Edgar Filing: ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND INC

AllianceBernstein Global High Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-07732

ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND, INC.

(Exact name of registrant as specified in charter)

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: March 31, 2018

Date of reporting period: December 31, 2017

ITEM 1.

SCHEDULE OF INVESTMENTS.

AB Global High Income Fund

Portfolio of Investments

December 31, 2017 (unaudited)


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


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

				46,655,995

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


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

				21,546,132

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


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


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

				53,907,188

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


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

				33,015,552

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


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

				18,537,663

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

				3,076,414

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


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

				34,097,841

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

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


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

				10,982,966

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


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


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

				49,407,394

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


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


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


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

				72,169,640

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

				9,020,413

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


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

				18,451,603

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

				19,077,281

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


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

				13,409,431

				405,472,313

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


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

				57,041,763


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

				1,625,781

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

				12,309,977

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

				7,193,553

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


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

				5,260,054

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

				2,294,765

				85,725,893

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

				16,902,166


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

				18,027,230

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

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

				4,496,872

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

				14,913,898

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

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

				33,825,154

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


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

				10,136,194

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

				82,459,059

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

				1,504,889

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

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


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


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


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


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

				111,869,449

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


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

				20,512,460

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


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

				12,923,289

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

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

				15,882,300

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

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

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


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

				1,663,701

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

				5,637,359

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

				21,304,863

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

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

				1,983,679

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

				14,960,037

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

				1,791,875

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

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

Dominican Republic - 0.8%
Dominican Republic International Bond


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

				10,124,037

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

				3,545,825

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

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

				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

***

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

0.00

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

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

0.00

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

- 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

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

Collateralized Loan Obligations

– 0

–

– 0

–

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