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, 2017

Date of reporting period: June 30, 2017

ITEM 1.

SCHEDULE OF INVESTMENTS.

AB Global High Income Fund

Portfolio of Investments

June 30, 2017 (unaudited)


	Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE - 37.2%
Industrial - 31.0%
Basic - 3.0%
AK Steel Corp.
7.625%, 10/01/21	U.S.$	278	$	289,635
Aleris International, Inc.
7.875%, 11/01/20		664		626,803
Anglo American Capital PLC
4.125%, 4/15/21 (a)		200		205,536
4.75%, 4/10/27 (a)		637		654,715
ArcelorMittal
7.25%, 3/01/41		536		591,562
7.50%, 10/15/39		1,938		2,179,246
Ashland LLC
4.75%, 8/15/22		501		523,799
Axalta Coating Systems LLC
4.875%, 8/15/24 (a)		516		534,581
Berry Plastics Corp.
5.50%, 5/15/22		409		425,538
CF Industries, Inc.
4.95%, 6/01/43		595		513,749
5.375%, 3/15/44		545		489,881
Constellium NV
5.75%, 5/15/24 (a)		400		369,396
ERP Iron Ore, LLC
9.04%, 12/31/19 (b)(c)(d)		518		517,913
Freeport-McMoRan, Inc.
5.45%, 3/15/43		584		504,304
6.50%, 11/15/20		867		888,381
6.75%, 2/01/22		1,197		1,235,762
Grinding Media, Inc./MC Grinding Media Canada, Inc.
7.375%, 12/15/23 (a)		1,093		1,183,577
Ineos Finance PLC
4.00%, 5/01/23 (a)	EUR	790		929,697
Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22 (a)	U.S.$	3,215		3,635,487
Lecta SA
6.50%, 8/01/23 (a)	EUR	227		273,896
Lundin Mining Corp.
7.50%, 11/01/20 (a)	U.S.$	396		416,098
7.875%, 11/01/22 (a)		837		917,091
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (e)(f)(g)		2,857		29
Momentive Performance Materials, Inc.
3.88%, 10/24/21		3,472		3,438,776
8.875%, 10/15/20 (b)(g)(h)		3,472		0
Novelis Corp.
5.875%, 9/30/26 (a)		1,573		1,621,956
Pactiv LLC
7.95%, 12/15/25		1,110		1,248,076
Peabody Energy Corp.
6.00%, 11/15/18 (b)(c)(g)		4,310		0
6.00%, 3/31/22 (a)		295		293,967


	Principal Amount (000)		U.S. $ Value
Plastipak Holdings, Inc.
6.50%, 10/01/21 (a)	U.S.$	846	$	874,324
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
5.125%, 7/15/23 (a)		781		810,160
Sealed Air Corp.
6.875%, 7/15/33 (a)		1,295		1,491,146
SIG Combibloc Holdings SCA
7.75%, 2/15/23 (a)	EUR	682		828,255
Smurfit Kappa Acquisitions Unltd Co.
4.875%, 9/15/18 (a)	U.S.$	2,064		2,109,967
Smurfit Kappa Treasury Funding Ltd.
7.50%, 11/20/25		238		284,774
SPCM SA
4.875%, 9/15/25 (a)		975		994,494
Steel Dynamics, Inc.
6.375%, 8/15/22		423		438,072
Teck Resources Ltd.
5.20%, 3/01/42		174		161,627
5.40%, 2/01/43		1,454		1,367,142
6.25%, 7/15/41		238		247,918
United States Steel Corp.
8.375%, 7/01/21 (a)		932		1,025,487
Valvoline, Inc.
5.50%, 7/15/24 (a)		278		295,641
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (a)		386		413,319

				35,851,777

Capital Goods - 2.0%
Accudyne Industries Borrower/Accudyne Industries LLC
7.75%, 12/15/20 (a)		1,194		1,198,449
Apex Tool Group LLC
7.00%, 2/01/21 (a)		1,329		1,239,097
ARD Finance SA
6.625% (6.625% Cash or 7.375% PIK), 9/15/23 (d)	EUR	1,126		1,365,714
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
6.75%, 5/15/24 (a)		2,004		2,556,836
B456 Systems, Inc.
3.75%, 4/15/16 (c)(g)(i)	U.S.$	955		74,013
Bombardier, Inc.
5.75%, 3/15/22 (a)		975		975,462
6.00%, 10/15/22 (a)		112		112,566
7.50%, 3/15/25 (a)		418		433,613
7.75%, 3/15/20 (a)		552		596,540
8.75%, 12/01/21 (a)		546		606,975
BWAY Holding Co.
5.50%, 4/15/24 (a)		1,073		1,096,423


	Principal Amount (000)		U.S. $ Value
Energizer Holdings, Inc.
5.50%, 6/15/25 (a)	U.S.$	1,311	$	1,373,651
EnPro Industries, Inc.
5.875%, 9/15/22		970		1,013,409
Exide Technologies
11.00%, 4/30/22 (a)(d)(h)		4,008		3,376,980
Gates Global LLC/Gates Global Co.
5.75%, 7/15/22 (a)	EUR	125		146,088
6.00%, 7/15/22 (a)	U.S.$	1,096		1,099,267
GFL Environmental, Inc.
5.625%, 5/01/22 (a)		497		508,040
9.875%, 2/01/21 (a)		852		924,702
KLX, Inc.
5.875%, 12/01/22 (a)		877		921,451
Liberty Tire Recycling LLC
11.00%, 3/31/21 (d)(f)		1,540		877,549
Textron Financial Corp.
2.917% (LIBOR 3 Month + 1.74%), 2/15/42 (a)(j)		575		497,013
TransDigm, Inc.
6.375%, 6/15/26		2,335		2,373,939
6.50%, 7/15/24		462		475,877

				23,843,654

Communications - Media - 4.4%
Altice Financing SA
6.625%, 2/15/23 (a)		2,892		3,069,939
7.50%, 5/15/26 (a)		1,582		1,755,240
Altice Luxembourg SA
7.25%, 5/15/22 (a)	EUR	1,332		1,613,778
CCO Holdings LLC/CCO Holdings Capital Corp.
5.375%, 5/01/25 (a)	U.S.$	128		136,238
5.75%, 1/15/24		166		174,852
5.875%, 5/01/27 (a)		499		531,644
Cequel Communications Holdings I LLC/Cequel Capital Corp.
6.375%, 9/15/20 (a)		298		304,512
7.75%, 7/15/25 (a)		861		956,139
Clear Channel Worldwide Holdings, Inc.
Series A
6.50%, 11/15/22		555		565,682
Series B
6.50%, 11/15/22		2,499		2,566,903
CSC Holdings LLC
10.125%, 1/15/23 (a)		565		654,694
DISH DBS Corp.
5.875%, 11/15/24		2,185		2,325,976
Gray Television, Inc.
5.125%, 10/15/24 (a)		1,037		1,046,596
iHeartCommunications, Inc.
6.875%, 6/15/18		2,016		1,193,184
9.00%, 12/15/19-3/01/21		1,630		1,248,574
10.625%, 3/15/23		142		106,916


	Principal Amount (000)		U.S. $ Value
11.25%, 3/01/21 (a)	U.S.$	254	$	191,245
14.00% (12.00% Cash and 2.00% PIK), 2/01/21 (d)		305		64,789
Liberty Interactive LLC
3.75%, 2/15/30 (i)		882		586,592
McClatchy Co. (The)
9.00%, 12/15/22 (k)		958		993,800
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance
7.875%, 5/15/24 (a)		1,700		1,653,537
Mediacom Broadband LLC/Mediacom Broadband Corp.
6.375%, 4/01/23		2,168		2,270,861
Netflix, Inc.
4.375%, 11/15/26 (a)		1,552		1,553,434
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.25%, 2/15/22		648		670,621
Radiate Holdco LLC/Radiate Finance, Inc.
6.625%, 2/15/25 (a)		1,057		1,061,951
SFR Group SA
5.375%, 5/15/22 (a)	EUR	264		314,502
5.625%, 5/15/24 (a)		386		475,057
6.00%, 5/15/22 (a)	U.S.$	307		320,792
7.375%, 5/01/26 (a)		2,723		2,953,102
Sinclair Television Group, Inc.
5.625%, 8/01/24 (a)		529		542,807
6.125%, 10/01/22		1,487		1,547,719
TEGNA, Inc.
4.875%, 9/15/21 (a)		284		292,040
5.50%, 9/15/24 (a)		162		166,812
6.375%, 10/15/23		718		758,109
Time, Inc.
5.75%, 4/15/22 (a)		777		797,557
Townsquare Media, Inc.
6.50%, 4/01/23 (a)		976		983,868
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
5.00%, 1/15/25 (a)		1,078		1,129,746
6.25%, 1/15/29 (a)	EUR	496		642,443
Univision Communications, Inc.
5.125%, 2/15/25 (a)	U.S.$	1,064		1,053,816
Urban One, Inc.
7.375%, 4/15/22 (a)		1,400		1,447,250
9.25%, 2/15/20 (a)		1,761		1,701,179
Virgin Media Finance PLC
4.875%, 2/15/22		1,347		1,256,240
5.25%, 2/15/22		900		842,053
Virgin Media Receivables Financing Notes I DAC
5.50%, 9/15/24 (a)	GBP	128		174,189


	Principal Amount (000)		U.S. $ Value
Virgin Media Secured Finance PLC
5.50%, 1/15/25 (a)	GBP	423	$	580,323
Wave Holdco LLC/Wave Holdco Corp.
8.25% (8.25% Cash or 9.00% PIK), 7/15/19 (a)(d)	U.S.$	262		263,157
WaveDivision Escrow LLC/WaveDivision Escrow Corp.
8.125%, 9/01/20 (a)		1,084		1,122,151
WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.25%, 7/15/19		2,831		2,908,983
Ziggo Bond Co. BV
7.125%, 5/15/24 (a)	EUR	968		1,240,625
Ziggo Bond Finance BV
5.875%, 1/15/25 (a)	U.S.$	634		649,146
Ziggo Secured Finance BV
5.50%, 1/15/27 (a)		1,013		1,041,202

				52,502,565

Communications - Telecommunications - 3.0%
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (a)	GBP	1,086		1,507,031
CenturyLink, Inc.
Series W
6.75%, 12/01/23	U.S.$	437		470,652
Cincinnati Bell, Inc.
7.00%, 7/15/24 (a)		1,151		1,204,439
Clear Channel Communications, Inc.
12.00%, 8/01/21 (g)		607		1,092
Embarq Corp.
7.995%, 6/01/36		1,600		1,607,379
Frontier Communications Corp.
6.875%, 1/15/25		45		35,155
7.125%, 1/15/23		11		9,182
7.625%, 4/15/24		1,118		921,510
7.875%, 1/15/27		834		605,774
9.00%, 8/15/31		450		360,093
10.50%, 9/15/22		511		488,369
11.00%, 9/15/25		267		246,796
Hughes Satellite Systems Corp.
7.625%, 6/15/21		1,437		1,630,489
Intelsat Jackson Holdings SA
5.50%, 8/01/23		1,675		1,384,145
7.25%, 4/01/19-10/15/20		955		931,414
7.50%, 4/01/21		820		757,647
8.00%, 2/15/24 (a)		216		232,806
9.50%, 9/30/22 (a)		516		615,376
9.75%, 7/15/25 (a)		1,102		1,100,238
Level 3 Financing, Inc.
5.375%, 1/15/24		478		499,409
6.125%, 1/15/21		596		614,117
Sable International Finance Ltd.
6.875%, 8/01/22 (a)		454		489,866
Sprint Corp.
7.625%, 2/15/25		1,736		1,997,025


	Principal Amount (000)		U.S. $ Value
7.875%, 9/15/23	U.S.$	937	$	1,076,504
T-Mobile USA, Inc.
6.00%, 3/01/23		743		786,570
6.375%, 3/01/25		655		707,793
6.836%, 4/28/23		543		578,399
Telecom Italia Capital SA
7.20%, 7/18/36		483		560,702
7.721%, 6/04/38		1,700		2,057,551
Telecom Italia SpA/Milano
5.303%, 5/30/24 (a)		1,002		1,079,683
Uniti Group, Inc./CSL Capital LLC
6.00%, 4/15/23 (a)		1,345		1,398,671
8.25%, 10/15/23		2,912		3,002,991
Wind Acquisition Finance SA
4.75%, 7/15/20 (a)		785		793,327
7.375%, 4/23/21 (a)		2,214		2,301,258
Windstream Services LLC
6.375%, 8/01/23		982		810,034
7.75%, 10/01/21 (k)		1,715		1,612,105
Zayo Group LLC/Zayo Capital, Inc.
5.75%, 1/15/27 (a)		300		314,328
6.00%, 4/01/23		488		513,714
6.375%, 5/15/25		1,187		1,282,745

				36,586,379

Consumer Cyclical - Automotive - 1.0%
Adient Global Holdings Ltd.
4.875%, 8/15/26 (a)		1,323		1,325,064
BCD Acquisition, Inc.
9.625%, 9/15/23 (a)		2,184		2,354,966
Cooper-Standard Automotive, Inc.
5.625%, 11/15/26 (a)		1,101		1,106,481
Dana Financing Luxembourg SARL
5.75%, 4/15/25 (a)		215		222,711
6.50%, 6/01/26 (a)		1,379		1,470,613
Exide Technologies
7.00%, 4/30/25 (d)(f)(i)		157		94,101
Series AI
7.00%, 4/30/25 (c)(d)(i)		4,257		2,554,310
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28		400		444,896
8.75%, 8/15/20		112		132,329
IHO Verwaltungs GmbH
4.125% (4.125% Cash or 4.875% PIK), 9/15/21 (a)(d)		889		906,217
Meritor, Inc.
6.25%, 2/15/24		445		462,615
ZF North America Capital, Inc.
4.75%, 4/29/25 (a)		1,153		1,214,721

				12,289,024

Consumer Cyclical - Entertainment - 0.3%
AMC Entertainment Holdings, Inc.
5.875%, 11/15/26 (a)		1,180		1,230,848


	Principal Amount (000)		U.S. $ Value
ClubCorp Club Operations, Inc.
8.25%, 12/15/23 (a)	U.S.$	546	$	594,999
Silversea Cruise Finance Ltd.
7.25%, 2/01/25 (a)		1,409		1,502,276

				3,328,123

Consumer Cyclical - Other - 2.9%
Beazer Homes USA, Inc.
6.75%, 3/15/25		1,400		1,459,024
8.75%, 3/15/22		99		110,240
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18 (e)(g)		700		649,250
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope
8.00%, 10/01/20		1,260		1,298,470
CalAtlantic Group, Inc.
6.625%, 5/01/20		1,332		1,472,320
8.375%, 5/15/18		2,362		2,484,841
Cirsa Funding Luxembourg SA
5.75%, 5/15/21 (a)	EUR	396		478,926
Diamond Resorts International, Inc.
7.75%, 9/01/23 (a)	U.S.$	1,139		1,207,304
Eldorado Resorts, Inc.
6.00%, 4/01/25 (a)		676		715,775
GLP Capital LP/GLP Financing II, Inc.
5.375%, 4/15/26		404		440,144
International Game Technology PLC
6.25%, 2/15/22 (a)		977		1,067,952
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21		2,257		2,111,780
7.25%, 10/15/20 (a)		778		791,962
KB Home
7.00%, 12/15/21		536		601,509
7.50%, 9/15/22		494		559,460
9.10%, 9/15/17		436		441,435
MDC Holdings, Inc.
5.50%, 1/15/24		150		159,540
6.00%, 1/15/43		3,220		2,994,262
Meritage Homes Corp.
6.00%, 6/01/25		1,895		2,033,411
Pinnacle Entertainment, Inc.
5.625%, 5/01/24 (a)		829		863,418
PulteGroup, Inc.
5.00%, 1/15/27		115		118,077
6.00%, 2/15/35		500		505,173
7.875%, 6/15/32		1,400		1,617,748
RSI Home Products, Inc.
6.50%, 3/15/23 (a)		2,212		2,333,308
Safari Holding Verwaltungs GmbH
8.25%, 2/15/21 (a)	EUR	243		288,969
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (a)	U.S.$	420		432,008
6.125%, 4/01/25 (a)		830		856,434


	Principal Amount (000)		U.S. $ Value
Standard Industries, Inc./NJ
6.00%, 10/15/25 (a)	U.S.$	977	$	1,040,505
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.
5.875%, 5/15/25 (a)		685		667,523
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.
5.625%, 3/01/24 (a)		1,700		1,781,437
5.875%, 4/15/23 (a)		875		933,012
Toll Brothers Finance Corp.
4.875%, 3/15/27		1,124		1,157,309
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 3/01/25 (a)		785		826,443

				34,498,969

Consumer Cyclical - Restaurants - 0.2%
1011778 BC ULC/New Red Finance, Inc.
6.00%, 4/01/22 (a)		1,014		1,050,303
Landry’s, Inc.
6.75%, 10/15/24 (a)		390		399,241
Pizzaexpress Financing 2 PLC
6.625%, 8/01/21 (a)	GBP	692		896,832

				2,346,376

Consumer Cyclical - Retailers - 1.1%
Dufry Finance SCA
4.50%, 8/01/23 (a)	EUR	1,208		1,471,123
FirstCash, Inc.
5.375%, 6/01/24 (a)	U.S.$	268		279,243
Group 1 Automotive, Inc.
5.00%, 6/01/22		372		378,260
JC Penney Corp., Inc.
6.375%, 10/15/36		421		303,222
7.40%, 4/01/37		600		457,567
L Brands, Inc.
6.875%, 11/01/35		230		222,450
6.95%, 3/01/33		500		483,821
7.60%, 7/15/37		1,000		1,000,272
Levi Strauss & Co.
5.00%, 5/01/25		1,380		1,443,487
Neiman Marcus Group Ltd. LLC
8.00%, 10/15/21 (a)		2,115		1,157,962
8.75%, 10/15/21 (a)(d)		386		187,210
New Look Secured Issuer PLC
6.50%, 7/01/22 (a)	GBP	418		402,213
Penske Automotive Group, Inc.
5.50%, 5/15/26	U.S.$	946		943,361
PetSmart, Inc.
7.125%, 3/15/23 (a)		1,140		1,015,131
Rite Aid Corp.
6.125%, 4/01/23 (a)		536		526,679


	Principal Amount (000)		U.S. $ Value
Sally Holdings LLC/Sally Capital, Inc.
5.75%, 6/01/22	U.S.$	1,779	$	1,830,146
Sonic Automotive, Inc.
5.00%, 5/15/23		534		509,420
6.125%, 3/15/27 (a)		817		809,463

				13,421,030

Consumer Non-Cyclical - 4.2%
Acadia Healthcare Co., Inc.
6.50%, 3/01/24		684		732,295
Air Medical Group Holdings, Inc.
6.375%, 5/15/23 (a)		1,985		1,880,267
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC
5.75%, 3/15/25 (a)		274		255,296
6.625%, 6/15/24 (a)		1,712		1,697,123
Alere, Inc.
6.375%, 7/01/23 (a)		392		422,017
7.25%, 7/01/18		765		766,489
BI-LO LLC/BI-LO Finance Corp.
8.625% (8.625% Cash or 9.375% PIK), 9/15/18 (a)(d)		1,809		814,050
9.25%, 2/15/19 (a)		1,553		1,327,057
Boparan Finance PLC
5.50%, 7/15/21(a)	GBP	966		1,223,650
Catalent Pharma Solutions, Inc.
4.75%, 12/15/24 (a)	EUR	400		488,993
CHS/Community Health Systems, Inc.
6.875%, 2/01/22	U.S.$	3,223		2,815,600
7.125%, 7/15/20		828		806,217
8.00%, 11/15/19		408		411,168
Concordia International Corp.
7.00%, 4/15/23 (a)		186		27,667
9.50%, 10/21/22 (a)		3,137		548,975
DaVita, Inc.
5.00%, 5/01/25		496		496,719
Eagle Holding Company II, LLC
7.625% (7.625% Cash or 8.375% PIK), 5/15/22 (a)(d)		179		183,946
Endo Dac/Endo Finance LLC/Endo Finco, Inc.
6.00%, 7/15/23-2/01/25 (a)		3,790		3,146,955
Endo Finance LLC
5.75%, 1/15/22 (a)		458		413,083
Endo Finance LLC/Endo Finco, Inc.
5.375%, 1/15/23 (a)		200		166,971
Envision Healthcare Corp.
5.625%, 7/15/22		1,009		1,047,402
6.25%, 12/01/24 (a)		694		738,905
First Quality Finance Co., Inc.
4.625%, 5/15/21 (a)		3,247		3,290,357
HCA, Inc.
4.25%, 10/15/19		1,475		1,528,029
4.50%, 2/15/27		135		138,622


	Principal Amount (000)		U.S. $ Value
5.25%, 6/15/26	U.S.$	235	$	253,142
Hill-Rom Holdings, Inc.
5.75%, 9/01/23 (a)		265		279,524
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21 (a)		506		535,978
Lamb Weston Holdings, Inc.
4.625%, 11/01/24 (a)		439		451,256
4.875%, 11/01/26 (a)		440		455,623
LifePoint Health, Inc.
5.375%, 5/01/24		258		267,409
5.875%, 12/01/23		1,448		1,528,115
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (a)		772		672,979
5.625%, 10/15/23 (a)		394		359,269
5.75%, 8/01/22 (a)		1,181		1,110,356
MEDNAX, Inc.
5.25%, 12/01/23 (a)		422		435,285
MPH Acquisition Holdings LLC
7.125%, 6/01/24 (a)		1,563		1,666,338
Nature’s Bounty Co. (The)
7.625%, 5/15/21 (a)		2,010		2,130,996
Post Holdings, Inc.
5.00%, 8/15/26 (a)		442		440,668
5.50%, 3/01/25 (a)		642		662,543
Revlon Consumer Products Corp.
6.25%, 8/01/24		568		495,183
Spectrum Brands, Inc.
4.00%, 10/01/26 (a)	EUR	530		628,996
6.125%, 12/15/24	U.S.$	361		387,214
6.625%, 11/15/22		560		586,548
Synlab Bondco PLC
6.25%, 7/01/22 (a)	EUR	1,525		1,883,565
Synlab Unsecured Bondco PLC
8.25%, 7/01/23 (a)		700		891,714
Tenet Healthcare Corp.
6.00%, 10/01/20	U.S.$	95		101,724
6.75%, 6/15/23		1,308		1,306,743
6.875%, 11/15/31		1,174		1,077,036
8.00%, 8/01/20		351		356,598
8.125%, 4/01/22		752		799,878
Valeant Pharmaceuticals International
7.00%, 10/01/20 (a)		330		325,095
7.25%, 7/15/22 (a)		635		599,701
Valeant Pharmaceuticals International, Inc.
5.375%, 3/15/20 (a)		846		817,157
5.50%, 3/01/23 (a)		230		195,807
5.875%, 5/15/23 (a)		212		181,790
6.125%, 4/15/25 (a)		1,176		997,046
6.50%, 3/15/22 (a)		287		301,021
Vizient, Inc.
10.375%, 3/01/24 (a)		404		464,748


	Principal Amount (000)		U.S. $ Value
Voyage Care Bondco PLC
5.875%, 5/01/23 (a)	GBP	891	$	1,204,852

				50,219,750

Energy - 3.4%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.
7.875%, 12/15/24 (a)	U.S.$	897		903,560
Berry Petroleum Co. LLC
6.375%, 9/15/22 (b)(c)(g)		2,383		0
Bill Barrett Corp.
8.75%, 6/15/25 (a)		758		637,448
California Resources Corp.
5.50%, 9/15/21		299		173,254
6.00%, 11/15/24		232		108,619
8.00%, 12/15/22 (a)		2,618		1,656,880
Carrizo Oil & Gas, Inc.
7.50%, 9/15/20		246		247,174
8.25%, 7/15/25		301		307,695
Cheniere Corpus Christi Holdings LLC
7.00%, 6/30/24		930		1,037,074
Chesapeake Energy Corp.
4.875%, 4/15/22 (k)		2,138		1,983,215
6.125%, 2/15/21		505		494,400
8.00%, 1/15/25 (a)		111		110,516
Continental Resources, Inc./OK
3.80%, 6/01/24		96		87,975
4.90%, 6/01/44		212		177,840
5.00%, 9/15/22		885		868,392
DCP Midstream Operating LP
5.60%, 4/01/44		1,848		1,734,524
Denbury Resources, Inc.
4.625%, 7/15/23		439		233,168
5.50%, 5/01/22		530		298,976
Energy Transfer Equity LP
7.50%, 10/15/20		309		346,058
Ensco PLC
4.50%, 10/01/24		290		224,333
5.20%, 3/15/25		406		328,077
EP Energy LLC/Everest Acquisition Finance, Inc.
6.375%, 6/15/23		467		274,390
7.75%, 9/01/22		449		274,365
8.00%, 2/15/25 (a)		1,792		1,334,063
9.375%, 5/01/20		631		498,709
Golden Energy Offshore Services AS
5.00%, 12/31/17 (f)	NOK	9,162		438,970
Gulfport Energy Corp.
6.375%, 5/15/25 (a)	U.S.$	782		767,308
Hilcorp Energy I LP/Hilcorp Finance Co.
5.00%, 12/01/24 (a)		340		312,716
5.75%, 10/01/25 (a)		1,610		1,516,292
Murphy Oil Corp.
6.875%, 8/15/24		208		217,337
Murphy Oil USA, Inc.
5.625%, 5/01/27		69		71,908


	Principal Amount (000)		U.S. $ Value
6.00%, 8/15/23	U.S.$	716	$	754,569
Noble Holding International Ltd.
5.25%, 3/15/42		191		104,573
6.20%, 8/01/40		276		165,255
7.70%, 4/01/25 (l)		375		289,121
7.75%, 1/15/24		555		438,979
Northern Oil and Gas, Inc.
8.00%, 6/01/20		819		573,202
Oasis Petroleum, Inc.
6.875%, 3/15/22		347		338,010
Pacific Drilling SA
5.375%, 6/01/20 (a)		2,442		1,123,320
Paragon Offshore PLC
6.75%, 7/15/22 (a)(e)(g)		933		209,925
7.25%, 8/15/24 (a)(e)(g)		3,719		860,019
PDC Energy, Inc.
6.125%, 9/15/24 (a)		490		497,271
PHI, Inc.
5.25%, 3/15/19		1,567		1,449,475
QEP Resources, Inc.
5.25%, 5/01/23		1,248		1,189,235
6.875%, 3/01/21		1,225		1,270,782
Range Resources Corp.
5.00%, 8/15/22 (a)		20		19,637
5.00%, 3/15/23 (a)(k)		950		928,418
5.875%, 7/01/22 (a)		97		98,300
Rowan Cos., Inc.
5.40%, 12/01/42		536		379,570
7.375%, 6/15/25		905		844,410
Sanchez Energy Corp.
6.125%, 1/15/23		851		679,120
SandRidge Energy, Inc.
7.50%, 2/15/23 (b)(c)(g)		865		0
8.125%, 10/15/22 (b)(c)(g)		2,076		0
Seitel, Inc.
9.50%, 4/15/19		597		592,207
SM Energy Co.
5.625%, 6/01/25		725		650,503
Southern Star Central Corp.
5.125%, 7/15/22 (a)		1,200		1,220,125
Transocean Phoenix 2 Ltd.
7.75%, 10/15/24 (a)		1,155		1,225,835
Transocean, Inc.
5.80%, 10/15/22		1,092		1,014,746
6.80%, 3/15/38		2,443		1,780,454
9.00%, 7/15/23 (a)		652		676,450
Vantage Drilling International
7.125%, 4/01/23 (b)(c)(g)		1,283		0
7.50%, 11/01/19 (b)(c)(g)		2,176		0
10.00%, 12/31/20 (c)		105		100,800
10.00%, 12/31/20 (f)		87		83,520
Weatherford International Ltd.
5.95%, 4/15/42		594		472,343
6.50%, 8/01/36		752		637,601


	Principal Amount (000)		U.S. $ Value
6.75%, 9/15/40	U.S.$	849	$	721,797
7.00%, 3/15/38		600		510,155
9.875%, 2/15/24 (a)		806		841,340
Whiting Petroleum Corp.
1.25%, 4/01/20 (i)		542		457,990
5.00%, 3/15/19		593		589,143
WPX Energy, Inc.
8.25%, 8/01/23		187		202,759

				41,656,195

Other Industrial - 1.2%
Algeco Scotsman Global Finance PLC
8.50%, 10/15/18 (a)		945		885,938
9.00%, 10/15/18 (a)	EUR	633		676,104
American Builders & Contractors Supply Co., Inc.
5.75%, 12/15/23 (a)	U.S.$	560		591,374
American Tire Distributors, Inc.
10.25%, 3/01/22 (a)(k)		2,113		2,199,263
General Cable Corp.
4.50%, 11/15/29 (i)(m)		1,158		873,566
5.75%, 10/01/22		967		959,836
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22		2,976		3,008,489
HRG Group, Inc.
7.875%, 7/15/19		2,084		2,137,992
Laureate Education, Inc.
8.25%, 5/01/25 (a)		1,085		1,157,251
9.25%, 9/01/19 (c)		1,628		1,675,219

				14,165,032

Services - 1.5%
Alpine Finance Merger Sub LLC
6.875%, 8/01/25 (a)		302		308,177
APX Group, Inc.
7.875%, 12/01/22		1,746		1,894,883
8.75%, 12/01/20		1,328		1,369,905
Aramark Services, Inc.
5.125%, 1/15/24		274		287,710
Carlson Travel, Inc.
6.75%, 12/15/23 (a)		255		259,905
Ceridian HCM Holding, Inc.
11.00%, 3/15/21 (a)		897		947,519
CSVC Acquisition Corp.
7.75%, 6/15/25 (a)		1,046		1,068,730
eDreams ODIGEO SA
8.50%, 8/01/21 (a)	EUR	1,597		1,986,219
Gartner, Inc.
5.125%, 4/01/25 (a)	U.S.$	482		505,833
GEO Group, Inc. (The)
5.125%, 4/01/23		162		162,912
5.875%, 1/15/22-10/15/24		670		693,305
6.00%, 4/15/26		522		542,884


	Principal Amount (000)		U.S. $ Value
KAR Auction Services, Inc.
5.125%, 6/01/25 (a)	U.S.$	458	$	467,142
Nielsen Finance LLC/Nielsen Finance Co.
5.00%, 4/15/22 (a)		599		621,306
Prime Security Services Borrower LLC/Prime Finance, Inc.
9.25%, 5/15/23 (a)		2,871		3,117,128
Ritchie Bros Auctioneers, Inc.
5.375%, 1/15/25 (a)		366		383,659
Sabre GLBL, Inc.
5.25%, 11/15/23 (a)		342		355,748
5.375%, 4/15/23 (a)		720		749,139
Service Corp. International/US
7.50%, 4/01/27		1,500		1,808,448
Team Health Holdings, Inc.
6.375%, 2/01/25 (a)(k)		861		833,992

				18,364,544

Technology - 1.6%
Amkor Technology, Inc.
6.375%, 10/01/22		2,681		2,786,918
Avaya, Inc.
10.50%, 3/01/21 (a)(e)(g)		3,710		366,363
BMC Software Finance, Inc.
8.125%, 7/15/21 (a)		2,349		2,431,791
BMC Software, Inc.
7.25%, 6/01/18		44		45,725
Boxer Parent Co., Inc.
9.00% (9.00% Cash or 9.75% PIK), 10/15/19 (a)(d)		821		822,410
CDW LLC/CDW Finance Corp.
5.50%, 12/01/24		270		292,303
Compiler Finance Sub, Inc.
7.00%, 5/01/21 (a)		411		206,528
Conduent Finance, Inc./Xerox Business Services LLC
10.50%, 12/15/24 (a)		1,371		1,595,235
CURO Financial Technologies Corp.
12.00%, 3/01/22 (a)		671		703,575
Dell International LLC/EMC Corp.
7.125%, 6/15/24 (a)		251		275,998
Dell, Inc.
6.50%, 4/15/38		1,345		1,356,661
Goodman Networks, Inc.
8.00%, 5/11/22		699		660,512
Infor US, Inc.
6.50%, 5/15/22		1,286		1,330,589
Micron Technology, Inc.
5.25%, 8/01/23-1/15/24 (a)		950		983,792
5.50%, 2/01/25		686		724,267
Nokia Oyj
6.625%, 5/15/39		527		606,593
Quintiles IMS, Inc.
3.25%, 3/15/25 (a)	EUR	782		907,489


	Principal Amount (000)		U.S. $ Value
Solera LLC/Solera Finance, Inc.
10.50%, 3/01/24 (a)	U.S.$	905	$	1,038,947
Symantec Corp.
5.00%, 4/15/25 (a)		687		718,678
Western Digital Corp.
10.50%, 4/01/24		860		1,014,373

				18,868,747

Transportation - Airlines - 0.1%
UAL Pass-Through Trust
Series 2007-1A
6.636%, 7/02/22		1,133		1,227,386

Transportation - Services - 1.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.25%, 3/15/25 (a)		311		294,114
5.50%, 4/01/23		524		520,484
CEVA Group PLC
9.00%, 9/01/21 (a)		1,836		1,547,460
EC Finance PLC
5.125%, 7/15/21 (a)	EUR	836		979,489
Europcar Groupe SA
5.75%, 6/15/22 (a)		670		805,504
Herc Rentals, Inc.
7.75%, 6/01/24 (a)	U.S.$	1,711		1,804,884
Hertz Corp. (The)
5.50%, 10/15/24 (a)		2,807		2,301,586
7.625%, 6/01/22 (a)		850		847,988
Loxam SAS
3.50%, 4/15/22 (a)	EUR	186		221,214
4.25%, 4/15/24 (a)		138		166,360
United Rentals North America, Inc.
5.50%, 5/15/27	U.S.$	477		491,514
5.75%, 11/15/24		1,005		1,054,526
XPO CNW, Inc.
6.70%, 5/01/34		1,371		1,342,416
7.25%, 1/15/18		620		633,233
XPO Logistics, Inc.
6.125%, 9/01/23 (a)		522		546,705

				13,557,477

				372,727,028

Financial Institutions - 5.1%
Banking - 3.2%
Ally Financial, Inc.
8.00%, 11/01/31		1,151		1,401,386
Banca Popolare di Vicenza
2.75%, 3/20/20 (a)	EUR	482		572,679
Banco Bilbao Vizcaya Argentaria SA
8.875%, 4/14/21 (a)(n)		2,000		2,616,015
Banco Santander SA
6.25%, 3/12/19 (a)(n)		1,000		1,174,844


	Principal Amount (000)		U.S. $ Value
Bank of Ireland
7.375%, 6/18/20 (a)(n)	EUR	1,455	$	1,807,994
Barclays Bank PLC
6.86%, 6/15/32 (a)(n)	U.S.$	166		193,547
7.70%, 4/25/18 (a)(n)		1,105		1,150,582
Barclays PLC
8.00%, 12/15/20 (n)	EUR	1,732		2,170,090
Citigroup, Inc.
5.95%, 1/30/23 (n)	U.S.$	2,689		2,860,526
Credit Agricole SA
7.589%, 1/30/20 (n)	GBP	1,000		1,456,966
8.125%, 12/23/25 (a)(n)	U.S.$	1,461		1,696,586
Credit Suisse Group AG
6.25%, 12/18/24 (a)(n)		1,404		1,492,365
7.50%, 12/11/23 (a)(n)		3,043		3,411,964
Intesa Sanpaolo SpA
3.928%, 9/15/26 (a)	EUR	434		524,108
5.71%, 1/15/26 (a)	U.S.$	2,078		2,199,172
Lloyds Banking Group PLC
6.413%, 10/01/35 (a)(n)		235		264,110
6.657%, 5/21/37 (a)(n)		98		111,423
7.50%, 6/27/24 (n)		528		580,153
Macquarie Bank Ltd./London
6.125%, 3/08/27 (a)(n)		200		205,033
Royal Bank of Scotland Group PLC
8.625%, 8/15/21 (n)		3,518		3,833,269
SNS Bank NV
Series E
11.25%, 12/31/49 (b)(c)(g)	EUR	620		0
Societe Generale SA
7.375%, 9/13/21 (a)(n)	U.S.$	1,485		1,592,662
8.00%, 9/29/25 (a)(n)		1,124		1,274,335
Standard Chartered PLC
7.50%, 4/02/22 (a)(n)		810		868,318
7.75%, 4/02/23 (a)(n)		440		473,967
Suntrust Banks, Inc.
Series G
5.05%, 6/15/22 (n)		853		864,679
UBS Group AG
7.00%, 2/19/25 (a)(n)		2,065		2,285,965
UniCredit SpA
9.25%, 6/03/22 (a)(n)	EUR	960		1,231,191
Zions Bancorporation
5.65%, 11/15/23	U.S.$	508		524,956

				38,838,885

Brokerage - 0.2%
Lehman Brothers Holdings, Inc.
6.88%, 5/02/18 (g)		1,690		111,963


	Principal Amount (000)		U.S. $ Value
LPL Holdings, Inc.
5.75%, 9/15/25 (a)	U.S.$	1,517	$	1,583,018

				1,694,981

Finance - 1.0%
Artsonig Pty Ltd.
11.50%, 4/01/19 (d)(f)		2,854		28,535
Enova International, Inc.
9.75%, 6/01/21		1,628		1,692,789
ILFC E-Capital Trust II
4.59%, 12/21/65 (a)(j)		2,000		1,910,000
Lincoln Finance Ltd.
6.875%, 4/15/21 (a)	EUR	1,139		1,395,683
Navient Corp.
5.50%, 1/15/19	U.S.$	2,496		2,598,146
5.875%, 3/25/21		324		342,226
6.50%, 6/15/22		406		430,750
6.625%, 7/26/21		231		248,187
7.25%, 1/25/22		377		411,994
8.00%, 3/25/20		233		260,397
SLM Corp.
5.125%, 4/05/22		605		617,969
TMX Finance LLC/TitleMax Finance Corp.
8.50%, 9/15/18 (a)		1,801		1,709,417

				11,646,093

Insurance - 0.4%
Galaxy Bidco Ltd.
6.375%, 11/15/20 (a)	GBP	133		177,940
Genworth Holdings, Inc.
3.184% (LIBOR 3 Month + 2.00%), 11/15/66 (j)	U.S.$	240		90,300
7.625%, 9/24/21		1,216		1,173,185
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (a)		2,559		3,198,650

				4,640,075

Other Finance – 0.3%
Creditcorp
12.00%, 7/15/18 (f)		1,300		1,118,000
Intrum Justitia AB
2.75%, 7/15/22 (a)	EUR	977		1,121,571
3.125%, 7/15/24 (a)		489		556,334
Orchestra Borrower LLC/Orchestra Co-Issuer, Inc.
6.75%, 6/15/22 (a)	U.S.$	107		110,213
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.
6.75%, 6/01/25 (a)		1,110		1,135,359

				4,041,477


	Principal Amount (000)		U.S. $ Value
REITS - 0.0%
MPT Operating Partnership LP/MPT Finance Corp.
5.25%, 8/01/26	U.S.$	155	$	161,387
5.50%, 5/01/24		264		276,394

				437,781

				61,299,292

Utility - 1.1%
Electric - 1.1%
AES Corp./VA
4.875%, 5/15/23		1,013		1,030,120
7.375%, 7/01/21		634		725,612
Calpine Corp.
5.375%, 1/15/23		473		461,142
5.50%, 2/01/24		985		931,443
5.75%, 1/15/25		68		63,955
ContourGlobal Power Holdings SA
5.125%, 6/15/21 (a)	EUR	1,501		1,801,954
DPL, Inc.
6.75%, 10/01/19	U.S.$	343		357,818
Dynegy, Inc.
7.375%, 11/01/22		775		767,642
7.625%, 11/01/24		981		951,570
Emera, Inc.
Series 2016-A
6.75%, 6/15/76		807		911,968
NRG Energy, Inc.
7.25%, 5/15/26		1,791		1,858,051
NRG Yield Operating LLC
5.375%, 8/15/24		843		884,003
Talen Energy Supply LLC
4.60%, 12/15/21		1,475		1,124,494
Texas Competitive/TCEH
11.50%, 10/01/20 (a)(b)(c)(g)		626		0
Viridian Group FundCo II Ltd.
7.50%, 3/01/20 (a)	EUR	1,311		1,565,511

				13,435,283

Natural Gas – 0.0%
NGL Energy Partners LP/NGL Energy Finance Corp.
7.50%, 11/01/23 (a)	U.S.$	261		257,553

				13,692,836

Total Corporates - Non-Investment Grade (cost $450,541,422)				447,719,156

GOVERNMENTS - TREASURIES - 15.4%
Colombia - 0.4%
Colombian TES
Series B
7.00%, 5/04/22	COP	3,621,500		1,240,740


	Principal Amount (000)		U.S. $ Value
10.00%, 7/24/24	COP	8,000,000	$	3,190,040

				4,430,780

Indonesia - 0.7%
Indonesia Treasury Bond
Series FR53
8.25%, 7/15/21	IDR	15,727,000		1,240,017
Series FR70
8.375%, 3/15/24		27,674,000		2,239,139
Series FR73
8.75%, 5/15/31		37,753,000		3,181,563
JPMorgan Chase Bank, NA
9.50%, 5/17/41 (a)		27,844,000		2,450,707

				9,111,426

Malaysia - 0.5%
Malaysia Government Bond
Series 511
3.58%, 9/28/18	MYR	23,700		5,538,578

Mexico - 1.4%
Mexican Bonos
Series M
6.50%, 6/10/21	MXN	192,634		10,582,114
8.00%, 6/11/20		106,613		6,094,852

				16,676,966

Russia - 0.8%
Russian Federal Bond - OFZ
Series 6209
7.60%, 7/20/22	RUB	37,074		623,616
Series 6212
7.05%, 1/19/28		185,020		2,983,536
Series 6217
7.50%, 8/18/21		360,108		6,024,718

				9,631,870

South Africa - 1.2%
Republic of South Africa Government Bond
Series 2048
8.75%, 2/28/48	ZAR	33,971		2,316,334
Series R186
10.50%, 12/21/26		137,651		11,669,253
Series R204
8.00%, 12/21/18		10,750		826,460

				14,812,047

United States - 10.3%
U.S. Treasury Bonds 2.75%, 11/15/42 (o)	U.S.$	3,000		2,965,313
3.125%, 2/15/42		4,000		4,235,625
4.50%, 2/15/36 (p)		2,400		3,097,500
5.00%, 5/15/37 (o)(p)		3,500		4,801,562
5.25%, 2/15/29 (p)		5,750		7,424,687
6.125%, 11/15/27 (p)(q)		2,200		2,970,688


	Principal Amount (000)		U.S. $ Value
6.25%, 5/15/30	U.S.$	7,800	$	11,118,657
8.125%, 5/15/21		26,250		32,496,681
U.S. Treasury Notes
0.875%, 4/15/19 (k)(p)		43,074		42,703,831
2.25%, 11/15/25-2/15/27		12,973		12,921,876

				124,736,420

Uruguay - 0.1%
Uruguay Government International Bond
9.875%, 6/20/22 (a)	UYU	18,660		675,617

Total Governments - Treasuries (cost $183,166,393)				185,613,704

COLLATERALIZED MORTGAGE OBLIGATIONS - 12.1%
Risk Share Floating Rate - 9.1%
Bellemeade Re II Ltd.
Series 2016-1A, Class B1
13.216% (LIBOR 1 Month + 12.00%), 4/25/26 (f)(j)	U.S.$	283		313,805
Series 2016-1A, Class M2B
7.716% (LIBOR 1 Month + 6.50%), 4/25/26 (f)(j)		3,572		3,715,319
Bellemeade Re Ltd.
Series 2015-1A, Class M2
5.516% (LIBOR 1 Month + 4.30%), 7/25/25 (f)(j)		973		995,409
Federal Home Loan Mortgage Corp. Structured
Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
8.366% (LIBOR 1 Month + 7.15%), 7/25/23 (j)		2,350		2,899,122
Series 2013-DN2, Class M2
5.466% (LIBOR 1 Month + 4.25%), 11/25/23 (j)		1,925		2,148,834
Series 2014-DN1, Class M3
5.716% (LIBOR 1 Month + 4.50%), 2/25/24 (j)		1,939		2,263,442
Series 2014-DN2, Class M3
4.816% (LIBOR 1 Month + 3.60%), 4/25/24 (j)		514		570,740
Series 2014-DN3, Class M3
5.216% (LIBOR 1 Month + 4.00%), 8/25/24 (j)		800		873,146
Series 2014-DN4, Class M3
5.766% (LIBOR 1 Month + 4.55%), 10/25/24 (j)		495		545,898
Series 2014-HQ1, Class M3
5.316% (LIBOR 1 Month + 4.10%), 8/25/24 (j)		1,686		1,847,889
Series 2014-HQ2, Class M3
4.966% (LIBOR 1 Month + 3.75%), 9/25/24 (j)		3,710		4,157,833


	Principal Amount (000)		U.S. $ Value
Series 2014-HQ3, Class M3
5.966% (LIBOR 1 Month + 4.75%), 10/25/24 (j)	U.S.$	5,055	$	5,609,772
Series 2015-DN1, Class B
12.716% (LIBOR 1 Month + 11.50%), 1/25/25 (j)		1,201		1,643,831
Series 2015-DN1, Class M3
5.366% (LIBOR 1 Month + 4.15%), 1/25/25 (j)		1,700		1,844,074
Series 2015-DNA1, Class B
10.416% (LIBOR 1 Month + 9.20%), 10/25/27 (j)		598		777,373
Series 2015-DNA1, Class M3
4.516% (LIBOR 1 Month + 3.30%), 10/25/27 (j)		480		536,585
Series 2015-DNA2, Class B
8.766% (LIBOR 1 Month + 7.55%), 12/25/27 (j)		1,463		1,704,109
Series 2015-DNA3, Class B
10.566% (LIBOR 1 Month + 9.35%), 4/25/28 (j)		1,031		1,270,838
Series 2015-HQ1, Class B
11.966% (LIBOR 1 Month + 10.75%), 3/25/25 (j)		3,929		5,141,807
Series 2015-HQ1, Class M3
5.016% (LIBOR 1 Month + 3.80%), 3/25/25 (j)		530		576,310
Series 2015-HQA1, Class B
10.016% (LIBOR 1 Month + 8.80%), 3/25/28 (j)		1,014		1,170,020
Series 2015-HQA1, Class M3
5.916% (LIBOR 1 Month + 4.70%), 3/25/28 (j)		1,455		1,654,431
Series 2016-DNA2, Class B
11.716% (LIBOR 1 Month + 10.50%), 10/25/28 (j)		863		1,085,981
Series 2016-DNA2, Class M3
5.866% (LIBOR 1 Month + 4.65%), 10/25/28 (j)		811		915,171
Series 2016-DNA3, Class B
12.466% (LIBOR 1 Month + 11.25%), 12/25/28 (j)		2,784		3,615,577
Series 2016-DNA3, Class M3
6.216% (LIBOR 1 Month + 5.00%), 12/25/28 (j)		1,113		1,276,815
Series 2016-DNA4, Class B
9.816% (LIBOR 1 Month + 8.60%), 3/25/29 (j)		397		442,066
Series 2016-HQA2, Class B
12.716% (LIBOR 1 Month + 11.50%), 11/25/28 (j)		423		546,860
Series 2017-DNA2, Class M2
4.666% (LIBOR 1 Month + 3.45%), 10/25/29 (j)		599		630,907


	Principal Amount (000)		U.S. $ Value
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M2
6.466% (LIBOR 1 Month + 5.25%), 10/25/23 (j)	U.S.$	1,451	$	1,705,166
Series 2014-C01, Class M2
5.616% (LIBOR 1 Month + 4.40%), 1/25/24 (j)		3,991		4,567,495
Series 2014-C03, Class 1M2
4.216% (LIBOR 1 Month + 3.00%), 7/25/24 (j)		1,147		1,222,679
Series 2014-C04, Class 1M2
6.116% (LIBOR 1 Month + 4.90%), 11/25/24 (j)		3,272		3,738,753
Series 2015-C01, Class 1M2
5.516% (LIBOR 1 Month + 4.30%), 2/25/25 (j)		3,391		3,689,389
Series 2015-C01, Class 2M2
5.766% (LIBOR 1 Month + 4.55%), 2/25/25 (j)		1,782		1,925,327
Series 2015-C02, Class 1M2
5.216% (LIBOR 1 Month + 4.00%), 5/25/25 (j)		997		1,076,314
Series 2015-C02, Class 2M2
5.216% (LIBOR 1 Month + 4.00%), 5/25/25 (j)		1,954		2,091,825
Series 2015-C03, Class 1M2
6.216% (LIBOR 1 Month + 5.00%), 7/25/25 (j)		3,071		3,423,681
Series 2015-C03, Class 2M2
6.216% (LIBOR 1 Month + 5.00%), 7/25/25 (j)		2,748		3,047,862
Series 2015-C04, Class 1M2
6.916% (LIBOR 1 Month + 5.70%), 4/25/28 (j)		3,342		3,807,542
Series 2015-C04, Class 2M2
6.766% (LIBOR 1 Month + 5.55%), 4/25/28 (j)		1,298		1,460,744
Series 2016-C01, Class 1B
12.966% (LIBOR 1 Month + 11.75%), 8/25/28 (j)		685		921,519
Series 2016-C01, Class 1M2
7.966% (LIBOR 1 Month + 6.75%), 8/25/28 (j)		2,077		2,517,828
Series 2016-C01, Class 2M2
8.166% (LIBOR 1 Month + 6.95%), 8/25/28 (j)		761		914,689
Series 2016-C02, Class 1B
13.466% (LIBOR 1 Month + 12.25%), 9/25/28 (j)		450		618,963
Series 2016-C02, Class 1M2
7.216% (LIBOR 1 Month + 6.00%), 9/25/28 (j)		2,375		2,779,378


	Principal Amount (000)		U.S. $ Value
Series 2016-C03, Class 1B
12.966% (LIBOR 1 Month + 11.75%), 10/25/28 (j)	U.S.$	374	$	500,574
Series 2016-C03, Class 2B
13.966% (LIBOR 1 Month + 12.75%), 10/25/28 (j)		634		879,166
Series 2016-C03, Class 2M2
7.116% (LIBOR 1 Month + 5.90%), 10/25/28 (j)		3,707		4,323,546
Series 2016-C04, Class 1B
11.466% (LIBOR 1 Month + 10.25%), 1/25/29 (j)		1,494		1,855,980
Series 2016-C05, Class 2B
11.244% (LIBOR 1 Month + 10.75%), 1/25/29 (j)		1,824		2,291,529
Series 2016-C05, Class 2M2
5.666% (LIBOR 1 Month + 4.45%), 1/25/29 (j)		1,486		1,638,899
Series 2016-C06, Class 1B
10.466% (LIBOR 1 Month + 9.25%), 4/25/29 (j)		1,288		1,506,218
Series 2016-C07, Class 2B
10.716% (LIBOR 1 Month + 9.50%), 5/25/29 (j)		1,562		1,872,048
Series 2016-C07, Class 2M2
5.566% (LIBOR 1 Month + 4.35%), 5/25/29 (j)		918		1,007,446
Series 2017-C02, Class 2M2
4.866% (LIBOR 1 Month + 3.65%), 9/25/29 (j)		1,152		1,220,981
JP Morgan Madison Avenue Securities Trust
Series 2015-CH1, Class M2
6.716% (LIBOR 1 Month + 5.50%), 10/25/25 (a)(j)		1,433		1,582,427
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M2
6.716% (LIBOR 1 Month + 5.50%), 11/25/25 (f)(j)		617		703,877

				109,665,809

Non-Agency Fixed Rate - 1.9%
Alternative Loan Trust
Series 2006-24CB, Class A15
5.75%, 6/25/36		1,012		836,584
Series 2006-41CB, Class 2A13
5.75%, 1/25/37		854		682,396
Series 2006-42, Class 1A6
6.00%, 1/25/47		827		691,500
Series 2006-HY12, Class A5
3.156%, 8/25/36		1,739		1,712,814
Series 2006-J1, Class 1A10
5.50%, 2/25/36		1,514		1,372,598
Series 2006-J5, Class 1A1
6.50%, 9/25/36		1,042		877,320


	Principal Amount (000)		U.S. $ Value
Series 2007-13, Class A2
6.00%, 6/25/47	U.S.$	1,254	$	1,065,798
BCAP LLC Trust
Series 2009-RR13, Class 17A3
5.876%, 4/26/37 (a)		510		400,240
Bear Stearns ARM Trust
Series 2007-3, Class 1A1
3.656%, 5/25/47		294		278,435
Series 2007-4, Class 22A1
3.882%, 6/25/47		1,076		1,024,948
BNPP Mortgage Securities LLC Trust
Series 2009-1, Class B1
6.00%, 8/27/37 (a)		809		640,524
ChaseFlex Trust
Series 2007-1, Class 1A3
6.50%, 2/25/37		674		511,171
Citigroup Mortgage Loan Trust
Series 2006-4, Class 2A1A
6.00%, 12/25/35		1,650		1,567,556
Series 2007-AR4, Class 1A1A
3.308%, 3/25/37		235		202,571
Series 2010-3, Class 2A2
6.00%, 8/25/37 (a)		431		378,332
CitiMortgage Alternative Loan Trust
Series 2007-A3, Class 1A4
5.75%, 3/25/37		1,209		1,080,576
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-4, Class 1A39
6.00%, 5/25/37		503		417,151
Series 2007-HY4, Class 1A1
3.174%, 9/25/47		369		343,548
Credit Suisse Mortgage Trust
Series 2009-8R, Class 6A2
6.00%, 1/26/38 (a)		119		92,392
Series 2010-9R, Class 1A5
4.00%, 8/27/37 (a)		623		615,678
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36		481		408,743
First Horizon Alternative Mortgage Securities Trust
Series 2006-FA1, Class 1A3
5.75%, 4/25/36		692		578,964
Morgan Stanley Mortgage Loan Trust
Series 2005-10, Class 4A1
5.50%, 12/25/35		407		362,039
Series 2007-12, Class 3A22
6.00%, 8/25/37		114		95,666
Residential Accredit Loans, Inc. Trust
Series 2005-QS14, Class 3A1
6.00%, 9/25/35		641		607,254
Residential Asset Securitization Trust
Series 2006-A8, Class 3A4
6.00%, 8/25/36		241		216,954


	Principal Amount (000)		U.S. $ Value
Structured Adjustable Rate Mortgage Loan Trust
Series 2006-9, Class 4A1
3.155%, 10/25/36	U.S.$	583	$	523,717
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-7, Class A4
4.365%, 9/25/36		1,768		939,391
Series 2006-9, Class A4
4.844%, 10/25/36		1,750		897,787
Wells Fargo Alternative Loan Trust
Series 2007-PA3, Class 3A1
6.25%, 7/25/37		1,280		1,215,846
Wells Fargo Mortgage Backed Securities Trust
Series 2007-AR7, Class A1
3.169%, 12/28/37		1,721		1,651,280

				22,289,773

Non-Agency Floating Rate - 1.1%
Alternative Loan Trust
Series 2007-7T2, Class A3
1.816% (LIBOR 1 Month + 0.60%), 4/25/37 (j)		3,024		1,413,445
Citigroup Mortgage Loan Trust
Series 2005-8, Class 2A2
3.584% (LIBOR 1 Month + 4.80%), 9/25/35 (j)(r)		583		36,368
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-13, Class A7
1.816% (LIBOR 1 Month + 0.60%), 8/25/37 (j)		749		546,127
First Horizon Alternative Mortgage Securities Trust
Series 2007-FA2, Class 1A10
1.466% (LIBOR 1 Month + 0.25%), 4/25/37 (j)		439		240,028
Series 2007-FA2, Class 1A6
4.334% (LIBOR 1 Month + 5.55%), 4/25/37 (j)(r)		149		25,282
Lehman XS Trust
Series 2007-10H, Class 2AIO
5.95% (LIBOR 1 Month + 7.00%), 7/25/37 (j)(r)		492		136,903
Residential Accredit Loans, Inc. Trust
Series 2006-QS18, Class 2A2
5.334% (LIBOR 1 Month + 6.55%), 12/25/36 (j)(r)		5,004		1,023,205
Structured Asset Mortgage Investments II Trust
Series 2007-AR6, Class A1
2.232% (12MTA + 1.50%), 8/25/47 (j)		1,862		1,717,077


	Principal Amount (000)		U.S. $ Value
Wachovia Mortgage Loan Trust Series
Series 2006-ALT1, Class A2
1.396% (LIBOR 1 Month + 0.18%), 1/25/37 (j)	U.S.$	12,172	$	8,445,899

				13,584,334

Total Collateralized Mortgage Obligations (cost $131,700,062)				145,539,916

CORPORATES - INVESTMENT GRADE - 7.2%
Industrial - 3.8%
Basic - 0.9%
Braskem Finance Ltd.
6.45%, 2/03/24		1,972		2,110,660
FMG Resources (August 2006) Pty Ltd.
9.75%, 3/01/22 (a)		510		580,862
Fresnillo PLC
5.50%, 11/13/23 (a)		306		336,217
Georgia-Pacific LLC
8.875%, 5/15/31		1		1,541
Glencore Finance Canada Ltd.
6.00%, 11/15/41 (a)		272		299,207
Glencore Funding LLC
4.625%, 4/29/24 (a)		341		356,214
Minsur SA
6.25%, 2/07/24 (a)		891		957,104
Mosaic Co. (The)
5.625%, 11/15/43		167		170,448
Southern Copper Corp.
7.50%, 7/27/35		3,300		4,083,750
WestRock MWV LLC
7.95%, 2/15/31		1,000		1,396,677

				10,292,680

Capital Goods - 0.3%
General Electric Co.
Series D
5.00%, 1/21/21 (n)		1,681		1,782,628
Lafarge SA
7.125%, 7/15/36		800		1,026,623
Masco Corp.
5.95%, 3/15/22		308		348,772

				3,158,023

Communications - Media - 0.4%
Charter Communications Operating LLC/Charter Communications Operating Capital
4.464%, 7/23/22		1,039		1,108,378
4.908%, 7/23/25		1,195		1,290,965
Cox Communications, Inc.
4.50%, 6/30/43 (a)		135		121,420
4.70%, 12/15/42 (a)		259		236,538
Sirius XM Radio, Inc.
5.25%, 8/15/22 (a)		286		294,383


	Principal Amount (000)		U.S. $ Value
Viacom, Inc.
4.375%, 3/15/43	U.S.$	2,455	$	2,182,269

				5,233,953

Communications - Telecommunications - 0.4%
AT&T, Inc.
5.45%, 3/01/47		2,128		2,291,405
Qwest Corp.
6.875%, 9/15/33		1,335		1,323,660
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%, 9/20/21 (a)		1,627		1,641,318

				5,256,383

Consumer Cyclical - Automotive - 0.2%
General Motors Co.
5.20%, 4/01/45		337		331,621
6.25%, 10/02/43		116		129,301
6.75%, 4/01/46		456		539,739
General Motors Financial Co., Inc.
3.70%, 5/09/23		1,150		1,168,284
4.00%, 1/15/25		651		654,721

				2,823,666

Consumer Cyclical - Other - 0.1%
Owens Corning
7.00%, 12/01/36 (j)		1,340		1,719,473
Seminole Tribe of Florida, Inc.
6.535%, 10/01/20 (a)		115		117,174

				1,836,647

Consumer Non-Cyclical - 0.0%
BRF SA
4.75%, 5/22/24 (a)		428		420,703

Energy - 0.7%
Cenovus Energy, Inc.
4.45%, 9/15/42		822		679,548
6.75%, 11/15/39		67		70,319
Ecopetrol SA
5.375%, 6/26/26		289		301,282
5.875%, 5/28/45		1,271		1,166,778
Kinder Morgan, Inc./DE
Series G
7.75%, 1/15/32		328		415,390
7.80%, 8/01/31		1,066		1,345,307
Marathon Petroleum Corp.
4.75%, 9/15/44		69		65,528
Nabors Industries, Inc.
5.50%, 1/15/23 (a)		1,146		1,085,323
Regency Energy Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23		546		566,294
5.50%, 4/15/23		1,193		1,236,373
Williams Partners LP
5.10%, 9/15/45		876		907,552


	Principal Amount (000)		U.S. $ Value
Williams Partners LP/ACMP Finance Corp.
4.875%, 5/15/23	U.S.$	681	$	707,089

				8,546,783

Services - 0.1%
Verisk Analytics, Inc.
5.50%, 6/15/45		636		709,424

Technology - 0.6%
Dell International LLC/EMC Corp.
6.02%, 6/15/26 (a)		1,318		1,454,786
8.35%, 7/15/46 (a)		524		675,852
Hewlett Packard Enterprise Co.
6.35%, 10/15/45 (l)		215		226,942
Seagate HDD Cayman
4.75%, 1/01/25		1,948		1,962,314
4.875%, 3/01/24 (a)		272		277,371
4.875%, 6/01/27		1,042		1,041,148
Western Digital Corp.
7.375%, 4/01/23 (a)		1,058		1,161,155

				6,799,568

Transportation - Airlines - 0.1%
America West Airlines Pass-Through Trust
Series 1999-1G, Class G
7.93%, 1/02/19		546		574,052
Northwest Airlines Pass-Through Trust
Series 2000-1, Class G
7.15%, 10/01/19		324		343,027

				917,079

				45,994,909

Financial Institutions - 3.3%
Banking - 1.4%
ABN AMRO Bank NV
Series E
6.25%, 4/27/22 (a)		292		329,730
BNP Paribas SA
7.625%, 3/30/21 (a)(n)		833		910,709
BPCE SA
5.70%, 10/22/23 (a)		208		231,179
Citigroup, Inc.
4.40%, 6/10/25		105		109,391
DNB Bank ASA
6.50%, 3/26/22 (a)(n)		1,555		1,663,847
HSBC Holdings PLC
3.60%, 5/25/23		622		642,005
6.00%, 9/29/23 (a)(n)	EUR	1,872		2,398,100
6.00%, 5/22/27 (n)	U.S.$	874		904,968
ICICI Bank Ltd./Dubai
4.80%, 5/22/19 (a)		1,337		1,389,888


	Principal Amount (000)		U.S. $ Value
JPMorgan Chase & Co.
Series V
5.00%, 7/01/19 (n)	U.S.$	210	$	214,263
Morgan Stanley
4.10%, 5/22/23		1,648		1,717,468
Nationwide Building Society
4.00%, 9/14/26 (a)		1,557		1,534,086
Regions Bank/Birmingham AL
6.45%, 6/26/37		1,500		1,806,086
Standard Chartered PLC
3.95%, 1/11/23 (a)		1,301		1,310,937
US Bancorp
Series J
5.30%, 4/15/27 (n)		692		736,471
Veneto Banca SpA
4.00%, 5/20/19 (a)	EUR	470		566,891

				16,466,019

Brokerage - 0.1%
E*TRADE Financial Corp.
5.375%, 11/15/22	U.S.$	810		852,523