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: December 31, 2015

ITEM 1.

SCHEDULE OF INVESTMENTS.

AB Global High Income Fund

Portfolio of Investments

December 31, 2015 (unaudited)


Company		Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE - 52.1%
Industrial - 43.3%
Basic - 2.7%
AK Steel Corp.
7.625%, 10/01/21	U.S.$		556	$	222,400
Aleris International, Inc.
7.625%, 2/15/18			382		324,700
7.875%, 11/01/20			664		505,968
ArcelorMittal
6.125%, 6/01/18-6/01/25			824		614,835
8.00%, 10/15/39			1,781		1,215,532
Ashland, Inc.
4.75%, 8/15/22			501		487,223
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B
7.375%, 5/01/21 (a)			656		691,670
Cliffs Natural Resources, Inc.
5.95%, 1/15/18			187		49,555
8.25%, 3/31/20 (a)(b)			1,111		847,137
Commercial Metals Co.
6.50%, 7/15/17			1,927		1,996,854
Consolidated Energy Finance SA
6.75%, 10/15/19 (a)			2,100		2,007,495
Constellium NV
5.75%, 5/15/24 (a)			400		272,000
FMG Resources (August 2006) Pty Ltd. (FMG America Finance, Inc.)
9.75%, 3/01/22 (a)(b)			256		234,240
Ineos Finance PLC
4.00%, 5/01/23 (a)	EUR		790		819,899
INEOS Group Holdings SA
5.75%, 2/15/19 (a)			322		349,933
5.875%, 2/15/19 (a)(b)	U.S.$		1,643		1,593,710
Joseph T. Ryerson & Son, Inc.
9.00%, 10/15/17			2,709		2,085,930
Lundin Mining Corp.
7.50%, 11/01/20 (a)			396		371,250
7.875%, 11/01/22 (a)			837		770,040
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (c)(d)			2,857		285,700
Momentive Performance Materials, Inc.
3.88%, 10/24/21			1,772		1,222,680
8.875%, 10/15/20 (e)(f)(g)			1,772		0	^
Novacap International SAS
4.932%, 5/01/19 (a)(h)	EUR		329		359,328
Novelis, Inc.
8.375%, 12/15/17	U.S.$		380		369,550
8.75%, 12/15/20 (b)			1,663		1,525,802
Peabody Energy Corp.
6.00%, 11/15/18			3,891		719,835
PQ Corp.
8.75%, 11/01/18 (a)			1,792		1,738,240


Company		Principal Amount (000)		U.S. $ Value
Smurfit Kappa Acquisitions
4.875%, 9/15/18 (a)			2,064		2,125,920
Smurfit Kappa Treasury Funding Ltd.
7.50%, 11/20/25			238		274,295
SPCM SA
6.00%, 1/15/22 (a)			400		407,000
Steel Dynamics, Inc.
5.25%, 4/15/23			587		535,638
6.125%, 8/15/19			225		226,688
6.375%, 8/15/22			1,266		1,215,360
Synlab Unsecured Bondco PLC
8.25%, 7/01/23 (a)	EUR		400		439,047
Teck Resources Ltd.
2.50%, 2/01/18	U.S.$		40		30,400
5.20%, 3/01/42			307		128,940
5.40%, 2/01/43			394		165,480
6.25%, 7/15/41			238		104,720
Thompson Creek Metals Co., Inc.
7.375%, 6/01/18			1,919		364,610
9.75%, 12/01/17			876		753,360
Univar USA, Inc.
6.75%, 7/15/23 (a)			379		345,838
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (a)			386		389,860

					29,188,662

Capital Goods - 3.8%
Accudyne Industries Borrower/Accudyne Industries LLC
7.75%, 12/15/20 (a)			1,194		859,680
American Builders & Contractors Supply Co., Inc.
5.75%, 12/15/23 (a)			560		564,200
Apex Tool Group LLC
7.00%, 2/01/21 (a)			1,225		943,250
Ardagh Finance Holdings SA
8.625%, 6/15/19 (a)(i)			405		398,820
Ardagh Packaging Finance PLC
9.25%, 10/15/20 (a)	EUR		827		939,240
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
6.00%, 6/30/21 (a)(b)	U.S.$		2,680		2,499,100
Ashtead Capital, Inc.
5.625%, 10/01/24 (a)			456		461,700
Berry Plastics Corp.
5.125%, 7/15/23			206		200,335
5.50%, 5/15/22			1,381		1,375,821
6.00%, 10/15/22 (a)			233		237,078
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issuer
6.00%, 6/15/17 (a)			593		573,728
Bombardier, Inc.
5.75%, 3/15/22 (a)			1,250		871,875


Company		Principal Amount (000)		U.S. $ Value
6.00%, 10/15/22 (a)			457		320,357
6.125%, 1/15/23 (a)			302		208,380
7.50%, 3/15/25 (a)			418		292,600
7.75%, 3/15/20 (a)			1,266		1,022,295
Building Materials Corp. of America
6.00%, 10/15/25 (a)			977		1,006,310
EnerSys
5.00%, 4/30/23 (a)			716		712,420
EnPro Industries, Inc.
5.875%, 9/15/22			970		960,300
Gardner Denver, Inc.
6.875%, 8/15/21 (a)			1,158		885,870
HD Supply, Inc.
7.50%, 7/15/20 (b)			1,814		1,886,560
11.50%, 7/15/20			400		443,000
KLX, Inc.
5.875%, 12/01/22 (a)			861		817,950
KraussMaffei Group GmbH
8.75%, 12/15/20 (a)	EUR		182		212,594
Manitowoc Co., Inc. (The)
5.875%, 10/15/22	U.S.$		194		200,305
8.50%, 11/01/20			1,118		1,157,130
Masco Corp.
5.95%, 3/15/22			405		437,400
6.125%, 10/03/16			1,825		1,879,713
Milacron LLC/Mcron Finance Corp.
7.75%, 2/15/21 (a)			794		740,405
Moog, Inc.
5.25%, 12/01/22 (a)			396		399,960
Oshkosh Corp.
5.375%, 3/01/22			210		210,000
Owens-Brockway Glass Container, Inc.
5.875%, 8/15/23 (a)			1,072		1,088,080
Pactiv LLC
7.95%, 12/15/25			1,482		1,378,260
Plastipak Holdings, Inc.
6.50%, 10/01/21 (a)			846		816,390
Rexam PLC
6.75%, 6/29/67 (a)	EUR		1,725		1,881,936
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
8.50%, 5/15/18	U.S.$		620		613,025
9.875%, 8/15/19			1,762		1,775,215
Sealed Air Corp.
4.875%, 12/01/22 (a)			213		213,533
5.50%, 9/15/25 (a)			810		826,200
6.875%, 7/15/33 (a)			1,295		1,324,137
SIG Combibloc Holdings SCA
7.75%, 2/15/23 (a)	EUR		682		772,663
Terex Corp.
6.00%, 5/15/21	U.S.$		639		587,880
Textron Financial Corp.
6.00%, 2/15/67 (a)			575		408,250
TransDigm, Inc.


Company		Principal Amount (000)		U.S. $ Value
6.00%, 7/15/22			1,400		1,368,500
6.50%, 7/15/24			462		459,459
United Rentals North America, Inc.
5.50%, 7/15/25			789		765,330
5.75%, 11/15/24			2,058		2,037,420

					40,034,654

Communications - Media - 5.9%
Altice Financing SA
6.625%, 2/15/23 (a)			2,422		2,391,725
Altice US Finance II Corp.
7.75%, 7/15/25 (a)			861		787,815
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (a)	GBP		1,550		2,467,811
CCO Holdings LLC/CCO Holdings Capital Corp.
5.375%, 5/01/25 (a)	U.S.$		128		127,360
5.75%, 1/15/24 (b)			545		559,988
5.875%, 5/01/27 (a)			766		762,170
6.50%, 4/30/21			195		202,800
CCOH Safari LLC
5.75%, 2/15/26 (a)			570		571,425
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.125%, 12/15/21 (a)			1,891		1,701,900
6.375%, 9/15/20 (a)			832		813,280
Clear Channel Worldwide Holdings, Inc.
6.50%, 11/15/22			555		535,575
Series B
6.50%, 11/15/22			1,560		1,521,000
7.625%, 3/15/20			333		307,609
CSC Holdings LLC
5.25%, 6/01/24 (b)			2,467		2,164,792
DISH DBS Corp.
5.875%, 11/15/24			3,394		3,020,660
Hughes Satellite Systems Corp.
7.625%, 6/15/21			2,323		2,462,380
iHeartCommunications, Inc.
6.875%, 6/15/18			2,299		1,356,410
9.00%, 12/15/19			407		297,110
10.00%, 1/15/18			944		358,720
14.00% (12.00% Cash and 2.00% PIK), 2/01/21 (i)			595		162,096
Intelsat Jackson Holdings SA
5.50%, 8/01/23			1,330		1,044,050
LGE HoldCo VI BV
7.125%, 5/15/24 (a)	EUR		968		1,136,342
Liberty Interactive LLC
3.75%, 2/15/30 (j)	U.S.$		885		491,033
McClatchy Co. (The)
9.00%, 12/15/22 (b)			958		852,620
Mediacom Broadband LLC/Mediacom Broadband Corp.
6.375%, 4/01/23			1,845		1,803,487
Neptune Finco Corp.


Company		Principal Amount (000)		U.S. $ Value
6.625%, 10/15/25 (a)			789		818,587
10.125%, 1/15/23 (a)			565		589,719
10.875%, 10/15/25 (a)			565		591,838
Nexstar Broadcasting, Inc.
6.875%, 11/15/20			1,099		1,123,727
Nielsen Finance LLC/Nielsen Finance Co.
5.00%, 4/15/22 (a)			883		871,962
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.25%, 2/15/22			648		662,580
5.875%, 3/15/25			557		565,355
Radio One, Inc.
7.375%, 4/15/22 (a)			1,400		1,246,000
9.25%, 2/15/20 (a)			1,761		1,391,190
RR Donnelley & Sons Co.
7.25%, 5/15/18			1,268		1,331,400
Sinclair Television Group, Inc.
5.375%, 4/01/21			750		751,875
5.625%, 8/01/24 (a)			1,500		1,458,750
6.125%, 10/01/22			2,187		2,230,740
Sirius XM Radio, Inc.
6.00%, 7/15/24 (a)			2,095		2,189,275
TEGNA, Inc.
4.875%, 9/15/21 (a)			284		284,710
5.50%, 9/15/24 (a)			162		162,000
6.375%, 10/15/23			718		757,490
Time, Inc.
5.75%, 4/15/22 (a)			1,486		1,359,690
Townsquare Media, Inc.
6.50%, 4/01/23 (a)			1,199		1,097,085
Unitymedia GmbH
6.125%, 1/15/25 (a)			1,090		1,077,083
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
5.00%, 1/15/25 (a)			1,078		1,029,490
6.25%, 1/15/29 (a)	EUR		496		591,152
Univision Communications, Inc.
5.125%, 5/15/23-2/15/25 (a)	U.S.$		1,649		1,573,863
6.75%, 9/15/22 (a)			1,561		1,617,586
8.50%, 5/15/21 (a)			700		715,750
UPCB Finance IV Ltd.
5.375%, 1/15/25 (a)			720		678,600
UPCB Finance V Ltd.
7.25%, 11/15/21 (a)			432		459,000
UPCB Finance VI Ltd.
6.875%, 1/15/22 (a)			558		590,085
Virgin Media Finance PLC
4.875%, 2/15/22			642		581,813
5.25%, 2/15/22			900		832,500
5.75%, 1/15/25 (a)			645		620,813
6.00%, 10/15/24 (a)			1,177		1,174,057
6.375%, 4/15/23 (a)			350		355,250


Company		Principal Amount (000)		U.S. $ Value
Virgin Media Secured Finance PLC
5.50%, 1/15/25 (a)	GBP		423		609,556
Wave Holdco LLC/Wave Holdco Corp.
8.25% (8.25% Cash or 9.00% PIK), 7/15/19 (a)(i)	U.S.$		240		231,600
WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.25%, 7/15/19			1,444		1,363,497
13.375%, 10/15/19			426		398,310
Ziggo Bond Finance BV
5.875%, 1/15/25 (a)			634		588,035

					62,472,171

Communications - Telecommunications - 3.7%
Altice Luxembourg SA
7.25%, 5/15/22 (a)	EUR		1,332		1,353,460
7.625%, 2/15/25 (a)	U.S.$		250		215,625
CenturyLink, Inc.
Series W
6.75%, 12/01/23			437		409,687
Cincinnati Bell, Inc.
8.375%, 10/15/20			223		228,017
Columbus International, Inc.
7.375%, 3/30/21 (a)			2,342		2,327,362
CommScope Technologies Finance LLC
6.00%, 6/15/25 (a)			518		498,575
CommScope, Inc.
5.50%, 6/15/24 (a)			1,311		1,245,450
Communications Sales & Leasing, Inc./CSL Capital LLC
6.00%, 4/15/23 (a)			1,345		1,272,706
8.25%, 10/15/23			2,912		2,460,640
Frontier Communications Corp.
6.25%, 9/15/21			373		316,117
7.125%, 1/15/23			11		9,488
7.625%, 4/15/24			2,853		2,396,520
7.875%, 1/15/27			834		683,880
9.00%, 8/15/31			450		378,000
10.50%, 9/15/22 (a)			4		3,985
11.00%, 9/15/25 (a)			326		322,740
InterXion Holding NV
6.00%, 7/15/20 (a)	EUR		2,601		2,982,950
Level 3 Financing, Inc.
5.375%, 1/15/24 (a)	U.S.$		478		480,390
6.125%, 1/15/21			596		616,860
Numericable-SFR SAS
5.375%, 5/15/22 (a)	EUR		264		292,640
5.625%, 5/15/24 (a)			386		424,205
6.00%, 5/15/22 (a)	U.S.$		1,610		1,561,700
Sable International Finance Ltd.
6.875%, 8/01/22 (a)			454		438,110
Sprint Capital Corp.
6.875%, 11/15/28			7		4,883
8.75%, 3/15/32			375		281,250


Company		Principal Amount (000)		U.S. $ Value
Sprint Communications, Inc.
6.00%, 11/15/22			700		493,500
Sprint Corp.
7.125%, 6/15/24			520		375,050
7.625%, 2/15/25			1,537		1,122,010
7.875%, 9/15/23			1,320		991,320
T-Mobile USA, Inc.
6.00%, 3/01/23			743		752,287
6.375%, 3/01/25			655		661,550
6.50%, 1/15/26			744		751,061
6.542%, 4/28/20			183		190,778
6.625%, 11/15/20			311		323,281
6.731%, 4/28/22			128		133,440
6.836%, 4/28/23			774		801,090
Telecom Italia Capital SA
7.20%, 7/18/36			483		487,830
7.721%, 6/04/38			1,700		1,772,250
Telecom Italia SpA
5.303%, 5/30/24 (a)			1,002		989,475
WaveDivision Escrow LLC/WaveDivision Escrow Corp.
8.125%, 9/01/20 (a)			1,084		1,036,575
Wind Acquisition Finance SA
4.75%, 7/15/20 (a)			1,029		1,018,710
7.375%, 4/23/21 (a)			2,941		2,779,245
Windstream Services LLC
6.375%, 8/01/23			982		707,040
7.75%, 10/01/21			1,715		1,349,491
Zayo Group LLC/Zayo Capital, Inc.
6.00%, 4/01/23			917		866,565
6.375%, 5/15/25			832		773,760

					39,581,548

Consumer Cyclical - Automotive - 2.0%
Affinia Group, Inc.
7.75%, 5/01/21			1,672		1,701,762
Commercial Vehicle Group, Inc.
7.875%, 4/15/19 (b)			2,285		1,999,375
Dana Holding Corp.
6.00%, 9/15/23			833		835,083
6.75%, 2/15/21			326		334,965
Exide Technologies
Zero Coupon, 2/01/18 (g)(k)			2,574		0	^
Series AI
7.00%, 4/30/25 (g)(i)(j)(k)			3,840		2,918,201
11.00% (11.00% Cash or 7.00% PIK), 4/30/20 (e)(i)			4,614		3,783,556
Gates Global LLC/Gates Global Co.
5.75%, 7/15/22 (a)	EUR		125		96,685
6.00%, 7/15/22 (a)	U.S.$		2,839		2,044,080
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28			400		422,000
8.75%, 8/15/20			343		407,313
Meritor, Inc.
6.25%, 2/15/24			446		381,330
6.75%, 6/15/21			925		851,000


Company		Principal Amount (000)		U.S. $ Value
Navistar International Corp.
8.25%, 11/01/21			1,592		1,058,680
Schaeffler Holding Finance BV
6.75%, 11/15/22 (a)(i)			1,019		1,095,425
6.875%, 8/15/18 (a)(i)	EUR		711		800,032
Titan International, Inc.
6.875%, 10/01/20 (b)	U.S.$		1,926		1,434,870
ZF North America Capital, Inc.
4.75%, 4/29/25 (a)			1,153		1,098,232

					21,262,589

Consumer Cyclical - Entertainment - 0.7%
AMC Entertainment, Inc.
5.75%, 6/15/25			1,115		1,120,575
Carlson Travel Holdings, Inc.
7.50% (7.50% Cash or 8.25% PIK), 8/15/19 (a)(i)			1,107		1,090,395
Carlson Wagonlit BV
6.875%, 6/15/19 (a)			1,026		1,051,650
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.
5.375%, 6/01/24			582		587,820
ClubCorp Club Operations, Inc.
8.25%, 12/15/23 (a)			546		535,080
Live Nation Entertainment, Inc.
7.00%, 9/01/20 (a)			740		765,900
Pinnacle Entertainment, Inc.
8.75%, 5/15/20			271		282,179
Regal Entertainment Group
5.75%, 6/15/23-2/01/25			1,624		1,599,080

					7,032,679

Consumer Cyclical - Other - 3.3%
Beazer Homes USA, Inc.
5.75%, 6/15/19 (b)			975		897,000
7.50%, 9/15/21			761		698,218
Boyd Gaming Corp.
9.00%, 7/01/20			1,970		2,088,200
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18 (c)			700		208,250
11.25%, 6/01/17 (c)			435		326,250
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope
8.00%, 10/01/20			1,260		1,197,000
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc.
9.375%, 5/01/22			1,017		833,940
CalAtlantic Group, Inc.
6.625%, 5/01/20			1,800		1,962,000
8.375%, 5/15/18			500		558,000
10.75%, 9/15/16			528		554,400
Eldorado Resorts, Inc.
7.00%, 8/01/23 (a)			798		782,040


Company		Principal Amount (000)		U.S. $ Value
International Game Technology PLC
6.25%, 2/15/22 (a)			2,050		1,916,750
6.50%, 2/15/25 (a)			2,165		1,899,787
Isle of Capri Casinos, Inc.
5.875%, 3/15/21			41		41,820
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21			2,257		1,512,190
7.25%, 10/15/20 (a)			528		454,080
KB Home
4.75%, 5/15/19			1,121		1,087,370
7.00%, 12/15/21			200		197,250
7.50%, 9/15/22			494		491,530
9.10%, 9/15/17			700		755,125
Lennar Corp.
Series B
6.50%, 4/15/16			2,600		2,632,500
MDC Holdings, Inc.
5.50%, 1/15/24			150		151,500
6.00%, 1/15/43			1,020		805,800
Meritage Homes Corp.
6.00%, 6/01/25			1,895		1,890,262
7.00%, 4/01/22			149		156,078
New Cotai LLC/New Cotai Capital Corp.
10.625%, 5/01/19 (a)(b)(i)			1,379		1,033,920
PulteGroup, Inc.
7.875%, 6/15/32			1,400		1,585,500
Safari Holding Verwaltungs GmbH
8.25%, 2/15/21 (a)	EUR		368		420,420
Scientific Games International, Inc.
7.00%, 1/01/22 (a)	U.S.$		1,125		1,074,375
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (a)			420		430,500
6.125%, 4/01/25 (a)			830		852,825
Studio City Finance Ltd.
8.50%, 12/01/20 (a)(b)			1,150		1,110,325
Taylor Morrison Communities, Inc./Monarch Communities, Inc.
5.625%, 3/01/24 (a)(b)			2,266		2,175,360
5.875%, 4/15/23 (a)			875		864,063
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 3/01/25 (a)(b)			785		699,631
Wynn Macau Ltd.
5.25%, 10/15/21 (a)(b)			1,265		1,113,200

					35,457,459

Consumer Cyclical - Restaurants - 0.4%
1011778 BC ULC/New Red Finance, Inc.
4.625%, 1/15/22 (a)			1,110		1,112,775
6.00%, 4/01/22 (a)			1,991		2,050,730
Pizzaexpress Financing 1 PLC
8.625%, 8/01/22 (a)	GBP		198		304,716


Company		Principal Amount (000)		U.S. $ Value
Pizzaexpress Financing 2 PLC
6.625%, 8/01/21 (a)			692		1,043,840

					4,512,061

Consumer Cyclical - Retailers - 2.5%
American Tire Distributors, Inc.
10.25%, 3/01/22 (a)	U.S.$		1,663		1,521,645
Argos Merger Sub, Inc.
7.125%, 3/15/23 (a)			2,171		2,152,546
Asbury Automotive Group, Inc.
6.00%, 12/15/24 (a)			285		294,263
Brighthouse Group PLC
7.875%, 5/15/18 (a)	GBP		762		1,076,917
Cash America International, Inc.
5.75%, 5/15/18	U.S.$		1,651		1,653,064
Dollar Tree, Inc.
5.75%, 3/01/23 (a)			1,886		1,952,010
Dufry Finance SCA
4.50%, 8/01/23 (a)	EUR		1,208		1,378,237
Group 1 Automotive, Inc.
5.00%, 6/01/22	U.S.$		372		368,280
JC Penney Corp., Inc.
6.375%, 10/15/36			421		258,915
7.40%, 4/01/37			600		396,000
L Brands, Inc.
6.875%, 11/01/35 (a)			230		236,325
6.90%, 7/15/17			893		955,510
6.95%, 3/01/33			500		497,500
7.60%, 7/15/37			1,000		1,050,000
Levi Strauss & Co.
5.00%, 5/01/25			1,380		1,373,100
Murphy Oil USA, Inc.
6.00%, 8/15/23			716		751,800
Neiman Marcus Group Ltd. LLC
8.75% (8.75% Cash or 9.50% PIK), 10/15/21 (a)(i)			2,750		1,705,000
Party City Holdings, Inc.
6.125%, 8/15/23 (a)(b)			1,090		1,057,300
Rite Aid Corp.
6.125%, 4/01/23 (a)			2,535		2,623,725
Sally Holdings LLC/Sally Capital, Inc.
5.75%, 6/01/22			1,779		1,841,265
Serta Simmons Bedding LLC
8.125%, 10/01/20 (a)			1,053		1,103,017
Sonic Automotive, Inc.
5.00%, 5/15/23			2,015		1,914,250
Wolverine World Wide, Inc.
6.125%, 10/15/20			501		521,040
					26,681,709
Consumer Non-Cyclical - 7.9%
Acadia Healthcare Co., Inc.
5.625%, 2/15/23			531		501,795


Company		Principal Amount (000)		U.S. $ Value
Air Medical Merger Sub Corp.
6.375%, 5/15/23 (a)			1,985		1,766,650
Alere, Inc.
6.375%, 7/01/23 (a)			392		366,520
7.25%, 7/01/18			765		782,212
AMAG Pharmaceuticals, Inc.
7.875%, 9/01/23 (a)			1,192		1,048,960
Amsurg Corp.
5.625%, 7/15/22			2,043		2,022,570
Aramark Services, Inc.
5.125%, 1/15/24 (a)			274		279,138
BI-LO LLC/BI-LO Finance Corp.
8.625% (8.625% Cash or 9.375% PIK), 9/15/18 (a)(b)(i)			1,917		1,629,450
9.25%, 2/15/19 (a)			1,140		1,148,550
Boparan Finance PLC
5.25%, 7/15/19 (a)(b)	GBP		588		810,486
5.50%, 7/15/21 (a)			775		1,011,117
Capsugel SA
7.00% (7.00% Cash or 7.75% PIK), 5/15/19 (a)(i)	U.S.$		3,018		2,942,550
Care UK Health & Social Care PLC
5.579%, 7/15/19 (a)(h)	GBP		268		358,540
8.079%, 1/15/20 (a)(h)			400		525,552
Cerba European Lab SAS
7.00%, 2/01/20 (a)	EUR		959		1,080,494
Cerberus Nightingale 1 SARL
8.25%, 2/01/20 (a)			200		223,027
CHS/Community Health Systems, Inc.
6.875%, 2/01/22 (b)	U.S.$		1,251		1,186,886
7.125%, 7/15/20			781		778,071
Concordia Healthcare Corp.
7.00%, 4/15/23 (a)			186		161,355
9.50%, 10/21/22 (a)(b)			890		876,650
ConvaTec Finance International SA
8.25% (8.25% Cash or 9.00% PIK), 1/15/19 (a)(i)			590		548,700
DaVita HealthCare Partners, Inc.
5.00%, 5/01/25			1,835		1,770,775
Elior Finance & Co. SCA
6.50%, 5/01/20 (a)	EUR		176		203,141
Endo Finance LLC
5.75%, 1/15/22 (a)	U.S.$		126		122,220
Endo Finance LLC/Endo Finco, Inc.
7.75%, 1/15/22 (a)			332		339,470
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.
6.00%, 7/15/23 (a)(b)			1,408		1,400,960
6.00%, 2/01/25 (a)			2,080		2,048,800
Envision Healthcare Corp.
5.125%, 7/01/22 (a)			1,595		1,563,100
Ephios Bondco PLC
6.25%, 7/01/22 (a)	EUR		1,525		1,719,111


Company		Principal Amount (000)		U.S. $ Value
First Quality Finance Co., Inc.
4.625%, 5/15/21 (a)	U.S.$		3,247		2,954,770
Galaxy Bidco Ltd.
6.375%, 11/15/20 (a)	GBP		133		203,715
Grifols Worldwide Operations Ltd.
5.25%, 4/01/22	U.S.$		745		748,725
HCA, Inc.
4.25%, 10/15/19 (b)			1,475		1,504,500
5.375%, 2/01/25			209		206,388
5.875%, 2/15/26			226		226,848
Hill-Rom Holdings, Inc.
5.75%, 9/01/23 (a)	U.S.$		265		270,300
Holding Medi-Partenaires SAS
7.00%, 5/15/20 (a)	EUR		1,401		1,614,139
Horizon Pharma Financing, Inc.
6.625%, 5/01/23 (a)(b)	U.S.$		1,682		1,496,980
HRG Group, Inc.
7.875%, 7/15/19 (a)			929		977,772
7.875%, 7/15/19			1,155		1,206,975
IASIS Healthcare LLC/IASIS Capital Corp.
8.375%, 5/15/19			2,294		2,110,480
IDH Finance PLC
6.00%, 12/01/18 (a)	GBP		355		521,509
Immucor, Inc.
11.125%, 8/15/19	U.S.$		1,350		1,228,500
Jaguar Holding Co. II/Pharmaceutical Product Development LLC
6.375%, 8/01/23 (a)			933		909,675
Kindred Healthcare, Inc.
8.00%, 1/15/20			1,216		1,136,960
Kinetic Concepts, Inc./KCI USA, Inc.
10.50%, 11/01/18			1,500		1,462,500
LifePoint Health, Inc.
5.875%, 12/01/23			1,448		1,469,720
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (a)(b)			2,087		1,920,040
5.625%, 10/15/23 (a)			270		256,500
5.75%, 8/01/22 (a)			1,181		1,133,760
MEDNAX, Inc.
5.25%, 12/01/23 (a)			422		424,110
MPH Acquisition Holdings LLC
6.625%, 4/01/22 (a)			653		654,632
Post Holdings, Inc.
7.375%, 2/15/22			1,722		1,795,185
7.75%, 3/15/24 (a)(b)			605		633,737
8.00%, 7/15/25 (a)(b)			1,343		1,423,580
PRA Holdings, Inc.
9.50%, 10/01/23 (a)			1,545		1,680,187
Priory Group No. 3 PLC
7.00%, 2/15/18 (a)	GBP		612		920,560
R&R Ice Cream PLC
8.25%, 5/15/20 (a)	AUD		720		540,404


Company		Principal Amount (000)		U.S. $ Value
R&R PIK PLC
9.25%, 5/15/18 (a)(i)	EUR		1,668		1,835,358
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
9.50%, 6/15/19 (a)	U.S.$		473		489,555
RSI Home Products, Inc.
6.50%, 3/15/23 (a)			1,785		1,838,550
Smithfield Foods, Inc.
5.25%, 8/01/18 (a)			814		824,175
5.875%, 8/01/21 (a)			1,318		1,357,540
6.625%, 8/15/22			346		358,975
Spectrum Brands, Inc.
5.75%, 7/15/25 (a)			288		295,200
6.125%, 12/15/24 (a)			437		454,480
6.375%, 11/15/20			338		359,125
6.625%, 11/15/22			560		590,800
Sterigenics-Nordion Holdings LLC
6.50%, 5/15/23 (a)			255		243,525
Sun Products Corp. (The)
7.75%, 3/15/21 (a)			3,037		2,634,597
Surgical Care Affiliates, Inc.
6.00%, 4/01/23 (a)			480		466,800
Team Health, Inc.
7.25%, 12/15/23 (a)			571		590,985
TeamSystem Holding SpA
7.375%, 5/15/20 (a)	EUR		1,330		1,492,786
Tenet Healthcare Corp.
6.00%, 10/01/20	U.S.$		95		99,988
6.875%, 11/15/31			3,384		2,741,040
8.125%, 4/01/22			752		750,120
Valeant Pharmaceuticals International, Inc.
5.50%, 3/01/23 (a)			230		202,400
5.875%, 5/15/23 (a)			396		354,420
6.125%, 4/15/25 (a)(b)			2,529		2,263,455
7.25%, 7/15/22 (a)			635		620,713
Voyage Care Bondco PLC
6.50%, 8/01/18 (a)	GBP		1,200		1,760,195

					83,474,783

Energy - 5.1%
Antero Resources Corp.
5.125%, 12/01/22	U.S.$		817		620,920
5.375%, 11/01/21			2,000		1,600,000
5.625%, 6/01/23 (a)			231		180,180
6.00%, 12/01/20			239		199,565
BreitBurn Energy Partners LP/BreitBurn Finance Corp.
7.875%, 4/15/22			703		126,540
California Resources Corp.
6.00%, 11/15/24			475		144,875
8.00%, 12/15/22 (a)			1,271		668,864
Carrizo Oil & Gas, Inc.
7.50%, 9/15/20			246		214,942


Company		Principal Amount (000)		U.S. $ Value
Chaparral Energy, Inc.
7.625%, 11/15/22			2,278		523,940
CHC Helicopter SA
9.25%, 10/15/20			2,058		987,984
Chesapeake Energy Corp.
3.571%, 4/15/19 (h)			1,672		468,160
7.25%, 12/15/18			382		150,890
Cobalt International Energy, Inc.
2.625%, 12/01/19 (j)			796		446,257
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
6.25%, 4/01/23 (a)			1,008		703,080
DCP Midstream Operating LP
3.875%, 3/15/23			1,619		1,222,075
4.95%, 4/01/22			245		200,510
5.60%, 4/01/44			1,848		1,122,331
Denbury Resources, Inc.
4.625%, 7/15/23			3,423		1,101,795
5.50%, 5/01/22			434		144,079
Diamondback Energy, Inc.
7.625%, 10/01/21			609		615,090
Energy Transfer Equity LP
5.875%, 1/15/24			2,020		1,646,300
7.50%, 10/15/20			309		285,825
Energy XXI Gulf Coast, Inc.
7.75%, 6/15/19			1,100		132,000
11.00%, 3/15/20 (a)			840		294,000
EP Energy LLC/Everest Acquisition Finance, Inc.
6.375%, 6/15/23			467		233,500
7.75%, 9/01/22			449		228,990
9.375%, 5/01/20			2,016		1,285,200
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22			2,976		2,380,800
Golden Energy Offshore Services AS
8.41%, 5/28/17 (d)(h)	NOK		9,162		414,030
Holly Energy Partners LP/Holly Energy Finance Corp.
6.50%, 3/01/20	U.S.$		1,317		1,303,830
Hornbeck Offshore Services, Inc.
5.875%, 4/01/20			1,570		1,083,300
Jones Energy Holdings LLC/Jones Energy Finance Corp.
6.75%, 4/01/22			255		142,800
Jupiter Resources, Inc.
8.50%, 10/01/22 (a)			2,580		1,032,000
Laredo Petroleum, Inc.
7.375%, 5/01/22			1,333		1,226,360
Legacy Reserves LP/Legacy Reserves Finance Corp.
6.625%, 12/01/21			2,024		425,040
8.00%, 12/01/20			711		149,310
Linn Energy LLC/Linn Energy Finance Corp.
6.25%, 11/01/19			766		126,390
8.625%, 4/15/20			802		137,343
Memorial Resource Development Corp.
5.875%, 7/01/22			2,634		2,304,750


Company	Principal Amount (000)		U.S. $ Value
Newfield Exploration Co.
5.625%, 7/01/24		646		550,715
Northern Blizzard Resources, Inc.
7.25%, 2/01/22 (a)		844		607,680
Northern Oil and Gas, Inc.
8.00%, 6/01/20		819		544,635
Oasis Petroleum, Inc.
6.875%, 3/15/22		2,025		1,296,000
Offshore Group Investment Ltd.
7.125%, 4/01/23 (c)(e)		1,283		283,864
7.50%, 11/01/19 (c)(e)		2,176		478,720
10.00%, 12/31/20 (d)		195		188,939
Pacific Drilling SA
5.375%, 6/01/20 (a)		2,442		1,013,430
Paragon Offshore PLC
6.75%, 7/15/22 (a)		933		130,620
7.25%, 8/15/24 (a)		3,719		520,660
PHI, Inc.
5.25%, 3/15/19		1,567		1,253,600
Precision Drilling Corp.
6.50%, 12/15/21		738		568,260
QEP Resources, Inc.
5.25%, 5/01/23		1,248		886,080
5.375%, 10/01/22		391		281,520
6.875%, 3/01/21		1,225		1,004,500
Sabine Pass Liquefaction LLC
5.625%, 3/01/25 (a)		1,080		913,950
5.75%, 5/15/24		1,528		1,329,360
6.25%, 3/15/22		675		624,375
Sabine Pass LNG LP
6.50%, 11/01/20		757		734,290
Sanchez Energy Corp.
6.125%, 1/15/23		851		459,540
SandRidge Energy, Inc.
7.50%, 2/15/23		865		94,069
Seitel, Inc.
9.50%, 4/15/19		597		388,050
Seven Generations Energy Ltd.
6.75%, 5/01/23 (a)		440		369,600
8.25%, 5/15/20 (a)		1,960		1,764,000
SM Energy Co.
5.625%, 6/01/25		638		421,080
6.125%, 11/15/22		475		349,125
6.50%, 1/01/23		474		348,390
Southern Star Central Corp.
5.125%, 7/15/22 (a)		1,200		990,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.75%, 3/15/24 (a)		1,845		1,572,862
6.875%, 2/01/21		960		868,800
Tervita Corp.
8.00%, 11/15/18 (a)		2,086		1,293,320
9.75%, 11/01/19 (a)		1,039		238,970
10.875%, 2/15/18 (a)		2,477		569,710


Company		Principal Amount (000)		U.S. $ Value
Transocean, Inc.
6.80%, 3/15/38			1,700		915,875
Triangle USA Petroleum Corp.
6.75%, 7/15/22 (a)			2,947		898,835
Whiting Petroleum Corp.
1.25%, 4/01/20 (a)(j)			542		368,560
5.75%, 3/15/21			1,146		835,434
6.25%, 4/01/23 (b)			2,020		1,454,400
WPX Energy, Inc.
5.25%, 9/15/24			204		134,640
8.25%, 8/01/23			590		472,000

					54,292,303

Other Industrial - 1.1%
Algeco Scotsman Global Finance PLC
8.50%, 10/15/18 (a)			315		263,813
9.00%, 10/15/18 (a)	EUR		633		560,683
B456 Systems, Inc.
3.75%, 4/15/16 (f)(k)	U.S.$		955		38,200
Belden, Inc.
5.25%, 7/15/24 (a)			793		729,560
Briggs & Stratton Corp.
6.875%, 12/15/20			398		431,830
General Cable Corp.
4.50%, 11/15/29 (j)			1,158		709,999
5.75%, 10/01/22 (l)			1,460		1,124,200
Laureate Education, Inc.
10.00%, 9/01/19 (a)			3,189		1,977,180
Liberty Tire Recycling LLC
11.00%, 3/31/21 (d)(g)(i)			1,311		616,484
Modular Space Corp.
10.25%, 1/31/19 (a)			1,068		427,200
New Enterprise Stone & Lime Co., Inc.
11.00%, 9/01/18			1,358		1,079,610
13.00% (7.00% Cash and 6.00% PIK), 3/15/18 (i)			1,364		1,391,606
Safway Group Holding LLC/Safway Finance Corp.
7.00%, 5/15/18 (a)			2,063		2,057,843

					11,408,208

Services - 0.4%
Cerved Group SpA
8.00%, 1/15/21 (a)	EUR		401		461,934
Geo Debt Finance SCA
7.50%, 8/01/18 (a)(b)			416		423,471
Mobile Mini, Inc.
7.875%, 12/01/20	U.S.$		1,175		1,216,125
Service Corp. International/US
7.50%, 4/01/27			1,500		1,740,000

					3,841,530


Company	Principal Amount (000)		U.S. $ Value
Technology - 2.6%
Alcatel-Lucent USA, Inc.
8.875%, 1/01/20 (a)		601		637,060
Amkor Technology, Inc.
6.375%, 10/01/22 (b)		2,681		2,607,272
Avaya, Inc.
7.00%, 4/01/19 (a)		1,504		1,112,960
10.50%, 3/01/21 (a)		3,362		1,143,080
Blackboard, Inc.
7.75%, 11/15/19 (a)		544		470,560
BMC Software Finance, Inc.
8.125%, 7/15/21 (a)		1,622		1,078,630
BMC Software, Inc.
7.25%, 6/01/18		66		54,450
CDW LLC/CDW Finance Corp.
5.00%, 9/01/23		740		751,100
5.50%, 12/01/24		816		854,760
6.00%, 8/15/22		876		924,180
Ceridian HCM Holding, Inc.
11.00%, 3/15/21 (a)		1,165		914,525
Compiler Finance Sub, Inc.
7.00%, 5/01/21 (a)		411		176,730
CPI International, Inc.
8.75%, 2/15/18		1,768		1,743,690
Dell, Inc.
6.50%, 4/15/38		1,345		1,102,900
Energizer Holdings, Inc.
5.50%, 6/15/25 (a)		773		726,620
Ensemble S Merger Sub, Inc.
9.00%, 9/30/23 (a)		1,702		1,644,557
First Data Corp.
6.75%, 11/01/20 (a)		273		287,674
7.00%, 12/01/23 (a)		1,930		1,930,000
Goodman Networks, Inc.
12.125%, 7/01/18		2,020		545,400
Infor Software Parent LLC/Infor Software Parent, Inc.
7.125% (7.125% Cash or 7.875% PIK), 5/01/21 (a)(i)		1,126		813,535
Infor US, Inc.
6.50%, 5/15/22 (a)		2,653		2,241,785
Micron Technology, Inc.
5.25%, 8/01/23 (a)		487		437,082
5.50%, 2/01/25		1,867		1,624,290
MSCI, Inc.
5.25%, 11/15/24 (a)		232		235,480
5.75%, 8/15/25 (a)		588		602,700
NXP BV/NXP Funding LLC
5.75%, 3/15/23 (a)		924		954,030
Open Text Corp.
5.625%, 1/15/23 (a)		477		472,230
Sabre GLBL, Inc.
5.25%, 11/15/23 (a)		342		338,153
5.375%, 4/15/23 (a)		720		716,400
Syniverse Holdings, Inc.
9.125%, 1/15/19		813		367,883

				27,509,716


Company		Principal Amount (000)		U.S. $ Value
Transportation-Airlines - 0.5%
Air Canada
6.75%, 10/01/19 (a)			1,300		1,349,563
8.75%, 4/01/20 (a)			2,074		2,219,180
Northwest Airlines Pass-Through Trust Series 2000-1, Class G
7.15%, 10/01/19			417		435,036
UAL Pass-Through Trust Series 2007-1A
6.636%, 7/02/22			1,297		1,375,293

					5,379,072

Transportation - Services - 0.7%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.50%, 4/01/23			297		297,742
Avis Budget Finance PLC
6.00%, 3/01/21 (a)	EUR		530		593,257
CEVA Group PLC
9.00%, 9/01/21 (a)	U.S.$		883		671,080
Con-way, Inc.
6.70%, 5/01/34			1,371		803,039
EC Finance PLC
5.125%, 7/15/21 (a)	EUR		836		938,413
Europcar Groupe SA
5.75%, 6/15/22 (a)			670		755,427
Hapag-Lloyd AG
9.75%, 10/15/17 (a)	U.S.$		502		507,020
Hertz Corp. (The)
5.875%, 10/15/20 (b)			2,191		2,259,469
LBC Tank Terminals Holding Netherlands BV
6.875%, 5/15/23 (a)			220		217,800
XPO Logistics, Inc.
6.50%, 6/15/22 (a)			206		190,550

					7,233,797

					459,362,941

Financial Institutions - 7.2%
Banking - 4.7%
ABN AMRO Bank NV
4.31%, 3/10/16 (m)	EUR		2,295		2,497,832
Ally Financial, Inc.
8.00%, 11/01/31 (b)	U.S.$		1,151		1,352,425
Baggot Securities Ltd.
10.24%, 1/04/16 (a)(m)	EUR		495		537,941
Banco Bilbao Vizcaya Argentaria SA
6.75%, 2/18/20 (a)(m)			800		848,752


Company		Principal Amount (000)		U.S. $ Value
Banco Santander SA
6.25%, 3/12/19 (a)(m)			1,600		1,643,166
Bank of America Corp.
Series AA
6.10%, 3/17/25 (m)	U.S.$		3,319		3,338,350
Series X
6.25%, 9/05/24 (m)			98		98,245
Series Z
6.50%, 10/23/24 (m)			1,402		1,477,358
Bank of Ireland
10.00%, 7/30/16 (a)	EUR		349		394,107
10.00%, 2/12/20 (b)			1,130		1,530,466
Barclays Bank PLC
6.86%, 6/15/32 (a)(m)	U.S.$		166		189,240
7.625%, 11/21/22			1,479		1,684,211
7.70%, 4/25/18 (a)(m)			974		1,051,060
7.75%, 4/10/23			1,437		1,533,998
Barclays PLC
8.00%, 12/15/20 (m)	EUR		263		310,010
BBVA International Preferred SAU
1.519%, 3/22/16 (h)(m)			609		641,976
4.952%, 9/20/16 (a)(b)(m)			1,650		1,776,766
Citigroup, Inc.
5.95%, 1/30/23 (m)	U.S.$		588		575,358
Commerzbank AG
8.125%, 9/19/23 (a)			1,052		1,207,391
Credit Agricole SA
6.625%, 9/23/19 (a)(m)			843		828,669
7.589%, 1/30/20 (m)	GBP		1,000		1,599,507
7.875%, 1/23/24 (a)(m)	U.S.$		549		559,431
Credit Suisse Group AG
7.50%, 12/11/23 (a)(m)			3,647		3,820,232
Danske Bank A/S
5.684%, 2/15/17 (m)	GBP		720		1,075,912
HBOS Capital Funding LP
4.939%, 5/23/16 (m)	EUR		418		458,804
HT1 Funding GmbH
6.352%, 6/30/17 (m)			1,550		1,691,200
ING Groep NV
6.00%, 4/16/20 (m)	U.S.$		688		687,140
6.50%, 4/16/25 (m)			1,143		1,117,283
LBG Capital No.1 PLC
8.00%, 6/15/20 (a)(m)			1,860		1,934,400
Lloyds Banking Group PLC
6.413%, 10/01/35 (a)(m)			235		263,200
6.657%, 5/21/37 (a)(m)			98		109,760
7.50%, 6/27/24 (m)			2,950		3,141,750
RBS Capital Trust C
4.243%, 4/12/16 (m)	EUR		1,250		1,330,421
Societe Generale SA
8.00%, 9/29/25 (a)(m)	U.S.$		4,046		4,114,924


Company		Principal Amount (000)		U.S. $ Value
UBS Group AG
7.00%, 2/19/25 (a)(m)			2,065		2,183,737
UT2 Funding PLC
5.321%, 6/30/16	EUR		1,293		1,422,732
Zions Bancorporation
5.65%, 11/15/23	U.S.$		508		514,452
5.80%, 6/15/23 (m)			310		296,825

					49,839,031

Brokerage - 0.0%
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (f)			1,690		126,750

Finance - 1.4%
Artsonig Pty Ltd.
11.50% (11.50% Cash or 12.00% PIK), 4/01/19 (a)(i)			1,557		132,363
Creditcorp
12.00%, 7/15/18 (a)			1,300		832,000
Enova International, Inc.
9.75%, 6/01/21			2,216		1,595,520
ILFC E-Capital Trust II
4.74%, 12/21/65 (a)(h)			2,000		1,840,000
International Lease Finance Corp.
8.25%, 12/15/20			2,170		2,566,025
8.75%, 3/15/17			282		300,330
8.875%, 9/01/17			280		304,850
Navient Corp.
5.50%, 1/15/19			2,496		2,333,760
5.875%, 10/25/24			191		152,800
6.125%, 3/25/24			250		203,750
7.25%, 1/25/22			377		352,495
8.00%, 3/25/20			233		230,204
Peninsula Gaming LLC/Peninsula Gaming Corp.
8.375%, 2/15/18 (a)			996		1,010,940
TMX Finance LLC/TitleMax Finance Corp.
8.50%, 9/15/18 (a)			3,646		2,716,270

					14,571,307

Insurance - 0.6%
Genworth Holdings, Inc.
6.15%, 11/15/66			750		202,500
7.625%, 9/24/21			1,216		1,009,827
HUB International Ltd.
7.875%, 10/01/21 (a)			1,300		1,170,000
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (a)			1,250		1,425,000
USI, Inc./NY
7.75%, 1/15/21 (a)			1,646		1,580,160
Wayne Merger Sub LLC
8.25%, 8/01/23 (a)			1,685		1,583,900

					6,971,387


Company		Principal Amount (000)		U.S. $ Value
Other Finance - 0.5%
ACE Cash Express, Inc.
11.00%, 2/01/19 (a)			850		306,000
CNG Holdings, Inc.
9.375%, 5/15/20 (a)			962		404,040
iPayment, Inc.
9.50%, 12/15/19 (a)			56		57,831
Series AI
9.50%, 12/15/19			2,259		2,343,628
Speedy Cash Intermediate Holdings Corp.
10.75%, 5/15/18 (a)(b)			1,166		594,660
Speedy Group Holdings Corp.
12.00%, 11/15/17 (a)			1,711		889,720

					4,595,879

					76,104,354

Utility - 1.6%
Electric - 1.6%
AES Corp./VA
4.875%, 5/15/23			1,840		1,610,000
7.375%, 7/01/21			634		646,680
Calpine Corp.
5.50%, 2/01/24			985		869,263
5.75%, 1/15/25			3,192		2,816,940
7.875%, 1/15/23 (a)			380		404,700
ContourGlobal Power Holdings SA
7.125%, 6/01/19 (a)			1,703		1,617,850
DPL, Inc.
6.75%, 10/01/19			465		465,000
Dynegy, Inc.
7.375%, 11/01/22			1,355		1,178,850
7.625%, 11/01/24			2,395		2,047,246
FirstEnergy Corp.
Series C
7.375%, 11/15/31			857		1,043,811
GenOn Energy, Inc.
9.50%, 10/15/18			1,450		1,171,354
NRG Energy, Inc.
6.25%, 7/15/22			319		271,788
NRG Yield Operating LLC
5.375%, 8/15/24			843		698,636
Talen Energy Supply LLC
4.60%, 12/15/21			1,475		906,668
Texas Competitive/TCEH
11.50%, 10/01/20 (n)			626		208,145
Viridian Group FundCo II Ltd.
7.50%, 3/01/20 (a)	EUR		1,311		1,463,909

					17,420,840

Total Corporates - Non-Investment Grade (cost $633,201,402)					552,888,135


Company		Principal Amount (000)		U.S. $ Value
GOVERNMENTS - TREASURIES - 10.8%
Brazil - 2.5%
Brazil Notas do Tesouro Nacional
Series B
6.00%, 8/15/50	BRL		1,400		825,516
Series F
10.00%, 1/01/17-1/01/25			105,620		24,094,131
Series NTNB
6.00%, 5/15/45			2,100		1,235,305

					26,154,952

Colombia - 0.3%
Colombian TES
Series B
10.00%, 7/24/24	COP		8,000,000		2,779,348

South Africa - 0.4%
South Africa Government Bond
Series R204
8.00%, 12/21/18	ZAR		10,750		678,563
Series R207
7.25%, 1/15/20			60,872		3,689,201
Series R208
6.75%, 3/31/21			490		28,363

					4,396,127

United States - 7.6%
U.S. Treasury Bonds
2.75%, 11/15/42 (b)	U.S.$		3,000		2,860,431
3.125%, 2/15/42 (b)			4,000		4,130,156
4.50%, 2/15/36 (o)			2,400		3,075,749
5.00%, 5/15/37 (o)(p)			3,500		4,796,505
5.25%, 2/15/29			5,750		7,532,949
6.125%, 11/15/27			2,200		3,045,539
8.125%, 5/15/21 (b)			26,250		34,606,924
U.S. Treasury Notes
1.25%, 1/31/20 (b)			12,500		12,307,612
2.25%, 11/15/25			8,500		8,481,070

					80,836,935

Total Governments - Treasuries (cost $132,163,990)					114,167,362

COLLATERALIZED MORTGAGE OBLIGATIONS - 10.1%
GSE Risk Share Floating Rate - 5.0%
Bellemeade Re Ltd.
Series 2015-1A, Class M2
4.722%, 7/25/25 (a)(h)			1,220		1,192,550
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
7.572%, 7/25/23 (h)			2,350		2,692,460
Series 2013-DN2, Class M2
4.672%, 11/25/23 (h)			1,925		1,906,987
Series 2014-DN1, Class M3


Company	Principal Amount (000)		U.S. $ Value
4.922%, 2/25/24 (h)		1,939		1,906,697
Series 2014-DN2, Class M3
4.022%, 4/25/24 (h)		514		475,530
Series 2014-DN4, Class M3
4.972%, 10/25/24 (h)		500		496,020
Series 2014-HQ1, Class M3
4.522%, 8/25/24 (h)		1,686		1,609,753
Series 2014-HQ2, Class M3
4.172%, 9/25/24 (h)		3,710		3,432,849
Series 2014-HQ3, Class M3
5.172%, 10/25/24 (h)		5,055		5,043,944
Series 2015-DNA1, Class B
9.622%, 10/25/27 (h)		600		668,199
Series 2015-DNA1, Class M3
3.722%, 10/25/27 (h)		480		454,996
Series 2015-DNA2, Class B
7.972%, 12/25/27 (h)		965		900,907
Series 2015-DNA3, Class B
9.772%, 4/25/28 (h)		232		226,622
Series 2015-DNA3, Class M3
5.122%, 4/25/28 (h)		684		673,028
Series 2015-HQ1, Class M3
4.222%, 3/25/25 (h)		530		507,411
Series 2015-HQA1, Class B
9.222%, 3/25/28 (h)		1,015		910,440
Series 2015-HQA1, Class M3
5.122%, 3/25/28 (h)		1,205		1,173,100
Series 2015-HQA2, Class M3
5.222%, 5/25/28 (h)		490		479,740
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M2
5.672%, 10/25/23 (h)		1,451		1,503,707
Series 2014-C01, Class M2
4.822%, 1/25/24 (h)		3,991		3,990,048
Series 2014-C02, Class 1M2
3.022%, 5/25/24 (h)		490		427,611
Series 2014-C03, Class 1M2
3.422%, 7/25/24 (h)		1,147		1,039,753
Series 2014-C04, Class 1M2
5.322%, 11/25/24 (h)		3,900		3,888,798
Series 2014-C04, Class 2M2
5.422%, 11/25/24 (h)		672		674,081
Series 2015-C01, Class 1M2
4.722%, 2/25/25 (h)		2,785		2,686,140
Series 2015-C01, Class 2M2
4.972%, 2/25/25 (h)		3,000		3,018,686
Series 2015-C02, Class 2M2
4.422%, 5/25/25 (h)		2,095		1,983,556
Series 2015-C03, Class 1M2
5.422%, 7/25/25 (h)		2,202		2,170,260
Series 2015-C03, Class 2M2


Company	Principal Amount (000)		U.S. $ Value
5.422%, 7/25/25 (h)		2,748		2,712,603
Series 2015-C04, Class 1M2
6.122%, 4/25/28 (h)		1,161		1,172,623
Series 2015-C04, Class 2M2
5.972%, 4/25/28 (h)		1,298		1,304,639
JPMorgan Madison Avenue Securities Trust
Series 2015-CH1, Class M2
5.922%, 10/25/25 (a)(h)		1,435		1,417,479
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M2
5.697%, 11/25/25 (a)(h)		621		621,885

				53,363,102

Non-Agency Fixed Rate - 3.5%
BCAP LLC Trust
Series 2009-RR13, Class 17A3
6.026%, 4/26/37 (a)		520		432,082
Bear Stearns ARM Trust
Series 2007-3, Class 1A1
2.802%, 5/25/47		435		392,460
Series 2007-4, Class 22A1
4.718%, 6/25/47		1,469		1,306,035
BNPP Mortgage Securities LLC Trust
Series 2009-1, Class B1
6.00%, 8/27/37 (a)		809		645,705
ChaseFlex Trust
Series 2007-1, Class 1A3
6.50%, 2/25/37		820		603,134
Citigroup Mortgage Loan Trust
Series 2006-4, Class 2A1A
6.00%, 12/25/35		2,376		2,208,328
Series 2006-AR3, Class 1A2A
5.136%, 6/25/36		1,465		1,391,180
Series 2007-AR4, Class 1A1A
5.348%, 3/25/37		350		314,920
Series 2010-3, Class 2A2
7.063%, 8/25/37 (a)		479		415,097
CitiMortgage Alternative Loan Trust
Series 2007-A3, Class 1A4
5.75%, 3/25/37		1,621		1,409,913
Countrywide Alternative Loan Trust
Series 2006-24CB, Class A15
5.75%, 6/25/36		1,306		1,165,371
Series 2006-41CB, Class 2A13
5.75%, 1/25/37		1,120		1,001,913
Series 2006-42, Class 1A6
6.00%, 1/25/47		982		884,048
Series 2006-HY12, Class A5
3.543%, 8/25/36		2,474		2,276,754
Series 2006-J1, Class 1A10
5.50%, 2/25/36		2,083		1,872,298
Series 2006-J5, Class 1A1
6.50%, 9/25/36		1,304		1,169,253
Series 2007-13, Class A2


Company	Principal Amount (000)		U.S. $ Value
6.00%, 6/25/47		1,568		1,268,751
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-4, Class 1A39
6.00%, 5/25/37		684		612,950
Series 2007-HY4, Class 1A1
2.718%, 9/25/47		484		433,806
Credit Suisse Mortgage Trust
Series 2009-8R, Class 6A2
6.00%, 1/26/38 (a)		113		84,392
Series 2010-13R, Class 1A2
5.50%, 12/26/35 (a)		44		41,180
Series 2010-9R, Class 1A5
4.00%, 8/27/37 (a)		623		611,756
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36		851		737,873
First Horizon Alternative Mortgage Securities Trust
Series 2006-AA5, Class A1
2.243%, 9/25/36		986		805,863
Series 2006-FA1, Class 1A3
5.75%, 4/25/36		933		738,433
IndyMac Index Mortgage Loan Trust
Series 2005-AR15, Class A1
2.582%, 9/25/35		1,034		858,607
Series 2006-AR37, Class 2A1
4.303%, 2/25/37		705		562,223
Morgan Stanley Mortgage Loan Trust
Series 2005-10, Class 4A1
5.50%, 12/25/35		559		507,330
Series 2007-12, Class 3A22
6.00%, 8/25/37		153		137,468
Residential Accredit Loans, Inc., Trust
Series 2005-QS14, Class 3A1
6.00%, 9/25/35		840		767,146
Residential Asset Securitization Trust
Series 2006-A8, Class 3A4
6.00%, 8/25/36		296		242,489
Structured Adjustable Rate Mortgage Loan Trust
Series 2005-18, Class 8A1
2.743%, 9/25/35		1,099		1,017,218
Series 2006-9, Class 4A1
5.107%, 10/25/36		857		742,107
Washington Mutual Alternative Mortgage Pass-Through Certificates Trust
Series 2006-7, Class A3
4.53%, 9/25/36		1,913		1,029,675
Series 2006-7, Class A4
4.53%, 9/25/36		2,013		1,083,359
Series 2006-9, Class A4
5.005%, 10/25/36		1,990		1,077,273
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2007-HY3, Class 4A1
2.42%, 3/25/37		1,906		1,791,687
Wells Fargo Alternative Loan Trust
Series 2007-PA3, Class 3A1
6.25%, 7/25/37		1,779		1,629,351


Company	Principal Amount (000)			U.S. $ Value
Wells Fargo Mortgage Backed Securities Trust
Series 2007-AR7, Class A1
2.767%, 12/28/37		2,360			2,170,035
Series 2007-AR8, Class A1
2.809%, 11/25/37		929			817,822

					37,257,285

Non-Agency Floating Rate - 1.6%
Citigroup Mortgage Loan Trust, Inc.
Series 2005-8, Class 2A2
4.378%, 9/25/35 (h)(q)		927			75,630
Countrywide Alternative Loan Trust
Series 2007-7T2, Class A3
1.022%, 4/25/37 (h)		3,625			1,768,665
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-13, Class A7
1.022%, 8/25/37 (h)		1,050			798,938
First Horizon Alternative Mortgage Securities Trust
Series 2007-FA2, Class 1A10
0.672%, 4/25/37 (h)		564			294,016
Series 2007-FA2, Class 1A5
0.722%, 4/25/37 (h)		639			335,328
Series 2007-FA2, Class 1A6
5.128%, 4/25/37 (h)(q)		191			40,781
HarborView Mortgage Loan Trust
Series 2007-4, Class 2A1
0.622%, 7/19/47 (h)		0	**		0	^
Lehman XS Trust
Series 2007-10H, Class 2AIO
6.756%, 7/25/37 (h)(q)		678			185,854
Residential Accredit Loans, Inc., Trust
Series 2006-QS18, Class 2A2
6.128%, 12/25/36 (h)(q)		6,451			1,434,858
Structured Asset Mortgage Investments II Trust
Series 2007-AR6, Class A1
1.757%, 8/25/47 (h)		2,125			1,755,948
Wachovia Mortgage Loan Trust Series
Series 2006-ALT1, Class A1
0.502%, 1/25/37 (h)		0	**		0	^
Series 2006-ALT1, Class A2
0.602%, 1/25/37 (h)		15,101			10,150,767

					16,840,785

Total Collateralized Mortgage Obligations (cost $109,095,958)					107,461,172

CORPORATES - INVESTMENT GRADE - 8.3%
Industrial - 4.4%
Basic - 1.5%
Braskem Finance Ltd.
6.45%, 2/03/24		2,254			1,938,440
7.00%, 5/07/20 (a)		191			190,045


Company		Principal Amount (000)		U.S. $ Value
CF Industries, Inc.
7.125%, 5/01/20			900		1,015,573
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.
6.50%, 11/15/20			867		559,215
6.75%, 2/01/22			1,197		736,155
Freeport-McMoRan, Inc.
5.45%, 3/15/43			348		180,960
Georgia-Pacific LLC
8.875%, 5/15/31			1		1,401
Glencore Finance Canada Ltd.
6.00%, 11/15/41 (a)			272		197,200
Glencore Funding LLC
2.125%, 4/16/18 (a)			104		92,419
GTL Trade Finance, Inc.
5.893%, 4/29/24 (a)			2,863		2,032,730
7.25%, 4/16/44 (a)			234		150,930
MeadWestvaco Corp.
7.95%, 2/15/31			1,000		1,233,875
Minsur SA
6.25%, 2/07/24 (a)			891		820,517
Southern Copper Corp.
7.50%, 7/27/35			3,300		3,084,814
Vale Overseas Ltd.
6.875%, 11/21/36			2,806		1,961,506
Weyerhaeuser Co.
7.375%, 3/15/32			1,790		2,130,070

					16,325,850

Capital Goods - 0.5%
GE Capital Trust III
6.50%, 9/15/67 (a)	GBP		700		1,061,356
General Electric Co.
Series A
4.00%, 6/15/22 (m)	U.S.$		740		740,000
Series B
4.10%, 12/15/22 (m)			941		938,648
Lafarge SA
7.125%, 7/15/36			800		917,566
Odebrecht Finance Ltd.
8.25%, 4/25/18 (a)	BRL		1,332		191,067
Owens Corning
7.00%, 12/01/36 (h)	U.S.$		1,340		1,468,999

					5,317,636

Communications - Media - 0.6%
CCO Safari II LLC
4.908%, 7/23/25 (a)			1,195		1,193,837
6.484%, 10/23/45 (a)			1,755		1,757,877
Myriad International Holdings BV
6.00%, 7/18/20 (a)			1,519		1,611,062
NBCUniversal Enterprise, Inc.
5.25%, 3/19/21 (a)(m)			1,401		1,485,060


Company	Principal Amount (000)		U.S. $ Value
Sirius XM Radio, Inc.
5.25%, 8/15/22 (a)		286		301,730

				6,349,566

Communications - Telecommunications - 0.3%
Embarq Corp.
7.995%, 6/01/36		932		959,960
Qwest Corp.
6.50%, 6/01/17		610		638,347
6.875%, 9/15/33		1,335		1,281,060

				2,879,367

Consumer Cyclical - Other - 0.0%
Seminole Tribe of Florida, Inc.
6.535%, 10/01/20 (a)		215		223,600
Consumer Non-Cyclical - 0.1%
BRF SA
4.75%, 5/22/24 (a)		428		392,690
Forest Laboratories LLC
5.00%, 12/15/21 (a)		803		872,543

				1,265,233

Energy - 0.6%
Enterprise Products Operating LLC
Series A
8.375%, 8/01/66		1,208		1,081,160
Kinder Morgan, Inc./DE
5.55%, 6/01/45		402		313,813
Series G
7.75%, 1/15/32		328		311,244
7.80%, 8/01/31 (b)		1,066		1,000,200
Noble Energy, Inc.
5.875%, 6/01/24		2,489		2,381,687
Regency Energy Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23		546		472,366
5.50%, 4/15/23		1,193		1,072,710

				6,633,180

Other Industrial - 0.2%
Fresnillo PLC
5.50%, 11/13/23 (a)		2,181		2,191,905

Technology - 0.4%
Freescale Semiconductor, Inc.
5.00%, 5/15/21 (a)		747		763,807
6.00%, 1/15/22 (a)		776		812,860
Hewlett Packard Enterprise Co.
6.35%, 10/15/45 (a)		2,350		2,230,954

				3,807,621


Company	Principal Amount (000)		U.S. $ Value
Transportation-Airlines - 0.2%
America West Airlines Pass-Through Trust
Series 1999-1, Class G
7.93%, 1/02/19		912		974,080
Delta Air Lines Pass-Through Trust
Series 2007-1A
6.821%, 8/10/22		748		862,103

				1,836,183

				46,830,141

Financial Institutions - 3.4%
Banking - 1.1%
BNP Paribas SA
7.375%, 8/19/25 (a)(m)		2,800		2,873,500
BPCE SA
5.70%, 10/22/23 (a)		208		218,389
ICICI Bank Ltd./Dubai
4.80%, 5/22/19 (a)		1,337		1,412,994
JPMorgan Chase & Co. Series Q
5.15%, 5/01/23 (m)		1,357		1,282,365
Series R
6.00%, 8/01/23 (m)		527		526,264
Series S
6.75%, 2/01/24 (m)		460		497,950
Series V
5.00%, 7/01/19 (m)		353		335,350
Nordea Bank AB
6.125%, 9/23/24 (a)(m)		1,226		1,197,128
Regions Bank/Birmingham AL
6.45%, 6/26/37		1,500		1,745,551
Standard Chartered PLC
5.20%, 1/26/24 (a)(b)		1,301		1,337,605
Wells Fargo & Co. Series S
5.90%, 6/15/24 (m)		435		436,631

				11,863,727

Brokerage - 0.2%
E*TRADE Financial Corp.
5.375%, 11/15/22		810		848,475
GFI Group, Inc.
8.625%, 7/19/18 (l)		991		1,072,757

				1,921,232

Insurance - 1.6%
American International Group, Inc.
6.82%, 11/15/37		1,425		1,702,480
Aon Corp.
8.205%, 1/01/27		690		861,638
Assured Guaranty Municipal Holdings, Inc.
6.40%, 12/15/66 (a)		656		472,320


Company	Principal Amount (000)		U.S. $ Value
Lincoln National Corp.
8.75%, 7/01/19		604		725,413
MetLife, Inc.
10.75%, 8/01/39		2,350		3,680,687
Series C
5.25%, 6/15/20 (m)		182		185,185
Pacific Life Insurance Co.
9.25%, 6/15/39 (a)		475		690,013
Swiss Re Capital I LP 6.854%, 5/25/16 (a)(m)		2,809		2,838,214
Transatlantic Holdings, Inc.
8.00%, 11/30/39		1,261		1,620,091
XLIT Ltd.
5.50%, 3/31/45		630		588,591
Series E
6.50%, 4/15/17 (m)		2,309		1,676,911
ZFS Finance USA Trust V
6.50%, 5/09/37 (a)		1,240		1,264,800

				16,306,343

REITS - 0.5%
DDR Corp.
7.875%, 9/01/20		746		892,846
EPR Properties
5.75%, 8/15/22		915		960,624
7.75%, 7/15/20		1,722		2,001,918
Senior Housing Properties Trust
6.75%, 12/15/21		1,350		1,519,536

				5,374,924

				35,466,226

Utility - 0.5%
Electric - 0.4%
EDP Finance BV
4.90%, 10/01/19 (a)		148		152,411
6.00%, 2/02/18 (a)		2,055		2,161,235
PPL Capital Funding, Inc.
Series A
6.70%, 3/30/67		2,405		1,857,863

				4,171,509

Natural Gas - 0.1%
Empresa de Energia de Bogota SA ESP
6.125%, 11/10/21 (a)		1,235		1,269,527

				5,441,036

Total Corporates - Investment Grade (cost $84,652,681)				87,737,403

COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.9%
Non-Agency Fixed Rate CMBS - 3.7%
Banc of America Commercial Mortgage Trust
Series 2007-3, Class AJ
5.558%, 6/10/49		1,973		1,998,693


Company	Principal Amount (000)		U.S. $ Value
Series 2007-5, Class AM
5.772%, 2/10/51		2,877		2,993,007
Banc of America Re-REMIC Trust
Series 2009-UB1, Class A4B
5.588%, 6/24/50 (d)(g)		3,500		3,658,550
Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class XA
1.861%, 4/10/46 (q)		2,288		161,685
Series 2013-GC17, Class D
5.105%, 11/10/46 (a)		902		807,601
Series 2014-GC23, Class D
4.507%, 7/10/47 (a)		856		711,187
Commercial Mortgage Pass Through Certificates
Series 2012-CR3, Class XA
2.113%, 10/15/45 (q)		9,424		871,084
Series 2013-LC6, Class D
4.286%, 1/10/46 (a)		3,916		3,527,966
Commercial Mortgage Trust
Series 2012-CR1, Class XA
2.08%, 5/15/45 (q)		2,243		195,468
Series 2012-CR5, Class XA
1.837%, 12/10/45 (q)		2,406		187,655
Series 2012-LC4, Class XA
2.396%, 12/10/44 (a)(q)		6,470		621,509
Series 2014-CR15, Class XA
1.324%, 2/10/47 (q)		2,564		149,330
Series 2014-LC15, Class D
4.944%, 4/10/47 (a)		1,500		1,318,299
Series 2014-UBS5, Class D
3.495%, 9/10/47 (a)		669		484,886
Csail Commercial Mortgage Trust
Series 2015-C2, Class D
4.213%, 6/15/57		2,721		2,104,999
GS Mortgage Securities Corp. II
Series 2012-GCJ9, Class XA
2.329%, 11/10/45 (q)		1,903		183,162
Series 2013-GC10, Class XA
1.62%, 2/10/46 (q)		973		80,885
GS Mortgage Securities Trust
Series 2006-GG6, Class AJ
5.635%, 4/10/38		1,484		1,482,477
Series 2011-GC5, Class C
5.308%, 8/10/44 (a)		3,152		3,387,711
Series 2012-GC6, Class D
5.631%, 1/10/45 (a)		1,765		1,737,662
Series 2012-GCJ7, Class XA
2.519%, 5/10/45 (q)		6,913		618,752
JPMBB Commercial Mortgage Securities Trust
Series 2015-C32, Class C
4.669%, 11/15/48		825		726,996


Company	Principal Amount (000)		U.S. $ Value
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2014-C20, Class D
4.572%, 7/15/47 (a)		2,737		2,159,875
LB-UBS Commercial Mortgage Trust
Series 2007-C2, Class AM
5.493%, 2/15/40		1,254		1,283,130
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2012-C6, Class XA
2.08%, 11/15/45 (a)(q)		11,337		859,766
UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class XA
1.816%, 12/10/45 (a)(q)		959		82,318
Wachovia Bank Commercial Mortgage Trust
Series 2007-C34, Class AM
5.818%, 5/15/46		400		420,102
Wells Fargo Commercial Mortgage Trust
Series 2015-LC20, Class D
4.366%, 4/15/50 (a)		3,000		2,401,814
WF-RBS Commercial Mortgage Trust
Series 2011-C4, Class D
5.265%, 6/15/44 (a)(r)		1,022		1,049,287
Series 2012-C7, Class XA
1.524%, 6/15/45 (a)(q)		1,520		109,602
Series 2014-C25, Class D
3.803%, 11/15/47 (a)		3,500		2,676,861

				39,052,319

Non-Agency Floating Rate CMBS - 0.2%
Morgan Stanley Capital I Trust
Series 2015-MS1, Class D
4.029%, 5/15/48 (a)(r)		490		384,987
Wells Fargo Commercial Mortgage Trust
Series 2010-C1, Class XA
1.349%, 11/15/43 (a)(q)(r)		1,932		100,060
Series 2015-SG1, Class D
4.471%, 12/15/47 (r)		2,500		2,025,494

				2,510,541

Total Commercial Mortgage-Backed Securities (cost $40,731,118)				41,562,860

EMERGING MARKETS - SOVEREIGNS - 3.8%
Angola - 0.1%
Angolan Government International Bond
9.50%, 11/12/25 (a)(b)		756		699,300

Brazil - 0.1%
Brazilian Government International Bond
4.25%, 1/07/25		276		223,560
4.875%, 1/22/21		510		471,750

				695,310


Company	Principal Amount (000)		U.S. $ Value
Dominican Republic - 0.8%
Dominican Republic International Bond
7.45%, 4/30/44 (a)		1,283		1,292,622
8.625%, 4/20/27 (a)		5,719		6,634,040

				7,926,662

El Salvador - 0.6%
El Salvador Government International Bond
7.625%, 9/21/34 (a)		762		742,950
7.65%, 6/15/35 (a)		6,996		5,964,090

				6,707,040

Ghana - 0.3%
Republic of Ghana
7.875%, 8/07/23 (a)		222		175,056
10.75%, 10/14/30 (a)		3,190		3,277,725

				3,452,781

Ivory Coast - 0.7%
Ivory Coast Government International Bond
5.75%, 12/31/32 (a)		7,583		6,740,832
6.375%, 3/03/28 (a)		1,269		1,154,892

				7,895,724

Jamaica - 0.2%
Jamaica Government International Bond
7.625%, 7/09/25		506		536,992
7.875%, 7/28/45		1,240		1,205,900

				1,742,892

Kenya - 0.1%
Kenya Government International Bond
5.875%, 6/24/19 (a)		702		661,635

Lebanon - 0.1%
Lebanon Government International Bond
6.00%, 1/27/23 (a)		796		771,053
Series E
6.10%, 10/04/22 (a)		665		650,703

				1,421,756

Pakistan - 0.2%
Pakistan Government International Bond
7.25%, 4/15/19 (a)		1,498		1,535,368

Serbia - 0.0%
Republic of Serbia
6.75%, 11/01/24 (a)		345		350,838

Sri Lanka - 0.1%
Sri Lanka Government International Bond
6.00%, 1/14/19 (a)		799		782,867


Company	Principal Amount (000)		U.S. $ Value
6.125%, 6/03/25 (a)		350		310,625

				1,093,492

Venezuela - 0.4%
Venezuela Government International Bond
9.00%, 5/07/23 (a)		824		327,341
9.25%, 9/15/27		8,383		3,437,030
9.25%, 5/07/28 (a)		300		117,000
11.75%, 10/21/26 (a)		486		216,270
11.95%, 8/05/31 (a)		355		157,132

				4,254,773

Zambia - 0.1%
Zambia Government International Bond
8.50%, 4/14/24 (a)		1,846		1,463,693

Total Emerging Markets - Sovereigns
(cost $41,624,055)				39,901,264

BANK LOANS - 3.2%
Industrial - 3.0%
Basic - 0.4%
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)
4.25%, 6/30/19 (h)		2,569		1,898,296
Magnetation LLC
12.00%, 3/07/16 (g)(k)		3,254		2,196,174

				4,094,470

Capital Goods - 0.1%
Serta Simmons Holdings, LLC
4.25%, 10/01/19 (h)		1,240		1,229,256

Communications - Media - 0.1%
TWCC Holding Corp.
7.00%, 6/26/20 (h)		1,050		1,045,737

Consumer Cyclical - Automotive - 0.1%
Navistar, Inc.
6.50%, 8/07/20 (h)		875		767,086

Consumer Cyclical - Entertainment - 0.5%
Clubcorp Club Operations, Inc.
4.25%, 12/15/22 (h)		2,582		2,566,381
Kasima, LLC (Digital Cinema Implementation Partners, LLC)
3.25%, 5/17/21 (h)		513		507,954
NCL Corporation Ltd. (aka Norwegian Cruise Lines)
4.00%, 11/19/21 (h)		250		249,104
Station Casinos LLC
4.25%, 3/02/20 (h)		1,808		1,767,994

				5,091,433


Company		Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Other - 0.3%
CityCenter Holdings, LLC
4.25%, 10/16/20 (h)			2,217		2,198,432
La Quinta Intermediate Holdings L.L.C.
3.75%, 4/14/21 (h)			614		597,195

					2,795,627

Consumer Cyclical - Retailers - 0.4%
Dollar Tree, Inc.
3.50%, 7/06/22 (h)			31		31,236
Harbor Freight Tools USA, Inc.
4.75%, 7/26/19 (h)			1,174		1,169,971
J.C. Penney Corporation, Inc.
6.00%, 5/22/18 (h)			2,202		2,159,346
Men’s Wearhouse, Inc., (The)
5.00%, 6/18/21 (h)			488		411,294
Michaels Stores, Inc.
4.00%, 1/28/20 (h)			515		510,925
Rite Aid Corporation
5.75%, 8/21/20 (h)			500		500,250

					4,783,022

Consumer Non-Cyclical - 0.5%
Acadia Healthcare Company, Inc.
4.25%, 2/11/22 (h)			93		92,503
Concordia Healthcare Corp.
5.25%, 10/21/21 (h)			2,614		2,504,552
Grifols Worldwide Operations Limited
3.42%, 2/27/21 (h)			698		690,251
Mallinckrodt International Finance SA
3.50%, 3/19/21 (h)			1,247		1,215,672
Ortho-Clinical Diagnostics Holdings Luxembourg S.A.R.L.
4.75%, 6/30/21 (h)			624		526,220

					5,029,198

Energy - 0.0%
Seadrill Operating LP (Seadrill Partners Finco LLC)
4.00%, 2/21/21 (h)			1,117		461,772

Other Industrial - 0.4%
Gardner Denver, Inc.
4.25%, 7/30/20 (h)			1,173		1,052,474
Laureate Education, Inc.
5.00%, 6/15/18 (h)			731		603,056
Travelport Finance (Luxembourg) S.A.r.l.
5.75%, 9/02/21 (h)			1,516		1,480,404
Unifrax Holding Co.
4.50%, 11/28/18 (h)	EUR		723		778,330

					3,914,264


Company	Principal Amount (000)		U.S. $ Value
Technology - 0.2%
Avaya Inc.
4.82%, 10/26/17 (h)		564		430,408
6.50%, 3/31/18 (h)		105		78,853
BMC Software Finance, Inc.
5.00%, 9/10/20 (h)		1,268		1,040,899
Smart Modular Technologies (Global), Inc.
8.25%, 8/26/17 (h)(k)		973		798,017

				2,348,177

				31,560,042

Utility - 0.2%
Electric - 0.2%
Energy Future Intermediate Holding Company LLC (EFIH Finance Inc.)
4.25%, 6/19/16 (h)		2,010		2,000,343

Financial Institutions - 0.0%
Insurance - 0.0%
Hub International Limited
4.00%, 10/02/20 (h)		489		460,077

Total Bank Loans (cost $37,505,600)				34,020,462

EMERGING MARKETS - CORPORATE BONDS - 2.3%
Industrial - 2.2%
Basic - 0.4%
Elementia SAB de CV
5.50%, 1/15/25 (a)		469		429,135
Samarco Mineracao SA
4.125%, 11/01/22 (a)		1,396		446,720
5.375%, 9/26/24 (a)		830		273,900
5.75%, 10/24/23 (a)		1,690		532,350
Sappi Papier Holding GmbH
7.75%, 7/15/17 (a)		305		316,819
Tupy Overseas SA
6.625%, 7/17/24 (a)		601		524,372
Vedanta Resources PLC
6.00%, 1/31/19 (a)		600		379,500
8.25%, 6/07/21 (a)(b)		1,812		1,051,587
9.50%, 7/18/18 (a)(b)		420		310,779

				4,265,162

Capital Goods - 0.6%
Andrade Gutierrez International SA
4.00%, 4/30/18 (a)		637		426,790
CEMEX Espana SA/Luxembourg
9.875%, 4/30/19 (a)		3,299		3,488,693
Cemex Finance LLC
9.375%, 10/12/22 (a)		587		618,551
Grupo KUO SAB De CV
6.25%, 12/04/22 (a)		200		190,000


Company		Principal Amount (000)		U.S. $ Value
Servicios Corporativos Javer SAPI de CV
9.875%, 4/06/21 (a)			1,211		1,241,275

					5,965,309

Communications - Telecommunications - 0.2%
Comcel Trust via Comunicaciones Celulares SA
6.875%, 2/06/24 (a)			986		759,220
Digicel Ltd.
6.00%, 4/15/21 (a)			750		631,875
6.75%, 3/01/23 (a)			485		404,975

					1,796,070

Consumer Cyclical - Other - 0.0%
Theta Capital Pte Ltd.
7.00%, 4/11/22 (a)			329		309,827

Consumer Cyclical - Retailers - 0.3%
Edcon Ltd.
9.50%, 3/01/18 (a)	EUR		1,151		750,979
9.50%, 3/01/18 (a)	U.S.$		420		243,600
Office Depot de Mexico SA de CV
6.875%, 9/20/20 (a)			2,500		2,518,750

					3,513,329

Consumer Non-Cyclical - 0.5%
Cosan Luxembourg SA
9.50%, 3/14/18 (a)	BRL		2,042		404,529
Marfrig Overseas Ltd.
9.50%, 5/04/20 (a)	U.S.$		2,187		2,143,260
Minerva Luxembourg SA
7.75%, 1/31/23 (a)			2,198		2,066,120
Tonon Luxembourg SA
7.25%, 1/24/20 (a)(c)(i)			1,679		167,872
USJ Acucar e Alcool SA
9.875%, 11/09/19 (a)			600		230,250
Virgolino de Oliveira Finance SA
10.50%, 1/28/18 (c)(d)			4,090		107,567
10.875%, 1/13/20 (c)(d)			480		91,200
11.75%, 2/09/22 (c)(d)			1,620		42,606

					5,253,404

Transportation - Airlines - 0.2%
Guanay Finance Ltd.
6.00%, 12/15/20 (a)			675		666,563
TAM Capital 3, Inc.
8.375%, 6/03/21 (a)			2,505		1,981,455

					2,648,018

					23,751,119


Company	Principal Amount (000)		U.S. $ Value
Financial Institutions - 0.1%
Finance - 0.1%
CIMPOR Financial Operations BV
5.75%, 7/17/24 (a)		1,491		991,515

Total Emerging Markets - Corporate Bonds (cost $34,838,258)				24,742,634

	Shares
PREFERRED STOCKS - 2.2%
Financial Institutions - 2.2%
Banking - 1.0%
GMAC Capital Trust I
8.125%		98,050		2,486,548
Goldman Sachs Group, Inc. (The)
Series J
5.50%		65,775		1,702,915
Morgan Stanley
6.875%		38,650		1,072,537
State Street Corp.
Series D
5.90%		25,800		714,144
US Bancorp
Series F
6.50%		100,000		2,870,000
Wells Fargo & Co.
5.85%		6,050		158,026
Wells Fargo & Co.
6.625%		65,275		1,875,351

				10,879,521

Finance - 0.3%
RBS Capital Funding Trust V
Series E
5.90%		111,000		2,723,940

Insurance - 0.4%
Hartford Financial Services Group, Inc. (The)
7.875%		75,000		2,370,000
XLIT Ltd.
Series D
3.441% (h)		1,600		1,272,400

				3,642,400

REITS - 0.5%
Brandywine Realty Trust
Series E
6.90%		9,875		265,341
Digital Realty Trust, Inc.
6.35%		69,000		1,771,920
Hersha Hospitality Trust
Series C
6.875%		22,725		571,677
National Retail Properties, Inc.
Series E
5.70%		17,450		432,935


Company		Shares		U.S. $ Value
Public Storage
Series W
5.20%			18,400		459,816
Public Storage
Series X
5.20%			1,000		25,150
Sabra Health Care REIT, Inc.
Series A
7.125%			60,025		1,517,510
Sovereign Real Estate Investment Trust
12.00% (a)			185		234,580
Welltower, Inc.
6.50%			15,850		409,564

					5,688,493

					22,934,354

Utility - 0.0%
Electric - 0.0%
SCE Trust III
5.75%			12,025		321,669

Total Preferred Stocks (cost $20,974,880)					23,256,023


		Principal Amount (000)
GOVERNMENTS - SOVEREIGN AGENCIES - 1.5%
Brazil - 0.6%
Banco do Brasil SA/Cayman
9.00%, 6/18/24 (a)(m)	U.S.$		2,000		1,310,000
Petrobras Global Finance BV
4.875%, 3/17/20			1,395		1,046,250
5.375%, 1/27/21			1,655		1,232,975
5.75%, 1/20/20			190		149,150
6.25%, 3/17/24			3,000		2,152,500
6.85%, 6/05/15			307		198,782

					6,089,657

Colombia - 0.1%
Ecopetrol SA
5.875%, 5/28/45			1,271		907,176

Dominican Republic - 0.1%
Banco de Reservas de la Republica Dominicana
7.00%, 2/01/23 (a)			1,280		1,255,341

Morocco - 0.1%
OCP SA
5.625%, 4/25/24 (a)			650		659,588

Netherlands - 0.0%
SNS Bank NV
11.25%, 12/31/49 (f)(g)(k)	EUR		620		0	^

Company

Principal
Amount
(000)

U.S. $ Value

Spain - 0.1%

Instituto de Credito Oficial

4.53%, 3/17/16

CAD

1,300

944,546

United Arab Emirates - 0.3%

Dubai Holding Commercial Operations MTN Ltd.

6.00%, 2/01/17

GBP

2,300

3,433,586

United Kingdom - 0.2%

Royal Bank of Scotland Group PLC

8.00%, 8/10/25 (b)(m)

U.S.$

2,365

2,500,987

Total Governments - Sovereign Agencies
(cost $19,611,410)

15,790,881

EMERGING MARKETS - TREASURIES - 1.1%

Dominican Republic - 0.6%

Dominican Republic International Bond

16.00%, 7/10/20 (d)

DOP

229,800

6,103,166

Indonesia - 0.5%

Indonesia - Recap Linked Note (JPMC)

9.50%, 5/17/41

IDR

27,844,000

2,060,274

10.00%, 7/18/17

47,971,000

3,543,886

5,604,160

Total Emerging Markets - Treasuries
(cost $15,373,175)

11,707,326

ASSET-BACKED SECURITIES - 1.1%

Home Equity Loans - Fixed Rate - 0.8%

CSAB Mortgage-Backed Trust

Series 2006-2, Class A6A

5.72%, 9/25/36

U.S.$

1,018

678,261

CWABS Asset-Backed Certificates Trust

Series 2005-7, Class AF5W

5.054%, 10/25/35

895

888,885

GSAA Home Equity Trust

Series 2005-12, Class AF5

5.659%, 9/25/35

1,705

1,496,163

Series 2006-10, Class AF3

5.985%, 6/25/36

1,385

740,352

Lehman XS Trust

Series 2006-17, Class WF32

5.55%, 11/25/36

1,122

1,026,045

Morgan Stanley Mortgage Loan Trust

Series 2006-15XS, Class A3

5.988%, 11/25/36

1,390

722,480

Series 2007-8XS, Class A2

6.00%, 4/25/37

4,681

2,779,638

8,331,824

Home Equity Loans - Floating Rate - 0.2%

GSAA Home Equity Trust

Series 2006-6, Class AF4

6.121%, 3/25/36 (h)

1,953

1,093,230

Series 2006-6, Class AF5


Company	Principal Amount (000)		U.S. $ Value
6.241%, 3/25/36 (h)		723		404,986
Lehman XS Trust
Series 2007-6, Class 3A5
5.058%, 5/25/37 (r)		422		533,964

				2,032,180

Other ABS - Fixed Rate - 0.1%
Atlas 2014-1 Limited
Series 2014-1
6.88%, 12/15/39		1,328		1,308,178

Total Asset-Backed Securities (cost $12,069,419)				11,672,182

GOVERNMENTS - SOVEREIGN BONDS - 1.1%
Bahrain - 0.0%
Bahrain Government International Bond
6.00%, 9/19/44 (a)		693		523,215

Croatia - 0.4%
Croatia Government International Bond
6.625%, 7/14/20 (a)		4,000		4,286,200

Turkey - 0.3%
Turkey Government International Bond
5.625%, 3/30/21		2,600		2,749,251

United Arab Emirates - 0.4%
Emirate of Dubai Government International Bonds
7.75%, 10/05/20 (a)		3,310		3,999,903

Total Governments - Sovereign Bonds (cost $10,732,161)				11,558,569

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 1.0%
United States - 1.0%
Buckeye Tobacco Settlement Financing Authority
Series 2007A-2
5.875%, 6/01/47		1,700		1,465,774
Golden State Tobacco Securitization Corp.
Series 2007A-1
5.125%, 6/01/47		1,190		1,028,541
Iowa Tobacco Settlement Authority
Series 2005C
5.625%, 6/01/46		465		451,469
Michigan Tobacco Settlement Finance Authority
Series 2007A
6.00%, 6/01/48		955		848,661
State of California
Series 2010
7.60%, 11/01/40		750		1,113,187
7.95%, 3/01/36		1,915		2,290,934
State of Illinois
Series 2010
7.35%, 7/01/35		1,915		2,098,917
Tobacco Settlement Financing Corp./NJ
Series 20071A


Company		Principal Amount (000)		U.S. $ Value
5.00%, 6/01/41			475		393,067
Tobacco Settlement Financing Corp./VA
Series 2007B1
5.00%, 6/01/47			1,095		859,246

Total Local Governments - Municipal Bonds (cost $9,536,400)					10,549,796

WHOLE LOAN TRUSTS - 0.9%
Performing Asset - 0.9%
Alpha Credit Debt Fund LLC
15.00%, 12/31/17 (g)(k)			1,401		1,400,913
16.00%, 1/01/21	MXN		20,945		1,215,295
AlphaCredit Capital, SA de CV
17.25%, 7/19/19 (g)(h)(k)			8,953		519,477
Cara Aircraft Leasing 28548, Inc.
8.00%, 12/02/19 (g)(k)	U.S.$		165		165,303
Cara Aircraft Leasing 28563, Inc.
8.00%, 6/11/19 (g)(h)(k)			259		258,958
Cara Aircraft Leasing 28868, Inc.
8.00%, 12/02/19 (g)(k)			192		191,751
Deutsche Bank Mexico SA
8.00%, 10/31/34 (g)(k)(r)	MXN		46,272		1,869,469
8.00%, 10/31/34 (g)(k)			18,713		756,053
Ede Del Este SA (DPP)
12.00%, 3/31/16 (g)(k)	U.S.$		202		203,619
Ede Del Este SA (ITABO)
12.00%, 3/31/16 (g)(k)			96		96,565
Flexpath Wh I LLC
Series B
12.00%, 4/01/21 (g)(k)			310		301,078
Recife Funding
Zero Coupon, 11/05/29 (g)(k)			1,811		1,894,715
Sheridan Auto Loan Holdings I LLC
10.00%, 12/31/20 (g)(k)			745		721,373
10.00%, 3/31/21 (g)(k)			806		805,885

Total Whole Loan Trusts (cost $11,431,594)					10,400,454


		Shares
COMMON STOCKS - 0.8%
Financials - 0.7%
Diversified Financial Services - 0.1%
iPayment, Inc.			181,272		1,142,012

Insurance - 0.6%
Mt. Logan Re Ltd. (Preference Shares) (e)(s)			5,669		6,096,570

					7,238,582

Information Technology - 0.1%
IT Services - 0.1%
Travelport Worldwide Ltd.			80,347		1,036,476


Company		Shares		U.S. $ Value
Materials - 0.0%
Metals & Mining - 0.0%
Neenah Enterprises, Inc. (f)(g)(k)			58,200		333,486

Consumer Discretionary - 0.0%
Auto Components - 0.0%
Exide Corp. (e)(g)			74,438		212,893

Leisure Products - 0.0%
New Cotai LLC/New Cotai Capital Corp. (g)(k)			3		21,576

					234,469

Industrials - 0.0%
Machinery - 0.0%
Liberty Tire Recycling LLC (g)(k)			81,827		0	^

Total Common Stocks (cost $8,381,633)					8,843,013

INVESTMENT COMPANIES - 0.3%
Funds and Investment Trusts - 0.3%
iShares iBoxx $ High Yield Corporate Bond ETF			17,000		1,369,860
OCL Opportunities Fund II (g)(k)			11,474		1,742,322

Total Investment Companies (cost $2,835,327)					3,112,182


		Principal Amount (000)
QUASI-SOVEREIGNS - 0.3%
Quasi-Sovereign Bonds - 0.3%
Indonesia - 0.1%
Majapahit Holding BV
7.875%, 6/29/37 (a)	U.S.$		699		754,920
8.00%, 8/07/19 (a)			330		369,600

					1,124,520

South Africa - 0.1%
Eskom Holdings SOC Ltd.
7.125%, 2/11/25 (a)(b)			670		579,550

Venezuela - 0.1%
Petroleos de Venezuela SA
6.00%, 11/15/26 (a)			2,700		992,250

Total Quasi-Sovereigns (cost $3, 404,590)					2,696,320

AGENCIES - 0.1%
Agency Subordinated - 0.1%
CITGO Petroleum Corp.
6.25%, 8/15/22 (a) (cost $1,679,894)			1,678		1,610,880

Company

Principal
Amount
(000)

U.S. $ Value

INFLATION-LINKED SECURITIES - 0.1%

Uruguay - 0.1%

Uruguay Government International Bond

5.00%, 9/14/18

(cost $1,038,051)

UYU

25,063

834,049

Shares

WARRANTS - 0.1%

FairPoint Communications, Inc., expiring 1/24/18 (f)(k)

9,725

146

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

586,389

Total Warrants
(cost $0)

586,535

Notional
Amount
(000)

OPTIONS PURCHASED - PUTS - 0.0%

Swaptions - 0.0%

CDX-NAHY.25 RTP Barclays Bank PLC (Buy Protection)
Expiration: Jan 16, Exercise Rate: 98.00% (f)
(premiums paid $164,945)

U.S.$

29,990

41,662

Shares

SHORT-TERM INVESTMENTS - 2.7%

Investment Companies - 1.9%

AB Fixed-Income Shares, Inc. - Government STIF Portfolio, 0.30% (t)(u)
(cost $20,594,767)

20,594,767

Principal
Amount
(000)

Time Deposits - 0.8%

ANZ, London

0.076%, 1/04/16

GBP

114

168,750

0.968%, 1/04/16

AUD

21,268

BBH, Grand Cayman

(1.00)%, 1/04/16

CHF

11,886

0.005%, 1/04/16

JPY

0.05%, 1/04/16

CAD

0.067%, 1/04/16

NOK

518

58,537

DNB, Oslo

(0.631)%, 1/04/16

EUR

769

835,548

HSBC Bank PLC, London

5.248%, 1/04/16

ZAR

430

27,805


Company		Principal Amount (000)		U.S. $ Value
Sumitomo, Tokyo
0.09%, 1/04/16	U.S.$		7,024		7,023,871

Total Time Deposits (cost $8,164,905)					8,147,680

Total Short-Term Investments (cost $28,759,672)					28,742,447

Total Investments - 107.8% (cost $1,259,806,213)^(v)					1,143,883,611
Other assets less liabilities - (7.8)%					(83,106,572	)

Net Assets - 100.0%				$	1,060,777,039

FUTURES


Type	Number of Contracts		Expiration Month	Original Value		Value at December 31, 2015		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
U.S. T-Note 10 Yr (CBT) Futures		65	March 2016	$	8,268,812	$	8,183,906	$	(84,906	)

FORWARD CURRENCY EXCHANGE CONTRACTS


Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC		INR	230,886		USD	3,458		1/22/16	$	(21,082	)
Barclays Bank PLC		USD	13,655		INR	915,350		1/22/16		138,701
BNP Paribas SA		INR	681,611		USD	10,213		1/22/16		(58,871	)
BNP Paribas SA		EUR	20,462		USD	22,288		1/27/16		38,444
BNP Paribas SA		GBP	20,061		USD	30,435		1/28/16		859,195
Brown Brothers Harriman & Co.		NOK	6,049		USD	709		1/07/16		26,072
Brown Brothers Harriman & Co.		MXN	20,505		USD	1,239		1/15/16		50,252
Brown Brothers Harriman & Co.		USD	80		MXN	1,371		1/15/16		(171	)
Brown Brothers Harriman & Co.		USD	338		EUR	310		1/27/16		(1,610	)
Brown Brothers Harriman & Co.		USD	1,832		HUF	531,235		1/29/16		(2,642	)
Brown Brothers Harriman & Co.		USD	39,509		JPY	4,818,720		2/10/16		612,690
Citibank, NA		MXN	53,365		USD	3,170		1/15/16		75,553
Citibank, NA		ZAR	70,206		USD	4,957		1/21/16		431,056
Credit Suisse International		GBP	4,127		EUR	5,806		1/27/16		228,816
Goldman Sachs Capital Markets		TWD	77,404		USD	2,342		6/21/16		(2,281	)
HSBC Bank USA		BRL	109,509		USD	28,045		1/05/16		364,715
HSBC Bank USA		USD	27,584		BRL	109,509		1/05/16		95,869
HSBC Bank USA		USD	5,299		CNY	34,705		1/21/16		15,819
HSBC Bank USA		BRL	109,509		USD	27,292		2/02/16		(107,307	)
Morgan Stanley & Co., Inc.		CAD	1,210		USD	906		1/14/16		32,015
Royal Bank of Scotland PLC		BRL	109,509		USD	29,196		1/05/16		1,516,176


Royal Bank of Scotland PLC	USD	28,045	BRL	109,509	1/05/16	$	(364,715	)
Royal Bank of Scotland PLC	USD	5,621	TRY	16,217	1/12/16		(71,407	)
Royal Bank of Scotland PLC	COP	11,356,104	USD	3,848	1/19/16		276,253
Royal Bank of Scotland PLC	EUR	62,090	USD	66,043	1/27/16		(1,471,409	)
Royal Bank of Scotland PLC	TWD	367,147	USD	11,224	1/29/16		102,266
Royal Bank of Scotland PLC	AUD	787	USD	565	2/05/16		(7,492	)
Standard Chartered Bank	USD	3,064	SGD	4,350	1/08/16		3,302
Standard Chartered Bank	USD	2,652	SGD	3,758	1/08/16		(1,836	)
Standard Chartered Bank	USD	5,392	CNY	35,338	1/21/16		19,072
Standard Chartered Bank	IDR	77,696,932	USD	5,528	1/22/16		(65,257	)
Standard Chartered Bank	TWD	619,218	USD	18,784	6/21/16		31,648
UBS AG	SGD	15,989	USD	11,374	1/08/16		98,213
UBS AG	CAD	7,536	USD	5,660	1/14/16		213,867
UBS AG	GBP	10,327	EUR	14,524	1/27/16		568,676

						$	3,622,590


CALL OPTIONS WRITTEN
Description	Contracts		Exercise Price		Expiration Month	Premiums Received		U.S. $ Value
iShares iBoxx $ High Yield Corporate Bond ETF (w)		348	$	78.00	January 2016	$	70,280	$	(100,572	)

PUT OPTIONS WRITTEN
Description	Contracts		Exercise Price		Expiration Month	Premiums Received		U.S. $ Value
iShares iBoxx $ High Yield Corporate Bond ETF (w)		348	$	78.00	January 2016	$	65,060	$	(8,004	)


CREDIT DEFAULT SWAPTIONS WRITTEN
Description	Counter- party	Buy/Sell Protection	Strike Rate			Expiration Date		Notional Amount (000)		Premiums Received		Market Value
Call - CDX NAHY-25 5 Year Index	Citibank, N.A.	Sell		98.00	%		1/20/16	$	2,500	$	42,750	$	(74,819	)
Put - CDX NAHY-25 5 Year Index	Barclays Bank PLC	Sell		95.00			1/20/16		29,990		53,982		(12,196	)
Put - CDX NAHY-25 5 Year Index	Citibank, N.A.	Sell		98.00			1/20/16		2,500		39,250		(3,473	)

										$	135,982	$	(90,488	)


CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at December 31, 2015			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	)%		2.42	%	EUR	3	$	(274	)	$	36
iTraxx Europe Crossover Series 23, 5 Year Index, 6/20/20*		(5.00	)		3.40			13,170		(943,863	)		156,228
Sale Contracts
Citigroup Global Markets, Inc./(INTRCONX):
CDX-NAHY Series 21, 5 Year Index, 12/20/18*		5.00			3.14		$	6,951		371,746			62,378
CDX-NAIG Series 20, 5 Year Index, 6/20/18*		1.00			0.52			10,730		130,145			53,216
Morgan Stanley & Co. LLC/(INTRCONX):
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			4.04			17,439		684,232			(91,533	)
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			11,000		145,598			45,608
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			5,383		71,250			106,369
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			4,038		53,448			79,752
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			12,240		162,011			222,776
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			2,900		38,385			7,679
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			4,866		64,407			17,745
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			3,754		49,688			10,877
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			6,460		85,505			47,454
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			5,816		76,982			65,922
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			5,816		76,982			73,664
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			5,820		77,034			87,548
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			4,023		53,249			62,812
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			4,022		53,236			69,688
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			5,814		76,955			71,980
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			4,023		53,249			58,996
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			4,022		53,236			(48,689	)
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			4.73			18,701		247,529			438,667
iTraxx Europe Crossover Series 24, 5 Year Index, 12/20/20*		5.00			3.15		EUR	5,700		519,174			72,324
iTraxx Europe Crossover Series 24, 5 Year Index, 12/20/20*		5.00			3.15			4,052		369,069			52,369
iTraxx Europe Crossover Series 24, 5 Year Index, 12/20/20*		5.00			3.15			4,808		437,927			61,710

									$	3,006,900		$	1,785,576

*	Termination date

CREDIT DEFAULT SWAPS


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at December 31, 2015			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	)%		1.85	%	$	3,739	$	(150,295	)	$	(131,955	)	$	(18,340	)
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 3/20/17*		(5.00	)		9.65			3,505		180,012			(88,410	)		268,422
Tenet Healthcare Corp., 6.875%, 11/15/31, 6/20/17*		(5.00	)		1.25			3,870		(213,669	)		(190,341	)		(23,328	)
Citibank, NA:
Bombardier, Inc., 7.450%, 5/01/34, 3/20/17*		(5.00	)		6.12			1,971		21,748			(83,318	)		105,066
Bombardier, Inc., 7.450%, 5/01/34, 3/20/17*		(5.00	)		6.12			1,959		21,616			(85,506	)		107,122
United States Steel Corp., 6.650%, 6/01/37, 3/20/17*		(5.00	)		8.71			3,643		146,777			(119,712	)		266,489
Credit Suisse International:
Western Union Co., 3.650% 8/22/18, 9/20/17*		(1.00	)		0.28			1,970		(24,203	)		(15,057	)		(9,146	)
Western Union Co., 3.650%, 8/22/18, 3/20/17*		(1.00	)		0.21			1,965		(19,886	)		(3,058	)		(16,828	)
Deutsche Bank AG:
iHeart Communications, Inc., 6.875%, 6/15/18, 6/20/18*		(5.00	)		52.29			420		281,505			28,795			252,710
Goldman Sachs International:
Community Health Systems, Inc., 8.000%, 11/15/19, 3/20/17*		(5.00	)		1.03			3,895		(196,597	)		(153,190	)		(43,407	)


Dell, Inc., 7.100%, 4/15/28, 3/20/17*	(1.00	)%	1.20	%	3,540	6,928		34,341		(27,413	)
First Data Corp., 12.625%, 1/15/21, 3/20/17*	(5.00	)	0.72		3,664	(198,890	)	(112,031	)	(86,859	)
Newmont Mining Corp., 5.875%, 4/01/35, 3/20/17*	(1.00	)	0.35		3,930	(32,874	)	(8,952	)	(23,922	)
Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/17*	(5.00	)	33.77		3,634	1,055,194		(128,704	)	1,183,898
UBS AG:
J.C. Penney Company, Inc., 6.375%, 10/15/36, 6/20/16*	(5.00	)	2.11		670	(10,547	)	7,184		(17,731	)
Sale Contracts
Barclays Bank PLC:
AK Steel Corp., 7.625%, 5/15/20, 6/20/17*	5.00		17.49		1,270	(260,183	)	(46,934	)	(213,249	)
Beazer Homes USA, Inc., 9.125%, 6/15/18, 3/20/19*	5.00		4.59		2,546	35,900		86,753		(50,853	)
CCO Holdings, LLC, 7.250%, 10/30/17, 6/20/19*	5.00		0.92		828	114,438		64,522		49,916
iHeartCommunications, Inc., 6.875%, 6/15/2018, 12/20/20*	5.00		54.87		1,530	(1,199,660	)	(1,203,456	)	3,796
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 12/20/18*	5.00		17.94		2,547	(739,490	)	37,912		(777,402	)
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20*	5.00		18.62		1,521	(576,183	)	(408,856	)	(167,327	)
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20*	5.00		18.62		609	(230,701	)	(163,968	)	(66,733	)
Tenet Healthcare Corp., 6.875%, 11/15/31, 6/20/19*	5.00		3.59		2,620	110,676		155,245		(44,569	)


Citibank NA:
Advanced Micro Devices, Inc., 7.750%, 8/1/20, 3/20/19*	5.00	%	11.27	%		680	(107,774	)	(112,541	)	4,767
Bombardier Inc., 7.450%, 5/01/34, 3/20/19*	5.00		9.36			1,311	(146,099	)	85,695		(231,794	)
Bombardier Inc., 7.450%, 5/01/34, 3/20/19*	5.00		9.36			1,309	(145,876	)	87,370		(233,246	)
MGM Resorts International, 7.625%, 1/15/17, 6/20/18*	5.00		1.33			325	29,114		10,660		18,454
United States Steel Corp., 6.650%, 6/01/37, 3/20/19*	5.00		20.12			2,620	(891,874	)	56,135		(948,009	)
Credit Suisse International:
Western Union Co., 3.650% 8/22/18, 9/20/19*	1.00		0.78			1,320	9,447		(13,677	)	23,124
Western Union Co., 3.650%, 8/22/18, 3/20/19*	1.00		0.63			1,309	15,670		(28,990	)	44,660
Goldman Sachs Bank USA:
CDX-NAIG Series 9, 10 Year Index, 12/20/17*	5.00		2.71			300	14,017		(18,000	)	32,017
ConvaTec Healthcare E S.A., 10.875%, 12/15/18, 6/20/17*	5.00		0.50		EUR	1,440	106,386		(86,809	)	193,195
Goldman Sachs International:
Community Health Systems, Inc., 8.000%, 11/15/19, 3/20/19*	5.00		3.00		$	2,620	164,979		140,813		24,166
Dell, Inc., 7.100%, 4/15/28, 3/20/19*	1.00		2.74			2,620	(137,512	)	(190,011	)	52,499
First Data Corp., 12.625%, 1/15/21, 3/20/19*	5.00		1.82			2,620	263,081		41,774		221,307
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20*	5.00		18.62			580	(219,714	)	(146,892	)	(72,822	)
Newmont Mining Corp., 5.875%, 4/01/35, 3/20/19*	1.00		1.20			2,620	(15,534	)	(64,005	)	48,471


Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/19*	5.00	%	48.51	%	2,620		(1,820,863	)		56,135			(1,876,998	)
Morgan Stanley Capital Services LLC:
AK Steel Corp.,
7.625%, 5/15/20, 3/20/16*	5.00		10.28		1,350		(12,853	)		5,664			(18,517	)
CMBX.NA.BBB
Series 6, 5/11/63*	3.00		3.55		10,000		(308,470	)		(120,854	)		(187,616	)
United States Steel Corp.,
6.650%, 6/01/37, 9/20/19*	5.00		20.46		491		(182,892	)		19,630			(202,522	)
United States Steel Corp.,
6.650%, 6/01/37, 9/20/19*	5.00		20.46		743		(276,394	)		31,374			(307,768	)

						$	(5,541,545	)	$	(2,775,225	)	$	(2,766,320	)

*	Termination date

TOTAL RETURN SWAPS


Counterparty & Referenced Obligation	# of Shares or Units		Rate Paid/ Received		Notional Amount (000)		Maturity Date		Unrealized Appreciation/ (Depreciation)
Receive Total Return on Reference Obligation
Goldman Sachs International:
iBoxx $ Liquid High Yield Total Return Index		22,826		LIBOR	$	4,976		3/21/16	$	83,594
iBoxx $ Liquid High Yield Total Return Index		7,364		LIBOR		1,620		3/21/16		12,258
iBoxx $ Liquid High Yield Total Return Index		12,547		LIBOR		2,776		3/21/16		5,213
JPMorgan Chase Bank, NA:
iBoxx $ Liquid High Yield Total Return Index		25,353		LIBOR		5,527		3/21/16		92,888
iBoxx $ Liquid High Yield Total Return Index		25,324		LIBOR		5,527		3/21/16		86,446
Morgan Stanley Capital Services LLC:
iBoxx $ Liquid High Yield Total Return Index		22,360		LIBOR		4,813		3/21/16		143,598
iBoxx $ Liquid High Yield Total Return Index		28,728		LIBOR		6,234		3/21/16		134,918
iBoxx $ Liquid High Yield Total Return Index		26,037		LIBOR		5,749		3/21/16		22,537

									$	581,452

REVERSE REPURCHASE AGREEMENTS

Broker

Principal
Amount
(000)

Currency

Interest Rate

Maturity

U.S. $
Value at
December 31,
2015

Barclays Capital, Inc.†

987

USD

(1.75

)%*

– 0

–

985,569

Barclays Capital, Inc.†

257

USD

(1.75

)%*

– 0

–

256,128

Barclays Capital, Inc.†

945

USD

(1.00

)%*

– 0

–

943,962


Barclays Capital, Inc.†	567	GBP	(1.00	)%*	– 0	–	834,468
Barclays Capital, Inc.†	1,157	USD	(0.75	)%*	– 0	–	1,155,942
Barclays Capital, Inc.†	635	USD	(0.75	)%*	– 0	–	634,047
Barclays Capital, Inc.†	434	USD	(0.75	)%*	– 0	–	433,579
Barclays Capital, Inc.†	571	USD	(0.63	)%*	– 0	–	570,769
Barclays Capital, Inc.†	494	USD	(0.50	)%*	– 0	–	493,859
Barclays Capital, Inc.†	465	USD	(0.38	)%*	– 0	–	464,656
Barclays Capital, Inc.†	1,670	USD	0.00	%	– 0	–	1,670,186
Barclays Capital, Inc.†	1,896	USD	0.30	%	– 0	–	1,895,835
Credit Suisse Securities (USA) LLC†	390	EUR	(4.25	)%*	– 0	–	420,340
Credit Suisse Securities (USA) LLC†	778	USD	(3.00	)%*	– 0	–	776,953
Credit Suisse Securities (USA) LLC†	512	USD	(2.00	)%*	– 0	–	509,620
Credit Suisse Securities (USA) LLC†	523	USD	(1.25	)%*	– 0	–	522,744
Credit Suisse Securities (USA) LLC†	2,127	USD	(1.00	)%*	– 0	–	2,125,586
Credit Suisse Securities (USA) LLC†	1,658	EUR	(1.00	)%*	– 0	–	1,798,748
Credit Suisse Securities (USA) LLC†	1,121	USD	(1.00	)%*	– 0	–	1,120,483
Credit Suisse Securities (USA) LLC†	1,116	USD	(1.00	)%*	– 0	–	1,115,066
Credit Suisse Securities (USA) LLC†	670	EUR	(1.00	)%*	– 0	–	727,576
Credit Suisse Securities (USA) LLC†	591	USD	(0.50	)%*	– 0	–	591,103
Credit Suisse Securities (USA) LLC†	409	USD	(0.50	)%*	– 0	–	408,895
Credit Suisse Securities (USA) LLC†	663	USD	(0.10	)%*	– 0	–	663,126
Credit Suisse Securities (USA) LLC†	1,918	USD	0.00	%	– 0	–	1,917,863
Credit Suisse Securities (USA) LLC†	1,449	USD	0.00	%	– 0	–	1,448,761
Credit Suisse Securities (USA) LLC†	1,127	USD	0.00	%	– 0	–	1,126,928
Credit Suisse Securities (USA) LLC†	1,110	USD	0.00	%	– 0	–	1,110,175
Credit Suisse Securities (USA) LLC†	1,040	USD	0.00	%	– 0	–	1,040,375
Credit Suisse Securities (USA) LLC†	890	USD	0.00	%	– 0	–	890,294
Credit Suisse Securities (USA) LLC†	775	USD	0.00	%	– 0	–	775,000
Credit Suisse Securities (USA) LLC†	2,298	USD	0.05	%	– 0	–	2,298,274
Credit Suisse Securities (USA) LLC†	1,833	USD	0.10	%	– 0	–	1,832,836
Credit Suisse Securities (USA) LLC†	1,189	USD	0.10	%	– 0	–	1,188,796
Credit Suisse Securities (USA) LLC†	1,426	USD	0.20	%	– 0	–	1,425,695
Credit Suisse Securities (USA) LLC†	2,864	USD	0.25	%	– 0	–	2,864,169
Credit Suisse Securities (USA) LLC†	2,119	USD	0.25	%	– 0	–	2,118,713
Credit Suisse Securities (USA) LLC†	1,025	USD	0.25	%	– 0	–	1,025,000
Credit Suisse Securities (USA) LLC†	874	USD	0.25	%	– 0	–	873,929
Credit Suisse Securities (USA) LLC†	1,512	USD	0.29	%	– 0	–	1,512,033
Credit Suisse Securities (USA) LLC†	364	USD	1.00	%	– 0	–	364,037
HSBC Securities (USA) Inc.	12,531	USD	0.40	%	1/20/16		12,541,832
HSBC Securities (USA) Inc.	36,075	USD	0.43	%	1/20/16		36,107,748
HSBC Securities (USA) Inc.	2,859	USD	0.45	%	1/20/16		2,861,341


ING Financial Markets LLC†	214	USD	(1.25	)%*	– 0	–		213,108
ING Financial Markets LLC†	900	USD	2.00	%	– 0	–		900,300
RBC Capital Markets†	1,366	USD	(0.25	)%*	– 0	–		1,365,348
RBC Capital Markets†	2,634	USD	0.20	%	– 0	–		2,634,273
RBC Capital Markets†	1,550	USD	0.20	%	– 0	–		1,549,643

							$	103,105,711

†	The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on December 31, 2015

*	Interest payment due from counterparty.

The type of underlying collateral and the remaining maturity of open reverse repurchase agreements in relation to the reverse repurchase agreements in relation to the reverse repurchase agreements on the Statement of Assets and Liabilities 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

Governments - Treasuries

– 0

–

51,510,921

– 0

–

– 0

–

51,510,921

Corporates - Non-Investment Grade

45,015,958

– 0

–

– 0

–

– 0

–

45,015,958

Governments - Sovereign Agencies

2,125,586

– 0

–

– 0

–

– 0

–

2,125,586

Corporates - Investment Grade

1,845,367

– 0

–

– 0

–

– 0

–

1,845,367

Emerging Markets - Corporate Bonds

1,307,999

– 0

–

– 0

–

– 0

–

1,307,999

Emerging Markets - Sovereigns

708,777

– 0

–

– 0

–

– 0

–

708,777

Quasi-Sovereigns

591,103

– 0

–

– 0

–

– 0

–

591,103

Total

51,594,790

51,510,921

– 0

–

– 0

–

103,105,711

^	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 liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2015, the aggregate market value of these securities amounted to $413,840,878 or 39.0% of net assets.

(b)

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

(c)

Security is in default and is non-income producing.

(d)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 1.09% of net assets as of December 31, 2015, are considered illiquid and restricted.

Restricted Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

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

5.588%, 6/24/50

10/06/09

2,724,001

3,658,550

0.34

Dominican Republic International Bond

16.00%, 7/10/20

12/08/10

6,403,592

6,103,166

0.58

Golden Energy Offshore Services AS

8.41%, 5/28/17

5/14/14

975,355

414,030

0.04

Liberty Tire Recycling LLC

11.00%, 3/31/21

9/23/10

1,607,570

616,484

0.06

Magnetation LLC/Mag Finance Corp.

11.00%, 5/15/18

5/15/13

2,295,760

285,700

0.03

Offshore Group Investment Ltd.

10.00%, 12/31/20

12/16/15

188,939

0.02

Virgolino de Oliveira Finance SA

10.875%, 1/13/20

6/09/14

477,418

91,200

0.01

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

1/23/14

1,408,980

62,725

0.01

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

2/12/14

992,873

44,842

0.00

Virgolino de Oliveira Finance SA

11.75%, 2/09/22

1/29/14

838,866

42,606

0.00

(e)

Restricted and illiquid security.

Restricted Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

Exide Corp.

4/30/15

141,191

212,893

0.02

Exide Technologies Series AI

11.00%, 4/30/20

4/30/15

4,286,928

3,783,556

0.36

Momentive Performance Materials, Inc.

8.875%, 10/15/20

10/11/12

0.00

Mt. Logan Re Ltd. (Preference Shares)

12/30/14

5,669,000

6,096,570

0.57

Offshore Group Investment Ltd.

7.50%, 11/01/19

10/16/12

2,176,000

478,720

0.05

Offshore Group Investment Ltd.

7.125%, 4/01/23

5/23/13

1,327,912

283,864

0.03

(f)

Non-income producing security.

(g)

Fair valued by the Adviser.

(h)

Floating Rate Security. Stated interest rate was in effect at December 31, 2015.

(i)

Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at December 31, 2015.

(j)

Convertible security.

(k)

Illiquid security.

(l)

Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2015.

(m)

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

(n)

Defaulted.

(o)

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

(p)

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

(q)

IO - Interest Only

(r)

Variable rate coupon, rate shown as of December 31, 2015.

(s)

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

(t)

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

(u)

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.

(v)

As of December 31, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $39,745,359 and gross unrealized depreciation of investments was $(155,667,961), resulting in net unrealized depreciation of $(115,922,602).

(w)

One contract relates to 100 shares.

The fund currently owns investments collateralized by subprime mortgage loans. Subprime loans are offered to homeowners who do not have a history of debt or who have had problems meeting their debt obligations. Because repayment is less certain, subprime borrowers pay a higher rate of interest than prime borrowers. As of December 31, 2015, the fund’s total exposure to subprime investments was 6.08% of net assets. These investments are valued in accordance with the fund’s Valuation Policies.

Currency Abbreviations:


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
HUF	-	Hungarian Forint
IDR	-	Indonesian Rupiah
INR	-	Indian Rupee
JPY	-	Japanese Yen
MXN	-	Mexican Peso
NOK	-	Norwegian Krone
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
UYU	-	Uruguayan Peso
ZAR	-	South African Rand

Glossary:


ARMs	-	Adjustable Rate Mortgages
CBT	-	Chicago Board of Trade
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
GSE	-	Government-Sponsored Enterprise
INTRCONX	-	Inter-Continental Exchange
LIBOR	-	London Interbank Offered Rates
MSCI	-	Morgan Stanley Capital International
MTN	-	Medium Term Note
REIT	-	Real Estate Investment Trust
RTP	-	Right to Pay

COUNTRY BREAKDOWN*

December 31, 2015 (unaudited)


	67.1%			United States
	4.4%			Brazil
	3.5%			United Kingdom
	2.0%			Canada
	1.9%			France
	1.6%			Mexico
	1.5%			Ireland
	1.4%			Dominican Republic
	1.2%			Luxembourg
	1.1%			Netherlands
	1.0%			Switzerland
	0.8%			Germany
	0.8%			Italy
	9.2%			Other
	2.5%			Short-Term

	100.0%			Total Investments

All data are as of December 31, 2015. 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, Bahrain, Barbados, Belgium, Bermuda, Chile, Colombia, Croatia, Denmark, El Salvador, Ghana, Guatemala, India, Indonesia, Ivory Coast, Jamaica, Kenya, Lebanon, Macau, Morocco, New Zealand, Norway, Pakistan, Peru, Portugal, Serbia, South Africa, Spain, Sri Lanka, Sweden, Trinidad & Tobago, Turkey, United Arab Emirates, Uruguay, Venezuela and Zambia.

AB Global High Income Fund

December 31, 2015 (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. Bank loans are classified as Level 3, as significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.

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

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

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of December 31, 2015:

Investments in Securities

Level 1

Level 2

Level 3

Total

Assets:

Corporates - Non-Investment Grade

– 0

–

540,974,798

11,913,337

552,888,135

Governments - Treasuries

– 0

–

114,167,362

– 0

–

114,167,362

Collateralized Mortgage Obligations

– 0

–

– 0

–

107,461,172

Corporates - Investment Grade

– 0

–

87,737,403

– 0

–

87,737,403

Commercial Mortgage-Backed Securities

– 0

–

4,221,276

37,341,584

41,562,860

Emerging Markets - Sovereigns

– 0

–

39,901,264

– 0

–

39,901,264

Bank Loans

– 0

–

– 0

–

34,020,462

Emerging Markets - Corporate Bonds

– 0

–

24,742,634

– 0

–

24,742,634

Preferred Stocks

21,749,043

1,506,980

– 0

–

23,256,023

Governments - Sovereign Agencies

– 0

–

15,790,881

– 0

– #

15,790,881

Emerging Markets - Treasuries

– 0

–

5,604,160

6,103,166

11,707,326

Asset-Backed Securities

– 0

–

– 0

–

11,672,182

Governments - Sovereign Bonds

– 0

–

11,558,569

– 0

–

11,558,569

Local Governments - Municipal Bonds

– 0

–

10,549,796

– 0

–

10,549,796

Whole Loan Trusts

– 0

–

– 0

–

10,400,454

Common Stocks

1,036,476

– 0

–

7,806,537

8,843,013

Investment Companies

1,369,860

– 0

–

1,742,322

3,112,182

Quasi-Sovereigns

– 0

–

2,696,320

– 0

–

2,696,320

Agencies

– 0

–

1,610,880

– 0

–

1,610,880

Inflation-Linked Securities

– 0

–

834,049

– 0

–

834,049

Warrants

146

– 0

–

586,389

586,535

Options Purchased - Puts

– 0

–

41,662

– 0

–

41,662

Short-Term Investments:

Investment Companies

20,594,767

– 0

–

– 0

–

20,594,767

Time Deposits

– 0

–

8,147,680

– 0

–

8,147,680

Total Investments in Securities

44,750,292

870,085,714

229,047,605

1,143,883,611

Other Financial Instruments*:

Assets

Forward Currency Exchange Contracts

– 0

–

5,798,670

– 0

–

5,798,670

Centrally Cleared Credit Default Swaps

– 0

–

1,925,798

– 0

–

1,925,798

Credit Default Swaps

– 0

–

2,900,079

– 0

–

2,900,079

Total Return Swaps

– 0

–

581,452

– 0

–

581,452

Liabilities

Futures

(84,906

)

– 0

–

– 0

–

(84,906

)

Forward Currency Exchange Contracts

– 0

–

(2,176,080

)

– 0

–

(2,176,080

)

Call Options Written

– 0

–

(100,572

)

– 0

–

(100,572

)

Put Options Written

– 0

–

(8,004

)

– 0

–

(8,004

)

Credit Default Swaptions Written

– 0

–

(90,488

)

– 0

–

(90,488

)

Centrally Cleared Credit Default Swaps

– 0

–

(140,222

)

– 0

–

(140,222

)

Credit Default Swaps

– 0

–

(5,666,399

)

– 0

–

(5,666,399

)

Total^

44,665,386

873,109,948

229,047,605

1,146,822,939

#	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.

^	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#			Commercial Mortgage-Backed Securities			Bank Loans
Balance as of 3/31/15	$	9,029,484		$	87,250,705		$	21,624,786		$	49,570,611
Accrued discounts/(premiums)		126,253			715,470			198,466			258,146
Realized gain (loss)		(1,642,441	)		1,888,579			254,354			(1,081,460	)
Change in unrealized appreciation/depreciation		(1,228,134	)		(6,076,417	)		(2,917,464	)		(1,532,805	)
Purchases/Payups		8,899,648			47,571,918			20,181,442			12,481,261
Sales/Paydowns		(3,271,473	)		(23,889,083	)		(2,000,000	)		(24,171,541	)
Reclassification		– 0	–		– 0	–		– 0	–		(1,503,750	)
Transfers into Level 3		– 0	–		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–		– 0	–

Balance as of 12/31/15	$	11,913,337		$	107,461,172		$	37,341,584		$	34,020,462

Net change in unrealized appreciation/depreciation from investments held as of 12/31/15**	$	(2,439,649	)	$	(4,292,813	)	$	(2,640,088	)	$	(2,747,261	)

	Governments - Sovereign Agencies#			Emerging Markets - Treasuries			Asset-Backed Securities			Whole Loan Trusts
Balance as of 3/31/15	$	– 0	–	$	6,463,416		$	9,620,238		$	12,077,045
Accrued discounts/(premiums)		(27	)		(22,998	)		158,398			7,121
Realized gain (loss)		– 0	–		– 0	–		250,016			62,541
Change in unrealized appreciation/depreciation		27			(337,252	)		(823,468	)		(379,572	)
Purchases/Payups		– 0	–		– 0	–		2,105,129			3,792,954
Sales/Paydowns		– 0	–		– 0	–		(1,141,881	)		(5,159,635	)
Reclassification		– 0	–		– 0	–		1,503,750			– 0	–
Transfers into Level 3		– 0	–		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–		– 0	–

Balance as of 12/31/15	$	– 0	–	$	6,103,166		$	11,672,182		$	10,400,454

Net change in unrealized appreciation/depreciation from investments held as of 12/31/15**	$	27		$	(337,252	)	$	(823,468	)	$	(484,238	)


	Common Stocks#			Investments Companies			Warrants#			Total
Balance as of 3/31/15	$	6,678,614		$	2,555,774		$	7,672		$	204,878,345
Accrued discounts/(premiums)		– 0	–		– 0	–		– 0	–		1,440,829
Realized gain (loss)		(427,113	)		(212,499	)		3,650			(904,373	)
Change in unrealized appreciation/depreciation		948,233			521,499			578,717			(11,246,636	)
Purchases/Payups		141,203			– 0	–		– 0	–		95,173,555
Sales/Paydowns		– 0	–		(1,122,452	)		(3,650	)		(60,759,715	)
Reclassification		– 0	–		– 0	–		– 0	–		– 0	–
Transfers into Level 3		465,600			– 0	–		– 0	–		465,600
Transfers out of Level 3		– 0	–		– 0	–		– 0	–		– 0	–

Balance as of 12/31/15	$	7,806,537		$	1,742,322		$	586,389		$	229,047,605	+

Net change in unrealized appreciation/depreciation from investments held as of 12/31/15**	$	787,961		$	302,811		$	582,714		$	(12,091,256	)

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

+	There were de minimis transfers under 1% of net assets during the reporting period.

The following represents information about significant observable inputs related to the Fund’s Level 3 investments at December 31, 2015. 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
12/31/15

Valuation Technique

Unobservable Input

Range/
Weighted Average

Corporates—Non-Investment Grade

2,918,201

Market Approach

Clean Debt Value

51.50% – 76.0%/63.8%

Convertible Feature Value

2.2% – 22.2%/12.2%

616,484

Market Approach

EBITDA* Projection

38mm/N/A

EBITDA* Multiples

5.5X – 7.5X/6.5X

Qualitative Assessment

0.00/N/A

Bank Loans

2,196,174

Market Approach

EBITDA* Projection

28mm – $70mm/N/A

EBITDA* Multiples

6X/N/A

Scrap Value

154mm/N/A

Governments—Sovereign Agencies

Qualitative Assessment

0.00/N/A

Whole Loan Trusts

2,625,522

Projected Cash Flow

Level Yield

13.45%/N/A

1,894,715

Market Approach

Underlying NAV of Collateral

104.60/N/A

721,373

Projected Cash Flow

Internal Rate of Return

5.90%/N/A

301,078

Discounted Cash Flow

Level Yield

97.03%/N/A

300,184

Projected Cash Flow

Internal Rate of Return

9.97%/N/A

Common Stocks

333,486

Market Approach

EBITDA* Projection

47.2mm/N/A

212,893

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

21,576

Market Approach

EBITDA* Projection

385mm/N/A

EBITDA* Multiples

12.5X/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).

ITEM 2.

CONTROLS AND PROCEDURES.

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

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

ITEM 3.

EXHIBITS.

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


EXHIBIT NO.		DESCRIPTION OF EXHIBIT

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

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

SIGNATURES

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

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


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

Date:		February 23, 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:		February 23, 2016


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

Date:		February 23, 2016