Edgar Filing: ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND INC

AllianceBernstein Global High Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-07732

ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND, INC.

(Exact name of registrant as specified in charter)

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: March 31, 2016

Date of reporting period: December 31, 2015

ITEM 1.

SCHEDULE OF INVESTMENTS.

AB Global High Income Fund

Portfolio of Investments

December 31, 2015 (unaudited)


Company		Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE - 52.1%
Industrial - 43.3%
Basic - 2.7%
AK Steel Corp.
7.625%, 10/01/21	U.S.$		556	$	222,400
Aleris International, Inc.
7.625%, 2/15/18			382		324,700
7.875%, 11/01/20			664		505,968
ArcelorMittal
6.125%, 6/01/18-6/01/25			824		614,835
8.00%, 10/15/39			1,781		1,215,532
Ashland, Inc.
4.75%, 8/15/22			501		487,223
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B
7.375%, 5/01/21 (a)			656		691,670
Cliffs Natural Resources, Inc.
5.95%, 1/15/18			187		49,555
8.25%, 3/31/20 (a)(b)			1,111		847,137
Commercial Metals Co.
6.50%, 7/15/17			1,927		1,996,854
Consolidated Energy Finance SA
6.75%, 10/15/19 (a)			2,100		2,007,495
Constellium NV
5.75%, 5/15/24 (a)			400		272,000
FMG Resources (August 2006) Pty Ltd. (FMG America Finance, Inc.)
9.75%, 3/01/22 (a)(b)			256		234,240
Ineos Finance PLC
4.00%, 5/01/23 (a)	EUR		790		819,899
INEOS Group Holdings SA
5.75%, 2/15/19 (a)			322		349,933
5.875%, 2/15/19 (a)(b)	U.S.$		1,643		1,593,710
Joseph T. Ryerson & Son, Inc.
9.00%, 10/15/17			2,709		2,085,930
Lundin Mining Corp.
7.50%, 11/01/20 (a)			396		371,250
7.875%, 11/01/22 (a)			837		770,040
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (c)(d)			2,857		285,700
Momentive Performance Materials, Inc.
3.88%, 10/24/21			1,772		1,222,680
8.875%, 10/15/20 (e)(f)(g)			1,772		0	^
Novacap International SAS
4.932%, 5/01/19 (a)(h)	EUR		329		359,328
Novelis, Inc.
8.375%, 12/15/17	U.S.$		380		369,550
8.75%, 12/15/20 (b)			1,663		1,525,802
Peabody Energy Corp.
6.00%, 11/15/18			3,891		719,835
PQ Corp.
8.75%, 11/01/18 (a)			1,792		1,738,240


Company		Principal Amount (000)		U.S. $ Value
Smurfit Kappa Acquisitions
4.875%, 9/15/18 (a)			2,064		2,125,920
Smurfit Kappa Treasury Funding Ltd.
7.50%, 11/20/25			238		274,295
SPCM SA
6.00%, 1/15/22 (a)			400		407,000
Steel Dynamics, Inc.
5.25%, 4/15/23			587		535,638
6.125%, 8/15/19			225		226,688
6.375%, 8/15/22			1,266		1,215,360
Synlab Unsecured Bondco PLC
8.25%, 7/01/23 (a)	EUR		400		439,047
Teck Resources Ltd.
2.50%, 2/01/18	U.S.$		40		30,400
5.20%, 3/01/42			307		128,940
5.40%, 2/01/43			394		165,480
6.25%, 7/15/41			238		104,720
Thompson Creek Metals Co., Inc.
7.375%, 6/01/18			1,919		364,610
9.75%, 12/01/17			876		753,360
Univar USA, Inc.
6.75%, 7/15/23 (a)			379		345,838
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (a)			386		389,860

					29,188,662

Capital Goods - 3.8%
Accudyne Industries Borrower/Accudyne Industries LLC
7.75%, 12/15/20 (a)			1,194		859,680
American Builders & Contractors Supply Co., Inc.
5.75%, 12/15/23 (a)			560		564,200
Apex Tool Group LLC
7.00%, 2/01/21 (a)			1,225		943,250
Ardagh Finance Holdings SA
8.625%, 6/15/19 (a)(i)			405		398,820
Ardagh Packaging Finance PLC
9.25%, 10/15/20 (a)	EUR		827		939,240
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
6.00%, 6/30/21 (a)(b)	U.S.$		2,680		2,499,100
Ashtead Capital, Inc.
5.625%, 10/01/24 (a)			456		461,700
Berry Plastics Corp.
5.125%, 7/15/23			206		200,335
5.50%, 5/15/22			1,381		1,375,821
6.00%, 10/15/22 (a)			233		237,078
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issuer
6.00%, 6/15/17 (a)			593		573,728
Bombardier, Inc.
5.75%, 3/15/22 (a)			1,250		871,875


Company		Principal Amount (000)		U.S. $ Value
6.00%, 10/15/22 (a)			457		320,357
6.125%, 1/15/23 (a)			302		208,380
7.50%, 3/15/25 (a)			418		292,600
7.75%, 3/15/20 (a)			1,266		1,022,295
Building Materials Corp. of America
6.00%, 10/15/25 (a)			977		1,006,310
EnerSys
5.00%, 4/30/23 (a)			716		712,420
EnPro Industries, Inc.
5.875%, 9/15/22			970		960,300
Gardner Denver, Inc.
6.875%, 8/15/21 (a)			1,158		885,870
HD Supply, Inc.
7.50%, 7/15/20 (b)			1,814		1,886,560
11.50%, 7/15/20			400		443,000
KLX, Inc.
5.875%, 12/01/22 (a)			861		817,950
KraussMaffei Group GmbH
8.75%, 12/15/20 (a)	EUR		182		212,594
Manitowoc Co., Inc. (The)
5.875%, 10/15/22	U.S.$		194		200,305
8.50%, 11/01/20			1,118		1,157,130
Masco Corp.
5.95%, 3/15/22			405		437,400
6.125%, 10/03/16			1,825		1,879,713
Milacron LLC/Mcron Finance Corp.
7.75%, 2/15/21 (a)			794		740,405
Moog, Inc.
5.25%, 12/01/22 (a)			396		399,960
Oshkosh Corp.
5.375%, 3/01/22			210		210,000
Owens-Brockway Glass Container, Inc.
5.875%, 8/15/23 (a)			1,072		1,088,080
Pactiv LLC
7.95%, 12/15/25			1,482		1,378,260
Plastipak Holdings, Inc.
6.50%, 10/01/21 (a)			846		816,390
Rexam PLC
6.75%, 6/29/67 (a)	EUR		1,725		1,881,936
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
8.50%, 5/15/18	U.S.$		620		613,025
9.875%, 8/15/19			1,762		1,775,215
Sealed Air Corp.
4.875%, 12/01/22 (a)			213		213,533
5.50%, 9/15/25 (a)			810		826,200
6.875%, 7/15/33 (a)			1,295		1,324,137
SIG Combibloc Holdings SCA
7.75%, 2/15/23 (a)	EUR		682		772,663
Terex Corp.
6.00%, 5/15/21	U.S.$		639		587,880
Textron Financial Corp.
6.00%, 2/15/67 (a)			575		408,250
TransDigm, Inc.


Company		Principal Amount (000)		U.S. $ Value
6.00%, 7/15/22			1,400		1,368,500
6.50%, 7/15/24			462		459,459
United Rentals North America, Inc.
5.50%, 7/15/25			789		765,330
5.75%, 11/15/24			2,058		2,037,420

					40,034,654

Communications - Media - 5.9%
Altice Financing SA
6.625%, 2/15/23 (a)			2,422		2,391,725
Altice US Finance II Corp.
7.75%, 7/15/25 (a)			861		787,815
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (a)	GBP		1,550		2,467,811
CCO Holdings LLC/CCO Holdings Capital Corp.
5.375%, 5/01/25 (a)	U.S.$		128		127,360
5.75%, 1/15/24 (b)			545		559,988
5.875%, 5/01/27 (a)			766		762,170
6.50%, 4/30/21			195		202,800
CCOH Safari LLC
5.75%, 2/15/26 (a)			570		571,425
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.125%, 12/15/21 (a)			1,891		1,701,900
6.375%, 9/15/20 (a)			832		813,280
Clear Channel Worldwide Holdings, Inc.
6.50%, 11/15/22			555		535,575
Series B
6.50%, 11/15/22			1,560		1,521,000
7.625%, 3/15/20			333		307,609
CSC Holdings LLC
5.25%, 6/01/24 (b)			2,467		2,164,792
DISH DBS Corp.
5.875%, 11/15/24			3,394		3,020,660
Hughes Satellite Systems Corp.
7.625%, 6/15/21			2,323		2,462,380
iHeartCommunications, Inc.
6.875%, 6/15/18			2,299		1,356,410
9.00%, 12/15/19			407		297,110
10.00%, 1/15/18			944		358,720
14.00% (12.00% Cash and 2.00% PIK), 2/01/21 (i)			595		162,096
Intelsat Jackson Holdings SA
5.50%, 8/01/23			1,330		1,044,050
LGE HoldCo VI BV
7.125%, 5/15/24 (a)	EUR		968		1,136,342
Liberty Interactive LLC
3.75%, 2/15/30 (j)	U.S.$		885		491,033
McClatchy Co. (The)
9.00%, 12/15/22 (b)			958		852,620
Mediacom Broadband LLC/Mediacom Broadband Corp.
6.375%, 4/01/23			1,845		1,803,487
Neptune Finco Corp.


Company		Principal Amount (000)		U.S. $ Value
6.625%, 10/15/25 (a)			789		818,587
10.125%, 1/15/23 (a)			565		589,719
10.875%, 10/15/25 (a)			565		591,838
Nexstar Broadcasting, Inc.
6.875%, 11/15/20			1,099		1,123,727
Nielsen Finance LLC/Nielsen Finance Co.
5.00%, 4/15/22 (a)			883		871,962
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.25%, 2/15/22			648		662,580
5.875%, 3/15/25			557		565,355
Radio One, Inc.
7.375%, 4/15/22 (a)			1,400		1,246,000
9.25%, 2/15/20 (a)			1,761		1,391,190
RR Donnelley & Sons Co.
7.25%, 5/15/18			1,268		1,331,400
Sinclair Television Group, Inc.
5.375%, 4/01/21			750		751,875
5.625%, 8/01/24 (a)			1,500		1,458,750
6.125%, 10/01/22			2,187		2,230,740
Sirius XM Radio, Inc.
6.00%, 7/15/24 (a)			2,095		2,189,275
TEGNA, Inc.
4.875%, 9/15/21 (a)			284		284,710
5.50%, 9/15/24 (a)			162		162,000
6.375%, 10/15/23			718		757,490
Time, Inc.
5.75%, 4/15/22 (a)			1,486		1,359,690
Townsquare Media, Inc.
6.50%, 4/01/23 (a)			1,199		1,097,085
Unitymedia GmbH
6.125%, 1/15/25 (a)			1,090		1,077,083
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
5.00%, 1/15/25 (a)			1,078		1,029,490
6.25%, 1/15/29 (a)	EUR		496		591,152
Univision Communications, Inc.
5.125%, 5/15/23-2/15/25 (a)	U.S.$		1,649		1,573,863
6.75%, 9/15/22 (a)			1,561		1,617,586
8.50%, 5/15/21 (a)			700		715,750
UPCB Finance IV Ltd.
5.375%, 1/15/25 (a)			720		678,600
UPCB Finance V Ltd.
7.25%, 11/15/21 (a)			432		459,000
UPCB Finance VI Ltd.
6.875%, 1/15/22 (a)			558		590,085
Virgin Media Finance PLC
4.875%, 2/15/22			642		581,813
5.25%, 2/15/22			900		832,500
5.75%, 1/15/25 (a)			645		620,813
6.00%, 10/15/24 (a)			1,177		1,174,057
6.375%, 4/15/23 (a)			350		355,250


Company		Principal Amount (000)		U.S. $ Value
Virgin Media Secured Finance PLC
5.50%, 1/15/25 (a)	GBP		423		609,556
Wave Holdco LLC/Wave Holdco Corp.
8.25% (8.25% Cash or 9.00% PIK), 7/15/19 (a)(i)	U.S.$		240		231,600
WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.25%, 7/15/19			1,444		1,363,497
13.375%, 10/15/19			426		398,310
Ziggo Bond Finance BV
5.875%, 1/15/25 (a)			634		588,035

					62,472,171

Communications - Telecommunications - 3.7%
Altice Luxembourg SA
7.25%, 5/15/22 (a)	EUR		1,332		1,353,460
7.625%, 2/15/25 (a)	U.S.$		250		215,625
CenturyLink, Inc.
Series W
6.75%, 12/01/23			437		409,687
Cincinnati Bell, Inc.
8.375%, 10/15/20			223		228,017
Columbus International, Inc.
7.375%, 3/30/21 (a)			2,342		2,327,362
CommScope Technologies Finance LLC
6.00%, 6/15/25 (a)			518		498,575
CommScope, Inc.
5.50%, 6/15/24 (a)			1,311		1,245,450
Communications Sales & Leasing, Inc./CSL Capital LLC
6.00%, 4/15/23 (a)			1,345		1,272,706
8.25%, 10/15/23			2,912		2,460,640
Frontier Communications Corp.
6.25%, 9/15/21			373		316,117
7.125%, 1/15/23			11		9,488
7.625%, 4/15/24			2,853		2,396,520
7.875%, 1/15/27			834		683,880
9.00%, 8/15/31			450		378,000
10.50%, 9/15/22 (a)			4		3,985
11.00%, 9/15/25 (a)			326		322,740
InterXion Holding NV
6.00%, 7/15/20 (a)	EUR		2,601		2,982,950
Level 3 Financing, Inc.
5.375%, 1/15/24 (a)	U.S.$		478		480,390
6.125%, 1/15/21			596		616,860
Numericable-SFR SAS
5.375%, 5/15/22 (a)	EUR		264		292,640
5.625%, 5/15/24 (a)			386		424,205
6.00%, 5/15/22 (a)	U.S.$		1,610		1,561,700
Sable International Finance Ltd.
6.875%, 8/01/22 (a)			454		438,110
Sprint Capital Corp.
6.875%, 11/15/28			7		4,883
8.75%, 3/15/32			375		281,250


Company		Principal Amount (000)		U.S. $ Value
Sprint Communications, Inc.
6.00%, 11/15/22			700		493,500
Sprint Corp.
7.125%, 6/15/24			520		375,050
7.625%, 2/15/25			1,537		1,122,010
7.875%, 9/15/23			1,320		991,320
T-Mobile USA, Inc.
6.00%, 3/01/23			743		752,287
6.375%, 3/01/25			655		661,550
6.50%, 1/15/26			744		751,061
6.542%, 4/28/20			183		190,778
6.625%, 11/15/20			311		323,281
6.731%, 4/28/22			128		133,440
6.836%, 4/28/23			774		801,090
Telecom Italia Capital SA
7.20%, 7/18/36			483		487,830
7.721%, 6/04/38			1,700		1,772,250
Telecom Italia SpA
5.303%, 5/30/24 (a)			1,002		989,475
WaveDivision Escrow LLC/WaveDivision Escrow Corp.
8.125%, 9/01/20 (a)			1,084		1,036,575
Wind Acquisition Finance SA
4.75%, 7/15/20 (a)			1,029		1,018,710
7.375%, 4/23/21 (a)			2,941		2,779,245
Windstream Services LLC
6.375%, 8/01/23			982		707,040
7.75%, 10/01/21			1,715		1,349,491
Zayo Group LLC/Zayo Capital, Inc.
6.00%, 4/01/23			917		866,565
6.375%, 5/15/25			832		773,760

					39,581,548

Consumer Cyclical - Automotive - 2.0%
Affinia Group, Inc.
7.75%, 5/01/21			1,672		1,701,762
Commercial Vehicle Group, Inc.
7.875%, 4/15/19 (b)			2,285		1,999,375
Dana Holding Corp.
6.00%, 9/15/23			833		835,083
6.75%, 2/15/21			326		334,965
Exide Technologies
Zero Coupon, 2/01/18 (g)(k)			2,574		0	^
Series AI
7.00%, 4/30/25 (g)(i)(j)(k)			3,840		2,918,201
11.00% (11.00% Cash or 7.00% PIK), 4/30/20 (e)(i)			4,614		3,783,556
Gates Global LLC/Gates Global Co.
5.75%, 7/15/22 (a)	EUR		125		96,685
6.00%, 7/15/22 (a)	U.S.$		2,839		2,044,080
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28			400		422,000
8.75%, 8/15/20			343		407,313
Meritor, Inc.
6.25%, 2/15/24			446		381,330
6.75%, 6/15/21			925		851,000


Company		Principal Amount (000)		U.S. $ Value
Navistar International Corp.
8.25%, 11/01/21			1,592		1,058,680
Schaeffler Holding Finance BV
6.75%, 11/15/22 (a)(i)			1,019		1,095,425
6.875%, 8/15/18 (a)(i)	EUR		711		800,032
Titan International, Inc.
6.875%, 10/01/20 (b)	U.S.$		1,926		1,434,870
ZF North America Capital, Inc.
4.75%, 4/29/25 (a)			1,153		1,098,232

					21,262,589

Consumer Cyclical - Entertainment - 0.7%
AMC Entertainment, Inc.
5.75%, 6/15/25			1,115		1,120,575
Carlson Travel Holdings, Inc.
7.50% (7.50% Cash or 8.25% PIK), 8/15/19 (a)(i)			1,107		1,090,395
Carlson Wagonlit BV
6.875%, 6/15/19 (a)			1,026		1,051,650
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.
5.375%, 6/01/24			582		587,820
ClubCorp Club Operations, Inc.
8.25%, 12/15/23 (a)			546		535,080
Live Nation Entertainment, Inc.
7.00%, 9/01/20 (a)			740		765,900
Pinnacle Entertainment, Inc.
8.75%, 5/15/20			271		282,179
Regal Entertainment Group
5.75%, 6/15/23-2/01/25			1,624		1,599,080

					7,032,679

Consumer Cyclical - Other - 3.3%
Beazer Homes USA, Inc.
5.75%, 6/15/19 (b)			975		897,000
7.50%, 9/15/21			761		698,218
Boyd Gaming Corp.
9.00%, 7/01/20			1,970		2,088,200
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18 (c)			700		208,250
11.25%, 6/01/17 (c)			435		326,250
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope
8.00%, 10/01/20			1,260		1,197,000
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc.
9.375%, 5/01/22			1,017		833,940
CalAtlantic Group, Inc.
6.625%, 5/01/20			1,800		1,962,000
8.375%, 5/15/18			500		558,000
10.75%, 9/15/16			528		554,400
Eldorado Resorts, Inc.
7.00%, 8/01/23 (a)			798		782,040


Company		Principal Amount (000)		U.S. $ Value
International Game Technology PLC
6.25%, 2/15/22 (a)			2,050		1,916,750
6.50%, 2/15/25 (a)			2,165		1,899,787
Isle of Capri Casinos, Inc.
5.875%, 3/15/21			41		41,820
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21			2,257		1,512,190
7.25%, 10/15/20 (a)			528		454,080
KB Home
4.75%, 5/15/19			1,121		1,087,370
7.00%, 12/15/21			200		197,250
7.50%, 9/15/22			494		491,530
9.10%, 9/15/17			700		755,125
Lennar Corp.
Series B
6.50%, 4/15/16			2,600		2,632,500
MDC Holdings, Inc.
5.50%, 1/15/24			150		151,500
6.00%, 1/15/43			1,020		805,800
Meritage Homes Corp.
6.00%, 6/01/25			1,895		1,890,262
7.00%, 4/01/22			149		156,078
New Cotai LLC/New Cotai Capital Corp.
10.625%, 5/01/19 (a)(b)(i)			1,379		1,033,920
PulteGroup, Inc.
7.875%, 6/15/32			1,400		1,585,500
Safari Holding Verwaltungs GmbH
8.25%, 2/15/21 (a)	EUR		368		420,420
Scientific Games International, Inc.
7.00%, 1/01/22 (a)	U.S.$		1,125		1,074,375
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (a)			420		430,500
6.125%, 4/01/25 (a)			830		852,825
Studio City Finance Ltd.
8.50%, 12/01/20 (a)(b)			1,150		1,110,325
Taylor Morrison Communities, Inc./Monarch Communities, Inc.
5.625%, 3/01/24 (a)(b)			2,266		2,175,360
5.875%, 4/15/23 (a)			875		864,063
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 3/01/25 (a)(b)			785		699,631
Wynn Macau Ltd.
5.25%, 10/15/21 (a)(b)			1,265		1,113,200

					35,457,459

Consumer Cyclical - Restaurants - 0.4%
1011778 BC ULC/New Red Finance, Inc.
4.625%, 1/15/22 (a)			1,110		1,112,775
6.00%, 4/01/22 (a)			1,991		2,050,730
Pizzaexpress Financing 1 PLC
8.625%, 8/01/22 (a)	GBP		198		304,716


Company		Principal Amount (000)		U.S. $ Value
Pizzaexpress Financing 2 PLC
6.625%, 8/01/21 (a)			692		1,043,840

					4,512,061

Consumer Cyclical - Retailers - 2.5%
American Tire Distributors, Inc.
10.25%, 3/01/22 (a)	U.S.$		1,663		1,521,645
Argos Merger Sub, Inc.
7.125%, 3/15/23 (a)			2,171		2,152,546
Asbury Automotive Group, Inc.
6.00%, 12/15/24 (a)			285		294,263
Brighthouse Group PLC
7.875%, 5/15/18 (a)	GBP		762		1,076,917
Cash America International, Inc.
5.75%, 5/15/18	U.S.$		1,651		1,653,064
Dollar Tree, Inc.
5.75%, 3/01/23 (a)			1,886		1,952,010
Dufry Finance SCA
4.50%, 8/01/23 (a)	EUR		1,208		1,378,237
Group 1 Automotive, Inc.
5.00%, 6/01/22	U.S.$		372		368,280
JC Penney Corp., Inc.
6.375%, 10/15/36			421		258,915
7.40%, 4/01/37			600		396,000
L Brands, Inc.
6.875%, 11/01/35 (a)			230		236,325
6.90%, 7/15/17			893		955,510
6.95%, 3/01/33			500		497,500
7.60%, 7/15/37			1,000		1,050,000
Levi Strauss & Co.
5.00%, 5/01/25			1,380		1,373,100
Murphy Oil USA, Inc.
6.00%, 8/15/23			716		751,800
Neiman Marcus Group Ltd. LLC
8.75% (8.75% Cash or 9.50% PIK), 10/15/21 (a)(i)			2,750		1,705,000
Party City Holdings, Inc.
6.125%, 8/15/23 (a)(b)			1,090		1,057,300
Rite Aid Corp.
6.125%, 4/01/23 (a)			2,535		2,623,725
Sally Holdings LLC/Sally Capital, Inc.
5.75%, 6/01/22			1,779		1,841,265
Serta Simmons Bedding LLC
8.125%, 10/01/20 (a)			1,053		1,103,017
Sonic Automotive, Inc.
5.00%, 5/15/23			2,015		1,914,250
Wolverine World Wide, Inc.
6.125%, 10/15/20			501		521,040
					26,681,709
Consumer Non-Cyclical - 7.9%
Acadia Healthcare Co., Inc.
5.625%, 2/15/23			531		501,795


Company		Principal Amount (000)		U.S. $ Value
Air Medical Merger Sub Corp.
6.375%, 5/15/23 (a)			1,985		1,766,650
Alere, Inc.
6.375%, 7/01/23 (a)			392		366,520
7.25%, 7/01/18			765		782,212
AMAG Pharmaceuticals, Inc.
7.875%, 9/01/23 (a)			1,192		1,048,960
Amsurg Corp.
5.625%, 7/15/22			2,043		2,022,570
Aramark Services, Inc.
5.125%, 1/15/24 (a)			274		279,138
BI-LO LLC/BI-LO Finance Corp.
8.625% (8.625% Cash or 9.375% PIK), 9/15/18 (a)(b)(i)			1,917		1,629,450
9.25%, 2/15/19 (a)			1,140		1,148,550
Boparan Finance PLC
5.25%, 7/15/19 (a)(b)	GBP		588		810,486
5.50%, 7/15/21 (a)			775		1,011,117
Capsugel SA
7.00% (7.00% Cash or 7.75% PIK), 5/15/19 (a)(i)	U.S.$		3,018		2,942,550
Care UK Health & Social Care PLC
5.579%, 7/15/19 (a)(h)	GBP		268		358,540
8.079%, 1/15/20 (a)(h)			400		525,552
Cerba European Lab SAS
7.00%, 2/01/20 (a)	EUR		959		1,080,494
Cerberus Nightingale 1 SARL
8.25%, 2/01/20 (a)			200		223,027
CHS/Community Health Systems, Inc.
6.875%, 2/01/22 (b)	U.S.$		1,251		1,186,886
7.125%, 7/15/20			781		778,071
Concordia Healthcare Corp.
7.00%, 4/15/23 (a)			186		161,355
9.50%, 10/21/22 (a)(b)			890		876,650
ConvaTec Finance International SA
8.25% (8.25% Cash or 9.00% PIK), 1/15/19 (a)(i)			590		548,700
DaVita HealthCare Partners, Inc.
5.00%, 5/01/25			1,835		1,770,775
Elior Finance & Co. SCA
6.50%, 5/01/20 (a)	EUR		176		203,141
Endo Finance LLC
5.75%, 1/15/22 (a)	U.S.$		126		122,220
Endo Finance LLC/Endo Finco, Inc.
7.75%, 1/15/22 (a)			332		339,470
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.
6.00%, 7/15/23 (a)(b)			1,408		1,400,960
6.00%, 2/01/25 (a)			2,080		2,048,800
Envision Healthcare Corp.
5.125%, 7/01/22 (a)			1,595		1,563,100
Ephios Bondco PLC
6.25%, 7/01/22 (a)	EUR		1,525		1,719,111


Company		Principal Amount (000)		U.S. $ Value
First Quality Finance Co., Inc.
4.625%, 5/15/21 (a)	U.S.$		3,247		2,954,770
Galaxy Bidco Ltd.
6.375%, 11/15/20 (a)	GBP		133		203,715
Grifols Worldwide Operations Ltd.
5.25%, 4/01/22	U.S.$		745		748,725
HCA, Inc.
4.25%, 10/15/19 (b)			1,475		1,504,500
5.375%, 2/01/25			209		206,388
5.875%, 2/15/26			226		226,848
Hill-Rom Holdings, Inc.
5.75%, 9/01/23 (a)	U.S.$		265		270,300
Holding Medi-Partenaires SAS
7.00%, 5/15/20 (a)	EUR		1,401		1,614,139
Horizon Pharma Financing, Inc.
6.625%, 5/01/23 (a)(b)	U.S.$		1,682		1,496,980
HRG Group, Inc.
7.875%, 7/15/19 (a)			929		977,772
7.875%, 7/15/19			1,155		1,206,975
IASIS Healthcare LLC/IASIS Capital Corp.
8.375%, 5/15/19			2,294		2,110,480
IDH Finance PLC
6.00%, 12/01/18 (a)	GBP		355		521,509
Immucor, Inc.
11.125%, 8/15/19	U.S.$		1,350		1,228,500
Jaguar Holding Co. II/Pharmaceutical Product Development LLC
6.375%, 8/01/23 (a)			933		909,675
Kindred Healthcare, Inc.
8.00%, 1/15/20			1,216		1,136,960
Kinetic Concepts, Inc./KCI USA, Inc.
10.50%, 11/01/18			1,500		1,462,500
LifePoint Health, Inc.
5.875%, 12/01/23			1,448		1,469,720
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (a)(b)			2,087		1,920,040
5.625%, 10/15/23 (a)			270		256,500
5.75%, 8/01/22 (a)			1,181		1,133,760
MEDNAX, Inc.
5.25%, 12/01/23 (a)			422		424,110
MPH Acquisition Holdings LLC
6.625%, 4/01/22 (a)			653		654,632
Post Holdings, Inc.
7.375%, 2/15/22			1,722		1,795,185
7.75%, 3/15/24 (a)(b)			605		633,737
8.00%, 7/15/25 (a)(b)			1,343		1,423,580
PRA Holdings, Inc.
9.50%, 10/01/23 (a)			1,545		1,680,187
Priory Group No. 3 PLC
7.00%, 2/15/18 (a)	GBP		612		920,560
R&R Ice Cream PLC
8.25%, 5/15/20 (a)	AUD		720		540,404


Company		Principal Amount (000)		U.S. $ Value
R&R PIK PLC
9.25%, 5/15/18 (a)(i)	EUR		1,668		1,835,358
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
9.50%, 6/15/19 (a)	U.S.$		473		489,555
RSI Home Products, Inc.
6.50%, 3/15/23 (a)			1,785		1,838,550
Smithfield Foods, Inc.
5.25%, 8/01/18 (a)			814		824,175
5.875%, 8/01/21 (a)			1,318		1,357,540
6.625%, 8/15/22			346		358,975
Spectrum Brands, Inc.
5.75%, 7/15/25 (a)			288		295,200
6.125%, 12/15/24 (a)			437		454,480
6.375%, 11/15/20			338		359,125
6.625%, 11/15/22			560		590,800
Sterigenics-Nordion Holdings LLC
6.50%, 5/15/23 (a)			255		243,525
Sun Products Corp. (The)
7.75%, 3/15/21 (a)			3,037		2,634,597
Surgical Care Affiliates, Inc.
6.00%, 4/01/23 (a)			480		466,800
Team Health, Inc.
7.25%, 12/15/23 (a)			571		590,985
TeamSystem Holding SpA
7.375%, 5/15/20 (a)	EUR		1,330		1,492,786
Tenet Healthcare Corp.
6.00%, 10/01/20	U.S.$		95		99,988
6.875%, 11/15/31			3,384		2,741,040
8.125%, 4/01/22			752		750,120
Valeant Pharmaceuticals International, Inc.
5.50%, 3/01/23 (a)			230		202,400
5.875%, 5/15/23 (a)			396		354,420
6.125%, 4/15/25 (a)(b)			2,529		2,263,455
7.25%, 7/15/22 (a)			635		620,713
Voyage Care Bondco PLC
6.50%, 8/01/18 (a)	GBP		1,200		1,760,195

					83,474,783

Energy - 5.1%
Antero Resources Corp.
5.125%, 12/01/22	U.S.$		817		620,920
5.375%, 11/01/21			2,000		1,600,000
5.625%, 6/01/23 (a)			231		180,180
6.00%, 12/01/20			239		199,565
BreitBurn Energy Partners LP/BreitBurn Finance Corp.
7.875%, 4/15/22			703		126,540
California Resources Corp.
6.00%, 11/15/24			475		144,875
8.00%, 12/15/22 (a)			1,271		668,864
Carrizo Oil & Gas, Inc.
7.50%, 9/15/20			246		214,942


Company		Principal Amount (000)		U.S. $ Value
Chaparral Energy, Inc.
7.625%, 11/15/22			2,278		523,940
CHC Helicopter SA
9.25%, 10/15/20			2,058		987,984
Chesapeake Energy Corp.
3.571%, 4/15/19 (h)			1,672		468,160
7.25%, 12/15/18			382		150,890
Cobalt International Energy, Inc.
2.625%, 12/01/19 (j)			796		446,257
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
6.25%, 4/01/23 (a)			1,008		703,080
DCP Midstream Operating LP
3.875%, 3/15/23			1,619		1,222,075
4.95%, 4/01/22			245		200,510
5.60%, 4/01/44			1,848		1,122,331
Denbury Resources, Inc.
4.625%, 7/15/23			3,423		1,101,795
5.50%, 5/01/22			434		144,079
Diamondback Energy, Inc.
7.625%, 10/01/21			609		615,090
Energy Transfer Equity LP
5.875%, 1/15/24			2,020		1,646,300
7.50%, 10/15/20			309		285,825
Energy XXI Gulf Coast, Inc.
7.75%, 6/15/19			1,100		132,000
11.00%, 3/15/20 (a)			840		294,000
EP Energy LLC/Everest Acquisition Finance, Inc.
6.375%, 6/15/23			467		233,500
7.75%, 9/01/22			449		228,990
9.375%, 5/01/20			2,016		1,285,200
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22			2,976		2,380,800
Golden Energy Offshore Services AS
8.41%, 5/28/17 (d)(h)	NOK		9,162		414,030
Holly Energy Partners LP/Holly Energy Finance Corp.
6.50%, 3/01/20	U.S.$		1,317		1,303,830
Hornbeck Offshore Services, Inc.
5.875%, 4/01/20			1,570		1,083,300
Jones Energy Holdings LLC/Jones Energy Finance Corp.
6.75%, 4/01/22			255		142,800
Jupiter Resources, Inc.
8.50%, 10/01/22 (a)			2,580		1,032,000
Laredo Petroleum, Inc.
7.375%, 5/01/22			1,333		1,226,360
Legacy Reserves LP/Legacy Reserves Finance Corp.
6.625%, 12/01/21			2,024		425,040
8.00%, 12/01/20			711		149,310
Linn Energy LLC/Linn Energy Finance Corp.
6.25%, 11/01/19			766		126,390
8.625%, 4/15/20			802		137,343
Memorial Resource Development Corp.
5.875%, 7/01/22			2,634		2,304,750


Company	Principal Amount (000)		U.S. $ Value
Newfield Exploration Co.
5.625%, 7/01/24		646		550,715
Northern Blizzard Resources, Inc.
7.25%, 2/01/22 (a)		844		607,680
Northern Oil and Gas, Inc.
8.00%, 6/01/20		819		544,635
Oasis Petroleum, Inc.
6.875%, 3/15/22		2,025		1,296,000
Offshore Group Investment Ltd.
7.125%, 4/01/23 (c)(e)		1,283		283,864
7.50%, 11/01/19 (c)(e)		2,176		478,720
10.00%, 12/31/20 (d)		195		188,939
Pacific Drilling SA
5.375%, 6/01/20 (a)		2,442		1,013,430
Paragon Offshore PLC
6.75%, 7/15/22 (a)		933		130,620
7.25%, 8/15/24 (a)		3,719		520,660
PHI, Inc.
5.25%, 3/15/19		1,567		1,253,600
Precision Drilling Corp.
6.50%, 12/15/21		738		568,260
QEP Resources, Inc.
5.25%, 5/01/23		1,248		886,080
5.375%, 10/01/22		391		281,520
6.875%, 3/01/21		1,225		1,004,500
Sabine Pass Liquefaction LLC
5.625%, 3/01/25 (a)		1,080		913,950
5.75%, 5/15/24		1,528		1,329,360
6.25%, 3/15/22		675		624,375
Sabine Pass LNG LP
6.50%, 11/01/20		757		734,290
Sanchez Energy Corp.
6.125%, 1/15/23		851		459,540
SandRidge Energy, Inc.
7.50%, 2/15/23		865		94,069
Seitel, Inc.
9.50%, 4/15/19		597		388,050
Seven Generations Energy Ltd.
6.75%, 5/01/23 (a)		440		369,600
8.25%, 5/15/20 (a)		1,960		1,764,000
SM Energy Co.
5.625%, 6/01/25		638		421,080
6.125%, 11/15/22		475		349,125
6.50%, 1/01/23		474		348,390
Southern Star Central Corp.
5.125%, 7/15/22 (a)		1,200		990,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.75%, 3/15/24 (a)		1,845		1,572,862
6.875%, 2/01/21		960		868,800
Tervita Corp.
8.00%, 11/15/18 (a)		2,086		1,293,320
9.75%, 11/01/19 (a)		1,039		238,970
10.875%, 2/15/18 (a)		2,477		569,710


Company		Principal Amount (000)		U.S. $ Value
Transocean, Inc.
6.80%, 3/15/38			1,700		915,875
Triangle USA Petroleum Corp.
6.75%, 7/15/22 (a)			2,947		898,835
Whiting Petroleum Corp.
1.25%, 4/01/20 (a)(j)			542		368,560
5.75%, 3/15/21			1,146		835,434
6.25%, 4/01/23 (b)			2,020		1,454,400
WPX Energy, Inc.
5.25%, 9/15/24			204		134,640
8.25%, 8/01/23			590		472,000

					54,292,303

Other Industrial - 1.1%
Algeco Scotsman Global Finance PLC
8.50%, 10/15/18 (a)			315		263,813
9.00%, 10/15/18 (a)	EUR		633		560,683
B456 Systems, Inc.
3.75%, 4/15/16 (f)(k)	U.S.$		955		38,200
Belden, Inc.
5.25%, 7/15/24 (a)			793		729,560
Briggs & Stratton Corp.
6.875%, 12/15/20			398		431,830
General Cable Corp.
4.50%, 11/15/29 (j)			1,158		709,999
5.75%, 10/01/22 (l)			1,460		1,124,200
Laureate Education, Inc.
10.00%, 9/01/19 (a)			3,189		1,977,180
Liberty Tire Recycling LLC
11.00%, 3/31/21 (d)(g)(i)			1,311		616,484
Modular Space Corp.
10.25%, 1/31/19 (a)			1,068		427,200
New Enterprise Stone & Lime Co., Inc.
11.00%, 9/01/18			1,358		1,079,610
13.00% (7.00% Cash and 6.00% PIK), 3/15/18 (i)			1,364		1,391,606
Safway Group Holding LLC/Safway Finance Corp.
7.00%, 5/15/18 (a)			2,063		2,057,843

					11,408,208

Services - 0.4%
Cerved Group SpA
8.00%, 1/15/21 (a)	EUR		401		461,934
Geo Debt Finance SCA
7.50%, 8/01/18 (a)(b)			416		423,471
Mobile Mini, Inc.
7.875%, 12/01/20	U.S.$		1,175		1,216,125
Service Corp. International/US
7.50%, 4/01/27			1,500		1,740,000

					3,841,530


Company	Principal Amount (000)		U.S. $ Value
Technology - 2.6%
Alcatel-Lucent USA, Inc.
8.875%, 1/01/20 (a)		601		637,060
Amkor Technology, Inc.
6.375%, 10/01/22 (b)		2,681		2,607,272
Avaya, Inc.
7.00%, 4/01/19 (a)		1,504		1,112,960
10.50%, 3/01/21 (a)		3,362		1,143,080
Blackboard, Inc.
7.75%, 11/15/19 (a)		544		470,560
BMC Software Finance, Inc.
8.125%, 7/15/21 (a)		1,622		1,078,630
BMC Software, Inc.
7.25%, 6/01/18		66		54,450
CDW LLC/CDW Finance Corp.
5.00%, 9/01/23		740		751,100
5.50%, 12/01/24		816		854,760
6.00%, 8/15/22		876		924,180
Ceridian HCM Holding, Inc.
11.00%, 3/15/21 (a)		1,165		914,525
Compiler Finance Sub, Inc.
7.00%, 5/01/21 (a)		411		176,730
CPI International, Inc.
8.75%, 2/15/18		1,768		1,743,690
Dell, Inc.
6.50%, 4/15/38		1,345		1,102,900
Energizer Holdings, Inc.
5.50%, 6/15/25 (a)		773		726,620
Ensemble S Merger Sub, Inc.
9.00%, 9/30/23 (a)		1,702		1,644,557
First Data Corp.
6.75%, 11/01/20 (a)		273		287,674
7.00%, 12/01/23 (a)		1,930		1,930,000
Goodman Networks, Inc.
12.125%, 7/01/18		2,020		545,400
Infor Software Parent LLC/Infor Software Parent, Inc.
7.125% (7.125% Cash or 7.875% PIK), 5/01/21 (a)(i)		1,126		813,535
Infor US, Inc.
6.50%, 5/15/22 (a)		2,653		2,241,785
Micron Technology, Inc.
5.25%, 8/01/23 (a)		487		437,082
5.50%, 2/01/25		1,867		1,624,290
MSCI, Inc.
5.25%, 11/15/24 (a)		232		235,480
5.75%, 8/15/25 (a)		588		602,700
NXP BV/NXP Funding LLC
5.75%, 3/15/23 (a)		924		954,030
Open Text Corp.
5.625%, 1/15/23 (a)		477		472,230
Sabre GLBL, Inc.
5.25%, 11/15/23 (a)		342		338,153
5.375%, 4/15/23 (a)		720		716,400
Syniverse Holdings, Inc.
9.125%, 1/15/19		813		367,883

				27,509,716


Company		Principal Amount (000)		U.S. $ Value
Transportation-Airlines - 0.5%
Air Canada
6.75%, 10/01/19 (a)			1,300		1,349,563
8.75%, 4/01/20 (a)			2,074		2,219,180
Northwest Airlines Pass-Through Trust Series 2000-1, Class G
7.15%, 10/01/19			417		435,036
UAL Pass-Through Trust Series 2007-1A
6.636%, 7/02/22			1,297		1,375,293

					5,379,072

Transportation - Services - 0.7%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.50%, 4/01/23			297		297,742
Avis Budget Finance PLC
6.00%, 3/01/21 (a)	EUR		530		593,257
CEVA Group PLC
9.00%, 9/01/21 (a)	U.S.$		883		671,080
Con-way, Inc.
6.70%, 5/01/34			1,371		803,039
EC Finance PLC
5.125%, 7/15/21 (a)	EUR		836		938,413
Europcar Groupe SA
5.75%, 6/15/22 (a)			670		755,427
Hapag-Lloyd AG
9.75%, 10/15/17 (a)	U.S.$		502		507,020
Hertz Corp. (The)
5.875%, 10/15/20 (b)			2,191		2,259,469
LBC Tank Terminals Holding Netherlands BV
6.875%, 5/15/23 (a)			220		217,800
XPO Logistics, Inc.
6.50%, 6/15/22 (a)			206		190,550

					7,233,797

					459,362,941

Financial Institutions - 7.2%
Banking - 4.7%
ABN AMRO Bank NV
4.31%, 3/10/16 (m)	EUR		2,295		2,497,832
Ally Financial, Inc.
8.00%, 11/01/31 (b)	U.S.$		1,151		1,352,425
Baggot Securities Ltd.
10.24%, 1/04/16 (a)(m)	EUR		495		537,941
Banco Bilbao Vizcaya Argentaria SA
6.75%, 2/18/20 (a)(m)			800		848,752


Company		Principal Amount (000)		U.S. $ Value
Banco Santander SA
6.25%, 3/12/19 (a)(m)			1,600		1,643,166
Bank of America Corp.
Series AA
6.10%, 3/17/25 (m)	U.S.$		3,319		3,338,350
Series X
6.25%, 9/05/24 (m)			98		98,245
Series Z
6.50%, 10/23/24 (m)			1,402		1,477,358
Bank of Ireland
10.00%, 7/30/16 (a)	EUR		349		394,107
10.00%, 2/12/20 (b)			1,130		1,530,466
Barclays Bank PLC
6.86%, 6/15/32 (a)(m)	U.S.$		166		189,240
7.625%, 11/21/22			1,479		1,684,211
7.70%, 4/25/18 (a)(m)			974		1,051,060
7.75%, 4/10/23			1,437		1,533,998
Barclays PLC
8.00%, 12/15/20 (m)	EUR		263		310,010
BBVA International Preferred SAU
1.519%, 3/22/16 (h)(m)			609		641,976
4.952%, 9/20/16 (a)(b)(m)			1,650		1,776,766
Citigroup, Inc.
5.95%, 1/30/23 (m)	U.S.$		588		575,358
Commerzbank AG
8.125%, 9/19/23 (a)			1,052		1,207,391
Credit Agricole SA
6.625%, 9/23/19 (a)(m)			843		828,669
7.589%, 1/30/20 (m)	GBP		1,000		1,599,507
7.875%, 1/23/24 (a)(m)	U.S.$		549		559,431
Credit Suisse Group AG
7.50%, 12/11/23 (a)(m)			3,647		3,820,232
Danske Bank A/S
5.684%, 2/15/17 (m)	GBP		720		1,075,912
HBOS Capital Funding LP
4.939%, 5/23/16 (m)	EUR		418		458,804
HT1 Funding GmbH
6.352%, 6/30/17 (m)			1,550		1,691,200
ING Groep NV
6.00%, 4/16/20 (m)	U.S.$		688		687,140
6.50%, 4/16/25 (m)			1,143		1,117,283
LBG Capital No.1 PLC
8.00%, 6/15/20 (a)(m)			1,860		1,934,400
Lloyds Banking Group PLC
6.413%, 10/01/35 (a)(m)			235		263,200
6.657%, 5/21/37 (a)(m)			98		109,760
7.50%, 6/27/24 (m)			2,950		3,141,750
RBS Capital Trust C
4.243%, 4/12/16 (m)	EUR		1,250		1,330,421
Societe Generale SA
8.00%, 9/29/25 (a)(m)	U.S.$		4,046		4,114,924


Company		Principal Amount (000)		U.S. $ Value
UBS Group AG
7.00%, 2/19/25 (a)(m)			2,065		2,183,737
UT2 Funding PLC
5.321%, 6/30/16	EUR		1,293		1,422,732
Zions Bancorporation
5.65%, 11/15/23	U.S.$		508		514,452
5.80%, 6/15/23 (m)			310		296,825

					49,839,031

Brokerage - 0.0%
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (f)			1,690		126,750

Finance - 1.4%
Artsonig Pty Ltd.
11.50% (11.50% Cash or 12.00% PIK), 4/01/19 (a)(i)			1,557		132,363
Creditcorp
12.00%, 7/15/18 (a)			1,300		832,000
Enova International, Inc.
9.75%, 6/01/21			2,216		1,595,520
ILFC E-Capital Trust II
4.74%, 12/21/65 (a)(h)			2,000		1,840,000
International Lease Finance Corp.
8.25%, 12/15/20			2,170		2,566,025
8.75%, 3/15/17			282		300,330
8.875%, 9/01/17			280		304,850
Navient Corp.
5.50%, 1/15/19			2,496		2,333,760
5.875%, 10/25/24			191		152,800
6.125%, 3/25/24			250		203,750
7.25%, 1/25/22			377		352,495
8.00%, 3/25/20			233		230,204
Peninsula Gaming LLC/Peninsula Gaming Corp.
8.375%, 2/15/18 (a)			996		1,010,940
TMX Finance LLC/TitleMax Finance Corp.
8.50%, 9/15/18 (a)			3,646		2,716,270

					14,571,307

Insurance - 0.6%
Genworth Holdings, Inc.
6.15%, 11/15/66			750		202,500
7.625%, 9/24/21			1,216		1,009,827
HUB International Ltd.
7.875%, 10/01/21 (a)			1,300		1,170,000
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (a)			1,250		1,425,000
USI, Inc./NY
7.75%, 1/15/21 (a)			1,646		1,580,160
Wayne Merger Sub LLC
8.25%, 8/01/23 (a)			1,685		1,583,900

					6,971,387


Company		Principal Amount (000)		U.S. $ Value
Other Finance - 0.5%
ACE Cash Express, Inc.
11.00%, 2/01/19 (a)			850		306,000
CNG Holdings, Inc.
9.375%, 5/15/20 (a)			962		404,040
iPayment, Inc.
9.50%, 12/15/19 (a)			56		57,831
Series AI
9.50%, 12/15/19			2,259		2,343,628
Speedy Cash Intermediate Holdings Corp.
10.75%, 5/15/18 (a)(b)			1,166		594,660
Speedy Group Holdings Corp.
12.00%, 11/15/17 (a)			1,711		889,720

					4,595,879

					76,104,354

Utility - 1.6%
Electric - 1.6%
AES Corp./VA
4.875%, 5/15/23			1,840		1,610,000
7.375%, 7/01/21			634		646,680
Calpine Corp.
5.50%, 2/01/24			985		869,263
5.75%, 1/15/25			3,192		2,816,940
7.875%, 1/15/23 (a)			380		404,700
ContourGlobal Power Holdings SA
7.125%, 6/01/19 (a)			1,703		1,617,850
DPL, Inc.
6.75%, 10/01/19			465		465,000
Dynegy, Inc.
7.375%, 11/01/22			1,355		1,178,850
7.625%, 11/01/24			2,395		2,047,246
FirstEnergy Corp.
Series C
7.375%, 11/15/31			857		1,043,811
GenOn Energy, Inc.
9.50%, 10/15/18			1,450		1,171,354
NRG Energy, Inc.
6.25%, 7/15/22			319		271,788
NRG Yield Operating LLC
5.375%, 8/15/24			843		698,636
Talen Energy Supply LLC
4.60%, 12/15/21			1,475		906,668
Texas Competitive/TCEH
11.50%, 10/01/20 (n)			626		208,145
Viridian Group FundCo II Ltd.
7.50%, 3/01/20 (a)	EUR		1,311		1,463,909

					17,420,840

Total Corporates - Non-Investment Grade (cost $633,201,402)					552,888,135


Company		Principal Amount (000)		U.S. $ Value
GOVERNMENTS - TREASURIES - 10.8%
Brazil - 2.5%
Brazil Notas do Tesouro Nacional
Series B
6.00%, 8/15/50	BRL		1,400		825,516
Series F
10.00%, 1/01/17-1/01/25			105,620		24,094,131
Series NTNB
6.00%, 5/15/45			2,100		1,235,305

					26,154,952

Colombia - 0.3%
Colombian TES
Series B
10.00%, 7/24/24	COP		8,000,000		2,779,348

South Africa - 0.4%
South Africa Government Bond
Series R204
8.00%, 12/21/18	ZAR		10,750		678,563
Series R207
7.25%, 1/15/20			60,872		3,689,201
Series R208
6.75%, 3/31/21			490		28,363

					4,396,127

United States - 7.6%
U.S. Treasury Bonds
2.75%, 11/15/42 (b)	U.S.$		3,000		2,860,431
3.125%, 2/15/42 (b)			4,000		4,130,156
4.50%, 2/15/36 (o)			2,400		3,075,749
5.00%, 5/15/37 (o)(p)			3,500		4,796,505
5.25%, 2/15/29			5,750		7,532,949
6.125%, 11/15/27			2,200		3,045,539
8.125%, 5/15/21 (b)			26,250		34,606,924
U.S. Treasury Notes
1.25%, 1/31/20 (b)			12,500		12,307,612
2.25%, 11/15/25			8,500		8,481,070

					80,836,935

Total Governments - Treasuries (cost $132,163,990)					114,167,362

COLLATERALIZED MORTGAGE OBLIGATIONS - 10.1%
GSE Risk Share Floating Rate - 5.0%
Bellemeade Re Ltd.
Series 2015-1A, Class M2
4.722%, 7/25/25 (a)(h)			1,220		1,192,550
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
7.572%, 7/25/23 (h)			2,350		2,692,460
Series 2013-DN2, Class M2
4.672%, 11/25/23 (h)			1,925		1,906,987
Series 2014-DN1, Class M3


Company	Principal Amount (000)		U.S. $ Value
4.922%, 2/25/24 (h)		1,939		1,906,697
Series 2014-DN2, Class M3
4.022%, 4/25/24 (h)		514		475,530
Series 2014-DN4, Class M3
4.972%, 10/25/24 (h)		500		496,020
Series 2014-HQ1, Class M3
4.522%, 8/25/24 (h)		1,686		1,609,753
Series 2014-HQ2, Class M3
4.172%, 9/25/24 (h)		3,710		3,432,849
Series 2014-HQ3, Class M3
5.172%, 10/25/24 (h)		5,055		5,043,944
Series 2015-DNA1, Class B
9.622%, 10/25/27 (h)		600		668,199
Series 2015-DNA1, Class M3
3.722%, 10/25/27 (h)		480		454,996
Series 2015-DNA2, Class B
7.972%, 12/25/27 (h)		965		900,907
Series 2015-DNA3, Class B
9.772%, 4/25/28 (h)		232		226,622
Series 2015-DNA3, Class M3
5.122%, 4/25/28 (h)		684		673,028
Series 2015-HQ1, Class M3
4.222%, 3/25/25 (h)		530		507,411
Series 2015-HQA1, Class B
9.222%, 3/25/28 (h)		1,015		910,440
Series 2015-HQA1, Class M3
5.122%, 3/25/28 (h)		1,205		1,173,100
Series 2015-HQA2, Class M3
5.222%, 5/25/28 (h)		490		479,740
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M2
5.672%, 10/25/23 (h)		1,451		1,503,707
Series 2014-C01, Class M2
4.822%, 1/25/24 (h)		3,991		3,990,048
Series 2014-C02, Class 1M2
3.022%, 5/25/24 (h)		490		427,611
Series 2014-C03, Class 1M2
3.422%, 7/25/24 (h)		1,147		1,039,753
Series 2014-C04, Class 1M2
5.322%, 11/25/24 (h)		3,900		3,888,798
Series 2014-C04, Class 2M2
5.422%, 11/25/24 (h)		672		674,081
Series 2015-C01, Class 1M2
4.722%, 2/25/25 (h)		2,785		2,686,140
Series 2015-C01, Class 2M2
4.972%, 2/25/25 (h)		3,000		3,018,686
Series 2015-C02, Class 2M2
4.422%, 5/25/25 (h)		2,095		1,983,556
Series 2015-C03, Class 1M2
5.422%, 7/25/25 (h)		2,202		2,170,260
Series 2015-C03, Class 2M2


Company	Principal Amount (000)		U.S. $ Value
5.422%, 7/25/25 (h)		2,748		2,712,603
Series 2015-C04, Class 1M2
6.122%, 4/25/28 (h)		1,161		1,172,623
Series 2015-C04, Class 2M2
5.972%, 4/25/28 (h)		1,298		1,304,639
JPMorgan Madison Avenue Securities Trust
Series 2015-CH1, Class M2
5.922%, 10/25/25 (a)(h)		1,435		1,417,479
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M2
5.697%, 11/25/25 (a)(h)		621		621,885

				53,363,102

Non-Agency Fixed Rate - 3.5%
BCAP LLC Trust
Series 2009-RR13, Class 17A3
6.026%, 4/26/37 (a)		520		432,082
Bear Stearns ARM Trust
Series 2007-3, Class 1A1
2.802%, 5/25/47		435		392,460
Series 2007-4, Class 22A1
4.718%, 6/25/47		1,469		1,306,035
BNPP Mortgage Securities LLC Trust
Series 2009-1, Class B1
6.00%, 8/27/37 (a)		809		645,705
ChaseFlex Trust
Series 2007-1, Class 1A3
6.50%, 2/25/37		820		603,134
Citigroup Mortgage Loan Trust
Series 2006-4, Class 2A1A
6.00%, 12/25/35		2,376		2,208,328
Series 2006-AR3, Class 1A2A
5.136%, 6/25/36		1,465