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  
       

 

 

 
              1,790,504  
       

 

 

 

Ethiopia - 0.1%

       

Ethiopia International Bond

       

6.625%, 12/11/24 (d)

     582          610,373  
       

 

 

 

Gabon - 0.3%

       

Gabon Government International Bond

       

6.375%, 12/12/24 (d)

     2,052          2,083,200  

6.95%, 6/16/25 (d)

     1,050          1,088,063  
       

 

 

 
          3,171,263  
       

 

 

 

Honduras - 0.1%

       

Honduras Government International Bond

       

6.25%, 1/19/27 (d)

     1,018          1,086,934  
       

 

 

 

Iraq – 0.1%

       

Iraq International Bond

       

5.80%, 1/15/28 (d)

     264          254,430  

6.752%, 3/09/23 (d)

     402          411,548  
       

 

 

 
          665,978  
       

 

 

 

Ivory Coast - 0.6%

       

Ivory Coast Government International Bond

       

5.125%, 6/15/25 (d)

   EUR 168          219,717  

5.75%, 12/31/32 (d)

   U.S.$ 2,441          2,435,346  

6.125%, 6/15/33 (d)

     1,322          1,343,482  


      Principal
Amount
(000)
       U.S. $ Value  

6.375%, 3/03/28(d)

   U.S.$ 2,678        $ 2,831,985  
       

 

 

 
              6,830,530  
       

 

 

 

Jamaica - 0.2%

       

Jamaica Government International Bond

       

7.625%, 7/09/25

     506          598,978  

7.875%, 7/28/45

     1,240          1,511,250  
       

 

 

 
          2,110,228  
       

 

 

 

Jordan - 0.1%

       

Jordan Government International Bond

       

5.75%, 1/31/27 (d)

     634          629,245  
       

 

 

 

Kenya - 0.1%

       

Kenya Government International Bond

       

5.875%, 6/24/19 (d)

     702          723,762  
       

 

 

 

Mongolia - 0.2%

       

Mongolia Government International Bond

       

5.125%, 12/05/22 (d)

     2,426          2,401,740  
       

 

 

 

Nigeria - 0.1%

       

Nigeria Government International Bond

       

6.50%, 11/28/27 (d)

     388          404,490  

7.875%, 2/16/32 (d)

     489          553,181  
       

 

 

 
          957,671  
       

 

 

 

Pakistan - 0.1%

       

Pakistan Government International Bond

       

7.25%, 4/15/19 (d)

             1,498          1,550,610  
       

 

 

 

Senegal - 0.1%

       

Senegal Government International Bond

       

6.25%, 5/23/33 (d)

     593          624,874  

8.75%, 5/13/21 (d)

     845          973,862  
       

 

 

 
          1,598,736  
       

 

 

 

Serbia - 0.0%

       

Serbia International Bond

       

6.75%, 11/01/24 (d)

     177          180,416  
       

 

 

 

Sri Lanka - 0.1%

       

Sri Lanka Government International Bond

       

6.00%, 1/14/19 (d)

     799          816,978  

6.125%, 6/03/25 (d)

     350          369,250  

6.20%, 5/11/27 (d)

     685          723,531  
       

 

 

 
          1,909,759  
       

 

 

 

Turkey - 0.8%

       

Turkey Government International Bond

       

4.875%, 10/09/26-4/16/43

     4,986          4,637,322  

5.625%, 3/30/21

     2,600          2,736,500  


      Principal
Amount
(000)
       U.S. $ Value  

6.00%, 3/25/27

   U.S.$ 2,182        $ 2,323,830  
       

 

 

 
          9,697,652  
       

 

 

 

Ukraine - 0.5%

       

Ukraine Government International Bond

       

7.75%, 9/01/22-9/01/24(d)

     5,627          5,966,087  
       

 

 

 

Venezuela - 0.1%

       

Venezuela Government International Bond

       

9.25%, 9/15/27-5/07/28(d)

     8,278          1,796,340  
       

 

 

 

Zambia - 0.2%

       

Zambia Government International Bond

       

8.50%, 4/14/24 (d)

             1,846          2,039,830  
       

 

 

 

Total Emerging Markets - Sovereigns
(cost $80,144,823)

              82,997,597  
       

 

 

 

CORPORATES - INVESTMENT GRADE - 6.4%

       

Industrial - 3.2%

       

Basic - 0.9%

       

Anglo American Capital PLC

       

4.125%, 4/15/21(d)

     200          206,106  

4.75%, 4/10/27(d)

     637          666,660  

Braskem Finance Ltd.

       

6.45%, 2/03/24

     1,972          2,198,777  

FMG Resources (August 2006) Pty Ltd.

       

9.75%, 3/01/22 (d)

     510          566,267  

Fresnillo PLC

       

5.50%, 11/13/23 (d)

     306          334,687  

Georgia-Pacific LLC

       

8.875%, 5/15/31

     1          1,541  

Glencore Finance Canada Ltd.

       

6.00%, 11/15/41 (d)

     272          319,404  

Glencore Funding LLC

       

4.625%, 4/29/24 (d)

     341          360,725  

Minsur SA

       

6.25%, 2/07/24 (d)

     891          985,208  

Southern Copper Corp.

       

7.50%, 7/27/35

     3,300          4,471,500  

WestRock MWV LLC

       

7.95%, 2/15/31

     1,000          1,396,433  
       

 

 

 
          11,507,308  
       

 

 

 

Capital Goods - 0.2%

       

General Electric Co.

       

Series D

       

5.00%, 1/21/21 (n)

     1,681          1,735,690  

Lafarge SA

       

7.125%, 7/15/36

     800          1,052,428  

Masco Corp.

       

5.95%, 3/15/22

     308          341,427  
       

 

 

 
          3,129,545  
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Communications - Media - 0.3%

       

Charter Communications Operating LLC/Charter Communications Operating Capital

       

4.464%, 7/23/22

   U.S.$ 1,039        $ 1,085,586  

4.908%, 7/23/25

     1,195          1,269,323  

Cox Communications, Inc.

       

4.50%, 6/30/43 (d)

     135          127,465  

4.70%, 12/15/42 (d)

     259          251,567  

Viacom, Inc.

       

4.375%, 3/15/43

     1,315          1,137,051  
       

 

 

 
              3,870,992  
       

 

 

 

Communications - Telecommunications - 0.3%

       

AT&T, Inc.

       

5.15%, 2/14/50

     906          913,763  

5.45%, 3/01/47

     2,128          2,280,046  
       

 

 

 
          3,193,809  
       

 

 

 

Consumer Cyclical - Automotive - 0.1%

       

General Motors Co.

       

5.20%, 4/01/45

     337          355,874  

5.40%, 4/01/48

     431          469,843  

6.25%, 10/02/43

     116          137,606  

6.75%, 4/01/46

     456          575,007  
       

 

 

 
          1,538,330  
       

 

 

 

Consumer Cyclical - Other - 0.1%

       

Owens Corning

       

7.00%, 12/01/36

     777          1,024,008  
       

 

 

 

Consumer Non-Cyclical - 0.1%

       

BRF GmbH

       

4.35%, 9/29/26 (d)

     202          195,720  

BRF SA

       

4.75%, 5/22/24 (d)

     224          226,800  

Teva Pharmaceutical Finance Netherlands II BV

       

1.25%, 3/31/23 (d)

   EUR 247          269,711  

Teva Pharmaceutical Finance Netherlands III BV

       

2.80%, 7/21/23

   U.S.$ 375          324,844  
       

 

 

 
          1,017,075  
       

 

 

 

Energy - 0.5%

       

Cenovus Energy, Inc.

       

4.45%, 9/15/42

     822          760,171  

6.75%, 11/15/39

     67          80,319  

Ecopetrol SA

       

5.375%, 6/26/26

     199          214,860  

5.875%, 5/28/45

             1,271          1,302,775  

Energy Transfer LP/Regency Energy Finance Corp.

       

4.50%, 11/01/23

     546          564,139  

Kinder Morgan, Inc./DE

       

Series G

       

7.75%, 1/15/32

     328          423,095  


      Principal
Amount
(000)
       U.S. $ Value  

7.80%, 8/01/31

   U.S.$ 1,066        $ 1,372,531  

Marathon Petroleum Corp.

       

4.75%, 9/15/44

     69          71,689  

Williams Partners LP

       

5.10%, 9/15/45

     876          958,647  
       

 

 

 
              5,748,226  
       

 

 

 

Services - 0.1%

       

Verisk Analytics, Inc.

       

5.50%, 6/15/45

     636          737,484  
       

 

 

 

Technology - 0.5%

       

Dell International LLC/EMC Corp.

       

6.02%, 6/15/26(d)

             1,318          1,452,530  

8.35%, 7/15/46(d)

     524          675,770  

Hewlett Packard Enterprise Co.

       

6.35%, 10/15/45

     215          229,263  

Seagate HDD Cayman

       

4.75%, 1/01/25

     1,948          1,912,307  

4.875%, 6/01/27

     1,082          1,034,712  

Western Digital Corp.

       

7.375%, 4/01/23 (d)

     792          854,772  
       

 

 

 
          6,159,354  
       

 

 

 

Transportation - Airlines - 0.1%

       

America West Airlines Pass-Through Trust

       

Series 1999-1G, Class G

       

7.93%, 1/02/19

     497          507,147  

Northwest Airlines Pass-Through Trust

       

Series 2000-1, Class G

       

7.15%, 10/01/19 (g)

     217          227,103  
       

 

 

 
          734,250  
       

 

 

 
          38,660,381  
       

 

 

 

Financial Institutions - 3.1%

       

Banking - 1.3%

       

ABN AMRO Bank NV

       

Series E

       

6.25%, 4/27/22 (d)

     292          326,469  

BNP Paribas SA

       

7.625%, 3/30/21 (d)(n)

     833          917,380  

BPCE SA

       

5.70%, 10/22/23 (d)

     208          230,530  

Citigroup, Inc.

       

4.40%, 6/10/25

     105          110,917  

Danske Bank A/S

       

Series E

       

5.875%, 4/06/22 (d)(n)

   EUR 1,096          1,494,304  

DNB Bank ASA

       

6.50%, 3/26/22 (d)(n)

   U.S.$ 1,555          1,671,931  

HSBC Holdings PLC

       

4.75%, 7/04/29 (d)(n)

   EUR 874          1,111,695  

6.00%, 9/29/23 (d)(n)

     1,872          2,624,799  


      Principal
Amount
(000)
       U.S. $ Value  

ICICI Bank Ltd./Dubai

       

4.80%, 5/22/19 (d)

   U.S.$ 1,337        $ 1,372,130  

Intesa Sanpaolo SpA

       

2.75%, 3/20/20 (d)

   EUR 482          612,270  

4.00%, 5/20/19 (d)

     470          595,588  

JPMorgan Chase & Co.

       

Series V

       

5.00%, 7/01/19 (n)

   U.S.$ 210          213,936  

Nationwide Building Society

       

4.00%, 9/14/26 (d)

     1,557          1,573,956  

Regions Bank/Birmingham AL

       

6.45%, 6/26/37

     1,500          1,913,400  

Santander Holdings USA, Inc.

       

4.40%, 7/13/27 (d)

             1,090          1,115,471  
       

 

 

 
              15,884,776  
       

 

 

 

Brokerage - 0.1%

       

GFI Group, Inc.

       

8.375%, 7/19/18

     991          1,015,383  
       

 

 

 

Insurance - 1.2%

       

Allstate Corp. (The)

       

6.50%, 5/15/57

     1,657          2,035,194  

American International Group, Inc.

       

6.82%, 11/15/37

     1,425          1,903,896  

Aon Corp.

       

8.205%, 1/01/27

     690          903,087  

Chubb Corp. (The)

       

3.609% (LIBOR 3 Month + 2.25%), 4/15/37 (l)

     2,529          2,498,166  

Lincoln National Corp.

       

8.75%, 7/01/19

     186          202,729  

MetLife, Inc.

       

10.75%, 8/01/39

     2,350          3,925,038  

Prudential Financial, Inc.

       

5.625%, 6/15/43

     832          903,158  

5.875%, 9/15/42

     593          643,758  

Transatlantic Holdings, Inc.

       

8.00%, 11/30/39

     1,261          1,747,189  
       

 

 

 
          14,762,215  
       

 

 

 

REITS - 0.5%

       

EPR Properties

       

5.75%, 8/15/22

     915          998,001  

7.75%, 7/15/20

     1,722          1,907,745  

Senior Housing Properties Trust

       

6.75%, 12/15/21

     1,350          1,494,361  

VEREIT Operating Partnership LP

       

4.875%, 6/01/26

     302          319,312  

Weyerhaeuser Co.

       

7.375%, 3/15/32

     737          1,015,001  
       

 

 

 
          5,734,420  
       

 

 

 
          37,396,794  
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Utility - 0.1%

       

Electric - 0.1%

       

Grupo Energia Bogota SA ESP

       

6.125%, 11/10/21 (d)

   U.S.$ 1,235        $ 1,261,564  
       

 

 

 

Total Corporates - Investment Grade
(cost $65,661,554)

              77,318,739  
       

 

 

 

EMERGING MARKETS - CORPORATE BONDS - 4.0%

       

Industrial - 3.6%

       

Basic - 0.8%

       

Consolidated Energy Finance SA

       

6.75%, 10/15/19 (d)

     828          838,946  

6.875%, 6/15/25 (d)

     722          766,928  

Elementia SAB de CV

       

5.50%, 1/15/25 (d)

     469          484,829  

First Quantum Minerals Ltd.

       

7.00%, 2/15/21(d)

     199          206,114  

7.25%, 5/15/22-4/01/23 (d)

     2,444          2,585,074  

7.50%, 4/01/25 (d)

     553          592,475  

Stillwater Mining Co.

       

6.125%, 6/27/22 (d)

     1,380          1,401,085  

7.125%, 6/27/25 (d)

     964          998,740  

Vedanta Resources PLC

       

6.375%, 7/30/22 (d)

     2,182          2,274,735  
       

 

 

 
          10,148,926  
       

 

 

 

Capital Goods - 0.2%

       

CIMPOR Financial Operations BV

       

5.75%, 7/17/24 (d)

     1,491          1,444,406  

Odebrecht Finance Ltd.

       

4.375%, 4/25/25 (d)

     349          102,083  

5.25%, 6/27/29 (d)

     1,070          300,349  

7.125%, 6/26/42 (d)

     2,665          806,163  

8.25%, 4/25/18 (d)

   BRL 1,332          321,244  
       

 

 

 
          2,974,245  
       

 

 

 

Communications - Telecommunications - 0.4%

       

Comunicaciones Celulares SA Via Comcel Trust

       

6.875%, 2/06/24 (d)

   U.S.$ 986          1,021,743  

Digicel Group Ltd.

       

7.125%, 4/01/22 (d)

     448          414,960  

Digicel Ltd.

       

6.00%, 4/15/21 (d)

             1,356          1,333,965  

6.75%, 3/01/23 (d)

     1,095          1,077,206  

Millicom International Cellular SA

       

5.125%, 1/15/28 (d)

     479          479,267  

MTN Mauritius Investment Ltd.

       

6.50%, 10/13/26 (d)

     780          841,425  
       

 

 

 
          5,168,566  
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Consumer Cyclical - Other - 0.2%

       

Servicios Corporativos Javer SAB de CV

       

9.875%, 4/06/21 (d)

   U.S.$ 491        $ 506,341  

Studio City Co., Ltd.

       

5.875%, 11/30/19 (d)

     737          762,795  

Wynn Macau Ltd.

       

4.875%, 10/01/24 (d)

     286          287,392  

5.50%, 10/01/27 (d)

     547          553,102  
       

 

 

 
              2,109,630  
       

 

 

 

Consumer Cyclical - Retailers - 0.1%

       

K2016470219 (South Africa) Ltd.

       

3.00%, 12/31/22 (a)(b)(c)

     948          30,732  

K2016470260 (South Africa) Ltd.

       

25.00%, 12/31/22 (a)(b)(c)

     237          218,722  

Prime Bloom Holdings Ltd.

       

7.50%, 12/19/19 (d)

     560          562,800  
       

 

 

 
          812,254  
       

 

 

 

Consumer Non-Cyclical - 0.6%

       

Central American Bottling Corp.

       

5.75%, 1/31/27 (d)

     928          972,080  

Cosan Ltd.

       

5.95%, 9/20/24 (d)

     430          441,434  

Marfrig Holdings Europe BV

       

8.00%, 6/08/23 (d)

     1,220          1,268,800  

Minerva Luxembourg SA

       

6.50%, 9/20/26 (d)

     2,198          2,263,390  

Teva Pharmaceutical Finance Netherlands III BV

       

3.15%, 10/01/26 (e)

     1,123          922,264  

Tonon Luxembourg SA

       

7.25%, 1/24/20 (a)(b)(c)(h)(i)(m)

     1,626          130,074  

USJ Acucar e Alcool SA

       

9.875% (9.875% Cash or 12.00% PIK), 11/09/21 (b)(d)

     570          482,572  

Virgolino de Oliveira Finance SA

       

10.50%, 1/28/18 (c)(h)(i)

             4,090          245,400  

10.875%, 1/13/20 (c)(h)(i)

     480          135,000  

11.75%, 2/09/22 (c)(h)(i)

     1,620          107,325  
       

 

 

 
          6,968,339  
       

 

 

 

Energy - 1.0%

       

Azure Power Energy Ltd.

       

5.50%, 11/03/22 (d)

     788          802,775  

CHC Group LLC/CHC Finance Ltd.

       

Series AI

       

Zero Coupon, 10/01/20 (j)

     2,948          3,891,639  

Petrobras Global Finance BV

       

6.125%, 1/17/22

     97          102,941  

6.25%, 3/17/24

     4,558          4,825,782  

6.85%, 6/05/15

     307          294,720  


      Principal
Amount
(000)
       U.S. $ Value  

YPF SA

       

6.95%, 7/21/27 (d)

   U.S.$ 902        $ 958,375  

16.50%, 5/09/22 (d)

   ARS 17,395          877,726  
       

 

 

 
              11,753,958  
       

 

 

 

Other Industrial - 0.0%

       

Noble Group Ltd.

       

6.75%, 1/29/20 (d)

   U.S.$ 1,219          460,173  
       

 

 

 

Technology - 0.1%

       

IHS Netherlands Holdco BV

       

9.50%, 10/27/21 (d)

     600          644,400  
       

 

 

 

Transportation - Airlines - 0.0%

       

Guanay Finance Ltd.

       

6.00%, 12/15/20 (d)

     429          440,094  
       

 

 

 

Transportation - Services - 0.2%

       

Rumo Luxembourg SARL

       

7.375%, 2/09/24 (d)

     1,678          1,805,947  
       

 

 

 
          43,286,532  
       

 

 

 

Financial Institutions - 0.4%

       

Banking - 0.3%

       

Akbank Turk AS

       

7.20%, 3/16/27 (d)

     695          729,750  

Banco do Brasil SA/Cayman

       

9.00%, 6/18/24 (d)

             1,763          1,893,018  

Itau Unibanco Holding SA/Cayman Island

       

6.125%, 12/12/22 (d)(n)

     557          556,825  

Turkiye Vakiflar Bankasi TAO

       

5.50%, 10/27/21 (d)

     807          807,000  
       

 

 

 
          3,986,593  
       

 

 

 

Finance - 0.1%

       

Unifin Financiera SAB de CV SOFOM ENR

       

7.00%, 1/15/25 (d)

     575          588,656  
       

 

 

 
          4,575,249  
       

 

 

 

Utility - 0.0%

       

Electric - 0.0%

       

Pampa Energia SA

       

7.50%, 1/24/27 (d)

     503          550,202  
       

 

 

 

Total Emerging Markets - Corporate Bonds
(cost $52,266,573)

          48,411,983  
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

BANK LOANS - 2.7%

       

Industrial - 2.7%

       

Basic - 0.1%

       

Foresight Energy LLC

       

7.443% (LIBOR 3 Month + 5.75%), 3/28/22 (r)

   U.S.$ 536        $ 501,783  

Unifrax I LLC

       

5.193% (LIBOR 3 Month + 3.50%), 4/04/24 (a)(r)

     460          464,878  
       

 

 

 
          966,661  
       

 

 

 

Capital Goods - 0.3%

       

Accudyne Industries Borrower

       

S.C.A./Accudyne Industries, LLC (fka

       

Silver II US Holdings, LLC)

       

5.319% (LIBOR 1 Month + 3.75%), 8/18/24 (r)

     755          760,132  

Avolon TLB Borrower 1 (US) LLC

       

3.751% (LIBOR 1 Month + 2.25%), 3/21/22 (r)

     1,029              1,020,939  

Gardner Denver, Inc.

       

4.443% (LIBOR 3 Month + 2.75%), 7/30/24 (r)

     981          983,449  

GFL Environmental Inc.

       

4.443% (LIBOR 3 Month + 2.75%), 9/29/23 (r)

     325          326,408  

HD Supply Waterworks, LTD.

       

4.455% (LIBOR 3 Month + 3.00%), 8/01/24 (a)(r)

     201          202,749  

Navistar, Inc.

       

4.90% (LIBOR 3 Month + 3.50%), 11/06/24 (r)

     355          355,780  

Transdigm Inc.

       

4.319% (LIBOR 1 Month + 2.75%), 6/09/23 (r)

     237          236,818  

Transdigm Inc.

       

4.443% (LIBOR 1 Month + 2.75%), 6/09/23 (r)

     123          123,545  

Welbilt, Inc. (fka Manitowoc Foodservice, Inc.)

       

4.319% (LIBOR 1 Month + 2.75%), 3/03/23 (r)

     115          116,065  
       

 

 

 
          4,125,885  
       

 

 

 

Communications - Telecommunications - 0.1%

 

    

Intelsat Jackson Holdings S.A.

       

1/15/24 (s)

     184          185,871  

West Corporation

       

5.35% (LIBOR 1 Month + 4.00%), 10/10/24

             1,133          1,135,105  
       

 

 

 
          1,320,976  
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

Consumer Cyclical - Entertainment - 0.1%

       

Seaworld Parks & Entertainment, Inc. (fka

       

SW Acquisitions Co., Inc.)

       

4.693% (LIBOR 3 Month + 3.00%), 4/01/24 (r)

   U.S.$ 981        $ 967,797  
       

 

 

 

Consumer Cyclical - Other - 0.3%

       

Caesars Resort Collection, LLC

       

4.336% (LIBOR 1 Month + 2.75%), 12/23/24

     1,430          1,435,711  

La Quinta Intermediate Holdings L.L.C.

       

4.109% (LIBOR 3 Month + 2.75%), 4/14/21 (r)

     1,684          1,688,498  

Scientific Games International, Inc.

       

4.673% (LIBOR 2 Month + 3.25%), 8/14/24 (r)

     695          700,557  

4.819% (LIBOR 2 Month + 3.25%), 8/14/24 (r)

     189          190,475  
       

 

 

 
              4,015,241  
       

 

 

 

Consumer Cyclical - Retailers - 0.4%

       

Harbor Freight Tools USA, Inc.

       

4.819% (LIBOR 1 Month + 3.25%), 8/18/23 (r)

     1,096          1,103,019  

J.C. Penney Corporation, Inc.

       

5.729% (LIBOR 3 Month + 4.25%), 6/23/23 (r)

     1,093          1,018,989  

Michaels Stores, Inc.

       

4.210% (LIBOR 1 Month + 2.75%), 1/30/23 (r)

     130          130,340  

4.251% (LIBOR 1 Month + 2.75%), 1/30/23 (r)

     23          22,473  

4.319% (LIBOR 1 Month + 2.75%), 1/30/23 (r)

     350          350,250  

Neiman Marcus Group Inc., The

       

4.642% (LIBOR 1 Month + 3.25%), 10/25/20 (r)

     242          196,699  

Serta Simmons Bedding, LLC

       

9.407% (LIBOR 1 Month + 8.00%), 11/08/24 (r)

             2,195          1,865,630  
       

 

 

 
          4,687,400  
       

 

 

 

Consumer Non-Cyclical - 0.7%

       

Acadia Healthcare Company, Inc.

       

4.141% (LIBOR 1 Month + 2.75%), 2/16/23 (r)

     475          477,298  

4.319% (LIBOR 1 Month + 2.75%), 2/11/22 (r)

     91          91,392  

Air Medical Group Holdings, Inc.

       

9/26/24 (s)

     935          937,241  


      Principal
Amount
(000)
       U.S. $ Value  

5.674% (LIBOR 3 Month + 4.00%), 4/28/22 (r)

   U.S.$ 1,225        $ 1,224,324  

Alphabet Holding Company, Inc. (fka

       

Nature’s Bounty)

       

9.319% (LIBOR 1 Month + 7.75%), 9/26/25 (a)(r)

     1,484          1,380,533  

Arbor Pharmaceuticals, LLC

       

6.693% (LIBOR 3 Month + 5.00%), 7/05/23 (a)(r)

     1,221          1,229,780  

Avantor, Inc.

       

5.511% (LIBOR 1 Month + 4.00%), 11/21/24 (r)

     872          875,430  

Mallinckrodt International Finance S.A.

       

4.443% (LIBOR 3 Month + 2.75%), 9/24/24 (r)

             1,149          1,146,171  

Vizient, Inc.

       

5.069% (LIBOR 1 Month + 3.50%), 2/13/23 (r)

     437          438,510  
       

 

 

 
              7,800,679  
       

 

 

 

Energy - 0.3%

       

California Resources Corporation

       

11.876% (LIBOR 1 Month + 10.38%), 12/31/21 (r)

     2,088          2,288,748  

Chesapeake Energy Corporation

       

8.954% (LIBOR 3 Month + 7.50%), 8/23/21 (r)

     621          659,984  
       

 

 

 
          2,948,732  
       

 

 

 

Other Industrial - 0.1%

       

Travelport Finance (Luxembourg) SARL

       

4.166% (LIBOR 3 Month + 2.75%), 9/02/21 (r)

     1,389          1,387,657  
       

 

 

 

Services - 0.1%

       

Sedgwick Claims Management Services, Inc.

       

4.319% (LIBOR 1 Month + 2.75%), 3/01/21 (r)

     1,034          1,032,553  
       

 

 

 

Technology - 0.2%

       

Conduent Incorporated

       

4.569% (LIBOR 1 Month + 3.00%), 12/07/23 (r)

     227          228,127  

Solera, LLC (Solera Finance, Inc.)

       

4.818% (LIBOR 1 Month + 3.25%), 3/03/23 (r)

     2,595          2,610,762  
       

 

 

 
          2,838,889  
       

 

 

 

Total Bank Loans
(cost $31,972,311)

          32,092,470  
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.3%

 

    

Non-Agency Fixed Rate CMBS - 2.1%

       

225 Liberty Street Trust

       

Series 2016-225L, Class E

       

4.649%, 2/10/36 (a)(d)

   U.S.$ 974        $ 970,208  

Banc of America Commercial Mortgage Trust

       

Series 2007-5, Class AM

       

5.772%, 2/10/51 (a)

     222          221,688  

Citigroup Commercial Mortgage Trust

       

Series 2013-GC11, Class XA

       

1.725%, 4/10/46 (t)

     2,006          90,451  

Series 2013-GC17, Class D

       

5.103%, 11/10/46 (a)(d)

     902          859,007  

Series 2014-GC23, Class D

       

4.516%, 7/10/47 (a)(d)

     856          764,345  

Commercial Mortgage Trust

       

Series 2012-CR1, Class XA

       

1.878%, 5/15/45 (t)

     1,831          122,280  

Series 2012-CR3, Class XA

       

1.885%, 10/15/45 (t)

     8,053          595,847  

Series 2012-CR5, Class XA

       

1.651%, 12/10/45 (t)

     1,953          120,707  

Series 2012-LC4, Class XA

       

2.214%, 12/10/44 (d)(t)

     5,291          351,102  

Series 2013-LC6, Class D

       

4.308%, 1/10/46 (a)(d)

     3,916          3,661,072  

Series 2014-CR15, Class XA

       

1.212%, 2/10/47 (t)

     2,397          90,847  

Series 2014-CR20, Class XA

       

1.159%, 11/10/47 (t)

             11,361          618,831  

Series 2014-LC15, Class D

       

4.944%, 4/10/47 (a)(d)

     1,500              1,298,091  

Csail Commercial Mortgage Trust

       

Series 2015-C2, Class D

       

4.21%, 6/15/57 (a)

     2,721          2,114,444  

GS Mortgage Securities Corp. II

       

Series 2013-GC10, Class XA

       

1.557%, 2/10/46 (t)

     925          56,352  

GS Mortgage Securities Trust

       

Series 2012-GC6, Class D

       

5.652%, 1/10/45 (a)(d)

     1,765          1,702,439  

Series 2012-GCJ9, Class D

       

4.748%, 11/10/45 (a)(d)

     700          678,744  

JPMBB Commercial Mortgage Securities Trust

       

Series 2015-C32, Class C

       

4.668%, 11/15/48 (a)

     825          822,215  

Morgan Stanley Bank of America Merrill Lynch Trust

       

Series 2012-C6, Class XA

       

1.635%, 11/15/45 (d)(t)

     7,499          462,806  


      Principal
Amount
(000)
       U.S. $ Value  

UBS-Barclays Commercial Mortgage Trust

       

Series 2012-C4, Class XA

       

1.656%, 12/10/45 (d)(t)

   U.S.$ 858        $ 53,826  

WF-RBS Commercial Mortgage Trust

       

Series 2012-C6, Class D

       

5.58%, 4/15/45 (a)(d)

     2,450          2,414,231  

Series 2012-C7, Class XA

       

1.44%, 6/15/45 (d)(t)

     1,424          70,030  

Series 2012-C8, Class E

       

4.894%, 8/15/45 (a)(d)

     3,766          3,637,000  

Series 2012-C10, Class XA

       

1.581%, 12/15/45 (d)(t)

     3,373          207,164  

Series 2014-C25, Class D

       

3.803%, 11/15/47 (a)(d)

             3,500          2,647,192  
       

 

 

 
              24,630,919  
       

 

 

 

Non-Agency Floating Rate CMBS - 0.1%

       

BBCMS Mortgage Trust

       

Series 2017-GLKS, Class F

       

5.177% (LIBOR 1 Month + 3.70%), 11/15/34 (a)(d)(l)

     700          701,109  

CLNS Trust

       

Series 2017-IKPR, Class F

       

5.932% (LIBOR 1 Month + 4.50%), 6/11/32 (a)(d)(l)

     956          959,288  
       

 

 

 
          1,660,397  
       

 

 

 

Non-Agency Fixed Rate - 0.1%

       

WF-RBS Commercial Mortgage Trust

       

Series 2011-C4, Class D

       

5.247%, 6/15/44 (a)(d)(u)

     1,022          1,002,008  
       

 

 

 

Total Commercial Mortgage-Backed Securities
(cost $28,045,806)

 

       27,293,324  
       

 

 

 
      Shares           

COMMON STOCKS - 1.6%

       

Energy - 0.6%

       

Oil, Gas & Consumable Fuels - 0.6%

       

Berry Pete Corp. (a)(g)(i)

     94,303          854,668  

CHC Group LLC (i)(j)

     51,655          413,240  

Chesapeake Energy Corp. (i)

     24,149          95,630  

Linn Energy, Inc. (i)

     1,588          63,917  

Oasis Petroleum, Inc. (i)

     14,457          121,583  

Paragon Offshore Ltd. (a)(g)(i)

     11,813          215,587  

Paragon Offshore Ltd. - Trust A (a)(g)(i)

     11,814          11,814  

Paragon Offshore Ltd. - Trust B (a)(g)(i)

     17,721          404,624  

Peabody Energy Corp. (i)

     62,041          2,442,554  

SandRidge Energy, Inc. (i)

     23,922          504,037  

Tervita Corp. (a)(f)(g)(i)

     29,729          218,770  

Vantage Drilling International (a)(g)(i)

     6,103          1,179,911  


      Shares        U.S. $ Value  

Whiting Petroleum Corp. (i)

     20,408        $ 540,404  
       

 

 

 
          7,066,739  
       

 

 

 

Financials - 0.4%

       

Diversified Financial Services - 0.1%

       

iPayment, Inc. (a)(f)(g)(i)

     2,339,631          1,427,175  
       

 

 

 

Insurance - 0.3%

       

Mt. Logan Re Ltd. (Preference Shares) (a)(i)(j)

     2,953          3,093,245  
       

 

 

 
          4,520,420  
       

 

 

 

Consumer Discretionary - 0.3%

       

Auto Components - 0.0%

       

Exide Technologies (a)(f)(i)(j)

     15,253          60,057  

Exide Technologies (a)(f)(i)(j)

     59,185          233,035  
       

 

 

 
          293,092  
       

 

 

 

Automobiles - 0.0%

       

Liberty Tire Recycling LLC (a)(f)(g)(i)

     81,827          0  
       

 

 

 

Diversified Consumer Services - 0.2%

       

Laureate Education, Inc. - Class A (i)

     121,664              1,649,764  
       

 

 

 

Hotels, Restaurants & Leisure - 0.0%

       

Caesars Entertainment Corp. (i)

     25,004          316,300  
       

 

 

 

Internet & Direct Marketing Retail - 0.1%

       

Travelport Worldwide Ltd.

     50,960          666,047  
       

 

 

 

Multiline Retail - 0.0%

       

K201640219 (South Africa) Ltd. A Shares (a)(f)(g)(i)

             12,695,187          13  

K201640219 (South Africa) Ltd. B Shares (a)(f)(g)(i)

     2,009,762          2  
       

 

 

 
          15  
       

 

 

 
          2,925,218  
       

 

 

 

Information Technology - 0.2%

       

Internet Software & Services - 0.2%

       

Avaya Holdings Corp. (i)

     142,484          2,500,594  
       

 

 

 

IT Services - 0.0%

       

Goodman Networks, Inc. (a)(f)(g)(i)

     41,792          0  
       

 

 

 

Semiconductors & Semiconductor Equipment - 0.0%

 

    

SMART Global Holdings, Inc. (f)(g)(i)

     6,541          220,432  
       

 

 

 
          2,721,026  
       

 

 

 

Industrials - 0.1%

       

Building Products - 0.0%

       

New Cotai LLC/New Cotai Capital Corp. (a)(f)(g)(i)

     3          38,979  
       

 

 

 

Machinery - 0.1%

       

Modular Space Corp. (a)(c)(i)

     89,110          1,425,760  
       

 

 

 
          1,464,739  
       

 

 

 


      Shares        U.S. $ Value  

Materials - 0.0%

       

Metals & Mining - 0.0%

       

Artsonig Pty Ltd. (a)(i)

     838,296        $ 80,478  

Neenah Enterprises, Inc. (a)(f)(g)(i)

     58,200          119,892  
       

 

 

 
          200,370  
       

 

 

 

Total Common Stocks
(cost $23,206,295)

              18,898,512  
       

 

 

 
      Principal
Amount
(000)
          

ASSET-BACKED SECURITIES - 1.5%

       

Other ABS - Fixed Rate - 0.7%

       

Atlas Ltd.

       

Series 2014-1

       

6.875%, 12/15/39 (a)(g)

   U.S.$ 952          952,009  

SoFi Consumer Loan Program LLC

       

Series 2016-1, Class R

       

Zero Coupon, 8/25/25 (a)(c)

     3,718          1,119,917  

Series 2017-2, Class R

       

Zero Coupon, 2/25/26 (a)(c)

     12          893,180  

Series 2017-3, Class R

       

Zero Coupon, 5/25/26 (a)(c)

     10          1,218,961  

Series 2017-4, Class R1

       

Zero Coupon, 5/26/26 (a)(c)

     10          1,125,226  

Series 2017-5, Class R1

       

Zero Coupon, 9/25/26 (a)(c)

     12          1,358,803  

Series 2017-6, Class R1

       

Zero Coupon, 11/25/26 (a)(d)

     13          1,516,869  

Taco Bell Funding LLC

       

Series 2016-1A, Class A23

       

4.97%, 5/25/46 (a)(d)

     791          830,778  
       

 

 

 
          9,015,743  
       

 

 

 

Home Equity Loans - Fixed Rate - 0.6%

       

CSAB Mortgage-Backed Trust

       

Series 2006-2, Class A6A

       

5.72%, 9/25/36 (a)

     783          471,005  

CWABS Asset-Backed Certificates Trust

       

Series 2005-7, Class AF5W

       

5.054%, 10/25/35 (a)(l)

     895          888,910  

GSAA Home Equity Trust

       

Series 2005-12, Class AF5

       

5.658%, 9/25/35 (a)

     1,295          1,084,174  

Series 2006-6, Class AF5

       

6.241%, 3/25/36 (a)(l)

     613          315,405  

Series 2006-10, Class AF3

       

5.985%, 6/25/36 (a)

             1,206          616,521  

Lehman XS Trust

       

Series 2006-17, Class WF32

       

5.55%, 11/25/36 (a)

     205          203,626  

Morgan Stanley Mortgage Loan Trust

       

Series 2007-8XS, Class A2

       

6.00%, 4/25/37 (a)

     4,060          2,480,342  


      Principal
Amount
(000)
       U.S. $ Value  

Series 2006-15XS, Class A3

       

5.988%, 11/25/36 (a)

   U.S.$ 1,230        $ 572,106  
       

 

 

 
          6,632,089  
       

 

 

 

Home Equity Loans - Floating Rate - 0.1%

       

GSAA Home Equity Trust

       

Series 2006-6, Class AF4

       

6.121%, 3/25/36 (a)(u)

     1,654          851,943  

Lehman XS Trust

       

Series 2007-6, Class 3A5

       

4.898%, 5/25/37 (a)(u)

     231          382,843  
       

 

 

 
          1,234,786  
       

 

 

 

Autos - Fixed Rate - 0.1%

       

Exeter Automobile Receivables Trust

       

Series 2016-1A, Class D

       

8.20%, 2/15/23 (d)

     720          751,149  
       

 

 

 

Total Asset-Backed Securities
(cost $18,545,295)

              17,633,767  
       

 

 

 
      Shares           

PREFERRED STOCKS - 1.1%

       

Industrial - 0.8%

       

Capital Goods - 0.7%

       

Tervita Corp.

       

0.00% (a)(f)(g)(i)

             1,140,842          8,395,218  
       

 

 

 

Energy - 0.1%

       

Berry Petroleum Co. LLC

       

0.00% (a)(g)(i)

     77,975          828,484  
       

 

 

 

Technology - 0.0%

       

Goodman Networks, Inc.

       

0.00% (a)(f)(g)(i)

     49,723          198,892  
       

 

 

 
          9,422,594  
       

 

 

 

Financial Institutions - 0.3%

       

Banking - 0.1%

       

GMAC Capital Trust I

       

7.201%

     16,325          423,634  
       

 

 

 

Diversified Financial Services - 0.1%

       

iPayment, Inc.

       

0.00% (a)(f)(g)(i)

     14,983          1,498,286  
       

 

 

 

Insurance - 0.1%

       

Hartford Financial Services Group, Inc. (The)

       

7.875%

     45,050          1,318,163  
       

 

 

 

REITS - 0.0%

       

Hersha Hospitality Trust

       

Series C

       

6.875% (n)

     15,950          400,949  
       

 

 

 
        $ 3,641,032  
       

 

 

 


      Shares        U.S. $ Value  

Utility – 0.0%

       

Electric – 0.0%

       

SCE Trust III

       

5.75% (n)

     12,025        $ 325,276  
       

 

 

 

Total Preferred Stocks
(cost $10,931,976)

          13,388,902  
       

 

 

 
      Principal
Amount
(000)
          

INFLATION-LINKED SECURITIES – 0.7%

       

Brazil – 0.4%

       

Brazil Notas do Tesouro Nacional

       

Series B

       

6.00%, 5/15/45-8/15/50

   BRL 4,892          4,823,906  
       

 

 

 

Colombia – 0.3%

       

Fideicomiso PA Concesion Ruta al Mar

       

6.75%, 2/15/44 (d)

   COP 1,437,090          474,907  

Fideicomiso PA Costera

       

6.25%, 1/15/34 (d)

     1,230,800          431,479  

Fideicomiso PA Pacifico Tres

       

7.00%, 1/15/35 (a)(c)

     6,642,880          2,376,082  
       

 

 

 
             3,282,468  
       

 

 

 

Total Inflation-Linked Securities
(cost $7,186,953)

          8,106,374  
       

 

 

 

LOCAL GOVERNMENTS - REGIONAL BONDS - 0.6%

       

Argentina - 0.6%

       

Provincia de Buenos Aires/Argentina

       

5.75%, 6/15/19 (d)

   U.S.$ 1,010          1,041,562  

9.125%, 3/16/24 (d)

     2,601          3,043,170  

25.361% (BADLAR + 3.83%), 5/31/22 (1)

   ARS 26,500          1,430,823  

Provincia de Cordoba

       

7.125%, 6/10/21 (d)

   U.S.$ 754          813,378  

7.45%, 9/01/24 (d)

     505          550,450  
       

 

 

 

Total Local Governments - Regional Bonds
(cost $6,315,616)

          6,879,383  
       

 

 

 

GOVERNMENTS - SOVEREIGN BONDS - 0.5%

       

Indonesia - 0.2%

       

Indonesia Treasury Bond

       

9.50%, 5/17/41(d)

   IDR 27,844,000          2,527,355  
       

 

 

 

United Arab Emirates - 0.3%

       

Emirate of Dubai Government International Bonds

       

7.75%, 10/05/20 (d)

   U.S.$ 3,310          3,736,162  
       

 

 

 

Total Governments - Sovereign Bonds
(cost $6,717,439)

          6,263,517  
       

 

 

 


      Principal
Amount
(000)
       U.S. $ Value  

LOCAL GOVERNMENTS - US MUNICIPAL BONDS - 0.5%

       

United States - 0.5%

       

State of California

       

Series 2010

       

7.60%, 11/01/40

   U.S.$ 750        $ 1,197,697  

7.95%, 3/01/36

     1,915          2,138,519  

State of Illinois

       

Series 2010

       

7.35%, 7/01/35

     1,915          2,214,066  
       

 

 

 

Total Local Governments - US Municipal Bonds
(cost $4,599,800)

          5,550,282  
       

 

 

 

QUASI-SOVEREIGNS - 0.3%

       

Quasi-Sovereign Bonds - 0.3%

       

Chile - 0.0%

       

Empresa Nacional del Petroleo

       

3.75%, 8/05/26 (d)

     296          293,780  
       

 

 

 

Indonesia - 0.1%

       

Majapahit Holding BV

       

7.875%, 6/29/37 (d)

     699          941,903  
       

 

 

 

Mexico - 0.2%

       

Petroleos Mexicanos

       

4.625%, 9/21/23

     758          779,793  

5.375%, 3/13/22 (d)

     516          548,250  

5.50%, 1/21/21

     759          806,437  
       

 

 

 
             2,134,480  
       

 

 

 

Total Quasi-Sovereigns
(cost $3,060,076)

          3,370,163  
       

 

 

 

WHOLE LOAN TRUSTS - 0.2%

       

Performing Asset - 0.2%

       

Flexpath Wh I LLC

       

Series B

       

11.00%, 4/01/21 (a)(f)(g)

     305          137,547  

Series B2

       

11.00%, 1/01/22 (a)(f)(g)

     512          284,582  

Series B3

       

11.00%, 9/01/22 (a)(f)(g)

     167          89,519  

Recife Funding

       

Zero Coupon, 11/05/29 (a)(f)(g)

             1,811          1,513,306  

Sheridan Auto Loan Holdings I LLC

       

10.00%, 12/31/20 (a)(f)(g)

     448          224,323  

Sheridan Auto Loan Holdings I LLC

       

10.00%, 9/30/21 (a)(f)(g)

     951          635,129  
       

 

 

 

Total Whole Loan Trusts
(cost $4,113,764)

          2,884,406  
       

 

 

 


      Shares        U.S. $ Value  

INVESTMENT COMPANIES - 0.2%

 

Funds and Investment Trusts - 0.2%

 

Calibrate Real Estate Fund
(cost $1,490,950) (f)(g)(i)(v)

     11,474        $ 2,148,352  
       

 

 

 
      Principal
Amount

(000)
          

COLLATERALIZED LOAN OBLIGATIONS - 0.1%

 

CLO - Floating Rate - 0.1%

 

Carlyle Global Market Strategies CLO Ltd.

       

Series 2016-1A, Class C

       

6.263% (LIBOR 3 Month + 4.90%), 4/20/27 (a)(d)(l)

   U.S.$ 300          302,860  

Dryden 49 Senior Loan Fund

       

Series 2017-49A, Class E

       

7.654% (LIBOR 3 Month + 6.30%), 7/18/30 (a)(d)(l)

     417          426,838  

OZLM VIII Ltd.

       

Series 2014-8A, Class D

       

6.303% (LIBOR 3 Month + 4.95%), 10/17/26 (a)(d)(l)

     585          587,484  
       

 

 

 

Total Collateralized Loan Obligations
(cost $1,219,334)

          1,317,182  
       

 

 

 
      Shares           

WARRANTS - 0.0%

 

Avaya, Inc., expiring 12/15/22 (a)(i)

     53,489          133,722  

Encore Automotive Acceptance, expiring 7/05/31 (a)(f)(g)(i)

     8          0  

FairPoint Communications, Inc., expiring 1/24/18 (a)(f)(g)(i)

     9,725          0  

Flexpath Capital, Inc., expiring 4/15/31 (a)(f)(g)(i)

     10,974          0  

iPayment Holdings, Inc., expiring 12/29/22 (a)(f)(g)(i)

     586,389          8,679  

Midstates Petroleum Co., Inc., expiring 4/21/20 (g)(i)

     39,269          21,598  

SandRidge Energy, Inc., A-CW22, expiring 10/03/22 (i)

     46,951          84,512  

SandRidge Energy, Inc., B-CW22, expiring 10/03/22 (i)

     19,772          29,658  
       

 

 

 

Total Warrants
(cost $507,757)

          278,169  
       

 

 

 
      Notional
Amount
          

OPTIONS PURCHASED - PUTS - 0.0%

 

Options on Forward Contracts – 0.0%

 

MXN/USD

       

Expiration: Aug 2018; Contracts: 192,500,000; Exercise Price: MXN 17.50; Counterparty: Credit Suisse International (i)

   MXN  192,500,000          27,070  


      Notional
Amount
     U.S. $ Value  

SEK/EUR

     

Expiration: Mar 2018; Contracts: 176,242,500; Exercise Price: SEK 9.45; Counterparty: Citibank, NA (i)

   SEK 176,242,500      $ 43,421  

SEK/EUR

     

Expiration: Mar 2018; Contracts: 48,985,000; Exercise Price: SEK 9.70; Counterparty: Morgan Stanley Capital Services LLC (i)

   SEK 48,985,000        33,381  

TRY/EUR

     

Expiration: Jan 2018; Contracts: 22,036,040; Exercise Price: TRY 4.24; Counterparty: Goldman Sachs Bank USA (i)

   TRY 22,036,040        267  

TRY/USD

     

Expiration: Jan 2018; Contracts: 44,712,000; Exercise Price: TRY 3.68; Counterparty: Citibank, NA (i)

   TRY 44,712,000        6,983  
     

 

 

 
        111,122  
     

 

 

 

Options on Equity Indices – 0.0%

     

S&P 500 Index

     

Expiration: Jan 2018; Contracts: 85; Exercise Price: USD 2,440.00; Counterparty: Morgan Stanley Capital Services LLC (i)

   USD 85        14,875  

S&P 500 Index

     

Expiration: Feb 2018; Contracts: 91; Exercise Price: USD 2,205.00; Counterparty: Morgan Stanley Capital Services LLC (i)

   USD 91        11,830  

S&P 500 Index 3M5Y

     

Expiration: Jan 2018; Contracts: 87,410,000; Exercise Price: USD 2,493.00; Counterparty: Morgan Stanley Capital Services LLC (i)

   USD       87,410,000        2,885  
     

 

 

 
           29,590  
     

 

 

 

Total Options Purchased - Puts
(premiums paid $879,698)

        140,712  
     

 

 

 

OPTIONS PURCHASED - CALLS - 0.0%

     

Options Purchased - Calls - 0.0%

     

ZAR/USD

     

Expiration: Feb 2018; Contracts: 45,815,000; Exercise Price: ZAR 15.40; Counterparty: Morgan Stanley Capital Services LLC (i) (premiums paid $23,958)

   ZAR 45,815,000        1,822  
     

 

 

 


      Shares        U.S. $ Value  

SHORT-TERM INVESTMENTS - 2.1%

       

Investment Companies - 1.0%

       

AB Fixed Income Shares, Inc. - Government Money Market Portfolio
- Class AB, 1.12% (w)(x)(y)
(cost $12,646,663)

     12,646,663        $ 12,646,663  
       

 

 

 
      Principal
Amount
(000)
          

Time Deposits - 0.4%

       

BBH, Grand Cayman

       

(1.50)%, 1/02/18

   NOK 76          9,307  

(1.45)%, 1/03/18

   CHF 0 **         51  

0.33%, 1/02/18

   CAD 0 **         1  

0.333%, 1/02/18

   AUD 0 **         2  

0.35%, 1/02/18

   SGD 15          11,220  

BNP Paribas, Paris

       

0.46%, 1/02/18

   HKD 295          37,737  

Sumitomo, Tokyo

       

(0.567)%, 1/02/18

   EUR 503          603,343  

0.165%, 1/02/18

   GBP 477          643,935  

0.92%, 1/02/18

   U.S.$ 2,864          2,864,410  

Wells Fargo, Grand Cayman

       

7.974%, 1/02/18

   ZAR 1,844          149,011  
       

 

 

 

Total Time Deposits
(cost $4,305,145)

          4,319,017  
       

 

 

 

Emerging Markets - Sovereigns - 0.5%

       

Egypt - 0.5%

       

Citigroup Global Markets Holdings, Inc./United States

       

Series E

       

Zero Coupon, 1/25/18-3/08/18 (d)

   EGP 42,471          2,329,821  

Series G

       

Zero Coupon, 1/25/18 (d)

     45,500          2,529,025  

HSBC Bank PLC

       

Zero Coupon, 2/01/18 (d)

     19,175          1,077,380  
       

 

 

 

Total Emerging Markets - Sovereigns
(cost $5,796,557)

          5,936,226  
       

 

 

 

Governments - Treasuries - 0.2%

       

Egypt - 0.2%

       

Egypt Treasury Bills

       

Series 273D

       

Zero Coupon, 1/30/18-2/13/18

     39,525          2,178,071  

Series 364D

       

Zero Coupon, 2/06/18-2/20/18

     11,975          657,985  
       

 

 

 

Total Governments - Treasuries
(cost $2,838,494)

          2,836,056  
       

 

 

 

Total Short-Term Investments
(cost $25,586,859)

          25,737,962  
       

 

 

 


            U.S. $ Value  

Total Investments - 106.7%
(cost $1,253,823,263) (z)

      $ 1,282,342,198  

Other assets less liabilities - (6.7)%

        (80,893,569
     

 

 

 

Net Assets - 100.0%

      $ 1,201,448,629  
     

 

 

 

 

FUTURES

 

Description

     Number
of
Contracts
     Expiration
Month
     Notional
(000)
    Original
Value
     Value at
December 31,
2017
     Unrealized
Appreciation/
(Depreciation)
 

Purchased Contracts

 

U.S. Long Bond (CBT) Futures

 

     35        March 2018      USD 3,500       $5,343,516        $5,355,000        $11,484  

U.S. T-Note 5 Yr (CBT) Futures

 

     655        March 2018      USD  65,500       76,500,039        76,087,461        (412,578)  

U.S. T-Note 10 Yr (CBT) Futures

 

     214        March 2018      USD 21,400       26,692,156        26,546,031        (146,125)  

Sold Contracts

 

S&P 500 E-Mini Futures

 

     169        March 2018      USD 0 ***      22,231,173        22,612,200        (381,027
                      

 

 

 
                       $ (928,246
                      

 

 

 

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)

Australia and New Zealand Banking Group Ltd.

     AUD        24,134      USD 18,331        3/07/18      $         (497,070)

Australia and New Zealand Banking Group Ltd.

     NZD        26,510      USD 18,357        3/07/18      (416,191)

Bank of America, NA

     BRL        97,674      USD 29,526        1/03/18      81,002

Bank of America, NA

     USD        29,696      BRL 97,674        1/03/18      (250,920)

Bank of America, NA

     CAD        4,684      NZD 5,275        1/23/18      10,110

Bank of America, NA

     RUB        178,080      USD 2,930        1/25/18      (146,479)

Bank of America, NA

     USD        5,657      RUB 333,085        1/25/18      97,510

Bank of America, NA

     BRL        61,323      USD 18,446        2/02/18      27,702

Bank of America, NA

     NZD        4,052      AUD 3,631        2/07/18      (37,355)

Bank of America, NA

     ZAR        45,000      USD 3,283        2/07/18      (333,015)

Bank of America, NA

     USD        2,045      MXN 40,308        2/22/18      (14,409)

Bank of America, NA

     USD        6,521      EUR 5,464        3/12/18      60,874

Bank of America, NA

     MXN        101,982      USD 5,114        7/23/18      111,368

Barclays Bank PLC

     JPY        1,379,278      USD 12,244        2/09/18      (19,463)

Barclays Bank PLC

     AUD        8,572      USD 6,590        3/07/18      (97,663)

BNP Paribas SA

     USD        6,323      NZD 9,058        2/07/18      93,376

BNP Paribas SA

     USD        1,580      MXN 31,399        2/22/18      1,605

Brown Brothers Harriman & Co.

     CHF        4,626      USD 4,733        1/17/18      (18,825)

Brown Brothers Harriman & Co.

     USD        1      CAD 2        1/18/18      16

Brown Brothers Harriman & Co.

     GBP        79      USD 106        2/02/18      (1,242)

Brown Brothers Harriman & Co.

     TRY        54,279      USD 13,804        2/28/18      (281,997)

Brown Brothers Harriman & Co.

     USD        14,620      AUD 19,246        3/07/18      395,655

Brown Brothers Harriman & Co.

     EUR        220      USD 261        3/12/18      (3,859)

Brown Brothers Harriman & Co.

     NOK        4,656      USD 558        3/28/18      (9,930)

Brown Brothers Harriman & Co.

     SEK        4,837      USD 574        3/28/18      (18,810)

Citibank, NA

     NOK        11,127      CAD 1,748        1/10/18      35,365

Citibank, NA

     TRY        21,128      USD 5,535        1/10/18      (26,885)


Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
     Unrealized
Appreciation/
(Depreciation)
 

Citibank, NA

   USD 2,369        CAD        3,013        1/18/18      $ 28,117  

Citibank, NA

   USD 6,310        KRW        6,961,325        1/18/18        214,548  

Citibank, NA

   USD 2,156        RUB        131,023        1/25/18        107,551  

Citibank, NA

   USD 8,846        IDR        120,663,293        1/29/18        59,729  

Citibank, NA

   GBP 6,656        USD        8,950        2/02/18        (46,195

Citibank, NA

   COP 6,095,299        USD        2,024        2/07/18        (11,602

Citibank, NA

   USD 6,277        CNY        41,624        2/07/18        98,381  

Citibank, NA

   USD 3,012        PEN        9,759        2/07/18        (7,373

Citibank, NA

   USD 3,965        ZAR        54,255        2/07/18        395,075  

Citibank, NA

   ZAR 135,990        USD        9,939        2/07/18        (990,245

Citibank, NA

   JPY 767,142        USD        6,871        2/09/18        50,550  

Citibank, NA

   USD 865        JPY        96,552        2/09/18        (6,362

Citibank, NA

   JPY 323,891        USD        2,883        2/13/18        2,253  

Citibank, NA

   MXN 618,699        USD        32,339        2/22/18        1,167,165  

Citibank, NA

   EUR 1,257        USD        1,490        3/12/18        (24,243

Citibank, NA

   USD 4,986        EUR        4,214        3/12/18        90,035  

Citibank, NA

   TRY 3,818        USD        1,059        3/13/18        71,734  

Citibank, NA

   USD 6,826        NOK        56,972        3/28/18        128,701  

Citibank, NA

   SEK 105,555        EUR        10,966        4/03/18        291,429  

Citibank, NA

   USD 1,628        ARS        32,297        6/26/18        (46,194

Citibank, NA

   USD 1,123        ARS        22,433        6/27/18        (24,624

Citibank, NA

   USD 720        ARS        14,500        6/29/18        (10,337

Credit Suisse International

   TRY 11,748        EUR        2,588        1/03/18        5,461  

Credit Suisse International

   EUR 2,665        TRY        12,129        1/04/18        1,499  

Credit Suisse International

   EUR 3,727        TRY        16,191        1/04/18        (201,968

Credit Suisse International

   TRY 848        EUR        195        1/04/18        10,719  

Credit Suisse International

   TRY 12,500        EUR        2,729        1/04/18        (21,786

Credit Suisse International

   USD 5,535        TRY        21,557        1/10/18        139,886  

Credit Suisse International

   AUD 4,306        CAD        4,152        1/18/18        (55,643

Credit Suisse International

   USD 12,626        CAD        15,811        1/18/18        (43,825

Credit Suisse International

   SEK 41,279        EUR        4,150        1/22/18        (52,938

Credit Suisse International

   CAD 3,231        NZD        3,634        1/23/18        2,997  

Credit Suisse International

   AUD 3,631        NZD        4,052        2/07/18        37,527  

Credit Suisse International

   USD 6,637        ZAR        90,851        2/07/18        663,824  

Credit Suisse International

   TRY 11,675        JPY        323,891        2/13/18        (162,002

Credit Suisse International

   USD 1,232        ZAR        17,768        2/21/18        193,545  

Credit Suisse International

   EUR 2,122        CNH        16,722        2/26/18        5,673  

Credit Suisse International

   CAD 1,502        JPY        130,904        2/27/18        (30,554

Credit Suisse International

   EUR 2,525        SEK        24,954        3/07/18        12,715  

Credit Suisse International

   TRY 21,700        USD        5,292        3/08/18        (325,825

Credit Suisse International

   USD 1,059        TRY        3,818        3/13/18        (71,724

Credit Suisse International

   AUD 3,786        NZD        4,153        3/27/18        (13,325

Credit Suisse International

   NOK 66,582        EUR        6,783        3/28/18        52,196  

Credit Suisse International

   EUR 10,966        SEK        105,556        4/03/18        (291,367

Credit Suisse International

   USD 1,252        MXN        23,321        7/23/18        (108,448

Credit Suisse International

   MXN 90,844        USD        4,796        8/06/18        351,877  

Credit Suisse International

   USD 4,796        MXN        90,844        8/06/18        (351,874

Deutsche Bank AG

   BRL 97,673        USD        30,250        1/03/18        804,323  

Deutsche Bank AG

   USD 29,526        BRL        97,673        1/03/18        (81,001

Deutsche Bank AG

   TRY 3,752        EUR        867        1/04/18        50,758  

Deutsche Bank AG

   USD 12,713        KRW        14,168,325        1/18/18        565,819  

Deutsche Bank AG

   SEK 21,738        EUR        2,266        1/22/18        68,908  

Deutsche Bank AG

   ILS 84,986        USD        24,035        1/25/18        (410,048

Deutsche Bank AG

   CNH 16,722        EUR        2,122        2/26/18        (5,679

Deutsche Bank AG

   USD 153        INR        10,013        3/12/18        3,002  

Goldman Sachs Bank USA

   TRY 11,589        EUR        2,665        1/04/18        140,896  

Goldman Sachs Bank USA

   CHF 15,046        USD        15,408        1/17/18        (47,802

Goldman Sachs Bank USA

   CAD 24,202        USD        19,023        1/18/18        (236,408

Goldman Sachs Bank USA

   NZD 4,153        AUD        3,786        3/27/18        13,448  

Goldman Sachs Bank USA

   SEK 68,688        USD        8,161        3/28/18        (256,218

HSBC Bank USA

   USD 5,739        CNY        38,035        2/07/18        87,207  

HSBC Bank USA

   MXN 96,590        USD        5,047        2/22/18        180,053  

HSBC Bank USA

   USD 7,438        EUR        6,266        3/12/18        110,959  

JPMorgan Chase Bank, NA

   CAD 1,748        NOK        11,127        1/10/18        (35,371

JPMorgan Chase Bank, NA

   TRY 14,000        USD        3,563        1/10/18        (122,551

JPMorgan Chase Bank, NA

   EUR 2,266        SEK        21,728        1/22/18        (70,076


Counterparty

   Contracts to
Deliver
(000)
     In Exchange
For
(000)
     Settlement
Date
    

Unrealized

Appreciation/

(Depreciation)

JPMorgan Chase Bank, NA

   NZD 3,634      CAD 3,231        1/23/18      $(2,867)

JPMorgan Chase Bank, NA

   TWD 351,635      USD 11,798        2/07/18      (110,939)

JPMorgan Chase Bank, NA

   JPY 109,520      TRY 3,853        2/13/18      30,022

JPMorgan Chase Bank, NA

   TRY 3,853      JPY 109,520        2/13/18      (30,022)

JPMorgan Chase Bank, NA

   ZAR 17,768      USD 1,232        2/21/18      (193,542)

JPMorgan Chase Bank, NA

   USD 5,292      AUD 6,859        3/07/18      58,861

JPMorgan Chase Bank, NA

   TRY 3,730      USD 1,039        3/08/18      73,067

JPMorgan Chase Bank, NA

   USD 1,039      TRY 3,730        3/08/18      (73,082)

JPMorgan Chase Bank, NA

   USD 18,734      PLN 66,816        3/09/18      463,645

JPMorgan Chase Bank, NA

   TRY 3,840      USD 1,047        3/20/18      55,992

JPMorgan Chase Bank, NA

   USD 1,047      TRY 3,840        3/20/18      (55,992)

JPMorgan Chase Bank, NA

   MXN 23,321      USD 1,252        7/23/18      108,450

Morgan Stanley Capital Services, LLC

   USD 2,943      TRY 11,675        2/13/18      99,298

Morgan Stanley Capital Services, LLC

   JPY 130,904      CAD 1,502        2/27/18      30,552

Morgan Stanley Capital Services, LLC

   SEK 24,954      EUR 2,525        3/07/18      (12,725)

Royal Bank of Scotland PLC

   USD 516      CAD 661        1/18/18      9,500

Royal Bank of Scotland PLC

   EUR 9,397      SEK 93,989        1/22/18      183,446

Royal Bank of Scotland PLC

   AUD 4,838      NZD 5,275        2/07/18      (38,579)

Royal Bank of Scotland PLC

   USD 2,628      ZAR 33,523        2/07/18      66,204

Standard Chartered Bank

   KRW 27,679,270      USD 24,441        1/18/18      (1,500,674)

Standard Chartered Bank

   USD 8,365      KRW  9,181,229        1/18/18      239,606

Standard Chartered Bank

   IDR 110,079,416      USD 8,022        1/29/18      (102,784)

Standard Chartered Bank

   TWD 366,199      USD 12,247        3/08/18      (189,088)

Standard Chartered Bank

   EUR 64,737      USD 76,597        3/12/18      (1,392,243)

Standard Chartered Bank

   USD 5,838      INR 378,960        3/12/18      61,222
           

 

            $(1,437,250)
           

 

PUT OPTIONS WRITTEN

 

Description

  

Counterparty

   Contracts      Exercise
Price
     Expiration
Month
     Notional
(000)
    Premiums
Received
     U.S. $ Value  

SPDR S&P 500 ETF Trust

   Morgan Stanley Capital Services LLC      170      USD  2,330.00        January 2018      USD 0 ***    $ 142,283      $ (14,450

CREDIT DEFAULT SWAPTIONS WRITTEN

 

Description

   Counter-
party
     Buy/Sell
Protection
     Strike
Rate
    Expiration
Month
     Notional
Amount
(000)
     Premiums
Received
     Market
Value
 

Put CDX-NAHY Series 29, 5 Year Index

     Citibank, NA        Sell        1.03     January 2018      $ 16,373      $ 13,098      $ (4,943


Description

   Counter-
party
     Buy/Sell
Protection
     Strike
Rate
    Expiration
Month
     Notional
Amount
(000)
     Premiums
Received
     Market
Value
 

CDX-NAHY Series 29, 5 Year Index

    
Goldman Sachs
International
 
 
     Sell        0.98     February 2018        21,850      $ 21,850      $ (9,776
                

 

 

    

 

 

 
                 $ 34,948      $ (14,719
                

 

 

    

 

 

 

CURRENCY OPTIONS WRITTEN

 

Description/ Counterparty

   Exercise
Price
     Expiration
Month
     Contracts      Notional
Amount
(000)
     Premiums
Received
     U.S. $ Value  

Call

                 

CLP vs. USD/Morgan Stanley Capital Services LLC

   CLP 665.000        01/2018      4,023,250,000 CLP        4,023,250      $ 32,670      $ (3,530

CNH vs. EUR/Deutsche Bank AG

   CNH 8.060        02/2018      83,013,000 CNH        83,013        54,861        (27,017

JPY vs. CAD/Morgan Stanley Capital Services LLC

   JPY 90.220        02/2018      694,694,000 JPY        694,694        27,841        (51,143

MXN vs. USD/Credit Suisse International

   MXN 21.500        07/2018      130,398,000 MXN        130,398        103,718        (157,074

MXN vs. USD/Credit Suisse International

   MXN 22.000        08/2018      242,000,000 MXN        242,000        214,170        (259,446

MXN vs. USD/Goldman Sachs Bank USA

   MXN 22.000        08/2018      132,880,000 MXN        132,880        109,517        (155,840

MXN vs. USD/JPMorgan Chase Bank, NA

   MXN 20.000        07/2018      121,000,000 MXN        121,000        157,481        (310,234

MXN vs. USD/Morgan Stanley Capital Services LLC

   MXN 21.386        03/2018      129,920,000 MXN        129,920        55,252        (46,001

NOK vs. CAD/Citibank, NA

   NOK 6.525        01/2018      49,590,000 NOK        49,590        34,411        (30,585

NZD vs. AUD/Bank of America, NA

   NZD 1.143        02/2018      17,885,000 NZD        17,885        63,727        (3,879

NZD vs. AUD/Goldman Sachs Bank USA

   NZD 1.120        03/2018      17,668,000 NZD        17,668        60,010        (71,835

PEN vs. USD/Morgan Stanley Capital Services LLC

   PEN 3.360        03/2018      20,328,000 PEN        20,328        22,566        (16,444

RUB vs. USD/Credit Suisse International

   RUB 65.850        02/2018      399,380,000 RUB        399,380        101,674        (4,262

SEK vs. EUR/Citibank, NA

   SEK 9.850        03/2018      183,703,000 SEK        183,703        189,501        (291,103

SEK vs. EUR/Deutsche Bank AG

   SEK 9.777        01/2018      100,705,000 SEK        100,705        52,251        (119,033


Description/ Counterparty

   Exercise
Price
     Expiration
Month
     Contracts      Notional
Amount
(000)
     Premiums
Received
     U.S. $ Value  

SEK vs. EUR/Morgan Stanley Capital Services LLC

   SEK 10.100        03/2018      51,005,000     SEK        51,005      $ 30,227      $ (21,824

TRY vs. EUR/Deutsche Bank AG

   TRY 4.523        01/2018      23,068,000 TRY        23,068        60,603        (44,518

TRY vs. EUR/Goldman Sachs Bank USA

   TRY 4.550        01/2018      23,660,000 TRY        23,660        56,605        (25,879

TRY vs. USD/Citibank, NA

   TRY 4.050        01/2018      49,208,000 TRY        49,208        117,263        (4,258

TRY vs. USD/Citibank, NA

   TRY 3.860        03/2018      23,353,000 TRY        23,353        92,777        (141,208

TRY vs. USD/JPMorgan Chase Bank, NA

   TRY 3.835        03/2018      23,298,000 TRY        23,298        92,340        (150,812

TRY vs. USD/JPMorgan Chase Bank, NA

   TRY 3.930        03/2018      23,777,000 TRY        23,777        96,467        (111,064

TRY vs. USD/Morgan Stanley Capital Services LLC

   TRY 4.368        07/2018      26,426,000 TRY        26,426        160,325        (104,939

ZAR vs. USD/Bank of America, NA

   ZAR  16.000        04/2018      97,168,000 ZAR        97,168        71,935        (8,977

ZAR vs. USD/JPMorgan Chase Bank, NA

   ZAR 15.400        02/2018      91,630,000 ZAR        91,630        92,225        (3,644

Put

 

CAD vs. NZD/JPMorgan Chase Bank, NA

   CAD 0.867        01/2018      14,652,000 CAD        14,652        66,394        (11,680

TRY vs. JPY/JPMorgan Chase Bank, NA

   TRY 26.500        02/2018      23,350,000 TRY        23,350        62,099        (4,688
              

 

 

    

 

 

 
               $ 2,278,910      $ (2,180,917
              

 

 

    

 

 

 

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Description

   Fixed  Rate
(Pay)
Receive
    Payment
Frequency
     Implied Credit
Spread at
December 31, 2017
    Notional
Amount
(000)
     Market
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation/
(Depreciation)
 

Buy Contracts

                

CDX-NAHY Series 27, 5 Year Index,12/20/21*

     (5.00 )%      Quarterly        2.62   USD     21,068      $ (1,830,917   $ (1,741,771   $ (89,146

iTraxx Europe Crossover Series 21, 5 Year Index, 6/20/19*

     (5.00     Quarterly        0.74     EUR 3        (215     (209     (6



Description

   Fixed Rate
(Pay)
Receive
    Payment
Frequency
     Implied  Credit
Spread
atDecember 31, 2017
    Notional
Amount
(000)
     Market
Value
     Upfront
Premiums
Paid
(Received)
     Unrealized
Appreciation/
(Depreciation)
 

Sale Contracts

                  

CDX- NAHY Series 21, 5 Year

Index, 12/20/18*

     5.00     Quarterly        2.49   USD 6,807      $ 175,090      $ 98,652      $ 76,438  

CDX-NAHY Series 28, 5 Year Index, 6/20/22*

     5.00       Quarterly        2.80     USD 13,417        1,192,182        1,116,089        76,093  

CDX-NAHY Series 28, 5 Year Index, 6/20/22*

     5.00       Quarterly        2.80     USD 5        440        412        28  

CDX-NAHY Series 29, 5 Year Index, 12/20/22*

     5.00       Quarterly        3.07     USD      40,600            3,429,754            3,158,007            271,747  

CDX-NAIG Series 20, 5 Year Index, 6/20/2018*

     1.00       Quarterly        0.08     USD 10,730        50,725        14,584        36,141  

iTraxx Europe Crossover Series 27, 5 Year Index, 6/20/22*

     5.00       Quarterly        1.97     EUR 13,259        2,053,720        2,028,568        25,152  
            

 

 

    

 

 

    

 

 

 
             $ 5,070,779      $ 4,674,332      $ 396,447  
            

 

 

    

 

 

    

 

 

 

 

* Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS

 

       Rate Type      
Notional
Amount
(000)
   Termination
Date
     Payments
made
by the
Fund
  Payments
received
by the
Fund
  Payment
Frequency
Paid/Received
     Market
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation/
(Depreciation)
 
GBP    52,055      11/08/19      6 Month LIBOR   0.794%    
Semi-Annual/
Semi-Annual
 
 
   $ 47,335     $ (44,533   $ 91,868  
GBP    52,055      11/08/19      6 Month LIBOR   0.796%    
Semi-Annual/
Semi-Annual
 
 
     50,140       (41,849     91,989  
GBP    20,820      11/08/22      1.022%   6 Month LIBOR    
Semi-Annual/
Semi-Annual
 
 
     (12,363     99,852       (112,215
GBP    20,820      11/08/22      1.029%   6 Month LIBOR    
Semi-Annual/
Semi-Annual
 
 
     (22,031     90,529       (112,560
GBP     21,220      11/29/27      6 Month LIBOR   1.399%    
Semi-Annual/
Semi-Annual
 
 
     367,310       0       367,310  
GBP     8,160      11/29/47      1.579%   6 Month LIBOR    
Semi-Annual/
Semi-Annual
 
 
     (428,931     0       (428,931
            

 

 

   

 

 

   

 

 

 
   $ 1,460     $ 103,999     $ (102,539
            

 

 

   

 

 

   

 

 

 


CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced
Obligation

   Fixed Rate
(Pay)
Receive
    Payment
Frequency
     Implied Credit
Spread at
December 31, 2017
    Notional
Amount
(000)
     Market
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation/
(Depreciation)
 

Sale Contracts

                

Barclays Bank PLC

                

CCO Holdings, LLC, 5.75% 1/15/24, 6/20/19*

     5.00     Quarterly        0.27   USD 828      $ 57,912     $ 27,296     $ 30,616  

K. Hovnanian Enterprises, Inc., 7.00% 1/15/19, 9/20/20*

     5.00       Quarterly        39.29     USD 1,521        (593,731     (235,596     (358,135

K. Hovnanian Enterprises, Inc., 7.00% 1/15/19, 9/20/20*

     5.00       Quarterly        39.29     USD 609        (237,727     (94,484     (143,243

Citibank, NA

                

CDX-CMBX.NA.BBB - Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 454        (66,193     (53,333     (12,860

Credit Suisse International

                

CDX-CMBX.NA.BB Series 6, 5/11/63*

     5.00       Monthly        11.90     USD     5,000        (1,184,833     (813,352     (371,481

International Game Technology, 4.75% 2/15/23, 6/20/22*

     5.00       Quarterly        1.33     EUR 310        59,891       31,469       28,422  

Deutsche Bank AG

                

CDX-CMBX.NA.BBB - Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 364        (53,101     (44,612     (8,489

CDX-CMBX.NA.BBB - Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 258        (37,617     (29,944     (7,673

Goldman Sachs Bank USA

                

Avis Budget Car Rental LLC, 5.25% 3/15/25, 6/20/22*

     5.00       Quarterly        2.30     USD 2,450        267,258       145,981       121,277  

K. Hovnanian Enterprises, Inc., 7.00% 1/15/19, 9/20/20*

     5.00       Quarterly        39.29     USD 580        (226,406     (84,644     (141,762

Nine West Holdings, Inc., 6.875% 3/15/19, 3/20/19*

     5.00       Quarterly        257.42     USD 1,829        (1,496,606     14,808       (1,511,414


Swap Counterparty &Referenced Obligation

   Fixed Rate
(Pay)
Receive
    Payment
Frequency
     Implied Credit
Spread  at
December 31, 2017
    Notional
Amount
(000)
     Market
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation/
(Depreciation)
 

United States Steel Corp., 6.65% 6/1/37, 12/20/21*

     5.00     Quarterly        1.82   USD 700      $ 83,970     $ (44,851   $ 128,821  

Goldman Sachs International

                

CDX-CMBX.NA.BB Series 6, 5/11/63*

     5.00       Monthly        11.90     USD     13,500        (3,199,050     (2,091,729     (1,107,321

CDX-CMBX.NA.BB Series 6, 5/11/63*

     5.00       Monthly        11.90     USD 10,000        (2,369,667     (1,551,514     (818,153

CDX-CMBX.NA.BB Series 6, 5/11/63*

     5.00       Monthly        11.90     USD 2,071        (490,690     (318,877     (171,813

CDX-CMBX.NA.BB Series 6, 5/11/63*

     5.00       Monthly        11.90     USD 2,929        (694,143     (451,092     (243,051

CDX-CMBX.NA.BB Series 6, 5/11/63*

     5.00       Monthly        11.90     USD 5,000        (1,184,833     (898,962     (285,871

CDX-CMBX.NA.BB Series 6, 5/11/63*

     5.00       Monthly        11.90     USD 5,000        (1,184,139     (858,398     (325,741

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 371        (54,122     (32,751     (21,371

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 2,158        (314,817     (194,970     (119,847

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 180        (26,259     (16,866     (9,393

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 360        (52,518     (34,356     (18,162

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 360        (52,518     (37,177     (15,341

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 719        (104,890     (81,156     (23,734

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 1,041        (151,778     (117,434     (34,344

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80     USD 530        (77,274     (59,392     (17,882


Swap Counterparty & Referenced Obligation

   Fixed Rate
(Pay)
Receive
    Payment
Frequency
     Implied Credit
Spread at
December 31, 2017
     Notional
Amount
(000)
     Market
Value
    Upfront
Premiums
Paid
(Received)
    Unrealized
Appreciation/
(Depreciation)
 

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00     Monthly        6.80     USD        133      $ (19,391   $ (15,012   $ (4,379

Morgan Stanley Capital Services LLC

 

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80       USD        10,000        (1,458,000     (115,747     (1,342,253

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80       USD        1,272        (185,458     (145,482     (39,976

CDX-CMBX.NA.BBB- Series 6, 5/11/63*

     3.00       Monthly        6.80       USD        1,188        (173,211     (130,478     (42,733
               

 

 

   

 

 

   

 

 

 
                $ (15,219,941   $ (8,332,655   $ (6,887,286
               

 

 

   

 

 

   

 

 

 

 

* Termination date

TOTAL RETURN SWAPS

 

Counterparty & Referenced Obligation

   # of Shares
or Units
     Rate Paid/
Received
    Payment
Frequency
     Notional
Amount
(000)
     Maturity
Date
     Unrealized
Appreciation/
(Depreciation)
 

Receive Total Return on Reference Obligation

                

Bank of America, NA

                

iBoxx $ Liquid High Yield Index

     32,195        LIBOR       Quarterly      USD     8,633        3/20/18      $ 27,619  

iBoxx $ Liquid High Yield Index

     24,147        LIBOR       Quarterly      USD 6,475        3/20/18        20,715  

iBoxx $ Liquid High Yield Index

     16,099        LIBOR       Quarterly      USD 4,317        3/20/18        13,811  

iBoxx $ Liquid High Yield Index

     8,048        LIBOR       Quarterly      USD 2,158        3/20/18        7,105  

Citibank, NA

                

iBoxx $ Liquid High Yield Index

     8,043        LIBOR       Quarterly      USD 2,158        3/20/18        5,697  

iBoxx $ Liquid High Yield Index

     32,197        LIBOR       Maturity      USD 8,632        3/20/18        1,180  

iBoxx $ Liquid High Yield Index

     16,098        LIBOR       Maturity      USD 4,316        3/20/18        590  

Goldman Sachs International

                

iShares iBoxx $ High Yield Corporate Bond ETF

     138,021        LIBOR – 0.75     Maturity      USD 12,039        1/16/18        435  

Morgan Stanley Capital Services LLC

                

iBoxx $ Liquid High Yield Index

     16,087        LIBOR       Quarterly      USD 4,317        3/20/18        10,592  
                

 

 

 
                 $ 87,744  
                

 

 

 


VARIANCE SWAPS

 

Swap Counterparty & Referenced Obligation

   Volatility
Strike

Price
     Payment
Frequency
     Notional
Amount

(000)
     Market
Value
     Upfront
Premiums
(Paid)
Received
    Unrealized
Appreciation/
(Depreciation)
 

Sale Contracts

                

Citibank, NA

                

SPDR S&P 500 ETF Trust 1/5/18*

   $     9.00        Maturity      USD     158      $ 50,402      $             – 0  –    $ 50,402  

Deutsche Bank AG

                

SPDR S&P 500 ETF Trust 1/5/18*

     8.75        Maturity      USD     328        108,454        – 0  –      108,454  
           

 

 

    

 

 

   

 

 

 
            $ 158,856      $ – 0  –    $ 158,856  
           

 

 

    

 

 

   

 

 

 

 

* Termination date

REVERSE REPURCHASE AGREEMENTS

 

Broker

   Interest Rate     Maturity      U.S. $
Value at
December 31, 2017
 

Barclays Capital, Inc.†

     (2.50 )%*           $ 1,958,250  

Barclays Capital, Inc.†

     (2.25 )%*             2,485,158  

Barclays Capital, Inc.†

     (1.25 )%*             1,211,431  

Barclays Capital, Inc.†

     (1.00 )%*             1,133,161  

Barclays Capital, Inc.†

     (0.63 )%*             1,302,171  

Barclays Capital, Inc.†

     0.75            950,232  

Barclays Capital, Inc.†

     0.75            1,156,392  

Barclays Capital, Inc.†

     1.25            1,591,101  

Barclays Capital, Inc.†

     1.50            1,687,433  

Barclays Capital, Inc.†

     1.35            1,594,626  

Credit Suisse Securities (USA) LLC†

     (1.75 )%*             642,304  

Credit Suisse Securities (USA) LLC†

     (1.50 )%*             621,735  

Credit Suisse Securities (USA) LLC†

     (0.75 )%*             1,270,411  

Credit Suisse Securities (USA) LLC†

     (0.25 )%*             1,345,722  

Credit Suisse Securities (USA) LLC†

     0.50            947,625  

Credit Suisse Securities (USA) LLC†

     0.75            1,123,114  

Credit Suisse Securities (USA) LLC†

     0.95            2,751,004  

Credit Suisse Securities (USA) LLC†

     1.00            963,419  

Credit Suisse Securities (USA) LLC†

     1.20            3,528,601  

Deutsche Bank Securities Inc.†

     (2.00 )%*             1,020,407  

Deutsche Bank Securities Inc.†

     (0.25 )%*             955,747  

Deutsche Bank Securities Inc.†

     0.25            1,904,157  

Deutsche Bank Securities Inc.†

     1.00            1,319,391  

JPMorgan Chase Bank, NA

     1.50     1/09/18        9,941,595  

JPMorgan Chase Bank, NA

     1.32     1/22/18        39,708,900  

RBC Capital Markets†

     (1.50 )%*             534,931  

RBC Capital Markets†

     0.75            465,643  


Broker

   Interest Rate     Maturity      U.S. $
Value at
December 31, 2017
 

RBC Capital Markets†

     1.25          $ 2,794,484  
       

 

 

 
        $     86,909,145  
       

 

 

 

 

The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on December 31, 2017.
* Interest payment due from counterparty.

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

 

     Overnight and
Continuous
     Up to 30 Days     31-90 Days     Greater than 90
Days
    Total  

Corporates - Non-Investment Grade

   $ 36,308,418      $ – 0  –    $ – 0  –    $ – 0  –    $ 36,308,418  

Corporates - Investment Grade

     950,232                          950,232  

Governments - Treasuries

            49,650,495                   49,650,495  
  

 

 

    

 

 

   

 

 

   

 

 

   

 

 

 

Total

   $     37,258,650      $     49,650,495     $         – 0  –    $             – 0  –    $     86,909,145  

 

** Principal amount less than 500.
*** Notional amount less than 500.
(a) Security in which significant unobservable inputs (Level 3) were used in determining fair value.
(b) Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at December 31, 2017.
(c) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 2.42% of net assets as of December 31, 2017, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid Securities

   Acquisition
Date
     Cost      Market
Value
     Percentage of
Net Assets
 

Artsonig Pty Ltd.

           

11.50%, 4/01/19

     3/13/14      $ 0      $ 0        0.00

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

           

13.552%, 4/25/26

     4/29/16        282,749        303,547        0.03

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

           

8.052%, 4/25/26

     4/29/16        2,660,804        2,720,325        0.23

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

           

5.629%, 7/25/25

     7/27/15        696,996        709,349        0.06

BI-LO LLC/BI-LO Finance Corp.

           

8.625%, 9/15/18

     9/20/13        1,826,116        596,546        0.05

BI-LO LLC/BI-LO Finance Corp.

           

9.25%, 2/15/19

     2/03/11        1,524,719        1,482,862        0.12

Creditcorp

           

12.00%, 7/15/18

     6/28/13        1,298,345        1,183,000        0.10

Dominican Republic International Bond

           

16.00%, 7/10/20

     12/08/10        6,332,231        5,622,689        0.47

Exide Technologies

           

7.00%, 4/30/25

     11/10/16        98,441        99,829        0.01


Exide Technologies

           

11.00%, 4/30/22

     4/30/15 – 12/01/16        3,786,358        3,738,627        0.31

Fideicomiso PA Pacifico Tres

           

7.00%, 1/15/35

     3/04/16        1,946,165        2,376,082        0.20

Golden Energy Offshore Services AS

           

5.00%, 12/31/17

     5/14/14        1,273,130        502,150        0.04

K2016470219 (South Africa) Ltd.

           

3.00%, 12/31/22

     2/01/17        1,324,832        30,732        0.00

K2016470260 (South Africa) Ltd.

           

25.00%, 12/31/22

     2/01/17        232,344        218,722        0.02

Liberty Tire Recycling LLC

           

11.00%, 3/31/21

     9/23/10        1,818,095        901,450        0.08

Magnetation LLC/Mag Finance Corp.

           

11.00%, 5/15/18

     5/15/13        2,295,760        29        0.00

Modular Space Corp.

     2/23/17        1,330,993        1,425,760        0.12

SoFi Consumer Loan Program LLC Series 2016-1, Class R

           

Zero Coupon, 8/25/25

     7/28/17        1,349,783        1,119,917        0.09

SoFi Consumer Loan Program LLC Series 2017-2, Class R

           

Zero Coupon, 2/25/26

     6/15/17        931,484        893,180        0.07

SoFi Consumer Loan Program LLC Series 2017-3, Class R

           

Zero Coupon, 5/25/26

     5/11/17        1,107,300        1,218,961        0.10

SoFi Consumer Loan Program LLC Series 2017-4, Class R1

           

Zero Coupon, 5/26/26

     6/28/17        1,032,000        1,125,226        0.09

SoFi Consumer Loan Program LLC Series 2017-5, Class R1

           

Zero Coupon, 9/25/26

     9/18/17        1,313,468        1,358,803        0.11

Texas Competitive/TCEH

           

11.50%, 10/01/20

     4/18/11        0        0        0.00

Tonon Luxembourg SA

           

7.25%, 1/24/20

     1/16/13        1,624,599        130,074        0.01

Vantage Drilling International

           

10.00%, 12/31/20

     2/10/16        83,004        85,260        0.01

Virgolino de Oliveira Finance SA

           

10.50%, 1/28/18

     1/23/14 – 6/09/14        2,401,854        245,400        0.02

Virgolino de Oliveira Finance SA

           

10.875%, 1/13/20

     2/12/14        477,418        135,000        0.01

Virgolino de Oliveira Finance SA

           

11.75%, 2/09/22

     6/09/14        838,866        107,325        0.01

Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2

           

7.052%, 11/25/25

     9/28/15        617,152        730,030        0.06

 

(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2017, the aggregate market value of these securities amounted to $429,889,281 or 35.8% of net assets.
(e) Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements.
(f) Fair valued by the Adviser.
(g) Illiquid security.
(h) Defaulted.
(i) Non-income producing security.
(j) Restricted and illiquid security.


Restricted & Illiquid Securities

   Acquisition
Date
     Cost      Market
Value
     Percentage of
Net Assets
 

CHC Group LLC

     3/10/17      $ 3,697,479      $ 413,240        0.03

CHC Group LLC/CHC Finance Ltd. Series AI
Zero Coupon, 10/01/20

     10/02/12        2,078,183        3,891,639        0.32

Exide Technologies

     4/30/15        112,260        233,035        0.02

Exide Technologies

     4/30/15        28,931        60,057        0.01

Momentive Performance Materials, Inc.

           

8.875%, 10/15/2020

     4/30/15        2        - 0  -       0.00

Mt. Logan Re Ltd. (Preference Shares)

     12/30/14        2,953,000        3,093,245        0.26

 

 

(k) Convertible security.
(l) Floating Rate Security. Stated interest/floor/ceiling rate was in effect at December 31, 2017.
(m) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2017.
(n) Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.
(o) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.
(p) Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.
(q) Inverse interest only security.
(r) The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at December 31, 2017.
(s) This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase.
(t) IO - Interest Only.
(u) Variable rate coupon, rate shown as of December 31, 2017.
(v) The company invests on a global basis in multiple asset classes including (but not limited to) private equity debt securities, property-related assets and private equity securities including warrants and preferred stock.
(w) Affiliated investments.
(x) To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.
(y) The rate shown represents the 7-day yield as of period end.
(z) As of December 31, 2017, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $100,582,294 and gross unrealized depreciation of investments was $(80,529,578), resulting in net unrealized appreciation of $20,052,716.

Currency Abbreviations:

 

ARS    -    Argentine Peso
AUD    -    Australian Dollar
BRL    -    Brazilian Real
CAD    -    Canadian Dollar
CHF    -    Swiss Franc
CLP    -    Chilean Peso
CNH    -    Chinese Yuan Renminbi (Offshore)
CNY    -    Chinese Yuan Renminbi
COP    -    Colombian Peso
DOP    -    Dominican Peso
EGP    -    Egyptian Pound
EUR    -    Euro
GBP    -    Great British Pound
HKD    -    Hong Kong Dollar
IDR    -    Indonesian Rupiah
ILS    -    Israeli Shekel
INR    -    Indian Rupee
JPY    -    Japanese Yen
KRW    -    South Korean Won
LKR    -    Sri Lankan Rupee
MXN    -    Mexican Peso
MYR    -    Malaysian Ringgit
NOK    -    Norwegian Krone
NZD    -    New Zealand Dollar


PEN    -    Peruvian Sol
PLN    -    Polish Zloty
RUB    -    Russian Ruble
SEK    -    Swedish Krona
SGD    -    Singapore Dollar
TRY    -    Turkish Lira
TWD    -    New Taiwan Dollar
USD    -    United States Dollar
UYU    -    Uruguayan Peso
ZAR    -    South African Rand

Glossary:

 

12MTA    -      12 Month Treasury Average
ABS    -      Asset-Backed Securities
ARPP7DRR    -      Argentina Central Bank 7-Day Repo Reference Rate
BADLAR    -      Argentina Deposit Rates Badlar Private Banks
CBT    -      Chicago Board of Trade
CDX-CMBX.NA    -      North American Commercial Mortgage-Backed Index
CDX-NAHY    -      North American High Yield Credit Default Swap Index
CDX-NAIG    -      North American Investment Grade Credit Default Swap Index
CMBS    -      Commercial Mortgage-Backed Securities
ETF    -      Exchange Traded Fund
H15T    -      U.S. Treasury Yield Curve Rate T Note Constant Maturity
LIBOR    -      London Interbank Offered Rates
REIT    -      Real Estate Investment Trust
SPDR    -      Standard & Poor’s Depository Receipt

COUNTRY BREAKDOWN1

December 31, 2017 (unaudited)

 

  59.2%       

United States

  5.4%       

Brazil

  3.3%       

Mexico

  3.1%       

Argentina

  2.6%       

United Kingdom

  2.5%       

Turkey

  1.7%       

Luxembourg

  1.7%       

Canada

  1.7%       

Indonesia

  1.3%       

France

  1.2%       

Dominican Republic

  1.1%       

Ireland

  1.0%       

Italy

  12.2%       

Other

  2.0%       

Short-Term

 

 

      
  100.0%       

Total Investments

 

 

      

 

1 All data are as of December 31, 2017. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.8% or less in the following countries: Angola, Australia, Bahrain, Belarus, Cameroon, Cayman Islands, Chile, China, Colombia, Denmark, Ecuador, Egypt, El Salvador, Ethiopia, Euro Zone, Finland, Gabon, Germany, Guatemala, Honduras, Hong Kong, India, Iraq, Israel, Ivory Coast, Jamaica, Jersey (Channel Islands), Jordan, Kenya, Macau, Malaysia, Mongolia, Netherlands, Nigeria, Norway, Pakistan, Peru, Russia, Senegal, Serbia, South Africa, Spain, Sri Lanka, Sweden, Switzerland, Trinidad & Tobago, Ukraine, United Arab Emirates, Uruguay, Venezuela and Zambia.


AB Global High Income Fund

December 31, 2017 (unaudited)

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

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

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

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

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

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

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

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.


The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of December 31, 2017:

 

Investments in Securities

   Level 1     Level 2     Level 3     Total  

Assets:

        

Corporates - Non-Investment Grade

   $ – 0  –    $ 498,017,105     $ 11,208,331   $ 509,225,436  

Governments - Treasuries

     – 0  –      153,218,691       – 0  –      153,218,691  

Collateralized Mortgage Obligations

     – 0  –      145,305,198       – 0  –      145,305,198  

Emerging Markets - Treasuries

     – 0  –      93,879,255       – 0  –      93,879,255  

Emerging Markets - Sovereigns

     – 0  –      82,997,597       – 0  –      82,997,597  

Corporates - Investment Grade

     – 0  –      77,318,739       – 0  –      77,318,739  

Emerging Markets - Corporate Bonds

     – 0  –      48,032,455       379,528       48,411,983  

Bank Loans

     – 0  –      28,814,530       3,277,940       32,092,470  

Commercial Mortgage-Backed Securities

     – 0  –      2,840,243       24,453,081       27,293,324  

Common Stocks

     9,534,502       – 0  –      9,364,010     18,898,512  

Asset-Backed Securities

     – 0  –      751,149       16,882,618       17,633,767  

Preferred Stocks

     2,468,022       – 0  –      10,920,880       13,388,902  

Inflation-Linked Securities

     – 0  –      5,730,292       2,376,082       8,106,374  

Local Governments - Regional Bonds

     – 0  –      6,879,383       – 0  –      6,879,383  

Governments - Sovereign Bonds

     – 0  –      6,263,517       – 0  –      6,263,517  

Local Governments - US Municipal Bonds

     – 0  –      5,550,282       – 0  –      5,550,282  

Quasi-Sovereigns

     – 0  –      3,370,163       – 0  –      3,370,163  

Whole Loan Trusts

     – 0  –      – 0  –      2,884,406       2,884,406  

Collateralized Loan Obligations

     – 0  –      – 0  –      1,317,182       1,317,182  

Warrants

     135,768       – 0  –      142,401     278,169  

Options Purchased - Puts

     – 0  –      140,712       – 0  –      140,712  

Options Purchased - Calls

     – 0  –      1,822       – 0  –      1,822  

Short-Term Investments:

        

Investment Companies

     12,646,663       – 0  –      – 0  –      12,646,663  

Emerging Markets - Sovereigns

     – 0  –      5,936,226       – 0  –      5,936,226  

Time Deposits

     – 0  –      4,319,017       – 0  –      4,319,017  

Governments - Treasuries

     – 0  –      2,836,056       – 0  –      2,836,056  
  

 

 

   

 

 

   

 

 

   

Investments valued at NAV**

           2,148,352  
        

 

 

 

Total Investments in Securities

     24,784,955       1,172,202,432       83,206,459       1,282,342,198  

Other Financial Instruments*:

        

Assets

        

Futures

     11,484       – 0  –      – 0  –      11,484  

Forward Currency Exchange Contracts

     – 0  –      8,603,008       – 0  –      8,603,008  

Centrally Cleared Credit Default Swaps

     – 0  –      6,901,911       – 0  –      6,901,911  

Centrally Cleared Interest Rate Swaps

     – 0  –      464,785       – 0  –      464,785  

Credit Default Swaps

     – 0  –      469,031       – 0  –      469,031  

Total Return Swaps

     – 0  –      87,744       – 0  –      87,744  

Variance Swaps

     – 0  –      158,856       – 0  –      158,856  

Liabilities

        

Futures

     (939,730     – 0  –      – 0  –      (939,730

Forward Currency Exchange Contracts

     – 0  –      (10,040,258     – 0  –      (10,040,258

Put Options Written

     – 0  –      (14,450     – 0  –      (14,450

Credit Default Swaptions Written

     – 0  –      (14,719     – 0  –      (14,719

Currency Options Written

     – 0  –      (2,180,917     – 0  –      (2,180,917

Centrally Cleared Credit Default Swaps

     – 0  –      (1,831,132     – 0  –      (1,831,132

Centrally Cleared Interest Rate Swaps

     – 0  –      (463,325     – 0  –      (463,325

Credit Default Swaps

     – 0  –      (15,688,972     – 0  –      (15,688,972
  

 

 

   

 

 

   

 

 

   

 

 

 

Total^

   $     23,856,709     $     1,158,653,994     $     83,206,459     $     1,267,865,514  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

# The Fund held securities with zero market value at period end.
* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value.
^ There were no transfers between Level 1 and Level 2 during the reporting period.
** In May 2015, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2015-07 (the “ASU”) which removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The ASU is effective for annual periods beginning after December 15, 2015 and interim periods within those annual periods, with application of the amendments noted above retrospectively to all periods presented. The retrospective approach requires that an investment for which fair value is measured using the net asset value per share practical expedient be removed from the fair value hierarchy in all periods presented herein. Accordingly, the total investments with a fair value of $2,148,352 have not been categorized in the fair value hierarchy.


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

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

 

     Corporates - Non-
Investment  Grade#
    Emerging Markets -
Corporate Bonds
    Bank Loans     Commercial
Mortgage-Backed
Securities
 

Balance as of 3/31/17

   $ 15,636,996     $ 584,474     $ 4,531,506     $ 33,960,760  

Accrued discounts/(premiums)

     (43,401     (114,318     (5,787     63,135  

Realized gain (loss)

     (2,741,188     (685     (3,079,912     752,015  

Change in unrealized appreciation/depreciation

     734,268       (71,032     3,001,664       (222,155

Purchases/Payups

     8,083,927       3,271,537       2,130,735       1,656,000  

Sales/Paydowns

     (5,236,537     (3,290,448     (1,398,421     (11,756,674

Reclassification

     – 0  –      – 0  –      – 0  –      – 0  – 

Transfers into Level 3

     81,046       – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

     (5,306,780     – 0  –      (1,901,845     – 0  – 
  

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of 12/31/17

   $     11,208,331     $ 379,528     $ 3,277,940     $ 24,453,081  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from investments held as of 12/31/17

   $ 1,220,125     $ (2,802,246   $ (103,911   $ 1,700  
     Common Stocks#     Asset-Backed
Securities
    Preferred Stocks     Inflation-Linked
Securites
 

Balance as of 3/31/17

   $ 8,512,093     $ 12,345,172     $ 10,058,730     $ 2,356,795  

Accrued discounts/(premiums)

     – 0  –      336,431       – 0  –      3,422  

Realized gain (loss)

     (899,484     849,940       491,809       – 0  – 

Change in unrealized appreciation/depreciation

     1,409,313       (46,378     14,525       15,865  

Purchases

     3,113,538       7,281,155       1,382,200       – 0  – 

Sales/Paydowns

     (2,243,324     (2,993,358     (1,026,384     – 0  – 

Reclassification

     – 0  –      (890,344     – 0  –      – 0  – 

Transfers into Level 3

     976,480       – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

     (1,504,606     – 0  –      – 0  –      – 0  – 
  

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of 12/31/17

   $ 9,364,010     $     16,882,618     $     10,920,880     $ 2,376,082  
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from investments held as of 12/31/17

   $ 706,765     $ 62,631     $ 14,525     $ 15,865  


     Whole Loan Trusts     Collateralized Loan
Obligations
    Warrants#     Total  

Balance as of 3/31/17

   $ 8,232,252     $ – 0  –    $ 399,141     $ 96,617,919  

Accrued discounts/(premiums)

     13,118       69       – 0  –      252,669  

Realized gain (loss)

     (2,305,821     – 0  –      – 0  –      (6,933,326

Change in unrealized appreciation/depreciation

     706,363       13,826       (168,488     5,387,771  

Purchases/Payups

     118,132       412,943       6       27,450,173  

Sales/Paydowns

     (3,879,638     – 0  –      – 0  –      (31,824,784

Reclassification

     – 0  –      890,344       – 0  –      – 0  – 

Transfers into Level 3

     – 0  –      – 0  –      97       1,057,623  

Transfers out of Level 3

     – 0  –      – 0  –      (88,355     (8,801,586
  

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of 12/31/17

   $ 2,884,406     $     1,317,182     $     142,401     $ 83,206,459
  

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation from investments held as of 12/31/17

   $ (698,439   $ 13,826     $ (168,488   $ (1,737,647

 

# The Fund held securities with zero market value during the reporting period.
+ There were de minimis transfers between Level 1 and Level 3 during the reporting period. There were de minimis transfers between Level 2 and Level 3 during the reporting period.

The following presents information about significant unobservable inputs related to the Fund’s Level 3 investments at December 31, 2017. Securities priced (i) by the third party vendors, (ii) by brokers or (iii) using prior transaction prices, which approximates fair value, are excluded from the following table:

Quantitative Information about Level 3 Fair Value Measurements

 

     Fair Value at
12/31/17
    

Valuation Technique

   Unobservable Input   Range/
Weighted Average
 

Corporates—Non-Investment Grade

   $ 427,206     

Recovery Analysis

   Collateral Value   $ 100.00/N/A  
   $ 1,092     

Projected Cash Flow

   Terms of Escrow   $
 
1.80 per $1,000
Principal
 
 
  

 

 

         
   $ 428,298          
  

 

 

         

Common Stocks

   $ 3,093,245     

Market Approach

   NAV Equivalent   $ 1,047.49/N/A  
   $ 1,427,175     

Market Approach

   EBITDA* Projection   $ 96mm/N/A  
         EBITDA* Multiples     8.5X-9.5X/9.0X  
   $ 119,892     

Market Approach

   EBITDA* Projection   $ 25mm/N/A  
         EBITDA* Multiples     5.5X-7.5X/6.5X  
   $ 38,979     

Market Approach

   EBITDA* Projection   $ 311mm/N/A  
         EBITDA* Multiples     15.0X/N/A  
  

 

 

         
   $ 4,679,291          
  

 

 

         

Preferred Stocks

   $ 1,498,286     

Market Approach

   EBITDA* Projection   $ 96mm/N/A  
         EBITDA* Multiples     8.5X-9.5X/9.0X  

Whole Loan Trusts

   $ 1,513,306     

Market Approach

   Underlying NAV of the
Collateral
  $ 83.54/N/A  
   $ 859,452     

Recovery Analysis

   Cumulative Loss     <20%/N/A  
   $ 284,582     

Discounted Cash Flow

   Level Yield     55.60%/N/A  
   $ 137,547     

Discounted Cash Flow

   Level Yield     45.11%/N/A  
   $ 89,519     

Discounted Cash Flow

   Level Yield     53.69%/N/A  
  

 

 

         
   $ 2,884,406          
  

 

 

         

Warrants

   $ 8,679     

Option Pricing Model

   Exercise Price   $ 6.64/N/A  

 

* Earning Before Interest, Taxes, Depreciation and Amortization.

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


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

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

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

A summary of the Fund’s transactions in AB mutual funds for the nine months ended December 31, 2017 is as follows:

 

Fund

  Market Value
3/31/17
(000)
    Purchases
at Cost
(000)
    Sales
Proceeds
(000)
    Market  Value
12/31/17
(000)
    Dividend
Income
(000)
 

Government Money
Market Portfolio

  $ 36,558     $ 222,402     $ 246,313     $ 12,647     $ 106  


ITEM 2. CONTROLS AND PROCEDURES.

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

(b) There were no significant changes in the registrant’s internal control over financial reporting that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

ITEM 3. EXHIBITS.

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

 

EXHIBIT NO.

 

DESCRIPTION OF EXHIBIT

3 (a) (1)   Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
3 (a) (2)   Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002


SIGNATURES

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

(Registrant): AllianceBernstein Global High Income Fund, Inc.

 

By:   /s/    Robert M. Keith
 

Robert M. Keith

President

Date:   February 23, 2018

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

 

By:   /s/    Robert M. Keith
  Robert M. Keith
  President
Date:   February 23, 2018
By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   February 23, 2018