Edgar Filing: ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND INC

AllianceBernstein Global High Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-07732

ALLIANCEBERNSTEIN GLOBAL HIGH INCOME FUND, INC.

(Exact name of registrant as specified in charter)

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

(Address of principal executive offices) (Zip code)

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

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

Date of fiscal year end: March 31, 2012

Date of reporting period: December 31, 2011

ITEM 1.

SCHEDULE OF INVESTMENTS.

AllianceBernstein Global High Income Fund

Portfolio of Investments

December 31, 2011 (unaudited)


		Principal Amount (000)		U.S. $ Value
CORPORATES - NON-INVESTMENT GRADES - 56.1%
Industrial - 49.0%
Basic - 4.3%
AK Steel Corp.
7.625%, 5/15/20	U.S.$		1,000	$	940,000
Aleris International, Inc.
7.625%, 2/15/18			2,500		2,437,500
Appleton Papers, Inc.
10.50%, 6/15/15 (a)			1,300		1,282,125
Arch Coal, Inc.
7.00%, 6/15/19 (a)			693		706,860
7.25%, 6/15/21 (a)			1,156		1,187,790
Calcipar SA
6.875%, 5/01/18 (a)			735		661,500
Celanese US Holdings LLC
6.625%, 10/15/18			408		433,500
CF Industries, Inc.
7.125%, 5/01/20			900		1,064,250
Commercial Metals Co.
6.50%, 7/15/17			1,300		1,212,250
Consol Energy, Inc.
8.25%, 4/01/20			2,175		2,403,375
Graphic Packaging International, Inc.
7.875%, 10/01/18			899		957,435
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC
4.957%, 11/15/14 (b)(c)			938		816,060
Huntsman International LLC
8.625%, 3/15/21 (b)			2,060		2,183,600
Ineos Group Holdings Ltd.
8.50%, 2/15/16 (a)			3,551		2,823,045
James River Coal Co.
7.875%, 4/01/19			251		189,505
JMC Steel Group
8.25%, 3/15/18 (a)			722		703,950
Kerling PLC
10.625%, 2/01/17 (a)	EUR		1,412		1,617,321
Kinove German Bondco GmbH
9.625%, 6/15/18 (a)	U.S.$		942		894,900
LyondellBasell Industries NV
6.00%, 11/15/21 (a)			264		273,900
MacDermid, Inc.
9.50%, 4/15/17 (a)			1,800		1,791,000
Momentive Performance Materials, Inc.
11.50%, 12/01/16			750		558,750
NewMarket Corp.
7.125%, 12/15/16			988		1,010,230
NewPage Corp.
10.00%, 5/01/12 (d)			735		51,450
Norske Skogindustrier ASA
7.00%, 6/26/17	EUR		988		664,934
Nova Chemicals Corp.
8.625%, 11/01/19	U.S.$		1,426		1,572,165
Omnova Solutions, Inc.
7.875%, 11/01/18			1,833		1,585,545


		Principal Amount (000)		U.S. $ Value
Peabody Energy Corp.
6.00%, 11/15/18 (a)	U.S.$		626		638,520
6.25%, 11/15/21 (a)			1,499		1,551,465
Polymer Group, Inc.
7.75%, 2/01/19 (a)			3,500		3,622,500
Polypore International, Inc.
7.50%, 11/15/17			940		972,900
Rain CII Carbon LLC/CII Carbon Corp.
8.00%, 12/01/18 (a)			1,345		1,375,262
Smurfit Kappa Acquisitions
7.75%, 11/15/19 (a)	EUR		1,535		2,046,274
Solutia, Inc.
7.875%, 3/15/20 (b)	U.S.$		928		1,009,200
Steel Dynamics, Inc.
7.625%, 3/15/20			1,200		1,266,000
7.75%, 4/15/16			1,150		1,198,875
TPC Group LLC
8.25%, 10/01/17			2,107		2,107,000
United States Steel Corp.
6.65%, 6/01/37			1,137		886,860
Verso Paper Holdings LLC/Verso Paper, Inc.
8.75%, 2/01/19			900		549,000
Series B
11.375%, 8/01/16 (b)			1,239		507,990
Westvaco Corp.
7.95%, 2/15/31			1,000		1,108,853
Weyerhaeuser Co.
7.375%, 3/15/32			1,790		1,878,841

					50,742,480

Capital Goods - 5.7%
Alion Science and Technology Corp.
12.00%, 11/01/14 (e)			929		766,660
Alliant Techsystems, Inc.
6.875%, 9/15/20			521		531,420
Ardagh Glass Finance PLC
8.75%, 2/01/20 (a)	EUR		860		962,792
Ardagh Packaging Finance PLC
7.375%, 10/15/17 (a)	U.S.$		230		232,300
9.25%, 10/15/20 (a)(b)	EUR		427		498,762
BE Aerospace, Inc.
6.875%, 10/01/20	U.S.$		1,236		1,347,240
Berry Plastics Corp.
9.75%, 1/15/21			1,525		1,521,187
10.25%, 3/01/16			360		347,400
Bombardier, Inc.
7.75%, 3/15/20 (a)			1,266		1,379,940
Building Materials Corp. of America
7.00%, 2/15/20 (a)			985		1,058,875
7.50%, 3/15/20 (a)			849		916,920
Case New Holland, Inc.
7.875%, 12/01/17			1,393		1,574,090
Clondalkin Industries BV
8.00%, 3/15/14 (a)	EUR		1,312		1,239,581


		Principal Amount (000)		U.S. $ Value
CNH America LLC
7.25%, 1/15/16	U.S.$		1,775		1,903,687
Crown European Holdings SA
7.125%, 8/15/18 (a)	EUR		305		399,681
Griffon Corp.
7.125%, 4/01/18	U.S.$		718		710,820
Grohe Holding GmbH
8.625%, 10/01/14 (a)(b)	EUR		1,804		2,054,648
HeidelbergCement Finance BV
8.50%, 10/31/19			1,330		1,712,746
Huntington Ingalls Industries, Inc.
6.875%, 3/15/18 (a)	U.S.$		640		627,200
7.125%, 3/15/21 (a)			632		619,360
KUKA AG
8.75%, 11/15/17 (a)	EUR		1,038		1,330,006
Lafarge SA
7.125%, 7/15/36	U.S.$		800		706,346
Manitowoc Co., Inc. (The)
8.50%, 11/01/20			2,168		2,284,530
Masco Corp.
6.125%, 10/03/16			1,825		1,872,820
Nordenia Holdings AG
9.75%, 7/15/17	EUR		1,206		1,576,474
Nortek, Inc.
8.50%, 4/15/21 (a)	U.S.$		3,269		2,762,305
Obrascon Huarte Lain SA
7.375%, 4/28/15	EUR		500		648,549
OI European Group BV
6.75%, 9/15/20 (a)			1,000		1,281,307
Plastipak Holdings, Inc.
8.50%, 12/15/15 (a)	U.S.$		2,325		2,371,500
Ply Gem Industries, Inc.
8.25%, 2/15/18			1,400		1,219,750
Pregis Corp.
6.572%, 4/15/13 (c)	EUR		1,100		1,380,965
RBS Global, Inc./Rexnord LLC
8.50%, 5/01/18	U.S.$		1,900		2,014,000
11.75%, 8/01/16			700		735,000
Rexam PLC
6.75%, 6/29/67	EUR		2,020		2,351,927
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
7.875%, 8/15/19 (a)	U.S.$		2,080		2,173,600
9.00%, 4/15/19 (a)			1,153		1,095,350
9.25%, 5/15/18 (a)			1,800		1,723,500
9.875%, 8/15/19 (a)			1,762		1,709,140
RSC Equipment Rental, Inc./RSC Holdings III LLC
8.25%, 2/01/21			650		658,125
10.25%, 11/15/19			2,400		2,616,000
Sealed Air Corp.
8.125%, 9/15/19 (a)			696		762,120
8.375%, 9/15/21 (a)			713		787,865
Sequa Corp.
11.75%, 12/01/15 (a)			2,320		2,470,800


		Principal Amount (000)		U.S. $ Value
Solo Cup Co.
8.50%, 2/15/14	U.S.$		1,000		920,000
Sterling Merger, Inc.
11.00%, 10/01/19 (a)			2,073		2,021,175
Terex Corp.
8.00%, 11/15/17			413		404,740
Textron Financial Corp.
6.00%, 2/15/67 (a)			575		414,000
TransDigm, Inc.
7.75%, 12/15/18			2,600		2,795,000
United Rentals North America, Inc.
8.375%, 9/15/20			2,861		2,789,475
USG Corp.
6.30%, 11/15/16			797		621,660
Wienerberger AG
6.50%, 2/09/17	EUR		1,100		1,000,132

					67,903,470

Communications - Media - 4.8%
Allbritton Communications Co.
8.00%, 5/15/18	U.S.$		2,955		2,932,837
CCH II LLC/CCH II Capital Corp.
13.50%, 11/30/16			860		992,852
CCO Holdings LLC/CCO Holdings Capital Corp.
7.00%, 1/15/19			500		521,250
7.25%, 10/30/17			600		632,250
7.375%, 6/01/20			720		759,600
Cengage Learning Acquisitions, Inc.
10.50%, 1/15/15 (a)			1,575		1,130,062
Cequel Communications Holdings I LLC and Cequel Capital Corp.
8.625%, 11/15/17 (a)			2,345		2,485,700
Charter Communications Operating LLC/Charter Communications Operating Capital
8.00%, 4/30/12 (a)			1		969
Clear Channel Communications, Inc.
5.75%, 1/15/13			1,500		1,425,000
9.00%, 3/01/21			1,166		982,355
10.75%, 8/01/16			1,507		1,009,690
Clear Channel Worldwide Holdings, Inc.
9.25%, 12/15/17			65		69,875
Series B
9.25%, 12/15/17			2,058		2,222,640
Crown Media Holdings, Inc.
10.50%, 7/15/19			1,256		1,321,940
CSC Holdings LLC
7.625%, 7/15/18			598		657,800
Cumulus Media, Inc.
7.75%, 5/01/19 (a)(b)			925		820,937
Dex One Corp.
12.00%, 1/29/17 (e)			1,037		230,762
DISH DBS Corp.
7.125%, 2/01/16			1,250		1,346,875
EH Holding Corp.
7.625%, 6/15/21 (a)			2,323		2,439,150


		Principal Amount (000)		U.S. $ Value
Houghton Mifflin Harcourt Publishing Co.
10.50%, 6/01/19 (a)	U.S.$		1,000		610,000
Intelsat Jackson Holdings SA
11.25%, 6/15/16			2,497		2,623,411
Intelsat Luxembourg SA
11.25%, 2/04/17			1,200		1,161,000
11.50%, 2/04/17 (a)(e)			900		868,500
11.50%, 2/04/17 (e)			900		868,500
Kabel BW GmbH
7.50%, 3/15/19 (a)			487		511,350
7.50%, 3/15/19 (a)	EUR		537		701,962
Lamar Media Corp.
6.625%, 8/15/15	U.S.$		2,500		2,550,000
Liberty Interactive LLC
5.70%, 5/15/13			1,480		1,526,250
LIN Television Corp.
6.50%, 5/15/13			1,296		1,297,620
8.375%, 4/15/18			750		730,313
Local TV Finance LLC
9.25%, 6/15/15 (a)(e)			1,286		1,228,369
McClatchy Co. (The)
11.50%, 2/15/17			600		580,500
New York Times Co. (The)
6.625%, 12/15/16			1,300		1,317,745
Quebecor Media, Inc.
7.75%, 3/15/16			2,810		2,887,275
RR Donnelley & Sons Co.
7.25%, 5/15/18			1,998		1,938,060
Sinclair Television Group, Inc.
8.375%, 10/15/18 (b)			660		681,450
9.25%, 11/01/17 (a)			1,485		1,618,650
Sirius XM Radio, Inc.
8.75%, 4/01/15 (a)			2,000		2,190,000
Telesat Canada/Telesat LLC
11.00%, 11/01/15			440		472,450
Thomson Corp.
5.75%, 9/25/15 (d)(f)	EUR		975		5,931
Univision Communications, Inc.
6.875%, 5/15/19 (a)	U.S.$		800		772,000
8.50%, 5/15/21 (a)			1,325		1,205,750
UPC Holding BV
8.375%, 8/15/20 (a)	EUR		1,000		1,219,831
UPCB Finance III Ltd.
6.625%, 7/01/20 (a)	U.S.$		1,105		1,088,425
UPCB Finance V Ltd.
7.25%, 11/15/21 (a)			480		486,000
Valassis Communications, Inc.
6.625%, 2/01/21			600		558,000
Virgin Media Finance PLC
8.375%, 10/15/19			2,300		2,524,250
XM Satellite Radio, Inc.
7.625%, 11/01/18 (a)			775		821,500

					57,027,636


		Principal Amount (000)		U.S. $ Value
Communications - Telecommunications - 3.3%
Cincinnati Bell, Inc.
8.25%, 10/15/17	U.S.$		1,250		1,256,250
Cricket Communications, Inc.
7.75%, 10/15/20			1,500		1,312,500
Crown Castle International Corp.
7.125%, 11/01/19			1,500		1,620,000
Data & Audio Visual Enterprise
9.50%, 4/29/18	CAD		1,175		1,060,735
Digicel Group Ltd.
10.50%, 4/15/18 (a)	U.S.$		2,384		2,395,920
eAccess Ltd.
8.25%, 4/01/18 (a)			1,626		1,536,570
Fairpoint Communications, Inc.
Series 1
13.125%, 4/02/18 (d)			1,512		15,124
Frontier Communications Corp.
9.00%, 8/15/31			1,000		912,500
Level 3 Financing, Inc.
8.75%, 2/15/17			1,950		1,984,125
9.25%, 11/01/14			535		547,038
10.00%, 2/01/18			1,000		1,060,000
MetroPCS Wireless, Inc.
6.625%, 11/15/20			1,350		1,258,875
7.875%, 9/01/18			1,300		1,317,875
MTS International Funding Ltd.
8.625%, 6/22/20 (a)			2,495		2,679,006
NII Capital Corp.
7.625%, 4/01/21			1,362		1,351,785
PAETEC Holding Corp.
9.50%, 7/15/15			750		785,625
9.875%, 12/01/18			1,480		1,628,000
Phones4u Finance PLC
9.50%, 4/01/18 (a)	GBP		1,750		2,174,200
Sprint Capital Corp.
6.875%, 11/15/28	U.S.$		1,500		1,070,625
8.75%, 3/15/32			130		105,138
Sunrise Communications Holdings SA
8.50%, 12/31/18 (a)(b)	EUR		1,400		1,830,069
tw telecom holdings, Inc.
8.00%, 3/01/18	U.S.$		2,376		2,530,440
VimpelCom Holdings BV
7.504%, 3/01/22 (a)			1,300		1,092,000
Wind Acquisition Finance SA
7.25%, 2/15/18 (a)			1,400		1,263,500
11.75%, 7/15/17 (a)			2,200		1,969,000
Windstream Corp.
7.50%, 4/01/23			675		666,562
7.75%, 10/01/21			1,715		1,757,875
8.125%, 8/01/13-9/01/18			2,168		2,320,523

					39,501,860

Consumer Cyclical - Automotive - 2.8%
Affinia Group, Inc.
9.00%, 11/30/14			2,195		2,173,050


		Principal Amount (000)		U.S. $ Value
Allison Transmission, Inc.
7.125%, 5/15/19 (a)	U.S.$		2,039		1,998,220
11.00%, 11/01/15 (a)			2,014		2,124,770
American Axle & Manufacturing Holdings, Inc.
9.25%, 1/15/17 (a)			1,035		1,122,975
Chrysler Group LLC/CG Co-Issuer, Inc.
8.00%, 6/15/19 (a)			2,800		2,562,000
Commercial Vehicle Group, Inc.
7.875%, 4/15/19 (a)			1,084		1,043,350
Cooper Tire & Rubber Co.
8.00%, 12/15/19			1,250		1,281,250
Dana Holding Corp.
6.50%, 2/15/19			300		303,000
6.75%, 2/15/21			326		334,150
Delphi Corp.
5.875%, 5/15/19 (a)			559		570,180
6.125%, 5/15/21 (a)			419		431,570
Exide Technologies
8.625%, 2/01/18			801		616,770
Ford Motor Co.
7.45%, 7/16/31 (b)			2,500		3,000,000
Ford Motor Credit Co. LLC
3.148%, 1/13/12 (b)(c)			1,130		1,130,655
8.00%, 12/15/16			600		680,765
Goodyear Dunlop Tires Europe BV
6.75%, 4/15/19 (a)	EUR		925		1,101,407
Goodyear Tire & Rubber Co. (The)
7.00%, 3/15/28	U.S.$		400		388,000
8.25%, 8/15/20 (b)			1,891		2,061,190
8.75%, 8/15/20			343		378,158
Jaguar Holding Co. II/Jaguar Merger Sub, Inc.
9.50%, 12/01/19 (a)			1,699		1,783,950
Lear Corp.
8.125%, 3/15/20			1,550		1,705,000
Navistar International Corp.
8.25%, 11/01/21			2,157		2,294,509
Tenneco, Inc.
6.875%, 12/15/20			2,335		2,393,375
7.75%, 8/15/18			410		434,600
UCI International, Inc.
8.625%, 2/15/19			1,002		971,940

					32,884,834

Consumer Cyclical - Entertainment - 0.9%
AMC Entertainment, Inc.
9.75%, 12/01/20			1,143		1,085,850
ClubCorp Club Operations, Inc.
10.00%, 12/01/18			2,000		1,920,000
Greektown Holdings LLC
10.75%, 12/01/13 (d)(f)			915		0
Liberty Interactive LLC
3.75%, 2/15/30			931		477,138
NAI Entertainment Holdings LLC
8.25%, 12/15/17 (a)			1,920		2,032,800


		Principal Amount (000)		U.S. $ Value
Pinnacle Entertainment, Inc.
7.50%, 6/15/15	U.S.$		1,275		1,262,250
8.625%, 8/01/17			895		946,462
8.75%, 5/15/20			271		265,580
Regal Entertainment Group
9.125%, 8/15/18 (b)			2,470		2,649,075

					10,639,155

Consumer Cyclical - Other - 4.6%
Beazer Homes USA, Inc.
6.875%, 7/15/15			1,500		1,121,250
Boyd Gaming Corp.
9.125%, 12/01/18			1,300		1,235,000
Broder Brothers Co.
12.00%, 10/15/13 (a)(e)			465		455,590
Caesars Entertainment Operating Co., Inc.
10.00%, 12/15/18			700		479,500
11.25%, 6/01/17			435		461,644
Chukchansi Economic Development Authority
8.00%, 11/15/13 (a)			2,753		1,775,685
Gaylord Entertainment Co.
6.75%, 11/15/14			5		4,950
GWR Operating Partnership LLP
10.875%, 4/01/17			1,600		1,740,000
Host Hotels & Resorts LP
Series O
6.375%, 3/15/15			1,500		1,526,250
Series Q
6.75%, 6/01/16			890		914,475
Isle of Capri Casinos, Inc.
7.00%, 3/01/14			1,725		1,612,875
7.75%, 3/15/19			1,335		1,221,525
K Hovnanian Enterprises, Inc.
10.625%, 10/15/16 (b)			2,620		2,089,450
KB Home
5.875%, 1/15/15			705		648,600
9.10%, 9/15/17			1,250		1,190,625
Lennar Corp.
Series B
6.50%, 4/15/16			2,600		2,574,000
Levi Strauss & Co.
7.625%, 5/15/20 (b)			1,200		1,225,500
M/I Homes, Inc.
8.625%, 11/15/18			2,360		2,088,600
Marina District Finance Co., Inc.
9.50%, 10/15/15 (b)			810		757,350
9.875%, 8/15/18 (b)			1,980		1,806,750
Meritage Homes Corp.
6.25%, 3/15/15			1,250		1,231,250
MGM Resorts International
6.625%, 7/15/15 (b)			1,480		1,406,000
7.625%, 1/15/17			1,200		1,143,000
NCL Corp. Ltd.
9.50%, 11/15/18			2,000		2,085,000
11.75%, 11/15/16			1,100		1,265,000


		Principal Amount (000)		U.S. $ Value
Penn National Gaming, Inc.
8.75%, 8/15/19	U.S.$		1,367		1,486,613
Pulte Group, Inc.
7.875%, 6/15/32			1,400		1,127,000
PVH Corp.
7.375%, 5/15/20			950		1,030,750
Quiksilver, Inc.
6.875%, 4/15/15			2,840		2,637,650
Royal Caribbean Cruises Ltd.
6.875%, 12/01/13			1,000		1,055,000
7.00%, 6/15/13			1,000		1,050,000
7.25%, 6/15/16			500		537,500
Ryland Group, Inc. (The)
6.625%, 5/01/20			1,800		1,683,000
Seminole Indian Tribe of Florida
6.535%, 10/01/20 (a)			240		233,772
7.75%, 10/01/17 (a)			1,610		1,674,400
Shea Homes LP/Shea Homes Funding Corp.
8.625%, 5/15/19 (a)			1,619		1,501,622
Sheraton Holding Corp.
7.375%, 11/15/15			2,000		2,260,000
Standard Pacific Corp.
8.375%, 5/15/18			500		475,000
10.75%, 9/15/16			1,696		1,780,800
Station Casinos, Inc.
6.625%, 3/15/18 (d)(f)			4,405		0
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp.
8.625%, 4/15/16 (a)			852		873,300
Tropicana Entertainment LLC/Tropicana Finance Corp.
9.625%, 12/15/14 (d)(f)			750		0
WCI Communities, Inc.
6.625%, 3/15/15 (d)(f)(g)			750		0
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
7.75%, 8/15/20			3,100		3,441,000

					54,907,276

Consumer Cyclical - Restaurants - 0.6%
Burger King Corp.
9.875%, 10/15/18 (b)			2,330		2,536,787
CKE Restaurants, Inc.
11.375%, 7/15/18 (b)			1,863		2,030,670
Landry’s Restaurants, Inc.
11.625%, 12/01/15			1,630		1,715,575
11.625%, 12/01/15 (a)			460		484,150

					6,767,182

Consumer Cyclical - Retailers - 1.5%
Asbury Automotive Group, Inc.
8.375%, 11/15/20			901		923,525


		Principal Amount (000)		U.S. $ Value
Bon-Ton Department Stores, Inc. (The)
10.25%, 3/15/14	U.S.$		1,981		1,270,316
Burlington Coat Factory Warehouse Corp.
10.00%, 2/15/19			260		254,150
Gymboree Corp.
9.125%, 12/01/18 (b)			2,650		2,318,750
Hines Nurseries, Inc.
10.25%, 10/01/11 (d)(f)(g)			1,000		0
JC Penney Corp., Inc.
6.375%, 10/15/36			1,000		836,250
7.40%, 4/01/37			1,000		930,000
Limited Brands, Inc.
6.90%, 7/15/17			1,382		1,489,105
7.60%, 7/15/37			1,000		995,000
Michaels Stores, Inc.
7.75%, 11/01/18			1,300		1,313,000
11.375%, 11/01/16			1,105		1,171,190
Neiman Marcus Group, Inc. (The)
10.375%, 10/15/15			500		519,380
Penske Automotive Group, Inc.
7.75%, 12/15/16			600		615,000
Rite Aid Corp.
8.00%, 8/15/20 (b)			1,325		1,464,125
9.50%, 6/15/17			860		784,750
Toys R US, Inc.
7.375%, 10/15/18			2,225		1,996,937
YCC Holdings LLC/Yankee Finance, Inc.
10.25%, 2/15/16 (e)			310		271,250

					17,152,728

Consumer Non-Cyclical - 7.5%
ACCO Brands Corp.
7.625%, 8/15/15			2,955		3,014,100
10.625%, 3/15/15			1,097		1,220,413
Alere, Inc.
8.625%, 10/01/18			2,405		2,368,925
AMGH Merger Sub, Inc.
9.25%, 11/01/18 (a)			1,855		1,910,650
ARAMARK Corp.
8.50%, 2/01/15			2,805		2,875,125
Aurora Diagnostics Holdings/Aurora Diagnostics Financing, Inc.
10.75%, 1/15/18			2,000		1,990,000
Bausch & Lomb, Inc.
9.875%, 11/01/15			2,714		2,849,700
Biomet, Inc.
11.625%, 10/15/17			2,605		2,826,425
BioScrip, Inc.
10.25%, 10/01/15			1,000		987,500
Boparan Holdings Ltd.
9.875%, 4/30/18 (a)	GBP		1,500		1,863,600
Capsugel FinanceCo SCA
9.875%, 8/01/19(a)	EUR		1,850		2,430,278
Care UK Health & Social Care PLC
9.75%, 8/01/17	GBP		1,200		1,677,240


		Principal Amount (000)		U.S. $ Value
Catalent Pharma Solutions, Inc.
9.50%, 4/15/15 (e)	U.S.$		2,567		2,637,853
CHS/Community Health Systems, Inc.
8.875%, 7/15/15 (b)			1,523		1,572,497
CityCenter Holdings LLC/CityCenter Finance Corp.
7.625%, 1/15/16 (a)			2,956		3,029,900
ConvaTec Healthcare E SA
10.50%, 12/15/18 (a)			1,818		1,622,565
Cott Beverages, Inc.
8.125%, 9/01/18			275		297,000
8.375%, 11/15/17			600		647,250
Del Monte Corp.
7.625%, 2/15/19			635		609,600
DJO Finance LLC/DJO Finance Corp.
7.75%, 4/15/18			285		218,738
10.875%, 11/15/14			1,150		1,072,375
Dole Food Co., Inc.
8.00%, 10/01/16 (a)			1,695		1,767,037
Elan Finance PLC/Elan Finance Corp.
8.75%, 10/15/16			1,800		1,921,500
Elizabeth Arden, Inc.
7.375%, 3/15/21			1,325		1,378,000
Emergency Medical Services Corp.
8.125%, 6/01/19			2,466		2,459,835
Endo Pharmaceuticals Holdings, Inc.
7.00%, 7/15/19			470		500,550
7.25%, 1/15/22			635		675,481
Grifols, Inc.
8.25%, 2/01/18			1,795		1,884,750
HCA Holdings, Inc.
7.75%, 5/15/21			2,000		2,035,000
HCA, Inc.
6.375%, 1/15/15			1,725		1,757,344
6.50%, 2/15/16			290		294,350
Health Management Associates, Inc.
7.375%, 1/15/20 (a)			750		780,000
IASIS Healthcare LLC/IASIS Capital Corp.
8.375%, 5/15/19			1,500		1,308,750
Jarden Corp.
7.50%, 1/15/20			1,800		1,917,000
JBS Finance II Ltd.
8.25%, 1/29/18 (a)			2,400		2,178,000
Kindred Healthcare, Inc.
8.25%, 6/01/19			840		705,600
Kinetic Concepts, Inc./KCI USA, Inc.
10.50%, 11/01/18 (a)			1,500		1,470,000
Mylan Inc./PA
7.625%, 7/15/17 (a)			265		288,188
7.875%, 7/15/20 (a)			260		286,325
New Albertsons, Inc.
7.45%, 8/01/29			4,005		3,123,900
Picard Bondco SA
9.00%, 10/01/18 (a)	EUR		1,500		1,931,668
Pilgrim’s Pride Corp.
7.875%, 12/15/18 (b)	U.S.$		2,775		2,608,500


		Principal Amount (000)		U.S. $ Value
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.
10.625%, 4/01/17 (b)	U.S.$		1,750		1,837,500
R&R Ice Cream PLC
8.375%, 11/15/17 (a)	EUR		1,450		1,632,696
Select Medical Corp.
7.625%, 2/01/15	U.S.$		1,321		1,241,740
Select Medical Holdings Corp.
6.267%, 9/15/15 (c)			1,000		840,000
Smithfield Foods, Inc.
7.75%, 7/01/17			2,000		2,190,000
Stater Bros Holdings, Inc.
7.375%, 11/15/18			700		738,500
STHI Holding Corp.
8.00%, 3/15/18 (a)			425		436,688
SUPERVALU, Inc.
8.00%, 5/01/16 (b)			170		175,525
Tenet Healthcare Corp.
6.25%, 11/01/18 (a)			881		896,418
6.875%, 11/15/31			1,500		1,230,000
8.00%, 8/01/20			400		400,500
9.25%, 2/01/15			645		678,056
Tops Holding Corp./Tops Markets LLC
10.125%, 10/15/15			1,500		1,567,500
Universal Hospital Services, Inc.
4.121%, 6/01/15 (c)			500		451,250
Valeant Pharmaceuticals International
7.00%, 10/01/20 (a)			1,000		987,500
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc.
8.00%, 2/01/18			1,985		1,970,112
Vanguard Health Systems, Inc. Zero Coupon,
2/01/16			15		9,375
Visant Corp.
10.00%, 10/01/17			1,385		1,267,275
Voyager Learning Exchange
8.375%, 12/01/14 (d)(f)(g)			1,550		0
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC
7.75%, 9/15/18			1,750		1,787,187

					89,331,334

Energy - 5.2%
Antero Resources Finance Corp.
7.25%, 8/01/19 (a)			312		319,800
9.375%, 12/01/17			2,363		2,552,040
ATP Oil & Gas Corp./United States
11.875%, 5/01/15			1,000		657,500
Basic Energy Services, Inc.
7.75%, 2/15/19			1,200		1,209,000
Bill Barrett Corp.
7.625%, 10/01/19			834		871,530
Bluewater Holding BV
3.403%, 7/17/14 (a)(c)			2,300		1,817,000


		Principal Amount (000)		U.S. $ Value
Chaparral Energy, Inc.
8.875%, 2/01/17	U.S.$		2,600		2,691,000
Chesapeake Energy Corp.
6.625%, 8/15/20			893		957,742
6.875%, 11/15/20			1,683		1,800,810
Cie Generale de Geophysique - Veritas
6.50%, 6/01/21			1,000		970,000
Cie Generale de Geophysique-Veritas
9.50%, 5/15/16			800		864,000
Citgo Petroleum Corp.
11.50%, 7/01/17 (a)			2,919		3,225,495
Complete Production Services, Inc.
8.00%, 12/15/16			1,400		1,456,000
Continental Resources, Inc./OK
7.125%, 4/01/21			724		785,540
Denbury Resources, Inc.
6.375%, 8/15/21			624		652,080
8.25%, 2/15/20			521		582,218
Edgen Murray Corp.
12.25%, 1/15/15 (b)			1,301		1,170,900
Energy XXI Gulf Coast, Inc.
7.75%, 6/15/19			1,100		1,122,000
9.25%, 12/15/17			2,000		2,170,000
Expro Finance Luxembourg SCA
8.50%, 12/15/16 (a)			1,371		1,206,480
Forest Oil Corp.
7.25%, 6/15/19			2,535		2,585,700
Helix Energy Solutions Group, Inc.
9.50%, 1/15/16 (a)			2,000		2,080,000
Hercules Offshore, Inc.
10.50%, 10/15/17 (a)(b)			625		607,812
Key Energy Services, Inc.
6.75%, 3/01/21			1,166		1,166,000
Linn Energy LLC/Linn Energy Finance Corp.
8.625%, 4/15/20			1,600		1,736,000
McJunkin Red Man Corp.
9.50%, 12/15/16			2,500		2,537,500
Newfield Exploration Co.
6.625%, 9/01/14-4/15/16			1,530		1,556,587
Oasis Petroleum, Inc.
6.50%, 11/01/21			340		337,450
Offshore Group Investments Ltd.
11.50%, 8/01/15			2,450		2,649,062
Oil States International, Inc.
6.50%, 6/01/19			1,374		1,404,915
Parker Drilling Co.
9.125%, 4/01/18			129		135,773
Perpetual Energy, Inc.
8.75%, 3/15/18 (a)	CAD		1,800		1,626,052
Petroleum Geo-Services ASA
7.375%, 12/15/18 (a)	U.S.$		1,019		1,039,380
PHI, Inc.
8.625%, 10/15/18			1,250		1,253,125
Pioneer Drilling Co.
9.875%, 3/15/18 (a)			895		935,275


		Principal Amount (000)		U.S. $ Value
Pioneer Natural Resources Co.
5.875%, 7/15/16	U.S.$		500		544,147
Plains Exploration & Production Co.
6.75%, 2/01/22			1,845		1,932,637
Precision Drilling Corp.
6.50%, 12/15/21 (a)			738		752,760
Quicksilver Resources, Inc.
7.125%, 4/01/16 (b)			900		895,500
SandRidge Energy, Inc.
7.50%, 3/15/21			327		324,548
8.75%, 1/15/20			1,850		1,910,125
SESI LLC
6.375%, 5/01/19			358		364,265
7.125%, 12/15/21 (a)			1,260		1,323,000
Southwestern Energy Co.
7.50%, 2/01/18			1,000		1,152,500
Tesoro Corp.
6.25%, 11/01/12			164		168,100
6.50%, 6/01/17			1,155		1,183,875
9.75%, 6/01/19			480		538,800
W&T Offshore, Inc.
8.50%, 6/15/19 (a)			1,500		1,552,500

					61,374,523

Other Industrial - 1.4%
A123 Systems, Inc.
3.75%, 4/15/16			1,750		590,625
Briggs & Stratton Corp.
6.875%, 12/15/20			398		407,950
Brightstar Corp.
9.50%, 12/01/16 (a)			1,833		1,869,660
Education Management LLC/Education Management Finance Corp.
8.75%, 6/01/14			350		350,875
Exova Ltd.
10.50%, 10/15/18 (a)	GBP		1,044		1,292,581
Interline Brands, Inc.
7.00%, 11/15/18	U.S.$		1,753		1,814,355
Lecta SA
5.462%, 2/15/14 (a)(b)(c)	EUR		1,201		1,414,499
Liberty Tire Recycling
11.00%, 10/01/16 (a)	U.S.$		2,800		2,793,000
Mueller Water Products, Inc.
7.375%, 6/01/17			700		637,000
8.75%, 9/01/20			611		663,699
Neenah Foundry Co.
15.00%, 7/29/15 (e)(f)			331		327,439
New Enterprise Stone & Lime Co.
11.00%, 9/01/18			2,000		1,640,000
Pipe Holdings PLC
9.50%, 11/01/15 (a)	GBP		1,216		1,657,113
Wendel SA
4.375%, 8/09/17	EUR		1,100		1,192,328

					16,651,124


		Principal Amount (000)		U.S. $ Value
Services - 1.4%
Ceridian Corp.
11.25%, 11/15/15	U.S.$		2,475		1,930,500
Goodman Networks, Inc.
12.125%, 7/01/18 (a)			1,200		1,146,000
Live Nation Entertainment, Inc.
8.125%, 5/15/18 (a)			225		226,688
Lottomatica SpA
8.25%, 3/31/66 (a)	EUR		1,545		1,559,701
Mobile Mini, Inc.
7.875%, 12/01/20	U.S.$		1,175		1,180,875
Realogy Corp.
Series A
11.00%, 4/15/18 (a)			1,450		826,500
Series C
11.00%, 4/15/18 (a)(b)			750		412,500
Service Corp. International/US
6.75%, 4/01/16			1,485		1,607,512
7.50%, 4/01/27			1,500		1,440,000
ServiceMaster Co./TN
10.75%, 7/15/15 (a)(e)			2,480		2,566,800
Ticketmaster Entertainment LLC/Ticketmaster Noteco, Inc.
10.75%, 8/01/16			670		713,550
West Corp.
7.875%, 1/15/19			1,400		1,389,500
8.625%, 10/01/18			161		162,610
11.00%, 10/15/16			1,100		1,157,750

					16,320,486

Technology - 3.6%
Advanced Micro Devices, Inc.
7.75%, 8/01/20			273		280,508
8.125%, 12/15/17			1,345		1,395,437
Amkor Technology, Inc.
6.625%, 6/01/21			1,500		1,443,750
Aspect Software, Inc.
10.625%, 5/15/17			2,126		2,205,725
CDW LLC/CDW Finance Corp.
8.00%, 12/15/18			1,750		1,824,375
8.50%, 4/01/19			2,357		2,374,677
11.50%, 10/12/15 (e)			115		120,450
CommScope, Inc.
8.25%, 1/15/19 (a)			3,300		3,300,000
CoreLogic, Inc./United States
7.25%, 6/01/21 (a)			570		545,775
CPI International, Inc.
8.00%, 2/15/18			1,233		1,023,390
DCP LLC/DCP Corp.
10.75%, 8/15/15 (a)			1,705		1,423,675
Eagle Parent, Inc.
8.625%, 5/01/19 (a)			2,316		2,211,780
Eastman Kodak Co.
7.25%, 11/15/13			141		46,530
First Data Corp.


		Principal Amount (000)		U.S. $ Value
7.375%, 6/15/19 (a)	U.S.$		750		705,000
11.25%, 3/31/16 (b)			1,750		1,452,500
Freescale Semiconductor, Inc.
8.875%, 12/15/14 (b)			1,510		1,547,750
9.25%, 4/15/18 (a)			737		787,669
10.125%, 12/15/16 (b)			1,785		1,878,712
Interactive Data Corp.
10.25%, 8/01/18			2,300		2,518,500
Iron Mountain, Inc.
6.625%, 1/01/16			780		780,000
8.375%, 8/15/21			2,000		2,130,000
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.
10.50%, 4/15/18			1,490		1,549,600
NXP BV/NXP Funding LLC
3.153%, 10/15/13 (c)			194		194,000
9.50%, 10/15/15 (b)			730		766,500
Sanmina-SCI Corp.
7.00%, 5/15/19 (a)			700		682,500
8.125%, 3/01/16			2,171		2,241,557
Seagate HDD Cayman
6.875%, 5/01/20			1,193		1,225,808
7.00%, 11/01/21 (a)			655		671,375
Sensata Technologies BV
6.50%, 5/15/19 (a)			2,000		1,985,000
Serena Software, Inc.
10.375%, 3/15/16			470		481,750
SunGard Data Systems, Inc.
7.625%, 11/15/20			1,600		1,644,000
10.25%, 8/15/15			300		310,875
Syniverse Holdings, Inc.
9.125%, 1/15/19			813		857,715

					42,606,883

Transportation - Airlines - 0.6%
Air Canada
12.00%, 2/01/16 (a)			1,300		1,121,250
Delta Air Lines, Inc.
9.50%, 9/15/14 (a)			1,185		1,220,550
Northwest Airlines 2000-1 Class G Pass Through Trust
7.15%, 10/01/19			839		832,592
TAM Capital 3, Inc.
8.375%, 6/03/21 (a)			2,505		2,530,050
UAL 2007-1 Pass Through Trust
Series 071A
6.636%, 7/02/22			1,682		1,668,921

					7,373,363

Transportation - Railroads - 0.0%
Florida East Coast Railway Corp.
8.125%, 2/01/17			407		401,913


		Principal Amount (000)		U.S. $ Value
Transportation - Services - 0.8%
America West Airlines 1999-1 Pass Through Trust
Series 991G
7.93%, 1/02/19	U.S.$		1,591		1,547,692
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
7.75%, 5/15/16			2,055		2,070,412
EC Finance PLC
9.75%, 8/01/17 (a)	EUR		113		112,613
Hapag-Lloyd AG
9.75%, 10/15/17 (a)	U.S.$		1,250		918,750
Hertz Corp. (The)
6.75%, 4/15/19			2,187		2,192,467
7.375%, 1/15/21			226		229,673
8.875%, 1/01/14			252		253,260
Oshkosh Corp.
8.50%, 3/01/20			341		351,230
Overseas Shipholding Group, Inc.
8.125%, 3/30/18			1,200		736,500
Swift Services Holdings, Inc.
10.00%, 11/15/18			1,067		1,123,018

					9,535,615

					581,121,862

Financial Institutions - 4.1%
Banking - 1.3%
ABN Amro Bank NV
4.31%, 3/10/16	EUR		2,295		1,990,103
Deutsche Bank AG/London
5.50%, 9/02/15 (a)	UAH		13,600		1,378,846
HT1 Funding GmbH
6.352%, 6/30/17	EUR		1,550		989,001
LBG Capital No.1 PLC
8.00%, 6/15/20 (a)	U.S.$		4,650		3,357,300
Regions Bank/Birmingham AL
6.45%, 6/26/37			1,500		1,241,250
Regions Financing Trust II
6.625%, 5/15/47			700		574,000
Resona Preferred Global Securities Cayman Ltd.
7.191%, 7/30/15 (a)			1,300		1,285,495
Royal Bank of Scotland Group PLC Series U
7.64%, 9/29/17			50		26,813
Societe Generale SA
6.999%, 12/19/17	EUR		1,250		954,509
Telenet Finance III Luxembourg SCA
6.625%, 2/15/21 (a)			2,200		2,747,693
UT2 Funding PLC
5.321%, 6/30/16			1,293		886,937

					15,431,947


		Principal Amount (000)		U.S. $ Value
Brokerage - 0.4%
E*Trade Financial Corp.
6.75%, 6/01/16	U.S.$		2,205		2,138,850
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (d)			1,690		447,850
Nuveen Investments, Inc.
10.50%, 11/15/15			1,875		1,860,937

					4,447,637

Finance - 1.0%
AGFC Capital Trust I
6.00%, 1/15/67 (a)			3,700		1,535,500
Ally Financial, Inc.
6.75%, 12/01/14			1		958
8.00%, 11/01/31			662		638,830
Series 8
6.75%, 12/01/14			2,590		2,602,950
CIT Group, Inc.
7.00%, 5/04/15-5/02/17 (a)			2,071		2,070,647
7.00%, 5/01/15-5/01/17			2		1,789
ILFC E-Capital Trust II
6.25%, 12/21/65 (a)			2,000		1,350,000
International Lease Finance Corp.
6.375%, 3/25/13			1,250		1,243,750
iStar Financial, Inc.
Series B
5.70%, 3/01/14			1,675		1,394,437
Residential Capital LLC
9.625%, 5/15/15			1,400		980,000

					11,818,861

Insurance - 0.7%
Genworth Financial, Inc.
6.15%, 11/15/66			2,500		1,350,000
Hartford Financial Services Group, Inc.
8.125%, 6/15/38			1,021		1,010,790
Liberty Mutual Group, Inc.
7.80%, 3/15/37 (a)			1,250		1,112,500
MBIA Insurance Corp.
14.00%, 1/15/33 (a)			3,056		1,711,360
XL Group PLC
Series E
6.50%, 4/15/17			4,000		3,130,000

					8,314,650

Other Finance - 0.5%
Harbinger Group, Inc.
10.625%, 11/15/15			1,420		1,388,050
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
8.00%, 1/15/18			1,950		2,028,000
iPayment Holdings, Inc.
15.00%, 11/15/18 (a)(e)			1,187		1,071,237
iPayment, Inc.
10.25%, 5/15/18 (a)	U.S.$		2,177		2,046,380

					6,533,667


	Principal Amount (000)		U.S. $ Value
REITS - 0.2%
DDR Corp.
7.875%, 9/01/20		1,800		2,007,997

				48,554,759

Utility - 3.0%
Electric - 2.0%
AES Corp. (The)
7.375%, 7/01/21 (a)		700		754,250
7.75%, 3/01/14		1,060		1,144,800
8.00%, 10/15/17		868		954,800
Calpine Corp.
7.25%, 10/15/17 (a)		1,800		1,890,000
7.875%, 7/31/20-1/15/23 (a)		1,875		2,018,438
Dynegy Holdings LLC
7.75%, 6/01/19 (d)		1,320		864,600
8.375%, 5/01/16 (d)		635		422,275
Edison Mission Energy
7.00%, 5/15/17		1,525		991,250
7.75%, 6/15/16		958		699,340
Energy Future Holdings Corp.
10.00%, 1/15/20 (h)		798		837,900
10.875%, 11/01/17		392		315,560
Series Q
6.50%, 11/15/24		1,254		558,030
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.
10.00%, 12/01/20		1,020		1,076,100
GenOn Americas Generation LLC
8.50%, 10/01/21		1,270		1,184,275
GenOn Energy, Inc.
7.875%, 6/15/17		1,080		1,042,200
9.50%, 10/15/18 (b)		1,450		1,468,125
9.875%, 10/15/20		1,200		1,218,000
NRG Energy, Inc.
7.375%, 1/15/17		1,705		1,768,937
7.875%, 5/15/21 (a)		797		777,075
PPL Capital Funding, Inc.
Series A
6.70%, 3/30/67		2,405		2,346,077
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.
11.50%, 10/01/20 (a)		626		531,318
Series A
10.25%, 11/01/15		1,570		557,350

				23,420,700


		Principal Amount (000)		U.S. $ Value
Natural Gas - 1.0%
El Paso Corp.
Series G
7.75%, 1/15/32			1,524		1,760,220
Enterprise Products Operating LLC
Series A
8.375%, 8/01/66	U.S.$		1,760		1,883,200
Inergy LP/Inergy Finance Corp.
6.875%, 8/01/21			2,500		2,512,500
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.
6.50%, 8/15/21			2,750		2,863,438
Sabine Pass LNG LP
7.50%, 11/30/16			2,150		2,160,750
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
6.875%, 2/01/21 (a)			960		972,000

					12,152,108

					35,572,808

Total Corporates - Non-Investment Grades (cost $681,592,460)					665,249,429

CORPORATES - INVESTMENT GRADES - 11.3%
Financial Institutions - 6.1%
Banking - 2.5%
American Express Co.
6.80%, 9/01/66			2,550		2,537,250
Assured Guaranty Municipal Holdings, Inc.
6.40%, 12/15/66 (a)			3,300		2,145,000
Banco Santander Chile
6.50%, 9/22/20 (a)	CLP		1,488,500		2,822,276
Barclays Bank PLC
4.75%, 3/15/20	EUR		1,890		1,149,682
4.875%, 12/15/14			600		442,634
BBVA International Preferred SAU
4.952%, 9/20/16			1,650		1,362,457
5.919%, 4/18/17	U.S.$		1,265		837,469
Series F
9.10%, 10/21/14	GBP		550		649,154
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands
8.375%, 7/26/16	U.S.$		2,750		2,722,500
Credit Agricole SA
6.637%, 5/31/17 (a)			2,908		1,686,640
Danske Bank A/S
5.914%, 6/16/14 (a)(b)			1,150		943,000
Itau Unibanco Holding SA/Cayman Island
10.50%, 11/23/15 (a)	BRL		1,100		625,382
Morgan Stanley
10.09%, 5/03/17 (a)			5,760		2,779,252
PNC Financial Services Group, Inc.
6.75%, 8/01/21	U.S.$		1,558		1,523,615
Royal Bank of Scotland PLC (The)
Series 1
5.568%, 10/27/14 (c)	AUD		1,500		1,249,667
SNS Bank NV
11.25%, 11/27/19 (a)	EUR		620		561,705


		Principal Amount (000)		U.S. $ Value
UBS AG/Jersey
4.28%, 4/15/15			2,000		1,925,127
Unicredito Italiano Capital Trust III
4.028%, 10/27/15			3,500		2,106,392
Wells Fargo & Co.
Series K
7.98%, 3/15/18	U.S.$		2,000		2,142,500

					30,211,702

Brokerage - 0.1%
GFI Group, Inc.
8.375%, 7/19/18			1,300		1,157,000

Finance - 0.3%
HSBC Finance Capital Trust IX
5.911%, 11/30/35			1,905		1,581,150
SLM Corp.
5.125%, 8/27/12			384		385,958
Series A
5.375%, 5/15/14			2,000		2,001,402

					3,968,510

Insurance - 2.3%
Allstate Corp. (The)
6.125%, 5/15/37			1,300		1,181,375
American International Group, Inc.
6.82%, 11/15/37 (a)			1,425		1,374,691
AON Corp.
8.205%, 1/01/27			690		804,230
Assured Guaranty US Holdings, Inc.
Series A
6.40%, 12/15/66			1,550		1,077,250
Aviva PLC
4.729%, 11/28/14	EUR		3,000		2,756,753
Coventry Health Care, Inc.
5.95%, 3/15/17	U.S.$		2,000		2,245,226
Genworth Financial, Inc.
7.70%, 6/15/20			600		570,299
Lincoln National Corp.
6.05%, 4/20/67			1,858		1,546,785
8.75%, 7/01/19			604		734,681
MetLife, Inc.
10.75%, 8/01/39			2,350		3,102,000
Nationwide Mutual Insurance Co.
9.375%, 8/15/39 (a)			2,135		2,580,049
QBE Capital Funding III Ltd.
7.25%, 5/24/41 (a)			1,650		1,450,515
Suncorp Metway Insurance Ltd.
Series 1
6.75%, 9/23/24	AUD		1,000		955,622
Swiss Re Capital I LP
6.854%, 5/25/16 (a)	U.S.$		3,700		3,144,475
Transatlantic Holdings, Inc.
8.00%, 11/30/39			1,261		1,431,332
Vero Insurance Ltd.
6.15%, 9/07/25	AUD		990		944,709
ZFS Finance USA Trust V
6.50%, 5/09/37 (a)	U.S.$		1,240		1,116,000

					27,015,992


		Principal Amount (000)		U.S. $ Value
Other Finance - 0.5%
Aviation Capital Group Corp.
6.75%, 4/06/21 (a)			650		612,417
7.125%, 10/15/20 (a)			2,489		2,433,336
IIRSA Norte Finance Ltd.
8.75%, 5/30/24 (a)			2,629		3,013,689
Red Arrow International Leasing PLC
8.375%, 6/30/12	RUB		1,113		34,401

					6,093,843

REITS - 0.4%
Entertainment Properties Trust
7.75%, 7/15/20	U.S.$		1,908		2,005,680
Senior Housing Properties Trust
6.75%, 12/15/21			1,350		1,372,052
Ventas Realty LP/Ventas Capital Corp.
6.75%, 4/01/17			907		940,646

					4,318,378

					72,765,425

Industrial - 2.8%
Basic - 1.4%
Basell Finance Co. BV
8.10%, 3/15/27 (a)			1,240		1,351,600
Braskem Finance Ltd.
7.00%, 5/07/20 (a)			1,800		1,921,500
Georgia-Pacific LLC
8.875%, 5/15/31			366		503,090
GTL Trade Finance, Inc.
7.25%, 10/20/17 (a)			1,338		1,438,350
Southern Copper Corp.
7.50%, 7/27/35			3,300		3,604,600
Usiminas Commercial Ltd.
7.25%, 1/18/18 (a)			2,428		2,634,380
Vale Overseas Ltd.
6.875%, 11/21/36			4,756		5,414,949

					16,868,469

Capital Goods - 0.1%
Owens Corning
7.00%, 12/01/36			1,340		1,369,568

Communications - Telecommunications - 0.2%
Alltel Corp.
7.875%, 7/01/32			160		228,675
Qwest Corp.
6.50%, 6/01/17			610		666,425
6.875%, 9/15/33			1,570		1,559,465

					2,454,565


		Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Retailers - 0.3%
Macy’s Retail Holdings, Inc.
5.75%, 7/15/14	U.S.$		1,365		1,451,960
5.90%, 12/01/16			127		141,919
QVC, Inc.
7.50%, 10/01/19 (a)			1,000		1,072,500

					2,666,379

Energy - 0.4%
Nalco Co.
6.625%, 1/15/19 (a)			750		868,125
Petrohawk Energy Corp.
7.25%, 8/15/18			2,650		2,981,250
Pride International, Inc.
6.875%, 8/15/20			416		487,731
Transocean, Inc.
6.375%, 12/15/21			467		496,366

					4,833,472

Other Industrial - 0.3%
Noble Group Ltd.
6.75%, 1/29/20 (a)(b)			3,932		3,381,520

Technology - 0.0%
Motorola Solutions, Inc.
7.50%, 5/15/25			97		114,441

Transportation - Airlines - 0.1%
Delta Air Lines 2007-1 Class A Pass Through Trust
Series 071A
6.821%, 8/10/22			974		1,016,738

					32,705,152

Non Corporate Sectors - 2.2%
Agencies - Not Government Guaranteed - 2.2%
AK Transneft OJSC Via TransCapitalInvest Ltd.
8.70%, 8/07/18 (a)			850		1,024,250
Gazprom OAO Via Gaz Capital SA
6.51%, 3/07/22 (a)			11,426		11,597,390
Gazprom Via Gaz Capital SA
9.25%, 4/23/19 (a)(b)			6,400		7,608,960
VTB Bank OJSC Via VTB Capital SA
6.875%, 5/29/18 (a)			6,315		6,457,088

					26,687,688

Utility - 0.2%
Electric - 0.2%
Dominion Resources, Inc./VA
7.50%, 6/30/66			758		795,900
Empresas Publicas de Medellin ESP
7.625%, 7/29/19 (a)			1,199		1,390,840

					2,186,740

Total Corporates - Investment Grades (cost $128,983,825)					134,345,005


		Principal Amount (000)		U.S. $ Value
EMERGING MARKETS - SOVEREIGNS - 5.7%
Argentina - 2.7%
Argentina Bonos
7.00%, 10/03/15 (b)	U.S.$		19,339		17,697,351
7.82%, 12/31/33	EUR		4,975		3,911,924
Series NY
2.50%, 12/31/38 (i)	U.S.$		3,480		1,226,700
8.28%, 12/31/33			1,888		1,373,571
Series X
7.00%, 4/17/17			8,950		7,538,883

					31,748,429

Dominican Republic - 0.7%
Dominican Republic International Bond
8.625%, 4/20/27 (a)			8,385		8,552,700

El Salvador - 0.7%
El Salvador
7.375%, 12/01/19 (a)			705		761,400
7.625%, 9/21/34 (a)			762		830,580
7.65%, 6/15/35 (a)			6,996		7,135,920

					8,727,900

Ghana - 0.2%
Republic of Ghana
8.50%, 10/04/17 (a)			2,983		3,252,020

Jamaica - 0.1%
Republic of Jamaica
8.00%, 6/24/19			1,074		1,063,260

Serbia & Montenegro - 0.2%
Republic of Serbia
6.75%, 11/01/24 (a)			967		909,168
7.25%, 9/28/21 (a)			2,467		2,392,990

					3,302,158

Ukraine - 0.7%
Ukraine Government International Bond
6.58%, 11/21/16 (a)(b)			2,953		2,583,875
7.65%, 6/11/13 (a)			5,845		5,618,506

					8,202,381

United Arab Emirates - 0.3%
Emirate of Dubai Government International Bonds
7.75%, 10/05/20 (a)			3,310		3,401,025

Total Emerging Markets - Sovereigns (cost $54,294,494)					68,249,873


		Principal Amount (000)		U.S. $ Value
EMERGING MARKETS - CORPORATE BONDS - 4.5%
Industrial - 3.7%
Basic - 1.5%
Evraz Group SA
8.25%, 11/10/15 (a)	U.S.$		1,398		1,403,243
9.50%, 4/24/18 (a)			3,834		3,905,888
Novelis, Inc./GA
8.75%, 12/15/20			3,075		3,297,937
Severstal OAO Via Steel Capital SA
9.25%, 4/19/14 (a)			2,480		2,638,100
Vedanta Resources PLC
8.75%, 1/15/14 (a)(b)			4,404		4,271,880
Winsway Coking Coal Holding Ltd.
8.50%, 4/08/16 (a)			2,530		2,011,350

					17,528,398

Communications - Media - 0.6%
Central European Media Enterprises Ltd.
11.625%, 9/15/16 (a)	EUR		1,231		1,163,051
Columbus International, Inc.
11.50%, 11/20/14 (a)	U.S.$		4,160		4,378,400
European Media Capital SA
10.00%, 2/01/15 (j)			1,574		1,370,006

					6,911,457

Communications - Telecommunications - 0.3%
Pacnet Ltd.
9.25%, 11/09/15 (a)			1,902		1,683,270
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC
9.125%, 4/30/18 (a)			1,500		1,468,125

					3,151,395

Consumer Cyclical - Other - 0.1%
Country Garden Holdings Co.
11.125%, 2/23/18 (a)			791		684,215
Peermont Global Pty Ltd.
7.75%, 4/30/14 (a)(b)	EUR		1,000		1,035,400

					1,719,615

Consumer Cyclical - Retailers - 0.1%
Edcon Holdings Pty Ltd.
6.926%, 6/15/15 (a)(c)			1,066		855,396

Consumer Non-Cyclical - 0.2%
CEDC Finance Corp. International, Inc.
8.875%, 12/01/16 (a)			1,400		1,286,484
9.125%, 12/01/16 (a)	U.S.$		1,150		813,625
Foodcorp Pty Ltd.
8.75%, 3/01/18 (a)	EUR		827		909,793

					3,009,902


		Principal Amount (000)		U.S. $ Value
Energy - 0.4%
Golden Close Maritime Corp., Ltd
11.00%, 12/09/15	U.S.$		1,300		1,358,170
MIE Holdings Corp.
9.75%, 5/12/16 (a)			1,500		1,335,000
Zhaikmunai LLP
10.50%, 10/19/15 (a)			1,570		1,507,200

					4,200,370

Other Industrial - 0.4%
Marfrig Holding Europe BV
8.375%, 5/09/18 (a)			2,536		1,863,960
Marfrig Overseas Ltd.
9.50%, 5/04/20 (a)			1,771		1,310,540
New Reclamation Group Pty Ltd. (The)
8.125%, 2/01/13 (a)	EUR		1,186		1,174,316

					4,348,816

Technology - 0.0%
STATS ChipPAC Ltd.
7.50%, 8/12/15 (a)	U.S.$		541		568,050

Transportation - Services - 0.1%
Inversiones Alsacia SA
8.00%, 8/18/18 (a)			1,980		1,485,596

					43,778,995

Financial Institutions - 0.7%
Banking - 0.5%
ATF Bank JSC
9.00%, 5/11/16 (a)			868		724,780
Banco BMG SA
9.15%, 1/15/16 (a)			3,750		3,562,500
Bank CenterCredit
8.625%, 1/30/14 (a)			1,654		1,620,920
Halyk Savings Bank of Kazakhstan JSC
7.25%, 1/28/21 (a)(b)			463		437,544

					6,345,744

Other Finance - 0.2%
AES El Salvador Trust
6.75%, 2/01/16 (a)			1,970		1,910,900

					8,256,644

Utility - 0.1%
Electric - 0.1%
DTEK Finance BV
9.50%, 4/28/15 (a)			1,865		1,692,487

Total Emerging Markets - Corporate Bonds (cost $59,157,727)					53,728,126


		Principal Amount (000)		U.S. $ Value
COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.2%
Non-Agency Fixed Rate CMBS - 3.2%
Banc of America Large Loan, Inc.
Series 2009-UB1, Class A4B
5.614%, 6/24/50 (a)	U.S.$		3,500		3,285,835
Banc of America Merrill Lynch Commercial Mortgage, Inc.
Series 2007-5, Class AM
5.772%, 2/10/51			2,877		2,712,087
Bear Stearns Commercial Mortgage Securities
Series 2007-PW18, Class AM
6.084%, 6/11/50			1,400		1,364,467
Citigroup/Deutsche Bank Commercial Mortgage Trust
Series 2005-CD1, Class AJ
5.225%, 7/15/44			1,017		909,449
Credit Suisse Mortgage Capital Certificates
Series 2006-C4, Class AM
5.509%, 9/15/39			5,900		5,520,636
CW Capital Cobalt Ltd.
Series 2006-C1, Class AMP1
5.501%, 8/15/48 (a)			482		434,847
GE Capital Commercial Mortgage Corp.
Series 2005-C4, Class AM
5.309%, 11/10/45			800		813,800
JP Morgan Chase Commercial Mortgage Securities Corp.
Series 2007-CB19, Class AM
5.74%, 2/12/49			3,519		3,338,102
Series 2007-LD11, Class AM
5.817%, 6/15/49			5,105		4,349,700
Series 2007-LD12, Class AM
6.058%, 2/15/51			736		685,148
LB-UBS Commercial Mortgage Trust
Series 2007-C3, Class AM
5.941%, 7/15/44			1,486		1,398,491
Merrill Lynch Mortgage Trust
Series 2005-CIP1, Class AJ
5.137%, 7/12/38			2,000		1,737,378
Morgan Stanley Capital I
Series 2005-HQ6, Class AJ
5.073%, 8/13/42			948		881,900
Series 2006-IQ12, Class AM
5.37%, 12/15/43			7,700		7,626,041
Wachovia Bank Commercial Mortgage Trust
Series 2006-C23, Class AM
5.466%, 1/15/45			2,100		2,137,222
Series 2007-C34, Class AM
5.818%, 5/15/46			400		385,563
WFDB Commercial Mortgage Trust
Series 2011-BXR, Class E
6.403%, 7/05/24 (a)	U.S.$		943		959,099

					38,539,765


	Principal Amount (000)		U.S. $ Value
Non-Agency Floating Rate CMBS - 1.0%
Commercial Mortgage Pass Through Certificates
Series 2007-FL14, Class C
0.578%, 6/15/22 (a)(c)		412		378,304
GS Mortgage Securities Corp II
5.309%, 8/10/44 (a)		3,152		2,604,654
LB-UBS Commercial Mortgage Trust
Series 2007-C7, Class AM
6.005%, 9/15/45		2,747		2,584,564
Lehman Brothers
Series 2006-LLFA, Class E
0.568%, 9/15/21 (a)(c)		532		456,120
Series 2006-LLFA, Class H
0.678%, 9/15/21 (a)(c)		1,216		921,324
Series 2006-LLFA, Class K
1.078%, 9/15/21 (a)(c)		399		220,630
Wachovia Bank Commercial Mortgage Trust
Series 2006-WL7A, Class G
0.643%, 9/15/21 (a)(c)		3,500		2,487,464
Series 2006-WL7A, Class H
0.683%, 9/15/21 (a)(c)		1,279		819,460
WF-RBS Commercial Mortgage Trust
Series 2011-C4, Class D
5.25%, 6/15/44 (a)(h)		1,022		825,451

				11,297,971

Total Commercial Mortgage-Backed Securities (cost $46,102,027)				49,837,736

COLLATERALIZED MORTGAGE OBLIGATIONS - 3.9%
Non-Agency Floating Rate - 2.5%
Bear Stearns Adjustable Rate Mortgage Trust
Series 2007-2, Class 1A1
2.328%, 12/25/46 (c)		1,508		882,617
Citigroup Mortgage Loan Trust
Series 2006-AR3, Class 1A2A
5.672%, 6/25/36		3,471		2,819,258
Countrywide Alternative Loan Trust
Series 2007-7T2, Class A3
0.894%, 4/25/37 (c)		5,576		2,936,184
Countrywide Home Loan Mortgage Pass Through Trust
Series 2007-13, Class A7
0.894%, 8/25/37 (c)		2,615		1,918,297
Greenpoint Mortgage Funding Trust
Series 2007-AR3, Class A1
0.514%, 6/25/37 (c)		1,783		967,800


		Principal Amount (000)		U.S. $ Value
Harborview Mortgage Loan Trust
Series 2007-4, Class 2A1
0.505%, 7/19/47 (c)	U.S.$		2,000		1,181,933
Indymac Index Mortgage Loan Trust
Series 2006-AR37, Class 2A1
5.37%, 2/25/37			1,160		718,682
Lehman XS Trust
Series 2007-15N, Class 4A1
1.194%, 8/25/47 (c)			1,099		598,687
Series 2007-4N, Class 3A2A
0.958%, 3/25/47 (c)			2,970		1,638,515
Structured Adjustable Rate Mortgage Loan Trust
Series 2005-18, Class 8A1
5.458%, 9/25/35			2,784		2,417,370
Series 2006-9, Class 4A1
5.855%, 10/25/36			1,714		1,103,775
Structured Asset Mortgage Investments, Inc.
Series 2007-AR6, Class A1
1.708%, 8/25/47 (c)			4,585		2,311,623
Washington Mutual Alternative Mortgage Pass-Through Certificates
Series 2006-AR11, Class 3A1A
1.128%, 9/25/46 (c)			2,358		1,105,311
Series 2006-AR5, Class A1A
1.198%, 6/25/46 (c)			1,095		707,426
Series 2007-HY3, Class 4A1
2.607%, 3/25/37			3,530		2,641,239
Series 2007-OA3, Class 2A1A
0.968%, 4/25/47 (c)			1,272		792,137
Series 2007-OA4, Class A1A
0.968%, 4/25/47 (c)			1,446		629,950
Series 2007-OA5, Class 1A
0.958%, 6/25/47 (c)			6,288		3,638,286

					29,009,090

Non-Agency Fixed Rate - 1.3%
Chaseflex Trust
Series 2007-1, Class 1A3
6.50%, 2/25/37			1,293		780,786
Citimortgage Alternative Loan Trust
Series 2007-A3, Class 1A4
5.75%, 3/25/37			3,044		1,952,440
Countrywide Alternative Loan Trust
Series 2006-42, Class 1A6
6.00%, 1/25/47			1,673		968,435
Series 2006-J1, Class 1A10
5.50%, 2/25/36			4,249		2,766,935
Series 2006-J5, Class 1A1
6.50%, 9/25/36			2,223		1,417,047
First Horizon Alternative Mortgage Pass Through Certificates
Series 2006-FA1, Class 1A3
5.75%, 4/25/36			1,733		1,200,986
Washington Mutual Alternative Mortgage Pass-Through Certificates


		Principal Amount (000)		U.S. $ Value
Series 2006-7, Class A3
6.081%, 9/25/36	U.S.$		2,459		1,356,058
Series 2006-7, Class A4
6.171%, 9/25/36			2,588		1,414,888
Series 2006-9, Class A4
5.986%, 10/25/36			2,785		1,538,012
Wells Fargo Alternative Loan Trust
Series 2007-PA3, Class 3A1
6.25%, 7/25/37			3,301		2,127,769

					15,523,356

Non-Agency ARMs - 0.1%
Citigroup Mortgage Loan Trust, Inc.
Series 2006-AR1, Class 3A1
2.69%, 3/25/36 (c)			2,029		1,246,248

Total Collateralized Mortgage Obligations (cost $51,669,674)					45,778,694

QUASI-SOVEREIGNS - 3.5%
Quasi-Sovereign Bonds - 3.5%
Indonesia - 0.3%
Majapahit Holding BV
7.75%, 10/17/16 (a)			2,165		2,430,212
7.875%, 6/29/37 (a)			699		821,325
8.00%, 8/07/19 (a)			330		386,100

					3,637,637

Kazakhstan - 0.8%
Intergas Finance BV
6.375%, 5/14/17 (a)			3,640		3,712,800
KazMunayGas National Co.
6.375%, 4/09/21 (a)			2,450		2,486,750
7.00%, 5/05/20 (a)			2,658		2,810,835
9.125%, 7/02/18 (a)			250		291,250

					9,301,635

Philippines - 0.1%
Power Sector Assets & Liabilities Management Corp.
7.25%, 5/27/19 (a)			1,250		1,509,375

Russia - 1.9%
Russian Agricultural Bank OJSC Via RSHB Capital SA
6.299%, 5/15/17 (a)			8,227		8,216,716
7.50%, 3/25/13	RUB		86,000		2,657,124
7.75%, 5/29/18 (a)	U.S.$		11,600		12,354,000

					23,227,840

Trinidad & Tobago - 0.2%
Petroleum Co. of Trinidad & Tobago Ltd.
9.75%, 8/14/19 (a)			1,675		1,976,500


		Principal Amount (000)		U.S. $ Value
Ukraine - 0.2%
National JSC Naftogaz of Ukraine
9.50%, 9/30/14	U.S.$		2,542		2,376,770

Total Quasi-Sovereigns (cost $33,504,550)					42,029,757

EMERGING MARKETS - TREASURIES - 3.4%
Colombia - 0.1%
Republic of Colombia
9.85%, 6/28/27	COP		1,927,000		1,423,207

Dominican Republic - 0.5%
Dominican Republic International Bond
16.00%, 7/10/20 (a)	DOP		229,800		5,864,099

Egypt - 0.2%
Arab Republic of Egypt
8.75%, 7/18/12 (a)	EGP		16,620		2,354,621

Hungary - 0.7%
Hungary Government Bond
Series 14/C
5.50%, 2/12/14	HUF		970,820		3,728,106
Series 15/A
8.00%, 2/12/15			464,360		1,844,328
Series 16/C
5.50%, 2/12/16			697,550		2,505,592

					8,078,026

Indonesia - 0.9%
Indonesia Recap Linked Note
10.00%, 7/18/17	IDR		47,971,000		6,421,263
JP Morgan
9.50%, 5/17/41			27,844,000		3,844,268

					10,265,531

Philippines - 0.3%
Republic of Philippines
6.25%, 1/14/36	PHP		143,000		3,309,657

Russia - 0.2%
Russia - Recap Linked Note
7.50%, 3/15/18	RUB		93,062		2,794,403

Turkey - 0.4%
Turkey Government Bond
11.00%, 8/06/14	TRY		9,155		4,906,838

Ukraine - 0.1%
Ukraine-Recap Linked Note
5.50%, 9/02/15 (a)	UAH		13,600		1,377,318

Total Emerging Markets - Treasuries (cost $41,994,726)					40,373,700


		Principal Amount (000)		U.S. $ Value
BANK LOANS - 2.9%
Industrial - 2.5%
Basic - 0.2%
Ineos US Finance LLC
7.50%, 12/16/13 (c)	U.S.$		163		165,147
8.00%, 12/16/14 (c)			187		189,958
NewPage Corporation
8.00%, 3/08/13 (c)			2,000		2,011,660

					2,366,765

Capital Goods - 0.4%
Harbor Freight Tools USA, Inc./Central Purchasing LLC
6.50%, 12/22/17 (c)			3,250		3,223,280
Hawker Beechcraft Acquisition Company LLC
10.50%, 3/26/14 (c)			1,807		1,425,940

					4,649,220

Communications - Media - 0.3%
Cengage Learning Acquisitions, Inc. (Thomson Learning)
2.55%, 7/03/14 (c)			541		459,525
Charter Communications Operating, LLC
2.30%, 3/06/14 (c)			27		26,532
7.25%, 3/06/14 (c)			34		33,382
Clear Channel Communications, Inc.
3.95%, 1/29/16 (c)			163		120,494
Univision Communications, Inc.
4.55%, 3/31/17 (c)			2,323		2,063,884
WideOpenWest Finance, LLC
2.79%-4.75%, 6/30/14 (c)			971		904,939

					3,608,756

Consumer Cyclical - Automotive - 0.2%
Allison Transmission, Inc.
2.78%, 8/07/14 (c)			11		10,734
Federal-Mogul Corporation
2.21%-2.22%, 12/29/14 (c)			1,297		1,197,159
2.21%-2.22%, 12/28/15 (c)			662		610,795

					1,818,688

Consumer Cyclical - Entertainment - 0.2%
ClubCorp Club Operations, Inc.
6.00%, 11/30/16 (c)			1,361		1,351,041
Las Vegas Sands LLC
2.93%, 11/23/16 (c)			555		531,459

					1,882,500


		Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Other - 0.2%
Caesars Entertainment Operating Company, Inc. (fka Harrah’s Operating Company, Inc.)
3.29%-3.42%, 1/28/15 (c)	U.S.$		1,210		1,049,167
Great Atlantic & Pacific Tea Company, Inc., The
8.75%, 6/14/12			130		130,162
Harrah’s Las Vegas Propco, LLC
3.27%, 2/13/13 (c)			1,500		1,089,375

					2,268,704

Consumer Cyclical - Retailers - 0.1%
Burlington Coat Factory Warehouse Corporation
6.25%, 2/23/17 (c)			494		483,692
Rite Aid Corporation
2.03%-2.05%, 6/04/14 (c)			962		908,632

					1,392,324

Consumer Non-Cyclical - 0.2%
HCA Inc.
3.55%, 5/01/18 (c)			398		376,114
Immucor, Inc.
7.25%, 8/19/18 (c)			1,995		2,003,978

					2,380,092

Energy - 0.1%
CITGO Petroleum Corporation
9.00%, 6/24/17 (c)			1,231		1,248,401

Other Industrial - 0.1%
Gavilon Group LLC, The
6.00%, 12/06/16 (c)			404		400,217
Kinetic Concepts Inc. (Chiron Merger Sub Inc.)
7.00%, 5/04/18 (c)			1,125		1,134,000

					1,534,217

Services - 0.3%
Advantage Sales & Marketing Inc.
5.25%, 12/18/17 (c)			505		496,064
Aveta, Inc.
8.50%, 4/14/15 (c)			323		317,508
Global Cash Access, Inc.
7.00%, 3/01/16 (c)			414		411,870
Realogy Corporation
3.44%, 10/10/13 (c)			2,089		1,939,225


		Principal Amount (000)		U.S. $ Value
Sabre, Inc.
2.30%-2.43%, 9/30/14 (c)	U.S.$		735		606,251
ServiceMaster Co., (The)
2.78%-3.03%, 7/24/14 (c)			177		168,744
2.80%, 7/24/14 (c)			18		16,804

					3,956,466

Technology - 0.2%
First Data Corporation
3.04%, 9/24/14 (c)			1,315		1,191,041
Smart Modular Technologies (Global), Inc.
8.25%, 8/26/17 (c)			1,895		1,705,725

					2,896,766

Transportation - Services - 0.0%
Swift Transportation Co., LLC
6.00%, 12/21/16 (c)			192		191,637

					32,069,536

Utility - 0.2%
Electric - 0.2%
FirstLight Power Resources, Inc. (fka NE Energy, Inc.)
2.81%, 11/01/13 (c)			219		209,984
4.81%, 5/01/14 (c)			1,000		898,000
Texas Competitive Electric Holdings Company LLC (TXU)
3.78%, 10/10/14 (c)			1,632		1,135,069

					2,243,053

Financial Institutions - 0.2%
Finance - 0.2%
Delos Aircraft, Inc.
7.00%, 3/17/16 (c)			106		105,946
International Lease Finance Corp. (Delos Aircraft, Inc.)
6.75%, 3/17/15 (c)			144		144,267
iStar Financial, Inc.
7.00%, 6/30/14 (c)			1,675		1,615,336

					1,865,549

Total Bank Loans (cost $35,470,791)					34,303,138

GOVERNMENTS - TREASURIES - 2.6%
Brazil - 1.8%
Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/14	BRL		9,146		4,856,703
Republic of Brazil
12.50%, 1/05/16-1/05/22			24,922		16,831,937

					21,688,640


		Principal Amount (000)		U.S. $ Value
South Africa - 0.8%
South Africa Government Bond
Series R204
8.00%, 12/21/18	ZAR		10,750		1,354,256
Series R207
7.25%, 1/15/20			60,872		7,242,103
Series R208
6.75%, 3/31/21			490		55,982

					8,652,341

Total Governments - Treasuries (cost $26,346,840)					30,340,981

GOVERNMENTS - SOVEREIGN BONDS - 1.5%
Brazil - 0.1%
Republic of Brazil
8.75%, 2/04/25	U.S.$		515		769,925

Cote D’Ivoire - 0.6%
Ivory Coast Government International Bond
2.50%, 12/31/32 (a)(d)(i)			12,917		6,426,207

Croatia - 0.6%
Republic of Croatia
6.625%, 7/14/20 (a)			4,000		3,730,000
6.75%, 11/05/19 (a)			3,350		3,165,750

					6,895,750

Lithuania - 0.1%
Republic of Lithuania
7.375%, 2/11/20 (a)			1,498		1,617,840

Panama - 0.1%
Republic of Panama
6.70%, 1/26/36			3		3,900
9.375%, 4/01/29			1,000		1,590,000

					1,593,900

Total Governments - Sovereign Bonds (cost $17,388,665)					17,303,622

ASSET-BACKED SECURITIES - 1.2%
Home Equity Loans - Fixed Rate - 1.0%
Countrywide Asset-Backed Certificates
Series 2005-7, Class AF5W
5.054%, 10/25/35			895		482,381
Series 2006-1, Class AF6
5.526%, 7/25/36			2,161		1,687,107
Series 2006-15, Class A6
5.826%, 10/25/46			1,779		1,184,789
CSAB Mortgage Backed Trust
Series 2006-2, Class A6A
5.72%, 9/25/36			1,567		1,003,518
GSAA Home Equity Trust
Series 2005-12, Class AF5
5.659%, 9/25/35			1,800		1,287,291


		Principal Amount (000)		U.S. $ Value
Series 2006-10, Class AF3
5.985%, 6/25/36	U.S.$		1,771		923,450
Lehman XS Trust
Series 2006-17, Class WF32
5.55%, 11/25/36			2,500		2,017,263
Series 2007-6, Class 3A5
5.72%, 5/25/37			824		576,488
Morgan Stanley Mortgage Loan Trust
Series 2006-15XS, Class A3
5.988%, 11/25/36			1,842		946,246
Series 2007-8XS, Class A2
6.00%, 4/25/37			1,821		1,184,558

					11,293,091

Home Equity Loans - Floating Rate - 0.2%
Countrywide Asset-Backed Certificates
Series 2007-S2, Class A1
0.434%, 5/25/37 (c)			293		287,334
Credit-Based Asset Servicing and Securitization LLC
Series 2007-CB2, Class A2C
5.623%, 2/25/37 (c)			3,400		1,577,659
GSAA Trust
Series 2006-6, Class AF4
5.277%, 3/25/36 (c)			1,468		649,839
Series 2006-6, Class AF5
5.277%, 3/25/36 (c)			945		418,322

					2,933,154

Total Asset-Backed Securities (cost $15,838,882)					14,226,245


		Shares
PREFERRED STOCKS - 0.8%
Financial Institutions - 0.8%
Banking - 0.4%
Citigroup Capital XIII
7.875% (h)			49,625		1,293,228
Zions Bancorporation
9.50%			138,946		3,508,386

					4,801,614

Finance - 0.4%
Ally Financial, Inc.
7.00% (a)			792		567,740
8.50%			52,000		936,000
Citigroup Capital XII
8.50%			99,000		2,490,840

					3,994,580


Company		Shares		U.S. $ Value
Insurance - 0.0%
XLIT Ltd.
3.526% (c)			600		417,188

REITS - 0.0%
Sovereign Real Estate Investment Trust
12.00% (a)			185		205,814

					9,419,196

Non Corporate Sectors - 0.0%
Agencies - Government Sponsored - 0.0%
Federal National Mortgage Association
8.25% (k)			80,000		110,400

Total Preferred Stocks (cost $10,842,449)					9,529,596


		Principal Amount (000)
SUPRANATIONALS - 0.7%
Eurasian Development Bank
7.375%, 9/29/14 (a)	U.S.$		1,690		1,766,050
European Investment Bank
Zero Coupon, 4/24/13 (a)	IDR		65,759,400		6,478,398

Total Supranationals (cost $8,556,011)					8,244,448

LOCAL GOVERNMENTS - REGIONAL BONDS - 0.6%
Argentina - 0.2%
Provincia de Cordoba
12.375%, 8/17/17 (a)	U.S.$		2,341		1,966,440

Colombia - 0.4%
Bogota Distrio Capital
9.75%, 7/26/28 (a)	COP		7,758,000		5,296,556

Total Local Governments - Regional Bonds (cost $5,651,745)					7,262,996

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.6%
United States - 0.6%
California GO
7.60%, 11/01/40	U.S.$		750		926,032
7.95%, 3/01/36			1,915		2,165,444
Illinois GO
7.35%, 7/01/35			1,915		2,112,475
Rhode Island Hlth & Ed Bldg Corp. (Tockwotton Home)
8.375%, 1/01/46			1,520		1,568,777

Total Local Governments - Municipal Bonds (cost $6,130,656)					6,772,728

INFLATION-LINKED SECURITIES - 0.4%
Uruguay - 0.4%
Republica Orient Uruguay
3.70%, 6/26/37	UYU		46,971		2,047,980
4.25%, 4/05/27	UYU		55,637		2,719,956

Total Inflation-Linked Securities (cost $4,419,984)					4,767,936


		Shares		U.S. $ Value
COMMON STOCKS - 0.2%
Abitibibowater, Inc. (f)(g)(k)			5,000		0
American Media Operations, Inc. (f)(g)			19,908		258,804
American Media, Inc. (g)(j)			12,978		0
AOT Bedding Super Holdings, LLC (f)(g)			52		0
Fairpoint Communications, Inc. (k)			5,519		23,898
Gallery Capital SA (g)(l)			591		738,750
Greektown Superholdings, Inc. (f)(g)(k)			692		48,440
Keystone Automotive Operations, Inc. (f)			106,736		1,334,204
Magnachip Semiconductor (f)(g)			450		3,366
Merisant Co. (f)(g)			999		0
Neenah Enterprises, Inc. (f)(g)(k)			58,200		378,300
U.S. Shipping Corp. (f)(g)			31,398		0

Total Common Stocks (cost $3,663,858)					2,785,762


		Principal Amount (000)
GOVERNMENTS - SOVEREIGN AGENCIES - 0.1%
Spain - 0.1%
Instituto de Credito Oficial
4.53%, 3/17/16
(cost $1,195,418)	CAD		1,300		1,161,163


		Shares
WARRANTS - 0.0%
Alion Science And Technology Corp., expiring 11/01/14 (f)(g)(j)(k)			900		0
Fairpoint Communications, Inc., expiring 1/24/18 (f)(g)(k)			9,408		0
Ipayment Holdings, Inc., expiring 11/15/18 (k)			1,142		0
Magnachip Semiconductor, expiring 12/31/49 (f)(g)(k)			18,000		99,180
Talon Equity Co. NV, expiring 11/24/15 (f)(k)			1,059		0

Total Warrants (cost $0)					99,180


	Contracts		U.S. $ Value
OPTIONS PURCHASED - PUTS - 0.0%
Options on Forward Contracts - 0.0%
CNY/USD Expiration: Aug 2012, Exercise Price: CNY 7.00 (k) (cost $257,368)		620,000,000		97,718


	Shares
SHORT-TERM INVESTMENTS - 2.4%
Investment Companies - 2.4%
AllianceBernstein Fixed-Income Shares, Inc. - Government STIF Portfolio, 0.09% (m) (cost $28,392,731)		28,392,731		28,392,731

Total Investments - 106.6% (cost $1,261,454,881) (n)				1,264,880,564
Other assets less liabilities - (6.8)% (o)				(78,622,385	)

Net Assets - 100.0%			$	1,186,258,179

FORWARD CURRENCY EXCHANGE CONTRACTS


Counterparty & Description	Contract Amount (000)		U.S. $ Value on Origination Date		U.S. $ Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Buy Contracts
Credit Suisse First Boston:
Chinese Yuan Renminbi settling 1/13/12 (1)		108,604	$	16,754,044	$	17,200,261	$	446,217
Deutsche Bank:
Norwegian Krone settling 1/27/12		72,057		12,130,880		12,038,618		(92,262	)
Goldman Sachs:
Brazilian Real settling 1/04/12 (1)		37,435		19,956,642		20,069,518		112,876
Brazilian Real settling 1/04/12 (1)		37,435		20,278,802		20,069,518		(209,284	)
Mexican Peso settling 1/20/12		159,610		11,477,778		11,423,557		(54,221	)
Standard Chartered Bank:
Chinese Yuan Renminbi settling 1/13/12 (1)		39,441		6,199,881		6,209,694		9,813
Chinese Yuan Renminbi settling 1/13/12 (1)		19,934		3,135,257		3,138,492		3,235
Chinese Yuan Renminbi settling 1/13/12 (1)		49,023		7,732,322		7,718,386		(13,936	)
Russian Ruble settling 1/13/12 (1)		11,409		359,668		353,746		(5,922	)
UBS Securities LLC:
Malaysian Ringgit settling 1/20/12		20,182		6,333,027		6,364,958		31,931
Sale Contracts
Barclays Capital Inc.:
South African Rand settling 1/20/12		64,330		7,639,388		7,945,119		(305,731	)
Brown Brothers Harriman & Co.: Euro
settling 1/31/12		1,178		1,591,379		1,524,778		66,601
Credit Suisse First Boston:
Australian Dollar settling 1/06/12		2,932		2,823,878		2,998,087		(174,209	)
Hungarian Forint settling 1/20/12		1,946,682		8,308,504		7,983,285		325,219
Goldman Sachs:
Brazilian Real settling 1/04/12 (1)		37,435		20,065,753		20,069,518		(3,765	)


Counterparty & Description	Contract Amount (000)		U.S. $ Value on Origination Date		U.S. $ Value at December 31, 2011		Unrealized Appreciation/ (Depreciation)
Brazilian Real settling 1/04/12 (1)		37,435	$	19,956,642	$	20,069,518	$	(112,876	)
Brazilian Real settling 2/02/12 (1)		37,435		20,142,411		19,919,825		222,586
British Pound settling 1/19/12		6,083		9,423,993		9,445,560		(21,567	)
Colombian Peso settling 1/13/12		7,204,138		3,713,473		3,718,457		(4,984	)
HSBC Securities Inc.:
Canadian Dollar settling 1/05/12		4,075		3,944,809		3,999,661		(54,852	)
Royal Bank of Scotland: Euro
settling 1/19/12		64,944		84,530,118		84,062,696		467,422
Standard Chartered Bank:
Chinese Yuan Renminbi settling 1/13/12 (1)		20,019		3,154,391		3,170,595		(16,204	)
Chinese Yuan Renminbi settling 1/13/12 (1)		49,023		7,735,372		7,764,082		(28,710	)
Chinese Yuan Renminbi settling 1/13/12 (1)		39,561		6,222,287		6,265,583		(43,296	)
Indonesian Rupiah settling 1/20/12		151,537,554		16,608,675		16,445,670		163,005
Malaysian Ringgit settling 1/20/12		20,047		6,288,893		6,322,485		(33,592	)

							$	673,494

(1)

Contract represents a non-deliverable forward where payment is received from or paid to a counterparty based on the net realized gain/loss on settlement date.


INTEREST RATE SWAP TRANSACTIONS

					Rate Type
Swap Counterparty	Notional Amount (000)		Termination Date		Payments made by the Portfolio			Payments received by the Portfolio			Unrealized Appreciation/ (Depreciation)
Morgan Stanley	$	243,000		12/23/16		1.27	%		3 Month LIBOR		$	(549,523	)
Morgan Stanley		179,300		12/23/18		3 Month LIBOR			1.69	%		704,261

											$	154,738


CREDIT DEFAULT SWAP CONTRACTS ON CORPORATE and INDICES

Swap Counterparty & Referenced Obligation	Fixed Deal (Pay) Receive Rate			Implied Credit Spread at December 31, 2011			Notional Amount (000)		Market Value			Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Buy Contracts
Barclays Capital Inc.:
Liz Claiborne, Inc., 5% 7/8/13, 12/20/13*		(5.00	)%		3.26	%	$	440	$	(15,220	)	$	(8,800	)	$	(24,020	)
The McClatchy Company, 5.75% 9/1/17, 12/20/13*		(5.00	)		8.75			440		27,699			(16,500	)		11,199


Swap Counterparty & Referenced Obligation	Fixed Deal (Pay) Receive Rate			Implied Credit Spread at December 31, 2011			Notional Amount (000)		Market Value			Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Goldman Sachs International:
CDX NAHY-11 5 Yr Index, 12/20/13*		(0.00	)%		107.39	%	$	3,275	$	2,538,039		$	(1,827,650	)	$	710,389
JPMorgan Chase Bank:
Fiat SpA, 6.625% 2/15/13, 12/20/16*+		(5.00	)		10.45			1,200		213,240			(189,000	)		24,240
MBIA, Inc., 6.625% 10/1/28, 12/20/13*+		(5.00	)		8.51			890		52,428			(93,450	)		(41,022	)
Sale Contracts
Bank of America:
Boyd Gaming Corp., 6.75% 4/15/14, 3/20/16*		5.00			10.57			2,000		(326,402	)		135,000			(191,402	)
Barclays Capital Inc.:
Alcatel-Lucent USA Inc., 6.5% 1/15/28, 6/20/16*		5.00			13.91			2,000		(488,631	)		(111,193	)		(599,824	)
Amkor Technology, Inc., 9.25% 6/1/16, 6/20/16*		5.00			6.17			2,000		(79,887	)		(76,028	)		(155,915	)
CDX NAHY-17 5 Year Index, 12/20/16*		5.00			6.86			18,130		(1,213,502	)		1,654,363			440,861
CDX NAIG-15 5 Year Index, 12/20/15*		1.00			6.28			1,400		(274,445	)		164,549			(109,896	)
Community Health Systems, Inc., 8.875% 7/15/15, 6/20/16*		5.00			7.59			2,000		(172,195	)		65,000			(107,195	)
Freescale Semiconductor, Inc., 8.875% 12/15/14, 6/20/16*		5.00			9.90			1,420		(216,123	)		39,052			(177,071	)
NXP BV, 8.625% 10/15/15, 3/20/16*		5.00			8.41			1,350		(143,820	)		(79,842	)		(223,662	)
Rite Aid Corporation, 7.7% 2/15/27, 3/20/12*		5.00			5.21			2,700		3,639			(35,074	)		(31,435	)


Swap Counterparty & Referenced Obligation	Fixed Deal (Pay) Receive Rate			Implied Credit Spread at December 31, 2011			Notional Amount (000)		Market Value			Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Citibank:
CDX NAHY-17 5 Year Index, 12/20/16*		5.00	%		6.86	%	$	13,132	$	(878,968	)	$	1,559,425		$	680,457
Ford Motor Company, 6.5% 8/1/18, 6/20/16*		5.00			4.11			2,700		97,340			(258,290	)		(160,950	)
Credit Suisse First Boston:
CDX NAHY-15 5 Year Index, 12/20/15*		5.00			9.90			3,100		(679,783	)		322,400			(357,383	)
CDX NAHY-15 5 Year Index, 12/20/15*		5.00			9.90			3,500		(767,010	)		361,375			(405,635	)
MGM Resorts International, 5.875% 2/27/14, 3/20/16*		5.00			7.78			1,300		(114,850	)		42,250			(72,600	)
MGM Resorts International, 7.625% 1/15/17, 6/20/13*		5.00			4.98			2,000		4,161			(50,000	)		(45,839	)
Wind Acquisition Finance S.A., 11% 12/1/15, 6/20/16*		5.00			12.75			3,300		(726,526	)		(155,766	)		(882,292	)
Goldman Sachs Bank USA:
CDX NAHY-15 3 Yr Index, 12/20/13*		5.00			32.37			12,460		(5,171,842	)		2,280,777			(2,891,065	)
CDX NAHY-17 5 Year Index, 12/20/16*		5.00			6.86			12,936		(865,850	)		1,552,320			686,470
CDX NAIG-15 5 Year Index, 12/20/15*		1.00			6.28			2,150		(421,411	)		286,219			(135,192	)
Mediacom LLC, 9.125% 8/15/19, 3/20/16*		5.00			5.08			2,750		(3,152	)		116,875			113,723
Tenet Healthcare Corp., 6.875% 11/15/31, 9/20/16*		5.00			6.70			2,700		(161,979	)		81,000			(80,979	)
Morgan Stanley:
AK Steel Holding Corporation, 7.625% 5/15/20, 3/20/16*		5.00			9.05			1,350		(167,383	)		(21,988	)		(189,371	)


Swap Counterparty & Referenced Obligation	Fixed Deal (Pay) Receive Rate			Implied Credit Spread at December 31, 2011			Notional Amount (000)		Market Value			Upfront Premiums (Paid) Received			Unrealized Appreciation/ (Depreciation)
Boyd Gaming Corporation, 6.75% 4/15/14, 6/20/13*		5.00	%		7.10	%	$	1,350	$	(36,175	)	$	(30,375	)	$	(66,550	)
CDX NAHY-17 5 Year Index, 12/20/16*		5.00			6.86			6,468		(432,925	)		768,075			335,150
RSHB Capital S.A., 7.175% 5/16/13, 11/20/13*		9.75			1.69			3,400		546,340			– 0	–		546,340

															$	(3,400,469	)

*	Termination date

+	The fund had collateral received from the swap counterparty. The aggregate market value of the securities amounted to $594,626.

REVERSE REPURCHASE AGREEMENTS

Broker

Principal
Amount
(000’s)

Currency

Interest Rate

Maturity

U.S. $
Value at
December
31, 2011

Barclays Capital Inc.†

178

USD

(2.50

)%*

– 0

–

177,070

Barclays Capital Inc.†

744

USD

(2.00

)%*

– 0

–

740,321

Barclays Capital Inc.†

784

USD

(1.63

)%*

– 0

–

783,665

Barclays Capital Inc.†

539

EUR

(1.50

)%*

– 0

–

696,604

Barclays Capital Inc.†

2,839

USD

(1.00

)%*

– 0

–

2,834,248

Barclays Capital Inc.†

721

EUR

(0.75

)%*

– 0

–

932,533

Barclays Capital Inc.†

2,220

USD

(0.75

)%*

– 0

–

2,216,652

Barclays Capital Inc.†

902

USD

(0.75

)%*

– 0

–

901,681

Barclays Capital Inc.†

810

EUR

(0.75

)%*

– 0

–

1,048,079

Barclays Capital Inc.†

1,415

USD

(0.75

)%*

– 0

–

1,414,617

Barclays Capital Inc.†

1,143

USD

(0.63

)%*

– 0

–

1,141,551

Barclays Capital Inc.†

605

USD

(0.30

)%*

– 0

–

604,404

Barclays Capital Inc.†

422

USD

(0.25

)%*

– 0

–

421,761

Barclays Capital Inc.†

374

EUR

(0.25

)%*

– 0

–

483,884

Barclays Capital Inc.†

3,986

USD

(0.25

)%*

– 0

–

3,983,879

Barclays Capital Inc.†

2,223

USD

(0.25

)%*

– 0

–

2,223,055

Barclays Capital Inc.†

2,618

USD

0.00

– 0

–

2,618,200

Barclays Capital Inc.†

951

USD

0.10

– 0

–

951,485

ING Bank Amsterdam†

234

USD

(5.13

)%*

– 0

–

233,459

ING Bank Amsterdam†

208

USD

(4.50

)%*

– 0

–

206,737

ING Bank Amsterdam†

812

USD

(1.50

)%*

– 0

–

810,797

ING Bank Amsterdam†

1,788

USD

(1.50

)%*

– 0

–

1,786,063

ING Bank Amsterdam†

740

USD

(1.00

)%*

– 0

–

738,492

ING Bank Amsterdam†

3,505

USD

(1.00

)%*

– 0

–

3,498,441

ING Bank Amsterdam†

745

USD

(0.75

)%*

– 0

–

743,617

ING Bank Amsterdam†

1,363

USD

(0.75

)%*

– 0

–

1,361,489

ING Bank Amsterdam†

2,379

USD

(0.75

)%*

– 0

–

2,375,729

ING Bank Amsterdam†

695

USD

(0.50

)%*

– 0

–

694,620

ING Bank Amsterdam†

905

USD

(0.50

)%*

– 0

–

904,374

ING Bank Amsterdam†

237

USD

(0.38

)%*

– 0

–

237,063

ING Bank Amsterdam†

2,629

USD

(0.38

)%*

– 0

–

2,628,771

ING Bank Amsterdam†

614

USD

(0.25

)%*

– 0

–

614,118

ING Bank Amsterdam†

1,584

USD

(0.25

)%*

– 0

–

1,584,012

ING Bank Amsterdam†

988

USD

(0.25

)%*

– 0

–

987,613

ING Bank Amsterdam†

560

USD

0.00

– 0

–

559,740


Broker	Principal Amount (000’s)		Currency		Interest Rate			Maturity			U.S. $ Value at December 31, 2011
ING Bank Amsterdam†		647		USD		0.00	%		– 0	–	$	646,500
ING Bank Amsterdam†		1,108		USD		0.00	%		– 0	–		1,108,250
ING Bank Amsterdam†		13,330		USD		0.15	%		– 0	–		13,330,236
JPMorgan Chase Bank†		401		USD		(0.25	)%*		– 0	–		400,439
Nomura International†		1,024		EUR		(0.25	)%*		– 0	–		1,325,127
Nomura International†		1,637		USD		(0.25	)%*		– 0	–		1,636,714
Nomura International†		861		USD		(0.20	)%*		– 0	–		860,885
Nomura International†		862		USD		(0.10	)%*		– 0	–		862,345
Nomura International†		1,101		USD		0.00	%		– 0	–		1,101,000
Nomura International†		720		USD		0.00	%		– 0	–		720,000

											$	66,130,320

†	The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on December 31, 2011.

*	Interest payment due from counterparty.

UNFUNDED LOAN COMMITMENTS

As of December 31, 2011, the Fund had the following unfunded loan commitment of $5,375,000, which may be drawn at the option of the borrower:


Borrower	Unfunded Loan Commitments		Cost			Value
General Motors Holding, LLC Revolver LIBOR +2.75% 10/27/15	$	3,500,000	$	– 0	–	$	(456,750	)
Samson Investment Company 8.00% 12/20/12	$	1,875,000		– 0	–		– 0 –

(a)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the aggregate market value of these securities amounted to $451,947,446 or 38.1% of net assets.

(b)

Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. The market value of the collateral amounted to $66,405,527.

(c)

Floating Rate Security. Stated interest rate was in effect at December 31, 2011.

(d)

Security is in default and is non-income producing.

(e)

Pay-In-Kind Payments (PIK).

(f)

Illiquid security.

(g)

Fair valued.

(h)

Variable rate coupon, rate shown as of December 31, 2011.

(i)

Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2011.

(j)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.12% of net assets as of December 31, 2011, are considered illiquid and restricted.

Restricted Securities

Acquisition
Date

Cost

Market Value

Percentage of
Net Assets

Alion Science And Technology Corp.

6/20/10

– 0 –

0.00

American Media, Inc.

3/04/09

287,500

– 0 –

0.00

European Media Capital SA

10.00%, 2/01/15

8/18/10

1,488,519

1,262,824

0.11

European Media Capital SA

10.00%, 2/01/15

8/18/10

144,395

107,182

0.01

(k)

Non-income producing security.

(l)

Restricted and illiquid security.

(m)

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

(n)

As of December 31, 2011, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $76,686,297 and gross unrealized depreciation of investments was $(73,260,614), resulting in net unrealized appreciation of $3,425,683.

(o)

An amount of $10,583,000 has been segregated to collateralize interest rate and credit default swap contracts outstanding at December 31, 2011.

The fund currently owns investments collateralized by subprime mortgage loans. Subprime loans are offered to homeowners who do not have a history of debt or who have had problems meeting their debt obligations. Because repayment is less certain, subprime borrowers pay a higher rate of interest than prime borrowers. As of December 31, 2011, the fund’s total exposure to subprime investments was 5.03% of net assets. These investments are valued in accordance with the fund’s Valuation Policies.

Currency Abbreviations:


AUD	–	Australian Dollar
BRL	–	Brazilian Real
CAD	–	Canadian Dollar
CLP	–	Chilean Peso
CNY	–	Chinese Yuan Renminbi
COP	–	Colombian Peso
DOP	–	Dominican Peso
EGP	–	Egyptian Pound
EUR	–	Euro
GBP	–	Great British Pound
HUF	–	Hungarian Forint
IDR	–	Indonesian Rupiah
PHP	–	Philippine Peso
RUB	–	Russian Ruble
TRY	–	Turkish Lira
UAH	–	Ukrainian Hryvnia
UYU	–	Uruguayan Peso
ZAR	–	South African Rand

Glossary:


ARMs	–	Adjustable Rate Mortgages
GO	–	General Obligation
MBIA	–	MBIA Insurance Corporation
OJSC	–	Open Joint Stock Company
REIT	–	Real Estate Investment Trust

Country Breakdown*


	60.0%			United States
	5.3%			Russia
	3.8%			Brazil
	2.7%			Argentina
	2.4%			United Kingdom
	1.3%			Luxembourg
	1.2%			Netherlands
	1.1%			Dominican Republic
	1.1%			Indonesia
	1.1%			Ukraine
	1.1%			Kazakhstan
	1.0%			South Africa
	1.0%			Germany
	14.7%			Other
	2.2%			Short-Term

	100.0%			Total Investments

All data are as of December 31, 2011. The Fund’s country breakdowns are expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.9% or less in the following countries: Australia, Austria, Barbados, Belgium, Bermuda, Canada, Chile, China, Colombia, Cote D’Ivoire, Croatia, Czech Republic, Denmark, Egypt, El Salvador, France, Ghana, Hong Kong, Hungary, India, Ireland, Italy, Jamaica, Japan, Lithuania, New Zealand, Norway, Panama, Peru, Philippines, Poland, Serbia & Montenegro, Singapore, Spain, Supranational, Switzerland, Trinidad & Tobago, Turkey, United Arab Emirates and Uruguay.

AllianceBernstein Global High Income Fund

December 31, 2011 (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. The U.S GAAP disclosure requirements establish 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. 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 following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of December 31, 2011:


Investments in Securities	Level 1			Level 2			Level 3			Total
Assets:
Corporates - Non-Investment Grades	$	– 0	–	$	661,421,070		$	3,828,359		$	665,249,429
Corporates - Investment Grades		– 0	–		131,622,505			2,722,500			134,345,005
Emerging Markets - Sovereigns		– 0	–		64,848,848			3,401,025			68,249,873
Emerging Markets - Corporate Bonds		– 0	–		50,999,950			2,728,176			53,728,126
Commercial Mortgage-Backed Securities		– 0	–		– 0	–		49,837,736			49,837,736
Collateralized Mortgage Obligations		– 0	–		– 0	–		45,778,694			45,778,694
Quasi-Sovereigns		– 0	–		39,652,987			2,376,770			42,029,757
Emerging Markets - Treasuries		– 0	–		30,337,880			10,035,820			40,373,700
Bank Loans		– 0	–		– 0	–		36,178,138			36,178,138
Governments - Treasuries		– 0	–		30,340,981			– 0	–		30,340,981
Governments - Sovereign Bonds		– 0	–		10,877,415			6,426,207			17,303,622
Asset-Backed Securities		– 0	–		– 0	–		14,226,245			14,226,245
Preferred Stocks		8,756,042			773,554			– 0	–		9,529,596
Supranationals		– 0	–		1,766,050			6,478,398			8,244,448
Local Governments - Regional Bonds		– 0	–		7,262,996			– 0	–		7,262,996
Local Governments - Municipal Bonds		– 0	–		5,203,951			1,568,777			6,772,728
Inflation-Linked Securities		– 0	–		4,767,936			– 0	–		4,767,936
Common Stocks		23,898			– 0	–		2,761,864			2,785,762
Governments - Sovereign Agencies		– 0	–		1,161,163			– 0	–		1,161,163
Warrants		– 0	–		– 0	–		99,180			99,180
Options Purchased-Puts		– 0	–		– 0	–		97,718			97,718
Short-Term Investments		28,392,731			– 0	–		– 0	–		28,392,731

Total Investments in Securities		37,172,671			1,041,037,286			188,545,607			1,266,755,564
*Other Financial Instruments:**
Assets
Credit Default Swaps		– 0	–		2,838,440			710,389			3,548,829
Interest Rate Swaps		– 0	–		704,261			– 0	–		704,261
Forward Currency Exchange Contracts		– 0	–		1,848,905			– 0	–		1,848,905
Liabilities
Credit Default Swaps		– 0	–		(3,050,127	)		(3,899,171	)		(6,949,298	)
Interest Rate Swaps		– 0	–		(549,523	)		– 0	–		(549,523	)
Forward Currency Exchange Contracts		– 0	–		(1,175,411	)		– 0	–		(1,175,411	)
Unfunded Loan Commitment		– 0	–		– 0	–		(456,750	)		(456,750	)

Total	$	37,172,671		$	1,041,653,831		$	184,900,075		$	1,263,726,577

*	Other financial instruments are derivative instruments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value. The transfers between levels of the fair value hierarchy assumes the financial instrument was transferred at the beginning of the reporting period.


	Corporates - Non- Investment Grades			Corporates - Investment Grades			Emerging Markets - Sovereigns			Emerging Markets - Corporate Bonds
Balance as of 3/31/11	$	9,856,900		$	– 0	–	$	1,917,237			– 0	–
Accrued discounts/ (premiums)		(49,147	)		– 0	–		(1,814	)		(588,286	)
Realized gain (loss)		20,965			– 0	–		– 0	–		– 0	–
Change in unrealized appreciation/ depreciation		(390,113	)		(206,250	)		55,697			832,830
Purchases		1,960,495			– 0	–		3,347,142			409,000
Sales		(1,510,598	)		– 0	–		– 0	–		– 0	–
Reclassification		(1,101,958	)		– 0	–		(1,917,237	)		1,101,958
Transfers into Level 3		790,757			2,928,750			– 0	–		972,674
Transfers out of Level 3		(5,748,942	)		– 0	–		– 0	–		– 0	–

Balance as of 12/31/11	$	3,828,359		$	2,722,500		$	3,401,025		$	2,728,176

Net change in unrealized appreciation/ depreciation from investments held as of 12/31/11	$	(354,038	)	$	(206,250	)	$	55,697		$	832,830


	Commercial Mortgage-Backed Securities			Collateralized Mortgage Obligations			Quasi-Sovereigns			Emerging Markets - Treasuries
Balance as of 3/31/11	$	40,257,752		$	38,999,814			– 0	–	$	6,416,198
Accrued discounts/ (premiums)		229,446			586,230			63,539			25,555
Realized gain (loss)		1,445,555			1,730,744			– 0	–		(8,332	)
Change in unrealized appreciation/ depreciation		(3,119,344	)		(6,806,746	)		(479,156	)		(1,019,591	)
Purchases		18,121,582			19,415,517			– 0	–		3,063,451
Sales		(10,903,286	)		(8,146,865	)		– 0	–		(358,698	)
Reclassification		– 0	–		– 0	–		– 0	–		1,917,237
Transfers into Level 3		3,806,031			– 0	–		2,792,387			– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–		– 0	–

Balance as of 12/31/11	$	49,837,736		$	45,778,694		$	2,376,770		$	10,035,820

Net change in unrealized appreciation/ depreciation from investments held as of 12/31/11	$	(1,979,057	)	$	(5,808,665	)	$	(479,156	)	$	(964,550	)

Bank Loans

Governments -
Sovereign Bonds

Asset-Backed
Securities

Supranationals

Balance as of 3/31/11

33,631,807

– 0

–

16,842,715

6,542,333

Accrued discounts/ (premiums)

370,796

– 0

–

192,915

260,517

Realized gain (loss)

(228,581

)

– 0

–

296,989

– 0

–

Change in unrealized appreciation/ depreciation

(1,934,336

)

(215,807

)

(1,921,497

)

(324,452

)

Purchases

14,786,417

3,665,974

– 0

–

– 0

–

Sales

(10,447,965

)

– 0

–

(1,184,877

)

– 0

–

Reclassification

– 0

–

– 0

–

– 0

–

– 0

–

Transfers into Level 3

– 0

–

2,976,040

– 0

–

– 0

–

Transfers out of Level 3

– 0

–

– 0

–

– 0

–

– 0

–

Balance as of 12/31/11

36,178,138

6,426,207

14,226,245

6,478,398

Net change in unrealized appreciation/ depreciation from investments held as of 12/31/11

(1,833,171

)

(215,807

)

(1,773,422

)

(324,452

)

Local
Governments -
Municipal Bonds

Common Stocks

Warrants

Options Purchased -
Puts

Balance as of 3/31/11

– 0

–

1,983,469

– 0

–

– 0

–

Accrued discounts/ (premiums)

– 0

–

– 0

–

– 0

–

– 0

–

Realized gain (loss)

– 0

–

464,947

– 0

–

– 0

–

Change in unrealized appreciation/ depreciation

48,777

796,265

99,180

(159,650

)

Purchases

1,520,000

3,308

– 0

–

257,368

Sales

– 0

–

(486,125

)

– 0

–

– 0

–

Reclassification

– 0

–

– 0

–

– 0

–

– 0

–

Transfers into Level 3

– 0

–

– 0

–

– 0

–

– 0

–

Transfers out of Level 3

– 0

–

– 0

–

– 0

–

– 0

–

Balance as of 12/31/11

1,568,777

2,761,864

99,180

97,718

Net change in unrealized appreciation/ depreciation from investments held as of 12/31/11

48,777

775,175

99,180

(159,650

)

Options Purchased -
Calls

Credit Default
Swaps

Unfunded Loan
Commitment

Total

Balance as of 3/31/11

– 0

–

– 0

–

156,448,226

Accrued discounts/

(premiums)

– 0

–

– 0

–

– 0

–

1,089,751

Realized gain (loss)

(97,200

)

– 0

–

– 0

–

3,625,087

Change in unrealized appreciation/ depreciation

97,199

(4,195,725

)

(198,137

)

(19,040,856

)

Purchases

– 0

–

739,346

(258,613

)

67,030,987

Sales

– 0

–

– 0

–

– 0

–

(33,038,414

)

Reclassification

– 0

–

– 0

–

– 0

–

– 0

–

Transfers into Level 3

– 0

–

267,597

– 0

–

14,534,236

Transfers out of Level 3

– 0

–

– 0

–

– 0

–

(5,748,942

)

Balance as of 12/31/11

– 0

–

(3,188,782

)

(456,750

)

184,900,075

Net change in unrealized appreciation/ depreciation from investments held as of 12/31/11

– 0

–

(4,195,725

)

(198,137

)

(16,680,421

)

ITEM 2.

CONTROLS AND PROCEDURES.

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

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

ITEM 3.

EXHIBITS.

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


EXHIBIT NO.		DESCRIPTION OF EXHIBIT

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

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

SIGNATURES

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

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


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

Date:		February 23, 2012

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


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

Date:		February 23, 2012

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

Date:		February 23, 2012