AllianceBernstein 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: 811-05207

ALLIANCEBERNSTEIN 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: December 31, 2013

Date of reporting period: March 31, 2013

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AllianceBernstein Income Fund

Portfolio of Investments

March 31, 2013 (unaudited)

 

      Principal
Amount
(000)		        U.S. $ Value  

GOVERNMENTS - TREASURIES - 90.1%

          

Brazil - 0.4%

          

Brazil Notas do Tesouro Nacional

          

Series F

          

10.00%, 1/01/14

      BRL        16,419         $ 8,239,546   
         

 

 

  

Turkey - 1.0%

          

Turkey Government Bond

          

10.50%, 1/15/20

      TRY        32,500           21,619,963   
         

 

 

  

United States - 88.7%

          

U.S. Treasury Bonds

          

5.375%, 2/15/31

      U.S.$        1,961           2,727,935   

6.125%, 11/15/27 (a)

        175,000           255,417,925   

6.25%, 8/15/23 (b)

        22,000           31,136,864   

6.625%, 2/15/27 (a)

        265,910           401,939,452   

6.875%, 8/15/25 (a)

        245,200           371,669,501   

7.625%, 2/15/25

        85,000           134,990,625   

8.00%, 11/15/21 (a)

        76,780           116,993,525   

8.50%, 2/15/20

        3,700           5,504,616   

U.S. Treasury Notes

          

1.625%, 8/15/22 (a)

        130,000           128,324,170   

2.625%, 8/15/20 (a)

        358,400           391,468,134   

2.625%, 11/15/20 (a) (c)

        67,250           73,349,777   
         

 

 

  
            1,913,522,524   
         

 

 

  

Total Governments - Treasuries
(cost $1,911,501,597)

             1,943,382,033   
         

 

 

  

CORPORATES - NON-INVESTMENT GRADES - 16.8%

          

Industrial - 14.2%

          

Basic - 1.1%

          

AK Steel Corp.

          

7.625%, 5/15/20

        2,082           1,821,750   

ArcelorMittal

          

5.75%, 8/05/20

        2,500           2,637,500   

6.75%, 2/25/22

        2,200           2,404,301   

Arch Coal, Inc.

          

7.00%, 6/15/19 (a)

        2,100           1,895,250   

Calcipar SA

          

6.875%, 5/01/18 (d)

        687           731,655   

Commercial Metals Co.

          

6.50%, 7/15/17

        1,993           2,182,335   

7.35%, 8/15/18

        2,644           2,934,840   

Novelis, Inc./GA

          

8.75%, 12/15/20

        800           902,000   

Steel Dynamics, Inc.

          

7.625%, 3/15/20

        3,000           3,330,000   

Usiminas Commercial Ltd.

          

7.25%, 1/18/18 (d)

        4,263           4,699,957   
         

 

 

  
            23,539,588   
         

 

 

  

Capital Goods - 2.1%

          

B/E Aerospace, Inc.

          

5.25%, 4/01/22

        2,200           2,268,750   

      Principal
Amount
(000)		        U.S. $ Value  

6.875%, 10/01/20

    U.S.$          2,000         $ 2,212,500   

Ball Corp.

          

5.00%, 3/15/22

        3,717           3,865,680   

BC Mountain LLC/BC Mountain Finance, Inc.

          

7.00%, 2/01/21 (d)

        2,313           2,451,780   

Bombardier, Inc.

          

7.50%, 3/15/18 (d)

        3,000           3,423,750   

Building Materials Corp. of America

          

7.00%, 2/15/20 (d)

        635           688,975   

7.50%, 3/15/20 (d)

        2,498           2,729,065   

Clean Harbors, Inc.

          

5.25%, 8/01/20

        1,200           1,239,000   

CNH America LLC

          

7.25%, 1/15/16

        2,000           2,235,000   

Griffon Corp.

          

7.125%, 4/01/18

        3,558           3,842,640   

Huntington Ingalls Industries, Inc.

          

6.875%, 3/15/18

        698           759,075   

7.125%, 3/15/21

        690           750,375   

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu

          

7.125%, 4/15/19

        5,095           5,502,600   

Sealed Air Corp.

          

6.875%, 7/15/33 (d)

        2,885           2,740,750   

8.125%, 9/15/19 (d)

        1,127           1,274,919   

8.375%, 9/15/21 (d)

        1,157           1,324,765   

SPX Corp.

          

6.875%, 9/01/17

        2,900           3,226,250   

Summit Materials LLC/Summit Materials Finance Corp.

          

10.50%, 1/31/20 (d)

        1,599           1,802,873   

United Rentals North America, Inc.

          

5.75%, 7/15/18

        2,550           2,763,562   
         

 

 

  
            45,102,309   
         

 

 

  

Communications - Media - 2.3%

          

CCO Holdings LLC/CCO Holdings Capital Corp.

          

6.625%, 1/31/22

        2,079           2,229,728   

Clear Channel Communications, Inc.

          

9.00%, 12/15/19 (d)

        92           88,435   

Clear Channel Worldwide Holdings, Inc.

          

6.50%, 11/15/22 (d)

        5,000           5,258,600   

CSC Holdings LLC

          

6.75%, 11/15/21

        5,000           5,606,250   

Cumulus Media Holdings, Inc.

          

7.75%, 5/01/19 (a)

        672           690,480   

DISH DBS Corp.

          

7.125%, 2/01/16

        2,000           2,222,500   

Hughes Satellite Systems Corp.

          

7.625%, 6/15/21

        3,111           3,558,206   

Intelsat Jackson Holdings SA

          

7.25%, 4/01/19

        4,231           4,622,367   

      Principal
Amount
(000)		        U.S. $ Value  

Lamar Media Corp.

          

5.875%, 2/01/22

      U.S.$        5,500         $ 5,953,750   

LIN Television Corp.

          

8.375%, 4/15/18

        900           979,875   

RR Donnelley & Sons Co.

          

8.25%, 3/15/19

        2,984           3,222,720   

Univision Communications, Inc.

          

6.875%, 5/15/19 (d)

        3,295           3,521,531   

UPCB Finance III Ltd.

          

6.625%, 7/01/20 (d)

        2,200           2,365,000   

Videotron Ltd.

          

5.00%, 7/15/22

        2,255           2,288,825   

Virgin Media Finance PLC

          

5.25%, 2/15/22

        2,024           2,056,890   

8.375%, 10/15/19

        2,000           2,235,000   

XM Satellite Radio, Inc.

          

7.625%, 11/01/18 (d)

        2,500           2,756,250   
         

 

 

  
            49,656,407   
         

 

 

  

Communications - Telecommunications - 0.6%

          

Digicel Ltd.

          

6.00%, 4/15/21 (d)

        1,500           1,492,500   

Frontier Communications Corp.

          

8.125%, 10/01/18

        2,000           2,280,000   

SBA Telecommunications, Inc.

          

5.75%, 7/15/20 (d)

        875           910,000   

Sprint Nextel Corp.

          

9.00%, 11/15/18 (d)

        2,065           2,552,856   

Sunrise Communications International SA

          

7.00%, 12/31/17 (d)

      EUR        1,585           2,173,955   

Windstream Corp.

          

7.50%, 4/01/23

      U.S.$        2,000           2,120,000   

7.75%, 10/01/21

        1,070           1,166,300   
         

 

 

  
            12,695,611   
         

 

 

  

Consumer Cyclical - Automotive - 0.8%

          

American Axle & Manufacturing Holdings, Inc.

          

9.25%, 1/15/17 (d)

        1,506           1,652,835   

American Axle & Manufacturing, Inc.

          

6.25%, 3/15/21

        4,201           4,306,025   

Delphi Corp.

          

5.875%, 5/15/19

        654           706,320   

6.125%, 5/15/21

        491           540,100   

Goodyear Dunlop Tires Europe BV

          

6.75%, 4/15/19 (d)

      EUR        1,500           2,041,796   

Goodyear Tire & Rubber Co. (The)

          

6.50%, 3/01/21

      U.S.$        700           721,875   

7.00%, 5/15/22

        1,486           1,565,873   

8.75%, 8/15/20

        3,000           3,435,000   

Schaeffler Finance BV

          

8.50%, 2/15/19 (d)

        1,200           1,365,000   
         

 

 

  
            16,334,824   
         

 

 

  

 

      Principal
Amount
(000)		        U.S. $ Value  

Consumer Cyclical - Entertainment - 0.0%

          

Pinnacle Entertainment, Inc.

          

8.75%, 5/15/20

      U.S.$        841         $ 924,049   
         

 

 

  

Consumer Cyclical - Other - 0.9%

          

Broder Bros Co.

          

12.00%, 10/15/13 (d) (e)

        607           605,060   

Choice Hotels International, Inc.

          

5.75%, 7/01/22

        195           216,450   

CityCenter Holdings LLC/CityCenter Finance Corp.

          

7.625%, 1/15/16

        2,000           2,147,500   

Levi Strauss & Co.

          

6.875%, 5/01/22 (d)

        288           315,360   

MGM Resorts International

          

8.625%, 2/01/19

        4,315           5,026,975   

NCL Corp., Ltd.

          

9.50%, 11/15/18

        1,142           1,290,460   

Royal Caribbean Cruises Ltd.

          

5.25%, 11/15/22

        1,801           1,823,513   

7.00%, 6/15/13

        2,000           2,020,000   

7.50%, 10/15/27

        1,100           1,248,500   

Shea Homes LP/Shea Homes Funding Corp.

          

8.625%, 5/15/19

        1,188           1,333,530   

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

          

5.375%, 3/15/22 (a)

        3,400           3,565,750   
         

 

 

  
            19,593,098   
         

 

 

  

Consumer Cyclical - Restaurants - 0.1%

          

CKE Restaurants, Inc.

          

11.375%, 7/15/18

        2,000           2,320,000   
         

 

 

  

Consumer Cyclical - Retailers - 0.6%

          

AutoNation, Inc.

          

6.75%, 4/15/18

        481           547,138   

Burlington Coat Factory Warehouse Corp.

          

10.00%, 2/15/19

        401           445,110   

Limited Brands, Inc.

          

5.625%, 2/15/22

        1,727           1,830,620   

6.90%, 7/15/17

        3,621           4,159,624   

Rite Aid Corp.

          

8.00%, 8/15/20

        3,200           3,616,000   

Toys R US - Delaware, Inc.

          

7.375%, 9/01/16 (a) (d)

        3,206           3,282,142   
         

 

 

  
            13,880,634   
         

 

 

  

Consumer Non-Cyclical - 2.1%

          

ARAMARK Corp.

          

5.75%, 3/15/20 (d)

        1,001           1,023,523   

Boparan Finance PLC

          

9.875%, 4/30/18 (d)

      GBP        2,400           4,084,281   

Chiquita Brands International, Inc./Chiquita Brands LLC

          

7.875%, 2/01/21(d)

      U.S.$        705           739,369   

      Principal
Amount
(000)		        U.S. $ Value  

CHS/Community Health Systems, Inc.

          

7.125%, 7/15/20

      U.S.$        1,717         $ 1,862,945   

Cosan Luxembourg SA

          

5.00%, 3/14/23 (d)

        1,361           1,396,331   

9.50%, 3/14/18 (d)

      BRL        3,117           1,590,314   

Emergency Medical Services Corp.

          

8.125%, 6/01/19

      U.S.$        2,391           2,624,122   

Fresenius Medical Care US Finance, Inc.

          

5.75%, 2/15/21 (d)

        2,125           2,342,813   

HCA Holdings, Inc.

          

7.75%, 5/15/21

        1,700           1,894,438   

HCA, Inc.

          

8.50%, 4/15/19

        1,895           2,091,606   

Hologic, Inc.

          

6.25%, 8/01/20

        540           574,425   

Jaguar Holding Co. II/Jaguar Merger Sub, Inc.

          

9.50%, 12/01/19 (d)

        2,000           2,295,000   

JBS Finance II Ltd.

          

8.25%, 1/29/18 (d)

        3,100           3,394,500   

JBS USA LLC/JBS USA Finance, Inc.

          

8.25%, 2/01/20 (d)

        2,063           2,253,828   

Kinetic Concepts, Inc./KCI USA, Inc.

          

10.50%, 11/01/18

        4,000           4,330,000   

Party City Holdings, Inc.

          

8.875%, 8/01/20 (d)

        2,225           2,441,937   

Post Holdings, Inc.

          

7.375%, 2/15/22

        1,639           1,792,656   

Valeant Pharmaceuticals International

          

6.875%, 12/01/18 (d)

        2,145           2,304,534   

7.00%, 10/01/20 (d)

        2,200           2,370,500   

7.25%, 7/15/22 (d)

        582           632,925   

Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc.

          

7.75%, 2/01/19

        1,100           1,177,000   

8.00%, 2/01/18

        2,200           2,340,250   
         

 

 

  
            45,557,297   
         

 

 

  

Energy - 2.0%

          

Antero Resources Finance Corp.

          

9.375%, 12/01/17

        2,000           2,170,000   

Berry Petroleum Co.

          

6.375%, 9/15/22

        3,107           3,301,187   

Chesapeake Energy Corp.

          

6.625%, 8/15/20

        2,435           2,660,238   

Cie Generale de Geophysique - Veritas

          

9.50%, 5/15/16

        857           899,850   

Cimarex Energy Co.

          

5.875%, 5/01/22

        2,331           2,499,998   

Forest Oil Corp.

          

7.25%, 6/15/19

        2,964           2,964,000   

Hornbeck Offshore Services, Inc.

          

5.875%, 4/01/20

        2,737           2,846,480   

Oil States International, Inc.

          

6.50%, 6/01/19

        1,960           2,097,200   

      Principal
Amount
(000)		        U.S. $ Value  

Pacific Rubiales Energy Corp.

          

7.25%, 12/12/21 (d)

    U.S.$          4,300         $ 4,886,950   

Quicksilver Resources, Inc.

          

7.125%, 4/01/16

        471           397,995   

SandRidge Energy, Inc.

          

7.50%, 2/15/23

        2,270           2,360,800   

8.125%, 10/15/22

        2,100           2,241,750   

SESI LLC

          

6.375%, 5/01/19

        615           661,125   

7.125%, 12/15/21

        2,834           3,170,537   

Tervita Corp.

          

8.00%, 11/15/18 (d)

        5,000           5,168,750   

Tesoro Corp.

          

9.75%, 6/01/19

        3,800           4,284,500   
         

 

 

  
            42,611,360   
         

 

 

  

Other Industrial - 0.1%

          

Brightstar Corp.

          

9.50%, 12/01/16 (d)

        1,600           1,712,000   
         

 

 

  

Services - 0.4%

          

Live Nation Entertainment, Inc.

          

8.125%, 5/15/18 (d)

        1,820           1,979,250   

Sabre, Inc.

          

8.50%, 5/15/19 (d)

        2,000           2,170,000   

Service Corp. International/US

          

7.50%, 4/01/27

        3,300           3,663,000   

West Corp.

          

11.00%, 10/15/16

        150           156,375   
         

 

 

  
            7,968,625   
         

 

 

  

Technology - 1.0%

          

Amkor Technology, Inc.

          

6.625%, 6/01/21

        3,000           3,030,000   

Avaya, Inc.

          

10.50%, 3/01/21 (d)

        4,307           4,102,417   

CDW LLC/CDW Finance Corp.

          

8.50%, 4/01/19

        5,000           5,581,250   

First Data Corp.

          

7.375%, 6/15/19 (d)

        4,500           4,792,500   

Freescale Semiconductor, Inc.

          

10.125%, 12/15/16

        104           107,120   

10.125%, 3/15/18 (d)

        2,000           2,215,000   

Sanmina Corp.

          

7.00%, 5/15/19 (a) (d)

        1,830           1,912,350   
         

 

 

  
            21,740,637   
         

 

 

  

Transportation - Airlines - 0.1%

          

TAM Capital 3, Inc.

          

8.375%, 6/03/21 (d)

        2,843           3,162,837   
         

 

 

  
            306,799,276   
         

 

 

  

      Principal
Amount
(000)		        U.S. $ Value  

Utility - 1.4%

          

Electric - 1.1%

          

AES Corp./VA

          

8.00%, 10/15/17

      U.S.$        4,000         $ 4,705,000   

Calpine Corp.

          

7.875%, 7/31/20 (d)

        2,880           3,153,600   

ComEd Financing III

          

6.35%, 3/15/33

        3,462           3,600,480   

EDP Finance BV

          

4.90%, 10/01/19 (d)

        255           256,275   

6.00%, 2/02/18 (d)

        3,490           3,673,225   

GenOn Americas Generation LLC

          

8.50%, 10/01/21

        3,200           3,752,000   

GenOn Energy, Inc.

          

7.875%, 6/15/17

        2,100           2,341,500   

NRG Energy, Inc.

          

8.25%, 9/01/20

        1,300           1,467,375   
         

 

 

  
            22,949,455   
         

 

 

  

Natural Gas - 0.3%

          

Access Midstream Partners LP/ACMP Finance Corp.

          

6.125%, 7/15/22

        1,123           1,204,418   

El Paso LLC

          

Series G

          

7.75%, 1/15/32

        2,000           2,238,314   

Holly Energy Partners LP/Holly Energy Finance Corp.

          

6.50%, 3/01/20 (d)

        2,196           2,333,250   
         

 

 

  
            5,775,982   
         

 

 

  
            28,725,437   
         

 

 

  

Financial Institutions - 1.2%

          

Banking - 0.5%

          

ABN Amro Bank NV

          

4.31%, 3/10/16

      EUR        6,790           7,702,834   

Citigroup, Inc.

          

5.95%, 1/30/23

      U.S.$        2,300           2,386,250   
         

 

 

  
            10,089,084   
         

 

 

  

Brokerage - 0.1%

          

E*TRADE Financial Corp.

          

6.375%, 11/15/19

        2,834           2,996,955   
         

 

 

  

Insurance - 0.0%

          

Pearl Group Holdings No. 1 Ltd.

          

6.586%, 4/25/16

      GBP        43           51,338   
         

 

 

  

Other Finance - 0.5%

          

Aviation Capital Group Corp.

          

6.75%, 4/06/21 (d)

      U.S.$        4,235           4,709,544   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

          

8.00%, 1/15/18

        3,000           3,210,000   

      Principal
Amount
(000)		        U.S. $ Value  

iPayment, Inc.

          

10.25%, 5/15/18

    U.S.$          1,814         $ 1,677,950   
         

 

 

  
            9,597,494   
         

 

 

  

REITS - 0.1%

          

SL Green Realty Corp./SL Green Operating Partnership/Reckson Operating Partnership

          

7.75%, 3/15/20

        2,514           3,086,340   
         

 

 

  
            25,821,211   
         

 

 

  

Total Corporates - Non-Investment Grades
(cost $333,775,811)

             361,345,924   
         

 

 

  

CORPORATES - INVESTMENT GRADES - 12.1%

          

Industrial - 6.7%

          

Basic - 0.8%

          

Basell Finance Co. BV

          

8.10%, 3/15/27 (d)

        1,190           1,594,600   

GTL Trade Finance, Inc.

          

7.25%, 10/20/17 (d)

        2,536           2,896,112   

LyondellBasell Industries NV

          

5.75%, 4/15/24

        3,300           3,869,250   

Southern Copper Corp.

          

7.50%, 7/27/35

        5,107           6,127,348   

Weyerhaeuser Co.

          

7.375%, 3/15/32

        2,000           2,531,496   
         

 

 

  
            17,018,806   
         

 

 

  

Capital Goods - 0.8%

          

Legrand France SA

          

8.50%, 2/15/25

        10           13,286   

Odebrecht Finance Ltd.

          

6.00%, 4/05/23 (d)

        5,791           6,485,920   

Owens Corning

          

9.00%, 6/15/19

        3,000           3,843,711   

Republic Services, Inc.

          

5.25%, 11/15/21

        6,098           7,128,263   
         

 

 

  
            17,471,180   
         

 

 

  

Communications - Media - 0.4%

          

Globo Comunicacao e Participacoes SA

          

5.307%, 5/11/22 (d) (f)

        1,162           1,252,055   

Time Warner Cable, Inc.

          

5.875%, 11/15/40

        1,375           1,466,028   

6.55%, 5/01/37

        1,457           1,681,187   

Time Warner Entertainment Co. LP

          

8.375%, 7/15/33

        2,500           3,455,900   

Virgin Media Secured Finance PLC

          

5.25%, 1/15/21

        1,629           1,705,886   
         

 

 

  
            9,561,056   
         

 

 

  

Communications - Telecommunications - 1.7%

          

American Tower Corp.

          

5.05%, 9/01/20

        4,310           4,784,522   

      Principal
Amount
(000)		        U.S. $ Value  

AT&T, Inc.

          

4.30%, 12/15/42 (d)

    U.S.$          72         $ 67,083   

6.50%, 9/01/37

        4,433           5,436,232   

Deutsche Telekom International Finance BV

          

4.875%, 3/06/42 (d)

        4,719           4,737,069   

Embarq Corp.

          

7.082%, 6/01/16

        1,277           1,461,938   

Oi SA

          

5.75%, 2/10/22 (d)

        5,500           5,731,183   

Qwest Corp.

          

6.75%, 12/01/21

        2,000           2,302,788   

6.875%, 9/15/33

        1,500           1,490,973   

Telefonica Emisiones SAU

          

7.045%, 6/20/36

        5,000           5,367,495   

Verizon Communications, Inc.

          

6.90%, 4/15/38

        4,500           5,766,746   
         

 

 

  
            37,146,029   
         

 

 

  

Consumer Cyclical - Automotive - 0.0%

          

Ford Motor Co.

          

7.45%, 7/16/31

        650           822,066   
         

 

 

  

Consumer Cyclical - Entertainment - 0.2%

          

Time Warner, Inc.

          

7.70%, 5/01/32

        2,500           3,406,875   
         

 

 

  

Consumer Cyclical - Other - 0.2%

          

Host Hotels & Resorts LP

          

9.00%, 5/15/17

        2,000           2,107,500   

Wyndham Worldwide Corp.

          

4.25%, 3/01/22

        2,200           2,304,111   
         

 

 

  
            4,411,611   
         

 

 

  

Consumer Cyclical - Retailers - 0.3%

          

CVS Caremark Corp.

          

5.75%, 5/15/41

        4,700           5,581,029   
         

 

 

  

Consumer Non-Cyclical - 0.5%

          

Bunge Ltd. Finance Corp.

          

8.50%, 6/15/19

        2,600           3,351,408   

Grupo Bimbo SAB de CV

          

4.50%, 1/25/22 (d)

        1,699           1,842,515   

Mylan, Inc./PA

          

7.625%, 7/15/17 (d)

        290           322,625   

SABMiller Holdings, Inc.

          

4.95%, 1/15/42 (d)

        5,500           6,067,330   
         

 

 

  
            11,583,878   
         

 

 

  

Energy - 1.2%

          

Nabors Industries, Inc.

          

9.25%, 1/15/19

        2,500           3,215,455   

Noble Energy, Inc.

          

8.25%, 3/01/19

        3,584           4,674,181   

Noble Holding International Ltd.

          

4.90%, 8/01/20

        389           431,366   

      Principal
Amount
(000)		        U.S. $ Value  

Phillips 66

          

4.30%, 4/01/22

      U.S.$        5,550         $ 6,092,585   

Reliance Holdings USA, Inc.

          

5.40%, 2/14/22 (d)

        3,568           3,958,877   

Southwestern Energy Co.

          

4.10%, 3/15/22

        1,519           1,605,363   

Transocean, Inc.

          

7.50%, 4/15/31

        2,200           2,642,519   

Weatherford International Ltd./Bermuda

          

7.00%, 3/15/38

        2,900           3,236,194   
         

 

 

  
            25,856,540   
         

 

 

  

Technology - 0.4%

          

Applied Materials, Inc.

          

5.85%, 6/15/41

        6,621           7,885,220   
         

 

 

  

Transportation - Airlines - 0.1%

          

Delta Air Lines 2007-1 Class A Pass Through Trust

          

Series 071A

          

6.821%, 8/10/22

        1,520           1,721,345   
         

 

 

  

Transportation - Services - 0.1%

          

Asciano Finance Ltd.

          

4.625%, 9/23/20 (d)

        1,080           1,146,208   
         

 

 

  
            143,611,843   
         

 

 

  

Financial Institutions - 3.2%

          

Banking - 1.1%

          

Banco Bradesco SA/Cayman Islands

          

5.75%, 3/01/22 (d)

        4,500           4,859,565   

Barclays Bank PLC

          

7.625%, 11/21/22

        2,935           2,894,644   

Itau Unibanco Holding SA/Cayman Island

          

5.50%, 8/06/22 (d)

        1,475           1,534,000   

JPMorgan Chase & Co.

          

Series 1

          

7.90%, 4/30/18

        2,524           2,899,644   

Morgan Stanley

          

10.09%, 5/03/17 (d)

      BRL        11,615           6,150,217   

Royal Bank of Scotland PLC (The)

          

9.50%, 3/16/22 (d)

      U.S.$        2,292           2,641,530   

UBS AG/Stamford CT

          

7.625%, 8/17/22

        2,742           3,064,078   
         

 

 

  
            24,043,678   
         

 

 

  

Finance - 0.2%

          

GE Capital Trust II

          

5.50%, 9/15/67 (d)

      EUR        1,000           1,285,449   

General Electric Capital Corp.

          

6.44%, 11/15/22

      GBP        114           198,389   

Series G

          

6.875%, 1/10/39

      U.S.$        1,254           1,643,029   
         

 

 

  
            3,126,867   
         

 

 

  

      Principal
Amount
(000)		        U.S. $ Value  

Insurance - 1.3%

          

American General Institutional Capital B

          

8.125%, 3/15/46 (d)

      U.S.$        509         $ 689,695   

American International Group, Inc.

          

8.175%, 5/15/58

        2,525           3,399,281   

Fairfax Financial Holdings Ltd.

          

8.30%, 4/15/26

        5,000           6,232,150   

Genworth Holdings, Inc.

          

7.70%, 6/15/20

        1,756           2,079,292   

Great-West Life & Annuity Insurance Capital LP II

          

7.153%, 5/16/46 (d)

        2,707           2,869,420   

Humana, Inc.

          

8.15%, 6/15/38

        2,900           4,067,549   

MetLife, Inc.

          

6.40%, 12/15/36

        3,345           3,658,594   

Pacific Life Insurance Co.

          

9.25%, 6/15/39 (d)

        1,500           2,184,453   

Transatlantic Holdings, Inc.

          

8.00%, 11/30/39

        2,122           2,950,189   
         

 

 

  
            28,130,623   
         

 

 

  

Other Finance - 0.0%

          

IIRSA Norte Finance Ltd.

          

8.75%, 5/30/24 (d) (g)

        299           366,280   
         

 

 

  

REITS - 0.6%

          

DDR Corp.

          

7.875%, 9/01/20

        3,000           3,814,392   

Duke Realty LP

          

6.75%, 3/15/20

        1,655           2,020,904   

EPR Properties

          

7.75%, 7/15/20

        3,308           3,955,644   

HCP, Inc.

          

5.375%, 2/01/21

        3,468           4,028,439   
         

 

 

  
            13,819,379   
         

 

 

  
            69,486,827   
         

 

 

  

Non Corporate Sectors - 1.6%

          

Agencies - Not Government Guaranteed - 1.6%

          

Abu Dhabi National Energy Co.

          

3.625%, 1/12/23 (a) (d)

        1,562           1,574,019   

5.875%, 12/13/21 (d)

        775           906,345   

Banco do Brasil SA/Cayman

          

5.875%, 1/26/22 (d)

        1,475           1,578,250   

Gazprom OAO Via Gaz Capital SA

          

6.51%, 3/07/22 (d)

        13,563           15,665,265   

9.25%, 4/23/19 (d)

        7,115           9,178,350   

Petrobras International Finance Co. - Pifco

          

5.375%, 1/27/21

        5,000           5,394,965   
         

 

 

  
            34,297,194   
         

 

 

  

 

      Principal
Amount
(000)		        U.S. $ Value  

Utility - 0.6%

          

Electric - 0.5%

          

CMS Energy Corp.

          

8.75%, 6/15/19

      U.S.$        3,900         $ 5,263,647   

Duquesne Light Holdings, Inc.

          

6.40%, 9/15/20 (d)

        2,140           2,601,923   

FirstEnergy Corp.

          

Series C

          

7.375%, 11/15/31

        3,000           3,514,440   
         

 

 

  
            11,380,010   
         

 

 

  

Natural Gas - 0.1%

          

Empresa de Energia de Bogota SA

          

6.125%, 11/10/21 (a) (d)

        1,719           1,901,082   

Kinder Morgan Energy Partners LP

          

3.95%, 9/01/22

        792           841,502   
         

 

 

  
            2,742,584   
         

 

 

  
            14,122,594   
         

 

 

  

Total Corporates - Investment Grades
(cost $233,345,638)

             261,518,458   
         

 

 

  

AGENCIES - 7.4%

          

Agency Debentures - 4.1%

          

Federal Home Loan Bank

          

5.50%, 7/15/36

        8,695           11,645,048   

Federal Home Loan Mortgage Corp.

          

6.25%, 7/15/32

        15,000           21,806,625   

Residual Funding Corp. Principal Strip

          

Zero Coupon, 7/15/20

        61,700           54,884,927   
         

 

 

  
            88,336,600   
         

 

 

  

Agency Subordinated - 3.3%

          

Federal National Mortgage Association

          

5.375%, 6/12/17

        59,222           70,608,259   
         

 

 

  

Total Agencies
(cost $141,637,688)

             158,944,859   
         

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS - 3.2%

          

Non-Agency Fixed Rate - 2.2%

          

Citigroup Mortgage Loan Trust

          

Series 2006-4, Class 2A1A

          

6.00%, 12/25/35

        6,554           6,148,022   

Series 2007-AR4, Class 1A1A

          

5.687%, 3/25/37

        1,203           1,118,987   

Countrywide Alternative Loan Trust

          

Series 2006-24CB, Class A15

          

5.75%, 6/25/36

        3,352           2,748,739   

Series 2006-41CB, Class 2A13

          

5.75%, 1/25/37

        2,723           2,166,109   

Series 2007-13, Class A2

          

6.00%, 6/25/47

        3,678           3,227,448   

     Principal
Amount
(000)		        U.S. $ Value  

Countrywide Home Loan Mortgage Pass-Through Trust

          

Series 2007-HY4, Class 1A1

          

3.082%, 9/25/47

    U.S.$          1,173         $ 971,046   

CSMC Mortgage-Backed Trust

          

Series 2006-7, Class 3A12

          

6.25%, 8/25/36

        2,740           2,440,554   

First Horizon Alternative Mortgage Securities Trust

          

Series 2006-AA5, Class A1

          

2.348%, 9/25/36

        2,861           2,245,862   

Series 2006-AA7, Class A1

          

2.493%, 1/25/37

        4,812           3,544,095   

Morgan Stanley Mortgage Loan Trust

          

Series 2005-10, Class 4A1

          

5.50%, 12/25/35

        1,411           1,313,487   

Residential Accredit Loans, Inc.

          

Series 2005-QA7, Class A21

          

3.297%, 7/25/35

        1,793           1,543,886   

Series 2005-QS14, Class 3A1

          

6.00%, 9/25/35

        4,058           3,891,129   

Series 2006-QA1, Class A21

          

3.85%, 1/25/36

        2,554           1,957,693   

Series 2006-QS2, Class 1A8

          

6.00%, 2/25/36

        6,362           5,311,101   

Wells Fargo Mortgage Backed Securities Trust

          

Series 2007-AR7, Class A1

          

2.913%, 12/28/37

        6,056           5,389,650   

Series 2007-AR8, Class A1

          

5.992%, 11/25/37

        3,210           2,903,688   
         

 

 

  
            46,921,496   
         

 

 

  

Non-Agency Floating Rate - 1.0%

          

IndyMac Index Mortgage Loan Trust

          

Series 2007-FLX3, Class A1

          

0.444%, 6/25/37 (h)

        2,099           1,800,030   

Luminent Mortgage Trust

          

Series 2006-6, Class A1

          

0.404%, 10/25/46 (h)

        6,732           5,682,102   

RALI Trust

          

Series 2006-QS18, Class 2A2

          

6.346%, 12/25/36 (h) (i)

        21,314           5,148,896   

Residential Accredit Loans, Inc.

          

Series 2006-QA4, Class A

          

0.384%, 5/25/36 (h)

        4,136           3,113,509   

Washington Mutual Alternative Mortgage Pass-Through Certificates

          

Series 2007-OA1, Class A1A

          

0.878%, 2/25/47 (h)

        5,535           4,256,053   

Series 2007-OA4, Class A1A

          

0.935%, 4/25/47 (h)

        2,624           1,737,341   
         

 

 

  
            21,737,931   
         

 

 

  

Total Collateralized Mortgage Obligations
(cost $66,574,544)

             68,659,427   
         

 

 

  

 

     Principal
Amount
(000)		        U.S. $ Value  

MORTGAGE PASS-THROUGHS - 2.6%

          

Agency Fixed Rate 30-Year - 1.9%

          

Federal Home Loan Mortgage Corp. Gold

          

Series 2006

          

6.00%, 9/01/36

      U.S.$        10,068         $ 11,020,562   

Series 2007

          

7.00%, 2/01/37

        3,749           4,320,870   

Federal National Mortgage Association

          

3.50%, 2/01/41

        16,596           17,535,573   

6.00%, 4/01/40

        7,663           8,403,896   

Series 1998

          

8.00%, 6/01/28

        31           36,668   

Series 1999

          

7.50%, 11/01/29

        48           58,870   
         

 

 

  
            41,376,439   
         

 

 

  

Agency ARMs - 0.7%

          

Federal Home Loan Mortgage Corp.

          

Series 2007

          

3.008%, 3/01/37 (h)

        4,877           5,193,107   

3.063%, 3/01/37 (h)

        2,090           2,233,134   

3.065%, 2/01/37 (h)

        6,286           6,607,572   
         

 

 

  
            14,033,813   
         

 

 

  

Total Mortgage Pass-Throughs
(cost $52,533,306)

             55,410,252   
         

 

 

  

BANK LOANS - 2.1%

          

Industrial - 2.1%

          

Basic - 0.2%

          

FMG Resources (August 2006) Pty Ltd.

          

(FMG America Finance, Inc.)

          

5.25%, 10/18/17 (h)

        945           955,969   

Patriot Coal Corporation

          

9.25%, 12/31/13 (h)

        1,025           1,030,125   

Unifrax Holding Co.

          

5.25%, 11/01/18 (h)

      EUR        773           990,951   
         

 

 

  
            2,977,045   
         

 

 

  

Capital Goods - 0.1%

          

HD Supply, Inc.

          

4.50%, 10/12/17 (h)

      U.S.$        995           1,004,124   

Serta Simmons Holdings, LLC

          

5.00%-6.00%, 10/01/19 (h)

        1,500           1,519,500   
         

 

 

  
            2,523,624   
         

 

 

  

Communications - Media - 0.1%

          

Clear Channel Communications, Inc.

          

3.85%, 1/29/16 (h)

        310           274,403   

Univision Communications, Inc.

          

4.45%, 3/31/17 (h)

        1,165           1,170,222   
         

 

 

  
            1,444,625   
         

 

 

  

      Principal
Amount
(000)		        U.S. $ Value  

Consumer Cyclical - Automotive - 0.3%

          

TI Group Automotive Systems, LLC

          

6.75%-1.00%, 3/14/18 (h)

    U.S.$          3,970         $ 3,989,850   

Veyance Technologies, Inc.

          

5.25%, 9/08/17 (h)

        2,750           2,752,942   
         

 

 

  
            6,742,792   
         

 

 

  

Consumer Cyclical - Entertainment - 0.1%

          

Station Casinos, LLC

          

5.00%, 3/02/20 (h)

        1,425           1,440,433   
         

 

 

  

Consumer Cyclical - Other - 0.1%

          

Global Cash Access, Inc.

          

7.00%, 3/01/16 (h)

        280           281,860   

Las Vegas Sands, LLC

          

2.71%, 11/23/16 (h)

        743           743,349   

New HB Acquisition, LLC

          

3/21/20 (j)

        1,600           1,636,000   

November 2005 Land Investors, LLC

          

(North Las Vegas Consortium)

          

7.25%, 4/30/10 (g) (h) (k) (l)

        2,179           0   
         

 

 

  
            2,661,209   
         

 

 

  

Consumer Cyclical - Retailers - 0.3%

          

Bass Pro Group, LLC

          

4.00%-5.25%, 11/20/19 (h)

        998           1,006,637   

Burlington Coat Factory Warehouse Corp.

          

5.50%, 2/23/17 (h)

        871           881,283   

Harbor Freight Tools USA, Inc./Central Puchasing, LLC

          

5.50%, 11/14/17 (h)

        2,189           2,213,626   

Rite Aid Corporation

          

5.75%, 8/21/20 (h)

        500           517,500   

Supervalu, Inc.

          

3/21/19 (j)

        2,500           2,540,900   
         

 

 

  
            7,159,946   
         

 

 

  

Consumer Non-Cyclical - 0.5%

          

Air Medical Group Holdings, Inc.

          

6.50%, 6/30/18 (h)

        1,372           1,400,708   

BJ’s Wholesale Club, Inc.

          

9.75%, 3/26/20 (h)

        1,640           1,693,989   

CHS/Community Health Systems, Inc.

          

3.78%-3.79%, 1/25/17 (h)

        181           182,700   

Harlan Laboratories, Inc. (fka Harlan Sprague Dawley, Inc.)

          

3.71%, 7/11/14 (h)

        850           781,001   

HCA, Inc.

          

3.45%, 5/01/18 (h)

        895           902,101   

Immucor, Inc. (fka IVD Acquisition Corporation)

          

5.00%, 8/19/18 (h)

        3,251           3,289,345   

      Principal
Amount
(000)		        U.S. $ Value  

Par Pharmaceutical Companies, Inc. (Par Pharmaceutical, Inc.)

          

4.25%, 9/30/19 (h)

      U.S.$        925         $ 933,832   

US Foods, Inc. (aka U.S. Foodservice, Inc.)

          

5.75%, 3/31/17 (h)

        628           636,095   
         

 

 

  
            9,819,771   
         

 

 

  

Energy - 0.0%

          

CITGO Petroleum Corporation

          

9.00%, 6/24/17 (h)

        298           303,833   
         

 

 

  

Other Industrial - 0.2%

          

Asurion, LLC (fka Asurion Corporation)

          

4.50%, 5/24/19 (h)

        1,247           1,259,194   

Gavilon Group LLC, The

          

6.00%, 12/06/16 (h)

        289           287,849   

Navistar, Inc.

          

7.00%, 8/17/17 (h)

        1,995           2,014,451   

Silver II Borrower S.C.A (Silver II US Holdings, LLC)

          

4.00%, 12/13/19 (h)

        1,247           1,255,990   
         

 

 

  
            4,817,484   
         

 

 

  

Technology - 0.2%

          

Alcatel-Lucent USA, Inc.

          

7.25%, 1/30/19 (h)

        1,855           1,881,937   

Avaya, Inc.

          

4.79%, 10/26/17 (h)

        239           225,151   

IPC Systems, Inc.

          

5.45%, 6/01/15 (h)

        2,000           1,740,000   
         

 

 

  
            3,847,088   
         

 

 

  
            43,737,850   
         

 

 

  

Financial Institutions - 0.0%

          

REITS - 0.0%

          

iStar Financial, Inc.

          

5.25%, 3/19/16 (h)

        588           594,115   
         

 

 

  

Total Bank Loans
(cost $43,986,402)

             44,331,965   
         

 

 

  

EMERGING MARKETS - SOVEREIGNS - 1.9%

          

Argentina - 0.6%

          

Republic of Argentina

          

7.82%, 12/31/33

      EUR        19,818           13,082,634   
         

 

 

  

Belarus - 0.2%

          

Republic of Belarus

          

8.95%, 1/26/18 (d)

      U.S.$        3,743           3,995,653   
         

 

 

  

Croatia - 0.4%

          

Croatia Government International Bond

          

6.375%, 3/24/21 (a) (d)

        1,230           1,322,865   

      Principal
Amount
(000)		        U.S. $ Value  

6.75%, 11/05/19 (d)

      U.S.$        2,750         $ 3,011,497   

Republic of Croatia

          

6.375%, 3/24/21 (d)

        4,600           4,947,300   
         

 

 

  
            9,281,662   
         

 

 

  

El Salvador - 0.3%

          

El Salvador Government International Bond

          

7.65%, 6/15/35 (d)

        5,957           6,829,700   
         

 

 

  

Hungary - 0.4%

          

Hungary Government International Bond

          

5.375%, 2/21/23

        2,496           2,346,920   

6.375%, 3/29/21

        5,000           5,150,000   
         

 

 

  
            7,496,920   
         

 

 

  

Total Emerging Markets - Sovereigns
(cost $40,558,043)

             40,686,569   
         

 

 

  

EMERGING MARKETS - CORPORATE BONDS - 1.8%

          

Industrial - 1.6%

          

Basic - 0.4%

          

Vedanta Resources PLC

          

8.75%, 1/15/14 (a) (d)

        7,226           7,515,040   
         

 

 

  

Capital Goods - 0.1%

          

Grupo Cementos de Chihuahua SAB de CV

          

8.125%, 2/08/20 (d)

        1,954           2,108,785   

Servicios Corporativos Javer SAPI de CV

          

9.875%, 4/06/21 (d)

        715           668,525   
         

 

 

  
            2,777,310   
         

 

 

  

Communications - Media - 0.3%

          

Columbus International, Inc.

          

11.50%, 11/20/14 (d)

        3,959           4,414,285   

European Media Capital SA

          

10.00%, 2/01/15 (m)

        1,853           1,779,335   
         

 

 

  
            6,193,620   
         

 

 

  

Communications - Telecommunications - 0.3%

          

MTS International Funding Ltd.

          

8.625%, 6/22/20 (d)

        4,100           5,207,000   
         

 

 

  

Consumer Cyclical - Other - 0.0%

          

Peermont Global Pty Ltd.

          

7.75%, 4/30/14 (d)

      EUR        50           62,817   
         

 

 

  

Consumer Non-Cyclical - 0.5%

          

Hypermarcas SA

          

6.50%, 4/20/21 (d)

      U.S.$        4,900           5,298,125   

Marfrig Overseas Ltd.

          

9.50%, 5/04/20 (a) (d)

        4,151           3,922,695   

      Principal
Amount
(000)		        U.S. $ Value  

Tonon Bioenergia SA

          

9.25%, 1/24/20 (d)

      U.S.$        2,272         $ 2,311,144   
         

 

 

  
            11,531,964   
         

 

 

  

Transportation - Airlines - 0.0%

          

TAM Capital 2, Inc.

          

9.50%, 1/29/20 (d)

        751           838,304   
         

 

 

  
            34,126,055   
         

 

 

  

Financial Institutions - 0.2%

          

Banking - 0.2%

          

HSBC Bank PLC

          

Series E

          

16.39%, 1/31/22 (d)

      NGN        582,500           4,720,987   
         

 

 

  

Total Emerging Markets - Corporate Bonds
(cost $37,776,971)

             38,847,042   
         

 

 

  

QUASI-SOVEREIGNS - 1.7%

          

Quasi-Sovereign Bonds - 1.7%

          

Indonesia - 0.4%

          

Majapahit Holding BV

          

7.875%, 6/29/37 (d)

      U.S.$        6,188           7,997,990   
         

 

 

  

Mexico - 0.5%

          

Comision Federal de Electricidad

          

5.75%, 2/14/42 (d)

        5,750           6,267,500   

Petroleos Mexicanos

          

6.50%, 6/02/41

        4,900           5,769,750   
         

 

 

  
            12,037,250   
         

 

 

  

Russia - 0.5%

          

Russian Agricultural Bank OJSC Via RSHB Capital SA

          

8.625%, 2/17/17 (d)

      RUB        330,000           11,002,564   
         

 

 

  

Venezuela - 0.3%

          

Petroleos de Venezuela SA

          

5.25%, 4/12/17 (d)

      U.S.$        7,500           6,506,250   
         

 

 

  

Total Quasi-Sovereigns
(cost $33,329,887)

             37,544,054   
         

 

 

  

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 1.5%

          

United States - 1.5%

          

Buckeye OH Tobacco Settlement Fin Auth

          

Series 2007A-2

          

5.875%, 6/01/47

        4,650           4,171,282   

California GO

          

7.95%, 3/01/36

        3,955           4,948,456   

Golden St Tobacco Securitization CA

          

Series 2007A-1

          

5.125%, 6/01/47

        4,390           3,863,068   

Illinois GO

          

7.35%, 7/01/35

        3,330           3,993,236   

Texas Transp Comm

          

(Texas St Hwy Fund First Tier)

          

      Principal
Amount
(000)		        U.S. $ Value  

5.178%, 4/01/30

      U.S.$        2,560         $ 3,128,192   

Tobacco Settlement Auth IA

          

Series 2005C

          

5.625%, 6/01/46

        4,255           4,151,646   

Tobacco Settlement Fin Corp. MI

          

Series 2007A

          

6.00%, 6/01/48

        5,915           5,499,708   

Tobacco Settlement Fin Corp. NJ

          

Series 2007 1A

          

5.00%, 6/01/41

        1,750           1,576,838   

Tobacco Settlement Fin Corp. VA

          

Series 2007B1

          

5.00%, 6/01/47

        1,850           1,561,382   
         

 

 

  

Total Local Governments - Municipal Bonds
(cost $29,458,882)

             32,893,808   
         

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.1%

          

Non-Agency Fixed Rate CMBS - 1.1%

          

GMAC Commercial Mortgage Securities, Inc.

          

Series 2006-C1 Trust

          

Series 2006-C1, Class AJ

          

5.349%, 11/10/45

        2,250           2,061,133   

GS Mortgage Securities Corp. II

          

Series 2011-GC5, Class C

          

5.308%, 8/10/44 (d)

        5,651           6,341,660   

JP Morgan Chase Commercial Mortgage Securities Corp.

          

Series 2006-CB14, Class AJ

          

5.50%, 12/12/44

        8,000           7,244,296   

LB-UBS Commercial Mortgage Trust

          

Series 2007-C2, Class AM

          

5.493%, 2/15/40

        3,400           3,580,768   

Wachovia Bank Commercial Mortgage Trust

          

Series 2006-C29, Class AJ

          

5.368%, 11/15/48

        6,000           5,493,168   
         

 

 

  
            24,721,025   
         

 

 

  

Non-Agency Floating Rate CMBS - 0.0%

          

Eclipse Ltd.

          

Series 2007-1X, Class B

          

0.761%, 1/25/20 (d) (h)

      GBP        59           67,238   
         

 

 

  

Agency CMBS - 0.0%

          

Government National Mortgage Association

          

Series 2006-32, Class XM

          

0.134%, 11/16/45 (i)

      U.S.$        1,574           12,507   
         

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $22,820,014)

             24,800,770   
         

 

 

  

 

Company

    Shares        U.S. $ Value  

PREFERRED STOCKS - 1.1%

          

Financial Institutions - 0.9%

          

Banking - 0.5%

          

PNC Financial Services Group, Inc.

          

6.125%

        223,000         $ 6,177,100   

US Bancorp

          

Series F

          

6.50%

        180,000           5,374,800   
         

 

 

  
            11,551,900   
         

 

 

  

Insurance - 0.1%

          

Hartford Financial Services Group, Inc.

          

7.875%

        84,000           2,528,400   
         

 

 

  

REITS - 0.3%

          

Health Care REIT, Inc.

          

Series J

          

6.50%

        54,775           1,477,227   

Sabra Health Care REIT, Inc.

          

Series A

          

7.125%

        194,150           4,896,230   
         

 

 

  
            6,373,457   
         

 

 

  
            20,453,757   
         

 

 

  

Industrial - 0.2%

          

Consumer Non-Cyclical - 0.2%

          

Ventas Realty LP/Ventas Capital Corp.

          

5.45%

        139,500           3,522,375   
         

 

 

  

Non Corporate Sectors - 0.0%

          

Agencies - Government Sponsored - 0.0%

          

Federal National Mortgage Association

          

Series S

          

8.25%

        125,325           407,306   
         

 

 

  

Total Preferred Stocks
(cost $25,018,750)

             24,383,438   
         

 

 

  
     Principal
Amount
(000)		           

GOVERNMENTS - SOVEREIGN AGENCIES - 0.4%

          

Norway - 0.2%

          

Eksportfinans ASA

          

2.00%, 9/15/15

      U.S.$        315           302,428   

2.375%, 5/25/16

        3,728           3,546,260   
         

 

 

  
            3,848,688   
         

 

 

  

Russia - 0.2%

          

VTB Bank OJSC Via VTB Capital SA

          

6.875%, 5/29/18 (d)

        3,441           3,793,702   
         

 

 

  

Total Governments - Sovereign Agencies
(cost $7,031,095)

             7,642,390   
         

 

 

  

GOVERNMENTS - SOVEREIGN BONDS - 0.3%

          

Indonesia - 0.1%

          

Indonesia Government International Bond

          

      Principal
Amount
(000)		        U.S. $ Value  

6.625%, 2/17/37 (d)

      U.S.$        720         $ 887,400   

8.50%, 10/12/35 (d)

        801           1,181,475   
         

 

 

  
            2,068,875   
         

 

 

  

Slovenia - 0.2%

          

Slovenia Government International Bond

          

5.50%, 10/26/22 (d)

        5,500           5,266,250   
         

 

 

  

Total Governments - Sovereign Bonds
(cost $7,236,830)

             7,335,125   
         

 

 

  
     Shares           

COMMON STOCKS - 0.0%

          

Gallery Media (k) (n) (o)
(cost $0)

        697           975,800   
         

 

 

  

WARRANTS - 0.0%

          

Ion Media Networks, expiring 12/12/39 (g) (k) (n)

        1,264           0   

Ion Media Networks, expiring 12/31/49 (g) (k) (n)

        1,248           0   
         

 

 

  

Total Warrants
(cost $0)

             0   
         

 

 

  

SHORT-TERM INVESTMENTS - 0.9%

          

Investment Companies - 0.9%

          

AllianceBernstein Fixed-Income Shares, Inc. -
Government STIF Portfolio, 0.12% (p)
(cost $18,901,741)

        18,901,741           18,901,741   
         

 

 

  

Total Investments - 145.0%
(cost $3,005,487,199) (q)

             3,127,603,655   

Other assets less liabilities - (45.0)%

             (970,678,705 ) 
         

 

 

  

Net Assets - 100.0%

           $ 2,156,924,950   
         

 

 

  

FUTURES CONTRACTS

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
March 31,
2013		      Unrealized
Appreciation/
(Depreciation)		  

Sold Contracts

               

German Euro Bund Futures

      276         June 2013       $ 51,504,390       $ 51,473,027       $ 31,363   

U.S. T-Bond 30 Yr Futures

      1,137         June 2013         162,505,897         164,260,969         (1,755,072 ) 

U.S. T-Note 5 Yr Futures

      807         June 2013         100,008,302         100,112,133         (103,831 ) 

U.S. T-Note 10 Yr (CBT) Futures

      2,982         June 2013         389,383,823         393,577,406         (4,193,583 ) 
              

 

 

  
               $ (6,021,123 ) 
              

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Barclays Bank PLC Wholesale

      JPY         5,814,413         USD         62,099         4/12/13       $ 328,466   

Barclays Bank PLC Wholesale

      USD         10,295         JPY         948,876         4/12/13         (213,930 ) 

BNP Paribas SA

      USD         52,341         JPY         5,003,103         4/12/13         810,793   

Citibank, NA

      GBP         51,542         USD         78,035         4/11/13         (276,214 ) 

Credit Suisse International

      GBP         8,575         USD         12,875         4/11/13         (153,747 ) 

Credit Suisse International

      USD         381         EUR         293         4/11/13         (5,885 ) 

Deutsche Bank AG London

      USD         11,463         KRW         12,493,742         4/12/13         (243,480 ) 

Goldman Sachs Capital Markets LP

      BRL         27,893         USD         13,851         4/02/13         47,638   

Goldman Sachs Capital Markets LP

      USD         13,908         BRL         27,893         4/02/13         (104,962 ) 

Goldman Sachs Capital Markets LP

      EUR         22,533         USD         29,461         4/11/13         574,724   

Goldman Sachs Capital Markets LP

      USD         21,195         SEK         135,463         4/18/13         (414,061 ) 

Goldman Sachs Capital Markets LP

      TRY         20,211         USD         11,164         4/19/13         17,881   

Goldman Sachs Capital Markets LP

      USD         8,943         RUB         277,483         4/24/13         (50,598 ) 

Goldman Sachs Capital Markets LP

      USD         10,660         SGD         13,310         4/26/13         71,098   

Goldman Sachs Capital Markets LP

      BRL         27,893         USD         13,860         5/03/13         104,681   

Royal Bank of Scotland PLC

      BRL         27,893         USD         14,054         4/02/13         250,370   

Royal Bank of Scotland PLC

      USD         13,851         BRL         27,893         4/02/13         (47,638 ) 

Royal Bank of Scotland PLC

      SEK         65,309         USD         10,202         4/18/13         182,835   

Royal Bank of Scotland PLC

      USD         10,794         NOK         61,754         4/18/13         (227,549 ) 

Royal Bank of Scotland PLC

      CAD         44,086         USD         42,912         4/19/13         (469,135 ) 

State Street Bank & Trust Co.

      EUR         771         USD         1,009         4/11/13         20,691   

UBS AG

      USD         43,030         MXN         553,305         4/12/13         1,723,772   
                 

 

 

  
                    $1,925,750   
                 

 

 

  

CREDIT DEFAULT SWAP CONTRACTS

 

Swap Counterparty & Referenced Obligation

    Fixed
Rate
(Pay)
Receive		     Implied
Credit
Spread at
March 31,
2013		     Notional
Amount
(000)		      Market
Value		      Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

               

Credit Suisse International:

               

CDX-NAHY Series 15 5 Year Index, 12/20/15*

      5.00 %      2.23 %    $ 5,650       $ 432,758       $ (332,919 )    $ 765,677   

CDX-NAHY Series 15 5 Year Index, 12/20/15*

      5.00        2.23        5,050         386,801         (299,899 )      686,700   

Morgan Stanley Capital Services, Inc.:

               

Swap Counterparty & Referenced Obligation

    Fixed
Rate
(Pay)
Receive		     Implied
Credit
Spread at
March 31,
2013		     Notional
Amount
(000)		      Market
Value		      Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

CDX-NAHY Series 15 5 Year Index, 12/20/15*

      5.00 %      2.07 %    $ 20,544       $ 1,613,560       $ 263,796      $ 1,349,764   

CDX-NAHY Series 17 5 Year Index, 12/20/16*

      5.00        3.28        42,240         2,525,600         (3,585,873 )      6,111,473   
         

 

 

     

 

 

    

 

 

  
          $ 4,958,719       $ (3,954,895 )    $ 8,913,614   
         

 

 

     

 

 

    

 

 

  

* Termination date

REVERSE REPURCHASE AGREEMENTS

 

Broker

    Interest
Rate		     Maturity     U.S. $
Value at
March 31,
2013		  

Bank of America

      0.19 %      4/16/13       $ 338,367,128   

Barclays Bank+

      (2.38 )%*      – 0  –        622,641   

Barclays Bank+

      (1.75 )%*      – 0  –      7,459,958   

Barclays Bank+

      (1.00 )%*      – 0  –        1,164,748   

Barclays Bank+

      (0.75 )%*      – 0  –      1,933,093   

Barclays Bank+

      (0.63 )%*      – 0  –        3,449,723   

Credit Suisse Securities (USA) LLC+

      (0.75 )%*      – 0  –      901,384   

Credit Suisse Securities (USA) LLC+

      (0.25 )%*      – 0  –        1,147,285   

Credit Suisse Securities (USA) LLC+

      (0.15 )%*      – 0  –      2,347,703   

Deutsche Bank+

      (1.00 )%*      – 0  –        532,204   

Goldman Sachs

      0.18 %      4/02/13         56,276,368   

HSBC

      0.17 %      5/16/13         44,800,961   

HSBC

      0.18 %      5/14/13         108,022,140   

HSBC

      0.18 %      5/22/13         37,937,888   

HSBC

      0.19 %      5/20/13         48,610,004   

JPMorgan Chase

      0.15 %      5/28/13         48,765,806   

JPMorgan Chase

      0.16 %      4/29/13         42,585,944   

JPMorgan Chase

      0.19 %      4/25/13         55,316,855   

JPMorgan Chase

      0.19 %      5/23/13         45,973,807   

Morgan Stanley

      0.15 %      4/11/13         75,964,874   

Warburg

      0.16 %      5/07/13         81,100,598   
      

 

 

  
  $ 1,003,281,112   
      

 

 

  

 

+ The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on March 31, 2013
* Interest payment due from counterparty.

 

(a) Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. The market value of the collateral amounted to $1,008,564,970.
(b) Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. The market value of the collateral amounted to $19,460,540.
(c) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. The aggregate market value of these securities amounted to $764,583.

(d) 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 March 31, 2013, the aggregate market value of these securities amounted to $323,921,783 or 15.0% of net assets.
(e) Pay-In-Kind Payments (PIK).
(f) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at March 31, 2013.
(g) Illiquid security.
(h) Floating Rate Security. Stated interest rate was in effect at March 31, 2013.
(i) IO - Interest Only
(j) This position or a portion of this position represents an unsettled loan purchase. At March 31, 2013, the market value and unrealized gain of these unsettled loan purchases amounted to $4,176,900 and $88,900, respectively. 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.
(k) Fair valued by the Adviser.
(l) Security is in default and is non-income producing.
(m) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security, which represents 0.08% of net assets as of March 31, 2013, is considered illiquid and restricted.

 

Restricted Securities

    Acquisition
Date		      Cost      Market
Value		      Percentage
of
Net Assets		  

European Media Capital SA

            

10.00%, 2/01/15

      8/18/10       $ 2,236,034       $ 1,779,335         0.08 % 

 

(n) Non-income producing security.
(o) Restricted and illiquid security.
(p) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(q) As of March 31, 2013, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $137,355,451 and gross unrealized depreciation of investments was $(15,238,995), resulting in net unrealized appreciation of $122,116,456.

Currency Abbreviations:

 

BRL    -    Brazilian Real
CAD    -    Canadian Dollar
EUR    -    Euro
GBP    -    Great British Pound
JPY    -    Japanese Yen
KRW    -    South Korean Won
MXN    -    Mexican Peso
NGN    -    Nigerian Naira
NOK    -    Norwegian Krone
RUB    -    Russian Ruble
SEK    -    Swedish Krona
SGD    -    Singapore Dollar
TRY    -    Turkish Lira
USD    -    United States Dollar

Glossary:

 

ARMs    -    Adjustable Rate Mortgages
CBT    -    Chicago Board of Trade
CDX-NAHY    -    North American High Yield Credit Default Swap Index
CMBS    -    Commercial Mortgage-Backed Securities
GO    -    General Obligation
OJSC    -    Open Joint Stock Company
REIT    -    Real Estate Investment Trust

COUNTRY BREAKDOWN*

March 31, 2013 (unaudited)

 

  87.9%         United States
    2.3%         Brazil
    1.5%         Russia
    0.8%         Canada
    0.7%         United Kingdom
    0.7%         Turkey
    0.5%         Mexico
    0.4%         Argentina
    0.4%         Netherlands
    0.4%         India
    0.4%         Luxembourg
    0.3%         Indonesia
    0.3%         Croatia
    2.8%         Other
    0.6%         Short-Term

 

 

       
  100.0%        

 

 

       

 

* All data are as of March 31, 2013. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.3% or less in the following countries: Australia, Barbados, Belarus, Colombia, El Salvador, France, Germany, Hungary, Jamaica, Nigeria, Norway, Peru, Portugal, Slovenia, South Africa, Spain, Switzerland, United Arab Emirates and Venezuela.

AllianceBernstein Income Fund

March 31, 2013 (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 (including those valued based on their market values) 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 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 is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.

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

Options and warrants 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 or a warrant depends upon the contractual terms of, and specific risks inherent in, the option or warrant as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options will be classified as Level 2. For options or warrants 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 and warrants 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.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of March 31, 2013:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

         

Governments - Treasuries

    $ – 0  –    $ 1,943,382,033      $ – 0  –    $ 1,943,382,033   

Corporates - Non-Investment Grades

      – 0  –      360,689,526        656,398        361,345,924   

Corporates - Investment Grades

      – 0  –      261,518,458        – 0  –      261,518,458   

Agencies

      – 0  –      158,944,859        – 0  –      158,944,859   

Collateralized Mortgage Obligations

      – 0  –      – 0  –      68,659,427        68,659,427   

Mortgage Pass-Throughs

      – 0  –      55,410,252        – 0  –      55,410,252   

Bank Loans

      – 0  –      – 0  –      44,331,965        44,331,965   

Emerging Markets - Sovereigns

      – 0  –      40,686,569        – 0  –      40,686,569   

Emerging Markets - Corporate Bonds

      – 0  –      34,126,055        4,720,987        38,847,042   

Quasi-Sovereigns

      – 0  –      37,544,054        – 0  –      37,544,054   

Local Governments - Municipal Bonds

      – 0  –      32,893,808        – 0  –      32,893,808   

Commercial Mortgage-Backed Securities

      – 0  –      12,507        24,788,263        24,800,770   

Preferred Stocks

      23,976,132        407,306        – 0  –      24,383,438   

Governments - Sovereign Agencies

      – 0  –      7,642,390        – 0  –      7,642,390   

Governments - Sovereign Bonds

      – 0  –      7,335,125        – 0  –      7,335,125   

Common Stocks

      – 0  –      – 0  –      975,800        975,800   

Warrants

      – 0  –      – 0  –      – 0  –^      – 0  – 

Short-Term Investments

      18,901,741        – 0  –      – 0  –      18,901,741   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      42,877,873        2,940,592,942        144,132,840        3,127,603,655   

Other Financial Instruments*:

         

Assets:

         

Futures Contracts

      31,363        – 0  –      – 0  –      31,363   

Forward Currency Exchange Contracts

      – 0  –      4,132,950        – 0  –      4,132,950   

Credit Default Swap Contracts

      – 0  –      8,913,614        – 0  –      8,913,614   

Liabilities:

         

Futures Contracts

      (6,052,486 )      – 0  –      – 0  –      (6,052,486 ) 

Forward Currency Exchange Contracts

      – 0  –      (2,207,200 )      – 0  –      (2,207,200 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total†

    $     36,856,750      $     2,951,432,306      $     144,132,840      $     3,132,421,896   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

^ The Fund held securities with zero market value at period end.
* Other financial instruments are derivative instruments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument.
† There were no transfers between Level 1 and Level 2 during the reporting period.

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

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

 

     Corporates -  Non-
Investment
Grades		     Collateralized
Mortgage
Obligations		     Bank Loans  

Balance as of 12/31/12

    $ 2,216,878      $ 37,497,632      $ 45,455,116   

Accrued discounts/(premiums)

      (31,362 )      104,862        60,201   

Realized gain (loss)

      122,348        (25,133 )      (168,010 ) 

Change in unrealized appreciation/depreciation

      (46,118 )      1,415,502        593,459   

Purchases

      – 0  –      31,524,517        19,686,978   

Sales

      (1,605,348 )      (1,857,953 )      (21,295,779 ) 

Transfers in to Level 3

      – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 3/31/13

    $ 656,398      $ 68,659,427      $ 44,331,965   
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/13

    $ 42,862      $ 1,415,502      $ 497,884   
  

 

 

    

 

 

    

 

 

  
     Emerging
Markets -
Corporate Bonds		     Commercial
Mortgage-Backed
Securities		     Common Stocks  

Balance as of 12/31/12

    $ 4,618,220      $ 9,850,260      $ 1,045,500   

Accrued discounts/(premiums)

      (17,892 )      12,260        – 0  – 

Realized gain (loss)

      – 0  –      – 0  –      – 0  – 

Change in unrealized appreciation/depreciation

      120,661        200,743        (69,700 ) 

Purchases

      (2 )      14,725,000        – 0  – 

Sales

      – 0  –      – 0  –      – 0  – 

Transfers in to Level 3

      – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 3/31/13

    $ 4,720,987      $ 24,788,263      $ 975,800   
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/13

    $ (135,783 )    $ 200,743      $ (69,700 ) 
  

 

 

    

 

 

    

 

 

  
     Warrants^     Total        

Balance as of 12/31/12

    $ – 0  –    $ 100,683,606     

Accrued discounts/(premiums)

      – 0  –      128,069     

Realized gain (loss)

      – 0  –      (70,795 )   

Change in unrealized appreciation/depreciation

      – 0  –      2,214,547     

Purchases

      – 0  –      65,936,493     

Sales

      – 0  –      (24,759,080 )   

Transfers in to Level 3

      – 0  –      – 0  –   

Transfers out of Level 3

      – 0  –      – 0  –   
  

 

 

    

 

 

    

Balance as of 3/31/13

    $ – 0  –    $ 144,132,840     
  

 

 

    

 

 

    

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/13

    $ – 0  –    $ 1,951,508     
  

 

 

    

 

 

    

 

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

The following presents information about significant unobservable inputs related to the Portfolio’s Level 3 investments March 31, 2013:

Quantitative Information about Level 3 Fair Value Measurements

 

     Fair Value at
3/31/2013		   

Valuation Technique

     

Unobservable Input

    Range

Corporates - Non-Investment Grades

    $656,398    Third Party Vendor      Evaluated Quotes    $79.50-$99.63

Collateralized Mortgage Obligations

    $68,659,427    Third Party Vendor      Evaluated Quotes    $24.16-$95.90

Bank Loans

    $44,331,965    Third Party Vendor     

Evaluated Quotes

    $87.00-$103.50

Emerging Markets - Corporate Bonds

    $4,720,987    Indicative Market Quotations      Broker Quote    $128.50

Commercial Mortgage-Backed Securities

    $24,788,263    Third Party Vendor      Evaluated Quotes    $75.33-$112.22

Common Stocks

    $975,800    Indicative Market Quotations     

Broker Quote

    $1,400

Warrants

    $0    Qualitative Assessment         $0.00

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

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

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

ITEM 2. CONTROLS AND PROCEDURES.

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

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

 

ITEM 3. EXHIBITS.

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

 

EXHIBIT NO.

  

DESCRIPTION OF EXHIBIT

3 (a) (1)   Certification of Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
3 (a) (2)   Certification of Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

SIGNATURES

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

(Registrant): AllianceBernstein Income Fund, Inc.

 

By:  

/s/    Robert M. Keith

  Robert M. Keith
  President
Date:   May 22, 2013

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:   May 22, 2013

 

By:  

/s/    Joseph J. Mantineo

  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   May 22, 2013