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, 2016

Date of reporting period: June 30, 2016

ITEM 1.

SCHEDULE OF INVESTMENTS.

AB Global High Income Fund

Portfolio of Investments

June 30, 2016 (unaudited)


Company		Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE - 48.1%
Industrial - 41.2%
Basic - 2.9%
AK Steel Corp.
7.625%, 10/01/21	U.S.$		556	$	504,570
Aleris International, Inc.
7.875%, 11/01/20			664		587,640
Anglo American Capital PLC
4.125%, 4/15/21 (a)			200		189,000
4.875%, 5/14/25 (a)(b)			1,264		1,200,800
ArcelorMittal
6.125%, 6/01/25			742		738,290
8.00%, 10/15/39 (b)			1,141		1,106,770
Ashland, Inc.
4.75%, 8/15/22			501		498,495
Cliffs Natural Resources, Inc.
8.25%, 3/31/20 (a)			1,111		1,113,777
Consolidated Energy Finance SA
6.75%, 10/15/19 (a)			2,100		1,974,000
Constellium NV
5.75%, 5/15/24 (a)			400		315,000
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.
6.50%, 11/15/20			867		868,838
6.75%, 2/01/22			1,197		1,173,435
Freeport-McMoRan, Inc.
5.40%, 11/14/34			629		500,055
5.45%, 3/15/43			1,217		976,642
Ineos Finance PLC
4.00%, 5/01/23 (a)	EUR		790		840,810
INEOS Group Holdings SA
5.75%, 2/15/19 (a)			322		358,233
5.875%, 2/15/19 (a)	U.S.$		538		537,328
Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22 (a)			2,410		2,494,350
Lundin Mining Corp.
7.50%, 11/01/20 (a)			396		403,920
7.875%, 11/01/22 (a)			837		855,832
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (c)(d)(e)			2,857		114,280
Momentive Performance Materials, Inc.
3.88%, 10/24/21			1,772		1,406,525
8.875%, 10/15/20 (c)(f)(g)			1,772		0	^
Novelis, Inc.
8.75%, 12/15/20			1,663		1,733,677
Peabody Energy Corp.
6.00%, 11/15/18 (c)(d)			3,891		503,398
PQ Corp.
6.75%, 11/15/22 (a)			753		785,003
Smurfit Kappa Acquisitions
4.875%, 9/15/18 (a)			2,064		2,154,300
Smurfit Kappa Treasury Funding Ltd.
7.50%, 11/20/25			238		278,163


Company		Principal Amount (000)		U.S. $ Value
SPCM SA
6.00%, 1/15/22 (a)	U.S.$		400		404,000
Steel Dynamics, Inc.
5.25%, 4/15/23			587		598,740
6.125%, 8/15/19			225		232,875
6.375%, 8/15/22			532		558,600
Teck Resources Ltd.
3.75%, 2/01/23			650		494,000
4.50%, 1/15/21 (b)			386		335,820
5.20%, 3/01/42			827		541,685
5.40%, 2/01/43			1,658		1,085,990
6.25%, 7/15/41			238		168,980
8.00%, 6/01/21 (a)			50		51,500
8.50%, 6/01/24 (a)			71		73,663
Thompson Creek Metals Co., Inc.
7.375%, 6/01/18			2,579		1,856,880
9.75%, 12/01/17			876		876,000
United States Steel Corp.
8.375%, 7/01/21 (a)			932		978,600
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (a)			386		395,650

					32,866,114

Capital Goods - 3.3%
Accudyne Industries Borrower/Accudyne Industries LLC
7.75%, 12/15/20 (a)			1,194		1,053,705
American Builders & Contractors Supply Co., Inc.
5.75%, 12/15/23 (a)			560		579,600
Apex Tool Group LLC
7.00%, 2/01/21 (a)			1,225		1,056,562
Ardagh Finance Holdings SA
8.625%, 6/15/19 (a)(h)			405		408,685
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
6.00%, 6/30/21 (a)(b)			2,680		2,659,900
7.25%, 5/15/24 (a)			2,150		2,194,344
Ashtead Capital, Inc.
5.625%, 10/01/24 (a)			456		458,280
Berry Plastics Corp.
5.50%, 5/15/22			409		418,714
6.00%, 10/15/22			233		240,864
Bombardier, Inc.
5.75%, 3/15/22 (a)			1,250		1,062,500
6.00%, 10/15/22 (a)			457		390,735
6.125%, 1/15/23 (a)			302		257,455
7.50%, 3/15/25 (a)			418		361,570
7.75%, 3/15/20 (a)			1,266		1,243,845
EnPro Industries, Inc.
5.875%, 9/15/22			970		974,850
Gardner Denver, Inc.
6.875%, 8/15/21 (a)			1,297		1,177,027


Company		Principal Amount (000)		U.S. $ Value
GFL Environmental, Inc.
7.875%, 4/01/20 (a)	U.S.$		309		310,545
9.875%, 2/01/21 (a)			2,234		2,379,210
Herc Spinoff Escrow Issuer LLC/Herc Spinoff Escrow Issuer Corp.
7.75%, 6/01/24 (a)			2,235		2,179,125
KLX, Inc.
5.875%, 12/01/22 (a)			1,621		1,588,580
Masco Corp.
5.95%, 3/15/22			405		452,843
Pactiv LLC
7.95%, 12/15/25			1,110		1,151,625
8.375%, 4/15/27			234		245,700
Plastipak Holdings, Inc.
6.50%, 10/01/21 (a)			846		862,920
Rexam PLC
6.75%, 6/29/67 (a)	EUR		1,725		1,910,107
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
5.125%, 7/15/23 (a)	U.S.$		1,012		1,024,650
7.00%, 7/15/24 (a)			1,040		1,070,680
9.875%, 8/15/19			281		290,133
Sealed Air Corp.
6.875%, 7/15/33 (a)			1,295		1,372,700
SIG Combibloc Holdings SCA
7.75%, 2/15/23 (a)	EUR		682		796,887
Standard Industries, Inc./NJ
6.00%, 10/15/25 (a)	U.S.$		977		1,025,850
Terex Corp.
6.00%, 5/15/21			105		105,131
Textron Financial Corp.
6.00%, 2/15/67 (a)			575		350,750
TransDigm, Inc.
6.375%, 6/15/26 (a)			2,335		2,329,162
6.50%, 7/15/24			462		468,644
United Rentals North America, Inc.
5.50%, 7/15/25			789		777,165
5.75%, 11/15/24			2,058		2,073,435
5.875%, 9/15/26			225		223,313

					37,527,791

Communications - Media - 5.5%
Altice Financing SA
6.625%, 2/15/23 (a)			2,892		2,848,620
7.50%, 5/15/26 (a)			1,582		1,550,360
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (a)	GBP		1,086		1,541,098
CCO Holdings LLC/CCO Holdings Capital Corp.
5.375%, 5/01/25 (a)	U.S.$		128		129,920
5.50%, 5/01/26 (a)			1,012		1,027,180
5.75%, 1/15/24			166		174,698
5.875%, 4/01/24-5/01/27 (a)			877		907,393


Company		Principal Amount (000)		U.S. $ Value
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.125%, 12/15/21 (a)	U.S.$		1,891		1,801,177
6.375%, 9/15/20 (a)			426		433,157
7.75%, 7/15/25 (a)			861		897,593
Clear Channel Worldwide Holdings, Inc.
Series A
6.50%, 11/15/22			555		534,188
Series B
6.50%, 11/15/22			2,499		2,499,000
CSC Holdings LLC
5.25%, 6/01/24			2,467		2,244,970
DISH DBS Corp.
5.875%, 11/15/24			3,394		3,156,420
Gray Television, Inc.
5.875%, 7/15/26 (a)			993		995,483
Hughes Satellite Systems Corp.
7.625%, 6/15/21			2,129		2,291,070
iHeartCommunications, Inc.
6.875%, 6/15/18			2,299		1,609,300
9.00%, 12/15/19			407		305,250
10.00%, 1/15/18			633		325,995
14.00% (12.00% Cash and 2.00% PIK), 2/01/21 (h)			601		214,784
Intelsat Jackson Holdings SA
5.50%, 8/01/23			1,330		844,550
8.00%, 2/15/24 (a)			863		850,055
Intelsat Luxembourg SA
7.75%, 6/01/21			1,788		438,060
LGE HoldCo VI BV
7.125%, 5/15/24 (a)	EUR		968		1,184,347
Liberty Interactive LLC
3.75%, 2/15/30 (i)	U.S.$		884		511,544
Match Group, Inc.
6.375%, 6/01/24 (a)			418		434,720
McClatchy Co. (The)
9.00%, 12/15/22 (b)			958		934,050
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance
7.875%, 5/15/24 (a)			1,456		1,506,960
Mediacom Broadband LLC/Mediacom Broadband Corp.
6.375%, 4/01/23			2,168		2,265,560
Neptune Finco Corp.
10.125%, 1/15/23 (a)			565		631,388
Nexstar Broadcasting, Inc.
6.875%, 11/15/20			1,099		1,147,081
Nielsen Finance LLC/Nielsen Finance Co.
5.00%, 4/15/22 (a)			599		610,980
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.25%, 2/15/22			648		657,720
5.875%, 3/15/25			557		573,710


Company		Principal Amount (000)		U.S. $ Value
Radio One, Inc.
7.375%, 4/15/22 (a)	U.S.$		1,400		1,337,000
9.25%, 2/15/20 (a)			1,761		1,558,485
RR Donnelley & Sons Co.
7.25%, 5/15/18			1,268		1,347,250
Sinclair Television Group, Inc.
5.625%, 8/01/24 (a)			1,500		1,533,750
6.125%, 10/01/22			1,487		1,535,327
TEGNA, Inc.
4.875%, 9/15/21 (a)			284		291,100
5.50%, 9/15/24 (a)			162		166,860
6.375%, 10/15/23			718		762,875
Time, Inc.
5.75%, 4/15/22 (a)			1,486		1,396,840
Townsquare Media, Inc.
6.50%, 4/01/23 (a)			976		963,800
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
5.00%, 1/15/25 (a)			1,078		1,056,440
6.25%, 1/15/29 (a)	EUR		496		609,608
Univision Communications, Inc.
5.125%, 2/15/25 (a)	U.S.$		1,064		1,052,030
6.75%, 9/15/22 (a)			1,561		1,646,855
8.50%, 5/15/21 (a)			342		357,390
UPCB Finance V Ltd.
7.25%, 11/15/21 (a)			432		450,360
UPCB Finance VI Ltd.
6.875%, 1/15/22 (a)			558		580,320
Virgin Media Finance PLC
4.875%, 2/15/22			1,347		1,128,112
5.25%, 2/15/22			900		767,250
Virgin Media Secured Finance PLC
5.50%, 1/15/25 (a)	GBP		423		551,856
Wave Holdco LLC/Wave Holdco Corp.
8.25% (8.25% Cash or 9.00% PIK), 7/15/19 (a)(h)	U.S.$		251		252,054
WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.25%, 7/15/19			3,201		3,313,035
13.375%, 10/15/19			426		452,625
Ziggo Bond Finance BV
5.875%, 1/15/25 (a)			634		611,810

					61,801,413

Communications - Telecommunications - 3.7%
Altice Luxembourg SA
7.25%, 5/15/22 (a)	EUR		1,332		1,487,426
7.75%, 5/15/22 (a)	U.S.$		1,339		1,352,390
CenturyLink, Inc.
Series W
6.75%, 12/01/23			437		429,353
Cincinnati Bell, Inc.
8.375%, 10/15/20			185		192,938


Company		Principal Amount (000)		U.S. $ Value
Columbus International, Inc.
7.375%, 3/30/21 (a)	U.S.$		2,342		2,444,345
CommScope Technologies Finance LLC
6.00%, 6/15/25 (a)			518		530,950
Communications Sales & Leasing, Inc./CSL Capital LLC
6.00%, 4/15/23 (a)			1,345		1,365,175
8.25%, 10/15/23			2,912		2,953,875
Embarq Corp.
7.995%, 6/01/36			932		933,165
Frontier Communications Corp.
6.25%, 9/15/21			373		351,650
7.125%, 1/15/23			11		9,845
7.625%, 4/15/24			2,853		2,524,905
7.875%, 1/15/27			834		692,220
9.00%, 8/15/31			450		395,719
10.50%, 9/15/22			4		4,233
11.00%, 9/15/25			326		337,410
InterXion Holding NV
6.00%, 7/15/20 (a)	EUR		2,601		3,020,103
Level 3 Financing, Inc.
5.375%, 1/15/24	U.S.$		478		479,792
6.125%, 1/15/21			596		621,026
Numericable-SFR SA
5.375%, 5/15/22 (a)	EUR		264		296,958
5.625%, 5/15/24 (a)			386		430,874
6.00%, 5/15/22 (a)	U.S.$		1,610		1,565,725
7.375%, 5/01/26 (a)			330		326,288
Sable International Finance Ltd.
6.875%, 8/01/22 (a)			454		455,961
Sprint Capital Corp.
6.875%, 11/15/28			7		5,495
8.75%, 3/15/32			375		320,625
Sprint Communications, Inc.
6.00%, 11/15/22			700		550,830
Sprint Corp.
7.125%, 6/15/24			520		414,700
7.625%, 2/15/25			1,537		1,216,151
7.875%, 9/15/23			1,320		1,079,100
T-Mobile USA, Inc.
6.00%, 3/01/23			743		769,005
6.375%, 3/01/25			655		684,475
6.542%, 4/28/20			183		188,719
6.625%, 11/15/20			311		320,719
6.731%, 4/28/22			128		134,598
6.836%, 4/28/23			774		817,537
Telecom Italia Capital SA
7.20%, 7/18/36			483		483,604
7.721%, 6/04/38			1,700		1,768,000
Telecom Italia SpA/Milano
5.303%, 5/30/24 (a)			1,002		999,495
WaveDivision Escrow LLC/WaveDivision Escrow Corp.
8.125%, 9/01/20 (a)			1,084		1,127,360
Wind Acquisition Finance SA
4.75%, 7/15/20 (a)			1,029		1,008,420


Company		Principal Amount (000)		U.S. $ Value
7.375%, 4/23/21 (a)	U.S.$		2,214		2,108,835
Windstream Services LLC
6.375%, 8/01/23			982		824,880
7.75%, 10/01/21			1,715		1,616,387
Zayo Group LLC/Zayo Capital, Inc.
6.00%, 4/01/23			917		930,755
6.375%, 5/15/25			1,187		1,210,740

					41,782,756

Consumer Cyclical - Automotive - 1.6%
Commercial Vehicle Group, Inc.
7.875%, 4/15/19 (b)			2,285		2,216,450
Dana Financing Luxembourg Sarl
6.50%, 6/01/26 (a)			1,199		1,167,526
Dana Holding Corp.
6.00%, 9/15/23			833		845,495
Exide Technologies
Series AI
7.00%, 4/30/25 (f)(h)(i)(j)			3,974		2,841,502
11.00%, 4/30/20 (g)(h)			4,776		3,772,713
Gates Global LLC/Gates Global Co.
5.75%, 7/15/22 (a)	EUR		125		115,680
6.00%, 7/15/22 (a)	U.S.$		1,631		1,427,125
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28			400		434,000
8.75%, 8/15/20			112		132,440
Meritor, Inc.
6.25%, 2/15/24			1,093		934,515
6.75%, 6/15/21			925		864,875
Navistar International Corp.
8.25%, 11/01/21			1,836		1,289,790
Schaeffler Holding Finance BV
6.75%, 11/15/22 (a)(h)			611		672,540
ZF North America Capital, Inc.
4.75%, 4/29/25 (a)			1,153		1,168,127

					17,882,778

Consumer Cyclical - Entertainment - 0.6%
AMC Entertainment, Inc.
5.75%, 6/15/25			1,115		1,109,425
Carlson Travel Holdings, Inc.
7.50% (7.50% Cash or 8.25% PIK), 8/15/19 (a)(h)			1,107		1,057,185
Carlson Wagonlit BV
6.875%, 6/15/19 (a)			1,026		1,063,192
ClubCorp Club Operations, Inc.
8.25%, 12/15/23 (a)			546		543,270
Live Nation Entertainment, Inc.
7.00%, 9/01/20 (a)			740		770,525
Pinnacle Entertainment, Inc.
5.625%, 5/01/24 (a)			829		826,928


Company		Principal Amount (000)		U.S. $ Value
Regal Entertainment Group
5.75%, 6/15/23-2/01/25	U.S.$		1,624		1,623,580

					6,994,105

Consumer Cyclical - Other - 3.1%
Beazer Homes USA, Inc.
5.75%, 6/15/19 (b)			1,690		1,537,900
7.50%, 9/15/21			1,307		1,130,555
Boyd Gaming Corp.
6.375%, 4/01/26 (a)			388		405,460
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18 (c)(d)			700		278,250
11.25%, 6/01/17 (c)(d)			435		401,288
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope
8.00%, 10/01/20			1,260		1,263,150
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc.
9.375%, 5/01/22			1,017		945,810
CalAtlantic Group, Inc.
6.625%, 5/01/20			1,332		1,461,870
8.375%, 5/15/18			500		548,125
10.75%, 9/15/16			528		536,712
Cirsa Funding Luxembourg SA
5.75%, 5/15/21 (a)	EUR		396		449,507
Eldorado Resorts, Inc.
7.00%, 8/01/23	U.S.$		798		827,925
GLP Capital LP/GLP Financing II, Inc.
5.375%, 4/15/26			404		416,120
International Game Technology PLC
6.25%, 2/15/22 (a)			2,050		2,083,312
6.50%, 2/15/25 (a)			1,745		1,758,087
Isle of Capri Casinos, Inc.
5.875%, 3/15/21			41		42,538
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21			2,257		1,625,040
7.25%, 10/15/20 (a)			528		456,720
KB Home
4.75%, 5/15/19			1,121		1,123,802
7.00%, 12/15/21			536		538,680
7.50%, 9/15/22			494		508,820
9.10%, 9/15/17			700		745,500
MDC Holdings, Inc.
5.50%, 1/15/24			150		148,500
6.00%, 1/15/43			3,220		2,471,350
Meritage Homes Corp.
6.00%, 6/01/25			1,895		1,904,475
7.00%, 4/01/22			1,012		1,092,960
MGM Growth Properties Operating Partnership LP/MGP Escrow Co-Issuer, Inc.
5.625%, 5/01/24 (a)			311		328,883
New Cotai LLC/New Cotai Capital Corp.
10.625%, 5/01/19 (a)(h)			1,452		896,484


Company		Principal Amount (000)		U.S. $ Value
PulteGroup, Inc.
6.00%, 2/15/35	U.S.$		500		497,500
6.375%, 5/15/33			385		399,438
7.875%, 6/15/32			1,400		1,585,500
Safari Holding Verwaltungs GmbH
8.25%, 2/15/21 (a)	EUR		368		426,480
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (a)	U.S.$		420		415,800
6.125%, 4/01/25 (a)			830		825,850
Taylor Morrison Communities, Inc./Monarch Communities, Inc.
5.625%, 3/01/24 (a)			2,266		2,209,350
5.875%, 4/15/23 (a)			875		879,375
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 3/01/25 (a)(b)			785		759,487
Wynn Macau Ltd.
5.25%, 10/15/21 (a)			1,265		1,230,592

					35,157,195

Consumer Cyclical - Restaurants - 0.3%
1011778 BC ULC/New Red Finance, Inc.
6.00%, 4/01/22 (a)			1,991		2,065,045
Pizzaexpress Financing 1 PLC
8.625%, 8/01/22 (a)	GBP		198		239,732
Pizzaexpress Financing 2 PLC
6.625%, 8/01/21 (a)			692		863,500

					3,168,277

Consumer Cyclical - Retailers - 2.0%
American Tire Distributors, Inc.
10.25%, 3/01/22 (a)	U.S.$		1,663		1,459,282
Argos Merger Sub, Inc.
7.125%, 3/15/23 (a)			2,426		2,498,780
Brighthouse Group PLC
7.875%, 5/15/18 (a)(b)	GBP		762		912,109
Cash America International, Inc.
5.75%, 5/15/18	U.S.$		1,651		1,675,765
Dufry Finance SCA
4.50%, 8/01/23 (a)	EUR		1,208		1,397,553
Group 1 Automotive, Inc.
5.00%, 6/01/22	U.S.$		372		366,420
JC Penney Corp., Inc.
5.875%, 7/01/23 (a)			26		26,163
6.375%, 10/15/36			421		318,781
7.40%, 4/01/37			600		480,000
L Brands, Inc.
6.875%, 11/01/35			230		232,875
6.90%, 7/15/17			893		947,026
6.95%, 3/01/33			500		496,250
7.60%, 7/15/37			1,000		1,037,500
Levi Strauss & Co.
5.00%, 5/01/25			1,380		1,386,900


Company		Principal Amount (000)		U.S. $ Value
Murphy Oil USA, Inc.
6.00%, 8/15/23	U.S.$		716		741,060
Neiman Marcus Group Ltd. LLC
8.75% (8.75% Cash or 9.50% PIK), 10/15/21 (a)(h)			2,504		1,903,040
New Look Secured Issuer PLC
6.50%, 7/01/22 (a)	GBP		418		511,222
Rite Aid Corp.
6.125%, 4/01/23 (a)	U.S.$		2,029		2,165,957
Sally Holdings LLC/Sally Capital, Inc.
5.75%, 6/01/22			1,779		1,843,489
Serta Simmons Bedding LLC
8.125%, 10/01/20 (a)			898		923,818
Sonic Automotive, Inc.
5.00%, 5/15/23			1,133		1,110,340
Wolverine World Wide, Inc.
6.125%, 10/15/20			501		519,161

					22,953,491

Consumer Non-Cyclical - 7.2%
Acadia Healthcare Co., Inc.
6.50%, 3/01/24 (a)			232		235,480
Air Medical Merger Sub Corp.
6.375%, 5/15/23 (a)			1,985		1,885,750
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC
6.625%, 6/15/24 (a)			1,645		1,698,462
Alere, Inc.
6.375%, 7/01/23 (a)			392		408,660
7.25%, 7/01/18			765		785,081
Amsurg Corp.
5.625%, 7/15/22			1,009		1,036,747
Aramark Services, Inc.
5.125%, 1/15/24			274		279,480
BI-LO LLC/BI-LO Finance Corp.
8.625% (8.625% Cash or 9.375% PIK), 9/15/18 (a)(h)			2,117		1,397,220
9.25%, 2/15/19 (a)			1,171		1,018,770
Boparan Finance PLC
5.25%, 7/15/19 (a)(b)	GBP		588		733,852
5.50%, 7/15/21 (a)			1,725		2,003,615
Care UK Health & Social Care PLC
5.588% (LIBOR 3 Month + 5.00%), 7/15/19 (a)(k)			268		292,555
8.088% (LIBOR 3 Month + 7.50%), 1/15/20 (a)(k)			400		426,000
Cerba European Lab SAS
7.00%, 2/01/20 (a)	EUR		959		1,102,031
Cerberus Nightingale 1 SARL
8.25%, 2/01/20 (a)			200		226,167
CHS/Community Health Systems, Inc.
6.875%, 2/01/22 (b)	U.S.$		2,694		2,357,250
7.125%, 7/15/20			781		724,057


Company		Principal Amount (000)		U.S. $ Value
Concordia International Corp.
7.00%, 4/15/23 (a)	U.S.$		186		158,565
9.50%, 10/21/22 (a)			2,240		2,088,800
DaVita HealthCare Partners, Inc.
5.00%, 5/01/25			1,835		1,818,944
Endo Finance LLC
5.75%, 1/15/22 (a)			126		113,702
Endo Finance LLC/Endo Finco, Inc.
7.75%, 1/15/22 (a)			332		307,930
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.
6.00%, 7/15/23-2/01/25 (a)			3,990		3,475,650
First Quality Finance Co., Inc.
4.625%, 5/15/21 (a)			3,247		3,068,415
Galaxy Bidco Ltd.
6.375%, 11/15/20 (a)	GBP		133		173,515
Grifols Worldwide Operations Ltd.
5.25%, 4/01/22	U.S.$		745		758,037
HCA, Inc.
4.25%, 10/15/19			1,475		1,537,687
5.375%, 2/01/25			209		214,225
5.875%, 2/15/26			226		234,475
Hill-Rom Holdings, Inc.
5.75%, 9/01/23 (a)			265		270,963
Holding Medi-Partenaires SAS
7.00%, 5/15/20 (a)	EUR		1,001		1,156,683
7.00%, 5/15/20 (a)(b)			400		461,656
Horizon Pharma, Inc.
6.625%, 5/01/23 (b)	U.S.$		1,682		1,564,260
HRG Group, Inc.
7.875%, 7/15/19			2,084		2,185,595
IASIS Healthcare LLC/IASIS Capital Corp.
8.375%, 5/15/19			3,759		3,610,989
IDH Finance PLC
6.00%, 12/01/18 (a)	GBP		355		458,416
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21 (a)	U.S.$		506		537,939
10.50%, 11/01/18			2,209		2,197,955
LifePoint Health, Inc.
5.875%, 12/01/23			1,448		1,505,920
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (a)			2,087		1,861,854
5.625%, 10/15/23 (a)			270		251,438
5.75%, 8/01/22 (a)			1,181		1,121,950
Manitowoc Foodservice, Inc.
9.50%, 2/15/24 (a)			662		739,785
MEDNAX, Inc.
5.25%, 12/01/23 (a)			422		427,275
MPH Acquisition Holdings LLC
7.125%, 6/01/24 (a)			1,043		1,095,150
NBTY, Inc.
7.625%, 5/15/21 (a)			2,770		2,773,462


Company		Principal Amount (000)		U.S. $ Value
Post Holdings, Inc.
7.75%, 3/15/24 (a)	U.S.$		605		664,744
8.00%, 7/15/25 (a)			1,024		1,135,360
Quorum Health Corp.
11.625%, 4/15/23 (a)			1,100		1,105,500
R&R Ice Cream PLC
8.25%, 5/15/20 (a)	AUD		720		557,004
R&R PIK PLC
9.25%, 5/15/18 (a)(h)	EUR		1,668		1,854,025
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
9.50%, 6/15/19 (e)	U.S.$		413		423,325
RSI Home Products, Inc.
6.50%, 3/15/23 (a)			1,785		1,834,087
Smithfield Foods, Inc.
5.25%, 8/01/18 (a)			814		822,140
5.875%, 8/01/21(a)			1,318		1,374,015
6.625%, 8/15/22			346		362,328
Spectrum Brands, Inc.
6.125%, 12/15/24			361		380,855
6.375%, 11/15/20			338		352,788
6.625%, 11/15/22			560		594,300
Sun Products Corp. (The)
7.75%, 3/15/21 (a)			3,407		3,530,504
Surgical Care Affiliates, Inc.
6.00%, 4/01/23 (a)			480		494,400
Synlab Bondco PLC
6.25%, 7/01/22 (a)	EUR		1,525		1,785,449
Synlab Unsecured Bondco PLC
8.25%, 7/01/23 (a)			400		450,558
Tenet Healthcare Corp.
6.00%, 10/01/20	U.S.$		95		100,225
6.75%, 6/15/23 (b)			1,308		1,252,410
6.875%, 11/15/31			3,384		2,728,350
8.125%, 4/01/22			752		770,650
Valeant Pharmaceuticals International, Inc.
5.50%, 3/01/23 (a)			230		184,719
5.875%, 5/15/23 (a)			396		319,770
6.125%, 4/15/25 (a)			3,104		2,490,960
7.25%, 7/15/22 (a)			635		544,640
Vizient, Inc.
10.375%, 3/01/24 (a)			404		433,290
Voyage Care Bondco PLC
6.50%, 8/01/18 (a)	GBP		1,200		1,529,287

					80,858,095

Energy – 5.2%
Antero Resources Corp.
5.625%, 6/01/23	U.S.$		231		224,070
Berry Petroleum Co. LLC
6.375%, 9/15/22 (c)(d)			3,241		1,118,145
BreitBurn Energy Partners LP/BreitBurn Finance Corp.
7.875%, 4/15/22 (c)(d)			703		140,600


Company		Principal Amount (000)		U.S. $ Value
California Resources Corp.
5.00%, 1/15/20	U.S.$		291		153,503
5.50%, 9/15/21			299		150,995
6.00%, 11/15/24			1,126		551,740
8.00%, 12/15/22 (a)			1,271		902,410
Carrizo Oil & Gas, Inc.
7.50%, 9/15/20			246		249,075
Cenovus Energy, Inc.
4.45%, 9/15/42			822		654,110
6.75%, 11/15/39			67		70,359
CHC Helicopter SA
9.25%, 10/15/20 (c)(d)(g)			6,269		2,789,883
9.375%, 6/01/21 (c)(d)(g)			326		45,682
Cheniere Corpus Christi Holdings LLC
7.00%, 6/30/24 (a)			1,805		1,853,518
Chesapeake Energy Corp.
3.878% (LIBOR 3 Month + 3.25%), 4/15/19(k)			1,829		1,376,322
6.125%, 2/15/21			349		235,575
7.25%, 12/15/18			382		332,340
Cobalt International Energy, Inc.
2.625%, 12/01/19 (i)			796		298,500
Continental Resources, Inc./OK
3.80%, 6/01/24			96		83,760
4.50%, 4/15/23			232		216,340
4.90%, 6/01/44			212		174,900
5.00%, 9/15/22 (b)			973		951,107
DCP Midstream Operating LP
5.60%, 4/01/44			1,848		1,580,040
Denbury Resources, Inc.
4.625%, 7/15/23			439		283,155
5.50%, 5/01/22			406		274,050
Energy Transfer Equity LP
5.875%, 1/15/24			2,828		2,750,230
7.50%, 10/15/20			309		327,540
Energy XXI Gulf Coast, Inc.
7.75%, 6/15/19 (c)(d)			1,100		121,000
Ensco PLC
4.50%, 10/01/24			488		326,960
5.20%, 3/15/25			208		144,560
EP Energy LLC/Everest Acquisition Finance, Inc.
6.375%, 6/15/23			467		280,200
7.75%, 9/01/22			449		273,890
9.375%, 5/01/20			2,884		2,040,430
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22			2,976		2,477,520
Golden Energy Offshore Services AS
5.00%, 12/31/17 (e)	NOK		9,162		295,596
Hilcorp Energy I LP/Hilcorp Finance Co.
5.75%, 10/01/25 (a)	U.S.$		462		441,210
Holly Energy Partners LP/Holly Energy Finance Corp.
6.50%, 3/01/20 (g)			1,317		1,323,585
Hornbeck Offshore Services, Inc.
5.875%, 4/01/20			1,570		993,025


Company		Principal Amount (000)		U.S. $ Value
Laredo Petroleum, Inc.
5.625%, 1/15/22	U.S.$		198		185,130
7.375%, 5/01/22 (b)			1,112		1,114,780
Linn Energy LLC/Linn Energy Finance Corp.
6.25%, 11/01/19 (c)(d)			766		128,305
8.625%, 4/15/20 (c)(d)			802		137,343
Newfield Exploration Co.
5.625%, 7/01/24			646		646,000
Noble Holding International Ltd.
3.95%, 3/15/22			525		365,531
6.95%, 4/01/25 (l)			274		218,515
7.95%, 4/01/45			743		521,958
Northern Oil and Gas, Inc.
8.00%, 6/01/20			819		618,345
Oasis Petroleum, Inc.
6.50%, 11/01/21			128		116,800
6.875%, 3/15/22 (b)			1,641		1,515,874
6.875%, 1/15/23			178		161,980
Pacific Drilling SA
5.375%, 6/01/20 (a)			2,442		732,600
Paragon Offshore PLC
6.75%, 7/15/22 (a)(c)(d)			933		279,900
7.25%, 8/15/24 (a)(c)(d)			3,719		1,115,700
PHI, Inc.
5.25%, 3/15/19			1,567		1,449,475
Precision Drilling Corp.
6.50%, 12/15/21			738		662,355
QEP Resources, Inc.
5.25%, 5/01/23			1,248		1,148,160
6.875%, 3/01/21			1,225		1,237,250
Range Resources Corp.
5.00%, 3/15/23 (b)			928		870,000
Sabine Pass Liquefaction LLC
5.75%, 5/15/24			424		420,820
5.875%, 6/30/26 (a)			578		580,167
6.25%, 3/15/22			675		693,562
Sabine Pass LNG LP
6.50%, 11/01/20			757		787,753
Sanchez Energy Corp.
6.125%, 1/15/23			851		657,397
SandRidge Energy, Inc.
7.50%, 2/15/23 (c)(d)			865		52,981
8.125%, 10/15/22 (c)(d)			2,076		119,370
8.75%, 6/01/20 (a)(c)(d)			800		328,000
Seitel, Inc.
9.50%, 4/15/19			597		410,438
SM Energy Co.
5.00%, 1/15/24			635		542,925
5.625%, 6/01/25			638		548,680
6.50%, 1/01/23			474		440,820
Southern Star Central Corp.
5.125%, 7/15/22 (a)			1,200		1,170,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.75%, 3/15/24 (a)			991		1,015,775
6.875%, 2/01/21			960		976,800


Company		Principal Amount (000)		U.S. $ Value
Tervita Corp.
8.00%, 11/15/18 (e)	U.S.$		2,086		1,992,130
9.75%, 11/01/19 (e)			1,364		361,460
10.875%, 2/15/18 (e)			5,616		1,488,240
Transocean, Inc.
5.05%, 10/15/22 (m)			425		300,688
6.50%, 11/15/20			86		76,428
6.80%, 3/15/38			2,768		1,806,120
Vantage Drilling International
7.125%, 4/01/23 (c)(f)(j)			1,283		0	^
7.50%, 11/01/19 (c)(f)(j)			2,176		0	^
10.00%, 12/31/20 (j)			105		97,650
Weatherford International Ltd./Bermuda
4.50%, 4/15/22			115		98,613
5.95%, 4/15/42			594		421,740
6.50%, 8/01/36			752		539,560
6.75%, 9/15/40			849		628,260
7.00%, 3/15/38			600		444,000
Whiting Petroleum Corp.
1.25%, 4/01/20 (i)			542		428,858
5.00%, 3/15/19			339		311,880
WPX Energy, Inc.
5.25%, 9/15/24			1,428		1,256,640
8.25%, 8/01/23			187		187,468

					58,917,149

Other Industrial - 1.2%
Algeco Scotsman Global Finance PLC
8.50%, 10/15/18 (a)			945		765,450
9.00%, 10/15/18 (a)	EUR		633		565,490
B456 Systems, Inc.
3.75%, 4/15/16 (c)(i)(j)(n)	U.S.$		955		9,550
Belden, Inc.
5.25%, 7/15/24 (a)			793		767,227
Briggs & Stratton Corp.
6.875%, 12/15/20			398		433,820
General Cable Corp.
4.50%, 11/15/29 (i)(m)			1,158		663,679
5.75%, 10/01/22			1,460		1,343,200
Laureate Education, Inc.
9.25%, 9/01/19 (a)			2,984		2,611,000
Liberty Tire Recycling LLC
11.00%, 3/31/21 (e)(f)(h)			1,383		1,172,142
Modular Space Corp.
10.25%, 1/31/19 (a)			1,068		512,640
New Enterprise Stone & Lime Co., Inc.
11.00%, 9/01/18			1,358		1,259,545
12.00%, 3/15/18 (h)			1,405		1,450,920
Safway Group Holding LLC/Safway Finance Corp.
7.00%, 5/15/18 (a)			1,971		1,966,072

					13,520,735


Company		Principal Amount (000)		U.S. $ Value
Services - 0.6%
APX Group, Inc.
6.375%, 12/01/19	U.S.$		469		464,310
7.875%, 12/01/22 (a)			959		966,193
8.75%, 12/01/20			648		594,540
Prime Security Services Borrower LLC/Prime Finance, Inc.
9.25%, 5/15/23 (a)			3,221		3,414,260
Service Corp. International/US
7.50%, 4/01/27			1,500		1,740,000

					7,179,303

Technology - 2.7%
Alcatel-Lucent USA, Inc.
6.45%, 3/15/29			835		870,487
Amkor Technology, Inc.
6.375%, 10/01/22			2,681		2,580,462
Avaya, Inc.
7.00%, 4/01/19 (a)			2,558		1,828,970
10.50%, 3/01/21 (a)			831		186,975
Blackboard, Inc.
7.75%, 11/15/19 (a)			544		456,960
BMC Software Finance, Inc.
8.125%, 7/15/21 (a)			3,076		2,307,000
BMC Software, Inc.
7.25%, 6/01/18			66		62,700
CDW LLC/CDW Finance Corp.
5.00%, 9/01/23			740		745,173
5.50%, 12/01/24			450		464,625
Ceridian HCM Holding, Inc.
11.00%, 3/15/21 (a)			897		892,515
Compiler Finance Sub, Inc.
7.00%, 5/01/21 (a)			411		172,620
CPI International, Inc.
8.75%, 2/15/18			961		956,195
Dell, Inc.
6.50%, 4/15/38			1,345		1,123,075
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
7.125%, 6/15/24 (a)			472		492,967
Energizer Holdings, Inc.
5.50%, 6/15/25 (a)			1,311		1,304,445
Ensemble S Merger Sub, Inc.
9.00%, 9/30/23 (a)			1,702		1,680,725
First Data Corp.
6.75%, 11/01/20 (a)			273		285,285
7.00%, 12/01/23 (a)			628		635,850
Goodman Networks, Inc.
12.125%, 7/01/18 (g)			2,020		1,010,000
Infor Software Parent LLC/Infor Software Parent, Inc.
7.125% (7.125% Cash or 7.875% PIK), 5/01/21 (a)(h)			1,358		1,201,830


Company		Principal Amount (000)		U.S. $ Value
Infor US, Inc.
6.50%, 5/15/22	U.S.$		1,711		1,615,834
Micron Technology, Inc.
5.25%, 8/01/23-1/15/24 (a)			950		807,561
5.50%, 2/01/25			2,844		2,417,400
Nokia Oyj
6.625%, 5/15/39			527		557,302
NXP BV/NXP Funding LLC
5.75%, 3/15/23 (a)			924		965,580
Sabre GLBL, Inc.
5.25%, 11/15/23 (a)			342		347,985
5.375%, 4/15/23 (a)			720		736,200
Solera LLC/Solera Finance, Inc.
10.50%, 3/01/24 (a)			1,089		1,144,811
Syniverse Holdings, Inc.
9.125%, 1/15/19			813		398,370
Western Digital Corp.
10.50%, 4/01/24 (a)			1,760		1,883,200

					30,133,102

Transportation - Airlines - 0.4%
Air Canada
6.75%, 10/01/19 (a)			1,300		1,345,760
8.75%, 4/01/20 (a)			2,074		2,188,070
UAL Pass-Through Trust
Series 2007-1A
6.636%, 7/02/22			1,244		1,315,591

					4,849,421

Transportation - Services - 0.9%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.25%, 3/15/25 (a)			311		281,455
5.50%, 4/01/23 (b)			806		795,925
6.375%, 4/01/24 (a)			460		453,100
Avis Budget Finance PLC
6.00%, 3/01/21 (a)	EUR		1,113		1,269,118
CEVA Group PLC
9.00%, 9/01/21 (a)	U.S.$		1,836		1,441,260
EC Finance PLC
5.125%, 7/15/21 (a)	EUR		836		964,861
Europcar Groupe SA
5.75%, 6/15/22 (a)(b)			670		769,928
Hertz Corp. (The)
5.875%, 10/15/20 (b)	U.S.$		2,191		2,245,775
XPO CNW, Inc.
6.70%, 5/01/34			1,371		904,860
7.25%, 1/15/18			620		623,100


Company		Principal Amount (000)		U.S. $ Value
XPO Logistics, Inc.
6.50%, 6/15/22 (a)	U.S.$		206		196,473

					9,945,855

					465,537,580

Financial Institutions - 5.2%
Banking - 3.0%
Ally Financial, Inc.
8.00%, 11/01/31			1,151		1,349,548
Banco Bilbao Vizcaya Argentaria SA
6.75%, 2/18/20 (a)(o)	EUR		800		759,069
Bank of Ireland
10.00%, 2/12/20 (a)(b)			1,130		1,491,570
Barclays Bank PLC
6.86%, 6/15/32 (a)(o)	U.S.$		166		185,920
7.625%, 11/21/22			1,479		1,591,774
7.70%, 4/25/18 (a)(o)			974		1,014,535
7.75%, 4/10/23			1,437		1,483,703
Barclays PLC
8.00%, 12/15/20 (o)	EUR		263		271,755
BBVA International Preferred SAU
1.384% (EURIBOR 3 Month + 1.65%), 9/22/16 (k)(o)			609		602,847
4.952%, 9/20/16 (a)(b)(o)			1,650		1,739,379
Citigroup, Inc.
5.95%, 1/30/23 (o)	U.S.$		2,689		2,657,068
Credit Agricole SA
7.589%, 1/30/20 (o)	GBP		1,000		1,424,437
8.125%, 12/23/25 (a)(o)	U.S.$		1,461		1,461,000
Credit Suisse Group AG
7.50%, 12/11/23 (a)(o)			4,437		4,437,000
Danske Bank A/S
Series E
5.684%, 2/15/17 (o)	GBP		720		958,500
HT1 Funding GmbH
6.352%, 6/30/17 (o)	EUR		1,550		1,720,542
ING Groep NV
6.00%, 4/16/20 (o)	U.S.$		688		634,680
6.50%, 4/16/25 (o)			1,143		1,051,560
Intesa Sanpaolo SpA
5.71%, 1/15/26 (a)			2,690		2,550,432
Lloyds Banking Group PLC
6.413%, 10/01/35 (a)(o)			235		251,450
6.657%, 5/21/37 (a)(o)			98		105,350
7.50%, 6/27/24 (o)			528		516,120
RBS Capital Trust C
Series 385
1.442% (EURIBOR 3 Month + 1.69%), 7/12/16 (k)(o)	EUR		1,250		1,383,811
Royal Bank of Scotland Group PLC
8.00%, 8/10/25 (o)	U.S.$		1,310		1,221,575


Company		Principal Amount (000)		U.S. $ Value
SNS Bank NV
11.25%, 12/31/49 (c)(f)(j)	EUR		620		0	^
Societe Generale SA
8.00%, 9/29/25 (a)(o)	U.S.$		1,124		1,073,420
UBS Group AG
7.00%, 2/19/25 (a)(o)			2,065		2,090,812
Zions Bancorporation
5.65%, 11/15/23			508		510,540

					34,538,397

Brokerage - 0.0%
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (c)			1,690		118,300

Finance - 1.3%
Artsonig Pty Ltd.
11.50% (11.50% Cash or 12.00 PIK), 4/01/19 (a)(h)			1,651		132,052
Creditcorp
12.00%, 7/15/18 (a)			1,300		494,000
Enova International, Inc.
9.75%, 6/01/21			2,216		1,745,100
ILFC E-Capital Trust II
4.23% (LIBOR 3 Month +1.80%), 12/21/65 (a)(k)			2,000		1,580,000
International Lease Finance Corp.
8.25%, 12/15/20			2,170		2,565,634
8.75%, 3/15/17			282		294,408
8.875%, 9/01/17			280		298,550
Navient Corp.
5.50%, 1/15/19			2,496		2,500,742
5.875%, 3/25/21			572		540,180
6.125%, 3/25/24			250		219,375
7.25%, 1/25/22			377		359,093
8.00%, 3/25/20			233		238,098
Peninsula Gaming LLC/Peninsula Gaming Corp.
8.375%, 2/15/18 (a)(b)			996		1,000,980
TMX Finance LLC/TitleMax Finance Corp.
8.50%, 9/15/18 (a)			2,901		2,320,800

					14,289,012

Insurance - 0.4%
Genworth Holdings, Inc.
6.15%, 11/15/66			750		247,500
7.625%, 9/24/21			1,216		1,035,120
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (a)			2,559		2,789,310

					4,071,930

Other Finance - 0.5%
CNG Holdings, Inc.
9.375%, 5/15/20 (a)			601		294,490


Company		Principal Amount (000)		U.S. $ Value
iPayment, Inc.
9.50%, 12/15/19 (a)	U.S.$		2,315		2,268,367
Lincoln Finance Ltd.
6.875%, 4/15/21 (a)	EUR		1,139		1,352,485
7.375%, 4/15/21 (a)	U.S.$		311		321,885
Speedy Cash Intermediate Holdings Corp.
10.75%, 5/15/18 (a)			778		447,350
Speedy Group Holdings Corp.
12.00%, 11/15/17 (a)			1,711		650,180

					5,334,757

REITS - 0.0%
VEREIT Operating Partnership LP
4.875%, 6/01/26			302		309,550

					58,661,946

Utility - 1.7%
Electric - 1.7%
AES Corp./VA
4.875%, 5/15/23			1,840		1,817,000
7.375%, 7/01/21			634		714,835
Calpine Corp.
5.50%, 2/01/24			985		950,525
5.75%, 1/15/25			1,388		1,349,830
7.875%, 1/15/23 (a)			152		160,360
ContourGlobal Power Holdings SA
5.125%, 6/15/21 (a)	EUR		1,501		1,649,077
7.125%, 6/01/19 (a)	U.S.$		1,703		1,749,833
DPL, Inc.
6.75%, 10/01/19			465		471,975
Dynegy, Inc.
7.375%, 11/01/22			775		747,875
7.625%, 11/01/24			981		941,760
Emera, Inc.
Series 16-A
6.75%, 6/15/76			1,134		1,149,876
FirstEnergy Corp.
Series C
7.375%, 11/15/31			857		1,063,725
GenOn Energy, Inc.
9.50%, 10/15/18			1,450		1,152,750
NRG Energy, Inc.
7.25%, 5/15/26 (a)			1,791		1,782,045
NRG Yield Operating LLC
5.375%, 8/15/24			843		838,785
Talen Energy Supply LLC
4.60%, 12/15/21			1,475		1,084,125
Texas Competitive/TCEH
11.50%, 10/01/20 (d)			626		212,840
Viridian Group FundCo II Ltd.
7.50%, 3/01/20 (a)	EUR		1,311		1,504,712

					19,341,928


Company		Principal Amount (000)		U.S. $ Value
Total Corporates - Non-Investment Grade (cost $581,114,052)					543,541,454

GOVERNMENTS - TREASURIES - 14.8%
Colombia - 0.3%
Colombian TES
Series B
7.75%, 9/18/30	COP		1,920,400		662,062
10.00%, 7/24/24			8,000,000		3,183,959

					3,846,021

Mexico - 0.5%
Mexican Bonos
Series M
6.50%, 6/10/21	MXN		90,000		5,144,348

South Africa - 0.3%
South Africa Government Bond
Series R204
8.00%, 12/21/18	ZAR		10,750		730,990
Series R207
7.25%, 1/15/20			43,372		2,865,944
Series R208
6.75%, 3/31/21			490		31,288

					3,628,222

Turkey - 0.5%
Turkey Government Bond
8.30%, 6/20/18	TRY		16,200		5,600,869

United States - 13.2%
U.S. Treasury Bonds
2.75%, 11/15/42 (p)(q)	U.S.$		3,000		3,300,234
3.125%, 2/15/42 (b)(q)			4,000		4,726,564
4.50%, 2/15/36 (p)			2,400		3,456,938
5.00%, 5/15/37 (q)			3,500		5,380,158
5.25%, 2/15/29 (p)			5,750		8,130,408
6.125%, 11/15/27 (p)(q)			2,200		3,247,578
8.125%, 5/15/21 (b)			26,250		35,154,499
U.S. Treasury Notes
0.875%, 4/15/19 (b)			63,074		63,374,611
1.25%, 1/31/20 (b)			12,500		12,682,612
2.25%, 11/15/25 (q)			8,500		9,068,438

					148,522,040

Total Governments - Treasuries (cost $162,938,909)					166,741,500

COLLATERALIZED MORTGAGE OBLIGATIONS - 12.6%
Risk Share Floating Rate - 8.5%
Bellemeade Re II Ltd.
Series 2016-1A, Class B1
12.453% (LIBOR 1 Month + 12.00%), 4/25/26 (a)(k)			283		283,102
Series 2016-1A, Class M2B


Company		Principal Amount (000)		U.S. $ Value
6.953% (LIBOR 1 Month + 6.50%), 4/25/26 (a)(k)	U.S.$		3,572		3,594,492
Bellemeade Re Ltd.
Series 2015-1A, Class M2
4.746% (LIBOR 1 Month + 4.30%), 7/25/25 (a)(k)			1,220		1,229,150
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
7.603% (LIBOR 1 Month + 7.15%), 7/25/23 (k)			2,350		2,706,673
Series 2013-DN2, Class M2
4.703% (LIBOR 1 Month + 4.25%), 11/25/23 (k)			1,925		1,928,605
Series 2014-DN1, Class M3
4.953% (LIBOR 1 Month + 4.50%), 2/25/24 (k)			1,939		1,986,112
Series 2014-DN2, Class M3
4.053% (LIBOR 1 Month + 3.60%), 4/25/24 (k)			514		497,453
Series 2014-DN3, Class M3
4.453% (LIBOR 1 Month + 4.00%), 8/25/24 (k)			800		797,190
Series 2014-DN4, Class M3
5.003% (LIBOR 1 Month + 4.55%), 10/25/24 (k)			500		509,573
Series 2014-HQ1, Class M3
4.553% (LIBOR 1 Month + 4.10%), 8/25/24 (k)			1,686		1,685,354
Series 2014-HQ2, Class M3
4.203% (LIBOR 1 Month + 3.75%), 9/25/24 (k)			3,710		3,584,507
Series 2014-HQ3, Class M3
5.203% (LIBOR 1 Month + 4.75%), 10/25/24 (k)			5,055		5,167,187
Series 2015-DN1, Class B
11.953% (LIBOR 1 Month + 11.50%), 1/25/25 (k)			524		562,420
Series 2015-DN1, Class M3
4.603% (LIBOR 1 Month + 4.15%), 1/25/25 (k)			1,000		1,038,622
Series 2015-DNA1, Class B
9.653% (LIBOR 1 Month + 9.20%), 10/25/27 (k)			600		656,446
Series 2015-DNA1, Class M3
3.753% (LIBOR 1 Month + 3.30%), 10/25/27 (k)			480		472,862
Series 2015-DNA2, Class B
7.996% (LIBOR 1 Month + 7.55%), 12/25/27 (k)			1,465		1,396,657
Series 2015-DNA3, Class B
9.803% (LIBOR 1 Month + 9.35%), 4/25/28 (k)			1,032		975,320
Series 2015-DNA3, Class M3


Company		Principal Amount (000)		U.S. $ Value
5.153% (LIBOR 1 Month + 4.70%), 4/25/28 (k)	U.S.$		1,184		1,178,841
Series 2015-HQ1, Class B
11.203% (LIBOR 1 Month + 10.75%), 3/25/25 (k)			3,976		3,963,819
Series 2015-HQ1, Class M3
4.253% (LIBOR 1 Month + 3.80%), 3/25/25 (k)			530		547,985
Series 2015-HQA1, Class B
9.253% (LIBOR 1 Month + 8.80%), 3/25/28 (k)			1,015		858,265
Series 2015-HQA1, Class M3
5.153% (LIBOR 1 Month + 4.70%), 3/25/28 (k)			1,455		1,438,883
Series 2015-HQA2, Class M3
5.253% (LIBOR 1 Month + 4.80%), 5/25/28 (k)			490		482,660
Series 2016-DNA1, Class M3
6.003% (LIBOR 1 Month + 5.55%), 7/25/28 (k)			1,555		1,613,561
Series 2016-DNA2, Class B
10.953% (LIBOR 1 Month + 10.50%), 10/25/28 (k)			864		854,898
Series 2016-DNA2, Class M3
5.103% (LIBOR 1 Month + 4.65%), 10/25/28 (k)			811		794,182
Series 2016-DNA3, Class B
11.696% (LIBOR 1 Month + 11.25%), 12/25/28 (k)			2,785		2,765,506
Series 2016-DNA3, Class M3
5.446% (LIBOR 1 Month + 5.00%), 12/25/28 (k)			2,787		2,776,731
Series 2016-HQA1, Class M3
6.803% (LIBOR 1 Month + 6.35%), 9/25/28 (k)			2,603		2,788,183
Series 2016-HQA2, Class B
11.953% (LIBOR 1 Month + 11.50%), 11/25/28 (k)			423		418,737
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M2
5.703% (LIBOR 1 Month + 5.25%), 10/25/23 (k)			1,451		1,536,198
Series 2014-C01, Class M2
4.853% (LIBOR 1 Month + 4.40%), 1/25/24 (k)			3,991		4,053,862
Series 2014-C02, Class 1M2
3.053% (LIBOR 1 Month + 2.60%), 5/25/24 (k)			490		449,937
Series 2014-C03, Class 1M2
3.453% (LIBOR 1 Month + 3.00%), 7/25/24 (k)			1,147		1,080,623
Series 2014-C04, Class 1M2


Company		Principal Amount (000)		U.S. $ Value
5.353% (LIBOR 1 Month + 4.90%), 11/25/24 (k)	U.S.$		3,900		3,996,947
Series 2014-C04, Class 2M2
5.453% (LIBOR 1 Month + 5.00%), 11/25/24 (k)			672		682,691
Series 2015-C01, Class 1M2
4.753% (LIBOR 1 Month + 4.30%), 2/25/25 (k)			3,936		3,995,218
Series 2015-C01, Class 2M2
5.003% (LIBOR 1 Month + 4.55%), 2/25/25 (k)			2,829		2,906,555
Series 2015-C02, Class 1M2
4.453% (LIBOR 1 Month + 4.00%), 5/25/25 (k)			1,119		1,119,117
Series 2015-C02, Class 2M2
4.453% (LIBOR 1 Month + 4.00%), 5/25/25 (k)			2,095		2,094,336
Series 2015-C03, Class 1M2
5.453% (LIBOR 1 Month + 5.00%), 7/25/25 (k)			3,190		3,214,149
Series 2015-C03, Class 2M2
5.453% (LIBOR 1 Month + 5.00%), 7/25/25 (k)			2,748		2,784,238
Series 2015-C04, Class 1M2
6.153% (LIBOR 1 Month + 5.70%), 4/25/28 (k)			3,342		3,437,949
Series 2015-C04, Class 2M2
6.003% (LIBOR 1 Month + 5.55%), 4/25/28 (k)			1,298		1,325,383
Series 2016-C01, Class 1B
12.203% (LIBOR 1 Month + 11.75%), 8/25/28 (k)			685		737,454
Series 2016-C01, Class 1M2
7.203% (LIBOR 1 Month + 6.75%), 8/25/28 (k)			2,077		2,265,338
Series 2016-C01, Class 2M2
7.403% (LIBOR 1 Month + 6.95%), 8/25/28 (k)			761		829,386
Series 2016-C02, Class 1B
12.703% (LIBOR 1 Month + 12.25%), 9/25/28 (k)			450		496,004
Series 2016-C02, Class 1M2
6.453% (LIBOR 1 Month + 6.00%), 9/25/28 (k)			2,375		2,509,909
Series 2016-C03, Class 1B
12.203% (LIBOR 1 Month + 11.75%), 10/25/28 (k)			374		401,464
Series 2016-C03, Class 1M2
5.753% (LIBOR 1 Month + 5.30%), 10/25/28 (k)			462		470,109
Series 2016-C03, Class 2B
13.203% (LIBOR 1 Month + 12.75%), 10/25/28 (k)			840		895,992
Series 2016-C03, Class 2M2


Company		Principal Amount (000)		U.S. $ Value
6.353% (LIBOR 1 Month + 5.90%), 10/25/28 (k)	U.S.$		2,932		3,042,144
JP Morgan Madison Avenue Securities Trust
Series 2015-CH1, Class M2
5.946% (LIBOR 1 Month + 5.50%), 10/25/25 (a)(k)			1,434		1,391,594
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M2
5.946% (LIBOR 1 Month + 5.50%), 11/25/25 (e)(k)			621		611,467

					95,882,040

Non-Agency Fixed Rate - 2.8%
Alternative Loan Trust
Series 2006-24CB, Class A15
5.75%, 6/25/36			1,206		930,758
Series 2006-41CB, Class 2A13
5.75%, 1/25/37			1,031		771,309
Series 2006-42, Class 1A6
6.00%, 1/25/47			937		751,554
Series 2006-HY12, Class A5
3.456%, 8/25/36			2,049		1,930,825
Series 2006-J1, Class 1A10
5.50%, 2/25/36			1,883		1,548,765
Series 2006-J5, Class 1A1
6.50%, 9/25/36			1,179		954,117
Series 2007-13, Class A2
6.00%, 6/25/47			1,493		1,186,194
BCAP LLC Trust
Series 2009-RR13, Class 17A3
5.989%, 4/26/37 (a)			545		434,968
Bear Stearns ARM Trust
Series 2007-3, Class 1A1
3.143%, 5/25/47			404		366,316
Series 2007-4, Class 22A1
4.692%, 6/25/47			1,353		1,195,721
BNPP Mortgage Securities LLC Trust
Series 2009-1, Class B1
6.00%, 8/27/37 (a)			809		624,581
ChaseFlex Trust
Series 2007-1, Class 1A3
6.50%, 2/25/37			772		524,111
Citigroup Mortgage Loan Trust
Series 2006-4, Class 2A1A
6.00%, 12/25/35			2,147		1,973,628
Series 2006-AR3, Class 1A2A
3.198%, 6/25/36			1,272		1,204,770
Series 2007-AR4, Class 1A1A
5.32%, 3/25/37			300		266,173
Series 2010-3, Class 2A2
7.063%, 8/25/37 (a)			476		415,252
CitiMortgage Alternative Loan Trust
Series 2007-A3, Class 1A4
5.75%, 3/25/37			1,506		1,277,565


Company		Principal Amount (000)		U.S. $ Value
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-4, Class 1A39
6.00%, 5/25/37	U.S.$		622		511,414
Series 2007-HY4, Class 1A1
2.774%, 9/25/47			466		400,012
Credit Suisse Mortgage Trust
Series 2009-8R, Class 6A2
6.00%, 1/26/38 (a)			122		81,463
Series 2010-9R, Class 1A5
4.00%, 8/27/37 (a)			623		608,562
Series 2010-13R, Class 1A2
5.50%, 12/26/35 (a)			38		35,858
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36			736		629,149
First Horizon Alternative Mortgage Securities Trust
Series 2006-AA5, Class A1
2.447%, 9/25/36			932		737,880
Series 2006-FA1, Class 1A3
5.75%, 4/25/36			828		633,887
IndyMac Index Mortgage Loan Trust
Series 2005-AR15, Class A1
2.803%, 9/25/35			939		781,067
Series 2006-AR37, Class 2A1
4.235%, 2/25/37			661		519,818
Morgan Stanley Mortgage Loan Trust
Series 2005-10, Class 4A1
5.50%, 12/25/35			515		459,738
Series 2007-12, Class 3A22
6.00%, 8/25/37			143		123,178
Residential Accredit Loans, Inc. Trust
Series 2005-QS14, Class 3A1
6.00%, 9/25/35			786		704,805
Residential Asset Securitization Trust
Series 2006-A8, Class 3A4
6.00%, 8/25/36			278		221,127
Structured Adjustable Rate Mortgage Loan Trust
Series 2005-18, Class 8A1
2.85%, 9/25/35			1,015		935,876
Series 2006-9, Class 4A1
4.954%, 10/25/36			759		643,757
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-7, Class A4
4.476%, 9/25/36			1,934		1,082,920
Series 2006-9, Class A4
4.919%, 10/25/36			1,921		1,009,990
Series 2007-HY3, Class 4A1
2.735%, 3/25/37			1,726		1,620,470
Wells Fargo Alternative Loan Trust
Series 2007-PA3, Class 3A1
6.25%, 7/25/37			1,610		1,444,250
Wells Fargo Mortgage Backed Securities Trust
Series 2007-AR7, Class A1
2.786%, 12/28/37			2,193		1,965,645
Series 2007-AR8, Class A1


Company		Principal Amount (000)		U.S. $ Value
2.816%, 11/25/37	U.S.$		855		754,553

					32,262,026

Non-Agency Floating Rate - 1.3%
Alternative Loan Trust
Series 2007-7T2, Class A3
1.053% (LIBOR 1 Month + 0.60%), 4/25/37 (k)			3,411		1,339,885
Citigroup Mortgage Loan Trust
Series 2005-8, Class 2A2
4.347% (LIBOR 1 Month + 4.80%), 9/25/35 (k)(r)			790		70,438
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-13, Class A7
1.053% (LIBOR 1 Month + 0.60%), 8/25/37 (k)			917		641,381
First Horizon Alternative Mortgage Securities Trust
Series 2007-FA2, Class 1A6
5.097% (LIBOR 1 Month + 5.55%), 4/25/37 (k)(r)			177		40,576
Series 2007-FA2, Class 1A10
0.703% (LIBOR 1 Month + 0.25%), 4/25/37 (k)			524		232,303
Lehman XS Trust
Series 2007-10H, Class 2AIO
6.543% (LIBOR 1 Month + 7.00%), 7/25/37 (k)(r)			604		164,711
Residential Accredit Loans, Inc. Trust
Series 2006-QS18, Class 2A2
6.097% (LIBOR 1 Month + 6.55%), 12/25/36 (k)(r)			6,039		1,403,590
Structured Asset Mortgage Investments II Trust
Series 2007-AR6, Class A1
1.937% (12MTA + 1.50%), 8/25/47 (k)			2,025		1,647,872
Wachovia Mortgage Loan Trust Series
Series 2006-ALT1, Class A2
0.633% (LIBOR 1 Month + 0.18%), 1/25/37 (k)			14,210		9,187,815

					14,728,571

Total Collateralized Mortgage Obligations (cost $143,759,699)					142,872,637

CORPORATES - INVESTMENT GRADE - 7.2%
Industrial - 4.2%
Basic - 1.6%
Braskem Finance Ltd.
6.45%, 2/03/24			2,254		2,276,765
7.00%, 5/07/20 (a)			191		203,415
CF Industries, Inc.
7.125%, 5/01/20			900		1,038,416
Georgia-Pacific LLC
8.875%, 5/15/31			1		1,602


Company		Principal Amount (000)		U.S. $ Value
Glencore Finance Canada Ltd.
6.00%, 11/15/41 (a)	U.S.$		272		231,477
Glencore Funding LLC
2.125%, 4/16/18 (a)			104		101,400
4.00%, 4/16/25 (a)			164		145,140
4.625%, 4/29/24 (a)			341		318,835
GTL Trade Finance, Inc.
5.893%, 4/29/24 (a)			2,863		2,524,307
7.25%, 4/16/44 (a)			234		196,560
Minsur SA
6.25%, 2/07/24 (a)			891		872,987
Southern Copper Corp.
7.50%, 7/27/35			3,300		3,645,180
Vale Overseas Ltd.
6.875%, 11/21/36			2,806		2,553,460
WestRock MWV LLC
7.95%, 2/15/31			1,000		1,334,484
Weyerhaeuser Co.
7.375%, 3/15/32			1,790		2,368,172

					17,812,200

Capital Goods - 0.4%
General Electric Co.
Series D
5.00%, 1/21/21 (o)			1,681		1,783,541
Lafarge SA
7.125%, 7/15/36			800		972,195
Owens Corning
7.00%, 12/01/36 (l)			1,340		1,634,870

					4,390,606

Communications - Media - 0.3%
Charter Communications Operating LLC/Charter Communications Operating Capital
4.908%, 7/23/25 (a)			1,195		1,306,496
NBCUniversal Enterprise, Inc.
5.25%, 3/19/21 (a)(o)			1,401		1,444,781
Sirius XM Radio, Inc.
5.25%, 8/15/22 (a)			286		301,015

					3,052,292

Communications - Telecommunications - 0.2%
Qwest Corp.
6.50%, 6/01/17			610		632,113
6.875%, 9/15/33			1,335		1,316,442

					1,948,555

Consumer Cyclical - Other - 0.0%
Seminole Tribe of Florida, Inc.
6.535%, 10/01/20 (a)			215		212,850


Company		Principal Amount (000)		U.S. $ Value
Consumer Non-Cyclical - 0.1%
BRF SA
4.75%, 5/22/24 (a)	U.S.$		428		424,790
Forest Laboratories LLC
5.00%, 12/15/21 (a)			803		898,664

					1,323,454

Energy - 0.7%
Enterprise Products Operating LLC
Series A
8.375%, 8/01/66			1,208		1,064,308
Kinder Morgan, Inc./DE
5.55%, 6/01/45			402		408,463
Series G
7.75%, 1/15/32			328		369,249
7.80%, 8/01/31 (b)			1,066		1,196,164
Marathon Oil Corp.
5.20%, 6/01/45			367		319,489
6.60%, 10/01/37			508		513,548
Regency Energy Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23			546		533,012
5.50%, 4/15/23			1,193		1,203,608
Vantage Drilling International
10.00%, 12/31/20 (e)			87		80,910
Williams Partners LP
3.35%, 8/15/22			1,391		1,270,126
5.10%, 9/15/45			876		751,320

					7,710,197

Other Industrial - 0.0%
Fresnillo PLC
5.50%, 11/13/23 (a)			306		328,567

Technology - 0.7%
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
6.02%, 6/15/26 (a)			1,120		1,167,585
8.35%, 7/15/46 (a)			524		563,357
Freescale Semiconductor, Inc.
6.00%, 1/15/22 (a)			776		818,292
Hewlett Packard Enterprise Co.
6.35%, 10/15/45 (a)			2,350		2,339,745
Micron Technology, Inc.
7.50%, 9/15/23 (a)			497		528,063
Seagate HDD Cayman
4.75%, 6/01/23-1/01/25			1,489		1,201,549
4.875%, 6/01/27			327		237,075
Western Digital Corp.
7.375%, 4/01/23 (a)			1,058		1,126,770

					7,982,436


Company		Principal Amount (000)		U.S. $ Value
Transportation - Airlines - 0.2%
America West Airlines Pass-Through Trust
Series 1999-1G, Class G
7.93%, 1/02/19	U.S.$		767		827,932
Delta Air Lines Pass-Through Trust
Series 2007-1A
6.821%, 8/10/22			714		829,809
Northwest Airlines Pass-Through Trust
Series 2000-1, Class G
7.15%, 10/01/19			369		389,401

					2,047,142

					46,808,299

Financial Institutions - 2.5%
Banking - 0.6%
BPCE SA
5.70%, 10/22/23 (a)			208		223,093
ICICI Bank Ltd./Dubai
4.80%, 5/22/19 (a)			1,337		1,419,780
JPMorgan Chase & Co.
Series Q
5.15%, 5/01/23 (o)			1,357		1,319,818
Series R
6.00%, 8/01/23 (o)			267		272,674
Series V
5.00%, 7/01/19 (o)			210		200,813
Regions Bank/Birmingham AL
6.45%, 6/26/37			1,500		1,790,015
Standard Chartered PLC
3.95%, 1/11/23 (a)			1,301		1,261,427

					6,487,620

Brokerage - 0.1%
E*TRADE Financial Corp.
5.375%, 11/15/22			810		854,550
GFI Group, Inc.
8.375%, 7/19/18			991		1,070,280

					1,924,830

Insurance - 1.3%
Allstate Corp. (The)
6.50%, 5/15/57			1,150		1,242,000
American International Group, Inc.
6.82%, 11/15/37			1,425		1,815,209
Aon Corp.
8.205%, 1/01/27			690		886,431
Assured Guaranty Municipal Holdings, Inc.
6.40%, 12/15/66 (a)			656		452,640
Lincoln National Corp.
8.75%, 7/01/19			604		714,483
MetLife, Inc.
10.75%, 8/01/39			2,350		3,653,075
Series C
5.25%, 6/15/20 (o)			124		123,070


Company		Principal Amount (000)		U.S. $ Value
Pacific Life Insurance Co.
9.25%, 6/15/39 (a)	U.S.$		475		720,198
Transatlantic Holdings, Inc.
8.00%, 11/30/39			1,261		1,742,926
XLIT Ltd.
5.50%, 3/31/45			630		622,316
Series E
6.50%, 4/15/17 (o)			2,309		1,604,755
ZFS Finance USA Trust V
6.50%, 5/09/37 (a)			1,240		1,240,000

					14,817,103

REITS - 0.5%
DDR Corp.
7.875%, 9/01/20			746		900,899
EPR Properties
5.75%, 8/15/22			915		993,687
7.75%, 7/15/20			1,722		2,007,682
Senior Housing Properties Trust
6.75%, 12/15/21			1,350		1,528,963

					5,431,231

					28,660,784

Utility - 0.5%
Electric - 0.4%
EDP Finance BV
4.90%, 10/01/19 (a)			148		157,203
6.00%, 2/02/18 (a)			2,055		2,168,025
PPL Capital Funding, Inc.
Series A
6.70%, 3/30/67			2,405		2,017,795

					4,343,023

Natural Gas - 0.1%
Empresa de Energia de Bogota SA ESP
6.125%, 11/10/21 (a)			1,235		1,293,134

					5,636,157

Total Corporates - Investment Grade (cost $72,210,487)					81,105,240

COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.2%
Non-Agency Fixed Rate CMBS - 4.0%
225 Liberty Street Trust
Series 2016-225L, Class E
4.804%, 2/10/36 (a)			974		930,856
Banc of America Commercial Mortgage Trust
Series 2007-3, Class AJ
5.723%, 6/10/49			1,973		1,982,595
Series 2007-5, Class AM
5.772%, 2/10/51			2,877		2,971,779
Banc of America Re-REMIC Trust
Series 2009-UB1, Class A4B
5.67%, 6/24/50 (e)(f)			3,500		3,598,350


Company		Principal Amount (000)		U.S. $ Value
Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class XA
1.989%, 4/10/46 (r)	U.S.$		2,266		143,405
Series 2013-GC17, Class D
5.26%, 11/10/46 (a)			902		778,864
Series 2014-GC23, Class D
4.657%, 7/10/47 (a)			856		717,470
Commercial Mortgage Pass Through Certificates
Series 2012-CR3, Class XA
2.254%, 10/15/45 (r)			9,344		787,925
Commercial Mortgage Trust
Series 2012-CR1, Class XA
2.239%, 5/15/45 (r)			2,162		176,565
Series 2012-CR5, Class XA
1.91%, 12/10/45 (r)			2,304		171,295
Series 2012-LC4, Class XA
2.515%, 12/10/44 (a)(r)			6,168		541,954
Series 2013-LC6, Class D
4.427%, 1/10/46 (a)			3,916		3,538,004
Series 2014-CR15, Class XA
1.461%, 2/10/47 (r)			2,548		134,534
Series 2014-CR20, Class XA
1.35%, 11/10/47 (r)			11,586		786,223
Series 2014-LC15, Class D
5.109%, 4/10/47 (a)			1,500		1,202,242
Series 2014-UBS5, Class D
3.495%, 9/10/47 (a)			669		479,892
CSAIL Commercial Mortgage Trust
Series 2015-C2, Class D
4.352%, 6/15/57			2,721		2,004,868
GS Mortgage Securities Corp. II
Series 2012-GCJ9, Class D
5.015%, 11/10/45 (a)			700		634,222
Series 2012-GCJ9, Class XA
2.465%, 11/10/45 (r)			1,886		169,654
Series 2013-GC10, Class XA
1.753%, 2/10/46 (r)			963		75,693
GS Mortgage Securities Trust
Series 2011-GC5, Class C
5.548%, 8/10/44 (a)			3,152		3,425,082
Series 2012-GC6, Class D
5.835%, 1/10/45 (a)			1,765		1,697,880
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2014-C20, Class D
4.724%, 7/15/47 (a)			2,737		2,080,195
JPMBB Commercial Mortgage Securities Trust
Series 2015-C32, Class C
4.819%, 11/15/48			825		768,674
LB-UBS Commercial Mortgage Trust
Series 2007-C2, Class AM
5.493%, 2/15/40			1,254		1,271,519


Company		Principal Amount (000)		U.S. $ Value
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2012-C6, Class XA
2.193%, 11/15/45 (a)(r)	U.S.$		11,027		765,382
UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class XA
1.93%, 12/10/45 (a)(r)			942		75,396
Wachovia Bank Commercial Mortgage Trust
Series 2007-C34, Class AM
5.818%, 5/15/46			400		418,371
Wells Fargo Commercial Mortgage Trust
Series 2015-LC20, Class D
4.511%, 4/15/50 (a)			3,000		2,206,351
WF-RBS Commercial Mortgage Trust
Series 2011-C4, Class D
5.416%, 6/15/44 (a)(l)			1,022		1,060,154
Series 2012-C10, Class XA
1.873%, 12/15/45 (a)(r)			3,807		294,268
Series 2012-C6, Class D
5.756%, 4/15/45 (a)			2,450		2,453,024
Series 2012-C7, Class XA
1.667%, 6/15/45 (a)(r)			1,504		101,447
Series 2012-C8, Class E
5.036%, 8/15/45 (a)			3,766		3,623,729
Series 2014-C25, Class D
3.803%, 11/15/47 (a)			3,500		2,430,998

					44,498,860

Non-Agency Floating Rate CMBS - 0.2%
Morgan Stanley Capital I Trust
Series 2015-MS1, Class D
4.164%, 5/15/48 (a)(l)			490		375,432
Wells Fargo Commercial Mortgage Trust
Series 2015-SG1, Class D
4.62%, 12/15/47 (l)			2,500		1,976,970

					2,352,402

Total Commercial Mortgage-Backed Securities (cost $46,993,777)					46,851,262

EMERGING MARKETS - SOVEREIGNS - 3.9%
Angola - 0.2%
Angolan Government International Bond
9.50%, 11/12/25 (a)			756		744,448
Republic of Angola Via Northern Lights III BV
7.00%, 8/16/19 (a)			1,649		1,657,622

					2,402,070

Argentina - 0.6%
Argentine Republic Government International Bond
6.25%, 4/22/19 (a)			2,122		2,210,063


Company		Principal Amount (000)		U.S. $ Value
6.875%, 4/22/21 (a)	U.S.$		2,505		2,667,825
7.50%, 4/22/26 (a)			1,467		1,585,827

					6,463,715

Brazil - 0.1%
Brazilian Government International Bond
4.25%, 1/07/25			276		270,480
4.875%, 1/22/21			510		537,285

					807,765

Dominican Republic - 0.7%
Dominican Republic International Bond
7.45%, 4/30/44 (a)			1,283		1,404,885
8.625%, 4/20/27 (a)			5,719		6,762,718

					8,167,603

El Salvador - 0.1%
El Salvador Government International Bond
7.625%, 9/21/34 (a)			762		760,095

Gabon - 0.1%
Gabon Government International Bond
6.375%, 12/12/24 (a)			950		818,961

Ghana - 0.3%
Ghana Government International Bond
7.875%, 8/07/23 (a)			222		192,950
8.125%, 1/18/26 (a)			297		255,064
10.75%, 10/14/30 (a)			3,190		3,381,400

					3,829,414

Ivory Coast - 0.7%
Ivory Coast Government International Bond
5.75%, 12/31/32 (a)			7,507		6,990,376
6.375%, 3/03/28 (a)			1,269		1,227,821

					8,218,197

Jamaica - 0.2%
Jamaica Government International Bond
7.625%, 7/09/25			506		564,190
7.875%, 7/28/45			1,240		1,323,700

					1,887,890

Kenya - 0.1%
Kenya Government International Bond
5.875%, 6/24/19 (a)			702		696,173

Pakistan - 0.1%
Pakistan Government International Bond
7.25%, 4/15/19 (a)			1,498		1,572,683


Company		Principal Amount (000)		U.S. $ Value
Serbia - 0.0%
Serbia International Bond
6.75%, 11/01/24 (a)	U.S.$		326		334,604

Sri Lanka - 0.1%
Sri Lanka Government International Bond
6.00%, 1/14/19 (a)			799		813,843
6.125%, 6/03/25 (a)			350		327,520

					1,141,363

Venezuela - 0.4%
Venezuela Government International Bond
9.00%, 5/07/23 (a)			824		351,017
9.25%, 9/15/27			8,383		4,044,797
9.25%, 5/07/28 (a)			300		129,000
11.75%, 10/21/26 (a)			486		230,850
11.95%, 8/05/31 (a)			355		166,897

					4,922,561

Zambia - 0.2%
Zambia Government International Bond
8.50%, 4/14/24 (a)			1,846		1,603,989

Total Emerging Markets - Sovereigns (cost $42,507,511)					43,627,083

EMERGING MARKETS - TREASURIES - 3.7%
Brazil - 3.2%
Brazil Notas do Tesouro Nacional
Series B
6.00%, 5/15/45-8/15/50	BRL		3,500		3,113,756
Series F
10.00%, 1/01/21-1/01/27			117,447		32,775,962

					35,889,718

Dominican Republic - 0.5%
Dominican Republic International Bond
16.00%, 7/10/20 (e)	DOP		229,800		5,955,944

Total Emerging Markets - Treasuries (cost $41,343,003)					41,845,662

BANK LOANS - 3.3%
Industrial - 3.1%
Basic - 0.3%
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)
4.25% (LIBOR 1 Month + 3.25%), 6/30/19 (k)	U.S.$		2,443		2,333,407
Magnetation LLC
12.00%, 7/07/16 (f)(h)(j)			3,454		690,794

					3,024,201


Company		Principal Amount (000)		U.S. $ Value
Capital Goods - 0.1%
Serta Simmons Holdings, LLC
4.25% (LIBOR 3 Month + 3.25%), 10/01/19 (k)	U.S.$		1,240		1,236,782

Consumer Cyclical - Automotive - 0.1%
Navistar, Inc.
6.50% (LIBOR 3 Month + 5.50%), 8/07/20 (k)			871		819,841

Consumer Cyclical - Entertainment - 0.2%
ClubCorp Club Operations, Inc.
4.25% (LIBOR 3 Month + 3.25%), 12/15/22 (k)			1,291		1,283,126
Kasima, LLC (Digital Cinema Implementation Partners, LLC)
3.25% (LIBOR 3 Month + 2.50%), 5/17/21 (k)			436		434,437
Seaworld Parks & Entertainment, Inc. (fka SW Acquisitions Co., Inc.)
4.00% (LIBOR 3 Month + 3.25%), 5/14/20 (k)			994		981,098

					2,698,661

Consumer Cyclical - Other - 0.4%
Beazer Homes USA, Inc.
6.41% (LIBOR 3 Month + 5.50%), 3/11/18 (k)			569		563,063
CityCenter Holdings, LLC
4.25% (LIBOR 3 Month + 3.25%), 10/16/20 (k)			1,826		1,824,204
La Quinta Intermediate Holdings L.L.C.
3.75% (LIBOR 3 Month + 2.75%), 4/14/21 (k)			1,705		1,664,963
Scientific Games International, Inc.
6.00% (LIBOR 3 Month + 5.00%), 10/01/21 (k)			1,144		1,127,029

					5,179,259

Consumer Cyclical - Retailers - 0.6%
Dollar Tree, Inc.
3.50% (LIBOR 1 Month + 2.75%), 7/06/22 (k)			22		21,654
Harbor Freight Tools USA, Inc.
4.75% (LIBOR 3 Month + 3.75%), 7/26/19 (k)			1,116		1,116,066
J.C. Penney Corporation, Inc.
5.25% (LIBOR 3 Month + 4.25%), 6/23/23 (k)			1,128		1,118,841
Michaels Stores, Inc.
4.00% (LIBOR 1 Month + 3.00%), 1/28/20 (k)			512		511,670
Neiman Marcus Group Inc., The
4.25% (LIBOR 2 Month + 3.25%), 10/25/20 (k)			245		219,942


Company		Principal Amount (000)		U.S. $ Value
Petco Animal Supplies, Inc.
5.00% (LIBOR 3 Month + 4.00%), 1/26/23 (k)	U.S.$		3,132		3,112,010
Rite Aid Corporation
5.75% (LIBOR 1 Month + 4.75%), 8/21/20 (k)			500		499,375

					6,599,558

Consumer Non-Cyclical - 0.5%
Acadia Healthcare Company, Inc.
3.75% (LIBOR 1 Month + 3.00%), 2/11/22 (k)			92		90,612
4.50% (LIBOR 1 Month + 3.75%), 2/16/23 (k)			482		477,371
DJO Finance LLC
4.25% (LIBOR 1 Month + 3.25%), 6/08/20 (k)			997		949,279
Grifols Worldwide Operations Limited
3.46% (LIBOR 1 Month + 3.00%), 2/27/21 (k)			694		692,727
Immucor, Inc. (fka IVD Acquisition Corporation)
5.00% (LIBOR 3 Month + 3.75%), 8/19/18 (k)			1,050		980,469
Mallinckrodt International Finance S.A.
3.50% (LIBOR 3 Month + 2.75%), 3/19/21 (k)			1,241		1,225,024
Ortho-Clinical Diagnostics Holdings Luxembourg S.Ã€ R.L.
4.75% (LIBOR 3 Month + 3.75%), 6/30/21 (k)			622		587,354
Vizient, Inc.
6.25% (LIBOR 1 Month + 5.25%), 2/13/23 (k)			531		534,489

					5,537,325

Other Industrial - 0.4%
Gardner Denver, Inc.
4.25% (LIBOR 1 Month + 3.25%), 7/30/20 (k)			1,167		1,071,691
Manitowoc Foodservice, Inc.
5.75% (LIBOR 1 Month + 4.75%), 3/03/23 (k)			134		135,151
Sedgwick Claims Management Services, Inc.
3.75% (LIBOR 3 Month + 2.75%), 3/01/21 (k)			1,050		1,024,702
Travelport Finance (Luxembourg) S.Ã r.l.
5.00% (LIBOR 3 Month + 4.00%), 9/02/21 (k)			1,508		1,498,793


Company		Principal Amount (000)		U.S. $ Value
Unifrax Holding Co.
4.50% (EURIBOR 3 Month + 3.50%), 11/28/18 (k)	EUR		714		743,310

					4,473,647

Technology - 0.5%
Avaya Inc.
6.25% (LIBOR 3 Month + 5.25%), 5/29/20 (k)	U.S.$		671		475,829
6.50% (LIBOR 3 Month + 5.50%), 3/31/18 (k)			105		78,211
BMC Software Finance Inc.
5.00% (LIBOR 3 Month + 4.00%), 9/10/20 (k)			1,920		1,698,465
Smart Modular Technologies (Global), Inc.
8.25% (LIBOR 3 Month + 7.00%), 8/26/17 (j)(k)			945		755,986
Solera, LLC (Solera Finance, Inc.)
5.75% (LIBOR 3 Month + 4.75%), 3/03/23 (k)			2,628		2,624,023

					5,632,514

					35,201,788

Utility - 0.2%
Electric - 0.2%
Energy Future Intermediate Holding Company LLC (EFIH Finance Inc.)
4.25% (LIBOR 1 Month + 3.25%), 12/19/16 (k)			2,010		2,004,865

Financial Institutions - 0.0%
Insurance - 0.0%
Hub International Limited
4.00% (LIBOR 3 Month + 3.00%), 10/02/20 (k)			486		476,984

Total Bank Loans (cost $40,728,287)					37,683,637

EMERGING MARKETS - CORPORATE BONDS - 1.7%
Industrial - 1.6%
Basic - 0.2%
Elementia SAB de CV
5.50%, 1/15/25 (a)			469		466,655
Samarco Mineracao SA
4.125%, 11/01/22 (a)			1,396		537,460
5.75%, 10/24/23 (a)			1,890		732,262
Tupy Overseas SA
6.625%, 7/17/24 (a)			601		575,458

					2,311,835

Capital Goods - 0.3%
Andrade Gutierrez International SA
4.00%, 4/30/18 (a)			637		465,010


Company		Principal Amount (000)		U.S. $ Value
Cemex Finance LLC
9.375%, 10/12/22 (a)	U.S.$		587		643,499
Grupo KUO SAB De CV
6.25%, 12/04/22 (a)			200		201,000
Odebrecht Finance Ltd.
4.375%, 4/25/25 (a)			349		150,768
5.25%, 6/27/29 (a)			1,070		425,860
7.125%, 6/26/42 (a)			1,265		543,950
8.25%, 4/25/18 (a)	BRL		1,332		165,344
Servicios Corporativos Javer SAPI de CV
9.875%, 4/06/21 (a)	U.S.$		491		505,730

					3,101,161

Communications - Telecommunications - 0.2%
Comcel Trust via Comunicaciones Celulares SA
6.875%, 2/06/24 (a)			986		961,350
Digicel Ltd.
6.00%, 4/15/21 (a)			1,356		1,162,363
6.75%, 3/01/23 (a)			485		412,250

					2,535,963

Consumer Cyclical - Retailers - 0.3%
Edcon Ltd.
9.50%, 3/01/18 (c)(d)(e)	EUR		1,151		375,889
9.50%, 3/01/18 (c)(d)(e)	U.S.$		420		121,800
Office Depot de Mexico SA de CV
6.875%, 9/20/20 (a)			2,500		2,618,750

					3,116,439

Consumer Non-Cyclical - 0.4%
Marfrig Holdings Europe BV
8.00%, 6/08/23 (a)			1,220		1,245,010
Minerva Luxembourg SA
7.75%, 1/31/23 (a)			2,198		2,257,346
Tonon Luxembourg SA
7.25%, 1/24/20 (a)(h)(j)			1,679		201,447
USJ Acucar e Alcool SA
9.875% (9.875% Cash or 12.00% PIK), 11/09/21 (a)(h)			480		324,000
Virgolino de Oliveira Finance SA
10.50%, 1/28/18 (c)(d)(e)			4,090		224,950
10.875%, 1/13/20 (c)(d)(e)			480		112,800
11.75%, 2/09/22 (c)(d)(e)			1,620		89,100

					4,454,653

Transportation - Airlines - 0.2%
Guanay Finance Ltd.
6.00%, 12/15/20 (a)			617		612,390

Company

Principal
Amount
(000)

U.S. $ Value

TAM Capital 3, Inc.

8.375%, 6/03/21 (a)

U.S.$

2,505

2,364,094

2,976,484

18,496,535

Financial Institutions - 0.1%

Finance - 0.1%

CIMPOR Financial Operations BV

5.75%, 7/17/24 (a)

1,491

1,099,612

Total Emerging Markets - Corporate Bonds
(cost $27,344,042)

19,596,147

GOVERNMENTS - SOVEREIGN BONDS - 1.5%

Croatia - 0.4%

Croatia Government International Bond

6.625%, 7/14/20 (a)

4,000

4,364,000

Indonesia - 0.5%

JPMorgan Chase Bank, NA

9.50%, 5/17/41 (a)

IDR

27,844,000

2,444,582

Series E

10.00%, 7/18/17 (a)

47,971,000

3,732,389

6,176,971

Turkey - 0.3%

Turkey Government International Bond

5.625%, 3/30/21

U.S.$

2,600

2,834,000

United Arab Emirates - 0.3%

Emirate of Dubai Government International Bonds

7.75%, 10/05/20 (a)

3,310

3,930,592

Total Governments - Sovereign Bonds
(cost $18,985,117)

17,305,563

ASSET-BACKED SECURITIES - 1.2%

Home Equity Loans - Fixed Rate - 0.7%

CSAB Mortgage-Backed Trust

Series 2006-2, Class A6A

5.72%, 9/25/36

952

590,847

CWABS Asset-Backed Certificates Trust

Series 2005-7, Class AF5W

5.054%, 10/25/35

895

887,933

GSAA Home Equity Trust

Series 2005-12, Class AF5

5.659%, 9/25/35

1,615

1,368,614

Series 2006-10, Class AF3

5.985%, 6/25/36

1,339

674,905

Lehman XS Trust

Series 2006-17, Class WF32

5.55%, 11/25/36

924

845,367

Morgan Stanley Mortgage Loan Trust

Series 2006-15XS, Class A3

5.988%, 11/25/36

1,353

668,762

Series 2007-8XS, Class A2


Company		Principal Amount (000)		U.S. $ Value
6.00%, 4/25/37	U.S.$		4,556		2,498,032

					7,534,460

Other ABS - Fixed Rate - 0.2%
Atlas 2014-1 Limited
Series 2014-1
6.875%, 12/15/39			1,234		1,215,835
Taco Bell Funding LLC
Series 2016-1A, Class A23
4.97%, 5/25/46 (a)			801		825,823

					2,041,658

Home Equity Loans - Floating Rate - 0.1%
GSAA Home Equity Trust
Series 2006-6, Class AF4
6.121%, 3/25/36 (k)			1,872		980,535
Series 2006-6, Class AF5
6.241%, 3/25/36 (k)			694		363,203
Lehman XS Trust
Series 2007-6, Class 3A5
5.101%, 5/25/37 (l)			366		483,700

					1,827,438

Other ABS - Floating Rate - 0.1%
ALM XII Ltd.
Series 2015-12A, Class D
6.133% (LIBOR 3 Month + 5.50%), 4/16/27 (a)(k)			1,015		854,417
OZLM VIII Ltd.
Series 2014-8A, Class D
5.583% (LIBOR 3 Month + 4.95%), 10/17/26 (a)(k)			585		470,684

					1,325,101

Autos - Fixed Rate - 0.1%
Exeter Automobile Receivables Trust
Series 2016-1A, Class D
8.20%, 2/15/23 (a)			720		719,447

Total Asset-Backed Securities (cost $14,429,809)					13,448,104

GOVERNMENTS - SOVEREIGN AGENCIES - 1.1%
Brazil - 0.6%
Banco do Brasil SA/Cayman
9.00%, 6/18/24 (a)(o)			2,000		1,550,000
Petrobras Global Finance BV
4.875%, 3/17/20			1,395		1,307,813
5.375%, 1/27/21			1,655		1,515,897
5.75%, 1/20/20			190		183,559
6.25%, 3/17/24			3,000		2,662,500
6.85%, 6/05/15			307		233,320

					7,453,089


Company		Principal Amount (000)		U.S. $ Value
Colombia - 0.1%
Ecopetrol SA
5.875%, 5/28/45	U.S.$		1,271		1,104,181

Dominican Republic - 0.1%
Banco de Reservas de la Republica Dominicana
7.00%, 2/01/23 (a)			642		635,580

United Arab Emirates - 0.3%
Dubai Holding Commercial Operations MTN Ltd.
Series E
6.00%, 2/01/17	GBP		2,300		3,103,823

Total Governments - Sovereign Agencies (cost $13,876,127)					12,296,673

WHOLE LOAN TRUSTS - 0.9%
Performing Asset - 0.9%
Alpha Credit Debt Fund LLC
15.00%, 12/31/17 (f)(j)	U.S.$		1,067		1,066,626
16.00%, 1/01/21 (f)(j)	MXN		20,945		1,145,628
AlphaCredit Capital, SA de CV
17.25%, 7/19/19 (f)(j)			7,874		430,675
Cara Aircraft Leasing 28548, Inc.
8.00%, 12/02/19 (f)(j)	U.S.$		128		127,793
Cara Aircraft Leasing 28563, Inc.
8.00%, 6/11/19 (f)(j)			242		241,902
Cara Aircraft Leasing 28868, Inc.
8.00%, 12/02/19 (f)(j)			148		148,227
Deutsche Bank Mexico SA
8.00%, 10/31/34 (f)(j)	MXN		17,984		694,190
8.00%, 10/31/34 (f)(j)(l)			44,469		1,716,501
Flexpath Wh I LLC
Series B
11.00%, 4/01/21 (f)(j)	U.S.$		796		733,767
Series B2
11.00%, 1/01/22			364		351,503
Recife Funding
Zero Coupon, 11/05/29 (f)(j)			1,811		1,928,372
Sheridan Auto Loan Holdings I LLC
10.00%, 12/31/20 (f)(j)			642		585,832
Sheridan Auto Loan Holdings I LLC
10.00%, 9/30/21 (f)(j)			1,415		1,414,831

Total Whole Loan Trusts (cost $11,821,897)					10,585,847


		Shares
COMMON STOCKS - 0.7%
Industrials - 0.0%
Building Products - 0.0%
New Cotai LLC/New Cotai Capital Corp. (c)(f)(j)			3		7,866


Company	Shares		U.S. $ Value
Consumer Cyclical - Automotive - 0.0%
Exide Corp. (c)(f)(g)		74,438		243,412

				251,278

Materials - 0.0%
Metals & Mining - 0.0%
Neenah Enterprises, Inc. (c)(f)(j)		58,200		422,532

Consumer Discretionary - 0.1%
Automobiles - 0.0%
Liberty Tire Recycling LLC (c)(f)(j)		81,827		0	^

Internet & Catalog Retail - 0.1%
Travelport Worldwide Ltd.		80,347		1,035,673

				1,035,673

Energy - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Vantage Drilling International (j)		6,103		527,910
Whiting Petroleum Corp. (c)		60,521		560,424

				1,088,334

Financials - 0.5%
Diversified Financial Services - 0.1%
iPayment, Inc. (c)(f)(j)		181,272		598,197

Insurance - 0.4%
Mt. Logan Re Ltd. (Preference Shares) (c)(g)(s)(t)		4,712		4,706,270

				5,304,467

Total Common Stocks (cost $11,200,366)				8,102,284

PREFERRED STOCKS - 0.7%
Financial Institutions - 0.6%
Banking - 0.3%
GMAC Capital Trust I
6.411%		38,025		943,780
US Bancorp
Series F
6.50%		87,475		2,694,230

				3,638,010

Insurance - 0.2%
Hartford Financial Services Group, Inc. (The)
7.875%		45,050		1,419,526
XLIT Ltd.
Series D
3.748% (k)		1,600		1,241,500

				2,661,026

REITS - 0.1%
Digital Realty Trust, Inc.
6.35%		4,325		114,829


Company		Shares		U.S. $ Value
Hersha Hospitality Trust
Series C
6.875%			15,950		414,700
Sovereign Real Estate Investment Trust
12.00% (a)			185		234,950

					764,479

					7,063,515

Utility - 0.1%
Electric - 0.1%
SCE Trust III
5.75%			12,025		348,725

Total Preferred Stocks (cost $6,694,148)					7,412,240


		Principal Amount (000)
LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.6%
United States - 0.6%
Buckeye Tobacco Settlement Financing Authority
Series 2007A-2
5.875%, 6/01/47	U.S.$		650		642,194
State of California
Series 2010
7.60%, 11/01/40			750		1,207,567
7.95%, 3/01/36			1,915		2,320,482
State of Illinois
Series 2010
7.35%, 7/01/35			1,915		2,126,914
Tobacco Settlement Financing Corp./NJ
Series 2007-1A
5.00%, 6/01/41			475		462,441

Total Local Governments - Municipal Bonds (cost $5,531,068)					6,759,598

LOCAL GOVERNMENTS - REGIONAL BONDS - 0.3%
Argentina - 0.3%
Provincia de Buenos Aires/Argentina
5.75%, 6/15/19 (a)			658		666,225
9.125%, 3/16/24 (a)(b)			1,500		1,650,000
Provincia de Cordoba
7.125%, 6/10/21 (a)			754		755,885

Total Local Governments - Regional Bonds (cost $2,855,024)					3,072,110

QUASI-SOVEREIGNS - 0.2%
Quasi-Sovereign Bonds - 0.2%
Indonesia - 0.1%
Majapahit Holding BV
7.875%, 6/29/37 (a)			699		878,992

South Africa - 0.0%
Eskom Holdings SOC Ltd.
7.125%, 2/11/25 (a)(b)			670		664,071

Company

Principal
Amount
(000)

U.S. $ Value

Venezuela - 0.1%

Petroleos de Venezuela SA

6.00%, 11/15/26 (a)

U.S.$

2,700

941,490

Total Quasi-Sovereigns
(cost $3,098,765)

2,484,553

INFLATION-LINKED SECURITIES - 0.2%

Colombia - 0.2%

Fideicomiso PA Pacifico Tres
7.00%, 1/15/35 (a)
(cost $1,939,665)

COP

6,642,880

2,245,849

Shares

INVESTMENT COMPANIES - 0.2%

Funds and Investment Trusts - 0.2%

OCL Opportunities Fund II (c)(f)(j)#
(cost $1,490,950)

11,474

1,935,177

WARRANTS - 0.0%

FairPoint Communications, Inc., expiring 1/24/18 (c)(j)

9,725

117

Flexpath Capital, Inc., expiring 4/15/31 (c)

10,974

iPayment Holdings, Inc., expiring 12/29/22 (c)(f)(j)

586,389

310,786

Total Warrants
(cost $0)

310,903

Contracts

OPTIONS PURCHASED - PUTS - 0.0%

Options on Equity Indices - 0.0%

CBOE S&P 500 Index
Expiration: Jul 2016, Exercise Price: $ 2,070.00 (c)(u)
(premiums paid $160,581)

157,080

Principal
Amount
(000)

SHORT-TERM INVESTMENTS - 1.3%

Time Deposits - 0.6%

BBH Grand Cayman

(1.45)%, 7/01/16

CHF

0.065%, 7/04/16

CAD

0.114%, 7/01/16

GBP

HSBC Bank PLC, London

(0.55)%, 7/01/16

EUR

2,176

2,414,374

7.00%, 7/01/16

ZAR

430

29,198

National Australia Bank, London

0.729%, 7/01/16

AUD

136

101,575

Stadard Charter Bank, London

0.13%, 7/01/16

U.S.$

4,592

4,592,317

Total Time Deposits
(cost $7,123,958)

7,137,483

Company

Shares

U.S. $ Value

Investment Companies - 0.6%

AB Fixed Income Shares, Inc. - Government
Money Market Portfolio - Class AB, 0.25% (v)(w)
(cost $6,707,559)

6,707,559

Principal
Amount
(000)

Emerging Markets - Sovereigns - 0.1%

Argentina - 0.1%

Argentina Bonar Bonds
6.00%, 12/29/16
(cost $1,366,368)

U.S.$

1,370

1,376,702

Total Short-Term Investments
(cost $15,197,885)

15,221,744

Total Investments - 108.4%
(cost $1,266,221,169) (x)

1,225,202,347

Other assets less liabilities - (8.4)%

(95,232,722

)

Net Assets - 100.0%

1,129,969,625

FUTURES


Type	Number of Contracts		Expiration Month		Original Value		Value at June 30, 2016		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
Euro STOXX 50 Index Futures		89		September 2016	$	2,731,028	$	2,829,041	$	98,013
U.S. T-Note 10 Yr (CBT) Futures		188		September 2016		24,373,906		25,001,063		627,157
U.S. T-Note 2 Yr (CBT) Futures		370		September 2016		80,600,938		81,151,407		550,469
U.S. T-Note 5 Yr (CBT) Futures		379		September 2016		45,485,922		46,300,180		814,258
Sold Contracts
Euro-Bobl Futures		383		September 2016		56,188,284		56,784,575		(596,291	)
Euro-Bund Futures		167		September 2016		30,299,315		30,972,057		(672,742	)

									$	820,864

FORWARD CURRENCY EXCHANGE CONTRACTS


Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Australia & New Zealand Banking Group Ltd.		SGD	7,882		USD	5,824		7/15/16	$	(26,304	)
Australia & New Zealand Banking Group Ltd.		USD	2,230		INR	150,967		7/15/16		1,523
Australia & New Zealand Banking Group Ltd.		USD	9,142		INR	617,171		7/15/16		(17,070	)
Bank of America, NA		USD	5,015		RUB	337,066		8/18/16		192,496


Counterparty	Contracts to Deliver (000)			In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC		USD	11,034	INR	749,776		7/15/16	$	51,414
Barclays Bank PLC		USD	2,537	EUR	2,301		7/20/16		18,055
BNP Paribas SA		EUR	48,797	USD	55,936		7/20/16		1,753,710
BNP Paribas SA		USD	23,991	MXN	454,975		8/04/16		822,967
BNP Paribas SA		USD	7,139	TWD	230,744		8/05/16		35,336
BNP Paribas SA		AUD	15,449	USD	11,527		8/12/16		21,333
BNP Paribas SA		CAD	21,611	USD	16,839		9/08/16		108,833
BNP Paribas SA		USD	173	ARS	3,009		1/26/17		5,639
BNP Paribas SA		USD	173	ARS	3,027		1/31/17		6,123
BNP Paribas SA		USD	173	ARS	3,044		2/03/17		6,820
BNP Paribas SA		USD	696	ARS	12,267		2/13/17		24,123
BNP Paribas SA		USD	525	ARS	9,303		2/16/17		20,045
BNP Paribas SA		USD	350	ARS	6,231		2/17/17		14,854
BNP Paribas SA		USD	1,050	ARS	18,904		2/21/17		54,219
BNP Paribas SA		USD	175	ARS	3,186		2/23/17		10,860
BNP Paribas SA		USD	334	ARS	6,107		2/24/17		22,439
BNP Paribas SA		USD	182	ARS	3,384		2/27/17		15,064
BNP Paribas SA		USD	95	ARS	1,790		2/28/17		8,676
BNP Paribas SA		USD	95	ARS	1,814		3/01/17		10,002
BNP Paribas SA		USD	984	ARS	19,182		3/02/17		131,004
Brown Brothers Harriman & Co.		EUR	968	USD	1,087		7/20/16		12,277
Brown Brothers Harriman & Co.		USD	6,061	EUR	5,389		7/20/16		(77,256	)
Brown Brothers Harriman & Co.		USD	1,347	GBP	921		7/21/16		(121,430	)
Brown Brothers Harriman & Co.		USD	166	MXN	3,139		8/04/16		5,450
Brown Brothers Harriman & Co.		NOK	1,829	USD	221		9/09/16		2,863
Brown Brothers Harriman & Co.		USD	202	SEK	1,656		9/09/16		(5,325	)
Citibank, NA		USD	6,892	ZAR	105,778		7/12/16		280,449
Citibank, NA		USD	1,866	GBP	1,415		7/21/16		18,269
Citibank, NA		USD	1,906	HUF	531,235		7/29/16		(39,199	)
Credit Suisse International		USD	9,402	ZAR	149,258		7/12/16		718,417
Credit Suisse International		CHF	16,217	EUR	14,930		7/20/16		(45,983	)
Credit Suisse International		EUR	9,981	CHF	10,858		7/20/16		47,617
Credit Suisse International		TRY	12,279	USD	4,112		8/10/16		(118,867	)
Goldman Sachs Bank		BRL	32,770	USD	9,460		7/05/16		(741,472	)
Goldman Sachs Bank		USD	10,209	BRL	32,770		7/05/16		(7,945	)
Goldman Sachs Bank		BRL	3,670	USD	1,088		8/02/16		(44,319	)
Goldman Sachs Bank		USD	7,037	TWD	227,300		8/05/16		29,937
Goldman Sachs Bank		USD	4,079	TRY	12,432		8/10/16		204,685
Goldman Sachs Bank		USD	14,257	RUB	938,174		8/18/16		235,962
HSBC Bank USA		COP	1,817,931	USD	613		7/15/16		(8,394	)
HSBC Bank USA		CNY	48,952	USD	7,425		7/20/16		74,494
HSBC Bank USA		GBP	12,717	USD	18,377		7/21/16		1,444,722
HSBC Bank USA		TWD	1,049,384	USD	32,330		8/05/16		(296,058	)
JPMorgan Chase Bank		GBP	2,440	USD	3,212		7/21/16		(36,318	)
JPMorgan Chase Bank		USD	4,066	GBP	2,879		7/21/16		(232,802	)
Morgan Stanley & Co., Inc.		BRL	80,037	USD	24,935		7/05/16		19,406
Morgan Stanley & Co., Inc.		USD	24,075	BRL	80,037		7/05/16		840,898
Morgan Stanley & Co., Inc.		USD	1,549	EUR	1,406		7/20/16		11,892
Morgan Stanley & Co., Inc.		GBP	7,641	USD	11,034		7/21/16		860,741
Morgan Stanley & Co., Inc.		BRL	80,037	USD	23,889		8/02/16		(804,228	)
Morgan Stanley & Co., Inc.		USD	7,169	TWD	230,744		8/05/16		5,441
Northern Trust Co. Trust		JPY	1,195,010	USD	10,930		8/05/16		(653,293	)
Standard Chartered Bank		BRL	47,267	USD	13,015		7/05/16		(1,699,995	)
Standard Chartered Bank		USD	14,726	BRL	47,267		7/05/16		(11,461	)
Standard Chartered Bank		CNY	99,388	USD	15,073		7/20/16		150,073

								$	3,311,409

PUT OPTIONS WRITTEN


Description	Contracts		Exercise Price		Expiration Month	Premiums Received		U.S. $ Value
CBOE S&P 500 Index (u)		66	$	1,970.00	July 2016	$	45,999	$	(44,880	)

CREDIT DEFAULT SWAPTIONS WRITTEN


Description	Counterparty	Buy/Sell Protection	Strike Rate			Expiration Date	Notional Amount (000)		Premiums Received		Market Value
CDX-NAHY Series 26, 5 Year Index	BNP Paribas	Sell		103.00	%	7/20/16	$	22,500	$	110,250	$	(125,197	)

INTEREST RATE SWAPTIONS WRITTEN


Description	Index	Counterparty	Strike Rate			Expiration Date	Notional Amount (000)		Premiums Received		Market Value
OTC - 1 Year Interest Rate Swap	3 Month LIBOR	JPMorgan Chase Bank, N.A.		1.56	%	7/11/16	$	17,980	$	142,042	$	(305,647	)

CURRENCY OPTIONS WRITTEN


Description	Exercise Price		Expiration Month		Contracts (000)		Premiums Received		U.S. $ Value
Put - CAD/EUR	CAD	1.470		July 2016	CAD	29,771	$	89,723	$	(55,189)
Put - CHF/EUR	CHF	1.100		July 2016	CHF	10,890		69,527		(5,097)
Put - SEK/EUR	SEK	9.410		July 2016	SEK	188,360		58,182		(67,190)
Put - SEK/EUR	SEK	9.560		July 2016	SEK	193,112		83,577		(50,693)
Call - NZD/AUD	NZD	1.020		August 2016	NZD	23,231		136,195		(53,243)
Put - BRL/USD	BRL	4.030		September 2016	BRL	89,884		254,008		(18,104)

							$	691,212	$	(249,516)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS


Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2016			Notional Amount (000)		Market Value			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Morgan Stanley & Co. LLC/(INTRCONX)
iTraxx Europe Crossover Series 21, 5 Year Index, 6/20/19*		(5.00	)%		2.12	%	EUR	3	$	(263	)	$	(6	)
iTraxx Europe Crossover Series 23, 5 Year Index, 6/20/20*		(5.00	)		3.65			12,819		(702,837	)		250,532


Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2016			Notional Amount (000)		Market Value		Unrealized Appreciation/ (Depreciation)
Sale Contracts
Citigroup Global Markets, Inc./(INTRCONX)
CDX-NAHY Series 21, 5 Year Index, 12/20/18*		5.00	%		2.67	%	$	6,951	$	392,742	$	135,268
CDX-NAIG Series 20, 5 Year Index, 6/20/18*		1.00			0.40			10,730		129,777		68,370
Morgan Stanley & Co. LLC/(INTRCONX)
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			43,843		1,392,271		704,464
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			990		31,438		16,378
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			4,951		157,224		76,215
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			1,981		62,908		30,872
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			1,980		62,877		14,633
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			990		31,300		5,563
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			19,599		622,383		213,040
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			1,981		62,909		25,080
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			48,996		1,555,910		700,364
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			1,870		59,383		27,456
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			1,485		47,157		18,091
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			594		18,863		8,598
CDX-NAHY Series 26, 5 Year Index, 6/20/21*		5.00			4.29			792		25,150		7,749
iTraxx Europe Crossover Series 24, 5 Year Index, 12/20/20*		5.00			3.88		EUR	4,052		203,014		(81,946	)
iTraxx Europe Crossover Series 24, 5 Year Index, 12/20/20*		5.00			3.88			4,808		240,892		(97,621	)
iTraxx Europe Crossover Series 24, 5 Year Index, 12/20/20*		5.00			3.88			5,700		285,583		(116,484	)

									$	4,678,681	$	2,006,616

*	Termination date

CREDIT DEFAULT SWAPS


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2016			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Barclays Bank PLC
Beazer Homes USA, Inc., 9.125%, 6/15/18, 3/20/17*		(5.00	)%		2.26	%	$	3,739	$	(77,349	)	$	(77,987	)	$	638
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 3/20/17*		(5.00	)		6.83			3,505		54,434			(52,251	)		106,685


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2016			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Tenet Healthcare Corporation, 6.875%, 11/15/31, 6/20/17*		(5.00	)%		1.02	%	$	3,870	$	(156,641	)	$	(125,830	)	$	(30,811	)
Citibank, N.A.
Bombardier, Inc., 7.450%, 5/01/34, 3/20/17*		(5.00	)		2.37			1,971		(38,391	)		(49,242	)		10,851
Bombardier, Inc., 7.450%, 5/01/34, 3/20/17*		(5.00	)		2.37			1,959		(38,157	)		(50,535	)		12,378
United States Steel Corp., 6.650%, 6/01/37, 3/20/17*		(5.00	)		1.11			3,643		(108,986	)		(70,751	)		(38,235	)
Credit Suisse International
The Western Union Co., 3.650%, 8/22/18, 3/20/17*		(1.00	)		0.21			1,965		(11,769	)		(1,807	)		(9,962	)
The Western Union Co., 3.650%, 8/22/18, 9/20/17*		(1.00	)		0.29			1,970		(16,673	)		(10,700	)		(5,973	)
Deutsche Bank AG London
iHeart Communications, Inc., 6.875%, 6/15/18, 6/20/18*		(5.00	)		41.42			420		209,426			22,985			186,441
Goldman Sachs Bank USA
Community Health Systems, Inc., 8.000%, 11/15/19, 3/20/17*		(5.00	)		1.29			3,895		(109,259	)		(90,537	)		(18,722	)
Dell, Inc., 7.100%, 4/15/28, 3/20/17*		(1.00	)		0.93			3,540		(3,005	)		20,296			(23,301	)
First Data Corp., 12.625%, 1/15/21, 3/20/17*		(5.00	)		0.69			3,664		(120,570	)		(66,212	)		(54,358	)
Newmont Mining Corp., 5.875%, 4/01/35, 3/20/17*		(1.00	)		0.14			3,930		(26,037	)		(5,291	)		(20,746	)
Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/17*		(5.00	)		38.17			3,634		821,732			(76,066	)		897,798
Sale Contracts
Barclays Bank PLC
AK Steel Corp., 7.625%, 5/15/20, 6/20/17		5.00			1.55			1,270		44,865			(31,027	)		75,892


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2016			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Beazer Homes USA, Inc., 9.125%, 6/15/18, 3/20/19*		5.00	%		5.09	%	$	2,546	$	(8,293	)	$	73,316		$	(81,609	)
CCO Holdings LLC, 7.250%, 10/30/17, 6/20/19*		5.00			0.91			828		100,615			55,253			45,362
iHeartCommunications, Inc., 6.875%, 6/15/18, 12/20/20*		5.00			38.94			1,530		(1,022,511	)		(1,082,846	)		60,335
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20*		5.00			16.77			1,521		(515,132	)		(365,718	)		(149,414	)
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20*		5.00			16.77			609		(206,256	)		(146,668	)		(59,588	)
Tenet Healthcare Corp., 6.875%, 11/15/31, 6/20/19*		5.00			3.36			2,620		125,472			132,945			(7,473	)
Citibank, N.A.
Advanced Micro Devices, Inc., 7.750%, 8/01/20, 3/20/19*		5.00			5.90			680		(24,262	)		(95,109	)		70,847
MGM Resorts International, 7.625%, 1/15/17, 6/20/18*		5.00			0.96			325		26,295			8,509			17,786
United States Steel Corp., 6.650%, 6/01/37, 3/20/19*		5.00			5.59			2,620		(52,272	)		47,440			(99,712	)
Credit Suisse International
The Western Union Co., 3.650%, 8/22/18, 3/20/19*		1.00			0.66			1,309		8,322			(24,500	)		32,822
The Western Union Co., 3.650%, 8/22/18, 9/20/19*		1.00			0.80			1,320		3,997			(11,845	)		15,842
Goldman Sachs Bank USA
CDX-NAIG Series 9, 10 Year Index, 12/20/17*		5.00			1.12			300		17,734			(13,450	)		31,184
Community Health Systems, Inc., 8.000%, 11/15/19, 3/20/19*		5.00			4.31			2,620		31,076			119,002			(87,926	)


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2016			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
First Data Corp., 12.625%, 1/15/21, 3/20/19*		5.00	%		1.85	%	$	2,620	$	216,625		$	35,303		$	181,322
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20*		5.00			16.77			580		(196,434	)		(131,394	)		(65,040	)
Newmont Mining Corp., 5.875%, 4/01/35, 3/20/19*		1.00			0.47			2,620		36,360			(54,091	)		90,451
Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/19*		5.00			61.55			2,620		(1,957,679	)		47,440			(2,005,119	)
Goldman Sachs International
iHeartCommunications, Inc., 6.875%, 6/15/18, 6/20/21*		5.00			38.21			545		(370,594	)		(352,518	)		(18,076	)
Morgan Stanley Capital Services LLC
CMBX.NA.BBB Series 6, 5/11/63*		3.00			4.40			10,000		(736,666	)		(119,582	)		(617,084	)
United States Steel Corp., 6.650%, 6/01/37, 9/20/19*		5.00			6.70			491		(26,251	)		17,001			(43,252	)
United States Steel Corp., 6.650%, 6/01/37, 9/20/19*		5.00			6.70			743		(39,481	)		27,172			(66,653	)

									$	(4,165,715	)	$	(2,499,295	)	$	(1,666,420	)

*	Termination date

TOTAL RETURN SWAPS


Counterparty & Referenced Obligation	# of Shares or Units		Rate Paid/ Received		Notional Amount (000)		Maturity Date		Unrealized Appreciation/ (Depreciation)
Pay Total Return on Reference Obligation
Citibank, NA
iBoxx USD Liquid High Yield Index		113,054		LIBOR	$	26,271		9/20/16	$	780,930
iBoxx USD Liquid High Yield Index		36,035		LIBOR		8,421		9/20/16		201,582
iBoxx USD Liquid High Yield Index		16,507		LIBOR		3,873		9/20/16		76,853
JPMorgan Chase Bank, N.A.
iBoxx USD Liquid High Yield Index		42,881		LIBOR		9,955		9/20/16		305,754
iBoxx USD Liquid High Yield Index		32,840		LIBOR		7,747		9/20/16		110,907
iBoxx USD Liquid High Yield Index		16,437		LIBOR		3,874		9/20/16		58,965
Morgan Stanley Capital Services LLC
iBoxx USD Liquid High Yield Index		23,781		LIBOR		5,556		9/20/16		125,685
iBoxx USD Liquid High Yield Index		23,641		LIBOR		5,557		9/20/16		109,568

									$	1,770,244

VARIANCE SWAPS


Swap Counterparty & Referenced Obligation	Volatility Strike Price			Notional Amount (000)		Market Value			Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Bank of America, N.A.
Euro STOXX 50 Index 8/19/16*	EUR	26.85	%	EUR	60	$	1,666		$	– 0	–	$	1,666
NASDAQ 100 Index 8/19/16*	$	19.60		$	25		1,323			– 0	–		1,323
Russel 2000 Index 8/19/16*		22.30			28		4,389			– 0	–		4,389
S&P 500 Index 7/15/16*		14.20			67		(49,912	)		– 0	–		(49,912	)
S&P 500 Index 8/19/16*		17.00			42		(3,831	)		– 0	–		(3,831	)
BNP Paribas
Euro STOXX 50 Index 7/29/16*	EUR	32.00		EUR	221		(108,024	)		– 0	–		(108,024	)
Citibank, N.A.
S&P 500 Index 7/29/16*	$	18.25		$	36		(10,473	)		– 0	–		(10,473	)
Deutsche Bank AG
Nikkei 225 Index Fund ETF 7/8/16*	JPY	24.70		JPY	13,023		(128,686	)		– 0	–		(128,686	)
Goldman Sachs International
Nikkei 225 Index Fund ETF 8/12/16*		29.10			3,733		2,502			– 0	–		2,502
Morgan Stanley & Co. International PLC
Euro STOXX 50 Index 7/15/16*	EUR	22.55		EUR	384		(670,642	)		– 0	–		(670,642	)
Euro STOXX 50 Index 7/29/16*		35.10			914		(129,086	)		– 0	–		(129,086	)
Euro STOXX 50 Index 7/29/16*		38.40			309		9,835			– 0	–		9,835
S&P 500 Index 7/29/16*				$	290		9,971			– 0	–		9,971
UBS AG
Hang Seng Index 7/28/16*	HKD	20.60		HKD	200		(3,411	)		– 0	–		(3,411	)
S&P/ASX 200 Index 8/18/16*	AUD	20.10		AUD	68		1,683			– 0	–		1,683

						$	(1,072,696	)	$	– 0	–	$	(1,072,696	)

*	Termination date

REVERSE REPURCHASE AGREEMENTS


Broker	Principal Amount (000)		Currency	Interest Rate			Maturity	U.S. $ Value at June 30, 2016
Barclays Capital, Inc.†		2,207	USD		(1.50	)%*	—	$	2,202,834
Barclays Capital, Inc.†		433	EUR		(0.50	)%*	—		480,416
Barclays Capital, Inc.†		1,035	USD		(0.50	)%*	—		1,034,480
Barclays Capital, Inc.†		1,115	USD		(0.25	)%*	—		1,115,178
Barclays Capital, Inc.†		1,558	USD		(0.10	)%*	—		1,557,394
Credit Suisse Securities (USA) LLC†		531	USD		(2.75	)%*	—		527,192
Credit Suisse Securities (USA) LLC†		85	USD		(2.00	)%*	—		84,119
Credit Suisse Securities (USA) LLC†		717	EUR		(1.25	)%*	—		793,619
Credit Suisse Securities (USA) LLC†		770	EUR		(1.25	)%*	—		853,545


Broker	Principal Amount (000)		Currency		Interest Rate			Maturity		U.S. $ Value at June 30, 2016
Credit Suisse Securities (USA) LLC†		618		EUR		(1.00	)%*		—	$	682,586
Credit Suisse Securities (USA) LLC†		583		GBP		(1.00	)%*		—		774,948
Credit Suisse Securities (USA) LLC†		1,658		EUR		(1.00	)%*		—		1,827,668
Credit Suisse Securities (USA) LLC†		732		GBP		(0.76	)%*		—		975,104
Credit Suisse Securities (USA) LLC†		1,526		USD		(0.75	)%*		—		1,524,731
Credit Suisse Securities (USA) LLC†		995		USD		(0.25	)%*		—		994,924
Credit Suisse Securities (USA) LLC†		339		USD		0.00	%		—		338,715
Credit Suisse Securities (USA) LLC†		661		USD		0.00	%		—		660,955
Credit Suisse Securities (USA) LLC†		949		USD		0.00	%		—		948,675
Credit Suisse Securities (USA) LLC†		1,115		USD		0.10	%		—		1,115,313
Credit Suisse Securities (USA) LLC†		1,341		USD		0.10	%		—		1,340,886
Credit Suisse Securities (USA) LLC†		1,022		USD		0.25	%		—		1,022,382
HSBC Securities (USA) Inc.		12,609		USD		0.58	%		7/12/16		12,624,002
HSBC Securities (USA) Inc.		3,031		USD		0.60	%		7/12/16		3,034,387
HSBC Securities (USA) Inc.		35,620		USD		0.60	%		7/12/16		35,662,744
ING Financial Markets LLC†		993		USD		(0.25	)%*		—		992,493
ING Financial Markets LLC†		923		USD		0.00	%		—		922,500
ING Financial Markets LLC†		900		USD		2.00	%		—		909,250
JPMorgan Chase Bank, N.A.		219		USD		(0.25	)%*		7/14/16		218,968
Merrill Lynch, Pierce, Fenner & Smith, Inc.		49,688		USD		0.50	%		7/06/16		49,707,292
RBC Capital Markets		1,366		USD		(0.67	)%*		7/01/16		1,359,609
RBC Capital Markets†		774		USD		(0.50	)%*		—		773,642
RBC Capital Markets†		868		USD		0.00	%		—		867,680
RBC Capital Markets†		1,550		USD		0.20	%		—		1,551,184

										$	129,479,415

†	The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on June 30, 2016

*	Interest payment due from counterparty.

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

Remaining Contracted Maturity of the Agreements

Reverse Repurchase Agreements

Overnight and
Continuous

Up to 30 Days

31-90 Days

Greater than 90
Days

Total

Corporates - Investment Grade

1,886,801

– 0

–

– 0

–

– 0

–

1,886,801

Corporates - Non-Investment Grade

25,684,266

– 0

–

– 0

–

– 0

–

25,684,266

Governments - Treasuries

– 0

–

101,028,425

– 0

–

– 0

–

101,028,425

Local Governments - Regional Bonds

– 0

–

218,968

– 0

–

– 0

–

218,968

Quasi-Sovereigns

660,955

– 0

–

– 0

–

– 0

–

660,955

Total

28,232,022

101,247,393

– 0

–

– 0

–

129,479,415

^	Less than $0.50.

**	Principal amount less than 500.

(a)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2016, the aggregate market value of these securities amounted to $415,616,936 or 36.8% of net assets.

(b)

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

(c)

Non-income producing security.

(d)

Defaulted.

(e)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 1.51% of net assets as of June 30, 2016, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

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

5.67%, 6/24/50

10/06/09

2,732,934

3,598,350

0.32

Dominican Republic International Bond

16.00%, 7/10/20

12/08/10

6,387,457

5,955,944

0.53

Edcon Ltd.

9.50%, 3/01/18

2/27/15

818,467

204,610

0.02

Edcon Ltd.

9.50%, 3/01/18

3/05/15

343,123

121,800

0.01

Edcon Ltd.

9.50%, 3/01/18

2/27/15

309,945

117,856

0.01

Edcon Ltd.

9.50%, 3/01/18

2/27/15

137,960

53,423

0.00

Golden Energy Offshore Services AS

5.00%, 12/31/17

5/14/14

1,125,508

295,596

0.03

Liberty Tire Recycling LLC

11.00%, 3/31/21

9/23/10

1,655,468

1,172,142

0.10

Magnetation LLC/Mag Finance Corp.

11.00%, 5/15/18

5/15/13

2,295,760

114,280

0.01

Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.

9.50%, 6/15/19

5/30/12

413,000

423,325

0.04

Tervita Corp.

8.00%, 11/15/18

2/07/13

1,746,238

1,992,130

0.18

Tervita Corp.

10.875%, 2/15/18

11/20/13

1,754,133

1,488,240

0.13

Tervita Corp.

9.75%, 11/01/19

10/19/12

1,099,403

361,460

0.03

Vantage Drilling International

10.00%, 12/31/20

2/10/16

81,466

80,910

0.01

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

1/23/14

1,408,980

131,175

0.01

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

2/12/14

992,873

93,775

0.01

Virgolino de Oliveira Finance SA

10.875%, 1/13/20

6/09/14

477,417

112,800

0.01

Virgolino de Oliveira Finance SA

11.75%, 2/09/22

1/29/14

838,866

89,100

0.01

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

5.946%, 11/25/25

9/28/15

620,624

611,467

0.05

(f)

Fair valued by the Adviser.

(g)

Restricted and illiquid security.

Restricted & Illiquid Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

CHC Helicopter SA

9.25%, 10/15/20

10.02.12

3,554,154

2,789,883

0.25

CHC Helicopter SA

9.375%, 6/01/21

2/19/16

20,974

45,682

0.00

Exide Corp.

4/30/15

141,191

243,412

0.02

Exide Technologies Series AI

11.00%, 4/30/20

4/30/15

4,477,093

3,772,713

0.33

Goodman Networks, Inc.

12.125%, 7/01/18

6/16/11

2,023,894

1,010,000

0.09

Holly Energy Partners LP/Holly Energy Finance Corp.

6.50%, 3/01/20

2/28/12

1,323,046

1,323,585

0.12

Momentive Performance Materials, Inc.

8.875%, 10/15/20

10/11/12

– 0

–

– 0

–

0.00

Mt. Logan Re Ltd.

(Preference Shares)

12/30/14

4,712,000

4,706,270

0.42

(h)

Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at June 30, 2016.

(i)

Convertible security.

(j)

Illiquid security.

(k)

Floating Rate Security. Stated interest rate was in effect at June 30, 2016.

(l)

Variable rate coupon, rate shown as of June 30, 2016.

(m)

Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at June 30, 2016.

(n)

Defaulted matured security.

(o)

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

(p)

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

(q)

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

(r)

IO - Interest Only

(s)

The security is subject to a 12 month lock-up period, after which semi-annual redemptions are permitted.

(t)

Effective prepayment date of April 2017.

(u)

One contract relates to 100 shares.

(v)

To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.

(w)

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

(x)

As of June 30, 2016, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $53,468,458 and gross unrealized depreciation of investments was $(94,487,280), resulting in net unrealized depreciation of $(41,018,822).

#	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.

Currency Abbreviations:


ARS	-	Argentine Peso
AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CNY	-	Chinese Yuan Renminbi
COP	-	Colombian Peso
DOP	-	Dominican Peso
EUR	-	Euro


GBP	-	Great British Pound
HKD	-	Hong Kong Dollar
HUF	-	Hungarian Forint
IDR	-	Indonesian Rupiah
INR	-	Indian Rupee
JPY	-	Japanese Yen
MXN	-	Mexican Peso
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
RUB	-	Russian Ruble
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
ZAR	-	South African Rand
Glossary:
12MTA	-	12 Month Treasury Average
ABS	-	Asset-Backed Securities
ARM	-	Adjustable Rate Mortgages
ASX	-	Australian Stock Exchange
CBOE	-	Chicago Board Options Exchange
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
EURIBOR	-	Euro Interbank Offered Rate
INTRCONX	-	Inter-Continental Exchange
LIBOR	-	London Interbank Offered Rates
MTN	-	Medium Term Note
NASDAQ	-	National Association of Securities Dealers Automated Quotations
REIT	-	Real Estate Investment Trust

Country Breakdown*

June 30, 2016 (unaudited)


	70.0%			United States
	5.2%			Brazil
	2.9%			United Kingdom
	2.2%			Canada
	1.4%			Mexico
	1.3%			Ireland
	1.3%			Luxembourg
	1.3%			France
	1.2%			Dominican Republic
	1.0%			Netherlands
	0.8%			Switzerland
	0.8%			Argentina
	0.7%			Italy
	8.6%			Other
	1.3%			Short-Term

	100.0%			Total Investments

All data are as of June 30, 2016. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.7% or less in the following countries: Angola, Australia, Barbados, Bermuda, Cayman Islands, Chile, Columbia, Croatia, Denmark, El Salvador, Finland, Gabon, Germany, Ghana, Guatemala, India, Indonesia, Ivory Coast, Jamaica, Kenya, Macau, New Zealand, Norway, Pakistan, Peru, Portugal, Serbia, South Africa, Spain, Sri Lanka, Trinidad & Tobago, Turkey, United Arab Emirates, Venezuela and Zambia.

AB Global High Income Fund

June 30, 2016 (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 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 data has not been provided are classified as Level 3.

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

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

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

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of June 30, 2016:

Investments in Securities

Level 1

Level 2

Level 3

Total

Assets:

Corporates - Non-Investment Grade

– 0

–

532,120,912

11,420,542

543,541,454

Governments - Treasuries

– 0

–

166,741,500

– 0

–

166,741,500

Collateralized Mortgage Obligations

– 0

–

137,765,893

5,106,744

142,872,637

Corporates - Investment Grade

– 0

–

80,787,255

317,985

81,105,240

Commercial Mortgage-Backed Securities

– 0

–

4,223,741

42,627,521

46,851,262

Emerging Markets - Sovereigns

– 0

–

43,627,083

– 0

–

43,627,083

Emerging Markets - Treasuries

– 0

–

41,845,662

– 0

–

41,845,662

Bank Loans

– 0

–

29,880,012

7,803,625

37,683,637

Emerging Markets - Corporate Bonds

– 0

–

19,394,700

201,447

19,596,147

Governments - Sovereign Bonds

– 0

–

17,305,563

– 0

–

17,305,563

Asset-Backed Securities

– 0

–

719,447

12,728,657

13,448,104

Governments - Sovereign Agencies

– 0

–

12,296,673

– 0

–

12,296,673

Whole Loan Trusts

– 0

–

– 0

–

10,585,847

Common Stocks

1,596,097

527,910

5,978,277

8,102,284

Preferred Stocks

5,935,790

1,476,450

– 0

–

7,412,240

Local Governments - Municipal Bonds

– 0

–

6,759,598

– 0

–

6,759,598

Local Governments - Regional Bonds

– 0

–

3,072,110

– 0

–

3,072,110

Quasi-Sovereigns

– 0

–

2,484,553

– 0

–

2,484,553

Inflation-Linked Securities

– 0

–

2,245,849

– 0

–

2,245,849

Warrants

117

– 0

–

310,786

310,903

Options Purchased - Puts

– 0

–

157,080

– 0

–

157,080

Short-Term Investments:

Time Deposits

– 0

–

7,137,483

– 0

–

7,137,483

Investment Companies

6,707,559

– 0

–

– 0

–

6,707,559

Emerging Markets - Sovereigns

– 0

–

1,376,702

– 0

–

1,376,702

Total Investments in Securities

14,239,563

1,111,946,176

97,081,431

1,223,267,170

Other Financial Instruments*:

Assets

Futures

1,991,884

98,013

– 0

–

2,089,897

Forward Currency Exchange Contracts

– 0

–

8,299,128

– 0

–

8,299,128

Centrally Cleared Credit Default Swaps

– 0

–

2,302,673

– 0

–

2,302,673

Credit Default Swaps

– 0

–

1,836,634

– 0

–

1,836,634

Total Return Swaps

– 0

–

1,770,244

– 0

–

1,770,244

Variance Swaps

– 0

–

31,369

– 0

–

31,369

Liabilities

Futures

(1,269,033

)

– 0

–

– 0

–

(1,269,033

)

Forward Currency Exchange Contracts

– 0

–

(4,987,719

)

– 0

–

(4,987,719

)

Put Options Written

– 0

–

(44,880

)

– 0

–

(44,880

)

Credit Default Swaptions Written

– 0

–

(125,197

)

– 0

–

(125,197

)

Interest Rate Swaptions Written

– 0

–

(305,647

)

– 0

–

(305,647

)

Currency Options Written

– 0

–

(249,516

)

– 0

–

(249,516

)

Centrally Cleared Credit Default Swaps

– 0

–

(296,057

)

– 0

–

(296,057

)

Credit Default Swaps

– 0

–

(3,503,054

)

– 0

–

(3,503,054

)

Variance Swaps

– 0

–

(1,104,065

)

– 0

–

(1,104,065

)

Total^

14,962,414

1,115,668,102

97,081,431

1,227,711,947

Investments valued at NAV**

1,935,177

Total Investments

1,229,647,124

#	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.

**	As of June 30, 2016, certain of the Fund’s investments were fair valued using net asset value (“NAV”) per share and have been excluded from the fair value hierarchy.

^	There were no transfers between Level 1 and Level 2 during the reporting period.

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

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

Corporates - Non-
Investment
Grade#

Collateralized
Mortgage
Obligations

Corporates -
Investment
Grade

Commercial
Mortgage-Backed
Securities

Balance as of 3/31/16

11,980,493

124,373,877

– 0

–

42,475,788

Accrued discounts/(premiums)

104,193

– 0

–

37,896

Realized gain (loss)

(78,214

)

524

– 0

–

– 0

–

Change in unrealized appreciation/depreciation

(74,130

)

67,273

10,310

113,837

Purchases

693,119

3,854,915

307,617

– 0

–

Sales/Paydowns

(1,204,919

)

(524

)

– 0

–

– 0

–

Reclassification

– 0

–

– 0

–

– 0

–

– 0

–

Transfers into Level 3

– 0

–

– 0

–

– 0

–

– 0

–

Transfers out of Level 3

– 0

–

(123,189,321

)

– 0

–

– 0

–

Balance as of 6/30/16

11,420,542

5,106,744

317,985

42,627,521

Net change in unrealized appreciation/depreciation from investments held as of 6/30/16

(145,620

)

67,273

10,310

113,837

Emerging
Markets -
Treasuries

Bank Loans

Emerging
Markets -
Corporate Bonds

Asset-Backed
Securities

Balance as of 3/31/16

6,077,589

44,857,230

235,021

10,961,301

Accrued discounts/(premiums)

– 0

–

41,903

– 0

–

61,156

Realized gain (loss)

– 0

–

(39,089

)

– 0

–

81,422

Change in unrealized appreciation/depreciation

– 0

–

(561,080

)

(33,574

)

(146,991

)

Purchases

– 0

–

1,224,046

– 0

–

2,166,957

Sales/Paydowns

– 0

–

(9,972,527

)

– 0

–

(395,188

)

Reclassification

– 0

–

– 0

–

– 0

–

– 0

–

Transfers into Level 3

– 0

–

– 0

–

– 0

–

– 0

–

Transfers out of Level 3

(6,077,589

)

(27,746,858

)

– 0

–

– 0

–

Balance as of 6/30/16

– 0

–

7,803,625

201,447

12,728,657

Net change in unrealized appreciation/depreciation from investments held as of 6/30/16

– 0

–

(688,505

)

(33,574

)

(146,991

)

Whole Loan Trusts

Common Stocks#

Investments
Companies

Warrants#

Balance as of 3/31/16

10,442,733

6,953,397

1,824,328

310,786

Accrued discounts/(premiums)

4,894

– 0

–

– 0

–

– 0

–

Realized gain (loss)

(39,237

)

(4,448

)

– 0

–

– 0

–

Change in unrealized appreciation/depreciation

(218,327

)

(18,119

)

– 0

–

– 0

–

Purchases

873,286

– 0

–

– 0

–

Sales/Paydowns

(477,502

)

(952,564

)

– 0

–

– 0

–

Reclassification

– 0

–

– 0

–

– 0

–

– 0

–

Transfers into Level 3

– 0

–

– 0

–

– 0

–

– 0

–

Transfers out of Level 3

– 0

–

– 0

–

(1,824,328

)

– 0

–

Balance as of 6/30/16

10,585,847

5,978,277

– 0

–

310,786

Net change in unrealized appreciation/depreciation from investments held as of 6/30/16

(218,327

)

(14,362

)

– 0

–

– 0

–

Total

Balance as of 3/31/16

260,492,543

Accrued discounts/(premiums)

250,100

Realized gain (loss)

(79,042

)

Change in unrealized appreciation/depreciation

(860,801

)

Purchases

9,119,951

Sales/Paydowns

(13,003,224

)

Reclassification

– 0

–

Transfers into Level 3

– 0

–

Transfers out of Level 3

(158,838,096

)

Balance as of 6/30/16

97,081,431

Net change in unrealized appreciation/depreciation from investments held as of 6/30/16

(1,055,959

)

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

+	An amount of $158,838,096 was transferred out of Level 3 into Level 2 due to an increase in observability during the reporting period.

The following represents information about significant observable inputs related to the Fund’s Level 3 investments at June 30, 2016. Securities priced (i) at net asset value, (ii) by third party vendors, 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
6/30/16

Valuation Technique

Unobservable Input

Range/
Weighted Average

Corporates—Non-Investment Grade

2,841,502

Discounted Cash Flow

Clean Debt Value

51.90% – 77.3%/64.6%

Convertible Feature Value

2.3% – 11.4%/6.9%

1,172,142

Market Approach

EBITDA*

38mm/N/A

EBITDA* Multiples

6.8X – 8.8X/7.8X

– 0

–

Qualitative Assessment

0.00/N/A

Bank Loans

690,794

Market Approach

EBITDA* Projection

19mm – $40mm/N/A

EBITDA* Multiples

5X/N/A

Scrap Value

110mm/N/A

Whole Loan Trusts

2,410,691

Projected Cash Flow

Level Yield

13.45%/N/A

1,928,372

Market Approach

Underlying NAV of Collateral

106.45/N/A

1,145,628

Recovery Analysis

Delinquency Rate

<4%/N/A

1,414,831

Recovery Analysis

Cumulative Loss

<15%/N/A

1,066,626

Recovery Analysis

Delinquency Rate

<4%/N/A

733,767

Discounted Cash Flow

Cash Flow Yield

92.13%/N/A

585,832

Projected Cash Flow

Internal Rate of Return

10.63%/N/A

430,675

Recovery Analysis

Delinquency Rate

<5%/N/A

Collateralization

1.1X/N/A

351,503

Discounted Cash Flow

Cash Flow Yield

93.88%/N/A

241,902

Recovery Analysis

Appraisal Value

4,900,000/N/A

148,227

Recovery Analysis

Appraisal Value

3,200,000/N/A

127,793

Recovery Analysis

Appraisal Value

3,376,000/N/A

Common Stocks

598,197

Market Approach

EBITDA*

94mm/N/A

EBITDA* Multiples

8.5X/N/A

422,532

Market Approach

EBITDA* Projection

45mm/N/A

243,412

Option Pricing Model

Enterprise Value

519mm – $603mm/N/A

Exercise Price

730mm – $830mm/N/A

Years to Expiration

2.5yr – 4.5yr/N/A

EV Volatility %

22.6% – 26.5%/N/A

Risk Free Rate

1.09% – 1.55%/N/A

7,866

Market Approach

EBITDA* Projection

376mm/N/A

EBITDA* Multiples

11.0X/N/A

Warrants

310,786

Option Pricing Model

Exercise Price

6.64/N/A

Expiration Date

June, 2019/N/A

EV Volatility %

50.0%/N/A

*	Earnings Before Interest, Taxes, Depreciation and Amortization.

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing 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 a 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 comparisons 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 Portfolio’s transactions in shares of the AB Fixed-Income Shares, Inc. - Government Money Market Portfolio for the three months ended June 30, 2016 is as follows:


Market Value March 31, 2016 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Market Value June 30, 2016 (000)		Dividend Income (000)
$	11,127	$	62,399	$	66,818	$	6,708	$	5

ITEM 2.

CONTROLS AND PROCEDURES.

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

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

ITEM 3.

EXHIBITS.

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


EXHIBIT NO.		DESCRIPTION OF EXHIBIT

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

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

SIGNATURES

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

(Registrant) AllianceBernstein Global High Income Fund, Inc.


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

Date:		August 24, 2016

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


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

Date:		August 24, 2016

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

Date:		August 24, 2016