EX-15 6 ex15.htm

Fidelity School Street Trust: Strategic Income Fund and

Fidelity School Street Trust: International Bond Fund Merger

Notes to Pro Forma Combining Financial Statements

(Unaudited)

The accompanying unaudited Pro Forma Combining Schedule of Investments and Statement of Assets and Liabilities as of June 30, 2001 and the unaudited Pro Forma Combining Statement of Operations for 12 months ended June 30, 2001 are intended to present the financial condition and related results of operations of International Bond Fund as if the reorganization with Strategic Income Fund had been consummated on July 1, 2000.

The pro forma adjustments to these pro forma financial statements are comprised of:

(a) Reflects the conversion of International Bond Fund shares as of June 30, 2001.

(b) Decrease in fees reflects contractual rates charged against combined average net assets.

(c) Decrease in fees reflects net decrease in costs incurred as a result of the reorganization including savings from duplicate charges.

The unaudited pro forma combining statements should be read in conjunction with the separate annual audited financial statements as of December 31, 2000 and the unaudited financial highlights as of June 30, 2001 for Fidelity Strategic Income Fund, and for Fidelity International Bond Fund, which are incorporated by reference in the Statement of Additional Information to this Proxy Statement and Prospectus.

Fidelity Int'l Bond Portfolio: Fidelity Stategic Income

Pro Forma Combining Statement of Assets & Liabilities as of June 30, 2001

(Unaudited)

Int'l Bond

Strategic Income

Portfolio

Portfolio

Combined

Assets

Investment in securities, at value

- See accompanying schedule

$

69,680,670

72,551,151

$

142,231,821

Cash

206

927

1,133

Receivable for investments sold

990,379

586,159

1,576,538

Receivable for fund shares sold

130,161

150,231

280,392

Dividends receivable

-

13,777

13,777

Interest receivable

1,151,808

1,249,844

2,401,652

Other receivables

-

481

481

Total assets

71,953,224

74,552,570

146,505,794

Liabilities

Payable for investments purchased

2,940,070

1,081,399

4,021,469

Payable for fund shares redeemed

102,918

217,032

319,950

Distributions payable

-

72,242

72,242

Accrued management fee

38,609

37,940

76,549

Other payables and accrued expenses

55,353

50,664

106,017

Total liabilities

3,136,950

1,459,277

4,596,227

Net Assets

$

68,816,274

$

73,093,293

$

141,909,567

Net Assets consist of:

Paid in capital

$

171,297,139

$

76,085,650

$

247,382,789

Distributions in excess of net investment income

and undistributed net investment income

(59,619)

592,126

532,507

Accumulated undistributed net realized gain (loss)

on investments and foreign currency transactions

(96,675,721)

(2,237,754)

(98,913,475)

Net unrealized appreciation (depreciation) on investments

and assets and liabilities in foreign currencies

(5,745,525)

(1,346,729)

(7,092,254)

Net Assets

$

68,816,274

$

73,093,293

$

141,909,567

Net Assets

$

68,816,274

$

73,093,293

$

141,909,567

Net Asset Value, offering price and

redemption price per share

$

7.88

$

9.15

Shares outstanding

8,729,720

7,990,543

16,720,263

Maximum offering price per share

$

7.88

$

9.15

See accompanying notes which are an integral part of the financial statements

Fidelity Int'l Bond Portfolio: Fidelity Stategic Income

Pro Forma Combining Statement of Assets & Liabilities as of June 30, 2001

(Unaudited)

Pro Forma

Pro Forma

Adjustments

Combined

Assets

Investment in securities, at value

- See accompanying schedule

$

-

$

142,231,821

Cash

-

1,133

Receivable for investments sold

-

1,576,538

Receivable for fund shares sold

-

280,392

Dividends receivable

-

13,777

Interest receivable

-

2,401,652

Other receivables

-

481

Total assets

-

146,505,794

Liabilities

Payable for investments purchased

-

4,021,469

Payable for fund shares redeemed

-

319,950

Distributions payable

-

72,242

Accrued management fee

-

76,549

Other payables and accrued expenses

-

106,017

Total liabilities

-

4,596,227

Net Assets

$

-

$

141,909,567

Net Assets consist of:

Paid in capital

-

$

247,382,789

Distributions in excess of net investment income

and undistributed net investment income

-

532,507

Accumulated undistributed net realized gain (loss)

on investments and foreign currency transactions

-

(98,913,475)

Net unrealized appreciation (depreciation) on investments

and assets and liabilities in foreign currencies

-

(7,092,254)

Net Assets

$

-

$

141,909,567

Net Assets

$

141,909,567

Net Asset Value, offering price and

redemption price per share

$

9.15

Shares outstanding

(1,208,816)

(a)

15,511,447

Maximum offering price per share

$

9.15

See accompanying notes which are an integral part of the financial statements

International Bond

International Bond

% of Combined

Portfolio

Moody's Ratings

Principal Amount

Value (Note 1)

Corporate Bonds

(in USD unless otherwise

noted)

Convertible Bonds

0.9%

CONSUMER DISCRETIONARY

Media

International Bond

International Bond

EchoStar Communications Corp. 4.875% 1/1/07

Caa2

0

0

EchoStar Communications Corp. 4.875% 1/1/07

Caa1

0

0

Specialty Retail

Sunglass Hut International, Inc. 5.25% 6/15/03

B3

0

0

FINANCIALS

Diversified Financials

BP Finance PLC (LUKoil) 3% 2/9/06

AA+

32,000

37,960

HEALTH CARE

Health Care Providers & Services

Renal Treatment Centers, Inc. 5.625% 7/15/06

B2

0

0

Total Renal Care Holdings 7% 5/15/09

B2

0

0

INFORMATION TECHNOLOGY

Electronic Equipment & Instruments

Sanmina Corp. 0% 9/12/20

Ba3

0

0

Semiconductor Equipment & Products

Transwitch Corp. 4.5% 9/12/05

B2

0

0

Nonconvertible Bonds

26.0%

CONSUMER DISCRETIONARY

Automobiles

General Motors Corp. euro 1.25% 12/20/04

A2

JPY

150,000,000

1,219,532

Auto Components

Oxford Automotive, Inc. 10.125% 6/15/07

Caa1

0

0

Hotels Restaurants & Leisure

Florida Panthers Holdings, Inc. 9.875% 4/15/09

B2

0

0

Hilton Hotels Corp. 7.625% 5/15/08

Baa3

0

0

HMH Properties, Inc. 7.875% 8/1/05

Ba2

0

0

HMH Properties, Inc. 7.875% 8/1/08

Ba2

0

0

Horseshoe Gaming LLC 8.625% 5/15/09

B2

0

0

ITT Corp. 7.375% 11/15/15

Ba1

0

0

KSL Recreation Group, Inc. 10.25% 5/1/07

B2

0

0

Mandalay Resort Group 9.5% 8/1/08

Ba2

0

0

Mandalay Resort Group 10.25% 8/1/07

Ba3

0

0

MGM Mirage, Inc. 8.5% 9/15/10

Baa3

0

0

MGM Mirage, Inc. 9.75% 6/1/07

Ba2

0

0

Premier Parks, Inc. 9.25% 4/1/06

B3

0

0

Premier Parks, Inc. 9.75% 6/15/07

B3

0

0

Station Casinos, Inc. 8.375% 2/15/08

Ba3

0

0

Station Casinos, Inc. 8.875% 12/1/08

B1

0

0

Sun International Hotels Ltd./Sun

B1

0

0

Tricon Global Restaurants, Inc. 8.875% 4/15/11

Ba1

0

0

Venetian Casino Resort LLC/Las Vegas Sands, Inc. 12.25% 11/15/04

Caa1

0

0

Household Durables

Beazer Homes USA, Inc. 8.625% 5/15/11

Ba3

0

0

Beazer Homes USA, Inc. 8.875% 4/1/08

Ba3

0

0

Ryland Group, Inc. 9.125% 6/15/11

B1

0

0

Sealy Mattress Co. 9.875% 12/15/07

B2

0

0

Media

Adelphia Communications Corp.: 9.25% 10/1/02

B2

0

0

Adelphia Communications Corp.: 10.25% 6/15/11

B2

0

0

Adelphia Communications Corp.: 10.875% 10/1/10

B2

0

0

AMC Entertainment, Inc. 9.5% 2/1/11

Caa3

0

0

Callahan Nordrhein Westfalen 0% 7/15/10

B3

0

0

Century Communications Corp. 0% 1/15/08

B2

0

0

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 0% 1/15/10

B2

0

0

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 0% 5/15/11

B2

0

0

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 10% 5/15/11

B2

0

0

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 8.625% 4/1/09

B2

0

0

Cinemark USA, Inc. 9.625% 8/1/08

Caa2

0

0

CSC Holdings, Inc. 10.5% 5/15/16

Ba3

0

0

CSC Holdings, Inc. 9.25% 11/1/05

Ba3

0

0

CSC Holdings, Inc. 9.875% 2/15/13

Ba3

0

0

CSC Holdings, Inc. 9.875% 4/1/23

B1

0

0

CSC Holdings, Inc. 9.875% 5/15/06

Ba3

0

0

Diamond Cable Communications PLC yankee 11.75% 12/15/05

B2

0

0

EchoStar DBS Corp. 9.375% 2/1/09

B1

0

0

Fox Family Worldwide, Inc. 0% 11/1/07

B1

0

0

Fox/Liberty Networks LLC/FLN Finance, Inc. 0% 8/15/07

Ba1

0

0

FrontierVision Holdings LP/FrontierVision

B2

0

0

FrontierVision Holdings LP/FrontierVision

Caa1

0

0

Lamar Media Corp. 9.25% 8/15/07

B1

0

0

Lamar Media Corp. 9.625% 12/1/06

B1

0

0

Nextmedia Operating, Inc. 10.75% 7/1/11

B3

0

0

NTL, Inc. 0% 4/1/08

B3

0

0

NTL, Inc. 10% 2/15/07

B2

0

0

Pegasus Communications Corp. 12.5% 8/1/17

B3

0

0

Pegasus Communications Corp. 9.625% 10/15/05

B3

0

0

Pegasus Communications Corp. 9.75% 12/1/06

B3

0

0

Pegasus Satellite Communication, Inc. 0% 3/1/07

Caa1

0

0

Pegasus Satellite Communication, Inc. 12.375% 8/1/06

B3

0

0

Quebecor Media, Inc. 11.125% 7/15/11

B2

0

0

Radio One, Inc. 8.875% 7/1/11

B3

0

0

Susquehanna Media Co. 8.5% 5/15/09

B1

0

0

Telemundo Holdings, Inc. 0% 8/15/08

B3

0

0

TV Azteca SA de CV euro 10.5% 2/15/07 (Reg. S)

Ba3

25,000

22,875

TV Azteca SA de CV yankee 10.5% 2/15/07

B1

20,000

18,300

Multiline Retail

JCPenney Co., Inc. 6% 5/1/06

Ba2

0

0

JCPenney Co., Inc. 6.125% 11/15/03

Ba2

0

0

JCPenney Co., Inc. 6.9% 8/15/26

Ba2

0

0

JCPenney Co., Inc. 7.375% 6/15/04

Ba2

0

0

JCPenney Co., Inc. 7.375% 8/15/08

Ba2

0

0

JCPenney Co., Inc. 7.4% 4/1/37

Ba2

0

0

JCPenney Co., Inc. 7.6% 4/1/07

Ba2

0

0

JCPenney Co., Inc. 7.95% 4/1/17

Ba2

0

0

Textiles & Apparel

St. John Knits International, Inc. 12.5% 7/1/09

B3

0

0

CONSUMER STAPLES

Food & Drug Retailing

Argyll Group PLC euro 8.125% 10/4/02

BBB+

GBP

250,000

361,445

Rite Aid Corp. 11.25% 7/1/08

Caa2

0

0

Rite Aid Corp. 6.125% 12/15/08

Caa2

0

0

Rite Aid Corp. 6.5% 10/1/03

Caa2

0

0

Rite Aid Corp. 6.875% 8/15/13

Caa2

0

0

Rite Aid Corp. 7.625% 4/15/05

Caa2

0

0

Tesco PLC euro 8.75% 2/20/03

Aa3

GBP

500,000

735,982

Food Products

Del Monte Corp. 9.25% 5/15/11

B3

0

0

Gruma SA de CV yankee 7.625% 10/15/07

Ba2

60,000

52,800

Mastellone Hermanos SA yankee 11.75% 4/1/08

B2

40,000

24,000

ENERGY

Energy Equipment & Services

Lone Star Technologies, Inc. 9% 6/1/11

B1

0

0

Oil & Gas

Chesapeake Energy Corp. 8.125% 4/1/11

B2

0

0

Chesapeake Energy Corp. 8.5% 3/15/12

B2

0

0

Cross Timbers Oil Co. 8.75% 11/1/09

B1

0

0

Cross Timbers Oil Co. 9.25% 4/1/07

B1

0

0

Nuevo Energy Co. 9.375% 10/1/10

B1

0

0

Pemex Proj. Funding Master Trust euro 9.125% 10/13/10 (Reg. S)

Baa3

80,000

84,200

Pemex Project Fund Master Trust 8.5% 2/15/08

Baa3

62,000

63,705

Plains Resources, Inc. 10.25% 3/15/06

B2

0

0

Petroleos Mexicanos 9.25% 3/30/18

Ba2

35,000

36,750

Petroleos Mexicanos 9.5% 9/15/27

Baa3

35,000

37,188

FINANCIALS

Banks

Banco Hipotecario SA 10% 4/17/03 (Reg. S)

B1

25,000

23,250

Banco Nacional de Desenvolvimento Economicoe Social 11.25% 9/20/05

B1

65,000

64,594

Banco Nacional de Desenvolvimento Economicoe Social 12.554% 6/16/08

210,000

191,888

Depfa Bank AG 4.75% 3/20/03

Aaa

EUR

2,200,000

1,879,400

Export Credit Bank of Turkey 11.5% 2/25/05 (Reg. S)

B2

20,000

18,200

Hanvit Bank 12.75% 3/1/10

Ba3

20,000

21,500

Hanvit Bank 12.75% 3/1/10 (Reg. S)

B1

20,000

21,500

Diversified Financials

APP International Finance (Mauritius) Ltd. 0% 7/5/01

B3

345,000

20,700

CanWest Media, Inc. 10.625% 5/15/11

B2

0

0

Cellco Finance NV yankee 12.75% 8/1/05

B3

0

0

Cellco Finance NV yankee 15% 8/1/05

Caa1

0

0

ComEd Financing II 8.5% 1/15/27

Baa3

0

0

Crown Cork & Seal Finance PLC yankee 6.75% 12/15/03

Caa3

0

0

Crown Cork & Seal Finance PLC yankee 7% 12/15/06

Caa3

0

0

Crown Cork & Seal Finance SA yankee 6.75% 12/15/03

Caa3

0

0

Dobson/Sygnet Communications Co. 12.25% 12/15/08

B3

0

0

Ford Motor Credit Co. 5.625% 2/2/04

A2

EUR

500,000

429,930

Ford Motor Credit Co. euro 1.2% 2/7/05

A1

JPY

190,000,000

1,543,217

KFW International Finance, Inc. euro 1.75% 3/23/10

Aaa

JPY

120,000,000

1,032,393

KFW International Finance, Inc. euro 10.625% 9/3/01

Aaa

GBP

250,000

356,491

Mediacom Broadband LLC/Mediacm Broadband Corp. 11% 7/15/13

B2

0

0

PTC International Finance BV yankee 0% 7/1/07

B2

0

0

PTC International Finance II SA yankee 11.25% 12/1/09

B2

0

0

Punch Taverns Finance PLC euro 7.567% 4/15/26

Baa2

GBP

1,000,000

1,324,060

Sealed Air Finance euro 5.625% 7/19/06

Baa3

EUR

750,000

563,603

SESI LLC 8.875% 5/15/11

B1

0

0

Real Estate

LNR Property Corp. 10.5% 1/15/09

B1

0

0

Meditrust Corp. 7.82% 9/10/26

Ba3

0

0

WCI Communities, Inc. 10.625% 2/15/11

B1

0

0

HEALTH CARE

Health Care Equipment & Supplies

Boston Scientific Corp. 6.625% 3/15/05

Baa3

0

0

Health Care Providers & Services

Columbia/HCA Healthcare Corp. 7.15% 3/30/04

Ba1

0

0

DaVita, Inc. 9.25% 4/15/11

B2

0

0

Stewart Enterprises, Inc. 10.75% 7/1/08

B2

0

0

Tenet Healthcare Corp. 8.125% 12/1/08

Ba3

0

0

Triad Hospitals, Inc. 8.75% 5/1/09

B1

0

0

Unilab Corp. 12.75% 10/1/09

B3

0

0

INDUSTRIALS

Aerospace & Defense

Alliant Techsystems, Inc. 8.5% 5/15/11

B2

0

0

Commercial Services & Supplies

Browning-Ferris Industries, Inc. 7.4% 9/15/35

Ba3

0

0

Browning-Ferris Industries, Inc. 9.25% 5/1/21

Ba3

0

0

Iron Mountain, Inc. 8.25% 7/1/11

B2

0

0

Iron Mountain, Inc. 8.625% 4/1/13

B2

0

0

Pierce Leahy Command Co. yankee 8.125% 5/15/08

B2

0

0

Pierce Leahy Corp. 9.125% 7/15/07

B2

0

0

Machinery

Dunlop Standard Aerospace Holdings PLC yankee 11.875% 5/15/09

B3

0

0

Marine

Teekay Shipping Corp. 8.875% 7/15/11

Ba2

0

0

Road & Rail

TFM SA de CV yankee 0% 6/15/09

B1

50,000

42,500

INFORMATION TECHNOLOGY

Communications Equipment

Spectrasite Holdings, Inc. 0% 3/15/10

B3

0

0

MATERIALS

Chemicals

Avecia Group PLC yankee 11% 7/1/09

B2

0

0

Huntsman Corp. 9.5% 7/1/07

Caa1

0

0

IMC Global, Inc. 7.4% 11/1/02

Ba2

0

0

Containers & Packaging

Applied Extrusion Technologies, Inc. 10.75% 7/1/11

B2

0

0

Crown Cork & Seal, Inc. 6.75% 4/15/03

Caa3

0

0

Crown Cork & Seal, Inc. 7.125% 9/1/02

Caa3

0

0

Crown Cork & Seal, Inc. 7.375% 12/15/26

Caa3

0

0

Crown Cork & Seal, Inc. 8% 4/15/23

Caa3

0

0

Crown Cork & Seal, Inc. 8.375% 1/15/05

Caa3

0

0

Gaylord Container Corp. 9.375% 6/15/07

Caa1

0

0

Gaylord Container Corp. 9.75% 6/15/07

Caa1

0

0

Packaging Corp. of America 9.625% 4/1/09

B1

0

0

Metals & Mining

Century Aluminum Co. 11.75% 4/15/08

Ba3

0

0

P&L Coal Holdings Corp. 8.875% 5/15/08

Ba3

0

0

P&L Coal Holdings Corp. 9.625% 5/15/08

B2

0

0

Phelps Dodge Corp. 8.75% 6/1/11

Baa2

0

0

Paper & Forest Products

APP China Group Ltd. 14% 3/15/10

Caa3

75,000

4,875

APP China Group Ltd. 14% 3/15/10 (Reg. S)

Caa3

135,000

8,775

Indah Kiat Finance Mauritius Ltd. 10% 7/1/07

Caa1

60,000

12,300

Riverwood International Corp. 10.625% 8/1/07

B3

0

0

TELECOMMUNICATION SERVICES

Diversified Telecommunication Services

Alestra SA de RL de CV yankee 12.125% 5/15/06

B2

75,000

67,688

Comunicacion Celular SA 14.125% 3/1/05

B3

30,000

27,300

Intermedia Communications, Inc. 0% 3/1/09

B3

0

0

Intermedia Communications, Inc. 0% 7/15/07

B2

0

0

Intermedia Communications, Inc. 8.5% 1/15/08

B2

0

0

Intermedia Communications, Inc. 8.875% 11/1/07

B2

0

0

McCaw International Ltd. 0% 4/15/07

Caa1

0

0

Nextel International, Inc. 12.75% 8/1/10

Caa1

0

0

NTL Communications Corp. 0% 10/1/08

B3

0

0

NTL Communications Corp. 11.5% 10/1/08

B3

0

0

Philippine Long Distance Telephone Co. 10.5% 4/15/09

Ba2

20,000

18,600

Telefonos de Mexico SA de CV 8.25% 1/26/06

Baa3

70,000

72,100

Tritel PCS, Inc. 0% 5/15/09

B3

0

0

Triton PCS, Inc. 0% 5/1/08

B3

0

0

Wireless Telecommunication Services

Echostar Broadband Corp. 10.375% 10/1/07

B1

0

0

Grupo Iusacell SA de CV yankee 14.25% 12/1/06

B1

45,000

47,869

Horizon PCS, Inc. 0% 10/1/10

Caa1

0

0

Millicom International Cellular SA yankee 13.5% 6/1/06

Caa1

0

0

Nextel Communications, Inc. 0% 9/15/07

B1

0

0

Nextel Communications, Inc. 0% 2/15/08

B1

0

0

Nextel Communications, Inc. 12% 11/1/08

B1

0

0

Occidente Y Caribe Celular SA yankee 14% 3/15/04

B3

40,000

36,400

Orange PLC yankee 9% 6/1/09

A3

0

0

TeleCorp PCS, Inc. 0% 4/15/09

B3

0

0

VoiceStream Wireless Corp. 0% 11/15/09

Baa1

0

0

VoiceStream Wireless Corp. 10.375% 11/15/09

Baa1

0

0

UTILITIES

Electric Utilities

AES Corp. 9.375% 9/15/10

Ba1

0

0

AES Corp. 9.5% 6/1/09

Ba1

0

0

CMS Energy Corp. 8.375% 7/1/03

Ba3

0

0

CMS Energy Corp. 9.875% 10/15/07

Ba3

0

0

Pacific Gas & Electric Co. 6.75% 10/1/23

B3

0

0

Pacific Gas & Electric Co. 7.05% 3/1/24

B3

0

0

Pacific Gas & Electric Co. 7.875% 3/1/02

B3

0

0

Multi-Utilities

PG&E National Energy Group, Inc. 10.375% 5/16/11

Baa2

0

0

Foreign Government and Government Agency Obligations

53.0%

Arab Republic of Egypt 7.625% 7/11/06

Ba1

205,000

204,244

Arab Republic of Egypt 8.75% 7/11/11

NR

140,000

139,833

Argentinian Republic 11% 10/9/06

B1

95,000

79,444

Argentinian Republic 11.375% 1/30/17

B1

160,000

119,600

Argentinian Republic 11.75% 5/15/06

B1

145,000

122,525

Argentinian Republic 11.75% 6/15/15

B1

79,000

59,843

Argentinian Republic 12% 6/19/31

B1

340,000

242,250

Argentinian Republic 12.25% 6/19/18

B1

317,354

226,908

Argentinian Republic 12.375% 2/21/12

B1

252,000

198,450

Argentinian Republic 7% 12/19/08

B1

195,000

147,713

Argentinian Republic 8.375% 12/20/03

B1

45,000

38,700

Argentinian Republic 9.75% 9/19/27

B1

210,000

139,650

Argentinian Republic BOCON 5.3738% 4/1/07

B2

72,125

51,491

Argentinian Republic Brady floating rate bond 5.5625% 3/31/05

B2

115,200

93,816

Argentinian Republic Brady par L-GP 6% 3/31/23

B2

170,000

108,800

Argentinian Republic Series BT06, 11.25% 5/24/04

B1

115,000

101,200

Argentinian Republic Series BT07, 11.75% 5/21/03

B1

180,000

162,900

Argentinian Republic Series BT08, 12.125% 5/21/05

B1

175,000

154,000

Brazilian Federative Republic 11% 8/17/40

B1

360,000

266,580

Brazilian Federative Republic 11.25% 7/26/07

B1

140,000

135,100

Brazilian Federative Republic 12.75% 1/15/20

B1

75,000

67,125

Brazilian Federative Republic 14.5% 10/15/09

B1

225,000

232,988

Brazilian Federative Republic 7.625% 4/15/06

B1

52,000

46,280

Brazilian Federative Republic 8.875% 4/15/24

B1

640,000

412,800

Brazilian Federative Republic Brady capitalization bond 8% 4/15/14

B1

119,446

88,539

Brazilian Federative Republic Brady debt conversion bond 5.5% 4/15/12

B1

425,000

301,219

Brazilian Federative Republic Brady par Z-L 6% 4/15/24

B1

160,000

106,400

Brazilian Federative Republic euro 11.625% 4/15/04

B1

155,000

157,790

Bulgarian Republic Brady discount A 7.75% 7/18/24

B2

50,000

39,375

Bulgarian Republic Brady FLIRB A, 3% 7/28/12

B2

300,000

243,375

Bulgarian Republic Brady interest arrears bond 7.75% 7/28/11

B2

50,000

39,375

Canadian Government 1.9% 3/23/09

Aa1

JPY

80,000,000

698,525

Canadian Government 10% 5/1/02

Aa1

CAD

2,250,000

1,550,732

Canadian Government 7% 12/1/06

Aa1

CAD

1,450,000

1,013,755

Canadian Government 9% 6/1/25

Aa1

CAD

3,450,000

3,074,647

Central Bank of Nigeria Brady 6.25% 11/15/20

NR

250,000

160,625

Central Bank of Nigeria promissory note 5.092% 1/5/10

NR

274,037

184,630

City of St. Petersburg Russia 9.5% 6/18/02 (Reg. S)

Caa1

57,000

57,285

Colombian Republic 10.5% 6/13/06

Ba2

20,000

20,600

Colombian Republic 11.75% 2/25/20

Ba2

160,000

153,200

Colombian Republic 7.625% 2/15/07

Ba2

50,000

45,625

Colombian Republic 8.625% 4/1/08

Ba2

80,000

74,600

Colombian Republic 9.75% 4/23/09

Ba2

113,000

107,915

Ecuador Republic 12% 11/15/12

Caa2

56,000

39,340

Ecuador Republic 12% 11/15/12 (Reg. S)

Caa2

210,000

147,525

Ecuador Republic 4% 8/15/30

Caa2

179,000

77,418

Ecuador Republic 4% 8/15/30 (Reg. S)

Caa2

405,000

175,163

European Investment Bank euro 6% 12/7/28

Aaa

GBP

600,000

897,615

French Government OAT 7.25%, 4/25/06

Aaa

EUR

4,000,000

3,767,466

Germany Federal Republic 3.75% 1/4/09

Aaa

EUR

2,300,000

1,805,570

Germany Federal Republic 4.5% 3/15/02

Aaa

EUR

2,800,000

2,381,021

Germany Federal Republic 4.5% 5/17/02

Aaa

EUR

0

0

Germany Federal Republic 5% 2/17/06

Aaa

EUR

500,000

431,512

Germany Federal Republic 5% 8/19/05

Aaa

EUR

1,000,000

863,362

Germany Federal Republic 5.5% 1/4/31

Aaa

EUR

600,000

495,793

Germany Federal Republic 6% 1/4/07

Aaa

EUR

200,000

180,676

Germany Federal Republic 8% 7/22/02

Aaa

EUR

0

0

Germany Federal Republic Series 134, 4.25% 2/18/05

Aaa

EUR

2,200,000

1,854,728

Germany Federal Republic Series 96, 6.25% 4/26/06

Aaa

EUR

3,450,000

3,141,574

Italian Republic 3.75% 6/8/05

Aa3

JPY

100,000,000

912,139

Italian Republic 6% 11/1/07

Aa3

EUR

1,900,000

1,697,373

Italian Republic 6% 5/1/31

Aa3

EUR

670,000

569,004

Ivory Coast Brady FLIRB A, 1.9% 3/29/18

NR

FRF

655,000

13,576

Ivory Coast FLIRB 2% 3/30/18 (Reg. S)

NR

90,000

14,850

Jamaican Government 11.75% 5/15/11

Ba3

50,000

52,625

Malaysian Government 7.5% 7/15/11

Baa2

65,000

64,102

Oblast Nizhniy Novgorod 8.75% 4/3/05 (Reg. S)

Ca

111,156

81,144

Ontario Province 9% 9/15/04

Aa3

CAD

4,000,000

2,899,049

Pakistani Republic 10% 12/13/05

Caa1

45,000

35,325

Pakistani Republic 10% 12/13/05 (Reg. S)

Caa1

100,000

78,500

Panamanian Republic 10.75% 5/15/20

Ba1

45,000

47,700

Panamanian Republic 8.875% 9/30/27

Ba1

55,000

50,188

Panamanian Republic 9.625% 2/8/11

Ba1

35,000

35,569

Panamanian Republic euro Brady interest reduction bond 4.5% 7/17/14

Ba1

140,000

123,550

Peruvian Republic Brady past due interest 4.5% 3/7/17

Ba3

195,000

134,550

Peruvian Republic euro Brady FLIRB 4% 3/7/17

Ba3

190,000

118,513

Philippine Government 10.625% 3/16/25

Ba1

65,000

59,150

Philippine Government 9.5% 10/21/24

Ba1

95,000

93,456

Philippine Government 9.875% 1/15/19

Ba1

160,000

139,600

Philippine Government 9.875% 3/16/10

Ba1

35,000

34,388

Russian Federation 10% 6/26/07

B3

367,000

326,171

Russian Federation 11% 7/24/18 (Reg. S)

B3

184,000

160,310

Russian Federation 11.75% 6/10/03 (Reg. S)

B3

176,000

180,928

Russian Federation 12.75% 6/24/28 (Reg. S)

B3

396,000

391,545

Russian Federation 5% 3/31/30

B3

911,875

432,001

Russian Federation 5% 3/31/30 (Reg. S)

B3

895,000

424,006

Russian Federation 8.25% 3/31/10

B3

55,000

42,350

Russian Federation 8.25% 3/31/10

B3

132,493

102,020

Russian Federation 8.75% 7/24/05 (Reg. S)

B3

205,000

188,344

Russian Federation Ministry of Finance 3% 5/14/08

Caa3

45,000

23,006

Russian Federation Ministry of Finance 3% 5/14/03

Caa3

40,000

32,950

Russian Federation Ministry of Finance 3% 5/14/06

Caa3

40,000

24,700

Spanish Kingdom 5.4% 7/30/11

Aa2

EUR

3,250,000

2,747,946

Spanish Kingdom 6% 1/31/29

Aa2

EUR

2,350,000

2,010,536

Treuhandanstalt 7.5% 9/9/04

Aaa

EUR

1,500,000

1,385,400

Turkish Republic 11.75% 6/15/10

B1

231,000

202,125

Turkish Republic 11.875% 1/15/30

B1

155,000

129,425

Turkish Republic 11.875% 11/5/04

B1

35,000

34,738

Turkish Republic 12% 12/15/08

B1

70,000

70,525

Turkish Republic 12.375% 6/15/09

B1

235,000

215,613

Ukraine Government 11% 3/15/07 (Reg. S)

Caa1

193,030

149,367

United Kingdom, Great Britain & Northern Irelamd 8% 12/7/15

Aaa

GBP

0

0

United Kingdom, Great Britain & Northern Ireland 5% 6/7/04

Aaa

GBP

300,000

418,703

United Kingdom, Great Britain & Northern Ireland 6.25% 11/25/10

Aaa

GBP

310,000

468,243

United Kingdom, Great Britain & Northern Ireland 7.5% 12/7/06

Aaa

GBP

1,610,000

2,490,178

United Kingdom, Great Britain & Northern Ireland 8% 12/7/15

Aaa

GBP

460,000

827,043

United Kingdom, Great Britain & Northern Ireland 8.75% 8/25/17

Aaa

GBP

480,000

933,791

United Kingdom, Great Britain & Northern Ireland 9.75% 8/27/02

Aaa

GBP

0

0

United Mexican States 11.375% 9/15/16

Baa3

309,000

373,118

United Mexican States 8.125% 12/30/19

Baa3

530,000

500,850

United Mexican States 8.375% 1/14/11

Baa3

490,000

493,185

Venezuelan Republic 13.625% 8/15/18

B2

60,000

58,350

Venezuelan Republic 13.625% 8/15/18

B2

50,000

48,625

Venezuelan Republic 9.25% 9/15/27

B2

203,000

140,578

Venezuelan Republic euro Brady debt conversion bond 7.875% 12/18/07

B2

154,760

129,128

Venezuelan Republic euro Brady par W-A 6.75% 3/31/20

B2

250,000

188,906

Venezuelan Republic oil recovery rights 4/15/20 (amounts in shares)

ZZ1

1,250

0

Supranational Obligations

International Bank for Reconstruction & Development 2% 2/18/08

Aaa

JPY

180,000,000

1,579,618

International Bank for Reconstruction & Development 4.75% 12/20/04

Aaa

JPY

200,000,000

1,856,251

Common Stocks

0.0%

CONSUMER DISCRETIONARY

Media

Shares

NTL, Inc. warrants 10/14/08

0

0

FINANCIALS

Banks

Central Bank of Nigeria warrants 11/15/20

250

0

TELECOMMUNICATION SERVICES

Wireless Telecommunication Services

Horizon PCS, Inc. warrants 10/1/10

0

0

Preferred Stocks

0.9%

Convertible Preferred Stocks

TELECOMMUNICATION SERVICES

Diversified Telecommunication Services

Earthwatch, Inc. Series C, $0.2975 pay-in-kind

0

0

Nonconvertible Preferred Stocks

CONSUMER DISCRETIONARY

Media

CSC Holdings, Inc. Series H, $11.75 pay-in-kind

0

0

INFORMATION TECHNOLOGY

Communications Equipment

Crown Castle International Corp. $127.50 pay-in-kind

0

0

TELECOMMUNICATION SERVICES

Diversified Telecommunication Services

Broadwing Communications, Inc. Series B, $125.00 pay-in-kind

0

0

Intermedia Communications, Inc. Series B, $135.00 pay in kind

0

0

Wireless Telecommunication Services

Dobson Communications Corp. $122.50 pay-in-kind

0

0

Dobson Communications Corp. $130.00 pay-in-kind

0

0

Nextel Communications, Inc. Series D, $130.00 pay-in-kind

0

0

Nextel Communications, Inc. Series E, $111.25 pay-in-kind

0

0

Sovereign Loan Participations

0.1%

Principal Amount

Algerian Republic loan participation Series 1 - Deutsche Bank

5.8125% 9/4/06

NR

12,692

11,042

Algerian Republic loan participation Series 1 - Merrill Lynch, Pierce,

Fenner & Smith, Inc. 5.8125% 9/4/06

NR

15,769

13,719

Algerian Republic loan participation Series 3 - Merrill Lynch, Pierce,

Fenner & Smith, Inc. 5.8125% 3/4/10

NR

45,011

36,908

U.S. Government and Government Agency Obligations

14.8%

U.S. Government Agency Obligations

Fannie Mae 5.5% 5/2/06

AA-

0

0

Fannie Mae 6.25% 2/1/11

Aa2

0

0

Freddie Mac 5.875% 3/21/11

Aa2

0

0

U.S. Treasury Obligations

U.S. Treasury Bonds 8.875% 8/15/17

Aaa

0

0

U.S. Treasury Bonds 9% 11/15/18

Aaa

0

0

U.S. Treasury Bonds 11.25% 2/15/15

Aaa

0

0

U.S. Treasury Notes 4.25% 5/31/03

Aaa

0

0

U.S. Treasury Notes 7% 7/15/06

Aaa

0

0

Cash Equivalents

4.6%

Maturity Amount

Investments in repurchase agreements (U.S. Treasury Obligations)

4,132,372.05

4,131,000

Total Investment Portfolio

100.3%

(Cost $75,377,007)

69,680,670

Net Other Assets

-0.3%

-864,396

Net Assets

100.0%

68,816,274

Strategic Income

Strategic Income

% of Combined

Portfolio

Moody's Ratings

Principal Amount

Value (Note 1)

Corporate Bonds

Convertible Bonds

0.9%

CONSUMER DISCRETIONARY

Media

Strategic Income

Strategic Income

EchoStar Communications Corp. 4.875% 1/1/07

Caa2

80,000

77,000

EchoStar Communications Corp. 4.875% 1/1/07

Caa1

295,000

283,938

Specialty Retail

Sunglass Hut International, Inc. 5.25% 6/15/03

B3

70,000

65,100

FINANCIALS

Diversified Financials

BP Finance PLC (LUKoil) 3% 2/9/06

AA+

27,000

32,029

HEALTH CARE

Health Care Providers & Services

Renal Treatment Centers, Inc. 5.625% 7/15/06

B2

300,000

305,250

Total Renal Care Holdings 7% 5/15/09

B2

265,000

251,088

INFORMATION TECHNOLOGY

Electronic Equipment & Instruments

Sanmina Corp. 0% 9/12/20

Ba3

520,000

186,550

Semiconductor Equipment & Products

Transwitch Corp. 4.5% 9/12/05

B2

140,000

98,175

Nonconvertible Bonds

26.0%

CONSUMER DISCRETIONARY

Automobiles

General Motors Corp. euro 1.25% 12/20/04

A2

JPY

0

0

Auto Components

Oxford Automotive, Inc. 10.125% 6/15/07

Caa1

50,000

30,500

Hotels Restaurants & Leisure

Florida Panthers Holdings, Inc. 9.875% 4/15/09

B2

420,000

428,400

Hilton Hotels Corp. 7.625% 5/15/08

Baa3

250,000

242,141

HMH Properties, Inc. 7.875% 8/1/05

Ba2

230,000

224,250

HMH Properties, Inc. 7.875% 8/1/08

Ba2

125,000

117,500

Horseshoe Gaming LLC 8.625% 5/15/09

B2

260,000

261,300

ITT Corp. 7.375% 11/15/15

Ba1

225,000

205,313

KSL Recreation Group, Inc. 10.25% 5/1/07

B2

125,000

126,250

Mandalay Resort Group 9.5% 8/1/08

Ba2

25,000

26,125

Mandalay Resort Group 10.25% 8/1/07

Ba3

115,000

120,175

MGM Mirage, Inc. 8.5% 9/15/10

Baa3

15,000

15,648

MGM Mirage, Inc. 9.75% 6/1/07

Ba2

285,000

304,238

Premier Parks, Inc. 9.25% 4/1/06

B3

120,000

120,000

Premier Parks, Inc. 9.75% 6/15/07

B3

185,000

187,313

Station Casinos, Inc. 8.375% 2/15/08

Ba3

285,000

286,425

Station Casinos, Inc. 8.875% 12/1/08

B1

130,000

130,975

Sun International Hotels Ltd./Sun

B1

175,000

175,656

Tricon Global Restaurants, Inc. 8.875% 4/15/11

Ba1

160,000

163,200

Venetian Casino Resort LLC/Las Vegas Sands, Inc. 12.25% 11/15/04

Caa1

290,000

310,300

Household Durables

Beazer Homes USA, Inc. 8.625% 5/15/11

Ba3

210,000

208,950

Beazer Homes USA, Inc. 8.875% 4/1/08

Ba3

30,000

30,150

Ryland Group, Inc. 9.125% 6/15/11

B1

110,000

108,900

Sealy Mattress Co. 9.875% 12/15/07

B2

60,000

58,800

Media

Adelphia Communications Corp.: 9.25% 10/1/02

B2

125,000

125,313

Adelphia Communications Corp.: 10.25% 6/15/11

B2

150,000

147,000

Adelphia Communications Corp.: 10.875% 10/1/10

B2

310,000

313,100

AMC Entertainment, Inc. 9.5% 2/1/11

Caa3

155,000

137,950

Callahan Nordrhein Westfalen 0% 7/15/10

B3

60,000

21,000

Century Communications Corp. 0% 1/15/08

B2

260,000

123,500

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 0% 1/15/10

B2

490,000

328,300

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 0% 5/15/11

B2

260,000

148,200

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 10% 5/15/11

B2

140,000

141,400

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 8.625% 4/1/09

B2

390,000

367,575

Cinemark USA, Inc. 9.625% 8/1/08

Caa2

125,000

107,500

CSC Holdings, Inc. 10.5% 5/15/16

Ba3

75,000

83,250

CSC Holdings, Inc. 9.25% 11/1/05

Ba3

20,000

20,500

CSC Holdings, Inc. 9.875% 2/15/13

Ba3

800,000

854,000

CSC Holdings, Inc. 9.875% 4/1/23

B1

120,000

128,400

CSC Holdings, Inc. 9.875% 5/15/06

Ba3

60,000

62,700

Diamond Cable Communications PLC yankee 11.75% 12/15/05

B2

100,000

67,000

EchoStar DBS Corp. 9.375% 2/1/09

B1

690,000

679,650

Fox Family Worldwide, Inc. 0% 11/1/07

B1

255,000

225,675

Fox/Liberty Networks LLC/FLN Finance, Inc. 0% 8/15/07

Ba1

30,000

28,350

FrontierVision Holdings LP/FrontierVision

B2

55,000

56,238

FrontierVision Holdings LP/FrontierVision

Caa1

50,000

51,250

Lamar Media Corp. 9.25% 8/15/07

B1

156,000

161,070

Lamar Media Corp. 9.625% 12/1/06

B1

75,000

79,125

Nextmedia Operating, Inc. 10.75% 7/1/11

B3

170,000

170,000

NTL, Inc. 0% 4/1/08

B3

30,000

13,800

NTL, Inc. 10% 2/15/07

B2

40,000

26,000

Pegasus Communications Corp. 12.5% 8/1/17

B3

75,000

75,750

Pegasus Communications Corp. 9.625% 10/15/05

B3

40,000

35,600

Pegasus Communications Corp. 9.75% 12/1/06

B3

25,000

22,250

Pegasus Satellite Communication, Inc. 0% 3/1/07

Caa1

320,000

185,600

Pegasus Satellite Communication, Inc. 12.375% 8/1/06

B3

25,000

22,875

Quebecor Media, Inc. 11.125% 7/15/11

B2

320,000

319,200

Radio One, Inc. 8.875% 7/1/11

B3

430,000

430,000

Susquehanna Media Co. 8.5% 5/15/09

B1

20,000

20,300

Telemundo Holdings, Inc. 0% 8/15/08

B3

525,000

404,250

TV Azteca SA de CV euro 10.5% 2/15/07 (Reg. S)

Ba3

25,000

22,875

TV Azteca SA de CV yankee 10.5% 2/15/07

B1

15,000

13,725

Multiline Retail

JCPenney Co., Inc. 6% 5/1/06

Ba2

40,000

33,200

JCPenney Co., Inc. 6.125% 11/15/03

Ba2

15,000

14,250

JCPenney Co., Inc. 6.9% 8/15/26

Ba2

110,000

105,600

JCPenney Co., Inc. 7.375% 6/15/04

Ba2

45,000

42,975

JCPenney Co., Inc. 7.375% 8/15/08

Ba2

15,000

13,350

JCPenney Co., Inc. 7.4% 4/1/37

Ba2

45,000

41,400

JCPenney Co., Inc. 7.6% 4/1/07

Ba2

15,000

13,875

JCPenney Co., Inc. 7.95% 4/1/17

Ba2

25,000

20,250

Textiles & Apparel

St. John Knits International, Inc. 12.5% 7/1/09

B3

10,000

10,000

CONSUMER STAPLES

Food & Drug Retailing

Argyll Group PLC euro 8.125% 10/4/02

BBB+

GBP

0

0

Rite Aid Corp. 11.25% 7/1/08

Caa2

280,000

282,100

Rite Aid Corp. 6.125% 12/15/08

Caa2

140,000

106,400

Rite Aid Corp. 6.5% 10/1/03

Caa2

30,000

28,500

Rite Aid Corp. 6.875% 8/15/13

Caa2

90,000

66,600

Rite Aid Corp. 7.625% 4/15/05

Caa2

175,000

152,250

Tesco PLC euro 8.75% 2/20/03

Aa3

GBP

0

0

Food Products

Del Monte Corp. 9.25% 5/15/11

B3

170,000

171,700

Gruma SA de CV yankee 7.625% 10/15/07

Ba2

50,000

44,000

Mastellone Hermanos SA yankee 11.75% 4/1/08

B2

40,000

24,000

ENERGY

Energy Equipment & Services

Lone Star Technologies, Inc. 9% 6/1/11

B1

30,000

28,800

Oil & Gas

Chesapeake Energy Corp. 8.125% 4/1/11

B2

540,000

504,900

Chesapeake Energy Corp. 8.5% 3/15/12

B2

90,000

88,200

Cross Timbers Oil Co. 8.75% 11/1/09

B1

120,000

122,400

Cross Timbers Oil Co. 9.25% 4/1/07

B1

65,000

66,950

Nuevo Energy Co. 9.375% 10/1/10

B1

175,000

173,250

Pemex Proj. Funding Master Trust euro 9.125% 10/13/10 (Reg. S)

Baa3

70,000

73,675

Pemex Project Fund Master Trust 8.5% 2/15/08

Baa3

67,000

68,843

Plains Resources, Inc. 10.25% 3/15/06

B2

195,000

200,850

Petroleos Mexicanos 9.25% 3/30/18

Ba2

35,000

36,750

Petroleos Mexicanos 9.5% 9/15/27

Baa3

35,000

37,188

FINANCIALS

Banks

Banco Hipotecario SA 10% 4/17/03 (Reg. S)

B1

20,000

18,600

Banco Nacional de Desenvolvimento Economicoe Social 11.25% 9/20/05

B1

0

0

Banco Nacional de Desenvolvimento Economicoe Social 12.554% 6/16/08

0

0

Depfa Bank AG 4.75% 3/20/03

Aaa

EUR

0

0

Export Credit Bank of Turkey 11.5% 2/25/05 (Reg. S)

B2

20,000

18,200

Hanvit Bank 12.75% 3/1/10

Ba3

15,000

16,125

Hanvit Bank 12.75% 3/1/10 (Reg. S)

B1

15,000

16,125

Diversified Financials

APP International Finance (Mauritius) Ltd. 0% 7/5/01

B3

270,000

16,200

CanWest Media, Inc. 10.625% 5/15/11

B2

60,000

60,750

Cellco Finance NV yankee 12.75% 8/1/05

B3

200,000

160,000

Cellco Finance NV yankee 15% 8/1/05

Caa1

100,000

84,000

ComEd Financing II 8.5% 1/15/27

Baa3

185,000

180,505

Crown Cork & Seal Finance PLC yankee 6.75% 12/15/03

Caa3

50,000

22,250

Crown Cork & Seal Finance PLC yankee 7% 12/15/06

Caa3

10,000

3,900

Crown Cork & Seal Finance SA yankee 6.75% 12/15/03

Caa3

50,000

22,500

Dobson/Sygnet Communications Co. 12.25% 12/15/08

B3

115,000

116,150

Ford Motor Credit Co. 5.625% 2/2/04

A2

EUR

0

0

Ford Motor Credit Co. euro 1.2% 2/7/05

A1

JPY

0

0

KFW International Finance, Inc. euro 1.75% 3/23/10

Aaa

JPY

45,000,000

387,147

KFW International Finance, Inc. euro 10.625% 9/3/01

Aaa

GBP

0

0

Mediacom Broadband LLC/Mediacm Broadband Corp. 11% 7/15/13

B2

130,000

132,600

PTC International Finance BV yankee 0% 7/1/07

B2

305,000

259,250

PTC International Finance II SA yankee 11.25% 12/1/09

B2

230,000

239,200

Punch Taverns Finance PLC euro 7.567% 4/15/26

Baa2

GBP

0

0

Sealed Air Finance euro 5.625% 7/19/06

Baa3

EUR

0

0

SESI LLC 8.875% 5/15/11

B1

250,000

247,500

Real Estate

LNR Property Corp. 10.5% 1/15/09

B1

325,000

325,000

Meditrust Corp. 7.82% 9/10/26

Ba3

195,000

187,200

WCI Communities, Inc. 10.625% 2/15/11

B1

315,000

328,388

HEALTH CARE

Health Care Equipment & Supplies

Boston Scientific Corp. 6.625% 3/15/05

Baa3

60,000

56,700

Health Care Providers & Services

Columbia/HCA Healthcare Corp. 7.15% 3/30/04

Ba1

50,000

49,940

DaVita, Inc. 9.25% 4/15/11

B2

90,000

92,250

Stewart Enterprises, Inc. 10.75% 7/1/08

B2

170,000

175,100

Tenet Healthcare Corp. 8.125% 12/1/08

Ba3

95,000

97,375

Triad Hospitals, Inc. 8.75% 5/1/09

B1

220,000

224,950

Unilab Corp. 12.75% 10/1/09

B3

160,000

185,600

INDUSTRIALS

Aerospace & Defense

Alliant Techsystems, Inc. 8.5% 5/15/11

B2

350,000

353,500

Commercial Services & Supplies

Browning-Ferris Industries, Inc. 7.4% 9/15/35

Ba3

220,000

176,000

Browning-Ferris Industries, Inc. 9.25% 5/1/21

Ba3

250,000

241,250

Iron Mountain, Inc. 8.25% 7/1/11

B2

30,000

29,925

Iron Mountain, Inc. 8.625% 4/1/13

B2

115,000

115,000

Pierce Leahy Command Co. yankee 8.125% 5/15/08

B2

47,000

46,765

Pierce Leahy Corp. 9.125% 7/15/07

B2

65,000

67,275

Machinery

Dunlop Standard Aerospace Holdings PLC yankee 11.875% 5/15/09

B3

60,000

63,600

Marine

Teekay Shipping Corp. 8.875% 7/15/11

Ba2

285,000

289,275

Road & Rail

TFM SA de CV yankee 0% 6/15/09

B1

785,000

667,250

INFORMATION TECHNOLOGY

Communications Equipment

Spectrasite Holdings, Inc. 0% 3/15/10

B3

500,000

200,000

MATERIALS

Chemicals

Avecia Group PLC yankee 11% 7/1/09

B2

250,000

248,750

Huntsman Corp. 9.5% 7/1/07

Caa1

190,000

117,800

IMC Global, Inc. 7.4% 11/1/02

Ba2

50,000

47,375

Containers & Packaging

Applied Extrusion Technologies, Inc. 10.75% 7/1/11

B2

40,000

40,200

Crown Cork & Seal, Inc. 6.75% 4/15/03

Caa3

20,000

9,600

Crown Cork & Seal, Inc. 7.125% 9/1/02

Caa3

110,000

63,250

Crown Cork & Seal, Inc. 7.375% 12/15/26

Caa3

45,000

16,650

Crown Cork & Seal, Inc. 8% 4/15/23

Caa3

20,000

7,400

Crown Cork & Seal, Inc. 8.375% 1/15/05

Caa3

60,000

24,000

Gaylord Container Corp. 9.375% 6/15/07

Caa1

100,000

63,000

Gaylord Container Corp. 9.75% 6/15/07

Caa1

165,000

103,950

Packaging Corp. of America 9.625% 4/1/09

B1

205,000

217,300

Metals & Mining

Century Aluminum Co. 11.75% 4/15/08

Ba3

15,000

15,750

P&L Coal Holdings Corp. 8.875% 5/15/08

Ba3

41,000

42,743

P&L Coal Holdings Corp. 9.625% 5/15/08

B2

24,000

25,200

Phelps Dodge Corp. 8.75% 6/1/11

Baa2

425,000

419,263

Paper & Forest Products

APP China Group Ltd. 14% 3/15/10

Caa3

60,000

3,900

APP China Group Ltd. 14% 3/15/10 (Reg. S)

Caa3

115,000

7,475

Indah Kiat Finance Mauritius Ltd. 10% 7/1/07

Caa1

60,000

12,300

Riverwood International Corp. 10.625% 8/1/07

B3

140,000

143,500

TELECOMMUNICATION SERVICES

Diversified Telecommunication Services

Alestra SA de RL de CV yankee 12.125% 5/15/06

B2

75,000

67,688

Comunicacion Celular SA 14.125% 3/1/05

B3

30,000

27,300

Intermedia Communications, Inc. 0% 3/1/09

B3

165,000

120,450

Intermedia Communications, Inc. 0% 7/15/07

B2

125,000

110,313

Intermedia Communications, Inc. 8.5% 1/15/08

B2

150,000

146,250

Intermedia Communications, Inc. 8.875% 11/1/07

B2

15,000

14,625

McCaw International Ltd. 0% 4/15/07

Caa1

110,000

30,800

Nextel International, Inc. 12.75% 8/1/10

Caa1

95,000

29,450

NTL Communications Corp. 0% 10/1/08

B3

640,000

275,200

NTL Communications Corp. 11.5% 10/1/08

B3

65,000

42,900

Philippine Long Distance Telephone Co. 10.5% 4/15/09

Ba2

20,000

18,600

Telefonos de Mexico SA de CV 8.25% 1/26/06

Baa3

60,000

61,800

Tritel PCS, Inc. 0% 5/15/09

B3

790,000

481,900

Triton PCS, Inc. 0% 5/1/08

B3

815,000

643,850

Wireless Telecommunication Services

Echostar Broadband Corp. 10.375% 10/1/07

B1

635,000

631,825

Grupo Iusacell SA de CV yankee 14.25% 12/1/06

B1

35,000

37,231

Horizon PCS, Inc. 0% 10/1/10

Caa1

120,000

45,600

Millicom International Cellular SA yankee 13.5% 6/1/06

Caa1

240,000

208,800

Nextel Communications, Inc. 0% 9/15/07

B1

20,000

13,600

Nextel Communications, Inc. 0% 2/15/08

B1

855,000

555,750

Nextel Communications, Inc. 12% 11/1/08

B1

90,000

79,200

Occidente Y Caribe Celular SA yankee 14% 3/15/04

B3

40,000

36,400

Orange PLC yankee 9% 6/1/09

A3

160,000

166,400

TeleCorp PCS, Inc. 0% 4/15/09

B3

105,000

65,100

VoiceStream Wireless Corp. 0% 11/15/09

Baa1

1,140,000

934,800

VoiceStream Wireless Corp. 10.375% 11/15/09

Baa1

130,000

148,200

UTILITIES

Electric Utilities

AES Corp. 9.375% 9/15/10

Ba1

330,000

330,000

AES Corp. 9.5% 6/1/09

Ba1

100,000

101,750

CMS Energy Corp. 8.375% 7/1/03

Ba3

120,000

118,800

CMS Energy Corp. 9.875% 10/15/07

Ba3

150,000

156,000

Pacific Gas & Electric Co. 6.75% 10/1/23

B3

50,000

39,500

Pacific Gas & Electric Co. 7.05% 3/1/24

B3

25,000

20,000

Pacific Gas & Electric Co. 7.875% 3/1/02

B3

55,000

50,050

Multi-Utilities

PG&E National Energy Group, Inc. 10.375% 5/16/11

Baa2

290,000

290,000

Foreign Government and Government Agency Obligations

53.0%

Arab Republic of Egypt 7.625% 7/11/06

Ba1

160,000

159,410

Arab Republic of Egypt 8.75% 7/11/11

NR

105,000

104,875

Argentinian Republic 11% 10/9/06

B1

80,000

66,900

Argentinian Republic 11.375% 1/30/17

B1

140,000

104,650

Argentinian Republic 11.75% 5/15/06

B1

135,000

114,075

Argentinian Republic 11.75% 6/15/15

B1

70,000

53,025

Argentinian Republic 12% 6/19/31

B1

300,000

213,750

Argentinian Republic 12.25% 6/19/18

B1

227,884

162,937

Argentinian Republic 12.375% 2/21/12

B1

216,000

170,100

Argentinian Republic 7% 12/19/08

B1

175,000

132,563

Argentinian Republic 8.375% 12/20/03

B1

40,000

34,400

Argentinian Republic 9.75% 9/19/27

B1

185,000

123,025

Argentinian Republic BOCON 5.3738% 4/1/07

B2

64,531

46,069

Argentinian Republic Brady floating rate bond 5.5625% 3/31/05

B2

96,000

78,180

Argentinian Republic Brady par L-GP 6% 3/31/23

B2

140,000

89,600

Argentinian Republic Series BT06, 11.25% 5/24/04

B1

105,000

92,400

Argentinian Republic Series BT07, 11.75% 5/21/03

B1

160,000

144,800

Argentinian Republic Series BT08, 12.125% 5/21/05

B1

165,000

145,200

Brazilian Federative Republic 11% 8/17/40

B1

335,000

248,068

Brazilian Federative Republic 11.25% 7/26/07

B1

115,000

110,975

Brazilian Federative Republic 12.75% 1/15/20

B1

70,000

62,650

Brazilian Federative Republic 14.5% 10/15/09

B1

200,000

207,100

Brazilian Federative Republic 7.625% 4/15/06

B1

40,000

35,600

Brazilian Federative Republic 8.875% 4/15/24

B1

585,000

377,325

Brazilian Federative Republic Brady capitalization bond 8% 4/15/14

B1

145,308

107,709

Brazilian Federative Republic Brady debt conversion bond 5.5% 4/15/12

B1

390,000

276,413

Brazilian Federative Republic Brady par Z-L 6% 4/15/24

B1

150,000

99,750

Brazilian Federative Republic euro 11.625% 4/15/04

B1

120,000

122,160

Bulgarian Republic Brady discount A 7.75% 7/18/24

B2

45,000

35,438

Bulgarian Republic Brady FLIRB A, 3% 7/28/12

B2

274,000

222,283

Bulgarian Republic Brady interest arrears bond 7.75% 7/28/11

B2

0

0

Canadian Government 1.9% 3/23/09

Aa1

JPY

0

0

Canadian Government 10% 5/1/02

Aa1

CAD

490,000

337,715

Canadian Government 7% 12/1/06

Aa1

CAD

1,425,000

996,276

Canadian Government 9% 6/1/25

Aa1

CAD

495,000

441,145

Central Bank of Nigeria Brady 6.25% 11/15/20

NR

250,000

160,625

Central Bank of Nigeria promissory note 5.092% 1/5/10

NR

229,554

154,660

City of St. Petersburg Russia 9.5% 6/18/02 (Reg. S)

Caa1

0

0

Colombian Republic 10.5% 6/13/06

Ba2

15,000

15,450

Colombian Republic 11.75% 2/25/20

Ba2

70,000

67,025

Colombian Republic 7.625% 2/15/07

Ba2

50,000

45,625

Colombian Republic 8.625% 4/1/08

Ba2

70,000

65,275

Colombian Republic 9.75% 4/23/09

Ba2

103,000

98,365

Ecuador Republic 12% 11/15/12

Caa2

7,000

4,918

Ecuador Republic 12% 11/15/12 (Reg. S)

Caa2

235,000

165,088

Ecuador Republic 4% 8/15/30

Caa2

130,000

56,225

Ecuador Republic 4% 8/15/30 (Reg. S)

Caa2

330,000

142,725

European Investment Bank euro 6% 12/7/28

Aaa

GBP

120,000

179,523

French Government OAT 7.25%, 4/25/06

Aaa

EUR

0

0

Germany Federal Republic 3.75% 1/4/09

Aaa

EUR

1,180,000

926,336

Germany Federal Republic 4.5% 3/15/02

Aaa

EUR

0

0

Germany Federal Republic 4.5% 5/17/02

Aaa

EUR

200,000

170,141

Germany Federal Republic 5% 2/17/06

Aaa

EUR

0

0

Germany Federal Republic 5% 8/19/05

Aaa

EUR

0

0

Germany Federal Republic 5.5% 1/4/31

Aaa

EUR

390,000

322,265

Germany Federal Republic 6% 1/4/07

Aaa

EUR

0

0

Germany Federal Republic 8% 7/22/02

Aaa

EUR

450,000

396,466

Germany Federal Republic Series 134, 4.25% 2/18/05

Aaa

EUR

0

0

Germany Federal Republic Series 96, 6.25% 4/26/06

Aaa

EUR

1,300,000

1,183,782

Italian Republic 3.75% 6/8/05

Aa3

JPY

105,000,000

957,746

Italian Republic 6% 11/1/07

Aa3

EUR

0

0

Italian Republic 6% 5/1/31

Aa3

EUR

0

0

Ivory Coast Brady FLIRB A, 1.9% 3/29/18

NR

FRF

275,000

5,699

Ivory Coast FLIRB 2% 3/30/18 (Reg. S)

NR

90,000

14,850

Jamaican Government 11.75% 5/15/11

Ba3

50,000

52,625

Malaysian Government 7.5% 7/15/11

Baa2

55,000

54,240

Oblast Nizhniy Novgorod 8.75% 4/3/05 (Reg. S)

Ca

111,156

81,144

Ontario Province 9% 9/15/04

Aa3

CAD

0

0

Pakistani Republic 10% 12/13/05

Caa1

30,000

23,550

Pakistani Republic 10% 12/13/05 (Reg. S)

Caa1

105,000

82,425

Panamanian Republic 10.75% 5/15/20

Ba1

0

0

Panamanian Republic 8.875% 9/30/27

Ba1

45,000

41,063

Panamanian Republic 9.625% 2/8/11

Ba1

25,000

25,406

Panamanian Republic euro Brady interest reduction bond 4.5% 7/17/14

Ba1

125,000

110,313

Peruvian Republic Brady past due interest 4.5% 3/7/17

Ba3

170,000

117,300

Peruvian Republic euro Brady FLIRB 4% 3/7/17

Ba3

165,000

102,919

Philippine Government 10.625% 3/16/25

Ba1

60,000

54,600

Philippine Government 9.5% 10/21/24

Ba1

60,000

59,025

Philippine Government 9.875% 1/15/19

Ba1

145,000

126,513

Philippine Government 9.875% 3/16/10

Ba1

0

0

Russian Federation 10% 6/26/07

B3

315,000

279,956

Russian Federation 11% 7/24/18 (Reg. S)

B3

160,000

139,400

Russian Federation 11.75% 6/10/03 (Reg. S)

B3

160,000

164,480

Russian Federation 12.75% 6/24/28 (Reg. S)

B3

339,000

335,186

Russian Federation 5% 3/31/30

B3

675,000

319,781

Russian Federation 5% 3/31/30 (Reg. S)

B3

640,000

303,200

Russian Federation 8.25% 3/31/10

B3

55,000

42,350

Russian Federation 8.25% 3/31/10

B3

101,171

77,902

Russian Federation 8.75% 7/24/05 (Reg. S)

B3

190,000

174,563

Russian Federation Ministry of Finance 3% 5/14/08

Caa3

0.00

0

Russian Federation Ministry of Finance 3% 5/14/03

Caa3

0.00

0

Russian Federation Ministry of Finance 3% 5/14/06

Caa3

0.00

0

Spanish Kingdom 5.4% 7/30/11

Aa2

EUR

1,000,000

845,522

Spanish Kingdom 6% 1/31/29

Aa2

EUR

0

0

Treuhandanstalt 7.5% 9/9/04

Aaa

EUR

1,550,000

1,431,580

Turkish Republic 11.75% 6/15/10

B1

206,000

180,250

Turkish Republic 11.875% 1/15/30

B1

110,000

91,850

Turkish Republic 11.875% 11/5/04

B1

30,000

29,775

Turkish Republic 12% 12/15/08

B1

0

0

Turkish Republic 12.375% 6/15/09

B1

215,000

197,263

Ukraine Government 11% 3/15/07 (Reg. S)

Caa1

145,500

112,588

United Kingdom, Great Britain & Northern Irelamd 8% 12/7/15

Aaa

GBP

165,000

296,657

United Kingdom, Great Britain & Northern Ireland 5% 6/7/04

Aaa

GBP

0

0

United Kingdom, Great Britain & Northern Ireland 6.25% 11/25/10

Aaa

GBP

0

0

United Kingdom, Great Britain & Northern Ireland 7.5% 12/7/06

Aaa

GBP

510,000

788,814

United Kingdom, Great Britain & Northern Ireland 8% 12/7/15

Aaa

GBP

0

0

United Kingdom, Great Britain & Northern Ireland 8.75% 8/25/17

Aaa

GBP

160,000

311,264

United Kingdom, Great Britain & Northern Ireland 9.75% 8/27/02

Aaa

GBP

135,000

200,129

United Mexican States 11.375% 9/15/16

Baa3

274,000

330,855

United Mexican States 8.125% 12/30/19

Baa3

470,000

444,150

United Mexican States 8.375% 1/14/11

Baa3

395,000

397,568

Venezuelan Republic 13.625% 8/15/18

B2

50,000

48,625

Venezuelan Republic 13.625% 8/15/18

B2

35,000

34,038

Venezuelan Republic 9.25% 9/15/27

B2

175,000

121,188

Venezuelan Republic euro Brady debt conversion bond 7.875% 12/18/07

B2

154,760

129,128

Venezuelan Republic euro Brady par W-A 6.75% 3/31/20

B2

250,000

188,906

Venezuelan Republic oil recovery rights 4/15/20 (amounts in shares)

ZZ1

1,250

0

Supranational Obligations

International Bank for Reconstruction & Development 2% 2/18/08

Aaa

JPY

50,000,000

438,783

International Bank for Reconstruction & Development 4.75% 12/20/04

Aaa

JPY

0

0

Common Stocks

0.0%

CONSUMER DISCRETIONARY

Media

Shares

NTL, Inc. warrants 10/14/08

56

336

FINANCIALS

Banks

Central Bank of Nigeria warrants 11/15/20

250.00

0

TELECOMMUNICATION SERVICES

Wireless Telecommunication Services

Horizon PCS, Inc. warrants 10/1/10

120

2,400

Preferred Stocks

0.9%

Convertible Preferred Stocks

TELECOMMUNICATION SERVICES

Diversified Telecommunication Services

Earthwatch, Inc. Series C, $0.2975 pay-in-kind

4,093

82

Nonconvertible Preferred Stocks

CONSUMER DISCRETIONARY

Media

CSC Holdings, Inc. Series H, $11.75 pay-in-kind

399

42,593

INFORMATION TECHNOLOGY

Communications Equipment

Crown Castle International Corp. $127.50 pay-in-kind

151

124,575

TELECOMMUNICATION SERVICES

Diversified Telecommunication Services

Broadwing Communications, Inc. Series B, $125.00 pay-in-kind

525

519,750

Intermedia Communications, Inc. Series B, $135.00 pay in kind

1

970

Wireless Telecommunication Services

Dobson Communications Corp. $122.50 pay-in-kind

69

55,890

Dobson Communications Corp. $130.00 pay-in-kind

28

24,640

Nextel Communications, Inc. Series D, $130.00 pay-in-kind

315

189,000

Nextel Communications, Inc. Series E, $111.25 pay-in-kind

452

257,640

Sovereign Loan Participations

0.1%

Principal Amount

Algerian Republic loan participation Series 1 - Deutsche Bank

5.8125% 9/4/06

NR

0

0

Algerian Republic loan participation Series 1 - Merrill Lynch, Pierce,

Fenner & Smith, Inc. 5.8125% 9/4/06

NR

28,269

24,594

Algerian Republic loan participation Series 3 - Merrill Lynch, Pierce,

Fenner & Smith, Inc. 5.8125% 3/4/10

NR

48,458

39,735

U.S. Government and Government Agency Obligations

14.8%

U.S. Government Agency Obligations

Fannie Mae 5.5% 5/2/06

AA-

85,000

84,150

Fannie Mae 6.25% 2/1/11

Aa2

35,000

34,557

Freddie Mac 5.875% 3/21/11

Aa2

20,000

19,191

U.S. Treasury Obligations

U.S. Treasury Bonds 8.875% 8/15/17

Aaa

2,525,000

3,314,467

U.S. Treasury Bonds 9% 11/15/18

Aaa

1,705,000

2,280,710

U.S. Treasury Bonds 11.25% 2/15/15

Aaa

2,370,000

3,586,094

U.S. Treasury Notes 4.25% 5/31/03

Aaa

6,650,000

6,647,925

U.S. Treasury Notes 7% 7/15/06

Aaa

4,600,000

4,989,587

Cash Equivalents

4.6%

Maturity Amount

Investments in repurchase agreements (U.S. Treasury Obligations)

2,399,796.79

2,399,000

Total Investment Portfolio

100.3%

(Cost $73,916,986)

72,551,151

Net Other Assets

-0.3%

542,142

Net Assets

100.0%

73,093,293

Combined

Combined

% of Combined

Portfolio

Moody's Ratings

Principal Amount

Value (Note 1)

Corporate Bonds

Convertible Bonds

0.9%

CONSUMER DISCRETIONARY

Media

Combined

Combined

EchoStar Communications Corp. 4.875% 1/1/07

Caa2

80,000

77,000

EchoStar Communications Corp. 4.875% 1/1/07

Caa1

295,000

283,938

Specialty Retail

Sunglass Hut International, Inc. 5.25% 6/15/03

B3

70,000

65,100

FINANCIALS

Diversified Financials

BP Finance PLC (LUKoil) 3% 2/9/06

AA+

59,000

69,989

HEALTH CARE

Health Care Providers & Services

Renal Treatment Centers, Inc. 5.625% 7/15/06

B2

300,000

305,250

Total Renal Care Holdings 7% 5/15/09

B2

265,000

251,088

INFORMATION TECHNOLOGY

Electronic Equipment & Instruments

Sanmina Corp. 0% 9/12/20

Ba3

520,000

186,550

Semiconductor Equipment & Products

Transwitch Corp. 4.5% 9/12/05

B2

140,000

98,175

Nonconvertible Bonds

26.0%

CONSUMER DISCRETIONARY

Automobiles

General Motors Corp. euro 1.25% 12/20/04

A2

JPY

150,000,000

1,219,532

Auto Components

Oxford Automotive, Inc. 10.125% 6/15/07

Caa1

50,000

30,500

Hotels Restaurants & Leisure

Florida Panthers Holdings, Inc. 9.875% 4/15/09

B2

420,000

428,400

Hilton Hotels Corp. 7.625% 5/15/08

Baa3

250,000

242,141

HMH Properties, Inc. 7.875% 8/1/05

Ba2

230,000

224,250

HMH Properties, Inc. 7.875% 8/1/08

Ba2

125,000

117,500

Horseshoe Gaming LLC 8.625% 5/15/09

B2

260,000

261,300

ITT Corp. 7.375% 11/15/15

Ba1

225,000

205,313

KSL Recreation Group, Inc. 10.25% 5/1/07

B2

125,000

126,250

Mandalay Resort Group 9.5% 8/1/08

Ba2

25,000

26,125

Mandalay Resort Group 10.25% 8/1/07

Ba3

115,000

120,175

MGM Mirage, Inc. 8.5% 9/15/10

Baa3

15,000

15,648

MGM Mirage, Inc. 9.75% 6/1/07

Ba2

285,000

304,238

Premier Parks, Inc. 9.25% 4/1/06

B3

120,000

120,000

Premier Parks, Inc. 9.75% 6/15/07

B3

185,000

187,313

Station Casinos, Inc. 8.375% 2/15/08

Ba3

285,000

286,425

Station Casinos, Inc. 8.875% 12/1/08

B1

130,000

130,975

Sun International Hotels Ltd./Sun

B1

175,000

175,656

Tricon Global Restaurants, Inc. 8.875% 4/15/11

Ba1

160,000

163,200

Venetian Casino Resort LLC/Las Vegas Sands, Inc. 12.25% 11/15/04

Caa1

290,000

310,300

Household Durables

Beazer Homes USA, Inc. 8.625% 5/15/11

Ba3

210,000

208,950

Beazer Homes USA, Inc. 8.875% 4/1/08

Ba3

30,000

30,150

Ryland Group, Inc. 9.125% 6/15/11

B1

110,000

108,900

Sealy Mattress Co. 9.875% 12/15/07

B2

60,000

58,800

Media

Adelphia Communications Corp.: 9.25% 10/1/02

B2

125,000

125,313

Adelphia Communications Corp.: 10.25% 6/15/11

B2

150,000

147,000

Adelphia Communications Corp.: 10.875% 10/1/10

B2

310,000

313,100

AMC Entertainment, Inc. 9.5% 2/1/11

Caa3

155,000

137,950

Callahan Nordrhein Westfalen 0% 7/15/10

B3

60,000

21,000

Century Communications Corp. 0% 1/15/08

B2

260,000

123,500

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 0% 1/15/10

B2

490,000

328,300

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 0% 5/15/11

B2

260,000

148,200

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 10% 5/15/11

B2

140,000

141,400

Charter Communications Holdings LLC/Charter Communications

Holdings Capital Corp. 8.625% 4/1/09

B2

390,000

367,575

Cinemark USA, Inc. 9.625% 8/1/08

Caa2

125,000

107,500

CSC Holdings, Inc. 10.5% 5/15/16

Ba3

75,000

83,250

CSC Holdings, Inc. 9.25% 11/1/05

Ba3

20,000

20,500

CSC Holdings, Inc. 9.875% 2/15/13

Ba3

800,000

854,000

CSC Holdings, Inc. 9.875% 4/1/23

B1

120,000

128,400

CSC Holdings, Inc. 9.875% 5/15/06

Ba3

60,000

62,700

Diamond Cable Communications PLC yankee 11.75% 12/15/05

B2

100,000

67,000

EchoStar DBS Corp. 9.375% 2/1/09

B1

690,000

679,650

Fox Family Worldwide, Inc. 0% 11/1/07

B1

255,000

225,675

Fox/Liberty Networks LLC/FLN Finance, Inc. 0% 8/15/07

Ba1

30,000

28,350

FrontierVision Holdings LP/FrontierVision

B2

55,000

56,238

FrontierVision Holdings LP/FrontierVision

Caa1

50,000

51,250

Lamar Media Corp. 9.25% 8/15/07

B1

156,000

161,070

Lamar Media Corp. 9.625% 12/1/06

B1

75,000

79,125

Nextmedia Operating, Inc. 10.75% 7/1/11

B3

170,000

170,000

NTL, Inc. 0% 4/1/08

B3

30,000

13,800

NTL, Inc. 10% 2/15/07

B2

40,000

26,000

Pegasus Communications Corp. 12.5% 8/1/17

B3

75,000

75,750

Pegasus Communications Corp. 9.625% 10/15/05

B3

40,000

35,600

Pegasus Communications Corp. 9.75% 12/1/06

B3

25,000

22,250

Pegasus Satellite Communication, Inc. 0% 3/1/07

Caa1

320,000

185,600

Pegasus Satellite Communication, Inc. 12.375% 8/1/06

B3

25,000

22,875

Quebecor Media, Inc. 11.125% 7/15/11

B2

320,000

319,200

Radio One, Inc. 8.875% 7/1/11

B3

430,000

430,000

Susquehanna Media Co. 8.5% 5/15/09

B1

20,000

20,300

Telemundo Holdings, Inc. 0% 8/15/08

B3

525,000

404,250

TV Azteca SA de CV euro 10.5% 2/15/07 (Reg. S)

Ba3

50,000

45,750

TV Azteca SA de CV yankee 10.5% 2/15/07

B1

35,000

32,025

Multiline Retail

JCPenney Co., Inc. 6% 5/1/06

Ba2

40,000

33,200

JCPenney Co., Inc. 6.125% 11/15/03

Ba2

15,000

14,250

JCPenney Co., Inc. 6.9% 8/15/26

Ba2

110,000

105,600

JCPenney Co., Inc. 7.375% 6/15/04

Ba2

45,000

42,975

JCPenney Co., Inc. 7.375% 8/15/08

Ba2

15,000

13,350

JCPenney Co., Inc. 7.4% 4/1/37

Ba2

45,000

41,400

JCPenney Co., Inc. 7.6% 4/1/07

Ba2

15,000

13,875

JCPenney Co., Inc. 7.95% 4/1/17

Ba2

25,000

20,250

Textiles & Apparel

St. John Knits International, Inc. 12.5% 7/1/09

B3

10,000

10,000

CONSUMER STAPLES

Food & Drug Retailing

Argyll Group PLC euro 8.125% 10/4/02

BBB+

GBP

250,000

361,445

Rite Aid Corp. 11.25% 7/1/08

Caa2

280,000

282,100

Rite Aid Corp. 6.125% 12/15/08

Caa2

140,000

106,400

Rite Aid Corp. 6.5% 10/1/03

Caa2

30,000

28,500

Rite Aid Corp. 6.875% 8/15/13

Caa2

90,000

66,600

Rite Aid Corp. 7.625% 4/15/05

Caa2

175,000

152,250

Tesco PLC euro 8.75% 2/20/03

Aa3

GBP

500,000

735,982

Food Products

Del Monte Corp. 9.25% 5/15/11

B3

170,000

171,700

Gruma SA de CV yankee 7.625% 10/15/07

Ba2

110,000

96,800

Mastellone Hermanos SA yankee 11.75% 4/1/08

B2

80,000

48,000

ENERGY

Energy Equipment & Services

Lone Star Technologies, Inc. 9% 6/1/11

B1

30,000

28,800

Oil & Gas

Chesapeake Energy Corp. 8.125% 4/1/11

B2

540,000

504,900

Chesapeake Energy Corp. 8.5% 3/15/12

B2

90,000

88,200

Cross Timbers Oil Co. 8.75% 11/1/09

B1

120,000

122,400

Cross Timbers Oil Co. 9.25% 4/1/07

B1

65,000

66,950

Nuevo Energy Co. 9.375% 10/1/10

B1

175,000

173,250

Pemex Proj. Funding Master Trust euro 9.125% 10/13/10 (Reg. S)

Baa3

150,000

157,875

Pemex Project Fund Master Trust 8.5% 2/15/08

Baa3

129,000

132,548

Plains Resources, Inc. 10.25% 3/15/06

B2

195,000

200,850

Petroleos Mexicanos 9.25% 3/30/18

Ba2

70,000

73,500

Petroleos Mexicanos 9.5% 9/15/27

Baa3

70,000

74,375

FINANCIALS

Banks

Banco Hipotecario SA 10% 4/17/03 (Reg. S)

B1

45,000

41,850

Banco Nacional de Desenvolvimento Economicoe Social 11.25% 9/20/05

B1

65,000

64,594

Banco Nacional de Desenvolvimento Economicoe Social 12.554% 6/16/08

210,000

191,888

Depfa Bank AG 4.75% 3/20/03

Aaa

EUR

2,200,000

1,879,400

Export Credit Bank of Turkey 11.5% 2/25/05 (Reg. S)

B2

40,000

36,400

Hanvit Bank 12.75% 3/1/10

Ba3

35,000

37,625

Hanvit Bank 12.75% 3/1/10 (Reg. S)

B1

35,000

37,625

Diversified Financials

APP International Finance (Mauritius) Ltd. 0% 7/5/01

B3

615,000

36,900

CanWest Media, Inc. 10.625% 5/15/11

B2

60,000

60,750

Cellco Finance NV yankee 12.75% 8/1/05

B3

200,000

160,000

Cellco Finance NV yankee 15% 8/1/05

Caa1

100,000

84,000

ComEd Financing II 8.5% 1/15/27

Baa3

185,000

180,505

Crown Cork & Seal Finance PLC yankee 6.75% 12/15/03

Caa3

50,000

22,250

Crown Cork & Seal Finance PLC yankee 7% 12/15/06

Caa3

10,000

3,900

Crown Cork & Seal Finance SA yankee 6.75% 12/15/03

Caa3

50,000

22,500

Dobson/Sygnet Communications Co. 12.25% 12/15/08

B3

115,000

116,150

Ford Motor Credit Co. 5.625% 2/2/04

A2

EUR

500,000

429,930

Ford Motor Credit Co. euro 1.2% 2/7/05

A1

JPY

190,000,000

1,543,217

KFW International Finance, Inc. euro 1.75% 3/23/10

Aaa

JPY

165,000,000

1,419,540

KFW International Finance, Inc. euro 10.625% 9/3/01

Aaa

GBP

250,000

356,491

Mediacom Broadband LLC/Mediacm Broadband Corp. 11% 7/15/13

B2

130,000

132,600

PTC International Finance BV yankee 0% 7/1/07

B2

305,000

259,250

PTC International Finance II SA yankee 11.25% 12/1/09

B2

230,000

239,200

Punch Taverns Finance PLC euro 7.567% 4/15/26

Baa2

GBP

1,000,000

1,324,060

Sealed Air Finance euro 5.625% 7/19/06

Baa3

EUR

750,000

563,603

SESI LLC 8.875% 5/15/11

B1

250,000

247,500

Real Estate

LNR Property Corp. 10.5% 1/15/09

B1

325,000

325,000

Meditrust Corp. 7.82% 9/10/26

Ba3

195,000

187,200

WCI Communities, Inc. 10.625% 2/15/11

B1

315,000

328,388

HEALTH CARE

Health Care Equipment & Supplies

Boston Scientific Corp. 6.625% 3/15/05

Baa3

60,000

56,700

Health Care Providers & Services

Columbia/HCA Healthcare Corp. 7.15% 3/30/04

Ba1

50,000

49,940

DaVita, Inc. 9.25% 4/15/11

B2

90,000

92,250

Stewart Enterprises, Inc. 10.75% 7/1/08

B2

170,000

175,100

Tenet Healthcare Corp. 8.125% 12/1/08

Ba3

95,000

97,375

Triad Hospitals, Inc. 8.75% 5/1/09

B1

220,000

224,950

Unilab Corp. 12.75% 10/1/09

B3

160,000

185,600

INDUSTRIALS

Aerospace & Defense

Alliant Techsystems, Inc. 8.5% 5/15/11

B2

350,000

353,500

Commercial Services & Supplies

Browning-Ferris Industries, Inc. 7.4% 9/15/35

Ba3

220,000

176,000

Browning-Ferris Industries, Inc. 9.25% 5/1/21

Ba3

250,000

241,250

Iron Mountain, Inc. 8.25% 7/1/11

B2

30,000

29,925

Iron Mountain, Inc. 8.625% 4/1/13

B2

115,000

115,000

Pierce Leahy Command Co. yankee 8.125% 5/15/08

B2

47,000

46,765

Pierce Leahy Corp. 9.125% 7/15/07

B2

65,000

67,275

Machinery

Dunlop Standard Aerospace Holdings PLC yankee 11.875% 5/15/09

B3

60,000

63,600

Marine

Teekay Shipping Corp. 8.875% 7/15/11

Ba2

285,000

289,275

Road & Rail

TFM SA de CV yankee 0% 6/15/09

B1

835,000

709,750

INFORMATION TECHNOLOGY

Communications Equipment

Spectrasite Holdings, Inc. 0% 3/15/10

B3

500,000

200,000

MATERIALS

Chemicals

Avecia Group PLC yankee 11% 7/1/09

B2

250,000

248,750

Huntsman Corp. 9.5% 7/1/07

Caa1

190,000

117,800

IMC Global, Inc. 7.4% 11/1/02

Ba2

50,000

47,375

Containers & Packaging

Applied Extrusion Technologies, Inc. 10.75% 7/1/11

B2

40,000

40,200

Crown Cork & Seal, Inc. 6.75% 4/15/03

Caa3

20,000

9,600

Crown Cork & Seal, Inc. 7.125% 9/1/02

Caa3

110,000

63,250

Crown Cork & Seal, Inc. 7.375% 12/15/26

Caa3

45,000

16,650

Crown Cork & Seal, Inc. 8% 4/15/23

Caa3

20,000

7,400

Crown Cork & Seal, Inc. 8.375% 1/15/05

Caa3

60,000

24,000

Gaylord Container Corp. 9.375% 6/15/07

Caa1

100,000

63,000

Gaylord Container Corp. 9.75% 6/15/07

Caa1

165,000

103,950

Packaging Corp. of America 9.625% 4/1/09

B1

205,000

217,300

Metals & Mining

Century Aluminum Co. 11.75% 4/15/08

Ba3

15,000

15,750

P&L Coal Holdings Corp. 8.875% 5/15/08

Ba3

41,000

42,743

P&L Coal Holdings Corp. 9.625% 5/15/08

B2

24,000

25,200

Phelps Dodge Corp. 8.75% 6/1/11

Baa2

425,000

419,263

Paper & Forest Products

APP China Group Ltd. 14% 3/15/10

Caa3

135,000

8,775

APP China Group Ltd. 14% 3/15/10 (Reg. S)

Caa3

250,000

16,250

Indah Kiat Finance Mauritius Ltd. 10% 7/1/07

Caa1

120,000

24,600

Riverwood International Corp. 10.625% 8/1/07

B3

140,000

143,500

TELECOMMUNICATION SERVICES

Diversified Telecommunication Services

Alestra SA de RL de CV yankee 12.125% 5/15/06

B2

150,000

135,375

Comunicacion Celular SA 14.125% 3/1/05

B3

60,000

54,600

Intermedia Communications, Inc. 0% 3/1/09

B3

165,000

120,450

Intermedia Communications, Inc. 0% 7/15/07

B2

125,000

110,313

Intermedia Communications, Inc. 8.5% 1/15/08

B2

150,000

146,250

Intermedia Communications, Inc. 8.875% 11/1/07

B2

15,000

14,625

McCaw International Ltd. 0% 4/15/07

Caa1

110,000

30,800

Nextel International, Inc. 12.75% 8/1/10

Caa1

95,000

29,450

NTL Communications Corp. 0% 10/1/08

B3

640,000

275,200

NTL Communications Corp. 11.5% 10/1/08

B3

65,000

42,900

Philippine Long Distance Telephone Co. 10.5% 4/15/09

Ba2

40,000

37,200

Telefonos de Mexico SA de CV 8.25% 1/26/06

Baa3

130,000

133,900

Tritel PCS, Inc. 0% 5/15/09

B3

790,000

481,900

Triton PCS, Inc. 0% 5/1/08

B3

815,000

643,850

Wireless Telecommunication Services

Echostar Broadband Corp. 10.375% 10/1/07

B1

635,000

631,825

Grupo Iusacell SA de CV yankee 14.25% 12/1/06

B1

80,000

85,100

Horizon PCS, Inc. 0% 10/1/10

Caa1

120,000

45,600

Millicom International Cellular SA yankee 13.5% 6/1/06

Caa1

240,000

208,800

Nextel Communications, Inc. 0% 9/15/07

B1

20,000

13,600

Nextel Communications, Inc. 0% 2/15/08

B1

855,000

555,750

Nextel Communications, Inc. 12% 11/1/08

B1

90,000

79,200

Occidente Y Caribe Celular SA yankee 14% 3/15/04

B3

80,000

72,800

Orange PLC yankee 9% 6/1/09

A3

160,000

166,400

TeleCorp PCS, Inc. 0% 4/15/09

B3

105,000

65,100

VoiceStream Wireless Corp. 0% 11/15/09

Baa1

1,140,000

934,800

VoiceStream Wireless Corp. 10.375% 11/15/09

Baa1

130,000

148,200

UTILITIES

Electric Utilities

AES Corp. 9.375% 9/15/10

Ba1

330,000

330,000

AES Corp. 9.5% 6/1/09

Ba1

100,000

101,750

CMS Energy Corp. 8.375% 7/1/03

Ba3

120,000

118,800

CMS Energy Corp. 9.875% 10/15/07

Ba3

150,000

156,000

Pacific Gas & Electric Co. 6.75% 10/1/23

B3

50,000

39,500

Pacific Gas & Electric Co. 7.05% 3/1/24

B3

25,000

20,000

Pacific Gas & Electric Co. 7.875% 3/1/02

B3

55,000

50,050

Multi-Utilities

PG&E National Energy Group, Inc. 10.375% 5/16/11

Baa2

290,000

290,000

Foreign Government and Government Agency Obligations

53.0%

Arab Republic of Egypt 7.625% 7/11/06

Ba1

365,000

363,653

Arab Republic of Egypt 8.75% 7/11/11

NR

245,000

244,708

Argentinian Republic 11% 10/9/06

B1

175,000

146,344

Argentinian Republic 11.375% 1/30/17

B1

300,000

224,250

Argentinian Republic 11.75% 5/15/06

B1

280,000

236,600

Argentinian Republic 11.75% 6/15/15

B1

149,000

112,868

Argentinian Republic 12% 6/19/31

B1

640,000

456,000

Argentinian Republic 12.25% 6/19/18

B1

545,238

389,845

Argentinian Republic 12.375% 2/21/12

B1

468,000

368,550

Argentinian Republic 7% 12/19/08

B1

370,000

280,275

Argentinian Republic 8.375% 12/20/03

B1

85,000

73,100

Argentinian Republic 9.75% 9/19/27

B1

395,000

262,675

Argentinian Republic BOCON 5.3738% 4/1/07

B2

136,656

97,560

Argentinian Republic Brady floating rate bond 5.5625% 3/31/05

B2

211,200

171,996

Argentinian Republic Brady par L-GP 6% 3/31/23

B2

310,000

198,400

Argentinian Republic Series BT06, 11.25% 5/24/04

B1

220,000

193,600

Argentinian Republic Series BT07, 11.75% 5/21/03

B1

340,000

307,700

Argentinian Republic Series BT08, 12.125% 5/21/05

B1

340,000

299,200

Brazilian Federative Republic 11% 8/17/40

B1

695,000

514,648

Brazilian Federative Republic 11.25% 7/26/07

B1

255,000

246,075

Brazilian Federative Republic 12.75% 1/15/20

B1

145,000

129,775

Brazilian Federative Republic 14.5% 10/15/09

B1

425,000

440,088

Brazilian Federative Republic 7.625% 4/15/06

B1

92,000

81,880

Brazilian Federative Republic 8.875% 4/15/24

B1

1,225,000

790,125

Brazilian Federative Republic Brady capitalization bond 8% 4/15/14

B1

264,754

196,249

Brazilian Federative Republic Brady debt conversion bond 5.5% 4/15/12

B1

815,000

577,631

Brazilian Federative Republic Brady par Z-L 6% 4/15/24

B1

310,000

206,150

Brazilian Federative Republic euro 11.625% 4/15/04

B1

275,000

279,950

Bulgarian Republic Brady discount A 7.75% 7/18/24

B2

95,000

74,813

Bulgarian Republic Brady FLIRB A, 3% 7/28/12

B2

574,000

465,658

Bulgarian Republic Brady interest arrears bond 7.75% 7/28/11

B2

50,000

39,375

Canadian Government 1.9% 3/23/09

Aa1

JPY

80,000,000

698,525

Canadian Government 10% 5/1/02

Aa1

CAD

2,740,000

1,888,446

Canadian Government 7% 12/1/06

Aa1

CAD

2,875,000

2,010,031

Canadian Government 9% 6/1/25

Aa1

CAD

3,945,000

3,515,792

Central Bank of Nigeria Brady 6.25% 11/15/20

NR

500,000

321,250

Central Bank of Nigeria promissory note 5.092% 1/5/10

NR

503,591

339,290

City of St. Petersburg Russia 9.5% 6/18/02 (Reg. S)

Caa1

57,000

57,285

Colombian Republic 10.5% 6/13/06

Ba2

35,000

36,050

Colombian Republic 11.75% 2/25/20

Ba2

230,000

220,225

Colombian Republic 7.625% 2/15/07

Ba2

100,000

91,250

Colombian Republic 8.625% 4/1/08

Ba2

150,000

139,875

Colombian Republic 9.75% 4/23/09

Ba2

216,000

206,280

Ecuador Republic 12% 11/15/12

Caa2

63,000

44,258

Ecuador Republic 12% 11/15/12 (Reg. S)

Caa2

445,000

312,613

Ecuador Republic 4% 8/15/30

Caa2

309,000

133,643

Ecuador Republic 4% 8/15/30 (Reg. S)

Caa2

735,000

317,888

European Investment Bank euro 6% 12/7/28

Aaa

GBP

720,000

1,077,138

French Government OAT 7.25%, 4/25/06

Aaa

EUR

4,000,000

3,767,466

Germany Federal Republic 3.75% 1/4/09

Aaa

EUR

3,480,000

2,731,906

Germany Federal Republic 4.5% 3/15/02

Aaa

EUR

2,800,000

2,381,021

Germany Federal Republic 4.5% 5/17/02

Aaa

EUR

200,000

170,141

Germany Federal Republic 5% 2/17/06

Aaa

EUR

500,000

431,512

Germany Federal Republic 5% 8/19/05

Aaa

EUR

1,000,000

863,362

Germany Federal Republic 5.5% 1/4/31

Aaa

EUR

990,000

818,058

Germany Federal Republic 6% 1/4/07

Aaa

EUR

200,000

180,676

Germany Federal Republic 8% 7/22/02

Aaa

EUR

450,000

396,466

Germany Federal Republic Series 134, 4.25% 2/18/05

Aaa

EUR

2,200,000

1,854,728

Germany Federal Republic Series 96, 6.25% 4/26/06

Aaa

EUR

4,750,000

4,325,356

Italian Republic 3.75% 6/8/05

Aa3

JPY

205,000,000

1,869,885

Italian Republic 6% 11/1/07

Aa3

EUR

1,900,000

1,697,373

Italian Republic 6% 5/1/31

Aa3

EUR

670,000

569,004

Ivory Coast Brady FLIRB A, 1.9% 3/29/18

NR

FRF

930,000

19,275

Ivory Coast FLIRB 2% 3/30/18 (Reg. S)

NR

180,000

29,700

Jamaican Government 11.75% 5/15/11

Ba3

100,000

105,250

Malaysian Government 7.5% 7/15/11

Baa2

120,000

118,343

Oblast Nizhniy Novgorod 8.75% 4/3/05 (Reg. S)

Ca

222,312

162,288

Ontario Province 9% 9/15/04

Aa3

CAD

4,000,000

2,899,049

Pakistani Republic 10% 12/13/05

Caa1

75,000

58,875

Pakistani Republic 10% 12/13/05 (Reg. S)

Caa1

205,000

160,925

Panamanian Republic 10.75% 5/15/20

Ba1

45,000

47,700

Panamanian Republic 8.875% 9/30/27

Ba1

100,000

91,250

Panamanian Republic 9.625% 2/8/11

Ba1

60,000

60,975

Panamanian Republic euro Brady interest reduction bond 4.5% 7/17/14

Ba1

265,000

233,863

Peruvian Republic Brady past due interest 4.5% 3/7/17

Ba3

365,000

251,850

Peruvian Republic euro Brady FLIRB 4% 3/7/17

Ba3

355,000

221,431

Philippine Government 10.625% 3/16/25

Ba1

125,000

113,750

Philippine Government 9.5% 10/21/24

Ba1

155,000

152,481

Philippine Government 9.875% 1/15/19

Ba1

305,000

266,113

Philippine Government 9.875% 3/16/10

Ba1

35,000

34,388

Russian Federation 10% 6/26/07

B3

682,000

606,128

Russian Federation 11% 7/24/18 (Reg. S)

B3

344,000

299,710

Russian Federation 11.75% 6/10/03 (Reg. S)

B3

336,000

345,408

Russian Federation 12.75% 6/24/28 (Reg. S)

B3

735,000

726,731

Russian Federation 5% 3/31/30

B3

1,586,875

751,782

Russian Federation 5% 3/31/30 (Reg. S)

B3

1,535,000

727,206

Russian Federation 8.25% 3/31/10

B3

110,000

84,700

Russian Federation 8.25% 3/31/10

B3

233,664

179,921

Russian Federation 8.75% 7/24/05 (Reg. S)

B3

395,000

362,906

Russian Federation Ministry of Finance 3% 5/14/08

Caa3

45,000

23,006

Russian Federation Ministry of Finance 3% 5/14/03

Caa3

40,000

32,950

Russian Federation Ministry of Finance 3% 5/14/06

Caa3

40,000

24,700

Spanish Kingdom 5.4% 7/30/11

Aa2

EUR

4,250,000

3,593,468

Spanish Kingdom 6% 1/31/29

Aa2

EUR

2,350,000

2,010,536

Treuhandanstalt 7.5% 9/9/04

Aaa

EUR

3,050,000

2,816,980

Turkish Republic 11.75% 6/15/10

B1

437,000

382,375

Turkish Republic 11.875% 1/15/30

B1

265,000

221,275

Turkish Republic 11.875% 11/5/04

B1

65,000

64,513

Turkish Republic 12% 12/15/08

B1

70,000

70,525

Turkish Republic 12.375% 6/15/09

B1

450,000

412,875

Ukraine Government 11% 3/15/07 (Reg. S)

Caa1

338,530

261,955

United Kingdom, Great Britain & Northern Irelamd 8% 12/7/15

Aaa

GBP

165,000

296,657

United Kingdom, Great Britain & Northern Ireland 5% 6/7/04

Aaa

GBP

300,000

418,703

United Kingdom, Great Britain & Northern Ireland 6.25% 11/25/10

Aaa

GBP

310,000

468,243

United Kingdom, Great Britain & Northern Ireland 7.5% 12/7/06

Aaa

GBP

2,120,000

3,278,992

United Kingdom, Great Britain & Northern Ireland 8% 12/7/15

Aaa

GBP

460,000

827,043

United Kingdom, Great Britain & Northern Ireland 8.75% 8/25/17

Aaa

GBP

640,000

1,245,055

United Kingdom, Great Britain & Northern Ireland 9.75% 8/27/02

Aaa

GBP

135,000

200,129

United Mexican States 11.375% 9/15/16

Baa3

583,000

703,973

United Mexican States 8.125% 12/30/19

Baa3

1,000,000

945,000

United Mexican States 8.375% 1/14/11

Baa3

885,000

890,753

Venezuelan Republic 13.625% 8/15/18

B2

110,000

106,975

Venezuelan Republic 13.625% 8/15/18

B2

85,000

82,663

Venezuelan Republic 9.25% 9/15/27

B2

378,000

261,765

Venezuelan Republic euro Brady debt conversion bond 7.875% 12/18/07

B2

309,520

258,256

Venezuelan Republic euro Brady par W-A 6.75% 3/31/20

B2

500,000

377,813

Venezuelan Republic oil recovery rights 4/15/20 (amounts in shares)

ZZ1

2,500

0

Supranational Obligations

International Bank for Reconstruction & Development 2% 2/18/08

Aaa

JPY

230,000,000

2,018,401

International Bank for Reconstruction & Development 4.75% 12/20/04

Aaa

JPY

200,000,000

1,856,251

Common Stocks

0.0%

CONSUMER DISCRETIONARY

Media

NTL, Inc. warrants 10/14/08

56

336

FINANCIALS

Banks

Central Bank of Nigeria warrants 11/15/20

500

0

TELECOMMUNICATION SERVICES

Wireless Telecommunication Services

Horizon PCS, Inc. warrants 10/1/10

120

2,400

Preferred Stocks

0.9%

Convertible Preferred Stocks

TELECOMMUNICATION SERVICES

Diversified Telecommunication Services

Earthwatch, Inc. Series C, $0.2975 pay-in-kind

4,093

82

Nonconvertible Preferred Stocks

CONSUMER DISCRETIONARY

Media

CSC Holdings, Inc. Series H, $11.75 pay-in-kind

399

42,593

INFORMATION TECHNOLOGY

Communications Equipment

Crown Castle International Corp. $127.50 pay-in-kind

151

124,575

TELECOMMUNICATION SERVICES

Diversified Telecommunication Services

Broadwing Communications, Inc. Series B, $125.00 pay-in-kind

525

519,750

Intermedia Communications, Inc. Series B, $135.00 pay in kind

1

970

Wireless Telecommunication Services

0

0

Dobson Communications Corp. $122.50 pay-in-kind

69

55,890

Dobson Communications Corp. $130.00 pay-in-kind

28

24,640

Nextel Communications, Inc. Series D, $130.00 pay-in-kind

315

189,000

Nextel Communications, Inc. Series E, $111.25 pay-in-kind

452

257,640

Sovereign Loan Participations

0.1%

Principal Amount

Algerian Republic loan participation Series 1 - Deutsche Bank

5.8125% 9/4/06

NR

12,692

11,042

Algerian Republic loan participation Series 1 - Merrill Lynch, Pierce,

Fenner & Smith, Inc. 5.8125% 9/4/06

NR

44,038

38,313

Algerian Republic loan participation Series 3 - Merrill Lynch, Pierce,

Fenner & Smith, Inc. 5.8125% 3/4/10

NR

93,469

76,643

U.S. Government and Government Agency Obligations

14.8%

U.S. Government Agency Obligations

Fannie Mae 5.5% 5/2/06

AA-

85,000

84,150

Fannie Mae 6.25% 2/1/11

Aa2

35,000

34,557

Freddie Mac 5.875% 3/21/11

Aa2

20,000

19,191

U.S. Treasury Obligations

0

U.S. Treasury Bonds 8.875% 8/15/17

Aaa

2,525,000

3,314,467

U.S. Treasury Bonds 9% 11/15/18

Aaa

1,705,000

2,280,710

U.S. Treasury Bonds 11.25% 2/15/15

Aaa

2,370,000

3,586,094

U.S. Treasury Notes 4.25% 5/31/03

Aaa

6,650,000

6,647,925

U.S. Treasury Notes 7% 7/15/06

Aaa

4,600,000

4,989,587

0

Cash Equivalents

4.6%

Maturity Amount

0

Investments in repurchase agreements (U.S. Treasury Obligations)

6,532,169

6,530,000

Total Investment Portfolio

100.3%

(Cost $149,293,993)

142,231,821

Net Other Assets

-0.3%

-322,254

Net Assets

100.0%

141,909,567

Fidelity Int'l Bond Portfolio: Fidelity Strategic Income

Pro Forma Combining Statement of Operations

12 the Months Ended June 30, 2001

(Unaudited)

Int'l Bond

Strategic Income

Portfolio

Portfolio

Combined

Investment Income

Dividends

$

-

$

223,712

$

223,712

Interest

4,283,361

5,428,358

9,711,719

Total Income

4,283,361

5,652,070

9,935,431

Expenses

Management fee

442,950

387,060

830,010

Transfer agent fees

175,619

84,472

260,091

Accounting fees and expenses

61,522

61,105

122,627

Non-interested trustees' compensation

262

228

490

Custodian fees and expenses

30,097

23,207

53,304

Registration fees

29,114

38,280

67,394

Audit

51,561

41,441

93,002

Legal

1,877

1,116

2,993

Interest

-

21

21

Miscellaneous

540

190

730

Total expenses before reductions

793,542

637,120

1,430,662

Expense reductions

(3,993)

(2,058)

(6,051)

Total expenses

789,549

635,062

1,424,611

Net investment income

3,493,812

5,017,008

8,510,820

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

(41,333)

(1,112,308)

(1,253,641)

Foreign curreny transactions

(44,426)

(53,962)

(98,388)

(185,759)

(1,166,270)

(1,352,029)

Change in net unrealized appreciation

(depreciation) on:

Investment securities

(4,232,722)

(540,536)

(4,773,258)

Assets and liabilities in foreign currencies

(39,583)

7,377

(32,206)

(4,272,305)

(533,159)

(4,805,464)

Net gain (loss)

(4,458,064)

(1,699,429)

(6,157,493)

Net increase (decrease) in net

assets resulting from operations

$

(964,252)

$

3,317,579

$

2,353,327

See accompanying notes which are an integral part of the financial statements

Fidelity Int'l Bond Portfolio: Fidelity Strategic Income

Pro Forma Combining Statement of Operations

12 the Months Ended June 30, 2001

(Unaudited)

Pro Forma

Pro Forma

Adjustments

Combined

Investment Income

Dividends

$

-

$

223,712

Interest

-

9,711,719

Total Income

-

9,935,431

Expenses

Management fee

(65,113)

b

764,897

Transfer agent fees

(4,856)

b

255,235

Accounting fees and expenses

(40,858)

b

81,769

Non-interested trustees' compensation

-

490

Custodian fees and expenses

(7,443)

c

45,861

Registration fees

(8,507)

c

58,887

Audit

(58,002)

c

35,000

Legal

-

2,993

Interest

-

21

Miscellaneous

(354)

c

376

Total expenses before reductions

(185,133)

1,245,529

Expense reductions

-

(6,051)

Total expenses

(185,133)

1,239,478

Net investment income

185,133

8,695,953

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

-

(1,253,641)

Foreign curreny transactions

-

(98,388)

-

(1,352,029)

Change in net unrealized appreciation

(depreciation) on:

Investment securities

-

(4,773,258)

Assets and liabilities in foreign currencies

-

(32,206)

-

(4,805,464)

Net gain (loss)

-

(6,157,493)

Net increase (decrease) in net

assets resulting from operations

$

185,133

$

2,538,460

See accompanying notes which are an integral part of the financial statements