,819) (261,593,988)
Net increase (decrease) in net assets ----------------- ------------------
resulting from capital share transactions (a) ................. (35,069,948) 604,827,343
----------------- ------------------
TOTAL INCREASE IN NET ASSETS ............................ 123,822,524 790,954,990
NET ASSETS:
Beginning of period .............................................. 1,758,509,466 967,554,476
----------------- ------------------
End of period (including accumulated net investment
income of $118,496,607 and $86,276,085, respectively) ......... $1,882,331,990 $1,758,509,466
================= ==================
<CAPTION>
(a) A summary of capital share transactions follows:
Shares Shares
----------------- ------------------
<S> <C> <C>
Shares sold ...................................................... 10,677,529 69,041,410
Shares redeemed .................................................. (13,360,755) (21,146,225)
----------------- ------------------
Net increase (decrease) in shares outstanding................. (2,683,226) 47,895,185
================= ==================
</TABLE>
See accompanying notes to the financial statements.
25
<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 Year Year
June 30, 1997 Ended Ended
(Unaudited) December 31, 1996 December 31, 1995*
--------------------- -------------------- -------------------
<S> <C> <C> <C>
Net asset value, beginning of period.................... $13.4788 $11.7181 $10.0000
--------------------- -------------------- -------------------
Income from investment operations:
Net investment income................................ 0.2660 0.2844 0.3769
Net realized and unrealized gain..................... 0.9861 1.4763 1.3412
-------------------- -------------------- ------------------
Total income from investment operations........... 1.2521 1.7607 1.7181
-------------------- -------------------- ------------------
Net asset value, end of period.......................... $14.7309 $13.4788 $11.7181
==================== ==================== ==================
Total return (non-annualized)........................... 9.29% 15.03% 17.18%
Ratios/Supplemental data
Net assets, end of period (in 000s).................. $1,882,332 $1,758,509 $967,554
Ratio of expenses to average net assets:
Before expense reimbursement...................... 0.05% ** 0.05% 0.14% **
After expense reimbursement....................... N/A N/A 0.05% **
Ratio of net investment income to average net assets:
Before expense reimbursement...................... 3.67% ** 4.36% 4.95 **
After expense reimbursement....................... N/A N/A 5.04 **
Portfolio turnover rate.............................. 73% 155% 158%
Average commission rate paid per share............... $0.0344 $0.0298 $0.0307
</TABLE>
* The Fund commenced operations April 28, 1995.
** Annualized
See accompanying notes to financial statements.
26
<PAGE>
BRINSON SHORT-TERM FUND
================================================================================
The Brinson Short-Term Fund provides an effective means for short-term
investment of assets designated for near-term disbursement or set aside as
future buying reserves. Investment emphasis within the Fund is on high-quality,
short-term money market instruments with a high degree of marketability and
liquidity. Brinson Partners, Inc.'s investment staff is guided by two basic
objectives when investing the Fund's assets. The first is to provide for safety
of principal, and the second is to earn a rate of return that is competitive
with alternative short-term investment vehicles.
Since its inception on June 30, 1996, the Brinson Short-Term Fund has had a
total return of 6.08%, compared to the 5.74% return from the benchmark of a
rolling portfolio of thirty-day U.S. Libor. The first quarter of 1997 in the
U.S. was characterized by unusually strong rates of real economic growth,
heightened fears of inflation, rising market interest rates and a 25 basis point
hike in the Federal Reserve's overnight funds target rate. In the second quarter
economic activity slowed, Fed policy held steady and market interest rates
declined. Over the full semi-annual period there was a net increase yields on
U.S. fixed income securities of about 10 to 20 basis points.
The Brinson Short-Term Fund derives its investment performance record from an
investment process which emphasizes portfolio maturity structure, credit risk
management, sector and issue selection and competitive execution. The Fund does
not utilize derivative securities with leveraged structures or other high risk
devices to enhance yield at the risk of safety of principal.
27
<PAGE>
BRINSON SHORT-TERM FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
---------------- ---------------
<S> <C> <C>
Short-Term Investments -- 99.93%
Commercial Paper -- 99.93%
AT&T Capital Corp., 5.880%, due 07/07/97 .................. $ 2,040,000 $ 2,038,001
Burlington Northern Santa Fe, 5.750%, due
08/01/97 ..................................................... 2,500,000 2,487,622
Dayton Hudson Corp., 5.720%, due 07/25/97 .................... 5,239,000 5,219,022
Lockheed Martin Corp., 5.750%, due 07/28/97 .................. 2,635,000 2,623,636
Norfolk Southern Corp., 5.730%, due 07/10/97 ................. 2,512,000 2,508,402
Raytheon Co., 5.880%, due 07/29/97 ........................... 4,007,000 3,988,675
Vastar Resources Inc., 5.750%, due 08/21/97 ................ 2,700,000 2,678,006
Whirlpool Financial Corp., 5.800%, due 09/03/97 ............ 2,078,000 2,056,573
Total Investments (Cost $23,599,937) - 99.93% ................ 23,599,937
--------------
Cash and other assets, less liabilities - 0.07% ............. 17,404
--------------
Net Assets - 100% ............................................ $ 23,617,341
===============
</TABLE>
See accompanying notes to financial statements.
28
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (Unaudited)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $23,599,937) (Note 1) ......................... $23,599,937
Cash ...................................................................... 1,547
Due from Advisor (Note 2) ................................................. 46,927
-------------
TOTAL ASSETS .................................................... 23,648,411
-------------
LIABILITIES:
Payables:
Accrued expenses ....................................................... 31,070
-------------
TOTAL LIABILITIES ............................................... 31,070
-------------
NET ASSETS:
Applicable to 2,226,339 shares; no par value; unlimited shares authorized $23,617,341
=============
Net asset value, offering and redemption price per share
($23,617,341 / 2,226,339 shares) ............................................ $10.6082
=============
NET ASSETS CONSIST OF:
Paid in capital ........................................................... $22,463,700
Accumulated net investment income ......................................... 1,153,719
Accumulated net realized loss ............................................. (78)
-------------
NET ASSETS ...................................................... $23,617,341
=============
</TABLE>
See accompanying notes to financial statements.
29
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ...................................................... $597,506
------------
TOTAL INCOME ........................................... 597,506
------------
EXPENSES:
Accounting .................................................... 21,027
Professional .................................................. 13,793
Transfer agent ................................................ 9,187
Administration ................................................ 3,559
Custodian ..................................................... 2,466
Director ...................................................... 1,825
Other ......................................................... 97
------------
TOTAL EXPENSES ......................................... 51,954
Expenses reimbursed by Advisor (Note 2) ................ (46,926)
------------
NET EXPENSES ........................................... 5,028
------------
NET INVESTMENT INCOME .................................. 592,478
------------
NET REALIZED GAIN:
Net realized gain ........................................... 24
------------
Net increase in net assets resulting from operations ........ $592,502
============
</TABLE>
See accompanying notes to financial statements.
30
<PAGE>
BRINSON SHORT-TERM FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended
June 30, 1997 Period Ended
OPERATIONS: (Unaudited) December 31, 1996*
------------- -------------------
<S> <C> <C>
Net investment income .................................................... $ 592,478 $ 561,241
Net realized gain (loss) ................................................. 24 (102)
------------ ------------
Net increase in net assets resulting from operations ..................... 592,502 561,139
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Shares sold .............................................................. 13,010,000 38,354,747
Shares redeemed .......................................................... (11,692,528) (17,218,519)
------------ ------------
Net increase in net assets resulting from capital share
transactions (a) ...................................................... 1,317,472 21,136,228
------------ ------------
TOTAL INCREASE IN NET ASSETS .................................... 1,909,974 21,697,367
NET ASSETS:
Beginning of period ..................................................... 21,707,367 10,000
------------ ------------
End of period (including accumulated net investment
income of $1,153,719 and $561,241, respectively) ................ $ 23,617,341 $ 21,707,367
============ ============
<CAPTION>
(a) A summary of capital share transactions follows:
Shares Shares
------------ ------------
<S> <C> <C>
Shares sold .............................................................. 1,243,162 3,789,397
Shares redeemed .......................................................... (1,123,121) (1,684,099)
------------ ------------
Net increase in shares outstanding ................................... 120,041 2,105,298
============ ============
</TABLE>
* The Fund commenced operations June 28, 1996.
See accompanying notes to financial statements.
31
<PAGE>
BRINSON SHORT-TERM 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, 1997 Ended
(Unaudited) December 31, 1996*
--------------- -------------------
<S> <C> <C>
Net asset value, beginning of period................................. $10.3059 $10.0000
--------------- -------------------
Income from investment operations:
Net investment income............................................. 0.3023 *** 0.3060 ***
Net realized gain (loss).......................................... 0.0000 (0.0001)
--------------- ----------------
Total income from investment operations...................... 0.3023 0.3059
=============== ================
Net asset value, end of period....................................... $10.6082 $10.3059
=============== ================
Total return (non-annualized)........................................ 2.93% 3.06%
Ratios/Supplemental data
Net assets, end of period (in 000s)............................... $23,617 $21,707
Ratio of expenses to average net assets:
Before expense reimbursement................................. 0.51% ** 0.94% **
After expense reimbursement.................................. 0.05% ** 0.05% **
Ratio of net investment income to average net assets:
Before expense reimbursement................................. 5.32% ** 4.84% **
After expense reimbursement.................................. 5.78% ** 5.73% **
</TABLE>
* The Fund commenced operations June 28, 1996.
** Annualized
*** The net investment income per share data was determined by using average
shares outstanding during the period
See accompanying notes to financial statements.
32
<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
and $515 million. The Fund seeks companies that offer premium returns through
strong, innovative management teams, good long-term earning prospects, strong
balance sheets and good financial controls. The Fund's emphasis is on companies
that developed with the assistance of professional venture capitalists, 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 28.12% compared to 22.99% for the Wilshire
Small Stock Index, a capitalization weighted index of companies which represents
the lower 7.50% of market capitalizations within the Wilshire 5000 Equity Index.
For the first six months of 1997, the Post-Venture Fund had a return of 12.16%,
which was 198 basis points more than the 10.18% 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 modestly negative impact on Fund performance in the
first half. Overweightings in business machines, tires and rubber, and
miscellaneous, and underweightings in banks, food and agriculture and
construction diminished overall portfolio performance. On the positive side,
underweightings in drugs and medicine and business services, and overweightings
in apparel and trucking and freight enhanced Fund performance.
The overall stock specific influence was positive in the first six months. The
Fund's better performing stocks included Silicon Valley Bancshares, Applied
Power, Carmike Cinemas, Kellwood Company, and Integrated Circuit Systems. The
worst performing stocks included DH Technology, Coachmen Industries, and
Teltrend.
33
<PAGE>
BRINSON POST-VENTURE FUND
================================================================================
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 04/30/95*
06/30/97 06/30/97 to 06/30/97
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Post-Venture Fund 12.16% 26.66% 28.12%
- -------------------------------------------------------------------------------
Wilshire Small Stock Index 10.18% 12.02% 22.99%
- -------------------------------------------------------------------------------
</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
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Brinson Post-Venture Wilshire Small
Fund Stock Index
<S> <C> <C>
04/30/95 100,000 100,000
05/31/95 100,802 102,030
06/30/95 105,306 107,958
07/31/95 109,310 114,392
08/31/95 113,508 117,835
09/30/95 113,864 120,475
10/31/95 112,673 114,391
11/30/95 117,557 117,308
12/31/95 119,936 119,959
01/31/96 118,542 120,835
02/29/96 121,360 124,279
03/31/96 125,800 127,895
04/30/96 134,578 137,283
05/31/96 141,097 146,233
06/30/96 135,051 139,755
07/31/96 126,673 126,283
08/31/96 135,902 132,155
09/30/96 140,758 136,477
10/31/96 142,806 134,334
11/30/96 148,199 138,203
12/31/96 152,509 142,100
01/31/97 154,820 146,931
02/28/97 153,430 143,038
03/31/97 149,872 135,628
04/30/97 147,152 132,536
05/31/97 161,939 147,685
06/30/97 171,055 156,561
</TABLE>
04/30/95 = $100,000 Data through 06/30/97
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.
34
<PAGE>
BRINSON POST-VENTURE FUND
================================================================================
TOP TEN U.S. EQUITY HOLDINGS
As of June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
------------------------------------------------------------------
<S> <C>
1. Silicon Valley Bancshares ..................... 2.94%
2. Financial Security Assurance Holdings Ltd. 2.56
3. Applied Power, Inc. Class A ................... 2.35
4. Pool Energy Services Co ....................... 2.10
5. CWM Mortgage Holdings, Inc. ................... 2.02
6. LTC Properties, Inc. .......................... 1.95
7. RFS Hotel Investors, Inc. ..................... 1.84
8. Scotsman Industries, Inc. ..................... 1.66
9. North Fork Bancorporation, Inc. ............... 1.64
10. Shorewood Packaging Corp ...................... 1.63
</TABLE>
Industry Diversification
As a Percent of Net Assets
As of June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
U.S. EQUITIES
Capital Investment
<S> <C>
Capital Goods ............................................ 4.70 %
Technology ............................................... 17.48
--------
22.18
Consumer
Durables ................................................. 5.73
Non-Durables ............................................. 17.95
--------
23.68
Energy ..................................................... 2.63
Finance .................................................... 20.40
Materials & Services ....................................... 19.36
Transportation ............................................. 2.82
Utilities .................................................. 2.91
--------
Total U.S. Equities ................................. 93.98
--------
SHORT-TERM INVESTMENTS ...................................... 3.06
--------
TOTAL INVESTMENTS ................................... 97.04
CASH AND OTHER ASSETS,
LESS LIABILITIES ........................................... 2.96
--------
NET ASSETS .......................................... 100.00 %
========
</TABLE>
35
<PAGE>
BRINSON POST-VENTURE FUND SHEDULE OF INVESTMENTS
- -------------------------------------------------------------------------------
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
---------------- ---------------
<S> <C> <C>
U.S. Equities -- 93.98%
AFC Cable Systems, Inc. (b) .................................. 118,550 $ 3,200,850
Align-Rite International, Inc. (b) ............................ 100,000 1,300,000
Allied Capital Corp. II ....................................... 69,700 1,463,700
Allied Holdings, Inc. (b) .................................... 133,400 1,484,075
Allied Life Financial Corp. ................................... 113,425 2,240,144
Alpharma, Inc., Class A ....................................... 79,800 1,271,812
Ambassador Apartments, Inc. ................................... 135,700 3,375,538
American Business Products, Inc. .............................. 210,270 4,783,642
American Classic Voyages Company (b) .......................... 117,700 1,265,275
American Software, Inc. Class A (b) .......................... 114,200 858,285
Amerus Life Holdings, Inc. .................................... 39,000 1,087,125
Applied Power, Inc. Class A ................................... 146,500 7,563,063
Atmos Energy Corp. ............................................ 138,550 3,325,200
Bacou USA, Inc. (b) ........................................... 174,000 2,827,500
BancTec, Inc. (b) ............................................. 107,600 2,790,875
BEI Electronics, Inc. ......................................... 184,800 2,032,800
Bell Microproducts, Inc. (b) .................................. 150,200 1,595,875
Benchmark Electronics, Inc. (b) ............................... 86,600 3,507,300
Bon-Ton Stores, Inc. (b) ...................................... 279,819 2,238,552
Cadmus Communications Corp. ................................... 182,100 2,822,550
Carmike Cinemas, Inc. Class A (b) ............................. 147,500 4,830,625
CenterPoint Properties Corp. .................................. 153,600 4,876,800
Chandler Insurance Co. Ltd. (b) ................................ 200,300 851,275
Chico's FAS, Inc. (b) ......................................... 184,700 981,219
Clean Harbors, Inc. (b) ....................................... 248,500 419,344
Coachmen Industries, Inc. ..................................... 127,600 2,185,150
Computer Task Group, Inc. ..................................... 42,800 1,594,300
Connecticut Energy Corp. ...................................... 207,100 5,022,175
Coventry Corp. (b) ............................................ 70,195 1,061,699
Crown Crafts, Inc. ............................................ 115,100 1,208,550
CWM Mortgage Holdings, Inc. ................................... 270,700 6,479,881
Davco Restaurants, Inc. (b) ................................... 167,200 1,881,000
Dayton Superior Corp. (b) ..................................... 145,000 1,848,750
Delta Financial Corp. ......................................... 29,000 554,625
Department 56, Inc. (b) ....................................... 95,400 2,116,688
DH Technology, Inc. (b) ....................................... 204,675 3,325,969
Dress Barn, Inc. (b) .......................................... 145,150 2,830,425
Drug Emporium, Inc. (b) ....................................... 102,600 525,825
DT Industries, Inc. ........................................... 64,600 2,309,450
El Chico Restaurants, Inc. (b) ................................ 62,200 567,575
Electromagnetic Sciences, Inc. (b) ............................ 150,500 2,633,750
Eskimo Pie Corp. .............................................. 68,200 826,925
Evans & Sutherland Computer Corp. (b) ......................... 149,800 4,175,675
Exabyte Corp. (b) ............................................. 202,900 2,599,656
FBL Financial Group, Inc. Class A ............................. 88,300 3,333,325
Financial Security Assurance Holdings Ltd. .................... 211,473 8,234,230
</TABLE>
36
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- --------------
<S> <C> <C>
U.S. Equities (Continued)
Fred's, Inc. .................................................. 137,200 $ 2,058,000
Gradall Industries, Inc. (b) .................................. 103,900 1,662,400
Granite Broadcasting Corp. (b) ................................ 125,100 1,282,275
Granite Broadcasting Corp. Preferred .......................... 31,100 1,555,000
Haggar Corp. .................................................. 155,700 1,985,175
Harborside Healthcare Corp. (b) ............................... 90,200 1,285,350
Hardinge, Inc. ................................................ 75,100 2,196,675
Hartmarx Corp. (b) ............................................ 199,000 1,641,750
Helen of Troy Ltd. (b) ........................................ 163,400 4,187,125
Huffy Corp. ................................................... 236,850 3,463,931
Hycor Biomedical, Inc. (b) .................................... 187,700 381,266
Information Resources, Inc. (b) ............................... 101,500 1,433,688
Innkeepers USA Trust .......................................... 109,400 1,641,000
Insilco Corp. (b) ............................................. 38,400 1,440,000
Integrated Circuit Systems, Inc. (b) .......................... 181,100 4,108,706
InterTan, Inc. (b) ............................................ 224,400 827,475
inTEST Corp. (b) .............................................. 143,400 1,290,600
Jason, Inc. (b) .............................................. 205,000 1,178,750
Kellwood Co. .................................................. 139,875 3,881,531
KLLM Transport Services, Inc. (b) ............................. 128,065 1,504,764
Landstar System, Inc. (b) ..................................... 163,200 4,590,000
LTC Properties, Inc. .......................................... 346,400 6,278,500
MacNeal-Schwendler Corp. ...................................... 348,320 3,787,980
M/A/R/C, Inc. ................................................. 137,270 2,676,765
Marquette Medical Systems (b) ................................. 113,200 2,490,400
Maxim Group, Inc. (b) ......................................... 64,300 707,300
Media 100, Inc. (b) ........................................... 169,700 784,862
Methode Electronics, Inc. Class A ............................. 133,880 2,660,865
Micheal Anthony Jewelers, Inc. (b) ............................ 227,335 909,340
Micheals Stores, Inc. (b) ..................................... 61,500 1,303,031
Microsemi Corp. (b) ........................................... 167,100 2,130,525
M.S.Carriers, Inc. (b) ........................................ 126,100 3,168,262
National Computer Systems, Inc. ............................... 140,420 3,738,683
National Insurance Group ...................................... 120,550 783,575
National Patent Development Corp. (b) ......................... 112,080 875,625
Newport Corp. ................................................. 191,680 2,156,400
Nichols Research Corp. (b) .................................... 186,354 3,913,434
North Fork Bancorporation, Inc. ............................... 246,000 5,258,250
Norton McNaughton, Inc. (b) ................................... 148,700 724,913
OPTEK Technology, Inc. (b) .................................... 37,000 541,125
Oregon Metallurgical Corp. (b) ................................ 40,400 1,136,250
Pharmaceutical Resources, Inc. (b) ............................ 31,600 86,900
Piccadilly Cafeterias, Inc. ................................... 173,900 1,847,687
Pluma, Inc. (b) ............................................... 113,200 1,740,450
Pool Energy Services Co. (b) .................................. 371,700 6,737,063
Premier Financial Bancorp, Inc. ............................... 108,500 1,871,625
ProCyte Corp. (b) ............................................. 384,000 432,000
QLogic Corporation (b) ........................................ 39,000 994,500
Quixote Corp. ................................................. 184,100 1,472,800
Rainbow Technologies, Inc. (b) ................................ 133,900 2,527,363
</TABLE>
37
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
---------------- ----------------
<S> <C> <C>
U.S. Equities (Continued)
Ramsay Health Care, Inc. (b) .................................. 186,600 $ 629,775
Rare Hospitality International Inc. (b) ....................... 239,761 2,967,042
Regal Beloit Corp. ............................................ 165,220 4,326,699
Regency Health Services, Inc. (b) ............................ 208,899 3,211,822
RFS Hotel Investors, Inc. ..................................... 328,900 5,920,200
Safeguard Health Enterprises, Inc. (b) ........................ 122,100 1,297,312
Sanfilippo (John B.) & Son, Inc. (b) .......................... 221,400 1,522,125
Santa Cruz Operation, Inc. (b) ................................ 15,300 54,506
Scotsman Industries, Inc. ..................................... 187,100 5,332,350
Shelby Williams Industries, Inc. .............................. 161,300 2,197,712
Shelter Components Corp. ...................................... 136,425 1,620,047
Sholodge, Inc. (b) ............................................ 202,600 3,001,012
Shorewood Packaging Corp. (b) ................................. 230,400 5,241,600
Silicon Valley Bancshares (b) ................................. 209,090 9,461,323
SkyWest, Inc. ................................................. 173,900 2,717,188
Southern Pacific Funding Corp. (b) ............................ 87,950 1,462,169
Special Metals Corp. (b) ...................................... 103,800 2,024,100
Stanley Furniture Co., Inc. (b) ............................... 130,660 3,021,512
Storage USA, Inc. ............................................. 112,000 4,284,000
Stratasys, Inc. (b) ........................................... 75,000 1,209,375
Summit Holding Southeast Inc. (b) ............................. 58,700 997,900
Sun Healthcare Group, Inc. (b) ................................ 143,180 2,979,934
Team, Inc. (b) ................................................ 140,680 369,285
Teltrend, Inc. (b) ............................................ 145,500 2,127,938
Ticketmaster Group, Inc. (b) .................................. 74,300 1,235,237
Trans Financial, Inc. ......................................... 34,700 967,263
Varlen Corp. .................................................. 42,400 1,139,500
Versa Technologies, Inc. ...................................... 151,200 2,381,400
Xircom Inc. (b) ............................................... 79,200 985,050
York Group, Inc. .............................................. 97,300 1,824,375
----------------
Total Equities (Cost $239,754,613) ............................. 302,150,732
----------------
<CAPTION>
Face
Amount
------------------
<S> <C>
Short-Term Investments -- 3.06%
U.S. Government Obligation -- 0.11%
U.S. Treasury Bill
5.360%, due 11/13/97........................................ $ 350,000 343,240
-------------
Commercial Paper -- 2.95%
Crown Cork & Seal Co., Inc.
5.800%, due 07/09/97 ...................................... 1,000,000 998,711
5.770%, due 07/15/97 ...................................... 1,000,000 997,756
5.780%, due 07/14/97 ...................................... 1,000,000 997,913
Excel Paralubes Funding Corp., 5.800%, due 07/08/97 .........
1,000,000 998,872
GATX Capital, 5.900%, due 07/02/97 .......................... 1,000,000 999,836
Hughes Electronics
5.780%, due 07/11/97 ...................................... 1,000,000 998,395
5.850%, due 08/11/97 ...................................... 1,000,000 993,338
</TABLE>
38
<PAGE>
BRINSON POST-VENTURE FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
------------ -------------
<S> <C> <C>
Commercial Paper (Continued)
Sundstrand Corp., 5.800%, due 07/09/97 ...................... $ 1,000,000 $ 998,711
Tenneco, Inc., 5.780%, due 07/17/97 ......................... 500,000 498,715
Texas Utilities Inc., 5.810%, due 07/07/97 .................. 1,000,000 999,032
-------------
9,481,279
-------------
Total Short-Term Investments (Cost $9,824,244)
9,824,519
-------------
Total Investments (Cost $249,578,857) - 97.04% (a) 311,975,251
-------------
Cash and other assets, less liabilities - 2.96% 9,512,580
-------------
Net Assets - 100%............................................... $321,487,831
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $249,578,857; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation....................... $ 74,484,926
Gross unrealized depreciation....................... (12,088,532)
------------
Net unrealized appreciation............... $ 62,396,394
------------
</TABLE>
(b) Non-income producing security.
FUTURES CONTRACTS (Note 6)
The Brinson Post-Venture Fund had the following open futures contracts as of
June 30, 1997:
<TABLE>
<CAPTION>
Settlement Cost/ Current Unrealized
Date Proceeds Value Gain
---------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Index Futures Buy Contracts
Standard & Poor's 500, 41 contracts September 1997 $18,150,210 $18,250,125 $ 99,915
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at June 30, 1997 was $343,240.
See accompanying notes to financial statements.
39
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
================================================================================
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (Unaudited)
<S> <C>
ASSETS:
Investments, at value (Cost $249,578,857) (Note 1) ........... $311,975,251
Cash ......................................................... 7,843,038
Receivables:
Investment securities sold ................................ 10,956,691
Dividends ................................................. 424,855
Due from Advisor (Note 2)..................................... 88,450
---------------------
TOTAL ASSETS ....................................... 331,288,285
---------------------
LIABILITIES:
Payables:
Investment securities purchased ........................... 9,624,239
Variation margin (Note 6) ................................. 87,765
Accrued expenses .......................................... 88,450
---------------------
TOTAL LIABILITIES .................................. 9,800,454
---------------------
NET ASSETS:
Applicable to 18,794,435 shares; no par value,
unlimited shares authorized .............................. $321,487,831
=====================
Net asset value per share
($321,487,831 / 18,794,435) shares ........................ $17.1055
=====================
NET ASSETS CONSIST OF:
Paid in capital .............................................. $177,488,663
Accumulated net investment income ............................ 11,268,886
Accumulated net realized gain ................................ 70,233,973
Net unrealized appreciation .................................. 62,496,309
=====================
NET ASSETS ......................................... $321,487,831
=====================
</TABLE>
See accompanying notes to financial statements.
40
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ........................................................... $2,236,848
Interest ............................................................ 647,229
----------------------
TOTAL INCOME .............................................. 2,884,077
----------------------
EXPENSES:
Accounting .......................................................... 38,502
Professional ........................................................ 19,000
Administration ...................................................... 11,878
Custodian ........................................................... 5,463
Other ............................................................... 3,931
----------------------
TOTAL EXPENSES ............................................ 78,774
----------------------
Expenses reimbursed by Advisor (Note 2) ................... (78,774)
----------------------
NET EXPENSES .............................................. 0
----------------------
NET INVESTMENT INCOME ..................................... 2,884,077
----------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on:
Investments ..................................................... 12,910,135
Futures contracts ............................................... 1,436,007
----------------------
Net realized gain ........................................ 14,346,142
----------------------
Change in net unrealized appreciation or depreciation on:
Investments ..................................................... 17,412,998
Futures contracts ............................................... 311,465
----------------------
Change in net unrealized appreciation or depreciation ....... 17,724,463
----------------------
Net realized and unrealized gain .................................... 32,070,605
----------------------
Net increase in net assets resulting from operations ................ $34,954,682
======================
</TABLE>
See accompanying notes to financial statements.
41
<PAGE>
BRINSON POST-VENTURE FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year
June 30, 1997 Ended
(Unaudited) December 31, 1996
------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income ........................................ $2,884,077 $4,830,476
Net realized gain ............................................ 14,346,142 37,696,001
Change in net unrealized appreciation or depreciation ........ 17,724,463 19,063,701
--------------- ---------------
Net increase in net assets resulting from operations ......... 34,954,682 61,590,178
--------------- ---------------
CAPITAL SHARE TRANSACTIONS:
Shares sold .................................................. 717,352 247,887,694
Shares redeemed .............................................. (13,162,451) (267,309,948)
--------------- ---------------
Net decrease in net assets
resulting from capital share transactions (a) ............ (12,445,099) (19,422,254)
--------------- ---------------
TOTAL INCREASE IN NET ASSETS ........................ 22,509,583 42,167,924
--------------- ---------------
NET ASSETS:
Beginning of period .......................................... 298,978,248 256,810,324
--------------- ---------------
End of period (including accumulated net investment
income of $11,268,886 and $8,384,809 respectively) ........ $321,487,831 $298,978,248
=============== ===============
</TABLE>
(a) A summary of capital share transactions follows:
<TABLE>
<CAPTION>
Shares Shares
--------------- ---------------
<S> <C> <C>
Shares sold .................................................. 47,422 16,920,464
Shares redeemed .............................................. (857,019) (18,728,639)
--------------- ---------------
Net decrease in shares outstanding ....................... (809,597) (1,808,175)
=============== ===============
</TABLE>
See accompanying notes to financial statements.
42
<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 Year Period
June 30, 1997 Ended Ended
(Unaudited) December 31, 1996 December 31, 1995*
----------- ----------------- ------------------
<S> <C> <C> <C>
Net asset value, beginning of period ......................... $15.2509 $11.9936 $10.0000
----------- ----------- -----------
Income from investment operations:
Net investment income ..................................... 0.1719 0.2617 0.1660
Net realized and unrealized gain .......................... 1.6827 2.9956 1.8276
----------- ----------- -----------
Total income from investment operations .............. 1.8546 3.2573 1.9936
----------- ----------- -----------
Net asset value, end of period ............................... $17.1055 $15.2509 $11.9936
=========== =========== ===========
Total return (non-annualized) ................................ 12.16% 27.16% 19.94%
Ratios/Supplemental data
Net assets, end of period (in 000s) ....................... $321,487 $298,978 $256,810
Ratio of expenses to average net assets:
Before expense reimbursement ....................... 0.05% ** 0.09% 0.17% **
After expense reimbursement ........................ 0.00% ** 0.00% 0.00% **
Ratio of net investment income to average net assets:
Before expense reimbursement ....................... 1.91% ** 1.78% 1.85% **
After expense reimbursement ........................ 1.96% ** 1.87% 2.02% **
Portfolio turnover rate ................................... 20% 39% 25%
Average commission rate paid per share .................... $0.0507 $0.0359 $0.0255
</TABLE>
* The Fund commenced operations April 28, 1995.
** Annualized
See accompanying notes to financial statements.
43
<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
expected returns in the higher risk segments of the fixed income market.
Diversification 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 13.32%
since inception on April 30, 1995 versus 13.08% for its benchmark, the First
Boston High Yield Bond Index. The Fund outperformed its benchmark in the first
half of the year, registering a 6.46% gain versus the 5.86% return of the index.
High yield bond returns fell between the modestly positive U.S. Treasury returns
and the strong stock market gains. The average spread to Treasuries of the Index
has declined form 355 to 339 basis points during the year. Strong corporate
earnings, a benign inflation environment, modest economic growth, low default
experience, robust demand from high yield mutual funds and a record-setting
stock market have propelled high yield bonds upward.
During the first six months of 1997 the middle tier segment of the market has
been the best performing quality segment with a 6.60% total return. The upper
and lower tier have achieved 5.38% and 0.88% total returns, respectively. The
Fund's performance has been favorably impacted by our overweight of the middle
tier, which has benefited from investors' search for yield without pursuing a
high risk strategy.
All industry groups had positive returns during the first six months of 1997.
The best performing industries in the first six months of 1997 were restaurants,
conglomerates and retail with 9.20%, 8.76%, and 8.14% total returns,
respectively. The worst performers were financial, supermarkets and drug stores,
and cable TV at 1.68%, 3.28% and 4.34%, respectively. The Fund's large
underweight in cable TV, modest underweights in financial and supermarkets and
drug stores, and overweights in conglomerates and retail favorably impacted
performance in the first half of 1997.
The Fund owns approximately 45 different issues in an effort to achieve
diversification by industry, quality, security type, maturity and coupon. During
the first six months of 1997 we added 13 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 with 285 issues aggregating to $53.8 billion completed
year-to-date. This compares to 1996's full year record of $73.2 billion. Credit
selection remains the primary contributor to Fund performance. The best
performers in the first half included Scotsman Holdings, Cablevision Systems,
Nextel Communications, SD Warren, Florist's Transworld Delivery and Mesa Co. The
average yield of the Fund was 10.37% versus 9.76% for the index at June 30,
1997.
44
<PAGE>
BRINSON HIGH YIELD FUND
================================================================================
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 04/30/95*
06/30/97 06/30/97 to 06/30/97
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson High Yield Fund 6.46% 16.08% 13.32%
- --------------------------------------------------------------------------------------------
First Boston High Yield Bond Index 5.86% 14.67% 13.08%
- --------------------------------------------------------------------------------------------
</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 First Boston 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. First Boston High Yield Bond Index
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Brinson High First Boston
Yield High Yield
Fund Bond Index
------------ ------------
<S> <C> <C>
04/30/95 100,000 100,000
05/31/95 100,662 102,820
06/30/95 100,553 103,499
07/31/95 101,729 105,103
08/31/95 102,291 105,397
09/30/95 103,491 106,609
10/31/95 104,956 107,793
11/30/95 105,941 108,299
12/31/95 107,361 109,675
01/31/96 108,820 111,758
02/29/96 110,836 112,351
03/31/96 110,503 112,047
04/30/96 111,210 112,652
05/31/96 112,623 113,565
06/30/96 112,963 113,815
07/31/96 113,584 114,839
08/31/96 115,713 116,091
09/30/96 119,121 118,088
10/31/96 119,625 119,080
11/30/96 121,423 120,937
12/31/96 123,175 123,295
01/31/97 124,846 124,196
02/28/97 126,409 126,530
03/31/97 122,735 125,113
04/30/97 124,892 126,227
05/31/97 128,738 128,764
06/30/97 131,130 130,515
</TABLE>
04/30/95 = $100,000 Data through 06/30/97
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.
45
<PAGE>
BRINSON HIGH YIELD FUND
================================================================================
Industry Diversification
As a Percent of Net Assets
As of June 30, 1997 (Unaudited)
<TABLE>
<S> <C>
U.S. BONDS
Corporate Bonds
Energy ............................. 2.34 %
Financial .......................... 4.73
Industrial ......................... 62.59
Telecommunications ................. 5.13
-------------
Total U.S. Corporate Bonds ......... 74.79
-------------
International Dollar Bonds .............. 5.42
-------------
Total U.S. Bonds .............. 80.21
-------------
U.S. EQUITIES
Common Stock ............................ 0.09
Preferred Stock ......................... 16.24
Warrants ................................ 1.13
-------------
Total U.S. Equities ........... 17.46
-------------
SHORT-TERM INVESTMENTS ........................ 0.73
-------------
TOTAL INVESTMENTS ............. 98.40
CASH AND OTHER ASSETS, LESS LIABILITIES ....... 1.60
-------------
NET ASSETS .................... 100.00 %
=============
</TABLE>
46
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
-------------------- ------------------
<S> <C> <C>
U.S. Bonds -- 80.21%
U.S. Corporate Bonds -- 74.79%
Adams Outdoor Advertising, 10.750%, due 03/15/06 ........... $ 3,000,000 $ 3,202,500
Allied Waste Industries N.A., Inc. 144A, 0.000%, due
06/01/07 (c) ................................................. 5,000,000 3,137,500
Amphenol Corp., 9.875%, due 05/15/07 ....................... 3,000,000 3,097,500
Arch Communications Group, 0.000%, due 03/15/08 (d) ......... 6,000,000 3,165,000
Belden & Blake 144A, 9.875%, due 06/15/07 .................. 3,000,000 2,970,000
Big 5 Holdings, Inc. Series B, 13.625%, due 09/15/02.......... 1,000,000 1,060,000
California Energy Co., Inc., 9.500%, due 09/15/06 .......... 3,000,000 3,210,000
Clark USA, Inc. Series B, 10.875%, due 12/01/05 ............ 1,000,000 1,060,000
Cobblestone Golf Group, Inc. Series B, 11.500%, due 06/01/03 3,000,000 3,150,000
Coinmach Corp., Series B 11.750%, due 11/15/05 .............. 3,000,000 3,307,500
Corporate Express, Inc., 4.500%, due 07/01/00 .............. 3,000,000 2,673,540
DVI Inc., 9.875%, due 02/01/04 ............................. 3,000,000 3,022,500
E & S Holdings Corp., Series B 10.375%, due 10/01/06........... 3,000,000 3,150,000
Florist Transworld Delivery Series B, 14.000%, due 12/15/01 . 2,000,000 2,080,000
Fortress Group, Inc., 13.750%, due 05/15/03 ................ 3,500,000 3,640,000
Fundy Cable Ltd., 11.000%, due 11/15/05 .................... 3,000,000 3,240,000
Hines Horticulture Series B, 11.750%, due 10/15/05 ......... 3,000,000 3,172,500
Icon Fitness Corp., 0.000%, due 11/15/06 (e) ............... 7,000,000 3,815,000
J.B. Poindexter & Co., 12.500%, due 05/15/04 ............... 3,000,000 3,030,000
Lear Seating Corp., 8.250%, due 02/01/02 ................... 3,000,000 3,007,500
Leslie's Poolmart 144A, 10.375%, due 07/15/04 ............... 2,750,000 2,818,750
Mesa Operating Co., 10.625%, due 07/01/06 .................. 3,000,000 3,408,750
Nextel Communications, Inc., 0.000%, due 08/15/04 (f)........ 5,000,000 3,850,000
Plastic Containers, Inc. Series B, 10.000%, due 12/15/06 .... 3,000,000 3,112,500
Premier Parks Series A, 12.000%, due 08/15/03 ............... 3,000,000 3,322,500
Remington Product Co. LLC Series B, 11.000%, due 05/15/06 ... 2,500,000 2,200,000
Riverwood International Corp., 10.875%, due 04/01/08 ........ 3,000,000 2,700,000
Ryerson Tull, Inc., 9.125%, due 07/15/06 ................... 3,000,000 3,150,000
Tanger Properties Ltd., 8.750%, due 03/11/01 ............... 3,000,000 3,069,060
Tultex Corp., 10.625%, due 03/15/05 ........................ 3,300,000 3,605,250
Unifrax Investment Corp., 10.500%, due 11/01/03 ............ 2,000,000 2,080,000
Victory Markets, Inc., 12.500%, due 03/15/00 (i) ........... 2,000,000 40,000
William Carter, Co. Series A, 10.375%, due 12/01/06 ........ 2,750,000 2,901,250
Wireless One, Inc., 0.000%, due 08/01/06 (g) ............... 7,000,000 1,890,000
Wright Medical Technology 10.750%, due 07/01/00 ............. 3,000,000 3,052,500
Young Broadcasting Corp. 9.000%, due 01/15/06 .............. 3,000,000 2,947,500
-------------------
102,339,100
-------------------
</TABLE>
47
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
-------------------- ---------------------
<S> <C> <C>
International Dollar Bonds -- 5.42%
Euramax International Ltd. 144A, 11.250%, due 10/01/06 $ 3,000,000 $ 3,225,000
Telesystem International Wireless 144A, 0.000%, due
06/30/07 (h) ................................................. 6,000,000 3,172,500
TFM S.A. de C.V. 144A, 10.250%, due 06/15/07 1,000,000 1,017,500
----------------
7,415,000
----------------
Total U.S. Bonds (Cost $110,238,112) .......................... 109,754,100
----------------
<CAPTION>
Shares
------------------
<S> <C> <C>
U.S. Equities -- 17.46%
American Communication Services Warrants "05" (b) ............ 6,000 240,000
American Radio Systems, 144A, Convertible Preferred, 11.375% . 30,711 3,270,722
Cablevision Systems Corp. Convertible Preferred, 11.125% ..... 40,239 4,054,119
F.T.D. Class B (b) .......................................... 40,625 121,875
Icon Health & Fitness Capital, Inc. Warrants "99" (b) ........ 4,000 200,000
Nextel Communications, Inc. Warrants "98"(b) ................. 2,315 23
Nextlink Communications Inc. Convertible Preferred, 14.000% .. 62,123 3,214,865
Nextlink Communications, 144A Warrants "09" (b) ............... 60,000 600
Pegasus Communications, Convertible Preferred, 12.750% ....... 3,000 2,895,000
Pegasus Communications Warrants "07" (b) ..................... 3,000 45,000
Renaissance Cosmetics, Inc. Convertible Preferred, 14.000% ... 6,624 5,829,120
Renaissance Cosmetics, Inc. Warrants "01" (b) ............... 4,000 200,000
Renaissance Cosmetics, Inc. Warrants "06" (b) ................ 5,000 500,000
S.D. Warren Co. Preferred, 14.000% (b) ........................ 70,000 2,940,000
S.D. Warren Co. Warrants "06" (b) ............................ 60,000 300,000
Town & Country Corp. Convertible Preferred, 6.000% ........... 20,853 10,427
Wright Medical Technology Warrants "03" (b) .................. 618 61,788
-------------------
Total U.S. Equities (Cost $21,401,361) ......................... 23,883,539
-------------------
<CAPTION>
Face
Amount
-----------------
<S> <C> <C>
Short-Term Investments -- 0.73%
Commercial Paper -- 0.73%
Occidental Petroleum, 5.800%, due 08/13/97 ................. $ 500,000 496,536
Texas Utilities Inc., 5.810%, due 07/07/97 ................. 500,000 499,516
-------------------
Total Short-Term Investments (Cost $996,052) ................... 996,052
-------------------
Total Investments (Cost $132,635,525) -- 98.40% (a)............. 134,633,691
-------------------
Cash and other assets, less liabilities -- 1.60%................ 2,195,101
-------------------
Net Assets - 100% ............................................. $ 136,828,792
===================
</TABLE>
See accompanying notes to schedule of investments.
48
<PAGE>
BRINSON HIGH YIELD FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $132,635,525; and net
unrealized appreciation consisted of:
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation ................. $ 6,706,654
Gross unrealized depreciation ................. (4,708,488)
----------
Net unrealized appreciation ................ $1,998,166
==========
</TABLE>
(b) Non-income producing security.
(c) Interest rate 0.000% until 06/01/02, then 11.300% to maturity
(d) Interest rate 0.000% until 03/15/01, then 10.875% to maturity
(e) Interest rate 0.000% until 11/15/01, then 14.000% to maturity
(f) Interest rate 0.000% until 02/15/99, then 9.750% to maturity
(g) Interest rate 0.000% until 08/01/01, then 13.500% to maturity
(h) Interest rate 0.000% until 06/30/02, then 13.250% to maturity
(i) Security in default as to payment of interest
144A: Security exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt
from registration, normally to qualified institutional buyers. At June
30, 1997, the value of these securities amounted to $19,612,572 or
14.33% of net assets.
See accompanying notes to financial statements.
49
<PAGE>
<TABLE>
<CAPTION>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (Unaudited)
<S> <C>
ASSETS:
Investments, at value (Cost $132,635,525) (Note 1) ........................ $134,633,691
Cash ...................................................................... 4,099,532
Receivables:
Investment securities sold ............................................. 31,000
Interest ............................................................... 2,158,319
Due from Advisor (Note 2) ................................................. 55,733
------------------
TOTAL ASSETS .................................................... 140,978,275
------------------
LIABILITIES:
Payables:
Investment securities purchased ........................................ 4,093,750
Accrued expenses ....................................................... 55,733
------------------
TOTAL LIABILITIES ............................................... 4,149,483
------------------
NET ASSETS:
Applicable to 10,434,610 shares; no par value,
unlimited shares authorized ............................................. $136,828,792
==================
Net asset value, offering price and redemption
price per share ($136,828,792 / 10,434,610 shares) ..................... $13.1130
==================
NET ASSETS CONSIST OF:
Paid in capital ........................................................... $102,190,030
Accumulated net investment income ......................................... 24,140,195
Accumulated net realized gain ............................................. 8,500,401
Net unrealized appreciation ............................................... 1,998,166
------------------
NET ASSETS ...................................................... $136,828,792
==================
</TABLE>
See accompanying notes to financial statements.
50
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
================================================================================
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (Unaudited)
<S> <C>
INVESTMENT INCOME:
Interest ............................................................... $6,119,623
Dividends .............................................................. 118
------------------
TOTAL INCOME ................................................. 6,119,741
------------------
EXPENSES:
Accounting ............................................................. 33,623
Audit .................................................................. 13,680
Administration ......................................................... 6,252
Pricing ................................................................ 4,111
Other .................................................................. 6,330
------------------
TOTAL EXPENSES ............................................... 63,996
------------------
Expenses reimbursed by Advisor (Note 2) ...................... (63,996)
------------------
NET EXPENSES ................................................. 0
------------------
NET INVESTMENT INCOME ........................................ 6,119,741
------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain ...................................................... 7,051,672
Change in net unrealized appreciation or depreciation .................. (3,917,154)
------------------
Net realized and unrealized gain ....................................... 3,134,518
------------------
Net increase in net assets resulting from operations ................... $9,254,259
==================
</TABLE>
See accompanying notes to financial statements.
51
<PAGE>
BRINSON HIGH YIELD FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year
June 30, 1997 Ended
(Unaudited) December 31, 1996
--------------------- -----------------------
<S> <C> <C>
OPERATIONS:
Net investment income ....................................... $6,119,741 $12,582,895
Net realized gain ........................................... 7,051,672 2,690,004
Change in net unrealized appreciation or depreciation ....... (3,917,154) 3,781,750
--------------------- -----------------------
Net increase in net assets resulting from operations ........ 9,254,259 19,054,649
--------------------- -----------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................. 2,534,455 118,474,046
Shares redeemed ............................................. (40,009,963) (80,431,576)
Net increase (decrease) in net assets
--------------------- -----------------------
resulting from capital share transactions (a) ............ (37,475,508) 38,042,470
--------------------- -----------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (28,221,249) 57,097,119
--------------------- -----------------------
NET ASSETS:
Beginning of period ......................................... 165,050,041 107,952,922
--------------------- -----------------------
End of period (including accumulated net investment
income of $24,140,195 and $18,020,454, respectively)...... $136,828,792 $165,050,041
===================== =======================
(a) A summary of capital share transactions follows:
<CAPTION>
Shares Shares
--------------------- -----------------------
<S> <C> <C>
Shares sold ................................................. 204,048 10,044,820
Shares redeemed ............................................. (3,169,102) (6,700,270)
--------------------- -----------------------
Net increase (decrease) in shares outstanding ........... (2,965,054) 3,344,550
===================== =======================
</TABLE>
See accompanying notes to financial statements.
52
<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 Year Year
June 30, 1997 Ended Ended
(Unaudited) December 31, 1996 December 31, 1995*
------------------ ----------------- --------------------
<S> <C> <C> <C>
Net asset value, beginning of period .................... $12.3175 $10.7361 $10.0000
------------------ ----------------- -------------
Income from investment operations:
Net investment income ................................ 0.5430 *** 0.8041 0.5408
Net realized and unrealized gain ..................... 0.2525 0.7773 0.1953
------------------ ----------------- -------------
Total income from investment operations ......... 0.7955 1.5814 0.7361
------------------ ----------------- -------------
Net asset value, end of period .......................... $13.1130 $12.3175 $10.7361
================== ================= =============
Total return (non-annualized) ........................... 6.46% 14.73% 7.36%
Ratios/Supplemental data:
Net assets, end of period (in 000s) .................. $136,829 $165,050 $107,953
Ratio of expenses to average net assets:
Before expense reimbursement .................... 0.09% ** 0.14% 0.33% **
After expense reimbursement ..................... 0.00% ** 0.00% 0.00% **
Ratio of net investment income to average net assets:
Before expense reimbursement .................... 8.57% ** 9.17% 9.33% **
After expense reimbursement ..................... 8.66% ** 9.31% 9.66% **
Portfolio turnover rate .............................. 35% 45% 25%
</TABLE>
* The Fund commenced operations April 28, 1995.
** Annualized
*** The net investment income per share data was determined by using average
shares outstanding during the period.
See accompanying notes to financial statements.
53
<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.
We believe that the country allocation decision dominates performance in an
emerging markets investment program. Due to the lack of forward currency markets
in which to hedge, currency decisions are embedded in our market evaluations.
Our emerging markets team in Chicago works closely with our investment teams in
Basel and Singapore to assess fundamental value and macroeconomic trends and to
determine market strategies.
Since July 31, 1995, the first month-end after the Fund became fully-invested,
the Fund has generated an annualized return of 11.55%, compared to the 10.61%
return of its benchmark, the Brinson Emerging Markets Normal Index. The
International Finance Corporation Investable Index (IFCI), a widely followed
market-capitalization weighted benchmark, returned 10.72% during the same
period. In the first half of 1997, the Fund returned 20.41%, versus 18.48% for
the Normal Index and 16.13% for the IFCI.
The Brinson Normal Index utilizes equal country weights within liquidity tiers
to minimize country-specific risk, while maintaining broad exposure to emerging
growth economies. Much of the incremental Fund return versus the IFCI over the
first half of this year can be attributed to this more equal-weighted approach.
Malaysia, one of the largest markets, experienced a negative return, while many
of the smaller markets of Eastern Europe were strongly positive.
The outperformance of the Fund relative to the Normal Index was attributable to
both positive country/currency selection and stock selection, though the latter
added appreciably more on a relative basis. Specifically, the Fund benefited
from timely overweights in Greece and Portugal, which benefited from EMU
convergence and underweights in Malaysia and Poland (reversing a significant
overweight and biggest performance contributor in 1996). Partially offsetting
these contributions were a small underweight in Turkey, which has surged over
40% year-to-date, and a recent overweight in Thailand, which has continued
declining. Holding even a modest amount of cash hurt as well.
Stock selection was positive across all regions. Significant contributions in
China, Greece, the Philippines and Brazil were generated primarily by specific
sector emphasis, while an attractively priced equity swap based on the local
market index in Taiwan benefited our stock selection versus the IFCI.
The Fund is currently favoring India, Argentina, Portugal, Korea, and the
embryonic markets of Russia, Romania and the Ukraine. It is underweight in
Malaysia, Poland, Greece, Turkey, and Mexico. We continue to hold a minimum
amount of cash.
54
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
================================================================================
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 06/30/95*
06/30/97 06/30/97 to 06/30/97
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Emerging Markets Equity Fund/1/ 20.41% 16.03% 10.73%
- -------------------------------------------------------------------------------------------
Brinson Emerging Markets Equity Fund/2/ 16.82% 12.58% 9.90%
- -------------------------------------------------------------------------------------------
Brinson Emerging Markets Normal Index 18.48% 13.90% 11.70%
- -------------------------------------------------------------------------------------------
IFC Investable Index 16.14% 13.23% 11.99%
- -------------------------------------------------------------------------------------------
</TABLE>
* Inception date of the Brinson Emerging Markets Equity Fund.
/1/ Total return based on NAV - Does not include the payment of a 1.50%
transaction charge on Fund share purchases and redemptions.
/2/ Standardized total return - Includes the payment of a 1.50% transaction
charge on Fund share purchases and redemptions in each period presented
where applicable.
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
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Brinson Emerging IFC Investible Brinson Emerging
Markets Equity Fund Index Markets Normal Index
<S> <C> <C> <C>
06/30/95 100,000 100,000 100,000
07/31/95 99,469 103,182 102,846
08/31/95 94,941 100,416 98,380
09/30/95 95,041 99,655 97,952
10/31/95 92,298 95,895 94,968
11/30/95 90,060 95,416 92,628
12/31/95 93,164 98,736 95,466
01/31/96 99,521 107,008 103,741
02/29/96 99,709 104,632 103,127
03/31/96 100,005 106,160 103,399
04/30/96 104,747 110,442 108,202
05/31/96 103,691 109,471 107,412
06/30/96 105,701 110,772 109,536
07/31/96 98,860 103,494 102,864
08/31/96 100,824 106,703 105,105
09/30/96 101,719 108,279 106,494
10/31/96 98,597 105,951 102,987
11/30/96 100,788 107,518 104,879
12/31/96 101,862 107,994 105,309
01/31/97 111,465 115,622 115,791
02/28/97 114,896 121,276 118,997
03/31/97 113,164 118,286 116,647
04/30/97 113,647 116,282 115,739
05/31/97 118,493 120,234 121,101
06/30/97 120,807 125,426 124,766
</TABLE>
06/30/95 = $100,000 Data through 06/30/97
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.
55
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND
================================================================================
Top Ten Non-U.S. Equity Holdings
As of June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Percent of
Net Assets
- -------------------------------------------------------------
<S> <C>
1. Chile Fund, Inc. 3.19 %
2. Telecomunicacoes Brasileiras S.A. 2.11
Preferred
3. Philippine Long Distance Telephone Co. 1.37
4. Perez Companc S.A. 1.28
5. Hellenic Telecommunication Organization 1.10
S.A.
6. Alpha Credit Bank 1.09
7. Telefonica del Peru S.A. B Shares 1.05
8. YPF Sociedad Anonima S.A. Class D 1.02
9. Telekomunikasi Indonesia (Frgn.) 0.97
10. Telefonos de Mexico S.A. Series L 0.93
</TABLE>
Market Allocation
As of June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Market Normal
Allocation Index
- --------------------------------------------------------------------------
<S> <C> <C>
Class 1: 85.5 88.0 %
Latin America 23.5 23.5
Argentina 6.4 5.9
Brazil 5.9 5.9
Chile 5.9 5.9
Mexico 5.4 5.9
Asia 33.2 35.2
Indonesia 4.9 5.9
Korea 6.4 5.9
Malaysia 4.4 5.9
Philippines 5.9 5.9
Taiwan 5.9 5.9
Thailand 5.9 5.9
Europe/Mideast/Africa 28.8 29.4
Greece 5.4 5.9
Israel 5.9 5.9
Portugal 6.4 5.9
South Africa 5.8 5.9
Turkey 5.4 5.9
Class 2: 11.6 12.0
China 3.0 3.0
India 4.0 3.0
Peru 3.0 3.0
Poland 1.6 3.0
Class 3: 1.4 0.0
Colombia 0.0 0.0
Czech Republic 0.0 0.0
Hungary 0.0 0.0
Jordan 0.0 0.0
Nigeria 0.0 0.0
Pakistan 0.0 0.0
Romania 1.1 0.0
Russia 0.1 0.0
Ukraine 0.2 0.0
Sri Lanka 0.0 0.0
Venezuela 0.0 0.0
Zimbabwe 0.0 0.0
Cash 1.6 0.0
- -------------------------------------------------------------------------------
100.0 100.0 %
</TABLE>
Note: Totals may not add due to rounding
56
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------------- -------------------
<S> <C> <C>
Equities - 79.53%
Argentina - 6.29%
Astra Cia Argentina de Petroleo S.A. .......................... 318,170 $ 660,269
Banco de Galicia y Buenos Aires S.A. .......................... 272,225 1,810,477
Banco Frances del Rio de la Plata S.A. ........................ 151,825 1,650,503
Bansud S.A. Class B (b) ....................................... 16,900 263,666
Capex S.A. Class A ............................................ 20,000 188,019
Capex S.A. GDR (c) ........................................... 24,000 450,000
Celulosa Argentina S.A. (b) ................................... 20,000 14,601
Disco S.A. ADR (b,c) .......................................... 13,700 542,862
Inversiones Y Representaciones S.A. ........................... 239,000 1,046,925
Juan Minetti S.A. ............................................. 25,000 120,012
Molinos Rio de la Plata S.A. .................................. 258,958 1,030,756
Perez Companc S.A. ............................................ 589,125 4,701,688
Siderar S.A.I.C Class A ....................................... 167,600 683,876
Siderca S.A. Class A .......................................... 516,000 1,326,253
Telecom Argentina S.A. Class B ................................ 263,000 1,375,628
Telefonica de Argentina S.A. Class B .......................... 741,000 2,564,116
Transportadora de Gas del Sur S.A. Class B .................... 122,000 292,829
YPF Sociedad Anonima S.A Class D .............................. 123,000 3,745,725
YPF Sociedad Anonima S.A. ADR Class D (c) ..................... 21,000 645,750
-----------------
23,113,955
-----------------
Brazil - 6.23%
Aracruz Celulose S.A. Preferred B ............................. 358,000 728,237
Brazil Fund, Inc. (c) ......................................... 20,266 623,179
Centrais Electricas Brasileiras S.A. .......................... 3,690,000 2,063,329
Centrais Electricas Brasileiras S.A. Preferred B .............. 985,000 584,632
Cia Cervejaria Brahma ......................................... 117,800 90,270
Cia Cervejaria Brahma Preferred ............................... 576,000 441,390
Cia Energetica de Minas Gerais, ADR (c) ....................... 3,100 156,073
Cia Energetica de Minas Gerais Preferred ...................... 16,230,000 817,078
Cia Energetica de Sao Paulo Preferred (b) ..................... 3,000,000 200,632
Cia Paranaense de Energia ..................................... 42,220,000 745,105
Cia Paulista de Forca e Luz ................................... 4,470,000 747,353
Cia Suzano de Papel e Celulose Preferred ...................... 14,000 37,191
Cia Vale do Rio Doce Preferred ................................ 23,646 527,126
Ericsson Telecomunicacoes S.A. ................................ 20,000,000 1,188,928
Electricas de Santa Catarina S.A. Preferred B ................. 512,000 699,090
Industrias Klabin de Papel e Celulose S.A. Preferred .......... 56,000 54,096
Light Participacoes S.A. ...................................... 450,000 175,553
Perdigao S.A. Comercio e Industria Preferred .................. 6,500,000 15,396
Petroleo Brasileiro S.A. Preferred ............................ 10,700,000 2,931,915
Souza Cruz S.A. ............................................... 10,000 104,960
Telebras, ADR (c) ............................................. 1,000 151,750
Telecomunicacoes Brasilieras S.A. ............................. 5,620,000 760,574
Telecomunicacoes Brasileiras S.A. Preferred ................... 51,030,000 7,749,772
Telecomunicacoes de Sao Paulo S.A. (b) ........................ 2,930,000 860,004
Telecomunicacoes de Sao Paulo S.A. Preferred .................. 1,415,000 460,013
-----------------
22,913,646
-----------------
</TABLE>
57
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------- ---------------------
<S> <C> <C>
Chile - 5.64%
Banco Santander Chile ADR (c) ................................. 16,100 $ 237,475
Banco de A. Edwards ADR (c) .................................. 7,000 146,125
Cristalerias de Chile ADR (c) ................................ 10,400 248,300
Chile Fund, Inc. (c) .......................................... 449,700 11,748,413
Chilectra S.A. ADR (c) ........................................ 20,100 578,492
Chilgener S.A. ADR (c) ........................................ 21,600 604,800
Chilquinta S.A. ADR (c) ....................................... 12,000 203,243
Cia de Telecomunicaciones de Chile S.A. ADR (c) ............... 56,750 1,872,750
Embotelladora Andina S.A. ADR Class A (c) ..................... 15,000 321,562
Empresa Nacional Electricidad Chile S.A. ADR (c) .............. 43,900 990,494
Enersis S.A. ADR (c) .......................................... 25,900 921,069
Laboratorio Chile ADR (c) ..................................... 25,400 720,725
Madeco S.A. ADR (c) ........................................... 26,500 649,250
Maderas y Sinteticos Sociedad Anonima S.A. ADR(c)............... 30,100 500,413
Quimica y Minera Chile S.A. ADR (c) ........................... 11,000 727,375
Vina Concha y Toro S.A. ADR (c) ............................... 8,700 269,156
-----------------
20,739,642
-----------------
China - 0.73%
Guangdong Electric Power Development Co.
Ltd. Class B ................................................. 960,000 786,855
Maanshan Iron & Steel Co. ..................................... 520,000 108,735
Shandong Huaneng Power Co. Ltd. ADR (c) ....................... 51,000 548,250
Shanghai Diesel Engine Co. Ltd. Class B (b,c) ................. 812,800 276,352
Shanghai Petrochemical Co. Ltd. Class H ....................... 1,260,000 302,505
Shanghai Refrigerator Compressor Co. Ltd. Class B (b,c) ........ 994,500 477,360
Shanghai Tyre & Rubber Co. Ltd. Class B (c) ................... 337,500 165,375
-----------------
2,665,432
-----------------
Greece - 5.29%
Aktor S.A. .................................................... 17,925 182,535
Alfa-Beta Vassilopoulos S.A. .................................. 7,200 80,009
Alpha Credit Bank ............................................. 58,893 4,010,311
Aluminium of Greece S.A. ...................................... 6,540 381,125
Athens Medical Center S.A. .................................... 56,250 451,894
Atti-Kat ...................................................... 13,000 100,412
Attica Enterprises S.A. ....................................... 14,820 142,817
Ergo Bank S.A. ................................................ 42,412 2,549,634
Hellas Can Packaging S.A. ..................................... 11,900 220,033
Hellenic Bottling Co. S.A. .................................... 41,420 1,532,481
Hellenic Telecommunications Organization S.A. ................. 172,020 4,042,442
Hellenic Telecommunications Organization S.A. Rights (b) ..... 112,020 13,774
Heracles General Cement Co. S.A. .............................. 30,530 566,730
Intracom S.A. ................................................. 11,900 542,387
Intracom S.A. Preferred (b) ................................... 10,890 420,570
Michaniki S.A. ................................................ 17,760 134,590
Michaniki S.A. Preferred New Shares ........................... 2,960 18,441
National Bank of Greece S.A. (b) .............................. 21,810 2,669,931
</TABLE>
58
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
-------------------- ------------------
<S> <C> <C>
Greece (Continued)
Titan Cement Co. S.A. ......................................... 25,100 $ 1,239,134
Titan Cement Co. S.A. Preferred ............................... 4,000 167,771
------------------
19,467,021
------------------
Hong Kong - 2.18%
Anhui Expressway Co. Ltd. H Shares ............................ 638,000 122,703
Beijing Datang Power Generation Co. Ltd. H Shares (b) .......... 1,200,000 553,741
Beijing Yanhua Petrochemical Co. Ltd. H Shares (b).............. 3,750,000 813,186
Bengang Steel Plates Co. ...................................... 950,000 291,844
China Resources Enterprises Ltd. .............................. 197,000 966,272
Continental Mariner Investment (b) ............................ 974,000 930,337
Guangdong Investment .......................................... 318,000 478,192
Guandong Investment Warrants "99" (b) ......................... 31,800 14,982
Guandong Kelon Elec Holding H Shares .......................... 340,000 324,758
Guangnan Holdings ............................................. 314,000 490,416
NG Fung Hong Ltd. ............................................. 380,000 568,972
Qingling Motors Co. ........................................... 2,016,000 1,040,879
Shanghai Industrial Holdings Ltd. ............................. 100,000 622,152
Silver Grant International Industries Ltd. .................... 1,494,000 781,008
-----------------
7,999,442
-----------------
India - 3.81%
Arvind Mills Ltd. B Shares (b) ................................ 50 181
Asea Brown Boveri Ltd. ........................................ 9,000 168,876
Bharat Petroleum Corp. Ltd. ................................... 19,500 245,112
Bses Ltd. ..................................................... 27,500 183,013
Bajaj Auto Ltd. ............................................... 16,100 414,193
Bharat Heavy Electricals Ltd. ................................. 45,100 477,140
Bombay Dyeing GDR (b,c) ...................................... 20,000 62,500
Cipla Ltd. .................................................... 9,400 195,024
EIH Ltd. ...................................................... 12,000 145,810
EIH Ltd. GDR (c) .............................................. 4,050 65,256
Gujarat Ambuja Cements Ltd. ................................... 32,000 309,721
Glaxo India Ltd. .............................................. 21,300 220,437
Grasim Industries Ltd. ........................................ 8,000 83,408
Hindalco Industries Ltd. ...................................... 17,100 467,145
Hindustan Petroleum Corp. Ltd. ................................ 59,600 755,821
ITC Ltd. ...................................................... 28,000 440,140
India Cements Ltd. ............................................ 37,500 113,128
Indian Hotels Co. Ltd. GDR (c) ................................ 8,300 197,125
Indian Petrochemicals Corp. Ltd. .............................. 73,500 297,696
Indian Petrochemical Corp. Ltd. GDR (c) ....................... 20,000 244,000
Kopran Ltd. ................................................... 11,000 45,091
Larsen & Toubro Ltd. .......................................... 37,200 253,542
Mahanagar Telephone Nigam Ltd. ................................ 132,000 1,119,972
Madras Cements Ltd. Class B ................................... 1,940 437,584
Mahindra & Mahindra Ltd. ...................................... 18,000 217,709
Morgan Stanley India Investment Fund, Inc. (b) ................ 231,600 2,996,325
Oriental Bank of Commerce ..................................... 76,000 150,196
Pfizer Ltd. ................................................... 28,800 198,302
Raymond Ltd. GDR (b,c) ....................................... 4,650 20,111
</TABLE>
59
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
------------------- ------------------------
<S> <C> <C>
India (Continued)
Reliance Industries Ltd. ...................................... 30,000 $ 311,522
Reliance Industries Ltd. GDR (b,c) ............................ 8,000 184,000
Satyam Computer ............................................... 110,000 281,145
SKF Bearings India Ltd. ....................................... 2,030 145,531
State Bank of India Ltd. ...................................... 37,000 351,655
State Bank of India GDR (b,c) ................................. 25,000 648,750
Steel Authority India Ltd. GDR (c) ............................ 15,200 134,140
Tata Iron & Steel Co. Ltd. .................................... 42,000 224,372
Tata Engineering & Locomotive Co. Ltd. (b) .................... 8,200 103,531
Tata Engineering & Locomotive Co. Ltd. GDR (c).................. 11,300 173,455
Tata Power Co. Ltd. ........................................... 33,000 123,520
Tata Tea Ltd. ................................................. 17,000 184,246
Videsh Sanchar Nigam Ltd. GDR (b,c) ........................... 10,600 210,145
Videsh Sanchar Nigam Ltd. ..................................... 11,000 356,425
Wockhardt Ltd. ................................................ 7,000 38,813
-----------------
13,995,808
-----------------
Indonesia - 4.99%
Bank Bali (Frgn.) ............................................. 55,000 147,028
Bank Dagang Nasional Indonesia (Frgn.) ........................ 751,062 532,832
Bank Dagang Nasional Indonesia Warrants (b) ................... 47,218 19,419
Bank Internasional Indonesia (Frgn.) ........................... 767,192 662,596
Bank Internasional Indonesia Warrants (b) ..................... 39,584 15,466
Bimantara Citra (Frgn.) ....................................... 275,000 480,670
Ciputra Development (Frgn.) ................................... 588,000 586,428
Gadjah Tunggal (Frgn.) ......................................... 600,000 296,114
GT Kabel Indonesia (Frgn.) .................................... 180,000 83,282
Gudang Garam (Frgn.) .......................................... 719,500 3,018,260
Hanajaya Mandala Sampoerna (Frgn.) ............................ 97,000 370,008
Indah Kiat Pulp & Paper Corp. (Frgn.) ......................... 389,804 228,448
Indah Kiat Pulp & Paper Rights (b) ............................ 350,823 61,320
Indah Kiat Pulp & Paper Corp. Warrants (b) .................... 6,990 2,587
Indocement Tunggal Prakarsa (Frgn.) ........................... 1,033,000 1,603,773
Indofood Sukses Makmur (Frgn.) ................................. 286,800 660,530
Indorama Synthetics (Frgn.) (b) ............................... 220,000 199,054
Indosat (Frgn.) ................................................ 622,000 1,861,012
Inti Indorayon Utama (Frgn.) (b) .............................. 479,500 335,246
Kalbe Farma (Frgn.) ............................................ 326,000 435,739
Lippo Bank (Frgn.) ............................................. 449,000 461,649
Mayora Indah (Frgn.) ........................................... 296,000 167,386
Modern Photo Film Co. (Frgn.) ................................. 95,000 336,007
Semen Cibinong (Frgn.) ........................................ 49,000 128,470
Semen Gresik (Frgn.) .......................................... 310,500 695,959
Tambang Timah (Frgn.) ......................................... 255,000 395,898
Telekomunikasi Indonesia (Frgn.) .............................. 2,186,000 3,573,658
Unilever Indonesia (Frgn.) .................................... 3,000 53,054
United Tractors (Frgn.) ....................................... 254,500 942,011
-----------------
18,353,904
-----------------
</TABLE>
60
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
- --------------------------------------------------------------------------------
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
----------------- ----------------------
<S> <C> <C>
Israel 4.78%
Agis Industries Ltd. .......................................... 59,800 $ 631,830
Bank Hapoalim Ltd. (b) ........................................ 979,800 2,039,376
Bank Leumi Le-Israel .......................................... 1,038,000 1,574,171
Bezeq Israeli Telecommunications Corp. Ltd. ................... 329,800 833,287
Blue Square Chain Stores Properties & Investments (b)........... 85,317 830,688
Clal Electronics Industries Ltd. .............................. 2,660 344,526
Clal Industries Ltd. .......................................... 94,807 472,755
Clal Israel Ltd. .............................................. 3,488,000 994,852
Dead Sea Bromine .............................................. 48,300 306,436
Dead Sea Works Ltd. ........................................... 104,489 340,766
ECI Telecommunications ........................................ 5,800 172,550
Elbit Medical Imaging Ltd. .................................... 24,999 177,526
Formula Systems (1985) Ltd. (b) ............................... 10,000 163,314
First International Bank of Israel Ltd. ....................... 1,950 282,160
IDB Development Corp. Ltd. .................................... 25,760 573,591
IDB Holding Corp. Ltd. ........................................ 19,160 421,193
Industrial Buildings Corp. (b) ................................ 354,100 624,703
Industrial Buildings Corp. Warrants (b) ....................... 25,448 354
Israel Chemicals Ltd. ......................................... 1,645,000 1,936,263
Koor Industries Ltd. .......................................... 12,835 1,136,567
Makhteshim Chemical Works Ltd. (b) ........................... 66,164 435,607
Supersol Ltd. ................................................. 328,200 1,052,994
Tadiran Ltd. .................................................. 14,177 396,390
Teva Pharmaceutical Industries Ltd. ........................... 28,240 1,822,237
------------------
17,564,136
------------------
Korea - 4.34%
Commercial Bank of Korea ...................................... 67,000 359,144
Daegu Bank .................................................... 32,000 271,640
Daegu Bank New Shares ......................................... 11,145 94,607
Daelim Industrial Co. ......................................... 16,421 157,553
Daewoo Corp. .................................................. 56,700 461,007
Daewoo Electronics Co. ........................................ 86,200 664,944
Daewoo Heavy Industries ....................................... 27,000 221,959
Daewoo Telecom Co. ............................................ 46,100 448,541
Dong-A Pharmaceutical Co. Ltd. ................................ 6,876 180,418
Hanil Bank .................................................... 103,100 580,518
Hanshin Construction Co. (b) .................................. 25,500 44,223
Hanwa Machinery Co. Ltd. (b) .................................. 46,982 409,505
Housing & Commercial Bank, Korea .............................. 25,850 491,150
Hyundai Engineering & Construction Co. (b) .................... 14,656 376,303
Hyundai Motor Co. Ltd. ........................................ 16,890 551,474
Hyundai Securities Co. (b) .................................... 33,922 515,706
Keum Kang Development Ind. Co. ................................ 28,300 398,367
Keum Kang Ltd. ................................................ 3,650 174,279
Kookmin Bank .................................................. 23,391 438,239
Korea Electric Power Corp. .................................... 95,260 2,842,782
Kumho Construction & Engineering Co. Ltd. ..................... 54,100 340,562
Kumho Merchant Bank (b) ....................................... 12,740 124,818
</TABLE>
61
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- ---------------
<S> <C> <C>
Korea (Continued)
LG Cable & Machinery 16,261 $ 256,367
LG Information & Communication Ltd. ........................... 6,676 851,791
LG Insurance Co. Ltd .......................................... 370 22,417
Nong Shim Co. Ltd. (b).......................................... 7,466 319,491
Pohang Iron & Steel Co. Ltd. .................................. 6,160 626,489
Poongsan Corp. ................................................ 12,100 135,035
Samsung Display Devices Co. ................................... 900 49,994
Samsung Electronics Co. ....................................... 11,608 1,253,350
Samsung Fire & Marine Insurance ............................... 850 319,267
Samsung Heavy Industries (b) .................................. 20,000 210,811
Shinhan Bank ............................................... 9,970 149,438
Sindo Ricoh Co. ............................................... 5,459 318,392
SK Telecom Co. Ltd. ........................................... 480 363,130
Ssangyong Oil Refining Co. Ltd. .............................. 23,200 470,270
STC Corp. (b) ................................................. 800 16,036
Sungmi Telecom Electronics Co. ................................ 1,000 130,068
Sunkyong Industries (b) ....................................... 6,000
102,027
Young Jin Pharmaceutical Industry Co. ......................... 23,000 227,928
--------------------
15,970,040
--------------------
Malaysia - 3.35%
Hume Industries (Malaysia) Bhd ................................ 167,000 767,512
Kuala Lumpur Kepong Bhd ....................................... 686,500 1,699,931
Land & General Holdings Bhd ................................... 647,000 743,384
Malayan Banking Bhd ........................................... 105,000 1,102,417
Malaysian International Shipping Bhd (Frgn.) .................. 332,000 861,569
Nestle (Malaysia) Bhd ......................................... 90,000 673,930
Public Bank Bhd (Frgn.) ....................................... 730,333 1,140,060
Resorts World Bhd ............................................. 258,000 776,862
Sime Darby Bhd ................................................ 337,000 1,121,553
Telekom Malaysia Bhd .......................................... 94,500 441,799
Tenaga Nasional Bhd ........................................... 497,000 2,421,989
YTL Corp. Bhd ................................................. 179,000 553,170
YTL Power International Bhd (b) ............................... 16,400 20,662
--------------------
12,324,838
--------------------
Mexico - 4.96%
Alfa S.A. Series A ............................................ 300,226 2,045,666
Altos Hornos de Mexico S.A. (b) .............................. 205,000 494,814
Apasco S.A. ................................................... 59,500 420,378
Controladora Comercial Mexicana S.A.
de CV Units.................................................... 11,000 10,123
Carso Global Telecom Series A-1 ............................... 245,276 952,798
Cemex S.A. .................................................... 207,744 886,656
Cifra S.A. Series A ........................................... 53,130 97,116
Cifra S.A. Series B ........................................... 49,000 89,937
Desc S.A. Series B ............................................ 80,700 586,393
Desc S.A. Series C ............................................ 63,630 455,957
El Puerto de Liverpool S.A. Series 1 .......................... 25,000 31,806
El Puerto de Liverpool S.A. Series C-1 ........................ 1,250 1,433
Empresas ICA Sociedad Controladora S.A. (b) ................... 15,551 247,307
Empresas La Moderna S.A. Series A (b) ......................... 133,106 691,090
Fomento Economico Mexicano S.A. Series B ...................... 162,011 963,369
</TABLE>
62
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- ---------------
<S> <C> <C>
Mexico (Continued)
Grupo Carso S.A. Series A1...................................... 191,276 $ 1,329,758
Grupo Casa Autrey S.A. ........................................ 9,000 18,261
Grupo Casa Autrey S.A. ADR (c) ................................ 9,100 184,844
Grupo Elektra S.A. de C.V. CPO ................................ 44,800 487,171
Grupo Elektra S.A. de C.V. GDR ................................ 3,250 71,500
Grupo Financeiro Banamex Accival S.A.
Series B (b) ................................................... 27,000 70,602
Grupo Financiero Banamex Accival S.A.
Series L (b)................................................... 510 1,199
Grupo Financiero Bancomer S.A. Series B (b) ................... 60,000 28,965
Grupo Financiero Inbursa S.A. Series B ........................ 2,276 9,671
Grupo Imsa S.A. ADR (c) ....................................... 20,200 545,400
Grupo Industrial Bimbo S.A. Series A .......................... 13,000 93,155
Grupo Industrial Maseca Series B .............................. 170,000 185,932
Grupo Televisa S.A. Series CPO (b) ............................ 65,494 991,323
Hylsamex S.A. Series BCP ...................................... 103,000 529,600
Industrias Penoles S.A. ....................................... 23,000 109,586
Kimberly-Clark de Mexico S.A. Series A ........................ 340,020 1,346,487
Kimberly-Clark de Mexico S.A. Series B ........................ 20,585 81,517
Telefonos de Mexico S.A. Series L ............................. 1,427,850 3,410,541
Tubos de Acero de Mexico S.A. (b) ............................. 42,500 781,664
------------------
18,252,019
------------------
Peru - 3.04%
Banco Wiese ................................................... 54,000 87,744
Banco Wiese ADR (c) ........................................... 18,500 120,250
Cementos Lima S.A. ............................................ 37,269 750,298
Cerveceria Backus & Johnston S.A. T Shares .................... 438,400 456,167
Cia de Minas Buenaventura S.A. A Shares ....................... 64,836 602,529
Cia de Minas Buenaventura S.A. ADR (c) ........................ 25,300 498,094
Cia de Minas Buenaventura S.A. B Shares ....................... 3,450 33,947
Cia de Minas Buenaventura S.A. Trabajo Shares................... 70,978 595,386
Credicorp (c) ................................................ 27,362 596,492
Credicorp Ltd. (c) ........................................... 71,839 1,580,458
Ferreyros S.A. ................................................ 63,183 72,175
Ferreyros S.A. ADR 144A (c) ................................... 15,000 296,250
Minsur S.A. Trabajo Shares .................................... 4,910 18,603
Southern Peru Copper Corp. (c) ................................ 11,675 227,663
Telefonica del Peru S.A. B Shares ............................. 1,444,115 3,849,159
Telefonica del Peru S.A. ADR (c) .............................. 52,800 1,382,700
------------------
11,167,915
------------------
Philippines - 5.16%
Ayala Corp. Class B ........................................... 1,916,375 1,380,464
Ayala Land, Inc. Class B ...................................... 157,250 144,575
Belle Corp. (b) ............................................... 744,000 217,197
Digital Telecommunications Phils., Inc. (Digitel) (b) .......... 7,400,000 715,423
Filinvest Land Inc. (b) ....................................... 2,553,000 638,831
JG Summit Holdings, Inc. Class B .............................. 4,222,000 864,377
La Tondena Distillers Inc. .................................... 154,000 370,754
Manila Electric Co. Class B ................................... 357,465 1,761,846
Metropolitan Bank & Trust Co. ................................. 76,932 1,633,376
Petron Corp. .................................................. 4,195,600 1,065,761
</TABLE>
63
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- ---------------
<S> <C> <C>
Philippines (Continued)
Philippine Commercial International Bank ...................... 105,900 $ 1,023,828
Philippines Long Distance Telephone Co. ....................... 155,100 5,027,696
Robinson's Land Corp. Series B (b) ............................ 3,500,000 451,168
San Miguel Corp. Class B ...................................... 508,508 1,339,904
SM Prime Holdings, Inc. ....................................... 5,070,400 1,499,436
Union Bank of Philippines (b) ................................. 395,600 371,212
Universal Robina Corp. ........................................ 1,314,000 478,253
----------------
18,984,101
----------------
Poland - 0.68%
Agros Holdings S.A. Class C (b) ............................... 3,960 105,438
Bank Inicjatyw Gospodarczych S.A. ............................. 255,000 306,500
Bank Slaski S.A. .............................................. 4,450 318,215
Computerland Poland S.A. (b) .................................. 2,200 54,225
DROSED S.A. (b) ............................................... 7,600 198,886
Elektrim Spolka Akcyjna S.A. .................................. 25,000 217,570
Exbud S.A. (b) ................................................ 14,500 146,046
Krosnienskie Huty Szkia Kros S.A. ............................. 6,400 89,584
Przedsiebiorstwo Farmaceutyczne
JELFA S.A. (b) ................................................ 11,600 229,437
Sokolowskie Zaklady Miesne S.A. ............................... 127,000 177,768
Stomil Olsztyn S.A. (b) ....................................... 5,000 47,926
Vistula S.A. .................................................. 34,000 101,391
Wielkopolski Bank Kredytowy S.A. .............................. 49,000 280,315
Zaclady Metali Lekkich Kety ................................... 4,000 60,859
Zaklady Przemyslu Cukierniczego
Jutrzenka S.A. ................................................ 8,700 174,725
--------------
2,508,885
--------------
Portugal - 5.74%
BPI Soc Gestora De Participacoes .............................. 21,600 420,843
Banco Comercial Portugues S.A. ................................ 158,120 2,989,879
Banco Espirito Santo e Comercial de Lisboa S.A. 84,100 1,908,384
Banco Totta & Acores S.A. ..................................... 20,354 340,526
Cimentos de Portugal S.A. ..................................... 64,450 1,503,919
Corticeira Amorim S.A. ........................................ 1,000 9,898
EDP Electricidade de Portugal S.A. ADR (c) .................... 15,000 540,000
EDP Electricidade de Portugal S.A. ............................ 131,000 2,407,020
Engil-SGPS .................................................... 39,500 483,105
Estabelecimentos Jeronimo Martins
& Filho-SGPS S.A.............................................. 25,800 1,804,488
Lusomundo-SGPS, S.A. .......................................... 32,000 289,436
Lusotur-Sociedade Financiera de Turismo S.A. (b)................ 7,500 121,594
Portucel Industrial-Empresa Produtora de
Celulosa S.A. ................................................. 47,600 353,365
Portugal Telecom S.A. ......................................... 71,900 2,903,976
Portugal Telecom S.A. ADR (c) ................................. 2,300 92,288
Semapa-Sociedade de Investimento e
Gestao-SGPS S.A. ............................................... 37,000 911,372
Somague-SGPS S.A. ............................................. 79,301 944,628
Sonae Investimentos-SGPS S.A. ................................. 49,000 2,051,260
Soporcel-Sociedade Portuguesa de Celulose S.A ................. 34,000 1,017,350
----------------
21,093,331
----------------
</TABLE>
64
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- ---------------
<S> <C> <C>
Romania - 0.53%
Romanian Investment Fund (c) .................................. 1,950 $1,950,000
-----------------
Russia - 0.10%
Vimpel-Communications ADR (b,c) ............................... 10,000 380,000
-----------------
South Africa - 5.36%
Amalgamated Banks of South Africa ............................. 125,515 900,786
Anglo American Coal Corp. Ltd. ................................ 3,078 189,342
Anglo American Corp. of South Africa Ltd. ..................... 23,550 1,418,815
Anglo American Industrial Corp. Ltd. .......................... 16,199 710,749
Anglovaal Ltd. ................................................ 18,268 487,361
Barlow Ltd. ................................................... 47,100 512,487
De Beers Centenary AG ......................................... 71,433 2,638,083
Energy Africa Ltd. (b) ........................................ 66,000 341,969
Engen Ltd. .................................................... 9,000 44,945
Fedsure Holdings Ltd. ......................................... 28,700 341,704
Free State Consolidated Gold Mines Ltd. ....................... 43,800 219,217
Gencor Ltd. ................................................... 62,000 285,702
Impala Platinum Holdings Ltd. ................................. 52,822 591,052
Investec Bank Ltd. ............................................ 18,600 744,328
Johannesburg Consolidated ..................................... 41,100 532,383
Kloof Gold Mining Co. Ltd. .................................... 33,178 198,241
Liberty Life Association of Africa Ltd. ....................... 47,000 1,274,611
Metro Cash & Carry Ltd. ....................................... 334,900 295,359
Murray & Roberts Holdings Ltd. ................................ 131,100 307,841
Nampak Ltd. ................................................... 15,700 68,193
Nedcor Ltd. ................................................... 61,768 1,368,688
Pick 'n Pay Stores Ltd. ....................................... 28,300 42,430
Pick 'n Pay Stores Ltd. N Shares .............................. 25,800 36,975
Rembrandt Group Ltd. .......................................... 167,619 1,788,724
SA Iron & Steel Industries Corp. .............................. 688,061 455,117
Sappi Ltd. .................................................... 55,749 503,960
Sasol Ltd. .................................................... 90,312 1,184,779
South African Breweries Ltd. .................................. 25,200 773,696
Tiger Oats Ltd. ............................................... 13,000 229,302
Tongaat-Hulett Group Ltd. ..................................... 15,500 274,253
Vaal Reefs Exploration & Mining Co. Ltd. ...................... 9,300 449,057
Wooltru Ltd. N Shares ......................................... 54,000 292,889
Western Deep Levels Ltd. ...................................... 9,200 221,607
---------------
19,724,645
---------------
Taiwan - 0.05%
Taiwan Fund, Inc. (c) ......................................... 8,000 202,000
---------------
Thailand - 4.30%
Advanced Info Service PLC ..................................... 155,800 1,359,228
Asia Credit PLC ............................................... 109,200 278,217
Bangkok Bank PLC .............................................. 228,600 1,570,770
Bangkok Expressway PLC (b) .................................... 92,100 97,771
Bangkok Expressway PLC (Frgn.) (b) ............................ 1,189,900 1,263,163
Bank of Ayudhya PLC ........................................... 123,000 192,299
Eastern Water Resources Development ........................... 380,000 440,069
Electricity Generating PLC .................................... 457,000 1,120,228
First City Investment PLC ..................................... 170,000 49,875
</TABLE>
65
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- ---------------
<S> <C> <C>
Thailand (Continued)
Italian-Thai Development PLC .................................. 153,300 $ 346,190
Jasmine International PLC ..................................... 217,500 193,109
Krung Thai Bank PLC (Frgn.) ................................... 649,000 676,433
Land & House PLC (Frgn.) ...................................... 63,300 131,951
Lanna Lignite PLC ............................................. 26,100 184,378
PTT Exploration & Production PLC .............................. 105,300 1,528,384
Shinawatra Computer Co. PLC ................................... 64,600 446,377
Shinawatra Satellite PLC (Frgn.) .............................. 551,100 664,809
Siam Cement PLC ............................................... 57,500 994,403
Siam City Bank Ltd. (Frgn.) ................................... 118,000 69,465
Siam City Cement PLC .......................................... 21,700 87,956
Siam Panich Leasing Ltd. ...................................... 100,000 20,459
Siam Panich Leasing Ltd. (Frgn.) .............................. 370,000 75,700
TelecomAsia Corp. (Frgn.) PLC (b) ............................. 1,173,000 1,415,026
Thai Farmers Bank PLC (Frgn.) ................................. 138,000 585,987
Thai Petrochemical Industry PLC (Frgn.) ....................... 670,075 349,200
Thai Telephone & Communications PLC (Frgn.) (b) ................ 1,725,100 715,878
TPI Polene PLC (Frgn.)......................................... 187,500 99,522
TPI Polene PLC Rights (b) ..................................... 187,500 27,142
Union Asia Finance Ltd. (Frgn.) ............................... 78,000 34,627
United Communication Industry PLC (Frgn.) ..................... 191,100 789,334
-----------------
15,807,950
-----------------
Turkey - 1.84%
Adana Cimento Sanayii Class A ................................. 1,800,000 166,717
Akbank T.A.S. ................................................. 12,499,650 1,073,528
Aksa Akrilik Kimya Sanayii A.S. ............................... 918,000 74,204
Arcelik A.S. .................................................. 4,745,000 639,251
Aygaz A.S. .................................................... 1,650,000 338,992
Bursa Cimento ................................................. 545,000 93,614
Brisa Bridgestone Sabanci Lastik Sanayii Ve
Ticaret A.S .................................................... 80,000 26,944
Demirbank T.A.S. .............................................. 8,400,000 164,090
Eczacibasi Yatrim Holding (b) ................................. 1,000,000 79,149
Ege Biracilik Ve Malt Sanayi A.S. ............................. 1,196,865 278,144
Enka Holding Yatirim A.S. ..................................... 970,000 248,291
Erciyas Biracilik Ve Malt Sanayii ............................. 2,192,000 262,086
Eregli Demir Ve Celik Fabrikalari T.A.S. ...................... 1,100,000 183,389
Goodyear Lartikleri T.A.S. .................................... 120,000 43,650
Izmir Demir Celik Sanayii A.S. (b) ............................ 9,126,816 107,588
Kartonsan Karton Sanayii Ve Ticaret A.S. ...................... 375,000 27,155
Koc Holding A.S. .............................................. 1,503,333 354,428
Kordsa Kord Bezi Sanayi ....................................... 510,000 42,942
Kordsa Kord Bezi Sanayi Rights (b) ........................... 340,000 26,338
Netas-Northern Elektrik Telekomunikasyon A.S. (b) .............. 234,000 64,626
Petrol Ofisi A.S. ............................................. 277,777 52,391
Trakya Cam Sanayii A.S. ....................................... 6,000,000 262,706
Tupras-Turkiye Petrol Rafinerileri A.S. (b) ................... 300,000 169,748
Turcas Petrolculuk A.S. ....................................... 5,098,410 128,787
Turk Hava Yollari A.O. (b) .................................... 300,000 85,885
</TABLE>
66
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Shares Value
--------------- ---------------
<S> <C> <C>
Turkey (Continued)
Turk Sise Ve Cam Fabrikalari A.S. (b) ......................... 2,160,000 $ 136,769
Turkiye Garanti Bankasi A.S. .................................. 9,777,787 368,836
Turkiye Is Bankasi Class C .................................... 1,700,000 664,174
Yapi Ve Kredi Bankasi A.S. .................................... 26,583,000 608,819
------------------
6,773,241
------------------
Ukraine - 0.14%
Ukraine Investment Fund (c) .................................... 50,000 525,000
---------------------
Total Equities (Cost $262,590,264) ............................ 292,476,951
---------------------
<CAPTION>
Face
Amount
--------------------
<S> <C> <C>
Convertible Bonds - 0.25%
China - 0.02%
Qingling Motors Ltd. Series 144A, 3.500%,
due 01/22/02 (c) ....................................... $ 100,000 97,500
------------------
Hong Kong - 0.17%
New World Infrastructure Series 144A, 5.000%,
due 07/15/01 (c) ........................................ 500,000 625,000
------------------
United States - 0.06%
A.C. International Finance Series 144A, 0.000%,
due 12/08/00 ............................................ 250,000 222,500
------------------
Total Convertible Bonds (Cost $943,826) ....................... 945,000
------------------
Short-Term Investments - 11.77%
Non--U.S. Government Obligation - 0.56%
Romania
Treasury Bill Linked Note, 49.560%, due 08/28/97 ............ ROL 15,396,369,694 2,062,393
------------------
Commercial Paper - 11.21%
American Stores Co., 5.830%, due 07/23/97 ................... $ 2,000,000 1,992,874
Burlington Northern Santa Fe, 5.870%,
due 07/18/97................................................. 1,330,000 1,326,313
CSX Corp.
5.780%, due 07/09/97 ...................................... 2,500,000 2,496,789
5.800%, due 07/22/97 ...................................... 2,000,000 1,993,233
Crown Cork & Seal Co.
5.800%, due 07/09/97 ...................................... 2,000,000 1,997,422
5.780%, due 07/14/97 ...................................... 2,000,000 1,995,826
5.770%, due 07/15/97 ...................................... 1,500,000 1,496,634
Excel Paralubes Funding Corp., 5.800%,
due 07/08/97 ............................................... 2,000,000 1,997,744
GATX Capital, 5.900%, due 07/02/97 .......................... 2,000,000 1,999,672
Hughes Electronics Corp.
5.780%, due 07/11/97 ...................................... 2,000,000 1,996,789
5.850%, due 08/11/97 ...................................... 1,000,000 993,338
5.880%, due 08/12/97 ...................................... 2,500,000 2,482,850
Marriot Corp., 5.770%, due 07/08/97 ......................... 2,500,000 2,497,195
Nabisco Inc., 5.520%, due 07/21/97 .......................... 1,000,000 996,933
</TABLE>
67
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
----------------- ------------------
<S> <C> <C>
Short-Term Investments (Continued)
Norfolk Southern Corp.
5.770%, due 07/10/97 ...................................... $ 1,000,000 $ 998,558
5.780%, due 07/18/97 ...................................... 1,000,000 997,271
Occidental Petroleum, 5.800%, due 08/13/97 .................. 3,000,000 2,979,217
Sundstrand Corp., 5.800%, due 07/09/97 ...................... 1,000,000 998,711
Tenneco, Inc.
5.780%, due 07/17/97 ...................................... 2,000,000 1,994,862
5.800%, due 07/23/97 ...................................... 1,500,000 1,494,683
Texas Utilities Inc., 5.810%, due 07/07/97 .................. 1,500,000 1,498,548
Trinova Corp., 5.750%, due 07/02/97 ......................... 2,000,000 1,999,680
Vastar Resources, Inc., 5.800%, due 07/03/97 ................ 1,000,000 999,517
Whitman Corp., 5.820%, due 08/04/97 ......................... 1,000,000 994,503
-------------------
41,219,162
-------------------
Total Short-Term Investments (Cost $43,267,719) 43,281,555
-------------------
Total Investments (Cost $306,801,809) - 91.55% (a) 336,703,506
-------------------
Cash and other assets, less liabilities - 8.45% 31,061,405
------------------
Net Assets - (100%) ........................................... $367,764,911
===================
</TABLE>
See accompanying notes to the schedule of investments.
68
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
NOTES TO SCHEDULE OF INVESTMENTS
(a): Aggregate cost for federal income tax purposes was $306,801,809; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation..............................$ 45,944,468
Gross unrealized depreciation.............................. (16,042,771)
------------
Net unrealized appreciation..............$ 29,901,697
------------
</TABLE>
(b) Non-income producing security
(c) Denominated in U.S. Dollars
ADR: American Depositary Receipt
GDR: Global Depositary Receipt
144A: Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At June 30, 1997, the value of these
securities amounted to $1,241,250 or 0.34% of net assets.
EQUITY SWAP CONTRACTS (Note 4)
The Brinson Emerging Markets Equity Fund has entered into equity swap contracts
as of June 30, 1997. These swaps serve to reduce the Fund's exposure to
short-term investments, as a percentage of net assets, from 11.77% to (4.68)%
and increase the Fund's exposure to various countries. The following reflects
the open swap positions as of June 30, 1997, aggregated by country exposure:
<TABLE>
<CAPTION>
Net Unrealized
Notional Amounts Maturity Dates Country Gain/(Loss) Exposure
---------------- -------------- ------- -------------- --------
<S> <C> <C> <C> <C>
$ 2,414,485 12/11/97 Israel $ 578,512 0.81%
6,903,303 01/12/98-04/15/98 Korea 217,551 1.94
2,000,000 04/15/98 Malaysia (175,748) 0.50
2,200,000 10/15/97-11/14/97 Mexico 681,092 0.78
2,514,056 12/11/97 Poland (188,052) 0.63
2,456,690 09/15/97-11/14/97 Portugal 712,243 0.86
18,621,294 08/14/97-04/16/98 Taiwan 3,975,755 6.14
1,700,000 10/15/97 Thailand (860,685) 0.23
12,699,023 10/15/97-06/15/98 Turkey 4,089,351 4.56
-------------- ----------- ------------
$51,508,851 $9,030,019 16.45%
============== =========== ============
</TABLE>
See accompanying notes to financial statements.
69
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments, at value (Cost $306,801,809) (Note 1) ................................................. $336,703,506
Cash ............................................................................................... 13,272,623
Foreign currency, at value (Cost $7,009,309) ....................................................... 6,950,748
Receivables:
Investment securities sold ...................................................................... 4,395,077
Unrealized appreciation on equity swap contracts (Note 4) ....................................... 9,030,019
Dividends ....................................................................................... 1,636,316
Interest ........................................................................................ 13,059
Other assets .................................................................................... 23,628
--------------
TOTAL ASSETS ............................................................................. 372,024,976
--------------
LIABILITIES:
Payables:
Investment securities purchased ................................................................. 3,255,503
Equity swap contracts closed .................................................................... 935,406
Accrued expenses ................................................................................ 69,156
--------------
TOTAL LIABILITIES ........................................................................ 4,260,065
--------------
NET ASSETS:
Applicable to 29,985,598 shares; no par value,
unlimited shares authorized ...................................................................... $367,764,911
Net asset value per share
($367,764,911 / 29,985,598 shares) ................................................................. $12.2647
==============
Maximum offering price per share (net asset value,
plus1.50% of offering price) (Note 7) ........................................................... $12.4515
==============
Redemption price per share (net asset value,
less 1.50% of net asset value) (Note 7) ......................................................... $12.0807
==============
NET ASSETS CONSIST OF:
Paid in capital .................................................................................... $318,136,223
Accumulated net investment income .................................................................. 9,233,731
Accumulated net realized gain ...................................................................... 1,526,957
Net unrealized appreciation ........................................................................ 38,868,000
--------------
NET ASSETS ............................................................................... $367,764,911
==============
</TABLE>
See accompanying notes to financial statements.
70
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Dividends (net of $390,008 for foreign taxes withheld) ............................................. $3,185,643
Interest ........................................................................................... 1,354,833
------------------------
TOTAL INCOME ............................................................................. 4,540,476
------------------------
EXPENSES:
Custodian .......................................................................................... 171,613
Administration ..................................................................................... 41,366
Accounting ......................................................................................... 41,009
Audit .............................................................................................. 29,671
Pricing ............................................................................................ 9,216
Other .............................................................................................. 10,896
------------------------
TOTAL EXPENSES ........................................................................... 303,771
------------------------
NET INVESTMENT INCOME .................................................................... 4,236,705
------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments .................................................................................... 3,020,942
Equity swap contracts .......................................................................... 1,061,432
Foreign currency transactions .................................................................. (172,189)
------------------------
Net realized gain .......................................................................... 3,910,185
------------------------
Change in net unrealized appreciation or depreciation on:
Investments and foreign currency ............................................................... 28,849,949
Translation of other assets and liabilities denominated in
foreign currency ........................................................................... 8,269,096
------------------------
Change in net unrealized appreciation or depreciation ...................................... 37,119,045
------------------------
Net realized and unrealized gain ................................................................... 41,029,230
========================
Net increase in net assets resulting from operations ............................................... $45,265,935
========================
</TABLE>
See accompanying notes to financial statements.
71
<PAGE>
BRINSON EMERGING MARKETS EQUITY FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year
June 30, 1997 Ended
(Unaudited) December 31, 1996
----------------------- ---------------------
<S> <C> <C>
OPERATIONS:
Net investment income ................................................ $4,236,705 $4,002,337
Net realized gain (loss) ............................................. 3,910,185 (1,482,828)
Change in net unrealized appreciation or depreciation ................ 37,119,045 5,411,782
----------------------- ---------------------
Net increase in net assets resulting from operations ................ 45,265,935 7,931,291
----------------------- ---------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold (Note 7) ................................................. 144,912,844 130,419,803
Shares redeemed ...................................................... (1,752,043) (49,141,891)
----------------------- ---------------------
Net increase in net assets
resulting from capital share transactions (a) ..................... 143,160,801 81,277,912
----------------------- ---------------------
TOTAL INCREASE IN NET ASSETS ................................ 188,426,736 89,209,203
----------------------- ---------------------
NET ASSETS:
Beginning of period .................................................. 179,338,175 90,128,972
----------------------- ---------------------
End of period (including accumulated net investment
income of $9,233,731 and $4,997,026, respectively) $367,764,911 $179,338,175
======================= =====================
<CAPTION>
(a) A summary of capital share transactions follows:
Shares Shares
----------------------- ---------------------
<S> <C> <C>
Shares sold .......................................................... 12,539,075 12,742,970
Shares redeemed ...................................................... (159,479) (4,811,226)
======================= =====================
Net increase in shares outstanding ............................... 12,379,596 7,931,744
======================= =====================
</TABLE>
See accompanying notes to financial statements.
72
<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 Year Year
June 30, 1997 Ended Ended
(Unaudited) December 31, 1996 December 31, 1995*
----------------- ------------------- ------------------
<S> <C> <C> <C>
Net asset value, beginning of period ......................... $10.1862 $9.3164 $10.0000
----------------- ------------------- --------------
Income from investment operations:
Net investment income ..................................... 0.1204 *** 0.1810 0.1028
Net realized and unrealized gain (loss) ................... 1.9581 0.6888 (0.7864)
----------------- ------------------- --------------
Total income (loss) from investment operations ....... 2.0785 0.8698 (0.6836)
----------------- ------------------- --------------
Net asset value, end of period ............................... $12.2647 $10.1862 $9.3164
================= =================== ==============
Total return (non-annualized) ................................ 20.41% 9.34% (6.84)%
Ratios/Supplemental data:
Net assets, end of period (in 000s) ....................... $367,765 $179,338 $90,129
Ratio of expenses to average net assets ................... 0.22% ** 0.46% 0.50% **
Ratio of net investment income to average net assets ...... 3.01% ** 3.42% 3.86% **
Portfolio turnover rate ................................... 12% 25% 2%
Average commission rate paid per share .................... $0.0023 $0.0016 $0.0016
</TABLE>
* The Fund commenced operations June 30, 1995.
** Annualized
*** The net investment income per share data was determined by using average
shares outstanding during the period.
See accompanying notes to financial statements.
73
<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.
On June 30th, 1995, Brinson Partners, Inc. introduced its Brinson Emerging
Markets Debt Fund. Since July 31, 1995, the first month-end after the Fund
became fully invested, the Fund has earned an annualized return of 40.91%,
compared to the 35.60% return of its benchmark. For the first half of the year,
the portfolio returned 13.11% versus 10.27% for its benchmark, J.P. Morgan's
Emerging Markets Bond Index Plus (EMBI+). The EMBI+ comprises 69% Brady bonds,
13% loans, 12% Eurobonds and 6% domestic issues as of June 1997.
The exceptionally large incremental return of the EMBI+ over equivalent duration
U.S. Treasury securities year-to-date, 8.11%, was due to incremental yield and
to principal gains resulting from credit spreads narrowing approximately 0.40%.
Both market and country allocation strategies and security selection improved
Fund results, the most notable of which was an overweight in 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 Fund results. Because U.S. interest rates rose modestly over the
first half of the year, our interest rate duration strategy of 1.3 times the
index detracted slightly from performance.
Our current duration strategy (1.0 times the index) reflects a benign view of
U.S. interest rates. The only notable country strategies are overweights in
Venezuela, Morocco and Russia, and an underweight in Mexico.
74
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
================================================================================
Total Return
<TABLE>
<CAPTION>
6 months 1 year Annualized
ended ended 06/30/95*
06/30/97 06/30/97 to 06/30/97
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Brinson Emerging Markets Debt Fund/1/ 13.11% 40.01% 38.12%
- -----------------------------------------------------------------------------------------------
Brinson Emerging Markets Debt Fund/2/ 12.54% 39.31% 38.12%
- -----------------------------------------------------------------------------------------------
JP Morgan EMBI+ 10.27% 33.04% 33.94%
- -----------------------------------------------------------------------------------------------
</TABLE>
* Inception date of the Brinson Emerging Markets Debt Fund.
/1/ Total return based on NAV - Does not include the payment of a 0.50%
transaction charge on Fund share purchases.
/2/ Standardized total return - Includes the payment of a 0.50% transaction
charge on Fund share purchases in each period presented where applicable.
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+
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Brinson Emerging JP Morgan
Markets Debt Fund EMBI+
<S> <C> <C>
06/30/95 100,000 100,000
07/31/95 98,952 100,074
08/31/95 101,671 102,435
09/30/95 105,713 105,964
10/31/95 104,843 104,876
11/30/95 108,802 108,546
12/31/95 116,401 116,772
01/31/96 127,448 125,646
02/29/96 118,868 118,715
03/31/96 121,904 121,419
04/30/96 129,544 128,043
05/31/96 132,236 130,259
06/30/96 136,384 134,838
07/31/96 139,238 137,656
08/31/96 145,236 142,712
09/30/96 156,324 151,916
10/31/96 158,248 153,109
11/30/96 167,000 160,744
12/31/96 168,816 162,676
01/31/97 175,557 167,181
02/28/97 178,950 170,082
03/31/97 172,262 163,948
04/30/97 177,672 168,802
05/31/97 185,086 175,352
06/30/97 190,948 179,389
</TABLE>
06/30/95 = $100,000 Data through 06/30/97
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.
75
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND
================================================================================
Market Allocation
As of June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Market
Allocation Index
- -------------------------------------------------------------------
<S> <C> <C>
Argentina 22.6 % 22.3 %
Brazil 23.8 28.4
Bulgaria 3.0 2.1
Ecuador 0.0 2.4
Mexico 9.2 14.7
Morocco 5.7 1.4
Nigeria 0.0 2.5
Panama 0.0 1.6
Peru 0.0 1.7
Philippines 0.0 1.6
Poland 0.0 2.4
Romania 1.4 0.0
Russia 13.9 10.2
Turkey 3.3 0.0
Venezuela 13.4 8.7
Cash, Non-Strategic 3.6 0.0
- -------------------------------------------------------------------
100.0 % 100.0 %
</TABLE>
Note: Totals may not add due to rounding
76
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
-------------------- ------------------
<S> <C> <C>
Bonds -- 93.84%
International Dollar Bonds -- 81.96%
Argentina - BOCON PRE1 FRN, 3.242%, due 04/01/01................... $ 12,985,444 $ 11,910,183
Argentina - BOCON PRO1 FRN, 3.242%, due 04/01/07................... 13,500,521 10,520,060
Argentina - Par Series L, 5.500%, due 03/31/23..................... 33,750,000 23,392,969
Argentina - FRN, 6.750%, due 03/31/05.............................. 6,305,000 5,926,700
Brazil - C PIK Bond, 8.000%, due 04/15/04.......................... 27,848,153 22,382,952
Brazil - DCB L FRN, 6.938%, due 04/15/12........................... 15,750,000 13,013,437
Brazil - Global Bond, 10.125%, due 05/15/27........................ 6,426,000 6,188,238
Brazil - IDU Series A FRN, 6.500%, due 01/01/01.................... 6,525,000 6,436,913
Brazil - New Money Bond L FRN, 6.937%, due 04/15/09................ 4,000,000 3,500,000
Brazil - Series EI-L FRN, 6.875%, due 04/15/06..................... 2,970,000 2,741,681
Bulgaria - FLIRB Series A, 2.250%, due 07/28/12.................... 12,000,000 6,840,000
Mexico - Disc. Series B FRN, 6.836%, due 12/31/19.................. 10,000,000 9,300,000
Morocco - Loan Tranche A FRN, 6.813%, due 01/01/09................. 14,000,000 12,810,000
Petroleos Mexicanos 144A, 9.000%, due 06/01/07..................... 6,000,000 6,105,000
Russian Principal Loans, due 12/29/49 (c)........................... 7,000,000 4,659,375
Sultan Ltd. FRN, 8.688%, due 06/11/99.............................. 7,700,000 7,623,385
Mexico Global Bond, Series B, 11.500%, due 05/15/26................ 3,500,000 3,998,750
Mexico Par, Series B, 6.250%, due 12/31/19......................... 2,000,000 1,545,000
Venezuela - DCB Series DL FRN, 6.750%, due 12/18/07................ 8,750,000 8,115,625
Venezuela - Disc. Series W-A FRN, 6.813%, due 03/31/20............. 6,000,000 5,302,500
Venezuela - FLIRB Series B VAR, 6.750%, due 03/31/07............... 3,095,238 2,874,702
Venezuela - Par Series X-B, 6.750%, due 03/31/20................... 7,750,000 6,098,281
Venezuela - Par Series W-A, 6.750%, due 03/31/20................... 10,500,000 8,262,188
------------------
189,547,939
------------------
Loan Participation Certificate -- 11.88%
Vneshekonom Bank Loan Participation, due
01/01/00 (b)........................................................ 30,000,000 27,487,500
------------------
Total Bonds (Cost $186,114,859) ..................................... 217,035,439
------------------
Short Term Investments -- 5.98%
U.S. Government Obligation -- 0.21%
U.S. Treasury Bills, 5.3702%, due 11/13/97......................... 490,000 480,537
------------------
Non-U.S. Government Obligations -- 1.46%
Romania
Treasury Bill Linked Note 71.560%, due 08/14/97.................... ROL 6,158,496,658 813,502
Treasury Bill Linked Note 49.560%, due 08/28/97.................... ROL 18,817,785,181 2,556,540
----------------
3,370,042
----------------
</TABLE>
77
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
================================================================================
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Face
Amount Value
--------------------- ------------------
<S> <C> <C>
Commercial Paper -- 4.31%
American Stores Co., 5.830%, due 07/23/97.......................... $ 1,000,000 $ 996,437
Crown Cork & Seal Co., Inc., 5.780%, due 07/14/97.................. 1,000,000 997,913
CSX Corp., 5.780%, due 07/09/97.................................... 1,000,000 998,716
Excel Paralubes Funding Corp., 5.800%, due 07/08/97................. 1,000,000 998,872
GATX Capital, 5.900%, due 07/02/97................................. 1,000,000 999,836
Hughes Electronics Corp
5.780%, due 07/11/97............................................. 1,000,000 998,395
5.850%, due 08/11/97............................................. 1,000,000 993,337
Tenneco, Inc., 5.780%, due 07/17/97................................ 1,000,000 997,431
Texas Utilities Inc.., 5.810%, due 07/07/97........................ 1,000,000 999,032
Trinova Corp., 5.750%, due 07/02/97................................ 1,000,000 999,840
-------------------
9,979,809
-------------------
Total Short Term Investments (Cost $13,810,728) ..................... 13,830,388
-------------------
Total Investments (Cost $199,925,587) -- 99.82% (a) ................. 230,865,827
-------------------
Cash and other assets, less liabilities -- 0.18% .................. 416,263
-------------------
Net Assets -- 100%................................................... $231,282,090
===================
</TABLE>
See accompanying notes to schedule of investments.
78
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
================================================================================
NOTES TO SCHEDULE OF INVESTMENTS
(a) Aggregate cost for federal income tax purposes was $199,925,587; and net
unrealized appreciation consisted of:
<TABLE>
<S> <C>
Gross unrealized appreciation.............................$ 30,960,939
Gross unrealized depreciation............................. (20,699)
------------
Net unrealized appreciation..........$ 30,940,240
------------
</TABLE>
(b) No stated interest rate
(c) When issued security, interest rate will be determined upon issuance.
FRN: Floating rate note ---The rate disclosed is that in effect at June 30,
1997.
DCB: Debt Conversion bond
FLIRB: Front loaded interest reduction bond
PIK: Payment in kind bond - Interest is paid in additional bonds
ROL: Romanian Leu
144A: Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At June 30,
1997, the value of these securities amounted to $6,105,000 or 2.64% of net
assets.
FUTURES CONTRACTS (Note 6)
The Brinson Emerging Markets Debt Fund had the following open futures contracts
as of June 30, 1997:
<TABLE>
<CAPTION>
Settlement Cost/ Current Unrealized
Date Proceeds Value Gain/(Loss)
---------- ---------- ------- -------------
<S> <C> <C> <C> <C>
Interest Rate Futures Buy Contracts
10 year U.S. Treasury Notes, 143 contracts.........September 1997 $15,377,916 $15,426,125 $ 48,209
30 year U.S. Treasury Bonds, 126 contracts.........September 1997 13,814,133 13,993,875 179,742
-------
Total........................ $ 227,951
---------
</TABLE>
The market value of investments pledged to cover margin requirements for the
open futures positions at June 30, 1997 was $480,537.
See accompanying notes to financial statements.
79
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND SCHEDULE OF INVESTMENTS
================================================================================
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Investments, at value (Cost $199,925,587) (Note 1) .................. $230,865,827
Cash ................................................................ 2,252,382
Receivables:
Interest .......................................................... 2,211,956
Investment securities sold ........................................ 404,404
--------------------------
TOTAL ASSETS .............................................. 235,734,569
--------------------------
LIABILITIES:
Payables:
Investment securities purchased .................................. 4,261,250
Variation margin (Note 6) ........................................ 120,031
Accrued expenses ................................................. 71,198
--------------------------
TOTAL LIABILITIES ......................................... 4,452,479
--------------------------
NET ASSETS:
Applicable to 12,112,326 shares; no par value,
unlimited shares authorized ...................................... $231,282,090
==========================
Net asset value and redemption price per share
($231,282,090 / 12,112,326 shares) ............................... $19.0948
==========================
Maximum offering price per share (net asset value
plus 0.50% of net asset value) (Note 7) .......................... $19.1908
==========================
NET ASSETS CONSIST OF:
Paid in capital ..................................................... $130,541,806
Accumulated net investment income ................................... 35,506,686
Accumulated net realized gain ....................................... 34,065,407
Net unrealized appreciation ......................................... 31,168,191
--------------------------
NET ASSETS ................................................ $231,282,090
==========================
</TABLE>
See accompanying notes to financial statements.
80
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
INVESTMENT INCOME:
<S> <C>
Interest ............................................................ $11,443,984
------------------
TOTAL INCOME 11,443,984
------------------
EXPENSES:
Accounting .......................................................... 43,428
Administration ...................................................... 30,954
Audit ............................................................... 29,753
Custodian ........................................................... 29,261
Other ............................................................... 18,380
------------------
TOTAL EXPENSES ............................................ 151,776
------------------
NET INVESTMENT INCOME ..................................... 11,292,208
------------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ..................................................... 15,420,768
Futures contracts ............................................... (367,676)
------------------
Net realized gain ........................................ 15,053,092
------------------
Change in net unrealized appreciation or depreciation on:
Investments ..................................................... 433,024
Futures contracts ............................................... 492,513
------------------
Change in net unrealized appreciation or
depreciation .......................................... 925,537
------------------
Net realized and unrealized gain .................................... 15,978,629
------------------
Net increase in net assets resulting from operations ................ $27,270,837
==================
</TABLE>
See accompanying notes to financial statements.
81
<PAGE>
BRINSON EMERGING MARKETS DEBT FUND FINANCIAL STATEMENTS
================================================================================
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months
Ended Year
June 30, 1997 Ended
(Unaudited) December 31, 1996
------------------------ --------------------------
<S> <C> <C>
OPERATIONS:
Net investment income ...................................... $11,292,208 $19,604,516
Net realized gain .......................................... 15,053,092 18,170,077
Change in net unrealized appreciation ...................... 925,537 24,138,171
------------------------ --------------------------
Net increase in net assets resulting from operations ....... 27,270,837 61,912,764
------------------------ --------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold (Note 7) ....................................... 6,601,312 152,532,783
Shares redeemed ............................................ (25,160,627) (111,529,172)
------------------------ --------------------------
Net increase (decrease) in net assets
resulting from capital share transactions (a) ........... (18,559,315) 41,003,611
------------------------ --------------------------
TOTAL INCREASE IN NET ASSETS ...................... 8,711,522 102,916,375
------------------------ --------------------------
NET ASSETS:
Beginning of period ........................................ 222,570,568 119,654,193
------------------------ --------------------------
End of period (including accumulated net investment
income of $35,506,686 and $24,214,478, respectively) $231,282,090 $222,570,568
======================== ==========================
<CAPTION>
(a) A summary of capital share transactions follows:
Shares Shares
------------------------ --------------------------
<S> <C> <C>
Shares sold ................................................ 372,359 9,793,589
Shares redeemed ............................................ (1,444,259) (6,888,826)
======================== ==========================
Net increase (decrease) in shares outstanding .......... (1,071,900) 2,904,763
======================== ==========================
</TABLE>
See accompanying notes to financial statements.
82
<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 Year Period
June 30, 1997 Ended Ended
(Unaudited) December 31, 1996 December 31, 1995*
------------------- ---------------- -----------------
<S> <C> <C> <C>
Net asset value, beginning of period....................... $16.8816 $11.6401 $10.0000
------------------- ---------------- -----------------
Income from investment operations:
Net investment income................................... 1.0948 1.3882 0.4485
Net realized and unrealized gain........................ 1.1184 3.8533 1.1916
------------------- ---------------- -----------------
Total income from investment operations............ 2.2132 5.2415 1.6401
------------------- ---------------- -----------------
Net asset value, end of period............................. $19.0948 $16.8816 $11.6401
=================== ================ =================
Total return (non-annualized).............................. 13.11% 45.03% 16.40%
Ratios/Supplemental data :
Net assets, end of period (in 000s)..................... $231,282 $222,571 $119,654
Ratio of expenses to average net assets................. 0.13% ** 0.18% 0.50% **
Ratio of net investment income to average net assets.... 10.00% ** 11.89% 12.95% **
Portfolio turnover rate................................. .61% 71% 29%
</TABLE>
*The Fund commenced operations June 30, 1995.
**Annualized
See accompanying notes to financial statements.
83
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
================================================================================
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
following is a summary of significant accounting policies followed by the Funds
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. U.S. equity securities traded over-the-counter are valued at
the most recent bid price. Equity securities traded in certain emerging market
countries may be subject to a foreign premium and are valued accordingly.
Investments in affiliated investment companies are valued each day based on the
closing net asset value of the respective Fund. Debt securities are valued at
the most recent bid price by using market quotations or independent services.
Securities for which market quotations are not readily available, including
restricted securities which are subject to limitations on their sale, are valued
at fair value as determined in good faith by or under the direction of the
Trust's Board of Trustees.
Futures contracts are valued at the settlement price established each day on the
exchange on which they are traded. Forward foreign currency contracts are valued
daily using the mean between the bid and asked forward points added to the
current 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: Investment securities and other assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
using the WM/Reuters closing spot rates as of 4:00 p.m. London time. Purchases
and sales of portfolio securities, commitments under forward foreign currency
contracts and income receipts 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 securities 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 soon 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. The Funds do not intend to make any distributions to
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 Amended and Restated 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.
84
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
================================================================================
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 the Brinson
Global Securities Fund and Brinson Short-Term Fund to the extent that total
operating expenses exceed 0.05% of average daily net assets. The Advisor has
agreed to reimburse the 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. Trustees' fees
paid to unaffiliated trustees were $6,038, $960, $1,910, $1,211, $2,708 and
$2,480 for the 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, respectively.
During the six months ended June 30, 1997, the Brinson Global Securities Fund
invested in shares of certain affiliated investment companies also sponsored by
Brinson Partners, Inc. These investments represent 9.9% of the Fund's total net
assets. Activity for the six months ended June 30, 1997 is summarized as
follows:
<TABLE>
<CAPTION>
Purchases Sales Realized Unrealized
Affiliates Cost Proceeds Gains Gains/Losses
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Brinson Post-Venture Fund $ 0 $ 0 $ 0 $ 3,880,575
Brinson High Yield Fund 639,104 2,150,000 73,388 3,844,809
Brinson Emerging Markets Equity Fund 16,787,001 1,750,000 122,930 7,619,180
Brinson Emerging Markets Debt Fund 970,547 2,600,000 147,700 8,543,678
-----------------------------------------------------
$18,396,652 $ 6,500,000 $ 344,018 $23,888,242
=====================================================
</TABLE>
3. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended June 30, 1997, excluding
short-term investments, were as follows:
<TABLE>
<CAPTION>
Purchases Proceeds from Sales
-------------- -------------------
<S> <C> <C>
Brinson Global Securities Fund.................... $1,268,498,851 $1,248,065,618
Brinson Post-Venture Fund......................... 58,479,970 54,736,792
Brinson High Yield Fund........................... 47,751,548 77,203,119
Brinson Emerging Markets Equity Fund.............. 153,232,608 28,022,486
Brinson Emerging Markets Debt Fund................ 124,159,549 132,859,926
</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.
85
<PAGE>
THE BRINSON RELATIONSHIP FUNDS - NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
================================================================================
At June 30, 1997, the Brinson Emerging Markets Equity Fund had open equity swap
contracts with international dealers, including the Fund's custodian. The 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 may engage 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 during the six months ended June 30, 1997 was
the Fund's custodian.
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 daily 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
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, of the Fund's offering price 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 a 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. Effective February
20, 1996, investors in the Brinson Emerging Markets Equity Fund are also subject
to a transaction charge equal to 1.50% of the Fund's offering price on Fund
share redemptions. Transaction charges received by the Brinson Emerging Markets
Equity Fund and the Brinson Emerging Markets Debt Fund were $2,148,060 and
$15,373, respectively, for the six months ended June 30, 1997, and are included
in shares sold on the statements of changes in net assets.
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.
86
