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: June 30, 2016

ITEM 1.

SCHEDULE OF INVESTMENTS.

AB Global High Income Fund

Portfolio of Investments

June 30, 2016 (unaudited)


Company		Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE - 48.1%
Industrial - 41.2%
Basic - 2.9%
AK Steel Corp.
7.625%, 10/01/21	U.S.$		556	$	504,570
Aleris International, Inc.
7.875%, 11/01/20			664		587,640
Anglo American Capital PLC
4.125%, 4/15/21 (a)			200		189,000
4.875%, 5/14/25 (a)(b)			1,264		1,200,800
ArcelorMittal
6.125%, 6/01/25			742		738,290
8.00%, 10/15/39 (b)			1,141		1,106,770
Ashland, Inc.
4.75%, 8/15/22			501		498,495
Cliffs Natural Resources, Inc.
8.25%, 3/31/20 (a)			1,111		1,113,777
Consolidated Energy Finance SA
6.75%, 10/15/19 (a)			2,100		1,974,000
Constellium NV
5.75%, 5/15/24 (a)			400		315,000
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.
6.50%, 11/15/20			867		868,838
6.75%, 2/01/22			1,197		1,173,435
Freeport-McMoRan, Inc.
5.40%, 11/14/34			629		500,055
5.45%, 3/15/43			1,217		976,642
Ineos Finance PLC
4.00%, 5/01/23 (a)	EUR		790		840,810
INEOS Group Holdings SA
5.75%, 2/15/19 (a)			322		358,233
5.875%, 2/15/19 (a)	U.S.$		538		537,328
Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22 (a)			2,410		2,494,350
Lundin Mining Corp.
7.50%, 11/01/20 (a)			396		403,920
7.875%, 11/01/22 (a)			837		855,832
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (c)(d)(e)			2,857		114,280
Momentive Performance Materials, Inc.
3.88%, 10/24/21			1,772		1,406,525
8.875%, 10/15/20 (c)(f)(g)			1,772		0	^
Novelis, Inc.
8.75%, 12/15/20			1,663		1,733,677
Peabody Energy Corp.
6.00%, 11/15/18 (c)(d)			3,891		503,398
PQ Corp.
6.75%, 11/15/22 (a)			753		785,003
Smurfit Kappa Acquisitions
4.875%, 9/15/18 (a)			2,064		2,154,300
Smurfit Kappa Treasury Funding Ltd.
7.50%, 11/20/25			238		278,163


Company		Principal Amount (000)		U.S. $ Value
SPCM SA
6.00%, 1/15/22 (a)	U.S.$		400		404,000
Steel Dynamics, Inc.
5.25%, 4/15/23			587		598,740
6.125%, 8/15/19			225		232,875
6.375%, 8/15/22			532		558,600
Teck Resources Ltd.
3.75%, 2/01/23			650		494,000
4.50%, 1/15/21 (b)			386		335,820
5.20%, 3/01/42			827		541,685
5.40%, 2/01/43			1,658		1,085,990
6.25%, 7/15/41			238		168,980
8.00%, 6/01/21 (a)			50		51,500
8.50%, 6/01/24 (a)			71		73,663
Thompson Creek Metals Co., Inc.
7.375%, 6/01/18			2,579		1,856,880
9.75%, 12/01/17			876		876,000
United States Steel Corp.
8.375%, 7/01/21 (a)			932		978,600
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (a)			386		395,650

					32,866,114

Capital Goods - 3.3%
Accudyne Industries Borrower/Accudyne Industries LLC
7.75%, 12/15/20 (a)			1,194		1,053,705
American Builders & Contractors Supply Co., Inc.
5.75%, 12/15/23 (a)			560		579,600
Apex Tool Group LLC
7.00%, 2/01/21 (a)			1,225		1,056,562
Ardagh Finance Holdings SA
8.625%, 6/15/19 (a)(h)			405		408,685
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
6.00%, 6/30/21 (a)(b)			2,680		2,659,900
7.25%, 5/15/24 (a)			2,150		2,194,344
Ashtead Capital, Inc.
5.625%, 10/01/24 (a)			456		458,280
Berry Plastics Corp.
5.50%, 5/15/22			409		418,714
6.00%, 10/15/22			233		240,864
Bombardier, Inc.
5.75%, 3/15/22 (a)			1,250		1,062,500
6.00%, 10/15/22 (a)			457		390,735
6.125%, 1/15/23 (a)			302		257,455
7.50%, 3/15/25 (a)			418		361,570
7.75%, 3/15/20 (a)			1,266		1,243,845
EnPro Industries, Inc.
5.875%, 9/15/22			970		974,850
Gardner Denver, Inc.
6.875%, 8/15/21 (a)			1,297		1,177,027


Company		Principal Amount (000)		U.S. $ Value
GFL Environmental, Inc.
7.875%, 4/01/20 (a)	U.S.$		309		310,545
9.875%, 2/01/21 (a)			2,234		2,379,210
Herc Spinoff Escrow Issuer LLC/Herc Spinoff Escrow Issuer Corp.
7.75%, 6/01/24 (a)			2,235		2,179,125
KLX, Inc.
5.875%, 12/01/22 (a)			1,621		1,588,580
Masco Corp.
5.95%, 3/15/22			405		452,843
Pactiv LLC
7.95%, 12/15/25			1,110		1,151,625
8.375%, 4/15/27			234		245,700
Plastipak Holdings, Inc.
6.50%, 10/01/21 (a)			846		862,920
Rexam PLC
6.75%, 6/29/67 (a)	EUR		1,725		1,910,107
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
5.125%, 7/15/23 (a)	U.S.$		1,012		1,024,650
7.00%, 7/15/24 (a)			1,040		1,070,680
9.875%, 8/15/19			281		290,133
Sealed Air Corp.
6.875%, 7/15/33 (a)			1,295		1,372,700
SIG Combibloc Holdings SCA
7.75%, 2/15/23 (a)	EUR		682		796,887
Standard Industries, Inc./NJ
6.00%, 10/15/25 (a)	U.S.$		977		1,025,850
Terex Corp.
6.00%, 5/15/21			105		105,131
Textron Financial Corp.
6.00%, 2/15/67 (a)			575		350,750
TransDigm, Inc.
6.375%, 6/15/26 (a)			2,335		2,329,162
6.50%, 7/15/24			462		468,644
United Rentals North America, Inc.
5.50%, 7/15/25			789		777,165
5.75%, 11/15/24			2,058		2,073,435
5.875%, 9/15/26			225		223,313

					37,527,791

Communications - Media - 5.5%
Altice Financing SA
6.625%, 2/15/23 (a)			2,892		2,848,620
7.50%, 5/15/26 (a)			1,582		1,550,360
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (a)	GBP		1,086		1,541,098
CCO Holdings LLC/CCO Holdings Capital Corp.
5.375%, 5/01/25 (a)	U.S.$		128		129,920
5.50%, 5/01/26 (a)			1,012		1,027,180
5.75%, 1/15/24			166		174,698
5.875%, 4/01/24-5/01/27 (a)			877		907,393


Company		Principal Amount (000)		U.S. $ Value
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.125%, 12/15/21 (a)	U.S.$		1,891		1,801,177
6.375%, 9/15/20 (a)			426		433,157
7.75%, 7/15/25 (a)			861		897,593
Clear Channel Worldwide Holdings, Inc.
Series A
6.50%, 11/15/22			555		534,188
Series B
6.50%, 11/15/22			2,499		2,499,000
CSC Holdings LLC
5.25%, 6/01/24			2,467		2,244,970
DISH DBS Corp.
5.875%, 11/15/24			3,394		3,156,420
Gray Television, Inc.
5.875%, 7/15/26 (a)			993		995,483
Hughes Satellite Systems Corp.
7.625%, 6/15/21			2,129		2,291,070
iHeartCommunications, Inc.
6.875%, 6/15/18			2,299		1,609,300
9.00%, 12/15/19			407		305,250
10.00%, 1/15/18			633		325,995
14.00% (12.00% Cash and 2.00% PIK), 2/01/21 (h)			601		214,784
Intelsat Jackson Holdings SA
5.50%, 8/01/23			1,330		844,550
8.00%, 2/15/24 (a)			863		850,055
Intelsat Luxembourg SA
7.75%, 6/01/21			1,788		438,060
LGE HoldCo VI BV
7.125%, 5/15/24 (a)	EUR		968		1,184,347
Liberty Interactive LLC
3.75%, 2/15/30 (i)	U.S.$		884		511,544
Match Group, Inc.
6.375%, 6/01/24 (a)			418		434,720
McClatchy Co. (The)
9.00%, 12/15/22 (b)			958		934,050
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance
7.875%, 5/15/24 (a)			1,456		1,506,960
Mediacom Broadband LLC/Mediacom Broadband Corp.
6.375%, 4/01/23			2,168		2,265,560
Neptune Finco Corp.
10.125%, 1/15/23 (a)			565		631,388
Nexstar Broadcasting, Inc.
6.875%, 11/15/20			1,099		1,147,081
Nielsen Finance LLC/Nielsen Finance Co.
5.00%, 4/15/22 (a)			599		610,980
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.25%, 2/15/22			648		657,720
5.875%, 3/15/25			557		573,710


Company		Principal Amount (000)		U.S. $ Value
Radio One, Inc.
7.375%, 4/15/22 (a)	U.S.$		1,400		1,337,000
9.25%, 2/15/20 (a)			1,761		1,558,485
RR Donnelley & Sons Co.
7.25%, 5/15/18			1,268		1,347,250
Sinclair Television Group, Inc.
5.625%, 8/01/24 (a)			1,500		1,533,750
6.125%, 10/01/22			1,487		1,535,327
TEGNA, Inc.
4.875%, 9/15/21 (a)			284		291,100
5.50%, 9/15/24 (a)			162		166,860
6.375%, 10/15/23			718		762,875
Time, Inc.
5.75%, 4/15/22 (a)			1,486		1,396,840
Townsquare Media, Inc.
6.50%, 4/01/23 (a)			976		963,800
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
5.00%, 1/15/25 (a)			1,078		1,056,440
6.25%, 1/15/29 (a)	EUR		496		609,608
Univision Communications, Inc.
5.125%, 2/15/25 (a)	U.S.$		1,064		1,052,030
6.75%, 9/15/22 (a)			1,561		1,646,855
8.50%, 5/15/21 (a)			342		357,390
UPCB Finance V Ltd.
7.25%, 11/15/21 (a)			432		450,360
UPCB Finance VI Ltd.
6.875%, 1/15/22 (a)			558		580,320
Virgin Media Finance PLC
4.875%, 2/15/22			1,347		1,128,112
5.25%, 2/15/22			900		767,250
Virgin Media Secured Finance PLC
5.50%, 1/15/25 (a)	GBP		423		551,856
Wave Holdco LLC/Wave Holdco Corp.
8.25% (8.25% Cash or 9.00% PIK), 7/15/19 (a)(h)	U.S.$		251		252,054
WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.25%, 7/15/19			3,201		3,313,035
13.375%, 10/15/19			426		452,625
Ziggo Bond Finance BV
5.875%, 1/15/25 (a)			634		611,810

					61,801,413

Communications - Telecommunications - 3.7%
Altice Luxembourg SA
7.25%, 5/15/22 (a)	EUR		1,332		1,487,426
7.75%, 5/15/22 (a)	U.S.$		1,339		1,352,390
CenturyLink, Inc.
Series W
6.75%, 12/01/23			437		429,353
Cincinnati Bell, Inc.
8.375%, 10/15/20			185		192,938


Company		Principal Amount (000)		U.S. $ Value
Columbus International, Inc.
7.375%, 3/30/21 (a)	U.S.$		2,342		2,444,345
CommScope Technologies Finance LLC
6.00%, 6/15/25 (a)			518		530,950
Communications Sales & Leasing, Inc./CSL Capital LLC
6.00%, 4/15/23 (a)			1,345		1,365,175
8.25%, 10/15/23			2,912		2,953,875
Embarq Corp.
7.995%, 6/01/36			932		933,165
Frontier Communications Corp.
6.25%, 9/15/21			373		351,650
7.125%, 1/15/23			11		9,845
7.625%, 4/15/24			2,853		2,524,905
7.875%, 1/15/27			834		692,220
9.00%, 8/15/31			450		395,719
10.50%, 9/15/22			4		4,233
11.00%, 9/15/25			326		337,410
InterXion Holding NV
6.00%, 7/15/20 (a)	EUR		2,601		3,020,103
Level 3 Financing, Inc.
5.375%, 1/15/24	U.S.$		478		479,792
6.125%, 1/15/21			596		621,026
Numericable-SFR SA
5.375%, 5/15/22 (a)	EUR		264		296,958
5.625%, 5/15/24 (a)			386		430,874
6.00%, 5/15/22 (a)	U.S.$		1,610		1,565,725
7.375%, 5/01/26 (a)			330		326,288
Sable International Finance Ltd.
6.875%, 8/01/22 (a)			454		455,961
Sprint Capital Corp.
6.875%, 11/15/28			7		5,495
8.75%, 3/15/32			375		320,625
Sprint Communications, Inc.
6.00%, 11/15/22			700		550,830
Sprint Corp.
7.125%, 6/15/24			520		414,700
7.625%, 2/15/25			1,537		1,216,151
7.875%, 9/15/23			1,320		1,079,100
T-Mobile USA, Inc.
6.00%, 3/01/23			743		769,005
6.375%, 3/01/25			655		684,475
6.542%, 4/28/20			183		188,719
6.625%, 11/15/20			311		320,719
6.731%, 4/28/22			128		134,598
6.836%, 4/28/23			774		817,537
Telecom Italia Capital SA
7.20%, 7/18/36			483		483,604
7.721%, 6/04/38			1,700		1,768,000
Telecom Italia SpA/Milano
5.303%, 5/30/24 (a)			1,002		999,495
WaveDivision Escrow LLC/WaveDivision Escrow Corp.
8.125%, 9/01/20 (a)			1,084		1,127,360
Wind Acquisition Finance SA
4.75%, 7/15/20 (a)			1,029		1,008,420


Company		Principal Amount (000)		U.S. $ Value
7.375%, 4/23/21 (a)	U.S.$		2,214		2,108,835
Windstream Services LLC
6.375%, 8/01/23			982		824,880
7.75%, 10/01/21			1,715		1,616,387
Zayo Group LLC/Zayo Capital, Inc.
6.00%, 4/01/23			917		930,755
6.375%, 5/15/25			1,187		1,210,740

					41,782,756

Consumer Cyclical - Automotive - 1.6%
Commercial Vehicle Group, Inc.
7.875%, 4/15/19 (b)			2,285		2,216,450
Dana Financing Luxembourg Sarl
6.50%, 6/01/26 (a)			1,199		1,167,526
Dana Holding Corp.
6.00%, 9/15/23			833		845,495
Exide Technologies
Series AI
7.00%, 4/30/25 (f)(h)(i)(j)			3,974		2,841,502
11.00%, 4/30/20 (g)(h)			4,776		3,772,713
Gates Global LLC/Gates Global Co.
5.75%, 7/15/22 (a)	EUR		125		115,680
6.00%, 7/15/22 (a)	U.S.$		1,631		1,427,125
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28			400		434,000
8.75%, 8/15/20			112		132,440
Meritor, Inc.
6.25%, 2/15/24			1,093		934,515
6.75%, 6/15/21			925		864,875
Navistar International Corp.
8.25%, 11/01/21			1,836		1,289,790
Schaeffler Holding Finance BV
6.75%, 11/15/22 (a)(h)			611		672,540
ZF North America Capital, Inc.
4.75%, 4/29/25 (a)			1,153		1,168,127

					17,882,778

Consumer Cyclical - Entertainment - 0.6%
AMC Entertainment, Inc.
5.75%, 6/15/25			1,115		1,109,425
Carlson Travel Holdings, Inc.
7.50% (7.50% Cash or 8.25% PIK), 8/15/19 (a)(h)			1,107		1,057,185
Carlson Wagonlit BV
6.875%, 6/15/19 (a)			1,026		1,063,192
ClubCorp Club Operations, Inc.
8.25%, 12/15/23 (a)			546		543,270
Live Nation Entertainment, Inc.
7.00%, 9/01/20 (a)			740		770,525
Pinnacle Entertainment, Inc.
5.625%, 5/01/24 (a)			829		826,928


Company		Principal Amount (000)		U.S. $ Value
Regal Entertainment Group
5.75%, 6/15/23-2/01/25	U.S.$		1,624		1,623,580

					6,994,105

Consumer Cyclical - Other - 3.1%
Beazer Homes USA, Inc.
5.75%, 6/15/19 (b)			1,690		1,537,900
7.50%, 9/15/21			1,307		1,130,555
Boyd Gaming Corp.
6.375%, 4/01/26 (a)			388		405,460
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18 (c)(d)			700		278,250
11.25%, 6/01/17 (c)(d)			435		401,288
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope
8.00%, 10/01/20			1,260		1,263,150
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc.
9.375%, 5/01/22			1,017		945,810
CalAtlantic Group, Inc.
6.625%, 5/01/20			1,332		1,461,870
8.375%, 5/15/18			500		548,125
10.75%, 9/15/16			528		536,712
Cirsa Funding Luxembourg SA
5.75%, 5/15/21 (a)	EUR		396		449,507
Eldorado Resorts, Inc.
7.00%, 8/01/23	U.S.$		798		827,925
GLP Capital LP/GLP Financing II, Inc.
5.375%, 4/15/26			404		416,120
International Game Technology PLC
6.25%, 2/15/22 (a)			2,050		2,083,312
6.50%, 2/15/25 (a)			1,745		1,758,087
Isle of Capri Casinos, Inc.
5.875%, 3/15/21			41		42,538
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21			2,257		1,625,040
7.25%, 10/15/20 (a)			528		456,720
KB Home
4.75%, 5/15/19			1,121		1,123,802
7.00%, 12/15/21			536		538,680
7.50%, 9/15/22			494		508,820
9.10%, 9/15/17			700		745,500
MDC Holdings, Inc.
5.50%, 1/15/24			150		148,500
6.00%, 1/15/43			3,220		2,471,350
Meritage Homes Corp.
6.00%, 6/01/25			1,895		1,904,475
7.00%, 4/01/22			1,012		1,092,960
MGM Growth Properties Operating Partnership LP/MGP Escrow Co-Issuer, Inc.
5.625%, 5/01/24 (a)			311		328,883
New Cotai LLC/New Cotai Capital Corp.
10.625%, 5/01/19 (a)(h)			1,452		896,484


Company		Principal Amount (000)		U.S. $ Value
PulteGroup, Inc.
6.00%, 2/15/35	U.S.$		500		497,500
6.375%, 5/15/33			385		399,438
7.875%, 6/15/32			1,400		1,585,500
Safari Holding Verwaltungs GmbH
8.25%, 2/15/21 (a)	EUR		368		426,480
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (a)	U.S.$		420		415,800
6.125%, 4/01/25 (a)			830		825,850
Taylor Morrison Communities, Inc./Monarch Communities, Inc.
5.625%, 3/01/24 (a)			2,266		2,209,350
5.875%, 4/15/23 (a)			875		879,375
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 3/01/25 (a)(b)			785		759,487
Wynn Macau Ltd.
5.25%, 10/15/21 (a)			1,265		1,230,592

					35,157,195

Consumer Cyclical - Restaurants - 0.3%
1011778 BC ULC/New Red Finance, Inc.
6.00%, 4/01/22 (a)			1,991		2,065,045
Pizzaexpress Financing 1 PLC
8.625%, 8/01/22 (a)	GBP		198		239,732
Pizzaexpress Financing 2 PLC
6.625%, 8/01/21 (a)			692		863,500

					3,168,277

Consumer Cyclical - Retailers - 2.0%
American Tire Distributors, Inc.
10.25%, 3/01/22 (a)	U.S.$		1,663		1,459,282
Argos Merger Sub, Inc.
7.125%, 3/15/23 (a)			2,426		2,498,780
Brighthouse Group PLC
7.875%, 5/15/18 (a)(b)	GBP		762		912,109
Cash America International, Inc.
5.75%, 5/15/18	U.S.$		1,651		1,675,765
Dufry Finance SCA
4.50%, 8/01/23 (a)	EUR		1,208		1,397,553
Group 1 Automotive, Inc.
5.00%, 6/01/22	U.S.$		372		366,420
JC Penney Corp., Inc.
5.875%, 7/01/23 (a)			26		26,163
6.375%, 10/15/36			421		318,781
7.40%, 4/01/37			600		480,000
L Brands, Inc.
6.875%, 11/01/35			230		232,875
6.90%, 7/15/17			893		947,026
6.95%, 3/01/33			500		496,250
7.60%, 7/15/37			1,000		1,037,500
Levi Strauss & Co.
5.00%, 5/01/25			1,380		1,386,900


Company		Principal Amount (000)		U.S. $ Value
Murphy Oil USA, Inc.
6.00%, 8/15/23	U.S.$		716		741,060
Neiman Marcus Group Ltd. LLC
8.75% (8.75% Cash or 9.50% PIK), 10/15/21 (a)(h)			2,504		1,903,040
New Look Secured Issuer PLC
6.50%, 7/01/22 (a)	GBP		418		511,222
Rite Aid Corp.
6.125%, 4/01/23 (a)	U.S.$		2,029		2,165,957
Sally Holdings LLC/Sally Capital, Inc.
5.75%, 6/01/22			1,779		1,843,489
Serta Simmons Bedding LLC
8.125%, 10/01/20 (a)			898		923,818
Sonic Automotive, Inc.
5.00%, 5/15/23			1,133		1,110,340
Wolverine World Wide, Inc.
6.125%, 10/15/20			501		519,161

					22,953,491

Consumer Non-Cyclical - 7.2%
Acadia Healthcare Co., Inc.
6.50%, 3/01/24 (a)			232		235,480
Air Medical Merger Sub Corp.
6.375%, 5/15/23 (a)			1,985		1,885,750
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC
6.625%, 6/15/24 (a)			1,645		1,698,462
Alere, Inc.
6.375%, 7/01/23 (a)			392		408,660
7.25%, 7/01/18			765		785,081
Amsurg Corp.
5.625%, 7/15/22			1,009		1,036,747
Aramark Services, Inc.
5.125%, 1/15/24			274		279,480
BI-LO LLC/BI-LO Finance Corp.
8.625% (8.625% Cash or 9.375% PIK), 9/15/18 (a)(h)			2,117		1,397,220
9.25%, 2/15/19 (a)			1,171		1,018,770
Boparan Finance PLC
5.25%, 7/15/19 (a)(b)	GBP		588		733,852
5.50%, 7/15/21 (a)			1,725		2,003,615
Care UK Health & Social Care PLC
5.588% (LIBOR 3 Month + 5.00%), 7/15/19 (a)(k)			268		292,555
8.088% (LIBOR 3 Month + 7.50%), 1/15/20 (a)(k)			400		426,000
Cerba European Lab SAS
7.00%, 2/01/20 (a)	EUR		959		1,102,031
Cerberus Nightingale 1 SARL
8.25%, 2/01/20 (a)			200		226,167
CHS/Community Health Systems, Inc.
6.875%, 2/01/22 (b)	U.S.$		2,694		2,357,250
7.125%, 7/15/20			781		724,057


Company		Principal Amount (000)		U.S. $ Value
Concordia International Corp.
7.00%, 4/15/23 (a)	U.S.$		186		158,565
9.50%, 10/21/22 (a)			2,240		2,088,800
DaVita HealthCare Partners, Inc.
5.00%, 5/01/25			1,835		1,818,944
Endo Finance LLC
5.75%, 1/15/22 (a)			126		113,702
Endo Finance LLC/Endo Finco, Inc.
7.75%, 1/15/22 (a)			332		307,930
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.
6.00%, 7/15/23-2/01/25 (a)			3,990		3,475,650
First Quality Finance Co., Inc.
4.625%, 5/15/21 (a)			3,247		3,068,415
Galaxy Bidco Ltd.
6.375%, 11/15/20 (a)	GBP		133		173,515
Grifols Worldwide Operations Ltd.
5.25%, 4/01/22	U.S.$		745		758,037
HCA, Inc.
4.25%, 10/15/19			1,475		1,537,687
5.375%, 2/01/25			209		214,225
5.875%, 2/15/26			226		234,475
Hill-Rom Holdings, Inc.
5.75%, 9/01/23 (a)			265		270,963
Holding Medi-Partenaires SAS
7.00%, 5/15/20 (a)	EUR		1,001		1,156,683
7.00%, 5/15/20 (a)(b)			400		461,656
Horizon Pharma, Inc.
6.625%, 5/01/23 (b)	U.S.$		1,682		1,564,260
HRG Group, Inc.
7.875%, 7/15/19			2,084		2,185,595
IASIS Healthcare LLC/IASIS Capital Corp.
8.375%, 5/15/19			3,759		3,610,989
IDH Finance PLC
6.00%, 12/01/18 (a)	GBP		355		458,416
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21 (a)	U.S.$		506		537,939
10.50%, 11/01/18			2,209		2,197,955
LifePoint Health, Inc.
5.875%, 12/01/23			1,448		1,505,920
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (a)			2,087		1,861,854
5.625%, 10/15/23 (a)			270		251,438
5.75%, 8/01/22 (a)			1,181		1,121,950
Manitowoc Foodservice, Inc.
9.50%, 2/15/24 (a)			662		739,785
MEDNAX, Inc.
5.25%, 12/01/23 (a)			422		427,275
MPH Acquisition Holdings LLC
7.125%, 6/01/24 (a)			1,043		1,095,150
NBTY, Inc.
7.625%, 5/15/21 (a)			2,770		2,773,462


Company		Principal Amount (000)		U.S. $ Value
Post Holdings, Inc.
7.75%, 3/15/24 (a)	U.S.$		605		664,744
8.00%, 7/15/25 (a)			1,024		1,135,360
Quorum Health Corp.
11.625%, 4/15/23 (a)			1,100		1,105,500
R&R Ice Cream PLC
8.25%, 5/15/20 (a)	AUD		720		557,004
R&R PIK PLC
9.25%, 5/15/18 (a)(h)	EUR		1,668		1,854,025
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
9.50%, 6/15/19 (e)	U.S.$		413		423,325
RSI Home Products, Inc.
6.50%, 3/15/23 (a)			1,785		1,834,087
Smithfield Foods, Inc.
5.25%, 8/01/18 (a)			814		822,140
5.875%, 8/01/21(a)			1,318		1,374,015
6.625%, 8/15/22			346		362,328
Spectrum Brands, Inc.
6.125%, 12/15/24			361		380,855
6.375%, 11/15/20			338		352,788
6.625%, 11/15/22			560		594,300
Sun Products Corp. (The)
7.75%, 3/15/21 (a)			3,407		3,530,504
Surgical Care Affiliates, Inc.
6.00%, 4/01/23 (a)			480		494,400
Synlab Bondco PLC
6.25%, 7/01/22 (a)	EUR		1,525		1,785,449
Synlab Unsecured Bondco PLC
8.25%, 7/01/23 (a)			400		450,558
Tenet Healthcare Corp.
6.00%, 10/01/20	U.S.$		95		100,225
6.75%, 6/15/23 (b)			1,308		1,252,410
6.875%, 11/15/31			3,384		2,728,350
8.125%, 4/01/22			752		770,650
Valeant Pharmaceuticals International, Inc.
5.50%, 3/01/23 (a)			230		184,719
5.875%, 5/15/23 (a)			396		319,770
6.125%, 4/15/25 (a)			3,104		2,490,960
7.25%, 7/15/22 (a)			635		544,640
Vizient, Inc.
10.375%, 3/01/24 (a)			404		433,290
Voyage Care Bondco PLC
6.50%, 8/01/18 (a)	GBP		1,200		1,529,287

					80,858,095

Energy – 5.2%
Antero Resources Corp.
5.625%, 6/01/23	U.S.$		231		224,070
Berry Petroleum Co. LLC
6.375%, 9/15/22 (c)(d)			3,241		1,118,145
BreitBurn Energy Partners LP/BreitBurn Finance Corp.
7.875%, 4/15/22 (c)(d)			703		140,600


Company		Principal Amount (000)		U.S. $ Value
California Resources Corp.
5.00%, 1/15/20	U.S.$		291		153,503
5.50%, 9/15/21			299		150,995
6.00%, 11/15/24			1,126		551,740
8.00%, 12/15/22 (a)			1,271		902,410
Carrizo Oil & Gas, Inc.
7.50%, 9/15/20			246		249,075
Cenovus Energy, Inc.
4.45%, 9/15/42			822		654,110
6.75%, 11/15/39			67		70,359
CHC Helicopter SA
9.25%, 10/15/20 (c)(d)(g)			6,269		2,789,883
9.375%, 6/01/21 (c)(d)(g)			326		45,682
Cheniere Corpus Christi Holdings LLC
7.00%, 6/30/24 (a)			1,805		1,853,518
Chesapeake Energy Corp.
3.878% (LIBOR 3 Month + 3.25%), 4/15/19(k)			1,829		1,376,322
6.125%, 2/15/21			349		235,575
7.25%, 12/15/18			382		332,340
Cobalt International Energy, Inc.
2.625%, 12/01/19 (i)			796		298,500
Continental Resources, Inc./OK
3.80%, 6/01/24			96		83,760
4.50%, 4/15/23			232		216,340
4.90%, 6/01/44			212		174,900
5.00%, 9/15/22 (b)			973		951,107
DCP Midstream Operating LP
5.60%, 4/01/44			1,848		1,580,040
Denbury Resources, Inc.
4.625%, 7/15/23			439		283,155
5.50%, 5/01/22			406		274,050
Energy Transfer Equity LP
5.875%, 1/15/24			2,828		2,750,230
7.50%, 10/15/20			309		327,540
Energy XXI Gulf Coast, Inc.
7.75%, 6/15/19 (c)(d)			1,100		121,000
Ensco PLC
4.50%, 10/01/24			488		326,960
5.20%, 3/15/25			208		144,560
EP Energy LLC/Everest Acquisition Finance, Inc.
6.375%, 6/15/23			467		280,200
7.75%, 9/01/22			449		273,890
9.375%, 5/01/20			2,884		2,040,430
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22			2,976		2,477,520
Golden Energy Offshore Services AS
5.00%, 12/31/17 (e)	NOK		9,162		295,596
Hilcorp Energy I LP/Hilcorp Finance Co.
5.75%, 10/01/25 (a)	U.S.$		462		441,210
Holly Energy Partners LP/Holly Energy Finance Corp.
6.50%, 3/01/20 (g)			1,317		1,323,585
Hornbeck Offshore Services, Inc.
5.875%, 4/01/20			1,570		993,025


Company		Principal Amount (000)		U.S. $ Value
Laredo Petroleum, Inc.
5.625%, 1/15/22	U.S.$		198		185,130
7.375%, 5/01/22 (b)			1,112		1,114,780
Linn Energy LLC/Linn Energy Finance Corp.
6.25%, 11/01/19 (c)(d)			766		128,305
8.625%, 4/15/20 (c)(d)			802		137,343
Newfield Exploration Co.
5.625%, 7/01/24			646		646,000
Noble Holding International Ltd.
3.95%, 3/15/22			525		365,531
6.95%, 4/01/25 (l)			274		218,515
7.95%, 4/01/45			743		521,958
Northern Oil and Gas, Inc.
8.00%, 6/01/20			819		618,345
Oasis Petroleum, Inc.
6.50%, 11/01/21			128		116,800
6.875%, 3/15/22 (b)			1,641		1,515,874
6.875%, 1/15/23			178		161,980
Pacific Drilling SA
5.375%, 6/01/20 (a)			2,442		732,600
Paragon Offshore PLC
6.75%, 7/15/22 (a)(c)(d)			933		279,900
7.25%, 8/15/24 (a)(c)(d)			3,719		1,115,700
PHI, Inc.
5.25%, 3/15/19			1,567		1,449,475
Precision Drilling Corp.
6.50%, 12/15/21			738		662,355
QEP Resources, Inc.
5.25%, 5/01/23			1,248		1,148,160
6.875%, 3/01/21			1,225		1,237,250
Range Resources Corp.
5.00%, 3/15/23 (b)			928		870,000
Sabine Pass Liquefaction LLC
5.75%, 5/15/24			424		420,820
5.875%, 6/30/26 (a)			578		580,167
6.25%, 3/15/22			675		693,562
Sabine Pass LNG LP
6.50%, 11/01/20			757		787,753
Sanchez Energy Corp.
6.125%, 1/15/23			851		657,397
SandRidge Energy, Inc.
7.50%, 2/15/23 (c)(d)			865		52,981
8.125%, 10/15/22 (c)(d)			2,076		119,370
8.75%, 6/01/20 (a)(c)(d)			800		328,000
Seitel, Inc.
9.50%, 4/15/19			597		410,438
SM Energy Co.
5.00%, 1/15/24			635		542,925
5.625%, 6/01/25			638		548,680
6.50%, 1/01/23			474		440,820
Southern Star Central Corp.
5.125%, 7/15/22 (a)			1,200		1,170,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.75%, 3/15/24 (a)			991		1,015,775
6.875%, 2/01/21			960		976,800


Company		Principal Amount (000)		U.S. $ Value
Tervita Corp.
8.00%, 11/15/18 (e)	U.S.$		2,086		1,992,130
9.75%, 11/01/19 (e)			1,364		361,460
10.875%, 2/15/18 (e)			5,616		1,488,240
Transocean, Inc.
5.05%, 10/15/22 (m)			425		300,688
6.50%, 11/15/20			86		76,428
6.80%, 3/15/38			2,768		1,806,120
Vantage Drilling International
7.125%, 4/01/23 (c)(f)(j)			1,283		0	^
7.50%, 11/01/19 (c)(f)(j)			2,176		0	^
10.00%, 12/31/20 (j)			105		97,650
Weatherford International Ltd./Bermuda
4.50%, 4/15/22			115		98,613
5.95%, 4/15/42			594		421,740
6.50%, 8/01/36			752		539,560
6.75%, 9/15/40			849		628,260
7.00%, 3/15/38			600		444,000
Whiting Petroleum Corp.
1.25%, 4/01/20 (i)			542		428,858
5.00%, 3/15/19			339		311,880
WPX Energy, Inc.
5.25%, 9/15/24			1,428		1,256,640
8.25%, 8/01/23			187		187,468

					58,917,149

Other Industrial - 1.2%
Algeco Scotsman Global Finance PLC
8.50%, 10/15/18 (a)			945		765,450
9.00%, 10/15/18 (a)	EUR		633		565,490
B456 Systems, Inc.
3.75%, 4/15/16 (c)(i)(j)(n)	U.S.$		955		9,550
Belden, Inc.
5.25%, 7/15/24 (a)			793		767,227
Briggs & Stratton Corp.
6.875%, 12/15/20			398		433,820
General Cable Corp.
4.50%, 11/15/29 (i)(m)			1,158		663,679
5.75%, 10/01/22			1,460		1,343,200
Laureate Education, Inc.
9.25%, 9/01/19 (a)			2,984		2,611,000
Liberty Tire Recycling LLC
11.00%, 3/31/21 (e)(f)(h)			1,383		1,172,142
Modular Space Corp.
10.25%, 1/31/19 (a)			1,068		512,640
New Enterprise Stone & Lime Co., Inc.
11.00%, 9/01/18			1,358		1,259,545
12.00%, 3/15/18 (h)			1,405		1,450,920
Safway Group Holding LLC/Safway Finance Corp.
7.00%, 5/15/18 (a)			1,971		1,966,072

					13,520,735


Company		Principal Amount (000)		U.S. $ Value
Services - 0.6%
APX Group, Inc.
6.375%, 12/01/19	U.S.$		469		464,310
7.875%, 12/01/22 (a)			959		966,193
8.75%, 12/01/20			648		594,540
Prime Security Services Borrower LLC/Prime Finance, Inc.
9.25%, 5/15/23 (a)			3,221		3,414,260
Service Corp. International/US
7.50%, 4/01/27			1,500		1,740,000

					7,179,303

Technology - 2.7%
Alcatel-Lucent USA, Inc.
6.45%, 3/15/29			835		870,487
Amkor Technology, Inc.
6.375%, 10/01/22			2,681		2,580,462
Avaya, Inc.
7.00%, 4/01/19 (a)			2,558		1,828,970
10.50%, 3/01/21 (a)			831		186,975
Blackboard, Inc.
7.75%, 11/15/19 (a)			544		456,960
BMC Software Finance, Inc.
8.125%, 7/15/21 (a)			3,076		2,307,000
BMC Software, Inc.
7.25%, 6/01/18			66		62,700
CDW LLC/CDW Finance Corp.
5.00%, 9/01/23			740		745,173
5.50%, 12/01/24			450		464,625
Ceridian HCM Holding, Inc.
11.00%, 3/15/21 (a)			897		892,515
Compiler Finance Sub, Inc.
7.00%, 5/01/21 (a)			411		172,620
CPI International, Inc.
8.75%, 2/15/18			961		956,195
Dell, Inc.
6.50%, 4/15/38			1,345		1,123,075
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
7.125%, 6/15/24 (a)			472		492,967
Energizer Holdings, Inc.
5.50%, 6/15/25 (a)			1,311		1,304,445
Ensemble S Merger Sub, Inc.
9.00%, 9/30/23 (a)			1,702		1,680,725
First Data Corp.
6.75%, 11/01/20 (a)			273		285,285
7.00%, 12/01/23 (a)			628		635,850
Goodman Networks, Inc.
12.125%, 7/01/18 (g)			2,020		1,010,000
Infor Software Parent LLC/Infor Software Parent, Inc.
7.125% (7.125% Cash or 7.875% PIK), 5/01/21 (a)(h)			1,358		1,201,830


Company		Principal Amount (000)		U.S. $ Value
Infor US, Inc.
6.50%, 5/15/22	U.S.$		1,711		1,615,834
Micron Technology, Inc.
5.25%, 8/01/23-1/15/24 (a)			950		807,561
5.50%, 2/01/25			2,844		2,417,400
Nokia Oyj
6.625%, 5/15/39			527		557,302
NXP BV/NXP Funding LLC
5.75%, 3/15/23 (a)			924		965,580
Sabre GLBL, Inc.
5.25%, 11/15/23 (a)			342		347,985
5.375%, 4/15/23 (a)			720		736,200
Solera LLC/Solera Finance, Inc.
10.50%, 3/01/24 (a)			1,089		1,144,811
Syniverse Holdings, Inc.
9.125%, 1/15/19			813		398,370
Western Digital Corp.
10.50%, 4/01/24 (a)			1,760		1,883,200

					30,133,102

Transportation - Airlines - 0.4%
Air Canada
6.75%, 10/01/19 (a)			1,300		1,345,760
8.75%, 4/01/20 (a)			2,074		2,188,070
UAL Pass-Through Trust
Series 2007-1A
6.636%, 7/02/22			1,244		1,315,591

					4,849,421

Transportation - Services - 0.9%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.25%, 3/15/25 (a)			311		281,455
5.50%, 4/01/23 (b)			806		795,925
6.375%, 4/01/24 (a)			460		453,100
Avis Budget Finance PLC
6.00%, 3/01/21 (a)	EUR		1,113		1,269,118
CEVA Group PLC
9.00%, 9/01/21 (a)	U.S.$		1,836		1,441,260
EC Finance PLC
5.125%, 7/15/21 (a)	EUR		836		964,861
Europcar Groupe SA
5.75%, 6/15/22 (a)(b)			670		769,928
Hertz Corp. (The)
5.875%, 10/15/20 (b)	U.S.$		2,191		2,245,775
XPO CNW, Inc.
6.70%, 5/01/34			1,371		904,860
7.25%, 1/15/18			620		623,100


Company		Principal Amount (000)		U.S. $ Value
XPO Logistics, Inc.
6.50%, 6/15/22 (a)	U.S.$		206		196,473

					9,945,855

					465,537,580

Financial Institutions - 5.2%
Banking - 3.0%
Ally Financial, Inc.
8.00%, 11/01/31			1,151		1,349,548
Banco Bilbao Vizcaya Argentaria SA
6.75%, 2/18/20 (a)(o)	EUR		800		759,069
Bank of Ireland
10.00%, 2/12/20 (a)(b)			1,130		1,491,570
Barclays Bank PLC
6.86%, 6/15/32 (a)(o)	U.S.$		166		185,920
7.625%, 11/21/22			1,479		1,591,774
7.70%, 4/25/18 (a)(o)			974		1,014,535
7.75%, 4/10/23			1,437		1,483,703
Barclays PLC
8.00%, 12/15/20 (o)	EUR		263		271,755
BBVA International Preferred SAU
1.384% (EURIBOR 3 Month + 1.65%), 9/22/16 (k)(o)			609		602,847
4.952%, 9/20/16 (a)(b)(o)			1,650		1,739,379
Citigroup, Inc.
5.95%, 1/30/23 (o)	U.S.$		2,689		2,657,068
Credit Agricole SA
7.589%, 1/30/20 (o)	GBP		1,000		1,424,437
8.125%, 12/23/25 (a)(o)	U.S.$		1,461		1,461,000
Credit Suisse Group AG
7.50%, 12/11/23 (a)(o)			4,437		4,437,000
Danske Bank A/S
Series E
5.684%, 2/15/17 (o)	GBP		720		958,500
HT1 Funding GmbH
6.352%, 6/30/17 (o)	EUR		1,550		1,720,542
ING Groep NV
6.00%, 4/16/20 (o)	U.S.$		688		634,680
6.50%, 4/16/25 (o)			1,143		1,051,560
Intesa Sanpaolo SpA
5.71%, 1/15/26 (a)			2,690		2,550,432
Lloyds Banking Group PLC
6.413%, 10/01/35 (a)(o)			235		251,450
6.657%, 5/21/37 (a)(o)			98		105,350
7.50%, 6/27/24 (o)			528		516,120
RBS Capital Trust C
Series 385
1.442% (EURIBOR 3 Month + 1.69%), 7/12/16 (k)(o)	EUR		1,250		1,383,811
Royal Bank of Scotland Group PLC
8.00%, 8/10/25 (o)	U.S.$		1,310		1,221,575


Company		Principal Amount (000)		U.S. $ Value
SNS Bank NV
11.25%, 12/31/49 (c)(f)(j)	EUR		620		0	^
Societe Generale SA
8.00%, 9/29/25 (a)(o)	U.S.$		1,124		1,073,420
UBS Group AG
7.00%, 2/19/25 (a)(o)			2,065		2,090,812
Zions Bancorporation
5.65%, 11/15/23			508		510,540

					34,538,397

Brokerage - 0.0%
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (c)			1,690		118,300

Finance - 1.3%
Artsonig Pty Ltd.
11.50% (11.50% Cash or 12.00 PIK), 4/01/19 (a)(h)			1,651		132,052
Creditcorp
12.00%, 7/15/18 (a)			1,300		494,000
Enova International, Inc.
9.75%, 6/01/21			2,216		1,745,100
ILFC E-Capital Trust II
4.23% (LIBOR 3 Month +1.80%), 12/21/65 (a)(k)			2,000		1,580,000
International Lease Finance Corp.
8.25%, 12/15/20			2,170		2,565,634
8.75%, 3/15/17			282		294,408
8.875%, 9/01/17			280		298,550
Navient Corp.
5.50%, 1/15/19			2,496		2,500,742
5.875%, 3/25/21			572		540,180
6.125%, 3/25/24			250		219,375
7.25%, 1/25/22			377		359,093
8.00%, 3/25/20			233		238,098
Peninsula Gaming LLC/Peninsula Gaming Corp.
8.375%, 2/15/18 (a)(b)			996		1,000,980
TMX Finance LLC/TitleMax Finance Corp.
8.50%, 9/15/18 (a)			2,901		2,320,800

					14,289,012

Insurance - 0.4%
Genworth Holdings, Inc.
6.15%, 11/15/66			750		247,500
7.625%, 9/24/21			1,216		1,035,120
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (a)			2,559		2,789,310

					4,071,930

Other Finance - 0.5%
CNG Holdings, Inc.
9.375%, 5/15/20 (a)			601		294,490


Company		Principal Amount (000)		U.S. $ Value
iPayment, Inc.
9.50%, 12/15/19 (a)	U.S.$		2,315		2,268,367
Lincoln Finance Ltd.
6.875%, 4/15/21 (a)	EUR		1,139		1,352,485
7.375%, 4/15/21 (a)	U.S.$		311		321,885
Speedy Cash Intermediate Holdings Corp.
10.75%, 5/15/18 (a)			778		447,350
Speedy Group Holdings Corp.
12.00%, 11/15/17 (a)			1,711		650,180

					5,334,757

REITS - 0.0%
VEREIT Operating Partnership LP
4.875%, 6/01/26			302		309,550

					58,661,946

Utility - 1.7%
Electric - 1.7%
AES Corp./VA
4.875%, 5/15/23			1,840		1,817,000
7.375%, 7/01/21			634		714,835
Calpine Corp.
5.50%, 2/01/24			985		950,525
5.75%, 1/15/25			1,388		1,349,830
7.875%, 1/15/23 (a)			152		160,360
ContourGlobal Power Holdings SA
5.125%, 6/15/21 (a)	EUR		1,501		1,649,077
7.125%, 6/01/19 (a)	U.S.$		1,703		1,749,833
DPL, Inc.
6.75%, 10/01/19			465		471,975
Dynegy, Inc.
7.375%, 11/01/22			775		747,875
7.625%, 11/01/24			981		941,760
Emera, Inc.
Series 16-A
6.75%, 6/15/76			1,134		1,149,876
FirstEnergy Corp.
Series C
7.375%, 11/15/31			857		1,063,725
GenOn Energy, Inc.
9.50%, 10/15/18			1,450		1,152,750
NRG Energy, Inc.
7.25%, 5/15/26 (a)			1,791		1,782,045
NRG Yield Operating LLC
5.375%, 8/15/24			843		838,785
Talen Energy Supply LLC
4.60%, 12/15/21			1,475		1,084,125
Texas Competitive/TCEH
11.50%, 10/01/20 (d)			626		212,840
Viridian Group FundCo II Ltd.
7.50%, 3/01/20 (a)	EUR		1,311		1,504,712

					19,341,928


Company		Principal Amount (000)		U.S. $ Value
Total Corporates - Non-Investment Grade (cost $581,114,052)					543,541,454

GOVERNMENTS - TREASURIES - 14.8%
Colombia - 0.3%
Colombian TES
Series B
7.75%, 9/18/30	COP		1,920,400		662,062
10.00%, 7/24/24			8,000,000		3,183,959

					3,846,021

Mexico - 0.5%
Mexican Bonos
Series M
6.50%, 6/10/21	MXN		90,000		5,144,348

South Africa - 0.3%
South Africa Government Bond
Series R204
8.00%, 12/21/18	ZAR		10,750		730,990
Series R207
7.25%, 1/15/20			43,372		2,865,944
Series R208
6.75%, 3/31/21			490		31,288

					3,628,222

Turkey - 0.5%
Turkey Government Bond
8.30%, 6/20/18	TRY		16,200		5,600,869

United States - 13.2%
U.S. Treasury Bonds
2.75%, 11/15/42 (p)(q)	U.S.$		3,000		3,300,234
3.125%, 2/15/42 (b)(q)			4,000		4,726,564
4.50%, 2/15/36 (p)			2,400		3,456,938
5.00%, 5/15/37 (q)			3,500		5,380,158
5.25%, 2/15/29 (p)			5,750		8,130,408
6.125%, 11/15/27 (p)(q)			2,200		3,247,578
8.125%, 5/15/21 (b)			26,250		35,154,499
U.S. Treasury Notes
0.875%, 4/15/19 (b)			63,074		63,374,611
1.25%, 1/31/20 (b)			12,500		12,682,612
2.25%, 11/15/25 (q)			8,500		9,068,438

					148,522,040

Total Governments - Treasuries (cost $162,938,909)					166,741,500

COLLATERALIZED MORTGAGE OBLIGATIONS - 12.6%
Risk Share Floating Rate - 8.5%
Bellemeade Re II Ltd.
Series 2016-1A, Class B1
12.453% (LIBOR 1 Month + 12.00%), 4/25/26 (a)(k)			283		283,102
Series 2016-1A, Class M2B


Company		Principal Amount (000)		U.S. $ Value
6.953% (LIBOR 1 Month + 6.50%), 4/25/26 (a)(k)	U.S.$		3,572		3,594,492
Bellemeade Re Ltd.
Series 2015-1A, Class M2
4.746% (LIBOR 1 Month + 4.30%), 7/25/25 (a)(k)			1,220		1,229,150
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
7.603% (LIBOR 1 Month + 7.15%), 7/25/23 (k)			2,350		2,706,673
Series 2013-DN2, Class M2
4.703% (LIBOR 1 Month + 4.25%), 11/25/23 (k)			1,925		1,928,605
Series 2014-DN1, Class M3
4.953% (LIBOR 1 Month + 4.50%), 2/25/24 (k)			1,939		1,986,112
Series 2014-DN2, Class M3
4.053% (LIBOR 1 Month + 3.60%), 4/25/24 (k)			514		497,453
Series 2014-DN3, Class M3
4.453% (LIBOR 1 Month + 4.00%), 8/25/24 (k)			800		797,190
Series 2014-DN4, Class M3
5.003% (LIBOR 1 Month + 4.55%), 10/25/24 (k)			500		509,573
Series 2014-HQ1, Class M3
4.553% (LIBOR 1 Month + 4.10%), 8/25/24 (k)			1,686		1,685,354
Series 2014-HQ2, Class M3
4.203% (LIBOR 1 Month + 3.75%), 9/25/24 (k)			3,710		3,584,507
Series 2014-HQ3, Class M3
5.203% (LIBOR 1 Month + 4.75%), 10/25/24 (k)			5,055		5,167,187
Series 2015-DN1, Class B
11.953% (LIBOR 1 Month + 11.50%), 1/25/25 (k)			524		562,420
Series 2015-DN1, Class M3
4.603% (LIBOR 1 Month + 4.15%), 1/25/25 (k)			1,000		1,038,622
Series 2015-DNA1, Class B
9.653% (LIBOR 1 Month + 9.20%), 10/25/27 (k)			600		656,446
Series 2015-DNA1, Class M3
3.753% (LIBOR 1 Month + 3.30%), 10/25/27 (k)			480		472,862
Series 2015-DNA2, Class B
7.996% (LIBOR 1 Month + 7.55%), 12/25/27 (k)			1,465		1,396,657
Series 2015-DNA3, Class B
9.803% (LIBOR 1 Month + 9.35%), 4/25/28 (k)			1,032		975,320
Series 2015-DNA3, Class M3


Company		Principal Amount (000)		U.S. $ Value
5.153% (LIBOR 1 Month + 4.70%), 4/25/28 (k)	U.S.$		1,184		1,178,841
Series 2015-HQ1, Class B
11.203% (LIBOR 1 Month + 10.75%), 3/25/25 (k)			3,976		3,963,819
Series 2015-HQ1, Class M3
4.253% (LIBOR 1 Month + 3.80%), 3/25/25 (k)			530		547,985
Series 2015-HQA1, Class B
9.253% (LIBOR 1 Month + 8.80%), 3/25/28 (k)			1,015		858,265
Series 2015-HQA1, Class M3
5.153% (LIBOR 1 Month + 4.70%), 3/25/28 (k)			1,455		1,438,883
Series 2015-HQA2, Class M3
5.253% (LIBOR 1 Month + 4.80%), 5/25/28 (k)			490		482,660
Series 2016-DNA1, Class M3
6.003% (LIBOR 1 Month + 5.55%), 7/25/28 (k)			1,555		1,613,561
Series 2016-DNA2, Class B
10.953% (LIBOR 1 Month + 10.50%), 10/25/28 (k)			864		854,898
Series 2016-DNA2, Class M3
5.103% (LIBOR 1 Month + 4.65%), 10/25/28 (k)			811		794,182
Series 2016-DNA3, Class B
11.696% (LIBOR 1 Month + 11.25%), 12/25/28 (k)			2,785		2,765,506
Series 2016-DNA3, Class M3
5.446% (LIBOR 1 Month + 5.00%), 12/25/28 (k)			2,787		2,776,731
Series 2016-HQA1, Class M3
6.803% (LIBOR 1 Month + 6.35%), 9/25/28 (k)			2,603		2,788,183
Series 2016-HQA2, Class B
11.953% (LIBOR 1 Month + 11.50%), 11/25/28 (k)			423		418,737
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M2
5.703% (LIBOR 1 Month + 5.25%), 10/25/23 (k)			1,451		1,536,198
Series 2014-C01, Class M2
4.853% (LIBOR 1 Month + 4.40%), 1/25/24 (k)			3,991		4,053,862
Series 2014-C02, Class 1M2
3.053% (LIBOR 1 Month + 2.60%), 5/25/24 (k)			490		449,937
Series 2014-C03, Class 1M2
3.453% (LIBOR 1 Month + 3.00%), 7/25/24 (k)			1,147		1,080,623
Series 2014-C04, Class 1M2


Company		Principal Amount (000)		U.S. $ Value
5.353% (LIBOR 1 Month + 4.90%), 11/25/24 (k)	U.S.$		3,900		3,996,947
Series 2014-C04, Class 2M2
5.453% (LIBOR 1 Month + 5.00%), 11/25/24 (k)			672		682,691
Series 2015-C01, Class 1M2
4.753% (LIBOR 1 Month + 4.30%), 2/25/25 (k)			3,936		3,995,218
Series 2015-C01, Class 2M2
5.003% (LIBOR 1 Month + 4.55%), 2/25/25 (k)			2,829		2,906,555
Series 2015-C02, Class 1M2
4.453% (LIBOR 1 Month + 4.00%), 5/25/25 (k)			1,119		1,119,117
Series 2015-C02, Class 2M2
4.453% (LIBOR 1 Month + 4.00%), 5/25/25 (k)			2,095		2,094,336
Series 2015-C03, Class 1M2
5.453% (LIBOR 1 Month + 5.00%), 7/25/25 (k)			3,190		3,214,149
Series 2015-C03, Class 2M2
5.453% (LIBOR 1 Month + 5.00%), 7/25/25 (k)			2,748		2,784,238
Series 2015-C04, Class 1M2
6.153% (LIBOR 1 Month + 5.70%), 4/25/28 (k)			3,