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, 2009
Date of reporting period: March 31, 2009
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
AllianceBernstein Income Fund
Portfolio of Investments
March 31, 2009 (unaudited)
| Principal Amount (000) |
U.S. $ Value | |||||
| GOVERNMENTS - TREASURIES - 58.1% |
||||||
| Treasuries - 58.1% |
||||||
| Brazil - 2.4% |
||||||
| Republic of Brazil |
||||||
| 10.25%, 1/10/28 |
BRL | 20,818 | $ | 8,132,908 | ||
| 12.50%, 1/05/16 - 1/05/22 |
76,429 | 34,429,703 | ||||
| 42,562,611 | ||||||
| Peru - 0.6% |
||||||
| Peru Bono Soberano |
||||||
| Series 7 |
||||||
| 8.60%, 8/12/17 |
PEN | 28,327 | 10,436,831 | |||
| United States - 55.1% |
||||||
| U.S. Treasury Bonds |
||||||
| 5.375%, 2/15/31 (a) |
US$ | 1,961 | 2,472,392 | |||
| 6.625%, 2/15/27 (b) |
73,570 | 103,607,233 | ||||
| 8.00%, 11/15/21 (a) |
9,117 | 13,490,020 | ||||
| 11.25%, 2/15/15 (a)(b) |
168,000 | 253,483,104 | ||||
| 12.50%, 8/15/14 (a) |
6,770 | 7,056,558 | ||||
| U.S. Treasury Notes |
||||||
| 4.00%, 6/15/09 - 3/15/10 (b) |
145,000 | 147,477,710 | ||||
| 4.125%, 5/15/15 (a) |
795 | 897,915 | ||||
| 4.125%, 8/15/10 (b) |
21,844 | 22,915,710 | ||||
| 4.375%, 8/15/12 (a) |
700 | 773,937 | ||||
| 4.50%, 2/15/16 (a) |
598 | 689,943 | ||||
| 4.875%, 8/15/16 (a)(b) |
49,000 | 57,655,409 | ||||
| 5.125%, 5/15/16 (a)(c) |
3,000 | 3,578,907 | ||||
| U.S. Treasury STRIPS |
||||||
| Zero Coupon, 5/15/17 (a)(d) |
259,750 | 206,031,362 | ||||
| Zero Coupon, 11/15/21 (a) |
285,350 | 180,467,039 | ||||
| 1,000,597,239 | ||||||
| Total Governments - Treasuries |
1,053,596,681 | |||||
| MORTGAGE PASS-THRU’S - 33.7% |
||||||
| Agency Fixed Rate 30-Year - 25.1% |
||||||
| Federal Home Loan Mortgage Corp. Gold |
||||||
| Series 2006 |
||||||
| 6.00%, 9/01/36 (a) |
61,046 | 63,901,489 | ||||
| Series 2007 |
||||
| 6.50%, 8/01/37 |
125,502 | 132,458,831 | ||
| 7.00%, 2/01/37 (a) |
15,655 | 16,633,401 | ||
| Federal National Mortgage Association |
||||
| Series 1998 |
||||
| 8.00%, 6/01/28 (a) |
70 | 75,999 | ||
| Series 1999 |
||||
| 7.50%, 11/01/29 (a) |
95 | 103,341 | ||
| Series 2006 |
||||
| 6.00%, 11/01/36 (a) |
43,884 | 45,915,407 | ||
| 6.50%, 8/01/36 (a) |
484 | 510,185 | ||
| 6.50%, 11/01/36 |
30,245 | 31,898,971 | ||
| Series 2007 |
||||
| 6.00%, 3/01/37 (a) |
16,816 | 17,594,241 | ||
| 6.50%, 8/01/37 (a) |
42,086 | 44,385,128 | ||
| Series 2008 |
||||
| 5.50%, 1/01/37 (a) |
97,876 | 101,798,386 | ||
| Government National Mortgage Association |
||||
| Series 1999 |
||||
| 6.50%, 2/15/29 (a) |
85 | 90,982 | ||
| 455,366,361 | ||||
| Agency ARMS - 8.6% |
||||
| Federal Home Loan Mortgage Corp. |
||||
| Series 2007 |
||||
| 5.655%, 1/01/37 (a)(e) |
32,994 | 34,039,231 | ||
| 5.808%, 2/01/37 (a)(e) |
20,266 | 20,933,092 | ||
| 5.821%, 3/01/37 (a)(e) |
21,188 | 21,893,870 | ||
| 5.978%, 2/01/37 (a)(e) |
23,665 | 24,457,453 | ||
| 6.066%, 3/01/37 (a)(e) |
13,231 | 13,671,853 | ||
| Federal National Mortgage Association |
||||
| Series 2006 |
||||
| 5.825%, 11/01/36 (a)(e) |
16,560 | 17,167,645 | ||
| Series 2007 |
||||
| 5.893%, 3/01/37 (a)(e) |
23,318 | 24,157,564 | ||
| 156,320,708 | ||||
| Total Mortgage Pass-Thru’s |
611,687,069 | |||
| AGENCIES - 16.1% |
||||
| Agency Debentures - 16.1% |
||||
| Bank of America Corp. - FDIC INS |
||||
| 3.125%, 6/15/12 |
8,600 | 8,897,104 | ||
| Citigroup, Inc. - FDIC INS |
||||
| 2.875%, 12/09/11 |
8,600 | 8,845,143 | ||
| Federal Home Loan Mortgage Corp. |
||||
| 1.625%, 4/26/11 |
82,256 | 82,498,820 | ||
| Federal National Mortgage Association |
||||
| 5.375%, 6/12/17 (b) |
59,222 | 66,115,618 |
| The Goldman Sachs Group, Inc. - FDIC INS |
||||
| 3.25%, 6/15/12 |
8,600 | 8,976,525 | ||
| JP Morgan Chase & Co. - FDIC INS |
||||
| 3.125%, 12/01/11 |
8,600 | 8,910,279 | ||
| Morgan Stanley - FDIC INS |
||||
| 3.25%, 12/01/11 |
8,600 | 8,926,723 | ||
| Resolution Funding Corp. |
||||
| Series 1990 |
||||
| Zero Coupon, 10/15/20 (a) |
150,000 | 93,158,100 | ||
| Wells Fargo & Co. - FDIC INS |
||||
| 3.00%, 12/09/11 |
6,255 | 6,467,020 | ||
| Total Agencies |
292,795,332 | |||
| CORPORATES - INVESTMENT GRADES - 9.2% |
||||
| Industrial - 4.6% |
||||
| Basic - 1.7% |
||||
| BHP Billiton Finance USA Ltd. |
||||
| 5.50%, 4/01/14 |
3,650 | 3,675,163 | ||
| Freeport-McMoRan Copper & Gold, Inc. |
||||
| 8.375%, 4/01/17 |
7,500 | 7,012,500 | ||
| GTL Trade Finance, Inc. |
||||
| 7.25%, 10/20/17 (f) |
2,536 | 2,168,280 | ||
| Southern Copper Corp. |
||||
| 7.50%, 7/27/35 |
5,107 | 3,704,015 | ||
| Union Carbide Corp. |
||||
| 7.75%, 10/01/96 |
1,785 | 801,461 | ||
| United States Steel Corp. |
||||
| 6.05%, 6/01/17 (a) |
965 | 597,070 | ||
| Usiminas Commercial Ltd. |
||||
| 7.25%, 1/18/18 (f) |
4,263 | 3,964,590 | ||
| Vale Overseas Ltd. |
||||
| 6.875%, 11/21/36 |
10,673 | 9,216,552 | ||
| 31,139,631 | ||||
| Capital Goods - 0.6% |
||||
| Caterpillar Financial Services Corp. |
||||
| 6.20%, 9/30/13 |
9,580 | 9,589,197 | ||
| Legrand France SA |
||||
| 8.50%, 2/15/25 |
10 | 8,421 | ||
| Tyco International Finance SA |
||||
| 6.00%, 11/15/13 |
140 | 131,720 | ||
| 8.50%, 1/15/19 |
1,850 | 1,909,548 | ||
| 11,638,886 | ||||
| Communications - Media - 0.2% |
||||
| BSKYB Finance UK PLC |
||||
| 5.625%, 10/15/15 (f) |
350 | 309,364 | ||
| Reed Elsevier Capital, Inc. |
||||
| 7.75%, 1/15/14 |
3,005 | 3,060,701 | ||
| 3,370,065 | ||||
| Communications - Telecommunications - 0.7% |
|||||
| AT&T Corp. |
|||||
| 8.00%, 11/15/31 |
1,000 | 1,086,185 | |||
| AT&T, Inc. |
|||||
| 5.80%, 2/15/19 |
7,660 | 7,498,619 | |||
| Embarq Corp. |
|||||
| 7.082%, 6/01/16 |
1,277 | 1,149,300 | |||
| Qwest Corp. |
|||||
| 7.625%, 6/15/15 |
700 | 630,000 | |||
| Telekom Finanzmanagement |
|||||
| 5.00%, 7/22/13 |
EUR | 1,112 | 1,481,836 | ||
| 11,845,940 | |||||
| Consumer Non-Cyclical - 0.3% |
|||||
| Cadbury Schweppes US Finance LLC |
|||||
| 5.125%, 10/01/13 (f) |
US$ | 1,000 | 987,976 | ||
| Pfizer, Inc. |
|||||
| 5.35%, 3/15/15 |
4,300 | 4,536,698 | |||
| 5,524,674 | |||||
| Energy - 0.9% |
|||||
| Apache Corp. |
|||||
| 6.90%, 9/15/18 |
5,215 | 5,687,062 | |||
| TNK-BP Finance SA |
|||||
| 7.50%, 7/18/16 (f) |
5,353 | 3,693,570 | |||
| Valero Energy Corp. |
|||||
| 9.375%, 3/15/19 |
2,410 | 2,488,012 | |||
| Weatherford International Ltd. |
|||||
| 5.15%, 3/15/13 |
1,595 | 1,484,023 | |||
| 6.00%, 3/15/18 |
730 | 595,735 | |||
| 9.625%, 3/01/19 |
1,560 | 1,613,528 | |||
| 15,561,930 | |||||
| Technology - 0.0% |
|||||
| Electronic Data Systems Corp. |
|||||
| Series B |
|||||
| 6.00%, 8/01/13 |
600 | 635,474 | |||
| Transportation - Airlines - 0.2% |
|||||
| Qantas Airways Ltd. |
|||||
| 6.05%, 4/15/16 (f) |
5,000 | 4,235,060 | |||
| Transportation - Railroads - 0.0% |
|||||
| Canadian Pacific Railway Co. |
|||||
| 6.50%, 5/15/18 |
15 | 13,493 | |||
| 83,965,153 | |||||
| Financial Institutions - 2.9% |
|||||
| Banking - 2.3% |
|||||
| Barclays Bank PLC |
|||||
| 8.55%, 6/15/11 (f)(g) |
638 | 229,680 | |||
| The Bear Stearns Co., Inc. |
|||||
| 5.55%, 1/22/17 |
14,000 | 11,771,270 | |||
| Capital One Financial Corp. |
|||||
| 6.75%, 9/15/17 |
1,830 | 1,526,817 | |||
| JP Morgan Chase & Co. |
|||||
| 7.00%, 6/28/17 (f) |
RUB | 46,000 | 429,692 | ||
| JP Morgan Chase Capital XXV |
|||||
| Series Y |
|||||
| 6.80%, 10/01/37 |
US$ | 5,100 | 3,377,582 | ||
| Manufacturers & Traders Trust Co. |
|||||
| 6.625%, 12/04/17 |
506 | 449,101 | |||
| Merrill Lynch & Co., Inc. |
|||||
| 5.70%, 5/02/17 |
13,500 | 7,993,539 | |||
| 6.05%, 5/16/16 |
2,678 | 1,642,669 | |||
| Morgan Stanley |
|||||
| 10.09%, 5/03/17 (f) |
BRL | 11,615 | 3,242,036 | ||
| National Australia Bank Ltd. |
|||||
| Series GMTN |
|||||
| 5.50%, 5/20/15 |
EUR | 50 | 67,541 | ||
| UBS Preferred Funding Trust I |
|||||
| 8.622%, 10/01/10 (g) |
US$ | 3,760 | 1,509,008 | ||
| US Bank NA |
|||||
| 6.30%, 2/04/14 |
2,695 | 2,796,852 | |||
| VTB Capital SA |
|||||
| 6.609%, 10/31/12 (f) |
700 | 560,000 | |||
| 6.875%, 5/29/18 (f) |
2,716 | 2,037,000 | |||
| Wachovia Bank NA |
|||||
| 4.875%, 2/01/15 |
3,841 | 3,155,888 | |||
| 40,788,675 | |||||
| Finance - 0.5% |
|||||
| CIT Group, Inc. |
|||||
| Series MTN |
|||||
| 5.125%, 9/30/14 |
2,540 | 1,535,397 | |||
| General Electric Capital Corp. |
|||||
| 6.44%, 11/15/22 |
GBP | 198 | 246,383 | ||
| SLM Corp. |
|||||
| 5.05%, 11/14/14 |
US$ | 3,610 | 1,910,961 | ||
| Series MTNA |
|||||
| 5.375%, 5/15/14 |
11,385 | 5,899,684 | |||
| 9,592,425 | |||||
| Insurance - 0.1% |
|||||
| American International Group, Inc. |
|||||
| 4.25%, 5/15/13 |
4,480 | 1,811,287 |
| AMP Group Finance Services Ltd. |
|||||
| 7.125%, 8/06/19 (g)(h) |
GBP | 50 | 71,645 | ||
| AMP UK Finance Services PLC |
|||||
| 6.375%, 11/17/10 |
110 | 161,063 | |||
| 2,043,995 | |||||
| Other Finance - 0.0% |
|||||
| IIRSA Norte Finance Ltd. |
|||||
| 8.75%, 5/30/24 (f) |
US$ | 350 | 257,503 | ||
| Red Arrow International Leasing PLC |
|||||
| 8.375%, 6/30/12 |
RUB | 11,147 | 253,141 | ||
| 510,644 | |||||
| 52,935,739 | |||||
| Non Corporate Sectors - 1.7% |
|||||
| Agencies - Not Government Guaranteed - 1.7% |
|||||
| Gaz Capital SA |
|||||
| 6.212%, 11/22/16 (f) |
US$ | 12,232 | 9,038,870 | ||
| 6.51%, 3/07/22 (f) |
14,249 | 9,299,745 | |||
| TransCapitalInvest Ltd. for OJSC AK Transneft |
|||||
| 5.67%, 3/05/14 (f) |
7,606 | 6,008,740 | |||
| 7.70%, 8/07/13 (f) |
7,416 | 6,563,160 | |||
| 30,910,515 | |||||
| Total Corporates - Investment Grades |
167,811,407 | ||||
| INFLATION-LINKED SECURITIES - 6.3% |
|||||
| Brazil - 0.1% |
|||||
| Unibanco Grand Cayman |
|||||
| 8.70%, 2/11/10 (f) |
BRL | 5,290 | 2,057,748 | ||
| United States - 6.2% |
|||||
| U.S. Treasury Notes |
|||||
| 2.00%, 4/15/12 (TIPS) (a) |
US$ | 26,316 | 27,072,749 | ||
| 2.125%, 1/15/19 (TIPS) (a) |
36,500 | 38,861,112 | |||
| 2.375%, 4/15/11 (TIPS) (a)(c) |
45,534 | 46,714,622 | |||
| 112,648,483 | |||||
| Total Inflation-Linked Securities |
114,706,231 | ||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES - 5.7% |
|||||
| Non-Agency Fixed Rate CMBS - 5.7% |
|||||
| Banc of America Commercial Mortgage, Inc. |
|||||
| Series 2007-5, Class A4 |
|||||
| 5.492%, 2/10/51 |
3,919 | 2,531,976 | |||
| Bear Stearns Commercial Mortgage Securities, Inc. |
|||||
| Series 2006-T24, Class A4 |
|||||
| 5.537%, 10/12/41 |
9,100 | 7,500,526 |
| Citigroup/Deutsche Bank Commercial Mortgage Trust |
||||
| Series 2007-CD4, Class A2B |
||||
| 5.205%, 12/11/49 |
150 | 120,269 | ||
| Commercial Mortgage Pass Through Certificates |
||||
| Series 2006-C8, Class A4 |
||||
| 5.306%, 12/10/46 |
4,830 | 3,375,711 | ||
| Series 2007-C9, Class A4 |
||||
| 6.01%, 12/10/49 |
5,030 | 3,657,808 | ||
| Credit Suisse Mortgage Capital Certificates |
||||
| Series 2006-C3, Class A3 |
||||
| 6.02%, 6/15/38 |
15,915 | 10,721,130 | ||
| Series 2006-C4, Class A3 |
||||
| 5.467%, 9/15/39 |
11,700 | 7,732,180 | ||
| Series 2006-C4, Class AM |
||||
| 5.509%, 9/15/39 |
13,000 | 5,466,942 | ||
| Series 2006-C5, Class A3 |
||||
| 5.311%, 12/15/39 |
13,000 | 8,287,210 | ||
| Greenwich Capital Commercial Funding Corp. |
||||
| Series 2007-GG9, Class A2 |
||||
| 5.381%, 3/10/39 |
5,759 | 4,823,284 | ||
| JP Morgan Chase Commercial Mortgage Securities Corp. |
||||
| Series 2006-CB15, Class A4 |
||||
| 5.814%, 6/12/43 |
15,890 | 11,239,556 | ||
| Series 2006-CB15, Class AM |
||||
| 5.855%, 6/12/43 |
1,651 | 785,284 | ||
| Series 2006-CB17, Class A4 |
||||
| 5.429%, 12/12/43 |
21,106 | 14,498,486 | ||
| Series 2007-C1, Class A4 |
||||
| 5.716%, 2/15/51 |
5,224 | 3,120,447 | ||
| Series 2007-CB18, Class A4 |
||||
| 5.44%, 6/12/47 |
155 | 100,037 | ||
| Merrill Lynch Mortgage Trust |
||||
| Series 2008-C1, Class A4 |
||||
| 5.69%, 2/12/51 |
6,000 | 3,800,319 | ||
| Merrill Lynch/Countrywide Commercial Mortgage Trust |
||||
| Series 2006-4, Class AM |
||||
| 5.204%, 12/12/49 |
10,000 | 4,509,461 | ||
| Series 2007-9, Class A4 |
||||
| 5.70%, 9/12/49 |
5,220 | 3,337,359 | ||
| Morgan Stanley Capital I |
||||
| Series 2005-HQ6, Class A4A |
||||
| 4.989%, 8/13/42 |
7,800 | 6,274,897 | ||
| Series 2007-IQ15, Class A4 |
||||
| 6.08%, 6/11/49 |
2,306 | 1,659,687 | ||
| Wachovia Bank Commercial Mortgage Trust |
||||
| Series 2006-C27, Class A3 |
||||
| 5.765%, 7/15/45 |
100 | 69,124 | ||
| 103,611,693 | ||||
| Non-Agency Floating Rate CMBS - 0.0% |
|||||
| Eclipse PLC |
|||||
| Series 2007-1X, Class B |
|||||
| 2.425%, 1/25/20 (e)(f) |
GBP | 59 | 39,195 | ||
| Total Commercial Mortgage-Backed Securities |
103,650,888 | ||||
| CORPORATES - NON-INVESTMENT GRADES - 4.3% |
|||||
| Industrial - 3.6% |
|||||
| Basic - 0.8% |
|||||
| Evraz Group SA |
|||||
| 8.25%, 11/10/15 (f) |
US$ | 489 | 293,400 | ||
| 8.875%, 4/24/13 (f) |
3,697 | 2,352,216 | |||
| Georgia Gulf Corp. |
|||||
| 10.75%, 10/15/16 |
250 | 17,500 | |||
| Quality Distribution LLC |
|||||
| 9.00%, 11/15/10 |
1,875 | 600,000 | |||
| Steel Capital SA for OAO Severstal |
|||||
| 9.25%, 4/19/14 (f) |
230 | 149,500 | |||
| 9.75%, 7/29/13 (f) |
9,646 | 6,269,900 | |||
| Vedanta Resources PLC |
|||||
| 8.75%, 1/15/14 (f) |
7,226 | 5,347,240 | |||
| 15,029,756 | |||||
| Capital Goods - 0.2% |
|||||
| AMH Holdings, Inc. |
|||||
| 11.25%, 3/01/14 (i) |
13,045 | 3,913,500 | |||
| Berry Plastics Holding Corp. |
|||||
| 10.25%, 3/01/16 |
150 | 62,250 | |||
| 3,975,750 | |||||
| Communications - Media - 0.4% |
|||||
| CCH I LLC |
|||||
| 11.00%, 10/01/15 |
4,009 | 430,967 | |||
| 11.75%, 5/15/14 (i) |
11,000 | 123,750 | |||
| Clear Channel Communications, Inc. |
|||||
| 5.75%, 1/15/13 |
220 | 33,000 | |||
| Gallery Capital SA |
|||||
| 10.125%, 5/15/13 (f) |
3,315 | 497,250 | |||
| Intelsat Bermuda Ltd. |
|||||
| 11.25%, 6/15/16 |
3,300 | 3,201,000 | |||
| Paxson Communications Corp. |
|||||
| 7.344%, 1/15/13 (e)(f)(j) |
6,936 | 62,424 | |||
| Rainbow National Services LLC |
|||||
| 10.375%, 9/01/14 (f) |
1,750 | 1,785,000 |
| RH Donnelley Corp. |
||||
| Series A-1 |
||||
| 6.875%, 1/15/13 |
3 | 165 | ||
| Series A-2 |
||||
| 6.875%, 1/15/13 |
6 | 330 | ||
| Sirius Satellite Radio, Inc. |
||||
| 9.625%, 8/01/13 |
1,650 | 717,750 | ||
| 6,851,636 | ||||
| Communications - Telecommunications - 1.1% |
||||
| Centennial Communications Corp. |
||||
| 10.00%, 1/01/13 |
1,700 | 1,806,250 | ||
| Digicel Ltd. |
||||
| 9.25%, 9/01/12 (f) |
5,465 | 4,822,863 | ||
| Inmarsat Finance PLC |
||||
| 10.375%, 11/15/12 (i) |
6,475 | 6,636,875 | ||
| Nextel Communications, Inc. |
||||
| Series E |
||||
| 6.875%, 10/31/13 |
3,830 | 2,183,100 | ||
| Terrestar Networks, Inc. |
||||
| 15.00%, 2/15/14 (f)(j) |
3,014 | 602,725 | ||
| Vip Finance (Vimpelcom) |
||||
| 8.375%, 4/30/13 (f) |
3,985 | 2,899,087 | ||
| 18,950,900 | ||||
| Consumer Cyclical - Automotive - 0.1% |
||||
| Ford Motor Credit Co. |
||||
| 7.00%, 10/01/13 |
2,350 | 1,571,356 | ||
| Consumer Cyclical - Other - 0.1% |
||||
| Broder Brothers Co. |
||||
| Series B |
||||
| 11.25%, 10/15/10 |
1,100 | 170,500 | ||
| Six Flags Operations, Inc. |
||||
| 9.625%, 6/01/14 |
1,023 | 92,070 | ||
| 12.25%, 7/15/16 (f) |
423 | 228,420 | ||
| Starwood Hotels & Resorts Worldwide, Inc. |
||||
| 7.375%, 11/15/15 |
1,213 | 855,165 | ||
| William Lyon Homes, Inc. |
||||
| 10.75%, 4/01/13 |
2,000 | 340,000 | ||
| 1,686,155 | ||||
| Consumer Cyclical - Retailers - 0.2% |
||||
| Burlington Coat Factory Warehouse Corp. |
||||
| 11.125%, 4/15/14 |
1,600 | 496,000 | ||
| Limited Brands, Inc. |
||||
| 6.90%, 7/15/17 |
5,593 | 3,839,354 | ||
| 4,335,354 | ||||
| Consumer Non-Cyclical - 0.4% |
||||
| Chaoda Modern Agriculture Holdings Ltd. |
||||
| 7.75%, 2/08/10 (f) |
4,505 | 3,712,751 |
| Select Medical Corp. |
|||||
| 7.625%, 2/01/15 |
250 | 161,875 | |||
| 7.654%, 9/15/15 (e) |
5,000 | 2,675,000 | |||
| 6,549,626 | |||||
| Other Industrial - 0.3% |
|||||
| Central European Distribution Corp. |
|||||
| 8.00%, 7/25/12 (f) |
EUR | 62 | 48,536 | ||
| Noble Group Ltd. |
|||||
| 6.625%, 3/17/15 (f) |
US$ | 3,560 | 2,326,033 | ||
| 8.50%, 5/30/13 (f) |
3,093 | 2,428,005 | |||
| RBS Global, Inc. and Rexnord Corp. |
|||||
| 11.75%, 8/01/16 |
2,150 | 1,311,500 | |||
| Yioula Glassworks SA |
|||||
| 9.00%, 12/01/15 (f) |
EUR | 253 | 43,698 | ||
| 6,157,772 | |||||
| Services - 0.0% |
|||||
| West Corp. |
|||||
| 11.00%, 10/15/16 |
US$ | 150 | 99,750 | ||
| Technology - 0.0% |
|||||
| Freescale Semiconductor, Inc. |
|||||
| 10.125%, 12/15/16 |
300 | 54,000 | |||
| 65,262,055 | |||||
| Financial Institutions - 0.7% |
|||||
| Banking - 0.1% |
|||||
| CenterCredit International |
|||||
| 8.625%, 1/30/14 (f) |
2,297 | 932,685 | |||
| Kazkommerts International BV |
|||||
| 8.50%, 4/16/13 (f) |
325 | 156,650 | |||
| Royal Bank of Scotland Group PLC |
|||||
| 7.648%, 9/30/31 (g) |
1,629 | 733,050 | |||
| RS Finance (RSB) |
|||||
| 7.50%, 10/07/10 (f) |
386 | 212,300 | |||
| 2,034,685 | |||||
| Brokerage - 0.0% |
|||||
| Lehman Brothers Holdings, Inc. |
|||||
| Series MTN |
|||||
| 6.875%, 5/02/18 (k) |
3,605 | 432,600 | |||
| Finance - 0.4% |
|||||
| GMAC LLC |
|||||
| 6.75%, 12/01/14 (f) |
6,140 | 3,568,200 | |||
| 6.875%, 9/15/11 (f) |
2,507 | 1,781,524 | |||
| 8.00%, 11/01/31 (f) |
2,456 | 1,181,729 | |||
| 6,531,453 | |||||
| Insurance - 0.2% |
|||||
| Fairfax Financial Holdings Ltd. |
|||||
| 8.30%, 4/15/26 |
5,000 | 3,750,000 | |||
| Resolution PLC |
|||||
| 6.586%, 4/25/16 (g) |
GBP | 50 | 8,968 | ||
| 3,758,968 | |||||
| 12,757,706 | |||||
| Total Corporates - Non-Investment Grades |
78,019,761 | ||||
| BANK LOANS - 3.0% |
|||||
| Industrial - 2.6% |
|||||
| Basic - 0.4% |
|||||
| Celanese US Holdings LLC |
|||||
| 2.93%, 4/02/14 (e) |
US$ | 992 | 846,349 | ||
| Flakeboard US GP I/ Flakeboard America Limited |
|||||
| 8.72%-9.35%, 7/28/12 (e)(j) |
1,847 | 923,428 | |||
| Georgia-Pacific Corp. |
|||||
| 2.52%-3.29%, 12/20/12 (e) |
1,325 | 1,171,982 | |||
| Graphic Packaging International, Inc. |
|||||
| 3.22%-4.18%, 5/16/14 (e) |
1,970 | 1,723,319 | |||
| Hexion Specialty Chemicals, Inc. |
|||||
| 3.50%, 5/05/13 (e) |
52 | 17,410 | |||
| 3.68%, 5/05/13 (e) |
239 | 80,671 | |||
| Huntsman International LLC |
|||||
| 2.27%, 4/21/14 (e) |
930 | 606,190 | |||
| Lyondell Chemical Company |
|||||
| 5.75%, 12/20/13 (e) |
240 | 56,663 | |||
| 6.00%, 12/22/14 (e) |
145 | 34,182 | |||
| 7.00%, 12/22/14 (e) |
629 | 148,325 | |||
| Lyondell Chemical Company (New Money Dip) |
|||||
| 13.00%, 12/15/09 (e)(l) |
374 | 370,910 | |||
| Lyondell Chemical Company (Roll-Up Dip) |
|||||
| 5.94%, 12/15/09 (e) |
374 | 198,000 | |||
| Newpage Corp. |
|||||
| 4.31%-6.00%, 12/22/14 (e) |
489 | 333,738 | |||
| Trinidad USA Partnership LLLP |
|||||
| 2.99%, 5/01/11 (e) |
971 | 728,125 | |||
| 7,239,292 | |||||
| Capital Goods - 0.1% |
|||||
| Graham Packaging Company, L.P. |
|||||
| 2.75%-6.31%, 10/07/11 (e) |
975 | 830,903 | |||
| Manitowoc Co., Inc. |
|||||
| 6.50%, 8/25/14 (e) |
524 | 370,509 | |||
| Sequa Corp. |
|||||
| 3.75%-3.82%, 12/03/14 (e) |
398 | 215,325 | |||
| 1,416,737 | |||||
| Communications - Media - 0.4% |
||||
| Cengage Learning Acquisitions, Inc. (Thomson Learning) |
||||
| 3.02%, 7/03/14 (e) |
729 | 492,570 | ||
| Cequel Communications LLC (Cebridge) |
||||
| 4.99%, 5/05/14 (e)(j) |
1,250 | 822,500 | ||
| Charter Communications Operating LLC |
||||
| 5.18%-5.36%, 3/05/14 (e) |
1,481 | 1,199,398 | ||
| CSC Holdings, Inc. (Cablevision) |
||||
| 2.30%, 3/29/13 (e) |
1,483 | 1,347,151 | ||
| Idearc, Inc. (Verizon) |
||||
| 6.25%, 11/17/14 (e)(k) |
377 | 147,064 | ||
| Metro-Goldwyn-Mayer Inc. |
||||
| 3.77%, 4/09/12 (e) |
1,428 | 635,269 | ||
| Sunshine Acquisition Limited (HIT Entertainment) |
||||
| 3.49%, 3/20/12 (e) |
732 | 351,376 | ||
| Univision Communications, Inc. |
||||
| 2.77%, 9/29/14 (e) |
1,500 | 754,590 | ||
| Wide Open West Finance LLC |
||||
| 2.99%-3.02%, 6/30/14 (e) |
2,500 | 1,690,625 | ||
| 7,440,543 | ||||
| Communications - Telecommunications - 0.2% |
||||
| Level 3 Financing, Inc. |
||||
| 2.80%-3.51%, 3/13/14 (e) |
2,316 | 1,738,639 | ||
| Sorenson Communications, Inc. |
||||
| 3.02%, 8/16/13 (e) |
1,071 | 938,840 | ||
| Telesat Canada |
||||
| 3.52%-4.27%, 10/31/14 (e) |
1,824 | 1,590,533 | ||
| 4.22%, 10/31/14 (e) |
157 | 136,609 | ||
| 4,404,621 | ||||
| Consumer Cyclical - Automotive - 0.0% |
||||
| Allison Transmission, Inc. |
||||
| 3.29%-3.32%, 8/07/14 (e) |
482 | 320,285 | ||
| DaimlerChrysler Financial Services Americas LLC |
||||
| 4.56%, 8/03/12 (e) |
578 | 307,145 | ||
| Ford Motor Co. |
||||
| 3.56%, 12/15/13 (e) |
472 | 226,245 | ||
| Visteon Corp. |
||||
| 4.36%-4.69%, 6/13/13 (e) |
600 | 88,800 | ||
| 942,475 | ||||
| Consumer Cyclical - Entertainment - 0.1% |
||||
| London Arena and Waterfront Finance, LLC (O2 Arena) |
||||
| 3.78%, 3/08/12 (e) |
1,371 | 1,069,482 | ||
| Consumer Cyclical - Other - 0.2% |
||||
| Hanesbrands, Inc. |
||||
| 5.90%-7.00%, 9/05/13 (e) |
872 | 833,087 |
| Harrah’s Operating Co., Inc. |
|||||
| 4.15%, 1/28/15 (e) |
737 | 441,109 | |||
| LandSource Holding Company, LLC |
|||||
| 8.25%, 5/31/09 (e)(j) |
10 | 2,191 | |||
| Penn National Gaming, Inc. |
|||||
| 2.27%-2.99%, 10/03/12 (e) |
643 | 573,171 | |||
| Six Flags Theme Parks, Inc. |
|||||
| 2.78%-3.68%, 4/30/15 (e) |
148 | 98,963 | |||
| VML US Finance LLC |
|||||
| 2.77%, 5/25/12 - 5/27/13 (e) |
1,750 | 1,129,853 | |||
| 3,078,374 | |||||
| Consumer Cyclical - Retailers - 0.1% |
|||||
| Mattress Holding Corp. |
|||||
| 2.77%, 1/18/14 (e) |
491 | 88,428 | |||
| Petco Animal Supplies, Inc. |
|||||
| 2.77%-3.47%, 10/26/13 (e) |
978 | 849,203 | |||
| Targus Group International |
|||||
| 4.63%-4.76%, 11/22/12 (e) |
902 | 341,394 | |||
| 1,279,025 | |||||
| Consumer Non-Cyclical - 0.6% |
|||||
| Aramark Corp. |
|||||
| 3.81%, 1/26/14 (e) |
GBP | 978 | 1,175,813 | ||
| Best Brands Corp. |
|||||
| 2.25%-5.50%, 12/12/12 (e)(j) |
US$ | 625 | 399,945 | ||
| CHS/Community Health Systems, Inc. |
|||||
| 1.00%-2.77%, 7/25/14 (e) |
58 | 49,896 | |||
| 2.77%-3.50%, 7/25/14 (e) |
1,134 | 977,726 | |||
| Golden Gate National Senior Care LLC |
|||||
| 3.27%, 3/14/11 (e) |
763 | 656,603 | |||
| Harlan Laboratories, Inc. (fka Harlan Sprague Dawley, Inc.) |
|||||
| 3.02%-3.06%, 7/11/14 (e) |
900 | 632,837 | |||
| HCA, Inc. |
|||||
| 3.47%, 11/18/13 (e) |
1,685 | 1,426,230 | |||
| HCR Healthcare, LLC |
|||||
| 3.02%-3.04%, 12/22/14 (e) |
544 | 400,366 | |||
| Health Management Associates, Inc. |
|||||
| 2.97%, 2/28/14 (e) |
956 | 771,185 | |||
| Mylan Inc. |
|||||
| 3.81%-4.50%, 10/02/14 (e) |
582 | 538,786 | |||
| Onex Carestream Finance LP |
|||||
| 5.77%-6.42%, 10/30/13 (e) |
1,000 | 341,250 | |||
| Talecris Biotherepeutics Holdings Corp. |
|||||
| 4.74%, 12/06/13 (e) |
2,051 | 1,866,314 | |||
| 7.74%, 12/06/14 (e) |
900 | 787,500 |
| Wrigley Jr Company |
||||
| 6.50%, 9/30/14 (e) |
889 | 879,534 | ||
| 10,903,985 | ||||
| Energy - 0.1% |
||||
| Ashmore Energy International |
||||
| 0.42%-3.10%, 3/30/12 (e) |
179 | 108,084 | ||
| 4.22%, 3/30/14 (e) |
767 | 462,331 | ||
| Dalbo, Inc. |
||||
| 3.96%-4.76%, 8/27/12 (e) |
651 | 507,827 | ||
| Infrastrux Group, Inc. |
||||
| 0.50%-427%, 11/03/12 (e)(j) |
1,685 | 1,421,251 | ||
| 2,499,493 | ||||
| Services - 0.1% |
||||
| Sabre, Inc. |
||||
| 2.75%-3.42%, 9/30/14 (e) |
972 | 507,167 | ||
| Travelport LLC |
||||
| 2.77%-3.47%, 8/23/13 (e) |
445 | 258,541 | ||
| 3.47%, 8/23/13 (e) |
89 | 51,876 | ||
| West Corp. |
||||
| 2.88%-2.89%, 10/24/13 (e) |
980 | 727,650 | ||
| 1,545,234 | ||||
| Technology - 0.3% |
||||
| Dealer Computer Services, Inc. |
||||
| 6.02%, 10/26/13 (e) |
500 | 135,000 | ||
| Dresser, Inc. |
||||
| 3.49%, 5/04/14 (e) |
1,699 | 1,248,404 | ||
| First Data Corp. |
||||
| 3.26%-3.27%, 9/24/14 (e) |
985 | 663,398 | ||
| Freescale Semiconductor, Inc. |
||||
| 2.25%, 11/29/13 (e) |
650 | 265,088 | ||
| IPC Systems, Inc. |
||||
| 3.47%, 6/02/14 (e) |
1,853 | 957,533 | ||
| 6.50%, 6/01/15 (e) |
2,000 | 284,000 | ||
| Sungard Data Systems, Inc. |
||||
| 2.28%-2.99%, 2/28/14 (e) |
987 | 831,803 | ||
| Vertafore, Inc. |
||||
| 6.99%, 1/31/14 (e) |
500 | 307,500 | ||
| 4,692,726 | ||||
| 46,511,987 | ||||
| Utility - 0.3% |
||||
| Electric - 0.3% |
||||
| FirstLight Power Resources, Inc. |
||||
| 1.10%-2.65%, 11/01/13 (e) |
109 | 95,185 | ||
| 3.75%, 11/01/13 (e) |
849 | 738,752 | ||
| 5.75%, 5/01/14 (e) |
1,000 | 630,000 | ||
| Riverside Energy Center, LLC |
||||
| 5.42%, 6/24/11 (e) |
1,457 | 1,325,467 |
| Rocky Mountain Energy Center, LLC |
|||||
| 1.07%-4.35%, 6/24/11 (e) |
795 | 723,072 | |||
| Texas Competitive Electric Holdings Company LLC |
|||||
| 4.02%-4.03%, 10/10/14 (e) |
2,519 | 1,652,447 | |||
| 5,164,923 | |||||
| Other Utility - 0.0% |
|||||
| GBGH LLC |
|||||
| 2.00%-9.50%, 8/07/13 (e)(j)(k) |
660 | 145,135 | |||
| 5,310,058 | |||||
| Financial Institutions - 0.1% |
|||||
| Banking - 0.0% |
|||||
| North Las Vegas |
|||||
| 2.0%-8.77%, 5/09/11 - 5/09/12 (e)(j) |
2,169 | 132,833 | |||
| Finance - 0.0% |
|||||
| Levlad LLC & Arbonne International LLC |
|||||
| 4.50%, 3/08/14 (e) |
933 | 135,292 | |||
| LPL Holdings |
|||||
| 2.27%-2.97%, 6/28/13 (e) |
816 | 669,229 | |||
| 804,521 | |||||
| Insurance - 0.1% |
|||||
| Asurion Corp. |
|||||
| 3.53%-4.23%, 7/03/14 (e) |
1,000 | 840,000 | |||
| Other Finance - 0.0% |
|||||
| Grosvenor Capital Management Holdings, LLLP |
|||||
| 2.50%-3.27%, 12/05/13 (e) |
922 | 516,302 | |||
| REITS - 0.0% |
|||||
| Crescent Resources, LLC |
|||||
| 5.17%, 9/07/12 (e) |
977 | 39,086 | |||
| 2,332,742 | |||||
| Total Bank Loans |
54,154,787 | ||||
| EMERGING MARKETS - TREASURIES - 3.0% |
|||||
| Colombia - 0.8% |
|||||
| Republic of Colombia |
|||||
| 9.85%, 6/28/27 |
COP | 9,076,000 | 3,615,890 | ||
| 12.00%, 10/22/15 |
22,469,000 | 10,039,209 | |||
| 13,655,099 | |||||
| Turkey - 2.2% |
|||||
| Turkey Government Bond |
|||||
| 16.00%, 3/07/12 |
TRY | 65,600 | 40,044,223 | ||
| Total Emerging Markets - Treasuries |
53,699,322 | ||||
| QUASI-SOVEREIGNS - 2.4% |
|||||
| Quasi-Sovereign Bonds - 2.4% |
|||||
| Indonesia - 0.2% |
|||||
| Majapahit Holding BV |
|||||
| 7.875%, 6/29/37 (f) |
US$ | 6,188 | 3,589,040 | ||
| Kazakhstan - 0.4% |
|||||
| KazMunaiGaz Finance Sub BV |
|||||
| 8.375%, 7/02/13 (f) |
9,625 | 7,988,750 | |||
| Russia - 1.8% |
|||||
| RSHB Capital SA for OJSC Russian Agricultural Bank |
|||||
| 6.299%, 5/15/17 (f) |
22,568 | 15,571,920 | |||
| 7.125%, 1/14/14 (f) |
12,351 | 9,448,515 | |||
| 7.75%, 5/29/18 (f) |
9,905 | 7,032,550 | |||
| 32,052,985 | |||||
| Total Quasi-Sovereigns |
43,630,775 | ||||
| EMERGING MARKETS - SOVEREIGNS - 2.3% |
|||||
| Argentina - 0.1% |
|||||
| Argentina Bonos |
|||||
| 7.00%, 10/03/15 |
125 | 28,750 | |||
| 7.82%, 12/31/33 |
EUR | 5,070 | 1,422,848 | ||
| 1,451,598 | |||||
| Colombia - 0.2% |
|||||
| Colombia Government International Bond |
|||||
| 7.375%, 3/18/19 - 9/18/37 |
US$ | 3,756 | 3,613,680 | ||
| El Salvador - 0.2% |
|||||
| Republic of El Salvador |
|||||
| 7.65%, 6/15/35 (f) |
3,768 | 2,788,320 | |||
| Indonesia - 1.4% |
|||||
| Republic of Indonesia |
|||||
| 6.625%, 2/17/37 (f) |
720 | 486,000 | |||
| 6.75%, 3/10/14 (f) |
565 | 516,975 | |||
| 6.875%, 3/09/17 - 1/17/18 (f) |
8,280 | 6,721,025 | |||
| 7.75%, 1/17/38 (f) |
5,073 | 3,906,210 | |||
| 8.50%, 10/12/35 (f) |
801 | 683,213 | |||
| 11.625%, 3/04/19 (f) |
4,043 | 4,376,547 | |||
| 12.90%, 3/15/16 (f) |
IDR | 2,102,200 | 180,550 | ||
| 14.25%, 6/19/13 (f) |
80,000,000 | 7,448,233 | |||
| 24,318,753 | |||||
| Panama - 0.1% |
|||||
| Republic of Panama |
|||||
| 9.375%, 4/01/29 |
US$ | 2,284 | 2,506,690 | ||
| Venezuela - 0.3% |
|||||
| Republic of Venezuela |
|||||
| 5.75%, 2/26/16 (f) |
4,034 | 1,921,152 | |||
| 7.00%, 12/01/18 (f) |
3,615 | 1,741,816 | |||
| 8.50%, 10/08/14 |
3,490 | 2,146,350 | |||
| 13.625%, 8/15/18 |
458 | 325,180 | |||
| 6,134,498 | |||||
| Total Emerging Markets - Sovereigns |
40,813,539 | ||||
| GOVERNMENTS - SOVEREIGN BONDS - 0.7% |
||||
| Brazil - 0.2% |
||||
| Republic of Brazil |
||||
| 8.25%, 1/20/34 |
4,331 | 4,774,928 | ||
| Russia - 0.5% |
||||
| Russian Federation |
||||
| 7.50%, 3/31/30 (f) |
9,212 | 8,686,271 | ||
| Total Governments - Sovereign Bonds |
13,461,199 | |||
| CMOS - 0.2% |
||||
| Non-Agency ARMS - 0.2% |
||||
| Merrill Lynch Mortgage Investors, Inc. |
||||
| Series 2005-A9, Class 2A1A |
||||
| 5.148%, 12/25/35 (g) |
5,536 | 4,021,397 | ||
| Agency Fixed Rate - 0.0% |
||||
| Government National Mortgage Association |
||||
| Series 2006-32, Class XM |
||||
| 0.707%, 11/16/45 |
5,895 | 222,899 | ||
| Total CMOs |
4,244,296 | |||
| EMERGING MARKETS - CORPORATE BONDS - 0.2% |
||||
| Financial Institutions - 0.2% |
||||
| Banking - 0.2% |
||||
| ALB Finance BV |
||||
| 9.25%, 9/25/13 (f) |
276 | 57,960 | ||
| Alfa Bond Issuance PLC |
||||
| 8.625%, 12/09/15 (g) |
300 | 159,066 | ||
| ATF Bank |
||||
| 9.00%, 5/11/16 (f) |
5,223 | 2,036,970 | ||
| Banco BMG SA |
||||
| 9.15%, 1/15/16 (f) |
400 | 272,000 | ||
| 2,525,996 | ||||
| Other Finance - 0.0% |
||||
| AES El Salvador Trust |
||||
| 6.75%, 2/01/16 (f) |
350 | 188,808 | ||
| 2,714,804 | ||||
| Industrial - 0.0% |
||||
| Consumer Cyclical - Other - 0.0% |
||||
| Peermont Global Pty Ltd. |
||||
| 7.75%, 4/30/14 (f) |
EUR 50 | 35,540 | ||
| Consumer Non-Cyclical - 0.0% |
|||||
| Foodcorp Ltd. |
|||||
| 8.875%, 6/15/12 (f) |
194 | 149,494 | |||
| 185,034 | |||||
| Total Emerging Markets - Corporate Bonds |
2,899,838 | ||||
| Shares | |||||
| PREFERRED STOCKS - 0.0% |
|||||
| Financial Institutions - 0.0% |
|||||
| Banking - 0.0% |
|||||
| Preferred Blocker, Inc. |
|||||
| 7.00% (f) |
2,680 | 533,571 | |||
| Non Corporate Sectors - 0.0% |
|||||
| Agencies - Government Sponsored - 0.0% |
|||||
| Federal National Mortgage Association |
|||||
| 8.25% (g) |
125,325 | 88,981 | |||
| Total Preferred Stocks |
622,552 | ||||
| Principal Amount (000) |
|||||
| LOCAL GOVERNMENTS - REGIONAL BONDS - 0.0% |
|||||
| Colombia - 0.0% |
|||||
| Bogota Distrio Capital |
COP | 438,000 | 143,000 | ||
| Shares | |||||
| WARRANTS - 0.0% |
|||||
| Republic of Venezuela, expiring 4/15/20 (m) |
1,785 | 0 | |||
| SHORT-TERM INVESTMENTS - 12.4% |
|||||
| Investment Companies - 6.3% |
|||||
| AllianceBernstein Fixed-Income Shares, Inc. - Government STIF Portfolio (n) |
114,897,674 | 114,897,674 | |||
| Principal Amount (000) |
|||||||
| Repurchase Agreements - 6.1% |
|||||||
| Barclays Z.w.d. Repo due 04/13/2009 in the amount of $110,017,600 |
US$ | 110,000 | 110,000,000 | ||||
| Total Short-Term Investments |
224,897,674 | ||||||
| Total Investments - 157.6% |
2,860,834,351 | ||||||
| Other assets less liabilities - (57.6)% |
(1,045,988,650 | ) | |||||
| Net Assets - 100.0% |
$ | 1,814,845,701 | |||||
CREDIT DEFAULT SWAP CONTRACTS ON CORPORATE AND SOVEREIGN ISSUES
| Swap Counterparty & Referenced Obligation |
Fixed Deal (Pay) Receive Rate |
Implied Credit Spread at March 31, 2009 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation/ (Depreciation) |
||||||||||||||
| Buy Contracts: |
||||||||||||||||||||
| Citibank, N.A.: |
||||||||||||||||||||
| Qantas Airways Ltd. |
||||||||||||||||||||
| 5.125%, 6/20/13, 3/20/16* |
(1.75 | )% | 2.659 | % | $ | 5,000 | $ | 254,827 | $ | 0 | $ | 254,827 | ||||||||
| Sale Contracts: |
||||||||||||||||||||
| Citigroup Global Markets Limited: |
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| Federal Republic of Brazil |
||||||||||||||||||||
| 12.25%, 3/6/30, 8/20/10* |
3.09 | 1.850 | 1,910 | 38,921 | 0 | 38,921 | ||||||||||||||
| OAO Gazprom |
||||||||||||||||||||
| 5.875-10.50%, 10/21/09-4/28/34, 10/20/10* |
1.04 | 9.006 | 10,000 | (1,065,731 | ) | 0 | (1,065,731 | ) | ||||||||||||
| JPMorgan Chase Bank, N.A.: |
||||||||||||||||||||
| Gazprom OAO |
||||||||||||||||||||
| 5.875-10.50%, 10/21/09-4/28/34, 10/20/10* |
1.04 | 9.006 | 1,380 | (147,071 | ) | 0 | (147,071 | ) | ||||||||||||
| Petroleos de Venezuela SA |
||||||||||||||||||||
| 5.50%, 4/12/37, 5/20/09* |
6.62 | 22.220 | 9,330 | 25,334 | 0 | 25,334 | ||||||||||||||
| * | Termination date. |
FINANCIAL FUTURES CONTRACTS
| Type |
Number of Contracts |
Expiration Month |
Original Value |
Value at March 31, 2009 |
Unrealized Appreciation/ (Depreciation) |
|||||||||
| Sold Contracts |
||||||||||||||
| U.S. T-Bond 30yr Futures |
1,966 | June 2009 | $ | 249,471,615 | $ | 254,996,343 | $ | (5,524,728 | ) | |||||
| U.S. T-Note 10yr Futures |
3,684 | June 2009 | 449,403,817 | 457,103,813 | (7,699,996 | ) | ||||||||
| $ | (13,224,724 | ) | ||||||||||||
FORWARD CURRENCY EXCHANGE CONTRACTS
| Contract Amount (000) |
U.S. $ Value on Origination Date |
U.S. $ Value at March 31, 2009 |
Unrealized Appreciation/ (Depreciation) |
|||||||||
| Buy Contracts: |
||||||||||||
| Australian Dollar settling 4/08/09 |
13,344 | $ | 8,520,727 | $ | 9,274,786 | $ | 754,059 | |||||
| Australian Dollar settling 4/08/09 |
13,175 | 8,508,791 | 9,156,821 | 648,030 | ||||||||
| British Pound settling 4/27/09 |
248 | 341,766 | 355,783 | 14,017 | ||||||||
| Euro settling 5/07/09 |
455 | 581,264 | 604,273 | 23,009 | ||||||||
| Euro settling 5/07/09 |
13,429 | 17,411,300 | 17,840,990 | 429,690 | ||||||||
| New Russian Ruble settling 4/20/09 |
277,483 | 8,255,975 | 8,131,990 | (123,985 | ) | |||||||
| New Zealand Dollar settling 5/20/09 |
17,187 | 8,608,992 | 9,773,972 | 1,164,980 | ||||||||
| Norwegian Krone settling 6/03/09 |
122,148 | 18,408,837 | 18,134,432 | (274,405 | ) | |||||||
| Swedish Krona settling 5/28/09 |
306,154 | 36,060,515 | 37,251,825 | 1,191,310 | ||||||||
| Sale Contracts: |
||||||||||||
| British Pound settling 4/27/09 |
1,460 | 2,105,418 | 2,094,853 | 10,565 | ||||||||
| Colombian Peso settling 4/13/09 |
5,944,995 | 2,396,209 | 2,336,774 | 59,435 | ||||||||
| Colombian Peso settling 5/11/09 |
10,845,483 | 4,313,177 | 4,243,616 | 69,561 | ||||||||
| Contract Amount (000) |
U.S. $ Value on Origination Date |
U.S. $ Value at March 31, 2009 |
Unrealized Appreciation/ (Depreciation) |
|||||||||
| Sale Contracts: (continued) |
||||||||||||
| Colombian Peso settling 5/11/09 |
3,603,899 | $ | 1,437,729 | $ | 1,410,132 | $ | 27,597 | |||||
| Euro settling 5/07/09 |
2,723 | 3,468,221 | 3,617,711 | (149,490 | ) | |||||||
| Euro settling 5/07/09 |
27,224 | 34,176,434 | 36,167,789 | (1,991,355 | ) | |||||||
| Japanese Yen settling 5/14/09 |
5,246 | 53,039 | 53,032 | 7 | ||||||||
| New Zealand Dollar settling 5/20/09 |
17,116 | 8,740,773 | 9,733,540 | (992,767 | ) | |||||||
| Swedish Krona settling 5/28/09 |
156,085 | 18,331,866 | 18,991,911 | (660,045 | ) | |||||||
| Swiss Franc settling 5/22/09 |
39,614 | 35,421,203 | 34,837,882 | 583,321 | ||||||||
| Turkish Lira settling 6/03/09 |
21,546 | 12,685,018 | 12,753,477 | (68,459 | ) | |||||||
REVERSE REPURCHASE AGREEMENTS
| Broker |
Interest Rate | Maturity | Amount | |||||
| Barclays |
0.22 | % | 4/13/09 | $ | 113,817,044 | |||
| Barclays |
0.26 | 4/13/09 | 86,383,969 | |||||
| Deutsche Bank |
0.38 | 4/01/09 | 65,375,942 | |||||
| Deutsche Bank |
0.40 | 4/01/09 | 268,634,331 | |||||
| Deutsche Bank |
0.18 | 4/17/09 | 66,846,833 | |||||
| Deutsche Bank |
0.27 | 4/17/09 | 275,118,550 | |||||
| $ | 876,176,669 | |||||||
| (a) | Position, or a portion thereof, has been segregated to collateralize loan payable outstanding. The aggregate market value of these securities amounted to $1,145,929,309. |
| (b) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. The aggregate market value of these securities amounted to $546,246,231. |
| (c) | Position, or a portion thereof, has been segregated to collateralize interest rate swaps. |
| (d) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. The market value of this security amounted to $18,766,899. |
| (e) | Floating Rate Security. Stated interest rate was in effect at March 31, 2009. |
| (f) | 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, 2009, the aggregate market value of these securities amounted to $183,328,775 or 10.1% of net assets. |
| (g) | Variable rate coupon, rate shown as of March 31, 2009. |
| (h) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at March 31, 2009. |
| (i) | Indicates a security that has a zero coupon that remains in effect until a predetermined date at which time the stated coupon rate becomes effective until final maturity. |
| (j) | Pay-In-Kind Payments (PIK). |
| (k) | Security is in default and is non-income producing. |
| (l) | This position represents unfunded or partially unfunded loan commitments. Investments in unfunded loan commitments obligate the Fund to fund these commitments at the borrower’s discretion. At period end, the market value and unrealized gain/(loss) of these unfunded loan commitments amounted to $123,599 and $(1,185), respectively. The coupon rate will be determined at the time of funding and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase. |
| (m) | Non-income producing security. |
| (n) | Investment in affiliated money market mutual fund. |
| (o) | As of March 31, 2009, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $204,039,201 and gross unrealized depreciation of investments was $(218,562,686), resulting in net unrealized depreciation of $(14,523,485). |
| Currency Abbreviations: | |||||
| BRL | - | Brazilian Real | |||
| COP | - | Colombian Peso | |||
| EUR | - | Euro Dollar | |||
| GBP | - | Great British Pound | |||
| IDR | - | Indonesian Rupiah | |||
| PEN | - | Peruvian New Sol | |||
| RUB | - | Russian Rouble | |||
| TRY | - | New Turkish Lira | |||
| Glossary: | |||||
| ARMS | - | Adjustable Rate Mortgages | |||
| CMBS | - | Commercial Mortgage-Backed Securities | |||
| CMOS | - | Collateralized Mortgage Obligation | |||
| FHLMC | - | Federal Home Loan Mortgage Corporation | |||
| LP | - | Limited Partnership | |||
| OJSC | - | Open Joint Stock Company | |||
| REIT | - | Real Estate Investment Trust | |||
| STP | - | Structured Product | |||
| TIPS | Treasury Inflation Protected Security | ||||
Country Breakdown*
March 31, 2009 (unaudited)
Summary
| 80.6 | % | United States | |
| 3.2 | % | Russia | |
| 2.3 | % | Brazil | |
| 1.4 | % | Turkey | |
| 1.0 | % | Indonesia | |
| 0.6 | % | Colombia | |
| 0.5 | % | Peru | |
| 0.5 | % | United Kingdom | |
| 0.4 | % | Kazakhstan | |
| 0.3 | % | Hong Kong | |
| 0.3 | % | Australia | |
| 0.2 | % | Venezuela | |
| 0.2 | % | India | |
| 0.6 | % | Other | |
| 7.9 | % | Short-Term Investments | |
| 100.0 | % | Total Investments | |
| * | All data are as of March 31, 2009. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country
weightings represent 0.2% or less in the following countries: Argentina, Austria, Bermuda, Canada, El Salvador, France, Greece, Jamaica, Panama, Poland, South Africa and Switzerland. |
FINANCIAL ACCOUNTING STANDARDS NO. 157
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective December 1, 2007. In accordance with FAS 157, 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. FAS 157 also establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. 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 developed 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 March 31, 2009:
| Level |
Investments in Securities |
Other Financial Instruments* |
|||||
| Level 1 |
$ | 114,897,674 | $ | (13,224,724 | ) | ||
| Level 2 |
2,469,378,891 | 715,075 | |||||
| Level 3 |
276,557,786 | (893,720 | ) | ||||
| Total |
$ | 2,860,834,351 | $ | (13,403,369 | ) | ||
| * | 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:
| Investments In Securities |
Other Financial Instruments |
|||||||
| Balance as of 12/31/08 |
$ | 235,434,877 | $ | (2,349,410 | ) | |||
| Accrued discounts /premiums |
801,231 | – 0 | – | |||||
| Realized gain (loss) |
(14,502,143 | ) | – 0 | –* | ||||
| Change in unrealized appreciation/depreciation |
24,199,468 | 1,455,690 | ||||||
| Net purchases (sales) |
1,675,485 | – 0 | – | |||||
| Net transfers in and/or out of Level 3 |
28,948,868 | – 0 | – | |||||
| Balance as of 3/31/09 |
$ | 276,557,786 | (893,720 | ) | ||||
| Net change in unrealized appreciation/depreciation from Investments held as of 3/31/2009 |
$ | 17,250,332 | $ | 1,470,380 | ||||
| * | The realized gain (loss) recognized during the period ended 3/31/2009 for other financial instruments was $0. |
| 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, 2009 | |
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, 2009 | |
| By: | /s/ Joseph J. Mantineo | |
| Joseph J. Mantineo | ||
| Treasurer and Chief Financial Officer | ||
| Date: | May 22, 2009 | |