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
GFI Group, Inc.
8.375%, 7/19/18		991		1,051,651

				1,904,174

Finance - 0.0%
International Lease Finance Corp.
8.875%, 9/01/17		280		282,966

Insurance - 1.1%
Allstate Corp. (The)
6.50%, 5/15/57		1,657		1,944,617
American International Group, Inc.
6.82%, 11/15/37		1,425		1,841,104
Aon Corp.
8.205%, 1/01/27		690		903,223
Chubb Corp. (The)
3.408% (LIBOR 3 Month + 2.25%), 4/15/37 (j)		1,527		1,521,900
Lincoln National Corp.
8.75%, 7/01/19		186		209,256
MetLife, Inc.
10.75%, 8/01/39		2,350		3,912,802
Pacific Life Insurance Co.
9.25%, 6/15/39 (a)		475		772,918
Transatlantic Holdings, Inc.
8.00%, 11/30/39		1,261		1,702,292

				12,808,112

REITS - 0.7%
DDR Corp.
7.875%, 9/01/20		746		853,934
EPR Properties
5.75%, 8/15/22		915		1,009,078
7.75%, 7/15/20		1,722		1,950,778


	Principal Amount (000)		U.S. $ Value
Senior Housing Properties Trust
6.75%, 12/15/21	U.S.$	1,350	$	1,501,411
VEREIT Operating Partnership LP
4.875%, 6/01/26		302		318,228
Weyerhaeuser Co.
7.375%, 3/15/32		1,790		2,462,976

				8,096,405

				39,557,676

Utility - 0.1%
Electric - 0.1%
EDP Finance BV
4.90%, 10/01/19 (a)		148		155,470
Empresa de Energia de Bogota SA ESP
6.125%, 11/10/21 (a)		1,235		1,271,160

				1,426,630

Total Corporates - Investment Grade (cost $75,316,101)				86,979,215

EMERGING MARKETS - SOVEREIGNS - 6.9%
Angola - 0.2%
Angolan Government International Bond
9.50%, 11/12/25 (a)		1,188		1,249,830
Republic of Angola Via Northern Lights III BV
7.00%, 8/17/19 (a)		1,142		1,171,849

				2,421,679

Argentina - 1.2%
Argentine Republic Government International Bond
6.25%, 4/22/19		1,057		1,108,529
6.875%, 4/22/21-1/26/27		8,638		9,012,718
7.50%, 4/22/26		150		161,625
7.82%, 12/31/33	EUR	3,829		4,624,506

				14,907,378

Bahrain - 0.1%
Bahrain Government International Bond
7.00%, 10/12/28 (a)	U.S.$	1,253		1,265,530

Belarus - 0.0%
Republic of Belarus International Bond
6.875%, 2/28/23 (a)		245		249,655

Cameroon - 0.1%
Republic of Cameroon International Bond
9.50%, 11/19/25 (a)		1,222		1,441,960

Dominican Republic - 0.8%
Dominican Republic International Bond
5.95%, 1/25/27 (a)		1,553		1,620,944
7.45%, 4/30/44 (a)		1,283		1,464,224


	Principal Amount (000)		U.S. $ Value
8.625%, 4/20/27 (a)	U.S.$	5,719	$	6,769,866

				9,855,034

Ecuador - 0.3%
Ecuador Government International Bond
7.95%, 6/20/24 (a)		667		621,144
9.65%, 12/13/26 (a)		385		386,444
10.50%, 3/24/20 (a)		1,069		1,121,113
10.75%, 3/28/22 (a)		1,032		1,100,370

				3,229,071

Egypt - 0.3%
Egypt Government International Bond
6.125%, 1/31/22 (a)		3,009		3,072,941

El Salvador - 0.1%
El Salvador Government International Bond
7.625%, 9/21/34 (a)		762		781,050

Ethiopia - 0.0%
Ethiopia International Bond
6.625%, 12/11/24 (a)		582		574,725

Gabon - 0.3%
Gabon Government International Bond
6.375%, 12/12/24 (a)		2,052		1,998,538
6.95%, 6/16/25 (a)		1,050		1,043,438

				3,041,976

Honduras - 0.2%
Honduras Government International Bond
6.25%, 1/19/27 (a)		2,193		2,267,014

Iraq - 0.0%
Iraq International Bond
5.80%, 1/15/28 (a)		264		233,640

Ivory Coast - 0.5%
Ivory Coast Government International Bond
5.125%, 6/15/25 (a)	EUR	168		194,759
5.75%, 12/31/32 (a)	U.S.$	2,441		2,340,740
6.125%, 6/15/33 (a)		1,322		1,272,425
6.375%, 3/03/28 (a)		2,678		2,701,433

				6,509,357

Jamaica - 0.2%
Jamaica Government International Bond
7.625%, 7/09/25		506		590,122
7.875%, 7/28/45		1,240		1,460,100

				2,050,222


	Principal Amount (000)		U.S. $ Value
Jordan - 0.1%
Jordan Government International Bond
5.75%, 1/31/27 (a)	U.S.$	634	$	629,245

Kenya - 0.1%
Kenya Government International Bond
5.875%, 6/24/19 (a)		702		719,550

Lebanon - 0.0%
Lebanon Government International Bond
Series G
6.60%, 11/27/26 (a)		589		588,264

Mongolia - 0.2%
Mongolia Government International Bond
5.125%, 12/05/22 (a)		2,426		2,274,375

Nigeria - 0.0%
Nigeria Government International Bond
7.875%, 2/16/32 (a)		489		530,565

Pakistan - 0.1%
Pakistan Government International Bond
7.25%, 4/15/19 (a)		1,498		1,576,345

Senegal - 0.0%
Senegal Government International Bond
6.25%, 5/23/33 (a)		593		600,413

Serbia - 0.0%
Serbia International Bond
6.75%, 11/01/24 (a)		190		193,696

Sri Lanka - 0.2%
Sri Lanka Government International Bond
6.00%, 1/14/19 (a)		799		824,967
6.125%, 6/03/25 (a)		350		356,563
6.20%, 5/11/27 (a)		685		684,144

				1,865,674

Turkey - 0.8%
Turkey Government International Bond
4.875%, 10/09/26-4/16/43		4,986		4,648,773
5.625%, 3/30/21		2,600		2,752,750
6.00%, 3/25/27		2,182		2,323,830

				9,725,353

Ukraine - 0.5%
Ukraine Government International Bond
7.75%, 9/01/22-9/01/24 (a)		5,627		5,572,370

Venezuela - 0.4%
Venezuela Government International Bond
9.25%, 9/15/27		7,978		3,949,110
9.25%, 5/07/28 (a)		300		132,750


	Principal Amount (000)		U.S. $ Value
9.375%, 1/13/34	U.S.$	746	$	336,446

				4,418,306

Zambia - 0.2%
Zambia Government International Bond
8.50%, 4/14/24 (a)(k)		1,846		1,924,455

Total Emerging Markets - Sovereigns (cost $80,716,016)				82,519,843

EMERGING MARKETS - TREASURIES - 6.1%
Argentina - 1.3%
Argentine Bonos del Tesoro
15.50%, 10/17/26	ARS	34,006		2,274,652
16.00%, 10/17/23		85,595		5,539,714
18.20%, 10/03/21		93,295		5,943,831
21.20%, 9/19/18		33,327		2,014,155

				15,772,352

Brazil - 3.5%
Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/21-1/01/27	BRL	144,542		42,809,519

Dominican Republic - 0.5%
Dominican Republic International Bond
16.00%, 7/10/20 (f)	DOP	229,800		5,617,654

Indonesia - 0.3%
JPMorgan Chase Bank, NA
Series E
10.00%, 7/18/17 (a)	IDR	47,971,000		3,605,747

Turkey - 0.5%
Turkey Government Bond
10.60%, 2/11/26	TRY	4,718		1,363,000
11.00%, 2/24/27		14,459		4,284,056

				5,647,056

Total Emerging Markets - Treasuries (cost $74,537,210)				73,452,328

EMERGING MARKETS - CORPORATE BONDS - 4.1%
Industrial - 3.7%
Basic - 0.8%
Consolidated Energy Finance SA
6.75%, 10/15/19 (a)	U.S.$	828		848,700
6.875%, 6/15/25 (a)		722		743,892
Elementia SAB de CV
5.50%, 1/15/25 (a)		469		477,794
First Quantum Minerals Ltd.
7.00%, 2/15/21 (a)		199		203,737
7.25%, 5/15/22-4/01/23 (a)		1,344		1,363,211
Petra Diamonds US Treasury PLC
7.25%, 5/01/22 (a)		486		497,829
Samarco Mineracao SA


	Principal Amount (000)		U.S. $ Value
4.125%, 11/01/22 (a)(e)(g)	U.S.$	1,105	$	627,088
5.75%, 10/24/23 (a)(e)(g)		1,467		827,021
Stillwater Mining Co.
6.125%, 6/27/22 (a)		1,380		1,359,573
7.125%, 6/27/25 (a)		964		948,811
Vedanta Resources PLC
6.375%, 7/30/22 (a)		2,182		2,184,182

				10,081,838

Capital Goods - 0.3%
CIMPOR Financial Operations BV
5.75%, 7/17/24 (a)		1,491		1,265,486
Odebrecht Finance Ltd.
4.375%, 4/25/25 (a)		349		133,056
5.25%, 6/27/29 (a)		1,070		385,200
7.125%, 6/26/42 (a)		2,665		1,072,663
8.25%, 4/25/18 (a)	BRL	1,332		291,497

				3,147,902

Communications - Telecommunications - 0.6%
Columbus Cable Barbados Ltd.
7.375%, 3/30/21 (a)	U.S.$	2,342		2,488,375
Comcel Trust via Comunicaciones Celulares SA
6.875%, 2/06/24 (a)		986		1,048,857
Digicel Group Ltd.
7.125%, 4/01/22 (a)		448		392,582
Digicel Ltd.
6.00%, 4/15/21 (a)		1,356		1,305,150
6.75%, 3/01/23 (a)		1,095		1,030,669
MTN Mauritius Investment Ltd.
6.50%, 10/13/26 (a)		780		818,025

				7,083,658

Consumer Cyclical - Other - 0.2%
Servicios Corporativos Javer SAB de CV
9.875%, 4/06/21 (a)		491		502,404
Studio City Co., Ltd.
5.875%, 11/30/19 (a)		737		781,861
Wynn Macau Ltd.
5.25%, 10/15/21 (a)		1,265		1,301,350

				2,585,615

Consumer Cyclical - Retailers - 0.0%
K2016470219 (South Africa) Ltd.
3.00%, 12/31/22 (a)(d)		936		58,523
K2016470260 (South Africa) Ltd.
25.00%, 12/31/22 (a)(d)		215		272,441

				330,964


	Principal Amount (000)		U.S. $ Value
Consumer Non-Cyclical - 0.5%
Central American Bottling Corp.
5.75%, 1/31/27 (a)	U.S.$	928	$	982,984
Marfrig Holdings Europe BV
8.00%, 6/08/23 (a)		1,220		1,241,350
Minerva Luxembourg SA
6.50%, 9/20/26 (a)		2,198		2,140,303
Tonon Luxembourg SA
7.25%, 1/24/20 (d)(e)(f)(g)		1,679		67,149
USJ Acucar e Alcool SA
9.875%, 11/09/21 (a)(d)		538		373,455
Virgolino de Oliveira Finance SA
10.50%, 1/28/18 (e)(f)(g)		4,090		286,300
10.875%, 1/13/20 (e)(f)(g)		480		129,000
11.75%, 2/09/22 (e)(f)(g)		1,620		121,500

				5,342,041

Energy - 0.8%
CHC Group LLC/CHC Finance Ltd.
Series AI
Zero Coupon, 10/01/20 (h)		2,948		4,510,763
Petrobras Global Finance BV
6.125%, 1/17/22		1,655		1,706,793
6.25%, 3/17/24		3,000		3,052,575
6.85%, 6/05/15		307		271,096
YPF SA
16.50%, 5/09/22 (a)	ARS	8,323		500,370

				10,041,597

Other Industrial - 0.1%
Grupo KUO SAB De CV
6.25%, 12/04/22 (a)	U.S.$	200		208,000
Noble Group Ltd.
6.75%, 1/29/20 (a)		1,219		463,220

				671,220

Technology - 0.1%
IHS Netherlands Holdco BV
9.50%, 10/27/21 (a)		600		613,500

Transportation - Airlines - 0.2%
TAM Capital 3, Inc.
8.375%, 6/03/21 (a)		2,505		2,557,105

Transportation - Services - 0.1%
Rumo Luxembourg SARL
7.375%, 2/09/24 (a)		1,678		1,723,474

				44,178,914

Financial Institutions - 0.4%
Banking - 0.3%
Akbank TAS
7.20%, 3/16/27 (a)		695		721,063


	Principal Amount (000)		U.S. $ Value
Banco do Brasil SA/Cayman
9.00%, 6/18/24 (a)(n)	U.S.$	1,763	$	1,780,630
Turkiye Vakiflar Bankasi TAO
5.50%, 10/27/21 (a)		807		810,954

				3,312,647

Finance - 0.0%
Unifin Financiera SAB de CV SOFOM ENR
7.00%, 1/15/25 (a)		575		565,656

Insurance - 0.1%
XLIT Ltd.
Series E
3.616% (LIBOR 3 Month + 2.46%), 7/31/17 (j)(n)		877		816,706

Other Finance - 0.0%
Guanay Finance Ltd.
6.00%, 12/15/20 (a)		494		507,327

				5,202,336

Total Emerging Markets - Corporate Bonds (cost $52,664,142)				49,381,250

BANK LOANS - 2.7%
Industrial - 2.7%
Basic - 0.1%
Foresight Energy LLC
6.795% (LIBOR 1 Month + 5.75%), 3/28/22 (s)		540		513,341
Magnetation LLC
12.00%, 3/07/17 (b)(c)(g)(t)		3,119		0
Unifrax I LLC
5.046% (LIBOR 3 Month + 3.75%), 4/04/24 (s)		461		462,582

				975,923

Capital Goods - 0.2%
Avolon TLB Borrower 1 (US) LLC
3.962% (LIBOR 1 Month + 2.75%), 3/21/22 (s)		1,034		1,040,426
Gardner Denver, Inc.
4.546% (LIBOR 3 Month + 3.25%), 7/30/20 (s)		983		984,154
GFL Environmental Inc.
4.046% (LIBOR 3 Month + 2.75%), 9/29/23 (s)		327		328,195
Transdigm Inc.
4.226% (LIBOR 1 Month + 3.00%), 6/09/23 (s)		362		361,038


	Principal Amount (000)		U.S. $ Value
Welbilt, Inc. (fka Manitowoc Foodservice, Inc.)
4.226% (LIBOR 1 Month + 3.00%), 3/03/23 (s)	U.S.$	115	$	116,305

				2,830,118

Consumer Cyclical - Automotive - 0.1%
Navistar, Inc.
5.09% (LIBOR 1 Month + 4.00%), 8/07/20 (s)		862		871,037

Consumer Cyclical - Entertainment - 0.2%
ClubCorp Club Operations, Inc.
4.046% (LIBOR 3 Month + 2.75%), 12/15/22 (s)		1,245		1,252,298
Seaworld Parks & Entertainment, Inc. (fka SW Acquisitions Co., Inc.)
4.296% (LIBOR 3 Month + 3.00%), 4/01/24 (s)		986		983,521

				2,235,819

Consumer Cyclical - Other - 0.2%
La Quinta Intermediate Holdings L.L.C.
3.908% (LIBOR 3 Month + 2.75%), 4/14/21 (s)		1,688		1,694,049
Scientific Games International, Inc.
5.076% (LIBOR 2 Month + 4.00%), 10/01/21 (s)		702		708,079
Scientific Games International, Inc.
5.226% (LIBOR 2 Month + 4.00%), 10/01/21 (s)		190		191,908

				2,594,036

Consumer Cyclical - Retailers - 0.5%
Harbor Freight Tools USA, Inc.
4.476% (LIBOR 1 Month + 3.25%), 8/18/23 (s)		1,108		1,106,455
J.C. Penney Corporation, Inc.
5.45% (LIBOR 3 Month +4.25%), 6/23/23 (s)		1,100		1,084,337
Michaels Stores, Inc.
3.839% (LIBOR 1 Month + 2.75%), 1/30/23 (s)		130		129,981
Michaels Stores, Inc.
3.909% (LIBOR 1 Month + 2.75%), 1/30/23 (s)		23		22,410
Michaels Stores, Inc.
3.976% (LIBOR 1 Month + 2.75%), 1/30/23 (s)		353		352,073
Neiman Marcus Group Inc., The
4.339% (LIBOR 1 Month + 3.25%), 10/25/20 (s)		243		181,642


	Principal Amount (000)		U.S. $ Value
Rite Aid Corporation
5.98% (LIBOR 1 Month + 4.75%), 8/21/20 (s)	U.S.$	500	$	503,750
Serta Simmons Bedding, LLC
9.179% (LIBOR 3 Month + 8.00%), 11/08/24 (s)		2,312		2,301,411

				5,682,059

Consumer Non-Cyclical - 0.5%
Acadia Healthcare Company, Inc.
3.80% (LIBOR 1 Month + 2.75%), 2/16/23 (s)		477		480,210
3.98% (LIBOR 1 Month + 2.75%), 2/11/22 (s)		91		92,006
Air Medical Group Holdings, Inc.
5.159% (LIBOR 1 Month + 4.00%), 4/28/22 (s)		1,231		1,224,677
Arbor Pharmaceuticals, LLC
6.296% (LIBOR 3 Month + 5.00%), 7/05/23 (s)		1,236		1,247,193
Immucor, Inc. (fka IVD Acquisition Corporation)
5.00% (LIBOR 1 Month + 3.75%), 8/17/18 (s)		1,039		1,038,249
Mallinckrodt International Finance S.A.
4.046% (LIBOR 3 Month + 2.75%), 9/24/24 (s)		1,155		1,151,114
Vizient, Inc.
4.726% (LIBOR 1 Month + 3.50%), 2/13/23 (s)		469		472,233

				5,705,682

Energy - 0.2%
California Resources Corporation
11.534% (LIBOR 1 Month + 10.375%), 12/31/21 (s)		2,088		2,202,626
Chesapeake Energy Corporation
8.686% (LIBOR 3 Month + 7.50%), 8/23/21 (s)		621		655,949

				2,858,575

Other Industrial - 0.1%
Travelport Finance (Luxembourg) SARL
4.432% (LIBOR 3 Month + 3.25%), 9/02/21 (s)		1,461		1,462,498

Services - 0.1%
Sedgwick Claims Management Services, Inc.
3.976% (LIBOR 1 Month + 2.75%), 3/01/21 (s)		1,039		1,038,332


	Principal Amount (000)		U.S. $ Value
Technology - 0.5%
Avaya Inc.
6.417% (LIBOR 3 Month + 5.25%), 5/29/20 (e)(g)(s)	U.S.$	2,951	$	2,354,946
6.667% (LIBOR 3 Month + 5.50%), 3/31/18 (e)(g)(s)		105		83,566
8.617% (LIBOR 1 Month + 7.50%), 1/24/18 (e)(g)(r)		141		145,615
8.716% (LIBOR 1 Month + 7.50%), 1/24/18 (e)(g)(r)		200		206,288
Conduent Incorporated
5.226% (LIBOR 1 Month + 4.00%), 12/07/23 (s)		228		230,418
Smart Modular Technologies (Global), Inc.
9.25% (LIBOR 1 Month + 8.00%), 8/26/17 (b)(c)(s)		643		637,759
Solera, LLC (Solera Finance, Inc.)
4.476% (LIBOR 1 Month + 3.25%), 3/03/23 (s)		2,602		2,609,348

				6,267,940

				32,522,019

Financial Institutions – 0.0%
Insurance – 0.0%
Hub International Limited
4.422% (LIBOR 3 Month + 3.25%), 10/02/20 (s)		481		482,284

Total Bank Loans (cost $35,639,606)				33,004,303

COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.7%
Non-Agency Fixed Rate CMBS - 2.5%
225 Liberty Street Trust
Series 2016-225L, Class E
4.804%, 2/10/36 (a)		974		976,847
Banc of America Commercial Mortgage Trust
Series 2007-5, Class AM
5.772%, 2/10/51		2,877		2,908,987
Banc of America Re-REMIC Trust
Series 2009-UB1, Class A4B
5.722%, 6/24/50 (b)(f)		438		438,116
Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class XA
1.942%, 4/10/46 (u)		2,223		109,298
Series 2013-GC17, Class D
5.259%, 11/10/46 (a)		902		859,903
Series 2014-GC23, Class D
4.516%, 7/10/47 (a)		856		752,668
Commercial Mortgage Pass Through Certificates
Series 2012-CR3, Class XA
2.219%, 10/15/45 (u)		9,070		646,696


	Principal Amount (000)		U.S. $ Value
Commercial Mortgage Trust
Series 2012-CR1, Class XA
2.06%, 5/15/45 (u)	U.S.$	1,853	$	138,894
Series 2012-CR5, Class XA
1.875%, 12/10/45 (u)		2,258		137,225
Series 2012-LC4, Class XA
2.387%, 12/10/44 (a)(u)		5,549		423,779
Series 2013-LC6, Class D
4.426%, 1/10/46 (a)		3,916		3,655,813
Series 2014-CR15, Class XA
1.426%, 2/10/47 (u)		2,516		107,574
Series 2014-CR20, Class XA
1.324%, 11/10/47 (u)		11,444		684,927
Series 2014-LC15, Class D
5.109%, 4/10/47 (a)		1,500		1,285,641
Csail Commercial Mortgage Trust
Series 2015-C2, Class D
4.351%, 6/15/57		2,721		2,054,540
GS Mortgage Securities Corp. II
Series 2013-GC10, Class XA
1.731%, 2/10/46 (u)		942		63,423
GS Mortgage Securities Trust
Series 2012-GC6, Class D
5.841%, 1/10/45 (a)		1,765		1,703,745
Series 2012-GCJ9, Class D
4.999%, 11/10/45 (a)		700		663,949
JPMBB Commercial Mortgage Securities Trust
Series 2015-C32, Class C
4.818%, 11/15/48		825		792,359
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2012-C6, Class XA
2.011%, 11/15/45 (a)(u)		8,889		517,172
UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class XA
1.89%, 12/10/45 (a)(u)		926		61,907
Wachovia Bank Commercial Mortgage Trust
Series 2007-C34, Class AM
5.818%, 5/15/46		400		402,253
Wells Fargo Commercial Mortgage Trust
Series 2015-SG1, Class D
4.619%, 9/15/48		2,500		1,930,633
WF-RBS Commercial Mortgage Trust
Series 2012-C6, Class D
5.767%, 4/15/45 (a)		2,450		2,451,798
Series 2012-C7, Class XA
1.614%, 6/15/45 (a)(u)		1,438		79,089
Series 2012-C8, Class E
5.06%, 8/15/45 (a)		3,766		3,639,382
Series 2012-C10, Class XA
1.794%, 12/15/45 (a)(u)		3,542		236,196
Series 2014-C25, Class D


	Principal Amount (000)		U.S. $ Value
3.803%, 11/15/47 (a)	U.S.$	3,500	$	2,598,725

				30,321,539

Non-Agency Floating Rate CMBS - 0.2%
CLNS Trust
Series 2017-IKPR, Class F
5.50% (LIBOR 1 Month + 4.50%), 6/11/32 (a)(j)		956		956,937
Morgan Stanley Capital I Trust
Series 2015-MS1, Class D
4.164%, 5/15/48 (a)(l)		490		415,951
WF-RBS Commercial Mortgage Trust
Series 2011-C4, Class D
5.414%, 6/15/44 (a)(l)		1,022		1,004,609

				2,377,497

Total Commercial Mortgage-Backed Securities (cost $33,084,342)				32,699,036


	Shares
PREFERRED STOCKS - 1.5%
Financial Institutions - 0.8%
Banking - 0.4%
GMAC Capital Trust I
6.967%		16,325		427,715
Morgan Stanley
5.85% (n)		89,050		2,432,846
US Bancorp
Series F
6.50% (n)		64,825		1,924,654

				4,785,215

Diversified Financial Services - 0.1%
iPayment, Inc.
0.00% (b)(c)(g)		13,822		1,382,200

Insurance - 0.2%
Hartford Financial Services Group, Inc. (The)
7.875%		45,050		1,385,287
XLIT Ltd.
Series D
4.278% (j)		1,600		1,408,000

				2,793,287

REITS - 0.1%
Hersha Hospitality Trust
6.875% (n)		15,950		402,738

				9,363,440


	Shares		U.S. $ Value
Industrial - 0.7%
Capital Goods - 0.6%
Tervita Corp.
0.00% (b)(c)(g)		1,140,842	$	7,037,890

Energy - 0.1%
Berry Petroleum Co. LLC
0.00% (c)(g)		77,975		935,700

				7,973,590

Utility - 0.0%
Electric - 0.0%
SCE Trust III
5.75%		12,025		337,662

Total Preferred Stocks (cost $16,170,657)				17,674,692


	Principal Amount (000)
INFLATION-LINKED SECURITIES - 1.2%
Brazil - 0.4%
Brazil Notas do Tesouro Nacional
Series B
6.00%, 5/15/45-8/15/50	BRL	5,805		5,450,055

Colombia - 0.2%
Fideicomiso PA Costera
6.25%, 1/15/34 (a)	COP	1,230,800		419,524
Fideicomiso PA Pacifico Tres
7.00%, 1/15/35 (f)		6,642,880		2,294,230

				2,713,754

Mexico - 0.6%
Mexican Udibonos
Series S
4.00%, 11/30/28	MXN	56,483		3,342,730
4.50%, 12/04/25		54,863		3,333,207

				6,675,937

Total Inflation-Linked Securities (cost $13,893,459)				14,839,746


	Shares
COMMON STOCKS - 1.2%
Consumer Discretionary - 0.1%
Automobiles - 0.0%
Liberty Tire Recycling LLC (b)(c)(g)		81,827		0

Internet & Direct Marketing Retail - 0.1%
Travelport Worldwide Ltd.		80,347		1,105,575

Auto Components - 0.0%
Exide Technologies (g)(h)		15,253		60,057


	Shares		U.S. $ Value
Exide Technologies (g)(h)		59,185	$	233,035

				293,092

Multiline Retail - 0.0%
K201640219 (South Africa) Ltd. A Shares (b)(c)(g)		12,695,187		13
K201640219 (South Africa) Ltd. B Shares (b)(c)(g)		2,009,762		2

				15

				1,398,682

Energy - 0.6%
Oil, Gas & Consumable Fuels - 0.6%
Berry Petroleum Co. LLC (c)(g)		94,303		860,515
CHC Group LLC (g)(h)		51,655		361,585
Chesapeake Energy Corp. (g)		24,149		120,021
Linn Energy, Inc. (g)		1,588		48,497
Linn Energy, Inc. (g)		26,909		821,801
Oasis Petroleum, Inc. (g)		14,457		116,379
Peabody Energy Corp. (c)(g)		67,040		1,639,128
Peabody Energy Corp. (c)(g)		48,445		1,184,480
SandRidge Energy, Inc. (g)		23,922		411,698
Tervita Corp. (b)(c)(g)		29,729		183,399
Vantage Drilling International (c)(g)		6,103		1,055,819
Whiting Petroleum Corp. (g)		81,634		449,803

				7,253,125

Financials - 0.4%
Insurance - 0.3%
Mt. Logan Re Ltd. (Preference Shares) (g)(h)		2,953		3,049,893

Diversified Financial Services - 0.1%
iPayment, Inc. (b)(c)(g)		2,339,631		1,497,364

				4,547,257

Industrials - 0.1%
Building Products - 0.0%
New Cotai LLC/New Cotai Capital Corp. (b)(c)(g)		3		30,450

Machinery - 0.1%
Modular Space Corp. (b)(f)(g)		89,110		1,158,430

Technology - 0.0%
Smart Modular Technologies, Inc. (b)(c)(g)		6,541		71,951

				1,260,831

Materials - 0.0%
Metals & Mining - 0.0%
Neenah Enterprises, Inc. (b)(c)(g)		58,200		23,280

Total Common Stocks (cost $22,227,693)				14,483,175


	Principal Amount (000)		U.S. $ Value
ASSET-BACKED SECURITIES - 1.2%
Home Equity Loans - Fixed Rate - 0.7%
CSAB Mortgage-Backed Trust
Series 2006-2, Class A6A
5.72%, 9/25/36	U.S.$	824	$	502,230
CWABS Asset-Backed Certificates Trust
Series 2005-7, Class AF5W
5.054%, 10/25/35		895		887,618
GSAA Home Equity Trust
Series 2005-12, Class AF5
5.659%, 9/25/35		1,431		1,223,576
Series 2006-6, Class AF4
6.121%, 3/25/36 (j)		1,704		899,984
Series 2006-6, Class AF5
6.241%, 3/25/36 (j)		631		323,737
Series 2006-10, Class AF3
5.985%, 6/25/36		1,262		681,817
Lehman XS Trust
Series 2006-17, Class WF32
5.55%, 11/25/36		422		410,837
Morgan Stanley Mortgage Loan Trust
Series 2006-15XS, Class A3
5.988%, 11/25/36		1,263		616,395
Series 2007-8XS, Class A2
6.00%, 4/25/37		4,208		2,557,470

				8,103,664

Other ABS - Fixed Rate - 0.4%
Atlas 2014-1 Limited
Series 2014-1
6.875%, 12/15/39		1,060		1,060,911
Sofi Consumer Loan Program 2017-2 LLC
Series 2017-2, Class R
Zero Coupon, 2/25/26 (a)		12		931,484
Sofi Consumer Loan Program 2017-3 LLC
Series 2017-3, Class R
Zero Coupon, 5/25/26 (a)		1,000		1,109,000
SoFi Consumer Loan Program 2017-4 LLC
Series 2017-4, Class R1
Zero Coupon, 5/26/26 (a)		10		1,032,000
Taco Bell Funding LLC
Series 2016-1A, Class A23
4.97%, 5/25/46 (a)		795		837,106

				4,970,501

Autos - Fixed Rate - 0.1%
Exeter Automobile Receivables Trust
Series 2016-1A, Class D
8.20%, 2/15/23 (a)		720		764,238

Home Equity Loans - Floating Rate - 0.0%
Lehman XS Trust
Series 2007-6, Class 3A5
4.888%, 5/25/37 (j)		272		414,766


	Principal Amount (000)		U.S. $ Value
Total Asset-Backed Securities (cost $14,956,428)			$	14,253,169

WHOLE LOAN TRUSTS - 0.6%
Performing Asset - 0.6%
Alpha Credit Debt Fund LLC
15.00%, 12/31/17 (b)(c)	U.S.$	413		413,352
16.00%, 1/01/21 (b)(c)	MXN	19,370		1,067,306
Deutsche Bank Mexico SA
8.00%, 10/31/34 (b)(c)(l)		38,384		1,353,564
8.00%, 10/31/34 (b)(c)		15,523		547,410
Finalam, S.A. de C.V.
17.25%, 8/06/19 (b)(c)		5,274		290,602
Flexpath Wh I LLC
Series B
11.00%, 4/01/21 (b)(c)	U.S.$	485		320,181
Series B2
11.00%, 1/01/22 (b)(c)		780		641,625
Series B3
11.00%, 9/01/22 (b)(c)		148		127,370
Recife Funding
Zero Coupon, 11/05/29 (b)(c)		1,811		1,527,435
Sheridan Auto Loan Holdings I LLC
10.00%, 12/31/20-9/30/21 (b)(c)		1,569		1,204,215

Total Whole Loan Trusts (cost $9,634,557)				7,493,060

LOCAL GOVERNMENTS - REGIONAL BONDS - 0.5%
Argentina - 0.5%
Provincia de Buenos Aires/Argentina
5.75%, 6/15/19 (a)		1,010		1,040,300
9.125%, 3/16/24 (a)		2,601		2,932,627
23.96% (AF14653 + 3.83%), 5/31/22 (a)(j)	ARS	26,500		1,625,091
Provincia de Cordoba
7.125%, 6/10/21 (a)	U.S.$	754		797,355

Total Local Governments - Regional Bonds (cost $5,892,866)				6,395,373

LOCAL GOVERNMENTS - US MUNICIPAL BONDS - 0.5%
United States - 0.5%
State of California
Series 2010
7.60%, 11/01/40		750		1,167,457
7.95%, 3/01/36		1,915		2,184,747
State of Illinois
Series 2010
7.35%, 7/01/35		1,915		2,049,031

Total Local Governments - US Municipal Bonds (cost $4,600,895)				5,401,235


	Principal Amount (000)		U.S. $ Value
GOVERNMENTS - SOVEREIGN BONDS - 0.3%
United Arab Emirates - 0.3%
Emirate of Dubai Government International Bonds
7.75%, 10/05/20 (a)(k)
(cost $3,325,875)	U.S.$	3,310	$	3,823,050

QUASI-SOVEREIGNS - 0.3%
Quasi-Sovereign Bonds - 0.3%
Indonesia - 0.1%
Majapahit Holding BV
7.875%, 6/29/37 (a)		699		912,684

Mexico - 0.2%
Petroleos Mexicanos
4.625%, 9/21/23		758		767,096
5.375%, 3/13/22 (a)		516		543,606
5.50%, 1/21/21		759		794,294

				2,104,996

Venezuela - 0.0%
Petroleos de Venezuela SA
9.75%, 5/17/35 (a)		629		290,467

Total Quasi-Sovereigns (cost $3,051,206)				3,308,147

COLLATERALIZED LOAN OBLIGATIONS - 0.1%
Cayman Islands - 0.0%
Dryden Senior Loan Fund
Series 2017-49A, Class E
7.65% (LIBOR 3 Month + 6.30%), 7/18/30 (a)(j)		417		412,943

United States - 0.1%
Carlyle Global Market Strategies CLO Ltd.
Series 2016-1A, Class C
6.056% (LIBOR 3 Month + 4.90%), 4/20/27 (a)(j)		300		303,624
OZLM VIII Ltd.
Series 2014-8A, Class D
5.97% (LIBOR 3 Month + 4.95%), 10/17/26 (a)(j)		585		585,003

				888,627

Total Collateralized Loan Obligations (cost $1,213,022)				1,301,570


	Contracts
OPTIONS PURCHASED - CALLS - 0.1%
Options on Forward Contracts - 0.1%
ZAR/USD
Expiration: Jul 2017, Exercise Price: ZAR 13.25 (g)(v)		214,981,250		248,052


	Contracts		U.S. $ Value
BRL/USD
Expiration: Aug 2017, Exercise Price: BRL 3.25 (g)(v)		71,662,500	$	150,143

				398,195


	Notional Amount (000)
Swaptions - 0.0%
IRS Swaption, Goldman Sachs International
Expiration: Aug 2017, Exercise Rate: 2.105%	U.S.$	13,430		42,520
IRS Swaption, Goldman Sachs International
Expiration: Aug 2017, Exercise Rate: 2.105%		6,470		20,485
IRS Swaption, Morgan Stanley Capital Services LLC
Expiration: Aug 2017, Exercise Rate: 2.105%		16,170		51,196

				114,201

Total Options Purchased - Calls (premiums paid $934,808)				512,396


	Shares
WARRANTS - 0.0%
Encore Automotive Acceptance, expiring 7/05/31 (b)(c)(g)		8		0
FairPoint Communications, Inc., expiring 1/24/18 (c)(g)		9,725		146
Flexpath Capital, Inc., expiring 4/15/31 (b)(c)(g)		10,974		0
iPayment Holdings, Inc., expiring 12/29/22 (b)(c)(g)		586,389		14,132
Midstates Petroleum Co., Inc., expiring 4/21/20 (b)(c)(g)		39,269		88,355
SandRidge Energy, Inc., A-CW22, expiring 10/03/22 (g)		46,951		70,426
SandRidge Energy, Inc., B-CW22, expiring 10/03/22 (g)		19,772		15,818
Smart Modular Technologies, Inc., expiring 11/05/22 (b)(c)(g)		8,197		89,921

Total Warrants (cost $507,752)				278,798


	Contracts
OPTIONS PURCHASED - PUTS - 0.0%
Options on Forward Contracts - 0.0%
ZAR/USD
Expiration: Jul 2017, Exercise Price: ZAR 14.05 (g)(v)		169,653,750		21,929

Options on Indices - 0.0%
S&P 500 Index 3M5Y
Expiration: Jul 2017, Exercise Price: $ 1.00 (g)(v)		32,200,000		64


	Contracts			U.S. $ Value
S&P 500 Index 3M5Y
Expiration: Jul 2017, Exercise Price: $ 1.00 (g)(v)		56,800,000		$	114

					178

Total Options Purchased - Puts (premiums paid $161,402)					22,107


	Shares
SHORT-TERM INVESTMENTS - 2.4%
Investment Companies - 1.5%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.79% (w)(x) (cost $18,275,034)		18,275,034			18,275,034


	Principal Amount (000)
Time Deposits - 0.5%
ANZ, London
0.418%, 7/03/17	AUD	469			360,628
0.60%, 7/03/17	NZD	161			118,009
BBH, Grand Cayman
(1.032)%, 7/03/17	SEK	0	**		24
0.005%, 7/03/17	HKD	0	**		3
0.05%, 7/03/17	GBP	795			1,035,083
0.05%, 7/04/17	CAD	0	**		41
0.073%, 7/03/17	NOK	0	**		42
5.75%, 7/03/17	ZAR	0	**		10
Sumitomo, Tokyo
(0.567)%, 7/03/17	EUR	1,720			1,964,376
0.58%, 7/03/17	U.S.$	2,067			2,067,299

Total Time Deposits (cost $5,507,172)					5,545,515

EMERGING MARKETS - SOVEREIGNS - 0.4%
Egypt - 0.3%
Citigroup Global Markets Holdings, Inc./United States
Series E
Zero Coupon, 1/25/18-3/08/18 (a)	EGP	42,471			2,082,783
Series G
Zero Coupon, 1/25/18 (a)		45,500			2,250,819

					4,333,602

United Kingdom - 0.1%
HSBC Bank PLC
Zero Coupon, 11/02/17 (a)		19,175			989,968

Total Emerging Markets - Sovereigns (cost $5,346,235)					5,323,570

Total Short-Term Investments (cost $29,128,441)					29,144,119


	U.S. $ Value
Total Investments - 104.3% (cost $1,243,064,355) (y)	$	1,255,839,388
Other assets less liabilities - (4.3)%		(51,272,326	)

Net Assets - 100.0%	$	1,204,567,062

FUTURES


Type	Number of Contracts		Expiration Month		Original Value		Value at June 30, 2017		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
Nikkei 225 (CME) Futures		35		September 2017	$	3,529,750	$	3,518,375	$	(11,375	)
U.S. T-Note 5 Yr (CBT) Futures		686		September 2017		81,014,977		80,835,454		(179,523	)
U.S. T-Note 10 Yr (CBT) Futures		168		September 2017		21,127,313		21,089,250		(38,063	)
Sold Contracts
Euro-Bund Futures		136		September 2017		25,560,837		25,143,655		417,182

									$	188,221

FORWARD CURRENCY EXCHANGE CONTRACTS


Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date	Unrealized Appreciation/ (Depreciation)
Australia and New Zealand Banking Group Ltd.	AUD	24,363	USD	18,397	7/10/17	$	(327,323	)
Australia and New Zealand Banking Group Ltd.	USD	17,069	NZD	24,991	7/10/17		1,243,628
Bank of America, NA	BRL	109,855	USD	33,244	7/05/17		83,725
Bank of America, NA	USD	29,955	BRL	100,138	7/05/17		272,158
Bank of America, NA	USD	2,937	BRL	9,717	7/05/17		(4,167	)
Bank of America, NA	RUB	265,849	USD	4,417	7/07/17		(89,415	)
Bank of America, NA	ZAR	129,214	USD	9,409	7/10/17		(459,443	)
Bank of America, NA	USD	17,180	EUR	15,225	7/13/17		216,359
Bank of America, NA	USD	5,627	JPY	625,593	7/14/17		(62,767	)
Bank of America, NA	BRL	100,138	USD	29,777	8/02/17		(255,280	)
Bank of America, NA	USD	3,951	IDR	53,156,173	8/16/17		18,110
Bank of America, NA	USD	3,308	MYR	14,176	8/18/17		(20,623	)
Bank of America, NA	INR	817,258	USD	12,579	8/22/17		3,020
Bank of America, NA	RUB	359,797	USD	6,120	9/13/17		111,003
Bank of America, NA	USD	5,025	RUB	294,294	9/13/17		(110,062	)
Barclays Bank PLC	NOK	4,656	USD	537	7/14/17		(21,001	)
Barclays Bank PLC	KRW	6,855,091	USD	6,045	7/27/17		56,870
Barclays Bank PLC	USD	736	MXN	13,335	8/03/17		(4,670	)
Barclays Bank PLC	USD	1,529	MYR	6,552	8/25/17		(10,052	)
BNP Paribas SA	USD	9,165	NOK	79,005	7/14/17		299,662
BNP Paribas SA	USD	14,953	CNH	102,047	7/18/17		81,138
BNP Paribas SA	GBP	9,645	USD	12,376	7/21/17		(193,810	)
BNP Paribas SA	MXN	27,199	USD	1,504	8/03/17		13,103
BNP Paribas SA	SGD	16,263	USD	11,741	8/17/17		(79,465	)
Brown Brothers Harriman & Co.	USD	840	AUD	1,137	7/10/17		34,055
Brown Brothers Harriman & Co.	EUR	9,398	USD	10,228	7/13/17		(510,188	)
Brown Brothers Harriman & Co.	USD	2,341	EUR	2,137	7/13/17		100,895


Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date	Unrealized Appreciation/ (Depreciation)
Brown Brothers Harriman & Co.	JPY	3,218	USD	28	7/14/17	$	(336	)
Brown Brothers Harriman & Co.	USD	215	JPY	24,511	7/14/17		3,106
Brown Brothers Harriman & Co.	GBP	702	USD	898	7/21/17		(16,377	)
Brown Brothers Harriman & Co.	TRY	434	USD	121	8/18/17		(856	)
Citibank, NA	BRL	89,159	USD	26,940	7/05/17		27,425
Citibank, NA	USD	26,958	BRL	89,159	7/05/17		(45,461	)
Citibank, NA	NZD	25,018	USD	17,408	7/10/17		(924,024	)
Citibank, NA	USD	1,458	ZAR	18,892	7/11/17		(15,592	)
Citibank, NA	ZAR	78,538	USD	5,906	7/11/17		(90,754	)
Citibank, NA	USD	5,574	EUR	4,937	7/13/17		66,945
Citibank, NA	COP	34,700,638	USD	11,713	7/14/17		342,203
Citibank, NA	USD	5,777	CLP	3,860,824	7/14/17		37,377
Citibank, NA	USD	9,740	COP	28,521,630	7/14/17		(393,638	)
Citibank, NA	USD	2,980	PEN	9,759	7/14/17		24,899
Citibank, NA	TWD	366,502	USD	12,044	8/16/17		(11,489	)
Citibank, NA	USD	18,444	TRY	66,332	8/18/17		163,691
Citibank, NA	RUB	365,780	USD	6,317	9/13/17		208,264
Citibank, NA	CHF	15,114	USD	15,690	9/14/17		(145,194	)
Credit Suisse International	USD	24,297	NOK	206,545	7/14/17		448,363
Credit Suisse International	TRY	43,093	USD	12,058	8/18/17		(30,936	)
Credit Suisse International	EUR	2,306	SEK	22,423	8/30/17		28,636
Credit Suisse International	EUR	2,295	SEK	22,302	8/31/17		26,615
Credit Suisse International	NZD	3,523	CAD	3,394	9/14/17		42,584
Credit Suisse International	USD	1,101	TRY	4,172	9/22/17		58,311
Credit Suisse International	USD	1,331	SEK	11,581	11/20/17		55,020
Credit Suisse International	AUD	3,828	CHF	2,788	12/19/17		4,365
Credit Suisse International	USD	1,131	TRY	4,411	12/21/17		65,408
Credit Suisse International	AUD	1,520	NOK	9,668	12/27/17		(3,689	)
Deutsche Bank AG	USD	4,417	RUB	265,849	7/07/17		89,415
Deutsche Bank AG	USD	1,423	EUR	1,325	7/13/17		90,292
Deutsche Bank AG	TRY	4,500	USD	1,225	7/26/17		(46,315	)
Deutsche Bank AG	CHF	2,788	AUD	3,828	12/19/17		(4,312	)
Deutsche Bank AG	NOK	9,668	AUD	1,520	12/27/17		3,696
Goldman Sachs USA	ZAR	7,869	USD	605	7/11/17		4,349
Goldman Sachs USA	JPY	705,098	USD	6,200	7/14/17		(71,874	)
Goldman Sachs USA	GBP	5,832	USD	7,539	7/21/17		(61,199	)
Goldman Sachs USA	TWD	183,343	USD	6,105	8/16/17		73,693
Goldman Sachs USA	USD	1,029	IDR	13,784,858	8/16/17		77
Goldman Sachs USA	USD	971	MYR	4,152	8/18/17		(7,602	)
Goldman Sachs USA	USD	24,911	INR	1,611,533	8/21/17		(110,166	)
Goldman Sachs USA	SEK	22,302	EUR	2,295	8/31/17		(26,586	)
HSBC Bank USA	BRL	21,755	USD	6,597	7/05/17		30,268
HSBC Bank USA	USD	6,576	BRL	21,755	7/05/17		(9,330	)
HSBC Bank USA	SEK	5,546	USD	627	7/14/17		(32,070	)
HSBC Bank USA	CNY	19,559	USD	2,832	7/18/17		(53,921	)
HSBC Bank USA	MXN	186,113	USD	10,300	8/03/17		97,289
HSBC Bank USA	CNY	147,141	USD	21,580	8/16/17		(68,578	)
HSBC Bank USA	USD	9,438	CNY	64,384	8/16/17		34,852
HSBC Bank USA	SGD	34,003	USD	24,380	8/17/17		(334,999	)
HSBC Bank USA	USD	6,207	TRY	22,194	8/18/17		18,753
HSBC Bank USA	CAD	28,057	USD	21,172	8/24/17		(483,020	)
JPMorgan Chase Bank, NA	EUR	1,205	USD	1,379	7/13/17		1,461
JPMorgan Chase Bank, NA	USD	13,499	EUR	11,970	7/13/17		177,703
JPMorgan Chase Bank, NA	USD	28	COP	83,709	7/14/17		(1,059	)
JPMorgan Chase Bank, NA	GBP	9,516	USD	12,242	7/21/17		(159,348	)
JPMorgan Chase Bank, NA	USD	5,938	GBP	4,640	7/21/17		108,241
JPMorgan Chase Bank, NA	USD	1,225	TRY	4,484	7/26/17		41,817
JPMorgan Chase Bank, NA	USD	2,367	ZAR	31,192	7/26/17		8,289
JPMorgan Chase Bank, NA	ZAR	31,192	USD	2,367	7/26/17		(8,287	)
JPMorgan Chase Bank, NA	KRW	13,567,016	USD	12,022	7/27/17		170,546
JPMorgan Chase Bank, NA	MXN	12,058	USD	658	8/03/17		(3,247	)
JPMorgan Chase Bank, NA	CAD	3,476	MXN	48,819	8/08/17		(7,560	)
JPMorgan Chase Bank, NA	MXN	48,819	CAD	3,476	8/08/17		7,562
JPMorgan Chase Bank, NA	BRL	38,535	USD	11,334	8/22/17		(176,753	)
JPMorgan Chase Bank, NA	INR	787,221	USD	12,125	8/22/17		11,568


Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
JPMorgan Chase Bank, NA		SEK	22,422		EUR	2,306		8/30/17	$	(28,595	)
JPMorgan Chase Bank, NA		CAD	3,394		NZD	3,523		9/14/17		(42,344	)
JPMorgan Chase Bank, NA		USD	6,118		TWD	183,832		9/20/17		(69,504	)
JPMorgan Chase Bank, NA		TRY	4,172		USD	1,101		9/22/17		(58,293	)
JPMorgan Chase Bank, NA		AUD	4,454		JPY	362,339		11/06/17		(177,640	)
JPMorgan Chase Bank, NA		JPY	362,333		AUD	4,454		11/06/17		177,692
JPMorgan Chase Bank, NA		SEK	11,581		USD	1,331		11/20/17		(55,023	)
JPMorgan Chase Bank, NA		TRY	4,411		USD	1,131		12/21/17		(65,402	)
Morgan Stanley Capital Services LLC		NOK	131,296		USD	15,162		7/14/17		(567,749	)
Morgan Stanley Capital Services LLC		USD	2,847		CAD	3,701		8/24/17		9,810
Royal Bank of Scotland PLC		EUR	55,563		USD	59,137		7/13/17		(4,350,542	)
UBS AG		TWD	366,502		USD	12,044		8/16/17		(11,489	)
UBS AG		USD	720		MYR	3,069		8/18/17		(8,449	)

									$	(5,633,557	)

INTEREST RATE SWAPTIONS WRITTEN


Description	Index		Counter- Party	Strike Rate			Expiration Date		Notional Amount (000)		Premiums		Market Value
Call - OTC -1 Year Interest Rate Swap		3 Month LIBOR	Goldman Sachs International		1.76	%		8/30/17	$	13,430	$	21,488	$	(4,922	)
Call - OTC -1 Year Interest Rate Swap		3 Month LIBOR	Goldman Sachs International		1.76			8/30/17		6,470		9,381		(2,371	)
Call - OTC -1 Year Interest Rate Swap		3 Month LIBOR	Morgan Stanley Capital Services LLC		1.76			8/30/17		16,170		26,034		(5,926	)

											$	56,903	$	(13,219	)

CURRENCY OPTIONS WRITTEN


Description	Exercise Price			Expiration Month	Contracts (000)			Premiums Received		U.S. $ Value
Call - BRL vs. USD (v)		BRL	3.650	August 2017		BRL	80,483	$	349,867	$	(54,515	)
Call - CAD vs. NZD (v)		CAD	0.990	September 2017		CAD	16,607		60,636		(33,386	)
Call - CAD vs. NZD (v)			0.990	September 2017			16,607		57,984		(34,218	)
Call - CHF vs. AUD (v)		CHF	0.760	December 2017		CHF	12,122		103,441		(97,176	)
Call - JPY vs. AUD (v)		JPY	84.800	November 2017		JPY	1,388,600		115,795		(381,129	)
Call - KRW vs. JPY (v)		KRW	10.490	July 2017		KRW	7,130,412		55,182		(2,356	)
Call - MXN vs. CAD (v)		MXN	14.680	August 2017		MXN	242,954		129,793		(37,496	)
Call - MXN vs. USD (v)			21.070	November 2017			127,474		94,380		(24,415	)


Description	Exercise Price			Expiration Month		Contracts (000)			Premiums Received		U.S. $ Value
Call - NOK vs. AUD (v)		NOK	6.700		December 2017		NOK	53,600	$	41,640	$	(47,393	)
Call - NOK vs. EUR (v)			9.590		July 2017			102,656		36,315		(40,269	)
Call - NZD vs. AUD (v)		NZD	1.150		September 2017		NZD	18,285		59,066		(2,037	)
Call - RUB vs. USD (v)		RUB	65.000		November 2017		RUB	196,625		53,694		(43,573	)
Call - RUB vs. USD (v)			65.000		November 2017			196,625		54,147		(43,573	)
Call - SEK vs. EUR (v)		SEK	9.850		July 2017		SEK	104,849		35,929		(14,798	)
Call - SEK vs. EUR (v)			9.920		August 2017			106,888		52,360		(19,894	)
Call - SEK vs. EUR (v)			9.920		August 2017			106,871		51,417		(20,588	)
Call - SEK vs. EUR (v)			9.930		September 2017			105,793		51,800		(34,621	)
Call - SEK vs. USD (v)			9.060		November 2017			54,837		56,719		(14,105	)
Call - TRY vs. USD (v)		TRY	3.860		July 2017		TRY	25,862		70,417		(3,469	)
Call - TRY vs. USD (v)			4.100		September 2017			24,395		108,885		(12,813	)
Call - TRY vs. USD (v)			4.300		December 2017			25,585		145,775		(35,704	)
Call - ZAR vs. USD (v)		ZAR	14.750		July 2017		ZAR	239,319		247,918		(2,927	)
Call - ZAR vs. USD (v)			14.050		July 2017			169,654		154,439		(21,929	)
Put - JPY vs. CAD (v)		JPY	76.000		September 2017		JPY	608,000		45,611		(5,946	)
Put - KRW vs. USD (v)		KRW	1,113.000		September 2017		KRW	6,733,650		34,909		(37,713	)
Put - KRW vs. USD (v)			1,113.000		September 2017			6,733,650		34,787		(37,713	)
Put - NZD vs. AUD (v)		NZD	1.025		September 2017		NZD	16,528		58,136		(38,818	)
Put - NZD vs. AUD (v)		NZD	1.020		September 2017		NZD	16,456		56,705		(30,448	)
Put - RUB vs. USD (v)		RUB	77.616		October 2017		RUB	457,934		182,369		(6,771	)

									$	2,600,116	$	(1,179,793	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS


Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2017			Notional Amount (000)		Market Value			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Morgan Stanley & Co. LLC/(INTRCONX)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)%		3.10	%	$	21,283	$	(1,633,758	)	$	(311,712	)
CDX-NAHY Series 28, 5 Year Index, 12/20/21*		(5.00	)		3.39			18,580		(1,313,996	)		(89,876	)
iTraxx Europe Crossover Series 21, 5 Year Index, 6/20/19*		(5.00	)		0.63		EUR	3		(280	)		(112	)
Sale Contracts
Citigroup Global Markets, Inc./(INTRCONX)
CDX-NAHY Series 21, 5 Year Index, 12/20/18*		5.00			1.54		$	6,879		357,328			205,662


Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2017			Notional Amount (000)				Market Value		Unrealized Appreciation/ (Depreciation)
CDX-NAIG Series 20, 5 Year Index, 6/20/18*		1.00	%		0.09	%			$	10,730	$	99,093	$	68,816
Morgan Stanley & Co. LLC/(INTRCONX)
CDX-NAHY Series 28, 5 Year Index, 6/20/22*		5.00			3.39					5		354		(12	)
CDX-NAHY Series 28, 5 Year Index, 6/20/22*		5.00			3.39					20,133		1,423,825		89,878
iTraxx Europe Crossover Series 27, 5 Year Index, 6/20/22*		5.00			2.47			EUR		13,259		1,764,737		460,968

											$	697,303	$	423,612

*	Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS


						Rate Type
Clearing Broker /(Exchange)	Notional Amount (000)			Termination Date		Payments made by the Fund			Payments received by the Fund			Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co. LLC/(CME Group)		CAD	47,205		11/14/21		3 Month CDOR			1.323	%	$	(542,094	)
Morgan Stanley & Co. LLC/(CME Group)			47,205		11/15/21		3 Month CDOR			1.318	%		(549,194	)
Morgan Stanley & Co. LLC/(CME Group)		EUR	50,270		3/17/22		0.259	%		6 Month EURIBOR			(144,829	)
Morgan Stanley & Co. LLC/(CME Group)		USD	29,680		3/17/22		3 Month LIBOR			2.227	%		585,177
Morgan Stanley & Co. LLC/(CME Group)		CAD	9,480		11/14/46		2.223	%		3 Month CDOR			301,052
Morgan Stanley & Co. LLC/(CME Group)			9,480		11/15/46		2.234	%		3 Month CDOR			283,069

												$	(66,819	)

CREDIT DEFAULT SWAPS


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2017			Notional Amount (000)		Market Value		Upfront Premiums Paid (Received)		Unrealized Appreciation/ (Depreciation)
Sale Contracts
Barclays Bank PLC
CCO Holdings, LLC, 7.25% 10/30/17, 6/20/19*		5.00	%		0.35	%	$	828	$	76,872	$	36,666	$	40,206


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2017			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
K. Hovnanian Enterprises, Inc., 7.00% 1/15/19, 9/20/20*		5.00	%		7.05	%	$	1,521	$	(85,287	)	$	(279,207	)	$	193,920
K. Hovnanian Enterprises, Inc., 7.00% 1/15/19, 9/20/20*		5.00			7.05			609		(34,148	)		(111,973	)		77,825
Citibank, NA
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			454		(52,762	)		(53,925	)		1,163
Credit Suisse International
CMBX.NA.BB Series 6, 5/11/63*		5.00			9.74			5,000		(915,139	)		(822,386	)		(92,753	)
International Game Technology, 4.75% 2/15/23, 6/20/22*		5.00			2.72		EUR	310		38,332			35,017			3,315
Deutsche Bank AG
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			364		(42,333	)		(45,108	)		2,775
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			258		(29,984	)		(30,276	)		292
Goldman Sachs Bank USA
Avis Budget Group, Inc., 5.25% 3/15/25, 6/20/22*		5.00			4.74			2,450		31,564			162,440			(130,876	)
CDX-NAIG Series 9, 10 Year Index, 12/20/17*		5.00			6.26			300		7,697			(4,325	)		12,022
K. Hovnanian Enterprises, Inc., 7.00% 1/15/19, 9/20/20*		5.00			7.05			580		(32,523	)		(100,313	)		67,790
Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/19*		5.00			79.95			1,829		(1,286,083	)		20,944			(1,307,027	)
United States Steel Corp., 6.65%, 6/01/37, 12/20/21*		5.00			4.27			700		18,710			(50,543	)		69,253
Goldman Sachs International
CMBX.NA.BB Series 6, 5/11/63*		5.00			9.74			5,000		(915,139	)		(908,946	)		(6,193	)
CMBX.NA.BB Series 6, 5/11/63*		5.00			9.74			5,000		(914,445	)		(867,932	)		(46,513	)
CMBX.NA.BB Series 6, 5/11/63*		5.00			9.74			13,500		(2,470,875	)		(2,114,961	)		(355,914	)


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2017			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
CMBX.NA.BB Series 6, 5/11/63*		5.00	%		9.74	%	$	10,000	$	(1,830,277	)	$	(1,568,745	)	$	(261,532	)
CMBX.NA.BB Series 6, 5/11/63*		5.00			9.74			2,071		(378,998	)		(322,419	)		(56,579	)
CMBX.NA.BB Series 6, 5/11/63*		5.00			9.74			2,929		(536,141	)		(456,102	)		(80,039	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			719		(83,620	)		(82,058	)		(1,562	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			360		(41,868	)		(37,590	)		(4,278	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			360		(41,868	)		(34,738	)		(7,130	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			180		(20,934	)		(17,053	)		(3,881	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			2,158		(250,975	)		(197,135	)		(53,840	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			371		(43,147	)		(33,115	)		(10,032	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			133		(15,457	)		(15,179	)		(278	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			530		(61,595	)		(60,051	)		(1,544	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			1,041		(120,981	)		(118,738	)		(2,243	)
Morgan Stanley Capital Services LLC
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			10,000		(1,162,166	)		(117,032	)		(1,045,134	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			1,272		(147,828	)		(147,098	)		(730	)
CMBX.NA.BBB- Series 6, 5/11/63*		3.00			5.74			1,188		(138,065	)		(131,927	)		(6,138	)

									$	(11,479,463	)	$	(8,473,808	)	$	(3,005,655	)

*	Termination date

TOTAL RETURN SWAPS


Counterparty & Referenced Obligation	# of Shares or Units		Rate Paid/ Received		Notional Amount (000)		Maturity Date		Unrealized Appreciation/ (Depreciation)
Pay Total Return on Reference Obligation
Goldman Sachs International
iBoxx $ Liquid High Yield Index		20,633		LIBOR	$	5,447		9/20/17	$	(29,995	)
iBoxx $ Liquid High Yield Index		55,008		LIBOR		14,522		9/20/17		(79,969	)


Counterparty & Referenced Obligation	# of Shares or Units		Rate Paid/ Received		Notional Amount (000)		Maturity Date		Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co.
International PLC
iBoxx $ Liquid High Yield Index		4,201		LIBOR	$	1,100		9/20/17	$	2,930
Morgan Stanley Capital Services LLC
iBoxx $ Liquid High Yield Index		61,532		LIBOR		16,209		9/20/17		(7,056	)
iBoxx $ Liquid High Yield Index		82,112		LIBOR		21,612		9/20/17		(53,647	)

									$	(167,737	)

VARIANCE SWAPS


Swap Counterparty & Referenced Obligation	Volatility Strike Price		Notional Amount (000)		Market Value		Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Bank of America, NA
SPDR S&P500 ETF Trust 7/7/17*	$	10.40	$	99	$	24,327		– 0	–	$	24,327

*	Termination date

REVERSE REPURCHASE AGREEMENTS


Broker	Interest Rate			Maturity		U.S. $ Value at June 30, 2017
Barclays Capital, Inc.†		(2.25	)%*		—	$	1,961,025
Barclays Capital, Inc.†		(0.75	)%*		—		844,823
Credit Suisse Securities (USA) LLC†		(1.32	)%*		—		1,804,980
Deutsche Bank Securities Inc.†		(0.25	)%*		—		1,021,699
JPMorgan Chase Bank, NA		0.00	%		7/14/17		1,297,500
JPMorgan Chase Bank, NA		0.10	%		7/14/17		1,050,923
JPMorgan Chase Bank, NA		0.31	%		7/13/17		2,071,516
JPMorgan Chase Bank, NA		0.90	%		7/12/17		39,932,689
RBC Capital Markets†		0.50	%		—		889,893

						$	50,875,048

†	The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on June 30, 2017

*	Interest payment due from counterparty.

The type of underlying collateral and the remaining maturity of open reverse repurchase agreements on the statements of assets and liabilities is as follows:


	Overnight and Continuous		Up to 30 Days		31-90 Days			Greater than 90 Days			Total
Corporates - Non-Investment Grade	$	6,522,420	$	2,071,516	$	– 0	–	$	– 0	–	$	8,593,936

Overnight
and
Continuous

Up to 30 Days

31-90 Days

Greater than
90 Days

Total

Governments - Treasuries

– 0

–

39,932,689

– 0

–

– 0

–

39,932,689

Emerging Markets - Sovereigns

– 0

–

1,297,500

– 0

–

– 0

–

1,297,500

Governments - Sovereign Bonds

– 0

–

1,050,923

– 0

–

– 0

–

1,050,923

Total

6,522,420

44,352,628

– 0

–

– 0

–

50,875,048

**	Principal amount less than 500.

(a)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, the aggregate market value of these securities amounted to $411,947,282 or 34.2% of net assets.

(b)

Fair valued by the Adviser.

(c)

Illiquid security.

(d)

Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at June 30, 2017.

(e)

Defaulted.

(f)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 1.55% of net assets as of June 30, 2017, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

Artsonig Pty Ltd.

11.50%, 4/01/19

3/13/14

1,983,189

28,535

0.00

Banc of America Re-REMIC Trust Series 2009-UB1, Class A4B

5.722%, 6/24/50

10/06/09

344,247

438,116

0.04

Bellemeade Re II Ltd. Series 2016-1A, Class M2B

7.716%, 4/25/26

4/29/16

3,572,166

3,715,319

0.31

Bellemeade Re II Ltd. Series 2016-1A, Class B1

13.216%, 4/25/26

4/29/16

282,749

313,805

0.03

Bellemeade Re Ltd. Series 2015-1A, Class M2

5.516%, 7/25/25

7/27/15

972,730

995,409

0.08

Creditcorp

12.00%, 7/15/18

6/28/13

1,296,910

1,118,000

0.09

Dominican Republic International Bond

16.00%, 7/10/20

12/08/10

6,351,509

5,617,654

0.47

Exide Technologies

7.00%, 4/30/25

11/10/16

93,002

94,101

0.01

Fideicomiso PA Pacifico Tres

7.00%, 1/15/35

2/22/16

1,944,300

2,294,230

0.19

Golden Energy Offshore Services AS

5.00%, 12/31/17

5/14/14

1,273,130

438,970

0.04

Liberty Tire Recycling LLC

11.00%, 3/31/21

9/23/10

1,760,079

877,549

0.07

Magnetation LLC/Mag Finance Corp.

11.00%, 5/15/18

5/15/13

2,295,760

0.00

Modular Space Corp. Tonon Luxembourg SA

2/23/17

1,330,993

1,158,430

0.10

7.25%, 1/24/20

1/16/13

1,678,083

67,149

0.01

144A/Restricted & Illiquid Securities

Acquisition
Date

Cost

Market
Value

Percentage
of
Net Assets

Vantage Drilling International

10.00%, 12/31/20

2/10/16

82,467

83,520

0.01

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

1/23/14 – 6/09/14

1,408,980

166,950

0.01

Virgolino de Oliveira Finance SA

10.875%, 1/13/20

2/12/14

477,418

129,000

0.01

Virgolino de Oliveira Finance SA

11.75%, 2/09/22

1/29/14

838,866

121,500

0.01

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

6/09/14

992,874

119,350

0.01

Wells Fargo Credit Risk

Transfer Securities Trust Series 2015-WF1, Class 2M2

6.716%, 11/25/25

9/28/15

617,152

703,877

0.06

(g)

Non-income producing security.

(h)

Restricted and illiquid security.

Restricted & Illiquid Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

CHC Group LLC

3/10/17

3,697,479

361,585

0.03

CHC Group LLC/CHC Finance Ltd. Series AI

9/15/20

10/02/12

1,912,371

4,510,763

0.37

Exide Technologies

11.00%, 4/30/22

4/30/22

3,610,377

3,376,980

0.28

Exide Technologies

4/30/15

112,260

233,035

0.02

Exide Technologies

4/30/15

28,931

60,057

0.01

Momentive Performance Materials, Inc.

8.875%, 10/15/20

10/11/12

– 0

–

0.00

Mt. Logan Re Ltd.

(Preference Shares)

12/30/14

2,953,000

3,049,893

0.25

(i)

Convertible security.

(j)

Floating Rate Security. Stated interest/floor rate was in effect at June 30, 2017.

(k)

Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements.

(l)

Variable rate coupon, rate shown as of June 30, 2017.

(m)

Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at June 30, 2017.

(n)

Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.

(o)

Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.

(p)

Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.

(q)

Position, or a portion thereof, has been segregated to collateralize margin requirements for open exchange-traded derivatives.

(r)

Inverse interest only security.

(s)

The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at June 30, 2017.

(t)

Defaulted matured security.

(u)

IO - Interest Only.

(v)

One contract relates to 1 share.

To obtain a copy of the fund’s shareholder report, please go to the Securities and

Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.

(x)

Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.

(y)

As of June 30, 2017, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $79,231,593 and gross unrealized depreciation of investments was $(66,456,560), resulting in net unrealized appreciation of $12,775,033.

Currency Abbreviations:


ARS	-	Argentine Peso
AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CLP	-	Chilean Peso
CNH	-	Chinese Yuan Renminbi (Offshore)
CNY	-	Chinese Yuan Renminbi
COP	-	Colombian Peso
DOP	-	Dominican Peso
EGP	-	Egyptian Pound
EUR	-	Euro
GBP	-	Great British Pound
HKD	-	Hong Kong Dollar
IDR	-	Indonesian Rupiah
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
PEN	-	Peruvian Sol
RUB	-	Russian Ruble
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
UYU	-	Uruguayan Peso
ZAR	-	South African Rand

Glossary:


12MTA	-	12 Month Treasury Average
ABS	-	Asset-Backed Securities
CBT	-	Chicago Board of Trade
CDOR	-	Canadian Dealer Offered Rate
CDX-NAHY	-	North American High Yield Credit Default Swap Index
CDX-NAIG	-	North American Investment Grade Credit Default Swap Index
CMBS	-	Commercial Mortgage-Backed Securities
CMBX.NA	-	North American Commercial Mortgage-Backed Index
CME	-	Chicago Mercantile Exchange
ETF	-	Exchange Traded Fund
EURIBOR	-	Euro Interbank Offered Rate
INTRCONX	-	Inter-Continental Exchange
LIBOR	-	London Interbank Offered Rates
REIT	-	Real Estate Investment Trust
SPDR	-	Standard & Poor’s Depository Receipt

COUNTRY BREAKDOWN *

June 30, 2017 (unaudited)


	61.4%			United States
	5.7%			Brazil
	3.0%			Argentina
	2.9%			United Kingdom
	2.7%			Mexico
	1.5%			Luxembourg
	1.5%			South Africa
	1.5%			Canada
	1.4%			Turkey
	1.3%			Indonesia
	1.2%			Dominican Republic
	1.2%			France
	0.9%			Italy
	11.5%			Other
	2.3%			Short-Term

	100.0%			Total Investments

All data are as of June 30, 2017. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.8% or less in the following countries: Angola, Australia, Bahrain, Belarus, Bermuda, Cameroon, Cayman Islands, Chile, Colombia, Ecuador, Egypt, El Salvador, Ethiopia, Euro Zone, Finland, Gabon, Germany, Guatemala, Honduras, Hong Kong, India, Iraq, Ireland, Ivory Coast, Jamaica, Jordan, Kenya, Lebanon, Macau, Malaysia, Mongolia, Netherlands, New Zealand, Nigeria, Norway, Pakistan, Peru, Portugal, Russia, Senegal, Serbia, Spain, Sri Lanka, Sweden, Switzerland, Trinidad & Tobago, Ukraine, United Arab Emirates, Uruguay, Venezuela and Zambia.

AB Global High Income Fund

June 30, 2017 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

•

Level 1—quoted prices in active markets for identical investments

•

Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•

Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rates, coupon rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option or warrant as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.

Valuations of mortgage-backed or other asset-backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset-backed securities for which management has collected current observable data through brokers or pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer.

Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of June 30, 2017:

Investments in Securities

Level 1

Level 2

Level 3

Total

Assets:

Corporates - Non-Investment Grade

– 0

–

436,741,847

10,977,309

447,719,156

Governments - Treasuries

– 0

–

185,613,704

– 0

–

185,613,704

Collateralized Mortgage Obligations

– 0

–

145,539,916

– 0

–

145,539,916

Corporates - Investment Grade

– 0

–

86,979,215

– 0

–

86,979,215

Emerging Markets - Sovereigns

– 0

–

82,519,843

– 0

–

82,519,843

Emerging Markets - Treasuries

– 0

–

73,452,328

– 0

–

73,452,328

Emerging Markets - Corporate Bonds

– 0

–

48,983,137

398,113

49,381,250

Bank Loans

– 0

–

30,126,904

2,877,399

33,004,303

Commercial Mortgage-Backed Securities

– 0

–

3,206,180

29,492,856

32,699,036

Preferred Stocks

6,910,902

8,445,890

2,317,900

17,674,692

Inflation-Linked Securities

– 0

–

12,545,516

2,294,230

14,839,746

Common Stocks

6,258,967

1,348,911

6,875,297

14,483,175

Asset-Backed Securities

– 0

–

1,796,238

12,456,931

14,253,169

Whole Loan Trusts

– 0

–

– 0

–

7,493,060

Local Governments - Regional Bonds

– 0

–

6,395,373

– 0

–

6,395,373

Local Governments - US Municipal Bonds

– 0

–

5,401,235

– 0

–

5,401,235

Governments - Sovereign Bonds

– 0

–

3,823,050

– 0

–

3,823,050

Quasi-Sovereigns

– 0

–

3,308,147

– 0

–

3,308,147

Collateralized Loan Obligations

– 0

–

– 0

–

1,301,570

Options Purchased - Calls

– 0

–

512,396

– 0

–

512,396

Warrants

174,745

– 0

–

104,053

278,798

Options Purchased - Puts

– 0

–

22,107

– 0

–

22,107

Short-Term Investments:

Investment Companies

18,275,034

– 0

–

– 0

–

18,275,034

Time Deposits

– 0

–

5,545,515

– 0

–

5,545,515

Emerging Markets - Sovereigns

– 0

–

5,323,570

– 0

–

5,323,570

Total Investments in Securities

31,619,648

1,147,631,022

76,588,718

1,255,839,388

Other Financial Instruments*:

Assets

Futures

417,182

– 0

–

– 0

–

417,182

Forward Currency Exchange Contracts

– 0

–

5,294,311

– 0

–

5,294,311

Centrally Cleared Credit Default Swaps

– 0

–

825,324

– 0

–

825,324

Centrally Cleared Interest Rate Swaps

– 0

–

1,169,298

– 0

–

1,169,298

Credit Default Swaps

– 0

–

468,561

– 0

–

468,561

Total Return Swaps

– 0

–

2,930

– 0

–

2,930

Variance Swaps

– 0

–

24,327

– 0

–

24,327

Liabilities

Futures

(228,961

)

– 0

–

– 0

–

(228,961

)

Forward Currency Exchange Contracts

– 0

–

(10,927,868

)

– 0

–

(10,927,868

)

Interest Rate Swaptions Written

– 0

–

(13,219

)

– 0

–

(13,219

)

Currency Options Written

– 0

–

(1,179,793

)

– 0

–

(1,179,793

)

Centrally Cleared Credit Default Swaps

– 0

–

(401,712

)

– 0

–

(401,712

)

Centrally Cleared Interest Rate Swaps

– 0

–

(1,236,117

)

– 0

–

(1,236,117

)

Credit Default Swaps

– 0

–

(3,474,216

)

– 0

–

(3,474,216

)

Total Return Swaps

– 0

–

(170,667

)

– 0

–

(170,667

)

Total^

31,807,869

1,138,012,181

76,588,718

1,246,408,768

#	The Fund held securities with zero market value at period end.

*	Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument. Other financial instruments may also include options written and swaptions written which are valued at market value.

^	There were de minimis transfers from Level 1 to Level 2 during the reporting period.

The Fund recognizes all transfers between levels of the fair value hierarchy assuming the financial instrument was transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.


	Corporates - Non- Investment Grade#			Emerging Markets - Corporate Bonds			Bank Loans#			Commercial Mortgage-Backed Securities
Balance as of 3/31/17	$	15,636,996		$	584,474		$	4,531,506		$	33,960,760
Accrued discounts/(premiums)		(10,038	)		(25,617	)		(17,053	)		26,079
Realized gain (loss)		– 0	–		– 0	–		(160	)		258,315
Change in unrealized appreciation/depreciation		(1,115,362	)		(160,744	)		24,315			135,088
Purchases		5,436,025			– 0	–		1,250,891			956,000
Sales/Paydowns		(5,063,353	)		– 0	–		(734,667	)		(5,843,386	)
Reclassification		(5,306,780	)		5,306,780			– 0	–		– 0	–
Transfers into Level 3		1,399,821			– 0	–		990,435			– 0	–
Transfers out of Level 3		– 0	–		(5,306,780	)		(3,167,868	)		– 0	–

Balance as of 6/30/17	$	10,977,309		$	398,113		$	2,877,399		$	29,492,856

Net change in unrealized appreciation/depreciation from investments held as of 6/30/17	$	(526,194	)	$	(160,744	)	$	40,818		$	(170,462	)

	Preferred Stocks			Inflation-Linked Securites			Common Stocks#			Asset-Backed Securities
Balance as of 3/31/17	$	10,058,730		$	2,356,795		$	8,512,093		$	12,345,172
Accrued discounts/(premiums)		– 0	–		1,558			– 0	–		53,716
Realized gain (loss)		491,809			– 0	–		(334,126	)		224,580
Change in unrealized appreciation/depreciation		(116,963	)		(64,123	)		(330,122	)		143,158
Purchases		1,382,200			– 0	–		1,497,561			2,038,784
Sales/Paydowns		(1,026,384	)		– 0	–		(116,210	)		(1,473,165	)
Reclassification		– 0	–		– 0	–		– 0	–		(875,314	)
Transfers into Level 3		– 0	–		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		(8,471,492	)		– 0	–		(2,353,899	)		– 0	–

Balance as of 6/30/17	$	2,317,900		$	2,294,230		$	6,875,297		$	12,456,931

Net change in unrealized appreciation/depreciation from investments held as of 6/30/17	$	(116,963	)	$	(64,123	)	$	(250,783	)	$	252,167


	Whole Loan Trusts			Collateralized Loan Obligations			Warrants#			Total
Balance as of 3/31/17	$	8,232,252		$	– 0	–	$	399,141		$	96,617,919
Accrued discounts/(premiums)		4,543			3,614			– 0	–		36,802
Realized gain (loss)		(94,777	)		– 0	–		– 0	–		545,641
Change in unrealized appreciation/depreciation		(205,776	)		9,699			(206,733	)		(1,887,563	)
Purchases		61,829			412,943			– 0	–		13,036,233
Sales/Paydowns		(505,011	)		– 0	–		– 0	–		(14,762,176	)
Reclassification		– 0	–		875,314			– 0	–		– 0	–
Transfers into Level 3		– 0	–		– 0	–		– 0	–		2,390,256
Transfers out of Level 3		– 0	–		– 0	–		(88,355	)		(19,388,394	)

Balance as of 6/30/17	$	7,493,060		$	1,301,570		$	104,053		$	76,588,718	+

Net change in unrealized appreciation/depreciation from investments held as of 6/30/17	$	(205,776	)	$	9,699		$	(206,733	)		(1,399,094	)

#	The Fund held securities with zero market value during the reporting period.

An amount of $17,011,648 was transferred out of Level 3 into Level 2 as improved transparency of price inputs has increased the observability of such inputs during the reporting period. There were de minimis transfers from Level 3 to Level 1 during the reporting period. There were no transfers from Level 2 to Level 3 during the reporting period.

The following presents information about significant unobservable inputs related to the Fund’s Level 3 investments at June 30, 2017. Securities priced by the third party vendors or using prior transaction, which approximates fair value, are excluded from the following table:

Quantitative Information about Level 3 Fair Value Measurements

Fair Value at
6/30/17

Valuation Technique

Unobservable Input

Range/
Weighted Average

Corporates—Non-Investment Grade

1,092

Projected Cash Flow

Terms of Escrow

1.80 per $1,000 Principal

Bank Loans

– 0

–

Qualitative Assessment

0.00/N/A

Common Stocks

1,497,364

Market Approach

EBITDA* Projection

96 mm/N/A

EBITDA* Multiples

9.0X/N/A

30,450

Market Approach

EBITDA* Projection

320 mm/N/A

EBITDA* Multiples

14.2X/N/A

23,280

Market Approach

EBITDA* Projection

25 mm/N/A

EBITDA* Multiples

4.7X-6.7X/5.7X

– 0

–

Qualitative Assessment

0.00/N/A

1,551,094

Quantitative Information about Level 3 Fair Value Measurements

Fair Value at
6/30/17

Valuation Technique

Unobservable Input

Range/
Weighted Average

Whole Loan Trusts

1,900,974

Discounted Cash Flow

Level Yield

13.45%/N/A

1,527,435

Market Approach

Underlying NAV of the Collatereal

84.32/N/A

1,480,659

Recovery Analysis

Delinquency Rate

<4%/N/A

1,204,215

Recovery Analysis

Cumulative Loss

<20%/N/A

641,625

Discounted Cash Flow

Level Yield

88.26%/N/A

320,181

Discounted Cash Flow

Level Yield

66.06%/N/A

290,602

Recovery Analysis

Delinquency Rate

<5%/N/A

Collateralization

1.1X/N/A

127,370

Discounted Cash Flow

Level Yield

85.90%/N/A

7,493,060

Warrants

14,132

Option Pricing Model

Exercise Price

6.64/N/A

Expiration Date

June, 2019/N/A

EV Volatility %

50.0%/N/A

89,921

Market Approach

Common Stock Price Less Strike Price

10.97/N/A

104,053

*	Earnings Before Interest, Taxes, Depreciation and Amortization.

Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. Significant increases (decreases) in Underlying NAV of the Collateral, Collateralization, Exercise Price, Expiration Date, EBITDA projections and EBITDA Multiple in isolation would be expected to result in a significantly higher (lower) fair value measurement. A significant increase (decrease) in Cumulative Loss, Delinquency Rate, Cash Flow Yield and EV Volatility % in isolation would be expected to result in a significant lower (higher) fair value measurement.

The Adviser established the Committee to oversee the pricing and valuation of all securities held in the Fund. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and any third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

A summary of the Fund’s transactions in shares of the AB Fixed-Income Shares, Inc. - Government Money Market Portfolio for the three months ended June 30, 2017 is as follows:


Market Value March 31, 2017 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Market Value June 30, 2017 (000)		Dividend Income (000)
$	36,558	$	84,826	$	103,109	$	18,275	$	62

ITEM 2.

CONTROLS AND PROCEDURES.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.

(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 3.

EXHIBITS.

The following exhibits are attached to this Form N-Q:


EXHIBIT NO.		DESCRIPTION OF EXHIBIT

3 (a) (1)		Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

3 (a) (2)		Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) AllianceBernstein Global High Income Fund, Inc.


By:		/s/ Robert M. Keith
		Robert M. Keith
		President

Date:		August 22, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ Robert M. Keith
		Robert M. Keith
		President

Date:		August 22, 2017

By:		/s/ Joseph J. Mantineo
		Joseph J. Mantineo
		Treasurer and Chief Financial Officer

Date:		August 22, 2017