BLACKROCK DEBT STRATEGIES FUND, INC.

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Debt Strategies Fund,



Common Stocks		Shares		Value
Chemicals — 0.0%
GEO Specialty Chemicals, Inc. (a)			557,488	$	22,300
GEO Specialty Chemicals, Inc. (a)(b)			481,806		19,272
LyondellBasell Industries NV, Class A			26		2,348

					43,920
Diversified Financial Services — 0.2%
Kcad Holdings I Ltd.			1,075,282,733		1,494,643
Diversified Telecommunication Services — 0.0%
Broadview Networks Holdings, Inc. (a)			5,037		6,548
Electric Utilities — 0.1%
Vistra Energy Corp (a)			39,599		552,406
Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.			10,718		17,417
Media — 0.0%
Adelphia Communications Corp., Class A (a)			400,000		4
Adelphia Recovery Trust (a)			396,568		397

					401
Oil, Gas & Consumable Fuels — 0.0%
Denbury Resources, Inc.			37,600		142,128
Southcross Holdings LP			94		32,900

					175,028
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp. (a)			1,707		11,539
Specialty Retail — 0.0%
Things Remembered, Inc. (a)			1,199,043		12
Total Common Stocks — 0.3%					2,301,914



Asset-Backed Securities		Par (000)
Asset-Backed Securities — 3.6%
ACAS CLO Ltd., Series 2015-1A, Class D, 4.53%, 4/18/27 (b)(c)	USD		280		267,164
ALM Loan Funding, Series 2013-7RA (b)(c):
Class C, 4.33%, 4/24/24			605		605,010
Class D, 5.88%, 4/24/24			1,150		1,150,034
ALM VII R-2, Ltd., Series 2013-7R2A, Class C, 4.33%, 4/24/24 (b)(c)			250		250,004
ALM XIV Ltd., Series 2014-14A, Class C, 4.34%, 7/28/26 (b)(c)			463		453,525


Asset-Backed Securities	Par (000)			Value
Asset-Backed Securities (continued)
Anchorage Capital CLO Ltd., Series 2015-6A, Class E1, 5.78%, 4/15/27 (b)(c)		USD	750	$	632,854
Apidos CDO, Series 2015-21A, Class C, 4.43%, 7/18/27 (b)(c)			250		232,112
Ares CLO Ltd., Class D:
Series 2015-38A, 5.03%, 1/20/27 (b)(c)			1,000		1,002,000
Series 2016-41A, 5.09%, 1/15/29			450		443,381
Arrowpoint CLO Ltd., Series 2013-1A, Class CR, 5.51%, 11/15/28 (b)(c)			800		799,200
Atlas Senior Loan Fund Ltd. (b)(c):
Series 2012-1A, Class B2L, 7.16%, 8/15/24			340		340,026
Series 2014-6A, Class D, 4.58%, 10/15/26			1,240		1,199,470
Atrium CDO Corp., Series 9A, Class D, 4.44%, 2/28/24 (b)(c)			1,300		1,284,518
BlueMountain CLO Ltd., Class E (b)(c):
Series 2014-4A, 6.24%, 11/30/26			250		225,088
Series 2015-2A, 6.23%, 7/18/27			250		217,747
Burnham Park CLO Ltd., Series 2016-1A, Class D, 4.71%, 10/20/29 (b)(c)			1,000		988,900
Carlyle Global Market Strategies CLO Ltd. (b)(c):
Series 2012-4A, Class DR, 4.98%, 1/20/29			1,000		1,000,000
Series 2013-1A, Class C, 4.90%, 2/14/25			250		249,969
Series 2015-2A, Class C, 4.64%, 4/27/27			250		245,046
Series 2015-2A, Class D, 6.19%, 4/27/27			1,000		911,180
CFIP CLO Ltd., Series 2013-1A, Class D, 4.63%, 4/20/24 (b)(c)			1,500		1,475,680
CIFC Funding 2012-III, Ltd., Series 2012-3A, Class B1R, 4.88%, 1/29/25 (b)(c)			1,000		1,000,000
CIFC Funding Ltd., Series 2014-3A, Class D, 4.28%, 7/22/26 (b)(c)			250		237,863
Flatiron CLO Ltd., Series 2014-1A, Class D, 4.48%, 1/15/23 (b)(c)			1,000		1,000,021
Highbridge Loan Management Ltd., Series 6A-2015 (b)(c):
Class D, 4.53%, 5/05/27			300		281,481
Class E1, 6.33%, 5/05/27			1,250		1,119,848


Asset-Backed Securities		Par (000)		Value
Asset-Backed Securities (continued)
Madison Park Funding IX Ltd., Series 2012-9AR, Class DR, 4.76%, 8/15/22 (b)(c)	USD		655	$	651,308
Madison Park Funding X, Ltd., Series 2012-10A, Class DR, 5.08%, 1/20/29 (b)(c)			1,500		1,500,000
Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class CR, 5.13%, 11/14/27 (b)(c)			1,000		1,000,000
OCP CLO Ltd., Series 2012-2A, Class DR, 5.35%, 11/22/25 (b)(c)			1,000		989,000
OZLM IX Ltd., Series 2014-9A, Class C, 4.48%, 1/20/27 (b)(c)			750		730,913
OZLM XII Ltd., Series 2015-12A, Class C, 4.59%, 4/30/27 (b)(c)			340		328,979
Sound Point CLO IV Ltd., Series 2013-3A, Class D, 4.38%, 1/21/26 (b)(c)			500		483,325
Stewart Park CLO Ltd., Series 2015-1A, Class E, 6.33%, 4/15/26 (b)(c)			500		444,754
TICP CLO I Ltd., Series 2015-1A, Class D, 4.43%, 7/20/27 (b)(c)			250		230,468
Venture XI CLO Ltd., Series 2012-11AR, Class DR, 4.26%, 11/14/22 (b)(c)			250		247,919
Venture XII CLO Ltd., Series 2012-12A, Class D, 4.59%, 2/28/24 (b)(c)			250		246,168
Venture XX CLO Ltd., Series 2015-20A, Class D, 4.73%, 4/15/27 (b)(c)			250		238,952
Venture XXI CLO Ltd., Series 2015-21A, Class D, 4.48%, 7/15/27 (b)(c)			500		480,015
Voya CLO Ltd., Series 2012-2AR, Class ER, 6.88%, 10/15/22 (b)(c)			1,250		1,244,950
Webster Park CLO Ltd., Series 2015-1A (b)(c):
Class B1, 3.98%, 1/20/27			500		506,894
Class C, 4.93%, 1/20/27			500		502,019
Total Asset-Backed Securities — 3.6%					27,437,785


Corporate Bonds		Par (000)		Value
Aerospace & Defense — 1.7%
Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (b)	USD		167	$	130,678
Bombardier, Inc. (b):
7.50%, 3/15/18			48		51,552
5.50%, 9/15/18			1,047		1,118,405
6.00%, 10/15/22			519		455,422
6.13%, 1/15/23			435		375,188
7.50%, 3/15/25			1,767		1,570,686
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (b)			307		319,280
KLX, Inc., 5.88%, 12/01/22 (b)			1,462		1,494,895
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (b)			100		108,000
TransDigm, Inc.:
6.00%, 7/15/22			2,915		3,002,450
6.50%, 7/15/24			1,911		1,980,274
6.38%, 6/15/26(b)			2,142		2,179,485

					12,786,315
Air Freight & Logistics — 0.4%
XPO Logistics, Inc.:
5.75%, 6/15/21	EUR		100		110,896
6.50%, 6/15/22 (b)	USD		1,520		1,575,100
6.13%, 9/01/23 (b)			1,369		1,399,802

					3,085,798
Airlines — 1.3%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (b)			712		739,590
American Airlines Group, Inc., 4.63%, 3/01/20 (b)			542		538,612
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)			3,113		3,116,795
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18			2,390		2,479,625
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18			208		208,282
US Airways Pass-Through Trust, Series 2013-1, Class B, 5.38%, 5/15/23			2,034		2,104,743
Virgin Australia Trust, Series 2013-1, Class C, 7.13%, 10/23/18 (b)			609		618,098

					9,805,745


Corporate Bonds	Par (000)			Value
Auto Components — 0.9%
Allison Transmission, Inc., 5.00%, 10/01/24 (b)		USD	685	$	690,137
CNH Industrial Finance Europe SA, 2.88%, 5/17/23		EUR	175		187,644
Fiat Chrysler Finance Europe:
4.75%, 3/22/21			100		114,803
4.75%, 7/15/22			100		114,066
Goodyear Tire & Rubber Co., 5.00%, 5/31/26		USD	133		132,003
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19			4,609		4,643,567
IHO Verwaltungs GmbH (d):
(2.75% Cash or 3.50% PIK), 2.75%, 9/15/21		EUR	100		107,282
(3.25% Cash or 4.00% PIK), 3.25%, 9/15/23			200		211,269
Jaguar Land Rover Automotive PLC, 5.63%, 2/01/23 (b)		USD	425		438,281
Venture Holdings Co. LLC (a)(e):
12.00%, 7/01/49			5,150		1
Series B, 9.50%, 7/01/2005			5,125		1

					6,639,054
Banks — 0.9%
Allied Irish Banks PLC, 4.13%, 11/26/25 (c)		EUR	100		103,600
Banco Espirito Santo SA (a)(e):
2.63%, 5/08/17			100		30,206
4.75%, 1/15/18			200		60,411
4.00%, 1/21/19			100		30,206
Bank of Ireland, 4.25%, 6/11/24 (c)			100		106,699
Bankia SA, 4.00%, 5/22/24 (c)			300		315,246
CIT Group, Inc.:
5.00%, 5/15/17		USD	950		960,688
5.25%, 3/15/18			1,434		1,483,071
6.63%, 4/01/18(b)			295		309,750
5.50%, 2/15/19(b)			3,099		3,271,382
5.00%, 8/01/23			130		133,900
Commerzbank AG, 7.75%, 3/16/21		EUR	100		124,551
Ibercaja Banco SA, 5.00%, 7/28/25 (c)			100		99,554
Lloyds Bank PLC, 11.88%, 12/16/21 (c)			12		12,772

					7,042,036
Beverages — 0.0%
Constellation Brands, Inc., 7.25%, 5/15/17		USD	87		89,175


Corporate Bonds	Par (000)			Value
Building Materials — 0.0%
Titan Global Finance PLC, 3.50%, 6/17/21		EUR	100	$	109,599
Building Products — 1.0%
American Builders & Contractors Supply Co., Inc. (b):
5.63%, 4/15/21		USD	210		216,825
5.75%, 12/15/23			415		425,375
Builders FirstSource, Inc., 5.63%, 9/01/24 (b)			153		153,765
Building Materials Corp. of America (b):
5.38%, 11/15/24			190		193,325
6.00%, 10/15/25			1,174		1,220,960
CPG Merger Sub LLC, 8.00%, 10/01/21 (b)			740		762,200
Masonite International Corp., 5.63%, 3/15/23 (b)			579		589,132
Ply Gem Industries, Inc., 6.50%, 2/01/22			1,275		1,313,250
Standard Industries, Inc. (b):
5.13%, 2/15/21			84		87,360
5.50%, 2/15/23			453		465,458
USG Corp.:
7.75%, 1/15/18			980		1,033,900
5.88%, 11/01/21 (b)			1,233		1,287,326

					7,748,876
Capital Markets — 0.3%
Blackstone CQP Holdco LP, 9.30%, 3/19/19			1,487		1,497,876
E*Trade Financial Corp.:
5.38%, 11/15/22			773		819,197
Series A, 0.00%, 8/31/19 (f)(g)			100		334,316

					2,651,389
Chemicals — 2.0%
Axalta Coating Systems Dutch Holding B BV, 3.75%, 1/15/25		EUR	100		103,830
Axalta Coating Systems LLC, 4.88%, 8/15/24 (b)		USD	475		472,625
CF Industries, Inc., 4.95%, 6/01/43			930		737,025
Chemours Co.:
6.63%, 5/15/23			270		266,625
7.00%, 5/15/25			321		316,185
GEO Specialty Chemicals, Inc., 7.50%, 10/30/18			6,513		6,754,889
Huntsman International LLC:
5.13%, 4/15/21		EUR	100		113,139
5.13%, 11/15/22		USD	1,101		1,117,515
Ineos Finance PLC, 4.00%, 5/01/23		EUR	100		108,105


Corporate Bonds	Par (000)			Value
Chemicals (continued)
Inovyn Finance PLC, 6.25%, 5/15/21		EUR	100	$	111,284
Platform Specialty Products Corp. (b):
10.38%, 5/01/21		USD	506		552,805
6.50%, 2/01/22			3,375		3,324,375
PQ Corp., 6.75%, 11/15/22 (b)			967		1,022,603
PSPC Escrow Corp., 6.00%, 2/01/23		EUR	100		102,969
WR Grace & Co-Conn, 5.13%, 10/01/21 (b)		USD	118		123,900

					15,227,874
Commercial Services & Supplies — 0.9%
ADT Corp.:
3.50%, 7/15/22			765		721,012
4.13%, 6/15/23			435		414,337
4.88%, 7/15/32 (b)			268		222,440
Advanced Disposal Services, Inc., 5.63%, 11/15/24 (b)			608		601,920
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.68%, 12/01/17 (c)			190		189,763
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (b)			200		201,500
CEB, Inc., 5.63%, 6/15/23 (b)			760		737,200
Intelsat Jackson Holdings SA, 7.25%, 4/01/19			1,445		1,134,325
Mobile Mini, Inc., 5.88%, 7/01/24			104		107,640
Modular Space Corp., 10.25%, 1/31/19 (a)(b)(e)			1,955		1,036,150
Silk Bidco AS, 7.50%, 2/01/22		EUR	150		164,542
United Rentals North America, Inc.:
7.63%, 4/15/22		USD	858		907,335
5.75%, 11/15/24			165		170,775
Verisure Holding AB, 6.00%, 11/01/22		EUR	125		143,257

					6,752,196
Communications Equipment — 1.3%
Alcatel-Lucent USA, Inc., 6.45%, 3/15/29		USD	3,205		3,357,237
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (b)			944		984,120
CommScope, Inc. (b):
5.00%, 6/15/21			574		581,175
5.50%, 6/15/24			272		278,419
Zayo Group LLC/Zayo Capital, Inc.:
6.00%, 4/01/23			3,045		3,174,413
6.38%, 5/15/25			1,223		1,271,920

					9,647,284


Corporate Bonds	Par (000)			Value
Construction & Engineering — 0.4%
AECOM Co., 5.75%, 10/15/22		USD	1,045	$	1,094,638
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (b)			1,125		1,080,000
Engility Corp., 8.88%, 9/01/24 (b)			468		480,870
Swissport Investments SA, 6.75%, 12/15/21		EUR	100		112,900
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23		USD	350		318,500

					3,086,908
Construction Materials — 0.8%
Allegion US Holding Co., Inc., 5.75%, 10/01/21			117		121,680
HD Supply, Inc. (b):
5.25%, 12/15/21			2,410		2,542,550
5.75%, 4/15/24			2,935		3,001,037
LKQ Italia Bondco SpA, 3.88%, 4/01/24		EUR	100		109,959
PulteGroup, Inc., 5.50%, 3/01/26		USD	446		442,098
Rexel SA, 3.50%, 6/15/23		EUR	130		140,364

					6,357,688
Consumer Finance — 1.2%
Ally Financial, Inc.:
6.25%, 12/01/17		USD	30		31,088
5.13%, 9/30/24			1,207		1,207,000
4.63%, 3/30/25			216		209,520
8.00%, 11/01/31			5,181		5,880,435
Navient Corp.:
6.63%, 7/26/21			297		309,994
5.50%, 1/25/23			345		327,750
7.25%, 9/25/23			10		10,125
6.13%, 3/25/24			237		224,261
5.88%, 10/25/24			258		238,650
5.63%, 8/01/33			260		210,600
OneMain Financial Holdings LLC, 6.75%, 12/15/19 (b)			439		446,682

					9,096,105
Containers & Packaging — 2.7%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
3.85%, 12/15/19 (b)(c)			1,620		1,648,350
6.75%, 1/31/21 (b)			415		422,781
6.00%, 6/30/21 (b)			1,110		1,119,712
4.25%, 1/15/22		EUR	170		184,780
6.75%, 5/15/24			125		138,277
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. (b):
6.25%, 1/31/19		USD	603		612,799
4.63%, 5/15/23			559		551,663
7.25%, 5/15/24			2,455		2,565,475


Corporate Bonds	Par (000)			Value
Containers & Packaging (continued)
Ball Corp., 5.00%, 3/15/22		USD	823	$	866,208
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, 1/15/23			1,075		1,088,438
Crown European Holdings SA, 4.00%, 7/15/22		EUR	220		253,569
Graphic Packaging International, Inc., 4.13%, 8/15/24		USD	1,130		1,093,275
JH-Holding Finance SA, (8.25% Cash), 8.25%, 12/01/22 (d)		EUR	100		113,807
Reynolds Group Issuer, Inc.:
5.75%, 10/15/20		USD	3,099		3,188,096
6.88%, 2/15/21			172		177,576
8.25%, 2/15/21			194		200,516
4.38%, 7/15/21 (b)(c)			1,671		1,706,509
5.13%, 7/15/23 (b)			372		375,720
7.00%, 7/15/24 (b)			1,754		1,851,566
Sappi Papier Holding GmbH, 4.00%, 4/01/23		EUR	100		110,092
Sealed Air Corp.:
4.88%, 12/01/22 (b)		USD	120		122,700
4.50%, 9/15/23		EUR	100		114,156
6.88%, 7/15/33 (b)		USD	63		64,890
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (b)			1,476		1,487,070
Smurfit Kappa Acquisitions, 4.88%, 9/15/18 (b)			200		206,000
Verallia Packaging SASU, 5.13%, 8/01/22		EUR	100		110,489

					20,374,514
Diversified Consumer Services — 0.8%
APX Group, Inc.:
6.38%, 12/01/19		USD	283		290,075
7.88%, 12/01/22			695		741,912
Laureate Education, Inc., 9.25%, 9/01/19 (b)			427		410,454
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (b)			4,035		4,337,625
Service Corp. International, 4.50%, 11/15/20			307		313,217
Tereos Finance Groupe I SA, 4.13%, 6/16/23		EUR	100		106,590

					6,199,873
Diversified Financial Services — 0.3%
Aircastle Ltd.:
5.13%, 3/15/21		USD	33		34,733
5.50%, 2/15/22			427		448,350
Deutsche Bank AG, 4.25%, 10/14/21 (b)			150		147,713


Corporate Bonds		Par (000)		Value
Diversified Financial Services (continued)
FBM Finance, Inc., 8.25%, 8/15/21 (b)	USD		225	$	232,875
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22	GBP		100		128,561
HSH Nordbank AG, 0.53%, 2/14/17 (c)	EUR		129		133,617
Jefferies Finance LLC/JFIN Co-Issuer Corp. (b):
7.38%, 4/01/20	USD		625		610,937
6.88%, 4/15/22			516		485,040
ProGroup AG, 5.13%, 5/01/22	EUR		130		146,736
UniCredit SpA:
6.95%, 10/31/22			100		116,510
5.75%, 10/28/25 (c)			100		108,848
4.38%, 1/03/27 (c)			100		102,889

					2,696,809
Diversified Telecommunication Services — 2.0%
CenturyLink, Inc.:
6.45%, 6/15/21	USD		1,393		1,437,402
Series Y, 7.50%, 4/01/24			165		170,344
Cincinnati Bell, Inc., 7.00%, 7/15/24 (b)			1,562		1,632,290
Frontier Communications Corp.:
6.25%, 9/15/21			345		323,438
7.13%, 1/15/23			235		203,863
7.63%, 4/15/24			1,641		1,415,362
6.88%, 1/15/25			1,750		1,417,500
11.00%, 9/15/25			265		265,663
Level 3 Financing, Inc.:
4.76%, 1/15/18 (c)			646		646,807
5.38%, 8/15/22			925		941,187
5.13%, 5/01/23			1,120		1,118,600
5.38%, 1/15/24			712		715,560
5.38%, 5/01/25			869		864,655
5.25%, 3/15/26 (b)			411		403,807
OTE PLC, 3.50%, 7/09/20	EUR		100		107,772
SBA Communications Corp., 4.88%, 9/01/24 (b)	USD		1,105		1,064,944
SoftBank Group Corp., 4.75%, 7/30/25	EUR		129		146,633
Telecom Italia Capital SA:
6.38%, 11/15/33	USD		301		287,455
6.00%, 9/30/34			429		401,115
7.20%, 7/18/36			280		279,916
Telecom Italia Finance SA, 7.75%, 1/24/33	EUR		100		132,354
Telecom Italia SpA:
6.38%, 6/24/19	GBP		200		272,672
3.25%, 1/16/23	EUR		150		161,706
5.88%, 5/19/23	GBP		100		137,514
Telenet Finance V Luxembourg SCA, 6.75%, 8/15/24	EUR		322		375,399


Corporate Bonds	Par (000)			Value
Diversified Telecommunication Services (continued)
Windstream Corp., 7.75%, 10/01/21		USD	451	$	448,745
Windstream Services LLC, 7.50%, 6/01/22			339		320,250

					15,692,953
Electric Utilities — 0.0%
AES Corp., 4.88%, 5/15/23			256		248,320
Electrical Equipment — 0.0%
Areva SA, 4.88%, 9/23/24		EUR	50		52,860
Belden, Inc., 5.50%, 4/15/23			109		123,086

					175,946
Electronic Equipment, Instruments & Components — 0.6%
CDW LLC/CDW Finance Corp.:
6.00%, 8/15/22		USD	500		530,000
5.00%, 9/01/23			1,036		1,041,180
5.50%, 12/01/24			2,796		2,865,900

					4,437,080
Energy Equipment & Services — 0.5%
Ensco PLC, 4.50%, 10/01/24			205		164,000
Gates Global LLC/Gates Global Co., 6.00%, 7/15/22 (b)			568		542,440
Genesis Energy LP/Genesis Energy Finance Corp.:
5.75%, 2/15/21			103		103,515
6.75%, 8/01/22			557		569,533
GrafTech International Ltd., 6.38%, 11/15/20			150		118,500
Noble Holding International Ltd., 4.63%, 3/01/21			55		43,725
Transocean, Inc.:
2.50%, 10/15/17			354		353,823
6.00%, 3/15/18			1,094		1,100,837
7.38%, 4/15/18			90		91,800
5.55%, 10/15/22			322		284,165
9.00%, 7/15/23 (b)			32		32,400
Weatherford International Ltd., 9.88%, 2/15/24 (b)			356		366,680

					3,771,418
Environmental, Maintenance, & Security Service — 0.0%
Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18		EUR	100		108,406
Food & Staples Retailing — 1.1%
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC (b):
6.63%, 6/15/24		USD	308		318,349
5.75%, 3/15/25			748		734,012


Corporate Bonds	Par (000)			Value
Food & Staples Retailing (continued)
Casino Guichard Perrachon SA:
3.31%, 1/25/23		EUR	100	$	114,762
3.25%, 3/07/24			200		222,320
2.33%, 2/07/25			100		103,701
Dollar Tree, Inc.:
5.25%, 3/01/20		USD	69		71,242
5.75%, 3/01/23			4,108		4,385,290
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 5.88%, 1/15/24			127		133,667
Rite Aid Corp.:
9.25%, 3/15/20			435		455,119
6.75%, 6/15/21			32		33,730
6.13%, 4/01/23 (b)			1,865		1,993,498
7.70%, 2/15/27			56		69,160
Tesco PLC, 5.00%, 3/24/23		GBP	100		133,129

					8,767,979
Food Products — 1.1%
Acosta, Inc., 7.75%, 10/01/22 (b)		USD	475		393,063
Aramark Services, Inc.:
5.75%, 3/15/20			165		168,713
5.13%, 1/15/24 (b)			78		80,080
FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, 8/15/26 (b)			770		770,000
JBS USA LLC/JBS USA Finance, Inc. (b):
7.25%, 6/01/21			355		365,650
5.75%, 6/15/25			704		689,920
Post Holdings, Inc. (b):
7.75%, 3/15/24			837		922,792
8.00%, 7/15/25			508		570,382
5.00%, 8/15/26			2,562		2,424,292
Smithfield Foods, Inc.:
5.88%, 8/01/21 (b)			257		266,959
6.63%, 8/15/22			849		894,634
TreeHouse Foods, Inc., 6.00%, 2/15/24 (b)			274		284,275
WhiteWave Foods Co., 5.38%, 10/01/22			239		263,498

					8,094,258
Health Care Equipment & Supplies — 0.6%
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (b)			595		496,825
DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b)			1,872		1,633,320
Fresenius Medical Care US Finance, Inc., 5.75%, 2/15/21 (b)			820		885,600
IDH Finance PLC, 6.25%, 8/15/22		GBP	100		117,300


Corporate Bonds	Par (000)			Value
Health Care Equipment & Supplies (continued)
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (b):
4.88%, 4/15/20		USD	350	$	343,000
5.75%, 8/01/22			990		923,175
5.63%, 10/15/23			185		167,425

					4,566,645
Health Care Providers & Services — 4.1%
Acadia Healthcare Co., Inc.:
5.13%, 7/01/22			872		843,660
6.50%, 3/01/24			122		121,390
Alere, Inc., 6.38%, 7/01/23 (b)			406		409,553
Amsurg Corp., 5.63%, 7/15/22			2,812		2,871,755
Centene Corp.:
5.63%, 2/15/21			716		737,480
4.75%, 5/15/22			262		258,070
6.13%, 2/15/24			311		316,007
CHS/Community Health Systems, Inc.:
5.13%, 8/15/18			156		152,100
8.00%, 11/15/19			75		59,063
6.88%, 2/01/22			994		662,874
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24			810		799,875
HCA Holdings, Inc., 6.25%, 2/15/21			510		535,245
HCA, Inc.:
3.75%, 3/15/19			1,048		1,071,580
6.50%, 2/15/20			1,744		1,898,780
7.50%, 2/15/22			430		478,375
5.88%, 3/15/22			1,148		1,232,665
4.75%, 5/01/23			658		662,935
5.00%, 3/15/24			1,015		1,017,537
5.38%, 2/01/25			1,528		1,495,530
5.25%, 4/15/25			66		66,495
5.88%, 2/15/26			1,572		1,566,105
5.25%, 6/15/26			580		580,626
4.50%, 2/15/27			1,227		1,156,447
HealthSouth Corp., 5.75%, 11/01/24			1,134		1,136,835
Hologic, Inc., 5.25%, 7/15/22 (b)			475		492,813
MEDNAX, Inc., 5.25%, 12/01/23 (b)			574		582,610
MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (b)			1,696		1,782,920
New Amethyst Corp., 6.25%, 12/01/24 (b)(h)			302		312,570
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (b)			609		606,716
Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (b)			128		128,640


Corporate Bonds	Par (000)			Value
Health Care Providers & Services (continued)
Surgery Center Holdings, Inc., 8.88%, 4/15/21 (b)		USD	146	$	152,570
Tenet Healthcare Corp.:
6.25%, 11/01/18			607		632,798
4.75%, 6/01/20			1,190		1,176,612
4.35%, 6/15/20 (c)			989		989,000
6.00%, 10/01/20			2,918		2,972,712
4.50%, 4/01/21			24		23,280
7.50%, 1/01/22 (b)(h)			380		390,688
6.75%, 6/15/23			1,355		1,158,525

					31,533,436
Hotels, Restaurants & Leisure — 2.7%
Boyd Gaming Corp., 6.88%, 5/15/23			758		805,375
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20			1,428		1,492,260
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (b)(d)			204		200,940
Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21		EUR	100		104,660
ESH Hospitality, Inc., 5.25%, 5/01/25 (b)		USD	1,018		984,915
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18			391		404,685
International Game Technology PLC, 6.25%, 2/15/22 (b)			200		212,500
KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC (b):
5.00%, 6/01/24			66		66,660
5.25%, 6/01/26			234		236,340
MGM Resorts International:
8.63%, 2/01/19			474		526,140
5.25%, 3/31/20			1,261		1,323,262
6.75%, 10/01/20			275		301,125
6.63%, 12/15/21			1,352		1,477,060
4.63%, 9/01/26			1,410		1,343,025
MGP Escrow Issuer LLC/MGP Escrow Co-Issuer, Inc., 5.63%, 5/01/24 (b)			2,920		3,058,700
New Red Finance, Inc., 6.00%, 4/01/22 (b)			2,115		2,204,887
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20		EUR	100		109,756
Sabre GLBL, Inc., 5.25%, 11/15/23 (b)		USD	221		223,763
Scientific Games International, Inc.:
7.00%, 1/01/22 (b)			86		90,730
10.00%, 12/01/22			2,120		1,987,500


Corporate Bonds	Par (000)			Value
Hotels, Restaurants & Leisure (continued)
Six Flags Entertainment Corp., 5.25%, 1/15/21 (b)		USD	842	$	867,892
Station Casinos LLC, 7.50%, 3/01/21			1,938		2,030,055
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/16 (a)(e)			800		—
Unique Pub Finance Co. PLC, Series A4, 5.66%, 6/30/27		GBP	283		371,319
Vue International Bidco PLC, 7.88%, 7/15/20			147		191,247

					20,614,796
Household Durables — 0.6%
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)		USD	285		286,425
CalAtlantic Group, Inc.:
8.38%, 1/15/21			1,090		1,267,125
5.25%, 6/01/26			285		276,450
Lennar Corp.:
4.75%, 11/15/22			475		483,313
4.88%, 12/15/23			265		261,025
Meritage Homes Corp., 4.50%, 3/01/18			589		600,780
Ryland Group, Inc., 6.63%, 5/01/20			130		142,675
Standard Pacific Corp., 5.88%, 11/15/24			360		369,900
TRI Pointe Group, Inc.:
4.38%, 6/15/19			435		441,525
4.88%, 7/01/21			525		534,187

					4,663,405
Household Products — 0.3%
Spectrum Brands, Inc.:
6.63%, 11/15/22			1,810		1,918,600
6.13%, 12/15/24			87		92,220
5.75%, 7/15/25			462		479,325

					2,490,145
Independent Power and Renewable Electricity Producers — 0.9%
AES Corp.:
7.38%, 7/01/21			559		613,502
5.50%, 3/15/24			725		714,125
6.00%, 5/15/26			201		197,483
Calpine Corp., 5.38%, 1/15/23			128		123,572
Dynegy, Inc.:
6.75%, 11/01/19			665		671,650
7.38%, 11/01/22			231		219,450
NRG Energy, Inc.:
7.88%, 5/15/21			124		128,650
6.25%, 5/01/24			50		48,375


Corporate Bonds	Par (000)			Value
Independent Power and Renewable Electricity Producers (continued)
NRG Energy, Inc. (continued):
7.25%, 5/15/26 (b)		USD	415	$	405,662
6.63%, 1/15/27 (b)			1,399		1,294,075
NRG Yield Operating LLC, 5.38%, 8/15/24			195		193,538
QEP Resources, Inc., 5.38%, 10/01/22			2,090		2,032,525

					6,642,607
Industrial Conglomerates — 0.3%
Cortes NP Acquisition Corp., 9.25%, 10/15/24 (b)			2,009		2,025,323
Insurance — 0.4%
Assicurazioni Generali SpA, 7.75%, 12/12/42 (c)		EUR	100		121,900
HUB International Ltd. (b):
9.25%, 2/15/21		USD	367		378,010
7.88%, 10/01/21			994		1,015,122
Wayne Merger Sub LLC, 8.25%, 8/01/23 (b)			1,560		1,579,500

					3,094,532
Internet & Direct Marketing Retail — 0.1%
Netflix, Inc., 4.38%, 11/15/26 (b)			474		461,562
Internet Software & Services — 0.3%
Equinix, Inc., 5.88%, 1/15/26			997		1,034,397
IAC/InterActiveCorp, 4.88%, 11/30/18			588		596,820
Netflix, Inc.:
5.50%, 2/15/22			72		77,040
5.75%, 3/01/24			259		273,893
5.88%, 2/15/25			132		141,255

					2,123,405
IT Services — 1.6%
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)			795		814,875
First Data Corp. (b):
7.00%, 12/01/23			4,762		4,985,243
5.75%, 1/15/24			4,436		4,491,450
Millennium Corp., 0.00%, 12/31/49			2,240		—
Western Digital Corp., 10.50%, 4/01/24 (b)			933		1,079,947
WEX, Inc., 4.75%, 2/01/23 (b)			601		590,483

					11,961,998
Machinery — 0.2%
Gardner Denver, Inc., 6.88%, 8/15/21 (b)			380		374,300
SPX FLOW, Inc. (b):
5.63%, 8/15/24			359		352,717


Corporate Bonds	Par (000)			Value
Machinery (continued)
SPX FLOW, Inc. (b) (continued):
5.88%, 8/15/26		USD	359	$	350,923
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22		EUR	100		112,042

					1,189,982
Media — 9.3%
Adria Bidco BV, 7.88%, 11/15/20			200		220,555
Altice Financing SA:
5.25%, 2/15/23			100		110,648
7.50%, 5/15/26 (b)		USD	663		672,116
Altice Luxembourg SA (b):
7.75%, 5/15/22			1,110		1,162,725
7.63%, 2/15/25			203		208,075
Altice US Finance I Corp. (b):
5.38%, 7/15/23			2,707		2,737,454
5.50%, 5/15/26			637		630,630
AMC Networks, Inc.:
4.75%, 12/15/22			156		156,195
5.00%, 4/01/24			1,160		1,162,900
Cablevision Systems Corp.:
7.75%, 4/15/18			362		380,553
8.00%, 4/15/20			502		539,650
CBS Radio, Inc., 7.25%, 11/01/24 (b)			602		632,473
CCO Holdings LLC/CCO Holdings Capital Corp.:
5.13%, 2/15/23			1,110		1,140,525
5.88%, 4/01/24 (b)			654		692,423
5.75%, 2/15/26 (b)			1,148		1,179,570
5.50%, 5/01/26 (b)			774		781,740
5.88%, 5/01/27 (b)			1,565		1,596,300
Cellnex Telecom SA, 2.38%, 1/16/24		EUR	100		103,421
Cequel Communications Holdings I LLC/Cequel Capital Corp. (b):
6.38%, 9/15/20		USD	420		428,400
5.13%, 12/15/21			1,570		1,548,212
7.75%, 7/15/25			2,269		2,427,830
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 7/23/25 (b)			1,300		1,357,005
Clear Channel International BV, 8.75%, 12/15/20 (b)			700		731,500
Clear Channel Worldwide Holdings, Inc.:
6.50%, 11/15/22			7,365		7,396,950
Series B, 7.63%, 3/15/20			2,524		2,489,295
Columbus Cable Barbados Ltd., 7.38%, 3/30/21 (b)			850		904,188


Corporate Bonds	Par (000)			Value
Media (continued)
CSC Holdings LLC:
10.13%, 1/15/23 (b)		USD	512	$	590,080
5.25%, 6/01/24			2,031		1,903,859
6.63%, 10/15/25 (b)			1,298		1,401,840
10.88%, 10/15/25 (b)			1,590		1,852,350
DISH DBS Corp.:
5.88%, 7/15/22			1,830		1,894,050
5.88%, 11/15/24			457		463,284
7.75%, 7/01/26			2,518		2,779,242
eircom Finance DAC, 4.50%, 5/31/22		EUR	100		109,421
Hughes Satellite Systems Corp. (b):
5.25%, 8/01/26		USD	408		386,070
6.63%, 8/01/26			1,136		1,093,400
iHeartCommunications, Inc.:
9.00%, 12/15/19			450		354,375
9.00%, 3/01/21			160		118,000
9.00%, 9/15/22			930		688,200
Intelsat Jackson Holdings SA, 5.50%, 8/01/23			1,467		957,218
LG Finance Co. Corp., 5.88%, 11/01/24 (b)			231		229,845
MDC Partners, Inc., 6.50%, 5/01/24 (b)			580		498,075
Midcontinent Communications & Midcontinent Finance Corp. (b):
6.25%, 8/01/21			265		276,594
6.88%, 8/15/23			309		324,836
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)			538		543,380
Nexstar Escrow Corp., 5.63%, 8/01/24 (b)			531		525,690
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (b)			410		418,200
Numericable Group SA, 5.38%, 5/15/22		EUR	100		110,171
Outfront Media Capital LLC/Outfront Media Capital Corp.:
5.25%, 2/15/22		USD	130		134,875
5.63%, 2/15/24			242		248,655
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (b)			485		514,100
SFR Group SA (b):
6.00%, 5/15/22			1,192		1,200,940
7.38%, 5/01/26			4,095		4,084,762
Sirius XM Radio, Inc. (b):
4.25%, 5/15/20			141		143,468
5.75%, 8/01/21			464		484,300
4.63%, 5/15/23			60		58,950


Corporate Bonds	Par (000)			Value
Media (continued)
Sterling Entertainment Corp., 9.75%, 12/15/19		USD	1,300	$	1,287,000
TEGNA, Inc.:
5.13%, 10/15/19			215		220,446
4.88%, 9/15/21 (b)			249		256,159
5.50%, 9/15/24 (b)			289		293,335
Telesat Canada/Telesat LLC, 8.88%, 11/15/24 (b)			457		466,711
Tribune Media Co., 5.88%, 7/15/22			1,583		1,543,742
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
4.00%, 1/15/25		EUR	198		213,197
3.50%, 1/15/27			200		203,491
Univision Communications, Inc. (b):
5.13%, 5/15/23		USD	3,152		3,037,740
5.13%, 2/15/25			1,170		1,108,575
Virgin Media Receivables Financing Notes I DAC, 5.50%, 9/15/24		GBP	100		122,057
Virgin Media Secured Finance PLC:
5.38%, 4/15/21 (b)		USD	1,152		1,188,000
5.25%, 1/15/26 (b)			975		943,313
5.50%, 8/15/26 (b)			320		313,600
4.88%, 1/15/27		GBP	100		119,552
6.25%, 3/28/29			233		300,946
WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)		USD	1,300		1,345,500
Wind Acquisition Finance SA:
7.00%, 4/23/21		EUR	100		109,429
7.38%, 4/23/21 (b)		USD	1,205		1,229,100
Ziggo Bond Finance BV, 5.88%, 1/15/25 (b)			1,095		1,075,837

					71,157,293
Metals & Mining — 4.8%
Alcoa Nederland Holding BV (b):
6.75%, 9/30/24			208		223,080
7.00%, 9/30/26			270		286,200
Alcoa, Inc.:
6.15%, 8/15/20			1,395		1,503,391
5.13%, 10/01/24			1,371		1,398,420
5.90%, 2/01/27			280		284,200
Anglo American Capital PLC:
1.50%, 4/01/20		EUR	100		105,312
3.50%, 3/28/22			100		111,227
ArcelorMittal:
7.25%, 2/25/22		USD	61		68,625
8.00%, 10/15/39			178		188,235
7.75%, 3/01/41			938		963,701
Constellium NV (b):
8.00%, 1/15/23			2,600		2,684,500
5.75%, 5/15/24			1,175		1,092,750


Corporate Bonds	Par (000)			Value
Metals & Mining (continued)
First Quantum Minerals Ltd. (b):
7.00%, 2/15/21		USD	440	$	433,400
7.25%, 5/15/22			435		421,950
FMG Resources August 2006 Property Ltd., 9.75%, 3/01/22 (b)			553		637,941
Freeport-McMoRan, Inc.:
2.38%, 3/15/18			3,710		3,682,175
3.10%, 3/15/20			850		835,125
4.00%, 11/14/21			804		787,920
3.55%, 3/01/22			1,144		1,082,796
3.88%, 3/15/23			4,595		4,319,300
5.40%, 11/14/34			1,271		1,112,125
5.45%, 3/15/43			1,313		1,122,615
Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (b)			482		525,380
Novelis Corp. (b):
6.25%, 8/15/24			1,758		1,819,530
5.88%, 9/30/26			1,904		1,901,620
Nyrstar NV, Series NYR, 5.00%, 7/11/22 (g)		EUR	100		105,434
Steel Dynamics, Inc.:
5.13%, 10/01/21		USD	790		823,575
6.38%, 8/15/22			595		626,238
5.25%, 4/15/23			1,015		1,053,063
5.50%, 10/01/24			138		145,935
Teck Resources Ltd.:
3.00%, 3/01/19			250		248,125
3.75%, 2/01/23			1,148		1,090,600
8.50%, 6/01/24 (b)			722		842,935
6.13%, 10/01/35			181		181,036
6.00%, 8/15/40			511		495,670
6.25%, 7/15/41			429		430,094
5.20%, 3/01/42			1,118		1,011,790
5.40%, 2/01/43			532		481,460
United States Steel Corp., 8.38%, 7/01/21 (b)			624		689,520
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (b)			820		850,750

					36,667,743
Multi-Utilities — 0.2%
NGL Energy Partners LP/NGL Energy Finance Corp.:
6.88%, 10/15/21			390		389,025
7.50%, 11/01/23 (b)			780		778,050

					1,167,075
Multiline Retail — 0.1%
Neiman Marcus Group Ltd. (b):
8.00%, 10/15/21			1,035		812,475


Corporate Bonds	Par (000)			Value
Multiline Retail (continued)
Neiman Marcus Group Ltd. (b) (continued):
(8.75% Cash or 9.50% PIK), 8.75%, 10/15/21 (d)		USD	150	$	113,250

					925,725
Offshore Drilling & Other Services — 0.0%
Sensata Technologies BV, 5.63%, 11/01/24 (b)			220		229,350
Oil, Gas & Consumable Fuels — 9.0%
California Resources Corp., 8.00%, 12/15/22 (b)			1,672		1,337,600
Carrizo Oil & Gas, Inc., 6.25%, 4/15/23			750		765,000
Cenovus Energy, Inc.:
5.70%, 10/15/19			89		94,676
5.20%, 9/15/43			60		54,593
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (b)			912		971,280
Chesapeake Energy Corp.:
7.25%, 12/15/18			150		155,813
4.13%, 4/15/19 (c)			863		815,535
6.63%, 8/15/20			65		62,888
6.88%, 11/15/20			100		93,500
4.88%, 4/15/22			620		528,550
8.00%, 12/15/22 (b)			140		144,900
Concho Resources, Inc., 6.50%, 1/15/22			172		178,450
CONSOL Energy, Inc.:
5.88%, 4/15/22			6,195		5,947,200
8.00%, 4/01/23			40		40,800
Continental Resources, Inc.:
5.00%, 9/15/22			239		238,402
4.50%, 4/15/23			321		312,172
3.80%, 6/01/24			1,613		1,492,025
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:
6.00%, 12/15/20			65		66,138
6.25%, 4/01/23			90		91,350
CrownRock LP/CrownRock Finance, Inc. (b):
7.13%, 4/15/21			635		658,812
7.75%, 2/15/23			105		111,825
DCP Midstream LLC (b):
4.75%, 9/30/21			745		756,175
6.45%, 11/03/36			250		246,250
6.75%, 9/15/37			426		427,065
Denbury Resources, Inc.:
9.00%, 5/15/21 (b)			1,288		1,336,300
5.50%, 5/01/22			438		358,065
4.63%, 7/15/23			108		83,160


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Encana Corp.:
3.90%, 11/15/21		USD	148	$	146,292
5.15%, 11/15/41			454		394,476
Energy Transfer Equity LP:
7.50%, 10/15/20			200		223,500
5.88%, 1/15/24			1,078		1,104,950
5.50%, 6/01/27			494		481,650
EP Energy LLC/Everest Acquisition Finance, Inc., 8.00%, 11/29/24 (b)			625		643,750
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (b)			738		776,745
Genesis Energy LP/Genesis Energy Finance Corp.:
6.00%, 5/15/23			184		184,000
5.63%, 6/15/24			85		82,875
Gulfport Energy Corp.:
6.63%, 5/01/23			163		170,335
6.00%, 10/15/24 (b)			962		978,835
Halcon Resources Corp., 8.63%, 2/01/20 (b)			270		276,885
Hilcorp Energy I LP/Hilcorp Finance Co. (b):
5.00%, 12/01/24			461		465,610
5.75%, 10/01/25			168		170,520
MEG Energy Corp. (b):
6.50%, 3/15/21			2,599		2,339,100
6.38%, 1/30/23			54		47,655
7.00%, 3/31/24			694		605,515
Murphy Oil Corp., 6.88%, 8/15/24			673		708,332
NGPL PipeCo LLC (b):
7.12%, 12/15/17			5,023		5,211,362
9.63%, 6/01/19			435		454,575
7.77%, 12/15/37			887		926,915
Noble Energy, Inc., 5.63%, 5/01/21			248		257,339
Oasis Petroleum, Inc.:
6.50%, 11/01/21			1,004		1,014,040
6.88%, 3/15/22			797		820,910
ONEOK, Inc., 7.50%, 9/01/23			190		215,057
Paramount Resources, Ltd., 6.88%, 6/30/23 (b)			2,515		2,647,037
PDC Energy, Inc.:
7.75%, 10/15/22			452		476,860
6.13%, 9/15/24 (b)			415		425,375
QEP Resources, Inc.:
6.88%, 3/01/21			52		53,560
5.25%, 5/01/23			95		92,150
Range Resources Corp. (b):
5.75%, 6/01/21			277		279,770
5.88%, 7/01/22			1,343		1,349,715
5.00%, 8/15/22			10		9,625


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Range Resources Corp. (b) (continued):
5.00%, 3/15/23		USD	555	$	532,800
Resolute Energy Corp., 8.50%, 5/01/20			639		640,597
Rockies Express Pipeline LLC (b):
6.85%, 7/15/18			99		103,950
6.00%, 1/15/19			26		27,040
5.63%, 4/15/20			140		145,250
6.88%, 4/15/40			564		572,460
RSP Permian, Inc., 6.63%, 10/01/22			356		373,800
Sabine Pass Liquefaction LLC:
5.63%, 2/01/21			630		667,800
6.25%, 3/15/22			204		219,810
5.63%, 4/15/23			5,633		5,886,485
5.75%, 5/15/24			872		919,960
5.63%, 3/01/25			208		216,840
5.88%, 6/30/26 (b)			821		867,181
5.00%, 3/15/27 (b)			105		103,688
Sanchez Energy Corp.:
7.75%, 6/15/21			672		638,400
6.13%, 1/15/23			2,736		2,394,000
Seven Generations Energy Ltd. (b):
8.25%, 5/15/20			381		405,289
6.75%, 5/01/23			324		340,605
SM Energy Co.:
6.50%, 11/15/21			375		379,687
6.13%, 11/15/22			187		187,468
5.00%, 1/15/24			931		877,467
5.63%, 6/01/25			390		374,400
Southwestern Energy Co.:
7.50%, 2/01/18			42		43,890
5.80%, 1/23/20			1,385		1,412,700
4.10%, 3/15/22			442		406,640
6.70%, 1/23/25			80		79,200
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (b):
5.13%, 2/01/25			158		155,927
5.38%, 2/01/27			92		90,850
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.38%, 8/01/22			120		123,600
Tesoro Logistics LP/Tesoro Logistics Finance Corp.:
6.13%, 10/15/21			81		84,746
6.25%, 10/15/22			833		891,310
Weatherford International LLC, 6.80%, 6/15/37			57		45,030
Weatherford International Ltd.:
4.50%, 4/15/22			184		159,506
6.50%, 8/01/36			145		111,650


Corporate Bonds	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Weatherford International Ltd. (continued):
5.95%, 4/15/42		USD	68	$	50,334
Whiting Petroleum Corp.:
5.00%, 3/15/19			199		196,513
1.25%, 6/05/20 (g)			697		901,744
5.75%, 3/15/21 (g)			281		383,994
6.25%, 4/01/23 (g)			66		88,698
Williams Cos., Inc.:
3.70%, 1/15/23			35		32,988
4.55%, 6/24/24			2,079		2,027,025
5.75%, 6/24/44			1,017		961,065
WPX Energy, Inc.:
5.25%, 1/15/17			70		70,088
7.50%, 8/01/20			115		121,325
6.00%, 1/15/22			1,583		1,622,084
8.25%, 8/01/23			400		441,000

					68,780,723
Paper & Forest Products — 0.0%
International Paper Co., 7.30%, 11/15/39			5		6,249
Pharmaceuticals — 1.5%
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (b)(d)			132		132,054
Ephios Bondco PLC, 6.25%, 7/01/22		EUR	100		114,199
Ephios Holdco II PLC, 8.25%, 7/01/23			100		113,635
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22		USD	937		965,110
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24 (b)			976		988,200
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (b)			2,123		2,186,860
NBTY, Inc., 7.63%, 5/15/21 (b)			1,899		1,872,889
Valeant Pharmaceuticals International, Inc. (b):
6.75%, 8/15/18			961		910,547
5.38%, 3/15/20			35		29,400
7.00%, 10/01/20			1,441		1,246,465
7.50%, 7/15/21			1,561		1,319,045
5.63%, 12/01/21			568		437,360
7.25%, 7/15/22			1,010		828,200
5.88%, 5/15/23			79		58,855
6.13%, 4/15/25			220		162,800

					11,365,619


Corporate Bonds	Par (000)			Value
Real Estate Investment Trusts (REITs) — 0.3%
Hilton Domestic Operating Co., Inc., 4.25%, 9/01/24 (b)		USD	423	$	414,540
iStar, Inc.:
4.00%, 11/01/17			535		536,337
5.00%, 7/01/19			375		368,438
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.50%, 9/01/26 (b)			714		683,655

					2,002,970
Real Estate Management & Development — 0.4%
Realogy Group LLC/Realogy Co-Issuer Corp. (b):
4.50%, 4/15/19			391		400,775
5.25%, 12/01/21			541		553,172
4.88%, 6/01/23			1,867		1,792,320
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (b)			245		248,063

					2,994,330
Road & Rail — 0.8%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.13%, 6/01/22 (b)			1,880		1,814,200
EC Finance PLC, 5.13%, 7/15/21		EUR	115		126,758
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b)		USD	1,338		1,378,140
Herc Rentals, Inc. (b):
7.50%, 6/01/22			222		228,938
7.75%, 6/01/24			55		56,513
Hertz Corp.:
7.38%, 1/15/21			1,122		1,126,488
5.50%, 10/15/24(b)			714		622,072
Loxam SAS, 3.50%, 5/03/23		EUR	100		104,660
United Rentals North America, Inc., 5.50%, 7/15/25		USD	2		2,015
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (b)			350		358,750

					5,818,534
Semiconductors & Semiconductor Equipment — 0.6%
Advanced Micro Devices, Inc., 7.50%, 8/15/22			200		214,000
Micron Technology, Inc. (b):
5.25%, 8/01/23			433		427,587
5.63%, 1/15/26			282		274,950
Microsemi Corp., 9.13%, 4/15/23 (b)			67		77,553
NXP BV/NXP Funding LLC (b):
4.13%, 6/15/20			861		895,440
4.13%, 6/01/21			347		361,748
4.63%, 6/15/22			1,050		1,110,375
4.63%, 6/01/23			202		213,110


Corporate Bonds	Par (000)			Value
Semiconductors & Semiconductor Equipment (continued)
Sensata Technologies BV, 5.00%, 10/01/25 (b)		USD	852	$	839,220
Sensata Technologies UK Financing Co. PLC, 6.25%, 2/15/26 (b)			200		209,500

					4,623,483
Software — 2.2%
BMC Software Finance, Inc., 8.13%, 7/15/21 (b)			1,731		1,557,900
Inception Merger Sub, Inc./Rackspace Hosting, Inc., 8.63%, 11/15/24 (b)			1,910		1,910,000
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (b)(d)			1,666		1,670,165
Infor US, Inc., 6.50%, 5/15/22			3,047		3,130,792
Informatica LLC, 7.13%, 7/15/23 (b)			840		793,800
JDA Escrow LLC/JDA Bond Finance, Inc., 7.38%, 10/15/24 (b)			145		148,806
Nuance Communications, Inc. (b):
5.38%, 8/15/20			1,020		1,042,950
6.00%, 7/01/24			835		857,963
PTC, Inc., 6.00%, 5/15/24			197		207,343
Solera LLC/Solera Finance, Inc., 10.50%, 3/01/24 (b)			2,716		3,001,180
SS&C Technologies Holdings, Inc., 5.88%, 7/15/23			1,485		1,514,700
TIBCO Software, Inc., 11.38%, 12/01/21 (b)			959		918,242

					16,753,841
Specialty Retail — 0.6%
Asbury Automotive Group, Inc., 6.00%, 12/15/24			1,605		1,617,037
JC Penney Corp., Inc., 7.40%, 4/01/37			341		301,785
L Brands, Inc., 6.88%, 11/01/35			723		723,000
Penske Automotive Group, Inc.:
5.75%, 10/01/22			365		373,213
5.38%, 12/01/24			646		634,695
Sally Holdings LLC/Sally Capital, Inc.:
5.75%, 6/01/22			146		151,293
5.50%, 11/01/23			570		592,800
Sonic Automotive, Inc., 5.00%, 5/15/23			146		140,890
THOM Europe SAS, 7.38%, 7/15/19		EUR	100		111,553

					4,646,266


Corporate Bonds	Par (000)			Value
Technology Hardware, Storage & Peripherals — 0.4%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b):
4.42%, 6/15/21		USD	365	$	375,583
7.13%, 6/15/24			1,277		1,395,083
6.02%, 6/15/26			445		468,147
8.35%, 7/15/46			385		451,446
Western Digital Corp., 7.38%, 4/01/23 (b)			391		422,280

					3,112,539
Textiles, Apparel & Luxury Goods — 0.0%
BiSoho SAS, 5.88%, 5/01/23		EUR	100		112,998
PVH Corp., 4.50%, 12/15/22		USD	122		122,915

					235,913
Thrifts & Mortgage Finance — 0.0%
Jerrold Finco PLC, 6.25%, 9/15/21		GBP	100		124,970
Trading Companies & Distributors — 0.0%
Ashtead Capital, Inc., 5.63%, 10/01/24 (b)		USD	320		332,800
Transportation Infrastructure — 0.0%
Jack Cooper Enterprises, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (b)(d)			1,256		138,149
Utilities — 0.0%
ContourGlobal Power Holdings SA, 5.13%, 6/15/21		EUR	100		110,193
Wireless Telecommunication Services — 3.4%
Communications Sales & Leasing, Inc./CSL Capital LLC, 8.25%, 10/15/23		USD	2,830		2,971,500
Crown Castle Towers LLC, 6.11%, 1/15/40 (b)			375		411,713
Digicel Group Ltd., 7.13%, 4/01/22 (b)			485		360,113
Digicel Ltd., 6.00%, 4/15/21 (b)			2,628		2,282,760
GEO Group, Inc.:
5.88%, 1/15/22			90		89,775
5.88%, 10/15/24			360		347,400
6.00%, 4/15/26			295		283,200
Matterhorn Telecom SA, 3.88%, 5/01/22		EUR	100		106,473
Sprint Capital Corp.:
6.90%, 5/01/19		USD	270		281,475
6.88%, 11/15/28			1,973		1,897,829
Sprint Communications, Inc.:
9.00%, 11/15/18 (b)			6,417		7,050,679
7.00%, 8/15/20			540		560,250
Sprint Corp.:
7.88%, 9/15/23			1,079		1,114,067
7.13%, 6/15/24			4,028		4,005,363


Corporate Bonds	Par (000)			Value
Wireless Telecommunication Services (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 3/20/23 (b)		USD	902	$	904,255
T-Mobile USA, Inc.:
6.63%, 4/28/21			390		407,062
6.13%, 1/15/22			81		84,813
6.73%, 4/28/22			1,172		1,224,564
6.00%, 3/01/23			653		684,017
6.84%, 4/28/23			85		90,206
6.50%, 1/15/24			584		623,963
Wind Acquisition Finance SA, 4.00%, 7/15/20		EUR	168		180,280

					25,961,757
Total Corporate Bonds — 67.9%					519,216,956



Floating Rate Loan Interests (c)
Aerospace & Defense — 0.9%
BE Aerospace, Inc., 2014 Term Loan B, 3.85%, 12/16/21		USD	1,426		1,429,245
Camp International Holding Co., 2016 1st Lien Term Loan, 4.75%, 8/11/23			640		639,603
Engility Corp.:
Term Loan B1, 4.86%, 8/12/20			245		247,144
Term Loan B2, 5.75%, 8/12/23			461		465,788
TransDigm, Inc.:
2015 Term Loan E, 3.75%, 5/14/22			694		695,776
2016 Extended Term Loan F, 3.75%, 6/09/23			2,768		2,773,683
Term Loan D, 3.84%, 6/04/21			831		832,952

					7,084,191
Air Freight & Logistics — 0.5%
CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21			778		619,427
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21			799		636,202
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			137		109,229
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			1,062		845,444
XPO Logistics, Inc., Term Loan B2, 4.25%, 10/30/21			1,579		1,593,639

					3,803,941


Floating Rate Loan Interests (c)	Par (000)			Value
Airlines — 0.1%
Northwest Airlines, Inc.:
3.08%, 3/10/17		USD	82	$	81,914
2.46%, 9/10/18			302		296,010

					377,924
Auto Components — 1.4%
Anchor Glass Container Corp., 2016 1st Lien Term Loan, 5.00%, 12/01/23			365		366,599
Autoparts Holdings Ltd.:
1st Lien Term Loan, 7.00%, 7/29/17			1,984		1,960,804
2nd Lien Term Loan, 11.00%, 1/29/18			1,890		1,703,948
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			1,259		1,161,792
Gates Global, Inc., Term Loan B, 4.25%, 7/06/21			5,170		5,139,898
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.86%, 4/30/19			602		606,064

					10,939,105
Building Materials — 0.8%
Forterra ,Inc., Term Loan B, 6.00%, 10/18/23			526		525,605
USAGM HoldCo LLC:
2015 2nd Lien Term Loan, 9.50%, 7/28/23			895		895,000
2015 Term Loan, 4.75%, 7/28/22			1,659		1,656,343
2016 Incremental Delayed Draw Term Loan, 5.00%, 7/28/22			303		305,252
2016 Incremental Term Loan, 5.50%, 7/28/22			3,009		3,028,486

					6,410,686
Building Products — 2.0%
Continental Building Products LLC, 1st Lien Term Loan, 3.59%, 8/10/23			1,431		1,427,206
CPG International, Inc., Term Loan, 4.75%, 9/30/20			3,920		3,934,212
GYP Holdings III Corp., 1st Lien Term Loan, 4.50%, 4/01/21			1,383		1,382,837
Jeld-Wen, Inc., Consolidated Term Loan B, 4.75%, 7/01/22			2,162		2,178,619
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			1,227		1,233,823
Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 4.25%, 11/02/23			2,495		2,500,614


Floating Rate Loan Interests (c)	Par (000)			Value
Building Products (continued)
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19			404		403,842
Term Loan B, 4.00%, 10/31/19		USD	2,243	$	2,244,042

					15,305,195
Capital Markets — 0.2%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			426		415,447
RPI Finance Trust, Term Loan B5, 3.18%, 10/14/22			1,130		1,139,169

					1,554,616
Chemicals — 1.7%
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			2,416		2,424,557
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20			72		72,140
Chemours Co., Term Loan B, 3.75%, 5/12/22			155		152,615
MacDermid, Inc.:
2016 Term Loan, 5.00%, 6/07/23			2,191		2,209,527
Term Loan B3, 5.50%, 6/07/20			574		574,608
OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20			2,380		2,265,812
PQ Corporation, 2016 Term Loan, 5.25%, 11/04/22			698		703,487
Royal Holdings, Inc.:
2015 1st Lien Term Loan, 4.50%, 6/19/22			514		516,067
2015 2nd Lien Term Loan, 8.50%, 6/19/23			655		647,631
Solenis International LP, 2nd Lien Term Loan, 7.69%, 7/31/22			1,915		1,859,944
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			573		572,026
Versum Materials, Inc., Term Loan, 3.34%, 9/29/23			715		719,769

					12,718,183
Commercial Services & Supplies — 3.5%
Advanced Disposal Services Inc., Term Loan B3, 3.50%, 11/10/23			2,019		2,017,972
Aramark Services, Inc.:
Term Loan E, 3.25%, 9/07/19			1,778		1,791,769
Term Loan F, 3.34%, 2/24/21			1,195		1,204,814


Floating Rate Loan Interests (c)	Par (000)			Value
Commercial Services & Supplies (continued)
Asurion LLC, Term Loan B5, 4.75%, 11/03/23		USD	1,420	$	1,429,131
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			1,961		1,930,337
Camelot UK Holdco Ltd., Term Loan B, 4.75%, 10/03/23			4,985		4,993,724
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21			2,803		2,809,029
Creative Artists Agency LLC, Term Loan B, 5.00%, 12/17/21			908		914,556
Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20			518		466,543
GCA Services Group, Inc., 2016 Term Loan, 5.98%, 3/01/23			1,264		1,274,707
KAR Auction Services, Inc., Term Loan B3, 4.38%, 3/09/23			905		915,917
Livingston International, Inc., 1st Lien Term Loan, 5.50%, 4/18/19			832		792,528
Prime Security Services Borrower LLC, 2016 Incremental Term Loan B1, 4.75%, 5/02/22			798		803,418
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			3,084		3,050,289
US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23			1,675		1,675,000
Waste Industries USA, Inc., 2016 Term Loan, 3.50%, 2/27/20			647		648,383

					26,718,117
Communications Equipment — 1.2%
Applied Systems, Inc.:
1st Lien Term Loan, 4.00%, 1/25/21			570		572,205
2nd Lien Term Loan, 7.50%, 1/24/22			534		538,941
Avaya, Inc., Term Loan B7, 6.25%, 5/29/20			937		811,628
CommScope, Inc., Term Loan B5, 3.25%, 12/29/22			549		554,258
Riverbed Technology, Inc., 2016 Term Loan, 5.00%, 4/24/22			2,295		2,313,692
Zayo Group LLC, Term Loan B, 3.75%, 5/06/21			4,338		4,349,568

					9,140,292
Construction & Engineering — 0.4%
AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21			138		138,183
CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23			647		651,872


Floating Rate Loan Interests (c)	Par (000)			Value
Construction & Engineering (continued)
Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23		USD	2,285	$	2,296,425

					3,086,480
Construction Materials — 0.3%
Filtration Group Corp.:
1st Lien Term Loan, 4.25%, 11/21/20			1,580		1,581,511
Delayed Draw Term Loan, 6.50%, 11/21/20			1,081		1,072,642

					2,654,153
Containers & Packaging — 0.7%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/21			425		428,497
Berry Plastics Holding Corp., Term Loan H, 3.75%, 10/01/22			3,990		4,013,258
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20			1,027		1,027,669

					5,469,424
Distributors — 0.3%
American Builders & Contractors Supply Co., Term Loan B, 3.50%, 10/31/23			2,322		2,330,528
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			296		290,453

					2,620,981
Diversified Consumer Services — 1.6%
Bright Horizons Family Solutions, Inc., 2016 Term Loan B, 3.50%, 11/30/23			2,993		2,999,297
Serta Simmons Holdings LLC:
1st Lien Term Loan, 4.50%, 11/08/23			3,420		3,409,329
2nd Lien Term Loan, 8.50%, 10/21/24			885		880,575
ServiceMaster Company, 2016 Term Loan B, 3.11%, 11/03/23			4,880		4,868,825

					12,158,026
Diversified Financial Services — 0.3%
AlixPartners LLP, 2016 Term Loan B, 4.00%, 7/28/22			1,690		1,694,583
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			262		262,510

					1,957,093


Floating Rate Loan Interests (c)	Par (000)			Value
Diversified Telecommunication Services — 2.3%
Hawaiian Telcom Communications, Inc., Term Loan B, 5.25%, 6/06/19		USD	808	$	811,892
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.25%, 8/14/20			1,748		1,748,885
2nd Lien Term Loan, 9.75%, 2/12/21			1,063		1,021,792
Level 3 Financing, Inc.:
2013 Term Loan B, 4.00%, 1/15/20			8,605		8,669,537
2019 Term Loan, 4.00%, 8/01/19			1,305		1,317,872
Telenet International Finance Sarl, Term Loan AF, 3.08%, 1/31/25			2,780		2,774,440
Telesat Canada, Term Loan B, 4.00%, 11/17/23			1,350		1,351,121

					17,695,539
Electric Utilities — 1.1%
Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.25%, 6/30/17			6,104		6,133,455
TEX Operations Co. LLC:
Exit Term Loan B, 5.00%, 8/04/23			1,491		1,505,160
Exit Term Loan C, 5.00%, 8/04/23			340		343,396

					7,982,011
Energy Equipment & Services — 0.1%
Weatherford International Ltd., Term Loan, 2.91%, 7/13/20			1,045		990,096
Food & Staples Retailing — 1.9%
Albertsons LLC:
2016 Term Loan B4, 4.50%, 8/25/21			3,810		3,812,727
2016 Term Loan B5, 4.75%, 12/21/22			543		544,557
Hostess Brands LLC, 2016 1st Lien Term Loan, 4.00%, 8/03/22			2,818		2,833,801
Rite Aid Corp.:
5.75%, 8/21/20			695		697,175
4.88%, 6/21/21			1,475		1,482,375
US Foods, Inc., 2016 Term Loan B, 4.00%, 6/27/23			4,813		4,838,735

					14,209,370
Food Products — 1.5%
Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21			1,541		1,493,547


Floating Rate Loan Interests (c)	Par (000)			Value
Food Products (continued)
Chobani LLC, 1st Lien Term Loan, 5.25%, 10/07/23		USD	1,085	$	1,096,534
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			1,576		1,579,004
Pinnacle Foods Finance LLC:
2016 Term Loan I, 3.33%, 1/13/23			720		725,412
Term Loan G, 3.39%, 4/29/20			1,846		1,853,735
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			1,801		1,698,396
2nd Lien Term Loan, 10.75%, 11/01/19			724		598,509
Reynolds Group Holdings, Inc., 2016 Term Loan, 4.25%, 2/05/23			2,211		2,221,932

					11,267,069
Health Care Equipment & Supplies — 2.0%
Alere, Inc., 2015 Term Loan B, 3.61%, 6/18/22			1,566		1,550,783
Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21			2,199		2,201,395
Cotiviti Corp., Term Loan B, 3.61%, 9/28/23			2,306		2,303,733
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			2,661		2,548,207
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			1,533		1,490,206
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			2,687		2,664,689
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			2,260		2,211,281

					14,970,294
Health Care Providers & Services — 5.1%
Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22			626		618,503
Amsurg Corp., 1st Lien Term Loan B, 5.25%, 7/16/21			1,906		1,906,150
CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23			2,164		2,173,864
Community Health Systems, Inc.:
Term Loan F, 4.19%, 12/31/18			1,218		1,178,487
Term Loan G, 3.75%, 12/31/19			1,537		1,451,466
Term Loan H, 4.00%, 1/27/21			323		304,547
Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 6.50%, 2/07/22			1,428		1,430,478


Floating Rate Loan Interests (c)	Par (000)			Value
Health Care Providers & Services (continued)
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21		USD	6,852	$	6,869,406
Envision Healthcare Corp., Term Loan:
2016 B, 3.61%, 11/09/23			5,195		5,201,494
5.75%, 5/25/18			1,078		1,076,452
B2, 6.00%, 10/28/22			799		799,210
inVentiv Health, Inc., 2016 Term Loan B, 4.75%, 9/28/23			2,825		2,830,721
MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23			2,272		2,297,489
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			672		670,365
Precyse Acquisition Corp., 2016 1st Lien Term Loan, 3.75%, 10/20/22			1,330		1,339,150
Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22			1,538		1,532,581
Surgery Center Holdings, Inc., 1st Lien Term Loan, 4.75%, 11/03/20			1,349		1,345,140
Surgical Care Affiliates, Inc., Incremental Term Loan B, 3.75%, 3/17/22			989		991,010
Team Health, Inc., 2016 Term Loan, 3.84%, 11/23/22			2,586		2,582,331
U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22			1,117		1,045,382
Vizient, Inc., 2016 Term Loan B, 5.00%, 2/13/23			1,333		1,344,641

					38,988,867
Health Care Technology — 0.5%
IMS Health Incorporated, 2016 Term Loan B, 3.50%, 3/17/21			2,550		2,564,770
Press Ganey Holdings, Inc., 1st Lien Term Loan, 4.25%, 10/21/23			945		945,000

					3,509,770
Hotels, Restaurants & Leisure — 4.4%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			2,323		2,320,569
2nd Lien Term Loan, 8.00%, 8/01/22			2,200		2,181,888
Boyd Gaming Corp.:
Term Loan B, 4.00%, 8/14/20			825		829,613
Term Loan B2, 3.53%, 9/15/23			605		608,122


Floating Rate Loan Interests (c)	Par (000)			Value
Hotels, Restaurants & Leisure (continued)
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20		USD	1,638	$	1,604,814
Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21			4,176		4,203,598
Caesars Entertainment Operating Co., Inc., Term Loan B7, 5.00%, 3/01/17			1,685		1,945,653
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			8,346		8,392,735
CCM Merger, Inc., Term Loan B, 4.00%, 8/08/21			999		1,003,794
ESH Hospitality, Inc., 2016 Term Loan B, 3.75%, 8/30/23			1,870		1,881,987
Four Seasons Holdings Inc., Term Loan B, 4.00%, 11/21/23			215		216,748
Hilton Worldwide Finance LLC:
Term Loan B1, 3.50%, 10/26/20			135		135,211
Term Loan B2, 3.08%, 10/25/23			758		762,891
La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21			455		452,330
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20			1,601		1,610,395
Sabre, Inc.:
Incremental Term Loan, 4.50%, 2/19/19			520		521,478
Term Loan B, 4.00%, 2/19/19			712		717,201
Scientific Games International, Inc.:
2014 Term Loan B1, 6.00%, 10/18/20			966		976,120
2014 Term Loan B2, 6.00%, 10/01/21			983		991,401
Station Casinos LLC, 2016 Term Loan B, 3.75%, 6/08/23			1,142		1,151,423
Yum! Brands Inc., 1st Lien Term Loan B, 3.30%, 6/16/23			908		915,994

					33,423,965
Household Products — 0.3%
Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20			770		769,067
Spectrum Brands, Inc., 2016 Term Loan, 3.25%, 6/23/22			1,772		1,788,555

					2,557,622
Independent Power and Renewable Electricity Producers — 1.0%
Calpine Construction Finance Co., LP, Term Loan B1, 3.09%, 5/03/20			795		784,705


Floating Rate Loan Interests (c)	Par (000)			Value
Independent Power and Renewable Electricity Producers (continued)
Calpine Corp., Term Loan B6, 4.00%, 1/15/23		USD	1,171	$	1,177,837
Dynegy, Inc., Escrow, 5.00%, 6/27/23			4,154		4,171,181
Granite Acquisition, Inc.:
Term Loan B, 5.00%, 12/19/21			1,678		1,661,778
Term Loan C, 5.00%, 12/19/21			75		74,420

					7,869,921
Industrial Conglomerates — 0.4%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			374		347,705
Vertiv Co., Term Loan B, 6.50%, 9/29/23			2,935		2,903,830

					3,251,535
Insurance — 1.2%
Alliant Holdings I, Inc., Incremental Term Loan B2, 5.25%, 8/12/22			1,197		1,201,788
AssuredPartners, Inc., 2016 Term Loan B, 5.75%, 10/21/22			1,146		1,150,458
Asurion LLC:
Term Loan B1, 5.00%, 5/24/19			470		471,852
Term Loan B4, 5.00%, 8/04/22			2,445		2,459,254
Hub International Ltd., Term Loan B, 4.25%, 10/02/20			906		906,358
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			1,628		1,617,569
2nd Lien Term Loan, 6.75%, 2/28/22			1,650		1,637,625

					9,444,904
Internet & Direct Marketing Retail — 0.3%
Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.14%, 8/19/23			2,026		2,042,385
Internet Software & Services — 0.7%
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21			2,395		2,409,843
Rackspace Hosting, Inc., 1st Lien Term Loan, 5.00%, 11/03/23			2,780		2,802,935
W3 Co., 2nd Lien Term Loan, 9.25%, 9/11/20			289		115,710

					5,328,488


Floating Rate Loan Interests (c)	Par (000)			Value
IT Services — 1.8%
Cision US Inc., Term Loan B, 7.00%, 6/16/23		USD	1,142	$	1,102,882
First Data Corp., 2016 Term Loan, 3.58%, 3/24/21			9,310		9,346,414
Vantiv LLC, 2014 Term Loan B, 3.25%, 10/14/23			798		801,775
WEX, Inc., Term Loan B, 4.25%, 7/01/23			2,469		2,491,304

					13,742,375
Machinery — 0.7%
Faenza Acquisition GmbH:
Term Loan B1, 4.25%, 8/30/20			634		636,816
Term Loan B3, 4.25%, 8/30/20			192		192,712
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/26/21			560		563,525
Navistar International Corp., Term Loan B, 6.50%, 8/07/20			763		768,559
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			1,484		1,488,253
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			2,057		1,836,660

					5,486,525
Media — 6.1%
Altice US Finance I Corp., 2016 Term Loan B, 3.88%, 1/15/25			3,264		3,278,673
AMC Entertainment, Inc., Term Loan B, 4.50%, 12/15/23			665		668,325
CBS Radio, Inc., Term Loan B, 4.50%, 10/17/23			1,393		1,399,334
Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 5.25%, 6/07/23			243		232,959
Charter Communications Operating LLC, 2016 Term Loan I, 3.50%, 1/24/23			4,587		4,628,508
CSC Holdings LLC, 2016 Term Loan, 3.88%, 10/11/24			3,050		3,069,063
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			1,480		1,384,368
iHeartCommunications, Inc., Term Loan D, 7.36%, 1/30/19			3,967		3,070,817
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			2,656		2,558,178
Live Nation Entertainment, Inc., Term Loan B, 3.34%, 10/26/23			606		607,917
MGOC, Inc., Term Loan B, 4.00%, 7/31/20			499		498,668


Floating Rate Loan Interests (c)	Par (000)			Value
Media (continued)
Mission Broadcasting, Inc., 2016 Term Loan B2, 7.25%, 9/26/23		USD	295	$	295,797
Nexstar Broadcasting, Inc., 2016 Term Loan B, 3.63%, 9/21/23			3,305		3,319,503
Numericable U.S. LLC:
Term Loan B10, 4.04%, 1/13/25			2,175		2,168,888
Term Loan B7, 5.14%, 1/15/24			3,117		3,143,362
SBA Senior Finance II LLC, Term Loan B1, 3.34%, 3/24/21			1,931		1,932,068
Trader Corp., Term Loan, 5.00%, 9/28/23			1,075		1,081,267
Tribune Media Co., Term Loan, 3.75%, 12/27/20			2,561		2,567,046
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			4,256		4,254,050
UPC Financing Partnership, Term Loan AN, 4.08%, 8/31/24			927		930,179
Virgin Media Investment Holdings Ltd., Term Loan F, 3.50%, 6/30/23			3,057		3,073,019
Ziggo Financing Partnership:
Term Loan B1, 3.50%, 1/15/22			1,561		1,561,006
Term Loan B2A, 3.50%, 1/15/22			941		940,738
Term Loan B3, 3.70%, 1/15/22			292		292,314

					46,956,047
Metals & Mining — 0.5%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			530		74,200
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22			2,827		2,832,163
WireCo WorldGroup, Inc., 2016 1st Lien Term Loan, 6.50%, 9/30/23			515		519,187

					3,425,550
Multiline Retail — 0.4%
Dollar Tree, Inc., Term Loan B3, 3.06%, 7/06/22			650		654,899
Hudson’s Bay Co., 2015 Term Loan B, 4.25%, 9/30/22			882		887,272
Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			1,560		1,414,716

					2,956,887


Floating Rate Loan Interests (c)	Par (000)			Value
Oil, Gas & Consumable Fuels — 2.2%
California Resources Corp.:
Second Out Term Loan, 11.38%, 12/31/21		USD	1,845	$	2,006,437
Term Loan A, 3.61%, 10/01/19			1,644		1,574,052
Chesapeake Energy Corp., Term Loan, 8.50%, 8/23/21			1,947		2,079,262
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18			826		835,172
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			1,403		727,958
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			3,425		3,218,277
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			1,407		1,375,001
PowerTeam Services LLC, 2nd Lien Term Loan, 8.25%, 11/06/20			200		198,500
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			1,206		1,142,338
Seventy Seven Operating LLC, Term Loan B, 3.89%, 6/25/20			187		168,763
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			42		31,899
Southcross Holdings Borrower LP, Exit Term Loan B, 3.50%, 4/13/23			86		64,346
Ultra Resources, Inc., Revolver, 1.00%, 4/06/17 (a)(e)			1,674		1,561,005
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			1,880		1,884,853

					16,867,863
Personal Products — 0.4%
Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21			945		951,068
Revlon Consumer Products Corp., 2016 Term Loan B, 4.25%, 9/07/23			1,945		1,946,556

					2,897,624
Pharmaceuticals — 3.2%
Akorn, Inc., Term Loan B, 5.25%, 4/16/21			1,349		1,359,531
DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			4,637		4,636,774
Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22			2,215		2,203,207


Floating Rate Loan Interests (c)	Par (000)			Value
Pharmaceuticals (continued)
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.46%, 2/27/21		USD	3,686	$	3,713,510
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			4,132		4,140,906
NBTY, Inc., Term Loan B, 5.00%, 5/05/23			883		883,202
Valeant Pharmaceuticals International, Inc.:
Series C2 Term Loan B, 5.25%, 12/11/19			1,005		994,305
Series D2 Term Loan B, 5.00%, 2/13/19			1,475		1,461,271
Series E Term Loan B, 5.25%, 8/05/20			1,447		1,429,066
Series F1 Term Loan B, 5.50%, 4/01/22			3,299		3,268,929

					24,090,701
Professional Services — 1.5%
Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21			1,335		1,263,369
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			750		744,718
2014 2nd Lien Term Loan, 7.50%, 7/25/22			719		675,750
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			3,430		3,431,090
TransUnion LLC, Term Loan B2, 3.50%, 4/09/21			5,562		5,588,227

					11,703,154
Real Estate Investment Trusts (REITs) — 0.5%
Communications Sales & Leasing, Inc., Term Loan B, 4.50%, 10/24/22			464		466,910
MGM Growth Properties LLC, 2016 Term Loan B, 3.50%, 4/25/23			3,195		3,208,221

					3,675,131
Real Estate Management & Development — 0.8%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			1,158		1,166,432
DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21			2,069		2,062,358
Realogy Corp., 2016 Term Loan B, 3.75%, 7/20/22			2,633		2,651,838

					5,880,628


Floating Rate Loan Interests (c)	Par (000)			Value
Road & Rail — 0.1%
SIRVA Worldwide, Inc., 2016 Term Loan, 4.00%, 11/14/22		USD	1,125	$	1,099,688
Semiconductors & Semiconductor Equipment — 1.3%
Avago Technologies Cayman Ltd., Term Loan B3, 3.54%, 2/01/23			6,359		6,417,543
Cavium, Inc., Term Loan B, 3.75%, 8/16/22			600		603,750
Microsemi Corp., 2015 Term Loan B, 3.75%, 1/15/23			423		425,085
NXP BV, Term Loan F, 3.41%, 12/07/20			1,990		1,995,195
ON Semiconductor Corp., Incremental Term Loan, 3.78%, 3/31/23			645		649,031

					10,090,604
Software — 4.0%
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20			2,355		2,298,926
DTI Holdco, Inc., 2016 Term Loan B, 6.25%, 9/21/23			1,200		1,181,496
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			2,862		2,856,109
Informatica Corp., Term Loan, 4.50%, 8/05/22			3,703		3,620,682
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			708		665,141
Kronos Incorporated:
1st Lien Term Loan, 5.00%, 11/01/23			2,615		2,620,727
2nd Lien Term Loan, 9.25%, 10/04/24			1,175		1,203,094
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/13/20			1,988		1,982,558
2nd Lien Term Loan, 8.50%, 10/11/21			1,250		1,231,250
RP Crown Parent LLC, 2016 Term Loan B, 4.50%, 10/12/23			2,004		2,013,729
SolarWinds, Inc., 2016 Term Loan, 5.50%, 2/05/23			2,494		2,509,785
Solera LLC, Term Loan B, 5.75%, 3/03/23			1,015		1,025,688
Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22			1,770		1,772,097
SS&C Technologies, Inc.:
2015 Term Loan B1, 4.00%, 7/08/22			2,496		2,513,583
2015 Term Loan B2, 4.00%, 7/08/22			288		290,029
Tibco Software Inc., Term Loan B, 6.50%, 12/04/20			1,924		1,918,332


Floating Rate Loan Interests (c)	Par (000)			Value
Software (continued)
Vertafore, Inc., 2016 1st Lien Term Loan, 4.75%, 6/30/23		USD	1,160	$	1,162,900

					30,866,126
Specialty Retail — 1.3%
Academy Ltd., 2015 Term Loan B, 5.00%, 7/01/22			1,043		959,441
Bass Pro Group LLC:
Asset Sale Term Loan, 7.00%, 5/04/18			655		653,775
Term Loan B, 7.00%, 11/04/23			750		743,970
Leslie’s Poolmart, Inc., 2016 Term Loan, 5.25%, 8/16/23			835		841,263
Michaels Stores, Inc., 2016 Term Loan B1, 3.75%, 1/27/23			3,276		3,298,950
Outerwall ,Inc., 1st Lien Term Loan, 5.25%, 9/27/23			713		719,846
Party City Holdings, Inc., 2016 Term Loan, 3.75%, 8/19/22			2,290		2,300,829
Things Remembered, Inc., 2016 Term Loan, 11.00%, 2/29/20			1,233		530,220

					10,048,294
Technology Hardware, Storage & Peripherals — 0.4%
Dell Inc., 2016 Term Loan B, 4.00%, 9/07/23			3,065		3,092,983
Textiles, Apparel & Luxury Goods — 0.3%
Ascend Performance Materials LLC, Term Loan B, 6.50%, 8/12/22			2,500		2,489,827
Thrifts & Mortgage Finance — 0.2%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			1,490		1,498,764
Trading Companies & Distributors — 0.6%
Beacon Roofing Supply, Inc., Term Loan B, 3.50%, 10/01/22			584		585,998
HD Supply, Inc.:
Incremental Term Loan B1, 3.59%, 8/13/21			1,955		1,960,138
Incremental Term Loan B2, 3.63%, 10/17/23			1,915		1,924,575
Nexeo Solutions LLC, 2016 Term Loan, 5.25%, 6/09/23			244		246,018

					4,716,729
Wireless Telecommunication Services — 1.8%
Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 0.00%, 6/15/20 (d)			8,700		8,090,951
LTS Buyer LLC, 1st Lien Term Loan, 4.09%, 4/13/20			3,836		3,840,929


Floating Rate Loan Interests (c)	Par (000)			Value
Wireless Telecommunication Services (continued)
T-Mobile USA, Inc., Term Loan B, 3.50%, 11/09/22		USD	2,074	$	2,093,554

					14,025,434
Total Floating Rate Loan Interests — 66.8%					511,141,177



Investment Companies — 4.0%
iShares iBoxx $ High Yield Corporate Bond ETF (i)			357,180		30,592,467



Non-Agency Mortgage-Backed Securities — 0.2%
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (b)(c)		USD	1,263		1,262,529



Other Interests (j)	Beneficial Interest (000)
Auto Components — 0.0%
Intermet Liquidating Trust, Class A			1,154		12
Electric Utilities — 0.0%
Texas Competitive Electric Holding, 5.00%, 10/10/17			2,375		47,500
Household Durables — 0.6%
Stanley Martin, Class B Membership Units (k)			2		4,517,707
Total Other Interests — 0.6%					4,565,219



Preferred Securities
Capital Trusts (l)	Par (000)
Banco Bilbao Vizcaya Argentaria SA, 6.75% (c)			200		195,489
Banco Popular Espanol SA, 8.25% (c)			200		183,256
Banco Santander SA, 6.25% (c)			200		190,510
Bank of America Corp., Series X, 6.25% (c)			1,100		1,094,511
Barclays PLC, 7.88% (c)			200		196,500
BNP Paribas SA, 7.38% (b)(c)			200		199,000
Citigroup, Inc., Series N, 5.80% (c)			1,100		1,094,500
Cooperatieve Rabobank UA, 6.63% (c)			200		221,451


Capital Trusts (l)	Par (000)			Value
Credit Agricole SA, 6.50% (c)		USD	100	$	107,156
DCP Midstream LLC, 5.85% (b)(c)			115		97,750
Enel SpA, 6.50% (c)			100		112,734
Enel SpA, 7.75% (c)			100		134,869
Gas Natural Fenosa Finance BV, 3.38% (c)			100		96,646
Goldman Sachs Group, Inc., Series L, 5.70% (c)			750		756,562
HBOS Capital Funding LP, 6.85%			100		101,125
Intesa Sanpaolo SpA, 7.00% (c)			400		402,743
JPMorgan Chase & Co., Series V, 5.00% (c)			780		758,550
Lanxess AG, 4.50% (c)			50		52,280
Repsol International Finance BV, 4.50% (c)			100		95,656
Royal Bank of Scotland Group PLC, 8.63% (c)			246		242,003
SES SA 12/99 1, 5.63% (c)			100		105,720
Societe Generale SA, 7.38% (b)(c)			200		192,500
Solvay Finance SA, 5.12% (c)			100		111,560
Telefonica Europe BV, 3.75% (c)			100		100,156
Telefonica Europe BV, 4.20% (c)			200		211,228
Telefonica Europe BV, 5.00% (c)			100		107,349
TOTAL SA, 3.88% (c)			100		111,284
UBS Group AG, 5.75% (c)			200		217,553
Total Capital Trusts — 1.0%					7,490,641



Preferred Stock — 0.0%	Shares
Capital Markets — 0.0%
Goldman Sachs Group, Inc., Series J, 0.00% (c)(g)(l)			13,550		340,511


Trust Preferred — 0.2%	Par (000)		Value
Diversified Financial Services — 0.2%
GMAC Capital Trust I, Series 2, 2/15/40, 8.13% (c)		59,219	$	1,485,139
Total Preferred Securities — 1.2%				9,316,291



Warrants	Shares
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)		3,049		3,729
Total Long-Term Investments (Cost — $1,133,327,687) — 144.6%				1,105,838,067


Short-Term Securities
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.25% (i)(m)		577,152		577,152
Total Short-Term Securities (Cost — $577,152) — 0.1%				577,152
Options Purchased (Cost — $5,867) — 0.0%				—
*Total Investments (Cost — $1,133,910,706) — 144.7%**				1,106,415,219
Liabilities in Excess of Other Assets — (44.7)%				(341,455,135	)

Net Assets — 100.0%			$	764,960,084

* As of November 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

Tax cost			$	1,139,543,324

Gross unrealized appreciation			$	20,008,825
Gross unrealized depreciation				(53,136,930	)

Net unrealized depreciation			$	(33,128,105	)

_• For Fund compliance purposes, the sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation methodologies are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by privately-held companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or nontransferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation methodologies may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

The following table summarizes the valuation methodologies used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $31,788,683. A significant change in the third party information could result in a significantly lower or higher value of such Level 3 investments.

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.

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.


Affiliate	Shares Held at February 28, 2016		Shares Purchased			Shares Sold			Shares Held at November 30, 2016		Value at November 30, 2016		Income		Realized Gain (Loss)
BlackRock Liquidity Funds, TempFund, Institutional Class		5,011,655		—			(5,011,655	)¹		—		—	$	2,378		—
BlackRock Liquidity Funds, T-Fund, Institutional Class		—		577,152	²		—			577,152	$	577,152		734		—
iShares iBoxx $ High Yield Corporate Bond ETF		267,180		90,000			—			357,180		30,592,467		936,227		—
Total											$	31,169,619	$	939,339		—

¹ Represents net shares sold.
² Represents net shares purchased.


Futures Contracts
Contracts Short	Issue	Expiration	Notional Value		Unrealized Appreciation
(1)	Euro BOBL	December 2016		$139,296	$	561
(2)	Euro Bund Futures	December 2016		$341,399		4,396
Total					$	4,957


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	538,000		USD	397,927	Morgan Stanley & Co. International PLC		12/05/16	$	2,588
EUR	230,000		USD	243,834	Australia and New Zealand Bank Group		12/05/16		(45	)
USD	401,508		CAD	538,000	BNP Paribas S.A.		12/05/16		993
USD	32,126		EUR	29,000	Goldman Sachs International		12/05/16		1,387
USD	11,372,102		EUR	10,377,000	Goldman Sachs International		12/05/16		372,975
USD	1,970,354		GBP	1,620,000	Royal Bank of Scotland PLC		12/05/16		(56,666	)
USD	10,822,054		EUR	10,176,000	Goldman Sachs International		1/05/17		16,157
USD	44,789		EUR	42,000	Morgan Stanley & Co. International PLC		1/05/17		189
USD	1,931,963		GBP	1,547,000	Royal Bank of Scotland PLC		1/05/17		(5,827	)
Total								$	331,751


Issuer / Index	Receive Fixed Rate			Expiration Date		Credit Rating¹		Notional Amount (000)²			Unrealized Appreciation (Depreciation)
Dow Jones CDX North America High Yield Index, Series 26, Version 1		5.00	%		6/20/21		B+		$	14,500		$	289,162
Markit iTraxx XO, Series 26, Version 1		5.00	%		12/20/21		B+		$	80			(581	)
Total												$	288,581


Consolidated Schedule of Investments (continued)		BlackRock Debt Strategies Fund, Inc. (DSU)


Derivative Financial Instruments Outstanding as of Period End


CAD		Canadian Dollar
CLO		Collateralized Loan Obligation
DIP		Debtor-In-Possession
EUR		Euro
GBP		British Pound
OTC		Over-the-Counter
PIK		Payment-In-Kind
USD		United States Dollar


	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	16,701,161	$	10,736,624	$	27,437,785
Common Stocks	$	566,293		166,490		1,569,131		2,301,914
Corporate Bonds		—		511,175,065		8,041,891		519,216,956
Floating Rate Loan Interests		—		489,591,828		21,549,349		511,141,177
Investment Companies		30,592,467		—		—		30,592,467
Non-Agency Mortgage-Backed Securities		—		1,262,529		—		1,262,529
Other Interests		—		—		4,565,219		4,565,219
Capital Trusts		—		7,490,641		—		7,490,641
Preferred Stock		340,511		—		—		340,511
Trust Preferred		1,485,139		—		—		1,485,139
Warrants		—		—		3,729		3,729
Unfunded Floating Rate Loan Interests		—		4,847		—		4,847
Short-Term Securities		577,152		—		—		577,152

Total	$	33,561,562	$	1,026,392,561	$	46,465,943	$	1,106,420,066


	Common Stocks			Asset- Backed Securities			Corporate Bonds			Floating Rate Loan Interests			Other Interests			Warrants			Total
Assets:
Opening balance, as of February 29, 2016	$	426,470		$	5,724,520		$	8,918,270		$	26,851,447		$	3,123,012		$	10,056		$	45,053,775
Transfers into Level 3¹		1,500			—			—			8,045,563			—			—			8,047,063
Transfers out of Level 3²		—			(2,615,445	)		(1,304,448	)		(13,626,556	)		—			—			(17,546,449	)
Accrued discounts/premiums		—			4,833			2,833			61,636			—			—			69,302
Net realized gain (loss)		36,859			—			8,374			(1,388,141	)		—			—			(1,342,908	)
Net change in unrealized appreciation (depreciation)³		1,187,837			354,265			68,062			2,972,809			1,613,815			(6,327	)		6,190,461
Purchases		9,346			7,268,451			357,386			9,066,791			10,950			—			16,712,924
Sales		(92,881	)		—			(8,586	)		(10,434,200	)		(182,558	)		—			(10,718,225	)
Closing balance, as of November 30, 2016	$	1,569,131		$	10,736,624		$	8,041,891		$	21,549,349		$	4,565,219		$	3,729		$	46,465,943

Net change in unrealized appreciation (depreciation) on investments still held at November 30, 2016³	$	1,187,837		$	354,265		$	68,062		$	1,718,940		$	1,577,265		$	(6,327	)	$	4,900,042

¹ As of February 29, 2016, the Fund used observable inputs in determining the value of certain investments. As of November 30, 2016, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.
² As of February 29, 2016, the Fund used significant unobservable inputs in determining the value of certain investments. As of November 30, 2016, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.
³ Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at November 30, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.


2(a) –		The registrant’s principal executive and principal financial officers, or persons performing similar functions, 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 (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –		There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.


BlackRock Debt Strategies Fund, Inc.

By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Debt Strategies Fund, Inc.


By:		/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock Debt Strategies Fund, Inc.