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, 2019

Date of reporting period: June 30, 2018

ITEM 1.

SCHEDULE OF INVESTMENTS.

AB Global High Income Fund

Portfolio of Investments

June 30, 2018 (unaudited)


	Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE - 41.1%
Industrial - 32.3%
Basic - 3.6%
AK Steel Corp.
7.00%, 3/15/27	U.S.$	1,164	$	1,114,310
7.625%, 10/01/21		278		283,882
Alcoa Nederland Holding BV
6.125%, 5/15/28 (a)		289		290,411
Ashland LLC
4.75%, 8/15/22		501		501,771
Axalta Coating Systems LLC
4.875%, 8/15/24 (a)		516		512,175
Berry Global, Inc.
5.50%, 5/15/22		409		413,218
CF Industries, Inc.
4.95%, 6/01/43		595		502,775
5.375%, 3/15/44		545		482,585
Cleveland-Cliffs, Inc.
5.75%, 3/01/25 (b)		1,628		1,545,815
Constellium NV
5.75%, 5/15/24 (a)		400		390,655
5.875%, 2/15/26 (a)		1,310		1,259,953
Crown Americas LLC/Crown Americas Capital Corp. VI
4.75%, 2/01/26 (a)		815		775,123
Eldorado Gold Corp.
6.125%, 12/15/20 (a)		369		355,985
ERP Iron Ore, LLC
9.039%, 12/31/19 (c)(d)(e)(f)		336		336,499
Freeport-McMoRan, Inc.
5.45%, 3/15/43		3,414		2,994,255
Grinding Media, Inc./Moly-Cop AltaSteel Ltd.
7.375%, 12/15/23 (a)		1,236		1,288,272
INEOS Finance PLC
4.00%, 5/01/23 (a)	EUR	790		938,775
Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22 (a)	U.S.$	3,215		3,555,542
Kraton Polymers LLC/Kraton P
5.25%, 5/15/26 (a)	EUR	640		753,045
Lecta SA
6.50%, 8/01/23 (a)		227		261,333
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (c)(g)(h)(i)	U.S.$	2,857		29
Momentive Performance Materials, Inc.
3.88%, 10/24/21		3,093		3,246,849
8.875%, 10/15/20 (c)(e)(h)(j)		3,093		0
Multi-Color Corp.
4.875%, 11/01/25 (a)		980		913,359
NOVA Chemicals Corp.
5.25%, 8/01/23 (a)		207		206,963
Novelis Corp.
5.875%, 9/30/26 (a)		1,573		1,507,576


	Principal Amount (000)		U.S. $ Value
Nufarm Australia Ltd./Nufarm Americas, Inc.
5.75%, 4/30/26 (a)	U.S.$	489	$	475,847
OCI NV
5.00%, 4/15/23 (a)	EUR	1,300		1,549,215
6.625%, 4/15/23 (a)	U.S.$	840		855,787
Pactiv LLC
7.95%, 12/15/25		1,110		1,215,450
Peabody Energy Corp.
6.00%, 11/15/18 (c)(d)(e)(h)		4,310		0
6.00%, 3/31/22 (a)		295		299,597
6.375%, 3/31/25 (a)		400		412,802
Plastipak Holdings, Inc.
6.25%, 10/15/25 (a)		1,257		1,157,667
PQ Corp.
5.75%, 12/15/25 (a)		277		272,542
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
5.125%, 7/15/23 (a)		781		771,347
Sealed Air Corp.
6.875%, 7/15/33 (a)		1,295		1,424,993
SIG Combibloc Holdings SCA
7.75%, 2/15/23 (a)	EUR	682		825,433
Smurfit Kappa Treasury Funding Ltd.
7.50%, 11/20/25	U.S.$	238		284,441
SPCM SA
4.875%, 9/15/25 (a)		975		931,328
Teck Resources Ltd.
5.20%, 3/01/42		2,374		2,082,394
5.40%, 2/01/43		1,454		1,314,034
6.00%, 8/15/40		470		457,764
6.25%, 7/15/41		238		237,410
United States Steel Corp.
6.25%, 3/15/26		295		291,295
6.875%, 8/15/25		775		779,834
Valvoline, Inc.
5.50%, 7/15/24		278		280,795
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (a)		386		403,821

				40,754,951

Capital Goods - 1.6%
ARD Finance SA
6.625%, 9/15/23 (f)	EUR	1,126		1,336,846
ARD Securities Finance SARL
8.75%, 1/31/23 (a)(f)	U.S.$	279		284,661
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
6.75%, 5/15/24 (a)	EUR	2,004		2,516,320
B456 Systems, Inc.
3.75%, 4/15/16 (c)(d)(g)(h)(k)	U.S.$	955		74,013
BBA US Holdings, Inc.
5.375%, 5/01/26 (a)		402		403,805


	Principal Amount (000)		U.S. $ Value
Bombardier, Inc.
5.75%, 3/15/22 (a)	U.S.$	975	$	977,644
6.00%, 10/15/22 (a)		261		260,279
6.125%, 1/15/23 (a)		738		739,466
7.50%, 3/15/25 (a)		1,124		1,169,479
BWAY Holding Co.
4.75%, 4/15/24	EUR	542		632,889
5.50%, 4/15/24 (a)	U.S.$	1,073		1,046,113
Cleaver-Brooks, Inc.
7.875%, 3/01/23 (a)		505		520,335
EnPro Industries, Inc.
5.875%, 9/15/22		970		990,989
Gates Global LLC/Gates Global Co.
6.00%, 7/15/22 (a)		352		356,327
GFL Environmental, Inc.
5.625%, 5/01/22 (a)		403		387,968
Jeld-Wen, Inc.
4.625%, 12/15/25 (a)		128		121,969
4.875%, 12/15/27 (a)		182		169,298
KLX, Inc.
5.875%, 12/01/22 (a)		877		910,808
Liberty Tire Recycling LLC
9.50%, 1/15/23 (c)(e)(i)		559		559,251
Textron Financial Corp.
4.078% (LIBOR 3 Month + 1.74%), 2/15/42 (a)(l)		575		523,725
TransDigm, Inc.
6.375%, 6/15/26		2,335		2,314,338
6.50%, 7/15/24		1,572		1,596,742
Waste Pro USA, Inc.
5.50%, 2/15/26 (a)		762		733,470

				18,626,735

Communications - Media - 4.3%
Altice Financing SA
6.625%, 2/15/23 (a)		2,892		2,850,066
7.50%, 5/15/26 (a)		1,782		1,724,746
Altice France SA/France
5.375%, 5/15/22 (a)	EUR	264		316,777
5.625%, 5/15/24 (a)		386		466,995
6.00%, 5/15/22 (a)	U.S.$	707		713,999
6.25%, 5/15/24 (a)		200		196,202
7.375%, 5/01/26 (a)		2,923		2,864,590
Altice Luxembourg SA
7.25%, 5/15/22 (a)(b)	EUR	1,332		1,561,587
7.75%, 5/15/22 (a)(b)	U.S.$	1,770		1,709,197
CCO Holdings LLC/CCO Holdings Capital Corp.
5.125%, 5/01/27 (a)		160		149,692
5.375%, 5/01/25 (a)		128		123,890
5.75%, 1/15/24		166		166,415
5.75%, 2/15/26 (a)		400		392,566
5.875%, 5/01/27 (a)		499		488,108


	Principal Amount (000)		U.S. $ Value
Cequel Communications Holdings I LLC/Cequel Capital Corp.
7.50%, 4/01/28 (a)	U.S.$	1,192	$	1,208,218
7.75%, 7/15/25 (a)		861		899,573
Clear Channel Worldwide Holdings, Inc.
Series A
6.50%, 11/15/22		555		563,277
Series B
6.50%, 11/15/22		2,654		2,705,761
CSC Holdings LLC
5.375%, 2/01/28 (a)		1,302		1,203,756
6.625%, 10/15/25 (a)		274		279,480
10.875%, 10/15/25 (a)		765		881,419
DISH DBS Corp.
5.00%, 3/15/23		100		86,521
5.875%, 11/15/24		2,345		1,988,131
6.75%, 6/01/21		820		821,086
Gray Television, Inc.
5.125%, 10/15/24 (a)		1,037		991,417
iHeartCommunications, Inc.
6.875%, 6/15/18 (c)(d)(g)(h)		2,016		496,353
9.00%, 12/15/19 (h)(m)		927		703,046
10.625%, 3/15/23 (h)(m)		142		107,958
11.25%, 3/01/21 (a)(h)(m)		254		183,551
11.25%, 3/01/21 (h)(m)		535		407,033
Liberty Interactive LLC
3.75%, 2/15/30 (k)		880		613,969
Meredith Corp.
6.875%, 2/01/26 (a)		1,627		1,604,814
Netflix, Inc.
4.375%, 11/15/26 (b)		1,552		1,459,246
4.875%, 4/15/28 (a)		1,221		1,161,844
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.25%, 2/15/22		648		657,088
Radiate Holdco LLC/Radiate Finance, Inc.
6.625%, 2/15/25 (a)		1,057		969,860
6.875%, 2/15/23 (a)		451		427,285
Sinclair Television Group, Inc.
6.125%, 10/01/22		1,487		1,515,379
TEGNA, Inc.
5.50%, 9/15/24 (a)		162		163,172
6.375%, 10/15/23		718		739,002
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
5.00%, 1/15/25 (a)		1,078		1,092,862
6.25%, 1/15/29 (a)	EUR	446		583,081
Univision Communications, Inc.
5.125%, 2/15/25 (a)	U.S.$	1,064		984,164
UPC Holding BV
5.50%, 1/15/28 (a)		2,223		1,995,961


	Principal Amount (000)		U.S. $ Value
Urban One, Inc.
7.375%, 4/15/22 (a)	U.S.$	1,400	$	1,336,125
Virgin Media Finance PLC
4.875%, 2/15/22		1,347		1,282,450
5.25%, 2/15/22		900		858,945
Virgin Media Receivables Financing Notes I DAC
5.50%, 9/15/24 (a)	GBP	128		166,406
Virgin Media Secured Finance PLC
5.50%, 1/15/25 (a)		423		567,429
Ziggo Bond Co. BV
7.125%, 5/15/24 (a)	EUR	968		1,208,024
Ziggo Bond Finance BV
5.875%, 1/15/25 (a)	U.S.$	1,034		970,488
6.00%, 1/15/27 (a)		150		138,503
Ziggo BV
5.50%, 1/15/27 (a)		1,163		1,097,187

				48,844,694

Communications - Telecommunications - 2.7%
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (a)	GBP	1,086		1,484,779
C&W Senior Financing DAC
6.875%, 9/15/27 (a)	U.S.$	847		813,212
Cincinnati Bell, Inc.
7.00%, 7/15/24 (a)		1,151		1,050,567
DKT Finance ApS
7.00%, 6/17/23 (a)	EUR	989		1,170,274
Embarq Corp.
7.995%, 6/01/36	U.S.$	2,096		1,976,773
Frontier Communications Corp.
6.875%, 1/15/25		45		28,982
7.125%, 1/15/23		662		488,626
7.625%, 4/15/24		1,118		772,677
7.875%, 1/15/27		834		511,074
Hughes Satellite Systems Corp.
7.625%, 6/15/21		1,437		1,531,665
Intelsat Jackson Holdings SA
5.50%, 8/01/23		1,675		1,507,843
7.25%, 10/15/20		443		439,946
7.50%, 4/01/21		980		973,442
8.00%, 2/15/24 (a)		216		227,254
9.50%, 9/30/22 (a)		516		595,003
9.75%, 7/15/25 (a)		1,262		1,332,129
Level 3 Financing, Inc.
5.25%, 3/15/26		86		81,910
5.375%, 8/15/22-1/15/24		1,278		1,258,807
6.125%, 1/15/21		596		600,086
Level 3 Parent LLC
5.75%, 12/01/22		160		160,222
Qwest Corp.
6.875%, 9/15/33		1,335		1,254,529
Sable International Finance Ltd.
6.875%, 8/01/22 (a)		454		472,556


	Principal Amount (000)		U.S. $ Value
Sprint Capital Corp.
6.875%, 11/15/28	U.S.$	1,210	$	1,158,940
8.75%, 3/15/32		215		230,023
Sprint Corp.
7.875%, 9/15/23		707		734,306
T-Mobile USA, Inc.
6.00%, 3/01/23		743		767,256
6.375%, 3/01/25		655		678,241
Telecom Italia Capital SA
7.20%, 7/18/36		483		500,867
7.721%, 6/04/38		1,759		1,897,991
Telecom Italia SpA/Milano
5.303%, 5/30/24 (a)		1,002		978,733
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC
6.00%, 4/15/23 (a)		1,113		1,074,768
Wind Tre SpA
5.00%, 1/20/26 (a)		1,600		1,256,867
Windstream Services LLC/Windstream Finance Corp.
6.375%, 8/01/23		209		126,399
8.75%, 12/15/24 (a)		1,526		969,117
Zayo Group LLC/Zayo Capital, Inc.
5.75%, 1/15/27 (a)		300		294,705
6.00%, 4/01/23		488		496,658
6.375%, 5/15/25		1,187		1,205,822

				31,103,049

Consumer Cyclical - Automotive - 1.4%
Adient Global Holdings Ltd.
4.875%, 8/15/26 (a)		1,323		1,190,951
BCD Acquisition, Inc.
9.625%, 9/15/23 (a)		2,264		2,417,065
Cooper-Standard Automotive, Inc.
5.625%, 11/15/26 (a)		670		665,016
Dana Financing Luxembourg SARL
5.75%, 4/15/25 (a)		215		212,852
6.50%, 6/01/26 (a)		602		610,834
Exide Technologies
7.00%, 4/30/25 (c)(f)(i)(k)		4,728		3,309,884
11.00%, 4/30/22 (c)(f)(i)		4,299		3,955,467
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28		400		426,005
IHO Verwaltungs GmbH
4.125%, 9/15/21 (a)(f)		889		875,134
Meritor, Inc.
6.25%, 2/15/24		305		307,307
Navistar International Corp.
6.625%, 11/01/25 (a)		1,126		1,159,458
Titan International, Inc.
6.50%, 11/30/23 (a)		1,093		1,090,789

				16,220,762


	Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Entertainment - 0.4%
AMC Entertainment Holdings, Inc.
5.875%, 11/15/26	U.S.$	1,580	$	1,525,232
Silversea Cruise Finance Ltd.
7.25%, 2/01/25 (a)		1,409		1,521,340
VOC Escrow Ltd.
5.00%, 2/15/28 (a)		1,076		1,019,809

				4,066,381

Consumer Cyclical - Other - 2.4%
Beazer Homes USA, Inc.
5.875%, 10/15/27		682		594,027
6.75%, 3/15/25		1,400		1,337,958
8.75%, 3/15/22		99		105,222
Caesars Entertainment Corp.
5.00%, 10/01/24 (c)(k)		121		207,958
Cirsa Funding Luxembourg SA
5.75%, 5/15/21 (a)	EUR	396		475,744
Cooperativa Muratori & Cementisti-CMC di Ravenna SC
6.00%, 2/15/23 (a)		276		272,940
Diamond Resorts International, Inc.
7.75%, 9/01/23 (a)(b)	U.S.$	1,139		1,195,142
Five Point Operating Co. LP/Five Point Capital Corp.
7.875%, 11/15/25 (a)		1,304		1,327,905
GLP Capital LP/GLP Financing II, Inc.
5.375%, 4/15/26		674		667,059
International Game Technology PLC
6.25%, 2/15/22 (a)		977		998,596
James Hardie International Finance DAC
4.75%, 1/15/25 (a)		285		278,097
5.00%, 1/15/28 (a)		273		258,565
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21		2,257		2,039,750
10.00%, 7/15/22 (a)		389		409,423
10.50%, 7/15/24 (a)		389		398,725
KB Home
7.00%, 12/15/21		536		566,820
7.50%, 9/15/22		494		532,521
Lennar Corp.
6.625%, 5/01/20		1,332		1,393,199
LHMC Finco SARL
6.25%, 12/20/23	EUR	288		332,960
MDC Holdings, Inc.
5.50%, 1/15/24	U.S.$	150		151,014
6.00%, 1/15/43		2,908		2,525,947
Pinnacle Entertainment, Inc.
5.625%, 5/01/24		829		861,969
PulteGroup, Inc.
5.00%, 1/15/27		115		109,352
6.00%, 2/15/35		500		486,511
7.875%, 6/15/32		1,400		1,603,010
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (a)		420		421,501
6.125%, 4/01/25 (a)		830		825,143


	Principal Amount (000)		U.S. $ Value
Standard Industries, Inc./NJ
6.00%, 10/15/25 (a)	U.S.$	977	$	980,664
Stars Group Holdings Bv/Star
7.00%, 7/15/26 (a)		1,015		1,025,298
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.
5.875%, 5/15/25 (a)		1,785		1,682,282
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.
5.875%, 4/15/23 (a)		875		870,625
Toll Brothers Finance Corp.
4.875%, 3/15/27		1,124		1,056,568
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 3/01/25 (a)		785		766,830

				26,759,325

Consumer Cyclical - Restaurants - 0.1%
Golden Nugget, Inc.
6.75%, 10/15/24 (a)		933		933,383
IRB Holding Corp.
6.75%, 2/15/26 (a)		453		434,811

				1,368,194

Consumer Cyclical - Retailers - 0.9%
Dufry Finance SCA
4.50%, 8/01/23 (a)	EUR	1,208		1,458,606
FirstCash, Inc.
5.375%, 6/01/24 (a)	U.S.$	1,312		1,313,887
JC Penney Corp., Inc.
6.375%, 10/15/36		421		237,623
7.40%, 4/01/37		600		351,064
L Brands, Inc.
5.25%, 2/01/28		796		706,071
6.875%, 11/01/35		230		202,686
6.95%, 3/01/33		500		446,115
7.60%, 7/15/37		1,000		915,195
Levi Strauss & Co.
5.00%, 5/01/25		1,150		1,146,238
Neiman Marcus Group Ltd. LLC
8.00%, 10/15/21(a)		2,115		1,399,275
8.75%, 10/15/21 (a)(f)		424		283,322
PetSmart, Inc.
7.125%, 3/15/23 (a)		1,140		764,251
Sonic Automotive, Inc.
5.00%, 5/15/23		534		512,341
6.125%, 3/15/27		817		773,370

				10,510,044

Consumer Non-Cyclical - 3.2%
Acadia Healthcare Co., Inc.
6.50%, 3/01/24		684		702,546


	Principal Amount (000)		U.S. $ Value
Air Medical Group Holdings, Inc.
6.375%, 5/15/23 (a)	U.S.$	820	$	763,351
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC
5.75%, 3/15/25		274		242,490
6.625%, 6/15/24 (b)		1,712		1,618,785
Aveta, Inc.
10.50%, 3/01/21 (a)(c)(e)(h)(i)		13,116		0
Catalent Pharma Solutions, Inc.
4.75%, 12/15/24 (a)	EUR	400		487,463
4.875%, 1/15/26 (a)	U.S.$	416		400,333
Charles River Laboratories International, Inc.
5.50%, 4/01/26 (a)		242		244,075
CHS/Community Health Systems, Inc.
6.875%, 2/01/22		1,635		836,044
8.125%, 6/30/24 (a)		182		150,252
DaVita, Inc.
5.00%, 5/01/25		1,314		1,236,277
Diamond BC BV
5.625%, 8/15/25 (a)(b)	EUR	362		379,656
Eagle Holding Co. II LLC
7.625%, 5/15/22 (a)(f)	U.S.$	179		180,932
Endo Dac/Endo Finance LLC/Endo Finco, Inc.
6.00%, 7/15/23 (a)		1,260		1,036,350
Endo Finance LLC
5.75%, 1/15/22 (a)		1,228		1,098,371
Endo Finance LLC/Endo Finco, Inc.
5.375%, 1/15/23 (a)		200		161,439
First Quality Finance Co., Inc.
4.625%, 5/15/21 (a)		3,247		3,169,777
Hadrian Merger Sub, Inc.
8.50%, 5/01/26 (a)		784		767,147
HCA, Inc.
4.25%, 10/15/19		1,475		1,487,734
4.50%, 2/15/27		135		127,645
5.00%, 3/15/24		400		400,116
5.25%, 6/15/26		235		233,894
5.875%, 2/15/26		180		181,551
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21 (a)		506		516,012
Lamb Weston Holdings, Inc.
4.625%, 11/01/24 (a)		439		427,342
LifePoint Health, Inc.
5.375%, 5/01/24		1,518		1,460,720
5.875%, 12/01/23 (b)		1,448		1,442,806
Mallinckrodt International Finance SA
4.75%, 4/15/23 (b)		810		683,105
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (a)		177		142,662
5.625%, 10/15/23 (a)		394		327,750
5.75%, 8/01/22 (a)		1,281		1,152,900


	Principal Amount (000)		U.S. $ Value
MEDNAX, Inc.
5.25%, 12/01/23 (a)	U.S.$	422	$	415,106
MPH Acquisition Holdings LLC
7.125%, 6/01/24 (a)		1,563		1,598,593
Post Holdings, Inc.
5.00%, 8/15/26 (a)		442		410,199
5.50%, 3/01/25 (a)		642		628,138
5.625%, 1/15/28 (a)		830		777,620
5.75%, 3/01/27 (a)		90		87,312
Spectrum Brands, Inc.
4.00%, 10/01/26 (a)	EUR	530		604,012
6.125%, 12/15/24	U.S.$	361		364,874
6.625%, 11/15/22		560		578,767
Sunshine Mid BV
6.50%, 5/15/26 (a)	EUR	823		910,813
Synlab Unsecured Bondco PLC
8.25%, 7/01/23 (a)		700		862,411
Tenet Healthcare Corp.
6.00%, 10/01/20	U.S.$	95		97,774
6.75%, 6/15/23 (b)		1,308		1,298,678
8.125%, 4/01/22		752		785,073
Valeant Pharmaceuticals International
6.75%, 8/15/21 (a)		34		34,383
7.25%, 7/15/22 (a)		635		650,367
Valeant Pharmaceuticals International, Inc.
5.50%, 3/01/23 (a)		230		214,242
5.625%, 12/01/21 (a)		26		25,594
5.875%, 5/15/23 (a)		1,146		1,072,942
7.50%, 7/15/21 (a)		1,146		1,164,422
Vizient, Inc.
10.375%, 3/01/24 (a)		774		854,270
Voyage Care BondCo PLC
5.875%, 5/01/23 (a)	GBP	891		1,172,933

				36,668,048

Energy - 7.0%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.
7.875%, 12/15/24	U.S.$	897		949,899
Antero Resources Corp.
5.125%, 12/01/22		789		790,296
Berry Petroleum Co. LLC
6.375%, 9/15/22 (c)(d)(e)(h)		2,383		0
7.00%, 2/15/26 (a)		580		593,054
Bristow Group, Inc.
8.75%, 3/01/23 (a)		968		942,787
California Resources Corp.
5.50%, 9/15/21		299		262,205
8.00%, 12/15/22 (a)		3,260		2,959,304
Carrizo Oil & Gas, Inc.
6.25%, 4/15/23		642		650,371
7.50%, 9/15/20		54		54,297
8.25%, 7/15/25		301		321,742


	Principal Amount (000)		U.S. $ Value
Cheniere Corpus Christi Holdings LLC
7.00%, 6/30/24	U.S.$	783	$	853,725
Cheniere Energy Partners LP
5.25%, 10/01/25 (a)		1,055		1,030,454
Cheniere Energy, Inc.
4.875%, 5/28/21 (a)(c)(f)(k)		1,064		1,125,175
Chesapeake Energy Corp.
4.875%, 4/15/22 (b)		1,528		1,466,912
5.75%, 3/15/23		610		581,663
6.125%, 2/15/21		335		341,004
8.00%, 1/15/25-6/15/27		636		648,654
Denbury Resources, Inc.
9.25%, 3/31/22 (a)		604		639,191
Diamond Offshore Drilling, Inc.
7.875%, 8/15/25		2,575		2,672,441
Energy Transfer Equity LP
4.25%, 3/15/23		2,203		2,129,393
7.50%, 10/15/20		309		329,455
Ensco PLC
4.50%, 10/01/24		290		239,182
5.20%, 3/15/25		1,066		885,634
7.75%, 2/01/26		435		412,378
EP Energy LLC/Everest Acquisition Finance, Inc.
7.75%, 9/01/22		1,634		1,286,373
8.00%, 2/15/25 (a)		1,372		1,062,427
9.375%, 5/01/20		159		156,773
9.375%, 5/01/24 (a)		1,076		884,444
Genesis Energy LP/Genesis Energy Finance Corp.
5.625%, 6/15/24		412		385,480
6.25%, 5/15/26		1,327		1,248,440
6.50%, 10/01/25		481		465,011
6.75%, 8/01/22		173		175,487
Gulfport Energy Corp.
6.00%, 10/15/24		515		495,814
6.375%, 5/15/25 (b)		1,054		1,025,419
6.375%, 1/15/26		1,718		1,663,184
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp.
5.625%, 2/15/26 (a)		1,587		1,582,707
HighPoint Operating Corp.
7.00%, 10/15/22		534		537,264
8.75%, 6/15/25		637		681,916
Hilcorp Energy I LP/Hilcorp Finance Co.
5.00%, 12/01/24 (a)		593		575,285
5.75%, 10/01/25 (a)		1,610		1,613,455
Indigo Natural Resources LLC
6.875%, 2/15/26 (a)		1,095		1,062,458
Laredo Petroleum, Inc.
6.25%, 3/15/23		787		789,298
Murphy Oil USA, Inc.
5.625%, 5/01/27		69		67,489
6.00%, 8/15/23		716		736,469


	Principal Amount (000)		U.S. $ Value
Nabors Industries, Inc.
4.625%, 9/15/21	U.S.$	996	$	976,485
5.50%, 1/15/23		1,784		1,722,836
5.75%, 2/01/25 (a)		470		446,062
Noble Holding International Ltd.
5.25%, 3/15/42		191		131,214
6.20%, 8/01/40		276		201,338
7.75%, 1/15/24		2,261		2,142,374
7.95%, 4/01/25		375		347,267
Parkland Fuel Corp.
6.00%, 4/01/26 (a)		1,147		1,134,530
PDC Energy, Inc.
5.75%, 5/15/26 (a)		1,447		1,438,662
6.125%, 9/15/24		490		499,800
Precision Drilling Corp.
7.125%, 1/15/26 (a)		787		809,201
QEP Resources, Inc.
5.25%, 5/01/23		1,809		1,781,624
5.625%, 3/01/26		31		29,708
Range Resources Corp.
4.875%, 5/15/25 (b)		948		891,233
5.00%, 8/15/22		396		392,923
5.00%, 3/15/23 (b)		995		969,938
5.875%, 7/01/22		97		98,698
Rowan Cos., Inc.
5.40%, 12/01/42		536		387,593
7.375%, 6/15/25		1,285		1,249,488
Sanchez Energy Corp.
6.125%, 1/15/23		3,203		2,179,046
7.25%, 2/15/23 (a)		790		781,933
SandRidge Energy, Inc.
7.50%, 2/15/23 (c)(d)(e)(h)		865		0
8.125%, 10/15/22 (c)(d)(e)(h)		2,076		0
Seitel, Inc.
9.50%, 4/15/19		597		591,542
SemGroup Corp.
6.375%, 3/15/25		594		565,305
7.25%, 3/15/26		540		529,168
SemGroup Corp./Rose Rock Finance Corp.
5.625%, 11/15/23		438		412,924
SM Energy Co.
5.00%, 1/15/24		1,341		1,268,086
5.625%, 6/01/25 (b)		1,150		1,104,315
6.50%, 1/01/23		1,000		1,014,170
Southern Star Central Corp.
5.125%, 7/15/22 (a)		1,200		1,205,023
SRC Energy, Inc.
6.25%, 12/01/25 (a)		800		805,998
Sunoco LP/Sunoco Finance Corp.
5.50%, 2/15/26 (a)		1,355		1,283,474
5.875%, 3/15/28 (a)		1,026		969,672
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.125%, 2/01/25		215		213,667
5.875%, 4/15/26 (a)		1,050		1,055,887


	Principal Amount (000)		U.S. $ Value
Transocean Phoenix 2 Ltd.
7.75%, 10/15/24 (a)	U.S.$	1,034	$	1,106,184
Transocean, Inc.
6.80%, 3/15/38		2,543		2,111,923
7.50%, 1/15/26 (a)		791		804,959
9.00%, 7/15/23 (a)		712		767,275
Vantage Drilling International
7.125%, 4/01/23 (c)(d)(e)(h)		1,283		0
7.50%, 11/01/19 (c)(d)(e)(h)		2,176		0
10.00%, 12/31/20 (c)(i)		87		85,260
10.00%, 12/31/20 (c)(d)		105		102,900
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp.
8.75%, 4/15/23 (a)		1,741		1,604,640
Weatherford International LLC
9.875%, 3/01/25 (a)		614		616,444
Weatherford International Ltd.
5.875%, 7/01/21 (k)		154		152,636
6.50%, 8/01/36		752		590,320
6.75%, 9/15/40		849		672,217
7.00%, 3/15/38		409		325,207
7.75%, 6/15/21		297		305,382
9.875%, 2/15/24		806		815,186
Whiting Petroleum Corp.
1.25%, 4/01/20 (k)		542		517,302
5.75%, 3/15/21		211		215,453
6.25%, 4/01/23		483		499,007
6.625%, 1/15/26 (a)		771		794,073
WPX Energy, Inc.
5.75%, 6/01/26		528		527,103
8.25%, 8/01/23		187		212,345

				79,831,409

Other Industrial - 0.6%
Algeco Global Finance PLC
8.00%, 2/15/23 (a)		956		971,216
American Tire Distributors, Inc.
10.25%, 3/01/22 (a)		2,231		455,427
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22		2,976		2,904,883
H&E Equipment Services, Inc.
5.625%, 9/01/25		437		429,428
KAR Auction Services, Inc.
5.125%, 6/01/25 (a)		458		437,457
Laureate Education, Inc.
8.25%, 5/01/25 (a)(b)		1,388		1,485,721

				6,684,132

Services - 1.7%
APTIM Corp.
7.75%, 6/15/25 (a)		1,311		1,061,262
APX Group, Inc.
7.875%, 12/01/22		1,746		1,730,536
8.75%, 12/01/20		2,765		2,648,867


	Principal Amount (000)		U.S. $ Value
Aramark Services, Inc.
5.00%, 2/01/28 (a)	U.S.$	686	$	654,886
5.125%, 1/15/24		274		274,340
Carlson Travel, Inc.
6.75%, 12/15/23 (a)		1,128		1,108,066
Carriage Services, Inc.
6.625%, 6/01/26 (a)		698		707,316
eDreams ODIGEO SA
8.50%, 8/01/21 (a)	EUR	1,560		1,889,066
Gartner, Inc.
5.125%, 4/01/25 (a)	U.S.$	482		479,439
GEO Group, Inc. (The)
5.125%, 4/01/23		162		158,759
5.875%, 1/15/22-10/15/24		670		676,111
6.00%, 4/15/26		677		656,677
Monitronics International, Inc.
9.125%, 4/01/20 (b)		958		616,532
Nielsen Finance LLC/Nielsen Finance Co.
5.00%, 4/15/22 (a)		599		589,400
Prime Security Services Borrower LLC/Prime Finance, Inc.
9.25%, 5/15/23 (a)		2,327		2,478,011
Ritchie Bros Auctioneers, Inc.
5.375%, 1/15/25 (a)		366		355,051
Sabre GLBL, Inc.
5.25%, 11/15/23 (a)		607		612,570
5.375%, 4/15/23 (a)		720		727,230
Service Corp. International/US
7.50%, 4/01/27		1,077		1,213,285
Team Health Holdings, Inc.
6.375%, 2/01/25 (a)(b)		861		739,265

				19,376,669

Technology - 1.5%
Amkor Technology, Inc.
6.375%, 10/01/22		2,681		2,736,534
Ascend Learning LLC
6.875%, 8/01/25 (a)		302		305,613
Conduent Finance, Inc./Conduent Business Services LLC
10.50%, 12/15/24 (a)		1,610		1,926,238
CURO Financial Technologies Corp.
12.00%, 3/01/22 (a)		819		888,138
Dell International LLC/EMC Corp.
7.125%, 6/15/24 (a)		251		266,122
Dell, Inc.
6.50%, 4/15/38		1,671		1,582,031
Goodman Networks, Inc.
8.00%, 5/11/22 (c)		664		451,992
Infor Software Parent LLC/Infor Software Parent, Inc.
7.125%, 5/01/21 (a)(f)		160		160,506


	Principal Amount (000)		U.S. $ Value
Infor US, Inc.
6.50%, 5/15/22	U.S.$	1,286	$	1,290,273
IQVIA, Inc.
3.25%, 3/15/25 (a)	EUR	782		887,639
Micron Technology, Inc.
5.50%, 2/01/25	U.S.$	686		714,262
Nokia Oyj
6.625%, 5/15/39		527		549,487
Solera LLC/Solera Finance, Inc.
10.50%, 3/01/24 (a)		2,005		2,226,799
Veritas US, Inc./Veritas Bermuda Ltd.
7.50%, 2/01/23 (a)		861		807,321
10.50%, 2/01/24 (a)		1,798		1,473,501
Western Digital Corp.
4.75%, 2/15/26		1,087		1,055,983

				17,322,439

Transportation - Airlines - 0.1%
UAL Pass-Through Trust
Series 2007-1A
6.636%, 7/02/22		1,017		1,063,102

Transportation - Services - 0.8%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.50%, 4/01/23		524		509,799
Europcar Groupe SA
5.75%, 6/15/22 (a)	EUR	670		801,987
Herc Rentals, Inc.
7.75%, 6/01/24 (a)	U.S.$	1,521		1,630,666
Hertz Corp. (The)
5.50%, 10/15/24 (a)(b)		2,807		2,207,588
Hertz Holdings Netherlands BV
5.50%, 3/30/23	EUR	1,117		1,262,963
Loxam SAS
3.50%, 4/15/22 (a)		186		223,586
4.25%, 4/15/24 (a)		138		167,731
United Rentals North America, Inc.
5.50%, 5/15/27	U.S.$	477		462,821
5.75%, 11/15/24		1,005		1,021,986
XPO CNW, Inc.
6.70%, 5/01/34		684		689,302
XPO Logistics, Inc.
6.125%, 9/01/23 (a)		522		535,735

				9,514,164

				368,714,098

Financial Institutions - 7.3%
Banking - 4.6%
Allied Irish Banks PLC
Series E
7.375%, 12/03/20 (a)(n)	EUR	871		1,111,348
Ally Financial, Inc.
8.00%, 11/01/31	U.S.$	2,251		2,677,538


	Principal Amount (000)		U.S. $ Value
Banco Bilbao Vizcaya Argentaria SA
5.875%, 5/24/22 (a)(b)(n)	EUR	1,200	$	1,434,761
6.125%, 11/16/27 (b)(n)	U.S.$	800		709,273
6.75%, 2/18/20 (a)(n)	EUR	800		972,347
8.875%, 4/14/21 (a)(n)		1,000		1,308,151
Banco Santander SA
6.25%, 3/12/19-9/11/21 (a)(n)		1,200		1,459,179
6.75%, 4/25/22 (a)(n)		900		1,129,846
Bank of Ireland
7.375%, 6/18/20 (a)(n)		1,455		1,822,356
Barclays Bank PLC
6.86%, 6/15/32 (a)(n)	U.S.$	166		186,031
Barclays PLC
7.25%, 3/15/23 (a)(n)	GBP	219		296,783
8.00%, 12/15/20 (n)	EUR	1,732		2,240,184
CIT Group, Inc.
6.125%, 3/09/28	U.S.$	588		607,459
Citigroup, Inc.
5.95%, 1/30/23 (n)		2,689		2,733,035
Citizens Financial Group, Inc.
Series B
6.00%, 7/06/23 (n)		970		977,837
Credit Agricole SA
7.589%, 1/30/20 (a)(n)	GBP	1,000		1,418,022
8.125%, 12/23/25 (a)(n)	U.S.$	1,909		2,019,433
Credit Suisse Group AG
6.25%, 12/18/24 (a)(n)		1,404		1,374,352
7.50%, 12/11/23 (a)(n)		3,043		3,138,094
Goldman Sachs Group, Inc. (The)
Series P
5.00%, 11/10/22 (n)		1,599		1,504,298
ING Groep NV
6.50%, 4/16/25 (n)		520		504,400
Intesa Sanpaolo SpA
3.928%, 9/15/26 (a)	EUR	227		268,693
5.017%, 6/26/24	U.S.$	331		299,954
5.71%, 1/15/26 (a)		1,232		1,125,825
7.75%, 1/11/27 (a)(n)	EUR	1,366		1,722,832
Lloyds Banking Group PLC
6.413%, 10/01/35 (a)(n)	U.S.$	235		247,298
6.657%, 5/21/37 (a)(n)		98		104,746
7.50%, 6/27/24 (n)		313		317,687
7.625%, 6/27/23 (a)(n)	GBP	1,760		2,540,017
Macquarie Bank Ltd./London
6.125%, 3/08/27 (a)(n)	U.S.$	200		180,840
Royal Bank of Scotland Group PLC
2.001% (EURIBOR 3 Month + 2.33%), 9/30/18 (a)(l)(n)	EUR	150		171,691
8.625%, 8/15/21 (n)	U.S.$	3,518		3,739,947
Series U
4.622% (LIBOR 3 Month + 2.32%), 9/30/27 (b)(l)(n)		1,100		1,053,847


	Principal Amount (000)		U.S. $ Value
SNS Bank NV
Series E
11.25%, 12/31/49 (c)(d)(h)(m)(n)	EUR	620	$	7,870
Societe Generale SA
7.375%, 9/13/21 (a)(n)	U.S.$	1,485		1,514,700
7.875%, 12/18/23 (a)(n)		778		795,505
8.00%, 9/29/25 (a)(n)		1,124		1,168,960
Standard Chartered PLC
7.50%, 4/02/22 (a)(n)		1,269		1,300,318
7.75%, 4/02/23 (a)(n)		440		451,549
SunTrust Banks, Inc.
Series G
5.05%, 6/15/22 (n)		853		836,884
Series H
5.125%, 12/15/27 (n)		641		609,938
UBS Group Funding Switzerland AG
6.875%, 3/22/21 (a)(n)		200		205,239
7.00%, 2/19/25 (a)(n)		2,492		2,529,245
UniCredit SpA
9.25%, 6/03/22 (a)(n)	EUR	1,554		2,026,524

				52,844,836

Brokerage - 0.1%
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (c)(g)(h)	U.S.$	1,690		54,570
LPL Holdings, Inc.
5.75%, 9/15/25 (a)		1,517		1,475,283

				1,529,853

Finance - 1.1%
Compass Group Diversified Holdings LLC
8.00%, 5/01/26 (a)		1,235		1,206,244
Enova International, Inc.
8.50%, 9/01/24 (a)		770		801,017
9.75%, 6/01/21		960		1,009,129
goeasy Ltd.
7.875%, 11/01/22 (a)		466		496,042
ILFC E-Capital Trust II
4.89% (H15T 30 Year + 1.80%), 12/21/65 (a)(l)		2,000		1,860,918
Lincoln Finance Ltd.
6.875%, 4/15/21 (a)	EUR	1,139		1,375,235
Navient Corp.
5.50%, 1/25/23	U.S.$	1,941		1,906,140
5.875%, 3/25/21		324		329,133
6.50%, 6/15/22		406		415,135
6.625%, 7/26/21		231		238,909
7.25%, 1/25/22-9/25/23		899		941,961
8.00%, 3/25/20		233		245,928
SLM Corp.
5.125%, 4/05/22		605		601,137


	Principal Amount (000)		U.S. $ Value
TMX Finance LLC/TitleMax Finance Corp.
11.125%, 4/01/23 (a)	U.S.$	890	$	901,911

				12,328,839

Insurance - 0.7%
Ambac Assurance Corp.
5.10%, 6/07/20 (a)(c)		15		19,615
ASR Nederland NV
4.625%, 10/19/27 (a)(n)	EUR	840		934,834
Galaxy Bidco Ltd.
6.375%, 11/15/20 (a)	GBP	133		175,456
Genworth Holdings, Inc.
4.345% (LIBOR 3 Month + 2.00%), 11/15/36 (l)	U.S.$	240		145,825
7.625%, 9/24/21		1,616		1,656,541
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (a)		2,559		3,031,652
Polaris Intermediate Corp.
8.50%, 12/01/22 (a)(f)		2,108		2,174,320

				8,138,243

Other Finance - 0.6%
Creditcorp
12.00%, 7/15/18 (i)		1,300		1,286,874
Intrum AB
2.75%, 7/15/22 (a)	EUR	977		1,082,809
3.125%, 7/15/24 (a)(b)		489		534,448
LHC3 PLC
4.125%, 8/15/24 (a)(f)		239		278,841
NVA Holdings, Inc./United States
6.875%, 4/01/26 (a)	U.S.$	599		594,900
Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc.
6.375%, 12/15/22 (a)		199		202,541
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.
6.75%, 6/01/25 (a)		1,680		1,614,060
Travelport Corporate Finance PLC
6.00%, 3/15/26 (a)		595		599,248

				6,193,721

REITS - 0.2%
Iron Mountain, Inc.
5.25%, 3/15/28 (a)		1,640		1,520,359
MPT Operating Partnership LP/MPT Finance Corp.
5.00%, 10/15/27		218		208,084
5.25%, 8/01/26		155		151,729
5.50%, 5/01/24		264		267,066

				2,147,238

				83,182,730


	Principal Amount (000)		U.S. $ Value
Utility - 1.5%
Electric - 1.3%
AES Corp./VA
4.875%, 5/15/23	U.S.$	1,013	$	1,012,366
Calpine Corp.
5.375%, 1/15/23		1,807		1,718,455
5.50%, 2/01/24		1,316		1,210,771
5.75%, 1/15/25		168		153,823
ContourGlobal Power Holdings SA
5.125%, 6/15/21 (a)	EUR	1,501		1,783,227
DPL, Inc.
6.75%, 10/01/19	U.S.$	171		176,840
NRG Energy, Inc.
5.75%, 1/15/28 (a)		740		729,984
7.25%, 5/15/26		1,791		1,907,023
NRG Yield Operating LLC
5.375%, 8/15/24		843		843,175
Talen Energy Supply LLC
4.60%, 12/15/21		2,327		2,016,057
6.50%, 6/01/25		794		601,337
10.50%, 1/15/26 (a)		1,489		1,328,170
Texas Competitive/TCEH
11.50%, 10/01/20 (c)(e)(h)(i)(m)		626		0
Vistra Energy Corp.
7.375%, 11/01/22		802		838,049
7.625%, 11/01/24		981		1,049,029

				15,368,306

Natural Gas - 0.2%
NGL Energy Partners LP/NGL Energy Finance Corp.
7.50%, 11/01/23		1,947		1,979,729

				17,348,035

Total Corporates - Non-Investment Grade (cost $479,279,750)				469,244,863

GOVERNMENTS - TREASURIES - 12.8%
Colombia - 0.2%
Colombian TES
Series B
10.00%, 7/24/24	COP	5,438,000		2,203,716

Indonesia - 1.1%
Indonesia Treasury Bond
Series FR53
8.25%, 7/15/21	IDR	15,727,000		1,118,066
Series FR56
8.375%, 9/15/26		58,563,000		4,153,150
Series FR59
7.00%, 5/15/27		70,459,000		4,597,290
Series FR73
8.75%, 5/15/31		37,753,000		2,743,218

				12,611,724


	Principal Amount (000)		U.S. $ Value
Malaysia - 0.9%
Malaysia Government Bond
Series 03-4
5.734%, 7/30/19	MYR	9,297	$	2,355,357
Series 511
3.58%, 9/28/18		31,028		7,685,512

				10,040,869

Mexico - 0.4%
Mexican Bonos
Series M
20 7.50%, 6/03/27	MXN	95,733		4,795,323

Russia - 0.7%
Russian Federal Bond - OFZ
Series 6209
7.60%, 7/20/22	RUB	37,074		597,027
Series 6212
7.05%, 1/19/28		185,020		2,850,076
Series 6217
7.50%, 8/18/21		274,943		4,418,483

				7,865,586

United States - 9.4%
U.S. Treasury Bonds
2.75%, 11/15/42 (o)	U.S.$	2,600		2,498,437
4.50%, 2/15/36 (p)		2,400		2,934,000
5.00%, 5/15/37 (o)(p)		3,500		4,568,047
5.25%, 2/15/29 (p)		5,350		6,513,625
6.125%, 11/15/27 (p)		1,900		2,409,438
6.25%, 5/15/30 (p)		7,800		10,437,375
8.125%, 5/15/21 (p)		5,250		6,044,062
U.S. Treasury Notes
0.875%, 4/15/19 (b)(p)		42,074		41,607,239
2.25%, 2/15/27 (b)(p)		31,373		29,941,607

				106,953,830

Uruguay - 0.1%
Uruguay Government International Bond
8.50%, 3/15/28 (a)	UYU	23,821		646,793
9.875%, 6/20/22 (a)		18,660		587,726

				1,234,519

Total Governments - Treasuries (cost $147,544,729)				145,705,567

COLLATERALIZED MORTGAGE OBLIGATIONS - 11.4%
Risk Share Floating Rate - 9.3%
Bellemeade Re Ltd.
Series 2015-1A, Class M2
6.268% (LIBOR 1 Month + 4.30%), 7/25/25 (i)(l)	U.S.$	510		516,680
Bellemeade Re II Ltd.
Series 2016-1A, Class B1
13.968% (LIBOR 1 Month + 12.00%), 4/25/26 (i)(l)		283		295,520
Series 2016-1A, Class M2B
8.468% (LIBOR 1 Month + 6.50%), 4/25/26 (i)(l)		1,137		1,151,553


	Principal Amount (000)		U.S. $ Value
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
9.11% (LIBOR 1 Month + 7.15%), 7/25/23 (l)	U.S.$	2,350	$	2,838,128
Series 2013-DN2, Class M2
6.21% (LIBOR 1 Month + 4.25%), 11/25/23 (l)		1,848		2,054,386
Series 2014-DN1, Class M3
6.46% (LIBOR 1 Month + 4.50%), 2/25/24 (l)		1,939		2,235,548
Series 2014-DN2, Class M3
5.56% (LIBOR 1 Month + 3.60%), 4/25/24 (l)		514		569,621
Series 2014-DN3, Class M3
5.96% (LIBOR 1 Month + 4.00%), 8/25/24 (l)		690		753,442
Series 2014-DN4, Class M3
6.51% (LIBOR 1 Month + 4.55%), 10/25/24 (l)		403		446,567
Series 2014-HQ1, Class M3
6.06% (LIBOR 1 Month + 4.10%), 8/25/24 (l)		1,686		1,858,694
Series 2014-HQ2, Class M3
5.71% (LIBOR 1 Month + 3.75%), 9/25/24 (l)		3,710		4,234,189
Series 2014-HQ3, Class M3
6.71% (LIBOR 1 Month + 4.75%), 10/25/24 (l)		4,636		5,153,326
Series 2015-DN1, Class B
13.46% (LIBOR 1 Month + 11.50%), 1/25/25 (l)		2,222		3,210,967
Series 2015-DN1, Class M3
6.11% (LIBOR 1 Month + 4.15%), 1/25/25 (l)		1,488		1,597,124
Series 2015-DNA1, Class B
11.16% (LIBOR 1 Month + 9.20%), 10/25/27 (l)		598		793,105
Series 2015-DNA1, Class M3
5.26% (LIBOR 1 Month + 3.30%), 10/25/27 (l)		480		536,144
Series 2015-DNA2, Class B
9.51% (LIBOR 1 Month + 7.55%), 12/25/27 (l)		1,460		1,769,680
Series 2015-DNA3, Class B
11.31% (LIBOR 1 Month + 9.35%), 4/25/28 (l)		1,029		1,342,851
Series 2015-HQ1, Class B
12.71% (LIBOR 1 Month + 10.75%), 3/25/25 (l)		3,890		5,288,174


	Principal Amount (000)		U.S. $ Value
Series 2015-HQ1, Class M3
5.76% (LIBOR 1 Month + 3.80%), 3/25/25 (l)	U.S.$	530	$	567,827
Series 2015-HQA1, Class B
10.76% (LIBOR 1 Month + 8.80%), 3/25/28 (l)		1,011		1,224,671
Series 2015-HQA1, Class M3
6.66% (LIBOR 1 Month + 4.70%), 3/25/28 (l)		1,455		1,668,925
Series 2016-DNA2, Class B
12.46% (LIBOR 1 Month + 10.50%), 10/25/28 (l)		862		1,161,662
Series 2016-DNA2, Class M3
6.61% (LIBOR 1 Month + 4.65%), 10/25/28 (l)		811		936,032
Series 2016-DNA3, Class B
13.21% (LIBOR 1 Month + 11.25%), 12/25/28 (l)		2,779		3,883,558
Series 2016-DNA3, Class M3
6.96% (LIBOR 1 Month + 5.00%), 12/25/28 (l)		1,113		1,304,868
Series 2016-DNA4, Class B
10.56% (LIBOR 1 Month + 8.60%), 3/25/29 (l)		396		479,412
Series 2016-HQA2, Class B
13.46% (LIBOR 1 Month + 11.50%), 11/25/28 (l)		423		574,155
Series 2017-DNA2, Class B1
7.11% (LIBOR 1 Month + 5.15%), 10/25/29 (l)		415		474,335
Series 2017-DNA2, Class M2
5.41% (LIBOR 1 Month + 3.45%), 10/25/29 (l)		599		652,936
Series 2017-DNA3, Class B1
6.41% (LIBOR 1 Month + 4.45%), 3/25/30 (l)		615		663,868
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M2
7.21% (LIBOR 1 Month + 5.25%), 10/25/23 (l)		1,451		1,672,505
Series 2014-C01, Class M2
6.36% (LIBOR 1 Month + 4.40%), 1/25/24 (l)		3,991		4,545,089
Series 2014-C03, Class 1M2
4.96% (LIBOR 1 Month + 3.00%), 7/25/24 (l)		1,066		1,142,391
Series 2014-C04, Class 1M2
6.86% (LIBOR 1 Month + 4.90%), 11/25/24 (l)		2,783		3,183,477
Series 2015-C01, Class 1M2
6.26% (LIBOR 1 Month + 4.30%), 2/25/25 (l)		2,734		3,014,294


	Principal Amount (000)		U.S. $ Value
Series 2015-C01, Class 2M2
6.51% (LIBOR 1 Month + 4.55%), 2/25/25 (l)	U.S.$	1,278	$	1,383,341
Series 2015-C02, Class 1M2
5.96% (LIBOR 1 Month + 4.00%), 5/25/25 (l)		808		884,397
Series 2015-C02, Class 2M2
5.96% (LIBOR 1 Month + 4.00%), 5/25/25 (l)		2,285		2,467,852
Series 2015-C03, Class 1M2
6.96% (LIBOR 1 Month + 5.00%), 7/25/25 (l)		2,498		2,835,966
Series 2015-C03, Class 2M2
6.96% (LIBOR 1 Month + 5.00%), 7/25/25 (l)		2,153		2,386,454
Series 2015-C04, Class 1M2
7.66% (LIBOR 1 Month + 5.70%), 4/25/28 (l)		2,885		3,358,253
Series 2015-C04, Class 2M2
7.51% (LIBOR 1 Month + 5.55%), 4/25/28 (l)		1,076		1,216,804
Series 2016-C01, Class 1B
13.71% (LIBOR 1 Month + 11.75%), 8/25/28 (l)		684		984,113
Series 2016-C01, Class 1M2
8.71% (LIBOR 1 Month + 6.75%), 8/25/28 (l)		2,077		2,516,179
Series 2016-C01, Class 2M2
8.91% (LIBOR 1 Month + 6.95%), 8/25/28 (l)		761		909,974
Series 2016-C02, Class 1B
14.21% (LIBOR 1 Month + 12.25%), 9/25/28 (l)		449		666,999
Series 2016-C02, Class 1M2
7.96% (LIBOR 1 Month + 6.00%), 9/25/28 (l)		2,375		2,809,174
Series 2016-C03, Class 1B
13.71% (LIBOR 1 Month + 11.75%), 10/25/28 (l)		374		533,910
Series 2016-C03, Class 2B
14.71% (LIBOR 1 Month + 12.75%), 10/25/28 (l)		632		917,069
Series 2016-C03, Class 2M2
7.86% (LIBOR 1 Month + 5.90%), 10/25/28 (l)		3,707		4,328,967
Series 2016-C04, Class 1B
12.21% (LIBOR 1 Month + 10.25%), 1/25/29 (l)		1,493		1,978,545
Series 2016-C05, Class 2B
12.841% (LIBOR 1 Month + 10.75%), 1/25/29 (l)		1,822		2,403,584
Series 2016-C05, Class 2M2
6.41% (LIBOR 1 Month + 4.45%), 1/25/29 (l)		1,486		1,655,150


	Principal Amount (000)		U.S. $ Value
Series 2016-C06, Class 1B
11.21% (LIBOR 1 Month + 9.25%), 4/25/29 (l)	U.S.$	1,288	$	1,610,969
Series 2016-C07, Class 2B
11.46% (LIBOR 1 Month + 9.50%), 5/25/29 (l)		1,561		1,916,700
Series 2016-C07, Class 2M2
6.31% (LIBOR 1 Month + 4.35%), 5/25/29 (l)		918		1,021,218
Series 2017-C01, Class 1B1
7.71% (LIBOR 1 Month + 5.75%), 7/25/29 (l)		148		176,583
Series 2017-C02, Class 2M2
5.61% (LIBOR 1 Month + 3.65%), 9/25/29 (l)		1,152		1,255,914
JP Morgan Madison Avenue Securities Trust
Series 2015-CH1, Class M2
7.46% (LIBOR 1 Month + 5.50%), 10/25/25 (a)(l)		1,431		1,594,181
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M2
7.46% (LIBOR 1 Month + 5.50%), 11/25/25 (i)(l)		614		716,722

				106,324,722

Non-Agency Fixed Rate - 1.1%
Alternative Loan Trust
Series 2006-24CB, Class A15
5.75%, 6/25/36		874		742,837
Series 2006-42, Class 1A6
6.00%, 1/25/47		717		599,065
Series 2006-HY12, Class A5
3.446%, 8/25/36		1,461		1,495,963
Series 2006-J1, Class 1A10
5.50%, 2/25/36		1,258		1,141,829
Series 2006-J5, Class 1A1
6.50%, 9/25/36		931		753,585
Series 2007-13, Class A2
6.00%, 6/25/47		1,180		1,004,576
Bear Stearns ARM Trust
Series 2007-3, Class 1A1
3.944%, 5/25/47		234		210,172
Series 2007-4, Class 22A1
3.64%, 6/25/47		852		780,608
BNPP Mortgage Securities LLC Trust
Series 2009-1, Class B1
6.00%, 8/27/37 (a)		809		649,467
ChaseFlex Trust
Series 2007-1, Class 1A3
6.50%, 2/25/37		574		380,417
Citigroup Mortgage Loan Trust
Series 2007-AR4, Class 1A1A
3.81%, 3/25/37		176		171,125
Series 2010-3, Class 2A2
6.00%, 8/25/37 (a)		379		308,294


	Principal Amount (000)		U.S. $ Value
CitiMortgage Alternative Loan Trust
Series 2007-A3, Class 1A4
5.75%, 3/25/37	U.S.$	1,000	$	963,979
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-HY4, Class 1A1
3.473%, 9/25/47		273		255,255
Credit Suisse Mortgage Trust
Series 2009-8R, Class 6A2
6.00%, 1/26/38 (a)		117		93,587
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36		361		294,902
Residential Accredit Loans, Inc. Trust
Series 2005-QS14, Class 3A1
6.00%, 9/25/35		513		490,148
Residential Asset Securitization Trust
Series 2006-A8, Class 3A4
6.00%, 8/25/36		205		174,073
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-9, Class A4
4.769%, 10/25/36		1,585		775,115
Wells Fargo Mortgage Backed Securities Trust
Series 2007-AR7, Class A1
3.72%, 12/28/37		1,239		1,203,981

				12,488,978

Non-Agency Floating Rate - 1.0%
Alternative Loan Trust
Series 2007-7T2, Class A3
2.56% (LIBOR 1 Month + 0.60%), 4/25/37 (l)		2,739		1,255,587
Citigroup Mortgage Loan Trust
Series 2005-8, Class 2A2
2.84% (4.80% - LIBOR 1 Month), 9/25/35 (l)(q)		458		17,822
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-13, Class A7
2.56% (LIBOR 1 Month + 0.60%), 8/25/37 (l)		613		444,388
First Horizon Alternative Mortgage Securities Trust
Series 2007-FA2, Class 1A6
3.59% (5.55% - LIBOR 1 Month), 4/25/37 (l)(q)		120		15,138
Series 2007-FA2, Class 1A10
2.21% (LIBOR 1 Month + 0.25%), 4/25/37 (l)		356		193,856
Lehman XS Trust
Series 2007-10H, Class 2AIO
5.093% (7.00% - LIBOR 1 Month), 7/25/37 (l)(q)		369		52,349


	Principal Amount (000)		U.S. $ Value
Residential Accredit Loans, Inc. Trust
Series 2006-QS18, Class 2A2
4.59% (6.55% - LIBOR 1 Month), 12/25/36 (l)(q)	U.S.$	4,330	$	714,375
Structured Asset Mortgage Investments II Trust
Series 2007-AR6, Class A1
3.058% (12MTA + 1.50%), 8/25/47 (l)		1,513		1,417,574
Wachovia Mortgage Loan Trust
Series 2006-ALT1, Class A2
2.14% (LIBOR 1 Month + 0.18%), 1/25/37 (l)		10,181		7,038,978

				11,150,067

Total Collateralized Mortgage Obligations (cost $115,074,804)				129,963,767

EMERGING MARKETS - SOVEREIGNS - 6.6%
Angola - 0.2%
Angolan Government International Bond
9.50%, 11/12/25 (a)		1,782		1,940,153
Republic of Angola Via Northern Lights III BV
7.00%, 8/17/19 (a)		427		429,323

				2,369,476

Argentina - 1.0%
Argentine Republic Government International Bond
6.875%, 4/22/21-1/26/27		8,638		7,819,910
7.50%, 4/22/26		150		138,525
7.82%, 12/31/33	EUR	2,586		3,008,344

				10,966,779

Bahrain - 0.1%
Bahrain Government International Bond
6.75%, 9/20/29 (a)	U.S.$	528		462,000
7.00%, 10/12/28 (a)		1,253		1,121,435

				1,583,435

Belarus - 0.0%
Republic of Belarus International Bond
6.875%, 2/28/23 (a)		245		252,963

Cameroon - 0.1%
Republic of Cameroon International Bond
9.50%, 11/19/25 (a)		1,222		1,281,572

Costa Rica - 0.1%
Costa Rica Government International Bond
4.37%, 5/22/19 (a)		858		855,597


	Principal Amount (000)		U.S. $ Value
Dominican Republic - 0.8%
Dominican Republic International Bond
5.95%, 1/25/27 (a)	U.S.$	1,553	$	1,552,262
7.45%, 4/30/44 (a)		1,283		1,353,565
8.625%, 4/20/27 (a)		5,719		6,428,414

				9,334,241

Ecuador - 0.1%
Ecuador Government International Bond
7.95%, 6/20/24 (a)		667		590,295
10.50%, 3/24/20 (a)		1,069		1,091,858

				1,682,153

Egypt - 0.3%
Egypt Government International Bond
6.125%, 1/31/22 (a)		3,009		2,952,581

El Salvador - 0.1%
El Salvador Government International Bond
5.875%, 1/30/25 (a)		592		552,780
7.625%, 9/21/34 (a)		762		764,252
7.75%, 1/24/23 (a)		339		355,950

				1,672,982

Gabon - 0.2%
Gabon Government International Bond
6.375%, 12/12/24 (a)		2,052		1,852,304
6.95%, 6/16/25 (a)		1,050		945,000

				2,797,304

Ghana - 0.2%
Ghana Government International Bond
7.625%, 5/16/29 (a)		1,840		1,794,000

Honduras - 0.1%
Honduras Government International Bond
6.25%, 1/19/27 (a)		1,018		1,020,611

Iraq - 0.1%
Iraq International Bond
5.80%, 1/15/28 (a)		264		235,620
6.752%, 3/09/23 (a)		402		383,408

				619,028

Ivory Coast - 0.5%
Ivory Coast Government International Bond
5.125%, 6/15/25 (a)	EUR	168		196,946
5.75%, 12/31/32 (a)	U.S.$	1,778		1,642,007
6.125%, 6/15/33 (a)		1,322		1,161,774
6.375%, 3/03/28 (a)		2,678		2,520,667
6.625%, 3/22/48 (a)	EUR	331		363,349

				5,884,743


	Principal Amount (000)		U.S. $ Value
Jamaica - 0.2%
Jamaica Government International Bond
7.625%, 7/09/25	U.S.$	506	$	572,412
7.875%, 7/28/45		1,240		1,387,250

				1,959,662

Jordan - 0.1%
Jordan Government International Bond
5.75%, 1/31/27 (a)		634		588,035

Kenya - 0.1%
Kenya Government International Bond
5.875%, 6/24/19 (a)		702		703,755
7.25%, 2/28/28 (a)		649		621,417

				1,325,172

Lebanon - 0.1%
Lebanon Government International Bond
Series E
5.15%, 11/12/18 (a)		780		776,100

Mongolia - 0.2%
Mongolia Government International Bond
5.125%, 12/05/22 (a)		2,426		2,268,310

Nigeria - 0.1%
Nigeria Government International Bond
6.375%, 7/12/23 (a)		740		731,675
6.50%, 11/28/27 (a)		388		359,870
7.875%, 2/16/32 (a)		489		478,609

				1,570,154

Senegal - 0.1%
Senegal Government International Bond
6.25%, 5/23/33 (a)(b)		593		526,287
8.75%, 5/13/21 (a)		310		333,638

				859,925

Sri Lanka - 0.1%
Sri Lanka Government International Bond
6.00%, 1/14/19 (a)		799		800,997
6.125%, 6/03/25 (a)		350		327,250
6.20%, 5/11/27 (a)		685		625,063

				1,753,310

Turkey - 0.8%
Turkey Government International Bond
4.875%, 10/09/26-4/16/43		4,986		4,019,320
5.625%, 3/30/21		2,600		2,587,000
6.00%, 3/25/27		2,182		2,045,625

				8,651,945


	Principal Amount (000)		U.S. $ Value
Ukraine - 0.5%
Ukraine Government International Bond
7.75%, 9/01/22-9/01/24 (a)	U.S.$	5,627	$	5,400,296

Venezuela - 0.2%
Venezuela Government International Bond
9.25%, 9/15/27 (h)(m)		7,978		2,253,785
9.25%, 5/07/28 (a)(h)(m)		300		81,000

				2,334,785

Zambia - 0.2%
Zambia Government International Bond
8.50%, 4/14/24 (a)		1,846		1,633,710
8.97%, 7/30/27 (a)		864		762,480

				2,396,190

Total Emerging Markets - Sovereigns (cost $80,698,379)				74,951,349

CORPORATES - INVESTMENT GRADE - 6.4%
Financial Institutions - 3.8%
Banking - 1.7%
ABN AMRO Bank NV
Series E
6.25%, 4/27/22 (a)		292		313,713
Bank of America Corp.
Series DD
6.30%, 3/10/26 (n)		3,043		3,217,772
Series FF
5.875%, 3/15/28 (n)		14		13,705
Series Z
6.50%, 10/23/24 (n)		57		60,500
BNP Paribas SA
6.75%, 3/14/22 (a)(n)		418		415,461
7.625%, 3/30/21 (a)(n)		406		423,926
BPCE SA
5.70%, 10/22/23 (a)		208		217,797
Citigroup, Inc.
4.40%, 6/10/25		105		104,604
Danske Bank A/S
6.125%, 3/28/24 (a)(n)		265		250,457
Series E
5.875%, 4/06/22 (a)(n)	EUR	1,096		1,393,640
DNB Bank ASA
6.50%, 3/26/22 (a)(n)	U.S.$	1,555		1,588,632
HSBC Holdings PLC
6.00%, 9/29/23 (a)(n)	EUR	2,312		3,027,323
Series E
4.75%, 7/04/29 (a)(n)		436		502,796
ICICI Bank Ltd./Dubai
4.80%, 5/22/19 (a)	U.S.$	1,337		1,353,458
Intesa Sanpaolo SpA
2.75%, 3/20/20 (a)	EUR	482		581,219
4.00%, 5/20/19 (a)	U.S.$	470		565,371


	Principal Amount (000)		U.S. $ Value
JPMorgan Chase & Co.
Series V
5.00%, 7/01/19 (n)	U.S.$	210	$	210,549
Nationwide Building Society
4.302%, 3/08/29 (a)		1,500		1,445,421
Regions Bank/Birmingham AL
6.45%, 6/26/37		1,500		1,780,189
Santander Holdings USA, Inc.
4.40%, 7/13/27		1,090		1,042,976
Zions Bancorporation
5.65%, 11/15/23		508		506,329

				19,015,838

Brokerage - 0.1%
GFI Group, Inc.
8.375%, 7/19/18		991		990,513

Insurance - 1.8%
Aegon NV
5.50%, 4/11/48		757		724,469
Allstate Corp. (The)
6.50%, 5/15/57		1,657		1,864,408
American International Group, Inc.
6.82%, 11/15/37		1,425		1,730,852
Series A-9
5.75%, 4/01/48		616		604,313
Aon Corp.
8.205%, 1/01/27		690		849,317
Assicurazioni Generali SpA
Series E
5.50%, 10/27/47 (a)	EUR	1,500		1,855,539
Aviva PLC
3.875%, 7/03/44 (a)		1,590		1,969,244
CNP Assurances
4.50%, 6/10/47 (a)		1,500		1,876,822
Groupama SA
6.00%, 1/23/27		1,400		1,942,632
MetLife, Inc.
10.75%, 8/01/39	U.S.$	2,350		3,636,625
Prudential Financial, Inc.
5.625%, 6/15/43		832		863,882
5.875%, 9/15/42		593		628,720
SCOR SE
3.00%, 6/08/46 (a)	EUR	200		236,855
Transatlantic Holdings, Inc.
8.00%, 11/30/39	U.S.$	1,261		1,717,042

				20,500,720

REITS - 0.2%
EPR Properties
5.75%, 8/15/22		915		959,565
Senior Housing Properties Trust
6.75%, 12/15/21		1,350		1,446,539


	Principal Amount (000)		U.S. $ Value
Spirit Realty LP
4.45%, 9/15/26	U.S.$	193	$	185,828

				2,591,932

				43,099,003

Industrial - 2.6%
Basic - 0.7%
Anglo American Capital PLC
3.625%, 9/11/24 (a)		200		189,455
4.75%, 4/10/27 (a)		637		627,751
ArcelorMittal
7.00%, 3/01/41		546		616,660
7.25%, 10/15/39		978		1,121,135
Braskem Finance Ltd.
6.45%, 2/03/24		1,972		2,073,065
Fresnillo PLC
5.50%, 11/13/23 (a)		306		315,754
Georgia-Pacific LLC
8.875%, 5/15/31		1		1,461
Glencore Finance Canada Ltd.
6.00%, 11/15/41 (a)		272		283,804
Glencore Funding LLC
4.625%, 4/29/24 (a)		341		343,158
Minsur SA
6.25%, 2/07/24 (a)		891		931,858
WestRock MWV LLC
7.95%, 2/15/31		1,000		1,304,610

				7,808,711

Capital Goods - 0.3%
General Electric Co.
Series D
5.00%, 1/21/21 (n)		1,681		1,659,734
Lafarge SA
7.125%, 7/15/36		800		1,000,228
Masco Corp.
5.95%, 3/15/22		308		329,667

				2,989,629

Communications - Media - 0.1%
Charter Communications Operating LLC/Charter Communications Operating Capital
4.908%, 7/23/25		1,195		1,206,693
Cox Communications, Inc.
4.50%, 6/30/43 (a)		135		114,893
4.70%, 12/15/42 (a)		259		226,932

				1,548,518

Communications - Telecommunications - 0.2%
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.738%, 3/20/25 (a)		1,340		1,330,671
5.152%, 3/20/28 (a)		1,340		1,310,001

				2,640,672


	Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Automotive - 0.1%
General Motors Co.
5.20%, 4/01/45	U.S.$	337	$	310,892
5.40%, 4/01/48 (b)		431		409,814
6.25%, 10/02/43		116		120,278
6.75%, 4/01/46		456		502,388

				1,343,372

Consumer Cyclical - Other - 0.1%
Owens Corning
7.00%, 12/01/36		777		900,573

Consumer Non - Cyclical - 0.2%
CVS Health Corp.
4.78%, 3/25/38		2,140		2,113,096

Energy - 0.4%
Cenovus Energy, Inc.
4.45%, 9/15/42		822		707,328
6.75%, 11/15/39		67		73,722
Ecopetrol SA
5.875%, 5/28/45		1,271		1,207,450
Energy Transfer Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23		546		550,825
Kinder Morgan, Inc./DE
Series G
7.75%, 1/15/32		328		398,256
7.80%, 8/01/31		1,066		1,293,722
Williams Partners LP
5.10%, 9/15/45		876		865,150

				5,096,453

Services - 0.1%
Verisk Analytics, Inc.
5.50%, 6/15/45		636		653,084

Technology - 0.4%
Dell International LLC/EMC Corp.
6.02%, 6/15/26 (a)		1,318		1,384,982
8.35%, 7/15/46 (a)		524		632,253
Seagate HDD Cayman
4.75%, 1/01/25		1,948		1,868,718
4.875%, 6/01/27		1,082		1,005,644

				4,891,597

Transportation - Airlines - 0.0%
America West Airlines Pass Through Trust
Series 1999-1G, Class G
7.93%, 1/02/19		198		203,829


	Principal Amount (000)		U.S. $ Value
Northwest Airlines Pass Through Trust
Series 2000-1, Class G
7.15%, 10/01/19 (d)	U.S.$	178	$	182,103

				385,932

				30,371,637

Total Corporates - Investment Grade (cost $67,967,070)				73,470,640

EMERGING MARKETS - TREASURIES - 4.5%
Argentina - 0.8%
Argentina POM Politica Monetaria
Series POM
32.223% (ARPP7DRR), 6/21/20 (l)	ARS	13,054		460,874
Argentine Bonos del Tesoro
15.50%, 10/17/26		34,006		1,043,623
16.00%, 10/17/23		85,595		2,623,787
18.20%, 10/03/21		110,859		3,276,862
21.20%, 9/19/18		51,130		1,694,006

				9,099,152

Brazil - 1.9%
Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/27	BRL	91,946		21,684,089

Dominican Republic - 0.3%
Dominican Republic International Bond
16.00%, 7/10/20 (i)	DOP	137,500		3,155,431

South Africa - 0.2%
Republic of South Africa Government Bond
Series R186
10.50%, 12/21/26	ZAR	24,137		1,930,710
Series R204
8.00%, 12/21/18		10,750		787,918

				2,718,628

Sri Lanka - 0.5%
Sri Lanka Government Bonds
10.25%, 3/15/25	LKR	113,000		703,332
Series A
11.50%, 12/15/21-5/15/23		603,000		3,961,675
11.75%, 6/15/27		105,000		700,497

				5,365,504

Turkey - 0.8%
Turkey Government Bond
10.60%, 2/11/26	TRY	4,718		770,229
11.00%, 2/24/27		11,736		1,926,207
11.10%, 5/15/19		31,033		6,369,214

				9,065,650

Total Emerging Markets - Treasuries (cost $71,904,604)				51,088,454


	Principal Amount (000)		U.S. $ Value
EMERGING MARKETS - CORPORATE BONDS - 4.4%
Industrial - 3.9%
Basic - 0.9%
Consolidated Energy Finance SA
6.875%, 6/15/25 (a)	U.S.$	949	$	967,037
Elementia SAB de CV
5.50%, 1/15/25 (a)		469		443,346
First Quantum Minerals Ltd.
6.875%, 3/01/26 (a)		1,077		1,032,567
7.00%, 2/15/21 (a)		199		201,196
7.25%, 5/15/22-4/01/23 (a)		2,444		2,454,631
7.50%, 4/01/25 (a)		553		545,974
Lundin Mining Corp.
7.875%, 11/01/22 (a)		837		878,814
Stillwater Mining Co.
6.125%, 6/27/22 (a)		1,380		1,229,022
7.125%, 6/27/25 (a)		964		851,818
Vedanta Resources PLC
6.375%, 7/30/22 (a)		2,182		2,062,383

				10,666,788

Capital Goods - 0.2%
CIMPOR Financial Operations BV
5.75%, 7/17/24 (a)		1,491		1,186,687
Odebrecht Finance Ltd.
4.375%, 4/25/25 (a)		349		120,405
5.25%, 6/27/29 (a)		1,070		365,559
7.125%, 6/26/42 (a)		2,665		943,710

				2,616,361

Communications - Telecommunications - 0.4%
Comunicaciones Celulares SA Via Comcel Trust
6.875%, 2/06/24 (a)		986		1,013,115
Digicel Group Ltd.
7.125%, 4/01/22 (a)		448		291,760
8.25%, 9/30/20 (a)		587		443,185
Digicel Ltd.
6.00%, 4/15/21 (a)		1,356		1,227,180
6.75%, 3/01/23 (a)		1,095		908,850
Millicom International Cellular SA
5.125%, 1/15/28 (a)		479		438,711
MTN Mauritius Investment Ltd.
6.50%, 10/13/26 (a)		780		780,000

				5,102,801

Consumer Cyclical - Other - 0.2%
Servicios Corporativos Javer SAB de CV
9.875%, 4/06/21 (a)		491		494,422


	Principal Amount (000)		U.S. $ Value
Studio City Co., Ltd.
5.875%, 11/30/19 (a)	U.S.$	737	$	744,370
Wynn Macau Ltd.
4.875%, 10/01/24 (a)		286		273,778
5.50%, 10/01/27 (a)		547		523,241

				2,035,811

Consumer Cyclical - Retailers - 0.1%
K2016470219 South Africa Ltd.
3.00%, 12/31/22 (c)(f)(i)		962		19,628
K2016470260 South Africa Ltd.
25.00%, 12/31/22 (c)(f)(i)		267		80,129
Prime Bloom Holdings Ltd.
7.50%, 12/19/19 (a)		560		504,000

				603,757

Consumer Non-Cyclical - 0.9%
BRF GmbH
4.35%, 9/29/26 (a)		539		447,980
Central American Bottling Corp.
5.75%, 1/31/27 (a)		928		919,880
Cosan Ltd.
5.95%, 9/20/24 (a)		430		401,128
MARB BondCo PLC
6.875%, 1/19/25 (a)		1,430		1,362,899
Marfrig Holdings Europe BV
8.00%, 6/08/23 (a)		1,220		1,235,250
Minerva Luxembourg SA
5.875%, 1/19/28 (a)		200		174,430
6.50%, 9/20/26 (a)		1,098		1,003,627
Natura Cosmeticos SA
5.375%, 2/01/23 (a)		817		781,416
Rede D’or Finance SARL
4.95%, 1/17/28 (a)		576		512,640
Teva Pharmaceutical Finance Netherlands II BV
1.25%, 3/31/23 (a)	EUR	247		260,678
Teva Pharmaceutical Finance Netherlands III BV
2.80%, 7/21/23	U.S.$	375		323,312
3.15%, 10/01/26		1,123		897,052
6.00%, 4/15/24 (a)(b)		315		314,277
6.75%, 3/01/28 (b)		315		321,394
Tonon Luxembourg SA
7.25%, 1/24/20 (c)(f)(h)(i)(m)		1,626		79,140
USJ Acucar e Alcool SA
9.875%, 11/09/21 (a)(f)		604		488,122
Virgolino de Oliveira Finance SA
10.50%, 1/28/18 (c)(g)(h)(i)		4,090		215,542
10.875%, 1/13/20 (h)(i)(m)		480		132,000
11.75%, 2/09/22 (h)(i)(m)		1,620		81,081

				9,951,848


	Principal Amount (000)		U.S. $ Value
Energy - 0.9%
Azure Power Energy Ltd.
5.50%, 11/03/22 (a)	U.S.$	788	$	720,035
CHC Group LLC/CHC Finance Ltd.
Series AI
Zero Coupon, 10/01/20 (j)		2,948		2,948,211
Medco Platinum Road Pte Ltd.
6.75%, 1/30/25 (a)		860		760,025
Petrobras Global Finance BV
6.125%, 1/17/22		33		33,611
6.25%, 3/17/24		4,558		4,513,559
6.85%, 6/05/15 (r)		307		254,503
YPF SA
6.95%, 7/21/27 (a)		902		772,338
16.50%, 5/09/22 (a)	ARS	17,395		439,950

				10,442,232

Technology - 0.1%
IHS Netherlands Holdco BV
9.50%, 10/27/21 (a)	U.S.$	600		577,500

Transportation - Airlines - 0.0%
Guanay Finance Ltd.
6.00%, 12/15/20 (a)		363		370,529

Transportation - Services - 0.2%
Rumo Luxembourg SARL
7.375%, 2/09/24 (a)		1,678		1,690,585

				44,058,212

Financial Institutions - 0.4%
Banking - 0.4%
Akbank Turk AS
7.20%, 3/16/27 (a)		398		359,195
Banco do Brasil SA/Cayman
9.00%, 6/18/24 (a)(n)		1,536		1,470,259
Itau Unibanco Holding SA/Cayman Island
6.125%, 12/12/22 (a)(n)		557		520,795
Turkiye Vakiflar Bankasi TAO
5.50%, 10/27/21 (a)		807		746,475
5.75%, 1/30/23 (a)		1,146		1,015,929

				4,112,653

Finance - 0.0%
Unifin Financiera SAB de CV SOFOM ENR
7.00%, 1/15/25 (a)		575		526,125

Insurance - 0.0%
Ambac LSNI LLC
6.811% (LIBOR 3 Month + 5.00%), 2/12/23 (a)(l)		70		71,162

				4,709,940


	Principal Amount (000)		U.S. $ Value
Utility - 0.1%
Electric - 0.1%
Genneia SA
8.75%, 1/20/22 (a)	U.S.$	753	$	729,469
Pampa Energia SA
7.50%, 1/24/27 (a)		503		452,700
Terraform Global Operating LLC
6.125%, 3/01/26 (a)		292		289,442

				1,471,611

Total Emerging Markets - Corporate Bonds (cost $59,127,550)				50,239,763

BANK LOANS - 3.4%
Industrial - 3.3%
Basic - 0.1%
Foresight Energy LLC
8.109% (LIBOR 3 Month + 5.75%), 3/28/22 (s)		498		494,272
Unifrax I LLC
5.834% (LIBOR 3 Month + 3.50%), 4/04/24 (s)		457		457,737

				952,009

Capital Goods - 0.4%
Accudyne Industries Borrower S.C.A. / Accudyne Industries, LLC (fka Silver II US Holdings, LLC)
5.344% (LIBOR 1 Month + 3.25%), 8/18/24 (s)		721		718,908
Apex Tool Group, LLC
5.844% (LIBOR 1 Month + 3.75%), 2/01/22 (s)		2,364		2,361,378
Gardner Denver, Inc.
4.844% (LIBOR 1 Month + 2.75%), 7/30/24 (s)		899		899,001
HD Supply Waterworks, LTD.
5.21% (LIBOR 6 Month + 3.00%), 8/01/24 (c)(s)		107		106,566
5.30% (LIBOR 3 Month + 3.00%), 8/01/24 (s)		94		93,540
Transdigm Inc.
4.594% (LIBOR 1 Month + 2.50%), 6/09/23 (s)		358		355,657
Welbilt, Inc. (fka Manitowoc Foodservice, Inc.)
4.844% (LIBOR 1 Month + 2.75%), 3/03/23 (c)(s)		115		115,008

				4,650,058


	Principal Amount (000)		U.S. $ Value
Communications - Telecommunications - 0.1%
Intelsat Jackson Holdings S.A.
6.60% (LIBOR 1 Month + 4.50%), 1/02/24 (s)	U.S.$	69	$	71,263
6.63%, 1/02/24		115		118,845
West Corporation
6.094% (LIBOR 1 Month + 4.00%), 10/10/24 (s)		1,127		1,122,014

				1,312,122

Consumer Cyclical - Automotive - 0.0%
Navistar, Inc.
5.53% (LIBOR 1 Month + 3.50%), 11/06/24 (c)(s)		354		353,676

Consumer Cyclical - Entertainment - 0.1%
Seaworld Parks & Entertainment, Inc. (fka SW Acquisitions Co., Inc.)
5.094% (LIBOR 1 Month + 3.00%), 4/01/24 (s)		976		968,155

Consumer Cyclical - Other - 0.2%
Caesars Resort Collection, LLC (fka Caesars Growth Properties Holdings, LLC)
4.844% (LIBOR 1 Month + 2.75%), 12/23/24 (s)		1,423		1,417,376
Scientific Games International, Inc.
4.84% (LIBOR 1 Month + 2.75%), 8/14/24 (s)		169		168,212
4.92% (LIBOR 2 Month + 2.75%), 8/14/24 (s)		713		707,360

				2,292,948

Consumer Cyclical - Restaurants - 0.0%
IRB Holding Corp. (fka Arby’s/Buffalo Wild Wings)
5.26% (LIBOR 1 Month + 3.25%), 2/05/25 (s)		139		139,322
5.28% (LIBOR 1 Month + 3.25%), 2/05/25 (s)		112		111,962

				251,284

Consumer Cyclical - Retailers - 0.2%
J.C. Penney Corporation, Inc.
6.569% (LIBOR 3 Month + 4.25%), 6/23/23 (s)		1,079		1,027,867
Neiman Marcus Group LTD LLC
5.263% (LIBOR 1 Month + 3.25%), 10/25/20 (s)		240		212,651
Serta Simmons Bedding, LLC
10.331% (LIBOR 3 Month + 8.00%), 11/08/24 (s)		2,195		1,467,812

				2,708,330


	Principal Amount (000)		U.S. $ Value
Consumer Non-Cyclical - 1.1%
Acadia Healthcare Company, Inc.
4.59% (LIBOR 1 Month + 2.50%), 2/11/22 - 2/16/23 (s)	U.S.$	550	$	550,320
Air Medical Group Holdings, Inc.
5.28% (LIBOR 1 Month + 3.25%), 4/28/22 (s)		1,219		1,182,799
6.34% (LIBOR 1 Month + 4.25%), 3/14/25 (s)		931		916,452
Alphabet Holding Company, Inc. (fka Nature’s Bounty)
9.844% (LIBOR 1 Month + 7.75%), 9/26/25 (s)		2,066		1,674,688
Arbor Pharmaceuticals, LLC
7.485% (LIBOR 6 Month + 5.00%), 7/05/23 (s)		1,205		1,207,887
Avantor, Inc.
6.094% (LIBOR 1 Month + 4.00%), 11/21/24 (s)		867		871,053
BI-LO, LLC
5/31/24 (t)		3,900		3,751,332
Mallinckrodt International Finance S.A.
5.203% (LIBOR 6 Month + 2.75%), 9/24/24 (s)		1,004		982,771
Owens & Minor, Inc.
6.48% (LIBOR 1 Month + 4.50%), 5/02/25 (s)		1,317		1,286,076
Vizient, Inc.
4.844% (LIBOR 1 Month + 2.75%), 2/13/23 (s)		158		158,120

				12,581,498

Energy - 0.3%
California Resources Corporation
12.466% (LIBOR 1 Month + 10.38%), 12/31/21 (s)		2,088		2,307,016
Chesapeake Energy Corporation
9.594% (LIBOR 1 Month + 7.50%), 8/23/21 (s)		621		648,939

				2,955,955

Other Industrial - 0.2%
American Tire Distributors, Inc.
9/01/21 (t)		2,295		1,483,715
Travelport Finance (Luxembourg) S.Ã r.l.
4.83% (LIBOR 3 Month + 2.50%), 3/17/25 (s)		901		897,430

				2,381,145

Services - 0.4%
Monitronics International, Inc.
9/30/22 (t)		995		948,047


	Principal Amount (000)		U.S. $ Value
Pi Lux Finco Sarl
9.232% (LIBOR 1 Month + 7.25%), 1/01/26 (c)(s)	U.S.$	3,100	$	3,107,750

				4,055,797

Technology - 0.2%
Conduent Incorporated
5.094% (LIBOR 1 Month + 3.00%), 12/07/23 (s)		226		224,814
Solera, LLC (Solera Finance, Inc.)
4.844% (LIBOR 1 Month + 2.75%), 3/03/23 (s)		2,576		2,560,902
Veritas US Inc.
1/27/23 (t)		48		43,761

				2,829,477

				38,292,454

Financial Institutions - 0.1%
Insurance - 0.1%
Sedgwick Claims Management Services, Inc.
4.844% (LIBOR 1 Month + 2.75%), 3/01/21 (s)		1,031		1,024,181

Total Bank Loans (cost $40,537,036)				39,316,635

COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.2%
Non-Agency Fixed Rate CMBS - 2.1%
225 Liberty Street Trust
Series 2016-225L, Class E
4.649%, 2/10/36 (a)(c)		974		933,455
CGBAM Commercial Mortgage Trust
Series 2015-SMRT, Class F
3.786%, 4/10/28 (a)(c)		270		267,465
Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class XA
1.408%, 4/10/46 (u)		1,468		79,309
Series 2013-GC17, Class D
5.102%, 11/10/46 (a)(c)		902		847,973
Series 2014-GC23, Class D
4.514%, 7/10/47 (a)(c)		856		748,133
Commercial Mortgage Trust
Series 2012-CR1, Class XA
1.873%, 5/15/45 (u)		1,794		107,004
Series 2012-CR3, Class XA
1.881%, 10/15/45 (u)		7,923		518,093
Series 2012-CR5, Class XA
1.553%, 12/10/45 (u)		1,903		107,607
Series 2013-LC6, Class D
4.298%, 1/10/46 (a)(c)		3,916		3,712,828
Series 2014-CR15, Class XA
1.19%, 2/10/47 (u)		2,347		78,343


	Principal Amount (000)		U.S. $ Value
Series 2014-CR20, Class XA
1.144%, 11/10/47 (u)	U.S.$	11,271	$	557,884
Series 2014-LC15, Class D
4.944%, 4/10/47 (a)(c)		1,500		1,323,327
CSAIL Commercial Mortgage Trust
Series 2015-C2, Class D
4.208%, 6/15/57 (c)		2,721		2,222,979
GS Mortgage Securities Corp. II
Series 2013-GC10, Class XA
1.546%, 2/10/46 (u)		907		50,115
GS Mortgage Securities Trust
Series 2012-GC6, Class D
5.652%, 1/10/45 (a)(c)		1,765		1,683,464
Series 2012-GCJ9, Class D
4.748%, 11/10/45 (a)(c)		700		668,155
JPMBB Commercial Mortgage Securities Trust
Series 2015-C32, Class C
4.667%, 11/15/48 (c)		825		816,796
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2012-C6, Class XA
1.63%, 11/15/45 (a)(u)		7,409		414,618
UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class XA
1.645%, 12/10/45 (a)(u)		840		47,628
WF-RBS Commercial Mortgage Trust
Series 2011-C4, Class D
5.234%, 6/15/44 (a)(c)(v)		1,022		990,362
Series 2012-C6, Class D
5.582%, 4/15/45 (a)(c)		2,450		2,493,057
Series 2012-C7, Class XA
1.428%, 6/15/45 (a)(u)		1,402		59,601
Series 2012-C8, Class E
4.893%, 8/15/45 (a)(c)		3,766		3,602,217
Series 2012-C10, Class XA
1.574%, 12/15/45 (a)(u)		3,305		184,794
Series 2014-C25, Class D
3.803%, 11/15/47 (a)(c)		1,807		1,499,091

				24,014,298

Non-Agency Floating Rate CMBS - 0.1%
BBCMS Mortgage Trust
Series 2017-GLKS, Class F
5.619% (LIBOR 1 Month + 3.70%), 11/15/34 (a)(c)(l)		700		708,567


	Principal Amount (000)		U.S. $ Value
CLNS Trust
Series 2017-IKPR, Class F
6.429% (LIBOR 1 Month + 4.50%), 6/11/32 (a)(c)(l)	U.S.$	956	$	961,408

				1,669,975

Total Commercial Mortgage-Backed Securities (cost $26,064,651)				25,684,273


	Shares
COMMON STOCKS - 1.8%
Energy - 0.5%
Oil, Gas & Consumable Fuels - 0.5%
Berry Petroleum Corp. (c)(d)(h)		94,303		1,108,060
CHC Group LLC (h)(j)		51,655		374,499
Chesapeake Energy Corp. (h)		24,149		126,541
Denbury Resources, Inc. (h)		59,554		286,455
Golden Energy Offshore Services AS (d)(h)		916,212		539,984
K201640219 (South Africa) Ltd. A Shares (c)(d)(e)(h)		12,695,187		13
K201640219 (South Africa) Ltd. B Shares (c)(d)(e)(h)		2,009,762		2
Linn Energy, Inc. (h)		1,450		56,042
Oasis Petroleum, Inc. (h)		14,457		187,507
Paragon Offshore Ltd. - Class A (c)(d)(h)		11,814		10,136
Paragon Offshore Ltd. - Class B (c)(d)(h)		17,721		531,630
Peabody Energy Corp.		22,994		1,045,767
Tervita Corp. (c)(d)(h)		29,729		223,310
Vantage Drilling International (c)(d)(h)		6,103		1,513,544
Whiting Petroleum Corp. (h)		8,408		443,270

				6,446,760

Financials - 0.5%
Consumer Finance - 0.0%
Paysafe (c)(d)(e)(h)		3,960		386,377

Insurance - 0.3%
Mt. Logan Re Ltd. (Preference Shares) (c)(h)(j)		2,953		2,912,631

Real Estate - 0.2%
Calibrate Real Estate Fund (c)(d)(e)(h)		7,364		2,391,399

				5,690,407

Consumer Discretionary - 0.2%
Auto Components - 0.0%
Exide Technologies (e)(h)(j)		15,253		51,555
Exide Technologies (c)(e)(h)(j)		59,185		200,045

				251,600


Company	Shares		U.S. $ Value
Automobiles - 0.0%
Liberty Tire Recycling LLC (c)(d)(e)(h)		7,822	$	390,485

Diversified Consumer Services - 0.1%
Laureate Education, Inc. - Class A (h)		55,496		795,258

Hotels, Restaurants & Leisure - 0.0%
Caesars Entertainment Corp. (h)		25,004		267,543

Internet & Direct Marketing Retail - 0.1%
Travelport Worldwide Ltd.		25,480		472,399

				2,177,285

Information Technology - 0.2%
Internet Software & Services - 0.2%
Avaya Holdings Corp. (h)		96,632		1,940,370

IT Services - 0.0%
Goodman Networks, Inc. (c)(d)(e)(h)		41,792		0

				1,940,370

Industrials - 0.2%
Building Products - 0.0%
New Cotai LLC/New Cotai Capital Corp. (c)(d)(e)(h)		3		83,847

Machinery - 0.2%
Modular Space Corp. (c)(h)(i)		89,110		1,844,577

				1,928,424

Materials - 0.1%
Metals & Mining - 0.1%
BIS Industries Holdings Ltd. (c)(d)(e)(h)		838,296		75,446
Constellium NV - Class A (h)		92,259		950,268
Neenah Enterprises, Inc. (c)(d)(e)(h)		58,200		253,170

				1,278,884

Consumer Staples - 0.1%
Food & Staples Retailing - 0.1%
Southeastern Grocers, Inc. Npv (c)(d)(e)(h)		38,084		1,142,520

Total Common Stocks (cost $22,372,807)				20,604,650

	Principal Amount (000)
ASSET-BACKED SECURITIES - 1.6%
Other ABS - Fixed Rate - 1.1%
Atlas Ltd.
Series 2014-1, Class B
6.875%, 12/15/39 (c)(d)(e)(v)	U.S.$	952		923,449
Consumer Loan Underlying Bond Credit Trust
Series 2018-3, Class PT
8.532%, 3/16/43 (c)(i)		318		319,654
Series 2018-4, Class PT
6.63%, 5/15/43 (c)(i)		1,289		1,299,315


	Principal Amount (000)		U.S. $ Value
Series 2018-7, Class PT
6.777%, 6/15/43 (a)(c)	U.S.$	1,403	$	1,403,598
Series 2018-12, Class PT
Zero Coupon, 6/15/43 (a)(c)		822		822,463
SoFi Consumer Loan Program LLC
Series 2016-1, Class R
Zero Coupon, 8/25/25 (c)(e)(i)		2,957		872,206
Series 2017-2, Class R
Zero Coupon, 2/25/26 (c)(e)(i)		12		686,553
Series 2017-3, Class R
Zero Coupon, 5/25/26 (c)(e)(i)		10		898,957
Series 2017-4, Class R1
Zero Coupon, 5/26/26 (c)(e)(i)		10		911,110
Series 2017-5, Class R1
Zero Coupon, 9/25/26 (c)(e)(i)		12		1,118,712
Series 2017-6, Class R1
Zero Coupon, 11/25/26 (c)(e)(i)		13		1,427,989
SoFi Consumer Loan Program Trust
Series 2018-1, Class R1
Zero Coupon, 2/25/27 (c)(e)(i)		16		1,569,021
Taco Bell Funding LLC
Series 2016-1A, Class A23
4.97%, 5/25/46 (a)(c)		789		814,289

				13,067,316

Home Equity Loans - Fixed Rate - 0.4%
CSAB Mortgage-Backed Trust
Series 2006-2, Class A6A
5.72%, 9/25/36 (c)		747		433,872
CWABS Asset-Backed Certificates Trust
Series 2005-7, Class AF5W
5.054%, 10/25/35 (c)		895		888,585
GSAA Home Equity Trust
Series 2005-12, Class AF5
5.659%, 9/25/35 (c)		1,211		1,088,385
Series 2006-6, Class AF4
6.121%, 3/25/36 (c)		1,615		815,064
Series 2006-6, Class AF5
6.241%, 3/25/36 (c)		598		301,938
Series 2006-10, Class AF3
5.985%, 6/25/36 (c)		1,169		572,371
Lehman XS Trust
Series 2006-17, Class WF32
5.55%, 11/25/36 (c)		56		55,750
Series 2007-6, Class 3A5
4.855%, 5/25/37 (c)		190		188,515

				4,344,480

Autos - Fixed Rate - 0.1%
Exeter Automobile Receivables Trust
Series 2016-1A, Class D
8.20%, 2/15/23 (a)		720		765,875


Company	Shares		U.S. $ Value
Total Asset-Backed Securities (cost $19,634,826)			$	18,177,671


PREFERRED STOCKS - 1.2%
Industrial - 0.9%
Capital Goods - 0.8%
Tervita Corp.
0.00% (c)(d)(h)		1,140,842		8,569,441

Energy - 0.1%
Berry Petroleum Co. LLC
0.00% (c)(d)(h)		81,944		1,092,559

Technology - 0.0%
Goodman Networks, Inc.
0.00% (c)(d)(e)(h)		49,723		205,853

				9,867,853

Financial Institutions - 0.2%
Banking - 0.1%
GMAC Capital Trust I
Series 2 8.128%		16,325		429,347

Insurance - 0.1%
Hartford Financial Services Group, Inc. (The)
7.875%		45,050		1,310,955

REITS - 0.0%
Hersha Hospitality Trust
Series C
6.875%		15,950		393,965

				2,134,267

Financials - 0.1%
Consumer Finance - 0.1%
Paysafe Holdings UK Ltd.
0.00% (c)(d)(e)(h)		1,062,845		1,062,845

Utility - 0.0%
Electric - 0.0%
SCE Trust III
Series H
5.75%		11,025		297,124

Total Preferred Stocks (cost $10,587,621)				13,362,089


	Principal Amount (000)
INFLATION-LINKED SECURITIES - 0.6%
Brazil - 0.3%
Brazil Notas do Tesouro Nacional
Series B
6.00%, 5/15/45-8/15/50	BRL	4,892		3,881,484


	Principal Amount (000)		U.S. $ Value
Colombia - 0.3%
Fideicomiso PA Concesion Ruta al Mar
6.75%, 2/15/44 (a)	COP	1,437,090	$	481,120
Fideicomiso PA Costera
6.25%, 1/15/34 (a)		1,230,800		430,164
Fideicomiso PA Pacifico Tres
7.00%, 1/15/35 (c)(i)		6,642,880		2,402,365

				3,313,649

Total Inflation-Linked Securities (cost $7,190,712)				7,195,133

GOVERNMENTS - SOVEREIGN BONDS - 0.5%
Indonesia - 0.2%
JPMorgan Chase Bank, NA
9.50%, 5/17/41 (a)	IDR	27,844,000		2,169,129

United Arab Emirates - 0.3%
Emirate of Dubai Government International Bonds
7.75%, 10/05/20 (a)	U.S.$	3,310		3,587,213

Total Governments - Sovereign Bonds (cost $6,714,579)				5,756,342

LOCAL GOVERNMENTS - REGIONAL BONDS - 0.5%
Argentina - 0.5%
Provincia de Buenos Aires/Argentina
5.75%, 6/15/19 (a)		1,010		994,850
9.125%, 3/16/24 (a)		2,601		2,483,955
27.50% (BADLAR + 3.83%), 5/31/22 (l)	ARS	26,500		745,894
Provincia de Cordoba
7.125%, 6/10/21 (a)	U.S.$	754		727,610
7.45%, 9/01/24 (a)		505		459,550

Total Local Governments - Regional Bonds (cost $6,185,982)				5,411,859

LOCAL GOVERNMENTS - US MUNICIPAL BONDS - 0.5%
United States - 0.5%
State of California
Series 2010
7.60%, 11/01/40		750		1,127,978
7.95%, 3/01/36		1,915		2,065,672
State of Illinois
Series 2010
7.35%, 7/01/35		1,915		2,138,308

Total Local Governments - US Municipal Bonds (cost $4,598,662)				5,331,958


Company	Shares		U.S. $ Value
INVESTMENT COMPANIES - 0.5%
Funds and Investment Trusts - 0.5%
iShares JP Morgan USD Emerging Markets Bond ETF (w) (cost $5,351,457)		49,000	$	5,231,730


	Principal Amount (000)
COLLATERALIZED LOAN OBLIGATIONS - 0.2%
CLO - Floating Rate - 0.2%
Carlyle Global Market Strategies CLO Ltd.
Series 2016-1A, Class C
7.259% (LIBOR 3 Month + 4.90%), 4/20/27 (a)(c)(l)	U.S.$	300		300,071
Dryden CLO Ltd.
Series 2018-57A, Class E
7.09% (LIBOR 3 Month + 5.20%), 5/15/31 (a)(c)(l)		275		273,026
Dryden Senior Loan Fund
Series 2017-49A, Class E
8.655% (LIBOR 3 Month + 6.30%), 7/18/30 (a)(c)(l)		417		425,470
OZLM Ltd.
Series 2014-8A, Class D
7.303% (LIBOR 3 Month + 4.95%), 10/17/26 (a)(c)(l)		585		585,916
Series 2018-22A, Class D
7.015% (LIBOR 3 Month + 5.30%), 1/17/31 (a)(c)(l)		349		341,962

Total Collateralized Loan Obligations (cost $1,850,272)				1,926,445

QUASI-SOVEREIGNS - 0.1%
Quasi-Sovereign Bonds - 0.1%
Chile - 0.0%
Empresa Nacional del Petroleo
3.75%, 8/05/26 (a)		296		276,020

Kazakhstan - 0.1%
KazMunayGas National Co. JSC
5.375%, 4/24/30 (a)		660		663,442
6.375%, 10/24/48 (a)		396		403,360

				1,066,802

Total Quasi-Sovereigns (cost $1,347,377)				1,342,822

WHOLE LOAN TRUSTS - 0.1%
Performing Asset - 0.1%
Flexpath Wh I LLC
Series B
11.00%, 4/01/21 (c)(d)(e)		229		66,756
Series B2
11.00%, 1/01/22 (c)(d)(e)		288		98,505
Series B3
11.00%, 9/01/22 (c)(d)(e)		119		45,296


	Principal Amount (000)		U.S. $ Value
Sheridan Auto Loan Holdings I LLC
10.00%, 12/31/20-9/30/21 (c)(d)(e)	U.S.$	1,290	$	565,786

Total Whole Loan Trusts (cost $1,860,235)				776,343


	Notional Amount
OPTIONS PURCHASED - PUTS - 0.0%
Options on Forward Contracts - 0.0%
AUD/USD
Expiration: Jun 2019; Contracts: 28,100,000; Exercise Price: AUD 1.45; Counterparty: Morgan Stanley Capital Services LLC (h)	AUD	28,100,000		286,394
MXN/USD
Expiration: Jul 2018; Contracts: 95,087,300; Exercise Price: MXN 17.94; Counterparty: Natwest Markets PLC (h)	MXN	95,087,300		2,653
MXN/USD
Expiration: Aug 2018; Contracts: 192,500,000; Exercise Price: MXN 17.50; Counterparty: Credit Suisse International (h)	MXN	192,500,000		3,819

Total Options Purchased - Puts (premiums paid $565,775)				292,866


	Shares
WARRANTS - 0.0%
Avaya Holdings Corp., expiring 12/15/22 (c)(h)		53,489		230,698
Encore Automotive Acceptance, expiring 7/05/31 (c)(d)(e)(h)		8		0
Flexpath Capital, Inc., expiring 4/15/31 (c)(d)(e)(h)		10,974		0
Liberty Tire Recycling LLC, expiring 6/26/19 (c)(d)(e)(h)		392		0
Midstates Petroleum Co., Inc., expiring 4/21/20 (d)(h)		39,269		12,173
SandRidge Energy, Inc., A-CW22, expiring 10/03/22 (h)		46,951		13,146
SandRidge Energy, Inc., B-CW22, expiring 10/03/22 (h)		19,772		5,141

Total Warrants (cost $507,757)				261,158


	Notional Amount			U.S. $ Value
OPTIONS PURCHASED - CALLS - 0.0%
Options on Forward Contracts - 0.0%
CNH/USD
Expiration: Aug 2018; Contracts: 70,350,000; Exercise Price: CNH 6.70; Counterparty: JPMorgan Chase Bank, NA (h)	CNH	70,350,000		$	63,234
MXN/USD
Expiration: Jul 2018; Contracts: 106,000,000; Exercise Price: MXN 20.00; Counterparty: JPMorgan Chase Bank, NA (h)	MXN	106,000,000			96,434
USD/EUR
Expiration: Oct 2018; Contracts: 10,738,750; Exercise Price: USD 1.21; Counterparty: Natwest Markets PLC (h)	USD	10,738,750			61,061

Total Options Purchased - Calls (premiums paid $264,595)					220,729


	Shares
RIGHTS - 0.0%
Utility - 0.0%
Vistra Energy Corp., expiring 12/31/49 (c)(h)(n) (cost $0)		10,721			5,950

SHORT-TERM INVESTMENTS - 4.3%
Investment Companies - 3.7%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 1.71% (w)(x)(y) (cost $42,394,745)		42,394,744			42,394,744


	Principal Amount (000)
Governments - Treasuries - 0.3%
Egypt - 0.3%
Egypt Treasury Bills
Series 273D
Zero Coupon, 8/14/18-8/28/18	EGP	38,875			2,112,880
Series 364D
Zero Coupon, 8/07/18		15,850			866,142

Total Governments - Treasuries (cost $3,041,200)					2,979,022

Time Deposits - 0.2%
BBH, Grand Cayman
0.15%, 7/02/18	NOK	0	**		1
0.23%, 7/02/18	GBP	38			49,516
0.43%, 7/02/18	SGD	0	**		1
0.51%, 7/03/18	CAD	0	**		1
0.89%, 7/03/18	HKD	0	**		12
4.85%, 7/02/18	ZAR	0	**		1


	Principal Amount (000)		U.S. $ Value
Sumitomo, Tokyo
1.27%, 7/02/18	U.S.$	2,259	$	2,258,683

Total Time Deposits (cost $2,308,851)				2,308,215

Emerging Markets - Sovereigns - 0.1%
Egypt - 0.1%
Citigroup Global Markets Holdings, Inc./United States
Series GSNP
Zero Coupon, 10/04/18 (cost $1,506,637)	EGP	27,650		1,472,822

Total Short-Term Investments (cost $49,251,433)				49,154,803

Total Investments - 104.7% (cost $1,226,482,663) (z)				1,194,717,859
Other assets less liabilities - (4.7)%				(53,212,115	)

Net Assets - 100.0%			$	1,141,505,744

FUTURES


Description	Number of Contracts		Expiration Month		Notional (000)		Original Value		Value at June 30, 2018		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
U.S. Long Bond (CBT) Futures		35		September 2018	USD	35,000	$	4,912,578	$	5,075,000	$	162,422
U.S. T-Note 5 Yr (CBT) Futures		571		September 2018	USD	571,000		64,613,602		64,875,414		261,812
U.S. T-Note 10 Yr (CBT) Futures		128		September 2018	USD	128,000		15,437,227		15,384,000		(53,227	)
Sold Contracts
CBOE VIX Futures		40		July 2018	USD	40,000		577,788		641,000		(63,212	)

											$	307,795

FORWARD CURRENCY EXCHANGE CONTRACTS


Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Australia and New Zealand Banking Group Ltd.	EUR	471	USD	550		7/18/18	$	(292	)
Australia and New Zealand Banking Group Ltd.	USD	5,631	EUR	4,751		7/18/18		(77,003	)
Australia and New Zealand Banking Group Ltd.	SGD	3,734	USD	2,802		8/16/18		59,189
Bank of America, NA	BRL	40,117	USD	10,500		7/03/18		149,214
Bank of America, NA	USD	10,524	BRL	40,117		7/03/18		(173,741	)
Bank of America, NA	USD	4,388	ILS	15,746		7/12/18		(81,215	)
Bank of America, NA	MXN	101,982	USD	5,114		7/23/18		(4,926	)
Bank of America, NA	USD	2,971	NOK	23,996		7/26/18		(22,241	)
Barclays Bank PLC	BRL	120,455	USD	31,240		7/03/18		160,805
Barclays Bank PLC	USD	31,968	BRL	120,455		7/03/18		(888,745	)
Barclays Bank PLC	USD	5,230	TRY	24,093		7/16/18		(14,718	)


Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC	EUR	70,582	USD	82,645		7/18/18	$	128,389
Barclays Bank PLC	KRW	2,572,460	USD	2,327		7/19/18		15,897
Barclays Bank PLC	COP	33,390,221	USD	11,659		7/25/18		278,947
Barclays Bank PLC	RUB	169,800	USD	2,664		7/31/18		(31,421	)
Barclays Bank PLC	BRL	120,455	USD	31,879		8/02/18		913,760
Barclays Bank PLC	TWD	476,908	USD	16,107		9/13/18		385,302
Barclays Bank PLC	USD	2,128	CHF	2,100		9/18/18		6,755
BNP Paribas SA	ARS	110,343	USD	4,276		7/05/18		469,751
BNP Paribas SA	TRY	55,091	USD	11,520		7/16/18		(405,181	)
BNP Paribas SA	USD	1,129	TRY	5,335		7/16/18		26,219
BNP Paribas SA	USD	971	MXN	19,550		8/07/18		8,100
Brown Brothers Harriman & Co.	EUR	734	USD	860		7/18/18		2,138
Brown Brothers Harriman & Co.	EUR	2,331	USD	2,700		7/18/18		(24,987	)
Brown Brothers Harriman & Co.	USD	1,246	EUR	1,074		7/18/18		9,463
Brown Brothers Harriman & Co.	MXN	30,047	USD	1,439		8/07/18		(65,413	)
Citibank, NA	ARS	148,103	USD	5,743		7/05/18		634,552
Citibank, NA	USD	1,952	ARS	54,168		7/05/18		(83,262	)
Citibank, NA	USD	3,055	ILS	11,007		7/12/18		(43,796	)
Citibank, NA	USD	1,006	EUR	863		7/18/18		2,820
Citibank, NA	USD	4,068	EUR	3,465		7/18/18		(17,753	)
Citibank, NA	ARS	17,234	USD	620		7/26/18		39,418
Citibank, NA	KRW	3,508,296	USD	3,260		7/26/18		108,682
Citibank, NA	SEK	111,338	USD	12,740		7/26/18		287,942
Citibank, NA	USD	20,041	KRW	21,310,281		7/26/18		(896,280	)
Citibank, NA	GBP	7,993	USD	10,729		8/03/18		165,078
Citibank, NA	MXN	56,282	USD	2,712		8/07/18		(106,056	)
Citibank, NA	USD	7,349	MXN	152,516		8/07/18		287,396
Citibank, NA	UYU	7,624	USD	256		8/07/18		12,256
Citibank, NA	UYU	8,793	USD	295		8/08/18		14,285
Citibank, NA	USD	23,023	INR	1,564,349		8/09/18		(292,778	)
Citibank, NA	ZAR	93,618	USD	6,851		9/07/18		86,406
Citibank, NA	CHF	6,742	USD	6,846		9/18/18		(8,109	)
Citibank, NA	TRY	14,258	USD	2,931		9/18/18		(70,239	)
Citibank, NA	USD	4,244	CHF	4,179		9/18/18		5,027
Credit Suisse International	USD	5,116	TRY	24,093		7/02/18		129,060
Credit Suisse International	USD	1,049	ZAR	12,622		7/05/18		(129,481	)
Credit Suisse International	USD	4,306	ILS	15,551		7/12/18		(52,589	)
Credit Suisse International	USD	1,252	MXN	23,321		7/23/18		(81,854	)
Credit Suisse International	EUR	2,940	SEK	29,841		7/26/18		(102,145	)
Credit Suisse International	TRY	27,204	USD	5,718		7/31/18		(132,456	)
Credit Suisse International	USD	2,597	MXN	48,604		8/02/18		(161,493	)
Credit Suisse International	MXN	90,844	USD	4,796		8/06/18		246,961
Credit Suisse International	USD	4,796	MXN	90,844		8/06/18		(246,958	)
Credit Suisse International	USD	1,760	MXN	35,224		8/07/18		3,892
Credit Suisse International	CHF	643	SGD	917		8/27/18		22,114
Credit Suisse International	CNH	14,203	USD	2,153		8/28/18		16,023
Credit Suisse International	GBP	693	ZAR	12,349		10/17/18		(30,711	)
Deutsche Bank AG	IDR	252,246,547	USD	17,765		7/26/18		164,521
Goldman Sachs Bank USA	BRL	8,381	USD	2,174		7/03/18		11,189
Goldman Sachs Bank USA	USD	2,252	BRL	8,381		7/03/18		(89,146	)
Goldman Sachs Bank USA	USD	1,922	TRY	8,686		7/16/18		(41,372	)
Goldman Sachs Bank USA	USD	7,138	EUR	6,083		7/18/18		(27,050	)
Goldman Sachs Bank USA	KRW	4,734,560	USD	4,399		7/26/18		145,516
HSBC Bank USA	USD	1,064	NOK	8,605		7/26/18		(6,304	)
HSBC Bank USA	INR	1,345,166	USD	19,747		8/09/18		201,420
HSBC Bank USA	TWD	129,799	USD	4,392		9/13/18		112,862
JPMorgan Chase Bank, NA	BRL	181,162	USD	49,481		7/03/18		2,738,485
JPMorgan Chase Bank, NA	USD	46,984	BRL	181,162		7/03/18		(241,847	)
JPMorgan Chase Bank, NA	USD	4,315	ILS	15,507		7/12/18		(73,074	)
JPMorgan Chase Bank, NA	EUR	2,491	TRY	13,839		7/16/18		84,293
JPMorgan Chase Bank, NA	TRY	10,572	USD	2,310		7/16/18		21,192


Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
JPMorgan Chase Bank, NA		MXN	23,321		USD	1,252		7/23/18	$	81,856
JPMorgan Chase Bank, NA		USD	892		MXN	16,503		7/23/18		(64,016	)
JPMorgan Chase Bank, NA		SEK	25,281		USD	2,895		7/26/18		67,506
JPMorgan Chase Bank, NA		USD	762		IDR	10,583,878		7/26/18		(23,428	)
JPMorgan Chase Bank, NA		USD	838		MXN	15,536		8/02/18		(59,708	)
JPMorgan Chase Bank, NA		USD	2,745		GBP	2,047		8/03/18		(39,744	)
JPMorgan Chase Bank, NA		AUD	3,816		USD	2,902		8/09/18		78,281
JPMorgan Chase Bank, NA		USD	1,064		NZD	1,510		8/09/18		(41,519	)
JPMorgan Chase Bank, NA		SGD	7,951		USD	5,971		8/16/18		130,624
JPMorgan Chase Bank, NA		USD	2,153		CNH	14,203		8/28/18		(16,023	)
JPMorgan Chase Bank, NA		JPY	1,853,485		USD	16,988		10/04/18		134,551
JPMorgan Chase Bank, NA		USD	7,102		JPY	773,709		10/04/18		(66,724	)
JPMorgan Chase Bank, NA		ZAR	30,311		GBP	1,715		10/17/18		96,075
Morgan Stanley & Co. LLC		ZAR	12,622		USD	1,049		7/05/18		129,486
Morgan Stanley Capital Services LLC		USD	5,783		EUR	4,903		7/18/18		(50,640	)
Morgan Stanley Capital Services LLC		USD	17,890		SEK	155,965		7/26/18		(446,605	)
Morgan Stanley Capital Services LLC		USD	9,452		AUD	12,800		6/28/19		54,530
Royal Bank of Scotland PLC		ARS	75,467		USD	2,926		7/10/18		337,049
Royal Bank of Scotland PLC		ILS	84,986		USD	24,266		7/12/18		1,019,679
Royal Bank of Scotland PLC		ARS	56,591		USD	1,972		7/26/18		64,872
Royal Bank of Scotland PLC		MXN	48,604		USD	2,597		8/02/18		161,494
Royal Bank of Scotland PLC		NZD	15,569		USD	10,908		8/09/18		363,145
Royal Bank of Scotland PLC		USD	1,220		NZD	1,741		8/09/18		(40,604	)
Standard Chartered Bank		BRL	52,898		USD	13,719		7/03/18		70,617
Standard Chartered Bank		USD	14,252		BRL	52,898		7/03/18		(604,111	)
Standard Chartered Bank		KRW	2,448,523		USD	2,194		7/17/18		(4,952	)
Standard Chartered Bank		KRW	5,566,823		USD	5,156		7/26/18		155,208
Standard Chartered Bank		KRW	3,672,784		USD	3,292		7/26/18		(7,318	)
Standard Chartered Bank		SEK	58,420		USD	6,813		7/26/18		279,529
Standard Chartered Bank		INR	360,241		USD	5,216		8/09/18		(18,102	)
Standard Chartered Bank		CAD	18,016		USD	13,898		8/30/18		179,464
UBS AG		TRY	8,676		USD	1,788		7/16/18		(90,196	)
UBS AG		EUR	2,241		CHF	2,604		7/18/18		13,465
UBS AG		SGD	917		CHF	643		8/27/18		(22,097	)
UBS AG		ZAR	12,349		GBP	693		10/17/18		30,712

									$	5,283,039

CREDIT DEFAULT SWAPTIONS WRITTEN


Description	Counter- party		Buy/Sell Protection		Strike Rate			Expiration Month		Notional Amount (000)		Premiums Received		Market Value
Put
CDX-NAHY Series 30, 5 Year Index		Credit Suisse International		Sell		1.06	%		Jul 2018	$	5,300	$	30,793	$	(20,785	)
CDX-NAHY Series 30, 5 Year Index		Bank of America, NA		Sell		1.04	%		Aug 2018		10,450		38,770		(46,112	)

												$	69,563	$	(66,897	)

CURRENCY OPTIONS WRITTEN


Description/Counterparty	Exercise Price			Expiration Month		Contracts		Notional Amount (000)			Premiums Received		U.S. $ Value
Call
AUD vs. USD/ Morgan Stanley Capital Services LLC		AUD	1.280		06/2019		28,100,000		AUD	28,100	$	291,731	$	(334,016	)
INR vs. USD/ JPMorgan Chase Bank, NA		INR	71.320		02/2019		381,562,000		INR	381,562		49,541		(92,340	)
KRW vs. USD/ Bank of America, NA		KRW	1,098.000		07/2018		5,874,300,000		KRW	5,874,300		35,096		(87,042	)
MXN vs. USD/ Credit Suisse International		MXN	21.500		07/2018		130,397,500		MXN	130,398		103,717		(6,415	)
MXN vs. USD/ Natwest Markets PLC		MXN	20.000		07/2018		106,000,000		MXN	106,000		77,730		(96,434	)
MXN vs. USD/ Credit Suisse International		MXN	22.000		08/2018		242,000,000		MXN	242,000		214,170		(12,843	)
MXN vs. USD/ Goldman Sachs Bank USA		MXN	22.000		08/2018		132,880,000		MXN	132,880		109,517		(12,378	)
MXN vs. USD/ Morgan Stanley Capital Services LLC		MXN	23.820		02/2019		144,706,500		MXN	144,707		80,937		(68,061	)
SGD vs. CHF/ UBS AG		SGD	1.480		08/2018		5,032,000		SGD	5,032		26,137		(2,227	)
TRY vs. CHF/ UBS AG		TRY	5.900		02/2019		29,500,000		TRY	29,500		53,932		(112,558	)
TRY vs. USD/ Morgan Stanley Capital Services LLC		TRY	4.370		07/2018		26,426,400		TRY	26,426		160,325		(335,978	)
USD vs. EUR/ Natwest Markets PLC		USD	1.250		10/2018		11,093,750		USD	11,094		61,408		(14,300	)
ZAR vs. GBP/ UBS AG		ZAR	19.520		10/2018		83,448,000		ZAR	83,448		75,703		(85,890	)
ZAR vs. USD/ Morgan Stanley Capital Services LLC		ZAR	12.640		07/2018		66,972,920		ZAR	66,973		61,061		(419,180	)
Put
USD vs. EUR/ Natwest Markets PLC		USD	1.170		10/2018		10,383,750		USD	10,384		86,975		(137,751	)

											$	1,487,980	$	(1,817,413	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS


Description	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2018			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
CDX-NAHY Series 29, 5 Year Index, 12/20/22*		(5.00	)%		Quarterly		3.38	%		USD	40,600	$	(2,588,830	)	$	(2,801,340	)	$	212,510
CDX-NAHY Series 30, 5 Year Index, 6/20/23*		(5.00	)		Quarterly		3.59			USD	17,700		(1,062,612	)		(1,181,609	)		118,997
iTraxx Europe Crossover Series 21, 5 Year Index, 6/20/19*		(5.00	)		Quarterly		0.86			EUR	3		(137	)		(138	)		1
iTraxx Europe Crossover Series 27, 5 Year Index, 6/20/22*		(5.00	)		Quarterly		2.33			EUR	13,260		(1,566,022	)		(1,749,879	)		183,857
Sale Contracts
CDX-NAHY Series 21, 5 Year Index, 12/20/18*		5.00			Quarterly		0.96			USD	6,734		141,178			47,653			93,525
CDX-NAHY Series 28, 5 Year Index, 6/20/22*		5.00			Quarterly		2.98			USD	5		358			366			(8	)
CDX-NAHY Series 28, 5 Year Index, 6/20/22*		5.00			Quarterly		2.98			USD	13,417		971,173			992,307			(21,134	)
CDX-NAHY Series 29, 5 Year Index, 12/20/22*		5.00			Quarterly		3.38			USD	40,600		2,588,830			2,843,076			(254,246	)
CDX-NAHY Series 30, 5 Year Index, 6/20/23*		5.00			Quarterly		3.59			USD	86,390		5,186,389			5,294,342			(107,953	)
iTraxx Europe Crossover Series 27, 5 Year Index, 6/20/22*		5.00			Quarterly		2.33			EUR	13,259		1,565,904			1,803,586			(237,682	)
iTraxx Europe Crossover Series 29, 5 Year Index, 6/20/23*		5.00			Quarterly		3.19			EUR	13,260		1,263,522			1,542,433			(278,911	)

												$	6,499,753		$	6,790,797		$	(291,044	)

*	Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS


				Rate Type
Notional Amount (000)		Termination Date		Payments made by the Fund	Payments received by the Fund	Payment Frequency Paid/ Received	Unrealized Appreciation/ (Depreciation)
USD	144,205		1/17/20	3 Month LIBOR	2.170%	Quarterly/Semi-Annual	$	(515,346	)
USD	144,205		1/17/20	3 Month LIBOR	2.204%	Quarterly/Semi-Annual		(419,322	)
USD	58,295		1/17/23	2.389%	3 Month LIBOR	Semi-Annual/Quarterly		920,636
USD	58,295		1/17/23	2.420%	3 Month LIBOR	Semi-Annual/Quarterly		834,359

							$	820,327

CREDIT DEFAULT SWAPS


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2018			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Barclays Bank PLC
Brazilian Government International Bond, 4.250%, 1/07/25, 6/20/23*		1.00	%		Quarterly		2.68	%		USD	1,130	$	(83,067	)	$	(42,251	)	$	(40,816	)
Brazilian Government International Bond, 4.250%, 1/07/25, 6/20/23*		1.00			Quarterly		2.68			USD	1,347		(99,019	)		(50,365	)		(48,654	)
Brazilian Government International Bond, 4.250%, 1/07/25, 6/20/23*		1.00			Quarterly		2.68			USD	1,520		(111,736	)		(56,860	)		(54,876	)
Brazilian Government International Bond, 4.250%, 1/07/25, 6/20/23*		1.00			Quarterly		2.68			USD	1,813		(133,275	)		(67,820	)		(65,455	)
CCO Holdings, LLC, 5.750%, 1/15/24, 6/20/19*		5.00			Quarterly		0.26			USD	828		39,428			18,078			21,350


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2018			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Citibank, NA
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00	%		Monthly		5.94	%		USD	454	$	(46,853	)	$	(52,750	)	$	5,897
Credit Suisse International
CDX-CMBX.NA.BB Series 6, 5/11/63*		5.00			Monthly		11.00			USD	5,000		(955,639	)		(804,466	)		(151,173	)
International Game Technology, 4.750%, 2/15/23, 6/20/22*		5.00			Quarterly		1.83			EUR	310		45,151			27,979			17,172
Deutsche Bank AG
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	364		(37,595	)		(44,125	)		6,530
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	258		(26,626	)		(29,617	)		2,991
Goldman Sachs Bank USA
Avis Budget Car Rental LLC, 5.250%, 3/15/25, 6/20/22*		5.00			Quarterly		3.10			USD	1,225		85,406			64,896			20,510
United States Steel Corp., 6.650%, 6/01/37, 12/20/21*		5.00			Quarterly		1.25			USD	700		85,099			(39,253	)		124,352
Goldman Sachs International
CDX-CMBX.NA.BB Series 6, 5/11/63*		5.00			Monthly		11.00			USD	5,000		(956,333	)		(889,141	)		(67,192	)
CDX-CMBX.NA.BB Series 6, 5/11/63*		5.00			Monthly		11.00			USD	2,071		(395,771	)		(315,393	)		(80,378	)
CDX-CMBX.NA.BB Series 6, 5/11/63*		5.00			Monthly		11.00			USD	5,000		(955,639	)		(849,020	)		(106,619	)
CDX-CMBX.NA.BB Series 6, 5/11/63*		5.00			Monthly		11.00			USD	2,929		(559,868	)		(446,164	)		(113,704	)
CDX-CMBX.NA.BB Series 6, 5/11/63*		5.00			Monthly		11.00			USD	10,000		(1,911,278	)		(1,534,563	)		(376,715	)
CDX-CMBX.NA.BB Series 6, 5/11/63*		5.00			Monthly		11.00			USD	13,500		(2,580,225	)		(2,068,876	)		(511,349	)
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	1,041		(107,431	)		(116,151	)		8,720


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2018			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00	%		Monthly		5.94	%		USD	719	$	(74,261	)	$	(80,270	)	$	6,009
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	530		(54,696	)		(58,743	)		4,047
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	133		(13,726	)		(14,848	)		1,122
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	360		(37,182	)		(36,771	)		(411	)
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	180		(18,591	)		(16,681	)		(1,910	)
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	360		(37,182	)		(33,981	)		(3,201	)
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	371		(38,318	)		(32,394	)		(5,924	)
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	2,158		(222,885	)		(192,840	)		(30,045	)
Morgan Stanley Capital Services LLC
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	1,272		(131,270	)		(143,892	)		12,622
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	1,188		(122,602	)		(129,052	)		6,450
CDX-CMBX.NA.BBB- Series 6, 5/11/63*		3.00			Monthly		5.94			USD	10,000		(1,031,167	)		(114,482	)		(916,685	)
South Africa Government International Bond, 5.500%, 12/05/22, 6/20/23*		1.00			Quarterly		2.15			USD	2,640		(134,006	)		(71,433	)		(62,573	)
Weatherford International LLC, 4.500%, 4/15/22, 6/20/23*		1.00			Quarterly		6.01			USD	190		(37,544	)		(48,597	)		11,053

												$	(10,658,701	)	$	(8,269,846	)	$	(2,388,855	)

*	Termination date

TOTAL RETURN SWAPS

Counterparty & Referenced Obligation

# of Shares
or Units

Rate Paid/
Received

Payment
Frequency

Notional
Amount
(000)

Maturity
Date

Unrealized
Appreciation/
(Depreciation)

Receive Total Return on Reference Obligation

Goldman Sachs International

iBoxx $ Liquid High Yield Index

82,221

LIBOR

Quarterly

USD

21,876

9/20/18

138,739

iBoxx $ Liquid High Yield Index

54,490

LIBOR

Quarterly

USD

14,525

9/20/18

64,808

iBoxx $ Liquid High Yield Index

38,317

LIBOR

Quarterly

USD

10,209

9/20/18

50,343

Morgan Stanley Capital Services LLC

iBoxx $ Liquid High Yield Index

16,951

LIBOR

Quarterly

USD

4,520

9/20/18

18,683

272,573

VARIANCE SWAPS


Swap Counterparty & Referenced Obligation	Volatility Strike Rate			Payment Frequency		Notional Amount (000)		Market Value			Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Deutsche Bank AG
AUD/JPY 1/14/20*		11.12	%		Maturity	AUD	154	$	39,977		$	– 0	–	$	39,977
AUD/JPY 3/03/20*		12.75			Maturity	AUD	78		(13,349	)		– 0	–		(13,349	)
AUD/JPY 4/16/20*		12.25			Maturity	AUD	187		4,465			– 0	–		4,465
AUD/JPY 5/07/20*		12.22			Maturity	AUD	116		5,528			– 0	–		5,528
Goldman Sachs Bank USA
AUD/JPY 3/10/20*		12.90			Maturity	AUD	36		(7,518	)		– 0	–		(7,518	)
AUD/JPY 3/11/20*		12.80			Maturity	AUD	42		(7,316	)		– 0	–		(7,316	)

								$	21,787		$	– 0	–	$	21,787

*	Termination date

REVERSE REPURCHASE AGREEMENTS


Broker	Principal Amount (000)		Currency	Interest Rate			Maturity	U.S. $ Value at June 30, 2018
Barclays Capital, Inc.†		664	USD		(7.50	)%*	—	$	661,294
Barclays Capital, Inc.†		1,330	USD		(1.00	)%*	—		1,322,463
Barclays Capital, Inc.†		799	USD		(0.88	)%*	—		796,598
Barclays Capital, Inc.†		2,467	USD		0.25	%	—		2,462,574
Barclays Capital, Inc.†		1,104	USD		0.75	%	—		1,107,289
Barclays Capital, Inc.†		1,121	USD		1.50	%	—		1,124,672
Barclays Capital, Inc.†		440	USD		1.50	%	—		441,024
Barclays Capital, Inc.†		1,598	USD		1.75	%	—		1,602,471
Barclays Capital, Inc.†		1,233	USD		1.75	%	—		1,238,062
Barclays Capital, Inc.†		1,452	USD		1.85	%	—		1,458,731
Barclays Capital, Inc.†		1,588	USD		2.00	%	—		1,595,753
Credit Suisse Securities (USA) LLC†		615	USD		(5.00	)%*	—		608,500
Credit Suisse Securities (USA) LLC†		479	EUR		(1.25	)%*	—		556,474
Credit Suisse Securities (USA) LLC†		1,285	EUR		(1.00	)%*	—		1,496,188


Broker	Principal Amount (000)		Currency	Interest Rate			Maturity		U.S. $ Value at June 30, 2018
Credit Suisse Securities (USA) LLC†		328	EUR		(1.00	)%*		—	$	382,813
Credit Suisse Securities (USA) LLC†		1,329	USD		(0.25	)%*		—		1,326,412
Credit Suisse Securities (USA) LLC†		882	USD		0.50	%		—		881,934
Credit Suisse Securities (USA) LLC†		544	USD		1.50	%		—		544,550
JPMorgan Chase Bank, NA		39,450	USD		2.00	%		7/26/18		39,601,225
JPMorgan Chase Bank, NA†		1,308	EUR		(0.90	)%*		—		1,525,917
JPMorgan Chase Bank, NA†		819	USD		1.00	%		—		820,490
RBC Capital Markets†		316	USD		(1.50	)%*		—		315,299
RBC Capital Markets†		313	USD		1.50	%		—		313,598
RBC Capital Markets†		1,529	USD		1.75	%		—		1,537,255
RBC Capital Markets†		988	USD		1.75	%		—		991,995
RBC Capital Markets†		1,477	USD		1.80	%		—		1,483,894
RBC Capital Markets†		1,054	USD		1.80	%		—		1,058,948
RBC Capital Markets†		1,188	USD		1.85	%		—		1,193,867

									$	68,450,290

†	The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on June 30, 2018.

*	Interest payment due from counterparty.

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

Overnight and
Continuous

Up to 30 Days

31-90 Days

Greater than
90 Days

Total

Corporates - Non-Investment Grade

27,234,594

– 0

–

– 0

–

– 0

–

27,234,594

Governments - Treasuries

– 0

–

39,601,225

– 0

–

– 0

–

39,601,225

Emerging Markets - Sovereigns

544,550

– 0

–

– 0

–

– 0

–

544,550

Corporates - Investment Grade

441,024

– 0

–

– 0

–

– 0

–

441,024

Emerging Markets - Corporate Bonds

628,897

– 0

–

– 0

–

– 0

–

628,897

Total

28,849,065

39,601,225

– 0

–

– 0

–

68,450,290

**	Principal amount less than 500.

(a)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2018, the aggregate market value of these securities amounted to $409,636,992 or 35.9% of net assets.

(b)

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

(c)

Security in which significant unobservable inputs (Level 3) were used in determining fair value.

(d)

Illiquid security.

(e)

Fair valued by the Adviser.

(f)

Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at June 30, 2018.

(g)

Defaulted matured security.

(h)

Non-income producing security.

(i)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 2.57% of net assets as of June 30, 2018, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

Aveta, Inc.

10.50%, 3/01/21

12/18/17

0.00

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

6.268%, 7/25/25

7/27/15

510,097

516,680

0.05

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

8.468%, 4/25/26

4/29/16

1,136,817

1,151,553

0.10

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

13.968%, 4/25/26

4/29/16

282,749

295,520

0.03

Consumer Loan Underlying Bond Credit Trust Series 2018-3, Class PT

8.532%, 3/16/43

3/07/18

320,187

319,654

0.03

Consumer Loan Underlying Bond Credit Trust Series 2018-4, Class PT

6.63%, 5/15/43

3/27/18

1,297,182

1,299,315

0.11

Creditcorp

12.00%, 7/15/18

6/28/13

1,299,889

1,286,874

0.11

Dominican Republic International Bond

16.00%, 7/10/20

12/08/10

3,767,837

3,155,431

0.28

Exide Technologies

7.00%, 4/30/25

4/30/15

4,427,425

3,309,884

0.29

Exide Technologies

11.00%, 4/30/22

4/30/15

3,964,202

3,955,467

0.35

Fideicomiso PA Pacifico Tres

7.00%, 1/15/35

3/04/16

1,949,380

2,402,365

0.21

K2016470219 South Africa Ltd.

3.00%, 12/31/22

1/31/17

1,253,366

19,628

0.00

K2016470260 South Africa Ltd.

25.00%, 12/31/22

1/31/17

262,775

80,129

0.01

Liberty Tire Recycling LLC

9.50%, 1/15/23

1/03/18

559,251

0.05

Magnetation LLC/Mag Finance Corp.

11.00%, 5/15/18

5/15/13

2,295,760

0.00

Modular Space Corp.

2/23/17

1,330,993

1,844,577

0.16

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

Zero Coupon, 8/25/25

7/28/17

949,817

872,206

0.08

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

Zero Coupon, 2/25/26

6/15/17

931,484

686,553

0.06

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

Zero Coupon, 5/25/26

5/11/17

1,107,300

898,957

0.08

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

Zero Coupon, 5/26/26

6/28/17

1,032,000

911,110

0.08

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

Zero Coupon, 9/25/26

9/18/17

1,313,468

1,118,712

0.10

SoFi Consumer Loan Program LLC Series 2017-6, Class R1

Zero Coupon, 11/25/26

11/09/17

1,485,665

1,427,989

0.13

SoFi Consumer Loan Program Trust Series 2018-1, Class R1

Zero Coupon, 2/25/27

2/01/18

1,569,021

0.14

144A/Restricted & Illiquid Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

Texas Competitive/TCEH

11.50%, 10/01/20

4/14/11

0.00

Tonon Luxembourg SA

7.25%, 1/24/20

1/16/13

1,624,599

79,140

0.01

Vantage Drilling International

10.00%, 12/31/20

2/10/16

83,582

85,260

0.01

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

1/23/14 –2/12/14

2,401,854

215,542

0.02

Virgolino de Oliveira Finance SA

10.875%, 1/13/20

6/09/14

477,418

132,000

0.01

Virgolino de Oliveira Finance SA

11.75%, 2/09/22

1/29/14 – 2/05/14

838,866

81,081

0.01

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

7.46%, 11/25/25

9/28/15

613,944

716,722

0.06

(j)

Restricted and illiquid security.

Restricted & Illiquid Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

CHC Group LLC

3/10/17

3,697,479

374,499

0.03

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

3/10/17

2,258,402

2,948,211

0.26

Exide Technologies

4/30/15

112,260

200,045

0.02

Exide Technologies

4/30/15

28,931

51,555

0.00

Momentive Performance Materials, Inc.

8.875%, 10/15/20

10/11/12

0.00

Mt. Logan Re Ltd. (Preference Shares)

12/30/14

2,953,000

2,912,631

0.26

(k)

Convertible security.

(l)

Floating Rate Security. Stated interest/floor/ceiling rate was in effect at June 30, 2018.

(m)

Defaulted.

(n)

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

(o)

Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.

(p)

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

(q)

Inverse interest only security.

(r)

Maturity date 6/5/2115.

(s)

The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at June 30, 2018.

(t)

This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase.

(u)

IO - Interest Only.

(v)

Variable rate coupon, rate shown as of June 30, 2018.

(w)

To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.

(x)

Affiliated investments.

(y)

The rate shown represents the 7-day yield as of period end.

(z)

As of June 30, 2018, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $70,415,525 and gross unrealized depreciation of investments was $(98,481,474), resulting in net unrealized depreciation of $(28,065,949).

Currency Abbreviations:


ARS	-	Argentine Peso
AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CNH	-	Chinese Yuan Renminbi (Offshore)
COP	-	Colombian Peso
DOP	-	Dominican Peso
EGP	-	Egyptian Pound
EUR	-	Euro
GBP	-	Great British Pound
HKD	-	Hong Kong Dollar
IDR	-	Indonesian Rupiah
ILS	-	Israeli Shekel
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
LKR	-	Sri Lankan Rupee
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
RUB	-	Russian Ruble
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
UYU	-	Uruguayan Peso
ZAR	-	South African Rand

Glossary:


12MTA	-	12 Month Treasury Average
ABS	-	Asset-Backed Securities
ARMs	-	Adjustable Rate Mortgages
ARPP7DRR	-	Argentina Central Bank 7-Day Repo Reference Rate
BADLAR	-	Argentina Deposit Rates Badlar Private Banks
CBOE	-	Chicago Board Options Exchange
CBT	-	Chicago Board of Trade
CDX-CMBX.NA	-	North American Commercial Mortgage-Backed Index
CDX-NAHY	-	North American High Yield Credit Default Swap Index
CMBS	-	Commercial Mortgage-Backed Securities
ETF	-	Exchange Traded Fund
EURIBOR	-	Euro Interbank Offered Rate
H15T	-	U.S. Treasury Yield Curve Rate T Note Constant Maturity
JSC	-	Joint Stock Company
LIBOR	-	London Interbank Offered Rates
REIT	-	Real Estate Investment Trust

COUNTRY BREAKDOWN¹

June 30, 2018 (unaudited)


	61.9%			United States
	3.9%			Brazil
	2.6%			United Kingdom
	2.3%			Argentina
	1.8%			Canada
	1.7%			Luxembourg
	1.7%			Turkey
	1.7%			France
	1.5%			Indonesia
	1.2%			Netherlands
	1.1%			Italy
	1.1%			Dominican Republic
	0.8%			Malaysia
	12.6%			Other
	4.1%			Short-Term

	100.0%			Total Investments

All data are as of June 30, 2018. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.8% or less in the following countries: Angola, Australia, Bahrain, Belarus, Cameroon, Cayman Islands, Chile, China, Colombia, Costa Rica, Denmark, Ecuador, Egypt, El Salvador, Finland, Gabon, Germany, Ghana, Guatemala, Honduras, India, Iraq, Ireland, Israel, Ivory Coast, Jamaica, Jersey (Channel Islands), Jordan, Kazakhstan, Kenya, Lebanon, Macau, Mexico, Mongolia, Nigeria, Norway, Peru, Russia, Senegal, South Africa, Sri Lanka, Sweden, Switzerland, Trinidad & Tobago, Ukraine, United Arab Emirates, Uruguay, Venezuela and Zambia.

AB Global High Income Fund

June 30, 2018 (unaudited)

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

•

Level 1—quoted prices in active markets for identical investments

•

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

•

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

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

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

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

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

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

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

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

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of June 30, 2018:

Investments in Securities

Level 1

Level 2

Level 3

Total

Assets:

Corporates - Non-Investment Grade

– 0

–

458,458,027

10,786,836

469,244,863

Governments - Treasuries

– 0

–

145,705,567

– 0

–

145,705,567

Collateralized Mortgage Obligations

– 0

–

129,963,767

– 0

–

129,963,767

Emerging Markets - Sovereigns

– 0

–

74,951,349

– 0

–

74,951,349

Corporates - Investment Grade

– 0

–

73,470,640

– 0

–

73,470,640

Emerging Markets - Treasuries

– 0

–

51,088,454

– 0

–

51,088,454

Emerging Markets - Corporate Bonds

– 0

–

49,774,162

465,601

50,239,763

Bank Loans

– 0

–

35,540,095

3,776,540

39,316,635

Commercial Mortgage-Backed Securities

– 0

–

2,204,996

23,479,277

25,684,273

Common Stocks

7,111,404

374,499

13,118,747

20,604,650

Asset-Backed Securities

– 0

–

765,875

17,411,796

18,177,671

Preferred Stocks

2,431,391

– 0

–

10,930,698

13,362,089

Inflation-Linked Securities

– 0

–

4,792,768

2,402,365

7,195,133

Governments - Sovereign Bonds

– 0

–

5,756,342

– 0

–

5,756,342

Local Governments - Regional Bonds

– 0

–

5,411,859

– 0

–

5,411,859

Local Governments - US Municipal Bonds

– 0

–

5,331,958

– 0

–

5,331,958

Investment Companies.

5,231,730

– 0

–

– 0

–

5,231,730

Collateralized Loan Obligations

– 0

–

– 0

–

1,926,445

Quasi-Sovereigns

– 0

–

1,342,822

– 0

–

1,342,822

Whole Loan Trusts

– 0

–

– 0

–

776,343

Option Purchased- Puts

– 0

–

292,866

– 0

–

292,866

Warrants

30,460

– 0

–

230,698

261,158

Option Purchased- Calls

– 0

–

220,729

– 0

–

220,729

Rights

– 0

–

– 0

–

5,950

Short-Term Investments:

Investment Companies

42,394,744

– 0

–

– 0

–

42,394,744

Governments - Treasuries

– 0

–

2,979,022

– 0

–

2,979,022

Time Deposits

– 0

–

2,308,215

– 0

–

2,308,215

Emerging Markets - Sovereigns

– 0

–

1,472,822

– 0

–

1,472,822

Total Investments in Securities

57,199,729

1,052,206,834

85,311,296

1,194,717,859

Other Financial Instruments*:

Assets

Futures

424,234

– 0

–

– 0

–

424,234

Forward Currency Exchange Contracts

– 0

–

11,603,462

– 0

–

11,603,462

Centrally Cleared Credit Default Swaps

– 0

–

11,717,354

– 0

–

11,717,354

Centrally Cleared Interest Rate Swaps

– 0

–

1,754,995

– 0

–

1,754,995

Credit Default Swaps

– 0

–

255,084

– 0

–

255,084

Total Return Swaps

– 0

–

272,573

– 0

–

272,573

Variance Swaps

– 0

–

49,970

– 0

–

49,970

Liabilities

Futures

(116,439

)

– 0

–

– 0

–

(116,439

)

Forward Currency Exchange Contracts

– 0

–

(6,320,423

)

– 0

–

(6,320,423

)

Credit Default Swaptions Written

– 0

–

(66,897

)

– 0

–

(66,897

)

Currency Options Written

– 0

–

(1,817,413

)

– 0

–

(1,817,413

)

Centrally Cleared Credit Default Swaps

– 0

–

(5,217,601

)

– 0

–

(5,217,601

)

Centrally Cleared Interest Rate Swaps

– 0

–

(934,668

)

– 0

–

(934,668

)

Credit Default Swaps

– 0

–

(10,913,785

)

– 0

–

(10,913,785

)

Variance Swaps

– 0

–

(28,183

)

– 0

–

(28,183

)

Reverse Repurchase Agreements

(68,450,290

)

– 0

–

– 0

–

(68,450,290

)

Total^

(10,942,766

)

1,052,561,302

85,311,296

1,126,929,832

#	The Fund held securities with zero market value at period end.

Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value.

^	There were de minimis transfers under 1% of net assets from Level 1 to Level 2 during the reporting period. There were no transfers from Level 2 to Level 1 during the reporting period.

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

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


	Corporates - Non- Investment Grade#			Emerging Markets - Corporate Bonds			Bank Loans			Commercial Mortgage-Backed Securities
Balance as of 3/31/18	$	15,053,741		$	553,206		$	1,590,628		$	22,880,554
Accrued discounts/(premiums)		(10,136	)		(42,947	)		340			13,720
Realized gain (loss)		60,460			– 0	–		5			– 0	–
Change in unrealized appreciation/depreciation		1,265,671			(44,658	)		18,797			317,407
Purchases		4,465,610			– 0	–		3,084,500			267,596
Sales/Paydowns		(7,790,429	)		– 0	–		(1,390	)		– 0	–
Transfers into Level 3		373,908			– 0	–		472,424			– 0	–
Transfers out of Level 3		(2,631,989	)		– 0	–		(1,388,764	)		– 0	–

Balance as of 6/30/18	$	10,786,836		$	465,601		$	3,776,540		$	23,479,277

Net change in unrealized appreciation/depreciation from investments held as of 6/30/18	$	(736,304	)	$	(44,657	)	$	18,797		$	317,407

	Common Stocks#			Asset-Backed Securities			Preferred Stocks			Inflation-Linked Securites
Balance as of 3/31/18	$	13,010,053		$	14,570,891		$	11,080,588		$	2,520,151
Accrued discounts/(premiums)		– 0	–		26,315			– 0	–		1,685
Realized gain (loss)		(181,932	)		298,847			116,086			– 0	–
Change in unrealized appreciation/depreciation		734,208			(407,334	)		169,465			(119,471	)
Purchases		3,360,716			2,689,986			1,062,845			– 0	–
Sales/Paydowns		(3,278,330	)		(738,869	)		(1,498,286	)		– 0	–
Transfers into Level 3		– 0	–		971,960			– 0	–		– 0	–
Transfers out of Level 3		(525,968	)		– 0	–		– 0	–		– 0	–

Balance as of 6/30/18	$	13,118,747		$	17,411,796		$	10,930,698		$	2,402,365

Net change in unrealized appreciation/depreciation from investments held as of 6/30/18	$	823,370		$	(407,334	)	$	285,551		$	(119,471	)

	Collateralized Loan Obligations			Whole Loan Trusts			Warrants#			Rights
Balance as of 3/31/18	$	1,927,561		$	2,309,413		$	225,992		$	– 0	–
Accrued discounts/(premiums)		3,343			787			– 0	–		– 0	–
Realized gain (loss)		– 0	–		(725,773	)		– 0	–		– 0	–
Change in unrealized appreciation/depreciation		(4,459	)		484,176			4,706			5,950
Purchases		– 0	–		– 0	–		– 0	–		– 0	–
Sales/Paydowns		– 0	–		(1,292,260	)		– 0	–		– 0	–
Transfers into Level 3		– 0	–		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–		– 0	–

Balance as of 6/30/18	$	1,926,445		$	776,343		$	230,698		$	5,950

Net change in unrealized appreciation/depreciation from investments held as of 6/30/18	$	(4,459	)	$	(129,938	)	$	4,706		$	5,950


	Total
Balance as of 3/31/18	$	85,722,778
Accrued discounts/(premiums)		(6,893	)
Realized gain (loss)		(432,307	)
Change in unrealized appreciation/depreciation		2,424,458
Purchases		14,931,253
Sales/Paydowns		(14,599,564	)
Transfers into Level 3		1,818,292
Transfers out of Level 3		(4,546,721	)

Balance as of 6/30/18	$	85,311,296	+

Net change in unrealized appreciation/depreciation from investments held as of 6/30/18	$	13,618

#	The fund held securities with zero market value that were sold/expired/written off during the reporting period.

+	There were de minimis transfers from Level 3 to Level 1 during the reporting period. There were de minimis transfers from Level 3 and Level 2 during the reporting period. There were no transfers from Level 2 to Level 3 during the reporting period.

The following presents information about significant unobservable inputs related to the Fund’s Level 3 investments at June 30, 2018. Securities priced (i) by the third party vendors, (ii) by brokers or (iii) using prior transaction prices, which approximates fair value, are excluded from the following table:

Quantitative Information about Level 3 Fair Value Measurements


	Fair Value at 6/30/18		Valuation Technique	Unobservable Input	Range/ Weighted Average
Corporates—Non-Investment Grade	$	559,251	Qualitative Assessment	Par Value	$	100.00 /N/A
	$	336,499	Recovery Analysis	Collateral Value	$	100.00 /N/A

	$	895,750

Common Stocks	$	2,912,631	Market Approach	NAV Equivalent	$	986.33 /N/A
	$	2,391,399	Market Approach	Liquidation Value	$	324.74 /N/A
	$	390,485	Market Approach	EBITDA* Projection	$	49.9 mm /N/A
				EBITDA* Multiples		5.4X-7.4X /6.4X
	$	386,377	Market Approach	Adjusted EBITDA*	$	505mm /N/A
				Adjusted EBITDA* Margin		23.9% /N/A
	$	253,170	Market Approach	EBITDA* Projection	$	43.3 mm / N/A
				EBITDA* Multiples		3.8X-5.8X / 4.8X
	$	251,600	Market Approach	EBITDA* Projection	$	194.00 mm /N/A
				EBITDA* Multiples		5.0X-6.0X / 5.5X
	$	83,847	Market Approach	EBITDA* Projection	$	386.1 mm / N/A
				EBITDA* Multiples		14.1X / N/A
	$	75,446	Market Approach	EBITDA* Projection	$	99 mm /N/A
				EBITDA* Multiples		5.1X / N/A
	$	– 0 –	Qualitative Assessment		$	0.00/ N/A

	$	6,744,955

Preferred Stocks	$	1,062,845	Market Approach	Adjusted EBITDA*	$	505mm / N/A
				Adjusted EBITDA* Margin		23.9% / N/A
Whole Loan Trusts	$	565,786	Recovery Analysis	Cumulative Loss		<20% / N/A
	$	98,505	Discounted Cash Flow	Level Yield		34.22% / N/A
	$	66,756	Discounted Cash Flow	Level Yield		29.12% / N/A
	$	45,269	Discounted Cash Flow	Level Yield		38.08% / N/A

	$	776,316

*	Earning Before Interest, Taxes, Depreciation and Amortization.

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

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

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

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

A summary of the Fund’s transactions in AB mutual funds for the three months ended June 30, 2018 is as follows:


Fund	Market Value 3/31/18 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Market Value 6/30/18 (000)		Dividend Income (000)
Government Money Market Portfolio	$	16,318	$	93,079	$	67,002	$	42,395	$	75

ITEM 2.

CONTROLS AND PROCEDURES.

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

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

ITEM 3.

EXHIBITS.

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


EXHIBIT NO.		DESCRIPTION OF EXHIBIT

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

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

SIGNATURES

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

(Registrant) AllianceBernstein Global High Income Fund, Inc.


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

Date:		August 23, 2018

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


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

Date:		August 23, 2018

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

Date:		August 23, 2018