Edgar Filing: ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND INC

AllianceBernstein Global High Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-07732

ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND, INC.

(Exact name of registrant as specified in charter)

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: March 31, 2016

Date of reporting period: June 30, 2015

ITEM 1.

SCHEDULE OF INVESTMENTS.

AllianceBernstein Global High Income Fund

Portfolio Of Investments

June 30, 2015 (unaudited)


	Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE - 57.0%
Industrial - 47.7%
Basic - 3.8%
AK Steel Corp.
8.75%, 12/01/18	U.S.$	868	$	913,570
Aleris International, Inc.
7.625%, 2/15/18		457		468,425
7.875%, 11/01/20		795		824,812
ArcelorMittal
7.50%, 3/01/41 (a)		1,268		1,242,640
7.75%, 10/15/39		2,638		2,624,810
Arch Coal, Inc.
7.00%, 6/15/19		693		100,485
7.25%, 6/15/21		1,156		161,840
Ashland, Inc.
4.75%, 8/15/22		501		491,606
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding B
7.375%, 5/01/21 (b)		656		702,740
Axiall Corp.
4.875%, 5/15/23		955		921,575
Chemours Co. (The)
7.00%, 5/15/25 (b)		897		870,090
Cliffs Natural Resources, Inc.
7.75%, 3/31/20 (b)		1,101		690,878
8.25%, 3/31/20 (a)(b)		1,111		1,049,895
Commercial Metals Co.
6.50%, 7/15/17		1,927		2,028,167
Consolidated Energy Finance SA
6.75%, 10/15/19 (b)		2,100		2,131,500
Constellium NV
8.00%, 1/15/23 (b)		362		371,050
Eagle Spinco, Inc.
4.625%, 2/15/21		139		134,830
Emeco Pty Ltd.
9.875%, 3/15/19 (b)		1,677		1,224,210
FMG Resources August 206 Pty Ltd.
9.75%, 3/01/22 (b)		256		264,320
Hexion, Inc.
8.875%, 2/01/18		239		215,698
Huntsman International LLC
8.625%, 3/15/21		826		869,299
Ineos Finance PLC
4.00%, 5/01/23 (b)	EUR	790		836,765
INEOS Group Holdings SA
5.75%, 2/15/19 (b)		322		362,572
5.875%, 2/15/19 (a)(b)	U.S.$	1,173		1,178,865
James River Coal Co.
7.875%, 4/01/19 (c)		251		314
JMC Steel Group, Inc.
8.25%, 3/15/18 (a)(b)		810		741,150
Lundin Mining Corp.
7.50%, 11/01/20 (b)		1,391		1,498,802


	Principal Amount (000)		U.S. $ Value
7.875%, 11/01/22 (b)	U.S.$	965	$	1,032,550
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/28 (b)(c)		4,306		1,808,520
Momentive Performance Materials, Inc.
3.88%, 10/24/21		1,772		1,590,370
8.875%, 10/15/20 (d)(e)(f)		1,772		0	‡
Novacap International SAS
4.995%, 5/01/19 (b)(g)	EUR	329		369,537
Novelis, Inc.
8.75%, 12/15/20 (a)	U.S.$	3,098		3,276,135
Peabody Energy Corp.
6.00%, 11/15/18		1,889		906,720
PQ Corp.
8.75%, 11/01/18 (b)		1,792		1,827,840
Ryerson, Inc./Joseph T. Ryerson & Son, Inc.
9.00%, 10/15/17		1,660		1,672,450
Smurfit Kappa Acquisitions
4.875%, 9/15/18 (b)		2,064		2,162,040
Smurfit Kappa Treasury Funding Ltd.
7.50%, 11/20/25		238		292,740
SPCM SA
6.00%, 1/15/22 (b)		400		413,000
Steel Dynamics, Inc.
6.125%, 8/15/19		225		236,813
6.375%, 8/15/22		1,266		1,324,552
Thompson Creek Metals Co., Inc.
7.375%, 6/01/18		1,919		1,573,580
9.75%, 12/01/17		964		1,002,560
TPC Group, Inc.
8.75%, 12/15/20 (b)		602		556,850
Univar, Inc.
6.75%, 7/15/23 (b)		1,105		1,116,050
W.R. Grace & Co.-Conn
5.625%, 10/01/24 (b)		386		390,825

				44,474,040

Capital Goods - 3.9%
Accudyne Industries Borrower/Accudyne Industries LLC
7.75%, 12/15/20 (b)		1,194		1,104,450
Aerojet Rocketdyne Holdings, Inc.
7.125%, 3/15/21		603		642,195
Apex Tool Group LLC
7.00%, 2/01/21 (b)		1,225		1,090,250
Ardagh Finance Holdings SA
8.625%, 6/15/19 (b)(h)		387		400,799
Ardagh Packaging Finance PLC
9.25%, 10/15/20 (b)	EUR	827		977,300
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
6.00%, 6/30/21 (a)(b)	U.S.$	2,680		2,673,300
Ashtead Capital, Inc.
5.625%, 10/01/24 (b)		456		457,140


	Principal Amount (000)		U.S. $ Value
Berry Plastics Corp.
5.125%, 7/15/23	U.S.$	206	$	200,850
5.50%, 5/15/22		1,381		1,386,179
Beverage Packaging Holdings Luxembourg II SA/Beverage Packaging Holdings II Issuer
6.00%, 6/15/17 (b)		593		593,000
Bombardier, Inc.
5.75%, 3/15/22 (b)		1,250		1,112,500
6.00%, 10/15/22 (b)		1,300		1,153,750
6.125%, 1/15/23 (b)		472		418,900
7.45%, 5/01/34 (b)		920		864,800
7.50%, 3/15/25 (b)		528		479,160
7.75%, 3/15/20 (b)		1,266		1,272,963
EnerSys
5.00%, 4/30/23 (b)		716		707,945
EnPro Industries, Inc.
5.875%, 9/15/22		970		986,975
Gardner Denver, Inc.
6.875%, 8/15/21 (b)		346		315,293
HD Supply, Inc.
7.50%, 7/15/20		1,814		1,918,305
11.50%, 7/15/20		400		462,000
KLX, Inc.
5.875%, 12/01/22 (b)		861		869,515
KraussMaffei Group GmbH
8.75%, 12/15/20 (b)	EUR	205		244,781
Lafarge SA
7.125%, 7/15/36	U.S.$	800		958,000
Manitowoc Co., Inc. (The)
5.875%, 10/15/22		309		332,948
8.50%, 11/01/20		1,118		1,180,887
Masco Corp.
5.95%, 3/15/22		405		454,613
6.125%, 10/03/16		1,825		1,920,812
Milacron LLC/Mcron Finance Corp.
7.75%, 2/15/21 (b)		794		817,820
Moog, Inc.
5.25%, 12/01/22 (b)		396		402,930
Nortek, Inc.
8.50%, 4/15/21		1,924		2,053,870
Nuverra Environmental Solutions, Inc.
9.875%, 4/15/18		253		189,750
Oshkosh Corp.
5.375%, 3/01/22-3/01/25		651		655,725
Plastipak Holdings, Inc.
6.50%, 10/01/21 (b)		846		860,805
Rexam PLC
6.75%, 6/29/67 (b)	EUR	2,020		2,280,147
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
8.50%, 5/15/18	U.S.$	850		867,000
9.00%, 4/15/19		1,153		1,191,914
9.875%, 8/15/19		1,762		1,850,100


	Principal Amount (000)		U.S. $ Value
Sealed Air Corp.
4.875%, 12/01/22 (b)	U.S.$	492	$	484,620
5.125%, 12/01/24 (b)		489		482,276
5.50%, 9/15/25 (b)		810		816,075
6.875%, 7/15/33 (b)		1,295		1,307,950
SIG Combibloc Holdings SCA
7.75%, 2/15/23 (b)	EUR	682		791,273
SRA International, Inc.
11.00%, 10/01/19	U.S.$	600		636,000
Summit Materials LLC/Summit Materials Finance Corp.
10.50%, 1/31/20		726		792,247
Terex Corp.
6.00%, 5/15/21		639		642,195
Textron Financial Corp.
6.00%, 2/15/67 (b)		575		477,250
TransDigm, Inc.
6.00%, 7/15/22		1,400		1,382,500
6.50%, 7/15/24		925		913,437
United Rentals North America, Inc.
5.50%, 7/15/25		789		762,371

				45,837,865

Communications - Media - 6.1%
Acosta, Inc.
7.75%, 10/01/22 (b)		191		192,433
Altice Financing SA
6.625%, 2/15/23 (b)		1,494		1,482,795
Arqiva Broadcast Finance PLC
9.50%, 3/31/20 (b)	GBP	1,550		2,678,981
CCO Holdings LLC/CCO Holdings Capital Corp.
5.375%, 5/01/25 (b)	U.S.$	128		124,640
5.75%, 1/15/24 (a)		545		547,725
5.875%, 5/01/27 (b)		766		747,808
6.50%, 4/30/21		195		204,019
Cequel Communications Holdings I LLC/Cequel Capital Corp.
5.125%, 12/15/21 (b)		2,725		2,474,641
6.375%, 9/15/20 (b)		851		845,256
Clear Channel Worldwide Holdings, Inc.
6.50%, 11/15/22		555		568,875
Series A
7.625%, 3/15/20		430		443,975
Series B
6.50%, 11/15/22		1,560		1,624,350
7.625%, 3/15/20		1,477		1,539,772
Crown Media Holdings, Inc.
10.50%, 7/15/19		2,256		2,382,900
CSC Holdings LLC
5.25%, 6/01/24		2,467		2,368,320
Cumulus Media Holdings, Inc.
7.75%, 5/01/19 (a)		929		852,357
DISH DBS Corp.
5.875%, 11/15/24		2,493		2,394,838
Hughes Satellite Systems Corp.
7.625%, 6/15/21		2,323		2,555,765


	Principal Amount (000)		U.S. $ Value
iHeartCommunications, Inc.
6.875%, 6/15/18	U.S.$	2,299	$	2,080,595
9.00%, 12/15/19		407		387,871
10.00%, 1/15/18 (a)		1,884		1,516,620
14.00% (12.00% Cash and 2.00% PIK), 2/01/21 (h)		1,173		832,912
Intelsat Jackson Holdings SA
5.50%, 8/01/23		2,670		2,364,285
LGE HoldCo VI BV
7.125%, 5/15/24 (b)	EUR	968		1,198,801
Liberty Interactive LLC
3.75%, 2/15/30 (i)	U.S.$	931		572,565
LIN Television Corp.
5.875%, 11/15/22 (b)		400		405,000
6.375%, 1/15/21		640		654,400
McClatchy Co. (The)
9.00%, 12/15/22		1,783		1,698,307
Mediacom Broadband LLC/Mediacom Broadband Corp.
6.375%, 4/01/23		1,845		1,845,000
Nexstar Broadcasting, Inc.
6.875%, 11/15/20		1,099		1,164,940
Nielsen Finance LLC/Nielsen Finance Co.
5.00%, 4/15/22 (b)		883		865,340
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.25%, 2/15/22		648		656,100
5.875%, 3/15/25		557		576,495
Radio One, Inc.
7.375%, 4/15/22 (b)		1,400		1,372,000
9.25%, 2/15/20 (b)		1,761		1,602,510
RR Donnelley & Sons Co.
7.25%, 5/15/18		1,268		1,410,650
Sinclair Television Group, Inc.
5.375%, 4/01/21		750		755,625
5.625%, 8/01/24 (b)		1,500		1,466,250
6.125%, 10/01/22		2,187		2,247,142
Sirius XM Radio, Inc.
5.375%, 4/15/25 (b)		561		541,365
6.00%, 7/15/24 (b)		2,291		2,313,910
TEGNA Inc.
4.875%, 9/15/21 (b)		284		281,870
5.50%, 9/15/24 (b)		332		328,680
6.375%, 10/15/23		1,871		1,948,179
Time, Inc.
5.75%, 4/15/22 (a)(b)		1,486		1,437,705
Townsquare Media, Inc.
6.50%, 4/01/23 (b)		1,199		1,190,007
Unitymedia GmbH
6.125%, 1/15/25 (b)		1,758		1,837,110
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH
6.25%, 1/15/29 (b)	EUR	496		621,395


	Principal Amount (000)		U.S. $ Value
Univision Communications, Inc.
5.125%, 5/15/23-2/15/25 (b)	U.S.$	1,649	$	1,594,423
6.75%, 9/15/22 (b)		1,561		1,650,757
8.50%, 5/15/21 (b)		700		736,750
UPCB Finance IV Ltd.
5.375%, 1/15/25 (b)		720		687,240
UPCB Finance V Ltd.
7.25%, 11/15/21 (b)		432		466,560
UPCB Finance VI Ltd.
6.875%, 1/15/22 (b)		558		594,270
Virgin Media Finance PLC
4.875%, 2/15/22		642		603,480
5.25%, 2/15/22		900		859,500
5.75%, 1/15/25 (b)		318		318,000
6.00%, 10/15/24 (b)		1,177		1,194,655
6.375%, 4/15/23 (b)		350		361,813
Virgin Media Secured Finance PLC
5.50%, 1/15/25 (b)	GBP	423		666,699
Wave Holdco LLC/Wave Holdco Corp.
8.25% (8.25% Cash or 9.00% PIK), 7/15/19 (b)(h)	U.S.$	240		244,248
WideOpenWest Finance LLC/WideOpenWest Capital Corp.
10.25%, 7/15/19		1,444		1,541,470
13.375%, 10/15/19		426		463,275
Ziggo Bond Finance BV
5.875%, 1/15/25 (b)		634		621,320

				72,807,539

Communications - Telecommunications - 3.1%
Altice SA
7.25%, 5/15/22 (b)	EUR	1,332		1,499,830
7.625%, 2/15/25 (b)	U.S.$	250		235,000
Altice US Finance II Corp.
7.75%, 7/15/25 (b)		331		321,070
CenturyLink, Inc.
Series U
7.65%, 3/15/42		275		248,875
Series W
6.75%, 12/01/23		437		438,366
Cincinnati Bell, Inc.
8.375%, 10/15/20		223		234,708
Columbus International, Inc.
7.375%, 3/30/21 (b)		2,342		2,514,722
CommScope, Inc.
5.50%, 6/15/24 (b)		1,311		1,274,947
Data & Audio Visual Enterprises Wireless, Inc.
9.50%, 4/29/18 (d)(e)(j)	CAD	1,175		1,191,557
Frontier Communications Corp.
6.25%, 9/15/21	U.S.$	373		339,430
7.625%, 4/15/24		2,523		2,226,547
7.875%, 1/15/27		834		771,450
9.00%, 8/15/31		450		409,500


	Principal Amount (000)		U.S. $ Value
InterXion Holding NV
6.00%, 7/15/20 (b)	EUR	2,601	$	3,072,780
Level 3 Financing, Inc.
6.125%, 1/15/21	U.S.$	596		625,025
Numericable-SFR SAS
5.375%, 5/15/22 (b)	EUR	264		298,735
5.625%, 5/15/24 (b)		386		433,560
6.00%, 5/15/22 (b)	U.S.$	1,610		1,586,856
6.25%, 5/15/24 (b)		658		647,308
Sprint Capital Corp.
6.875%, 11/15/28		70		60,200
8.75%, 3/15/32		375		364,688
Sprint Communications, Inc.
6.00%, 11/15/22		700		639,625
Sprint Corp.
7.125%, 6/15/24		520		482,352
7.25%, 9/15/21		833		812,175
7.625%, 2/15/25		946		891,605
7.875%, 9/15/23		1,320		1,287,396
T-Mobile USA, Inc.
6.00%, 3/01/23		743		760,646
6.375%, 3/01/25		655		669,738
6.542%, 4/28/20		183		191,599
6.625%, 11/15/20		311		323,440
6.731%, 4/28/22		128		133,440
6.836%, 4/28/23		774		813,668
Telecom Italia Capital SA
7.721%, 6/04/38		1,700		1,912,500
Telecom Italia SpA
5.303%, 5/30/24 (b)		1,002		998,242
WaveDivision Escrow LLC/WaveDivision Escrow Corp.
8.125%, 9/01/20 (b)		1,084		1,127,360
Wind Acquisition Finance SA
4.75%, 7/15/20 (b)		1,029		1,013,565
7.375%, 4/23/21 (b)		1,812		1,832,385
Windstream Services LLC
6.375%, 8/01/23		840		683,550
7.75%, 10/01/21		1,715		1,569,225
Zayo Group LLC/Zayo Capital, Inc.
6.00%, 4/01/23 (b)		1,830		1,807,491

				36,745,156

Consumer Cyclical - Automotive - 1.9%
Affinia Group, Inc.
7.75%, 5/01/21		1,672		1,747,240
Commercial Vehicle Group, Inc.
7.875%, 4/15/19 (a)		1,084		1,111,100
Dana Holding Corp.
6.00%, 9/15/23		833		868,923
6.75%, 2/15/21		326		341,485
Exide Technologies
Zero Coupon, 2/01/18 (d)(k)		2,574		0	‡
Series AI
7.00%, 4/30/25 (d)(h)(i)(k)		3,688		3,153,591


	Principal Amount (000)		U.S. $ Value
11.00%, 4/30/20 (e)	U.S.$	4,432	$	3,734,169
Gates Global LLC/Gates Global Co.
5.75%, 7/15/22 (b)	EUR	125		128,224
6.00%, 7/15/22 (b)	U.S.$	2,342		2,119,510
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28		400		424,000
8.75%, 8/15/20		343		409,885
Meritor, Inc.
6.25%, 2/15/24		446		440,425
6.75%, 6/15/21		925		945,813
Navistar International Corp.
8.25%, 11/01/21		1,481		1,406,950
Rhino Bondco S.P.A
7.25%, 11/15/20 (b)	EUR	506		600,612
Schaeffler Holding Finance BV
6.75%, 11/15/22 (b)(h)	U.S.$	1,019		1,099,246
6.875%, 8/15/18 (b)(h)	EUR	711		821,273
Tenneco, Inc.	U.S.$	403		414,083
5.375%, 12/15/24
Titan International, Inc.
6.875%, 10/01/20		1,926		1,769,513
ZF North America Capital, Inc.
4.75%, 4/29/25 (b)		1,281		1,240,175

				22,776,217

Consumer Cyclical - Entertainment - 0.6%
AMC Entertainment, Inc.
5.75%, 6/15/25 (b)		1,115		1,092,700
Carlson Travel Holdings, Inc.
7.50% (7.50% Cash or 8.25% PIK), 8/15/19 (b)(h)		1,387		1,407,805
Carlson Wagonlit BV
6.875%, 6/15/19 (b)		1,026		1,081,404
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp.
5.375%, 6/01/24		582		588,518
Live Nation Entertainment, Inc.
7.00%, 9/01/20 (b)		740		786,250
Pinnacle Entertainment, Inc.
8.75%, 5/15/20		271		283,027
Regal Entertainment Group
5.75%, 6/15/23-2/01/25		1,624		1,616,020

				6,855,724

Consumer Cyclical - Other - 3.5%
Beazer Homes USA, Inc.
7.50%, 9/15/21		761		766,707
Boyd Gaming Corp.
9.00%, 7/01/20		1,970		2,137,450
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18 (c)		700		190,750
11.25%, 6/01/17 (c)		435		341,475


	Principal Amount (000)		U.S. $ Value
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope
8.00%, 10/01/20	U.S.$	1,260	$	1,186,769
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc.
9.375%, 5/01/22 (b)		2,035		1,526,250
Choice Hotels International, Inc.
5.75%, 7/01/22		154		166,897
International Game Technology PLC
6.25%, 2/15/22 (b)		2,050		1,957,750
6.50%, 2/15/25 (b)		350		323,750
Isle of Capri Casinos, Inc.
5.875%, 3/15/21		41		42,128
K. Hovnanian Enterprises, Inc.
7.25%, 10/15/20 (b)		1,200		1,224,000
KB Home
4.75%, 5/15/19		1,121		1,112,592
7.00%, 12/15/21		200		206,500
7.50%, 9/15/22		223		231,920
9.10%, 9/15/17		700		780,500
Lennar Corp.
Series B
6.50%, 4/15/16		2,600		2,684,500
M/I Homes, Inc.
8.625%, 11/15/18		2,360		2,442,600
Marina District Finance Co., Inc.
9.875%, 8/15/18 (a)		1,980		2,034,450
MCE Finance Ltd.
5.00%, 2/15/21 (a)(b)		2,440		2,324,100
MDC Holdings, Inc.
5.50%, 1/15/24		149		146,393
6.00%, 1/15/43		589		494,760
Meritage Homes Corp.
6.00%, 6/01/25 (b)		1,355		1,361,775
7.00%, 4/01/22		149		159,058
MGM Resorts International
6.625%, 7/15/15		1,480		1,479,778
New Cotai LLC/New Cotai Capital Corp.
10.625%, 5/01/19 (b)(h)		2,199		1,890,953
Penn National Gaming, Inc.
5.875%, 11/01/21 (a)		1,310		1,319,825
PulteGroup, Inc.
7.875%, 6/15/32		1,400		1,610,000
Ryland Group, Inc. (The)
6.625%, 5/01/20		1,800		1,998,000
Safari Holding Verwaltungs GmbH
8.25%, 2/15/21 (b)	EUR	368		434,183
Scientific Games International, Inc.
7.00%, 1/01/22 (b)	U.S.$	2,340		2,416,050
Shea Homes LP/Shea Homes Funding Corp.
5.875%, 4/01/23 (b)		420		425,250
6.125%, 4/01/25 (b)		830		836,225


	Principal Amount (000)		U.S. $ Value
Standard Pacific Corp.
8.375%, 5/15/18	U.S.$	500	$	570,000
10.75%, 9/15/16		528		584,760
Studio City Finance Ltd.
8.50%, 12/01/20 (a)(b)		1,150		1,150,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc.
5.625%, 3/01/24 (b)		680		654,500
5.875%, 4/15/23 (b)		875		866,250
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.50%, 3/01/25 (b)		785		747,712
Wynn Macau Ltd.
5.25%, 10/15/21 (a)(b)		1,265		1,195,425

				42,021,985

Consumer Cyclical - Restaurants - 0.4%
1011778 B.C. ULC/New Red Finance, Inc.
4.625%, 1/15/22 (b)		1,110		1,093,350
6.00%, 4/01/22 (b)		1,991		2,045,753
Pizzaexpress Financing 1 PLC
8.625%, 8/01/22 (b)	GBP	198		327,423
Pizzaexpress Financing 2 PLC
6.625%, 8/01/21 (b)		692		1,122,314

				4,588,840

Consumer Cyclical - Retailers - 2.7%
American Tire Distributors, Inc.
10.25%, 3/01/22 (b)	U.S.$	2,435		2,599,362
Argos Merger Sub, Inc.
7.125%, 3/15/23 (b)		2,889		3,026,227
Brighthouse Group PLC
7.875%, 5/15/18 (a)(b)	GBP	1,703		2,622,322
Cash America International, Inc.
5.75%, 5/15/18	U.S.$	1,651		1,671,638
Chinos Intermediate Holdings A, Inc.
7.75% (7.75% Cash or 8.50% PIK), 5/01/19 (b)(h)		1,546		1,244,530
Family Tree Escrow LLC
5.75%, 3/01/23 (b)		1,886		1,970,870
Group 1 Automotive, Inc.
5.00%, 6/01/22		372		370,140
JC Penney Corp., Inc.
6.375%, 10/15/36		421		311,540
7.40%, 4/01/37		600		486,000
L Brands, Inc.
6.90%, 7/15/17		893		973,370
6.95%, 3/01/33		500		532,500
7.60%, 7/15/37		1,000		1,127,500
Levi Strauss & Co.
5.00%, 5/01/25 (b)		1,380		1,335,150
Men’s Wearhouse, Inc. (The)
7.00%, 7/01/22		1,175		1,257,250
Murphy Oil USA, Inc.
6.00%, 8/15/23		716		742,850


	Principal Amount (000)		U.S. $ Value
Neiman Marcus Group Ltd. LLC
8.75% (8.75% Cash or 9.50% PIK), 10/15/21 (b)(h)	U.S.$	1,866	$	2,003,618
Rite Aid Corp.
6.125%, 4/01/23 (b)		2,785		2,868,550
Sally Holdings LLC/Sally Capital, Inc.
5.75%, 6/01/22		1,779		1,854,608
Serta Simmons Holdings LLC
8.125%, 10/01/20 (b)		1,999		2,113,942
Sonic Automotive, Inc.
5.00%, 5/15/23		2,015		1,969,663
Wolverine World Wide, Inc.
6.125%, 10/15/20		501		531,060

				31,612,690

Consumer Non-Cyclical - 7.9%
Acadia Healthcare Co., Inc.
5.625%, 2/15/23 (b)		401		406,013
Air Medical Merger Sub Corp.
6.375%, 5/15/23 (b)		1,617		1,519,980
Alere, Inc.
6.375%, 7/01/23 (b)		392		398,860
7.25%, 7/01/18		765		801,338
8.625%, 10/01/18		2,190		2,267,745
Amsurg Corp.
5.625%, 7/15/22		728		734,370
BI-LO LLC/BI-LO Finance Corp.
8.625% (8.625% Cash or 9.375% PIK), 9/15/18 (b)(h)		1,292		1,195,100
9.25%, 2/15/19 (b)		1,140		1,151,400
Boparan Finance PLC
5.25%, 7/15/19 (b)	GBP	588		868,461
5.50%, 7/15/21 (b)		775		1,105,384
Capsugel SA
7.00% (7.00% Cash or 7.75% PIK), 5/15/19 (b)(h)	U.S.$	3,018		3,071,162
Care UK Health & Social Care PLC
5.572%, 7/15/19 (b)(g)	GBP	395		602,024
8.072%, 1/15/20 (b)(g)		400		596,553
Cerba European Lab SAS
7.00%, 2/01/20 (b)	EUR	959		1,119,220
Cerberus Nightingale
8.25%, 2/01/20		200		226,315
CHS/Community Health Systems, Inc.
6.875%, 2/01/22	U.S.$	1,964		2,072,020
7.125%, 7/15/20		781		827,470
Concordia Healthcare Corp.
7.00%, 4/15/23 (b)		616		616,000
ConvaTec Finance International SA
8.25% (8.25% Cash or 9.00% PIK), 1/15/19 (b)(h)		590		579,675
Crimson Merger Sub, Inc.
6.625%, 5/15/22 (b)		910		798,525


	Principal Amount (000)		U.S. $ Value
DaVita HealthCare Partners, Inc.
5.00%, 5/01/25	U.S.$	1,835	$	1,766,187
Elior Finance & Co. SCA
6.50%, 5/01/20 (b)	EUR	176		210,008
Endo Finance LLC
5.75%, 1/15/22 (b)	U.S.$	126		127,575
Endo Finance LLC/Endo Finco, Inc.
7.00%, 7/15/19 (b)		530		549,610
7.25%, 1/15/22 (b)		332		352,750
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.
6.00%, 7/15/23-2/01/25 (b)		2,018		2,054,287
Envision Healthcare Corp.
5.125%, 7/01/22 (b)		1,387		1,397,402
Ephios Bondco PLC
6.25%, 7/01/22 (b)	EUR	1,212		1,310,662
First Quality Finance Co., Inc.
4.625%, 5/15/21 (b)	U.S.$	3,247		3,035,945
Galaxy Bidco Ltd.
6.375%, 11/15/20 (b)	GBP	133		209,237
Grifols Worldwide Operations Ltd.
5.25%, 4/01/22	U.S.$	745		746,863
HCA, Inc.
4.25%, 10/15/19		1,475		1,510,031
5.375%, 2/01/25		209		212,407
6.50%, 2/15/16		290		298,880
Holding Medi-Partenaires SAS
7.00%, 5/15/20 (b)	EUR	1,401		1,655,038
Horizon Pharma Financing, Inc.
6.625%, 5/01/23 (b)	U.S.$	1,236		1,288,530
HRG Group, Inc.
7.875%, 7/15/19		1,155		1,218,525
7.875%, 7/15/19 (b)		929		984,740
IASIS Healthcare LLC/IASIS Capital Corp.
8.375%, 5/15/19		3,881		4,016,835
IDH Finance PLC
6.00%, 12/01/18 (b)	GBP	355		564,487
Jaguar Holding Co. I
9.375% (9.375% Cash or 10.125% PIK), 10/15/17 (b)(h)	U.S.$	2,268		2,316,082
Jaguar Holding Co. II/Jaguar Merger Sub, Inc.
9.50%, 12/01/19 (b)		1,699		1,809,435
Kindred Healthcare, Inc.
8.00%, 1/15/20 (b)		1,280		1,369,600
Kinetic Concepts, Inc./KCI USA, Inc.
10.50%, 11/01/18		1,500		1,601,280
Labco SA
8.50%, 1/15/18 (b)	EUR	900		1,040,991
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (b)	U.S.$	323		313,310
5.75%, 8/01/22 (b)		1,181		1,207,572


	Principal Amount (000)		U.S. $ Value
MPH Acquisition Holdings LLC
6.625%, 4/01/22 (b)	U.S.$	653	$	666,876
Par Pharmaceutical Cos., Inc.
7.375%, 10/15/20		2,307		2,462,722
Party City Holdings, Inc.
8.875%, 8/01/20 (a)		2,023		2,159,552
Post Holdings, Inc.
7.375%, 2/15/22		1,722		1,752,135
PRA Holdings, Inc.
9.50%, 10/01/23 (b)		1,545		1,726,537
Priory Group No. 3 PLC
7.00%, 2/15/18 (b)	GBP	612		991,647
Quintiles Transnational Corp.
4.875%, 5/15/23 (b)	U.S.$	1,158		1,163,790
R&R Ice Cream PLC
8.25%, 5/15/20 (b)	AUD	720		559,771
R&R PIK PLC
9.25%, 5/15/18 (b)(h)	EUR	1,668		1,875,897
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp.
9.50%, 6/15/19 (b)	U.S.$	507		532,984
RSI Home Products, Inc.
6.50%, 3/15/23 (b)		1,785		1,798,387
Smithfield Foods, Inc.
5.25%, 8/01/18 (b)		814		826,210
5.875%, 8/01/21 (b)		1,318		1,360,835
6.625%, 8/15/22		346		369,355
Spectrum Brands, Inc.
5.75%, 7/15/25 (b)		288		292,320
6.125%, 12/15/24 (b)		437		457,758
6.375%, 11/15/20		338		357,435
6.625%, 11/15/22		560		596,400
6.75%, 3/15/20		1,150		1,210,950
Sterigenics-Nordion Holdings LLC
6.50%, 5/15/23 (b)		255		258,825
Sun Products Corp. (The)
7.75%, 3/15/21 (b)		2,149		1,939,472
Surgical Care Affiliates, Inc.
6.00%, 4/01/23 (b)		480		481,200
TeamSystem Holding SpA
7.375%, 5/15/20 (b)	EUR	1,330		1,571,775
Tenet Healthcare Corp.
6.00%, 10/01/20	U.S.$	95		101,294
6.25%, 11/01/18		195		211,819
6.75%, 6/15/23 (b)		681		694,620
6.875%, 11/15/31		3,936		3,640,800
8.125%, 4/01/22		752		822,312
United Surgical Partners International, Inc.
9.00%, 4/01/20		1,119		1,194,533
Valeant Pharmaceuticals International, Inc.
5.50%, 3/01/23 (b)		230		232,300
5.875%, 5/15/23 (b)		396		405,900
6.125%, 4/15/25 (b)		2,521		2,596,630


	Principal Amount (000)		U.S. $ Value
7.25%, 7/15/22 (b)	U.S.$	635	$	674,688
Visant Corp.
10.00%, 10/01/17		1,385		1,103,845
Voyage Care Bondco PLC
6.50%, 8/01/18 (b)	GBP	1,200		1,942,065

				93,159,523

Energy - 6.6%
Antero Resources Corp.
5.125%, 12/01/22	U.S.$	457		431,865
5.375%, 11/01/21		2,000		1,920,000
5.625%, 6/01/23 (b)		231		223,204
Basic Energy Services, Inc.
7.75%, 2/15/19 (a)		610		507,825
Bonanza Creek Energy, Inc.
5.75%, 2/01/23		1,408		1,263,680
6.75%, 4/15/21		545		516,388
BreitBurn Energy Partners LP/BreitBurn Finance Corp.
7.875%, 4/15/22		455		377,650
California Resources Corp.
6.00%, 11/15/24 (a)		2,064		1,775,040
Chaparral Energy, Inc.
7.625%, 11/15/22		2,278		1,640,160
CHC Helicopter SA
9.25%, 10/15/20		1,894		1,377,594
Cobalt International Energy, Inc.
2.625%, 12/01/19 (i)		796		587,548
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
6.25%, 4/01/23 (b)		1,008		1,048,320
DCP Midstream Operating LP
5.60%, 4/01/44		1,678		1,496,601
Denbury Resources, Inc.
4.625%, 7/15/23		3,423		2,875,320
5.50%, 5/01/22		434		387,345
Diamondback Energy, Inc.
7.625%, 10/01/21		609		651,630
Energy Transfer Equity LP
5.875%, 1/15/24		1,420		1,472,540
Energy XXI Gulf Coast, Inc.
7.75%, 6/15/19		1,100		401,500
11.00%, 3/15/20 (b)		840		735,000
Era Group, Inc.
7.75%, 12/15/22		950		933,375
EXCO Resources, Inc.
8.50%, 4/15/22		815		417,688
Global Partners LP/GLP Finance Corp.
6.25%, 7/15/22		2,976		2,856,960
Golden Energy Offshore Services AS
8.74%, 5/28/17 (g)(k)	NOK	4,394		305,459
Halcon Resources Corp.
8.875%, 5/15/21	U.S.$	872		573,340
9.75%, 7/15/20		1,319		887,028


	Principal Amount (000)		U.S. $ Value
Holly Energy Partners LP/Holly Energy Finance Corp.
6.50%, 3/01/20	U.S.$	1,317	$	1,313,707
Hornbeck Offshore Services, Inc.
5.875%, 4/01/20		1,570		1,444,400
Jones Energy Holdings LLC/Jones Energy Finance Corp.
6.75%, 4/01/22		2,211		2,105,977
Jupiter Resources, Inc.
8.50%, 10/01/22 (b)		2,792		2,338,300
Laredo Petroleum, Inc.
7.375%, 5/01/22		1,099		1,156,697
Legacy Reserves LP/Legacy Reserves Finance Corp.
6.625%, 12/01/21		2,060		1,668,600
8.00%, 12/01/20		711		618,570
Linn Energy LLC/Linn Energy Finance Corp.
6.25%, 11/01/19		766		599,395
8.625%, 4/15/20		802		657,808
Memorial Resource Development Corp.
5.875%, 7/01/22		2,634		2,543,654
Northern Blizzard Resources, Inc.
7.25%, 2/01/22 (b)		844		806,020
Northern Oil and Gas, Inc.
8.00%, 6/01/20		819		745,290
Oasis Petroleum, Inc.
6.875%, 3/15/22		1,169		1,186,535
Offshore Group Investment Ltd.
7.125%, 4/01/23		1,283		782,630
7.50%, 11/01/19		2,176		1,338,240
Pacific Drilling SA
5.375%, 6/01/20 (b)		3,612		2,736,090
Paragon Offshore PLC
6.75%, 7/15/22 (b)		933		307,890
7.25%, 8/15/24 (b)		3,719		1,208,675
PDC Energy, Inc.
7.75%, 10/15/22		1,032		1,078,440
Petroleum Geo-Services ASA
7.375%, 12/15/18 (b)		1,074		1,013,587
PHI, Inc.
5.25%, 3/15/19		1,567		1,449,475
Precision Drilling Corp.
6.50%, 12/15/21		738		715,860
QEP Resources, Inc.
5.25%, 5/01/23		909		870,368
Rosetta Resources, Inc.
5.875%, 6/01/24		2,489		2,681,897
Sabine Pass Liquefaction LLC
5.75%, 5/15/24		1,528		1,522,270
6.25%, 3/15/22		675		698,625
Sabine Pass LNG LP
6.50%, 11/01/20		757		783,495
Sanchez Energy Corp.
6.125%, 1/15/23		1,020		912,900
7.75%, 6/15/21 (a)		2,435		2,422,825
SandRidge Energy, Inc.
7.50%, 2/15/23		865		365,636


	Principal Amount (000)		U.S. $ Value
Seitel, Inc.
9.50%, 4/15/19 (a)	U.S.$	905	$	825,813
Seven Generations Energy Ltd.
6.75%, 5/01/23 (b)		440		438,900
8.25%, 5/15/20 (b)		1,960		2,079,560
SM Energy Co.
5.625%, 6/01/25		638		631,492
Southern Star Central Corp.
5.125%, 7/15/22 (b)		1,200		1,218,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.875%, 2/01/21		960		996,000
Tervita Corp.
8.00%, 11/15/18 (b)		946		860,860
9.75%, 11/01/19 (b)		1,039		706,520
10.875%, 2/15/18 (b)		591		404,835
Transocean, Inc.
3.00%, 10/15/17		650		630,500
6.80%, 3/15/38		1,700		1,270,750
Triangle USA Petroleum Corp.
6.75%, 7/15/22 (b)		2,947		2,283,925
Whiting Petroleum Corp.
5.75%, 3/15/21		495		487,080
6.25%, 4/01/23 (a)(b)		1,450		1,453,625

				78,024,776

Other Industrial - 1.5%
Algeco Scotsman Global Finance PLC
8.50%, 10/15/18 (b)		315		303,975
9.00%, 10/15/18 (a)(b)	EUR	633		688,876
10.75%, 10/15/19 (a)(b)	U.S.$	2,172		1,667,010
B456 Systems, Inc.
3.75%, 4/15/16 (f)(i)(l)		955		40,588
Belden, Inc.
5.25%, 7/15/24 (b)		793		769,210
Briggs & Stratton Corp.
6.875%, 12/15/20		398		431,830
General Cable Corp.
4.50%, 11/15/29 (i)(m)		1,158		961,140
5.75%, 10/01/22		1,460		1,368,750
Interline Brands, Inc.
10.00%, 11/15/18 (h)		1,296		1,354,320
Laureate Education, Inc.
10.00%, 9/01/19 (b)		3,003		2,800,297
Liberty Tire Recycling LLC
11.00%, 3/31/21 (d)(h)(k)		1,594		1,457,235
Modular Space Corp.
10.25%, 1/31/19 (b)		1,451		1,255,115
NANA Development Corp.
9.50%, 3/15/19 (b)		520		496,600
New Enterprise Stone & Lime Co., Inc.
11.00%, 9/01/18		1,358		1,208,620


	Principal Amount (000)		U.S. $ Value
13.00% (6.00% Cash and 7.00% PIK), 3/15/18 (h)	U.S.$	1,325	$	1,427,238
Safway Group Holding LLC/Safway Finance Corp.
7.00%, 5/15/18 (b)		2,063		2,108,984

				18,339,788

Services - 0.7%
ADT Corp. (The)
4.125%, 4/15/19 (a)		1,544		1,567,160
6.25%, 10/15/21 (a)		477		500,850
Cerved Group SpA
8.00%, 1/15/21 (b)	EUR	401		479,466
Geo Debt Finance SCA
7.50%, 8/01/18 (a)(b)		416		434,791
Mobile Mini, Inc.
7.875%, 12/01/20	U.S.$	1,175		1,230,813
Monitronics International, Inc.
9.125%, 4/01/20		850		820,250
Service Corp. International/US
6.75%, 4/01/16 (g)		1,485		1,529,550
7.50%, 4/01/27		1,500		1,725,000

				8,287,880

Technology - 3.7%
Alcatel-Lucent USA, Inc.
8.875%, 1/01/20 (b)		601		653,588
Amkor Technology, Inc.
6.375%, 10/01/22		2,681		2,714,512
Aspect Software, Inc.
10.625%, 5/15/17		2,126		2,035,645
Audatex North America, Inc.
6.00%, 6/15/21 (b)		689		707,948
6.125%, 11/01/23 (b)		1,172		1,204,230
Avaya, Inc.
7.00%, 4/01/19 (b)		904		883,660
10.50%, 3/01/21 (b)		1,976		1,630,200
Blackboard, Inc.
7.75%, 11/15/19 (b)		864		812,160
BMC Software Finance, Inc.
8.125%, 7/15/21 (b)		4,194		3,397,140
Brightstar Corp.
9.50%, 12/01/16 (b)		1,833		1,883,407
CDW LLC/CDW Finance Corp.
5.00%, 9/01/23		740		727,050
5.50%, 12/01/24		816		807,840
6.00%, 8/15/22		876		904,470
Ceridian HCM Holding, Inc.
11.00%, 3/15/21 (b)		1,165		1,231,987
Commscope Technologies Finance LLC
6.00%, 6/15/25 (b)		518		516,058
Compiler Finance Sub, Inc.
7.00%, 5/01/21 (b)		411		311,333


	Principal Amount (000)		U.S. $ Value
CPI International, Inc.
8.75%, 2/15/18	U.S.$	1,768	$	1,814,410
Dell, Inc.
6.50%, 4/15/38		1,381		1,311,950
Energizer SpinCo., Inc.
5.50%, 6/15/25 (b)		773		763,337
First Data Corp.
6.75%, 11/01/20 (b)		273		288,356
11.75%, 8/15/21		1,601		1,801,125
12.625%, 1/15/21		985		1,137,675
Freescale Semiconductor, Inc.
5.00%, 5/15/21 (b)		747		765,675
6.00%, 1/15/22 (b)		776		822,560
Goodman Networks, Inc.
12.125%, 7/01/18		2,020		1,676,600
Infor Software Parent LLC/Infor Software Parent, Inc.
7.125% (7.125% Cash or 7.875% PIK), 5/01/21 (a)(b)(h)		1,126		1,128,815
Infor US, Inc.
6.50%, 5/15/22 (b)		2,178		2,217,422
Micron Technology, Inc.
5.25%, 8/01/23 (b)		487		466,911
5.50%, 2/01/25 (b)		2,446		2,291,902
MSCI, Inc.
5.25%, 11/15/24 (b)		554		560,925
NXP BV/NXP Funding LLC
5.75%, 3/15/23 (b)		924		960,960
Open Text Corp.
5.625%, 1/15/23 (b)		957		947,430
Sabre GLBL, Inc.
5.375%, 4/15/23 (b)		720		709,200
SITEL LLC/Sitel Finance Corp.
11.00%, 8/01/17 (b)		1,000		1,015,000
SunGard Data Systems, Inc.
7.625%, 11/15/20		1,600		1,672,000
Syniverse Holdings, Inc.
9.125%, 1/15/19		813		715,440

				43,488,921

Transportation - Airlines - 0.4%
Air Canada
6.75%, 10/01/19 (b)		1,300		1,378,000
8.75%, 4/01/20 (b)		1,654		1,823,535
Northwest Airlines Pass-Through Trust
Series 2000-1, Class G 7.15%, 10/01/19		532		557,499
UAL Pass-Through Trust
Series 2007-1A 6.636%, 7/02/22		1,332		1,428,442

				5,187,476


	Principal Amount (000)		U.S. $ Value
Transportation - Services - 0.9%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
5.50%, 4/01/23	U.S.$	297	$	295,515
Avis Budget Finance PLC
6.00%, 3/01/21 (b)	EUR	530		618,937
CEVA Group PLC
9.00%, 9/01/21 (b)	U.S.$	883		852,095
EC Finance PLC
5.125%, 7/15/21 (b)	EUR	836		969,053
Europcar Groupe SA
11.50%, 5/15/17 (b)		775		960,778
Hapag-Lloyd AG
9.75%, 10/15/17 (b)	U.S.$	1,005		1,020,075
Hertz Corp. (The)
5.875%, 10/15/20		2,890		2,926,125
LBC Tank Terminals Holding Netherlands BV
6.875%, 5/15/23 (a)(b)		1,147		1,184,277
Overseas Shipholding Group, Inc.
8.125%, 3/30/18		1,200		1,239,000
XPO Logistics, Inc.
6.50%, 6/15/22 (b)		1,200		1,174,500

				11,240,355

				565,448,775

Financial Institutions - 7.5%
Banking - 3.9%
ABN AMRO Bank NV
4.31%, 3/10/16 (n)	EUR	2,295		2,577,770
Ally Financial, Inc.
8.00%, 11/01/31 (a)	U.S.$	1,151		1,467,525
Baggot Securities Ltd.
10.24%, 7/30/15 (b)(n)	EUR	495		569,179
Bank of America Corp.
Series AA
6.10%, 3/17/25 (n)	U.S.$	3,319		3,269,215
Series X
6.25%, 9/05/24 (n)		98		97,572
Series Z
6.50%, 10/23/24 (n)		1,402		1,451,070
Bank of Ireland
1.787%, 9/22/15 (g)(l)	CAD	1,645		1,277,542
10.00%, 7/30/16 (b)	EUR	349		413,401
10.00%, 2/12/20		1,130		1,552,508
Barclays Bank PLC
6.86%, 6/15/32 (b)(n)	U.S.$	166		186,335
7.625%, 11/21/22		1,479		1,684,285
7.70%, 4/25/18 (b)(n)		974		1,074,326
7.75%, 4/10/23		1,437		1,557,349
Barclays PLC
8.00%, 12/15/20 (n)	EUR	263		310,408
BBVA International Preferred SAU
3.798%, 9/22/15 (n)		609		672,046


	Principal Amount (000)		U.S. $ Value
4.952%, 9/20/16 (b)(n)	EUR	1,650	$	1,848,700
Citigroup, Inc.
5.95%, 1/30/23 (n)	U.S.$	588		579,180
Commerzbank AG
8.125%, 9/19/23 (b)		1,052		1,226,990
Credit Agricole SA
6.625%, 9/23/19 (b)(n)		843		822,768
7.589%, 1/30/20 (n)	GBP	1,000		1,732,303
7.875%, 1/23/24 (b)(n)	U.S.$	549		562,039
Credit Suisse Group AG
7.50%, 12/11/23 (b)(n)		3,647		3,811,115
Danske Bank A/S
5.684%, 2/15/17 (n)	GBP	720		1,155,679
HBOS Capital Funding LP
4.939%, 5/23/16 (n)	EUR	418		463,677
HT1 Funding GmbH
6.352%, 6/30/17 (n)		1,550		1,745,298
ING Groep NV
6.00%, 4/16/20 (n)	U.S.$	688		681,120
6.50%, 4/16/25 (n)		1,143		1,097,280
LBG Capital No.1 PLC
8.00%, 6/15/20 (b)(n)		1,860		2,129,700
Lloyds Banking Group PLC
6.413%, 10/01/35 (b)(n)		235		260,850
6.657%, 5/21/37 (b)(n)		98		109,882
7.50%, 6/27/24 (n)		2,950		3,038,500
Novo Banco SA
2.625%, 5/08/17 (b)	EUR	500		542,096
RBS Capital Trust C
4.243%, 1/12/16 (n)		1,250		1,387,709
SNS Bank NV
11.25%, 12/31/99 (d)(f)(l)		620		0	‡
Societe Generale SA
7.875%, 12/18/23 (b)(n)	U.S.$	1,308		1,321,080
UT2 Funding PLC
5.321%, 6/30/16	EUR	1,293		1,459,520
Zions Bancorporation
5.65%, 11/15/23	U.S.$	508		524,827
5.80%, 6/15/23 (n)		1,800		1,712,250

				46,373,094

Brokerage - 0.4%
E*TRADE Financial Corp.
4.625%, 9/15/23		1,835		1,802,887
5.375%, 11/15/22		810		830,250
GFI Group, Inc.
10.375%, 7/19/18 (m)		1,271		1,433,053
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (f)		1,690		194,350

				4,260,540


	Principal Amount (000)		U.S. $ Value
Finance - 1.4%
Artsonig Pty Ltd.
11.50% (11.50% Cash or 12.00% PIK), 4/01/19 (b)(h)	U.S.$	1,469	$	558,246
Creditcorp
12.00%, 7/15/18 (b)		1,300		1,088,750
Enova International, Inc.
9.75%, 6/01/21		2,216		2,094,120
ILFC E-Capital Trust II
6.25%, 12/21/65 (b)		2,000		1,960,000
International Lease Finance Corp.
8.25%, 12/15/20		2,170		2,576,875
8.75%, 3/15/17		282		308,539
8.875%, 9/01/17		280		312,900
Molycorp, Inc.
3.25%, 6/15/16 (c)(i)		525		11,812
Navient Corp.
5.50%, 1/15/19		2,496		2,544,972
5.625%, 8/01/33		455		368,550
5.875%, 10/25/24		230		216,200
6.125%, 3/25/24		250		239,375
7.25%, 1/25/22		377		397,735
8.00%, 3/25/20		233		259,795
Peninsula Gaming LLC/Peninsula Gaming Corp.
8.375%, 2/15/18 (b)		996		1,037,085
TMX Finance LLC/TitleMax Finance Corp.
8.50%, 9/15/18 (b)		3,646		2,989,720

				16,964,674

Insurance - 0.8%
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub LLC
7.875%, 12/15/20 (b)		1,819		1,919,045
CNO Financial Group, Inc.
5.25%, 5/30/25		750		762,150
Genworth Holdings, Inc.
6.15%, 11/15/66		750		457,500
7.625%, 9/24/21		1,216		1,279,840
HUB International Ltd.
7.875%, 10/01/21 (b)		1,300		1,326,000
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (b)		1,250		1,481,250
USI, Inc./NY
7.75%, 1/15/21 (b)		2,421		2,457,315

				9,683,100

Other Finance - 0.7%
ACE Cash Express, Inc.
11.00%, 2/01/19 (b)		850		471,750
CNG Holdings, Inc.
9.375%, 5/15/20 (b)		2,615		1,895,875
iPayment, Inc.
9.50%, 12/15/19 (b)		56		52,954
Series AI


	Principal Amount (000)		U.S. $ Value
9.50%, 12/15/19	U.S.$	2,259	$	2,145,973
Lock AS
7.00%, 8/15/21 (b)	EUR	823		967,985
Lock Lower Holding AS
9.50%, 8/15/22 (b)		500		599,299
Speedy Cash Intermediate Holdings Corp.
10.75%, 5/15/18 (a)(b)	U.S.$	1,166		1,101,870
Speedy Group Holdings Corp.
12.00%, 11/15/17 (b)		1,711		1,531,345

				8,767,051

REITS - 0.3%
Communications Sales & Leasing, Inc.
6.00%, 4/15/23 (b)		1,345		1,318,100
8.25%, 10/15/23 (b)		1,691		1,661,407

				2,979,507

				89,027,966

Utility - 1.8%
Electric - 1.8%
AES Corp./VA
4.875%, 5/15/23		1,840		1,729,600
7.375%, 7/01/21		1,280		1,404,800
Calpine Corp.
5.75%, 1/15/25		2,000		1,945,000
7.875%, 1/15/23 (b)		460		496,800
DPL, Inc.
6.75%, 10/01/19 (b)		465		494,063
Dynegy, Inc.
7.375%, 11/01/22 (b)		1,355		1,419,362
7.625%, 11/01/24 (b)		1,350		1,427,625
FirstEnergy Corp. Series C
7.375%, 11/15/31		857		1,044,171
GenOn Energy, Inc.
9.50%, 10/15/18		1,450		1,479,000
9.875%, 10/15/20		1,200		1,221,000
NRG Energy, Inc.
6.25%, 7/15/22		319		323,785
6.625%, 3/15/23		2,133		2,196,990
Series WI
6.25%, 5/01/24 (a)		2,193		2,176,552
NRG Yield Operating LLC
5.375%, 8/15/24 (b)		843		849,323
Talen Energy Supply LLC
4.60%, 12/15/21		1,475		1,353,313
Texas Competitive/TCEH
11.50%, 10/01/20 (j)		626		381,860
Viridian Group FundCo II Ltd.
7.50%, 3/01/20 (b)	EUR	1,311		1,461,203


	Principal Amount (000)		U.S. $ Value

			$	21,404,447

Total Corporates - Non-Investment Grade (cost $698,976,172)				675,881,188

GOVERNMENTS - TREASURIES - 16.8%
Brazil - 1.9%
Brazil Notas do Tesouro Nacional
Series B
6.00%, 8/15/50	BRL	1,400		1,191,112
Series F
10.00%, 1/01/17-1/01/25		65,620		19,425,195
Series NTNB
6.00%, 5/15/45		2,100		1,774,546

				22,390,853

Colombia - 0.3%
Colombia Government International Bond
12.00%, 10/22/15	COP	1,015,000		397,118
Colombian TES Series B
10.00%, 7/24/24		8,000,000		3,623,913

				4,021,031

Indonesia - 0.3%
Indonesia - Recap Linked Note (JPMC)
10.00%, 7/18/17	IDR	47,971,000		3,726,950

Philippines - 0.3%
Philippine Government International Bond
6.25%, 1/14/36 (l)	PHP	143,000		3,599,579

South Africa - 0.5%
South Africa Government Bond
Series R204
8.00%, 12/21/18	ZAR	10,750		896,113
Series R207
7.25%, 1/15/20		60,872		4,902,883
Series R208
6.75%, 3/31/21		490		38,109

				5,837,105

United States - 13.5%
U.S. Treasury Bonds
2.75%, 11/15/42 (a)	U.S.$	3,000		2,790,936
3.125%, 2/15/42		4,000		4,021,248
4.50%, 2/15/36 (o)(p)		2,400		3,017,626
5.00%, 5/15/37		3,500		4,690,273
5.25%, 2/15/29 (o)		5,750		7,503,301
6.125%, 11/15/27 (a)(o)		2,200		3,051,297


	Principal Amount (000)		U.S. $ Value
U.S. Treasury Notes
1.25%, 1/31/20 (a)	U.S.$	137,000	$	135,158,994

				160,233,675

Total Governments - Treasuries (cost $209,016,049)				199,809,193

COLLATERALIZED MORTGAGE OBLIGATIONS - 7.9%
Non-Agency Fixed Rate - 3.4%
BCAP LLC Trust
Series 2009-RR13, Class 17A3
6.082%, 4/26/37 (b)		530		433,624
Bear Stearns ARM Trust
Series 2007-3, Class 1A1
2.774%, 5/25/47		464		405,080
Series 2007-4, Class 22A1
4.827%, 6/25/47		1,673		1,494,168
BNPP Mortgage Securities LLC Trust Series 2009-1, Class B1
6.00%, 8/27/37 (b)		809		669,362
ChaseFlex Trust Series 2007-1, Class 1A3
6.50%, 2/25/37		852		645,261
CHL Mortgage Pass-Through Trust Series 2007-HY4, Class 1A1
2.554%, 9/25/47		525		467,583
Citigroup Mortgage Loan Trust
Series 2006-4, Class 2A1A
6.00%, 12/25/35		2,606		2,410,030
Series 2006-AR3, Class 1A2A
5.26%, 6/25/36		1,644		1,568,645
Series 2007-AR4, Class 1A1A
5.387%, 3/25/37		388		369,125
Series 2010-3, Class 2A2
7.063%, 8/25/37 (b)		491		424,048
CitiMortgage Alternative Loan Trust Series 2007-A3, Class 1A4
5.75%, 3/25/37		1,816		1,587,275
Countrywide Alternative Loan Trust
Series 2006-24CB, Class A15
5.75%, 6/25/36		1,414		1,265,744
Series 2006-41CB, Class 2A13
5.75%, 1/25/37		1,184		1,069,114
Series 2006-42, Class 1A6
6.00%, 1/25/47		1,042		944,382
Series 2006-HY12, Class A5
3.574%, 8/25/36		2,610		2,443,011
Series 2006-J1, Class 1A10
5.50%, 2/25/36		2,296		2,067,782
Series 2006-J5, Class 1A1
6.50%, 9/25/36		1,383		1,245,530
Series 2007-13, Class A2
6.00%, 6/25/47		1,730		1,464,731
Credit Suisse Mortgage Trust
Series 2009-8R, Class 6A2
6.00%, 1/26/38 (b)		117		87,646
Series 2010-13R, Class 1A2


	Principal Amount (000)		U.S. $ Value
5.50%, 12/26/35 (b)	U.S.$	45	$	42,084
Series 2010-9R, Class 1A5
4.00%, 8/27/37 (b)		623		610,579
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36		1,000		873,779
First Horizon Alternative Mortgage Securities Trust
Series 2006-AA5, Class A1
2.236%, 9/25/36		1,043		819,228
Series 2006-FA1, Class 1A3
5.75%, 4/25/36		979		803,187
IndyMac Index Mortgage Loan Trust
Series 2005-AR15, Class A1
4.534%, 9/25/35		1,166		978,159
Series 2006-AR37, Class 2A1
4.441%, 2/25/37		778		631,488
Morgan Stanley Mortgage Loan Trust
Series 2005-10, Class 4A1
5.50%, 12/25/35		631		581,155
Series 2007-12, Class 3A22
6.00%, 8/25/37		178		162,688
Residential Accredit Loans, Inc.
Series 2005-QS14, Class 3A1
6.00%, 9/25/35		918		841,169
Residential Asset Securitization Trust
Series 2006-A8, Class 3A4
6.00%, 8/25/36		314		260,225
Structured Adjustable Rate Mortgage Loan Trust
Series 2005-18, Class 8A1
5.132%, 9/25/35		1,274		1,187,502
Series 2006-9, Class 4A1
5.231%, 10/25/36		936		820,277
Washington Mutual Alternative Mortgage Pass-Through Certificates
Series 2006-7, Class A3
4.644%, 9/25/36		1,975		1,126,963
Series 2006-7, Class A4
4.644%, 9/25/36		2,078		1,185,735
Series 2006-9, Class A4
5.08%, 10/25/36		2,070		1,179,871
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-HY3, Class 4A1
2.411%, 3/25/37		2,133		2,009,712
Wells Fargo Alternative Loan Trust
Series 2007-PA3, Class 3A1
6.25%, 7/25/37		1,959		1,775,381
Wells Fargo Mortgage Backed Securities Trust
Series 2007-AR7, Class A1
2.58%, 12/28/37		2,583		2,383,582
Series 2007-AR8, Class A1
2.614%, 11/25/37		1,008		882,802

				40,217,707


	Principal Amount (000)		U.S. $ Value
GSE Risk Share Floating Rate - 2.5%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
7.337%, 7/25/23 (g)	U.S.$	2,350	$	2,784,973
Series 2013-DN2, Class M2
4.437%, 11/25/23 (g)		1,925		1,963,063
Series 2014-DN1, Class M3
4.687%, 2/25/24 (g)		2,034		2,086,084
Series 2014-DN2, Class M3
3.787%, 4/25/24 (g)		774		744,874
Series 2014-DN4, Class M3
4.737%, 10/25/24 (g)		500		511,532
Series 2014-HQ2, Class M3
3.937%, 9/25/24 (g)		710		683,491
Series 2014-HQ3, Class M3
4.937%, 10/25/24 (g)		1,655		1,694,082
Series 2015-DNA1, Class M3
3.487%, 10/25/27 (g)		480		468,205
Series 2015-HQ1, Class M3
Series 2015-DNA2, Class B
7.737%, 12/25/27 (g)		715		729,439
3.987%, 3/25/25^(g)		530		518,764
Federal National Mortgage Association Connecticut Avenue Securities
Series 2013-C01, Class M2
5.437%, 10/25/23 (g)		1,451		1,575,422
Series 2014-C01, Class M2
4.587%, 1/25/24 (g)		1,991		2,040,128
Series 2014-C02, Class 1M2
2.787%, 5/25/24 (g)		490		436,890
Series 2014-C03, Class 1M2
3.187%, 7/25/24 (g)		1,147		1,064,528
Series 2014-C04, Class 1M2
5.087%, 11/25/24 (g)		3,900		4,011,847
Series 2014-C04, Class 2M2
5.187%, 11/25/24 (g)		672		694,204
Series 2015-C01, Class 1M2
4.487%, 2/25/25 (g)		2,785		2,760,496
Series 2015-C01, Class 2M2
4.737%, 2/25/25 (g)		3,000		3,030,495
Series 2015-C02, Class 2M2
4.185%, 5/25/25 (g)		2,095		2,035,488

				29,834,005

Non-Agency Floating Rate - 2.0%
CHL Mortgage Pass-Through Trust
Series 2007-13, Class A7
0.787%, 8/25/37 (g)		1,199		925,887
Citigroup Mortgage Loan Trust, Inc.
Series 2005-8, Class 2A2
4.613%, 9/25/35 (g)(q)		1,061		91,336


	Principal Amount (000)		U.S. $ Value
Countrywide Alternative Loan Trust
Series 2007-7T2, Class A3
0.787%, 4/25/37 (g)	U.S.$	3,916	$	2,070,362
Deutsche Alt-A Securities Mortgage Loan Trust
Series 2007-OA3, Class A1
0.327%, 7/25/47 (g)		800		646,248
First Horizon Alternative Mortgage Securities Trust
Series 2007-FA2, Class 1A10
0.437%, 4/25/37 (g)		616		332,339
Series 2007-FA2, Class 1A5
0.487%, 4/25/37 (g)		698		378,925
Series 2007-FA2, Class 1A6
5.363%, 4/25/37 (g)(q)		208		42,885
HarborView Mortgage Loan Trust
Series 2007-4, Class 2A1
0.408%, 7/19/47 (g)		3,307		2,812,388
Series 2007-7, Class 2A1A
1.187%, 10/25/37 (g)		691		607,469
Lehman XS Trust
Series 2007-10H, Class 2AIO
6.82%, 7/25/37 (g)(q)		741		192,800
Series 2007-15N, Class 4A1
1.087%, 8/25/47 (g)		796		546,932
Series 2007-4N, Class 3A2A
0.897%, 3/25/47 (g)		2,241		1,891,452
Residential Accredit Loans, Inc.
Series 2006-QS18, Class 2A2
6.363%, 12/25/36 (g)(q)		6,954		1,570,158
Structured Asset Mortgage Investments II Trust
Series 2007-AR6, Class A1
1.658%, 8/25/47 (g)		2,235		1,867,753
Washington Mutual Alternative Mortgage Pass-Through Certificates
Series 2007-OA4, Class A1A
0.918%, 4/25/47 (g)		3,279		2,400,730
Washington Mutual Mortgage Pass-Through Certificates
Series 2006-AR5, Class A1A
1.148%, 6/25/46 (g)		782		679,604
Series 2007-OA3, Class 2A1A
0.918%, 4/25/47 (g)		861		752,511
Washington Mutual Mortgage Pass-Through Certificates Trust
Series 2007-OA1, Class A1A
0.858%, 2/25/47 (g)		2,652		2,121,448
Series 2007-OA5, Class 1A
0.908%, 6/25/47 (g)		4,599		3,899,938

				23,831,165

Total Collateralized Mortgage Obligations (cost $90,685,540)				93,882,877


	Principal Amount (000)		U.S. $ Value
CORPORATES - INVESTMENT GRADE - 7.6%
Financial Institutions - 3.8%
Banking - 1.1%
BPCE SA
5.70%, 10/22/23 (b)	U.S.$	208	$	219,256
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands
8.375%, 7/26/16 (b)(n)		2,750		2,873,403
HSBC Holdings PLC
6.375%, 3/30/25 (n)		1,617		1,612,957
ICICI Bank Ltd./Dubai
4.80%, 5/22/19 (b)		1,337		1,422,508
JPMorgan Chase & Co.
Series Q
5.15%, 5/01/23 (n)		1,357		1,291,321
Series R
6.00%, 8/01/23 (n)		865		858,513
Series S
6.75%, 2/01/24 (n)		460		488,750
Nordea Bank AB
6.125%, 9/23/24 (b)(n)		1,226		1,208,759
Regions Bank/Birmingham AL
6.45%, 6/26/37		1,500		1,778,278
Standard Chartered PLC
5.20%, 1/26/24 (a)(b)		1,301		1,362,250
Wells Fargo & Co.
Series S 5.90%, 6/15/24 (n)		435		433,913

				13,549,908

Finance - 0.7%
Aviation Capital Group Corp.
6.75%, 4/06/21 (b)		650		742,407
7.125%, 10/15/20 (b)		2,489		2,897,900
GE Capital Trust III
6.50%, 9/15/67 (b)	GBP	700		1,170,022
General Electric Capital Corp.
Series A
7.125%, 6/15/22 (n)	U.S.$	600		692,250
Series B
6.25%, 12/15/22 (n)		600		656,250
HSBC Finance Capital Trust IX
5.911%, 11/30/35		1,905		1,915,573

				8,074,402

Insurance - 1.5%
AAI Ltd.
6.15%, 9/07/25	AUD	990		766,455
American International Group, Inc.
6.82%, 11/15/37	U.S.$	1,425		1,766,443
Aon Corp.
8.205%, 1/01/27		690		881,475


	Principal Amount (000)		U.S. $ Value
Assured Guaranty Municipal Holdings, Inc.
6.40%, 12/15/66 (b)	U.S.$	656	$	534,640
Hartford Financial Services Group, Inc. (The)
8.125%, 6/15/38		631		709,086
Lincoln National Corp.
8.75%, 7/01/19		604		740,532
MetLife, Inc.
10.75%, 8/01/39		2,350		3,807,000
Series C
5.25%, 6/15/20 (n)		182		180,407
Pacific Life Insurance Co.
9.25%, 6/15/39 (b)		475		709,344
Swiss Re Capital I LP
6.854%, 5/25/16 (b)(n)		2,809		2,887,652
Transatlantic Holdings, Inc.
8.00%, 11/30/39		1,261		1,631,897
XLIT Ltd.
5.50%, 3/31/45		630		592,426
Series E
6.50%, 4/15/17 (n)		2,065		1,766,876
ZFS Finance USA Trust V
6.50%, 5/09/37 (b)		1,240		1,289,600

				18,263,833

REITS - 0.5%
DDR Corp.
7.875%, 9/01/20		746		913,212
EPR Properties
5.75%, 8/15/22		915		981,218
7.75%, 7/15/20		1,722		2,045,395
Senior Housing Properties Trust
6.75%, 12/15/21		1,350		1,536,710

				5,476,535

				45,364,678

Industrial - 3.3%
Basic - 1.6%
Braskem Finance Ltd.
6.45%, 2/03/24		2,254		2,130,030
7.00%, 5/07/20 (b)		191		196,730
CF Industries, Inc.
7.125%, 5/01/20		900		1,069,105
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc.
6.50%, 11/15/20		867		916,852
6.75%, 2/01/22		1,197		1,268,820
Georgia-Pacific LLC
8.875%, 5/15/31		1		1,443
GTL Trade Finance, Inc.
5.893%, 4/29/24 (b)		1,363		1,329,606
7.25%, 4/16/44 (b)		234		217,327
Minsur SA
6.25%, 2/07/24 (b)		891		976,334


	Principal Amount (000)		U.S. $ Value
Samarco Mineracao SA
4.125%, 11/01/22 (b)	U.S.$	651	$	598,920
5.75%, 10/24/23 (a)(b)		810		803,925
Southern Copper Corp.
7.50%, 7/27/35		3,300		3,695,802
Vale Overseas Ltd.
6.875%, 11/21/36		2,806		2,712,869
Westvaco Corp.
7.95%, 2/15/31		1,000		1,285,981
Weyerhaeuser Co.
7.375%, 3/15/32		1,790		2,238,345

				19,442,089

Capital Goods - 0.2%
Odebrecht Finance Ltd.
8.25%, 4/25/18 (b)	BRL	1,332		306,320
Owens Corning
7.00%, 12/01/36 (g)	U.S.$	1,340		1,530,934

				1,837,254

Communications - Media - 0.2%
NBCUniversal Enterprise, Inc.
5.25%, 3/19/21 (b)(n)		1,401		1,490,314
Sirius XM Radio, Inc.
5.25%, 8/15/22 (b)		286		298,870
Time Warner Cable, Inc.
6.75%, 6/15/39		330		352,324

				2,141,508

Communications - Telecommunications - 0.3%
Embarq Corp.
7.995%, 6/01/36		932		1,033,309
Qwest Corp.
6.50%, 6/01/17		610		659,508
6.875%, 9/15/33		1,570		1,552,400

				3,245,217

Consumer Cyclical - Other - 0.0%
Seminole Tribe of Florida, Inc.
6.535%, 10/01/20 (b)		215		228,975
Consumer Non-Cyclical - 0.1%
BRF SA
4.75%, 5/22/24 (b)		428		419,975
Forest Laboratories LLC
5.00%, 12/15/21 (b)		803		871,361
Reynolds American, Inc.
5.70%, 8/15/35		433		448,964

				1,740,300

Energy - 0.5%
Enterprise Products Operating LLC
Series A
8.375%, 8/01/66		1,760		1,843,600


	Principal Amount (000)		U.S. $ Value
Kinder Morgan, Inc./DE
Series G
7.80%, 8/01/31	U.S.$	1,066	$	1,217,467
Regency Energy Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23		1,186		1,144,490
5.00%, 10/01/22		557		565,799
5.50%, 4/15/23		1,193		1,214,235

				5,985,591

Other Industrial - 0.2%
Fresnillo PLC
5.50%, 11/13/23 (b)		2,181		2,300,955

Transportation - Airlines - 0.2%
America West Airlines Pass-Through Trust
Series 1999-1, Class G
7.93%, 1/02/19		1,006		1,091,207
Delta Air Lines Pass-Through Trust
Series 2007-1A
6.821%, 8/10/22		779		894,361

				1,985,568

				38,907,457

Utility - 0.5%
Electric - 0.4%
EDP Finance BV
4.90%, 10/01/19 (b)		148		154,110
6.00%, 2/02/18 (b)		2,055		2,200,909
PPL Capital Funding, Inc.
Series A
6.70%, 3/30/67		2,405		2,123,904

				4,478,923


Natural Gas - 0.1%
Empresa de Energia de Bogota SA ESP
6.125%, 11/10/21 (b)		1,235		1,315,923

				5,794,846

Total Corporates - Investment Grade (cost $80,022,967)				90,066,981

EMERGING MARKETS - SOVEREIGNS - 4.0%
Argentina - 0.5%
Argentina Boden Bonds
7.00%, 10/03/15		5,866		5,837,674

Dominican Republic - 1.0%
Dominican Republic International Bond
7.45%, 4/30/44 (b)		1,283		1,398,470
8.625%, 4/20/27 (b)		8,385		10,020,075

				11,418,545


	Principal Amount (000)		U.S. $ Value
El Salvador - 0.7%
El Salvador Government International Bond
7.625%, 9/21/34 (b)	U.S.$	762	$	762,000
7.65%, 6/15/35 (b)		6,996		7,030,980

				7,792,980

Ghana - 0.1%
Republic of Ghana
7.875%, 8/07/23 (b)		1,198		1,081,648
8.50%, 10/04/17 (b)		606		624,483

				1,706,131

Ivory Coast - 0.7%
Ivory Coast Government International Bond
5.75%, 12/31/32 (b)		7,583		7,110,579
6.375%, 3/03/28 (b)		1,269		1,240,447

				8,351,026

Jamaica - 0.0%
Jamaica Government International Bond
7.625%, 7/09/25		506		566,720

Kenya - 0.1%
Kenya Government International Bond
5.875%, 6/24/19 (b)		702		716,742

Lebanon - 0.1%
Lebanon Government International Bond
6.00%, 1/27/23 (b)		796		801,970
Series E
6.10%, 10/04/22 (b)		665		674,829

				1,476,799

Pakistan - 0.1%
Pakistan Government International Bond
7.25%, 4/15/19 (b)		1,498		1,570,570

Serbia - 0.0%
Republic of Serbia
6.75%, 11/01/24 (b)		364		369,965

Sri Lanka - 0.1%
Sri Lanka Government International Bond
6.00%, 1/14/19 (b)		799		815,979
6.125%, 6/03/25 (b)		350		343,875

				1,159,854

Venezuela - 0.4%
Venezuela Government International Bond
9.00%, 5/07/23 (b)		824		319,106
9.25%, 9/15/27		8,383		3,541,818
9.25%, 5/07/28 (b)		300		114,750
11.75%, 10/21/26 (b)		486		208,980


	Principal Amount (000)		U.S. $ Value
11.95%, 8/05/31 (b)	U.S.$	355	$	151,805

				4,336,459

Zambia - 0.2%
Zambia Government International Bond
8.50%, 4/14/24 (b)		1,846		1,855,230

Total Emerging Markets - Sovereigns (cost $45,221,232)				47,158,695

BANK LOANS - 3.2%
Industrial - 2.8%
Basic - 0.3%
FMG Resources (August 2006) Pty Ltd. (FMG America Finance, Inc.)
3.75%, 6/30/19 (g)		1,872		1,658,777
Magnetation LLC
12.00%, 11/11/15 (h)		1,571		1,515,092

				3,173,869

Capital Goods - 0.1%
Serta Simmons Holdings, LLC
4.25%, 10/01/19 (g)		1,240		1,239,212

Communications - Media - 0.2%
Advantage Sales & Marketing Inc.
7.50%, 7/25/22 (g)		1,167		1,170,552
TWCC Holding Corp.
7.00%, 6/26/20 (g)		1,050		976,500

				2,147,052

Consumer Cyclical - Automotive - 0.1%
Navistar, Inc.
5.75%, 8/17/17 (g)		875		875,551

Consumer Cyclical - Entertainment - 0.2%
Kasima, LLC (Digital Cinema Implementation Partners, LLC)
3.25%, 5/17/21 (g)		607		604,343
NCL Corp., Ltd. (aka Norwegian Cruise Lines)
4.00%, 11/19/21 (g)		252		252,143
Station Casinos LLC
4.25%, 3/02/20 (g)		1,818		1,815,252

				2,671,738

Consumer Cyclical - Other - 0.5%
CityCenter Holdings, LLC
4.25%, 10/16/20 (g)		2,273		2,275,048
ClubCorp Club Operations, Inc.
4.25%, 7/24/20 (g)		1,291		1,292,810
La Quinta Intermediate Holdings LLC
4.00%, 4/14/21 (g)		617		616,014


	Principal Amount (000)		U.S. $ Value
New HB Acquisition, LLC
6.75%, 4/09/20 (g)	U.S.$	1,375	$	1,392,187

				5,576,059

Consumer Cyclical - Retailers - 0.3%
Dollar Tree, Inc.
3.50%, 3/09/22 (g)		31		31,426
Harbor Freight Tools USA, Inc.
4.75%, 7/26/19 (g)		1,219		1,222,627
J.C. Penney Corporation, Inc.
6.00%, 5/22/18 (g)		1,421		1,416,936
Men’s Wearhouse, Inc. (The)
5.00%, 6/18/21		488		491,154
Michaels Stores, Inc.
4.00%, 1/28/20 (g)		630		630,370
Rite Aid Corp.
5.75%, 8/21/20 (g)		500		504,690

				4,297,203

Consumer Non-Cyclical - 0.3%
Acadia Healthcare Company, Inc.
4.25%, 2/11/22 (g)		93		93,864
Grifols Worldwide Operations Ltd.
3.19%, 2/27/21 (g)		701		700,326
H. J. Heinz Co.
3.25%, 6/05/20 (g)		459		458,359
Ortho-Clinical Diagnostics Holdings Luxembourg S.Ã r.l.
4.75%, 6/30/21 (g)		627		613,852
Par Pharmaceutical Companies, Inc. (Par Pharmaceuticals, Inc.)
4.00%, 9/30/19 (g)		584		583,082
Pharmedium Healthcare Corp.
7.75%, 1/28/22 (g)		1,173		1,172,656

				3,622,139

Energy - 0.2%
Atlas Ltd.
1/15/21		1,437		1,441,043
Seadrill Operating LP (Seadrill Partners Finco LLC)
4.00%, 2/21/21 (g)		1,123		845,690

				2,286,733

Other Industrial - 0.5%
Accudyne Industries Borrower
S.C.A./Accudyne Industries LLC (aka Hamilton Sundstrand)
4.00%, 12/13/19 (g)		1,030		992,207
Atkore International, Inc.
7.75%, 10/09/21 (g)		1,690		1,580,150
Education Management II LLC
5.50%, 7/02/20 (g)		242		176,139


	Principal Amount (000)		U.S. $ Value
8.50%, 7/02/20 (g)	U.S.$	410	$	256,218
Gardner Denver, Inc.
4.25%, 7/30/20 (g)		1,179		1,148,381
Laureate Education, Inc.
5.00%, 6/15/18 (g)		735		684,265
Liberty Tire Recycling Group
4/01/16 (d)(l)		210		208,261
Unifrax Holding Co.
4.50%, 11/28/18 (g)	EUR	727		811,187

				5,856,808

Technology - 0.1%
Avaya Inc.
4.69%, 10/26/17 (g)	U.S.$	564		558,614
6.50%, 3/31/18 (g)		105		104,456
Smart Modular Technologies (Global), Inc.
8.25%, 8/26/17 (g)		1,001		978,868

				1,641,938

				33,388,302

Financial Institutions - 0.2%
Insurance - 0.1%
Hub International Ltd.
4.00%, 10/02/20 (g)		491		487,292

Other Finance - 0.1%
Travelport Finance (Luxembourg) S.Ã r.l.
5.75%, 9/02/21 (g)		1,524		1,525,224

				2,012,516

Utility - 0.2%
Electric - 0.2%
Energy Future Intermediate Holding Company LLC (EFIH Finance, Inc.)
4.25%, 6/19/16 (g)		2,010		2,009,046

Total Bank Loans (cost $38,419,240)				37,409,864

EMERGING MARKETS - CORPORATE BONDS - 3.1%
Industrial - 2.8%
Basic - 0.6%
Elementia SAB de CV
5.50%, 1/15/25 (b)		469		474,863
Gold Fields Orogen Holdings BVI Ltd.
4.875%, 10/07/20 (b)		1,650		1,509,750
Sappi Papier Holding GmbH
7.75%, 7/15/17 (b)		1,278		1,367,460
Tupy Overseas SA
6.625%, 7/17/24 (b)		601		588,229
Vedanta Resources PLC
6.00%, 1/31/19 (b)		600		582,000
8.25%, 6/07/21 (a)(b)		1,812		1,844,969


	Principal Amount (000)		U.S. $ Value
9.50%, 7/18/18 (b)	U.S.$	469	$	448,350

				6,815,621

Capital Goods - 0.5%
CEMEX Espana SA/Luxembourg
9.875%, 4/30/19 (b)		3,299		3,609,766
Cemex Finance LLC
9.375%, 10/12/22 (b)		587		653,038
Grupo KUO SAB De CV
6.25%, 12/04/22 (b)		200		206,424
Servicios Corporativos Javer SAPI de CV
9.875%, 4/06/21 (b)		1,211		1,292,742

				5,761,970

Communications - Media - 0.1%
Myriad International Holdings BV
6.00%, 7/18/20 (b)		1,519		1,652,036

Communications - Telecommunications - 0.2%
Comcel Trust via Comunicaciones Celulares SA
6.875%, 2/06/24 (b)		986		1,037,765
Digicel Ltd.
6.00%, 4/15/21 (b)		750		723,090
6.75%, 3/01/23 (b)		485		475,445

				2,236,300

Consumer Cyclical - Other - 0.0%
Theta Capital Pte Ltd.
7.00%, 4/11/22 (b)		329		333,350

Consumer Cyclical - Retailers - 0.3%
Edcon Ltd.
9.50%, 3/01/18 (a)(b)	EUR	625		557,425
9.50%, 3/01/18 (b)	U.S.$	420		331,800
9.50%, 3/01/18 (b)	EUR	526		466,371
Office Depot de Mexico SA de CV
6.875%, 9/20/20 (b)	U.S.$	2,500		2,684,375

				4,039,971

Consumer Non-Cyclical - 0.8%
Cosan Luxembourg SA
9.50%, 3/14/18 (b)	BRL	2,042		574,021
Marfrig Holding Europe BV
8.375%, 5/09/18 (b)	U.S.$	3,116		3,138,435
Marfrig Overseas Ltd.
9.50%, 5/04/20 (a)(b)		2,187		2,234,458
Minerva Luxembourg SA
7.75%, 1/31/23 (b)		2,198		2,214,485
Tonon Bioenergia SA
9.25%, 1/24/20 (b)		1,620		542,230


	Principal Amount (000)		U.S. $ Value
USJ Acucar e Alcool SA
9.875%, 11/09/19 (b)	U.S.$	600	$	324,000
Virgolino de Oliveira Finance SA
10.50%, 1/28/18 (c)(k)		4,090		40,900
10.875%, 1/13/20 (c)(k)		480		81,600
11.75%, 2/09/22 (c)(k)		1,620		16,200

				9,166,329

Transportation - Airlines - 0.3%
Guanay Finance Ltd.
6.00%, 12/15/20 (b)		675		696,735
TAM Capital 3, Inc.
8.375%, 6/03/21 (b)		2,505		2,605,200

				3,301,935

				33,307,512

Utility - 0.2%
Electric - 0.2%
ContourGlobal Power Holdings SA
7.125%, 6/01/19 (a)(b)		1,703		1,783,893

Financial Institutions - 0.1%
Finance - 0.1%
CIMPOR Financial Operations BV
5.75%, 7/17/24 (b)		1,491		1,207,710

Total Emerging Markets - Corporate Bonds (cost $40,391,160)				36,299,115

COMMERCIAL MORTGAGE-BACKED SECURITIES - 2.4%
Non-Agency Fixed Rate CMBS - 2.4%
Banc of America Commercial Mortgage Trust
Series 2007-3, Class AJ
5.749%, 6/10/49		1,973		2,045,056
Series 2007-5, Class AM
5.772%, 2/10/51		2,877		3,025,942
Banc of America Re-REMIC Trust
Series 2009-UB1, Class A4B
5.67%, 6/24/50 (d)(k)		3,500		3,714,900
Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class XA
2.025%, 4/10/46 (q)		2,309		183,425
Series 2014-GC23, Class D
4.658%, 7/10/47 (b)		856		775,157
Commercial Mortgage Pass Through Certificates
Series 2012-CR3, Class XA
2.155%, 10/15/45 (q)		9,654		994,954
Commercial Mortgage Trust
Series 2012-CR1, Class XA
2.282%, 5/15/45 (q)		2,312		221,890
Series 2012-CR5, Class XA
2.024%, 12/10/45 (q)		2,467		214,539


	Principal Amount (000)		U.S. $ Value
Series 2012-LC4, Class XA
2.576%, 12/10/44 (b)(q)	U.S.$	6,527	$	695,486
Series 2014-CR15, Class XA
1.49%, 2/10/47 (q)		2,579		166,340
Series 2014-LC15, Class D
5.109%, 4/10/47 (b)		1,500		1,388,732
Series 2014-UBS5, Class D
3.495%, 9/10/47 (b)		669		536,581
CSAIL 2015-C1 Commercial Mortgage Trust
Series 2015-C2, Class D
4.354%, 6/15/57		2,721		2,435,214
GS Mortgage Securities Corp. II
Series 2012-GCJ9, Class XA
2.507%, 11/10/45 (q)		1,930		210,802
Series 2013-GC10, Class XA
1.861%, 2/10/46 (q)		1,017		92,401
GS Mortgage Securities Trust
Series 2006-GG6, Class AJ
5.708%, 4/10/38		1,484		1,507,198
Series 2011-GC5, Class C
5.475%, 8/10/44 (b)		3,152		3,452,975
Series 2012-GCJ7, Class XA
2.724%, 5/10/45 (q)		6,983		713,714
LB-UBS Commercial Mortgage Trust
Series 2007-C2, Class AM
5.493%, 2/15/40		1,254		1,314,868
Merrill Lynch Mortgage Trust
Series 2005-CIP1, Class AJ
5.137%, 7/12/38		2,000		2,000,092
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2012-C6, Class XA
2.277%, 11/15/45 (b)(q)		11,534		989,490
UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class XA
1.984%, 12/10/45 (b)(q)		967		92,224
Wachovia Bank Commercial Mortgage Trust
Series 2007-C34, Class AM
5.818%, 5/15/46		400		429,571
Wells Fargo Commercial Mortgage Trust
Series 2010-C1, Class XA
1.575%, 11/15/43 (b)(q)		2,116		114,634
WF-RBS Commercial Mortgage Trust
Series 2011-C4, Class D
5.435%, 6/15/44 (b)(r)		1,022		1,082,077
Series 2012-C7, Class XA
1.717%, 6/15/45 (b)(q)		1,536		121,337

Total Commercial Mortgage-Backed Securities (cost $25,136,671)				28,519,599


Company	Shares		U.S. $ Value
PREFERRED STOCKS - 1.8%
Financial Institutions - 1.8%
REITS - 0.4%
Brandywine Realty Trust
Series E
6.90%		9,875	$	254,775
Health Care REIT, Inc.
Series J
6.50%		15,850		404,650
Hersha Hospitality Trust
Series C
6.875%		22,725		589,714
National Retail Properties, Inc.
Series E
5.70%		17,450		422,639
Public Storage
Series W
5.20%		18,400		428,536
Public Storage
Series X
5.20%		1,000		23,420
Sabra Health Care REIT, Inc.
Series A
7.125%		60,025		1,540,842
Sovereign Real Estate Investment Trust
12.00% (b)		185		241,887

				3,906,463

Insurance - 0.3%
Hartford Financial Services Group, Inc. (The)
7.875%		75,000		2,230,500
XLIT Ltd.
Series D
3.395% (g)		1,600		1,352,000

				3,582,500

Banking - 0.9%
GMAC Capital Trust I
8.125%		98,050		2,547,339
Goldman Sachs Group, Inc. (The)
Series J
5.50%		65,775		1,612,803
Morgan Stanley
6.875%		38,650		1,031,182
State Street Corp.
Series D
5.90%		25,800		662,286
US Bancorp/MN
Series F
6.50%		100,000		2,822,000
Wells Fargo & Co.
5.85%		6,050		154,275
Wells Fargo & Co.
6.625%		65,275		1,801,590

				10,631,475


Company	Shares		U.S. $ Value
Finance - 0.2%
RBS Capital Funding Trust V
Series E
5.90%		111,000	$	2,689,530

				20,809,968

Utility - 0.0%
Electric - 0.0%
SCE Trust III
5.75%		12,025		320,106

Industrial - 0.0%
Services - 0.0%
Education Management LLC (f)
0.00%		3,225		96,750

Total Preferred Stocks (cost $19,459,505)				21,226,824


	Principal Amount (000)
GOVERNMENTS - SOVEREIGN BONDS - 1.1%
Bahrain - 0.2%
Bahrain Government International Bond
6.00%, 9/19/44 (b)	U.S.$	2,100		1,960,875

Brazil - 0.0%
Brazilian Government International Bond
4.25%, 1/07/25 (a)		276		265,582

Croatia - 0.4%
Croatia Government International Bond
6.625%, 7/14/20 (b)		4,000		4,374,360

Turkey - 0.2%
Turkey Government International Bond
5.625%, 3/30/21		2,600		2,802,540

United Arab Emirates - 0.3%
Emirate of Dubai Government International Bonds
7.75%, 10/05/20 (b)		3,310		4,043,993

Total Governments - Sovereign Bonds (cost $12,402,887)				13,447,350

GOVERNMENTS - SOVEREIGN AGENCIES - 1.1%
Brazil - 0.4%
Banco do Brasil SA/Cayman
9.00%, 6/18/24 (b)(n)		2,000		1,804,400
Petrobras Global Finance BV
4.875%, 3/17/20		1,395		1,326,422
5.375%, 1/27/21		1,655		1,591,779
5.75%, 1/20/20		190		188,260
6.85%, 6/05/15		307		251,850

				5,162,711


	Principal Amount (000)		U.S. $ Value
United Arab Emirates - 0.3%
Dubai Holding Commercial Operations MTN Ltd.
6.00%, 2/01/17	GBP	2,300	$	3,705,306

Dominican Republic - 0.1%
Banco de Reservas de la Republica Dominicana
7.00%, 2/01/23 (b)	U.S.$	1,280		1,276,282

Colombia - 0.1%
Ecopetrol SA
5.875%, 5/28/45		1,271		1,123,246

Spain - 0.1%
Instituto de Credito Oficial
4.53%, 3/17/16	CAD	1,300		1,058,433

Morocco - 0.1%
OCP SA
5.625%, 4/25/24 (b)	U.S.$	650		677,703

Norway - 0.0%
Eksportfinans ASA
2.00%, 9/15/15		133		133,066

Total Governments - Sovereign Agencies (cost $13,490,882)				13,136,747

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.9%
United States - 0.9%
Buckeye Tobacco Settlement Financing Authority
Series 2007A-2
5.875%, 6/01/47		1,700		1,313,607
Golden State Tobacco Securitization Corp.
Series 2007A-1
5.125%, 6/01/47		1,400		1,059,548
Iowa Tobacco Settlement Authority
Series 2005C
5.625%, 6/01/46		1,020		876,445
Michigan Tobacco Settlement Finance Authority
Series 2007A
6.00%, 6/01/48		1,630		1,299,941
State of California
Series 2010
7.60%, 11/01/40		750		1,095,885
7.95%, 3/01/36		1,915		2,317,648
State of Illinois
Series 2010
7.35%, 7/01/35		1,915		2,119,771
Tobacco Settlement Financing Corp./NJ
Series 20071A
5.00%, 6/01/41		475		349,543
Tobacco Settlement Financing Corp./VA
Series 2007B1
5.00%, 6/01/47		1,095		761,814

Total Local Governments - Municipal Bonds (cost $10,851,245)				11,194,202


	Principal Amount (000)		U.S. $ Value
WHOLE LOAN TRUSTS - 0.8%
Performing Asset - 0.8%
Alpha Credit Debt Fund LLC
15.00%, 12/31/17 (d)(l)	U.S.$	1,740	$	1,739,772
Cara Aircraft Leasing 28548, Inc.
8.00%, 12/02/19 (d)(l)		233		233,241
Cara Aircraft Leasing 28563, Inc.
8.00%, 6/11/19 (d)(l)		168		167,825
Cara Aircraft Leasing 28868, Inc.
8.00%, 12/02/19 (d)(l)		271		270,582
Deutsche Bank Mexico SA
8.00%, 10/31/34 (d)(l)	MXN	19,434		919,175
8.00%, 10/31/34 (d)(l)(r)		48,053		2,272,815
Ede Del Este SA (DPP)
12.00%, 3/31/16 (d)(l)	U.S.$	518		526,609
Ede Del Este SA (ITABO)
12.00%, 3/31/16 (d)(l)		240		244,222
Finalam, S.A. de C.V.
17.25%, 8/06/19 (d)(l)	MXN	9,897		629,687
Recife Funding
Zero Coupon, 11/05/29 (d)(l)	U.S.$	1,811		1,796,466
Sheridan Auto Loan Holdings I LLC
10.00%, 9/01/20 (d)(l)		851		850,533

Total Whole Loan Trusts (cost $10,215,639)				9,650,927

ASSET-BACKED SECURITIES - 0.8%
Home Equity Loans - Fixed Rate - 0.6%
Countrywide Asset-Backed Certificates Trust
Series 2005-7, Class AF5W
5.054%, 10/25/35		895		890,442
CSAB Mortgage-Backed Trust
Series 2006-2, Class A6A
5.72%, 9/25/36		1,078		813,445
GSAA Home Equity Trust
Series 2005-12, Class AF5
5.659%, 9/25/35		1,800		1,627,137
Series 2006-10, Class AF3
5.985%, 6/25/36		1,442		830,662
Lehman XS Trust
Series 2006-17, Class WF32
5.55%, 11/25/36		1,361		1,239,001
Morgan Stanley Mortgage Loan Trust
Series 2006-15XS, Class A3
5.988%, 11/25/36		1,436		827,092
Series 2007-8XS, Class A2
6.00%, 4/25/37		1,390		885,890

				7,113,669

Home Equity Loans - Floating Rate - 0.2%
GSAA Home Equity Trust
Series 2006-6, Class AF4
6.121%, 3/25/36 (g)		2,027		1,169,047


	Principal Amount (000)		U.S. $ Value
Series 2006-6, Class AF5
6.241%, 3/25/36 (g)	U.S.$	751	$	433,077
Lehman XS Trust
Series 2007-6, Class 3A5
5.152%, 5/25/37 (r)		481		541,038

				2,143,162

Total Asset-Backed Securities (cost $9,069,313)				9,256,831

EMERGING MARKETS - TREASURIES - 0.7%
Dominican Republic - 0.5%
Dominican Republic International Bond
16.00%, 7/10/20 (k)	DOP	229,800		6,405,145

Indonesia - 0.2%
Indonesia - Recap Linked Note (JPMC)
9.50%, 5/17/41	IDR	27,844,000		2,265,947

Total Emerging Markets - Treasuries (cost $9,815,681)				8,671,092


	Shares
COMMON STOCKS - 0.7%
Education Management Corp. (f)(l)		2,899,282		30,442
Exide Corp. (d)(e)(f)		74,438		300,730
iPayment, Inc. (f)		181,272		643,515
Keystone Automotive Operations (d)(l)(f)		106,736		266,841
Liberty Tire Recycling LLC (d)(l)(f)		81,827		0	‡
Mt. Logan Re Ltd. (Preference Shares) (e)(f)(s)		5,669		5,770,481
Neenah Enterprises, Inc. (d)(f)(l)		58,200		465,600
New Cotai LLC/New Cotai Capital Corp. (d)(l)(f)		3		15,429
Travelport LLC (f)		80,347		1,107,182

Total Common Stocks (cost $8,900,203)				8,600,220


	Principal Amount (000)
QUASI-SOVEREIGNS - 0.5%
Quasi-Sovereign Bonds - 0.5%
Indonesia - 0.1%
Majapahit Holding BV
7.875%, 6/29/37 (b)	U.S.$	699		805,597
8.00%, 8/07/19 (b)		330		380,325

				1,185,922

Kazakhstan - 0.2%
KazMunayGas National Co. JSC
6.00%, 11/07/44 (b)		3,000		2,572,500


	Principal Amount (000)		U.S. $ Value
South Africa - 0.1%
Eskom Holdings SOC Ltd.
7.125%, 2/11/25 (b)	U.S.$	670	$	677,893

Venezuela - 0.1%
Petroleos de Venezuela SA
6.00%, 11/15/26 (b)		2,700		951,750

Total Quasi-Sovereigns (cost $6,026,190)				5,388,065


	Shares
INVESTMENT COMPANIES - 0.2%
Funds and Investment Trusts - 0.2%
OCL Opportunities Fund I (d)(f)(l)		10,445		1,157,373
OCL Opportunities Fund II (d)(f)(l)		11,474		1,498,411

Total Investment Companies (cost $2,825,901)				2,655,784


	Principal Amount (000)
AGENCIES - 0.1%
United States - 0.1%
CITGO Petroleum Corp.
6.25%, 8/15/22 (b) (cost $1,680,074)	U.S.$	1,678		1,648,635

INFLATION-LINKED SECURITIES - 0.1%
Uruguay - 0.1%
Uruguay Government International Bond
5.00%, 9/14/18 (cost $1,001,821)	UYU	23,938		899,772


	Notional Amount (000)
OPTIONS PURCHASED - PUTS - 0.0%
Swaptions - 0.0%
CDX-NAHY.24 RTP Barclays Bank PLC (Buy Protection)
Expiration: Jul 2015, Exercise Rate: 1.04% (f) (premiums paid $167,328)		39,840		170,407


	Shares
WARRANTS - 0.0%
Alion Science and Technology Corp., expiring 3/15/17 (d)(f)(k)		900		0
FairPoint Communications, Inc., expiring 1/24/18 (f)(l)		9,725		486
iPayment Holdings, Inc., expiring 12/29/22 (d)(f)(l)		586,389		87,959


Company	Shares			U.S. $ Value
Talon Equity Co. NV, expiring 11/24/15 (d)(f)(l)		1,059		$	0

Total Warrants (cost $0)					88,445

SHORT-TERM INVESTMENTS - 3.2%
Investment Companies - 2.5%
AB Fixed-Income Shares, Inc. - Government STIF Portfolio, 0.10% (t)(u) (cost $29,178,090)		29,178,090			29,178,090


	Principal Amount (000)
Time Deposits - 0.7%
ANZ, London
0.08%, 7/01/15	GBP	1,338			2,102,457
0.997%, 7/01/15	AUD	30			22,926
Bank of Montreal, London
(0.245)%, 7/01/15	EUR	1,706			1,902,158
BBH, Grand Cayman
(1.00)%, 7/01/15	CHF	12			12,798
0.005%, 7/01/15	JPY	0	**		0	‡
0.05%, 7/02/15	CAD	0	**		3
0.10%, 7/01/15	NOK	151			19,298
HSBC Bank PLC, London
5.367%, 7/01/15	ZAR	430			35,348
JPMorgan Chase, New York
0.03%, 7/01/15	U.S.$	4,292			4,292,342

Total Time Deposits (cost $8,375,844)					8,387,330

Total Short-Term Investments (cost $37,553,934)					37,565,420

Total Investments - 114.0% (cost $1,371,329,634) (v)					1,352,628,233
Other assets less liabilities - (14.0)%					(166,207,797	)

Net Assets - 100.0%				$	1,186,420,436

FORWARD CURRENCY EXCHANGE CONTRACTS


Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC		USD	5,757		IDR	76,885,281		7/10/15	$	(4,981	)
Barclays Bank PLC		TWD	186,753		USD	6,021		8/14/15		(28,350	)
BNP Paribas SA		GBP	25,937		USD	39,761		7/10/15		(989,976	)
BNP Paribas SA		USD	9,144		GBP	5,866		7/10/15		72,622
BNP Paribas SA		USD	6,089		SGD	8,269		7/24/15		48,968
BNP Paribas SA		USD	9,000		TRY	25,235		7/27/15		341,678
Brown Brothers Harriman & Co.		USD	111		MXN	1,726		7/16/15		(1,614	)
Brown Brothers Harriman & Co.		USD	44		CAD	54		7/23/15		(525	)


Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Brown Brothers Harriman & Co.		SGD	8,280		USD	6,164		7/24/15	$	17,828
Brown Brothers Harriman & Co.		USD	6		JPY	683		7/24/15		65
Brown Brothers Harriman & Co.		NOK	4,145		USD	525		7/29/15		(3,729	)
Brown Brothers Harriman & Co.		EUR	1,212		USD	1,367		7/30/15		14,821
Brown Brothers Harriman & Co.		USD	73		EUR	65		7/30/15		(177	)
Citibank, NA		USD	1,885		HUF	531,235		7/23/15		(8,324	)
Credit Suisse International		BRL	381		USD	123		7/02/15		257
Credit Suisse International		TRY	38,938		USD	14,021		7/02/15		(507,100	)
Credit Suisse International		USD	123		BRL	381		7/02/15		(360	)
Credit Suisse International		USD	9,165		GBP	5,866		7/10/15		51,538
Credit Suisse International		ZAR	114,196		USD	9,338		7/15/15		(27,237	)
Credit Suisse International		MXN	186,183		USD	12,103		7/16/15		269,315
Credit Suisse International		BRL	381		USD	122		8/04/15		490
Deutsche Bank AG		TRY	25,235		USD	9,000		7/27/15		(341,661	)
Deutsche Bank AG		USD	11,147		TRY	29,546		7/27/15		(209,682	)
Goldman Sachs Bank USA		BRL	8,761		USD	2,797		7/02/15		(20,683	)
Goldman Sachs Bank USA		BRL	37,452		USD	12,107		7/02/15		61,631
Goldman Sachs Bank USA		USD	9,020		BRL	28,740		7/02/15		224,221
Goldman Sachs Bank USA		USD	5,632		BRL	17,473		7/02/15		(11,774	)
Goldman Sachs Bank USA		TRY	28,754		USD	10,638		8/06/15		24,999
HSBC Bank USA		BRL	758		USD	242		7/02/15		(2,385	)
HSBC Bank USA		BRL	10,890		USD	3,519		7/02/15		16,358
HSBC Bank USA		USD	3,754		BRL	11,648		7/02/15		(7,849	)
HSBC Bank USA		USD	3,406		ZAR	41,324		7/15/15		(16,858	)
HSBC Bank USA		USD	8,277		MXN	127,100		7/16/15		(199,225	)
HSBC Bank USA		NZD	16,193		USD	11,069		8/14/15		138,608
Northern Trust Co.		EUR	43,138		USD	48,503		7/30/15		392,703
Royal Bank of Scotland PLC		TRY	23,150		USD	8,396		7/02/15		(241,671	)
Royal Bank of Scotland PLC		USD	12,726		TRY	33,333		7/02/15		(288,455	)
Royal Bank of Scotland PLC		USD	3,081		INR	198,564		7/10/15		39,256
Royal Bank of Scotland PLC		COP	11,356,104		USD	4,450		7/15/15		97,531
Royal Bank of Scotland PLC		USD	11,589		PEN	36,686		7/15/15		(72,426	)
Royal Bank of Scotland PLC		USD	38		TWD	1,179		8/14/15		181
Standard Chartered Bank		CAD	26,586		USD	21,557		7/23/15		277,535
Standard Chartered Bank		AUD	48,816		USD	37,305		8/07/15		(279,218	)
UBS AG		USD	349		GBP	222		7/10/15		(334	)

									$	(1,173,989	)

CREDIT DEFAULT SWAPTIONS WRITTEN


Description	Counter- party		Buy/Sell Protection		Strike Rate			Expiration Date		Notional Amount (000)		Premiums Received		Market Value
Put - CDX-NAHY-Series 24, 5 Year Index		Barclays Bank PLC		Buy		101.00	%		7/15/15	$	39,840	$	39,840	$	(40,213	)

CURRENCY OPTIONS WRITTEN


Description	Exercise Price			Expiration Date		Contracts (000)			Premiums Received		U.S. $ Value
Put - USD vs. TRY		TRY	3.01		7/24/15		TRY	54,180	$	290,340	$	(6,752	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS


Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2015			Notional Amount (000)		Market Value			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Morgan Stanley & Co., LLC/(INTRCONX):
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		(5.00	)%		3.53	%	$	3,362	$	(213,252	)	$	(7,509	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		(5.00	)		3.53			3,261		(206,847	)		297
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		(5.00	)		3.53			3,478		(220,599	)		4,818
iTraxx Europe Crossover 21, 5 Year Index, 6/20/19*		(5.00	)		2.12		EUR	15,133		(1,836,765	)		4,620
iTraxx Europe Crossover 23, 5 Year Index, 6/20/20*		(5.00	)		3.28			5,242		(447,694	)		94,728
Sale Contracts
Citigroup Global Markets, Inc./(INTRCONX):
CDX-NAIG Series 20, 5 Year Index, 6/20/18*		1.00			0.43		$	10,730		183,291			90,670
Morgan Stanley & Co., LLC/(INTRCONX):
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			229		14,506			(2,098	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			229		14,505			(1,475	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			369		23,422			(440	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			337		21,351			(241	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			229		14,506			(164	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			229		14,505			(318	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			229		14,506			(818	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			2,493		158,118			(9,332	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			229		14,506			(1,030	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			883		56,013			(4,568	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			326		20,660			(2,256	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			229		14,505			(1,443	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			229		14,506			(2,625	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			229		14,506			(2,378	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			160		10,173			(1,514	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			230		14,568			(2,235	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			228		14,443			(2,625	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			230		14,569			(1,842	)


Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2015			Notional Amount (000)		Market Value		Unrealized Appreciation/ (Depreciation)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00	%		3.53	%	$	147	$	9,294	$	(1,358	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			230		14,569		(1,974	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			881		55,887		(843	)
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			4,787		303,614		33,009
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			11,965		758,941		82,512
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			3.53			242		15,322		(2,180	)
iTraxx Europe Crossover 21, 5 Year Index, 6/20/19*		5.00			2.12		EUR	6,022		730,923		(78,651	)
CDX-NAHY Series 21, 5 Year Index, 12/20/18*		5.00			2.53		$	6,951		560,818		198,986

									$	171,370	$	379,723

*	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)	$	126,120		2/27/20		1.630	%		3 Month LIBOR	$	(306,364	)
Morgan Stanley & Co., LLC/(CME)		9,930		6/18/20		1.838	%		3 Month LIBOR		(42,004	)

										$	(348,368	)

CREDIT DEFAULT SWAPS


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2015			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Barclays Bank PLC:
Beazer Homes USA, Inc.,
9.125%, 6/15/18, 3/20/17*		(5.00	)%		1.25	%	$	3,739	$	(237,141	)	$	(186,516	)	$	(50,625	)
K. Hovnanian Enterprises, Inc.,
8.625%, 1/15/17, 3/20/17*		(5.00	)		4.20			3,505		(34,280	)		(124,966	)		90,686
Tenet Healthcare Corporation,
6.875%, 11/15/31, 6/20/17*		(5.00	)		0.73			3,870		(328,526	)		(255,560	)		(72,966	)
Citibank, NA.:


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2015			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Bombardier Inc., 7.450%, 5/1/34, 3/20/17*		(5.00	)%		1.51	%	$	1,971	$	(107,146	)	$	(117,768	)	$	10,622
Bombardier Inc., 7.450%, 5/1/34, 3/20/17*		(5.00	)		1.51			1,959		(106,493	)		(120,861	)		14,368
United States Steel Corp., 6.650%, 6/1/37, 3/20/17*		(5.00	)		1.22			3,643		(226,610	)		(169,211	)		(57,399	)
Credit Suisse International:
Western Union Co., 3.650%, 8/22/18, 3/20/17*		(1.00	)		0.26			1,965		(24,371	)		(4,323	)		(20,048	)
Western Union Co., 3.650%, 8/22/18, 9/20/17*		(1.00	)		0.36			1,970		(28,422	)		(19,461	)		(8,961	)
Deutsche Bank AG:
iHeart Communications, Inc., 6.875%, 6/15/18, 6/20/18*		(5.00	)		17.02			420		126,428			34,669			91,759
Goldman Sachs Bank USA:
Community Health Systems, Inc., 8.000%, 11/15/19, 3/20/17*		(5.00	)		0.55			3,895		(302,521	)		(216,532	)		(85,989	)
Dell, Inc., 7.100%, 4/15/28, 3/20/17*		(1.00	)		0.68			3,540		(17,863	)		48,541			(66,404	)
First Data Corp., 12.625%, 1/15/21, 3/20/17*		(5.00	)		0.80			3,664		(265,372	)		(158,354	)		(107,018	)
Newmont Mining Corp., 5.875%, 4/1/35, 3/20/17*		(1.00	)		0.25			3,930		(49,827	)		(12,654	)		(37,173	)
Nine West Holdings, Inc., 6.875%, 3/15/19, 3/20/17*		(5.00	)		12.29			3,634		466,769			(181,921	)		648,690
Morgan Stanley Capital Services LLC:
Fiat Finance North America, Inc., 5.625%, 6/12/17, 3/20/19*		(5.00	)		2.08			EUR1,498		(175,024	)		(102,677	)		(72,347	)


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2015			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Fiat Finance North America, Inc.,
5.625%, 6/12/17, 3/20/19*		(5.00	)%		2.08	%	EUR	1,412	$	(164,976	)	$	(108,768	)	$	(56,208	)
UBS AG:
J.C. Penney Company, Inc.,
6.375%, 10/15/36, 6/20/16*		(5.00	)		1.45		$	670		(23,334	)		14,868			(38,202	)
Sale Contracts
Barclays Bank PLC:
AK Steel Corp.,
7.625%, 5/15/20, 6/20/17*		5.00			5.14			1,270		(9,593	)		(63,016	)		53,423
Beazer Homes USA, Inc.,
9.125%, 6/15/18, 3/20/19*		5.00			2.84			2,546		184,809			100,339			84,470
CCO Holdings, LLC,
7.250%, 10/30/17, 6/20/19*		5.00			2.24			828		84,949			73,892			11,057
K. Hovnanian Enterprises, Inc.,
8.625%, 1/15/17, 12/20/18*		5.00			6.26			2,547		(100,546	)		44,342			(144,888	)
MGM Resorts International,
7.625%, 1/15/17, 6/20/18*		5.00			2.05			246		20,679			9,446			11,233
Tenet Healthcare Corporation,
6.875%, 11/15/31, 6/20/19*		5.00			2.24			2,620		267,299			177,790			89,509
Citibank, NA.:
Bombardier Inc.,
7.450%, 5/01/34, 3/20/19*		5.00			4.46			1,309		21,941			101,052			(79,111	)
Bombardier Inc.,
7.450%, 5/01/34, 3/20/19*		5.00			4.46			1,311		21,974			99,114			(77,140	)
MGM Resorts International,
7.625%, 1/15/17, 6/20/18*		5.00			2.05			325		27,319			12,834			14,485
United States Steel Corp.,
6.650%, 6/01/37, 3/20/19*		5.00			3.63			2,620		114,809			64,926			49,883
Credit Suisse International:


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2015			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
MGM Resorts International,
7.625%, 1/15/17, 6/20/18*		5.00	%		2.05	%	$	119	$	10,003		$	4,893		$	5,110
Western Union Co.,
3.650%, 8/22/18, 3/2019*		1.00			0.78			1,309		9,016			(33,530	)		42,546
Western Union Co.,
3.650%, 8/22/18, 9/20/19*		1.00			0.95			1,320		2,766			(15,529	)		18,295
Goldman Sachs Bank USA:
CDX-NAIG Series 9, 10 Year Index,
12/20/17*		5.00			2.17			300		21,114			(22,600	)		43,714
Community Health Systems, Inc.,
8.000%, 11/15/19, 3/20/19*		5.00			1.67			2,620		307,281			162,863			144,418
ConvaTec Healthcare E S.A.,
10.875%, 12/15/18, 6/20/17*		5.00			1.06		EUR	1,440		124,201			(116,010	)		240,211
Dell, Inc.,
7.100%, 4/15/28, 3/20/19*		1.00			1.45		$	2,620		(49,126	)		(219,765	)		170,639
First Data Corp.,
12.625%, 1/15/21, 3/20/19*		5.00			1.93			2,620		278,606			48,315			230,291
Newmont Mining Corp.,
5.875%, 4/1/35, 3/20/19*		1.00			0.74			2,620		21,789			(74,028	)		95,817
Nine West Holdings, Inc.,
6.875%, 3/15/19, 3/20/19*		5.00			19.39			2,620		(909,967	)		64,926			(974,893	)
Morgan Stanley Capital Services LLC:
AK Steel Corp.,
7.625%, 5/15/20, 3/20/16*		5.00			2.63			1,350		24,978			7,858			17,120
United States Steel Corp.,
6.650%, 6/01/37, 9/20/19*		5.00			4.27			491		14,293			22,288			(7,995	)


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at June 30, 2015			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
United States Steel Corp.,
6.650%, 6/01/37, 9/20/19*		5.00	%		4.27	%	$	743	$	21,608		$	35,622		$	(14,014	)

									$	(988,507	)	$	(1,195,472	)	$	206,965

*	Termination Date

TOTAL RETURN SWAPS


Counterparty & Referenced Obligation	# of Shares or Units		Rate Paid/ Received		Notional Amount (000)		Maturity Date		Unrealized Appreciation/ (Depreciation)
Receive Total Return On Reference Obligation
JPMorgan Chase Bank, NA:
iShares iBoxx $ High Yield Corporate Bond ETF		32,047		LIBOR	$	7,491		9/28/15	$	9,579
Morgan Stanley Capital Services LLC:
iShares iBoxx $ High Yield Corporate Bond ETF		41,283		LIBOR		9,740		9/21/15		(77,083	)
iShares iBoxx $ High Yield Corporate Bond ETF		18,897		LIBOR		4,419		9/28/15		3,759

									$	(63,745	)

REVERSE REPURCHASE AGREEMENTS


Broker	Principal Amount (000)		Currency	Interest Rate			Maturity	U.S. $ Value at June 30, 2015
Barclays Capital, Inc.†		409	GBP		(3.00	)%*	—	$	635,810
Barclays Capital, Inc.†		1,583	USD		(2.50	)%*	—		1,582,600
Barclays Capital, Inc.†		770	USD		(2.00	)%*	—		766,721
Barclays Capital, Inc.†		810	USD		(2.00	)%*	—		804,429
Barclays Capital, Inc.†		945	USD		(2.00	)%*	—		940,112
Barclays Capital, Inc.†		1,045	USD		(1.75	)%*	—		1,045,000
Barclays Capital, Inc.†		411	USD		(1.50	)%*	—		408,640
Barclays Capital, Inc.†		1,257	USD		(0.50	)%*	—		1,256,700
Barclays Capital, Inc.†		481	USD		(0.38	)%*	—		480,400
Barclays Capital, Inc.†		1,115	USD		(0.25	)%*	—		1,114,080
Barclays Capital, Inc.†		1,157	USD		(0.05	)%*	—		1,156,764
Credit Suisse Securities (USA) LLC†		1,222	GBP		(4.00	)%*	—		1,919,379
Credit Suisse Securities (USA) LLC†		390	EUR		(3.75	)%*	—		431,847
Credit Suisse Securities (USA) LLC†		528	USD		(2.00	)%*	—		527,650
Credit Suisse Securities (USA) LLC†		1,081	USD		(2.00	)%*	—		1,080,750
Credit Suisse Securities (USA) LLC†		628	EUR		(1.25	)%*	—		698,827
Credit Suisse Securities (USA) LLC†		1,093	USD		(1.00	)%*	—		1,092,975
Credit Suisse Securities (USA) LLC†		1,122	USD		(1.00	)%*	—		1,122,275
Credit Suisse Securities (USA) LLC†		2,575	USD		(1.00	)%*	—		2,575,013


Broker	Principal Amount (000)		Currency	Interest Rate			Maturity	U.S. $ Value at June 30, 2015
Credit Suisse Securities (USA) LLC†		495	EUR		(0.88	)%*	—	$	549,248
Credit Suisse Securities (USA) LLC†		519	USD		(0.25	)%*	—		518,750
Credit Suisse Securities (USA) LLC†		1,157	USD		(0.25	)%*	—		1,157,188
Credit Suisse Securities (USA) LLC†		1,810	USD		(0.25	)%*	—		1,810,000
Credit Suisse Securities (USA) LLC†		1,049	USD		(0.05	)%*	—		1,049,313
Credit Suisse Securities (USA) LLC†		1,280	USD		(0.05	)%*	—		1,279,800
Credit Suisse Securities (USA) LLC†		1,150	USD		0.00	%	—		1,149,868
Credit Suisse Securities (USA) LLC†		1,221	USD		0.00	%	—		1,220,725
Credit Suisse Securities (USA) LLC†		1,460	USD		0.00	%	—		1,459,995
Credit Suisse Securities (USA) LLC†		2,035	USD		0.00	%	—		2,034,775
Credit Suisse Securities (USA) LLC†		2,208	USD		0.00	%	—		2,207,500
Credit Suisse Securities (USA) LLC†		2,343	USD		0.00	%	—		2,342,600
Credit Suisse Securities (USA) LLC†		2,567	USD		0.00	%	—		2,566,875
Credit Suisse Securities (USA) LLC†		2,989	USD		0.25	%	—		2,989,266
Deutsche Bank Securities, Inc.†		808	USD		(0.25	)%*	—		807,500
ING Financial Markets LLC†		505	USD		(2.00	)%*	—		500,338
ING Financial Markets LLC†		271	USD		(1.50	)%*	—		271,170
JPMorgan Chase Bank, NA		611	USD		(0.25	)%*	7/06/15		611,250
JPMorgan Chase Bank, NA		67,901	USD		0.30	%	7/08/15		67,900,625
Merrill Lynch, Pierce, Fenner & Smith, Inc.		68,158	USD		0.30	%	7/01/15		68,193,851
Merrill Lynch, Pierce, Fenner & Smith, Inc.		55,300	USD		0.25	%	8/05/15		55,300,000
RBC Capital Markets†		1,412	USD		(0.25	)%*	—		1,409,938
RBC Capital Markets†		1,746	USD		(0.25	)%*	—		1,742,532
RBC Capital Markets†		1,207	USD		0.00	%	—		1,207,218

								$	239,920,297

†	The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on June 30, 2015

*	Interest payment due from counterparty.

‡	Amount less than $0.50.

**	Principal amount less than 500.

(a)

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

(b)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015, the aggregate market value of these securities amounted to $459,624,363 or 38.7% of net assets.

(c)

Security is in default and is non-income producing.

(d)

Fair valued by the Adviser.

(e)

Restricted and illiquid security.

Restricted Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

Data & Audio Visual Enterprises Wireless, Inc.

9.50%, 4/29/18

4/26/11

1,235,996

1,191,557

0.10

Exide Corp.

4/30/15

141,191

300,730

0.03

Exide Technologies

11.00%, 4/30/20

4/30/15

4,076,973

3,734,169

0.31

Momentive Performance Materials, Inc.

8.875%, 10/15/20

10/11/12

– 0

–

– 0

–

0.00

Mt. Logan Re Ltd. (Preference Shares)

12/30/14

5,669,000

5,770,481

0.49

(f)

Non-income producing security.

(g)

Floating Rate Security. Stated interest rate was in effect at June 30, 2015.

(h)

Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at June 30, 2015.

(i)

Convertible security.

(j)

Defaulted.

(k)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 1.28% of net assets as of June 30, 2015, are considered illiquid and restricted.

Restricted Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

Alion Science and Technology Corp.

0.0%, 3/15/17

6/20/10

– 0

–

– 0

–

0.00

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

5.67%, 6/24/50

10/06/09

2,714,940

3,714,900

0.31

Dominican Republic International Bond

16.00%, 7/10/20

12/08/10

6,419,279

6,405,145

0.54

Exide Technologies

0.0%, 2/01/18

5/17/15

954

– 0

–

0.00

Exide Technologies Series AI

7.00%, 4/30/25

4/30/15

3,125,937

3,153,591

0.27

Golden Energy Offshore Services AS

8.74%, 5/28/17

5/14/14

715,857

305,459

0.03

Liberty Tire Recycling LLC

11.00%, 3/31/21

9/23/10

2,002,823

1,457,235

0.12

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

1/23/14

1,408,980

23,850

0.00

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

2/12/14

992,873

17,050

0.00

Virgolino de Oliveira Finance SA

10.875%, 1/13/20

6/09/14

477,418

81,600

0.01

Virgolino de Oliveira Finance SA

11.75%, 2/09/22

1/29/14

838,866

16,200

0.00

(l)

Illiquid security.

(m)

Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at June 30, 2015.

(n)

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

(o)

Position, or a portion thereof, has been segregated to collateralize margin requirements for open centrally cleared derivatives.

(p)

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

(q)

IO - Interest Only

(r)

Variable rate coupon, rate shown as of June 30, 2015.

(s)

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

(t)

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

(u)

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

(v)

As of June 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $56,942,961 and gross unrealized depreciation of investments was $(75,644,362), resulting in net unrealized depreciation of $(18,701,401).

The fund currently owns investments collateralized by subprime mortgage loans. Subprime loans are offered to homeowners who do not have a history of debt or who have had problems meeting their debt obligations. Because repayment is less certain, subprime borrowers pay a higher rate of interest than prime borrowers. As of June 30, 2015, the fund’s total exposure to subprime investments was 6.20% of net assets. These investments are valued in accordance with the fund’s Valuation Policies.

Currency Abbreviations:


AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
CHF	-	Swiss Franc
COP	-	Colombian Peso
DOP	-	Dominican Peso
EUR	-	Euro
GBP	-	Great British Pound
HUF	-	Hungarian Forint
IDR	-	Indonesian Rupiah
INR	-	Indian Rupee
JPY	-	Japanese Yen
MXN	-	Mexican Peso
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
PEN	-	Peruvian Nuevo Sol
PHP	-	Philippine Peso
SGD	-	Singapore Dollar
TRY	-	Turkish Lira
TWD	-	New Taiwan Dollar
USD	-	United States Dollar
UYU	-	Uruguayan Peso
ZAR	-	South African Rand

Glossary:


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
CME	-	Chicago Mercantile Exchange
CPI	-	Consumer Price Index
ETF	-	Exchange Traded Fund
GSE	-	Government-Sponsored Enterprise
INTRCONX	-	Inter-Continental Exchange
JSC	-	Joint Stock Company
LIBOR	-	London Interbank Offered Rates
MSCI	-	Morgan Stanley Capital International
REIT	-	Real Estate Investment Trust
RTP	-	Right to Pay
TIPS	-	Treasury Inflation Protected Security

Country Breakdown*

June 30, 2015 (unaudited)


	67.9%			United States
	3.7%			Brazil
	3.5%			United Kingdom
	2.0%			Canada
	1.5%			Dominican Republic
	1.4%			Ireland
	1.2%			Mexico
	1.2%			France
	1.2%			Netherlands
	1.2%			Luxembourg
	0.9%			South Africa
	0.8%			Germany
	0.6%			Italy
	10.1%			Other
	2.8%			Short-Term

	100.0%			Total Investments

All data are as of June 30, 2015. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.6% or less in the following countries: Argentina, Australia, Bahrain, Barbados, Belgium, Bermuda, Bulgaria, Chile, Colombia, Croatia, Denmark, El Salvador, Ghana, Guatemala, Hong Kong, India, Indonesia, Ivory Coast, Jamaica, Kazakhstan, Kenya, Lebanon, Macau, Morocco, New Zealand, Norway, Pakistan, Peru, Philippines, Portugal, Serbia, Spain, Sri Lanka, Sweden, Switzerland, Trinidad & Tobago, Turkey, United Arab Emirates, Uruguay, Venezuela and Zambia.

AllianceBernstein Global High Income Fund

June 30, 2015 (unaudited)

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

•

Level 1—quoted prices in active markets for identical investments

•

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

•

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

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

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

Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option or warrant as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange-traded options 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 data has not been provided are classified as Level 3.

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

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely

quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of June 30, 2015:

Investments in Securities

Level 1

Level 2

Level 3

Total

Assets:

Corporates - Non-Investment Grade

– 0

–

660,865,397

15,015,791

675,881,188

Governments - Treasuries

– 0

–

199,809,193

– 0

–

199,809,193

Collateralized Mortgage Obligations

– 0

–

– 0

–

93,882,877

Corporates - Investment Grade

– 0

–

90,066,981

– 0

–

90,066,981

Emerging Markets - Sovereigns

– 0

–

47,158,695

– 0

–

47,158,695

Bank Loans

– 0

–

– 0

–

37,409,864

Emerging Markets - Corporate Bonds

– 0

–

36,299,115

– 0

–

36,299,115

Commercial Mortgage-Backed Securities

– 0

–

4,811,235

23,708,364

28,519,599

Preferred Stocks

19,536,186

1,690,638

– 0

–

21,226,824

Governments - Sovereign Bonds

– 0

–

13,447,350

– 0

–

13,447,350

Governments - Sovereign Agencies

– 0

–

13,136,747

– 0

–

13,136,747

Local Governments - Municipal Bonds

– 0

–

11,194,202

– 0

–

11,194,202

Whole Loan Trusts

– 0

–

– 0

–

9,650,927

Asset-Backed Securities

– 0

–

– 0

–

9,256,831

Emerging Markets - Treasuries

– 0

–

2,265,947

6,405,145

8,671,092

Common Stocks

– 0

–

1,572,782

7,027,438

8,600,220

Quasi-Sovereigns

– 0

–

5,388,065

– 0

–

5,388,065

Investment Companies

– 0

–

– 0

–

2,655,784

Agencies

– 0

–

1,648,635

– 0

–

1,648,635

Inflation-Linked Securities

– 0

–

899,772

– 0

–

899,772

Options Purchased - Puts

– 0

–

170,407

– 0

–

170,407

Warrants

486

– 0

–

87,959

88,445

Short-Term Investments:

Investment Companies

29,178,090

– 0

–

– 0

–

29,178,090

Time Deposits

– 0

–

8,387,330

– 0

–

8,387,330

Total Investments in Securities

48,714,762

1,098,812,491

205,100,980

1,352,628,233

Other Financial Instruments*:

Assets

Credit Default Swaps

– 0

–

2,178,346

– 0

–

2,178,346

Centrally Cleared Credit Default Swaps

– 0

–

509,640

– 0

–

509,640

Forward Currency Exchange Contracts

– 0

–

2,090,605

– 0

–

2,090,605

Total Return Swaps

– 0

–

13,338

– 0

–

13,338

Liabilities

Credit Default Swaps

– 0

–

(1,971,381

)

– 0

–

(1,971,381

)

Centrally Cleared Credit Default Swaps

– 0

–

(129,917

)

– 0

–

(129,917

)

Centrally Cleared Interest Rate Swaps

– 0

–

(348,368

)

– 0

–

(348,368

)

Forward Currency Exchange Contracts

– 0

–

(3,264,594

)

– 0

–

(3,264,594

)

Total Return Swaps

– 0

–

(77,083

)

– 0

–

(77,083

)

Credit Default Swaptions Written

– 0

–

(40,213

)

– 0

–

(40,213

)

Currency Options Written

– 0

–

(6,752

)

– 0

–

(6,752

)

Total^

48,714,762

1,097,766,112

205,100,980

1,351,581,854

#	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 which are valued at market value.

^	There were de minimis 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			Bank Loans			Commercial Mortgage-Backed Securities
Balance as of 3/31/15	$	9,029,484		$	87,250,705		$	49,570,611		$	21,624,786
Accrued discounts/ (premiums)		17,593			117,545			24,502			22,983
Realized gain (loss)		(2,315	)		343,532			(87,875	)		– 0	–
Change in unrealized appreciation/depreciation		(497,107	)		(1,250,461	)		938,048			(390,330	)
Purchases		8,015,407			10,640,302			3,344,857			2,450,925
Sales/Paydowns		(760,056	)		(3,218,746	)		(16,380,279	)		– 0	–
Reclassification		– 0	–		– 0	–		– 0	–		– 0	–
Transfers into Level 3		– 0	–		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		(787,215	)		– 0	–		– 0	–		– 0	–

Balance as of 6/30/15	$	15,015,791		$	93,882,877		$	37,409,864		$	23,708,364

Net change in unrealized appreciation/depreciation from investments held as of 6/30/15	$	(702,773	)	$	(1,250,461	)	$	(178,669	)	$	(390,330	)


	Whole Loan Trusts			Asset-Backed Securities			Emerging Markets - Treasuries			Common Stocks#
Balance as of 3/31/15	$	12,077,045		$	9,620,238		$	6,463,416		$	6,678,614
Accrued discounts/ (premiums)		1,730			45,498			(7,311	)		– 0	–
Realized gain (loss)		56,922			60,197			– 0	–		– 0	–
Change in unrealized appreciation/depreciation		86,859			(236,801	)		(50,960	)		116,163
Purchases		1,299,062			– 0	–		– 0	–		232,661
Sales/Paydowns		(3,870,691	)		(232,301	)		– 0	–		– 0	–
Reclassification		– 0	–		– 0	–		– 0	–		– 0	–
Transfers into Level 3		– 0	–		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–		– 0	–

Balance as of 6/30/15	$	9,650,927		$	9,256,831		$	6,405,145		$	7,027,438

Net change in unrealized appreciation/depreciation from investments held as of 6/30/15	$	(17,807	)	$	(236,801	)	$	(50,960	)	$	116,163

Investments
Companies

Warrants#

Total

Balance as of 3/31/15

2,555,774

7,672

204,878,345

Accrued discounts/(premiums)

– 0

–

– 0

–

222,540

Realized gain (loss)

– 0

–

– 0

–

370,461

Change in unrealized appreciation/depreciation

100,010

80,287

(1,104,292

)

Purchases

– 0

–

– 0

–

25,983,214

Sales/Paydowns

– 0

–

– 0

–

(24,462,073

)

Reclassification

– 0

–

– 0

–

– 0

–

Transfers into Level 3

– 0

–

– 0

–

– 0

–

Transfers out of Level 3

– 0

–

– 0

–

(787,215

)

Balance as of 6/30/15

2,655,784

87,959

205,100,980

Net change in unrealized appreciation/depreciation from investments held as of 6/30/15

100,010

84,283

(2,527,345

)

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

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

The following represents information about significant observable inputs related to the Fund’s Level 3 investments at June 30, 2015. Securities priced by third party vendors or using prior transaction prices, which approximates fair value, are excluded from the following table.

Quantitative Information about Level 3 Fair Value Measurements

Fair Value at
6/30/15

Valuation Technique

Unobservable Input

Range/
Weighted Average

Corporates—Non-Investment Grade

1,457,235

Market Approach

EBITDA Projection*

42mm/N/A

Whole Loan Trusts

3,191,990

Projected Cashflow

Level Yield

13.45%/N/A

1,796,466

Market Approach

Underlying NAV of the
Collateral

99.17/N/A

770,831

Projected Cashflow

Internal Rate of Return

7.967%/N/A

Common Stocks

266,841

Projected Cashflow

Estimated Remaining Payment

2.50/N/A

15,429

Market Approach

EBITDA Projection*

353mm/N/A

*	Earnings Before Interest, Taxes, Depreciation and Amortization.

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

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing

Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments, and process at vendors, 2) daily comparisons of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

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

ITEM 2.

CONTROLS AND PROCEDURES.

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

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

ITEM 3.

EXHIBITS.

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


EXHIBIT NO.		DESCRIPTION OF EXHIBIT

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

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

SIGNATURES

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

(Registrant) AllianceBernstein Global High Income Fund, Inc.


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

Date:		August 21, 2015

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


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

Date:		August 21, 2015

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

Date:		August 21, 2015