UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT 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, 2018

Date of reporting period: September 30, 2017

 

 

 

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ITEM 1.

REPORTS TO STOCKHOLDERS.

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SEP    ^09.30.17

 

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Investment Products Offered		• Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed

You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.

The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-Q may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330.

AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.

The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein^® is a registered service mark used by permission of the owner, AllianceBernstein L.P.

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FROM THE PRESIDENT

Dear Shareholder,

We are pleased to provide this report for AllianceBernstein Global High Income Fund (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.

As always, AB strives to keep clients ahead of what’s next by:

 

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Transforming uncommon insights into uncommon knowledge with a global research scope

 

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Navigating markets with seasoned investment experience and sophisticated solutions

 

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Providing thoughtful investment insights and actionable ideas

Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.

AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.

For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.

Thank you for your investment in the AB Mutual Funds.

Sincerely,

 

Robert M. Keith

President and Chief Executive Officer, AB Mutual Funds

 

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SEMI-ANNUAL REPORT

 

November 13, 2017

This report provides management’s discussion of fund performance for AllianceBernstein Global High Income Fund for the semi-annual reporting period ended September 30, 2017. The Fund is a closed-end fund and its shares of common stock trade on the New York Stock Exchange.

The Fund seeks high current income, and secondarily, capital appreciation.

RETURNS AS OF SEPTEMBER 30, 2017 (unaudited)

 

		6 Months				12 Months
ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND (NAV)			4.71%				11.14%
Primary Benchmark:1 Bloomberg Barclays Global High Yield Index (USD hedged)			4.53%				8.71%
Blended Benchmark: 33% JPM GBI-EM / 33% JPM EMBI Global / 33% Bloomberg Barclays US Corporate HY 2% Issuer Capped Index			5.63%				7.86%
JPM GBI-EM (local currency-denominated)			8.05%				10.41%
JPM EMBI Global			4.65%				4.15%
Bloomberg Barclays US Corporate HY 2% Issuer Capped Index			4.19%				8.87%

The Fund’s market price per share on September 30, 2017 was $13.05. The Fund’s NAV per share on September 30, 2017 was $14.06. For additional financial highlights, please see pages 116-117.

 

1	The Fund’s broad-based index used for comparison purposes has changed from the JPMorgan Emerging Markets Bond Index Global (“JPM EMBI Global”) to the Bloomberg Barclays Global High Yield Index (USD hedged) because the new index more closely reflects the Fund’s investments.

INVESTMENT RESULTS

The table above shows the Fund’s performance compared with its primary benchmark, the Bloomberg Barclays Global High Yield Index (USD hedged), as well as its blended benchmark and components for the six- and 12-month periods ended September 30, 2017. The blended benchmark is composed of equal weightings of the JPMorgan Government Bond Index-Emerging Markets (“JPM GBI-EM”, local currency-denominated), the JPMorgan Emerging Markets Bond Index Global (“JPM EMBI Global”) and the Bloomberg Barclays US Corporate High Yield (“HY”) 2% Issuer Capped Index.

During the six-month period, the Fund outperformed its primary benchmark. Sector allocation contributed to relative performance, helped most by allocations to non-agency mortgages and agency risk-sharing transactions. The Fund’s exposures to treasuries and commercial mortgage-backed securities (“CMBS”) detracted. Currency investments benefited from a long position in the Turkish lira. Yield-curve positioning also added

 

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to returns, mostly as a result of positioning along the US yield curve; the Fund was underweight six-month maturities, where yields rose the most, and overweight the intermediate and longer parts of the curve. Security selection detracted from performance, primarily because of selections within US high-yield corporates and CMBS.

During the 12-month period, the Fund outperformed its primary benchmark. Selections within high-yield and investment-grade corporates contributed to relative performance. Currency allocation boosted returns further, helped by long positions in the Brazilian real and Russian ruble. Sector selection also contributed, within which a position in non-agency mortgages added most to performance, though exposures to treasuries and CMBS dragged on returns. Yield-curve positioning did not have a meaningful impact on overall performance in the period.

During both periods, the Fund utilized interest rate swaps and treasury futures to manage duration, country exposure and yield-curve positioning. Currency forwards and currency options, both written and purchased, were used to hedge currency exposure as well as to manage active currency risk. Variance swaps and swaptions, both written and purchased, were used to take active risk in an effort to add alpha (a measure of how the Fund is performing versus its benchmark). Credit default swaps, both single name and index, were used to hedge credit risk as well as to take active credit risk. Total return swaps were used to take active credit risk.

MARKET REVIEW AND INVESTMENT STRATEGY

Political events and central bank action had a significant impact on bond markets in the six- and 12-month periods ended September 30, 2017. Donald Trump’s US presidential election victory and the promise of fiscal stimulus, a retreat from globalization and relaxed regulation were initially treated as positive developments by financial markets, though uncertainty regarding the new administration’s ability to implement meaningful reform increased during the period. Markets were surprised when UK prime minister Theresa May called for a snap parliamentary election three years ahead of schedule, in an effort to firm up the country’s mandate going into Brexit negotiations. The election results increased political uncertainty when May’s Conservative Party failed to secure a majority position. Investors were relieved when centrist, pro-EU candidate Emmanuel Macron was elected president of France and his party went on to win a parliamentary majority. His reformist agenda was seen as more business friendly than the protectionist policies espoused by his opponent. In June 2017, the US Federal Reserve raised interest rates for the third consecutive quarter, hikes that were universally anticipated by markets.

Emerging-market debt rallied over both periods, helped by a positive global growth story and oil prices reaching a two-and-a-half-year high. In the 12-month period, developed-market treasury yields rose almost across

 

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the board, the exception being shorter maturities in the UK and eurozone. Emerging-market local-currency government bonds rebounded, while investment-grade credit securities posted flat returns, but both outperformed the negative returns of developed-market treasuries. In the six-month period, US, Canadian, Japanese and Australian yields generally rose, while eurozone yields moved in different directions. Investment-grade credit securities, emerging-market local-currency government bonds and developed-market treasuries all performed well, though they trailed the rally in global high yield. Global high-yield securities rallied strongly in both periods, with almost uniformly positive sector performance. Energy was among the top performers in the 12-month period, helped by oil price increases, while consumer-related sectors generally lagged the rising market; the rally in the six-month period was led by the banking and transportation sectors.

INVESTMENT POLICIES

The Fund invests without limit in securities denominated in non-US currencies as well as those denominated in the US dollar. The Fund may also invest, without limit, in sovereign debt securities issued by emerging and developed nations and in debt securities of US and non-US corporate issuers. For more information regarding the Fund’s risks, please see “Disclosures and Risks” on pages 5-7 and “Note E—Risks Involved in Investing in the Fund” of the Notes to Financial Statements on pages 111-113.

 

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DISCLOSURES AND RISKS

 

AllianceBernstein Global High Income Fund

Shareholder Information

Weekly comparative net asset value (“NAV”) and market price information about the Fund is published each Saturday in Barron’s and in other newspapers in a table called “Closed End Funds”. Daily NAV and market price information, and additional information regarding the Fund, is available at www.abfunds.com and www.nyse.com. For additional shareholder information regarding this Fund, please see pages 118-119.

Benchmark Disclosure

All indices are unmanaged and do not reflect fees and expenses associated with the active management of a fund portfolio. The Bloomberg Barclays Global High Yield Index (USD hedged) represents non-investment grade fixed-income securities of companies in the US, and developed and emerging markets. The JPM^® GBI-EM represents the performance of local currency government bonds issued by emerging markets. The JPM^® EMBI Global (market-capitalization weighted) represents the performance of US dollar-denominated Brady bonds, Eurobonds and trade loans issued by sovereign and quasi-sovereign entities. The Bloomberg Barclays US Corporate HY 2% Issuer Capped Index is the 2% Issuer Capped component of the US Corporate High Yield Index, which represents the performance of fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million and at least one year to maturity. An investor cannot invest directly in an index, and its results are not indicative of the performance of any specific investment, including the Fund.

A Word About Risk

Market Risk: The value of the Fund’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events that affect large portions of the market.

Interest Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations.

Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full

 

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DISCLOSURES AND RISKS (continued)

 

principal amount of a security. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.

Below Investment Grade Securities: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) tend to have a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments, interest rate sensitivity, negative perceptions of the junk bond market generally and less secondary market liquidity.

Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater if the Fund invests a significant portion of its assets in fixed-income securities with longer maturities.

Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be less liquid due to adverse market, economic, political, regulatory or other factors.

Emerging Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.

Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.

Leverage Risk: As a result of the Fund’s use of leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.

Diversification Risk: The Fund may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers and that adverse changes in the value of one security could have a more significant effect on the Fund’s NAV.

Derivatives Risk: Investments in derivatives may be illiquid, difficult to price and leveraged so that small changes may produce disproportionate

 

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DISCLOSURES AND RISKS (continued)

 

losses for the Fund, and may be subject to counterparty risk to a greater degree than more traditional investments.

Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. The Fund may invest in mortgage-backed and/or other asset-backed securities, including securities backed by mortgages and assets with an international or emerging-markets origination and securities backed by non-performing loans at the time of investment. Investments in mortgage-backed and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that, in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by nongovernmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.

These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.

An Important Note About Historical Performance

The performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. All fees and expenses related to the operation of the Fund have been deducted. Performance assumes reinvestment of distributions and does not account for taxes.

 

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PORTFOLIO SUMMARY

September 30, 2017 (unaudited)

 

PORTFOLIO STATISTICS

Net Assets ($mil): $1,212.3

 

 

 

 

1

All data are as of September 30, 2017. The Fund’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” security type weightings represent 0.5% or less in the following security types: Collateralized Loan Obligations, Governments–Sovereign Bonds, Investment Companies, Local Governments–Regional Bonds, Local Governments–US Municipal Bonds, Options Purchased–Calls, Options Purchased–Puts, Quasi-Sovereigns, Warrants and Whole Loan Trusts.

 

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PORTFOLIO SUMMARY (continued)

September 30, 2017 (unaudited)

 

 

 

 

1

All data are as of September 30, 2017. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 1.0% or less in the following countries: Angola, Australia, Bahrain, Belarus, Cameroon, Cayman Islands, Chile, China, Colombia, Ecuador, Egypt, El Salvador, Ethiopia, Finland, Gabon, Germany, Guatemala, Honduras, Hong Kong, India, Iraq, Israel, Italy, Ivory Coast, Jamaica, Jersey (Channel Islands), 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.

 

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PORTFOLIO OF INVESTMENTS

September 30, 2017 (unaudited)

 

						Principal Amount (000)				U.S. $ Value
CORPORATES – NON-INVESTMENT GRADE – 37.4%
Industrial – 30.8%
Basic – 3.2%
AK Steel Corp. 7.625%, 10/01/21			U.S.$				278			$	289,521
Aleris International, Inc. 7.875%, 11/01/20							664				663,611
ArcelorMittal 7.25%, 3/01/41							734				866,511
7.50%, 10/15/39							1,938				2,323,722
Artsonig Pty Ltd. 11.50% (11.50% Cash or 12.00% PIK), 4/01/19(a)(b)							2,854				28,535
Ashland LLC 4.75%, 8/15/22							501				530,100
Axalta Coating Systems LLC 4.875%, 8/15/24(c)							516				537,993
Berry Plastics Corp. 5.50%, 5/15/22							409				426,818
CF Industries, Inc. 4.95%, 6/01/43							595				548,357
5.375%, 3/15/44							545				527,155
Cleveland-Cliffs, Inc. 5.75%, 3/01/25(c)							1,628				1,558,675
Constellium NV 5.75%, 5/15/24(c)							400				403,065
ERP Iron Ore, LLC 9.039%, 12/31/19(a)(d)(e)(f)							473				472,560
Freeport-McMoRan, Inc. 5.45%, 3/15/43							584				546,316
6.50%, 11/15/20							867				886,280
6.75%, 2/01/22							1,197				1,247,981
Grinding Media, Inc./Moly-Cop AltaSteel Ltd. 7.375%, 12/15/23(c)							1,296				1,405,669
INEOS Finance PLC 4.00%, 5/01/23(c)			EUR				790				965,471
Joseph T Ryerson & Son, Inc. 11.00%, 5/15/22(c)			U.S.$				3,215				3,602,070
Lecta SA 6.50%, 8/01/23(c)			EUR				227				282,114
Lundin Mining Corp. 7.50%, 11/01/20(c)			U.S.$				396				412,315
7.875%, 11/01/22(c)							837				910,738
Magnetation LLC/Mag Finance Corp. 11.00%, 5/15/18(b)(e)(g)(h)							2,857				29

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Momentive Performance Materials, Inc. 3.88%, 10/24/21			U.S.$				3,472			$	3,510,272
8.875%, 10/15/20(e)(f)(g)(i)							3,472				– 0	–
Multi-Color Corp. 4.875%, 11/01/25(c)							980				990,544
Novelis Corp. 5.875%, 9/30/26(c)							1,573				1,600,367
Pactiv LLC 7.95%, 12/15/25							1,110				1,248,481
Peabody Energy Corp. 6.00%, 11/15/18(d)(e)(f)(g)							4,310				– 0	–
6.00%, 3/31/22(c)							295				305,364
Plastipak Holdings, Inc. 6.50%, 10/01/21(c)							846				872,534
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 5.125%, 7/15/23(c)							781				813,564
Sealed Air Corp. 6.875%, 7/15/33(c)							1,295				1,523,316
SIG Combibloc Holdings SCA 7.75%, 2/15/23(c)			EUR				682				851,818
Smurfit Kappa Acquisitions ULC 4.875%, 9/15/18(c)			U.S.$				2,064				2,103,131
Smurfit Kappa Treasury Funding Ltd. 7.50%, 11/20/25							238				290,524
SPCM SA 4.875%, 9/15/25(c)							975				1,007,770
Teck Resources Ltd. 5.20%, 3/01/42							174				172,735
5.40%, 2/01/43							1,454				1,464,655
6.25%, 7/15/41							238				268,144
United States Steel Corp. 6.875%, 8/15/25							1,070				1,096,509
8.375%, 7/01/21(c)							932				1,028,649
Valvoline, Inc. 5.50%, 7/15/24(c)							278				296,454
W.R. Grace & Co.-Conn 5.625%, 10/01/24(c)							386				424,260
											39,304,697
Capital Goods – 1.6%
Apex Tool Group LLC 7.00%, 2/01/21(c)							1,329				1,231,241
ARD Finance SA 6.625% (6.625% Cash or 7.375% PIK), 9/15/23(a)			EUR				1,126				1,418,403

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 6.75%, 5/15/24(c)(j)			EUR				2,004			$	2,641,422
B456 Systems, Inc. 3.75%, 12/31/49(d)(e)(g)(k)			U.S.$				955				74,012
Bombardier, Inc. 5.75%, 3/15/22(c)							975				942,391
6.00%, 10/15/22(c)							447				433,028
7.50%, 3/15/25(c)							418				418,350
7.75%, 3/15/20(c)							552				587,815
8.75%, 12/01/21(c)							546				585,515
BWAY Holding Co. 5.50%, 4/15/24(c)							1,073				1,119,384
Energizer Holdings, Inc. 5.50%, 6/15/25(c)							1,311				1,384,807
EnPro Industries, Inc. 5.875%, 9/15/22							970				1,012,695
Gates Global LLC/Gates Global Co. 5.75%, 7/15/22(c)			EUR				125				151,523
6.00%, 7/15/22(c)			U.S.$				1,096				1,126,071
GFL Environmental, Inc. 5.625%, 5/01/22(c)							497				516,005
9.875%, 2/01/21(c)							852				911,312
KLX, Inc. 5.875%, 12/01/22(c)							877				919,507
Liberty Tire Recycling LLC 11.00%, 3/31/21(a)(b)(e)							1,624				927,844
Textron Financial Corp. 3.05% (LIBOR 3 Month + 1.74%), 2/15/42(c)(l)							575				503,694
TransDigm, Inc. 6.375%, 6/15/26							2,335				2,392,182
6.50%, 7/15/24							462				476,196
											19,773,397
Communications - Media – 4.1%
Altice Financing SA 6.625%, 2/15/23(c)							2,892				3,065,520
7.50%, 5/15/26(c)							1,582				1,736,563
Altice Luxembourg SA 7.25%, 5/15/22(c)			EUR				1,332				1,673,553
CCO Holdings LLC/CCO Holdings Capital Corp. 5.375%, 5/01/25(c)			U.S.$				128				132,610
5.75%, 1/15/24							166				172,452
5.875%, 5/01/27(c)							499				523,761
Cequel Communications Holdings I LLC/Cequel Capital Corp. 6.375%, 9/15/20(c)							298				304,520
7.75%, 7/15/25(c)							861				951,816

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Clear Channel Worldwide Holdings, Inc. Series A 6.50%, 11/15/22			U.S.$				555			$	569,781
Series B 6.50%, 11/15/22							2,499				2,578,868
CSC Holdings LLC 10.125%, 1/15/23(c)							565				651,162
DISH DBS Corp. 5.875%, 11/15/24							2,185				2,290,029
Gray Television, Inc. 5.125%, 10/15/24(c)							1,037				1,044,025
iHeartCommunications, Inc. 6.875%, 6/15/18							2,016				1,043,280
9.00%, 12/15/19-3/01/21							1,630				1,180,617
10.625%, 3/15/23							142				100,346
11.25%, 3/01/21(c)							254				181,242
Liberty Interactive LLC 3.75%, 2/15/30(k)							881				621,229
McClatchy Co. (The) 9.00%, 12/15/22(j)							958				991,825
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.875%, 5/15/24(c)							1,700				1,675,836
Mediacom Broadband LLC/Mediacom Broadband Corp. 6.375%, 4/01/23							2,168				2,250,050
Netflix, Inc. 4.375%, 11/15/26(c)							1,552				1,559,484
Outfront Media Capital LLC/Outfront Media Capital Corp. 5.25%, 2/15/22							648				670,659
Radiate Holdco LLC/Radiate Finance, Inc. 6.625%, 2/15/25(c)							1,057				1,036,078
SFR Group SA 5.375%, 5/15/22(c)			EUR				264				325,846
5.625%, 5/15/24(c)							386				493,310
6.00%, 5/15/22(c)			U.S.$				307				320,702
7.375%, 5/01/26(c)							2,723				2,933,243
Sinclair Television Group, Inc. 5.625%, 8/01/24(c)							529				543,564
6.125%, 10/01/22							1,487				1,533,119
TEGNA, Inc. 4.875%, 9/15/21(c)							284				290,689
5.50%, 9/15/24(c)							162				170,658
6.375%, 10/15/23							718				765,990
Time, Inc. 5.75%, 4/15/22(c)							541				554,396

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Townsquare Media, Inc. 6.50%, 4/01/23(c)			U.S.$				976			$	990,731
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.00%, 1/15/25(c)							1,078				1,134,444
6.25%, 1/15/29(c)			EUR				496				663,311
Univision Communications, Inc. 5.125%, 2/15/25(c)			U.S.$				1,064				1,073,320
Urban One, Inc. 7.375%, 4/15/22(c)							1,400				1,400,000
9.25%, 2/15/20(c)(j)							1,761				1,670,030
Virgin Media Finance PLC 4.875%, 2/15/22							1,347				1,307,765
5.25%, 2/15/22							900				871,155
Virgin Media Receivables Financing Notes I DAC 5.50%, 9/15/24(c)			GBP				128				175,915
Virgin Media Secured Finance PLC 5.50%, 1/15/25(c)							423				594,986
Wave Holdco LLC/Wave Holdco Corp. 8.25% (8.25% Cash or 9.00% PIK), 7/15/19(a)(c)			U.S.$				262				262,761
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125%, 9/01/20(c)							1,084				1,109,331
Ziggo Bond Co. BV 7.125%, 5/15/24(c)			EUR				968				1,288,536
Ziggo Bond Finance BV 5.875%, 1/15/25(c)			U.S.$				634				658,481
Ziggo Secured Finance BV 5.50%, 1/15/27(c)							1,013				1,036,752
											49,174,341
Communications - Telecommunications – 2.7%
Arqiva Broadcast Finance PLC 9.50%, 3/31/20(c)			GBP				1,086				1,540,875
C&W Senior Financing Designated Activity Co. 6.875%, 9/15/27(c)			U.S.$				847				883,407
CenturyLink, Inc. Series W 6.75%, 12/01/23							437				442,506
Cincinnati Bell, Inc. 7.00%, 7/15/24(c)							1,151				1,126,926
Clear Channel Communications, Inc. 12.00%, 8/01/21(d)(e)(f)(g)							607				1,092

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Embarq Corp. 7.995%, 6/01/36			U.S.$				1,196			$	1,213,275
Frontier Communications Corp. 6.25%, 9/15/21							307				252,238
6.875%, 1/15/25							45				33,132
7.125%, 1/15/23							154				117,906
7.625%, 4/15/24							1,118				851,056
7.875%, 1/15/27							834				597,382
10.50%, 9/15/22							511				442,292
11.00%, 9/15/25							267				226,640
Hughes Satellite Systems Corp. 7.625%, 6/15/21							1,437				1,626,673
Intelsat Jackson Holdings SA 5.50%, 8/01/23							1,675				1,422,980
7.25%, 10/15/20							443				426,930
7.50%, 4/01/21							820				778,059
8.00%, 2/15/24(c)							216				232,284
9.50%, 9/30/22(c)							516				611,715
9.75%, 7/15/25(c)							1,102				1,118,932
Level 3 Financing, Inc. 5.375%, 1/15/24							478				489,900
6.125%, 1/15/21							596				608,917
Sable International Finance Ltd. 6.875%, 8/01/22(c)							454				488,011
Sprint Corp. 7.625%, 2/15/25							1,736				1,993,685
7.875%, 9/15/23							937				1,086,737
T-Mobile USA, Inc. 6.00%, 3/01/23							743				782,426
6.375%, 3/01/25							655				704,425
6.836%, 4/28/23							543				573,890
Telecom Italia Capital SA 7.20%, 7/18/36							483				598,255
7.721%, 6/04/38							1,700				2,181,807
Telecom Italia SpA/Milano 5.303%, 5/30/24(c)							1,002				1,088,828
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC 6.00%, 4/15/23(c)							1,314				1,257,829
Wind Acquisition Finance SA 4.75%, 7/15/20(c)							785				795,234
7.375%, 4/23/21(c)							2,214				2,303,455
Windstream Services LLC 6.375%, 8/01/23							982				693,110
7.75%, 10/01/21(j)							1,715				1,254,982
Zayo Group LLC/Zayo Capital, Inc. 5.75%, 1/15/27(c)							300				317,857

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
6.00%, 4/01/23			U.S.$				488			$	515,713
6.375%, 5/15/25							1,187				1,277,519
											32,958,880
Consumer Cyclical - Automotive – 1.3%
Adient Global Holdings Ltd. 4.875%, 8/15/26(c)							1,323				1,353,290
BCD Acquisition, Inc. 9.625%, 9/15/23(c)							2,184				2,405,248
Cooper-Standard Automotive, Inc. 5.625%, 11/15/26(c)							1,101				1,124,147
Dana Financing Luxembourg SARL 5.75%, 4/15/25(c)							215				226,473
6.50%, 6/01/26(c)							1,379				1,485,827
Exide Technologies 7.00%, 4/30/25(a)(b)(e)(k)							157				96,257
11.00%, 4/30/22(a)(b)(e)							4,008				3,407,042
Series AI 7.00%, 4/30/25(a)(d)(e)(k)							4,257				2,612,847
Goodyear Tire & Rubber Co. (The) 7.00%, 3/15/28							400				447,486
8.75%, 8/15/20							112				130,871
IHO Verwaltungs GmbH 4.125% (4.125% Cash or 4.875% PIK), 9/15/21(a)(c)							889				906,872
Meritor, Inc. 6.25%, 2/15/24							305				324,141
ZF North America Capital, Inc. 4.75%, 4/29/25(c)							1,153				1,217,660
											15,738,161
Consumer Cyclical - Entertainment – 0.2%
AMC Entertainment Holdings, Inc. 5.875%, 11/15/26							1,180				1,161,991
Silversea Cruise Finance Ltd. 7.25%, 2/01/25(c)							1,409				1,512,027
											2,674,018
Consumer Cyclical - Other – 2.9%
Beazer Homes USA, Inc. 5.875%, 10/15/27(c)							682				681,885
6.75%, 3/15/25							1,400				1,477,637
8.75%, 3/15/22							99				109,408
Caesars Entertainment Operating Co., Inc. 10.00%, 12/15/18(e)(g)(h)							700				719,250

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope 8.00%, 10/01/20			U.S.$				1,260			$	1,292,231
CalAtlantic Group, Inc. 6.625%, 5/01/20							1,332				1,469,233
8.375%, 5/15/18							2,362				2,446,550
Cirsa Funding Luxembourg SA 5.75%, 5/15/21(c)			EUR				396				493,923
Diamond Resorts International, Inc. 7.75%, 9/01/23(c)			U.S.$				1,139				1,224,114
Eldorado Resorts, Inc. 6.00%, 4/01/25							676				709,949
GLP Capital LP/GLP Financing II, Inc. 5.375%, 4/15/26							404				441,152
International Game Technology PLC 6.25%, 2/15/22(c)							977				1,078,872
K. Hovnanian Enterprises, Inc. 5.00%, 11/01/21							2,257				2,028,643
10.00%, 7/15/22(c)							389				402,916
10.50%, 7/15/24(c)							389				407,932
KB Home 7.00%, 12/15/21							536				600,276
7.50%, 9/15/22							494				566,522
MDC Holdings, Inc. 5.50%, 1/15/24							150				161,819
6.00%, 1/15/43							3,010				2,903,786
Meritage Homes Corp. 6.00%, 6/01/25							1,895				2,023,959
Pinnacle Entertainment, Inc. 5.625%, 5/01/24							829				851,742
PulteGroup, Inc. 5.00%, 1/15/27							115				119,794
6.00%, 2/15/35							500				519,272
7.875%, 6/15/32							1,400				1,714,584
RSI Home Products, Inc. 6.50%, 3/15/23(c)							2,212				2,324,248
Safari Holding Verwaltungs GmbH 8.25%, 2/15/21(c)			EUR				243				297,877
Shea Homes LP/Shea Homes Funding Corp. 5.875%, 4/01/23(c)			U.S.$				420				431,543
6.125%, 4/01/25(c)							830				860,013
Standard Industries, Inc./NJ 6.00%, 10/15/25(c)							977				1,062,487
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875%, 5/15/25(c)							685				673,391

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. 5.625%, 3/01/24(c)			U.S.$				1,700			$	1,770,688
5.875%, 4/15/23(c)							875				925,312
Toll Brothers Finance Corp. 4.875%, 3/15/27							1,124				1,163,718
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.50%, 3/01/25(c)							785				817,194
											34,771,920
Consumer Cyclical - Restaurants – 0.2%
1011778 BC ULC/New Red Finance, Inc. 6.00%, 4/01/22(c)							450				464,034
Landry’s, Inc. 6.75%, 10/15/24(c)							933				944,833
Pizzaexpress Financing 2 PLC 6.625%, 8/01/21(c)			GBP				692				881,908
											2,290,775
Consumer Cyclical - Retailers – 1.0%
Dufry Finance SCA 4.50%, 8/01/23(c)			EUR				1,208				1,519,660
FirstCash, Inc. 5.375%, 6/01/24(c)			U.S.$				1,312				1,368,328
Group 1 Automotive, Inc. 5.00%, 6/01/22							372				385,459
JC Penney Corp., Inc. 6.375%, 10/15/36							421				300,662
7.40%, 4/01/37							600				452,290
L Brands, Inc. 6.875%, 11/01/35							230				224,647
6.95%, 3/01/33							500				488,889
7.60%, 7/15/37							1,000				1,005,080
Levi Strauss & Co. 5.00%, 5/01/25							1,380				1,464,043
Neiman Marcus Group Ltd. LLC 8.00%, 10/15/21(c)							2,115				1,105,087
8.75% (8.75% Cash or 9.50% PIK), 10/15/21(a)(c)							386				182,385
Penske Automotive Group, Inc. 5.50%, 5/15/26							946				979,351
PetSmart, Inc. 7.125%, 3/15/23(c)							1,140				890,950
Rite Aid Corp. 6.125%, 4/01/23(c)							536				521,553

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Sonic Automotive, Inc. 5.00%, 5/15/23			U.S.$				534			$	521,736
6.125%, 3/15/27							817				838,219
											12,248,339
Consumer Non-Cyclical – 3.8%
Acadia Healthcare Co., Inc. 6.50%, 3/01/24							684				735,343
Air Medical Group Holdings, Inc. 6.375%, 5/15/23(c)							535				516,859
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC 5.75%, 3/15/25							274				242,013
6.625%, 6/15/24							1,712				1,597,423
Alere, Inc. 6.375%, 7/01/23(c)							392				421,381
7.25%, 7/01/18							765				767,711
BI-LO LLC/BI-LO Finance Corp. 8.625% (8.625% Cash or 9.375% PIK), 9/15/18(a)(c)							1,894				620,218
9.25%, 2/15/19(c)							1,553				1,413,769
Boparan Finance PLC 5.50%, 7/15/21(c)			GBP				966				1,220,992
Catalent Pharma Solutions, Inc. 4.75%, 12/15/24(c)			EUR				400				509,525
CHS/Community Health Systems, Inc. 6.875%, 2/01/22			U.S.$				3,223				2,528,791
7.125%, 7/15/20							828				747,188
8.00%, 11/15/19							408				397,719
Concordia International Corp. 7.00%, 4/15/23(c)							186				32,550
9.50%, 10/21/22(c)							3,137				576,424
DaVita, Inc. 5.00%, 5/01/25							496				489,513
Diamond BC BV 5.625%, 8/15/25(c)			EUR				362				434,490
Eagle Holding Co. II LLC 7.625% (7.625% Cash or 8.375% PIK), 5/15/22(a)(c)			U.S.$				179				185,677
Endo Dac/Endo Finance LLC/Endo Finco, Inc. 6.00%, 7/15/23-2/01/25(c)							3,790				3,098,550
Endo Finance LLC 5.75%, 1/15/22(c)							458				402,908
Endo Finance LLC/Endo Finco, Inc. 5.375%, 1/15/23(c)							200				163,082

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Envision Healthcare Corp. 5.625%, 7/15/22			U.S.$				1,009			$	1,052,607
6.25%, 12/01/24(c)							694				743,499
First Quality Finance Co., Inc. 4.625%, 5/15/21(c)							3,247				3,282,071
HCA, Inc. 4.25%, 10/15/19							1,475				1,526,464
4.50%, 2/15/27							135				137,998
5.25%, 6/15/26							235				252,854
Hill-Rom Holdings, Inc. 5.75%, 9/01/23(c)							265				279,851
Kinetic Concepts, Inc./KCI USA, Inc. 7.875%, 2/15/21(c)							506				530,577
Lamb Weston Holdings, Inc. 4.625%, 11/01/24(c)							439				459,204
4.875%, 11/01/26(c)							440				461,471
LifePoint Health, Inc. 5.375%, 5/01/24							258				268,218
5.875%, 12/01/23							1,448				1,531,117
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.50%, 4/15/25(c)							772				695,876
5.625%, 10/15/23(c)							394				367,878
5.75%, 8/01/22(c)							1,181				1,152,434
MEDNAX, Inc. 5.25%, 12/01/23(c)							422				440,868
MPH Acquisition Holdings LLC 7.125%, 6/01/24(c)							1,563				1,677,288
Post Holdings, Inc. 5.00%, 8/15/26(c)							442				441,306
5.50%, 3/01/25(c)							642				666,809
Revlon Consumer Products Corp. 6.25%, 8/01/24							568				439,416
Spectrum Brands, Inc. 4.00%, 10/01/26(c)			EUR				530				648,093
6.125%, 12/15/24			U.S.$				361				386,657
6.625%, 11/15/22							560				583,287
Synlab Bondco PLC 6.25%, 7/01/22(c)			EUR				1,525				1,919,993
Synlab Unsecured Bondco PLC 8.25%, 7/01/23(c)							700				904,376
Tenet Healthcare Corp. 6.00%, 10/01/20			U.S.$				95				101,371
6.75%, 6/15/23(j)							1,308				1,254,522
6.875%, 11/15/31							1,174				1,017,162
8.125%, 4/01/22							752				763,769

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Valeant Pharmaceuticals International 7.00%, 10/01/20(c)			U.S.$				330			$	332,644
7.25%, 7/15/22(c)							635				620,741
Valeant Pharmaceuticals International, Inc. 5.375%, 3/15/20(c)							846				844,140
5.50%, 3/01/23(c)							230				202,256
5.875%, 5/15/23(c)							212				187,090
6.125%, 4/15/25(c)							1,176				1,029,856
6.50%, 3/15/22(c)							287				303,985
Vizient, Inc. 10.375%, 3/01/24(c)							404				464,538
Voyage Care BondCo PLC 5.875%, 5/01/23(c)			GBP				891				1,240,215
											46,314,627
Energy – 4.3%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 7.875%, 12/15/24(c)			U.S.$				897				969,087
Berry Petroleum Co. LLC 6.375%, 9/15/22(d)(e)(f)(g)							2,383				– 0	–
Bill Barrett Corp. 7.00%, 10/15/22							328				312,858
8.75%, 6/15/25							842				811,951
California Resources Corp. 5.50%, 9/15/21							299				159,218
6.00%, 11/15/24							232				104,690
8.00%, 12/15/22(c)							2,983				1,942,679
Carrizo Oil & Gas, Inc. 6.25%, 4/15/23							347				352,510
7.50%, 9/15/20							246				251,094
8.25%, 7/15/25							301				326,757
Cheniere Corpus Christi Holdings LLC 7.00%, 6/30/24							930				1,059,778
Cheniere Energy Partners LP 5.25%, 10/01/25(c)							1,055				1,078,871
Cheniere Energy, Inc. 4.875%, 5/28/21(a)(c)(e)(k)							1,039				1,015,048
Chesapeake Energy Corp. 4.875%, 4/15/22(j)							2,138				1,997,497
6.125%, 2/15/21							505				508,216
8.00%, 1/15/25(c)							111				112,206
Continental Resources, Inc./OK 3.80%, 6/01/24							96				92,659
4.90%, 6/01/44							212				192,407
5.00%, 9/15/22							1,119				1,136,844
DCP Midstream Operating LP 5.60%, 4/01/44							1,848				1,733,095

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Denbury Resources, Inc. 4.625%, 7/15/23			U.S.$				439			$	235,963
5.50%, 5/01/22							530				302,762
Diamond Offshore Drilling, Inc. 7.875%, 8/15/25							2,451				2,591,249
Energy Transfer Equity LP 7.50%, 10/15/20							309				348,225
Ensco PLC 4.50%, 10/01/24							290				241,609
5.20%, 3/15/25							406				340,304
EP Energy LLC/Everest Acquisition Finance, Inc. 6.375%, 6/15/23							467				288,373
7.75%, 9/01/22							449				285,115
8.00%, 2/15/25(c)							1,792				1,393,690
9.375%, 5/01/20							710				592,333
Genesis Energy LP/Genesis Energy Finance Corp. 6.75%, 8/01/22							129				131,376
Golden Energy Offshore Services AS 5.00%, 12/31/17(b)(e)			NOK				9,162				517,667
Gulfport Energy Corp. 6.00%, 10/15/24			U.S.$				325				327,135
6.375%, 5/15/25							1,054				1,069,116
Hilcorp Energy I LP/Hilcorp Finance Co. 5.00%, 12/01/24(c)							340				334,232
5.75%, 10/01/25(c)							1,610				1,626,828
Murphy Oil Corp. 6.875%, 8/15/24							208				222,074
Murphy Oil USA, Inc. 5.625%, 5/01/27							69				74,371
6.00%, 8/15/23							716				755,933
Nabors Industries, Inc. 4.625%, 9/15/21							526				518,342
5.50%, 1/15/23							1,146				1,138,752
Noble Holding International Ltd. 5.25%, 3/15/42							191				126,060
6.20%, 8/01/40							276				191,130
7.70%, 4/01/25							375				322,198
7.75%, 1/15/24							1,136				1,010,463
Oasis Petroleum, Inc. 6.875%, 3/15/22							376				382,245
Pacific Drilling SA 5.375%, 6/01/20(b)							2,442				842,490
PDC Energy, Inc. 6.125%, 9/15/24							490				511,055

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
PHI, Inc. 5.25%, 3/15/19			U.S.$				1,567			$	1,523,907
QEP Resources, Inc. 5.25%, 5/01/23							1,248				1,214,627
6.875%, 3/01/21							1,225				1,290,242
Range Resources Corp. 5.00%, 8/15/22-3/15/23(c)							1,061				1,056,393
5.875%, 7/01/22(c)							97				100,041
Rowan Cos., Inc. 5.40%, 12/01/42							536				405,446
7.375%, 6/15/25							905				892,402
Sanchez Energy Corp. 6.125%, 1/15/23							851				729,294
SandRidge Energy, Inc. 7.50%, 2/15/23(d)(e)(f)(g)							865				– 0	–
8.125%, 10/15/22(d)(e)(f)(g)							2,076				– 0	–
Seitel, Inc. 9.50%, 4/15/19							597				599,626
SemGroup Corp. 7.25%, 3/15/26(c)							540				543,513
SM Energy Co. 5.625%, 6/01/25							1,150				1,093,471
6.50%, 1/01/23							1,000				1,007,477
Southern Star Central Corp. 5.125%, 7/15/22(c)							1,200				1,242,916
Transocean Phoenix 2 Ltd. 7.75%, 10/15/24(c)							1,155				1,242,676
Transocean, Inc. 5.80%, 10/15/22							1,092				1,071,533
6.80%, 3/15/38							2,443				1,997,033
9.00%, 7/15/23(c)							652				704,049
Vantage Drilling International 7.125%, 4/01/23(d)(e)(f)(g)							1,283				– 0	–
7.50%, 11/01/19(d)(e)(f)(g)							2,176				– 0	–
10.00%, 12/31/20(b)(e)							87				85,260
10.00%, 12/31/20(d)(e)							105				102,900
Weatherford International Ltd. 6.50%, 8/01/36							752				644,422
6.75%, 9/15/40							849				744,944
7.00%, 3/15/38							600				534,394
7.75%, 6/15/21							594				617,683
9.875%, 2/15/24(c)							806				887,508
Whiting Petroleum Corp. 1.25%, 4/01/20(k)							542				483,057
5.00%, 3/15/19							593				594,396
WPX Energy, Inc. 8.25%, 8/01/23							187				209,598
											52,497,363

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Other Industrial – 1.1%
American Builders & Contractors Supply Co., Inc. 5.75%, 12/15/23(c)			U.S.$				1,696			$	1,805,513
American Tire Distributors, Inc. 10.25%, 3/01/22(c)							2,205				2,305,173
General Cable Corp. 4.50%, 11/15/29(k)(m)							1,158				1,027,725
5.75%, 10/01/22							967				971,011
Global Partners LP/GLP Finance Corp. 6.25%, 7/15/22							2,976				3,020,491
H&E Equipment Services, Inc. 5.625%, 9/01/25(c)							437				460,882
HRG Group, Inc. 7.875%, 7/15/19							2,084				2,124,002
Laureate Education, Inc. 8.25%, 5/01/25(c)							1,085				1,169,088
											12,883,885
Services – 1.6%
APX Group, Inc. 7.875%, 12/01/22							1,746				1,896,610
8.75%, 12/01/20							1,328				1,368,386
Aramark Services, Inc. 5.125%, 1/15/24							274				290,722
Carlson Travel, Inc. 6.75%, 12/15/23(c)							716				708,641
Ceridian HCM Holding, Inc. 11.00%, 3/15/21(c)							897				948,182
CSVC Acquisition Corp. 7.75%, 6/15/25(c)							1,311				1,285,122
eDreams ODIGEO SA 8.50%, 8/01/21(c)			EUR				1,597				2,054,481
Gartner, Inc. 5.125%, 4/01/25(c)			U.S.$				482				508,680
GEO Group, Inc. (The) 5.125%, 4/01/23							162				163,766
5.875%, 1/15/22-10/15/24							670				694,893
6.00%, 4/15/26							522				548,457
KAR Auction Services, Inc. 5.125%, 6/01/25(c)							458				476,320
Nielsen Finance LLC/Nielsen Finance Co. 5.00%, 4/15/22(c)							599				620,648
Prime Security Services Borrower LLC/Prime Finance, Inc. 9.25%, 5/15/23(c)							2,871				3,167,408
Ritchie Bros Auctioneers, Inc. 5.375%, 1/15/25(c)							366				386,686

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Sabre GLBL, Inc. 5.25%, 11/15/23(c)			U.S.$				607			$	626,361
5.375%, 4/15/23(c)							720				742,284
Service Corp. International/US 7.50%, 4/01/27							1,500				1,793,482
Team Health Holdings, Inc. 6.375%, 2/01/25(c)(j)							861				815,468
											19,096,597
Technology – 1.6%
Amkor Technology, Inc. 6.375%, 10/01/22							2,681				2,772,116
Ascend Learning LLC 6.875%, 8/01/25(c)							302				317,988
Avaya, Inc. 10.50%, 3/01/21(c)(e)(g)(h)							13,116				566,113
BMC Software Finance, Inc. 8.125%, 7/15/21(c)							2,349				2,417,650
BMC Software, Inc. 7.25%, 6/01/18							44				44,983
Boxer Parent Co., Inc. 9.00% (9.00% Cash or 9.75% PIK), 10/15/19(a)(c)							821				822,769
CDW LLC/CDW Finance Corp. 5.50%, 12/01/24							270				300,459
Compiler Finance Sub, Inc. 7.00%, 5/01/21(c)							411				227,077
Conduent Finance, Inc./Conduent Business Services LLC 10.50%, 12/15/24(c)							1,371				1,615,813
CURO Financial Technologies Corp. 12.00%, 3/01/22(c)							671				723,979
Dell International LLC/EMC Corp. 7.125%, 6/15/24(c)							251				277,437
Dell, Inc. 6.50%, 4/15/38							1,345				1,371,817
Goodman Networks, Inc. 8.00%, 5/11/22(e)							699				558,654
Infor US, Inc. 6.50%, 5/15/22							1,286				1,332,587
Micron Technology, Inc. 5.25%, 8/01/23-1/15/24(c)							950				993,751
5.50%, 2/01/25							686				731,751
Nokia Oyj 6.625%, 5/15/39							527				609,200
Quintiles IMS, Inc. 3.25%, 3/15/25(c)			EUR				782				939,897

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Solera LLC/Solera Finance, Inc. 10.50%, 3/01/24(c)			U.S.$				905			$	1,029,933
Symantec Corp. 5.00%, 4/15/25(c)							687				717,920
Western Digital Corp. 10.50%, 4/01/24							860				1,010,204
											19,382,098
Transportation - Airlines – 0.1%
UAL Pass-Through Trust Series 2007-1A 6.636%, 7/02/22							1,075				1,166,109
Transportation - Services – 1.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.25%, 3/15/25(c)							311				311,175
5.50%, 4/01/23							524				535,771
CEVA Group PLC 9.00%, 9/01/21(c)							1,836				1,705,304
EC Finance PLC 5.125%, 7/15/21(c)			EUR				836				1,013,046
Europcar Groupe SA 5.75%, 6/15/22(c)							670				837,198
Herc Rentals, Inc. 7.75%, 6/01/24(c)			U.S.$				1,711				1,852,975
Hertz Corp. (The) 5.50%, 10/15/24(c)							2,807				2,531,897
5.875%, 10/15/20							414				409,071
7.625%, 6/01/22(c)							436				449,054
Loxam SAS 3.50%, 4/15/22(c)			EUR				186				230,604
4.25%, 4/15/24(c)							138				174,647
United Rentals North America, Inc. 5.50%, 5/15/27			U.S.$				477				508,463
5.75%, 11/15/24							1,005				1,068,316
XPO CNW, Inc. 6.70%, 5/01/34							1,371				1,336,600
XPO Logistics, Inc. 6.125%, 9/01/23(c)							522				545,477
											13,509,598
											373,784,805
Financial Institutions – 5.4%
Banking – 3.5%
Allied Irish Banks PLC Series E 7.375%, 12/03/20(c)(n)			EUR				871				1,143,770

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Ally Financial, Inc. 8.00%, 11/01/31			U.S.$				1,151			$	1,487,528
Banco Bilbao Vizcaya Argentaria SA 8.875%, 4/14/21(c)(n)			EUR				2,000				2,747,972
Banco Santander SA 6.25%, 3/12/19(c)(n)							400				487,088
6.75%, 4/25/22(c)(n)							700				910,831
Bank of Ireland 7.375%, 6/18/20(c)(n)							1,455				1,912,234
Barclays Bank PLC 6.86%, 6/15/32(c)(n)			U.S.$				166				199,575
7.70%, 4/25/18(c)(n)							1,105				1,134,528
Barclays PLC 8.00%, 12/15/20(n)			EUR				1,732				2,299,002
Citigroup, Inc. 5.95%, 1/30/23(n)			U.S.$				2,689				2,893,351
Credit Agricole SA 7.589%, 1/30/20(c)(n)			GBP				1,000				1,495,004
8.125%, 12/23/25(c)(n)			U.S.$				1,461				1,729,459
Credit Suisse Group AG 6.25%, 12/18/24(c)(n)							1,404				1,493,688
7.50%, 12/11/23(c)(n)							3,043				3,438,590
Intesa Sanpaolo SpA 3.928%, 9/15/26(c)			EUR				434				552,557
5.71%, 1/15/26(c)			U.S.$				2,078				2,191,758
Lloyds Banking Group PLC 6.413%, 10/01/35(c)(n)							235				266,987
6.657%, 5/21/37(c)(n)							98				113,166
7.50%, 6/27/24(n)							528				591,122
Macquarie Bank Ltd./London 6.125%, 3/08/27(c)(n)							200				206,821
Royal Bank of Scotland Group PLC 2.001%, 12/31/17(c)(n)			EUR				150				171,080
8.625%, 8/15/21(n)			U.S.$				3,518				3,905,071
Series U 3.655%, 9/30/27(n)							1,100				1,053,576
SNS Bank NV Series E 11.25%, 12/31/49(d)(e)(f)(g)			EUR				620				– 0	–
Societe Generale SA 7.375%, 9/13/21(c)(n)			U.S.$				1,485				1,607,513
8.00%, 9/29/25(c)(n)							1,124				1,286,980
Standard Chartered PLC 7.50%, 4/02/22(c)(n)							810				866,711
7.75%, 4/02/23(c)(n)							440				477,217
SunTrust Banks, Inc. Series G 5.05%, 6/15/22(n)							853				871,388

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
UBS Group AG 7.00%, 2/19/25(c)(n)			U.S.$				2,492			$	2,799,874
UniCredit SpA 9.25%, 6/03/22(c)(n)			EUR				960				1,318,336
Zions Bancorporation 5.65%, 11/15/23			U.S.$				508				525,335
											42,178,112
Brokerage – 0.1%
Lehman Brothers Holdings, Inc. 6.875%, 5/02/18(e)(g)							1,690				105,625
LPL Holdings, Inc. 5.75%, 9/15/25(c)							1,517				1,573,513
											1,679,138
Finance – 1.0%
Enova International, Inc. 8.50%, 9/01/24(c)							770				770,582
9.75%, 6/01/21							1,122				1,185,442
ILFC E-Capital Trust II 4.61% (H15T 30 Year + 1.80%), 12/21/65(c)(l)							2,000				1,910,000
Lincoln Finance Ltd. 6.875%, 4/15/21(c)			EUR				1,139				1,428,865
Navient Corp. 5.50%, 1/15/19			U.S.$				2,496				2,578,161
5.875%, 3/25/21							324				339,806
6.50%, 6/15/22							406				430,779
6.625%, 7/26/21							231				247,604
7.25%, 1/25/22							377				411,438
8.00%, 3/25/20							233				257,012
SLM Corp. 5.125%, 4/05/22							605				620,334
TMX Finance LLC/TitleMax Finance Corp. 8.50%, 9/15/18(c)							1,801				1,666,485
											11,846,508
Insurance – 0.4%
Galaxy Bidco Ltd. 6.375%, 11/15/20(c)			GBP				133				181,554
Genworth Holdings, Inc. 3.318% (LIBOR 3 Month + 2.00%), 11/15/66(l)			U.S.$				240				111,000
7.625%, 9/24/21							1,216				1,186,536
Liberty Mutual Group, Inc. 7.80%, 3/15/37(c)							2,559				3,226,994
											4,706,084

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Other Finance – 0.3%
Creditcorp 12.00%, 7/15/18(b)			U.S.$				1,300			$	1,118,000
Intrum Justitia AB 2.75%, 7/15/22(c)			EUR				977				1,170,803
3.125%, 7/15/24(c)							489				583,859
LHC3 PLC 4.125%, 8/15/24(a)(c)							239				287,576
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 6/01/25(c)			U.S.$				1,110				1,125,664
VFH Parent LLC/Orchestra Co-Issuer, Inc. 6.75%, 6/15/22(c)							107				111,285
											4,397,187
REITS – 0.1%
MPT Operating Partnership LP/MPT Finance Corp. 5.00%, 10/15/27							218				224,101
5.25%, 8/01/26							155				160,643
5.50%, 5/01/24							264				276,775
											661,519
											65,468,548
Utility – 1.2%
Electric – 1.2%
AES Corp./VA 4.875%, 5/15/23							1,013				1,040,760
7.375%, 7/01/21							634				723,872
Calpine Corp. 5.375%, 1/15/23							1,918				1,867,031
5.50%, 2/01/24							985				938,602
5.75%, 1/15/25							68				64,246
ContourGlobal Power Holdings SA 5.125%, 6/15/21(c)			EUR				1,501				1,858,511
DPL, Inc. 6.75%, 10/01/19			U.S.$				343				362,046
Dynegy, Inc. 7.375%, 11/01/22							1,604				1,674,000
7.625%, 11/01/24							981				1,016,304
NRG Energy, Inc. 7.25%, 5/15/26							1,791				1,924,492
NRG Yield Operating LLC 5.375%, 8/15/24							843				884,333
Talen Energy Supply LLC 4.60%, 12/15/21							1,683				1,386,535

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Texas Competitive/TCEH 11.50%, 10/01/20(b)(e)(f)(g)			U.S.$				626			$	– 0	–
											13,740,732
Natural Gas – 0.0%
NGL Energy Partners LP/NGL Energy Finance Corp. 7.50%, 11/01/23							261				259,761
											14,000,493
Total Corporates – Non-Investment Grade (cost $449,596,457)											453,253,846
GOVERNMENTS – TREASURIES – 14.4%
Colombia – 0.4%
Colombian TES Series B 7.00%, 5/04/22			COP				3,621,500				1,278,408
10.00%, 7/24/24							8,000,000				3,267,925
											4,546,333
Indonesia – 0.8%
Indonesia Treasury Bond Series FR53 8.25%, 7/15/21			IDR				15,727,000				1,244,709
Series FR70 8.375%, 3/15/24							27,674,000				2,257,540
Series FR73 8.75%, 5/15/31							37,753,000				3,224,800
JPMorgan Chase Bank, NA 9.50%, 5/17/41(c)							27,844,000				2,504,492
											9,231,541
Malaysia – 0.5%
Malaysia Government Bond Series 511 3.58%, 9/28/18			MYR				23,700				5,634,791
Mexico – 2.3%
Mexican Bonos Series M 6.50%, 6/10/21			MXN				192,634				10,505,047
8.00%, 6/11/20							106,613				6,037,806
Series M 20 7.50%, 6/03/27							91,533				5,243,636
10.00%, 12/05/24							90,347				5,874,760
											27,661,249

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Russia – 0.8%
Russian Federal Bond – OFZ Series 6209 7.60%, 7/20/22			RUB				37,074			$	647,661
Series 6212 7.05%, 1/19/28							185,020				3,119,529
Series 6217 7.50%, 8/18/21							360,108				6,260,599
											10,027,789
South Africa – 1.0%
Republic of South Africa Government Bond Series 2048 8.75%, 2/28/48			ZAR				33,971				2,269,379
Series R186 10.50%, 12/21/26							104,671				8,672,246
Series R204 8.00%, 12/21/18							10,750				803,008
Series R213 7.00%, 2/28/31							13,273				816,466
											12,561,099
United States – 8.5%
U.S. Treasury Bonds 2.75%, 11/15/42(o)			U.S.$				3,000				2,962,031
3.125%, 2/15/42							4,000				4,231,875
4.50%, 2/15/36(p)							2,400				3,086,250
5.00%, 5/15/37(o)(p)							3,500				4,782,969
5.25%, 2/15/29(p)							5,750				7,402,227
6.125%, 11/15/27(p)							2,200				2,958,313
6.25%, 5/15/30(j)							7,800				11,072,343
8.125%, 5/15/21(p)							10,250				12,549,844
U.S. Treasury Notes 0.875%, 4/15/19(j)(p)							43,074				42,710,563
2.25%, 11/15/25							1,000				1,000,000
2.25%, 2/15/27(p)							10,973				10,907,848
											103,664,263
Uruguay – 0.1%
Uruguay Government International Bond 8.50%, 3/15/28(c)			UYU				23,821				847,252
9.875%, 6/20/22(c)							18,660				694,004
											1,541,256
Total Governments – Treasuries (cost $172,639,606)											174,868,321

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
COLLATERALIZED MORTGAGE OBLIGATIONS – 11.7%
Risk Share Floating Rate – 8.8%
Bellemeade Re II Ltd. Series 2016-1A, Class B1 13.237% (LIBOR 1 Month + 12.00%), 4/25/26(b)(l)			U.S.$				283			$	308,985
Series 2016-1A, Class M2B 7.737% (LIBOR 1 Month + 6.50%), 4/25/26(b)(l)							3,572				3,673,008
Bellemeade Re Ltd. Series 2015-1A, Class M2 5.537% (LIBOR 1 Month + 4.30%), 7/25/25(b)(l)							826				842,524
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2013-DN1, Class M2 8.387% (LIBOR 1 Month + 7.15%), 7/25/23(l)							2,350				2,857,273
Series 2013-DN2, Class M2 5.487% (LIBOR 1 Month + 4.25%), 11/25/23(l)							1,925				2,117,507
Series 2014-DN1, Class M3 5.737% (LIBOR 1 Month + 4.50%), 2/25/24(l)							1,939				2,226,657
Series 2014-DN2, Class M3 4.837% (LIBOR 1 Month + 3.60%), 4/25/24(l)							514				561,103
Series 2014-DN3, Class M3 5.237% (LIBOR 1 Month + 4.00%), 8/25/24(l)							784				835,803
Series 2014-DN4, Class M3 5.787% (LIBOR 1 Month + 4.55%), 10/25/24(l)							468				507,271
Series 2014-HQ1, Class M3 5.337% (LIBOR 1 Month + 4.10%), 8/25/24(l)							1,686				1,825,168
Series 2014-HQ2, Class M3 4.987% (LIBOR 1 Month + 3.75%), 9/25/24(l)							3,710				4,158,210
Series 2014-HQ3, Class M3 5.987% (LIBOR 1 Month + 4.75%), 10/25/24(l)							5,055				5,592,396
Series 2015-DN1, Class B 12.737% (LIBOR 1 Month + 11.50%), 1/25/25(l)							1,196				1,598,715
Series 2015-DN1, Class M3 5.387% (LIBOR 1 Month + 4.15%), 1/25/25(l)							1,700				1,826,989

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Series 2015-DNA1, Class B 10.437% (LIBOR 1 Month + 9.20%), 10/25/27(l)			U.S.$				598			$	752,153
Series 2015-DNA1, Class M3 4.537% (LIBOR 1 Month + 3.30%), 10/25/27(l)							480				532,233
Series 2015-DNA2, Class B 8.787% (LIBOR 1 Month + 7.55%), 12/25/27(l)							1,462				1,625,955
Series 2015-DNA3, Class B 10.587% (LIBOR 1 Month + 9.35%), 4/25/28(l)							1,031				1,233,367
Series 2015-HQ1, Class B 11.987% (LIBOR 1 Month + 10.75%), 3/25/25(l)							3,923				4,995,103
Series 2015-HQ1, Class M3 5.037% (LIBOR 1 Month + 3.80%), 3/25/25(l)							530				570,755
Series 2015-HQA1, Class B 10.037% (LIBOR 1 Month + 8.80%), 3/25/28(l)							1,013				1,157,923
Series 2015-HQA1, Class M3 5.937% (LIBOR 1 Month + 4.70%), 3/25/28(l)							1,455				1,642,388
Series 2016-DNA2, Class B 11.737% (LIBOR 1 Month + 10.50%), 10/25/28(l)							863				1,066,522
Series 2016-DNA2, Class M3 5.887% (LIBOR 1 Month + 4.65%), 10/25/28(l)							811				909,222
Series 2016-DNA3, Class B 12.487% (LIBOR 1 Month + 11.25%), 12/25/28(l)							2,784				3,496,537
Series 2016-DNA3, Class M3
6.237% (LIBOR 1 Month + 5.00%), 12/25/28(l)							1,113				1,268,024
Series 2016-DNA4, Class B 9.837% (LIBOR 1 Month + 8.60%), 3/25/29(l)							397				430,754
Series 2016-HQA2, Class B 12.737% (LIBOR 1 Month + 11.50%), 11/25/28(l)							423				518,781
Series 2017-DNA2, Class M2 4.687% (LIBOR 1 Month + 3.45%), 10/25/29(l)							599				633,210

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Federal National Mortgage Association Connecticut Avenue Securities Series 2013-C01, Class M2 6.487% (LIBOR 1 Month + 5.25%), 10/25/23(l)		U.S.$					1,451			$	1,670,947
Series 2014-C01, Class M2 5.637% (LIBOR 1 Month + 4.40%), 1/25/24(l)							3,991				4,483,335
Series 2014-C03, Class 1M2 4.237% (LIBOR 1 Month + 3.00%), 7/25/24(l)							1,147				1,207,256
Series 2014-C04, Class 1M2 6.137% (LIBOR 1 Month + 4.90%), 11/25/24(l)							3,129				3,544,167
Series 2015-C01, Class 1M2 5.537% (LIBOR 1 Month + 4.30%), 2/25/25(l)							3,197				3,424,254
Series 2015-C01, Class 2M2 5.787% (LIBOR 1 Month + 4.55%), 2/25/25(l)							1,630				1,739,656
Series 2015-C02, Class 1M2 5.237% (LIBOR 1 Month + 4.00%), 5/25/25(l)							943				1,004,468
Series 2015-C02, Class 2M2 5.237% (LIBOR 1 Month + 4.00%), 5/25/25(l)							1,797				1,898,560
Series 2015-C03, Class 1M2 6.237% (LIBOR 1 Month + 5.00%), 7/25/25(l)							2,901				3,207,765
Series 2015-C03, Class 2M2 6.237% (LIBOR 1 Month + 5.00%), 7/25/25(l)							2,656				2,904,355
Series 2015-C04, Class 1M2 6.937% (LIBOR 1 Month + 5.70%), 4/25/28(l)							3,342				3,759,911
Series 2015-C04, Class 2M2 6.787% (LIBOR 1 Month + 5.55%), 4/25/28(l)							1,298				1,437,891
Series 2016-C01, Class 1B 12.987% (LIBOR 1 Month + 11.75%), 8/25/28(l)							685				908,580
Series 2016-C01, Class 1M2 7.987% (LIBOR 1 Month + 6.75%), 8/25/28(l)							2,077				2,452,526
Series 2016-C01, Class 2M2 8.187% (LIBOR 1 Month + 6.95%), 8/25/28(l)							761				901,722

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Series 2016-C02, Class 1B 13.487% (LIBOR 1 Month + 12.25%), 9/25/28(l)		U.S.$					450			$	615,490
Series 2016-C02, Class 1M2 7.237% (LIBOR 1 Month + 6.00%), 9/25/28(l)							2,375				2,751,468
Series 2016-C03, Class 1B 12.987% (LIBOR 1 Month + 11.75%), 10/25/28(l)							374				496,790
Series 2016-C03, Class 2B 13.987% (LIBOR 1 Month + 12.75%), 10/25/28(l)							634				862,151
Series 2016-C03, Class 2M2 7.137% (LIBOR 1 Month + 5.90%), 10/25/28(l)							3,707				4,246,771
Series 2016-C04, Class 1B 11.487% (LIBOR 1 Month + 10.25%), 1/25/29(l)							1,494				1,843,595
Series 2016-C05, Class 2B 11.244% (LIBOR 1 Month + 10.75%), 1/25/29(l)							1,823				2,194,518
Series 2016-C05, Class 2M2 5.687% (LIBOR 1 Month + 4.45%), 1/25/29(l)							1,486				1,628,379
Series 2016-C06, Class 1B 10.487% (LIBOR 1 Month + 9.25%), 4/25/29(l)							1,288				1,520,890
Series 2016-C07, Class 2B 10.737% (LIBOR 1 Month + 9.50%), 5/25/29(l)							1,562				1,854,821
Series 2016-C07, Class 2M2 5.587% (LIBOR 1 Month + 4.35%), 5/25/29(l)							918				998,007
Series 2017-C02, Class 2M2 4.887% (LIBOR 1 Month + 3.65%), 9/25/29(l)							1,152				1,219,067
JP Morgan Madison Avenue Securities Trust Series 2015-CH1, Class M2 6.737% (LIBOR 1 Month + 5.50%), 10/25/25(c)(l)							1,432				1,576,786
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2 6.737% (LIBOR 1 Month + 5.50%), 11/25/25(b)(l)							617				702,122
											106,820,784

 

---

 

PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Non-Agency Fixed Rate – 1.8%
Alternative Loan Trust Series 2006-24CB, Class A15 5.75%, 6/25/36			U.S.$				967			$	816,042
Series 2006-41CB, Class 2A13 5.75%, 1/25/37							803				664,979
Series 2006-42, Class 1A6 6.00%, 1/25/47							810				685,358
Series 2006-HY12, Class A5 3.344%, 8/25/36							1,684				1,680,506
Series 2006-J1, Class 1A10 5.50%, 2/25/36							1,453				1,323,880
Series 2006-J5, Class 1A1 6.50%, 9/25/36							1,027				860,143
Series 2007-13, Class A2 6.00%, 6/25/47							1,219				1,045,922
BCAP LLC Trust Series 2009-RR13, Class 17A3 5.876%, 4/26/37(c)							482				376,063
Bear Stearns ARM Trust Series 2007-3, Class 1A1 3.666%, 5/25/47							277				262,930
Series 2007-4, Class 22A1 3.599%, 6/25/47							1,013				981,093
BNPP Mortgage Securities LLC Trust Series 2009-1, Class B1 6.00%, 8/27/37(c)							809				664,484
ChaseFlex Trust Series 2007-1, Class 1A3 6.50%, 2/25/37							637				494,297
Citigroup Mortgage Loan Trust Series 2006-4, Class 2A1A 6.00%, 12/25/35							1,573				1,498,435
Series 2007-AR4, Class 1A1A 3.344%, 3/25/37							206				199,010
Series 2010-3, Class 2A2 6.00%, 8/25/37(c)							417				362,996
CitiMortgage Alternative Loan Trust Series 2007-A3, Class 1A4 5.75%, 3/25/37							1,137				1,039,461
Countrywide Home Loan Mortgage Pass-Through Trust Series 2007-4, Class 1A39 6.00%, 5/25/37							485				397,934
Series 2007-HY4, Class 1A1 3.391%, 9/25/47							349				326,149

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Credit Suisse Mortgage Trust Series 2009-8R, Class 6A2 6.00%, 1/26/38(c)			U.S.$				118			$	95,853
Series 2010-9R, Class 1A5 4.00%, 8/27/37(c)							623				617,841
CSMC Mortgage-Backed Trust Series 2006-7, Class 3A12 6.25%, 8/25/36							434				364,196
First Horizon Alternative Mortgage Securities Trust Series 2006-FA1, Class 1A3 5.75%, 4/25/36							666				556,933
Morgan Stanley Mortgage Loan Trust Series 2005-10, Class 4A1 5.50%, 12/25/35							384				346,705
Series 2007-12, Class 3A22 6.00%, 8/25/37							110				93,585
Residential Accredit Loans, Inc. Trust Series 2005-QS14, Class 3A1 6.00%, 9/25/35							597				567,071
Residential Asset Securitization Trust Series 2006-A8, Class 3A4 6.00%, 8/25/36							232				206,576
Structured Adjustable Rate Mortgage Loan Trust Series 2006-9, Class 4A1 3.367%, 10/25/36							554				514,721
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2006-7, Class A4 4.333%, 9/25/36							1,754				915,134
Series 2006-9, Class A4 4.774%, 10/25/36							1,727				911,026
Wells Fargo Alternative Loan Trust Series 2007-PA3, Class 3A1 6.25%, 7/25/37							1,169				1,114,169
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR7, Class A1 3.346%, 12/28/37							1,604				1,548,170
											21,531,662
Non-Agency Floating Rate – 1.1%
Alternative Loan Trust Series 2007-7T2, Class A3 1.837% (LIBOR 1 Month + 0.60%), 4/25/37(l)							2,992				1,450,781

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Citigroup Mortgage Loan Trust Series 2005-8, Class 2A2 3.563% (4.80% – LIBOR 1 Month), 9/25/35(q)			U.S.$				553			$	32,176
Countrywide Home Loan Mortgage Pass-Through Trust Series 2007-13, Class A7 1.837% (LIBOR 1 Month + 0.60%), 8/25/37(l)							697				519,745
First Horizon Alternative Mortgage Securities Trust Series 2007-FA2, Class 1A10 1.487% (LIBOR 1 Month + 0.25%), 4/25/37(l)							414				219,288
Series 2007-FA2, Class 1A6 4.313% (5.55% – LIBOR 1 Month), 4/25/37(q)							140				23,192
Lehman XS Trust Series 2007-10H, Class 2AIO 5.763% (7.00% – LIBOR 1 Month), 7/25/37(q)							453				87,673
Residential Accredit Loans, Inc. Trust Series 2006-QS18, Class 2A2 5.313% (6.55% – LIBOR 1 Month), 12/25/36(q)							4,838				974,074
Structured Asset Mortgage Investments II Trust Series 2007-AR6, Class A1 2.389% (12MTA + 1.50%), 8/25/47(l)							1,791				1,687,267
Wachovia Mortgage Loan Trust Series Series 2006-ALT1, Class A2 1.417% (LIBOR 1 Month + 0.18%), 1/25/37(l)							11,705				8,585,404
											13,579,600
Total Collateralized Mortgage Obligations (cost $129,184,746)											141,932,046
EMERGING MARKETS – TREASURIES – 8.1%
Argentina – 1.4%
Argentine Bonos del Tesoro 15.50%, 10/17/26			ARS				34,006				2,085,134
16.00%, 10/17/23							85,595				5,101,117
18.20%, 10/03/21							110,859				6,592,886
21.20%, 9/19/18							51,130				2,939,846
											16,718,983

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Brazil – 3.8%
Brazil Notas do Tesouro Nacional Series F 10.00%, 1/01/21-1/01/27			BRL				144,542			$	46,746,634
Dominican Republic – 0.5%
Dominican Republic International Bond 16.00%, 7/10/20(b)			DOP				229,800				5,575,390
Sri Lanka – 0.5%
Sri Lanka Government Bonds 10.25%, 3/15/25			LKR				113,000				736,489
Series A 11.50%, 12/15/21-5/15/23							603,000				4,148,409
11.75%, 6/15/27							105,000				740,721
											5,625,619
Turkey – 1.9%
Turkey Government Bond 10.60%, 2/11/26			TRY				4,718				1,312,860
11.00%, 2/24/27							47,585				13,599,265
11.10%, 5/15/19							31,033				8,642,780
											23,554,905
Total Emerging Markets – Treasuries (cost $95,104,602)											98,221,531
CORPORATES – INVESTMENT GRADE – 7.4%
Industrial – 4.0%
Basic – 0.9%
Anglo American Capital PLC 4.125%, 4/15/21(c)			U.S.$				200				207,864
4.75%, 4/10/27(c)							637				664,276
Braskem Finance Ltd. 6.45%, 2/03/24							1,972				2,217,514
FMG Resources (August 2006) Pty Ltd. 9.75%, 3/01/22(c)							510				573,765
Fresnillo PLC 5.50%, 11/13/23(c)							306				337,059
Georgia-Pacific LLC 8.875%, 5/15/31							1				1,545
Glencore Finance Canada Ltd. 6.00%, 11/15/41(c)							272				318,035
Glencore Funding LLC 4.625%, 4/29/24(c)							341				362,242
Minsur SA 6.25%, 2/07/24(c)							891				977,379

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Mosaic Co. (The) 5.625%, 11/15/43			U.S.$				167			$	170,615
Southern Copper Corp. 7.50%, 7/27/35							3,300				4,323,000
WestRock MWV LLC 7.95%, 2/15/31							1,000				1,396,143
											11,549,437
Capital Goods – 0.3%
General Electric Co. Series D 5.00%, 1/21/21(n)							1,681				1,772,040
Lafarge SA 7.125%, 7/15/36							800				1,022,776
Masco Corp. 5.95%, 3/15/22							308				346,823
											3,141,639
Communications - Media – 0.4%
Charter Communications Operating LLC/Charter Communications Operating Capital 4.464%, 7/23/22							1,039				1,098,815
4.908%, 7/23/25							1,195				1,278,620
Cox Communications, Inc. 4.50%, 6/30/43(c)							135				125,299
4.70%, 12/15/42(c)							259				247,401
Viacom, Inc. 4.375%, 3/15/43							2,455				2,113,583
											4,863,718
Communications - Telecommunications – 0.5%
AT&T, Inc. 5.15%, 2/14/50							906				912,424
5.45%, 3/01/47							2,128				2,247,808
Qwest Corp. 6.875%, 9/15/33							1,335				1,306,930
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 3.36%, 9/20/21(c)							1,627				1,649,453
											6,116,615
Consumer Cyclical - Automotive – 0.3%
General Motors Co. 5.20%, 4/01/45							337				340,531
5.40%, 4/01/48							431				448,603
6.25%, 10/02/43							116				132,612
6.75%, 4/01/46							456				551,063

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
General Motors Financial Co., Inc. 3.70%, 5/09/23			U.S.$				1,150			$	1,173,726
4.00%, 1/15/25							651				663,916
											3,310,451
Consumer Cyclical - Other – 0.1%
Owens Corning 7.00%, 12/01/36							777				1,000,653
Seminole Tribe of Florida, Inc. 6.535%, 10/01/20(c)							115				117,588
											1,118,241
Consumer Non-Cyclical – 0.2%
BRF SA 4.75%, 5/22/24(c)							428				433,350
Teva Pharmaceutical Finance Netherlands II BV 1.25%, 3/31/23(c)			EUR				247				283,209
Teva Pharmaceutical Finance Netherlands III BV 3.15%, 10/01/26(j)			U.S.$				1,498				1,383,089
											2,099,648
Energy – 0.6%
Cenovus Energy, Inc. 4.45%, 9/15/42							822				720,650
6.75%, 11/15/39							67				77,131
Ecopetrol SA 5.375%, 6/26/26							289				307,409
5.875%, 5/28/45							1,271				1,240,814
Energy Transfer LP/Regency Energy Finance Corp. 4.50%, 11/01/23							546				571,727
5.50%, 4/15/23							1,193				1,227,485
Kinder Morgan, Inc./DE Series G 7.75%, 1/15/32							328				421,133
7.80%, 8/01/31							1,066				1,356,156
Marathon Oil Corp. 5.20%, 6/01/45							348				350,815
6.60%, 10/01/37							132				152,254
Marathon Petroleum Corp. 4.75%, 9/15/44							69				68,351
Williams Partners LP 5.10%, 9/15/45							876				920,768
											7,414,693
Services – 0.1%
Verisk Analytics, Inc. 5.50%, 6/15/45							636				724,947

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
Technology – 0.5%
Dell International LLC/EMC Corp. 6.02%, 6/15/26(c)			U.S.$				1,318			$	1,462,143
8.35%, 7/15/46(c)							524				671,565
Hewlett Packard Enterprise Co. 6.35%, 10/15/45							215				227,818
Seagate HDD Cayman 4.75%, 1/01/25							1,948				1,897,399
4.875%, 3/01/24(c)							272				268,159
4.875%, 6/01/27							1,042				981,708
Western Digital Corp. 7.375%, 4/01/23(c)							1,058				1,158,494
											6,667,286
Transportation - Airlines – 0.1%
America West Airlines Pass-Through Trust Series 1999-1G, Class G 7.93%, 1/02/19							497				516,345
Northwest Airlines Pass-Through Trust Series 2000-1, Class G 7.15%, 10/01/19(d)							324				343,838
											860,183
											47,866,858
Financial Institutions – 3.3%
Banking – 1.5%
ABN AMRO Bank NV Series E 6.25%, 4/27/22(c)							292				328,567
Banca Popolare di Vicenza 2.75%, 3/20/20(c)			EUR				482				605,282
BNP Paribas SA 7.625%, 3/30/21(c)(n)			U.S.$				833				916,203
BPCE SA 5.70%, 10/22/23(c)							208				232,065
Citigroup, Inc. 4.40%, 6/10/25							105				110,721
DNB Bank ASA 6.50%, 3/26/22(c)(n)							1,555				1,666,025
HSBC Holdings PLC 3.60%, 5/25/23							622				646,766
4.75%, 7/04/29(c)(n)			EUR				261				316,678
6.00%, 9/29/23(c)(n)			U.S.$				1,872				2,495,376
6.00%, 5/22/27(n)							620				649,452
ICICI Bank Ltd./Dubai 4.80%, 5/22/19(c)							1,337				1,384,895

 

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PORTFOLIO OF INVESTMENTS (continued)

 

						Principal Amount (000)				U.S. $ Value
JPMorgan Chase & Co. Series V 5.00%, 7/01/19(n)			U.S.$				210			$	213,279
Morgan Stanley 4.10%, 5/22/23							1,648				1,725,299
Nationwide Building Society 4.00%, 9/14/26(c)							1,557				1,544,665
Regions Bank/Birmingham AL 6.45%, 6/26/37							1,500				1,857,380
Santander Holdings USA, Inc. 4.40%, 7/13/27(c)							1,090				1,111,794
Standard Chartered PLC 3.95%, 1/11/23(c)							1,301				1,321,932
US Bancorp Series J 5.30%, 4/15/27(n)							692				754,406
Veneto Banca SpA 4.00%, 5/20/19(c)			EUR				470				590,460
											18,471,245
Brokerage – 0.1%
GFI Group, Inc. 8.375%, 7/19/18			U.S.$				991				1,032,450
Insurance – 1.1%
Allstate Corp. (The) 6.50%, 5/15/57							1,657				1,985,978
American International Group, Inc. 6.82%, 11/15/37							1,425				1,820,740
Aon Corp. 8.205%, 1/01/27							690				901,310
Chubb Corp. (The) 3.554% (LIBOR 3 Month + 2.25%), 4/15/37(l)							1,527				1,518,386
Lincoln National Corp. 8.75%, 7/01/19							186