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, 2018

Date of reporting period: December 31, 2017

ITEM 1.

SCHEDULE OF INVESTMENTS.

AB Global High Income Fund

Portfolio of Investments

December 31, 2017 (unaudited)


	Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE - 42.4%
Industrial - 33.8%
Basic - 3.9%
AK Steel Corp.
7.00%, 3/15/27	U.S.$	1,164	$	1,185,694
7.625%, 10/01/21		278		289,120
Aleris International, Inc.
7.875%, 11/01/20		517		513,240
ArcelorMittal
7.25%, 3/01/41		734		921,859
7.50%, 10/15/39		1,938		2,481,875
Artsonig Pty Ltd.
11.50% (11.50% Cash or 12.00% PIK), 4/01/19 (a)(b)(c)		3,025		0
Ashland LLC
4.75%, 8/15/22		501		522,639
Axalta Coating Systems LLC
4.875%, 8/15/24 (d)		516		542,454
Berry Global, Inc.
5.50%, 5/15/22		409		421,535
CF Industries, Inc.
4.95%, 6/01/43		595		565,197
5.375%, 3/15/44		545		535,772
Cleveland-Cliffs, Inc.
5.75%, 3/01/25 (d)(e)		1,628		1,549,560
Constellium NV
5.75%, 5/15/24 (d)		400		407,239
5.875%, 2/15/26 (d)		1,310		1,333,533
ERP Iron Ore, LLC
9.039%, 12/31/19 (a)(b)(f)(g)		427		427,206
Freeport-McMoRan, Inc.
5.45%, 3/15/43		3,414		3,401,017
6.75%, 2/01/22		1,197		1,238,895
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.
7.375%, 12/15/23 (d)		1,296		1,392,324
INEOS Finance PLC
4.00%, 5/01/23 (d)	EUR	790		973,445
Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22 (d)	U.S.$	3,215		3,603,359
Lecta SA
6.50%, 8/01/23 (d)	EUR	227		281,386
Lundin Mining Corp.
7.875%, 11/01/22 (d)	U.S.$	837		897,811
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (a)(c)(h)(i)		2,857		29
Momentive Performance Materials, Inc.
3.88%, 10/24/21		3,472		3,622,768
8.875%, 10/15/20 (a)(f)(i)(j)		3,472		0
Multi-Color Corp.
4.875%, 11/01/25 (d)		980		983,778
NOVA Chemicals Corp.
5.25%, 8/01/23 (d)		207		213,182


	Principal Amount (000)		U.S. $ Value
Novelis Corp.
5.875%, 9/30/26 (d)	U.S.$	1,573	$	1,608,759
Pactiv LLC
7.95%, 12/15/25		1,110		1,259,469
Peabody Energy Corp.
6.00%, 11/15/18 (a)(f)(g)(i)		4,310		0
6.00%, 3/31/22 (d)		295		306,203
6.375%, 3/31/25 (d)		400		416,011
Plastipak Holdings, Inc.
6.25%, 10/15/25 (d)		674		694,215
PQ Corp.
5.75%, 12/15/25 (d)		277		281,539
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
5.125%, 7/15/23 (d)		781		808,829
Sealed Air Corp.
6.875%, 7/15/33 (d)		1,295		1,509,909
SIG Combibloc Holdings SCA
7.75%, 2/15/23 (d)	EUR	682		854,872
Smurfit Kappa Acquisitions ULC
4.875%, 9/15/18 (d)	U.S.$	2,064		2,084,793
Smurfit Kappa Treasury Funding Ltd.
7.50%, 11/20/25		238		287,202
SPCM SA
4.875%, 9/15/25 (d)		975		982,525
Teck Resources Ltd.
5.20%, 3/01/42		2,374		2,366,619
5.40%, 2/01/43		1,454		1,467,641
6.00%, 8/15/40		470		521,993
6.25%, 7/15/41		238		270,988
United States Steel Corp.
6.875%, 8/15/25		1,070		1,112,894
8.375%, 7/01/21 (d)		742		805,359
Valvoline, Inc.
5.50%, 7/15/24		278		295,274
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (d)		386		415,984

				46,655,995

Capital Goods - 1.8%
Apex Tool Group LLC
7.00%, 2/01/21 (d)		1,174		1,128,787
ARD Finance SA
6.625% (6.625% Cash or 7.375% PIK), 9/15/23 (b)	EUR	1,126		1,442,388
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
6.75%, 5/15/24 (d)		2,004		2,647,561
B456 Systems, Inc.
3.75%, 12/31/49 (a)(g)(i)(k)	U.S.$	955		74,013


	Principal Amount (000)		U.S. $ Value
Bombardier, Inc.
5.75%, 3/15/22 (d)	U.S.$	975	$	958,123
6.00%, 10/15/22 (d)		261		255,749
6.125%, 1/15/23 (d)		738		723,639
7.50%, 3/15/25 (d)		418		421,255
8.75%, 12/01/21 (d)		546		599,392
BWAY Holding Co.
5.50%, 4/15/24 (d)		1,073		1,117,176
Cleaver-Brooks, Inc.
7.875%, 3/01/23 (d)		505		519,174
Energizer Holdings, Inc.
5.50%, 6/15/25 (d)		1,311		1,363,854
EnPro Industries, Inc.
5.875%, 9/15/22		970		1,012,020
Gates Global LLC/Gates Global Co.
5.75%, 7/15/22 (d)	EUR	125		153,006
6.00%, 7/15/22 (d)	U.S.$	1,096		1,121,015
GFL Environmental, Inc.
5.625%, 5/01/22 (d)		497		511,237
9.875%, 2/01/21 (d)		852		900,741
Jeld-Wen, Inc.
4.625%, 12/15/25 (d)		128		128,950
4.875%, 12/15/27 (d)		182		183,820
KLX, Inc.
5.875%, 12/01/22 (d)		877		917,936
Liberty Tire Recycling LLC
11.00%, 3/31/21 (a)(b)(c)		1,624		901,450
Textron Financial Corp.
3.151% (LIBOR 3 Month + 1.74%), 2/15/42 (d)(l)		575		499,172
TransDigm, Inc.
6.375%, 6/15/26		2,335		2,354,721
6.50%, 7/15/24		1,572		1,610,953

				21,546,132

Communications - Media - 4.5%
Altice Financing SA
6.625%, 2/15/23 (d)		2,892		3,016,460
7.50%, 5/15/26 (d)		1,582		1,683,935
Altice Luxembourg SA
7.25%, 5/15/22 (d)	EUR	1,332		1,618,823
7.75%, 5/15/22 (d)(e)	U.S.$	1,570		1,546,651
CCO Holdings LLC/CCO Holdings Capital Corp.
5.125%, 5/01/27 (d)		160		157,549
5.375%, 5/01/25 (d)		128		130,608
5.75%, 1/15/24-2/15/26		566		585,722
5.875%, 5/01/27 (d)		499		513,350
Cequel Communications Holdings I LLC/Cequel Capital Corp.
6.375%, 9/15/20 (d)		298		302,225
7.75%, 7/15/25 (d)		861		916,031
Clear Channel Worldwide Holdings, Inc.
Series A


	Principal Amount (000)		U.S. $ Value
6.50%, 11/15/22	U.S.$	555	$	560,147
Series B
6.50%, 11/15/22		2,654		2,698,600
CSC Holdings LLC
6.625%, 10/15/25 (d)		274		296,947
10.125%, 1/15/23 (d)		765		861,581
DISH DBS Corp.
5.875%, 11/15/24		2,185		2,127,355
6.75%, 6/01/21		660		697,882
Gray Television, Inc.
5.125%, 10/15/24 (d)		1,037		1,033,050
iHeartCommunications, Inc.
6.875%, 6/15/18		2,016		945,000
9.00%, 12/15/19-3/01/21		1,630		1,186,282
10.625%, 3/15/23		142		102,330
11.25%, 3/01/21 (d)		254		177,545
Liberty Interactive LLC
3.75%, 2/15/30 (k)		881		608,012
McClatchy Co. (The)
9.00%, 12/15/22 (e)		958		998,817
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance
7.875%, 5/15/24 (d)		1,444		1,427,469
Mediacom Broadband LLC/Mediacom Broadband Corp.
6.375%, 4/01/23		2,168		2,229,968
Netflix, Inc.
4.375%, 11/15/26 (e)		1,552		1,521,959
4.875%, 4/15/28 (d)		1,221		1,193,629
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.25%, 2/15/22		648		664,776
Radiate Holdco LLC/Radiate Finance, Inc.
6.625%, 2/15/25 (d)		1,057		1,011,453
SFR Group SA
5.375%, 5/15/22 (d)	EUR	264		326,309
5.625%, 5/15/24 (d)		386		481,986
6.00%, 5/15/22 (d)	U.S.$	507		513,486
7.375%, 5/01/26 (d)		2,723		2,786,675
Sinclair Television Group, Inc.
6.125%, 10/01/22		1,487		1,532,614
TEGNA, Inc.
4.875%, 9/15/21 (d)		284		289,965
5.50%, 9/15/24 (d)		162		170,707
6.375%, 10/15/23		718		749,382
Time, Inc.
5.75%, 4/15/22 (d)		198		206,628
Townsquare Media, Inc.
6.50%, 4/01/23 (d)		976		960,891
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
5.00%, 1/15/25 (d)		1,078		1,107,929
6.25%, 1/15/29 (d)	EUR	496		668,626


	Principal Amount (000)		U.S. $ Value
Univision Communications, Inc.
5.125%, 2/15/25 (d)	U.S.$	1,064	$	1,038,484
UPC Holding BV
5.50%, 1/15/28 (d)		1,306		1,275,962
Urban One, Inc.
7.375%, 4/15/22 (d)		1,400		1,393,000
9.25%, 2/15/20 (d)(e)		1,761		1,655,270
Virgin Media Finance PLC
4.875%, 2/15/22		1,347		1,321,414
5.25%, 2/15/22		900		874,602
Virgin Media Receivables Financing Notes I DAC
5.50%, 9/15/24 (d)	GBP	128		174,138
Virgin Media Secured Finance PLC
5.50%, 1/15/25 (d)		423		593,261
Wave Holdco LLC/Wave Holdco Corp.
8.25% (8.25% Cash or 9.00% PIK), 7/15/19 (b)(d)	U.S.$	262		262,890
WaveDivision Escrow LLC/WaveDivision Escrow Corp.
8.125%, 9/01/20 (d)		1,084		1,108,156
Ziggo Bond Co. BV
7.125%, 5/15/24 (d)	EUR	968		1,275,419
Ziggo Bond Finance BV
5.875%, 1/15/25 (d)	U.S.$	1,034		1,020,770
6.00%, 1/15/27 (d)		150		146,496
Ziggo Secured Finance BV
5.50%, 1/15/27 (d)		1,163		1,157,972

				53,907,188

Communications - Telecommunications - 2.8%
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (d)	GBP	1,086		1,524,688
C&W Senior Financing Designated Activity Co.
6.875%, 9/15/27 (d)	U.S.$	847		886,868
CenturyLink, Inc.
Series W
6.75%, 12/01/23		437		428,908
Cincinnati Bell, Inc.
7.00%, 7/15/24 (d)		1,151		1,130,251
Clear Channel Communications, Inc.
12.00%, 8/01/21 (a)(f)(g)(i)		607		1,092
Embarq Corp.
7.995%, 6/01/36		805		784,313
Frontier Communications Corp.
6.25%, 9/15/21		307		213,625
6.875%, 1/15/25		45		29,071
7.125%, 1/15/23		154		100,870
7.625%, 4/15/24		1,118		736,514
7.875%, 1/15/27		834		536,707
10.50%, 9/15/22		511		386,753
11.00%, 9/15/25		267		196,381


	Principal Amount (000)		U.S. $ Value
Hughes Satellite Systems Corp.
7.625%, 6/15/21	U.S.$	1,437	$	1,583,988
Intelsat Jackson Holdings SA
5.50%, 8/01/23		1,675		1,362,125
7.25%, 10/15/20		443		414,791
7.50%, 4/01/21		980		892,454
8.00%, 2/15/24 (d)		216		227,640
9.50%, 9/30/22 (d)		516		595,014
9.75%, 7/15/25 (d)		1,262		1,211,183
Level 3 Financing, Inc.
5.25%, 3/15/26		86		84,123
5.375%, 8/15/22-1/15/24		1,278		1,282,091
6.125%, 1/15/21		596		605,190
Level 3 Parent LLC
5.75%, 12/01/22		160		160,890
Qwest Corp.
6.875%, 9/15/33		1,335		1,280,890
Sable International Finance Ltd.
6.875%, 8/01/22 (d)		454		483,326
Sprint Corp.
7.625%, 2/15/25		1,736		1,814,207
7.875%, 9/15/23		937		996,928
T-Mobile USA, Inc.
6.00%, 3/01/23		743		777,307
6.375%, 3/01/25		655		700,847
6.836%, 4/28/23		543		568,362
Telecom Italia Capital SA
7.20%, 7/18/36		483		601,250
7.721%, 6/04/38		1,759		2,279,316
Telecom Italia SpA/Milano
5.303%, 5/30/24 (d)		1,002		1,074,235
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC
6.00%, 4/15/23 (d)		1,113		1,085,423
Wind Tre SpA
5.00%, 1/20/26 (d)		2,092		2,001,703
Windstream Services LLC/Windstream Finance Corp.
6.375%, 8/01/23		982		602,924
8.75%, 12/15/24 (d)		1,860		1,299,638
Zayo Group LLC/Zayo Capital, Inc.
5.75%, 1/15/27 (d)		300		307,296
6.00%, 4/01/23		488		508,818
6.375%, 5/15/25		1,187		1,257,552

				33,015,552

Consumer Cyclical - Automotive - 1.5%
Adient Global Holdings Ltd.
4.875%, 8/15/26 (d)		1,323		1,357,059
BCD Acquisition, Inc.
9.625%, 9/15/23 (d)		2,184		2,403,739
Cooper-Standard Automotive, Inc.
5.625%, 11/15/26 (d)		1,101		1,129,734
Dana Financing Luxembourg SARL
5.75%, 4/15/25 (d)		215		226,753


	Principal Amount (000)		U.S. $ Value
6.50%, 6/01/26 (d)	U.S.$	1,379	$	1,494,090
Exide Technologies
7.00%, 4/30/25 (a)(b)(c)(k)		162		99,829
11.00%, 4/30/22 (a)(b)(c)		4,154		3,738,627
Series AI
7.00%, 4/30/25 (a)(b)(g)(k)		4,406		2,709,804
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28		400		449,991
8.75%, 8/15/20		112		127,799
IHO Verwaltungs GmbH
4.125% (4.125% Cash or 4.875% PIK), 9/15/21 (b)(d)		889		904,542
Meritor, Inc.
6.25%, 2/15/24		305		321,066
Navistar International Corp.
6.625%, 11/01/25 (d)		1,190		1,241,412
Titan International, Inc.
6.50%, 11/30/23 (d)		1,093		1,111,663
ZF North America Capital, Inc.
4.75%, 4/29/25 (d)		1,153		1,221,555

				18,537,663

Consumer Cyclical - Entertainment - 0.3%
AMC Entertainment Holdings, Inc.
5.875%, 11/15/26 (e)		1,580		1,561,002
Silversea Cruise Finance Ltd.
7.25%, 2/01/25 (d)		1,409		1,515,412

				3,076,414

Consumer Cyclical - Other - 2.8%
Beazer Homes USA, Inc.
5.875%, 10/15/27 (d)		682		684,521
6.75%, 3/15/25 (e)		1,400		1,473,126
8.75%, 3/15/22		99		109,062
Caesars Entertainment Corp.
5.00%, 10/01/24 (a)(k)		121		231,218
CalAtlantic Group, Inc.
6.625%, 5/01/20		1,332		1,438,346
8.375%, 5/15/18		2,362		2,413,820
Cirsa Funding Luxembourg SA
5.75%, 5/15/21 (d)	EUR	396		496,308
Cooperativa Muratori & Cementisti-CMC di Ravenna SC
6.00%, 2/15/23 (d)		276		328,927
Diamond Resorts International, Inc.
7.75%, 9/01/23 (d)(e)	U.S.$	1,139		1,235,423
Five Point Operating Co. LP/Five Point Capital Corp.
7.875%, 11/15/25 (d)		1,304		1,326,707
GLP Capital LP/GLP Financing II, Inc.
5.375%, 4/15/26		674		721,690
International Game Technology PLC
6.25%, 2/15/22 (d)		977		1,053,290


	Principal Amount (000)		U.S. $ Value
James Hardie International Finance DAC
4.75%, 1/15/25 (d)	U.S.$	285	$	287,000
5.00%, 1/15/28 (d)		273		275,192
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21		2,257		2,083,313
10.00%, 7/15/22 (d)		389		423,566
10.50%, 7/15/24 (d)		389		447,365
KB Home
7.00%, 12/15/21		536		594,601
7.50%, 9/15/22		494		563,323
MDC Holdings, Inc.
5.50%, 1/15/24		150		158,304
6.00%, 1/15/43		2,908		2,849,703
Meritage Homes Corp.
6.00%, 6/01/25		1,895		2,041,080
Pinnacle Entertainment, Inc.
5.625%, 5/01/24		829		889,863
PulteGroup, Inc.
5.00%, 1/15/27		115		120,430
6.00%, 2/15/35		500		533,187
7.875%, 6/15/32		1,400		1,759,979
RSI Home Products, Inc.
6.50%, 3/15/23 (d)		2,212		2,320,817
Safari Holding Verwaltungs GmbH
8.25%, 2/15/21 (d)	EUR	243		299,953
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (d)	U.S.$	420		434,934
6.125%, 4/01/25 (d)		830		864,448
Standard Industries, Inc./NJ
6.00%, 10/15/25 (d)		977		1,042,947
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.
5.875%, 5/15/25 (d)		1,785		1,697,621
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.
5.875%, 4/15/23 (d)		875		922,031
Toll Brothers Finance Corp.
4.875%, 3/15/27		1,124		1,161,482
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 3/01/25 (d)		785		814,264

				34,097,841

Consumer Cyclical - Restaurants - 0.1%
Golden Nugget, Inc.
6.75%, 10/15/24 (d)		933		950,962

Consumer Cyclical - Retailers - 0.9%
Dufry Finance SCA
4.50%, 8/01/23 (d)	EUR	1,208		1,520,503
FirstCash, Inc.
5.375%, 6/01/24 (d)	U.S.$	1,312		1,366,763
JC Penney Corp., Inc.
6.375%, 10/15/36		421		254,832


	Principal Amount (000)		U.S. $ Value
7.40%, 4/01/37	U.S.$	600	$	389,098
L Brands, Inc.
6.875%, 11/01/35		230		232,680
6.95%, 3/01/33		500		498,774
7.60%, 7/15/37		1,000		1,025,194
Levi Strauss & Co.
5.00%, 5/01/25		1,150		1,199,284
Neiman Marcus Group Ltd. LLC
8.00%, 10/15/21 (d)		2,115		1,218,769
8.75% (8.75% Cash or 9.50% PIK), 10/15/21 (b)(d)		404		217,330
Penske Automotive Group, Inc.
5.50%, 5/15/26		1,037		1,052,328
PetSmart, Inc.
7.125%, 3/15/23 (d)		1,140		675,198
Sonic Automotive, Inc.
5.00%, 5/15/23		534		519,273
6.125%, 3/15/27		817		812,940

				10,982,966

Consumer Non-Cyclical - 4.1%
Acadia Healthcare Co., Inc.
6.50%, 3/01/24		684		711,360
Air Medical Group Holdings, Inc.
6.375%, 5/15/23 (d)		820		787,200
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC
5.75%, 3/15/25		274		247,369
6.625%, 6/15/24 (e)		1,712		1,627,612
Aveta, Inc.
10.50%, 3/01/21 (a)(d)(i)		13,116		0
BI-LO LLC/BI-LO Finance Corp.
8.625% (8.625% Cash or 9.375% PIK), 9/15/18 (b)(c)		1,894		596,546
9.25%, 2/15/19 (c)		1,553		1,482,862
Catalent Pharma Solutions, Inc.
4.75%, 12/15/24 (d)	EUR	400		511,751
4.875%, 1/15/26 (d)	U.S.$	416		417,109
CHS/Community Health Systems, Inc.
6.875%, 2/01/22		3,223		1,852,007
7.125%, 7/15/20 (e)		828		617,909
8.00%, 11/15/19		408		344,275
DaVita, Inc.
5.00%, 5/01/25		1,314		1,313,187
Diamond BC BV
5.625%, 8/15/25 (d)	EUR	362		436,479
Eagle Holding Co. II LLC
7.625% (7.625% Cash or 8.375% PIK), 5/15/22 (b)(d)	U.S.$	179		181,226
Endo Dac/Endo Finance LLC/Endo Finco, Inc.
6.00%, 7/15/23-2/01/25 (d)		4,260		3,308,700
Endo Finance LLC
5.75%, 1/15/22 (d)		1,228		1,023,560


	Principal Amount (000)		U.S. $ Value
Endo Finance LLC/Endo Finco, Inc.
5.375%, 1/15/23 (d)	U.S.$	200	$	155,294
Envision Healthcare Corp.
5.125%, 7/01/22 (d)		95		92,553
5.625%, 7/15/22		1,009		1,022,651
6.25%, 12/01/24 (d)		694		717,984
First Quality Finance Co., Inc.
4.625%, 5/15/21 (d)		3,247		3,266,336
HCA, Inc.
4.25%, 10/15/19		1,475		1,507,550
4.50%, 2/15/27		135		136,689
5.00%, 3/15/24		400		418,349
5.25%, 6/15/26		235		249,871
5.875%, 2/15/26		180		190,420
Hill-Rom Holdings, Inc.
5.75%, 9/01/23 (d)		265		278,006
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21 (d)		506		528,272
Lamb Weston Holdings, Inc.
4.625%, 11/01/24 (d)		439		451,320
LifePoint Health, Inc.
5.375%, 5/01/24		1,518		1,503,386
5.875%, 12/01/23		1,448		1,464,820
Mallinckrodt International Finance SA
4.75%, 4/15/23		2,670		2,088,687
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (d)		772		631,372
5.625%, 10/15/23 (d)		394		336,096
5.75%, 8/01/22 (d)		1,181		1,076,236
MEDNAX, Inc.
5.25%, 12/01/23 (d)		422		430,248
MPH Acquisition Holdings LLC
7.125%, 6/01/24 (d)		1,563		1,670,455
Post Holdings, Inc.
5.00%, 8/15/26 (d)		442		435,563
5.50%, 3/01/25 (d)		642		666,417
5.625%, 1/15/28 (d)		830		833,643
5.75%, 3/01/27 (d)		90		91,602
Revlon Consumer Products Corp.
6.25%, 8/01/24		568		350,141
Spectrum Brands, Inc.
4.00%, 10/01/26 (d)	EUR	530		674,165
6.125%, 12/15/24	U.S.$	361		382,529
6.625%, 11/15/22		560		581,064
Synlab Bondco PLC
6.25%, 7/01/22 (d)	EUR	798		1,008,852
Synlab Unsecured Bondco PLC
8.25%, 7/01/23 (d)		700		911,711
Tenet Healthcare Corp.
6.00%, 10/01/20	U.S.$	95		100,283
6.75%, 6/15/23 (e)		1,308		1,262,998
6.875%, 11/15/31		1,174		964,651
8.125%, 4/01/22		752		767,982


	Principal Amount (000)		U.S. $ Value
Valeant Pharmaceuticals International
7.25%, 7/15/22 (d)	U.S.$	635	$	642,231
Valeant Pharmaceuticals International, Inc.
5.375%, 3/15/20 (d)		550		551,351
5.50%, 3/01/23 (d)		230		211,687
5.625%, 12/01/21 (d)		26		25,489
5.875%, 5/15/23 (d)		904		838,189
6.125%, 4/15/25 (d)		1,176		1,080,369
6.50%, 3/15/22 (d)		287		301,971
7.50%, 7/15/21 (d)		1,146		1,170,107
Vizient, Inc.
10.375%, 3/01/24 (d)		584		655,255
Voyage Care BondCo PLC
5.875%, 5/01/23 (d)	GBP	891		1,223,397

				49,407,394

Energy - 6.0%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.
7.875%, 12/15/24	U.S.$	897		984,700
Antero Resources Corp.
5.125%, 12/01/22		789		805,965
Berry Petroleum Co. LLC
6.375%, 9/15/22 (a)(f)(g)(i)		2,383		0
Bill Barrett Corp.
7.00%, 10/15/22		534		543,345
8.75%, 6/15/25		637		702,586
California Resources Corp.
5.50%, 9/15/21		299		245,554
6.00%, 11/15/24		232		160,370
8.00%, 12/15/22 (d)		3,539		2,928,522
Carrizo Oil & Gas, Inc.
6.25%, 4/15/23		347		358,391
7.50%, 9/15/20		186		189,720
8.25%, 7/15/25		301		331,104
Cheniere Corpus Christi Holdings LLC
7.00%, 6/30/24		783		890,699
Cheniere Energy Partners LP
5.25%, 10/01/25 (d)		1,055		1,076,273
Cheniere Energy, Inc.
4.875%, 5/28/21 (a)(b)(d)(k)		1,039		1,023,527
Chesapeake Energy Corp.
4.875%, 4/15/22 (e)		2,138		2,015,734
6.125%, 2/15/21		505		512,336
8.00%, 1/15/25-6/15/27 (d)		392		381,904
Continental Resources, Inc./OK
3.80%, 6/01/24		96		94,783
4.90%, 6/01/44		212		203,916
5.00%, 9/15/22		1,119		1,137,297
Denbury Resources, Inc.
3.50%, 3/31/24 (a)(d)(k)		134		137,632
9.25%, 3/31/22 (a)(d)		604		612,281


	Principal Amount (000)		U.S. $ Value
Diamond Offshore Drilling, Inc.
7.875%, 8/15/25 (e)	U.S.$	2,575	$	2,695,191
Energy Transfer Equity LP
4.25%, 3/15/23		2,203		2,182,911
7.50%, 10/15/20		309		340,313
Ensco PLC
4.50%, 10/01/24		290		244,251
5.20%, 3/15/25 (e)		1,066		907,043
EP Energy LLC/Everest Acquisition Finance, Inc.
6.375%, 6/15/23		467		251,596
7.75%, 9/01/22		449		257,614
8.00%, 2/15/25 (d)		1,792		1,316,065
9.375%, 5/01/20		1,614		1,363,428
Genesis Energy LP/Genesis Energy Finance Corp.
6.25%, 5/15/26		856		850,859
6.75%, 8/01/22		173		179,072
Golden Energy Offshore Services AS
5.00%, 12/31/17 (a)(c)	NOK	9,162		502,150
Gulfport Energy Corp.
6.00%, 10/15/24	U.S.$	325		325,333
6.375%, 5/15/25-1/15/26		2,772		2,783,414
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp.
5.625%, 2/15/26 (d)		711		734,107
Hilcorp Energy I LP/Hilcorp Finance Co.
5.00%, 12/01/24 (d)		593		586,972
5.75%, 10/01/25 (d)		1,610		1,652,126
Murphy Oil Corp.
6.875%, 8/15/24		852		911,842
Murphy Oil USA, Inc.
5.625%, 5/01/27		69		72,465
6.00%, 8/15/23		716		745,206
Nabors Industries, Inc.
4.625%, 9/15/21		996		949,162
5.50%, 1/15/23 (e)		1,784		1,732,521
Noble Holding International Ltd.
5.25%, 3/15/42		191		120,091
6.20%, 8/01/40		276		189,405
7.70%, 4/01/25 (m)		375		314,425
7.75%, 1/15/24 (e)		2,024		1,739,650
Oasis Petroleum, Inc.
6.50%, 11/01/21		226		230,980
6.875%, 3/15/22		376		386,340
PDC Energy, Inc.
5.75%, 5/15/26 (d)		1,447		1,481,858
6.125%, 9/15/24		490		506,463
PHI, Inc.
5.25%, 3/15/19		1,567		1,564,963
Precision Drilling Corp.
7.125%, 1/15/26 (d)		725		738,760
QEP Resources, Inc.
5.25%, 5/01/23		1,248		1,262,568
5.625%, 3/01/26		31		31,399
6.875%, 3/01/21 (e)		1,225		1,325,084


	Principal Amount (000)		U.S. $ Value
Range Resources Corp.
4.875%, 5/15/25	U.S.$	948	$	927,465
5.00%, 8/15/22-3/15/23		1,391		1,382,111
5.875%, 7/01/22		97		99,899
Rowan Cos., Inc.
5.40%, 12/01/42		536		397,019
7.375%, 6/15/25 (e)		905		923,226
Sanchez Energy Corp.
6.125%, 1/15/23 (e)		1,815		1,529,137
SandRidge Energy, Inc.
7.50%, 2/15/23 (a)(f)(g)(i)		865		0
8.125%, 10/15/22 (a)(f)(g)(i)		2,076		0
Seitel, Inc.
9.50%, 4/15/19		597		597,430
SemGroup Corp.
6.375%, 3/15/25 (d)		594		583,015
7.25%, 3/15/26 (d)		540		549,595
SemGroup Corp./Rose Rock Finance Corp.
5.625%, 11/15/23		438		428,866
SM Energy Co.
5.00%, 1/15/24		860		829,486
5.625%, 6/01/25 (e)		1,150		1,117,929
6.50%, 1/01/23 (e)		1,000		1,019,674
Southern Star Central Corp.
5.125%, 7/15/22 (d)		1,200		1,248,937
SRC Energy, Inc.
6.25%, 12/01/25 (d)		800		820,049
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.125%, 2/01/25		215		220,053
Transocean Phoenix 2 Ltd.
7.75%, 10/15/24 (d)		1,094		1,191,251
Transocean, Inc.
5.80%, 10/15/22		1,092		1,079,715
6.80%, 3/15/38		2,443		1,957,454
7.50%, 1/15/26 (d)		631		644,312
9.00%, 7/15/23 (d)		652		704,410
Vantage Drilling International
7.125%, 4/01/23 (a)(f)(g)(i)		1,283		0
7.50%, 11/01/19 (a)(f)(g)(i)		2,176		0
10.00%, 12/31/20 (a)(c)		87		85,260
10.00%, 12/31/20 (a)(g)		105		102,900
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp.
8.75%, 4/15/23 (d)		1,089		1,055,191
Weatherford International Ltd.
5.875%, 7/01/21 (k)		154		164,858
6.50%, 8/01/36		752		626,567
6.75%, 9/15/40		849		703,708
7.00%, 3/15/38		600		509,116
7.75%, 6/15/21		297		302,112
9.875%, 2/15/24		901		955,992


	Principal Amount (000)		U.S. $ Value
Whiting Petroleum Corp.
1.25%, 4/01/20 (k)	U.S.$	542	$	498,640
5.00%, 3/15/19		593		607,049
6.25%, 4/01/23		483		496,060
6.625%, 1/15/26 (d)		771		786,428
WPX Energy, Inc.
8.25%, 8/01/23		187		212,460

				72,169,640

Other Industrial - 0.8%
American Tire Distributors, Inc.
10.25%, 3/01/22 (d)		2,205		2,273,062
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22		2,976		3,056,307
H&E Equipment Services, Inc.
5.625%, 9/01/25 (d)		437		457,759
HRG Group, Inc.
7.875%, 7/15/19		2,084		2,087,499
Laureate Education, Inc.
8.25%, 5/01/25 (d)		1,085		1,145,786

				9,020,413

Services - 1.5%
APTIM Corp.
7.75%, 6/15/25 (d)		1,311		1,281,601
APX Group, Inc.
7.875%, 12/01/22		1,746		1,868,194
8.75%, 12/01/20		1,328		1,353,589
Aramark Services, Inc.
5.125%, 1/15/24		274		287,661
Carlson Travel, Inc.
6.75%, 12/15/23 (d)		716		653,379
Ceridian HCM Holding, Inc.
11.00%, 3/15/21 (d)		715		746,020
eDreams ODIGEO SA
8.50%, 8/01/21 (d)	EUR	1,560		2,000,931
Gartner, Inc.
5.125%, 4/01/25 (d)	U.S.$	482		502,056
GEO Group, Inc. (The)
5.125%, 4/01/23		162		161,985
5.875%, 1/15/22-10/15/24		670		688,417
6.00%, 4/15/26		677		695,030
KAR Auction Services, Inc.
5.125%, 6/01/25 (d)		458		469,474
Nielsen Finance LLC/Nielsen Finance Co.
5.00%, 4/15/22 (d)		599		616,878
Prime Security Services Borrower LLC/Prime Finance, Inc.
9.25%, 5/15/23 (d)		2,871		3,180,916
Ritchie Bros Auctioneers, Inc.
5.375%, 1/15/25 (d)		366		376,627
Sabre GLBL, Inc.
5.25%, 11/15/23 (d)		607		620,486
5.375%, 4/15/23 (d)		720		741,383


	Principal Amount (000)		U.S. $ Value
Service Corp. International/US
7.50%, 4/01/27	U.S.$	1,209	$	1,441,146
Team Health Holdings, Inc.
6.375%, 2/01/25 (d)		861		765,830

				18,451,603

Technology - 1.6%
Amkor Technology, Inc.
6.375%, 10/01/22		2,681		2,766,044
Ascend Learning LLC
6.875%, 8/01/25 (d)		302		311,424
BMC Software Finance, Inc.
8.125%, 7/15/21 (d)		2,349		2,356,909
BMC Software, Inc.
7.25%, 6/01/18		44		44,276
Boxer Parent Co., Inc.
9.00% (9.00% Cash or 9.75% PIK),
10/15/19 (b)(d)		493		494,247
Conduent Finance, Inc./Conduent Business Services LLC
10.50%, 12/15/24 (d)		1,610		1,881,182
CURO Financial Technologies Corp.
12.00%, 3/01/22 (d)		939		1,029,455
Dell International LLC/EMC Corp.
7.125%, 6/15/24 (d)		251		274,008
Dell, Inc.
6.50%, 4/15/38		1,671		1,699,163
Goodman Networks, Inc.
8.00%, 5/11/22 (a)		699		478,289
Infor Software Parent LLC/Infor Software Parent, Inc.
7.125% (7.125% Cash or 7.875% PIK),
5/01/21 (b)(d)		160		163,324
Infor US, Inc.
6.50%, 5/15/22		1,286		1,334,287
Micron Technology, Inc.
5.50%, 2/01/25		686		718,461
Nokia Oyj
6.625%, 5/15/39		527		582,285
Quintiles IMS, Inc.
3.25%, 3/15/25 (d)	EUR	782		969,269
Solera LLC/Solera Finance, Inc.
10.50%, 3/01/24 (d)	U.S.$	2,005		2,262,654
Symantec Corp.
5.00%, 4/15/25 (d)		687		715,204
Western Digital Corp.
10.50%, 4/01/24		860		996,800

				19,077,281

Transportation - Airlines - 0.1%
UAL Pass-Through Trust
Series 2007-1A
6.636%, 7/02/22		1,075		1,165,838


	Principal Amount (000)		U.S. $ Value
Transportation - Services - 1.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.25%, 3/15/25 (d)	U.S.$	264	$	261,459
5.50%, 4/01/23 (e)		524		538,721
CEVA Group PLC
9.00%, 9/01/21 (d)		1,836		1,673,944
Europcar Groupe SA
5.75%, 6/15/22 (d)	EUR	670		839,975
Herc Rentals, Inc.
7.75%, 6/01/24 (d)	U.S.$	1,521		1,674,419
Hertz Corp. (The)
5.50%, 10/15/24 (d)(e)		2,807		2,535,139
5.875%, 10/15/20		1,514		1,514,230
7.625%, 6/01/22 (d)(e)		436		459,266
Loxam SAS
3.50%, 4/15/22 (d)	EUR	186		233,035
4.25%, 4/15/24 (d)		138		176,768
United Rentals North America, Inc.
5.50%, 5/15/27	U.S.$	477		502,143
5.75%, 11/15/24		1,005		1,055,300
XPO CNW, Inc.
6.70%, 5/01/34		1,371		1,392,164
XPO Logistics, Inc.
6.125%, 9/01/23 (d)		522		552,868

				13,409,431

				405,472,313

Financial Institutions - 7.1%
Banking - 4.8%
Allied Irish Banks PLC
Series E
7.375%, 12/03/20 (d)(n)	EUR	871		1,179,522
Ally Financial, Inc.
8.00%, 11/01/31	U.S.$	2,251		2,934,561
Banco Bilbao Vizcaya Argentaria SA
5.875%, 5/24/22 (d)(n)	EUR	200		259,914
6.125%, 11/16/27 (n)	U.S.$	800		828,334
6.75%, 2/18/20 (d)(n)	EUR	800		1,037,888
8.875%, 4/14/21(d)(n)		2,000		2,845,982
Banco Santander SA
6.25%, 3/12/19-9/11/21(d)(n)		1,200		1,553,931
6.75%, 4/25/22 (d)(n)		900		1,227,142
Bank of Ireland
7.375%, 6/18/20 (d)(n)		1,455		1,958,154
Barclays Bank PLC
6.86%, 6/15/32 (d)(n)	U.S.$	166		199,966
7.70%, 4/25/18 (d)(n)		1,815		1,843,630
Barclays PLC
7.25%, 3/15/23 (d)(n)	GBP	219		322,794
8.00%, 12/15/20 (n)	EUR	1,732		2,388,843


	Principal Amount (000)		U.S. $ Value
Citigroup, Inc.
5.95%, 1/30/23 (n)	U.S.$	2,689	$	2,859,571
Credit Agricole SA
7.589%, 1/30/20 (d)(n)	GBP	1,000		1,497,293
8.125%, 12/23/25 (d)(n)	U.S.$	1,909		2,288,930
Credit Suisse Group AG
6.25%, 12/18/24 (d)(n)		1,404		1,522,078
7.50%, 12/11/23 (d)(n)		3,043		3,472,824
Goldman Sachs Group, Inc. (The)
Series P
5.00%, 11/10/22 (n)		1,599		1,581,755
Intesa Sanpaolo SpA
3.928%, 9/15/26 (d)	EUR	434		571,368
5.71%, 1/15/26 (d)	U.S.$	2,078		2,192,440
Lloyds Banking Group PLC
6.413%, 10/01/35 (d)(n)		235		271,929
6.657%, 5/21/37 (d)(n)		98		114,959
7.50%, 6/27/24 (n)		528		597,997
7.625%, 6/27/23 (d)(n)	GBP	1,760		2,734,593
Macquarie Bank Ltd./London
6.125%, 3/08/27 (d)(n)	U.S.$	200		208,028
Royal Bank of Scotland Group PLC
2.001% (EURIBOR 3 Month + 2.33%),
3/31/18 (d)(l)(n)	EUR	150		177,962
8.625%, 8/15/21 (n)	U.S.$	3,518		3,956,177
Series U
4.015% (LIBOR 3 Month + 2.32%),
9/30/27 (l)(n)		1,100		1,092,259
SNS Bank NV
Series E
11.25%, 12/31/49 (a)(g)(i)	EUR	620		3,209
Societe Generale SA
7.375%, 9/13/21 (d)(n)	U.S.$	1,485		1,603,800
7.875%, 12/18/23 (d)		778		875,250
8.00%, 9/29/25 (d)(e)(n)		1,124		1,305,245
Standard Chartered PLC
7.50%, 4/02/22 (d)(n)		1,269		1,370,913
7.75%, 4/02/23 (d)(n)		440		481,819
SunTrust Banks, Inc.
Series G
5.05%, 6/15/22 (n)		853		864,295
Series H
5.125%, 12/15/27 (n)		1,016		996,086
UBS Group AG
6.875%, 3/22/21 (d)(n)		200		214,348
7.00%, 2/19/25 (d)(n)		2,492		2,823,139
UniCredit SpA
9.25%, 6/03/22 (d)(n)	EUR	1,554		2,259,443
Zions Bancorporation
5.65%, 11/15/23	U.S.$	508		523,392

				57,041,763


	Principal Amount (000)		U.S. $ Value
Brokerage - 0.1%
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (a)(i)	U.S.$	1,690	$	79,815
LPL Holdings, Inc.
5.75%, 9/15/25 (d)		1,517		1,545,966

				1,625,781

Finance - 1.0%
Enova International, Inc.
8.50%, 9/01/24 (d)		770		790,490
9.75%, 6/01/21		1,122		1,185,737
goeasy Ltd.
7.875%, 11/01/22 (d)		466		485,706
ILFC E-Capital Trust II
4.62% (H15T 30 Year + 1.80%),
12/21/65 (d)(l)		2,000		1,942,500
Lincoln Finance Ltd.
6.875%, 4/15/21 (d)	EUR	1,139		1,432,585
Navient Corp.
5.50%, 1/15/19	U.S.$	2,496		2,545,169
5.875%, 3/25/21		324		335,525
6.50%, 6/15/22		406		426,371
6.625%, 7/26/21		231		243,979
7.25%, 1/25/22		377		400,726
8.00%, 3/25/20		233		251,478
SLM Corp.
5.125%, 4/05/22		605		625,969
TMX Finance LLC/TitleMax Finance Corp.
8.50%, 9/15/18 (d)		1,801		1,643,742

				12,309,977

Insurance - 0.6%
Galaxy Bidco Ltd.
6.375%, 11/15/20 (d)	GBP	133		181,106
Genworth Holdings, Inc.
3.418% (LIBOR 3 Month + 2.00%), 11/15/66 (l)	U.S.$	240		105,600
7.625%, 9/24/21		1,616		1,575,876
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (d)		2,559		3,251,798
Polaris Intermediate Corp.
8.50%, 12/01/22 (b)(d)		2,008		2,079,173

				7,193,553

Other Finance - 0.4%
Creditcorp
12.00%, 7/15/18 (c)		1,300		1,183,000
Intrum Justitia AB
2.75%, 7/15/22 (d)	EUR	977		1,179,004
3.125%, 7/15/24 (d)		489		588,777
LHC3 PLC
4.125%, 8/15/24 (b)(d)		239		293,578


	Principal Amount (000)		U.S. $ Value
Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.
6.375%, 12/15/22 (d)	U.S.$	199	$	205,301
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.
6.75%, 6/01/25 (d)		1,680		1,697,941
VFH Parent LLC/Orchestra Co-Issuer, Inc.
6.75%, 6/15/22 (d)		107		112,453

				5,260,054

REITS - 0.2%
Iron Mountain, Inc.
5.25%, 3/15/28 (d)		1,640		1,636,043
MPT Operating Partnership LP/MPT Finance Corp.
5.00%, 10/15/27		218		222,581
5.25%, 8/01/26		155		162,001
5.50%, 5/01/24		264		274,140

				2,294,765

				85,725,893

Utility - 1.5%
Electric - 1.4%
AES Corp./VA
4.875%, 5/15/23		1,013		1,036,158
7.375%, 7/01/21		634		708,608
Calpine Corp.
5.375%, 1/15/23 (e)		1,918		1,872,810
5.50%, 2/01/24		1,145		1,089,320
5.75%, 1/15/25		68		64,430
ContourGlobal Power Holdings SA
5.125%, 6/15/21 (d)	EUR	1,501		1,877,966
DPL, Inc.
6.75%, 10/01/19	U.S.$	343		358,114
Dynegy, Inc.
7.375%, 11/01/22		1,604		1,693,858
7.625%, 11/01/24		981		1,056,045
NRG Energy, Inc.
5.75%, 1/15/28 (d)		740		747,557
7.25%, 5/15/26		1,791		1,949,878
NRG Yield Operating LLC
5.375%, 8/15/24		843		872,181
Talen Energy Supply LLC
4.60%, 12/15/21 (e)		1,785		1,642,200
6.50%, 6/01/25		694		558,209
10.50%, 1/15/26 (d)		1,389		1,374,832
Texas Competitive/TCEH
11.50%, 10/01/20 (a)(c)(f)(i)		626		0

				16,902,166


	Principal Amount (000)		U.S. $ Value
Natural Gas - 0.1%
NGL Energy Partners LP/NGL Energy Finance Corp.
7.50%, 11/01/23	U.S.$	1,094	$	1,125,064

				18,027,230

Total Corporates - Non-Investment Grade (cost $500,225,591)				509,225,436

GOVERNMENTS - TREASURIES - 12.7%
Colombia – 0.4%
Colombian TES
Series B
7.00%, 5/04/22	COP	3,621,500		1,270,774
10.00%, 7/24/24		8,000,000		3,226,098

				4,496,872

Indonesia - 1.2%
Indonesia Treasury Bond
Series FR53
8.25%, 7/15/21	IDR	15,727,000		1,240,889
Series FR56
8.375%, 9/15/26		18,652,000		1,549,350
Series FR59
7.00%, 5/15/27		70,459,000		5,423,175
Series FR70
8.375%, 3/15/24		42,459,000		3,470,575
Series FR73
8.75%, 5/15/31		37,753,000		3,229,909

				14,913,898

Malaysia - 0.5%
Malaysia Government Bond
Series 511
3.58%, 9/28/18	MYR	23,700		5,882,625

Mexico - 2.8%
Mexican Bonos
Series M
6.50%, 6/10/21	MXN	192,634		9,442,068
8.00%, 6/11/20		106,613		5,458,562
Series M 20
7.50%, 6/03/27		91,533		4,584,788
10.00%, 12/05/24		250,876		14,339,736

				33,825,154

Russia - 0.8%
Russian Federal Bond - OFZ
Series 6209
7.60%, 7/20/22	RUB	37,074		659,283
Series 6212
7.05%, 1/19/28		185,020		3,121,950
Series 6217


	Principal Amount (000)		U.S. $ Value
7.50%, 8/18/21	RUB	360,108	$	6,354,961

				10,136,194

United States - 6.9%
U.S. Treasury Bonds
2.75%, 11/15/42 (p)	U.S.$	2,600		2,616,250
4.50%, 2/15/36 (o)		2,400		3,089,625
5.00%, 5/15/37 (o)(p)		3,500		4,799,375
5.25%, 2/15/29 (o)		5,350		6,812,891
6.125%, 11/15/27 (o)		1,900		2,518,094
6.25%, 5/15/30 (e)		7,800		10,965,093
8.125%, 5/15/21 (o)		5,250		6,280,312
U.S. Treasury Notes
0.875%, 4/15/19 (e)(o)		42,074		41,554,647
2.25%, 2/15/27 (o)		3,873		3,822,772

				82,459,059

Uruguay - 0.1%
Uruguay Government International Bond
8.50%, 3/15/28 (d)	UYU	23,821		822,091
9.875%, 6/20/22 (d)		18,660		682,798

				1,504,889

Total Governments - Treasuries (cost $153,959,946)				153,218,691

COLLATERALIZED MORTGAGE OBLIGATIONS - 12.1%
Risk Share Floating Rate - 9.3%
Bellemeade Re II Ltd.
Series 2016-1A, Class B1
13.552% (LIBOR 1 Month + 12.00%), 4/25/26 (c)(l)	U.S.$	283		303,547
Series 2016-1A, Class M2B
8.052% (LIBOR 1 Month + 6.50%), 4/25/26 (c)(l)		2,661		2,720,325
Bellemeade Re Ltd.
Series 2015-1A, Class M2
5.629% (LIBOR 1 Month + 4.30%), 7/25/25 (c)(l)		697		709,349
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
8.702% (LIBOR 1 Month + 7.15%), 7/25/23 (l)		2,350		2,870,944
Series 2013-DN2, Class M2
5.802% (LIBOR 1 Month + 4.25%), 11/25/23 (l)		1,925		2,142,093
Series 2014-DN1, Class M3
6.052% (LIBOR 1 Month + 4.50%), 2/25/24 (l)		1,939		2,264,504
Series 2014-DN2, Class M3
5.152% (LIBOR 1 Month + 3.60%), 4/25/24 (l)		514		572,849


	Principal Amount (000)		U.S. $ Value
Series 2014-DN3, Class M3
5.552% (LIBOR 1 Month + 4.00%), 8/25/24 (l)	U.S.$	743	$	812,755
Series 2014-DN4, Class M3
6.102% (LIBOR 1 Month + 4.55%), 10/25/24 (l)		442		488,296
Series 2014-HQ1, Class M3
5.652% (LIBOR 1 Month + 4.10%), 8/25/24 (l)		1,686		1,866,254
Series 2014-HQ2, Class M3
5.302% (LIBOR 1 Month + 3.75%), 9/25/24 (l)		3,710		4,240,418
Series 2014-HQ3, Class M3
6.302% (LIBOR 1 Month + 4.75%), 10/25/24 (l)		5,055		5,591,135
Series 2015-DN1, Class B
13.052% (LIBOR 1 Month + 11.50%), 1/25/25 (l)		2,237		3,245,349
Series 2015-DN1, Class M3
5.702% (LIBOR 1 Month + 4.15%), 1/25/25 (l)		1,688		1,826,538
Series 2015-DNA1, Class B
10.752% (LIBOR 1 Month + 9.20%), 10/25/27 (l)		598		808,575
Series 2015-DNA1, Class M3
4.852% (LIBOR 1 Month + 3.30%), 10/25/27 (l)		480		539,573
Series 2015-DNA2, Class B
9.102% (LIBOR 1 Month + 7.55%), 12/25/27 (l)		1,462		1,806,599
Series 2015-DNA3, Class B
10.902% (LIBOR 1 Month + 9.35%), 4/25/28 (l)		1,030		1,363,667
Series 2015-HQ1, Class B
12.302% (LIBOR 1 Month + 10.75%), 3/25/25 (l)		3,913		5,442,208
Series 2015-HQ1, Class M3
5.352% (LIBOR 1 Month + 3.80%), 3/25/25 (l)		530		576,109
Series 2015-HQA1, Class B
10.352% (LIBOR 1 Month + 8.80%), 3/25/28 (l)		1,013		1,277,066
Series 2015-HQA1, Class M3
6.252% (LIBOR 1 Month + 4.70%), 3/25/28 (l)		1,455		1,672,902
Series 2016-DNA2, Class B
12.052% (LIBOR 1 Month + 10.50%), 10/25/28 (l)		863		1,204,459
Series 2016-DNA2, Class M3
6.202% (LIBOR 1 Month + 4.65%), 10/25/28 (l)		811		931,375
Series 2016-DNA3, Class B
12.802% (LIBOR 1 Month + 11.25%), 12/25/28 (l)		2,784		3,948,675


	Principal Amount (000)		U.S. $ Value
Series 2016-DNA3, Class M3
6.552% (LIBOR 1 Month + 5.00%), 12/25/28 (l)	U.S.$	1,113	$	1,296,092
Series 2016-DNA4, Class B
10.152% (LIBOR 1 Month + 8.60%), 3/25/29 (l)		397		495,322
Series 2016-HQA2, Class B
13.052% (LIBOR 1 Month + 11.50%), 11/25/28 (l)		423		604,078
Series 2017-DNA2, Class B1
6.702% (LIBOR 1 Month + 5.15%), 10/25/29 (l)		415		462,059
Series 2017-DNA2, Class M2
5.002% (LIBOR 1 Month + 3.45%), 10/25/29 (l)		599		649,662
Series 2017-DNA3, Class B1
6.002% (LIBOR 1 Month + 4.45%), 3/25/30 (l)		615		658,871
Federal National Mortgage Association
Connecticut Avenue Securities
Series 2013-C01, Class M2
6.802% (LIBOR 1 Month + 5.25%), 10/25/23 (l)		1,451		1,684,399
Series 2014-C01, Class M2
5.952% (LIBOR 1 Month + 4.40%), 1/25/24 (l)		3,991		4,554,044
Series 2014-C03, Class 1M2
4.552% (LIBOR 1 Month + 3.00%), 7/25/24 (l)		1,137		1,215,620
Series 2014-C04, Class 1M2
6.452% (LIBOR 1 Month + 4.90%), 11/25/24 (l)		2,992		3,423,405
Series 2015-C01, Class 1M2
5.852% (LIBOR 1 Month + 4.30%), 2/25/25 (l)		3,014		3,302,365
Series 2015-C01, Class 2M2
6.102% (LIBOR 1 Month + 4.55%), 2/25/25 (l)		1,484		1,586,337
Series 2015-C02, Class 1M2
5.552% (LIBOR 1 Month + 4.00%), 5/25/25 (l)		890		966,933
Series 2015-C02, Class 2M2
5.552% (LIBOR 1 Month + 4.00%), 5/25/25 (l)		2,578		2,741,775
Series 2015-C03, Class 1M2
6.552% (LIBOR 1 Month + 5.00%), 7/25/25 (l)		2,742		3,093,321
Series 2015-C03, Class 2M2
6.552% (LIBOR 1 Month + 5.00%), 7/25/25 (l)		2,446		2,692,460
Series 2015-C04, Class 1M2
7.252% (LIBOR 1 Month + 5.70%), 4/25/28 (l)		3,165		3,641,016
Series 2015-C04, Class 2M2


	Principal Amount (000)		U.S. $ Value
7.102% (LIBOR 1 Month + 5.55%), 4/25/28 (l)	U.S.$	1,213	$	1,365,281
Series 2016-C01, Class 1B
13.302% (LIBOR 1 Month + 11.75%), 8/25/28 (l)		685		990,160
Series 2016-C01, Class 1M2
8.302% (LIBOR 1 Month + 6.75%), 8/25/28 (l)		2,077		2,477,765
Series 2016-C01, Class 2M2
8.502% (LIBOR 1 Month + 6.95%), 8/25/28 (l)		761		901,470
Series 2016-C02, Class 1B
13.802% (LIBOR 1 Month + 12.25%), 9/25/28 (l)		450		668,409
Series 2016-C02, Class 1M2
7.552% (LIBOR 1 Month + 6.00%), 9/25/28 (l)		2,375		2,819,335
Series 2016-C03, Class 1B
13.302% (LIBOR 1 Month + 11.75%), 10/25/28 (l)		374		545,006
Series 2016-C03, Class 2B
14.302% (LIBOR 1 Month + 12.75%), 10/25/28 (l)		633		939,900
Series 2016-C03, Class 2M2
7.452% (LIBOR 1 Month + 5.90%), 10/25/28 (l)		3,707		4,301,229
Series 2016-C04, Class 1B
11.802% (LIBOR 1 Month + 10.25%), 1/25/29 (l)		1,494		2,029,866
Series 2016-C05, Class 2B
12.302% (LIBOR 1 Month + 10.75%), 1/25/29 (l)		1,823		2,449,769
Series 2016-C05, Class 2M2
6.002% (LIBOR 1 Month + 4.45%), 1/25/29 (l)		1,486		1,655,806
Series 2016-C06, Class 1B
10.802% (LIBOR 1 Month + 9.25%), 4/25/29 (l)		1,288		1,642,487
Series 2016-C07, Class 2B
11.052% (LIBOR 1 Month + 9.50%), 5/25/29 (l)		1,562		2,014,758
Series 2016-C07, Class 2M2
5.902% (LIBOR 1 Month + 4.35%), 5/25/29 (l)		918		1,017,557
Series 2017-C01, Class 1B1
7.302% (LIBOR 1 Month + 5.75%), 7/25/29 (l)		148		172,460
Series 2017-C02, Class 2M2
5.202% (LIBOR 1 Month + 3.65%), 9/25/29 (l)		1,152		1,242,202


	Principal Amount (000)		U.S. $ Value
JP Morgan Madison Avenue Securities Trust
Series 2015-CH1, Class M2
7.052% (LIBOR 1 Month + 5.50%), 10/25/25 (d)(l)	U.S.$	1,432	$	1,612,636
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M2
7.052% (LIBOR 1 Month + 5.50%), 11/25/25 (c)(l)		617		730,030

				111,869,449

Non-Agency Fixed Rate - 1.7%
Alternative Loan Trust
Series 2006-24CB, Class A15
5.75%, 6/25/36		931		780,555
Series 2006-41CB, Class 2A13
5.75%, 1/25/37		771		632,352
Series 2006-42, Class 1A6
6.00%, 1/25/47		788		661,231
Series 2006-HY12, Class A5
3.394%, 8/25/36		1,630		1,670,512
Series 2006-J1, Class 1A10
5.50%, 2/25/36		1,382		1,253,002
Series 2006-J5, Class 1A1
6.50%, 9/25/36		1,005		833,581
Series 2007-13, Class A2
6.00%, 6/25/47		1,191		1,018,653
BCAP LLC Trust
Series 2009-RR13, Class 17A3
5.876%, 4/26/37 (d)		456		371,040
Bear Stearns ARM Trust
Series 2007-3, Class 1A1
3.678%, 5/25/47		256		245,101
Series 2007-4, Class 22A1
3.619%, 6/25/47		955		931,097
BNPP Mortgage Securities LLC Trust
Series 2009-1, Class B1
6.00%, 8/27/37 (d)		809		657,931
ChaseFlex Trust
Series 2007-1, Class 1A3
6.50%, 2/25/37		611		461,591
Citigroup Mortgage Loan Trust
Series 2006-4, Class 2A1A
6.00%, 12/25/35		1,488		1,453,473
Series 2007-AR4, Class 1A1A
3.399%, 3/25/37		194		187,984
Series 2010-3, Class 2A2
6.00%, 8/25/37 (d)		404		348,219
CitiMortgage Alternative Loan Trust
Series 2007-A3, Class 1A4
5.75%, 3/25/37		1,080		1,014,743
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-4, Class 1A39
6.00%, 5/25/37		467		377,962
Series 2007-HY4, Class 1A1


	Principal Amount (000)		U.S. $ Value
3.477%, 9/25/47	U.S.$	315	$	293,825
Credit Suisse Mortgage Trust
Series 2009-8R, Class 6A2
6.00%, 1/26/38 (d)		117		94,755
Series 2010-9R, Class 1A5
4.00%, 8/27/37 (d)		562		572,035
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36		389		321,923
First Horizon Alternative Mortgage Securities Trust
Series 2006-FA1, Class 1A3
5.75%, 4/25/36		629		523,707
Morgan Stanley Mortgage Loan Trust
Series 2005-10, Class 4A1
5.50%, 12/25/35		369		331,842
Series 2007-12, Class 3A22
6.00%, 8/25/37		104		87,670
Residential Accredit Loans, Inc. Trust
Series 2005-QS14, Class 3A1
6.00%, 9/25/35		569		540,303
Residential Asset Securitization Trust
Series 2006-A8, Class 3A4
6.00%, 8/25/36		222		195,420
Structured Adjustable Rate Mortgage Loan Trust
Series 2006-9, Class 4A1
3.46%, 10/25/36		514		477,322
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-7, Class A4
4.372%, 9/25/36		1,713		866,705
Series 2006-9, Class A4
4.846%, 10/25/36		1,674		859,522
Wells Fargo Alternative Loan Trust
Series 2007-PA3, Class 3A1
6.25%, 7/25/37		1,099		1,047,281
Wells Fargo Mortgage Backed Securities Trust
Series 2007-AR7, Class A1
3.715%, 12/28/37		1,446		1,401,123

				20,512,460

Non-Agency Floating Rate - 1.1%
Alternative Loan Trust
Series 2007-7T2, Class A3
2.152% (LIBOR 1 Month + 0.60%), 4/25/37 (l)		2,894		1,371,412
Citigroup Mortgage Loan Trust
Series 2005-8, Class 2A2
3.248% (4.80% - LIBOR 1 Month), 9/25/35 (q)		508		25,593
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-13, Class A7
2.152% (LIBOR 1 Month + 0.60%), 8/25/37 (l)		652		477,957


	Principal Amount (000)		U.S. $ Value
First Horizon Alternative Mortgage Securities Trust
Series 2007-FA2, Class 1A6
3.998% (5.55% - LIBOR 1 Month), 4/25/37 (q)	U.S.$	134	$	20,846
Series 2007-FA2, Class 1A10
1.802% (LIBOR 1 Month + 0.25%), 4/25/37 (l)		396		222,164
Lehman XS Trust
Series 2007-10H, Class 2AIO
5.639% (7.00% - LIBOR 1 Month), 7/25/37 (q)		424		73,688
Residential Accredit Loans, Inc. Trust
Series 2006-QS18, Class 2A2
4.998% (6.55% - LIBOR 1 Month), 12/25/36 (q)		4,631		956,527
Structured Asset Mortgage Investments II Trust
Series 2007-AR6, Class A1
2.563% (12MTA + 1.50%), 8/25/47 (l)		1,721		1,617,691
Wachovia Mortgage Loan Trust Series
Series 2006-ALT1, Class A2
1.732% (LIBOR 1 Month + 0.18%), 1/25/37 (l)		11,326		8,157,411

				12,923,289

Total Collateralized Mortgage Obligations (cost $129,095,667)				145,305,198

EMERGING MARKETS - TREASURIES - 7.8%
Argentina - 1.3%
Argentina POM Politica Monetaria
Series POM
27.277% (ARPP7DRR + 0.00%), 6/21/20 (l)	ARS	13,054		752,206
Argentine Bonos del Tesoro
15.50%, 10/17/26		34,006		1,826,193
16.00%, 10/17/23		85,595		4,568,886
18.20%, 10/03/21		110,859		6,071,202
21.20%, 9/19/18		51,130		2,663,813

				15,882,300

Brazil - 3.6%
Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/21-1/01/27	BRL	144,542		43,768,343

Dominican Republic - 0.5%
Dominican Republic International Bond
16.00%, 7/10/20 (c)	DOP	229,800		5,622,689

South Africa - 0.1%
Republic of South Africa Government Bond
Series 2048
8.75%, 2/28/48	ZAR	10,809		788,044
Series R204


	Principal Amount (000)		U.S. $ Value
8.00%, 12/21/18	ZAR	10,750	$	875,657

				1,663,701

Sri Lanka - 0.5%
Sri Lanka Government Bonds
10.25%, 3/15/25	LKR	113,000		740,387
Series A
11.50%, 12/15/21-5/15/23		603,000		4,150,802
11.75%, 6/15/27		105,000		746,170

				5,637,359

Turkey - 1.8%
Turkey Government Bond
10.60%, 2/11/26		4,718		1,181,150
11.00%, 2/24/27	TRY	47,585		12,152,052
11.10%, 5/15/19		31,033		7,971,661

				21,304,863

Total Emerging Markets - Treasuries (cost $98,065,222)				93,879,255

EMERGING MARKETS - SOVEREIGNS – 6.9%
Angola - 0.2%
Angolan Government International Bond
9.50%, 11/12/25 (d)	U.S.$	1,188		1,369,170
Republic of Angola Via Northern Lights III BV
7.00%, 8/17/19 (d)		598		614,509

				1,983,679

Argentina - 1.2%
Argentine Republic Government International Bond
6.875%, 4/22/21-1/26/27		8,638		9,426,987
7.50%, 4/22/26		150		169,575
7.82%, 12/31/33	EUR	3,829		5,363,475

				14,960,037

Bahrain - 0.1%
Bahrain Government International Bond
6.75%, 9/20/29 (d)	U.S.$	528		520,080
7.00%, 10/12/28 (d)		1,253		1,271,795

				1,791,875

Belarus - 0.0%
Republic of Belarus International Bond
6.875%, 2/28/23 (d)		245		263,681

Cameroon - 0.1%
Republic of Cameroon International Bond
9.50%, 11/19/25 (d)		1,222		1,466,400

Dominican Republic - 0.8%
Dominican Republic International Bond


	Principal Amount (000)		U.S. $ Value
5.95%, 1/25/27 (d)	U.S.$	1,553	$	1,681,751
7.45%, 4/30/44 (d)		1,283		1,536,393
8.625%, 4/20/27 (d)		5,719		6,905,893

				10,124,037

Ecuador - 0.3%
Ecuador Government International Bond
7.95%, 6/20/24 (d)		667		708,688
9.65%, 12/13/26 (d)		385		442,147
10.50%, 3/24/20 (d)		1,069		1,185,852
10.75%, 3/28/22 (d)		1,032		1,209,138

				3,545,825

Egypt - 0.3%
Egypt Government International Bond
6.125%, 1/31/22 (d)		3,009		3,144,405

El Salvador - 0.1%
El Salvador Government International Bond
5.875%, 1/30/25 (d)		592		587,560
7.625%, 9/21/34 (d)		762		831,315
7.75%, 1/24/23 (d)		339		371,629