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, 2017

Date of reporting period: December 31, 2016

ITEM 1. SCHEDULE OF INVESTMENTS.

AB Global High Income Fund

Portfolio of Investments

December 31, 2016 (unaudited)

	Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE - 45.9%
Industrial - 39.5%
Basic - 3.6%
AK Steel Corp.
7.625%, 10/01/21	U.S.$	556	$	597,005
Aleris International, Inc.
7.875%, 11/01/20		664		665,660
Anglo American Capital PLC
4.125%, 4/15/21 (a)		200		203,500
ArcelorMittal
6.125%, 6/01/25		742		812,490
7.75%, 3/01/41		170		181,050
8.00%, 10/15/39		1,938		2,126,645
Ashland LLC
4.75%, 8/15/22		501		519,788
Axalta Coating Systems LLC
4.875%, 8/15/24 (a)		516		516,000
CF Industries, Inc.
4.95%, 6/01/43		595		486,413
5.375%, 3/15/44		514		424,209
Cliffs Natural Resources, Inc.
7.75%, 3/31/20 (a)		737		755,425
8.00%, 9/30/20 (a)		187		194,480
8.25%, 3/31/20 (a)		1,111		1,216,545
Consolidated Energy Finance SA
6.75%, 10/15/19 (a)		2,100		2,100,000
Constellium NV
5.75%, 5/15/24 (a)		400		374,000
First Quantum Minerals Ltd.
6.75%, 2/15/20 (a)		825		822,937
7.00%, 2/15/21 (a)		199		197,925
7.25%, 5/15/22 (a)		1,144		1,126,840
Freeport-McMoRan, Inc.
5.45%, 3/15/43		584		483,272
6.50%, 11/15/20 (a)		867		890,842
6.75%, 2/01/22 (a)		1,197		1,229,917
Grinding Media, Inc./MC Grinding Media Canada, Inc.
7.375%, 12/15/23 (a)		1,093		1,148,306
Ineos Finance PLC
4.00%, 5/01/23 (a)	EUR	790		859,801
INEOS Group Holdings SA
5.75%, 2/15/19 (a)		322		345,698
Joseph T Ryerson & Son, Inc.
11.00%, 5/15/22 (a)	U.S.$	3,215		3,536,500
Lecta SA
6.50%, 8/01/23 (a)	EUR	227		244,029
Lundin Mining Corp.
7.50%, 11/01/20 (a)	U.S.$	396		421,245
7.875%, 11/01/22 (a)		837		910,237
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18 (b)(c)(d)		2,857		286

	Principal Amount (000)		U.S. $ Value
Momentive Performance Materials, Inc.
3.88%, 10/24/21	U.S.$	3,472	$	3,263,680
8.875%, 10/15/20 (b)(e)(f)		3,472		0
Novelis Corp.
5.875%, 9/30/26 (a)		1,573		1,588,730
6.25%, 8/15/24 (a)		987		1,046,220
Peabody Energy Corp.
6.00%, 11/15/18 (b)(c)		4,310		2,747,625
PQ Corp.
6.75%, 11/15/22 (a)		753		805,710
Smurfit Kappa Acquisitions
4.875%, 9/15/18 (a)		2,064		2,120,760
Smurfit Kappa Treasury Funding Ltd.
7.50%, 11/20/25		238		276,080
SPCM SA
6.00%, 1/15/22 (a)		400		415,000
Steel Dynamics, Inc.
5.00%, 12/15/26 (a)		384		382,560
6.375%, 8/15/22		423		440,978
Teck Resources Ltd.
5.20%, 3/01/42		174		153,120
5.40%, 2/01/43		3,158		2,794,830
6.25%, 7/15/41		238		229,356
8.00%, 6/01/21 (a)		50		55,000
8.50%, 6/01/24 (a)		71		81,828
United States Steel Corp.
8.375%, 7/01/21 (a)		932		1,030,354
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (a)		386		405,300
				41,228,176
Capital Goods - 3.0%
Accudyne Industries Borrower/Accudyne Industries LLC
7.75%, 12/15/20 (a)		1,194		994,005
American Builders & Contractors Supply Co., Inc.
5.75%, 12/15/23 (a)		560		576,800
Apex Tool Group LLC
7.00%, 2/01/21 (a)		1,329		1,189,455
ARD Finance SA
6.625% (6.625% Cash or 7.375% PIK), 9/15/23 (a)(g)	EUR	522		548,247
7.125% (7.125% Cash or 7.875% PIK), 9/15/23 (a)(g)	U.S.$	587		579,662
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
7.25%, 5/15/24 (a)		2,150		2,265,562
Ashtead Capital, Inc.
5.625%, 10/01/24 (a)		456		477,660
Berry Plastics Corp.
5.50%, 5/15/22		409		425,360
Bombardier, Inc.
5.75%, 3/15/22 (a)		1,250		1,175,000

	Principal Amount (000)		U.S. $ Value
6.125%, 1/15/23 (a)	U.S.$	359	$	342,271
7.50%, 3/15/25 (a)		418		412,992
7.75%, 3/15/20 (a)		552		580,980
8.75%, 12/01/21 (a)		769		816,101
EnPro Industries, Inc.
5.875%, 9/15/22		970		996,675
Gardner Denver, Inc.
6.875%, 8/15/21 (a)		926		921,370
GFL Environmental, Inc.
7.875%, 4/01/20 (a)		309		324,064
9.875%, 2/01/21 (a)		2,485		2,733,500
Herc Rentals, Inc.
7.75%, 6/01/24 (a)		2,939		3,089,624
KLX, Inc.
5.875%, 12/01/22 (a)		1,108		1,141,240
Manitowoc Foodservice, Inc.
9.50%, 2/15/24		662		762,955
Pactiv LLC
7.95%, 12/15/25		1,110		1,176,600
Plastipak Holdings, Inc.
6.50%, 10/01/21 (a)		846		884,070
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
5.125%, 7/15/23 (a)		1,012		1,033,505
7.00%, 7/15/24 (a)		1,040		1,105,650
Ritchie Bros Auctioneers, Inc.
5.375%, 1/15/25 (a)		366		373,320
Sealed Air Corp.
6.875%, 7/15/33 (a)		1,295		1,317,662
SIG Combibloc Holdings SCA
7.75%, 2/15/23 (a)	EUR	682		771,176
SPX FLOW, Inc.
5.625%, 8/15/24 (a)	U.S.$	339		341,543
5.875%, 8/15/26 (a)		367		367,000
Standard Industries, Inc./NJ
6.00%, 10/15/25 (a)		977		1,028,292
Terex Corp.
6.00%, 5/15/21		105		107,363
Textron Financial Corp.
6.00%, 2/15/67 (a)		575		418,313
TransDigm, Inc.
6.375%, 6/15/26 (a)		2,335		2,398,045
6.50%, 7/15/24		462		483,367
United Rentals North America, Inc.
5.50%, 5/15/27		477		473,423
5.75%, 11/15/24		2,058		2,160,900
5.875%, 9/15/26		225		231,469
				35,025,221
Communications - Media - 5.1%
Altice Financing SA
6.625%, 2/15/23 (a)		2,892		2,971,530
7.50%, 5/15/26 (a)		1,582		1,645,280

	Principal Amount (000)		U.S. $ Value
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (a)	GBP	1,086	$	1,420,777
CCO Holdings LLC/CCO Holdings Capital Corp.
5.375%, 5/01/25 (a)	U.S.$	128		131,840
5.75%, 1/15/24		166		173,470
5.875%, 4/01/24-5/01/27 (a)		877		921,228
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.125%, 12/15/21 (a)		948		964,590
6.375%, 9/15/20 (a)		426		438,780
7.75%, 7/15/25 (a)		861		947,100
Clear Channel Worldwide Holdings, Inc.
Series A
6.50%, 11/15/22		555		555,000
Series B
6.50%, 11/15/22		2,499		2,555,227
CSC Holdings LLC
5.25%, 6/01/24		2,467		2,411,492
5.50%, 4/15/27 (a)		397		401,963
10.125%, 1/15/23 (a)		565		652,575
DISH DBS Corp.
5.875%, 11/15/24		3,394		3,492,426
Gray Television, Inc.
5.125%, 10/15/24 (a)		1,037		1,003,298
5.875%, 7/15/26 (a)		993		985,553
Hughes Satellite Systems Corp.
7.625%, 6/15/21		1,437		1,577,107
iHeartCommunications, Inc.
6.875%, 6/15/18		2,299		1,620,795
9.00%, 12/15/19-3/01/21		1,247		954,323
10.625%, 3/15/23		142		107,210
14.00% (12.00% Cash and 2.00% PIK), 2/01/21 (g)		607		231,343
Intelsat Connect Finance SA
12.50%, 4/01/22 (a)		699		429,578
Intelsat Jackson Holdings SA
5.50%, 8/01/23		1,330		896,154
8.00%, 2/15/24 (a)		216		221,940
9.50%, 9/30/22 (a)		516		574,050
Intelsat Luxembourg SA
7.75%, 6/01/21		518		169,645
LGE HoldCo VI BV
7.125%, 5/15/24 (a)	EUR	968		1,156,525
Liberty Interactive LLC
3.75%, 2/15/30 (h)	U.S.$	883		509,929
McClatchy Co. (The)
9.00%, 12/15/22		958		1,020,270
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance
7.875%, 5/15/24 (a)		1,700		1,712,750
Mediacom Broadband LLC/Mediacom Broadband Corp.
6.375%, 4/01/23		2,168		2,276,400

	Principal Amount (000)		U.S. $ Value
Netflix, Inc.
4.375%, 11/15/26 (a)	U.S.$	1,552	$	1,505,440
Nexstar Broadcasting, Inc.
6.875%, 11/15/20		1,099		1,137,465
Nielsen Finance LLC/Nielsen Finance Co.
5.00%, 4/15/22 (a)		599		610,231
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.25%, 2/15/22		648		672,300
Radio One, Inc.
7.375%, 4/15/22 (a)		1,400		1,386,000
9.25%, 2/15/20 (a)		1,761		1,598,107
Sinclair Television Group, Inc.
5.625%, 8/01/24 (a)		1,500		1,533,750
6.125%, 10/01/22		1,487		1,550,197
TEGNA, Inc.
4.875%, 9/15/21 (a)		284		288,970
5.50%, 9/15/24 (a)		162		163,620
6.375%, 10/15/23		718		759,752
Time, Inc.
5.75%, 4/15/22 (a)		1,486		1,538,010
Townsquare Media, Inc.
6.50%, 4/01/23 (a)		976		932,080
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
5.00%, 1/15/25 (a)		1,078		1,072,610
6.25%, 1/15/29 (a)	EUR	496		577,015
Univision Communications, Inc.
5.125%, 2/15/25 (a)	U.S.$	1,064		1,017,450
Virgin Media Finance PLC
4.875%, 2/15/22		1,347		1,208,933
5.25%, 2/15/22		900		801,000
Virgin Media Receivables Financing Notes I DAC
5.50%, 9/15/24 (a)	GBP	128		157,435
Virgin Media Secured Finance PLC
5.50%, 1/15/25 (a)		423		537,075
Wave Holdco LLC/Wave Holdco Corp.
8.25% (8.25% Cash or 9.00% PIK), 7/15/19 (a)(g)	U.S.$	262		266,017
WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.25%, 7/15/19		3,201		3,377,055
Ziggo Bond Finance BV
5.875%, 1/15/25 (a)		634		634,000
Ziggo Secured Finance BV
5.50%, 1/15/27 (a)		1,013		987,472
				59,442,132
Communications - Telecommunications - 3.6%
Altice Luxembourg SA
7.25%, 5/15/22 (a)	EUR	1,332		1,498,694

	Principal Amount (000)		U.S. $ Value
CenturyLink, Inc.
Series W
6.75%, 12/01/23	U.S.$	437	$	446,833
Cincinnati Bell, Inc.
7.00%, 7/15/24 (a)		1,151		1,217,182
Columbus Cable Barbados Ltd.
7.375%, 3/30/21 (a)		2,342		2,485,447
Communications Sales & Leasing, Inc./CSL Capital LLC
6.00%, 4/15/23 (a)		1,345		1,388,712
8.25%, 10/15/23		2,912		3,086,720
Embarq Corp.
7.995%, 6/01/36		1,600		1,500,000
Frontier Communications Corp.
6.25%, 9/15/21		373		353,418
6.875%, 1/15/25		45		38,138
7.125%, 1/15/23		11		9,955
7.625%, 4/15/24		1,768		1,582,360
7.875%, 1/15/27		834		690,135
9.00%, 8/15/31		450		383,625
10.50%, 9/15/22		4		4,205
11.00%, 9/15/25		267		275,678
InterXion Holding NV
6.00%, 7/15/20 (a)	EUR	2,601		2,866,434
Level 3 Financing, Inc.
5.375%, 1/15/24	U.S.$	478		482,780
6.125%, 1/15/21		596		618,350
Sable International Finance Ltd.
6.875%, 8/01/22 (a)		454		472,160
SFR Group SA
5.375%, 5/15/22 (a)	EUR	264		291,100
5.625%, 5/15/24 (a)		386		428,037
6.00%, 5/15/22 (a)	U.S.$	1,610		1,652,262
7.375%, 5/01/26 (a)		1,429		1,464,725
Sprint Corp.
7.125%, 6/15/24		520		535,600
7.625%, 2/15/25		1,736		1,824,970
7.875%, 9/15/23		1,320		1,409,100
T-Mobile USA, Inc.
6.00%, 3/01/23		743		784,794
6.375%, 3/01/25		655		700,031
6.625%, 11/15/20		311		317,998
6.731%, 4/28/22		128		133,760
6.836%, 4/28/23		774		829,148
Telecom Italia Capital SA
7.20%, 7/18/36		483		476,112
7.721%, 6/04/38		1,700		1,767,405
Telecom Italia SpA/Milano
5.303%, 5/30/24 (a)		1,002		979,455
WaveDivision Escrow LLC/WaveDivision Escrow Corp.
8.125%, 9/01/20 (a)		1,084		1,127,360
Wind Acquisition Finance SA
4.75%, 7/15/20 (a)		1,029		1,036,717
7.375%, 4/23/21 (a)		2,214		2,302,560

	Principal Amount (000)		U.S. $ Value
Windstream Services LLC
6.375%, 8/01/23	U.S.$	982	$	876,435
7.75%, 10/01/21 (i)		1,715		1,763,020
Zayo Group LLC/Zayo Capital, Inc.
6.00%, 4/01/23		917		953,680
6.375%, 5/15/25		1,187		1,240,415
				42,295,510
Consumer Cyclical - Automotive - 2.0%
Adient Global Holdings Ltd.
4.875%, 8/15/26 (a)		1,323		1,296,540
Allison Transmission, Inc.
5.00%, 10/01/24 (a)		369		372,690
BCD Acquisition, Inc.
9.625%, 9/15/23 (a)		2,184		2,336,880
Commercial Vehicle Group, Inc.
7.875%, 4/15/19		2,285		2,282,144
Cooper-Standard Automotive, Inc.
5.625%, 11/15/26 (a)		1,101		1,088,614
Dana Financing Luxembourg Sarl
6.50%, 6/01/26 (a)		1,379		1,441,055
Dana, Inc.
6.00%, 9/15/23		833		869,444
Exide Technologies
7.00%, 4/30/25 (d)(g)(h)		152		78,797
Series AI
7.00%, 4/30/25 (g)(h)(j)		4,113		2,138,875
11.00%, 4/30/20 (e)(g)		3,804		2,967,300
Gates Global LLC/Gates Global Co.
5.75%, 7/15/22 (a)	EUR	125		125,002
6.00%, 7/15/22 (a)	U.S.$	1,631		1,595,118
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28		400		424,000
8.75%, 8/15/20		112		133,560
IHO Verwaltungs GmbH
4.125% (4.125% Cash or 4.875% PIK), 9/15/21 (a)(g)		889		897,857
Meritor, Inc.
6.25%, 2/15/24		1,553		1,521,940
6.75%, 6/15/21		925		945,812
Navistar International Corp.
8.25%, 11/01/21		1,937		1,956,370
ZF North America Capital, Inc.
4.75%, 4/29/25 (a)		1,153		1,173,177
				23,645,175
Consumer Cyclical - Entertainment - 0.5%
AMC Entertainment Holdings, Inc.
5.75%, 6/15/25		1,115		1,140,087
5.875%, 11/15/26 (a)		1,180		1,206,550
Carlson Wagonlit BV
6.875%, 6/15/19 (a)		1,026		1,061,274
ClubCorp Club Operations, Inc.
8.25%, 12/15/23 (a)		546		578,760

	Principal Amount (000)		U.S. $ Value
Pinnacle Entertainment, Inc.
5.625%, 5/01/24 (a)	U.S.$	829	$	831,073
Regal Entertainment Group
5.75%, 6/15/23-2/01/25		1,010		1,027,823
				5,845,567
Consumer Cyclical - Other - 3.2%
Beazer Homes USA, Inc.
5.75%, 6/15/19		879		909,765
7.50%, 9/15/21		1,307		1,339,675
8.75%, 3/15/22 (a)		99		106,920
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18 (b)(c)		700		502,250
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope
8.00%, 10/01/20		1,260		1,319,850
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc.
9.375%, 5/01/22		1,017		1,096,428
CalAtlantic Group, Inc.
6.625%, 5/01/20		1,332		1,461,870
8.375%, 5/15/18		2,362		2,562,770
Cirsa Funding Luxembourg SA
5.75%, 5/15/21 (a)	EUR	396		446,037
Diamond Resorts International, Inc.
7.75%, 9/01/23 (a)	U.S.$	1,139		1,139,000
GLP Capital LP/GLP Financing II, Inc.
5.375%, 4/15/26		404		421,332
International Game Technology PLC
6.25%, 2/15/22 (a)		2,050		2,198,625
6.50%, 2/15/25 (a)		1,745		1,871,512
Isle of Capri Casinos, Inc.
5.875%, 3/15/21		41		42,435
K. Hovnanian Enterprises, Inc.
5.00%, 11/01/21		2,257		1,692,750
7.25%, 10/15/20 (a)		778		733,498
KB Home
4.75%, 5/15/19		1,121		1,143,420
7.00%, 12/15/21		536		565,480
7.50%, 9/15/22		494		521,170
9.10%, 9/15/17		700		733,250
MDC Holdings, Inc.
5.50%, 1/15/24		150		154,875
6.00%, 1/15/43		3,220		2,704,800
Meritage Homes Corp.
6.00%, 6/01/25		1,895		1,918,687
7.00%, 4/01/22		1,012		1,095,490
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.
5.625%, 5/01/24 (a)		311		325,773
PulteGroup, Inc.
5.00%, 1/15/27		115		109,250
6.00%, 2/15/35		500		480,000
7.875%, 6/15/32		1,400		1,554,000

	Principal Amount (000)		U.S. $ Value
Safari Holding Verwaltungs GmbH
8.25%, 2/15/21 (a)	EUR	368	$	406,488
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (a)	U.S.$	420		409,500
6.125%, 4/01/25 (a)		830		803,025
Studio City Co., Ltd.
5.875%, 11/30/19 (a)		737		757,268
Taylor Morrison Communities, Inc./Monarch Communities, Inc.
5.625%, 3/01/24 (a)		2,266		2,288,660
5.875%, 4/15/23 (a)		875		888,125
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 3/01/25 (a)(i)		785		778,720
Wynn Macau Ltd.
5.25%, 10/15/21 (a)		1,265		1,274,488
				36,757,186
Consumer Cyclical - Restaurants - 0.3%
1011778 BC ULC/New Red Finance, Inc.
6.00%, 4/01/22 (a)		1,991		2,080,595
Landry’s, Inc.
6.75%, 10/15/24 (a)		390		395,850
Pizzaexpress Financing 2 PLC
6.625%, 8/01/21 (a)	GBP	692		865,613
				3,342,058
Consumer Cyclical - Retailers - 1.7%
American Tire Distributors, Inc.
10.25%, 3/01/22 (a)	U.S.$	1,663		1,595,366
Brighthouse Group PLC
7.875%, 5/15/18 (a)	GBP	762		647,971
Dufry Finance SCA
4.50%, 8/01/23 (a)	EUR	1,208		1,360,613
Group 1 Automotive, Inc.
5.00%, 6/01/22	U.S.$	372		367,350
JC Penney Corp., Inc.
5.875%, 7/01/23 (a)		26		26,813
6.375%, 10/15/36		421		354,166
7.40%, 4/01/37		600		540,000
L Brands, Inc.
6.875%, 11/01/35		230		234,600
6.95%, 3/01/33		500		500,000
7.60%, 7/15/37		1,000		1,022,500
Levi Strauss & Co.
5.00%, 5/01/25		1,380		1,380,000
Murphy Oil USA, Inc.
6.00%, 8/15/23		716		746,430
Neiman Marcus Group Ltd. LLC
8.00%, 10/15/21 (a)		362		268,785
8.75% (8.75% Cash or 9.50% PIK), 10/15/21 (a)(g)		2,142		1,515,465

	Principal Amount (000)		U.S. $ Value
New Look Secured Issuer PLC
6.50%, 7/01/22 (a)	GBP	418	$	490,674
Penske Automotive Group, Inc.
5.50%, 5/15/26	U.S.$	1,190		1,175,125
PetSmart, Inc.
7.125%, 3/15/23 (a)		2,676		2,729,520
Rite Aid Corp.
6.125%, 4/01/23 (a)		1,364		1,466,300
Sally Holdings LLC/Sally Capital, Inc.
5.75%, 6/01/22		1,779		1,847,936
Sonic Automotive, Inc.
5.00%, 5/15/23		1,133		1,101,843
				19,371,457
Consumer Non-Cyclical - 6.2%
Acadia Healthcare Co., Inc.
6.50%, 3/01/24		838		856,855
Air Medical Group Holdings, Inc.
6.375%, 5/15/23 (a)		1,985		1,905,600
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC
5.75%, 3/15/25 (a)		561		555,390
6.625%, 6/15/24 (a)		1,804		1,880,670
Alere, Inc.
6.375%, 7/01/23 (a)		392		389,550
7.25%, 7/01/18		765		774,562
Aramark Services, Inc.
5.125%, 1/15/24		274		282,563
BI-LO LLC/BI-LO Finance Corp.
8.625% (8.625% Cash or 9.375% PIK), 9/15/18 (a)(g)		1,809		1,139,670
9.25%, 2/15/19 (a)		1,553		1,316,167
Boparan Finance PLC
5.50%, 7/15/21 (a)	GBP	1,725		2,075,961
Catalent Pharma Solutions, Inc.
4.75%, 12/15/24 (a)	EUR	400		440,595
Cerba European Lab SAS
7.00%, 2/01/20 (a)		959		1,032,861
Cerberus Nightingale 1 SARL
8.25%, 2/01/20 (a)		200		215,899
CHS/Community Health Systems, Inc.
6.875%, 2/01/22	U.S.$	5,247		3,646,665
8.00%, 11/15/19		408		338,640
Concordia International Corp.
7.00%, 4/15/23 (a)		186		58,590
9.50%, 10/21/22 (a)		3,137		1,113,635
DaVita, Inc.
5.00%, 5/01/25		1,674		1,646,797
Endo Finance LLC
5.75%, 1/15/22 (a)		126		111,195
Endo Finance LLC/Endo Finco, Inc.
7.25%, 1/15/22 (a)		332		305,440
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.
6.00%, 7/15/23 (a)		1,910		1,673,637
6.50%, 2/01/25 (a)(k)		2,080		1,742,000

	Principal Amount (000)		U.S. $ Value
Envision Healthcare Corp.
5.625%, 7/15/22	U.S.$	1,009	$	1,040,279
6.25%, 12/01/24 (a)		694		732,170
First Quality Finance Co., Inc.
4.625%, 5/15/21 (a)		3,247		3,214,530
Galaxy Bidco Ltd.
6.375%, 11/15/20 (a)	GBP	133		168,417
HCA, Inc.
4.25%, 10/15/19	U.S.$	1,475		1,534,000
4.50%, 2/15/27		135		132,638
5.25%, 6/15/26		235		242,931
5.375%, 2/01/25		209		209,523
5.875%, 2/15/26		226		232,780
Hill-Rom Holdings, Inc.
5.75%, 9/01/23 (a)		265		273,613
Holding Medi-Partenaires SAS
7.00%, 5/15/20 (a)	EUR	1,401		1,551,346
Horizon Pharma, Inc.
6.625%, 5/01/23 (i)	U.S.$	1,682		1,602,105
Horizon Pharma, Inc./Horizon Pharma USA, Inc.
8.75%, 11/01/24 (a)		686		694,575
HRG Group, Inc.
7.875%, 7/15/19		2,084		2,172,570
IASIS Healthcare LLC/IASIS Capital Corp.
8.375%, 5/15/19		1,263		1,098,810
Kinetic Concepts, Inc./KCI USA, Inc.
7.875%, 2/15/21 (a)		506		549,010
9.625%, 10/01/21 (a)		1,414		1,495,305
Lamb Weston Holdings, Inc.
4.625%, 11/01/24 (a)		439		440,097
4.875%, 11/01/26 (a)		440		435,325
LifePoint Health, Inc.
5.375%, 5/01/24 (a)		258		252,711
5.875%, 12/01/23		1,448		1,466,100
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (a)		1,963		1,756,885
5.625%, 10/15/23 (a)		394		367,405
5.75%, 8/01/22 (a)		1,181		1,136,712
MEDNAX, Inc.
5.25%, 12/01/23 (a)		422		434,660
MPH Acquisition Holdings LLC
7.125%, 6/01/24 (a)		1,563		1,645,214
Nature’s Bounty Co. (The)
7.625%, 5/15/21 (a)		2,770		2,866,950
Post Holdings, Inc.
5.00%, 8/15/26 (a)		442		423,215
7.75%, 3/15/24 (a)		605		671,550
8.00%, 7/15/25 (a)		1,024		1,146,880
Revlon Consumer Products Corp.
6.25%, 8/01/24		568		582,200

	Principal Amount (000)		U.S. $ Value
RSI Home Products, Inc.
6.50%, 3/15/23 (a)	U.S.$	2,212	$	2,311,540
Spectrum Brands, Inc.
4.00%, 10/01/26 (a)	EUR	530		574,642
6.125%, 12/15/24	U.S.$	361		380,855
6.625%, 11/15/22		560		595,000
Surgical Care Affiliates, Inc.
6.00%, 4/01/23 (a)		480		496,800
Synlab Bondco PLC
6.25%, 7/01/22 (a)	EUR	1,525		1,749,767
Synlab Unsecured Bondco PLC
8.25%, 7/01/23 (a)		700		801,330
Tenet Healthcare Corp.
6.00%, 10/01/20	U.S.$	95		99,513
6.75%, 6/15/23		1,308		1,154,310
6.875%, 11/15/31		3,384		2,609,910
8.00%, 8/01/20		351		346,648
8.125%, 4/01/22		752		709,512
Valeant Pharmaceuticals International, Inc.
5.50%, 3/01/23 (a)		230		172,500
5.875%, 5/15/23 (a)		396		298,980
6.125%, 4/15/25 (a)		3,163		2,376,204
7.25%, 7/15/22 (a)		635		519,112
Valvoline, Inc.
5.50%, 7/15/24 (a)		278		287,730
Vizient, Inc.
10.375%, 3/01/24 (a)		404		457,530
Voyage Care Bondco PLC
6.50%, 8/01/18 (a)	GBP	1,200		1,494,408
				71,509,739
Energy - 5.3%
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.
7.875%, 12/15/24 (a)	U.S.$	897		928,395
Antero Resources Corp.
5.625%, 6/01/23		231		236,486
Berry Petroleum Co. LLC
6.50%, 9/15/22 (b)(c)		2,383		1,519,162
California Resources Corp.
5.00%, 1/15/20		291		239,348
5.50%, 9/15/21		299		234,715
6.00%, 11/15/24		232		169,360
8.00%, 12/15/22 (a)		1,271		1,131,190
Carrizo Oil & Gas, Inc.
7.50%, 9/15/20		246		254,610
Cenovus Energy, Inc.
4.45%, 9/15/42		822		711,821
5.70%, 10/15/19		980		1,048,345
6.75%, 11/15/39		67		74,703
CHC Helicopter SA
9.25%, 10/15/20 (b)(c)(e)		6,269		2,977,965
9.375%, 6/01/21 (b)(c)(e)		326		110,942

	Principal Amount (000)		U.S. $ Value
Cheniere Corpus Christi Holdings LLC
5.875%, 3/31/25 (a)	U.S.$	1,058	$	1,079,488
7.00%, 6/30/24 (a)		1,805		1,953,912
Chesapeake Energy Corp.
4.875%, 4/15/22 (i)		2,475		2,258,437
6.125%, 2/15/21 (i)		349		340,275
8.00%, 1/15/25 (a)		1,030		1,050,600
Continental Resources, Inc./OK
3.80%, 6/01/24		96		88,560
4.90%, 6/01/44		212		181,260
5.00%, 9/15/22		346		349,249
DCP Midstream Operating LP
5.60%, 4/01/44		1,848		1,686,300
Denbury Resources, Inc.
4.625%, 7/15/23		439		352,298
5.50%, 5/01/22		406		354,235
Energy Transfer Equity LP
5.875%, 1/15/24		811		837,357
7.50%, 10/15/20		309		344,535
Ensco PLC
4.50%, 10/01/24		290		248,675
5.20%, 3/15/25		406		350,650
EP Energy LLC/Everest Acquisition Finance, Inc.
6.375%, 6/15/23		467		368,930
7.75%, 9/01/22		449		363,690
9.375%, 5/01/20		2,034		1,875,084
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22		2,976		2,851,365
Golden Energy Offshore Services AS
5.00%, 12/31/17 (d)	NOK	9,162		212,200
Gulfport Energy Corp.
6.375%, 5/15/25 (a)	U.S.$	782		791,931
Hilcorp Energy I LP/Hilcorp Finance Co.
5.75%, 10/01/25 (a)		462		467,775
Hornbeck Offshore Services, Inc.
5.875%, 4/01/20		1,570		1,122,550
Laredo Petroleum, Inc.
5.625%, 1/15/22		198		199,485
7.375%, 5/01/22		1,112		1,152,310
Linn Energy LLC/Linn Energy Finance Corp.
6.25%, 11/01/19 (b)(c)(e)		766		323,635
8.625%, 4/15/20 (b)(c)(e)		802		342,855
Murphy Oil Corp.
6.875%, 8/15/24		208		221,520
Newfield Exploration Co.
5.625%, 7/01/24		646		673,455
NGL Energy Partners LP/NGL Energy Finance Corp.
7.50%, 11/01/23 (a)		871		899,307
Noble Holding International Ltd.
5.25%, 3/15/42		191		126,060
7.20%, 4/01/25 (i)(l)		375		351,563
8.20%, 4/01/45 (k)		743		618,548
Northern Oil and Gas, Inc.
8.00%, 6/01/20		819		679,770

	Principal Amount (000)		U.S. $ Value
Oasis Petroleum, Inc.
6.875%, 3/15/22 (i)	U.S.$	931	$	954,275
Pacific Drilling SA
5.375%, 6/01/20 (d)		2,442		879,120
Paragon Offshore PLC
6.75%, 7/15/22 (b)(c)(d)		933		163,275
7.25%, 8/15/24 (b)(c)(d)		3,719		650,825
PDC Energy, Inc.
6.125%, 9/15/24 (a)		490		501,025
PHI, Inc.
5.25%, 3/15/19		1,567		1,484,732
QEP Resources, Inc.
5.25%, 5/01/23		1,248		1,251,120
6.875%, 3/01/21		1,225		1,301,562
Range Resources Corp.
5.00%, 3/15/23 (a)(i)		928		918,720
Rowan Cos., Inc.
5.40%, 12/01/42		536		404,680
7.375%, 6/15/25		905		923,100
Sabine Pass Liquefaction LLC
5.75%, 5/15/24		424		454,740
5.875%, 6/30/26 (a)		578		622,795
Sanchez Energy Corp.
6.125%, 1/15/23		851		808,450
SandRidge Energy, Inc.
Zero Coupon, 10/04/20 (b)(h)		181		225,112
7.50%, 2/15/23 (b)(f)(j)		865		0
8.125%, 10/15/22 (b)(f)(j)		2,076		0
8.75%, 6/01/20 (b)(f)(j)		800		0
Seitel, Inc.
9.50%, 4/15/19		597		534,315
SM Energy Co.
5.00%, 1/15/24		635		598,488
5.625%, 6/01/25		725		699,625
6.75%, 9/15/26		584		601,520
Southern Star Central Corp.
5.125%, 7/15/22 (a)		1,200		1,215,000
Transocean Phoenix 2 Ltd.
7.75%, 10/15/24 (a)		1,216		1,282,880
Transocean Proteus Ltd.
6.25%, 12/01/24 (a)		955		963,958
Transocean, Inc.
5.55%, 10/15/22 (k)		137		120,218
6.80%, 3/15/38		2,443		1,893,325
9.00%, 7/15/23 (a)		652		668,300
Vantage Drilling International
7.125%, 4/01/23 (b)(f)(j)		1,283		0
7.50%, 11/01/19 (b)(f)(j)		2,176		0
10.00%, 12/31/20 (j)		105		94,500
10.00%, 12/31/20 (d)		87		78,300
Weatherford International Ltd.
5.95%, 4/15/42		594		448,470
6.50%, 8/01/36		752		603,480
6.75%, 9/15/40		849		679,200

	Principal Amount (000)		U.S. $ Value
7.00%, 3/15/38	U.S.$	600	$	499,500
9.875%, 2/15/24 (a)		1,686		1,796,635
Whiting Petroleum Corp.
1.25%, 4/01/20 (h)		542		475,605
5.00%, 3/15/19		593		595,319
WPX Energy, Inc.
5.25%, 9/15/24 (i)		1,294		1,255,180
8.25%, 8/01/23		187		208,973
				61,611,228
Other Industrial - 0.7%
Algeco Scotsman Global Finance PLC
8.50%, 10/15/18 (a)		945		876,487
9.00%, 10/15/18 (a)	EUR	633		606,358
B456 Systems, Inc.
3.75%, 12/31/49 (b)(j)	U.S.$	955		57,300
General Cable Corp.
5.75%, 10/01/22		967		937,990
Laureate Education, Inc.
9.25%, 9/01/19 (a)		3,844		3,925,685
Liberty Tire Recycling LLC
11.00%, 3/31/21 (d)(f)(g)		1,459		937,600
Modular Space Corp.
10.25%, 1/31/19 (a)(b)(c)		1,176		649,740
				7,991,160
Services - 1.0%
APX Group, Inc.
6.375%, 12/01/19		469		482,484
7.875%, 12/01/22		1,746		1,890,045
8.75%, 12/01/20		859		865,442
eDreams ODIGEO SA
8.50%, 8/01/21 (a)	EUR	2,075		2,315,304
GEO Group, Inc. (The)
5.125%, 4/01/23	U.S.$	162		155,520
5.875%, 1/15/22-10/15/24		670		674,910
6.00%, 4/15/26		522		512,865
Prime Security Services Borrower LLC/Prime Finance, Inc.
9.25%, 5/15/23 (a)		3,221		3,506,864
Service Corp. International/US
7.50%, 4/01/27		1,500		1,740,000
				12,143,434
Technology - 2.4%
Amkor Technology, Inc.
6.375%, 10/01/22		2,681		2,794,942
Avaya, Inc.
10.50%, 3/01/21 (d)		2,815		1,210,450
BMC Software Finance, Inc.
8.125%, 7/15/21 (a)		3,000		2,803,125
BMC Software, Inc.
7.25%, 6/01/18		66		66,330

	Principal Amount (000)		U.S. $ Value
Boxer Parent Co., Inc.
9.00% (9.00% Cash or 9.75% PIK), 10/15/19 (a)(g)	U.S.$	386	$	361,875
CDW LLC/CDW Finance Corp.
5.00%, 9/01/23		740		740,925
5.50%, 12/01/24		270		276,075
Ceridian HCM Holding, Inc.
11.00%, 3/15/21 (a)		897		921,668
Compiler Finance Sub, Inc.
7.00%, 5/01/21 (a)		411		189,060
Conduent Finance, Inc./Xerox Business Services LLC
10.50%, 12/15/24 (a)		1,371		1,466,970
Dell, Inc.
6.50%, 4/15/38		1,345		1,267,663
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
7.125%, 6/15/24 (a)		472		524,004
Energizer Holdings, Inc.
5.50%, 6/15/25 (a)		1,311		1,314,277
First Data Corp.
6.75%, 11/01/20 (a)		273		283,238
General Cable Corp.
4.50%, 11/15/29 (h)(k)		1,158		905,411
Goodman Networks, Inc.
12.125%, 7/01/18 (j)		2,020		606,000
Infor Software Parent LLC/Infor Software Parent, Inc.
7.125% (7.125% Cash or 7.875% PIK), 5/01/21 (a)(g)		679		699,370
Infor US, Inc.
6.50%, 5/15/22		1,286		1,340,655
Micron Technology, Inc.
5.25%, 8/01/23-1/15/24 (a)		950		949,511
5.50%, 2/01/25		2,844		2,829,780
Nokia OYJ
6.625%, 5/15/39		527		555,985
NXP BV/NXP Funding LLC
5.75%, 3/15/23 (a)		924		974,820
Sabre GLBL, Inc.
5.25%, 11/15/23 (a)		342		351,190
5.375%, 4/15/23 (a)		720		734,400
Solera LLC/Solera Finance, Inc.
10.50%, 3/01/24 (a)		1,504		1,692,000
Sophia LP/Sophia Finance, Inc.
9.00%, 9/30/23 (a)		438		465,375
Western Digital Corp.
10.50%, 4/01/24 (a)		1,760		2,081,200
				28,406,299

	Principal Amount (000)		U.S. $ Value
Transportation - Airlines - 0.1%
UAL Pass-Through Trust
Series 2007-1A
6.636%, 7/02/22	U.S.$	1,189	$	1,277,992
Transportation - Services - 0.8%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.25%, 3/15/25 (a)		311		290,007
5.50%, 4/01/23		524		514,830
Carlson Travel, Inc.
6.75%, 12/15/23 (a)		255		265,200
CEVA Group PLC
9.00%, 9/01/21 (a)		1,836		1,202,580
EC Finance PLC
5.125%, 7/15/21 (a)	EUR	836		916,316
Europcar Groupe SA
5.75%, 6/15/22 (a)(i)		670		744,418
Hertz Corp. (The)
5.50%, 10/15/24 (a)(i)	U.S.$	3,513		3,069,484
XPO CNW, Inc.
6.70%, 5/01/34		1,371		1,110,510
7.25%, 1/15/18		620		636,740
XPO Logistics, Inc.
6.125%, 9/01/23 (a)		312		326,040
6.50%, 6/15/22 (a)		206		216,300
				9,292,425
				459,184,759
Financial Institutions - 5.1%
Banking - 3.1%
Ally Financial, Inc.
8.00%, 11/01/31		1,151		1,332,283
Banco Bilbao Vizcaya Argentaria SA
8.875%, 4/14/21 (a)(m)	EUR	600		679,022
Bank of Ireland
Series E
10.00%, 2/12/20 (a)		1,130		1,454,037
Barclays Bank PLC
6.86%, 6/15/32 (a)(m)	U.S.$	166		186,750
7.625%, 11/21/22		1,479		1,623,202
7.70%, 4/25/18 (a)(m)		1,105		1,148,968
7.75%, 4/10/23		1,437		1,510,862
Barclays PLC
8.00%, 12/15/20 (m)	EUR	263		292,074
BBVA International Preferred SAU
1.337% (EURIBOR 3 Month + 1.65%), 3/22/17 (m)(n)		609		551,315
1.636% (EURIBOR 3 Month + 1.95%), 3/20/17 (a)(m)(n)		1,650		1,532,790
Citigroup, Inc.
5.95%, 1/30/23 (m)	U.S.$	2,689		2,725,974
Credit Agricole SA
7.589%, 1/30/20 (m)	GBP	1,000		1,343,316
8.125%, 12/23/25 (a)(m)	U.S.$	1,461		1,537,702

	Principal Amount (000)		U.S. $ Value
Credit Suisse Group AG
7.50%, 12/11/23 (a)(m)	U.S.$	4,437	$	4,647,757
HT1 Funding GmbH
6.352%, 6/30/17 (i)(m)	EUR	1,550		1,454,578
Intesa Sanpaolo SpA
5.71%, 1/15/26 (a)	U.S.$	2,690		2,567,011
Lloyds Banking Group PLC
6.413%, 10/01/35 (a)(m)		235		252,038
6.657%, 5/21/37 (a)(m)		98		105,350
7.50%, 6/27/24 (m)		528		543,840
Royal Bank of Scotland Group PLC
8.625%, 8/15/21 (m)		4,077		4,158,540
SNS Bank NV
11.25%, 12/31/49 (b)(c)(f)(j)	EUR	620		0
Societe Generale SA
7.375%, 9/13/21 (a)(m)	U.S.$	2,021		2,010,895
8.00%, 9/29/25 (a)(m)		1,124		1,119,785
UBS Group AG
7.00%, 2/19/25 (a)(m)		2,065		2,166,763
Zions Bancorporation
5.65%, 11/15/23		508		518,795
				35,463,647
Brokerage - 0.0%
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (b)		1,690		99,879
Finance - 1.0%
Artsonig Pty Ltd.
11.50% (11.50% Cash or 12.00% PIK), 4/01/19 (a)(g)		2,692		80,761
Creditcorp
12.00%, 7/15/18 (d)		1,300		1,027,000
Enova International, Inc.
9.75%, 6/01/21		2,216		2,210,460
ILFC E-Capital Trust II
4.92% (H15T 30 Year + 1.80%), 12/21/65 (a)(n)		2,000		1,760,000
Navient Corp.
5.50%, 1/15/19		2,496		2,589,600
5.875%, 3/25/21		572		593,450
6.125%, 3/25/24		250		242,813
6.625%, 7/26/21		231		244,282
7.25%, 1/25/22		377		399,149
8.00%, 3/25/20		233		258,490
TMX Finance LLC/TitleMax Finance Corp.
8.50%, 9/15/18 (a)		2,901		2,531,122
				11,937,127
Insurance - 0.4%
Genworth Holdings, Inc.
2.908% (LIBOR 3 Month + 2.00%), 11/15/66 (n)		240		110,400
7.625%, 9/24/21		1,216		1,121,760

	Principal Amount (000)		U.S. $ Value
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (a)	U.S.$	2,559	$	2,878,875
				4,111,035
Other Finance - 0.6%
CNG Holdings, Inc.
9.375%, 5/15/20 (a)		601		521,368
Curo Group Holdings Corp.
12.00%, 11/15/17 (d)		1,711		1,454,350
iPayment, Inc.
9.50%, 12/15/19 (d)		2,315		2,372,526
Lincoln Finance Ltd.
6.875%, 4/15/21 (a)	EUR	1,139		1,301,240
7.375%, 4/15/21 (a)	U.S.$	311		331,215
Speedy Cash Intermediate Holdings Corp.
10.75%, 5/15/18 (d)		778		744,935
				6,725,634
REITS - 0.0%
MPT Operating Partnership LP/MPT Finance Corp.
5.25%, 8/01/26		155		151,900
5.50%, 5/01/24		264		266,640
				418,540
				58,755,862
Utility - 1.3%
Electric - 1.3%
AES Corp./VA
4.875%, 5/15/23		1,013		1,000,540
7.375%, 7/01/21		634		706,213
Calpine Corp.
5.50%, 2/01/24		985		950,525
5.75%, 1/15/25		1,388		1,339,420
7.875%, 1/15/23 (a)		120		125,100
ContourGlobal Power Holdings SA
5.125%, 6/15/21 (a)	EUR	1,501		1,655,284
DPL, Inc.
6.75%, 10/01/19	U.S.$	343		349,003
Dynegy, Inc.
7.375%, 11/01/22		775		740,125
7.625%, 11/01/24		981		904,972
Emera, Inc.
Series 2016-A
6.75%, 6/15/76		1,134		1,213,380
GenOn Energy, Inc.
9.50%, 10/15/18		1,450		1,024,969
NRG Energy, Inc.
7.25%, 5/15/26 (a)		1,791		1,782,045
NRG Yield Operating LLC
5.375%, 8/15/24		843		847,215
Talen Energy Supply LLC
4.60%, 12/15/21		1,475		1,168,937

	Principal Amount (000)		U.S. $ Value
Texas Competitive/TCEH
11.50%, 10/01/20 (b)(d)(f)	U.S.$	626	$	0
Viridian Group FundCo II Ltd.
7.50%, 3/01/20 (a)	EUR	1,311		1,469,726
				15,277,454
Total Corporates - Non-Investment Grade (cost $545,840,821)				533,218,075
COLLATERALIZED MORTGAGE OBLIGATIONS - 12.9%
Risk Share Floating Rate - 9.0%
Bellemeade Re II Ltd.
Series 2016-1A, Class B1
12.756% (LIBOR 1 Month + 12.00%), 4/25/26 (d)(n)	U.S.$	283		290,697
Series 2016-1A, Class M2B
7.256% (LIBOR 1 Month + 6.50%), 4/25/26 (d)(n)		3,572		3,620,601
Bellemeade Re Ltd.
Series 2015-1A, Class M2
5.056% (LIBOR 1 Month + 4.30%), 7/25/25 (d)(n)		1,220		1,228,428
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
7.906% (LIBOR 1 Month + 7.15%), 7/25/23 (n)		2,350		2,781,379
Series 2013-DN2, Class M2
5.006% (LIBOR 1 Month + 4.25%), 11/25/23 (n)		1,925		2,033,120
Series 2014-DN1, Class M3
5.256% (LIBOR 1 Month + 4.50%), 2/25/24 (n)		1,939		2,118,574
Series 2014-DN2, Class M3
4.356% (LIBOR 1 Month + 3.60%), 4/25/24 (n)		514		533,004
Series 2014-DN3, Class M3
4.756% (LIBOR 1 Month + 4.00%), 8/25/24 (n)		800		834,979
Series 2014-DN4, Class M3
5.306% (LIBOR 1 Month + 4.55%), 10/25/24 (n)		500		534,988
Series 2014-HQ1, Class M3
4.856% (LIBOR 1 Month + 4.10%), 8/25/24 (n)		1,686		1,782,215
Series 2014-HQ2, Class M3
4.506% (LIBOR 1 Month + 3.75%), 9/25/24 (n)		3,710		3,889,673
Series 2014-HQ3, Class M3
5.506% (LIBOR 1 Month + 4.75%), 10/25/24 (n)		5,055		5,480,062
Series 2015-DN1, Class B
12.256% (LIBOR 1 Month + 11.50%), 1/25/25 (n)		521		634,425

	Principal Amount (000)		U.S. $ Value
Series 2015-DN1, Class M3
4.906% (LIBOR 1 Month + 4.15%), 1/25/25 (n)	U.S.$	1,700	$	1,794,528
Series 2015-DNA1, Class B
9.956% (LIBOR 1 Month + 9.20%), 10/25/27 (n)		599		708,929
Series 2015-DNA1, Class M3
4.056% (LIBOR 1 Month + 3.30%), 10/25/27 (n)		480		502,461
Series 2015-DNA2, Class B
8.306% (LIBOR 1 Month + 7.55%), 12/25/27 (n)		1,464		1,543,614
Series 2015-DNA3, Class B
10.106% (LIBOR 1 Month + 9.35%), 4/25/28 (n)		1,032		1,104,253
Series 2015-HQ1, Class B
11.506% (LIBOR 1 Month + 10.75%), 3/25/25 (n)		3,957		4,645,371
Series 2015-HQ1, Class M3
4.556% (LIBOR 1 Month + 3.80%), 3/25/25 (n)		530		561,127
Series 2015-HQA1, Class B
9.556% (LIBOR 1 Month + 8.80%), 3/25/28 (n)		1,015		1,039,349
Series 2015-HQA1, Class M3
5.456% (LIBOR 1 Month + 4.70%), 3/25/28 (n)		1,455		1,557,593
Series 2016-DNA2, Class B
11.256% (LIBOR 1 Month + 10.50%), 10/25/28 (n)		864		974,217
Series 2016-DNA2, Class M3
5.406% (LIBOR 1 Month + 4.65%), 10/25/28 (n)		811		864,501
Series 2016-DNA3, Class B
12.006% (LIBOR 1 Month + 11.25%), 12/25/28 (n)		2,784		3,231,104
Series 2016-DNA3, Class M3
5.756% (LIBOR 1 Month + 5.00%), 12/25/28 (n)		1,113		1,206,047
Series 2016-DNA4, Class B
9.356% (LIBOR 1 Month + 8.60%), 3/25/29 (n)		397		392,232
Series 2016-HQA2, Class B
12.256% (LIBOR 1 Month + 11.50%), 11/25/28 (n)		423		491,276
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M2
6.006% (LIBOR 1 Month + 5.25%), 10/25/23 (n)		1,451		1,597,283
Series 2014-C01, Class M2
5.156% (LIBOR 1 Month + 4.40%), 1/25/24 (n)		3,991		4,253,439

	Principal Amount (000)		U.S. $ Value
Series 2014-C02, Class 1M2
3.356% (LIBOR 1 Month + 2.60%), 5/25/24 (n)	U.S.$	490	$	482,629
Series 2014-C03, Class 1M2
3.756% (LIBOR 1 Month + 3.00%), 7/25/24 (n)		1,147		1,149,781
Series 2014-C04, Class 1M2
5.656% (LIBOR 1 Month + 4.90%), 11/25/24 (n)		3,900		4,259,846
Series 2014-C04, Class 2M2
5.756% (LIBOR 1 Month + 5.00%), 11/25/24 (n)		672		728,758
Series 2015-C01, Class 1M2
5.056% (LIBOR 1 Month + 4.30%), 2/25/25 (n)		3,896		4,095,060
Series 2015-C01, Class 2M2
5.306% (LIBOR 1 Month + 4.55%), 2/25/25 (n)		2,154		2,273,354
Series 2015-C02, Class 1M2
4.756% (LIBOR 1 Month + 4.00%), 5/25/25 (n)		1,119		1,167,343
Series 2015-C02, Class 2M2
4.756% (LIBOR 1 Month + 4.00%), 5/25/25 (n)		2,095		2,186,373
Series 2015-C03, Class 1M2
5.756% (LIBOR 1 Month + 5.00%), 7/25/25 (n)		3,190		3,434,684
Series 2015-C03, Class 2M2
5.756% (LIBOR 1 Month + 5.00%), 7/25/25 (n)		2,748		2,960,239
Series 2015-C04, Class 1M2
6.456% (LIBOR 1 Month + 5.70%), 4/25/28 (n)		3,342		3,680,668
Series 2015-C04, Class 2M2
6.306% (LIBOR 1 Month + 5.55%), 4/25/28 (n)		1,298		1,415,168
Series 2016-C01, Class 1B
12.506% (LIBOR 1 Month + 11.75%), 8/25/28 (n)		685		818,367
Series 2016-C01, Class 1M2
7.506% (LIBOR 1 Month + 6.75%), 8/25/28 (n)		2,077		2,405,773
Series 2016-C01, Class 2M2
7.706% (LIBOR 1 Month + 6.95%), 8/25/28 (n)		761		875,708
Series 2016-C02, Class 1B
13.006% (LIBOR 1 Month + 12.25%), 9/25/28 (n)		450		566,384
Series 2016-C02, Class 1M2
6.756% (LIBOR 1 Month + 6.00%), 9/25/28 (n)		2,375		2,654,686
Series 2016-C03, Class 1B
12.506% (LIBOR 1 Month + 11.75%), 10/25/28 (n)		374		442,415

	Principal Amount (000)		U.S. $ Value
Series 2016-C03, Class 2B
13.506% (LIBOR 1 Month + 12.75%), 10/25/28 (n)	U.S.$	840	$	1,054,862
Series 2016-C03, Class 2M2
6.656% (LIBOR 1 Month + 5.90%), 10/25/28 (n)		3,707		4,102,223
Series 2016-C04, Class 1B
11.006% (LIBOR 1 Month + 10.25%), 1/25/29 (n)		1,494		1,645,294
Series 2016-C04, Class 1M2
5.006% (LIBOR 1 Month + 4.25%), 1/25/29 (n)		1,089		1,127,935
Series 2016-C05, Class 2B
11.244% (LIBOR 1 Month + 10.75%), 1/25/29 (n)		1,824		2,054,125
Series 2016-C05, Class 2M2
5.206% (LIBOR 1 Month + 4.45%), 1/25/29 (n)		1,486		1,542,737
Series 2016-C06, Class 1B
10.006% (LIBOR 1 Month + 9.25%), 4/25/29 (n)		1,288		1,326,869
Series 2016-C07, Class 2B
10.256% (LIBOR 1 Month + 9.50%), 4/25/29 (n)		1,562		1,611,946
Series 2016-C07, Class 2M2
5.106% (LIBOR 1 Month + 4.35%), 4/25/29 (n)		918		942,715
JP Morgan Madison Avenue Securities Trust
Series 2015-CH1, Class M2
6.256% (LIBOR 1 Month + 5.50%), 10/25/25 (a)(n)		1,433		1,398,681
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 2M2
6.256% (LIBOR 1 Month + 5.50%), 11/25/25 (d)(n)		617		616,261
				105,250,353
Non-Agency Fixed Rate - 2.6%
Alternative Loan Trust
Series 2006-24CB, Class A15
5.75%, 6/25/36		1,092		935,615
Series 2006-41CB, Class 2A13
5.75%, 1/25/37		937		755,437
Series 2006-42, Class 1A6
6.00%, 1/25/47		878		744,387
Series 2006-HY12, Class A5
2.966%, 8/25/36		1,906		1,802,430
Series 2006-J1, Class 1A10
5.50%, 2/25/36		1,671		1,459,899
Series 2006-J5, Class 1A1
6.50%, 9/25/36		1,113		928,958
Series 2007-13, Class A2
6.00%, 6/25/47		1,374		1,189,980

	Principal Amount (000)		U.S. $ Value
BCAP LLC Trust
Series 2009-RR13, Class 17A3
5.913%, 4/26/37 (a)	U.S.$	536	$	417,645
Bear Stearns ARM Trust
Series 2007-3, Class 1A1
3.183%, 5/25/47		359		333,090
Series 2007-4, Class 22A1
4.64%, 6/25/47		1,218		1,111,280
BNPP Mortgage Securities LLC Trust
Series 2009-1, Class B1
6.00%, 8/27/37 (a)		809		585,119
ChaseFlex Trust
Series 2007-1, Class 1A3
6.50%, 2/25/37		712		508,590
Citigroup Mortgage Loan Trust
Series 2006-4, Class 2A1A
6.00%, 12/25/35		1,882		1,691,925
Series 2006-AR3, Class 1A2A
3.212%, 6/25/36		1,108		1,016,708
Series 2007-AR4, Class 1A1A
5.135%, 3/25/37		270		229,481
Series 2010-3, Class 2A2
6.003%, 8/25/37 (a)		468		411,483
CitiMortgage Alternative Loan Trust
Series 2007-A3, Class 1A4
5.75%, 3/25/37		1,350		1,160,691
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-4, Class 1A39
6.00%, 5/25/37		561		472,719
Series 2007-HY4, Class 1A1
3.13%, 9/25/47		411		377,825
Credit Suisse Mortgage Trust
Series 2009-8R, Class 6A2
6.00%, 1/26/38 (a)		120		89,947
Series 2010-9R, Class 1A5
4.00%, 8/27/37 (a)		623		611,711
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36		611		519,135
First Horizon Alternative Mortgage Securities Trust
Series 2006-AA5, Class A1
2.809%, 9/25/36		844		692,662
Series 2006-FA1, Class 1A3
5.75%, 4/25/36		754		594,002
IndyMac Index Mortgage Loan Trust
Series 2005-AR15, Class A1
3.006%, 9/25/35		857		732,741
Series 2006-AR37, Class 2A1
3.708%, 2/25/37		608		476,534
Morgan Stanley Mortgage Loan Trust
Series 2005-10, Class 4A1
5.50%, 12/25/35		462		410,279
Series 2007-12, Class 3A22
6.00%, 8/25/37		135		115,894

	Principal Amount (000)		U.S. $ Value
Residential Accredit Loans, Inc. Trust
Series 2005-QS14, Class 3A1
6.00%, 9/25/35	U.S.$	710	$	674,497
Residential Asset Securitization Trust
Series 2006-A8, Class 3A4
6.00%, 8/25/36		260		215,177
Structured Adjustable Rate Mortgage Loan Trust
Series 2005-18, Class 8A1
3.152%, 9/25/35		906		829,139
Series 2006-9, Class 4A1
3.103%, 10/25/36		645		547,539
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2006-7, Class A4
4.433%, 9/25/36		1,845		1,004,959
Series 2006-9, Class A4
4.876%, 10/25/36		1,846		946,703
Series 2007-HY3, Class 4A1
2.808%, 3/25/37		1,572		1,495,150
Wells Fargo Alternative Loan Trust
Series 2007-PA3, Class 3A1
6.25%, 7/25/37		1,443		1,305,291
Wells Fargo Mortgage Backed Securities Trust
Series 2007-AR7, Class A1
3.148%, 12/28/37		1,975		1,812,639
Series 2007-AR8, Class A1
3.15%, 11/25/37		798		709,728
				29,916,989
Non-Agency Floating Rate - 1.2%
Alternative Loan Trust
Series 2007-7T2, Class A3
1.356% (LIBOR 1 Month + 0.60%), 4/25/37 (n)		3,185		1,218,906
Citigroup Mortgage Loan Trust
Series 2005-8, Class 2A2
4.044% (4.80% - LIBOR 1 Month), 9/25/35 (n)(o)		664		43,514
Countrywide Home Loan Mortgage Pass-Through Trust
Series 2007-13, Class A7
1.356% (LIBOR 1 Month + 0.60%), 8/25/37 (n)		814		586,485
First Horizon Alternative Mortgage Securities Trust
Series 2007-FA2, Class 1A10
1.006% (LIBOR 1 Month + 0.25%), 4/25/37 (n)		486		220,183
Series 2007-FA2, Class 1A6
4.794% (5.55% - LIBOR 1 Month), 4/25/37(n) (o)		165		26,366
Lehman XS Trust
Series 2007-10H, Class 2AIO
6.383% (7.00% - LIBOR 1 Month), 7/25/37 (n)(o)		543		125,725

	Principal Amount (000)		U.S. $ Value
Residential Accredit Loans, Inc. Trust
Series 2006-QS18, Class 2A2
5.794% (6.55% - LIBOR 1 Month), 12/25/36 (n)(o)	U.S.$	5,561	$	1,044,239
Structured Asset Mortgage Investments II Trust
Series 2007-AR6, Class A1
2.067% (12MTA + 1.50%), 8/25/47 (n)		1,944		1,628,881
Wachovia Mortgage Loan Trust Series
Series 2006-ALT1, Class A2
0.936% (LIBOR 1 Month + 0.18%), 1/25/37 (n)		13,173		9,037,506
				13,931,805
Agency Floating Rate - 0.1%
Government National Mortgage Association
Series 2016-120, Class NS
5.361% (6.10% - LIBOR 1 Month), 9/20/46 (n)(o)		2,607		673,014
Total Collateralized Mortgage Obligations (cost $143,202,079)				149,772,161
GOVERNMENTS - TREASURIES - 11.9%
Colombia - 0.5%
Colombian TES
Series B
7.00%, 5/04/22	COP	7,223,500		2,440,797
10.00%, 7/24/24		8,000,000		3,145,783
				5,586,580
Indonesia - 0.4%
Indonesia Treasury Bond
Series FR53
8.25%, 7/15/21	IDR	35,835,000		2,725,029
Series FR61
7.00%, 5/15/22		23,655,000		1,702,565
				4,427,594
Mexico - 0.3%
Mexican Bonos
Series M
6.50%, 6/10/21	MXN	90,000		4,233,610
Russia - 0.8%
Russian Federal Bond - OFZ
Series 6209
7.60%, 7/20/22	RUB	37,074		590,368
Series 6212
7.05%, 1/19/28		185,020		2,757,297
Series 6217
7.50%, 8/18/21		360,108		5,736,368
				9,084,033

	Principal Amount (000)		U.S. $ Value
South Africa - 1.1%
Republic of South Africa Government Bond
Series R186
10.50%, 12/21/26	ZAR	148,909	$	11,954,801
Series R204
8.00%, 12/21/18		10,750		783,487
				12,738,288
United States - 8.8%
U.S. Treasury Bonds
2.75%, 11/15/42 (p)	U.S.$	3,000		2,833,476
3.125%, 2/15/42 (i)		4,000		4,058,908
4.50%, 2/15/36 (q)		2,400		3,036,749
5.00%, 5/15/37 (p)(q)		3,500		4,699,433
5.25%, 2/15/29 (i)(q)		5,750		7,349,667
6.125%, 11/15/27 (p)(q)		2,200		2,952,468
8.125%, 5/15/21 (i)		26,250		33,128,314
U.S. Treasury Notes
0.875%, 4/15/19 (i)(q)		43,074		42,687,023
2.25%, 11/15/25 (q)		2,000		1,974,376
				102,720,414
Total Governments - Treasuries (cost $139,331,408)				138,790,519
CORPORATES - INVESTMENT GRADE - 7.7%
Industrial - 4.1%
Basic - 1.1%
Braskem Finance Ltd.
6.45%, 2/03/24		1,972		2,075,530
CF Industries, Inc.
3.40%, 12/01/21 (a)		396		391,838
4.50%, 12/01/26 (a)		542		532,728
FMG Resources (August 2006) Pty Ltd.
9.75%, 3/01/22 (a)		510		591,636
Georgia-Pacific LLC
8.875%, 5/15/31		1		1,482
Glencore Finance Canada Ltd.
6.00%, 11/15/41 (a)		272		269,280
Glencore Funding LLC
4.00%, 4/16/25 (a)		86		84,280
4.625%, 4/29/24 (a)		341		348,672
Minsur SA
6.25%, 2/07/24 (a)		891		934,985
Mosaic Co. (The)
5.625%, 11/15/43		167		160,937
Southern Copper Corp.
7.50%, 7/27/35		3,300		3,811,163
WestRock MWV LLC
7.95%, 2/15/31		1,000		1,316,018
Weyerhaeuser Co.
7.375%, 3/15/32		1,790		2,266,801
				12,785,350

	Principal Amount (000)		U.S. $ Value
Capital Goods - 0.4%
General Electric Co.
Series D
5.00%, 1/21/21 (m)	U.S.$	1,681	$	1,744,374
Lafarge SA
7.125%, 7/15/36		800		968,283
Masco Corp.
5.95%, 3/15/22		405		447,525
Owens Corning
7.00%, 12/01/36 (l)		1,340		1,588,776
				4,748,958
Communications - Media - 0.3%
Charter Communications Operating LLC/Charter Communications Operating Capital
4.464%, 7/23/22		1,039		1,085,787
4.908%, 7/23/25		1,195		1,259,446
Clear Channel Communications. Inc.
12.00%, 8/01/21		607		0
Cox Communications, Inc.
4.50%, 6/30/43 (a)		135		114,316
4.70%, 12/15/42 (a)		259		225,213
Sirius XM Radio, Inc.
5.25%, 8/15/22 (a)		286		297,440
				2,982,202
Communications - Telecommunications - 0.3%
Qwest Corp.
6.50%, 6/01/17		610		621,102
6.875%, 9/15/33		1,335		1,274,673
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
3.36%, 9/20/21 (a)		1,627		1,626,024
				3,521,799
Consumer Cyclical - Automotive - 0.1%
General Motors Financial Co., Inc.
3.20%, 7/06/21		1,150		1,140,405
3.45%, 4/10/22		622		615,118
				1,755,523
Consumer Cyclical - Other - 0.0%
Seminole Tribe of Florida, Inc.
6.535%, 10/01/20 (a)		115		115,575
Consumer Non-Cyclical - 0.3%
BRF SA
4.75%, 5/22/24 (a)		428		415,802
Forest Laboratories LLC
5.00%, 12/15/21 (a)		803		868,190
Smithfield Foods, Inc.
5.25%, 8/01/18 (a)		364		368,095
5.875%, 8/01/21 (a)		1,318		1,374,015
6.625%, 8/15/22		346		364,597
				3,390,699

	Principal Amount (000)		U.S. $ Value
Energy - 0.8%
Enterprise Products Operating LLC
Series A
4.593% (LIBOR 3 Month + 3.71%), 8/01/66 (n)	U.S.$	1,208	$	1,136,160
Kinder Morgan, Inc./DE
Series G
7.75%, 1/15/32		328		401,949
7.80%, 8/01/31 (i)		1,066		1,317,893
Marathon Petroleum Corp.
4.75%, 9/15/44		69		61,169
Nabors Industries, Inc.
5.50%, 1/15/23 (a)		1,146		1,193,272
Regency Energy Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23		546		554,040
5.50%, 4/15/23		1,193		1,231,772
Williams Partners LP
3.35%, 8/15/22		1,391		1,369,305
5.10%, 9/15/45		876		832,593
Williams Partners LP/ACMP Finance Corp.
4.875%, 5/15/23		681		693,713
				8,791,866
Other Industrial - 0.0%
Fresnillo PLC
5.50%, 11/13/23 (a)		306		319,770
Technology - 0.6%
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
6.02%, 6/15/26 (a)		1,120		1,213,292
8.35%, 7/15/46 (a)		524		645,195
Hewlett Packard Enterprise Co.
6.35%, 10/15/45		215		217,172
Micron Technology, Inc.
7.50%, 9/15/23 (a)		497		550,427
Seagate HDD Cayman
4.75%, 1/01/25		1,948		1,855,850
4.875%, 6/01/27		1,320		1,189,633
Verisk Analytics, Inc.
5.50%, 6/15/45		636		676,349
Western Digital Corp.
7.375%, 4/01/23 (a)		1,058		1,163,800
				7,511,718
Transportation - Airlines - 0.2%
America West Airlines Pass-Through Trust
Series 1999-1G, Class G
7.93%, 1/02/19		728		768,659

	Principal Amount (000)		U.S. $ Value
Delta Air Lines Pass-Through Trust
Series 2007-1A
6.821%, 8/10/22	U.S.$	679	$	781,188
Northwest Airlines Pass-Through Trust
Series 2000-1, Class G
7.15%, 10/01/19		343		358,526
				1,908,373
				47,831,833
Financial Institutions - 3.0%
Banking - 1.0%
ABN AMRO Bank NV
Series E
6.25%, 4/27/22 (a)		292		323,200
BNP Paribas SA
7.625%, 3/30/21 (a)(m)		833		878,898
BPCE SA
5.70%, 10/22/23 (a)		208		218,667
Citigroup, Inc.
3.50%, 5/15/23		105		104,661
Danske Bank A/S
Series E
5.684%, 2/15/17 (m)	GBP	720		887,328
HSBC Holdings PLC
3.60%, 5/25/23	U.S.$	622		625,607
ICICI Bank Ltd./Dubai
4.80%, 5/22/19 (a)		1,337		1,401,219
JPMorgan Chase & Co.
Series V
5.00%, 7/01/19 (m)		210		209,475
Morgan Stanley
4.10%, 5/22/23		1,648		1,691,708
Nationwide Building Society
4.00%, 9/14/26 (a)		2,348		2,234,904
Regions Bank/Birmingham AL
6.45%, 6/26/37		1,500		1,689,192
Standard Chartered PLC
3.95%, 1/11/23 (a)(i)		1,301		1,271,375
				11,536,234
Brokerage - 0.2%
E*TRADE Financial Corp.
5.375%, 11/15/22		810		857,154
GFI Group, Inc.
8.375%, 7/19/18		991		1,065,325
				1,922,479
Finance - 0.1%
International Lease Finance Corp.
8.25%, 12/15/20		665		774,725
8.75%, 3/15/17		282		285,877
8.875%, 9/01/17		280		292,600
				1,353,202

	Principal Amount (000)		U.S. $ Value
Insurance - 1.2%
Allstate Corp. (The)
6.50%, 5/15/57	U.S.$	1,150	$	1,305,250
American International Group, Inc.
6.82%, 11/15/37		1,425		1,793,119
Aon Corp.
8.205%, 1/01/27		690		883,200
Assured Guaranty Municipal Holdings, Inc.
6.40%, 12/15/66 (a)		656		528,080
Lincoln National Corp.
8.75%, 7/01/19		186		214,008
MetLife, Inc.
10.75%, 8/01/39		2,350		3,607,250
Pacific Life Insurance Co.
9.25%, 6/15/39 (a)		475		701,634
Transatlantic Holdings, Inc.
8.00%, 11/30/39		1,261		1,606,326
XLIT Ltd.
5.50%, 3/31/45		630		597,786
Series E
6.50%, 4/15/17 (m)		2,309		1,801,020
ZFS Finance USA Trust V
6.50%, 5/09/37 (a)		1,240		1,243,286
				14,280,959
REITS - 0.5%
DDR Corp.
7.875%, 9/01/20		746		868,734
EPR Properties
5.75%, 8/15/22		915		985,119
7.75%, 7/15/20		1,722		1,953,089
Senior Housing Properties Trust
6.75%, 12/15/21		1,350		1,510,836
VEREIT Operating Partnership LP
4.875%, 6/01/26		302		305,881
				5,623,659
				34,716,533
Utility - 0.6%
Electric - 0.5%
EDP Finance BV
4.90%, 10/01/19 (a)		148		155,087
6.00%, 2/02/18 (a)		2,055		2,125,491
FirstEnergy Corp.
Series C
7.375%, 11/15/31		857		1,104,585
PPL Capital Funding, Inc.
Series A
6.70%, 3/30/67		2,405		2,110,387
				5,495,550
Natural Gas - 0.1%
Empresa de Energia de Bogota SA ESP
6.125%, 11/10/21 (a)		1,235		1,272,591
				6,768,141
Total Corporates - Investment Grade (cost $80,021,547)				89,316,507

	Principal Amount (000)		U.S. $ Value
EMERGING MARKETS - SOVEREIGNS - 4.9%
Angola - 0.2%
Angolan Government International Bond
9.50%, 11/12/25 (a)	U.S.$	1,188	$	1,148,431
Republic of Angola Via Northern Lights III BV
7.00%, 8/16/19 (a)		1,396		1,411,326
				2,559,757
Argentina - 0.6%
Argentine Republic Government International Bond
6.25%, 4/22/19 (a)		1,057		1,127,819
6.875%, 4/22/21 (a)		1,875		1,998,750
7.50%, 4/22/26 (a)		150		157,500
7.82%, 12/31/33	EUR	3,829		3,919,543
				7,203,612
Cameroon - 0.1%
Republic of Cameroon International Bond
9.50%, 11/19/25 (a)	U.S.$	1,222		1,313,723
Dominican Republic - 0.7%
Dominican Republic International Bond
7.45%, 4/30/44 (a)		1,283		1,291,019
8.625%, 4/20/27 (a)		5,719		6,426,154
				7,717,173
Ecuador - 0.2%
Ecuador Government International Bond
7.95%, 6/20/24 (a)		667		636,985
9.65%, 12/13/26 (a)		772		785,510
10.75%, 3/28/22 (a)		565		612,319
				2,034,814
El Salvador - 0.1%
El Salvador Government International Bond
7.625%, 9/21/34 (a)		762		798,195
Ethiopia - 0.0%
Ethiopia International Bond
6.625%, 12/11/24 (a)		582		534,055
Gabon - 0.2%
Gabon Government International Bond
6.375%, 12/12/24 (a)		2,052		1,908,745
6.95%, 6/16/25 (a)		1,050		981,530
				2,890,275

	Principal Amount (000)		U.S. $ Value
Ghana - 0.1%
Ghana Government International Bond
10.75%, 10/14/30 (a)	U.S.$	1,250	$	1,477,337
Iraq - 0.0%
Iraq International Bond
5.80%, 1/15/28 (a)		264		219,108
Ivory Coast - 0.6%
Ivory Coast Government International Bond
5.75%, 12/31/32 (a)		5,116		4,728,657
6.375%, 3/03/28 (a)		2,678		2,609,068
				7,337,725
Jamaica - 0.2%
Jamaica Government International Bond
7.625%, 7/09/25		506		577,199
7.875%, 7/28/45		1,240		1,346,479
				1,923,678
Jordan - 0.1%
Jordan Government International Bond
5.75%, 1/31/27 (a)		634		599,130
Kenya - 0.1%
Kenya Government International Bond
5.875%, 6/24/19 (a)		702		717,353
Lebanon - 0.0%
Lebanon Government International Bond
Series G
6.60%, 11/27/26 (a)		589		565,605
Mongolia - 0.2%
Mongolia Government International Bond
5.125%, 12/05/22 (a)		2,426		2,068,223
Pakistan - 0.1%
Pakistan Government International Bond
7.25%, 4/15/19 (a)		1,498		1,581,731
Serbia - 0.0%
Serbia International Bond
6.75%, 11/01/24 (a)		203		205,361
Sri Lanka - 0.1%
Sri Lanka Government International Bond
6.00%, 1/14/19 (a)		799		821,457
6.125%, 6/03/25 (a)		350		330,313
				1,151,770

	Principal Amount (000)		U.S. $ Value
Turkey - 0.6%
Turkey Government International Bond
4.875%, 10/09/26-4/16/43	U.S.$	4,986	$	4,280,108
5.625%, 3/30/21		2,600		2,666,040
				6,946,148
Venezuela - 0.5%
Venezuela Government International Bond
9.00%, 5/07/23 (a)		824		389,104
9.25%, 9/15/27		8,383		4,254,372
9.25%, 5/07/28 (a)		300		138,000
9.375%, 1/13/34		1,032		477,300
11.75%, 10/21/26 (a)		486		274,590
11.95%, 8/05/31 (a)		355		197,968
				5,731,334
Zambia - 0.2%
Zambia Government International Bond
8.50%, 4/14/24 (a)		1,846		1,800,902
Total Emerging Markets - Sovereigns (cost $58,479,288)				57,377,009
BANK LOANS - 4.1%
Industrial - 3.9%
Basic - 0.1%
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)
3.75% (LIBOR 3 Month + 2.75%), 6/30/19 (r)		1,313		1,316,108
Magnetation LLC
12.00%, 10/14/16 (f)(g)(j)		3,559		462,636
				1,778,744
Capital Goods - 0.2%
Serta Simmons Bedding, LLC
9.00% (LIBOR 3 Month + 8.00%), 11/08/24 (r)		2,312		2,319,699
Transdigm Inc.
3.77% (LIBOR 1 Month + 3.00%), 6/09/23 (r)		364		367,061
				2,686,760
Consumer Cyclical - Automotive - 0.1%
Navistar, Inc.
6.50% (LIBOR 3 Month + 5.50%), 8/07/20 (r)		866		876,212
Consumer Cyclical - Entertainment - 0.2%
ClubCorp Club Operations, Inc.
4.00% (LIBOR 3 Month + 3.00%), 12/15/22 (r)		1,245		1,258,263

	Principal Amount (000)		U.S. $ Value
Seaworld Parks & Entertainment, Inc. (fka SW Acquisitions Co., Inc.)
4.248% (LIBOR 3 Month + 3.25%), 5/14/20 (r)	U.S.$	989	$	993,648
				2,251,911
Consumer Cyclical - Other - 0.4%
Beazer Homes USA, Inc.
6.75% (LIBOR 6 Month + 5.50%), 3/11/18 (j)(r)		255		252,804
CityCenter Holdings, LLC
4.25% (LIBOR 3 Month + 3.25%), 10/16/20 (r)		1,826		1,845,514
La Quinta Intermediate Holdings L.L.C.
3.75% (LIBOR 3 Month + 2.75%), 4/14/21 (r)		1,697		1,696,329
Scientific Games International, Inc.
6.00% (LIBOR 3 Month + 5.00%), 10/01/21 (r)		1,138		1,151,908
				4,946,555
Consumer Cyclical - Retailers - 0.6%
Dollar Tree, Inc.
3.25% (LIBOR 3 Month + 2.50%), 7/06/22 (r)		7		7,206
Harbor Freight Tools USA, Inc.
3.89% (LIBOR 3 Month + 3.00%), 8/18/23 (r)		1,113		1,128,116
J.C. Penney Corporation, Inc.
5.25% (LIBOR 3 Month + 4.25%), 6/23/23 (r)		1,121		1,125,154
Michaels Stores, Inc.
3.75% (LIBOR 3 Month + 2.75%), 1/30/23 (r)		509		514,408
Neiman Marcus Group Inc., The
4.25% (LIBOR 3 Month + 3.25%), 10/25/20 (r)		244		211,589
Petco Animal Supplies, Inc.
5.00% (LIBOR 3 Month + 4.00%), 1/26/23 (r)		3,116		3,129,820
Rite Aid Corporation
5.75% (LIBOR 3 Month + 4.75%), 8/21/20 (r)		500		502,915
				6,619,208
Consumer Non-Cyclical - 0.6%
Acadia Healthcare Company, Inc.
3.76% (LIBOR 1 Month + 3.00%), 2/11/22-2/16/23 (r)		572		575,932
Air Medical Group Holdings, Inc.
5.00% (LIBOR 3 Month + 4.00%), 4/28/22 (r)		353		358,304

	Principal Amount (000)		U.S. $ Value
Arbor Pharmaceuticals, LLC
6.00% (LIBOR 3 Month + 5.00%), 7/05/23 (r)	U.S.$	1,252	$	1,263,081
DJO Finance LLC
4.25% (LIBOR 3 Month + 3.25%), 6/08/20 (r)		992		951,216
Grifols Worldwide Operations Limited
3.715% (LIBOR 1 Week + 3.00%), 2/27/21 (r)		690		694,576
Immucor, Inc. (fka IVD Acquisition Corporation)
5.00% (LIBOR 3 Month + 3.75%), 8/17/18 (r)		1,044		1,007,579
Mallinckrodt International Finance S.A.
3.748% (LIBOR 3 Month + 2.75%), 3/19/21 (r)		1,234		1,236,858
Ortho-Clinical Diagnostics Holdings Luxembourg S.À R.L.
4.75% (LIBOR 3 Month + 3.75%), 6/30/21 (r)		617		611,386
Vizient, Inc.
5.00% (LIBOR 3 Month + 4.00%), 2/13/23 (r)		469		474,819
				7,173,751
Energy - 0.4%
California Resources Corporation
11.375% (LIBOR 3 Month + 10.38%), 12/31/21 (r)		2,088		2,313,969
Chesapeake Energy Corporation
8.50% (LIBOR 3 Month + 7.50%), 8/23/21 (r)		621		674,935
EP Energy LLC (fka Everest Acquisition LLC)
9.75% (LIBOR 3 Month + 8.75%), 6/30/21 (r)		1,210		1,262,937
				4,251,841
Other Industrial - 0.4%
Conduent Incorporated
6.25% (LIBOR 3 Month + 5.50%), 12/07/23 (r)		229		231,576
Gardner Denver, Inc.
4.25%-4.57% (LIBOR 3 Month + 3.25%), 7/30/20 (r)		1,161		1,148,206
GFL Environmental Inc.
3.75% (LIBOR 3 Month + 2.75%), 9/29/23 (r)		329		329,437
Manitowoc Foodservice, Inc.
5.75% (LIBOR 3 Month + 4.75%), 3/03/23 (r)		117		118,316

	Principal Amount (000)		U.S. $ Value
Sedgwick Claims Management Services, Inc.
3.75% (LIBOR 3 Month + 2.75%), 3/01/21 (r)	U.S.$	1,044	$	1,045,756
Travelport Finance (Luxembourg) S.Ã r.l.
5.00% (LIBOR 3 Month + 4.00%), 9/02/21 (r)		1,468		1,481,411
Unifrax Holding Co.
4.50% (EURIBOR 3 Month + 3.50%), 11/28/18 (r)	EUR	712		754,989
				5,109,691
Technology - 0.9%
Avaya Inc.
6.25% (LIBOR 3 Month + 5.25%), 5/29/20 (j)(r)	U.S.$	3,199		2,773,386
6.50% (LIBOR 3 Month + 5.50%), 3/31/18 (j)(r)		105		91,382
BMC Software Finance Inc.
5.00% (LIBOR 3 Month + 4.00%), 9/10/20 (r)		1,910		1,905,096
Smart Modular Technologies (Global), Inc.
9.25% (LIBOR 3 Month + 8.00%), 8/26/17 (j)(r)		936		767,246
Solera, LLC (Solera Finance, Inc.)
5.75% (LIBOR 3 Month + 4.75%), 3/03/23 (r)		2,615		2,647,928
Veritas US Inc.
6.625% (LIBOR 3 Month + 5.63%), 1/27/23 (r)		1,881		1,734,786
				9,919,824
				45,614,497
Utility - 0.2%
Electric - 0.2%
Energy Future Intermediate Holding Company LLC (EFIH Finance Inc.)
4.25% (LIBOR 3 Month + 3.25%), 6/30/17 (r)		2,010		2,021,447
Financial Institutions - 0.0%
Insurance - 0.0%
Hub International Limited
4.00% (LIBOR 3 Month + 3.00%), 10/02/20 (r)		484		487,229
Total Bank Loans (cost $50,177,799)				48,123,173
EMERGING MARKETS - TREASURIES - 3.9%
Argentina - 0.4%
Argentine Bonos del Tesoro
15.50%, 10/17/26	ARS	14,694		891,491
16.00%, 10/17/23		29,561		1,782,249
21.20%, 9/19/18		33,327		2,124,651
				4,798,391

	Principal Amount (000)		U.S. $ Value
Brazil - 3.0%
Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/21-1/01/27	BRL	120,467	$	34,456,587
Dominican Republic - 0.5%
Dominican Republic International Bond
16.00%, 7/10/20 (d)	DOP	229,800		5,796,444
Total Emerging Markets - Treasuries (cost $44,329,966)				45,051,422
COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.5%
Non-Agency Fixed Rate CMBS - 3.5%
225 Liberty Street Trust
Series 2016-225L, Class E
4.804%, 2/10/36 (a)	U.S.$	974		930,556
Banc of America Commercial Mortgage Trust
Series 2007-5, Class AM
5.772%, 2/10/51		2,877		2,930,125
Banc of America Re-REMIC Trust
Series 2009-UB1, Class A4B
5.796%, 6/24/50 (d)(f)		3,500		3,544,800
Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class XA
1.816%, 4/10/46 (s)		2,247		125,924
Series 2013-GC17, Class D
5.104%, 11/10/46 (a)		902		803,219
Series 2014-GC23, Class D
4.507%, 7/10/47 (a)		856		714,953
Commercial Mortgage Pass Through Certificates
Series 2012-CR3, Class XA
2.076%, 10/15/45 (s)		9,198		699,775
Commercial Mortgage Trust
Series 2012-CR1, Class XA
2.023%, 5/15/45 (s)		2,125		154,870
Series 2012-CR5, Class XA
1.742%, 12/10/45 (s)		2,286		152,973
Series 2012-LC4, Class XA
2.279%, 12/10/44 (a)(s)		5,910		470,572
Series 2013-LC6, Class D
4.284%, 1/10/46 (a)		3,916		3,582,756
Series 2014-CR15, Class XA
1.292%, 2/10/47 (s)		2,534		118,774
Series 2014-CR20, Class XA
1.187%, 11/10/47 (s)		11,518		711,473
Series 2014-LC15, Class D
4.944%, 4/10/47 (a)		1,500		1,209,143
Series 2014-UBS5, Class D
3.495%, 9/10/47 (a)		669		445,259

	Principal Amount (000)		U.S. $ Value
CSAIL Commercial Mortgage Trust
Series 2015-C2, Class D
4.211%, 6/15/57	U.S.$	2,721	$	1,939,540
GS Mortgage Securities Corp. II
Series 2013-GC10, Class XA
1.595%, 2/10/46 (s)		953		68,995
GS Mortgage Securities Trust
Series 2012-GC6, Class D
5.654%, 1/10/45 (a)		1,765		1,722,626
Series 2012-GCJ9, Class D
4.852%, 11/10/45 (a)		700		646,505
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2014-C20, Class D
4.572%, 7/15/47 (a)		2,737		2,096,790
JPMBB Commercial Mortgage Securities Trust
Series 2015-C32, Class C
4.668%, 11/15/48		825		751,045
LB-UBS Commercial Mortgage Trust
Series 2007-C2, Class AM
5.493%, 2/15/40		1,254		1,263,953
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2012-C6, Class XA
1.977%, 11/15/45 (a)(s)		10,321		614,089
UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class XA
1.76%, 12/10/45 (a)(s)		934		67,168
Wachovia Bank Commercial Mortgage Trust
Series 2007-C34, Class AM
5.818%, 5/15/46		400		409,326
Wells Fargo Commercial Mortgage Trust
Series 2015-LC20, Class D
4.365%, 4/15/50 (a)		3,000		2,223,054
Series 2015-SG1, Class D
4.471%, 12/15/47		2,500		1,925,671
WF-RBS Commercial Mortgage Trust
Series 2011-C4, Class D
5.248%, 6/15/44 (a)(l)		1,022		1,050,822
Series 2012-C10, Class XA
1.699%, 12/15/45 (a)(s)		3,760		264,247
Series 2012-C6, Class D
5.589%, 4/15/45 (a)		2,450		2,397,978
Series 2012-C7, Class XA
1.50%, 6/15/45 (a)(s)		1,488		89,881
Series 2012-C8, Class E
4.897%, 8/15/45 (a)		3,766		3,564,571
Series 2014-C25, Class D
3.803%, 11/15/47 (a)		3,500		2,446,546
				40,137,979

	Principal Amount (000)		U.S. $ Value
Non-Agency Floating Rate CMBS - 0.0%
Morgan Stanley Capital I Trust
Series 2015-MS1, Class D
4.03%, 5/15/48 (a)(l)	U.S.$	490	$	369,547
Total Commercial Mortgage-Backed Securities (cost $41,688,653)				40,507,526
EMERGING MARKETS - CORPORATE BONDS - 2.0%
Industrial - 1.6%
Basic - 0.2%
Elementia SAB de CV
5.50%, 1/15/25 (a)		469		456,103
Samarco Mineracao SA
4.125%, 11/01/22 (a)		1,396		753,840
5.75%, 10/24/23 (a)(b)(c)		1,890		1,018,237
				2,228,180
Capital Goods - 0.3%
Andrade Gutierrez International SA
4.00%, 4/30/18 (a)		637		529,665
Grupo KUO SAB De CV
6.25%, 12/04/22 (a)		200		195,500
Odebrecht Finance Ltd.
4.375%, 4/25/25 (a)		349		201,548
5.25%, 6/27/29 (a)		1,070		615,250
7.125%, 6/26/42 (a)		2,665		1,552,362
8.25%, 4/25/18 (a)	BRL	1,332		252,715
Servicios Corporativos Javer SAB de CV
9.875%, 4/06/21 (a)	U.S.$	491		502,048
				3,849,088
Communications - Telecommunications - 0.4%
Comcel Trust via Comunicaciones Celulares SA
6.875%, 2/06/24 (a)		986		993,395
Digicel Group Ltd.
7.125%, 4/01/22 (a)		448		347,532
Digicel Ltd.
6.00%, 4/15/21 (a)		1,356		1,226,461
6.75%, 3/01/23 (a)		1,095		987,285
IHS Netherlands Holdco BV
9.50%, 10/27/21 (a)		600		608,250
MTN Mauritius Investment Ltd.
6.50%, 10/13/26 (a)		780		763,425
				4,926,348
Consumer Cyclical - Retailers - 0.0%
Edcon Ltd.
9.50%, 3/01/18 (a)(b)(c)	EUR	1,151		171,371

	Principal Amount (000)		U.S. $ Value
9.50%, 3/01/18 (a)(b)(c)	U.S.$	420	$	63,000
				234,371
Consumer Non-Cyclical - 0.4%
Marfrig Holdings Europe BV
8.00%, 6/08/23 (a)		1,220		1,262,822
Minerva Luxembourg SA
6.50%, 9/20/26 (a)		2,198		2,118,322
Tonon Luxembourg SA
7.25%, 1/24/20 (a)(g)(j)		1,679		184,660
USJ Acucar e Alcool SA
9.875% (9.875% Cash or 12.00% PIK), 11/09/21 (a)(g)		508		407,919
Virgolino de Oliveira Finance SA
10.50%, 1/28/18 (b)(c)(d)		4,090		306,750
10.875%, 1/13/20 (b)(c)(d)		480		126,000
11.75%, 2/09/22 (b)(c)(d)		1,620		121,176
				4,527,649
Transportation - Airlines - 0.3%
Guanay Finance Ltd.
6.00%, 12/15/20 (a)		556		561,139
TAM Capital 3, Inc.
8.375%, 6/03/21 (a)		2,505		2,567,625
				3,128,764
				18,894,400
Non Corporate Sectors - 0.3%
Treasuries - 0.3%
Indonesia - Recap Linked Note (JPMC)
Series E
10.00%, 7/18/17 (a)	IDR	47,971,000		3,606,949
Financial Institutions - 0.1%
Finance - 0.1%
CIMPOR Financial Operations BV
5.75%, 7/17/24 (a)	U.S.$	1,491		1,237,679
Total Emerging Markets - Corporate Bonds (cost $32,159,208)				23,739,028
ASSET-BACKED SECURITIES - 1.2%
Home Equity Loans - Fixed Rate - 0.5%
CSAB Mortgage-Backed Trust
Series 2006-2, Class A6A
5.72%, 9/25/36		890		554,252
GSAA Home Equity Trust
Series 2005-12, Class AF5
5.659%, 9/25/35		1,539		1,303,132
Series 2006-10, Class AF3
5.985%, 6/25/36		1,286		634,428
Lehman XS Trust
Series 2006-17, Class WF32
5.55%, 11/25/36		643		624,486

	Principal Amount (000)		U.S. $ Value
Morgan Stanley Mortgage Loan Trust
Series 2006-15XS, Class A3
5.988%, 11/25/36	U.S.$	1,313	$	620,091
Series 2007-8XS, Class A2
6.00%, 4/25/37		4,355		2,629,842
				6,366,231
Home Equity Loans - Floating Rate - 0.2%
CWABS Asset-Backed Certificates Trust
Series 2005-7, Class AF5W
5.054%, 10/25/35 (l)		895		887,082
GSAA Home Equity Trust
Series 2006-6, Class AF4
6.121%, 3/25/36 (l)		1,791		929,184
Series 2006-6, Class AF5
6.241%, 3/25/36 (l)		663		333,579
Lehman XS Trust
Series 2007-6, Class 3A5
5.012%, 5/25/37 (l)		316		444,396
				2,594,241
Other ABS - Fixed Rate - 0.2%
Atlas 2014-1 Limited
Series 2014-1
6.875%, 12/15/39		1,141		1,129,194
Taco Bell Funding LLC
Series 2016-1A, Class A23
4.97%, 5/25/46 (a)		799		793,177
				1,922,371
Other ABS - Floating Rate - 0.2%
ALM XII Ltd.
Series 2015-12A, Class D
6.38% (LIBOR 3 Month + 5.50%), 4/16/27 (a)(n)		1,015		947,969
Carlyle Global Market Strategies CLO Ltd.
Series 2016-1A, Class C
5.781% (LIBOR 3 Month + 4.90%), 4/20/27 (a)(n)		300		303,077
OZLM VIII Ltd.
Series 2014-8A, Class D
5.83% (LIBOR 3 Month + 4.95%), 10/17/26 (a)(n)		585		535,196
				1,786,242
Autos - Fixed Rate - 0.1%
Exeter Automobile Receivables Trust
Series 2016-1A, Class D
8.20%, 2/15/23 (a)		720		754,379
Total Asset-Backed Securities (cost $14,129,277)				13,423,464

	Principal Amount (000)		U.S. $ Value
GOVERNMENTS - SOVEREIGN AGENCIES - 1.1%
Brazil - 0.7%
Banco do Brasil SA/Cayman
9.00%, 6/18/24 (a)(m)	U.S.$	1,763	$	1,657,220
Petrobras Global Finance BV
4.875%, 3/17/20		1,395		1,379,236
5.375%, 1/27/21		1,655		1,618,590
5.75%, 1/20/20		190		192,375
6.25%, 3/17/24		3,000		2,877,600
6.85%, 6/05/15		307		248,670
				7,973,691
Colombia - 0.1%
Ecopetrol SA
5.375%, 6/26/26		289		287,555
5.875%, 5/28/45		1,271		1,098,144
				1,385,699
Turkey - 0.1%
Turkiye Vakiflar Bankasi TAO
5.50%, 10/27/21 (a)		807		764,633
United Arab Emirates - 0.2%
Dubai Holding Commercial Operations MTN Ltd.
Series E
6.00%, 2/01/17	GBP	2,300		2,836,158
Total Governments - Sovereign Agencies (cost $14,052,170)				12,960,181
	Shares
PREFERRED STOCKS - 1.1%
Industrial - 0.6%
Energy - 0.6%
Tervita Corp.
0.00% (j)		1,140,842		6,797,554
Financial Institutions - 0.5%
Banking - 0.2%
GMAC Capital Trust I
6.691%		16,325		414,655
US Bancorp
Series F
6.50%		64,825		1,833,899
				2,248,554
Insurance - 0.2%
Hartford Financial Services Group, Inc. (The)
7.875%		45,050		1,334,832
XLIT Ltd.
Series D
4.00% (n)		1,600		1,232,000
				2,566,832

	Shares		U.S. $ Value
REITS - 0.1%
Hersha Hospitality Trust
6.875%		15,950	$	387,425
Sovereign Real Estate Investment Trust
12.00% (a)		185		235,783
				623,208
				5,438,594
Utility - 0.0%
Electric - 0.0%
SCE Trust III
5.75%		12,025		306,277
Total Preferred Stocks (cost $11,950,808)				12,542,425
	Principal Amount (000)
GOVERNMENTS - SOVEREIGN BONDS - 0.9%
Croatia - 0.4%
Croatia Government International Bond
6.625%, 7/14/20 (a)	U.S.$	4,000		4,350,640
Indonesia - 0.2%
Indonesia - Recap Linked Note (JPMC)
9.50%, 5/17/41 (a)	IDR	27,844,000		2,240,334
United Arab Emirates - 0.3%
Emirate of Dubai Government International Bonds
7.75%, 10/05/20 (a)	U.S.$	3,310		3,868,562
Total Governments - Sovereign Bonds (cost $10,707,394)				10,459,536
WHOLE LOAN TRUSTS - 0.8%
Performing Asset - 0.8%
Alpha Credit Debt Fund LLC
15.00%, 12/31/17 (f)(j)		735		735,188
16.00%, 1/01/21 (f)(j)	MXN	20,945		1,010,388
AlphaCredit Capital, SA de CV
17.25%, 8/06/19 (f)(j)		6,587		317,744
Cara Aircraft Leasing 28548, Inc.
8.00%, 12/02/19 (f)(j)	U.S.$	83		79,223
Cara Aircraft Leasing 28563, Inc.
8.00%, 6/11/19 (f)(j)		235		227,892
Cara Aircraft Leasing 28868, Inc.
8.00%, 12/02/19 (f)(j)		97		91,872
Deutsche Bank Mexico SA
8.00%, 10/31/34 (f)(j)(l)	MXN	40,378		1,246,616
8.00%, 10/31/34 (f)(j)		16,330		504,158
Flexpath Wh I LLC
Series B
11.00%, 4/01/21 (f)(j)	U.S.$	648		525,208

	Principal Amount (000)		U.S. $ Value
Series B2
11.00%, 1/01/22 (f)(j)	U.S.$	840	$	714,279
Series B3
11.00%, 9/01/22 (f)(j)		87		81,164
Recife Funding
Zero Coupon, 11/05/29 (f)(j)		1,811		1,738,410
Sheridan Auto Loan Holdings I LLC
10.00%, 12/31/20 (f)(j)		548		426,077
10.00%, 9/30/21 (f)(j)		1,237		1,112,936
Total Whole Loan Trusts (cost $11,074,056)				8,811,155
	Shares
COMMON STOCKS - 0.6%
Consumer Discretionary - 0.1%
Auto Components - 0.0%
Exide Technologies (b)(e)		15,253		11,440
Exide Technologies (b)		59,185		44,388
				55,828
Automobiles - 0.0%
Liberty Tire Recycling LLC (f)(j)		81,827		0
Internet & Direct Marketing Retail - 0.1%
Travelport Worldwide Ltd.		80,347		1,132,893
				1,188,721
Energy - 0.2%
Oil, Gas & Consumable Fuels - 0.2%
SandRidge Energy, Inc. (b)		14,288		336,482
Vantage Drilling International (b)(j)		6,103		616,403
Whiting Petroleum Corp. (b)		60,521		727,463
				1,680,348
Financials - 0.3%
Diversified Financial Services - 0.1%
iPayment, Inc. (f)(j)		181,272		598,197
Insurance - 0.2%
Mt. Logan Re Ltd. (Preference Shares) (e)(t)(u)		2,953		3,075,386
				3,673,583
Industrials - 0.0%
Building Products - 0.0%
New Cotai LLC/New Cotai Capital Corp. (f)(j)		3		2,820
Oil, Gas & Consumable Fuels - 0.0%
Tervita Corp.		29,730		177,142
				179,962

	Shares		U.S. $ Value
Materials - 0.0%
Metals & Mining - 0.0%
Neenah Enterprises, Inc. (b)(f)(j)		58,200	$	211,266
Total Common Stocks (cost $10,282,174)				6,933,880
	Principal Amount (000)
INFLATION-LINKED SECURITIES - 0.5%
Brazil - 0.3%
Brazil Notas do Tesouro Nacional
Series B
6.00%, 5/15/45-8/15/50	BRL	3,500		3,277,470
Colombia - 0.2%
Fideicomiso PA Costera
6.25%, 1/15/34 (a)	COP	1,230,800		380,273
Fideicomiso PA Pacifico Tres
7.00%, 1/15/35 (d)		6,642,880		2,207,286
				2,587,559
Total Inflation-Linked Securities (cost $5,364,927)				5,865,029
LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.5%
United States - 0.5%
State of California
Series 2010
7.60%, 11/01/40	U.S.$	750		1,129,710
7.95%, 3/01/36		1,915		2,231,626
State of Illinois
Series 2010
7.35%, 7/01/35		1,915		2,072,375
Total Local Governments - Municipal Bonds (cost $4,601,958)				5,433,711
QUASI-SOVEREIGNS - 0.4%
Quasi-Sovereign Bonds - 0.4%
Indonesia - 0.1%
Majapahit Holding BV
7.875%, 6/29/37 (a)		699		825,729
Mexico - 0.2%
Petroleos Mexicanos
4.625%, 9/21/23 (a)		1,695		1,648,896
5.375%, 3/13/22 (a)		516		528,374
5.50%, 1/21/21		759		780,821
				2,958,091
South Africa - 0.1%
Eskom Holdings SOC Ltd.
7.125%, 2/11/25 (a)		670		675,025

	Principal Amount (000)		U.S. $ Value
Venezuela - 0.0%
Petroleos de Venezuela SA
9.75%, 5/17/35 (a)	U.S.$	1,223	$	580,726
Total Quasi-Sovereigns (cost $4,919,893)				5,039,571
LOCAL GOVERNMENTS - REGIONAL BONDS - 0.4%
Argentina - 0.4%
Provincia de Buenos Aires/Argentina
5.75%, 6/15/19 (a)		1,381		1,439,969
9.125%, 3/16/24 (a)		2,238		2,434,944
Provincia de Cordoba
7.125%, 6/10/21 (a)		754		774,735
Total Local Governments - Regional Bonds (cost $4,335,704)				4,649,648
	Shares
INVESTMENT COMPANIES - 0.2%
Funds and Investment Trusts - 0.2%
OCL Opportunities Fund II (f)(j)(v) (cost $1,490,950)		11,474		1,884,160
WARRANTS - 0.1%
Encore Automotive Acceptance, expiring 7/05/31 (b)		8		0
FairPoint Communications, Inc., expiring 1/24/18 (b)(j)		9,725		120
Flexpath Capital, Inc., expiring 4/15/31 (b)		10,974		0
iPayment Holdings, Inc., expiring 12/29/22 (b)(f)(j)		586,389		310,786
Midstates Petroleum Co., Inc., expiring 4/21/20 (b)(j)		39,269		215,979
SandRidge Energy, Inc.-A-CW22, expiring 10/03/22 (b)		46,951		164,328
SandRidge Energy, Inc.-B-CW22, expiring 10/03/22 (b)		19,772		80,077
Total Warrants (cost $507,752)				771,290
	Contracts
OPTIONS PURCHASED - CALLS - 0.0%
Options on Forward Contracts - 0.0%
MXN/USD
Expiration: Mar 2017, Exercise Price: MXN 19.80 (b)(w)		245,797,200		63,792
TRY/EUR
Expiration: Apr 2017, Exercise Price: TRY 3.65 (b)(w)		38,690,000		142,928
TRY/EUR
Expiration: Apr 2017, Exercise Price: TRY 3.65 (b)(w)		36,573,000		135,107

	Contracts			U.S. $ Value
ZAR/USD
Expiration: Feb 2017, Exercise Price: ZAR 13.31 (b)(w)		153,044,300		$	134,192
Total Options Purchased - Calls (premiums paid $660,723)					476,019
OPTIONS PURCHASED - PUTS - 0.0%
Options on Equity Indices - 0.0%
S&P 500 Index
Expiration: Feb 2017, Exercise Price: $ 2,150.00 (b)(w)		16,400			293,374
	Notional Amount (000)
Swaptions - 0.0%
IRS Swaption, Citibank, N.A.
Expiration: Jan 2017, Exercise Rate: 1.46% (b)	EUR	5,750			833
IRS Swaption, JPMorgan Chase Bank, N.A.
Expiration: Jan 2017, Exercise Rate: 1.415% (b)		5,750			619
					1,452
Total Options Purchased - Puts (premiums paid $434,027)					294,826
	Shares
SHORT-TERM INVESTMENTS - 2.7%
Investment Companies - 2.4%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio-Class AB, 0.37% (x)(y) (cost $27,743,555)		27,743,555			27,743,555
	Principal Amount (000)
TIME DEPOSITS - 0.3%
BBH, Grand Cayman
(1.45)%, 1/03/17	CHF	5			4,654
0.00%, 1/02/17	NOK	120			13,879
4.88%, 1/03/17	ZAR	0	**		1
Deutsche Bank, Grand Cayman
0.26%, 1/03/17	U.S.$	2,148			2,147,988
HSBC, Hong Kong
0.005%, 1/03/17	HKD	2,852			367,818
National Australia Bank, London
0.506%, 1/03/17	AUD	480			346,420
Royal Bank of Canada, Toronto
0.05%, 1/03/17	CAD	798			594,349
Sumitomo, Tokyo
(0.557)%, 1/02/17	EUR	532			559,643
(0.28)%, 1/04/17	JPY	7,265			62,158
Total Time Deposits (cost $4,107,363)					4,096,910

	U.S. $ Value
Total Short-Term Investments (cost $31,850,918)	$	31,840,465
Total Investments - 107.3% (cost $1,261,593,500) (z)		1,247,280,780
Other assets less liabilities - (7.3)%		(85,306,828	)
Net Assets - 100.0%	$	1,161,973,952

FUTURES

Type	Number of Contracts		Expiration Month		Original Value		Value at December 31, 2016		Unrealized Appreciation/ (Depreciation)
Purchased Contracts
Euro STOXX 50 Index Futures		89		March 2017	$	2,994,561	$	3,066,845	$	72,284
U.S. T-Note 2 Yr (CBT) Futures		289		March 2017		62,722,031		62,622,687		(99,344	)
U.S. T-Note 5 Yr (CBT) Futures		761		March 2017		89,494,328		89,542,352		48,024
U.S. T-Note 10 Yr (CBT) Futures		181		March 2017		22,606,437		22,494,906		(111,531	)
									$	(90,567	)

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.	JPY	693,365	USD	6,125		1/25/17	$	184,271
Australia and New Zealand Banking Group Ltd.	CNY	221,582	USD	31,695		2/14/17		287,005
Australia and New Zealand Banking Group Ltd.	USD	1,999	IDR	27,060,158		3/14/17		(15,233	)
Australia and New Zealand Banking Group Ltd.	CNH	27,056	USD	3,808		3/31/17		10,060
Bank of America, NA	INR	327,546	USD	4,801		2/14/17		1,337
Bank of America, NA	INR	185,379	USD	2,712		2/14/17		(4,690	)
Barclays Bank PLC	USD	4,398	TRY	15,675		2/08/17		13,150
Barclays Bank PLC	INR	665,018	USD	9,740		2/14/17		(6,137	)
BNP Paribas SA	AUD	7,905	USD	6,095		1/19/17		392,834
BNP Paribas SA	EUR	28,873	USD	31,514		1/25/17		1,083,642
BNP Paribas SA	USD	7,113	JPY	832,000		1/25/17		15,092
BNP Paribas SA	USD	173	ARS	3,009		1/26/17		12,918
BNP Paribas SA	USD	173	ARS	3,027		1/31/17		13,144
BNP Paribas SA	ZAR	6,842	USD	486		1/31/17		(9,103	)
BNP Paribas SA	CAD	6,435	USD	4,886		2/03/17		91,695
BNP Paribas SA	USD	173	ARS	3,044		2/03/17		13,702
BNP Paribas SA	USD	696	ARS	12,267		2/13/17		51,621
BNP Paribas SA	USD	525	ARS	9,303		2/16/17		40,847
BNP Paribas SA	USD	350	ARS	6,231		2/17/17		28,775
BNP Paribas SA	USD	1,050	ARS	18,904		2/21/17		96,308
BNP Paribas SA	USD	175	ARS	3,186		2/23/17		17,940
BNP Paribas SA	USD	334	ARS	6,107		2/24/17		36,001
BNP Paribas SA	USD	182	ARS	3,384		2/27/17		22,559
BNP Paribas SA	USD	95	ARS	1,790		2/28/17		12,637

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
BNP Paribas SA	USD	95	ARS	1,814		3/01/17	$	14,012
BNP Paribas SA	USD	984	ARS	19,183		3/02/17		173,388
BNP Paribas SA	USD	5,726	CLP	3,860,824		3/03/17		14,724
Brown Brothers Harriman & Co.	MXN	14	USD	1		1/11/17		9
Brown Brothers Harriman & Co.	USD	208	MXN	4,264		1/11/17		(2,268	)
Brown Brothers Harriman & Co.	GBP	113	USD	141		1/20/17		1,772
Brown Brothers Harriman & Co.	EUR	804	USD	867		1/25/17		20,511
Brown Brothers Harriman & Co.	ZAR	6,849	USD	497		1/31/17		1,441
Brown Brothers Harriman & Co.	ZAR	3,951	USD	279		1/31/17		(7,383	)
Citibank, NA	BRL	20,272	USD	6,220		1/04/17		(8,409	)
Citibank, NA	USD	6,171	BRL	20,272		1/04/17		57,826
Citibank, NA	MXN	468,299	USD	23,014		1/11/17		446,991
Citibank, NA	USD	5,610	MXN	114,488		1/11/17		(93,156	)
Citibank, NA	USD	22,399	RUB	1,471,126		1/17/17		1,493,036
Citibank, NA	AUD	15,128	USD	11,410		1/19/17		497,913
Citibank, NA	EUR	5,608	USD	6,029		1/25/17		117,881
Citibank, NA	ZAR	27,788	USD	1,976		1/31/17		(36,679	)
Citibank, NA	BRL	20,272	USD	6,117		2/02/17		(55,838	)
Citibank, NA	CAD	4,044	USD	3,044		2/03/17		31,224
Citibank, NA	USD	17,380	INR	1,178,595		2/14/17		(108,378	)
Citibank, NA	SEK	5,546	USD	608		2/23/17		(2,285	)
Citibank, NA	KRW	13,390,081	USD	11,412		3/14/17		323,424
Credit Suisse International	USD	5,813	MXN	118,973		1/11/17		(79,565	)
Credit Suisse International	RUB	434,795	USD	7,137		1/17/17		75,312
Credit Suisse International	RUB	116,730	USD	1,833		1/17/17		(63,278	)
Credit Suisse International	USD	2,586	MXN	52,934		1/20/17		(39,177	)
Credit Suisse International	GBP	4,470	EUR	5,309		1/23/17		83,523
Credit Suisse International	CHF	11,779	USD	11,431		1/31/17		(159,550	)
Credit Suisse International	USD	11,045	ZAR	152,785		1/31/17		18,656
Credit Suisse International	USD	3,184	ZAR	43,666		1/31/17		(21,741	)
Credit Suisse International	USD	11,962	CAD	15,890		2/03/17		(122,264	)
Credit Suisse International	TRY	53,684	USD	15,203		2/08/17		95,400
Credit Suisse International	USD	1,971	TRY	7,038		2/08/17		9,918
Credit Suisse International	USD	5,060	ZAR	71,687		3/01/17		103,851
Deutsche Bank AG	EUR	2,544	GBP	2,146		1/23/17		(35,613	)
Goldman Sachs Bank USA	BRL	23,696	USD	7,271		1/04/17		(9,829	)
Goldman Sachs Bank USA	USD	6,922	BRL	23,696		1/04/17		358,171
Goldman Sachs Bank USA	USD	5,842	RUB	385,360		1/17/17		416,518
Goldman Sachs Bank USA	USD	5,354	IDR	72,081,479		3/14/17		(70,243	)
Goldman Sachs Bank USA	TRY	19,857	EUR	5,254		4/13/17		50,853
HSBC Bank USA	BRL	43,968	USD	12,808		1/04/17		(701,251	)
HSBC Bank USA	USD	13,491	BRL	43,968		1/04/17		18,238
HSBC Bank USA	GBP	10,899	USD	13,597		1/20/17		157,840
HSBC Bank USA	JPY	952,271	USD	8,410		1/25/17		251,184
HSBC Bank USA	ZAR	28,750	USD	2,087		1/31/17		4,684
HSBC Bank USA	CAD	30,744	USD	23,021		2/03/17		114,323
HSBC Bank USA	SGD	7,882	USD	5,526		3/14/17		85,720
JPMorgan Chase Bank, NA	USD	6,669	MXN	137,243		1/11/17		(55,722	)
JPMorgan Chase Bank, NA	MXN	52,934	USD	2,586		1/20/17		39,180
JPMorgan Chase Bank, NA	EUR	2,765	GBP	2,324		1/23/17		(47,906	)
JPMorgan Chase Bank, NA	USD	6,815	JPY	797,623		1/25/17		18,606
JPMorgan Chase Bank, NA	ZAR	48,906	USD	3,496		1/31/17		(45,732	)
JPMorgan Chase Bank, NA	CAD	8,007	USD	6,010		2/03/17		44,482
JPMorgan Chase Bank, NA	USD	17,264	CAD	22,917		2/03/17		(189,065	)
JPMorgan Chase Bank, NA	ZAR	71,687	USD	5,060		3/01/17		(103,830	)
JPMorgan Chase Bank, NA	CNH	54,110	USD	7,613		3/31/17		17,527
Morgan Stanley Capital Services LLC	RUB	18,626	USD	290		1/17/17		(12,741	)
Morgan Stanley Capital Services LLC	USD	572	GBP	450		1/20/17		(17,782	)
Morgan Stanley Capital Services LLC	USD	11,549	COP	34,987,315		3/03/17		(18,502	)

Counterparty	Contracts to Deliver (000)		In Exchange For (000)		Settlement Date		Unrealized Appreciation/ (Depreciation)
Morgan Stanley Capital Services LLC	MXN	125,629	USD	6,096		3/13/17	$	90,306
Morgan Stanley Capital Services LLC	ZAR	9,315	USD	641		1/31/17		(33,875	)
Northern Trust Co. Trust	ZAR	40,531	USD	2,945		1/31/17		9,517
Royal Bank of Scotland PLC	USD	2,785	MXN	57,457		1/11/17		(16,688	)
Royal Bank of Scotland PLC	NZD	24,252	USD	17,236		1/19/17		398,122
Royal Bank of Scotland PLC	USD	5,287	AUD	7,062		1/19/17		(193,294	)
Royal Bank of Scotland PLC	EUR	19,458	USD	20,680		1/25/17		172,847
Royal Bank of Scotland PLC	USD	2,850	PEN	9,759		3/03/17		34,930
Standard Chartered Bank	USD	14,563	TRY	50,339		2/08/17		(397,412	)
Standard Chartered Bank	TWD	376,229	USD	11,806		3/10/17		193,705
Standard Chartered Bank	USD	6,238	TWD	199,322		3/10/17		(85,354	)
UBS AG	TWD	475,073	USD	14,834		3/10/17		170,941
UBS AG	IDR	9,972,664	USD	735		3/14/17		3,714
UBS AG	USD	11,452	KRW	13,390,081		3/14/17		(362,758	)
							$	5,425,027

PUT OPTIONS WRITTEN

Description	Contracts		Exercise Price		Expiration Month		Premiums Received		U.S. $ Value
iBoxx $ Liquid High Yield Index (w)		132,200	$	85.00		January 2017	$	40,982	$	(22,991	)
S&P 500 Index (w)		32,900		2,000.00		February 2017		208,093		(172,048	)
							$	249,075	$	(195,039	)

CREDIT DEFAULT SWAPTIONS WRITTEN

Description	Counter- party	Buy/Sell Protection	Strike Rate			Expiration Month	Notional Amount (000)		Premiums Received		Market Value
CDX-NAHY Series 27, 5 Year Index	Citibank, NA	Sell		1.06	%	January 2017	$	11,670	$	47,847	$	(44,122	)

INTEREST RATE SWAPTIONS WRITTEN

Description	Index	Counter- Party	Strike Rate			Expiration Date		Notional Amount (000)		Premiums		Market Value
Put - OTC - 1 Year Interest Rate Swap	6 Month EURIBOR	Citibank, NA		0.83	%		1/03/17	EUR	14,630	$	62,177	$	(111	)
Put - OTC - 1 Year Interest Rate Swap	3 Month LIBOR	Citibank, NA		2.30			3/20/17	$	18,150		93,019		(50,994	)
Put - OTC - 1 Year Interest Rate Swap	3 Month LIBOR	Deutsche Bank AG		2.31			3/20/17		18,150		93,019		(50,274	)

Description	Index		Counter- Party		Strike Rate		Expiration Date		Notional Amount (000)		Premiums		Market Value
Put - OTC - 1 Year Interest Rate Swap		3 Month LIBOR		JPMorgan Chase Bank, NA		2.24		3/29/17	$	22,300	$	109,716	$	(90,961	)
											$	357,931	$	(192,340	)

CURRENCY OPTIONS WRITTEN

Description	Exercise Price		Expiration Date		Contracts (000)		Premiums Received		U.S. $ Value
Put - CNH vs. USD	CNH	7.327		3/29/17	CNH	85,500	$	80,523	$	(81,294	)
Call - GBP vs. EUR	GBP	0.827		1/19/17	GBP	9,229		48,581		(10,339	)
Call - GBP vs. EUR		0.827		1/19/17		9,334		55,354		(10,456	)
Put - MXN vs. USD	MXN	21.00		1/18/17	MXN	244,650		76,424		(86,461	)
Put - MXN vs. USD		21.80		3/09/17		270,625		139,856		(130,511	)
Put - NOK vs. EUR	NOK	9.112		1/13/17	NOK	105,697		40,265		(59,046	)
Put - NOK vs. EUR		9.118		1/13/17		106,316		64,199		(59,392	)
Put - RUB vs. USD	RUB	77.616		10/16/17	RUB	457,934		182,369		(112,884	)
Put - TRY vs. EUR	TRY	4.110		4/12/17	TRY	43,566		202,803		(123,130	)
Put - TRY vs. EUR		4.110		4/12/17		41,182		173,037		(116,392	)
Put - ZAR vs. USD	ZAR	15.36		2/27/17	ZAR	176,640		164,220		(58,701	)
							$	1,227,631	$	(848,606	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at December 31, 2016			Notional Amount (000)		Market Value			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Morgan Stanley & Co. LLC/INTRCONX
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)%		3.55	%	$	952	$	(60,444	)	$	(1,370	)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)		3.55			952		(60,444	)		(432	)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)		3.55			23,000		(1,460,305	)		(545,346	)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)		3.55			1,333		(84,635	)		(2,056	)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)		3.55			5,711		(362,600	)		(9,232	)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)		3.55			2,995		(190,157	)		(9,058	)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)		3.55			3,699		(234,855	)		(10,547	)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)		3.55			3,699		(234,855	)		(11,371	)

Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at December 31, 2016			Notional Amount (000)		Market Value			Unrealized Appreciation/ (Depreciation)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)%		3.55	%	$	7,399	$	(469,774	)	$	(2,974	)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)		3.55			5,549		(352,314	)		(2,505	)
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		(5.00	)		3.55			3,699		(234,855	)		(3,866	)
iTraxx Europe Crossover Series 21, 5 Year Index, 6/20/19*		(5.00	)		0.87		EUR	3		(302	)		(92	)
Sale Contracts
Citigroup Global Markets, Inc./INTRCONX
CDX-NAHY Series 21, 5 Year Index, 12/20/18*		5.00			1.75		$	6,951		444,570			239,560
CDX-NAIG Series 20, 5 Year Index, 6/20/18*		1.00			0.19			10,730		131,582			85,868
Morgan Stanley & Co. LLC/INTRCONX
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		5.00			3.55			10,470		664,757			257,621
CDX-NAHY Series 27, 5 Year Index, 12/20/21*		5.00			3.55			23,150		1,469,829			640,452
iTraxx Europe Crossover Series 26, 5 Year Index, 12/20/21*		5.00			2.88		EUR	924		93,793			798
iTraxx Europe Crossover Series 26, 5 Year Index, 12/20/21*		5.00			2.88			924		93,793			558
iTraxx Europe Crossover Series 26, 5 Year Index, 12/20/21*		5.00			2.88			1,293		131,250			2,489
iTraxx Europe Crossover Series 26, 5 Year Index, 12/20/21*		5.00			2.88			5,542		562,556			10,806
iTraxx Europe Crossover Series 26, 5 Year Index, 12/20/21*		5.00			2.88			2,660		270,011			64,981
									$	116,601		$	704,284

* Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS

					Rate Type
Clearing Broker/(Exchange)	Notional Amount (000)		Termination Date		Payments made by the Fund			Payments received by the Fund			Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co., LLC/(CME)	MXN	146,756		12/11/18		4 Week TIIE			6.78	%	$	(52,314	)
Morgan Stanley & Co., LLC/(CME)		185,180		12/12/18		4 Week TIIE			6.84	%		(55,404	)
Morgan Stanley & Co., LLC/(CME)		123,450		12/13/18		4 Week TIIE			6.85	%		(36,634	)
Morgan Stanley & Co., LLC/(CME)		44,460		12/17/18		4 Week TIIE			7.04	%		(6,508	)
Morgan Stanley & Co., LLC/(CME)	CAD	47,205		11/14/21		3 Month CDOR			1.32	%		(191,677	)
Morgan Stanley & Co., LLC/(CME)		47,205		11/15/21		3 Month CDOR			1.32	%		(199,858	)
Morgan Stanley & Co., LLC/(CME)	MXN	37,037		12/01/26		7.70	%		4 Week TIIE			26,274
Morgan Stanley & Co., LLC/(CME)		47,100		12/02/26		7.76	%		4 Week TIIE			23,697
Morgan Stanley & Co., LLC/(CME)		31,360		12/03/26		7.76	%		4 Week TIIE			16,055
Morgan Stanley & Co., LLC/(CME)		11,130		12/07/26		7.83	%		4 Week TIIE			3,333
Morgan Stanley & Co., LLC/(CME)	CAD	9,480		11/14/46		2.22	%		3 Month CDOR			152,390

					Rate Type
Clearing Broker/(Exchange)	Notional Amount (000)		Termination Date		Payments made by the Fund			Payments received by the Fund		Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co., LLC/(CME)	CAD	9,480		11/15/46		2.23	%		3 Month CDOR	$	134,707
										$	(185,939	)

CREDIT DEFAULT SWAPS

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at December 31, 2016			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Barclays Bank PLC
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 3/20/17*		(5.00	)%		4.57	%	$	3,505	$	(8,658	)	$	(15,695	)	$	7,037
Tenet Healthcare Corporation, 6.875%, 11/15/31, 6/20/17*		(5.00	)		0.79			3,870		(83,220	)		(60,611	)		(22,609	)
Citibank, NA
Bombardier Inc., 7.450%, 5/01/34, 3/20/17*		(5.00	)		0.99			1,971		(20,518	)		(14,791	)		(5,727	)
Bombardier Inc., 7.450%, 5/01/34, 3/20/17*		(5.00	)		0.99			1,959		(20,394	)		(15,180	)		(5,214	)
United States Steel Corp., 6.650%, 6/01/37, 3/20/17*		(5.00	)		0.19			3,643		(44,426	)		(21,252	)		(23,174	)
Deutsche Bank AG
iHeart Communications, Inc., 6.875%, 6/15/18, 6/20/18*		(5.00	)		194.60			420		218,503			17,111			201,392
Goldman Sachs Bank USA
Community Health Systems, Inc., 8.000%, 11/15/19, 3/20/17*		(5.00	)		2.77			3,895		(25,082	)		(27,196	)		2,114
Dell, Inc., 7.100%, 4/15/28, 3/20/17*		(1.00	)		0.34			3,540		(6,233	)		6,097			(12,330	)
Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/17*		(5.00	)		55.50			3,634		378,461			(22,849	)		401,310

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at December 31, 2016			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Goldman Sachs International
iHeartCommunications, Inc., 6.875%, 6/15/18, 12/20/21*		(5.00	)%		109.27	%	$	830	$	456,312		$	462,253		$	(5,941	)
iHeartCommunications, Inc., 6.875%, 6/15/18, 12/20/21*		(5.00	)		109.27			830		456,312			481,570			(25,258	)
Sale Contracts
Barclays Bank PLC
CCO Holdings, LLC, 7.250%, 10/30/17, 6/20/19*		5.00			0.68			828		86,899			45,883			41,016
iHeartCommunications, Inc., 6.875%, 6/15/18, 12/20/20*		5.00			119.15			1,530		(839,397	)		(960,909	)		121,512
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20*		5.00			14.38			1,521		(407,206	)		(322,107	)		(85,099	)
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20*		5.00			14.38			609		(163,043	)		(129,178	)		(33,865	)
Tenet Healthcare Corporation, 6.875%, 11/15/31, 6/20/19*		5.00			4.28			2,620		28,025			110,399			(82,374	)
Citibank, NA
Advanced Micro Devices, Inc., 7.750%, 8/01/20, 3/20/19*		5.00			0.75			680		63,375			(77,486	)		140,861
Credit Suisse International
CMBX.NA.BB Series 6, 5/11/63*		5.00			8.05			5,000		(658,528	)		(831,272	)		172,744
Goldman Sachs Bank USA
Avis Budget Car Rental LLC, 5.250%, 3/15/25, 12/20/21*		5.00			3.62			343		21,408			13,425			7,983
CDX-NAIG Series 9 10 Year Index, 12/20/17*		5.00			0.54			300		13,619			(8,850	)		22,469

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at December 31, 2016			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Community Health Systems, Inc., 8.000%, 11/15/19, 3/20/19*		5.00	%		11.72	%	$	2,620	$	(336,402	)	$	96,951		$	(433,353	)
K. Hovnanian Enterprises, Inc., 8.625%, 1/15/17, 9/20/20*		5.00			14.38			580		(155,280	)		(115,726	)		(39,554	)
Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/19*		5.00			71.68			2,620		(1,910,878	)		38,650			(1,949,528	)
United States Steel Corp., 6.650%, 6/01/37, 12/20/21*		5.00			4.16			700		26,685			(56,142	)		82,827
Goldman Sachs International
Avis Budget Car Rental LLC, 5.250%, 3/15/25, 12/20/21*		5.00			3.62			490		30,583			22,310			8,273
Avis Budget Car Rental LLC, 5.250%, 3/15/25, 12/20/21*		5.00			3.62			685		42,754			34,189			8,565
Avis Budget Car Rental LLC, 5.250%, 3/15/25, 12/20/21*		5.00			3.62			294		18,350			13,396			4,954
Avis Budget Car Rental LLC, 5.250%, 3/15/25, 12/20/21*		5.00			3.62			441		27,524			17,265			10,259
Avis Budget Car Rental LLC, 5.250%, 3/15/25, 12/20/21*		5.00			3.62			196		12,233			5,189			7,044
CMBX.NA.BB Series 6, 5/11/63*		5.00			8.05			2,929		(385,803	)		(461,030	)		75,227
CMBX.NA.BB Series 6, 5/11/63*		5.00			8.05			2,071		(272,725	)		(325,903	)		53,178
CMBX.NA.BB Series 6, 5/11/63*		5.00			8.05			10,000		(1,317,055	)		(1,585,696	)		268,641
CMBX.NA.BB Series 6, 5/11/63*		5.00			8.05			13,500		(1,778,025	)		(2,137,814	)		359,789
CMBX.NA.BB Series 6, 5/11/63*		5.00			8.05			5,000		(658,528	)		(918,768	)		260,240
CMBX.NA.BB Series 6, 5/11/63*		5.00			8.05			5,000		(657,139	)		(877,310	)		220,171

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at December 31, 2016			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
iHeartCommunications, Inc., 6.875%, 6/15/18, 6/20/21*		5.00	%		114.11	%	$	545	$	(299,289	)	$	(316,800	)	$	17,511
Morgan Stanley Capital Services LLC
CMBX.NA.BBB Series 6, 5/11/63*		3.00			4.19			10,000		(538,167	)		(118,297	)		(419,870	)
									$	(8,704,953	)	$	(8,056,174	)	$	(648,779	)

* Termination date

TOTAL RETURN SWAPS

Counterparty & Referenced Obligation	# of Shares or Units		Rate Paid/ Received		Notional Amount (000)		Maturity Date		Unrealized Appreciation/ (Depreciation)
Pay Total Return on Reference Obligation
Bank of America, NA
iBoxx $ Liquid High Yield Index		11,278		LIBOR	$	2,842		3/20/17	$	13,215
Barclays Bank PLC
Barclays Weekly Short Variance US Strategy		69,654		LIBOR		11,590		1/13/17		65,029
Citibank, NA
iBoxx $ Liquid High Yield Index		14,188		LIBOR		3,574		3/20/17		17,954
Goldman Sachs International
iBoxx $ Liquid High Yield Index		38,578		LIBOR		9,683		3/20/17		83,738
iBoxx $ Liquid High Yield Index		11,321		LIBOR		2,828		3/20/17		38,143
iBoxx $ Liquid High Yield Index		22,493		LIBOR		5,657		3/20/17		37,591
iBoxx $ Liquid High Yield Index		11,272		LIBOR		2,842		3/20/17		11,802
iBoxx $ Liquid High Yield Index		11,251		LIBOR		2,841		3/20/17		7,566
JPMorgan Chase Bank, NA
iBoxx $ Liquid High Yield Index		22,774		LIBOR		5,658		3/20/17		95,731
iBoxx $ Liquid High Yield Index		22,471		LIBOR		5,657		3/20/17		44,199
iBoxx $ Liquid High Yield Index		22,496		LIBOR		5,683		3/20/17		12,318
Morgan Stanley Capital Services LLC
iBoxx $ Liquid High Yield Index		27,287		LIBOR		6,793		3/20/17		115,101
iBoxx $ Liquid High Yield Index		26,994		LIBOR		6,793		3/20/17		41,069
iBoxx $ Liquid High Yield Index		11,206		LIBOR		2,820		3/20/17		17,049
									$	600,505

VARIANCE SWAPS

Swap Counterparty & Referenced Obligation	Volatility Strike Price		Notional Amount (000)		Market Value			Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Citibank, NA
Euro Stoxx 50 1/27/17*	EUR	16.55	EUR	86	$	(11,675	)	$	– 0	–	$	(11,675	)
Euro Stoxx 50 1/13/17*		16.20		205		99,042			– 0	–		99,042
NASDAQ 100 1/6/17*	$	13.10	$	109		(45,548	)		– 0	–		(45,548	)
Russell 2000 Index 1/6/17*		16.80		139		21,257			– 0	–		21,257
Deutsche Bank AG
S&P 500 Index 1/6/17*		11.50		116		9,451			– 0	–		9,451
Goldman Sachs International
Hang Seng Index 1/13/17*	HKD	16.01	HKD	934		41,103			– 0	–		41,103
NASDAQ 100 1/13/17*	$	15.70	$	134		49,320			– 0	–		49,320
Nikkei 225 Index 1/27/17*	JPY	21.10	JPY	5,540		(971	)		– 0	–		(971	)
Nikkei 225 Index 1/13/17*		18.70		7,638		27,648			– 0	–		27,648
Russell 2000 Index 1/13/17*	$	19.35	$	165		71,992			– 0	–		71,992
S&P/ASX 200 Index 1/13/17*	AUD	12.61	AUD	191		(20,773	)		– 0	–		(20,773	)
JPMorgan Chase Bank, NA
Hang Seng Index 1/26/17*	HKD	17.25	HKD	821		12,563			– 0	–		12,563
S&P/ASX 200 Index 1/19/17*	AUD	11.90	AUD	261		23,276			– 0	–		23,276
					$	276,685		$	– 0	–	$	276,685

* Termination date

REVERSE REPURCHASE AGREEMENTS

Broker	Principal Amount (000)		Currency	Interest Rate			Maturity	U.S. $ Value at December 31, 2016
Barclays Capital, Inc.†		2,265	USD		(2.00	)%*	—	$	2,261,731
Barclays Capital, Inc.†		3,176	USD		(2.00	)%*	—		3,166,898
Barclays Capital, Inc.†		1,281	USD		(1.50	)%*	—		1,280,043
Barclays Capital, Inc.†		1,537	USD		(0.25	)%*	—		1,536,352
Credit Suisse Securities (USA) LLC†		922	USD		(3.25	)%*	—		917,363
Credit Suisse Securities (USA) LLC†		609	USD		(2.75	)%*	—		603,402
Credit Suisse Securities (USA) LLC†		713	EUR		(1.25	)%*	—		747,344
Credit Suisse Securities (USA) LLC†		1,566	EUR		(1.20	)%*	—		1,644,243
Credit Suisse Securities (USA) LLC†		1,260	USD		0.00	%	—		1,260,033
Credit Suisse Securities (USA) LLC†		1,717	USD		0.00	%	—		1,717,144
HSBC Securities (USA) Inc.		40,150	USD		0.80	%	1/10/17		40,228,516
HSBC Securities (USA) Inc.		37,930	USD		0.80	%	1/17/17		37,992,624
ING Financial Markets LLC†		346	USD		(2.00	)%*	—		346,152

Broker	Principal Amount (000)		Currency		Interest Rate			Maturity	U.S. $ Value at December 31, 2016
ING Financial Markets LLC†		290		USD		(1.50	)%*	—	$	289,145
RBC Capital Markets†		896		USD		0.00	%	—		895,520
RBC Capital Markets†		793		USD		0.20	%	—		793,357
									$	95,679,867

† The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on December 31, 2016.

* 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 - Investment Grade

$

1,883,445

$

– 0

–

$

– 0

–

$

– 0

–

$

1,883,445

Corporates - Non-Investment Grade

15,575,282

– 0

–

– 0

–

– 0

–

15,575,282

Governments - Treasuries

– 0

–

78,221,140

– 0

–

– 0

–

78,221,140

Total

$

17,458,727

$

78,221,140

$

– 0

–

$

– 0

–

$

95,679,867

** 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 December 31, 2016, the aggregate market value of these securities amounted to $422,302,286 or 36.3% of net assets.

(b) Non-income producing security.

(c) Defaulted.

(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 2.40% of net assets as of December 31, 2016, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
Avaya, Inc.
10.50%, 3/01/21		8/31/15 – 12/07/16	$	947,821	$	1,210,450		0.10	%
Banc of America Re-REMIC Trust Series 2009-UB1, Class A4B
5.796%, 6/24/50		10/06/09		2,742,102		3,544,800		0.31	%
Bellemeade Re II Ltd. Series 2016-1A, Class M2B
7.256%, 4/25/26		4/29/16		3,572,166		3,620,601		0.31	%
Bellemeade Re II Ltd. Series 2016-1A, Class B1
12.756%, 4/25/26		4/29/16		282,749		290,697		0.03	%
Bellemeade Re Ltd. Series 2015-1A, Class M2
5.056%, 7/25/25		7/27/15		1,220,000		1,228,428		0.11	%
Creditcorp
12.00%, 7/15/18		6/28/13		1,295,531		1,027,000		0.09	%
Curo Group Holdings Corp.
12.00%, 11/15/17		2/11/13		1,711,000		1,454,350		0.13	%
Dominican Republic International Bond
16.00%, 7/10/20		12/08/10		6,370,039		5,796,444		0.50	%
Exide Technologies
7.00%, 4/30/25		4/30/15 – 12/01/16		83,612		78,797		0.01	%
Fideicomiso PA Pacifico Tres
7.00%, 1/15/35		3/04/16		1,941,341		2,207,286		0.19	%

144A/Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
Golden Energy Offshore Services AS
5.00%, 12/31/17		5/14/14		1,244,357		212,200		0.02	%
iPayment, Inc.
9.50%, 12/15/19		12/29/14		2,313,570		2,372,526		0.20	%
Liberty Tire Recycling LLC
11.00%, 3/31/21		9/23/10		1,706,101		937,600		0.08	%
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/18		5/15/13		2,295,760		286		0.00	%
Pacific Drilling SA
5.375%, 6/01/20		4/30/14 – 9/03/14		2,398,488		879,120		0.08	%
Paragon Offshore PLC
6.75%, 7/15/22		7/11/14		933,000		163,275		0.01	%
Paragon Offshore PLC
7.25%, 8/15/24		7/11/14 – 9/03/14		3,668,524		650,825		0.06	%
Speedy Cash Intermediate Holdings Corp.
10.75%, 5/15/18		5/14/12		780,084		744,935		0.06	%
Texas Competitive/TCEH
11.50%, 10/01/20		4/14/11		0		0		0.00	%
Vantage Drilling International
10.00%, 12/31/20		2/10/16		81,950		78,300		0.01	%
Virgolino de Oliveira Finance SA
10.50%, 1/28/18		1/23/14		1,408,980		178,875		0.02	%
Virgolino de Oliveira Finance SA
10.50%, 1/28/18		6/09/14		992,873		127,875		0.01	%
Virgolino de Oliveira Finance SA
10.875%, 1/13/20		2/12/14		477,417		126,000		0.01	%
Virgolino de Oliveira Finance SA
11.75%, 2/09/22		1/29/14		838,866		121,176		0.01	%
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2
6.256%, 11/25/25		9/28/15		617,152		616,261		0.05	%

(e) Restricted and illiquid security.

Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
CHC Helicopter SA
9.25%, 10/15/2020		10/02/12	$	3,554,154	$	2,977,965		0.26	%
CHC Helicopter SA
9.375%, 06/01/2021		2/14/16		20,974		110,942		0.01	%
Exide Technologies Series AI
11.00%, 04/30/2020		4/30/15 – 12/01/16		3,582,789		2,967,300		0.26	%
Exide Technologies		4/30/15		28,931		11,440		0.00	%
Linn Energy LLC/Linn Energy Finance Corp.
6.25%, 11/01/2019		8/01/13 – 9/18/13		749,106		323,635		0.03	%
Linn Energy LLC/Linn Energy Finance Corp.
8.625%, 04/15/2020		6/29/10		809,731		342,855		0.03	%
Momentive Performance Materials, Inc.
8.875%, 10/15/2020		10/11/12		2		0		0.00	%
Mt. Logan Re Ltd.
(Preference Shares)		12/30/14		2,953,000		3,075,386		0.26	%

(f) Fair valued by the Adviser.

(g) Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at December 31, 2016.

(h) Convertible security.

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

(j) Illiquid security.

(k) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2016.

(l) Variable rate coupon, rate shown as of December 31, 2016.

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

(n) Floating Rate Security. Stated interest/floor rate was in effect at December 31, 2016.

(o) Inverse interest only security.

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

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

(r) The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at December 31, 2016.

(s) IO - Interest Only.

(t) Effective prepayment date of April 2017.

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

(v) The company invests on a global basis in multiple asset classes including (but not limited to) private equity debt securities, property-related assets and private equity securities including warrants and preferred stock.

(w) One contract relates to 1 share.

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

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

(z) As of December 31, 2016, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $64,530,033 and gross unrealized depreciation of investments was $(78,842,752), resulting in net unrealized depreciation of $(14,312,720).

Currency Abbreviations:

ARS	-	Argentine Peso
AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
CLP	-	Chilean Peso
CNH	-	Chinese Yuan Renminbi (Offshore)
CNY	-	Chinese Yuan Renminbi
COP	-	Colombian Peso
DOP	-	Dominican Peso
EUR	-	Euro
GBP	-	Great British Pound
HKD	-	Hong Kong Dollar
IDR	-	Indonesian Rupiah
INR	-	Indian Rupee
JPY	-	Japanese Yen
KRW	-	South Korean Won
MXN	-	Mexican Peso
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
PEN	-	Peruvian Sol
RUB	-	Russian Ruble
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
ZAR	-	South African Rand

Glossary:

12MTA	-	12 Month Treasury Average
ABS	-	Asset-Backed Securities

ASX	-	Australian Stock Exchange
CBT	-	Chicago Board of Trade
CDOR	-	Canadian Dealer Offered Rate
CDX-NAHY	-	North American High Yield Credit Default Swap Index
CDX-NAIG	-	North American Investment Grade Credit Default Swap Index
CMBS	-	Commercial Mortgage-Backed Securities
CMBX.NA	-	North American Commercial Mortgage-Backed Index
CME	-	Chicago Mercantile Exchange
EURIBOR	-	Euro Interbank Offered Rate
H15T	-	U.S. Treasury Yield Curve Rate T Note Constant Maturity
INTRCONX	-	Inter-Continental Exchange
IRS	-	Interest Rate Swap
LIBOR	-	London Interbank Offered Rates
NASDAQ	-	National Association of Securities Dealers Automated Quotations
REIT	-	Real Estate Investment Trust
TIIE	-	Banco de México Equilibrium Interbank Interest Rate

COUNTRY BREAKDOWN*

66.2%	United States
4.9%	Brazil
2.7%	United Kingdom
2.4%	Canada
1.4%	France
1.3%	Argentina
1.3%	Luxembourg
1.2%	Mexico
1.2%	Indonesia
1.2%	South Africa
1.1%	Dominican Republic
1.1%	Ireland
0.9%	Colombia
10.5%	Other
2.6%	Short-Term
100.0%

* All data are as of December 31, 2016. 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, Barbados, Cameroon, Cayman Islands, Chile, Croatia, Denmark, Ecuador, El Salvador, Ethiopia, Euro Zone, Finland, Gabon, Germany, Ghana, Guatemala, Hong Kong, India, Iraq, Italy, Ivory Coast, Jamaica, Jordan, Kenya, Lebanon, Macau, Mongolia, Netherlands, New Zealand, Nigeria, Norway, Pakistan, Peru, Portugal, Russia, Serbia, Spain, Sri Lanka, Switzerland, Trinidad & Tobago, Turkey, United Arab Emirates, Venezuela and Zambia.

AB Global High Income Fund

December 31, 2016 (unaudited)

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

• Level 1—quoted prices in active markets for identical investments

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

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

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

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

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

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

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

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

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

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of December 31, 2016:

Investments in Securities

Level 1

Level 2

Level 3

Total

Assets:

Corporates - Non-Investment Grade

$

– 0

–

$

526,328,212

$

6,889,863

#

$

533,218,075

Collateralized Mortgage Obligations

– 0

–

149,772,161

– 0

–

149,772,161

Governments - Treasuries

– 0

–

138,790,519

– 0

–

138,790,519

Corporates - Investment Grade

– 0

–

89,316,507

– 0

–#

89,316,507

Emerging Markets - Sovereigns

– 0

–

57,377,009

– 0

–

57,377,009

Bank Loans

– 0

–

42,774,464

5,348,709

48,123,173

Emerging Markets - Treasuries

– 0

–

45,051,422

– 0

–

45,051,422

Commercial Mortgage-Backed Securities

– 0

–

3,538,741

36,968,785

40,507,526

Emerging Markets - Corporate Bonds

– 0

–

23,554,368

184,660

23,739,028

Asset-Backed Securities

– 0

–

754,379

12,669,085

13,423,464

Governments - Sovereign Agencies

– 0

–

12,960,181

– 0

–

12,960,181

Preferred Stocks

4,277,088

1,467,783

6,797,554

12,542,425

Governments - Sovereign Bonds

– 0

–

10,459,536

– 0

–

10,459,536

Whole Loan Trusts

– 0

–

– 0

–

8,811,155

8,811,155

Common Stocks

2,813,241

– 0

–

4,120,639

#

6,933,880

Inflation-Linked Securities

– 0

–

3,657,743

2,207,286

5,865,029

Local Governments - Municipal Bonds

– 0

–

5,433,711

– 0

–

5,433,711

Quasi-Sovereigns

– 0

–

5,039,571

– 0

–

5,039,571

Local Governments - Regional Bonds

– 0

–

4,649,648

– 0

–

4,649,648

Warrants

244,525

– 0

–

526,765

#

771,290

Options Purchased - Calls

– 0

–

476,019

– 0

–

476,019

Options Purchased - Puts

– 0

–

294,826

– 0

–

294,826

Short-Term Investments:

Investment Companies

27,743,555

– 0

–

– 0

–

27,743,555

Time Deposits

– 0

–

4,096,910

– 0

–

4,096,910

Investments valued at NAV**

1,884,160

Total Investments in Securities

35,078,409

1,125,793,710

84,524,501

1,247,280,780

Other Financial Instruments*:

Assets

Futures

48,024

72,284

– 0

–

120,308

Forward Currency Exchange Contracts

– 0

–

8,657,758

– 0

–

8,657,758

Centrally Cleared Credit Default Swaps

– 0

–

1,303,133

– 0

–

1,303,133

Centrally Cleared Interest Rate Swaps

– 0

–

356,456

– 0

–

356,456

Credit Default Swaps

– 0

–

2,495,117

– 0

–

2,495,117

Total Return Swaps

– 0

–

600,505

– 0

–

600,505

Variance Swaps

– 0

–

355,652

– 0

–

355,652

Liabilities

Futures

(210,875

)

– 0

–

– 0

–

(210,875

)

Forward Currency Exchange Contracts

– 0

–

(3,232,731

)

– 0

–

(3,232,731

)

Put Options Written

– 0

–

(195,039

)

– 0

–

(195,039

)

Credit Default Swaptions Written

– 0

–

(44,122

)

– 0

–

(44,122

)

Interest Rate Swaptions Written

– 0

–

(192,340

)

– 0

–

(192,340

)

Currency Options Written

– 0

–

(848,606

)

– 0

–

(848,606

)

Centrally Cleared Credit Default Swaps

– 0

–

(598,849

)

– 0

–

(598,849

)

Centrally Cleared Interest Rate Swaps

– 0

–

(542,395

)

– 0

–

(542,395

)

Credit Default Swaps

– 0

–

(3,143,896

)

– 0

–

(3,143,896

)

Variance Swaps

– 0

–

(78,967

)

– 0

–

(78,967

)

Total^

$

34,915,558

$

1,130,757,670

$

84,524,501

$

1,252,081,889

# 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 options written and swaptions written which are valued at market value.

** In May 2015, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2015-07 (the “ASU”) which removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. Accordingly, the total investments with a fair value of $1,884,160 have not been categorized in the fair value hierarchy.

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

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

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

	Corporates - Non- Investment  Grade#			Collateralized Mortgage Obligations			Corporates - Investment Grade#			Bank Loans
Balance as of 3/31/16	$	11,980,493		$	124,373,877		$	– 0	–	$	44,857,230
Accrued discounts/(premiums)		243,291			(2,521	)		2,558			14,667
Realized gain (loss)		(847,985	)		476,352			– 0	–		22,468
Change in unrealized appreciation/depreciation		(403,643	)		(23,705	)		(2,558	)		(721,553	)
Purchases/Payups		1,079,879			1,560,837			– 0	–		2,615,194
Sales/Paydowns		(5,162,172	)		(6,401,568	)		– 0	–		(16,242,655	)
Transfers into Level 3		– 0	–		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		(119,983,272	)		– 0	–		(25,196,642	)
Balance as of 12/31/16	$	6,889,863		$	– 0	–	$	– 0	–	$	5,348,709
Net change in unrealized appreciation/depreciation from investments held as of 12/31/16	$	(1,271,895	)	$	– 0	–	$	(2,558	)	$	(833,815	)
	Emerging Markets - Treasuries			Commercial Mortgage-Backed Securities			Emerging Markets - Corporate Bonds			Asset-Backed Securities
Balance as of 3/31/16	$	6,077,589		$	42,475,788		$	235,021		$	10,961,301
Accrued discounts/(premiums)		– 0	–		111,750			– 0	–		185,054
Realized gain (loss)		– 0	–		699,892			– 0	–		302,961
Change in unrealized appreciation/depreciation		– 0	–		(913,194	)		(50,361	)		94,410
Purchases/Payups		– 0	–		– 0	–		– 0	–		2,469,956
Sales/Paydowns		– 0	–		(5,405,451	)		– 0	–		(1,344,597	)
Transfers into Level 3		– 0	–		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		(6,077,589	)		– 0	–		– 0	–		– 0	–
Balance as of 12/31/16	$	– 0	–	$	36,968,785		$	184,660		$	12,669,085
Net change in unrealized appreciation/depreciation from investments held as of 12/31/16	$	– 0	–	$	(281,544	)	$	(50,362	)	$	94,410

	Preferred Stocks			Whole Loan Trusts			Common Stocks#			Inflation-Linked Securites
Balance as of 3/31/16	$	– 0	–	$	10,442,733		$	6,953,397		$	– 0	–
Accrued discounts/(premiums)		– 0	–		13,907			– 0	–		2,795
Realized gain (loss)		– 0	–		(384,034	)		67,213			– 0	–
Change in unrealized appreciation/depreciation		288,214			(1,245,178	)		(256,367	)		145,548
Purchases/Payups		6,509,340			1,503,287			280,802			– 0	–
Sales/Paydowns		– 0	–		(1,519,560	)		(2,924,406	)		– 0	–
Transfers into Level 3		– 0	–		– 0	–		– 0	–		2,058,943
Transfers out of Level 3		– 0	–		– 0	–		– 0	–		– 0	–
Balance as of 12/31/16	$	6,797,554		$	8,811,155		$	4,120,639		$	2,207,286
Net change in unrealized appreciation/depreciation from investments held as of 12/31/16	$	288,214		$	(1,245,178	)	$	(184,666	)	$	145,548
	Warrants#			Total
Balance as of 3/31/16	$	310,786		$	258,668,215
Accrued discounts/(premiums)		– 0	–		571,501
Realized gain (loss)		– 0	–		336,867
Change in unrealized appreciation/depreciation		(39,269	)		(3,127,656	)
Purchases/Payups		255,248			16,274,543
Sales/Paydowns		– 0	–		(39,000,409	)
Transfers into Level 3		– 0	–		2,058,943
Transfers out of Level 3		– 0	–		(151,257,503	)
Balance as of 12/31/16	$	526,765		$	84,524,501	+
Net change in unrealized appreciation/depreciation from investments held as of 12/31/16	$	(39,269	)		(3,381,115	)

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

+ An amount of $151,257,503 was transferred out of Level 3 into Level 2 as improved transparency of price inputs has increased the observability of such inputs during the reporting period. There were di minimis 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 December 31, 2016. Securities priced by the third party vendors or using prior transaction, which approximates fair value, are excluded from the following table:

Quantitative Information about Level 3 Fair Value Measurements

	Fair Value at 12/31/16			Valuation Technique	Unobservable Input	Range/ Weighted Average
Corporates—Non-Investment Grade	$	– 0	–	Qualitative Assessment		$	0.00/N/A

	Fair Value at 12/31/16		Valuation Technique	Unobservable Input	Range/ Weighted Average
Bank Loans	$	462,636	Market Approach	EBITDA* Projection	$	19mil – $40mil/N/A
				EBITDA* Multiples		5X/N/A
				Scrap Value	$	110mil/N/A
Whole Loan Trusts	$	1,750,774	Discounted Cash Flow	Level Yield		13.45%/N/A
				Discount Rate		13.45%/N/A
	$	1,738,410	Market Approach	Underlying NAV of the Collatereal	$	95.97/N/A
	$	1,112,936	Recovery Analysis	Cumulative Loss		<20%/N/A
	$	1,010,388	Recovery Analysis	Delinquency Rate		<4%/N/A
	$	735,188	Recovery Analysis	Delinquency Rate		<4%/N/A
				Discount Rate		12.99%/N/A
	$	426,077	Recovery Analysis	Cumulative Loss		<20%/N/A
	$	317,744	Recovery Analysis	Delinquency Rate		<5%/N/A
				Collateralization		1.1X/N/A
	$	227,892	Recovery Analysis	Pro-Rata Appraisal Value of Collateral	$	4,400,000/N/A
	$	91,872	Recovery Analysis	Pro-Rata Appraisal Value of Collateral	$	4,500,000/N/A
	$	79,223	Recovery Analysis	Pro-Rata Appraisal Value of Collateral	$	5,200,000/N/A
	$	7,490,504

	Fair Value at 12/31/16		Valuation Technique	Unobservable Input	Range/ Weighted Average
Common Stocks	$	598,197	Market Approach	EBITDA* Projection	$	94mm/N/A
				EBITDA* Multiples		8.5X/N/A
	$	2,820	Market Approach	EBITDA* Projection	$	316 mm/N/A
				EBITDA* Multiples		12.8X/N/A
	$	211,266	Market Approach	EBITDA* Projection	$	33 mm/N/A
				EBITDA* Multiples		5.3X – 7.3X/6.3X
	$	812,283
Warrants	$	310,786	Option Pricing Model	Exercise Price	$	6.64/N/A
				Expiration Date		June, 2019/N/A
				EV Volatility %		50.0%/N/A

* Earnings Before Interest, Taxes, Depreciation and Amortization.

Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. Significant increases (decreases) in Underlying NAV of the Collateral, Appraisal 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, Discount Rate, Cumulative Loss, Delinquency Rate, Cash Flow Yield and EV Volatility % in isolation would be expected to result in a significant lower (higher) fair value measurement.

The Adviser established 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 comparisons of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

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

A summary of the Portfolio’s transactions in shares of the AB Fixed-Income Shares, Inc. - Government Money Market Portfolio for the nine months ended December 31, 2016 is as follows:

Market Value March  31, 2016 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Market Value December 31,  2016 (000)		Dividend Income (000)
$	11,127	$	257,745	$	241,128	$	27,744	$	49

ITEM 2. CONTROLS AND PROCEDURES.

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

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

ITEM 3. EXHIBITS.

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

EXHIBIT NO.	DESCRIPTION OF EXHIBIT
3 (a) (1)	Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
3 (a) (2)	Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

SIGNATURES

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

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

By:	/s/    Robert M. Keith
	Robert M. Keith
	President
Date:	February 24, 2017

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

By:	/s/    Robert M. Keith
	Robert M. Keith
	President
Date:	February 24, 2017
By:	/s/    Joseph J. Mantineo
	Joseph J. Mantineo
	Treasurer and Chief Financial Officer
Date:	February 24, 2017