AllianceBernstein Global High Income Fund (AWF) NPORT-P AllianceBernstein Global High Income Fund, Inc. (Jun 2020 report)

AB Global High Income Fund

Portfolio of Investments

June 30, 2020 (unaudited)

	Principal Amount (000)			U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE – 33.9%
Industrial – 27.7%
Basic – 2.8%
Advanced Drainage Systems, Inc. 5.00%, 09/30/2027(a)		U.S.$	140	$	141,105
Alcoa Nederland Holding BV 6.125%, 05/15/2028(a)			289		296,403
Arconic Corp. 6.125%, 02/15/2028(a)			334		335,290
Ashland LLC 4.75%, 08/15/2022			48		50,499
Axalta Coating Systems LLC 4.875%, 08/15/2024(a)			516		522,305
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV 4.75%, 06/15/2027(a)			350		350,875
Berry Global, Inc. 5.50%, 05/15/2022			105		105,130
CF Industries, Inc. 4.95%, 06/01/2043			620		668,939
5.375%, 03/15/2044			747		808,605
Cleveland-Cliffs, Inc. 6.75%, 03/15/2026(a)			107		103,686
9.875%, 10/17/2025(a)			1,169		1,223,832
Crown Americas LLC/Crown Americas Capital Corp. VI 4.75%, 02/01/2026			751		767,604
ERP Iron Ore, LLC 9.039%, 12/31/2019(b) (c) (d) (e) (f)			336		286,361
FMG Resources (August 2006) Pty Ltd. 4.50%, 09/15/2027(a)			1,028		1,029,359
5.125%, 03/15/2023(a)			69		71,130
Freeport-McMoRan, Inc. 5.45%, 03/15/2043			1,394		1,370,272
Grinding Media, Inc./Moly-Cop AltaSteel Ltd. 7.375%, 12/15/2023(a)			1,290		1,283,881
Hecla Mining Co. 7.25%, 02/15/2028			1,328		1,348,074
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. 9.00%, 07/01/2028(a)			260		271,059
Joseph T Ryerson & Son, Inc. 11.00%, 05/15/2022(a)			2,450		2,500,866
Kaiser Aluminum Corp. 6.50%, 05/01/2025(a)			277		287,380
Kraton Polymers LLC/Kraton Polymers Capital Corp. 5.25%, 05/15/2026(a)		EUR	846		968,249
Magnetation LLC/Mag Finance Corp. 11.00%, 05/15/2018(b) (c) (d) (e) (g)		U.S.$	2,857		0
Novelis Corp. 5.875%, 09/30/2026(a)			1,523		1,520,875

1

	Principal Amount (000)			U.S. $ Value
OCI NV 5.00%, 04/15/2023(a)		EUR	1,300	$	1,470,586
6.625%, 04/15/2023(a)		U.S.$	1,061		1,073,918
Olin Corp. 5.625%, 08/01/2029			1,187		1,092,351
Peabody Energy Corp. 6.00%, 03/31/2022(a)			438		284,798
PolyOne Corp. 5.75%, 05/15/2025(a)			400		411,709
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu 5.125%, 07/15/2023(a)			717		720,543
Sealed Air Corp. 6.875%, 07/15/2033(a)			407		481,419
Smurfit Kappa Treasury Funding DAC 7.50%, 11/20/2025			238		276,533
SPCM SA 4.875%, 09/15/2025(a)			975		986,319
Starfruit Finco BV/Starfruit US Holdco LLC 6.50%, 10/01/2026(a)		EUR	1,010		1,134,758
8.00%, 10/01/2026(a)		U.S.$	171		175,718
United States Steel Corp. 12.00%, 06/01/2025(a)			1,376		1,409,984
Valvoline, Inc. 4.25%, 02/15/2030(a)			1,707		1,673,626
WR Grace & Co-Conn 4.875%, 06/15/2027(a)			413		418,342
5.625%, 10/01/2024(a)			386		406,417
					28,328,800
Capital Goods – 2.3%
ARD Finance SA 5.00% (5.00% Cash or 5.75% PIK), 06/30/2027(a) (f)		EUR	939		1,011,681
6.50% (6.50% Cash or 7.25% PIK), 06/30/2027(a) (f)		U.S.$	1,039		1,029,587
Bombardier, Inc. 5.75%, 03/15/2022(a)			932		688,508
7.50%, 12/01/2024-03/15/2025(a)			2,404		1,565,901
7.875%, 04/15/2027(a)			386		251,601
Clean Harbors, Inc. 4.875%, 07/15/2027(a)			25		25,684
Cleaver-Brooks, Inc. 7.875%, 03/01/2023(a)			633		537,845
Colfax Corp. 6.00%, 02/15/2024(a)			194		200,104
6.375%, 02/15/2026(a)			207		216,315
Energizer Holdings, Inc. 4.75%, 06/15/2028(a)			348		341,089
EnerSys 4.375%, 12/15/2027(a)			935		927,663

2

	Principal Amount (000)			U.S. $ Value
F-Brasile SpA/F-Brasile US LLC Series XR 7.375%, 08/15/2026(a)		U.S.$	957	$	728,108
Gates Global LLC/Gates Corp. 6.25%, 01/15/2026(a)			1,205		1,183,912
GFL Environmental, Inc. 7.00%, 06/01/2026(a)			651		678,609
8.50%, 05/01/2027(a)			465		505,718
Granite US Holdings Corp. 11.00%, 10/01/2027(a)			507		495,636
Griffon Corp. 5.75%, 03/01/2028			1,760		1,739,480
5.75%, 03/01/2028(a)			227		226,211
Harsco Corp. 5.75%, 07/31/2027(a)			297		298,222
JELD-WEN, Inc. 4.625%, 12/15/2025(a)			128		122,867
Liberty Tire Recycling LLC 9.50%, 01/15/2023(b) (e) (g)			673		673,320
Mauser Packaging Solutions Holding Co. 5.50%, 04/15/2024(a)			1,050		1,032,304
7.25%, 04/15/2025(a)			264		239,033
Moog, Inc. 4.25%, 12/15/2027(a)			373		363,807
Signature Aviation US Holdings, Inc. 4.00%, 03/01/2028(a)			700		632,474
5.375%, 05/01/2026(a)			402		402,322
Stevens Holding Co., Inc. 6.125%, 10/01/2026(a)			141		147,638
Terex Corp. 5.625%, 02/01/2025(a)			262		240,481
TransDigm, Inc. 6.25%, 03/15/2026(a)			556		554,366
6.50%, 07/15/2024			1,529		1,461,339
8.00%, 12/15/2025(a)			820		861,320
Triumph Group, Inc. 6.25%, 09/15/2024(a)			135		114,750
7.75%, 08/15/2025			967		736,490
Trivium Packaging Finance BV 3.75%, 08/15/2026(a)		EUR	100		110,403
5.50%, 08/15/2026(a)		U.S.$	227		230,863
8.50%, 08/15/2027(a)			382		408,065
Vertical US Newco, Inc. 5.25%, 07/15/2027			1,006		1,006,000
Wesco Distribution, Inc. 7.125%, 06/15/2025(a)			720		759,067
7.25%, 06/15/2028(a)			532		563,849
					23,312,632
Communications - Media – 3.5%
Altice Financing SA 7.50%, 05/15/2026(a)			1,782		1,866,815

3

	Principal Amount (000)			U.S. $ Value
Banijay Entertainment SASU 3.50%, 03/01/2025(a)		EUR	210	$	224,834
5.375%, 03/01/2025(a)		U.S.$	420		409,441
CCO Holdings LLC/CCO Holdings Capital Corp. 5.00%, 02/01/2028(a)			65		67,127
5.125%, 05/01/2027(a)			551		570,022
5.375%, 05/01/2025(a)			74		75,991
5.75%, 02/15/2026(a)			371		384,608
Clear Channel Worldwide Holdings, Inc. 5.125%, 08/15/2027(a)			908		872,038
CSC Holdings LLC 5.375%, 02/01/2028(a)			1,502		1,560,035
5.50%, 05/15/2026(a)			200		205,832
6.625%, 10/15/2025(a)			274		284,617
7.50%, 04/01/2028(a)			941		1,026,655
10.875%, 10/15/2025(a)			765		822,518
DISH DBS Corp. 5.00%, 03/15/2023			178		177,802
5.875%, 11/15/2024			2,291		2,279,651
6.75%, 06/01/2021			333		339,232
Gray Television, Inc. 5.125%, 10/15/2024(a)			987		985,308
iHeartCommunications, Inc. 4.75%, 01/15/2028(a)			60		55,435
5.25%, 08/15/2027(a)			285		273,031
6.375%, 05/01/2026			111		110,988
8.375%, 05/01/2027			202		184,856
Lamar Media Corp. 4.875%, 01/15/2029(a)			147		148,581
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027(a)			2,489		2,494,938
Liberty Interactive LLC 3.75%, 02/15/2030(h)			876		596,053
Meredith Corp. 6.875%, 02/01/2026			2,472		2,066,000
National CineMedia LLC 5.875%, 04/15/2028(a)			623		521,267
Netflix, Inc. 4.375%, 11/15/2026			1,502		1,562,919
4.875%, 04/15/2028			1,171		1,249,496
Outfront Media Capital LLC/Outfront Media Capital Corp. 4.625%, 03/15/2030(a)			580		529,942
Radiate Holdco LLC/Radiate Finance, Inc. 6.875%, 02/15/2023(a)			451		457,831
Scripps Escrow, Inc. 5.875%, 07/15/2027(a)			639		605,479
Sinclair Television Group, Inc. 5.50%, 03/01/2030(a)			810		747,900
Sirius XM Radio, Inc. 5.00%, 08/01/2027(a)			390		398,060
5.50%, 07/01/2029(a)			25		26,319

4

	Principal Amount (000)			U.S. $ Value
Summer BC Holdco B SARL 5.75%, 10/31/2026(a)		EUR	1,395	$	1,492,980
TEGNA, Inc. 5.00%, 09/15/2029(a)		U.S.$	830		777,256
5.50%, 09/15/2024(a)			162		164,836
Univision Communications, Inc. 5.125%, 05/15/2023-02/15/2025(a)			1,536		1,533,090
6.625%, 06/01/2027(a)			1,593		1,520,937
9.50%, 05/01/2025(a)			309		330,663
UPC Holding BV 5.50%, 01/15/2028(a)			2,223		2,128,324
Virgin Media Secured Finance PLC 4.50%, 08/15/2030(a)			992		993,647
Ziggo Bond Co. BV 5.125%, 02/28/2030(a)			299		296,682
6.00%, 01/15/2027(a)			815		824,194
Ziggo BV 5.50%, 01/15/2027(a)			1,644		1,660,450
					35,904,680
Communications - Telecommunications – 2.1%
Altice France SA/France 7.375%, 05/01/2026(a)			2,272		2,364,866
8.125%, 02/01/2027(a)			465		506,932
C&W Senior Financing DAC 6.875%, 09/15/2027(a)			1,501		1,485,740
7.50%, 10/15/2026(a)			395		400,714
CenturyLink, Inc. Series T 5.80%, 03/15/2022			78		80,146
Connect Finco SARL/Connect US Finco LLC 6.75%, 10/01/2026(a)			1,321		1,248,741
DKT Finance ApS 7.00%, 06/17/2023(a)		EUR	506		564,659
9.375%, 06/17/2023(a)		U.S.$	895		902,410
Hughes Satellite Systems Corp. 6.625%, 08/01/2026			730		761,484
7.625%, 06/15/2021			1,383		1,425,239
Intelsat Jackson Holdings SA 5.50%, 08/01/2023(c) (i)			1,675		961,964
Intrado Corp. 8.50%, 10/15/2025(a)			748		595,855
Level 3 Financing, Inc. 5.25%, 03/15/2026			164		168,443
5.375%, 08/15/2022-01/15/2024			1,139		1,145,953
Nexstar Broadcasting, Inc. 5.625%, 07/15/2027(a)			596		591,738
Sprint Capital Corp. 8.75%, 03/15/2032			83		118,716
Sprint Corp. 7.625%, 03/01/2026			184		217,321
7.875%, 09/15/2023			536		604,290

5

	Principal Amount (000)			U.S. $ Value
T-Mobile USA, Inc. 4.75%, 02/01/2028		U.S.$	39	$	41,197
6.00%, 03/01/2023			743		747,472
6.375%, 03/01/2025			655		671,823
Telecom Italia Capital SA 7.20%, 07/18/2036			483		571,179
7.721%, 06/04/2038			1,784		2,243,331
Zayo Group Holdings, Inc. 4.00%, 03/01/2027(a)			499		474,533
6.125%, 03/01/2028(a)			2,125		2,065,602
					20,960,348
Consumer Cyclical - Automotive – 2.2%
Adient US LLC 9.00%, 04/15/2025(a)			989		1,065,099
Allison Transmission, Inc. 5.875%, 06/01/2029(a)			489		508,814
American Axle & Manufacturing, Inc. 6.25%, 04/01/2025			974		956,923
6.875%, 07/01/2028			984		974,101
Clarios Global LP/Clarios US Finance Co. 6.25%, 05/15/2026(a)			210		216,514
8.50%, 05/15/2027(a)			1,939		1,951,258
Cooper-Standard Automotive, Inc. 5.625%, 11/15/2026(a)			540		342,741
Dana Financing Luxembourg SARL 5.75%, 04/15/2025(a)			109		110,660
Dana, Inc. 5.375%, 11/15/2027			109		108,872
5.625%, 06/15/2028			182		180,540
Dealer Tire LLC/DT Issuer LLC 8.00%, 02/01/2028(a)			688		639,569
Exide Technologies (Exchange Priority) 11.00%, 10/31/2024(b) (c) (e) (g) (i)			3,583		358,320
(First Lien) 11.00%, 10/31/2024(b) (c) (e) (g) (i)			1,207		0
Ford Motor Co. 8.50%, 04/21/2023			2,591		2,739,485
9.00%, 04/22/2025			720		778,360
Ford Motor Credit Co. LLC 3.021%, 03/06/2024		EUR	536		576,603
3.087%, 01/09/2023		U.S.$	200		190,566
3.096%, 05/04/2023			200		189,460
3.219%, 01/09/2022			227		220,758
4.14%, 02/15/2023			200		195,660
Garrett LX I SARL/Garrett Borrowing LLC 5.125%, 10/15/2026(a)		EUR	1,083		1,006,472
IHO Verwaltungs GmbH 3.625% (3.625% Cash or 4.375% PIK), 05/15/2025(a) (f)			284		317,578
3.875% (3.875% Cash or 4.625% PIK), 05/15/2027(a) (f)			338		373,284
Meritor, Inc. 6.25%, 02/15/2024		U.S.$	305		309,876

6

	Principal Amount (000)			U.S. $ Value
6.25%, 06/01/2025(a)		U.S.$	409	$	414,500
Navistar International Corp. 6.625%, 11/01/2025(a)			718		680,768
9.50%, 05/01/2025(a)			1,167		1,254,244
Tenneco, Inc. 5.00%, 07/15/2024(a)		EUR	300		306,609
5.00%, 07/15/2026		U.S.$	2,174		1,479,741
Tesla, Inc. 5.30%, 08/15/2025(a)			599		598,964
Titan International, Inc. 6.50%, 11/30/2023			862		563,916
Truck Hero, Inc. 8.50%, 04/21/2024(a)			792		791,872
ZF North America Capital, Inc. 4.75%, 04/29/2025(a)			1,421		1,439,226
					21,841,353
Consumer Cyclical - Entertainment – 0.6%
AMC Entertainment Holdings, Inc. 5.75%, 06/15/2025			180		56,899
5.875%, 11/15/2026			1,540		491,709
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op 5.50%, 05/01/2025(a)			2,191		2,199,973
Mattel, Inc. 5.875%, 12/15/2027(a)			802		826,521
6.75%, 12/31/2025(a)			114		118,241
SeaWorld Parks & Entertainment, Inc. 8.75%, 05/01/2025(a)			991		1,005,081
Six Flags Theme Parks, Inc. 7.00%, 07/01/2025(a)			419		434,946
Vail Resorts, Inc. 6.25%, 05/15/2025(a)			302		315,877
VOC Escrow Ltd. 5.00%, 02/15/2028(a)			1,061		798,909
					6,248,156
Consumer Cyclical - Other – 2.8%
Adams Homes, Inc. 7.50%, 02/15/2025(a)			800		784,610
Beazer Homes USA, Inc. 5.875%, 10/15/2027			419		400,211
6.75%, 03/15/2025			1,228		1,220,146
Boyd Gaming Corp. 4.75%, 12/01/2027(a)			390		335,422
8.625%, 06/01/2025(a)			539		563,500
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 4.875%, 02/15/2030(a)			1,097		915,011
6.25%, 09/15/2027(a)			995		950,937
Caesars Entertainment Corp. 5.00%, 10/01/2024(h)			121		203,461

7

	Principal Amount (000)		U.S. $ Value
Cirsa Finance International SARL 7.875%, 12/20/2023(a)	U.S.$	778	$	722,165
Colt Merger Sub, Inc. 6.25%, 07/01/2025(a)		1,201		1,196,876
Five Point Operating Co. LP/Five Point Capital Corp. 7.875%, 11/15/2025(a)		1,969		1,883,830
Forestar Group, Inc. 5.00%, 03/01/2028(a)		411		396,940
8.00%, 04/15/2024(a)		590		610,503
Hilton Domestic Operating Co., Inc. 4.875%, 01/15/2030		25		24,618
5.375%, 05/01/2025(a)		229		228,043
5.75%, 05/01/2028(a)		246		249,293
Installed Building Products, Inc. 5.75%, 02/01/2028(a)		291		293,637
International Game Technology PLC 5.25%, 01/15/2029(a)		1,499		1,465,364
6.25%, 02/15/2022(a)		562		567,596
K. Hovnanian Enterprises, Inc. 10.00%, 07/15/2022(a)		352		224,218
KB Home 7.00%, 12/15/2021		536		563,089
7.50%, 09/15/2022		494		536,750
Marriott Ownership Resorts, Inc. 6.125%, 09/15/2025(a)		773		789,447
Marriott Ownership Resorts, Inc./ILG LLC 6.50%, 09/15/2026		1,250		1,263,273
Mattamy Group Corp. 4.625%, 03/01/2030(a)		1,244		1,199,396
5.25%, 12/15/2027(a)		471		469,503
MGM Resorts International 5.50%, 04/15/2027		668		645,620
5.75%, 06/15/2025		30		29,764
Scientific Games International, Inc. 5.00%, 10/15/2025(a)		426		395,023
7.00%, 05/15/2028(a)		172		137,325
7.25%, 11/15/2029(a)		172		138,008
Shea Homes LP/Shea Homes Funding Corp. 4.75%, 02/15/2028(a)		450		425,740
6.125%, 04/01/2025(a)		794		805,026
Stars Group Holdings BV/Stars Group US Co-Borrower LLC 7.00%, 07/15/2026(a)		941		990,758
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875%, 05/15/2025(a)		1,785		1,757,762
Taylor Morrison Communities, Inc. 5.75%, 01/15/2028(a)		510		528,441
5.875%, 06/15/2027(a)		628		652,165

8

	Principal Amount (000)			U.S. $ Value
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc. 5.875%, 04/15/2023(a)		U.S.$	875	$	899,063
Twin River Worldwide Holdings, Inc. 6.75%, 06/01/2027(a)			657		624,221
Wyndham Destinations, Inc. 4.625%, 03/01/2030(a)			839		780,203
Wyndham Hotels & Resorts, Inc. 5.375%, 04/15/2026(a)			25		24,289
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25%, 05/15/2027(a)			45		38,905
5.50%, 03/01/2025(a)			736		676,269
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. 5.125%, 10/01/2029(a)			279		249,334
					27,855,755
Consumer Cyclical - Restaurants – 0.3%
1011778 BC ULC/New Red Finance, Inc. 4.375%, 01/15/2028(a)			520		509,652
Golden Nugget, Inc. 6.75%, 10/15/2024(a)			857		613,609
8.75%, 10/01/2025(a)			708		416,429
IRB Holding Corp. 6.75%, 02/15/2026(a)			453		432,900
7.00%, 06/15/2025(a)			601		618,931
Yum! Brands, Inc. 7.75%, 04/01/2025(a)			465		501,489
					3,093,010
Consumer Cyclical - Retailers – 1.2%
Asbury Automotive Group, Inc. 4.50%, 03/01/2028(a)			182		176,576
4.75%, 03/01/2030(a)			112		109,215
Burlington Coat Factory Warehouse Corp. 6.25%, 04/15/2025(a)			142		148,023
Dufry One BV 2.50%, 10/15/2024(a)		EUR	227		213,265
L Brands, Inc. 5.25%, 02/01/2028		U.S.$	116		91,694
5.625%, 10/15/2023			419		396,284
6.75%, 07/01/2036			322		268,184
6.875%, 07/01/2025(a)			158		163,241
6.875%, 11/01/2035			743		619,515
7.50%, 06/15/2029			107		94,042
7.60%, 07/15/2037			1,000		678,812
9.375%, 07/01/2025(a)			272		272,361
Levi Strauss & Co. 5.00%, 05/01/2025			1,150		1,170,941
Murphy Oil USA, Inc. 5.625%, 05/01/2027			69		71,526

9

	Principal Amount (000)		U.S. $ Value
Penske Automotive Group, Inc. 5.50%, 05/15/2026	U.S.$	165	$	165,348
5.75%, 10/01/2022		89		89,333
PetSmart, Inc. 7.125%, 03/15/2023(a)		2,360		2,326,550
Rite Aid Corp. 7.50%, 07/01/2025(a)		1,462		1,466,263
Sonic Automotive, Inc. 6.125%, 03/15/2027		817		819,224
Staples, Inc. 7.50%, 04/15/2026(a)		842		663,169
10.75%, 04/15/2027(a)		1,431		849,087
TPro Acquisition Corp. 11.00%, 10/15/2024(a)		639		625,194
William Carter Co. (The) 5.50%, 05/15/2025(a)		438		451,262
				11,929,109
Consumer Non-Cyclical – 3.1%
Acadia Healthcare Co., Inc. 5.50%, 07/01/2028(a)		881		887,694
Air Medical Group Holdings, Inc. 6.375%, 05/15/2023(a)		636		600,303
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC 4.625%, 01/15/2027(a)		615		614,966
4.875%, 02/15/2030(a)		424		435,373
5.75%, 03/15/2025		701		716,000
6.625%, 06/15/2024		1,385		1,428,813
Avantor, Inc. 9.00%, 10/01/2025(a)		553		594,119
Bausch Health Americas, Inc. 8.50%, 01/31/2027(a)		767		817,861
Bausch Health Cos., Inc. 5.50%, 03/01/2023(a)		296		296,000
6.125%, 04/15/2025(a)		507		513,689
7.25%, 05/30/2029(a)		254		266,671
9.00%, 12/15/2025(a)		336		362,350
Catalent Pharma Solutions, Inc. 4.875%, 01/15/2026(a)		416		424,203
CD&R Smokey Buyer, Inc. 6.75%, 07/15/2025(a)		72		74,967
CHS/Community Health Systems, Inc. 6.25%, 03/31/2023		1,368		1,287,559
8.125%, 06/30/2024(a)		635		429,325
DaVita, Inc. 5.00%, 05/01/2025		1,034		1,057,166
Endo Dac/Endo Finance LLC/Endo Finco, Inc. 6.00%, 06/30/2028(a)		920		593,400
9.50%, 07/31/2027(a)		667		705,486
Envision Healthcare Corp. 8.75%, 10/15/2026(a)		1,208		594,878

10

	Principal Amount (000)			U.S. $ Value
Hadrian Merger Sub, Inc. 8.50%, 05/01/2026(a)		U.S.$	461	$	419,246
HCA, Inc. 5.875%, 02/15/2026			110		120,569
IQVIA, Inc. 3.25%, 03/15/2025(a)		EUR	782		885,166
Kronos Acquisition Holdings, Inc. 9.00%, 08/15/2023(a)		U.S.$	405		386,432
Lamb Weston Holdings, Inc. 4.625%, 11/01/2024(a)			407		422,189
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.50%, 04/15/2025(a)			125		19,015
5.625%, 10/15/2023(a)			311		60,530
MEDNAX, Inc. 5.25%, 12/01/2023(a)			221		219,775
6.25%, 01/15/2027(a)			345		345,043
MPH Acquisition Holdings LLC 7.125%, 06/01/2024(a)			1,118		1,039,628
Par Pharmaceutical, Inc. 7.50%, 04/01/2027(a)			297		304,649
Post Holdings, Inc. 4.625%, 04/15/2030(a)			821		804,973
5.00%, 08/15/2026(a)			410		411,943
5.625%, 01/15/2028(a)			798		824,077
Radiology Partners, Inc. 9.25%, 02/01/2028(a)			1,599		1,506,503
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. 9.75%, 12/01/2026(a)			2,775		2,862,520
Spectrum Brands, Inc. 4.00%, 10/01/2026(a)		EUR	530		581,170
6.125%, 12/15/2024		U.S.$	361		371,285
Sunshine Mid BV 6.50%, 05/15/2026(a) (j)		EUR	823		913,518
Synlab Unsecured Bondco PLC 8.25%, 07/01/2023(a)			700		805,187
Tenet Healthcare Corp. 6.75%, 06/15/2023		U.S.$	1,903		1,888,334
7.00%, 08/01/2025			119		115,963
8.125%, 04/01/2022			682		714,583
US Renal Care, Inc. 10.625%, 07/15/2027(a)			791		814,593
Vizient, Inc. 6.25%, 05/15/2027(a)			222		232,564
West Street Merger Sub, Inc. 6.375%, 09/01/2025(a)			1,660		1,610,005
					31,380,283
Energy – 3.2%
Antero Resources Corp. 5.125%, 12/01/2022			484		349,610

11

	Principal Amount (000)		U.S. $ Value
Apache Corp. 5.35%, 07/01/2049	U.S.$	1,585	$	1,262,620
Berry Petroleum Co. LLC 7.00%, 02/15/2026(a)		140		108,503
Callon Petroleum, Co. 6.25%, 04/15/2023		296		112,605
8.25%, 07/15/2025		301		109,723
CHC Group LLC/CHC Finance Ltd. Series AI Zero Coupon, 10/01/2020(h) (k)		2,948		442,232
Cheniere Energy Partners LP 5.25%, 10/01/2025		730		727,416
Cheniere Energy, Inc. 4.875%, 05/28/2021(a) (e) (f) (h)		603		608,849
CITGO Petroleum Corp. 6.25%, 08/15/2022(a)		677		674,854
7.00%, 06/15/2025(a)		1,739		1,740,985
Comstock Resources, Inc. 7.50%, 05/15/2025(a)		1,015		919,594
Denbury Resources, Inc. 7.75%, 02/15/2024(a)		824		311,172
9.25%, 03/31/2022(a)		384		149,836
Diamond Offshore Drilling, Inc. 7.875%, 08/15/2025(c) (i)		2,725		272,500
EnLink Midstream Partners LP 4.40%, 04/01/2024		67		55,728
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75%, 09/01/2022(c) (i)		1,552		144
7.75%, 05/15/2026(a) (c) (i)		631		146,309
8.00%, 02/15/2025(a) (c) (i)		228		2
9.375%, 05/01/2024(a) (c) (i)		887		152
EQT Corp. 3.90%, 10/01/2027		1,215		987,913
Genesis Energy LP/Genesis Energy Finance Corp. 5.625%, 06/15/2024		412		362,034
6.25%, 05/15/2026		222		190,902
6.50%, 10/01/2025		820		704,310
7.75%, 02/01/2028		106		93,280
Global Partners LP/GLP Finance Corp. 7.00%, 08/01/2027		485		448,791
Gulfport Energy Corp. 6.00%, 10/15/2024		481		249,333
6.375%, 05/15/2025-01/15/2026		2,959		1,445,652
Hess Midstream Operations LP 5.625%, 02/15/2026(a)		1,587		1,572,123
HighPoint Operating Corp. 7.00%, 10/15/2022		227		55,939
Hilcorp Energy I LP/Hilcorp Finance Co. 5.75%, 10/01/2025(a)		1,041		865,461
Indigo Natural Resources LLC 6.875%, 02/15/2026(a)		547		508,026
Ithaca Energy North Sea PLC 9.375%, 07/15/2024(a)		679		539,384

12

	Principal Amount (000)		U.S. $ Value
Nabors Industries Ltd. 7.25%, 01/15/2026(a)	U.S.$	478	$	298,440
7.50%, 01/15/2028(a)		476		293,973
NGL Energy Partners LP/NGL Energy Finance Corp. 7.50%, 11/01/2023		1,455		1,211,396
Noble Holding International Ltd. 5.25%, 03/15/2042		191		4,075
6.20%, 08/01/2040		276		3,885
7.75%, 01/15/2024		190		3,908
7.95%, 04/01/2025		375		8,928
Occidental Petroleum Corp. 2.70%, 02/15/2023		665		612,213
2.90%, 08/15/2024		449		383,716
3.40%, 04/15/2026		109		89,193
3.50%, 06/15/2025		599		506,942
8.50%, 07/15/2027		184		184,531
8.875%, 07/15/2030		184		184,129
Parkland Corp./Canada 6.00%, 04/01/2026(a)		1,147		1,179,512
PDC Energy, Inc. 5.75%, 05/15/2026		633		575,617
6.125%, 09/15/2024		1,185		1,115,435
QEP Resources, Inc. 5.25%, 05/01/2023		818		556,017
Range Resources Corp. 5.00%, 08/15/2022-03/15/2023		273		242,659
5.875%, 07/01/2022		37		34,212
SandRidge Energy, Inc. 7.50%, 02/15/2023(b) (c) (e)		865		0
8.125%, 10/15/2022(b) (c) (e)		2,076		0
SM Energy Co. 5.00%, 01/15/2024		525		287,143
5.625%, 06/01/2025		546		289,407
Sunoco LP/Sunoco Finance Corp. 5.50%, 02/15/2026		779		756,626
5.875%, 03/15/2028		964		960,158
6.00%, 04/15/2027		35		35,031
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 5.125%, 02/01/2025		157		150,964
Transocean Phoenix 2 Ltd. 7.75%, 10/15/2024(a)		790		740,203
Transocean, Inc. 6.80%, 03/15/2038		1,188		326,712
7.25%, 11/01/2025(a)		359		200,237
7.50%, 01/15/2026(a)		762		415,315
Vantage Drilling International 7.125%, 04/01/2023(b) (c) (e)		1,283		0
7.50%, 11/01/2019(b) (c) (d) (e)		2,176		0
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp. 8.75%, 04/15/2023(a)		2,755		1,659,680
Western Midstream Operating LP 3.10%, 02/01/2025		569		541,201
3.95%, 06/01/2025		264		247,654

13

		Principal Amount (000)			U.S. $ Value
4.00%, 07/01/2022			U.S.$	277	$	276,266
4.05%, 02/01/2030				603		580,029
4.50%, 03/01/2028				637		603,152
4.75%, 08/15/2028				453		434,303
5.45%, 04/01/2044				193		160,892
Whiting Petroleum Corp. 6.25%, 04/01/2023(c) (i)				483		83,835
6.625%, 01/15/2026(c) (i)				477		84,994
						32,338,565
Industrial Other – 0.0%
Vertical Holdco GmbH 7.625%, 07/15/2028				465		465,000
Other Industrial – 0.3%
American Builders & Contractors Supply Co., Inc. 4.00%, 01/15/2028(a)				903		876,748
H&E Equipment Services, Inc. 5.625%, 09/01/2025				437		442,537
IAA, Inc. 5.50%, 06/15/2027(a)				315		325,647
KAR Auction Services, Inc. 5.125%, 06/01/2025(a)				483		475,282
Laureate Education, Inc. 8.25%, 05/01/2025(a)				839		872,395
						2,992,609
Services – 1.7%
ADT Security Corp. (The) 4.125%, 06/15/2023				83		83,717
Allied Universal Holdco LLC/Allied Universal Finance Corp. 6.625%, 07/15/2026(a)				312		327,423
9.75%, 07/15/2027(a)				2,083		2,194,495
Aptim Corp. 7.75%, 06/15/2025(a)				927		352,261
APX Group, Inc. 6.75%, 02/15/2027(a)				265		248,141
7.875%, 12/01/2022				911		906,033
Aramark Services, Inc. 5.00%, 02/01/2028(a)				654		621,187
6.375%, 05/01/2025(a)				569		587,514
Carlson Travel, Inc. 6.75%, 12/15/2023(g)				782		509,783
Carriage Services, Inc. 6.625%, 06/01/2026(a)				698		733,256
eDreams ODIGEO SA 5.50%, 09/01/2023(a)			EUR	478		439,239
Garda World Security Corp. 9.50%, 11/01/2027(a)	��		U.S.$	1,474		1,560,294
Gartner, Inc. 4.50%, 07/01/2028(a)				512		517,182
5.125%, 04/01/2025(a)				482		493,460

14

	Principal Amount (000)		U.S. $ Value
Korn Ferry 4.625%, 12/15/2027(a)	U.S.$	586	$	568,420
Monitronics International, Inc. Zero Coupon, 04/01/2020(b) (c) (d) (e)		958		0
Nielsen Finance LLC/Nielsen Finance Co. 5.00%, 04/15/2022(a)		549		547,019
Prime Security Services Borrower LLC/Prime Finance, Inc. 5.25%, 04/15/2024(a)		25		25,602
6.25%, 01/15/2028(a)		1,595		1,503,691
Refinitiv US Holdings, Inc. 6.25%, 05/15/2026(a)		273		289,332
8.25%, 11/15/2026(a)		1,150		1,244,789
Ritchie Bros Auctioneers, Inc. 5.375%, 01/15/2025(a)		366		376,250
Sabre GLBL, Inc. 5.25%, 11/15/2023(a)		300		275,899
5.375%, 04/15/2023(a)		656		618,802
9.25%, 04/15/2025(a)		378		397,984
Verscend Escrow Corp. 9.75%, 08/15/2026(a)		1,775		1,912,389
				17,334,162
Technology – 1.0%
Banff Merger Sub, Inc. 9.75%, 09/01/2026(a)		2,181		2,197,072
CDW LLC/CDW Finance Corp. 4.125%, 05/01/2025		681		685,313
CommScope, Inc. 5.50%, 03/01/2024(a)		570		577,123
6.00%, 03/01/2026(a)		500		512,325
8.25%, 03/01/2027(a)		471		483,799
Dell International LLC/EMC Corp. 7.125%, 06/15/2024(a)		187		193,994
Microchip Technology, Inc. 4.25%, 09/01/2025(a)		612		614,847
NCR Corp. 5.75%, 09/01/2027(a)		295		294,617
6.125%, 09/01/2029(a)		227		226,617
8.125%, 04/15/2025(a)		352		373,234
Presidio Holdings, Inc. 4.875%, 02/01/2027(a)		98		95,753
8.25%, 02/01/2028(a)		154		153,666
Rackspace Hosting, Inc. 8.625%, 11/15/2024(a)		55		55,099
Science Applications International Corp. 4.875%, 04/01/2028(a)		105		104,317
Solera LLC/Solera Finance, Inc. 10.50%, 03/01/2024(a)		1,941		1,974,760
Veritas US, Inc./Veritas Bermuda Ltd. 7.50%, 02/01/2023(a)		964		955,445

15

	Principal Amount (000)			U.S. $ Value
10.50%, 02/01/2024(a) (j)		U.S.$	662	$	574,673
					10,072,654
Transportation - Services – 0.6%
Algeco Global Finance PLC 8.00%, 02/15/2023(a)			1,821		1,747,278
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 5.75%, 07/15/2027(a)			270		206,284
10.50%, 05/15/2025(a)			667		745,192
Herc Holdings, Inc. 5.50%, 07/15/2027(a)			881		885,321
Hertz Corp. (The) 5.50%, 10/15/2024(a) (c) (i)			845		262,954
6.00%, 01/15/2028(a) (c) (i)			715		223,242
7.125%, 08/01/2026(a) (c) (i)			84		26,219
United Rentals North America, Inc. 5.50%, 05/15/2027			418		432,710
6.50%, 12/15/2026			25		26,255
XPO Logistics, Inc. 6.125%, 09/01/2023(a)			498		504,245
6.75%, 08/15/2024(a)			962		1,007,711
					6,067,411
					280,124,527
Financial Institutions – 5.6%
Banking – 2.2%
Alliance Data Systems Corp. 4.75%, 12/15/2024(a)			923		829,597
Allied Irish Banks PLC Series E 7.375%, 12/03/2020(a) (l)		EUR	871		988,354
Banco Bilbao Vizcaya Argentaria SA 5.875%, 05/24/2022-09/24/2023(a) (l)			1,800		1,967,364
Series 9 6.50%, 03/05/2025(l)		U.S.$	1,200		1,159,095
Banco Santander SA 6.75%, 04/25/2022(a) (l)		EUR	2,000		2,304,816
Citizens Financial Group, Inc. Series B 6.00%, 07/06/2023(l)		U.S.$	970		857,926
Credit Suisse Group AG 6.25%, 12/18/2024(a) (l)			1,404		1,466,693
6.375%, 08/21/2026(a) (l)			1,290		1,309,459
7.50%, 07/17/2023(a) (l)			1,820		1,876,796
Discover Financial Services Series D 6.125%, 06/23/2025(l)			3,470		3,573,016
Intesa Sanpaolo SpA 5.017%, 06/26/2024(a)			331		337,641
5.71%, 01/15/2026(a)			1,232		1,299,009

16

	Principal Amount (000)				U.S. $ Value
Societe Generale SA 8.00%, 09/29/2025(a) (l)		U.S.$	2,608		$	2,903,997
UniCredit SpA 9.25%, 06/03/2022(a) (l)		EUR	1,554			1,855,124
						22,728,887
Brokerage – 0.3%				��
Lehman Brothers Holdings, Inc. 6.875%, 05/02/2018(c) (d)		U.S.$	1,690			19,435
LPL Holdings, Inc. 5.75%, 09/15/2025(a)			1,542			1,561,558
NFP Corp. 6.875%, 07/15/2025(a)			167			164,696
7.00%, 05/15/2025(a)			502			527,100
8.00%, 07/15/2025(a)			1,008			997,197
						3,269,986
Finance – 0.9%
CNG Holdings, Inc. 12.50%, 06/15/2024(a)			861			753,831
Compass Group Diversified Holdings LLC 8.00%, 05/01/2026(a)			162			165,243
Curo Group Holdings Corp. 8.25%, 09/01/2025(a)			2,426			1,940,529
Enova International, Inc. 8.50%, 09/01/2024-09/15/2025(a)			1,273			1,147,631
goeasy Ltd. 5.375%, 12/01/2024(a)			869			864,470
ILFC E-Capital Trust II 3.27% (H15T 30 Year + 1.80%), 12/21/2065(a) (m)			2,000			1,039,446
Jefferies Finance LLC/JFIN Co-Issuer Corp. 6.25%, 06/03/2026(a)			718			681,154
Lincoln Financing SARL 3.625%, 04/01/2024(a)		EUR	390			400,325
Navient Corp. 6.50%, 06/15/2022		U.S.$	358			351,648
SLM Corp. 5.125%, 04/05/2022			605			597,474
Springleaf Finance Corp. 6.875%, 03/15/2025			735			755,165
TMX Finance LLC/TitleMax Finance Corp. 11.125%, 04/01/2023(a)			890			747,236
						9,444,152
Insurance – 1.0%
Acrisure LLC/Acrisure Finance, Inc. 7.00%, 11/15/2025(a)			1,488			1,421,451
10.125%, 08/01/2026(a)			1,086			1,168,241

17

	Principal Amount (000)			U.S. $ Value
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer 6.75%, 10/15/2027(a)		U.S.$	1,943	$	1,929,148
Ardonagh Midco 2 PLC 11.50%, 01/15/2027(a)			1,504		1,497,038
Genworth Holdings, Inc. 7.625%, 09/24/2021			958		894,436
HUB International Ltd. 7.00%, 05/01/2026(a)			292		291,174
Polaris Intermediate Corp. 8.50% (8.50% Cash or 9.25% PIK), 12/01/2022(a) (f)			3,010		2,648,345
					9,849,833
Other Finance – 0.4%
Intrum AB 2.75%, 07/15/2022(a)		EUR	298		316,389
3.00%, 09/15/2027(a)			360		337,789
3.125%, 07/15/2024(a)			489		497,972
3.50%, 07/15/2026(a)			260		255,596
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. 6.75%, 06/01/2025(a)		U.S.$	2,094		2,123,865
					3,531,611
REITS – 0.8%
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL 5.75%, 05/15/2026(a)			950		802,613
Diversified Healthcare Trust 6.75%, 12/15/2021			1,350		1,362,145
9.75%, 06/15/2025			953		1,024,227
GEO Group, Inc. (The) 6.00%, 04/15/2026			144		111,262
Iron Mountain, Inc. 4.875%, 09/15/2027(a)			255		248,608
5.25%, 03/15/2028(a)			1,576		1,568,031
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 5.75%, 02/01/2027			991		1,025,185
Realogy Group LLC/Realogy Co-Issuer Corp. 9.375%, 04/01/2027(a)			1,794		1,674,177
					7,816,248
					56,640,717
Utility – 0.6%
Electric – 0.6%
Calpine Corp. 5.125%, 03/15/2028(a)			1,228		1,202,055
5.50%, 02/01/2024			564		565,212

18

	Principal Amount (000)		U.S. $ Value
NRG Energy, Inc. 6.625%, 01/15/2027	U.S.$	25	$	26,186
7.25%, 05/15/2026		1,754		1,850,607
Talen Energy Supply LLC 6.50%, 06/01/2025		1,741		1,166,817
7.25%, 05/15/2027(a)		339		340,192
10.50%, 01/15/2026(a)		802		637,487
Texas Competitive/TCEH 11.50%, 10/01/2020(b) (c) (e)		626		0
Vistra Operations Co. LLC 5.625%, 02/15/2027(a)		625		641,303
				6,429,859
Total Corporates - Non-Investment Grade (cost $375,084,616)				343,195,103
CORPORATES - INVESTMENT GRADE – 17.2%
Industrial – 8.8%
Basic – 1.3%
Anglo American Capital PLC 3.625%, 09/11/2024(a)		200		209,685
4.75%, 04/10/2027(a)		637		710,114
5.375%, 04/01/2025(a)		584		660,458
ArcelorMittal SA 7.00%, 03/01/2041		362		415,670
7.25%, 10/15/2039		624		733,521
Arconic Corp. 6.00%, 05/15/2025(a)		774		800,273
Braskem America Finance Co. 7.125%, 07/22/2041(a)		944		965,429
Braskem Netherlands Finance BV 4.50%, 01/10/2028-01/31/2030(a)		2,544		2,327,570
Fresnillo PLC 5.50%, 11/13/2023(a)		306		330,480
Georgia-Pacific LLC 8.875%, 05/15/2031		1		1,597
Glencore Finance Canada Ltd. 6.00%, 11/15/2041(a)		272		302,544
Glencore Funding LLC 4.625%, 04/29/2024(a)		341		373,271
GUSAP III LP 4.25%, 01/21/2030(a)		616		606,760
Industrias Penoles SAB de CV 5.65%, 09/12/2049(a)		386		420,619
MEGlobal Canada ULC 5.875%, 05/18/2030(a)		343		389,449
Minsur SA 6.25%, 02/07/2024(a)		891		949,743
OCP SA 5.625%, 04/25/2024(a)		524		565,265
Suzano Austria GmbH 7.00%, 03/16/2047(a)		1,004		1,103,145

19

	Principal Amount (000)		U.S. $ Value
WestRock MWV LLC 7.95%, 02/15/2031	U.S.$	1,000	$	1,416,437
				13,282,030
Capital Goods – 0.2%
General Electric Co. Series D 5.00%, 01/21/2021(l)		1,681		1,322,425
Howmet Aerospace, Inc. 5.90%, 02/01/2027		119		126,982
Textron Financial Corp. 2.127% (LIBOR 3 Month + 1.74%), 02/15/2042(a) (m)		575		357,677
				1,807,084
Communications - Media – 0.5%
Charter Communications Operating LLC/Charter Communications Operating Capital 4.20%, 03/15/2028		392		438,320
Fox Corp. 3.05%, 04/07/2025		186		201,110
Interpublic Group of Cos., Inc. (The) 4.75%, 03/30/2030		940		1,104,314
Omnicom Group, Inc. 4.20%, 06/01/2030		299		347,318
ViacomCBS, Inc. 4.75%, 05/15/2025		2,438		2,786,044
				4,877,106
Communications - Telecommunications – 0.3%
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 4.738%, 03/20/2025(a)		1,340		1,451,239
5.152%, 03/20/2028(a)		1,340		1,547,398
				2,998,637
Consumer Cyclical - Automotive – 0.6%
General Motors Co. 4.875%, 10/02/2023		164		174,151
5.20%, 04/01/2045		337		326,195
6.125%, 10/01/2025		206		231,490
6.25%, 10/02/2043		116		122,118
6.75%, 04/01/2046		456		498,005
6.80%, 10/01/2027		292		340,162
General Motors Financial Co., Inc. 3.25%, 01/05/2023		90		91,830
3.50%, 11/07/2024		181		184,278
3.70%, 05/09/2023		199		204,656
3.95%, 04/13/2024		342		353,169
4.00%, 10/06/2026		30		30,928
4.15%, 06/19/2023		207		216,039
4.25%, 05/15/2023		200		208,641
4.30%, 07/13/2025		77		80,567
5.10%, 01/17/2024		117		125,336
5.20%, 03/20/2023		296		316,311

20

	Principal Amount (000)		U.S. $ Value
5.25%, 03/01/2026	U.S.$	130	$	141,675
5.65%, 01/17/2029		270		304,016
Harley-Davidson Financial Services, Inc. 3.35%, 06/08/2025(a)		654		668,037
Lear Corp. 3.50%, 05/30/2030		640		631,080
3.80%, 09/15/2027		391		395,944
Nissan Motor Acceptance Corp. 2.60%, 09/28/2022(a)		54		52,966
2.80%, 01/13/2022(a)		48		47,320
3.45%, 03/15/2023(a)		74		73,624
3.875%, 09/21/2023(a)		258		258,048
				6,076,586
Consumer Cyclical - Entertainment – 0.9%
Carnival Corp. 11.50%, 04/01/2023(a)		3,391		3,678,992
Royal Caribbean Cruises Ltd. 10.875%, 06/01/2023(a)		1,315		1,351,162
11.50%, 06/01/2025(a)		2,370		2,476,650
Silversea Cruise Finance Ltd. 7.25%, 02/01/2025(a)		1,409		1,327,937
				8,834,741
Consumer Cyclical - Other – 0.9%
James Hardie International Finance DAC 4.75%, 01/15/2025(a)		285		289,971
5.00%, 01/15/2028(a)		273		280,955
Lennar Corp. 4.75%, 11/29/2027		25		27,117
Marriott International, Inc./MD Series EE 5.75%, 05/01/2025		314		341,225
MDC Holdings, Inc. 6.00%, 01/15/2043		2,105		2,216,109
Owens Corning 7.00%, 12/01/2036		777		1,001,069
PulteGroup, Inc. 5.00%, 01/15/2027		48		51,357
5.50%, 03/01/2026		52		56,740
6.00%, 02/15/2035		500		576,096
7.875%, 06/15/2032		1,400		1,790,687
Standard Industries, Inc./NJ 4.375%, 07/15/2030(a)		929		926,370
4.75%, 01/15/2028(a)		76		77,052
6.00%, 10/15/2025(a)		934		959,935
Toll Brothers Finance Corp. 4.875%, 03/15/2027		1,124		1,210,531
				9,805,214
Consumer Cyclical - Retailers – 0.1%
TJX Cos., Inc. (The) 3.50%, 04/15/2025		605		673,233

21

	Principal Amount (000)			U.S. $ Value
Consumer Non-Cyclical – 0.4%
BAT Capital Corp. 4.70%, 04/02/2027		U.S.$	712	$	816,547
CVS Health Corp. 3.625%, 04/01/2027			85		95,794
4.78%, 03/25/2038			2,140		2,647,807
HCA, Inc. 4.50%, 02/15/2027			65		72,382
5.00%, 03/15/2024			330		366,559
5.25%, 06/15/2026			165		190,373
Sysco Corp. 5.65%, 04/01/2025			176		205,959
5.95%, 04/01/2030			106		133,203
					4,528,624
Energy – 1.5%
Cenovus Energy, Inc. 6.75%, 11/15/2039			67		65,750
Cheniere Corpus Christi Holdings LLC 7.00%, 06/30/2024			683		777,846
Ecopetrol SA 5.875%, 05/28/2045			1,093		1,149,016
6.875%, 04/29/2030			1,035		1,186,369
Energy Transfer Operating LP 4.75%, 01/15/2026			806		879,524
Energy Transfer Partners LP/Regency Energy Finance Corp. 4.50%, 11/01/2023			546		584,631
Kinder Morgan, Inc. Series G 7.80%, 08/01/2031			1,066		1,445,644
Kinder Morgan, Inc./DE Series G 7.75%, 01/15/2032			328		461,741
Marathon Petroleum Corp. 4.50%, 05/01/2023			847		912,958
4.70%, 05/01/2025			731		818,341
ONEOK, Inc. 2.20%, 09/15/2025			381		373,683
2.75%, 09/01/2024			1,340		1,349,536
5.85%, 01/15/2026			849		970,401
Parsley Energy LLC/Parsley Finance Corp. 5.625%, 10/15/2027(a)			394		388,177
PBF Holding Co. LLC/PBF Finance Corp. 9.25%, 05/15/2025(a)			1,117		1,191,816
Plains All American Pipeline LP/PAA Finance Corp. 3.60%, 11/01/2024			221		226,227
4.50%, 12/15/2026			388		411,224
4.65%, 10/15/2025			1,193		1,274,479
Southern Star Central Corp. 5.125%, 07/15/2022(a)			796		795,842
Sunoco Logistics Partners Operations LP 3.90%, 07/15/2026			121		127,428
					15,390,633

22

	Principal Amount (000)			U.S. $ Value
Other Industrial – 0.2%
Alfa SAB de CV 5.25%, 03/25/2024(a)		U.S.$	1,580	$	1,673,319
6.875%, 03/25/2044(a)			214		247,638
					1,920,957
Services – 0.3%
Expedia Group, Inc. 6.25%, 05/01/2025(a)			400		424,961
7.00%, 05/01/2025(a)			1,381		1,446,361
Verisk Analytics, Inc. 5.50%, 06/15/2045			636		874,143
					2,745,465
Technology – 0.7%
Baidu, Inc. 3.075%, 04/07/2025			293		307,678
3.425%, 04/07/2030			204		219,571
Broadcom, Inc. 4.70%, 04/15/2025(a)			759		855,780
Dell International LLC/EMC Corp. 5.85%, 07/15/2025(a)			20		22,964
6.02%, 06/15/2026(a)			1,318		1,507,861
8.35%, 07/15/2046(a)			524		695,496
Nokia Oyj 6.625%, 05/15/2039			527		609,545
Seagate HDD Cayman 4.091%, 06/01/2029(a)			1,573		1,641,835
4.875%, 06/01/2027			545		590,850
Western Digital Corp. 4.75%, 02/15/2026			1,023		1,057,422
					7,509,002
Transportation - Airlines – 0.6%
Delta Air Lines, Inc. 7.00%, 05/01/2025(a)			1,548		1,597,882
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. 6.50%, 06/20/2027(a)			2,484		2,486,724
Southwest Airlines Co. 4.75%, 05/04/2023			865		888,561
5.25%, 05/04/2025			901		948,833
					5,922,000
Transportation - Services – 0.3%
Aviation Capital Group LLC 2.875%, 01/20/2022(a)			918		879,302
3.50%, 11/01/2027(a)			158		130,183
3.875%, 05/01/2023(a)			588		558,018
4.125%, 08/01/2025(a)			395		355,252
4.875%, 10/01/2025(a)			251		230,223

23

	Principal Amount (000)			U.S. $ Value
DP World Crescent Ltd. 3.875%, 07/18/2029(a)		U.S.$	225	$	220,781
DP World PLC 5.625%, 09/25/2048(a)			332		361,069
					2,734,828
					89,106,140
Financial Institutions – 8.3%
Banking – 5.4%
ABN AMRO Bank NV Series E 6.25%, 04/27/2022(a)			292		316,223
Ally Financial, Inc. 8.00%, 11/01/2031			1,456		1,886,612
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5.375%, 04/17/2025(a)			847		926,957
Banco Santander SA 2.746%, 05/28/2025			600		620,935
3.49%, 05/28/2030			400		427,950
Bank of America Corp. Series DD 6.30%, 03/10/2026(l)			3,043		3,374,210
Series Z 6.50%, 10/23/2024(l)			57		61,065
Bank of New York Mellon Corp. (The) Series G 4.70%, 09/20/2025(l)			412		428,539
Barclays Bank PLC 6.86%, 06/15/2032(a) (l)			166		202,520
Barclays PLC 7.125%, 06/15/2025(l)		GBP	404		494,176
7.25%, 03/15/2023(a) (l)			219		269,246
7.875%, 03/15/2022(a) (l)		U.S.$	243		246,885
8.00%, 12/15/2020(l)		EUR	343		385,842
BNP Paribas SA 6.75%, 03/14/2022(a) (l)		U.S.$	418		424,946
7.625%, 03/30/2021(a) (l)			93		94,477
BPCE SA 5.70%, 10/22/2023(a)			208		232,058
CIT Group, Inc. 3.929%, 06/19/2024			364		353,116
Citigroup, Inc. 3.106%, 04/08/2026			1,045		1,123,375
5.95%, 01/30/2023(l)			2,689		2,677,298
Series U 5.00%, 09/12/2024(l)			105		98,568
Series V 4.70%, 01/30/2025(l)			868		775,097
Comerica, Inc. 5.625%, 07/01/2025(l)			2,340		2,385,973

24

	Principal Amount (000)			U.S. $ Value
Credit Agricole SA 8.125%, 12/23/2025(a) (l)		U.S.$	1,909	$	2,180,477
Danske Bank A/S Series E 5.875%, 04/06/2022(a) (l)		EUR	1,096		1,240,591
DNB Bank ASA 6.50%, 03/26/2022(a) (l)		U.S.$	1,555		1,596,339
Goldman Sachs Group, Inc. (The) 3.50%, 04/01/2025			953		1,045,142
Series O 5.30%, 11/10/2026(l)			157		158,756
Series P 5.00%, 11/10/2022(l)			1,429		1,320,626
HSBC Holdings PLC 6.00%, 09/29/2023(a) (l)		EUR	1,507		1,759,142
Series E 4.75%, 07/04/2029(a) (l)			1,881		1,998,068
ING Groep NV 6.50%, 04/16/2025(l)		U.S.$	520		531,301
6.875%, 04/16/2022(a) (l)			250		258,830
JPMorgan Chase & Co. Series FF 5.00%, 08/01/2024(l)			82		78,591
Series HH 4.60%, 02/01/2025(l)			575		512,620
Series V 4.753% (LIBOR 3 Month + 3.32%), 10/01/2020(l) (m)			210		186,508
Lloyds Banking Group PLC 6.413%, 10/01/2035(a) (l)			235		254,881
6.657%, 05/21/2037(a) (l)			98		110,364
7.625%, 06/27/2023(a) (l)		GBP	1,760		2,225,457
Nationwide Building Society 4.302%, 03/08/2029(a)		U.S.$	1,500		1,701,689
Nordea Bank Abp 6.625%, 03/26/2026(a) (l)			3,065		3,272,196
Regions Bank/Birmingham AL 6.45%, 06/26/2037			1,500		2,034,237
Royal Bank of Scotland Group PLC 8.625%, 08/15/2021(l)			3,518		3,644,287
Series U 2.628% (LIBOR 3 Month + 2.32%), 09/30/2027(l) (m)			1,100		1,008,892
Santander Holdings USA, Inc. 3.244%, 10/05/2026			455		471,951
4.40%, 07/13/2027			739		800,142
Standard Chartered PLC 7.50%, 04/02/2022(a) (l)			1,269		1,310,246
7.75%, 04/02/2023(a) (l)			440		459,873
Swedbank AB Series NC5 5.625%, 09/17/2024(a) (l)			1,000		1,015,873

25

	Principal Amount (000)			U.S. $ Value
Truist Financial Corp. Series P 4.95%, 09/01/2025(l)		U.S.$	2,201	$	2,249,596
Series Q 5.10%, 03/01/2030(l)			855		878,527
UBS Group AG 7.00%, 02/19/2025(a) (l)			2,492		2,741,715
					54,852,985
Brokerage – 0.1%
Charles Schwab Corp. (The) Series G 5.375%, 06/01/2025(l)			1,317		1,397,617
Finance – 0.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 2.875%, 08/14/2024			192		178,208
3.30%, 01/23/2023			192		187,487
3.65%, 07/21/2027			546		487,884
3.875%, 01/23/2028			354		320,372
4.125%, 07/03/2023			192		187,648
4.50%, 09/15/2023			492		491,885
6.50%, 07/15/2025			297		310,043
Synchrony Financial 2.85%, 07/25/2022			603		613,085
4.25%, 08/15/2024			183		191,942
4.375%, 03/19/2024			374		395,303
4.50%, 07/23/2025			433		459,776
					3,823,633
Insurance – 2.0%
Allstate Corp. (The) 6.50%, 05/15/2057			1,657		2,011,134
American International Group, Inc. 6.82%, 11/15/2037			1,425		1,956,500
Aon Corp. 8.205%, 01/01/2027			690		835,634
Assicurazioni Generali SpA Series E 5.50%, 10/27/2047(a)		EUR	1,500		1,921,776
Caisse Nationale de Reassurance Mutuelle Agricole Groupama 6.00%, 01/23/2027			1,400		1,889,426
Centene Corp. 4.75%, 01/15/2025		U.S.$	491		502,130
5.375%, 08/15/2026(a)			595		619,075
Liberty Mutual Group, Inc. 7.80%, 03/15/2037(a)			2,559		3,066,915
MetLife, Inc. 10.75%, 08/01/2039			2,350		3,633,146
Prudential Financial, Inc. 5.20%, 03/15/2044			340		348,005
5.625%, 06/15/2043			1,082		1,150,570
SCOR SE 3.00%, 06/08/2046(a)		EUR	200		246,631

26

	Principal Amount (000)		U.S. $ Value
Transatlantic Holdings, Inc. 8.00%, 11/30/2039	U.S.$	1,261	$	1,866,217
				20,047,159
REITS – 0.4%
GLP Capital LP/GLP Financing II, Inc. 5.25%, 06/01/2025		130		141,341
5.375%, 04/15/2026		733		802,014
MPT Operating Partnership LP/MPT Finance Corp. 4.625%, 08/01/2029		342		344,404
5.00%, 10/15/2027		344		353,970
5.25%, 08/01/2026		137		142,510
5.50%, 05/01/2024		264		269,408
Sabra Health Care LP 4.80%, 06/01/2024		710		712,415
Spirit Realty LP 4.45%, 09/15/2026		193		200,051
Trust Fibra Uno 4.869%, 01/15/2030(a)		623		627,088
6.39%, 01/15/2050(a)		395		415,244
				4,008,445
				84,129,839
Utility – 0.1%
Electric – 0.1%
NextEra Energy Capital Holdings, Inc. 2.75%, 05/01/2025		582		630,806
Total Corporates - Investment Grade (cost $158,986,681)				173,866,785
COLLATERALIZED MORTGAGE OBLIGATIONS – 11.6%
Risk Share Floating Rate – 9.7%
Bellemeade Re Ltd. Series 2018-2A, Class M1B 1.535% (LIBOR 1 Month + 1.35%), 08/25/2028(a) (m)		971		965,500
Series 2018-3A, Class M2 2.935% (LIBOR 1 Month + 2.75%), 10/25/2028(a) (m)		915		840,341
Series 2019-3A, Class M1C 2.135% (LIBOR 1 Month + 1.95%), 07/25/2029(a) (m)		1,555		1,449,638
Series 2019-4A, Class M2 3.035% (LIBOR 1 Month + 2.85%), 10/25/2029(a) (m)		475		348,259
Connecticut Avenue Securities Trust Series 2018-R07, Class 1B1 4.535% (LIBOR 1 Month + 4.35%), 04/25/2031(a) (m)		441		431,427
Series 2019-R05, Class 1M2 2.185% (LIBOR 1 Month + 2.00%), 07/25/2039(a) (m)		669		654,579

27

	Principal Amount (000)		U.S. $ Value
Series 2020-SBT1, Class 1M2 3.835% (LIBOR 1 Month + 3.65%), 02/25/2040(a) (m)	U.S.$	1,062	$	992,695
Series 2020-SBT1, Class 2M2 3.835% (LIBOR 1 Month + 3.65%), 02/25/2040(a) (m)		182		174,548
Eagle Re Ltd. Series 2018-1, Class M2 3.185% (LIBOR 1 Month + 3.00%), 11/25/2028(a) (m)		2,764		2,626,466
Series 2019-1, Class M2 3.485% (LIBOR 1 Month + 3.30%), 04/25/2029(a) (m)		180		171,771
Series 2020-1, Class M2 2.185% (LIBOR 1 Month + 2.00%), 01/25/2030(a) (m)		558		383,272
Federal Home Loan Mortgage Corp. Series 2018-HQA2, Class M2 2.485% (LIBOR 1 Month + 2.30%), 10/25/2048(a) (m)		2,257		2,173,542
Series 2019-DNA1, Class M2 2.835% (LIBOR 1 Month + 2.65%), 01/25/2049(a) (m)		409		402,982
Series 2020-DNA1, Class M1 0.885% (LIBOR 1 Month + 0.70%), 01/25/2050(a) (m)		97		96,566
Series 2020-HQA2, Class M2 3.285% (LIBOR 1 Month + 3.10%), 03/25/2050(a) (m)		99		94,452
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2013-DN1, Class M2 7.335% (LIBOR 1 Month + 7.15%), 07/25/2023(m)		922		808,315
Series 2013-DN2, Class M2 4.435% (LIBOR 1 Month + 4.25%), 11/25/2023(m)		1,578		1,255,097
Series 2014-DN1, Class M3 4.685% (LIBOR 1 Month + 4.50%), 02/25/2024(m)		1,939		1,669,922
Series 2014-DN2, Class M3 3.785% (LIBOR 1 Month + 3.60%), 04/25/2024(m)		250		220,225
Series 2014-DN3, Class M3 4.185% (LIBOR 1 Month + 4.00%), 08/25/2024(m)		158		160,299
Series 2014-HQ1, Class M3 4.285% (LIBOR 1 Month + 4.10%), 08/25/2024(m)		1,036		1,046,052
Series 2014-HQ2, Class M3 3.935% (LIBOR 1 Month + 3.75%), 09/25/2024(m)		3,710		3,787,129
Series 2014-HQ3, Class M3 4.935% (LIBOR 1 Month + 4.75%), 10/25/2024(m)		2,403		2,461,497

28

	Principal Amount (000)		U.S. $ Value
Series 2015-DN1, Class B 11.685% (LIBOR 1 Month + 11.50%), 01/25/2025(m)	U.S.$	2,170	$	1,919,500
Series 2015-DN1, Class M3 4.335% (LIBOR 1 Month + 4.15%), 01/25/2025(m)		663		672,767
Series 2015-DNA1, Class B 9.385% (LIBOR 1 Month + 9.20%), 10/25/2027(m)		594		586,546
Series 2015-DNA1, Class M3 3.485% (LIBOR 1 Month + 3.30%), 10/25/2027(m)		250		253,767
Series 2015-DNA2, Class B 7.735% (LIBOR 1 Month + 7.55%), 12/25/2027(m)		1,452		1,340,976
Series 2015-DNA3, Class B 9.535% (LIBOR 1 Month + 9.35%), 04/25/2028(m)		1,020		1,001,979
Series 2015-DNA3, Class M3 4.885% (LIBOR 1 Month + 4.70%), 04/25/2028(m)		540		561,775
Series 2015-HQ1, Class B 10.935% (LIBOR 1 Month + 10.75%), 03/25/2025(m)		3,832		3,709,549
Series 2015-HQ1, Class M3 3.985% (LIBOR 1 Month + 3.80%), 03/25/2025(m)		219		221,582
Series 2015-HQA1, Class B 8.985% (LIBOR 1 Month + 8.80%), 03/25/2028(m)		1,005		990,194
Series 2016-DNA2, Class B 10.685% (LIBOR 1 Month + 10.50%), 10/25/2028(m)		856		893,670
Series 2016-DNA3, Class B 11.435% (LIBOR 1 Month + 11.25%), 12/25/2028(m)		2,759		2,984,010
Series 2016-DNA3, Class M3 5.185% (LIBOR 1 Month + 5.00%), 12/25/2028(m)		964		994,083
Series 2016-DNA4, Class B 8.785% (LIBOR 1 Month + 8.60%), 03/25/2029(m)		394		380,452
Series 2016-DNA4, Class M3 3.985% (LIBOR 1 Month + 3.80%), 03/25/2029(m)		1,724		1,741,195
Series 2016-HQA2, Class B 11.685% (LIBOR 1 Month + 11.50%), 11/25/2028(m)		421		481,503
Series 2016-HQA2, Class M3 5.335% (LIBOR 1 Month + 5.15%), 11/25/2028(m)		1,035		1,081,517
Series 2016-HQA4, Class M3 4.085% (LIBOR 1 Month + 3.90%), 04/25/2029(m)		979		1,007,426

29

	Principal Amount (000)		U.S. $ Value
Series 2017-DNA1, Class B1 5.135% (LIBOR 1 Month + 4.95%), 07/25/2029(m)	U.S.$	310	$	321,917
Series 2017-DNA2, Class B1 5.335% (LIBOR 1 Month + 5.15%), 10/25/2029(m)		978		1,011,309
Series 2017-DNA2, Class M2 3.635% (LIBOR 1 Month + 3.45%), 10/25/2029(m)		1,374		1,392,492
Series 2017-DNA3, Class B1 4.635% (LIBOR 1 Month + 4.45%), 03/25/2030(m)		615		609,289
Series 2017-HQA1, Class M2 3.735% (LIBOR 1 Month + 3.55%), 08/25/2029(m)		1,846		1,875,211
Series 2018-HQA1, Class M2 2.485% (LIBOR 1 Month + 2.30%), 09/25/2030(m)		387		381,701
Series 2019-DNA3, Class M2 2.235% (LIBOR 1 Month + 2.05%), 07/25/2049(a) (m)		500		489,228
Federal National Mortgage Association Connecticut Avenue Securities Series 2014-C01, Class M2 4.585% (LIBOR 1 Month + 4.40%), 01/25/2024(m)		3,658		3,220,874
Series 2014-C03, Class 1M2 3.185% (LIBOR 1 Month + 3.00%), 07/25/2024(m)		2,256		1,975,688
Series 2014-C03, Class 2M2 3.085% (LIBOR 1 Month + 2.90%), 07/25/2024(m)		98		89,996
Series 2014-C04, Class 1M2 5.085% (LIBOR 1 Month + 4.90%), 11/25/2024(m)		2,737		2,810,129
Series 2015-C01, Class 1M2 4.485% (LIBOR 1 Month + 4.30%), 02/25/2025(m)		1,704		1,717,797
Series 2015-C01, Class 2M2 4.735% (LIBOR 1 Month + 4.55%), 02/25/2025(m)		569		569,791
Series 2015-C02, Class 1M2 4.185% (LIBOR 1 Month + 4.00%), 05/25/2025(m)		520		524,313
Series 2015-C03, Class 1M2 5.185% (LIBOR 1 Month + 5.00%), 07/25/2025(m)		1,605		1,636,971
Series 2015-C04, Class 1M2 5.885% (LIBOR 1 Month + 5.70%), 04/25/2028(m)		1,838		1,931,947
Series 2015-C04, Class 2M2 5.735% (LIBOR 1 Month + 5.55%), 04/25/2028(m)		569		602,437

30

	Principal Amount (000)		U.S. $ Value
Series 2016-C01, Class 1B 11.935% (LIBOR 1 Month + 11.75%), 08/25/2028(m)	U.S.$	678	$	734,552
Series 2016-C01, Class 1M2 6.935% (LIBOR 1 Month + 6.75%), 08/25/2028(m)		2,279		2,387,974
Series 2016-C01, Class 2M2 7.135% (LIBOR 1 Month + 6.95%), 08/25/2028(m)		405		427,070
Series 2016-C02, Class 1B 12.435% (LIBOR 1 Month + 12.25%), 09/25/2028(m)		449		498,703
Series 2016-C02, Class 1M2 6.185% (LIBOR 1 Month + 6.00%), 09/25/2028(m)		1,580		1,638,014
Series 2016-C03, Class 1B 11.935% (LIBOR 1 Month + 11.75%), 10/25/2028(m)		372		417,704
Series 2016-C03, Class 2B 12.935% (LIBOR 1 Month + 12.75%), 10/25/2028(m)		630		759,816
Series 2016-C03, Class 2M2 6.085% (LIBOR 1 Month + 5.90%), 10/25/2028(m)		2,971		3,088,473
Series 2016-C04, Class 1B 10.435% (LIBOR 1 Month + 10.25%), 01/25/2029(m)		1,486		1,582,122
Series 2016-C05, Class 2B 11.244% (LIBOR 1 Month + 10.75%), 01/25/2029(m)		1,819		1,927,326
Series 2016-C06, Class 1B 9.435% (LIBOR 1 Month + 9.25%), 04/25/2029(m)		1,285		1,357,806
Series 2016-C07, Class 2B 9.685% (LIBOR 1 Month + 9.50%), 05/25/2029(m)		1,559		1,540,069
Series 2016-C07, Class 2M2 4.535% (LIBOR 1 Month + 4.35%), 05/25/2029(m)		183		189,586
Series 2017-C01, Class 1B1 5.935% (LIBOR 1 Month + 5.75%), 07/25/2029(m)		460		483,801
Series 2017-C01, Class 1M2 3.735% (LIBOR 1 Month + 3.55%), 07/25/2029(m)		1,185		1,205,093
Series 2017-C02, Class 2M2 3.835% (LIBOR 1 Month + 3.65%), 09/25/2029(m)		1,274		1,273,914
Series 2017-C03, Class 1B1 5.035% (LIBOR 1 Month + 4.85%), 10/25/2029(m)		312		327,752
Series 2017-C03, Class 1M2 3.185% (LIBOR 1 Month + 3.00%), 10/25/2029(m)		181		181,628

31

	Principal Amount (000)		U.S. $ Value
Series 2017-C05, Class 1B1 3.785% (LIBOR 1 Month + 3.60%), 01/25/2030(m)	U.S.$	319	$	303,805
Series 2017-C06, Class 2M2 2.985% (LIBOR 1 Month + 2.80%), 02/25/2030(m)		31		30,054
Series 2018-C01, Class 1B1 3.735% (LIBOR 1 Month + 3.55%), 07/25/2030(m)		1,102		1,060,710
Series 2018-C04, Class 2M2 2.735% (LIBOR 1 Month + 2.55%), 12/25/2030(m)		422		415,370
Home Re Ltd. Series 2018-1, Class M2 3.185% (LIBOR 1 Month + 3.00%), 10/25/2028(a) (m)		988		838,342
JP Morgan Madison Avenue Securities Trust Series 2015-CH1, Class M2 5.685% (LIBOR 1 Month + 5.50%), 10/25/2025(g) (m)		1,208		1,074,764
Mortgage Insurance-Linked Notes Series 2019-1, Class M2 3.085% (LIBOR 1 Month + 2.90%), 11/26/2029(a) (m)		2,683		2,267,425
Oaktown Re III Ltd. Series 2019-1A, Class M2 2.735% (LIBOR 1 Month + 2.55%), 07/25/2029(a) (m)		3,150		2,925,678
Oaktown Re Ltd. Series 2017-1A, Class M2 4.185% (LIBOR 1 Month + 4.00%), 04/25/2027(a) (m)		208		205,773
Radnor Re Ltd. Series 2018-1, Class M2 2.885% (LIBOR 1 Month + 2.70%), 03/25/2028(a) (m)		150		141,120
Series 2019-1, Class M2 3.385% (LIBOR 1 Month + 3.20%), 02/25/2029(a) (m)		1,500		1,422,819
STACR Trust Series 2018-DNA3, Class M2 2.285% (LIBOR 1 Month + 2.10%), 09/25/2048(a) (m)		1,631		1,569,547
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2 5.685% (LIBOR 1 Month + 5.50%), 11/25/2025(g) (m)		465		429,011
				97,903,976
Non-Agency Fixed Rate – 0.7%
Alternative Loan Trust Series 2006-24CB, Class A15 5.75%, 08/25/2036		695		537,600

32

	Principal Amount (000)		U.S. $ Value
Series 2006-42, Class 1A6 6.00%, 01/25/2047	U.S.$	592	$	475,926
Series 2006-HY12, Class A5 3.565%, 08/25/2036		1,001		1,006,397
Series 2006-J1, Class 1A10 5.50%, 02/25/2036		899		808,080
Series 2006-J5, Class 1A1 6.50%, 09/25/2036		769		605,868
Bear Stearns ARM Trust Series 2007-3, Class 1A1 3.847%, 05/25/2047		151		140,536
Series 2007-4, Class 22A1 3.673%, 06/25/2047		640		578,398
ChaseFlex Trust Series 2007-1, Class 1A3 6.50%, 02/25/2037		473		260,620
CHL Mortgage Pass-Through Trust Series 2007-HY4, Class 1A1 3.772%, 09/25/2047		157		141,889
Citigroup Mortgage Loan Trust Series 2007-AR4, Class 1A1A 4.004%, 03/25/2037		104		94,835
CitiMortgage Alternative Loan Trust Series 2007-A3, Class 1A4 5.75%, 03/25/2037		756		715,487
CSMC Mortgage-Backed Trust Series 2006-7, Class 3A12 6.25%, 08/25/2036		276		190,374
Residential Accredit Loans, Inc. Trust Series 2005-QS14, Class 3A1 6.00%, 09/25/2035		379		360,885
Residential Asset Securitization Trust Series 2006-A8, Class 3A4 6.00%, 08/25/2036		167		121,001
Washington Mutual Mortgage Pass-Through Certificates Trust Series 2006-9, Class A4 4.584%, 10/25/2036		1,406		576,737
Wells Fargo Mortgage Backed Securities Trust Series 2007-AR7, Class A1 4.338%, 12/28/2037		646		580,686
				7,195,319
Non-Agency Floating Rate – 0.6%
Alternative Loan Trust Series 2007-7T2, Class A3 0.785% (LIBOR 1 Month + 0.60%), 04/25/2037(m)		2,374		732,873
Citigroup Mortgage Loan Trust Series 2005-8, Class 2A2 4.616% (4.80% – LIBOR 1 Month), 09/25/2035(m) (n)		183		8,843
Countrywide Home Loan Mortgage Pass-Through Trust Series 2007-13, Class A7 0.785% (LIBOR 1 Month + 0.60%), 08/25/2037(m)		422		196,442

33

	Principal Amount (000)			U.S. $ Value
First Horizon Alternative Mortgage Securities Trust Series 2007-FA2, Class 1A10 0.435% (LIBOR 1 Month + 0.25%), 04/25/2037(m)		U.S.$	276	$	80,972
Series 2007-FA2, Class 1A6 5.366% (5.55% – LIBOR 1 Month), 04/25/2037(m) (n)			93		19,513
Lehman XS Trust Series 2007-10H, Class 2AIO 6.827% (7.00% – LIBOR 1 Month), 07/25/2037(m) (n)			225		44,344
Residential Accredit Loans, Inc. Trust Series 2006-QS18, Class 2A2 6.366% (6.55% – LIBOR 1 Month), 12/25/2036(m) (n)			3,122		733,973
Wachovia Mortgage Loan Trust Series 2006-ALT1, Class A2 0.528% (LIBOR 1 Month + 0.18%), 01/25/2037(m)			7,803		4,333,800
					6,150,760
Agency Fixed Rate – 0.6%
Federal Home Loan Mortgage Corp. REMICs Series 4767, Class KI 6.00%, 03/15/2048(o)			18,028		4,097,536
Freddie Mac Strips Series 247, Class 54 5.50%, 04/15/2036(o)			8,676		1,748,385
					5,845,921
Total Collateralized Mortgage Obligations (cost $118,299,072)					117,095,976
EMERGING MARKETS - SOVEREIGNS – 10.1%
Angola – 0.4%
Angolan Government International Bond 8.00%, 11/26/2029(a)			835		690,962
8.25%, 05/09/2028(a)			400		331,000
9.125%, 11/26/2049(a)			399		326,183
9.375%, 05/08/2048(a)			222		181,485
9.50%, 11/12/2025(a)			2,756		2,494,180
					4,023,810
Argentina – 1.0%
Argentine Republic Government International Bond 5.625%, 01/26/2022(c) (i)			482		198,825
5.875%, 01/11/2028(c) (i)			1,165		463,670
6.625%, 07/06/2028(c) (i)			443		174,570
6.875%, 01/26/2027-01/11/2048(c) (i)			17,959		7,079,108
7.50%, 04/22/2026(c) (i)			4,510		1,812,456
7.82%, 12/31/2033(c) (i)		EUR	1,236		590,759

34

	Principal Amount (000)		U.S. $ Value
Series NY 3.75%, 12/31/2038(c) (i)	U.S.$	796	$	311,343
				10,630,731
Bahrain – 0.5%
Bahrain Government International Bond 5.625%, 09/30/2031(a)		1,193		1,202,693
6.75%, 09/20/2029(a)		528		577,170
7.00%, 10/12/2028(a)		1,253		1,397,878
CBB International Sukuk Programme Co. SPC 6.25%, 11/14/2024(a)		1,547		1,637,887
				4,815,628
Brazil – 0.6%
Brazilian Government International Bond 3.875%, 06/12/2030		2,191		2,114,315
4.625%, 01/13/2028		3,530		3,706,500
				5,820,815
Costa Rica – 0.3%
Costa Rica Government International Bond 6.125%, 02/19/2031(a)		3,310		2,849,703
Dominican Republic – 1.0%
Dominican Republic International Bond 5.50%, 01/27/2025(a)		149		150,583
5.95%, 01/25/2027(a)		1,553		1,562,221
6.40%, 06/05/2049(a)		605		553,764
7.45%, 04/30/2044(a)		1,283		1,318,283
8.625%, 04/20/2027(a)		5,719		6,371,323
				9,956,174
Ecuador – 0.2%
Ecuador Government International Bond 7.875%, 01/23/2028(c) (g) (i)		1,381		566,210
7.95%, 06/20/2024(a) (c) (i)		667		328,984
9.50%, 03/27/2030(c) (g) (i)		449		189,703
10.75%, 01/31/2029(c) (g) (i)		200		83,000
10.875%, 03/28/2022(c) (g) (i)		2,808		1,382,940
				2,550,837
Egypt – 1.1%
Egypt Government International Bond 6.125%, 01/31/2022(a)		3,559		3,644,638
6.20%, 03/01/2024(a)		2,743		2,815,004
7.625%, 05/29/2032(a)		1,075		1,049,805
8.50%, 01/31/2047(a)		1,378		1,346,995
8.70%, 03/01/2049(a)		998		977,728

35

	Principal Amount (000)			U.S. $ Value
8.875%, 05/29/2050(a)		U.S.$	1,096	$	1,082,300
					10,916,470
El Salvador – 0.3%
El Salvador Government International Bond 5.875%, 01/30/2025(a)			146		127,659
7.125%, 01/20/2050(a)			2,402		1,957,630
7.625%, 09/21/2034(a)			762		651,510
7.65%, 06/15/2035(a)			16		13,740
7.75%, 01/24/2023(a)			339		316,011
					3,066,550
Gabon – 0.3%
Gabon Government International Bond 6.375%, 12/12/2024(a)			789		746,789
6.625%, 02/06/2031(a)			1,870		1,671,312
6.95%, 06/16/2025(a)			1,050		983,063
					3,401,164
Ghana – 0.3%
Ghana Government International Bond 6.375%, 02/11/2027(a)			2,087		1,949,389
10.75%, 10/14/2030(a)			780		933,806
					2,883,195
Guatemala – 0.1%
Guatemala Government Bond 5.375%, 04/24/2032(a)			200		220,563
6.125%, 06/01/2050(a)			357		412,781
					633,344
Honduras – 0.3%
Honduras Government International Bond 6.25%, 01/19/2027(a)			1,748		1,868,175
7.50%, 03/15/2024(a)			730		788,400
8.75%, 12/16/2020(a)			320		325,500
					2,982,075
Iraq – 0.1%
Iraq International Bond 5.80%, 01/15/2028(a)			264		237,352
6.752%, 03/09/2023(a)			402		370,594
					607,946
Ivory Coast – 0.5%
Ivory Coast Government International Bond 5.125%, 06/15/2025(a)		EUR	168		189,869
5.875%, 10/17/2031(a)			1,880		1,983,469
6.375%, 03/03/2028(a)		U.S.$	2,678		2,737,418

36

	Principal Amount (000)			U.S. $ Value
6.625%, 03/22/2048(a)		EUR	331	$	336,104
					5,246,860
Jamaica – 0.1%
Jamaica Government International Bond 7.625%, 07/09/2025		U.S.$	506		565,929
Jordan – 0.1%
Jordan Government International Bond 5.75%, 01/31/2027(a)			634		655,992
Kenya – 0.5%
Kenya Government International Bond 6.875%, 06/24/2024(a)			3,550		3,599,922
7.00%, 05/22/2027(a)			837		826,276
7.25%, 02/28/2028(a)			649		641,090
					5,067,288
Lebanon – 0.0%
Lebanon Government International Bond 6.65%, 04/22/2024(a) (c) (i)			427		73,257
6.85%, 03/23/2027(a) (c) (i)			454		77,464
Series G 1.00%, 11/27/2026(a) (c) (i)			1,654		286,866
					437,587
Mongolia – 0.2%
Mongolia Government International Bond 5.125%, 12/05/2022(a)			2,426		2,404,772
10.875%, 04/06/2021(a)			200		207,500
					2,612,272
Nigeria – 0.5%
Nigeria Government International Bond 6.375%, 07/12/2023(a)			740		752,719
6.50%, 11/28/2027(a)			388		367,266
6.75%, 01/28/2021(a)			288		291,870
7.625%, 11/21/2025(a)			3,385		3,453,665
7.875%, 02/16/2032(a)			489		459,965
					5,325,485
Oman – 0.5%
Oman Government International Bond 4.125%, 01/17/2023(a)			4,265		4,182,366
4.75%, 06/15/2026(a)			550		508,578
6.00%, 08/01/2029(a)			210		195,694
					4,886,638
Pakistan – 0.0%
Pakistan Government International Bond 6.875%, 12/05/2027(a)			215		211,527

37

	Principal Amount (000)			U.S. $ Value
Senegal – 0.3%
Senegal Government International Bond 6.25%, 05/23/2033(a)		U.S.$	593	$	603,563
6.75%, 03/13/2048(a)			1,928		1,866,545
8.75%, 05/13/2021(a)			310		320,753
					2,790,861
South Africa – 0.2%
Republic of South Africa Government International Bond 5.75%, 09/30/2049			2,151		1,859,271
Sri Lanka – 0.1%
Sri Lanka Government International Bond 6.125%, 06/03/2025(a)			350		231,000
6.20%, 05/11/2027(a)			685		440,112
					671,112
Ukraine – 0.6%
Ukraine Government International Bond 7.375%, 09/25/2032(a)			305		306,334
7.75%, 09/01/2021-09/01/2024(a)			6,169		6,441,025
					6,747,359
Venezuela – 0.0%
Venezuela Government International Bond 9.25%, 09/15/2027(c) (i)			7,978		478,680
9.25%, 05/07/2028(a) (c) (i)			300		18,000
					496,680
Total Emerging Markets - Sovereigns (cost $115,198,501)					102,713,303
GOVERNMENTS - TREASURIES – 7.7%
Colombia – 0.6%
Colombian TES Series B 10.00%, 07/24/2024		COP	18,165,600		5,934,418
Indonesia – 0.7%
Indonesia Treasury Bond Series FR78 8.25%, 05/15/2029		IDR	100,018,000		7,449,713
Mexico – 0.2%
Mexican Bonos Series M 20 7.50%, 06/03/2027		MXN	46,433		2,252,509
Russia – 0.8%
Russian Federal Bond - OFZ Series 6209 7.60%, 07/20/2022		RUB	37,074		552,436
Series 6212 7.05%, 01/19/2028			220,100		3,374,913

38

	Principal Amount (000)			U.S. $ Value
Series 6217 7.50%, 08/18/2021		RUB	274,943	$	3,989,537
					7,916,886
United States – 5.4%
U.S. Treasury Bonds 2.75%, 11/15/2042(p)		U.S.$	2,200		2,818,063
5.00%, 05/15/2037(p)			1,900		3,116,594
5.25%, 02/15/2029(q)			3,350		4,669,062
6.125%, 11/15/2027(r)			1,000		1,408,438
U.S. Treasury Notes 2.25%, 02/15/2027(q) (r) (s)			23,373		26,104,719
2.875%, 08/15/2028(q)			13,970		16,545,719
					54,662,595
Total Governments - Treasuries (cost $70,788,671)					78,216,121
BANK LOANS – 5.2%
Industrial – 4.7%
Basic – 0.1%
Illuminate Buyer, LLC 06/16/2027(t)			560		550,760
Capital Goods – 0.5%
Apex Tool Group, LLC 6.50% (LIBOR 1 Month + 5.25%), 08/01/2024(u)			2,246		2,003,447
Brookfield WEC Holdings Inc. (fka Westinghouse Electric Company LLC) 3.75% (LIBOR 1 Month + 3.00%), 08/01/2025(u)			869		837,628
BWay Holding Company 4.561% (LIBOR 3 Month + 3.25%), 04/03/2024(u)			997		892,734
Granite US Holdings Corporation 6.322% (LIBOR 3 Month + 5.25%), 09/30/2026(e) (u)			1,546		1,345,294
TransDigm Inc. 2.428% (LIBOR 1 Month + 2.25%), 12/09/2025(u)			351		314,909
Welbilt, Inc. (fka Manitowoc Foodservice, Inc.) 2.678% (LIBOR 1 Month + 2.50%), 10/23/2025(e) (u)			110		94,197
					5,488,209
Communications - Media – 0.2%
Clear Channel Outdoor Holdings, Inc. 4.26% (LIBOR 3 Month + 3.50%), 08/21/2026(u)			322		291,372
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.) 3.178% (LIBOR 1 Month + 3.00%), 05/01/2026(u)			398		365,830

39

	Principal Amount (000)		U.S. $ Value
LCPR Loan Financing LLC 5.185% (LIBOR 1 Month + 5.00%), 10/15/2026(e) (u)	U.S.$	578	$	572,616
Nielsen Finance LLC 4.75% (LIBOR 1 Month + 3.75%), 06/04/2025(e) (u)		450		444,937
				1,674,755
Communications - Telecommunications – 0.1%
West Corporation 5.00% (LIBOR 3 Month + 4.00%), 10/10/2024(u)		1,104		938,269
Consumer Cyclical - Automotive – 0.1%
Navistar, Inc. 3.70% (LIBOR 1 Month + 3.50%), 11/06/2024(u)		347		327,580
Panther BF Aggregator 2 L P 3.678% (LIBOR 1 Month + 3.50%), 04/30/2026(e) (u)		506		480,866
				808,446
Consumer Cyclical - Entertainment – 0.1%
Seaworld Parks & Entertainment, Inc. (fka SW Acquisitions Co., Inc.) 3.75% (LIBOR 1 Month + 3.00%), 04/01/2024(u)		957		842,740
Consumer Cyclical - Other – 0.5%
Caesars Resort Collection, LLC (fka Caesars Growth Properties Holdings, LLC) 2.928% (LIBOR 1 Month + 2.75%), 12/23/2024(u)		1,394		1,236,164
Flutter Entertainment plc 3.808% (LIBOR 3 Month + 3.50%), 07/10/2025(u)		153		152,379
Golden Nugget Online Gaming, Inc. 13.00% (LIBOR 3 Month + 12.00%), 10/04/2023(e) (u)		290		304,500
Playtika Holding Corp. 7.072% (LIBOR 3 Month + 6.00%), 12/10/2024(u)		3,019		3,011,054
Scientific Games International, Inc.
2.928% (LIBOR 1 Month + 2.75%), 08/14/2024(u)		169		149,484
3.058% (LIBOR 3 Month + 2.75%), 08/14/2024(u)		2		1,950
3.612% (LIBOR 3 Month + 2.75%), 08/14/2024(u)		693		611,055
				5,466,586

40

	Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Restaurants – 0.1%
IRB Holding Corp. (fka Arby’s/Buffalo Wild Wings) 3.75% (LIBOR 3 Month + 2.75%), 02/05/2025(u)	U.S.$	848	$	781,380
Whatabrands LLC 2.925% (LIBOR 1 Month + 2.75%), 07/31/2026(u)		397		379,390
				1,160,770
Consumer Cyclical - Retailers – 0.3%
Bass Pro Group, LLC 6.072% (LIBOR 3 Month + 5.00%), 09/25/2024(u)		489		469,291
PetSmart, Inc. 5.00% (LIBOR 3 Month + 4.00%), 03/11/2022(u)		796		784,638
Serta Simmons Bedding, LLC 9.02% (LIBOR 3 Month + 8.00%), 11/08/2024(u)		1,270		167,648
Specialty Building Products Holdings, LLC 5.928% (LIBOR 1 Month + 5.75%), 10/01/2025(e) (u)		1,174		1,114,897
				2,536,474
Consumer Non-Cyclical – 1.0%
Acadia Healthcare Company, Inc. 2.678% (LIBOR 1 Month + 2.50%), 02/16/2023(u)		445		435,096
Aldevron, L.L.C. 4.428% (LIBOR 1 Month + 4.25%), 10/12/2026(e) (u)		816		802,555
Alphabet Holding Company, Inc. (fka Nature’s Bounty) 7.928% (LIBOR 1 Month + 7.75%), 09/26/2025(u)		1,866		1,667,351
Arbor Pharmaceuticals, LLC 6.00% (LIBOR 3 Month + 5.00%), 07/05/2023(u)		1,087		985,889
BI-LO, LLC 9.00% (LIBOR 3 Month + 8.00%), 05/31/2024(u)		1,214		1,202,120
Froneri International Limited 5.928% (LIBOR 1 Month + 5.75%), 01/31/2028(e) (u)		160		151,600
Global Medical Response, Inc. 4.250% (LIBOR 3 Month + 3.25%), 04/28/2022(u)		1,195		1,146,684
5.250% (LIBOR 3 Month + 4.25%), 03/14/2025(u)		912		869,911
LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.) 3.928% (LIBOR 1 Month + 3.75%), 11/16/2025(u)		916		856,272

41

	Principal Amount (000)		U.S. $ Value
Mallinckrodt International Finance S.A. 3.50% (LIBOR 3 Month + 2.75%), 09/24/2024(u)	U.S.$	937	$	697,778
U.S. Renal Care, Inc. 5.178% (LIBOR 1 Month + 5.00%), 06/26/2026(u)		1,558		1,495,678
				10,310,934
Energy – 0.3%
California Resources Corporation 11.375% (LIBOR 3 Month + 10.38%), 12/31/2021(u)		2,196		98,838
Chesapeake Energy Corporation 9.00% (LIBOR 1 Month + 8.00%), 06/24/2024(u)		2,077		1,191,305
CITGO Petroleum Corporation 6.00% (LIBOR 2 Month + 5.00%), 03/28/2024(e) (u)		522		498,759
Triton Solar US Acquisition Co. 7.072% (LIBOR 3 Month + 6.00%), 10/29/2024(u)		1,924		1,615,774
				3,404,676
Other Industrial – 0.1%
American Tire Distributors, Inc. 7.000% (LIBOR 3 Month + 6.00%), 09/01/2023(u)		221		201,057
8.500% (LIBOR 1 Month + 7.50%), 09/02/2024(u)		714		464,537
Core & Main LP 3.75% (LIBOR 3 Month + 2.75%), 08/01/2024(u)		196		186,574
Dealer Tire, LLC 4.428% (LIBOR 1 Month + 4.25%), 12/12/2025(u)		299		284,569
Rockwood Service Corporation 4.558% (LIBOR 3 Month + 4.25%), 01/23/2027(e) (u)		88		84,747
				1,221,484
Services – 0.5%
Allied Universal Holdco LLC (fka USAGM Holdco, LLC) 4.428% (LIBOR 1 Month + 4.25%), 07/10/2026(u)		288		278,956
Amentum Government Services Holdings LLC 4.178% (LIBOR 1 Month + 4.00%), 01/29/2027(u)		320		313,466
Garda World Security Corporation 4.93% (LIBOR 1 Month + 4.75%), 10/30/2026(u)		104		101,480

42

	Principal Amount (000)		U.S. $ Value
Parexel International Corporation 2.928% (LIBOR 1 Month + 2.75%), 09/27/2024(u)	U.S.$	231	$	218,616
Pi Lux Finco SARL 8.322% (LIBOR 6 Month + 7.25%), 01/01/2026(e) (u)		3,100		2,201,000
Refinitiv US Holdings Inc. (fka Financial & Risk US Holdings, Inc.) 3.428% (LIBOR 1 Month + 3.25%), 10/01/2025(u)		384		374,834
Team Health Holdings, Inc. 3.75% (LIBOR 1 Month + 2.75%), 02/06/2024(u)		740		564,122
Verscend Holding Corp. 4.678% (LIBOR 1 Month + 4.50%), 08/27/2025(u)		761		734,012
				4,786,486
Technology – 0.8%
athenahealth, Inc. 4.818% (LIBOR 3 Month + 4.50%), 02/11/2026(u)		2,026		1,958,525
Avaya Inc. 4.435% (LIBOR 1 Month + 4.25%), 12/15/2024(u)		936		861,253
Boxer Parent Company Inc. (fka BMC Software, Inc.) 4.428% (LIBOR 1 Month + 4.25%), 10/02/2025(u)		1,538		1,451,471
Pitney Bowes Inc. 5.68% (LIBOR 1 Month + 5.50%), 01/07/2025(u)		1,117		929,229
Presidio Holdings Inc. 4.27% (LIBOR 3 Month + 3.50%), 01/22/2027(u)		398		382,745
Solera, LLC (Solera Finance, Inc.) 2.928% (LIBOR 1 Month + 2.75%), 03/03/2023(u)		2,523		2,430,418
Veritas US Inc. 5.50% (LIBOR 3 Month + 4.50%), 01/27/2023(u)		589		543,027
				8,556,668
Transportation - Airlines – 0.0%
Delta Air Lines, Inc. 5.51% (LIBOR 3 Month + 4.75%), 04/29/2023(u)		170		166,495
				47,913,752
Financial Institutions – 0.3%
Finance – 0.1%
Ellie Mae, Inc. 4.058% (LIBOR 3 Month + 3.75%), 04/17/2026(u)		1,009		974,777

43

		Principal Amount (000)		U.S. $ Value
Jefferies Finance LLC 3.188% (LIBOR 1 Month + 3.00%), 06/03/2026(u)		U.S.$	301	$	283,748
					1,258,525
Insurance – 0.2%
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.) 4.178% (LIBOR 1 Month + 4.00%), 09/03/2026(u)			1,398		1,338,705
					2,597,230
Utility – 0.2%
Electric – 0.2%
Granite Generation LLC 4.75% (LIBOR 1 Month + 3.75%), 11/09/2026(u)			2,033		1,976,021
Total Bank Loans (cost $60,459,041)					52,487,003
EMERGING MARKETS - CORPORATE BONDS – 3.3%
Industrial – 2.8%
Basic – 0.8%
Consolidated Energy Finance SA 6.875%, 06/15/2025(a)			949		805,316
CSN Islands XI Corp. 6.75%, 01/28/2028(a)			305		257,674
CSN Resources SA 7.625%, 02/13/2023-04/17/2026(a)			3,080		2,740,250
Eldorado Gold Corp. 9.50%, 06/01/2024(a)	��		1,931		2,067,661
First Quantum Minerals Ltd. 7.25%, 05/15/2022-04/01/2023(a)			2,473		2,367,017
7.50%, 04/01/2025(a)			261		252,518
					8,490,436
Capital Goods – 0.1%
Cemex SAB de CV 7.375%, 06/05/2027(a)			424		427,649
Embraer Netherlands Finance BV 5.40%, 02/01/2027			500		442,500
Odebrecht Finance Ltd. 4.375%, 04/25/2025(a) (c) (i)			349		18,868
5.25%, 06/27/2029(a) (c) (i)			1,070		42,800
7.125%, 06/26/2042(a) (c) (i)			2,665		146,575
					1,078,392
Communications - Media – 0.1%
Globo Comunicacao e Participacoes SA 4.875%, 01/22/2030(a)			481		434,103

44

	Principal Amount (000)		U.S. $ Value
VTR Finance NV 6.375%, 07/15/2028(a)	U.S.$	322	$	331,800
				765,903
Communications - Telecommunications – 0.3%
Comunicaciones Celulares SA Via Comcel Trust 6.875%, 02/06/2024(a)		535		547,128
Digicel Group 0.5 Ltd. 7.00%, 07/15/2020(e) (f) (g) (l)		84		5,860
8.00% (5.00% Cash and 3.00% PIK), 04/01/2025(a) (f)		137		33,883
10.00%, 04/01/2024		246		169,540
Digicel International Finance Ltd./Digicel Holdings Bermuda Ltd. 8.75%, 05/25/2024(a)		657		640,440
13.00% (6.00% Cash and 7.00% PIK), 12/31/2025(a) (f)		160		135,304
MTN Mauritius Investments Ltd. 6.50%, 10/13/2026(a)		380		400,900
Sable International Finance Ltd. 5.75%, 09/07/2027(a)		615		627,533
VF Ukraine PAT via VFU Funding PLC 6.20%, 02/11/2025(a)		414		409,467
VTR Comunicaciones SpA 5.125%, 01/15/2028(a)		423		431,672
				3,401,727
Consumer Cyclical - Other – 0.4%
Melco Resorts Finance Ltd. 5.625%, 07/17/2027(a)		965		973,805
MGM China Holdings Ltd. 5.25%, 06/18/2025(a)		222		225,814
5.375%, 05/15/2024(a)		398		403,295
5.875%, 05/15/2026(a)		414		426,420
Wynn Macau Ltd. 4.875%, 10/01/2024(a)		286		280,280
5.50%, 01/15/2026-10/01/2027(a)		1,281		1,261,854
				3,571,468
Consumer Cyclical - Retailers – 0.0%
K2016470219 South Africa Ltd. 3.00%, 12/31/2022(f) (g)		1,037		2,778
K2016470260 (South Africa) Ltd. 25.00%, 12/31/2022(f) (g)		481		431
				3,209
Consumer Non-Cyclical – 0.4%
BRF GmbH 4.35%, 09/29/2026(a)		802		777,753
BRF SA 4.875%, 01/24/2030(a)		1,018		964,237

45

	Principal Amount (000)		U.S. $ Value
Cosan Ltd. 5.50%, 09/20/2029(a)	U.S.$	461	$	438,670
Minerva Luxembourg SA 6.50%, 09/20/2026(a)		449		451,245
Teva Pharmaceutical Finance Netherlands III BV 7.125%, 01/31/2025(a)		1,040		1,103,478
Tonon Luxembourg SA 6.50% (0.50% Cash and 6.00% PIK), 10/31/2024(b) (e) (f) (g)		615		18,514
Turkiye Sise ve Cam Fabrikalari AS 6.95%, 03/14/2026(a)		258		266,385
USJ Acucar e Alcool SA 9.875%, 11/09/2023(a) (c) (f) (i)		670		200,876
Virgolino de Oliveira Finance SA 10.50%, 01/28/2018(c) (d) (g)		4,090		40,900
10.875%, 01/13/2020(c) (d) (g)		480		143,778
11.75%, 02/09/2022(c) (g) (i)		1,620		15,225
				4,421,061
Energy – 0.6%
Geopark Ltd. 5.50%, 01/17/2027(a)		214		184,374
Medco Platinum Road Pte Ltd. 6.75%, 01/30/2025(a)		503		466,690
Mongolian Mining Corp./Energy Resources LLC 9.25%, 04/15/2024(a)		335		228,219
MV24 Capital BV 6.748%, 06/01/2034(a)		541		512,519
Peru LNG Srl 5.375%, 03/22/2030(a)		237		186,341
Petrobras Global Finance BV 5.093%, 01/15/2030(a)		1,195		1,184,913
5.60%, 01/03/2031		3,345		3,353,367
				6,116,423
Transportation - Services – 0.1%
Rumo Luxembourg SARL 7.375%, 02/09/2024(a)		468		490,581
				28,339,200
Utility – 0.4%
Electric – 0.4%
AES Gener SA 6.35%, 10/07/2079(a)		495		495,000
Cemig Geracao e Transmissao SA 9.25%, 12/05/2024(a)		1,927		2,104,886
Light Servicos de Eletricidade SA/Light Energia SA 7.25%, 05/03/2023(a)		1,120		1,129,450

46

	Principal Amount (000)			U.S. $ Value
Star Energy Geothermal Wayang Windu Ltd. 6.75%, 04/24/2033(a)		U.S.$	208	$	215,297
Terraform Global Operating LLC 6.125%, 03/01/2026(g)			118		115,913
					4,060,546
Financial Institutions – 0.1%
Banking – 0.1%
Fidelity Bank PLC 10.50%, 10/16/2022(a)			550		558,250
Insurance – 0.0%
Ambac LSNI LLC 6.00% (LIBOR 3 Month + 5.00%), 02/12/2023(a) (m)			55		54,357
					612,607
Total Emerging Markets - Corporate Bonds (cost $42,061,881)					33,012,353
EMERGING MARKETS - TREASURIES – 1.9%
Argentina – 0.0%
Argentine Bonos del Tesoro 15.50%, 10/17/2026(c) (i)		ARS	6,600		23,464
18.20%, 10/03/2021(c) (i)			34,142		246,819
					270,283
Brazil – 1.9%
Brazil Notas do Tesouro Nacional Series F 10.00%, 01/01/2021		BRL	100,732		19,226,691
Total Emerging Markets - Treasuries (cost $28,720,309)					19,496,974
COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.6%
Non-Agency Fixed Rate CMBS – 1.5%
225 Liberty Street Trust Series 2016-225L, Class E 4.804%, 02/10/2036(a)		U.S.$	691		667,519
Citigroup Commercial Mortgage Trust Series 2013-GC11, Class XA 1.519%, 04/10/2046(o)			1,340		40,688
Series 2013-GC17, Class D 5.261%, 11/10/2046(a)			902		707,861
Series 2014-GC23, Class D 4.635%, 07/10/2047(a)			856		698,588
Commercial Mortgage Trust Series 2012-CR3, Class XA 2.011%, 10/15/2045(o)			7,203		231,503
Series 2012-CR5, Class XA 1.664%, 12/10/2045(o)			1,730		49,759
Series 2013-LC6, Class D 4.462%, 01/10/2046(a)			3,916		2,529,172

47

	Principal Amount (000)		U.S. $ Value
Series 2014-CR15, Class XA 1.085%, 02/10/2047(o)	U.S.$	1,670	$	43,439
Series 2014-CR20, Class XA 1.176%, 11/10/2047(o)		9,675		346,905
GS Mortgage Securities Corp. II Series 2013-GC10, Class XA 1.642%, 02/10/2046(o)		755		23,381
GS Mortgage Securities Trust Series 2012-GC6, Class D 5.839%, 01/10/2045(a)		1,765		1,238,004
Series 2012-GCJ9, Class D 4.898%, 11/10/2045(a)		700		602,410
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C6, Class XA 1.763%, 11/15/2045(a) (o)		5,904		159,681
UBS-Barclays Commercial Mortgage Trust Series 2012-C4, Class XA 1.759%, 12/10/2045(a) (o)		781		22,053
WF-RBS Commercial Mortgage Trust Series 2011-C4, Class D 5.39%, 06/15/2044(a)		1,022		808,199
Series 2012-C10, Class XA 1.679%, 12/15/2045(a) (o)		2,990		92,718
Series 2012-C6, Class D 5.766%, 04/15/2045(a)		2,450		2,371,739
Series 2012-C7, Class XA 1.48%, 06/15/2045(a) (o)		1,298		22,871
Series 2012-C8, Class E 5.047%, 08/15/2045(a)		3,766		3,155,297
Series 2014-C25, Class D 3.803%, 11/15/2047(a)		1,807		1,399,272
				15,211,059
Non-Agency Floating Rate CMBS – 0.1%
DBWF Mortgage Trust Series 2018-GLKS, Class E 3.212% (LIBOR 1 Month + 3.02%), 12/19/2030(a) (m)		838		720,514
Morgan Stanley Capital I Trust Series 2019-BPR, Class E 4.935% (LIBOR 1 Month + 4.75%), 05/15/2036(a) (m)		301		216,724
				937,238
Total Commercial Mortgage-Backed Securities (cost $19,285,385)				16,148,297

48

	Principal Amount (000)		U.S. $ Value
COLLATERALIZED LOAN OBLIGATIONS – 1.3%
CLO - Floating Rate – 1.3%
Ares XXXIV CLO Ltd. Series 2015-2A, Class CR 2.776% (LIBOR 3 Month + 2.00%), 04/17/2033(a) (m)	U.S.$	2,358	$	2,206,644
Dryden CLO Ltd. Series 2018-57A, Class E 5.592% (LIBOR 3 Month + 5.20%), 05/15/2031(a) (m)		275		225,130
Series 2020-78A, Class C 3.217% (LIBOR 3 Month + 1.95%), 04/17/2033(a) (m)		3,000		2,829,189
Series 2020-78A, Class D 4.267% (LIBOR 3 Month + 3.00%), 04/17/2033(a) (m)		1,329		1,178,862
Dryden Senior Loan Fund Series 2017-49A, Class E 7.435% (LIBOR 3 Month + 6.30%), 07/18/2030(a) (m)		417		374,623
Elevation CLO Ltd. Series 2020-11A, Class C 3.523% (LIBOR 3 Month + 2.20%), 04/15/2033(a) (m)		648		625,746
Series 2020-11A, Class D1 5.173% (LIBOR 3 Month + 3.85%), 04/15/2033(a) (m)		1,006		925,471
Octagon Investment Partners 29 Ltd. Series 2016-1A, Class DR 4.12% (LIBOR 3 Month + 3.10%), 01/24/2033(a) (m)		1,701		1,530,655
OZLM Ltd. Series 2018-22A, Class D 6.435% (LIBOR 3 Month + 5.30%), 01/17/2031(a) (m)		349		267,018
THL Credit Wind River CLO Ltd. Series 2017-1A, Class AR 2.275% (LIBOR 3 Month + 1.14%), 04/18/2029(a) (m)		2,490		2,443,581
Voya CLO Ltd. Series 2019-1A, Class DR 4.069% (LIBOR 3 Month + 2.85%), 04/15/2031(a) (m)		1,050		927,037
Total Collateralized Loan Obligations (cost $14,490,472)				13,533,956
ASSET-BACKED SECURITIES – 1.1%
Other ABS - Fixed Rate – 0.5%
Consumer Loan Underlying Bond Certificate Issuer Trust I Series 2018-12, Class PT 7.337%, 06/15/2043(g)		244		217,675
Series 2018-4, Class PT 7.619%, 05/15/2043(g)		294		269,922

49

	Principal Amount (000)		U.S. $ Value
Series 2018-7, Class PT 7.692%, 06/15/2043(g)	U.S.$	341	$	305,656
Series 2019-24, Class PT 8.22%, 08/15/2044(g)		420		364,609
Series 2019-36, Class PT 10.65%, 10/17/2044(g)		512		437,149
Series 2019-43, Class PT 4.784%, 11/15/2044(g)		378		343,254
Consumer Loan Underlying Bond Credit Trust Series 2018-3, Class PT 7.46%, 03/16/2043(g)		66		59,693
Marlette Funding Trust Series 2018-3A, Class C 4.63%, 09/15/2028(a)		1,350		1,309,840
SoFi Consumer Loan Program LLC Series 2016-1, Class R Zero Coupon, 08/25/2025(b) (e) (g)		952		126,355
Series 2017-3, Class R Zero Coupon, 05/25/2026(b) (e) (g)		10		270,000
Series 2017-5, Class R1 Zero Coupon, 09/25/2026(b) (e) (g)		12		281,003
SoFi Consumer Loan Program Trust Series 2018-1, Class R1 Zero Coupon, 02/25/2027(b) (e) (g)		16		521,532
Taco Bell Funding LLC Series 2016-1A, Class A23 4.97%, 05/25/2046(a)		777		821,849
				5,328,537
Home Equity Loans - Fixed Rate – 0.3%
CSAB Mortgage-Backed Trust Series 2006-2, Class A6A 5.72%, 09/25/2036		613		290,101
CWABS Asset-Backed Certificates Trust Series 2005-7, Class AF5W 5.054%, 10/25/2035		760		763,579
GSAA Home Equity Trust Series 2005-12, Class AF5 5.659%, 09/25/2035		960		789,954
Series 2006-10, Class AF3 5.985%, 06/25/2036		1,036		425,136
Series 2006-6, Class AF4 6.121%, 03/25/2036		1,454		621,959
Series 2006-6, Class AF5 6.241%, 03/25/2036		539		230,394
				3,121,123
Autos - Fixed Rate – 0.3%
CPS Auto Trust Series 2018-C, Class D 4.40%, 06/17/2024(a)		1,050		1,077,184

50

	Principal Amount (000)		U.S. $ Value
Exeter Automobile Receivables Trust Series 2019-2A, Class E 4.68%, 05/15/2026(a)	U.S.$	1,050	$	1,055,854
Flagship Credit Auto Trust Series 2019-4, Class E 4.11%, 03/15/2027(a)		770		745,757
Lehman XS Trust Series 2007-6, Class 3A5 4.616%, 05/25/2037		91		88,503
				2,967,298
Total Asset-Backed Securities (cost $15,873,639)				11,416,958
QUASI-SOVEREIGNS – 1.1%
Quasi-Sovereign Bonds – 1.1%
Bahrain – 0.2%
Oil and Gas Holding Co. BSCC (The) 7.625%, 11/07/2024(a)		469		507,986
8.375%, 11/07/2028(a)		1,346		1,481,441
				1,989,427
Indonesia – 0.0%
Indonesia Asahan Aluminium Persero PT 5.71%, 11/15/2023(a)		224		243,110
Kazakhstan – 0.1%
KazMunayGas National Co. JSC 5.375%, 04/24/2030(a)		660		747,943
Mexico – 0.7%
Petroleos Mexicanos 5.95%, 01/28/2031(a)		4,130		3,393,208
6.49%, 01/23/2027(a)		507		462,835
6.50%, 01/23/2029		318		276,310
6.75%, 09/21/2047		767		588,864
6.84%, 01/23/2030(a)		1,144		1,002,252
7.69%, 01/23/2050(a)		1,815		1,514,164
				7,237,633
South Africa – 0.1%
Eskom Holdings SOC Ltd. 6.35%, 08/10/2028(a)		562		560,244
United States – 0.0%
Citgo Holding, Inc. 9.25%, 08/01/2024(a)		478		476,327
Total Quasi-Sovereigns (cost $10,708,959)				11,254,684

51

Company	Shares			U.S. $ Value
COMMON STOCKS – 0.8%
Financials – 0.3%
Consumer Finance – 0.0%
Paysafe Group Ltd.(b) (c) (e)		3,960		$	10,811
Insurance – 0.3%
Mt. Logan Re Ltd. (Preference Shares)(c) (e) (k)		2,953			2,872,381
					2,883,192
Energy – 0.2%
Energy Equipment & Services – 0.1%
Tervita Corp.(c)		397,910			1,116,704
Oil, Gas & Consumable Fuels – 0.1%
Berry Corp.		133,464			644,631
CHC Group LLC(c) (k)		51,655			25,828
Golden Energy Offshore Services AS(c)		916,212			120,889
K201640219 (South Africa) Ltd. A Shares(b) (c) (e)		12,695,187			13
K201640219 (South Africa) Ltd. B Shares(b) (c) (e)		2,009,762			2
Paragon Offshore Ltd. - Class A(c) (e)		11,814			1,181
Paragon Offshore Ltd. - Class B(c) (e)		17,721			53,163
Vantage Drilling International(c)		17,501			113,756
					959,463
					2,076,167
Consumer Staples – 0.1%
Food & Staples Retailing – 0.1%
Southeastern Grocers, Inc. Npv(b) (c) (e)		38,084			1,789,948
Consumer Discretionary – 0.1%
Auto Components – 0.0%
ATD New Holdings, Inc.(c) (e)		20,185			206,896
Exide Corp.(b) (e)		944,916			1
Exide Technologies(b) (c) (e)		59,185			0
					206,897
			��
Automobiles – 0.1%
Liberty Tire Recycling LLC(b) (c) (e)		7,822			366,314
					573,211
Information Technology – 0.1%
Software – 0.1%
Avaya Holdings Corp.(c)		36,303			448,705
Monitronics International, Inc.(b) (c) (e)		35,682			119,009
					567,714
Materials – 0.0%
Metals & Mining – 0.0%
BIS Industries Holdings Ltd.(b) (c) (e)		838,296			1
Constellium SE(c)		40,866			313,851
Neenah Enterprises, Inc.(b) (c) (e)		58,200			0
					313,852

52

Company	Shares				U.S. $ Value
Industrials – 0.0%
Building Products – 0.0%
New Cotai LLC/New Cotai Capital Corp.(b) (c) (e)				3	$	0
Construction & Engineering – 0.0%
Willscot Corp.				18,809		231,163
Communication Services – 0.0%
Media – 0.0%
iHeartMedia, Inc. - Class A(c)				25,267		210,979
Total Common Stocks (cost $23,100,297)						8,646,226
	Principal Amount (000)
GOVERNMENTS - SOVEREIGN BONDS – 0.6%
Colombia – 0.1%
Colombia Government International Bond 4.125%, 05/15/2051		U.S.$		1,258		1,265,862
Mexico – 0.1%
Mexico Government International Bond 4.75%, 04/27/2032				534		588,201
5.00%, 04/27/2051				461		497,189
						1,085,390
Netherlands – 0.0%			��
SNS Bank NV Series E 11.25%, 12/31/2049(b) (c) (e)		EUR		620		0
United Arab Emirates – 0.4%
Emirate of Dubai Government International Bonds 7.75%, 10/05/2020(a)		U.S.$		3,310		3,366,891
Total Governments - Sovereign Bonds (cost $6,352,705)						5,718,143
	Shares
INVESTMENT COMPANIES – 0.5%
Funds and Investment Trusts – 0.5%
iShares JP Morgan USD Emerging Markets Bond ETF(v) (cost $5,351,457)				49,000		5,351,780
	Principal Amount (000)
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.4%
United States – 0.4%
State of California Series 2010 7.60%, 11/01/2040		U.S.$		750		1,376,827

53

	Principal Amount (000)				U.S. $ Value
7.95%, 03/01/2036		U.S.$	0	**	$	194
State of Illinois Series 2010 7.35%, 07/01/2035			1,915			2,172,472
Tobacco Settlement Finance Authority Series 2007A 7.467%, 06/01/2047			370			372,616
Total Local Governments - US Municipal Bonds (cost $3,062,801)						3,922,109
	Shares
PREFERRED STOCKS – 0.4%
Financial Institutions – 0.3%
Banking – 0.2%
Paysafe Holdings UK Ltd. 0.00%(b) (c) (e)			1,240,545			1,240,545
Insurance – 0.1%
Hartford Financial Services Group, Inc. (The) 7.875%			42,175			1,122,699
REITS – 0.0%
Hersha Hospitality Trust Series C 6.875%			15,950			186,216
						2,549,460
Industrial – 0.1%
Trading Companies & Distributors – 0.1%
WESCO International, Inc. Series A 10.625%			35,175			932,841
Utility – 0.0%
Electric – 0.0%
SCE Trust III Series H 5.75%			11,025			238,801
Total Preferred Stocks (cost $3,918,258)						3,721,102
	Principal Amount (000)
INFLATION-LINKED SECURITIES – 0.2%
Colombia – 0.2%
Fideicomiso PA Concesion Ruta al Mar 6.75%, 02/15/2044(a)		COP	1,437,090			254,301
Fideicomiso PA Costera 6.25%, 01/15/2034(a)			1,230,800			334,474
Fideicomiso PA Pacifico Tres 7.00%, 01/15/2035(g)			6,642,880			1,926,754
Total Inflation-Linked Securities (cost $2,829,731)						2,515,529

54

	Principal Amount (000)			U.S. $ Value
LOCAL GOVERNMENTS - REGIONAL BONDS – 0.0%
Argentina – 0.0%
Provincia de Buenos Aires/Government Bonds 32.817% (BADLAR + 3.83%), 05/31/2022(m) (cost $1,660,869)		ARS	26,500	$	208,129
	Shares
WARRANTS – 0.0%
Avaya Holdings Corp., expiring 12/15/2022(c)			53,489		64,187
Encore Automotive Acceptance, , expiring 07/05/2031(b) (c) (e)			8		0
Flexpath Capital, Inc., expiring 04/15/2031(b) (c) (e)			10,974		0
iHeart Media, Inc., expiring 05/01/2039(c)			278		2,126
SandRidge Energy, Inc., A-CW22, expiring 10/04/2022(c)			46,951		141
SandRidge Energy, Inc., B-CW22, expiring 10/04/2022(c)			19,772		109
Willscot Corp., expiring 11/29/2022(b) (c) (e)			29,123		59,204
Total Warrants (cost $389,758)					125,767
	Principal Amount (000)
WHOLE LOAN TRUSTS – 0.0%
Performing Asset – 0.0%
Sheridan Auto Loan Holdings I LLC 10.00%, 12/31/2020-09/30/2021(b) (e) (cost $1,113,056)		U.S.$	1,113		90,451
	Shares
RIGHTS – 0.0%
Vistra Energy Corp., , expiring 12/31/2049(c) (e) (l) (cost $0)			10,721		8,845
SHORT-TERM INVESTMENTS – 0.9%
Investment Companies – 0.3%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.13%(v) (w) (x) (cost $2,844,040)			2,844,040		2,844,040

55

	Principal Amount (000)				U.S. $ Value
Time Deposits – 0.3%
BBH Grand Cayman Zero Coupon, 07/01/2020		NZD	0	**	$	116
0.04%, 07/02/2020		HKD	0	**		12
Citibank, London (0.68)%, 07/01/2020		EUR	130			146,429
0.01%, 07/01/2020		GBP	178			220,821
National Australia Bank, London 0.01%, 07/01/2020		U.S.$	2,415			2,415,235
Total Time Deposits (cost $2,782,613)						2,782,613
Governments - Treasuries – 0.3%
Egypt – 0.3%
Egypt Treasury Bills Series 273D Zero Coupon, 07/28/2020 (cost $2,811,013)		EGP	44,775			2,748,156
Total Short-Term Investments (cost $8,437,666)						8,374,809
Total Investments – 99.8% (cost $1,086,173,825)(y)						1,011,120,403
Other assets less liabilities – 0.2%						2,027,722
Net Assets – 100.0%					$	1,013,148,125

FUTURES

Description	Number of Contracts		Expiration Month		Current Notional			Value and Unrealized Appreciation/ (Depreciation)
Purchased Contracts
U.S. 10 Yr Ultra Futures		122		September 2020		$	19,213,093		$	114,960
U.S. Long Bond (CBT) Futures		61		September 2020			10,892,313			31,438
U.S. T-Note 10 Yr (CBT) Futures		425		September 2020			59,148,046			180,398
U.S. Ultra Bond (CBT) Futures		150		September 2020			32,723,438			830,063
Sold Contracts
U.S. T-Note 5 Yr (CBT) Futures		356		September 2020			44,764,219			(97,344	)
									$	1,059,515

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Australia and New Zealand Banking Group Ltd.		USD	985		EUR	867		08/06/2020		$	(10,779	)
Bank of America, NA		RUB	3,237		USD	47		07/14/2020			1,600
Bank of America, NA		CLP	14,126		USD	17		07/15/2020			(34	)
Bank of America, NA		USD	33		CLP	26,438		07/15/2020			(572	)
Bank of America, NA		INR	1,030		USD	14		07/23/2020			(82	)
Bank of America, NA		USD	23		INR	1,779		07/23/2020			23

56

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Bank of America, NA		USD	31		KRW	37,392		08/13/2020		$	474
Barclays Bank PLC		RUB	755		USD	11		07/14/2020			58
Barclays Bank PLC		CLP	22,924		USD	28		07/15/2020			47
Barclays Bank PLC		IDR	153,204		USD	11		07/23/2020			249
Barclays Bank PLC		IDR	124,484,413		USD	7,762		07/23/2020			(780,073	)
Barclays Bank PLC		USD	19		IDR	296,139		07/23/2020			1,258
Barclays Bank PLC		USD	11		IDR	162,292		07/23/2020			(124	)
Barclays Bank PLC		KRW	13,013		USD	11		08/13/2020			(314	)
Barclays Bank PLC		MYR	49		USD	11		08/13/2020			62
Barclays Bank PLC		USD	16		KRW	19,380		08/13/2020			217
Barclays Bank PLC		USD	44		MYR	183		08/13/2020			(1,622	)
Barclays Bank PLC		USD	9		TWD	260		08/20/2020			53
BNP Paribas SA		BRL	98,595		USD	18,305		07/02/2020			174,869
BNP Paribas SA		USD	18,005		BRL	98,595		07/02/2020			125,482
BNP Paribas SA		GBP	2,751		USD	3,371		07/17/2020			(38,153	)
Brown Brothers Harriman & Co.		NOK	701		USD	74		07/15/2020			882
Brown Brothers Harriman & Co.		NOK	952		USD	94		07/15/2020			(5,291	)
Brown Brothers Harriman & Co.		SEK	83		USD	9		07/15/2020			21
Brown Brothers Harriman & Co.		SEK	506		USD	52		07/15/2020			(1,815	)
Brown Brothers Harriman & Co.		USD	26		NOK	256		07/15/2020			181
Brown Brothers Harriman & Co.		USD	51		NOK	479		07/15/2020			(1,007	)
Brown Brothers Harriman & Co.		USD	52		SEK	488		07/15/2020			778
Brown Brothers Harriman & Co.		USD	33		SEK	306		07/15/2020			(270	)
Brown Brothers Harriman & Co.		GBP	55		USD	69		07/17/2020			856
Brown Brothers Harriman & Co.		GBP	19		USD	24		07/17/2020			(98	)
Brown Brothers Harriman & Co.		USD	41		GBP	34		07/17/2020			430
Brown Brothers Harriman & Co.		USD	17		GBP	14		07/17/2020			(46	)
Brown Brothers Harriman & Co.		USD	77		ZAR	1,393		07/17/2020			2,750
Brown Brothers Harriman & Co.		USD	116		ZAR	1,982		07/17/2020			(2,232	)
Brown Brothers Harriman & Co.		ZAR	1,522		USD	88		07/17/2020			796
Brown Brothers Harriman & Co.		ZAR	1,906		USD	107		07/17/2020			(2,316	)
Brown Brothers Harriman & Co.		USD	10		TRY	66		07/28/2020			(2	)
Brown Brothers Harriman & Co.		PLN	328		USD	84		07/29/2020			600
Brown Brothers Harriman & Co.		PLN	531		USD	129		07/29/2020			(5,235	)
Brown Brothers Harriman & Co.		USD	213		PLN	859		07/29/2020			4,134
Brown Brothers Harriman & Co.		USD	11		PLN	42		07/29/2020			(82	)
Brown Brothers Harriman & Co.		CAD	68		USD	51		08/06/2020			233
Brown Brothers Harriman & Co.		CAD	12		USD	9		08/06/2020			(60	)
Brown Brothers Harriman & Co.		EUR	1,667		USD	1,888		08/06/2020			13,530
Brown Brothers Harriman & Co.		NZD	76		USD	48		08/06/2020			(639	)
Brown Brothers Harriman & Co.		USD	82		CAD	113		08/06/2020			1,663
Brown Brothers Harriman & Co.		USD	18		CAD	24		08/06/2020			(48	)

57

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Brown Brothers Harriman & Co.		USD	1,542		EUR	1,376		08/06/2020		$	4,381
Brown Brothers Harriman & Co.		USD	15		NZD	23		08/06/2020			16
Brown Brothers Harriman & Co.		USD	68		NZD	105		08/06/2020			(360	)
Brown Brothers Harriman & Co.		JPY	6,719		USD	63		08/07/2020			446
Brown Brothers Harriman & Co.		JPY	2,709		USD	25		08/07/2020			(268	)
Brown Brothers Harriman & Co.		MXN	1,496		USD	66		08/07/2020			1,608
Brown Brothers Harriman & Co.		MXN	295		USD	13		08/07/2020			(61	)
Brown Brothers Harriman & Co.		USD	28		JPY	3,000		08/07/2020			170
Brown Brothers Harriman & Co.		USD	46		JPY	4,962		08/07/2020			(326	)
Brown Brothers Harriman & Co.		USD	93		MXN	2,107		08/07/2020			(1,949	)
Brown Brothers Harriman & Co.		AUD	112		USD	77		08/13/2020			264
Brown Brothers Harriman & Co.		AUD	22		USD	15		08/13/2020			(63	)
Brown Brothers Harriman & Co.		CNH	359		USD	51		08/13/2020			(34	)
Brown Brothers Harriman & Co.		USD	33		AUD	48		08/13/2020			121
Brown Brothers Harriman & Co.		USD	10		AUD	15		08/13/2020			0
Brown Brothers Harriman & Co.		USD	17		AUD	24		08/13/2020			(279	)
Brown Brothers Harriman & Co.		USD	32		CNH	230		08/13/2020			69
Brown Brothers Harriman & Co.		USD	16		CNH	112		08/13/2020			0
Brown Brothers Harriman & Co.		USD	29		CNH	204		08/13/2020			(38	)
Brown Brothers Harriman & Co.		SGD	136		USD	98		08/27/2020			93
Brown Brothers Harriman & Co.		SGD	114		USD	81		08/27/2020			(1,058	)
Brown Brothers Harriman & Co.		USD	108		SGD	152		08/27/2020			1,299
Brown Brothers Harriman & Co.		USD	87		SGD	121		08/27/2020			(150	)
Brown Brothers Harriman & Co.		CHF	7		USD	8		08/28/2020			42
Brown Brothers Harriman & Co.		CHF	104		USD	108		08/28/2020			(2,170	)
Citibank, NA		BRL	96		USD	20		07/02/2020			2,023
Citibank, NA		USD	18		BRL	96		07/02/2020			123
Citibank, NA		CLP	28,391		USD	35		07/15/2020			835
Citibank, NA		CLP	41,012		USD	49		07/15/2020			(787	)
Citibank, NA		COP	221,895		USD	59		07/15/2020			349
Citibank, NA		COP	157,791		USD	40		07/15/2020			(1,653	)
Citibank, NA		USD	7		CLP	6,090		07/15/2020			66
Citibank, NA		USD	61		CLP	47,929		07/15/2020			(2,164	)
Citibank, NA		USD	23		COP	91,397		07/15/2020			1,054
Citibank, NA		USD	109		COP	401,972		07/15/2020			(2,429	)
Citibank, NA		INR	4,098		USD	52		07/23/2020			(1,669	)
Citibank, NA		USD	3,067		INR	239,598		07/23/2020			97,592
Citibank, NA		USD	1,259		EUR	1,119		08/06/2020			(1,072	)
Citibank, NA		USD	12		KRW	14,046		08/13/2020			158
Goldman Sachs Bank USA		BRL	399		USD	76		07/02/2020			2,551
Goldman Sachs Bank USA		BRL	338		USD	62		07/02/2020			(430	)
Goldman Sachs Bank USA		USD	73		BRL	399		07/02/2020			508
Goldman Sachs Bank USA		USD	66		BRL	338		07/02/2020			(4,032	)
Goldman Sachs Bank USA		RUB	3,384		USD	49		07/14/2020			1,390

58

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Goldman Sachs Bank USA		USD	102		RUB	7,098		07/14/2020		$	(2,800	)
Goldman Sachs Bank USA		CLP	46,479		USD	57		07/15/2020			827
Goldman Sachs Bank USA		CLP	21,306		USD	26		07/15/2020			(84	)
Goldman Sachs Bank USA		USD	65		CLP	50,774		07/15/2020			(3,054	)
Goldman Sachs Bank USA		IDR	644,235		USD	45		07/23/2020			812
Goldman Sachs Bank USA		IDR	1,539,739		USD	98		07/23/2020			(7,923	)
Goldman Sachs Bank USA		INR	5,311		USD	69		07/23/2020			(1,324	)
Goldman Sachs Bank USA		USD	49		IDR	755,633		07/23/2020			2,737
Goldman Sachs Bank USA		USD	44		IDR	624,500		07/23/2020			(809	)
Goldman Sachs Bank USA		USD	137		INR	10,566		07/23/2020			2,676
Goldman Sachs Bank USA		BRL	63		USD	12		08/04/2020			364
Goldman Sachs Bank USA		USD	30		BRL	163		08/04/2020			(124	)
Goldman Sachs Bank USA		CAD	2,121		USD	1,529		08/06/2020			(33,093	)
Goldman Sachs Bank USA		MXN	39,121		USD	1,748		08/07/2020			54,737
Goldman Sachs Bank USA		KRW	129,147		USD	106		08/13/2020			(1,183	)
Goldman Sachs Bank USA		MYR	133		USD	33		08/13/2020			1,428
Goldman Sachs Bank USA		USD	74		KRW	90,188		08/13/2020			1,073
HSBC Bank USA		COP	75,493		USD	20		07/15/2020			(83	)
JPMorgan Chase Bank, NA		BRL	149		USD	27		07/02/2020			(190	)
JPMorgan Chase Bank, NA		USD	28		BRL	149		07/02/2020			(623	)
JPMorgan Chase Bank, NA		CLP	15,802		USD	19		07/15/2020			4
JPMorgan Chase Bank, NA		USD	17		COP	63,159		07/15/2020			(96	)
JPMorgan Chase Bank, NA		IDR	150,732		USD	11		07/23/2020			218
JPMorgan Chase Bank, NA		IDR	557,324		USD	35		07/23/2020			(3,454	)
JPMorgan Chase Bank, NA		INR	5,354		USD	70		07/23/2020			(466	)
JPMorgan Chase Bank, NA		USD	50		IDR	770,931		07/23/2020			3,290
JPMorgan Chase Bank, NA		EUR	1,320		USD	1,484		08/06/2020			(847	)
JPMorgan Chase Bank, NA		KRW	40,099		USD	33		08/13/2020			(75	)
JPMorgan Chase Bank, NA		TWD	477		USD	16		08/20/2020			(96	)
JPMorgan Chase Bank, NA		USD	8		TWD	237		08/20/2020			155
Morgan Stanley Capital Services LLC		BRL	273		USD	50		07/02/2020			19
Morgan Stanley Capital Services LLC		BRL	98,595		USD	18,005		07/02/2020			(125,482	)
Morgan Stanley Capital Services LLC		USD	50		BRL	273		07/02/2020			348
Morgan Stanley Capital Services LLC		USD	18,137		BRL	98,595		07/02/2020			(7,004	)
Morgan Stanley Capital Services LLC		RUB	455,122		USD	6,095		07/14/2020			(290,373	)
Morgan Stanley Capital Services LLC		USD	41		RUB	3,038		07/14/2020			1,938
Morgan Stanley Capital Services LLC		IDR	413,472		USD	29		07/23/2020			605
Morgan Stanley Capital Services LLC		USD	903		IDR	13,660,662		07/23/2020			34,503
Morgan Stanley Capital Services LLC		BRL	98,595		USD	18,118		08/04/2020			18,808
Morgan Stanley Capital Services LLC		USD	50		BRL	273		08/04/2020			(52	)
Morgan Stanley Capital Services LLC		EUR	36,598		USD	41,380		08/06/2020			229,183
Morgan Stanley Capital Services LLC		USD	2,648		EUR	2,337		08/06/2020			(20,182	)
Morgan Stanley Capital Services LLC		USD	7,424		JPY	807,562		08/07/2020			58,501
Morgan Stanley Capital Services LLC		USD	9		KRW	11,068		08/13/2020			145
Royal Bank of Scotland PLC		USD	38		RUB	2,745		07/14/2020			604
Royal Bank of Scotland PLC		USD	26		RUB	1,797		07/14/2020			(411	)
Royal Bank of Scotland PLC		COP	77,116		USD	21		07/15/2020			262
Royal Bank of Scotland PLC		COP	33,175,922		USD	8,348		07/15/2020			(469,838	)
Royal Bank of Scotland PLC		IDR	334,455		USD	21		07/23/2020			(2,149	)

59

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Royal Bank of Scotland PLC		USD	35		IDR	536,112		07/23/2020	$	2,280
Royal Bank of Scotland PLC		USD	65		INR	5,010		07/23/2020		1,047
Royal Bank of Scotland PLC		USD	24		INR	1,823		07/23/2020		(90	)
Royal Bank of Scotland PLC		KRW	45,741		USD	38		08/13/2020		(202	)
Royal Bank of Scotland PLC		USD	8		TWD	220		08/20/2020		31
Standard Chartered Bank		BRL	93		USD	18		07/02/2020		731
Standard Chartered Bank		BRL	240		USD	44		07/02/2020		(305	)
Standard Chartered Bank		USD	17		BRL	93		07/02/2020		118
Standard Chartered Bank		USD	46		BRL	240		07/02/2020		(1,477	)
Standard Chartered Bank		RUB	3,827		USD	55		07/14/2020		1,484
Standard Chartered Bank		USD	16		RUB	1,133		07/14/2020		(10	)
Standard Chartered Bank		INR	4,221		USD	55		07/23/2020		(391	)
Standard Chartered Bank		USD	23		IDR	325,232		07/23/2020		(281	)
Standard Chartered Bank		USD	44		INR	3,322		07/23/2020		250
Standard Chartered Bank		BRL	118		USD	23		08/04/2020		1,034
Standard Chartered Bank		KRW	23,812		USD	19		08/13/2020		(602	)
Standard Chartered Bank		USD	15		KRW	17,888		08/13/2020		93
Standard Chartered Bank		USD	10		KRW	11,491		08/13/2020		(1	)
Standard Chartered Bank		TWD	934		USD	32		08/20/2020		(453	)
Standard Chartered Bank		USD	119		TWD	3,498		08/20/2020		1,032
UBS AG		BRL	135		USD	25		07/02/2020		(172	)
UBS AG		USD	25		BRL	135		07/02/2020		(654	)
									$	(980,598	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

Description	Fixed Rate (Pay) Receive			Payment Frequency	Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
CDX-NAHY Series 28, 5 Year Index, 06/20/2022*		(5.00	)%	Quarterly		4.78	%		USD	12,062	$	(64,953	)	$	(408,151	)	$	343,198
CDX-NAHY Series 29, 5 Year Index, 12/20/2022*		(5.00	)	Quarterly		4.88			USD	36,134		(143,561	)		(1,385,708	)		1,242,147
CDX-NAHY Series 30, 5 Year Index, 06/20/2023*		(5.00	)	Quarterly		4.94			USD	15,753		(46,900	)		(628,316	)		581,416
iTraxx Europe Crossover Series 27, 5 Year Index, 06/20/2022*		(5.00	)	Quarterly		3.64			EUR	12,729		(386,785	)		(833,958	)		447,173
Sale Contracts
Brazilian Government International Bond, 4.250%, 01/07/2025, 06/20/2025*		1.00		Quarterly		2.53			USD	2,923		(208,306	)		(224,849	)		16,543

60

Description	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
CDX-NAHY Series 28, 5 Year Index, 06/20/2022*		5.00	%		Quarterly		4.78	%		USD	4	$	24		$	163		$	(139	)
CDX-NAHY Series 28, 5 Year Index, 06/20/2022*		5.00			Quarterly		4.78			USD	12,062		64,953			442,655			(377,702	)
CDX-NAHY Series 29, 5 Year Index, 12/20/2022*		5.00			Quarterly		4.88			USD	36,134		143,561			1,398,345			(1,254,784	)
CDX-NAHY Series 30, 5 Year Index, 06/20/2023*		5.00			Quarterly		4.94			USD	15,753		46,900			504,083			(457,183	)
CDX-NAHY Series 33, 5 Year Index, 12/20/2024*		5.00			Quarterly		5.21			USD	235,830		(1,589,249	)		11,156,927			(12,746,176	)
CDX-NAHY Series 34, 5 Year Index, 06/20/2025*		5.00			Quarterly		5.22			USD	11,119		(86,542	)		(607,269	)		520,727
Ford Motor Company, 4.346% 12/08/2026, 06/20/2023*		5.00			Quarterly		4.64			USD	760		8,352			(66,515	)		74,867
iTraxx Europe Crossover Series 27, 5 Year Index, 06/20/2022*		5.00			Quarterly		3.64			EUR	12,729		386,756			859,149			(472,393	)
iTraxx Europe Crossover Series 33, 5 Year Index, 06/20/2025*		5.00			Quarterly		3.81			EUR	45,455		2,700,283			(594,685	)		3,294,968
South Africa Government International Bond, 5.875%, 09/16/2025, 06/20/2025*		1.00			Quarterly		3.04			USD	2,376		(222,380	)		(313,290	)		90,910
												$	602,153		$	9,298,581		$	(8,696,428	)

* Termination date

61

CREDIT DEFAULT SWAPS

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Citibank, NA
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00	%		Monthly		25.00	%		USD	293	$	(147,685	)	$	(146,175	)	$	(1,510	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	454		(141,867	)		(50,397	)		(91,470	)
Credit Suisse International
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	5,000		(2,518,833	)		(768,578	)		(1,750,255	)
International Game Technology, 4.750%, 02/15/2023, 06/20/2022*		5.00			Quarterly		2.08			EUR	310		20,253			13,883			6,370
Deutsche Bank AG
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	258		(80,621	)		(28,295	)		(52,326	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	364		(113,774	)		(42,156	)		(71,618	)
Goldman Sachs Bank USA
United States Steel Corp., 6.650%, 06/01/2037, 12/20/2021*		5.00			Quarterly		11.57			USD	700		(64,548	)		(16,641	)		(47,907	)
Goldman Sachs International
Avis Budget Car Rental LLC, 5.250%, 03/15/2025, 12/20/2023*		5.00			Quarterly		10.43			USD	270		(38,797	)		12,070			(50,867	)
Avis Budget Car Rental LLC, 5.250%, 03/15/2025, 12/20/2023*		5.00			Quarterly		10.43			USD	300		(43,108	)		20,988			(64,096	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	59		(29,739	)		(29,396	)		(343	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	59		(29,739	)		(29,396	)		(343	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	2,071		(1,043,157	)		(301,323	)		(741,834	)

62

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00	%		Monthly		25.00	%		USD	2,929	$	(1,475,677	)	$	(426,260	)	$	(1,049,417	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	5,000		(2,519,528	)		(849,475	)		(1,670,053	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	5,000		(2,518,833	)		(811,144	)		(1,707,689	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	10,000		(5,037,667	)		(1,466,104	)		(3,571,563	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	13,500		(6,800,850	)		(1,976,581	)		(4,824,269	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	133		(41,560	)		(14,186	)		(27,374	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	180		(56,262	)		(15,937	)		(40,325	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	360		(112,524	)		(35,131	)		(77,393	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	360		(112,524	)		(32,465	)		(80,059	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	371		(115,962	)		(30,948	)		(85,014	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	530		(165,616	)		(56,122	)		(109,494	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	719		(224,735	)		(76,689	)		(148,046	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,041		(325,295	)		(110,969	)		(214,326	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	2,158		(674,519	)		(184,237	)		(490,282	)
JPMorgan Chase Bank, NA
Rolls-Royce PLC, 2.125%, 06/18/2021, 06/20/2025*		1.00			Quarterly		4.24			EUR	768		(120,772	)		(153,139	)		32,367

63

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Rolls-Royce PLC, 2.125%, 06/18/2021, 06/20/2025*		1.00	%		Quarterly		4.24	%		EUR	722	$	(113,539	)	$	(143,155	)	$	29,616
JPMorgan Securities, LLC
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	6,400		(1,999,360	)		(761,528	)		(1,237,832	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	12,000		(3,748,800	)		(1,361,881	)		(2,386,919	)
Morgan Stanley & Co. International PLC
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	117		(58,973	)		(57,053	)		(1,920	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	364		(183,472	)		(167,515	)		(15,957	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	364		(183,472	)		(154,799	)		(28,673	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	364		(183,472	)		(153,894	)		(29,578	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	363		(182,968	)		(152,568	)		(30,400	)
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	363		(182,968	)		(151,666	)		(31,302	)
Morgan Stanley Capital Services LLC
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,188		(371,230	)		(123,295	)		(247,935	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,272		(397,479	)		(137,473	)		(260,006	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	10,000		(3,124,000	)		(109,375	)		(3,014,625	)
												$	(35,263,672	)	$	(11,079,005	)	$	(24,184,667	)

* Termination date

64

TOTAL RETURN SWAPS

Counterparty & Referenced Obligation	Rate Paid/ Received		Payment Frequency		Current Notional (000)		Maturity Date		Unrealized Appreciation/ (Depreciation)
Receive Total Return on Reference Obligation
Goldman Sachs International
iBoxx EUR Contingent Convertible Liquid Developed Market AT1		3 Month EURIBOR		Quarterly		EUR    11,782		12/20/2020	$	3,226,149

REVERSE REPURCHASE AGREEMENTS

Broker	Principal Amount (000)		Currency		Interest Rate			Maturity		U.S. $ Value at June 30, 2020
Barclays Capital, Inc.†		514		USD		0.00	%		—	$	512,364
Credit Suisse Securities (USA) LLC†		629		EUR		0.00	%		—		697,407
										$	1,209,771

† The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on June 30, 2020

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

	Overnight and Continuous		Up to 30 Days		31-90 Days		Greater than 90 Days		Total
Corporates - Non-Investment Grade	$	1,209,771	$	0	$	0	$	0	$	1,209,771

** Principal amount less than 500.

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the aggregate market value of these securities amounted to $502,552,699 or 49.6% of net assets.

(b) Fair valued by the Adviser.

(c) Non-income producing security.

(d) Defaulted matured security.

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

(f) Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at June 30, 2020.

(g) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 1.07% of net assets as of June 30, 2020, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
Carlson Travel, Inc. 6.75%, 12/15/2023		12/09/2016	$	763,429	$	509,783		0.05	%
Consumer Loan Underlying Bond Certificate Issuer Trust ISeries 2018-12, Class PT 7.337%, 06/15/2043		06/26/2018		244,849		217,675		0.02	%

65

144A/Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
Consumer Loan Underlying Bond Certificate Issuer Trust ISeries 2018-4, Class PT 7.619%, 05/15/2043		03/27/2018	$	295,751	$	269,922		0.03	%
Consumer Loan Underlying Bond Certificate Issuer Trust ISeries 2018-7, Class PT 7.692%, 06/15/2043		04/25/2018		342,053		305,656		0.03	%
Consumer Loan Underlying Bond Certificate Issuer Trust ISeries 2019-24, Class PT 8.22%, 08/15/2044		06/27/2019		409,658		364,609		0.04	%
Consumer Loan Underlying Bond Certificate Issuer Trust ISeries 2019-36, Class PT 10.65%, 10/17/2044		09/04/2019		506,706		437,149		0.04	%
Consumer Loan Underlying Bond Certificate Issuer Trust ISeries 2019-43, Class PT 4.784%, 11/15/2044		10/09/2019		374,757		343,254		0.03	%
Consumer Loan Underlying Bond Credit TrustSeries 2018-3, Class PT 7.46%, 03/16/2043		03/07/2018		66,430		59,693		0.01	%
Digicel Group 0.5 Ltd. 7.00%, 07/15/2020		11/28/2016		137,801		5,860		0.00	%
Ecuador Government International Bond 7.875%, 01/23/2028		04/02/2020		410,700		566,210		0.06	%
Ecuador Government International Bond 9.50%, 03/27/2030		04/07/2020		137,100		189,703		0.02	%
Ecuador Government International Bond 10.75%, 01/31/2029		04/08/2020		54,660		83,000		0.01	%
Ecuador Government International Bond 10.875%, 03/28/2022		08/02/2019		3,024,453		1,382,940		0.14	%
Exide Technologies (Exchange Priority) 11.00%, 10/31/2024		06/28/2019		3,525,661		358,320		0.04	%
Exide Technologies (First Lien) 11.00%, 10/31/2024		04/30/2015		1,024,054		0		0.00	%
Fideicomiso PA Pacifico Tres 7.00%, 01/15/2035		03/04/2016		1,959,173		1,926,754		0.19	%
JP Morgan Madison Avenue Securities TrustSeries 2015-CH1, Class M2 5.685%, 10/25/2025		09/18/2015		1,205,718		1,074,764		0.11	%
K2016470219 South Africa Ltd. 3.00%, 12/31/2022		01/31/2017		1,069,015		2,778		0.00	%
K2016470260 (South Africa) Ltd. 25.00%, 12/31/2022		01/31/2017		480,901		431		0.00	%
Liberty Tire Recycling LLC 9.50%, 01/15/2023		01/03/2018		673,320		673,320		0.07	%
Magnetation LLC/Mag Finance Corp. 11.00%, 05/15/2018		05/15/2013		2,295,760		0		0.00	%
SoFi Consumer Loan Program LLCSeries 2016-1, Class R Zero Coupon, 08/25/2025		07/28/2017		305,888		126,355		0.01	%
SoFi Consumer Loan Program LLCSeries 2017-3, Class R Zero Coupon, 05/25/2026		05/11/2017		1,107,300		270,000		0.03	%
SoFi Consumer Loan Program LLCSeries 2017-5, Class R1 Zero Coupon, 09/25/2026		09/18/2017		1,313,468		281,003		0.03	%

66

144A/Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
SoFi Consumer Loan Program TrustSeries 2018-1, Class R1 Zero Coupon, 02/25/2027		02/01/2018	$	1,569,021	$	521,532		0.05	%
Terraform Global Operating LLC 6.125%, 03/01/2026		02/08/2018		118,000		115,913		0.01	%
Tonon Luxembourg SA 6.50%, 10/31/2024		05/03/2019		1,324,697		18,514		0.00	%
Virgolino de Oliveira Finance SA 10.50%, 01/28/2018		01/23/2014 – 02/27/2014		2,401,854		40,900		0.00	%
Virgolino de Oliveira Finance SA 10.875%, 01/13/2020		06/09/2014		477,418		143,778		0.01	%
Virgolino de Oliveira Finance SA 11.75%, 02/09/2022		01/29/2014 – 06/09/2014		838,866		15,225		0.00	%
Wells Fargo Credit Risk Transfer Securities TrustSeries 2015-WF1, Class 2M2 5.685%, 11/25/2025		09/28/2015		465,201		429,011		0.04	%

(h) Convertible security.

(i) Defaulted.

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

(k) Restricted and illiquid security.

Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
CHC Group LLC		08/04/1942	$	3,697,478	$	25,828		0.00	%
CHC Group LLC/CHC Finance Ltd.Series AI Zero Coupon, 10/01/2020		08/04/1942		2,959,958		442,232		0.04	%
Mt. Logan Re Ltd.(Preference Shares)		12/30/2014		2,953,000		2,872,381		0.28	%

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

(m) Floating Rate Security. Stated interest/floor/ceiling rate was in effect at June 30, 2020.

(n) Inverse interest only security.

(o) IO - Interest Only.

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

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

(r) Position, or a portion thereof, has been segregated to collateralize margin requirements for open centrally cleared swaps.

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

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

(u) The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at June 30, 2020.

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

(w) Affiliated investments.

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

67

(y) As of June 30, 2020, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $ 58,994,838 and gross unrealized depreciation of investments was $ (163,624,289), resulting in net unrealized depreciation of $ (104,629,451).

Currency Abbreviations:

ARS – Argentine Peso

AUD – Australian Dollar

BRL – Brazilian Real

CAD – Canadian Dollar

CHF – Swiss Franc

CLP – Chilean Peso

CNH – Chinese Yuan Renminbi (Offshore)

COP – Colombian Peso

EGP – Egyptian Pound

EUR – Euro

GBP – Great British Pound

HKD – Hong Kong Dollar

IDR – Indonesian Rupiah

INR – Indian Rupee

JPY – Japanese Yen

KRW – South Korean Won

MXN – Mexican Peso

MYR – Malaysian Ringgit

NOK – Norwegian Krone

NZD – New Zealand Dollar

PLN – Polish Zloty

RUB – Russian Ruble

SEK – Swedish Krona

SGD – Singapore Dollar

TRY – Turkish Lira

TWD – New Taiwan Dollar

USD – United States Dollar

ZAR – South African Rand

Glossary:

ABS – Asset-Backed Securities

BADLAR – Argentina Deposit Rates Badlar Private Banks

CBT – Chicago Board of Trade

CDX-CMBX.NA – North American Commercial Mortgage-Backed Index

CDX-NAHY – North American High Yield Credit Default Swap Index

CLO – Collateralized Loan Obligations

CMBS – Commercial Mortgage-Backed Securities

ETF – Exchange Traded Fund

EURIBOR – Euro Interbank Offered Rate

H15T – U.S. Treasury Yield Curve Rate T Note Constant Maturity

JSC – Joint Stock Company

LIBOR – London Interbank Offered Rate

REIT – Real Estate Investment Trust

REMICs – Real Estate Mortgage Investment Conduits

68

COUNTRY BREAKDOWN¹

June 30, 2020 (unaudited)

65.3%	United States
4.6%	Brazil
2.5%	United Kingdom
1.5%	Mexico
1.4%	Canada
1.2%	France
1.2%	Colombia
1.2%	Netherlands
1.1%	Argentina
1.1%	Egypt
1.0%	Dominican Republic
1.0%	Cayman Islands
0.9%	Italy
15.2%	Other
0.8%	Short-Term
100.0%	Total Investments

1 All data are as of June 30, 2020. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.8% or less in the following: Angola, Australia, Bahrain, Bermuda, Chile, China, Costa Rica, Denmark, Ecuador, El Salvador, Finland, Gabon, Germany, Ghana, Guatemala, Honduras, Hong Kong, Indonesia, Iraq, Ireland, Israel, Ivory Coast, Jamaica, Jordan, Kazakhstan, Kenya, Kuwait, Lebanon, Luxembourg, Macau, Mongolia, Morocco, Nigeria, Norway, Oman, Pakistan, Peru, Russia, Senegal, South Africa, Spain, Sri Lanka, Sweden, Switzerland, Trinidad & Tobago, Turkey, Ukraine, United Arab Emirates, Venezuela and Zambia.

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AB Global High Income Fund

June 30, 2020 (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 rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are 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.

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, 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 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 pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as a 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.

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The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of June 30, 2020:

Investments in Securities	Level 1			Level 2			Level 3			Total
Assets:
Corporates - Non-Investment Grade	$	-0-		$	341,877,102		$	1,318,001	#	$	343,195,103
Corporates - Investment Grade		-0-			173,866,785			-0-			173,866,785
Collateralized Mortgage Obligations		-0-			117,095,976			-0-			117,095,976
Emerging Markets - Sovereigns		-0-			102,713,303			-0-			102,713,303
Governments - Treasuries		-0-			78,216,121			-0-			78,216,121
Bank Loans		-0-			44,391,035			8,095,968			52,487,003
Emerging Markets - Corporate Bonds		-0-			32,987,979			24,374			33,012,353
Emerging Markets - Treasuries		-0-			19,496,974			-0-			19,496,974
Commercial Mortgage-Backed Securities		-0-			16,148,297			-0-			16,148,297
Collateralized Loan Obligations		-0-			13,533,956			-0-			13,533,956
Asset-Backed Securities		-0-			10,218,068			1,198,890			11,416,958
Quasi-Sovereigns		-0-			11,254,684			-0-			11,254,684
Common Stocks		3,173,284			113,756			5,359,186	#		8,646,226
Governments - Sovereign Bonds		-0-			5,718,143			-0-	#		5,718,143
Investment Companies		5,351,780			-0-			-0-			5,351,780
Local Governments - US Municipal Bonds		-0-			3,922,109			-0-			3,922,109
Preferred Stocks		2,480,557			-0-			1,240,545			3,721,102
Inflation-Linked Securities		-0-			2,515,529			-0-			2,515,529
Local Governments - Regional Bonds		-0-			208,129			-0-			208,129
Warrants		66,563			-0-			59,204	#		125,767
Whole Loan Trusts		-0-			-0-			90,451			90,451
Rights		-0-			-0-			8,845			8,845
Short-Term Investments:
Investment Companies		2,844,040			-0-			-0-			2,844,040
Time Deposits		-0-			2,782,613			-0-			2,782,613
Governments - Treasuries		-0-			2,748,156			-0-			2,748,156
Total Investments in Securities		13,916,224			979,808,715			17,395,464			1,011,120,403
Other Financial Instruments*:
Assets
Futures		1,156,859			-0-			-0-			1,156,859
Forward Currency Exchange Contracts		-0-			867,741			-0-			867,741
Centrally Cleared Credit Default Swaps		-0-			3,350,829			-0-			3,350,829
Credit Default Swaps		-0-			20,253			-0-			20,253
Total Return Swaps		-0-			3,226,149			-0-			3,226,149
Liabilities
Futures		(97,344	)		-0-			-0-			(97,344	)
Forward Currency Exchange Contracts		-0-			(1,848,339	)		-0-			(1,848,339	)
Centrally Cleared Credit Default Swaps		-0-			(2,748,676	)		-0-			(2,748,676	)
Credit Default Swaps		-0-			(35,283,925	)		-0-			(35,283,925	)
Reverse Repurchase Agreements		(1,209,771	)		-0-			-0-			(1,209,771	)
Total	$	13,765,968		$	947,392,747		$	17,395,464		$	978,554,179

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

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

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

	Corporates - Non- Investment Grade#			Bank Loans			Emerging Markets - Corporate Bonds			Asset-Backed Securities
Balance as of 3/31/20	$	2,724,178		$	17,168,828		$	18,514		$	1,293,663
Accrued discounts/(premiums)		(20,947	)		- 0 -			(90,896	)		- 0 -
Realized gain (loss)		16,853			(50,288	)		- 0 -			126,122
Change in unrealized appreciation/ depreciation		(1,432,615	)		(10,621	)		(42,027	)		(35,080	)
Purchases/Payups		30,532			719,400			138,783			- 0 -
Sales/Paydowns		- 0 -			(730,235	)		- 0 -			(185,815	)
Transfers into Level 3		- 0 -			1,070,979			- 0 -			- 0 -
Transfers out of Level 3		- 0 -			(10,072,095	)		- 0 -			- 0 -
Balance as of 6/30/20	$	1,318,001		$	8,095,968		$	24,374		$	1,198,890
Net change in unrealized appreciation/depreciation from investments held as of 6/30/20	$	(1,432,615	)	$	(117,808	)	$	(42,027	)	$	(35,080	)
	Common Stocks#			Governments - Sovereign Bonds#			Preferred Stocks			Warrants#
Balance as of 3/31/20	$	5,027,722		$	- 0 -		$	955,220		$	127,104
Accrued discounts/(premiums)		- 0 -			- 0 -			- 0 -			- 0 -
Realized gain (loss)		- 0 -			- 0 -			- 0 -			- 0 -
Change in unrealized appreciation/ depreciation		331,466			- 0 -			285,325			(67,900	)
Purchases		1,209,055			- 0 -			- 0 -			- 0 -
Sales/Paydowns		(1,209,057	)		- 0 -			- 0 -			- 0 -
Transfers into Level 3		- 0 -			- 0 -			- 0 -			- 0 -
Transfers out of Level 3		- 0 -			- 0 -			- 0 -			- 0 -
Balance as of 6/30/20	$	5,359,186		$	- 0 -		$	1,240,545		$	59,204
Net change in unrealized appreciation/depreciation from investments held as of 6/30/20	$	(877,591	)	$	- 0 -		$	285,325		$	(67,900	)
	Whole Loan Trusts			Rights			Short-Term Investments: Governments- Treasuries			Total
Balance as of 3/31/20	$	112,600		$	11,439		$	978,639		$	28,417,907
Accrued discounts/(premiums)		- 0 -			- 0 -			8,328			(103,515	)
Realized gain (loss)		- 0 -			- 0 -			(51,710	)		40,977
Change in unrealized appreciation/ depreciation		(17,193	)		(2,594	)		93,873			(897,366	)
Purchases/Payups		- 0 -			- 0 -			- 0 -			2,097,770
Sales/Paydowns		(4,956	)		- 0 -			(1,029,130	)		(3,159,193	)
Transfers into Level 3		- 0 -			- 0 -			- 0 -			1,070,979
Transfers out of Level 3		- 0 -			- 0 -			- 0 -			(10,072,095	)
Balance as of 6/30/20	$	90,451		$	8,845		$	- 0 -		$	17,395,464
Net change in unrealized appreciation/depreciation from investments held as of 6/30/20	$	(17,193	)	$	(2,594	)	$	- 0 -		$	(2,307,483	)

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

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The following presents information about significant unobservable inputs related to the Fund’s Level 3 investments at June 30, 2020. Securities priced (i) by the third party vendors or (ii) by brokers, are excluded from the following table:

	Quantitative Information about Level 3 Fair Value Measurements
	Fair Value at 6/30/2020		Valuation Technique	Unobservable Input	Input
Common Stocks	$	2,872,381	Market Approach	NAV Equivalent	$972.70
	$	366,314	Market Approach	EBITDA* Projection	$61.4mm
				EBITDA* Multiples	6.8X
	$	58,475	Market Approach	10% Haircut to Last Traded Price	$3.27
	$	10,811	Market Approach	EBITDA* Projection	$400 mm
				EBITDA* Multiples	15.4X
	$	1	Qualitative Assessment		$0.00
	$	1	Qualitative Assessment		$0.00
	$	-0-	Qualitative Assessment		$0.00
	$	-0-	Qualitative Assessment		$0.00
	$	-0-	Qualitative Assessment		$0.00
	$	3,307,983
Corporates - Non-Investment Grade	$	673,320	Qualitative Assessment	Par Value	$100.00
	$	358,320	Residual Value Waterfall Analysis	Estimated Value Remaining	$50.6 Million
	$	286,361	Recovery Analysis	Collateral Value	$85.10
	$	-0-	Qualitative Assessment		$0.00
	$	-0-	Qualitative Assessment		$0.00
	$	1,318,001
Preferred Stocks	$	1,240,545	Market Approach	EBITDA* Projection	$400mm
				EBITDA* Multiples	15.4X
Whole Loan Trusts	$	90,451	Recovery Analysis	Cumulative Loss	35%
Warrants	$	59,204	Option Pricing Model	Exercise Price	2.03
Governments - Sovereign Bonds	$	-0-	Qualitative Assessment		$0.00

* Earnings Before Interest, Taxes, Depreciation and Amortization.

Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. A significant increase (decrease) in NAV Equivalent, Estimated Value Remaining, Exercise Price, Par Value, Last Traded Price, EBITDA projections and EBITDA Multiple and Collateral Value in isolation would be expected to result in a significant higher (lower) fair value measurement. A significant increase (decrease) in Cumulative Loss in isolation would be expected to result in a significant lower (higher) fair value measurement.

A summary of the Fund’s transactions in AB mutual funds for the three months ended June 30, 2020 is as follows:

Fund	Market Value 3/31/20 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Market Value 6/30/20 (000)		Dividend Income (000)
Government Money Market Portfolio	$	72,301	$	82,206	$	151,663	$	2,844	$	17

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