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, 2011

Date of reporting period: March 31, 2011

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AllianceBernstein Income Fund

Portfolio of Investments

March 31, 2011 (unaudited)

 

     Principal
Amount
(000)		      U.S. $ Value  

GOVERNMENTS - TREASURIES – 86.9%

      

Brazil – 1.8%

      

Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/14

    BRL 16,419       $ 9,412,569   

Republic of Brazil

      

10.25%, 1/10/28

      1,453         885,515   

12.50%, 1/05/16-1/05/22

      39,433         27,852,433   
           
        38,150,517   
           

South Africa – 0.5%

      

South Africa Government Bond
Series R203
8.25%, 9/15/17

    ZAR 79,000         11,562,062   
           

United States – 84.6%

      

U.S. Treasury Bonds

      

5.375%, 2/15/31

    U.S.$ 1,961         2,242,588   

6.25%, 8/15/23

      10,000         12,418,750   

6.625%, 2/15/27

      73,570         95,227,169   

U.S. Treasury Notes

      

1.875%, 6/30/15-10/31/17(a)

      339,500         332,246,794   

2.625%, 2/29/16-4/30/16

      156,400         159,358,473   

2.625%, 11/15/20(a)

      150,000         139,968,750   

2.75%, 11/30/16(a)

      333,772         338,491,464   

3.25%, 5/31/16(a)

      44,000         46,076,272   

3.625%, 2/15/20(a)

      86,440         88,790,131   

4.25%, 8/15/15

      77,330         84,875,707   

4.50%, 11/15/15(a)

      147,605         163,760,810   

4.50%, 2/15/16

      598         663,593   

5.125%, 5/15/16

      3,000         3,417,891   

U.S. Treasury STRIPS

      

Zero Coupon, 5/15/17(a) (b)

      259,750         220,005,652   

Zero Coupon, 11/15/21

      164,379         109,697,663   
           
        1,797,241,707   
           

Total Governments - Treasuries
(cost $1,843,912,555)

         1,846,954,286   
           

CORPORATES - INVESTMENT GRADES – 16.1%

      

Industrial – 7.7%

      

Basic – 1.8%

      

Anglo American Capital PLC
9.375%, 4/08/19(c)

      3,492         4,652,800   

ArcelorMittal
5.25%, 8/05/20

      6,246         6,108,651   

GTL Trade Finance, Inc.
7.25%, 10/20/17(c)

      2,536         2,853,000   

International Paper Co.
7.95%, 6/15/18

      2,600         3,127,995   

Southern Copper Corp.
7.50%, 7/27/35

      5,107         5,516,995   

Teck Resources Ltd.
6.00%, 8/15/40

      327         329,318   

     Principal
Amount
(000)		      U.S. $ Value  

Usiminas Commercial Ltd.
7.25%, 1/18/18(c)

    U.S.$ 4,263       $ 4,731,930   

Vale Overseas Ltd.
6.875%, 11/21/36

      10,673         11,365,262   
           
        38,685,951   
           

Capital Goods – 0.5%

      

Holcim US Finance Sarl & Cie SCS
6.00%, 12/30/19(c)

      644         674,953   

Legrand France SA
8.50%, 2/15/25

      10         11,854   

Owens Corning
9.00%, 6/15/19

      3,000         3,545,583   

Republic Services, Inc.
5.25%, 11/15/21

      6,098         6,383,704   
           
        10,616,094   
           

Communications - Media – 0.4%

      

CBS Corp.
8.20%, 5/15/14

      3,700         4,336,707   

DirecTV Holdings LLC / DirecTV
Financing Co., Inc.
4.75%, 10/01/14

      1,485         1,599,006   

Time Warner Entertainment Co. LP
8.375%, 7/15/33

      2,500         3,058,178   
           
        8,993,891   
           

Communications - Telecommunications – 0.6%

      

American Tower Corp.
5.05%, 9/01/20

      4,310         4,187,299   

Embarq Corp.
7.082%, 6/01/16

      1,277         1,452,192   

Qwest Corp.
7.625%, 6/15/15

      700         805,000   

United States Cellular Corp.
6.70%, 12/15/33

      2,100         2,012,974   

Verizon Communications, Inc.
4.60%, 4/01/21

      5,066         5,044,312   
           
        13,501,777   
           

Consumer Cyclical - Automotive – 0.4%

      

Harley-Davidson Funding Corp.
5.75%, 12/15/14(c)

      2,155         2,309,110   

Volvo Treasury AB
5.95%, 4/01/15(c)

      4,437         4,878,127   
           
        7,187,237   
           

Consumer Cyclical - Entertainment – 0.1%

      

Time Warner, Inc.
7.70%, 5/01/32

      2,500         2,915,395   
           

Consumer Non-Cyclical – 0.5%

      

Bunge Ltd. Finance Corp.
8.50%, 6/15/19

      2,600         3,087,409   

Delhaize Group SA
5.875%, 2/01/14

      1,205         1,315,619   

     Principal
Amount
(000)		      U.S. $ Value  

Newell Rubbermaid, Inc.
4.70%, 8/15/20

    U.S.$ 3,930       $ 3,878,553   

Reynolds American, Inc.
6.75%, 6/15/17

      500         571,776   

Whirlpool Corp.
8.60%, 5/01/14

      520         603,326   
           
        9,456,683   
           

Energy – 2.1%

      

Anadarko Petroleum Corp.
5.95%, 9/15/16

      4,262         4,634,435   

Nabors Industries, Inc.
9.25%, 1/15/19

      2,500         3,151,378   

Noble Energy, Inc.
8.25%, 3/01/19

      4,300         5,409,860   

Noble Holding International Ltd.
4.90%, 8/01/20

      389         394,676   

TNK-BP Finance SA

      

7.50%, 7/18/16(c)

      12,083         13,532,960   

7.875%, 3/13/18(c)

      8,270         9,469,150   

Transocean, Inc.
7.50%, 4/15/31

      2,200         2,468,840   

Valero Energy Corp.
9.375%, 3/15/19

      2,410         3,080,676   

Weatherford International Ltd.
7.00%, 3/15/38

      2,900         3,071,613   
           
        45,213,588   
           

Other Industrial – 0.3%

      

Noble Group Ltd.

      

6.75%, 1/29/20(c)

      2,803         2,999,210   

8.50%, 5/30/13(c)

      3,093         3,456,427   
           
        6,455,637   
           

Technology – 0.2%

      

Agilent Technologies, Inc.
5.00%, 7/15/20

      782         799,422   

Xerox Corp.
4.25%, 2/15/15

      2,225         2,342,146   
           
        3,141,568   
           

Transportation - Airlines – 0.6%

      

Delta Air Lines 2007-1 Class A Pass Through Trust
6.821%, 8/10/22

      1,734         1,790,187   

Qantas Airways Ltd.
6.05%, 4/15/16(c)

      5,000         5,325,100   

Southwest Airlines Co.

      

5.25%, 10/01/14

      2,720         2,904,927   

5.75%, 12/15/16

      1,780         1,925,293   
           
        11,945,507   
           

Transportation - Services – 0.2%

      

Asciano Finance Ltd.

      

3.125%, 9/23/15(c)

      3,960         3,814,640   

     Principal
Amount
(000)		      U.S. $ Value  

4.625%, 9/23/20(c)

    U.S.$ 1,080       $ 1,022,871   
           
        4,837,511   
           
        162,950,839   
           

Financial Institutions – 6.5%

      

Banking – 3.7%

      

Barclays Bank PLC

      

4.75%, 3/15/20

    EUR 10,000         10,310,126   

8.55%, 6/15/11(c)

    U.S.$ 638         635,607   

Capital One Financial Corp.
6.15%, 9/01/16

      2,900         3,175,677   

Citigroup, Inc.
8.50%, 5/22/19

      9,100         11,228,272   

Fifth Third Bancorp
5.45%, 1/15/17

      3,100         3,212,933   

Goldman Sachs Group, Inc. (The)
6.00%, 6/15/20

      4,980         5,264,482   

HSBC Bank USA NA
4.875%, 8/24/20

      2,030         1,987,260   

Itau Unibanco Holding SA/Cayman Island
6.20%, 4/15/20(c)

      3,200         3,285,741   

Macquarie Group Ltd.
4.875%, 8/10/17(c)

      4,270         4,291,491   

Manufacturers & Traders Trust Co.
6.625%, 12/04/17

      506         571,282   

Merrill Lynch & Co., Inc.

      

5.70%, 5/02/17

      13,500         14,010,070   

6.05%, 5/16/16

      2,678         2,830,349   

Morgan Stanley
10.09%, 5/03/17(c)

    BRL 11,615         6,776,276   

Royal Bank of Scotland PLC (The)
5.625%, 8/24/20

    U.S.$ 3,895         3,886,591   

VTB Bank OJSC Via VTB Capital SA
6.875%, 5/29/18(c)

      2,716         2,946,860   

Wachovia Bank NA
4.875%, 2/01/15

      3,841         4,090,001   
           
        78,503,018   
           

Brokerage – 0.1%

      

Jefferies Group, Inc.
6.875%, 4/15/21

      2,062         2,190,114   
           

Finance – 0.4%

      

General Electric Capital Corp.
6.44%, 11/15/22

    GBP 149         259,897   

SLM Corp.

      

5.05%, 11/14/14

    U.S.$ 3,610         3,644,035   

Series A

      

5.375%, 5/15/14

      3,885         4,028,698   
           
        7,932,630   
           

Insurance – 1.7%

      

Aflac, Inc. 3.45%, 8/15/15

      865         868,676   

     Principal
Amount
(000)		      U.S. $ Value  

American International Group, Inc.
4.25%, 5/15/13

    U.S.$ 4,480       $ 4,628,454   

CIGNA Corp.
5.125%, 6/15/20

      1,690         1,761,629   

Fairfax Financial Holdings Ltd.
8.30%, 4/15/26

      5,000         5,193,750   

Genworth Financial, Inc.
7.70%, 6/15/20

      3,100         3,176,678   

Guardian Life Insurance Co. of America
7.375%, 9/30/39(c)

      2,455         2,867,983   

Hartford Financial Services Group, Inc.
5.95%, 10/15/36

      3,533         3,317,399   

Humana, Inc.
8.15%, 6/15/38

      2,900         3,337,888   

MetLife, Inc.
4.75%, 2/08/21

      2,135         2,139,868   

Nationwide Mutual Insurance Co.
9.375%, 8/15/39(c)

      2,700         3,283,478   

Prudential Financial, Inc. Series D
7.375%, 6/15/19

      575         675,117   

Swiss Re Solutions Holding Corp.
7.75%, 6/15/30

      2,800         3,191,605   

Transatlantic Holdings, Inc.
8.00%, 11/30/39

      2,122         2,228,376   
           
        36,670,901   
           

Other Finance – 0.2%

      

Aviation Capital Group Corp.
6.75%, 4/06/21(c)

      4,235         4,235,000   

IIRSA Norte Finance Ltd.
8.75%, 5/30/24(c)

      330         368,337   

Red Arrow International Leasing PLC
8.375%, 6/30/12

    RUB 3,397         120,231   
           
        4,723,568   
           

REITS – 0.4%

      

Duke Realty LP
6.75%, 3/15/20

    U.S.$ 1,655         1,844,762   

Entertainment Properties Trust
7.75%, 7/15/20(c)

      3,308         3,572,640   

HCP, Inc.
5.375%, 2/01/21

      3,468         3,502,271   
           
        8,919,673   
           
        138,939,904   
           

Non Corporate Sectors – 1.7%

      

Agencies - Not Government Guaranteed – 1.7%

      

Ecopetrol SA
7.625%, 7/23/19

      2,899         3,341,098   

Gazprom OAO Via Gaz Capital SA

      

6.212%, 11/22/16(c)

      5,050         5,491,875   

6.51%, 3/07/22(c)

      3,335         3,539,269   

6.51%, 3/07/22(a) (c)

      10,228         10,854,465   

     Principal
Amount
(000)		      U.S. $ Value  

9.25%, 4/23/19(c)

    U.S.$ 7,115       $ 8,848,925   

Petrobras International Finance Co. - Pifco
5.75%, 1/20/20

      3,150         3,249,647   

VTB Capital SA
6.875%, 5/29/18(c)

      725         786,625   
           
        36,111,904   
           

Utility – 0.2%

      

Electric – 0.2%

      

FirstEnergy Corp.
Series C
7.375%, 11/15/31

      3,000         3,249,615   

Union Electric Co.
6.70%, 2/01/19

      485         559,709   
           
        3,809,324   
           

Total Corporates - Investment Grades
(cost $310,674,722)

         341,811,971   
           

CORPORATES - NON-INVESTMENT GRADES – 11.6%

      

Industrial – 9.1%

      

Basic – 2.1%

      

AK Steel Corp.
7.625%, 5/15/20

      2,082         2,123,640   

Evraz Group SA

      

8.875%, 4/24/13(c)

      3,697         4,057,457   

9.50%, 4/24/18(c)

      385         451,220   

Georgia Gulf Corp.
10.75%, 10/15/16

      250         266,250   

Georgia-Pacific LLC
5.40%, 11/01/20(c)

      1,642         1,621,431   

Huntsman International LLC
5.50%, 6/30/16

      1,809         1,777,343   

Lyondell Chemical Co.
11.00%, 5/01/18

      2,773         3,113,076   

Mondi Finance PLC
5.75%, 4/03/17

    EUR 942         1,369,181   

Nalco Co.
6.625%, 1/15/19(c)

    U.S.$ 2,010         2,067,787   

Severstal OAO Via Steel Capital SA

      

9.25%, 4/19/14(c)

      230         260,763   

9.75%, 7/29/13(c)

      9,646         10,887,922   

Steel Dynamics, Inc.
7.625%, 3/15/20

      3,000         3,217,500   

United States Steel Corp.

      

6.05%, 6/01/17

      965         995,156   

7.375%, 4/01/20

      1,477         1,547,158   

Vedanta Resources PLC
8.75%, 1/15/14(c)

      7,226         7,704,722   

Weyerhaeuser Co.
7.375%, 3/15/32

      2,000         2,108,974   
           
        43,569,580   
           

     Principal
Amount
(000)		      U.S. $ Value  

Capital Goods – 1.1%

      

BE Aerospace, Inc.
6.875%, 10/01/20

    U.S.$ 2,000       $ 2,070,000   

Berry Plastics Corp.
10.25%, 3/01/16

      150         145,875   

Bombardier, Inc.
7.50%, 3/15/18(c)

      3,000         3,240,000   

Building Materials Corp. of America

      

7.00%, 2/15/20(c)

      635         658,812   

7.50%, 3/15/20(c)

      2,498         2,597,920   

CNH America LLC
7.25%, 1/15/16

      2,000         2,185,000   

Griffon Corp.
7.125%, 4/01/18(c)

      583         593,203   

Huntington Ingalls Industries, Inc.

      

6.875%, 3/15/18(c)

      698         728,537   

7.125%, 3/15/21(c)

      690         719,325   

Mohawk Industries, Inc.
6.875%, 1/15/16

      762         817,245   

RBS Global, Inc./Rexnord LLC
11.75%, 8/01/16

      2,150         2,305,875   

Reynolds Group Issuer, Inc./Reynolds
Group Issuer LLC/Reynolds Group Issuer Lu
7.125%, 4/15/19(c)

      3,000         3,075,000   

SPX Corp.
6.875%, 9/01/17(c)

      2,900         3,117,500   
           
        22,254,292   
           

Communications - Media – 1.3%

      

CCO Holdings LLC/CCO Holdings Capital Corp.

      

7.875%, 4/30/18

      565         600,312   

8.125%, 4/30/20

      187         203,363   

Clear Channel Communications, Inc.
5.75%, 1/15/13

      220         217,800   

Columbus International, Inc.
11.50%, 11/20/14(c)

      3,959         4,562,747   

DISH DBS Corp.
7.125%, 2/01/16

      2,000         2,135,000   

European Media Capital SA
10.00%, 2/01/15(d) (e)

      1,853         1,297,227   

Intelsat Jackson Holdings SA
7.25%, 4/01/19(c)

      4,231         4,236,289   

ION Media Networks, Inc.
8.381%, 1/15/13(c) (e) (f) (g)

      7,081         0   

LIN Television Corp.
8.375%, 4/15/18

      900         978,750   

Quebecor Media, Inc.
7.75%, 3/15/16

      3,000         3,112,500   

Rainbow National Services LLC
10.375%, 9/01/14(c)

      1,750         1,815,625   

Virgin Media Finance PLC
8.375%, 10/15/19

      2,000         2,250,000   

     Principal
Amount
(000)		      U.S. $ Value  

XM Satellite Radio, Inc.
7.625%, 11/01/18(c)

    U.S.$ 2,500       $ 2,637,500   

Ziggo Bond Co. BV
8.00%, 5/15/18(c)

    EUR 2,300         3,381,792   
           
        27,428,905   
           

Communications - Telecommunications – 0.9%

      

Cricket Communications, Inc.
7.75%, 5/15/16

    U.S.$ 2,970         3,155,625   

eAccess Ltd.
8.25%, 4/01/18(c)

      1,596         1,637,895   

Frontier Communications Corp.
8.125%, 10/01/18

      2,000         2,152,500   

Pacnet Ltd.
9.25%, 11/09/15(c)

      2,981         3,025,715   

Sunrise Communications International SA
7.00%, 12/31/17(c)

    EUR 1,585         2,336,112   

Vimpel Communications Via VIP Finance
Ireland Ltd. OJSC
9.125%, 4/30/18(c)

    U.S.$ 3,500         3,983,000   

Windstream Corp.

      

7.50%, 4/01/23(c)

      2,000         1,970,000   

7.75%, 10/01/21(c)

      1,070         1,087,387   
           
        19,348,234   
           

Consumer Cyclical - Automotive – 0.5%

      

American Axle & Manufacturing Holdings,
Inc.
9.25%, 1/15/17(c)

      1,882         2,089,020   

Ford Motor Co.
7.45%, 7/16/31(a)

      650         703,697   

Ford Motor Credit Co. LLC

      

5.75%, 2/01/21

      2,125         2,098,433   

7.00%, 10/01/13

      2,350         2,536,750   

Goodyear Tire & Rubber Co. (The)
8.75%, 8/15/20

      3,000         3,307,500   
           
        10,735,400   
           

Consumer Cyclical - Entertainment – 0.3%

      

Pinnacle Entertainment, Inc.
8.75%, 5/15/20

      3,100         3,224,000   

WMG Acquisition Corp.
9.50%, 6/15/16

      2,800         2,961,000   
           
        6,185,000   
           

Consumer Cyclical - Other – 0.5%

      

Broder Brothers Co.
12.00%, 10/15/13(c) (h)

      607         607,338   

Host Hotels & Resorts LP
9.00%, 5/15/17(a)

      2,000         2,255,000   

MCE Finance Ltd.
10.25%, 5/15/18

      2,420         2,804,175   

Royal Caribbean Cruises Ltd.
7.00%, 6/15/13

      2,000         2,130,000   

     Principal
Amount
(000)		      U.S. $ Value  

William Lyon Homes, Inc.
10.75%, 4/01/13

    U.S.$ 2,000       $ 1,665,000   
           
        9,461,513   
           

Consumer Cyclical - Retailers – 0.7%

      

AutoNation, Inc.
6.75%, 4/15/18

      481         503,246   

Burlington Coat Factory Warehouse Corp.
10.00%, 2/15/19(c)

      401         388,970   

JC Penney Co., Inc.
5.65%, 6/01/20

      3,100         2,987,625   

Limited Brands, Inc.
6.90%, 7/15/17

      5,593         5,998,493   

Rite Aid Corp.
8.00%, 8/15/20

      3,200         3,388,000   

Toys R US - Delaware, Inc.
7.375%, 9/01/16(c)

      2,220         2,325,450   
           
        15,591,784   
           

Consumer Non-Cyclical – 0.6%

      

CHS/Community Health Systems, Inc.
8.875%, 7/15/15

      1,600         1,688,000   

Fresenius Medical Care US Finance, Inc.
5.75%, 2/15/21(c)

      2,125         2,058,594   

HCA, Inc.
8.50%, 4/15/19

      1,895         2,103,450   

Mylan Inc.

      

7.625%, 7/15/17(c)

      290         311,750   

7.875%, 7/15/20(c)

      290         314,650   

Select Medical Corp.
7.625%, 2/01/15

      250         254,375   

Select Medical Holdings Corp.
6.211%, 9/15/15

      5,000         4,868,750   
           
        11,599,569   
           

Energy – 0.6%

      

Chesapeake Energy Corp.
6.625%, 8/15/20

      3,000         3,195,000   

Cie Generale de Geophysique-Veritas

      

7.50%, 5/15/15

      46         47,265   

9.50%, 5/15/16

      857         955,555   

Forest Oil Corp.
7.25%, 6/15/19

      2,964         3,097,380   

Hilcorp Energy I LP/Hilcorp Finance Co.
7.75%, 11/01/15(c)

      2,000         2,070,000   

Tesoro Corp.
9.75%, 6/01/19

      3,800         4,313,000   
           
        13,678,200   
           

Other Industrial – 0.2%

      

Marfrig Overseas Ltd.
9.50%, 5/04/20(c)

      4,151         4,327,417   
           

     Principal
Amount
(000)		      U.S. $ Value  

Services – 0.3%

      

Live Nation Entertainment, Inc.
8.125%, 5/15/18(c)

      U.S.$1,820       $ 1,870,050   

Service Corp. International/US

      

6.75%, 4/01/16

      1,845         1,964,925   

7.50%, 4/01/27

      3,300         3,135,000   

West Corp.
11.00%, 10/15/16

      150         161,250   
           
        7,131,225   
           

Technology – 0.0%

      

Freescale Semiconductor, Inc.

      

9.25%, 4/15/18(c)

      407         445,665   

10.125%, 12/15/16(a)

      300         318,750   
           
        764,415   
           

Transportation - Airlines – 0.0%

      

American Airlines, Inc.
10.50%, 10/15/12

      669         727,538   
           

Transportation - Services – 0.0%

      

Quality Distribution LLC/QD Capital Corp.
11.75%, 11/01/13(h)

      144         143,700   
           
        192,946,772   
           

Utility – 1.4%

      

Electric – 1.1%

      

AES Corp. (The)
8.00%, 10/15/17

      2,000         2,150,000   

Calpine Corp.
7.875%, 7/31/20(c)

      3,200         3,400,000   

CMS Energy Corp.
8.75%, 6/15/19

      3,900         4,654,365   

Duquesne Light Holdings, Inc.
6.40%, 9/15/20(c)

      2,140         2,177,183   

GenOn Energy, Inc.
7.875%, 6/15/17

      2,100         2,084,250   

Inkia Energy Ltd.
8.375%, 4/04/21(c)

      1,930         1,939,650   

Mirant Americas Generation LLC
8.50%, 10/01/21

      3,200         3,328,000   

NRG Energy, Inc.

      

7.375%, 1/15/17

      3,000         3,127,500   

8.25%, 9/01/20(c)

      1,300         1,352,000   
           
        24,212,948   
           

Natural Gas – 0.3%

      

El Paso Corp.
Series G
7.75%, 1/15/32

      2,000         2,241,164   

     Principal
Amount
(000)		      U.S. $ Value  

El Paso Pipeline Partners Operating Co.
LLC
6.50%, 4/01/20

    U.S.$ 3,100       $ 3,408,862   
           
        5,650,026   
           
        29,862,974   
           

Financial Institutions – 1.1%

      

Banking – 0.3%

      

ABN Amro Bank NV
4.31%, 3/10/16

    EUR 6,790         7,577,942   
           

Brokerage – 0.0%

      

Lehman Brothers Holdings, Inc.
6.875%, 5/02/18(f)

    U.S.$ 3,605         946,313   
           

Finance – 0.4%

      

Ally Financial, Inc.

      

6.875%, 9/15/11

      2,507         2,554,006   

8.00%, 11/01/31

      2,456         2,677,040   

Series 8

      

6.75%, 12/01/14

      2,640         2,781,900   
           
        8,012,946   
           

Insurance – 0.0%

      

Pearl Group Holdings Ltd. No 1
6.586%, 4/25/16

    GBP 43         44,316   
           

Other Finance – 0.2%

      

DTEK Finance
BV 9.50%, 4/28/15(c)

    U.S.$ 4,110         4,351,257   
           

REITS – 0.2%

      

Developers Diversified Realty Corp.
7.875%, 9/01/20

      3,000         3,439,926   
           
        24,372,700   
           

Total Corporates - Non-Investment Grades
(cost $241,716,036)

         247,182,446   
           

AGENCIES – 7.1%

      

Agency Debentures – 7.1%

      

Federal National Mortgage Association

      

4.375%, 10/15/15

      76,865         83,858,101   

5.375%, 6/12/17

      59,222         67,527,826   
           

Total Agencies
(cost $145,228,963)

         151,385,927   
           

MORTGAGE PASS-THRU’S – 6.2%

      

Agency Fixed Rate 30-Year – 3.4%

      

Federal Home Loan Mortgage Corp. Gold

      

Series 2006

      

6.00%, 9/01/36

      25,016         27,221,443   

Series 2007

      

7.00%, 2/01/37

      7,147         8,137,012   

Federal National Mortgage Association

      

6.00%, 2/01/40-4/01/40

      12,683         13,798,845   

Series 1998

      

     Principal
Amount
(000)		      U.S. $ Value  

8.00%, 6/01/28

    U.S.$ 48       $ 54,162   

Series 1999

      

7.50%, 11/01/29

      66         74,760   

Series 2008

      

6.00%, 5/01/38

      20,836         22,665,768   
           
        71,951,990   
           

Agency ARMs – 2.8%

      

Federal Home Loan Mortgage Corp.
Series 2007

      

5.605%, 1/01/37(i)

      11,613         12,196,697   

5.681%, 3/01/37(i)

      7,617         8,083,802   

5.733%, 2/01/37(i)

      8,209         8,711,569   

5.874%, 3/01/37(i)

      2,711         2,877,362   

5.993%, 2/01/37(i)

      7,909         8,330,853   

Federal National Mortgage Association
Series 2006

      

5.716%, 11/01/36(i)

      5,575         5,878,366   

Series 2007

      

5.919%, 3/01/37(i)

      13,467         14,222,578   
           
        60,301,227   
           

Total Mortgage Pass-Thru’s
(cost $126,513,748)

         132,253,217   
           

BANK LOANS – 2.6%

      

Industrial – 2.2%

      

Basic – 0.1%

      

Flakeboard US GP I / Flakeboard America
Limited
7.76%, 7/28/12(i)

      1,855         1,812,479   

Ineos US Finance LLC

      

7.50%, 12/16/13(i)

      305         314,938   

8.00%, 12/16/14(i)

      349         361,997   
           
        2,489,414   
           

Capital Goods – 0.3%

      

Harbor Freight Tools USA, Inc. / Central
Purchasing, LLC
6.50%, 12/22/17(i)

      5,486         5,534,255   

Hawker Beechcraft Acquisition Company LLC

      

2.25%-2.31%, 3/26/14(i)

      113         99,331   

2.31%, 3/26/14(i)

      7         6,142   

Manitowoc Co. Inc., (The)
8.00%, 11/06/14(i)

      125         125,224   

Sequa Corp.
3.56%, 12/03/14(i)

      397         389,674   
           
        6,154,626   
           

Communications - Media – 0.3%

      

Cengage Learning Acquisitions, Inc.
(Thomson Learning)
2.50%, 7/03/14(i)

      715         683,804   

     Principal
Amount
(000)		      U.S. $ Value  

Charter Communications Operating, LLC
2.25%, 3/06/14(i)

    U.S.$ 589       $ 587,097   

Clear Channel Communications, Inc.
3.90%, 1/29/16(i)

      408         359,279   

Sunshine Acquisition Limited (aka HIT
Entertainment)
5.56%, 6/01/12(i)

      725         712,006   

SuperMedia Inc. (fka Idearc Inc.)
11.00%, 12/31/15(i)

      318         209,976   

Univision Communications Inc.
4.50%, 3/31/17(i)

      2,445         2,384,145   

WideOpenWest Finance , LLC
2.76%-4.75%, 6/30/14(i)

      1,466         1,391,479   
           
        6,327,786   
           

Communications - Telecommunications – 0.3%

      

Level 3 Financing, Inc.
2.55%, 3/13/14(i)

      1,316         1,276,002   

Lightsquared LP
12.00%, 10/01/14(i)

      4,000         3,915,000   

Sorenson Communications, Inc.
6.00%, 8/16/13(i)

      918         874,391   
           
        6,065,393   
           

Consumer Cyclical - Automotive – 0.0%

      

Ford Motor Co.
3.01%, 12/15/13(i)

      357         356,945   
           

Consumer Cyclical - Entertainment – 0.1%

      

Las Vegas Sands, LLC
3.00%, 11/23/16(i)

      884         862,620   

London Arena and Waterfront Finance, LLC
(O2 Arena)
2.79%, 3/08/12(i)

      1,159         1,157,275   
           
        2,019,895   
           

Consumer Cyclical - Other – 0.2%

      

Caesars Entertainment Operating Company Inc.
(fka Harrah’s Operating Company, Inc.)

      

3.30%, 1/28/15(i)

      601         557,963   

3.30%-3.31%, 1/28/15(i)

      549         509,724   

CityCenter Holdings, LLC
7.50%, 1/21/15(i)

      375         378,750   

Great Atlantic & Pacific Tea Company,
Inc., The
8.75%, 6/14/12(i)

      250         253,020   

November 2005 Land Investors, LLC (North Las
Vegas Consortium)

      

7.25%, 4/30/10(f) (i)

      2,179         5,556   

7.75%, 3/31/11(f) (i)

      61         12,651   

     Principal
Amount
(000)		      U.S. $ Value  

VML US Finance LLC (aka Venetian
Macau)
4.79%, 5/25/12-5/28/13(i)

    U.S.$ 1,438       $ 1,437,392   
           
        3,155,056   
           

Consumer Cyclical - Retailers – 0.1%

      

Burlington Coat Factory Warehouse
Corporation
6.25%, 2/23/17(i)

      1,000         987,220   

Mattress Holding Corp.
2.56%-4.50%, 1/18/14(i)

      481         454,182   

Neiman Marcus Group Inc., The
4.31%, 4/06/16(i)

      489         490,092   

Targus Holdings, Inc.
8.75%, 11/22/12(i)

      920         918,023   
           
        2,849,517   
           

Consumer Non-Cyclical – 0.2%

      

CHS/Community Health Systems, Inc.

      

2.56%, 7/25/14(i)

      391         387,234   

3.81%, 1/25/17(i)

      187         186,665   

Grifols Inc.
10/09/15(j)

      500         497,500   

Harlan Laboratories, Inc. (fka Harlan
Sprague Dawley, Inc.)
3.75%-3.79%, 7/11/14(i)

      880         817,309   

HCA, Inc.
2.56%, 11/18/13(i)

      895         889,809   

HCR Healthcare, LLC
4.75%, 12/22/14(i)

      475         472,968   

U.S. Foodservice
2.75%-2.76%, 7/03/14(i)

      997         969,362   
           
        4,220,847   
           

Energy – 0.0%

      

CITGO Petroleum Corporation
9.00%, 6/24/17(i)

      347         364,254   

Dalbo, Inc.
7.00%, 8/27/12(i)

      480         438,075   
           
        802,329   
           

Other Industrial – 0.0%

      

Gavilon Group LLC, The
6.00%, 12/06/16(i)

      346         346,144   
           

     Principal
Amount
(000)		      U.S. $ Value  

Services – 0.3%

      

Advantage Sales & Marketing Inc.
5.25%, 12/17/17(i)

    U.S.$ 848       $ 848,502   

Aveta, Inc.
8.50%, 4/14/15(i)

      319         320,012   

Global Cash Access, Inc.
7.00%, 3/01/16(i)

      476         476,786   

Koosharem LLC
10.25%, 6/30/14(h) (i)

      852         734,979   

Sabre Inc.
2.25%-2.30%, 9/30/14(i)

      2,178         2,049,727   

ServiceMaster Co. (The)

      

2.75%, 7/24/14(i)

      62         61,095   

2.81%, 7/24/14(i)

      625         613,493   

Travelport LLC (fka Travelport Inc.)

      

4.74%, 8/21/15(i)

      445         439,754   

4.81%, 8/21/15(i)

      89         88,237   

West Corporation
4.55%-4.71%, 7/15/16(i)

      485         485,810   
           
        6,118,395   
           

Technology – 0.3%

      

Avaya, Inc.

      

3.06%, 10/24/14(i)

      121         117,563   

4.81%, 10/26/17(i)

      244         237,658   

First Data Corporation
3.00%, 9/24/14(i)

      932         891,904   

IPC Systems, Inc.

      

2.50%-2.56%, 6/02/14(i)

      1,748         1,685,566   

5.56%, 6/01/15(i)

      2,000         1,915,000   

SunGard Data Systems Inc. (Solar Capital Corp.)

      

2.00%-2.01%, 2/28/14(i)

      33         32,008   

3.91%-3.94%, 2/28/16(i)

      436         435,799   
           
        5,315,498   
           

Transportation - Airlines – 0.0%

      

Delta Air Lines, Inc.
3.51%, 4/30/14(i)

      981         974,646   
           

Transportation - Services – 0.0%

      

Swift Transportation Co., LLC
6.00%, 12/21/16(i)

      377         379,228   
           
        47,575,719   
           

Financial Institutions – 0.2%

      

Finance – 0.2%

      

CIT Group, Inc.
6.25%, 8/11/15(i)

      2,391         2,427,466   

Delos Aircraft Inc.
7.00%, 3/17/16(i)

      434         438,806   

     Principal
Amount
(000)		      U.S. $ Value  

International Lease Finance Corp (Delos Aircraft Inc)
6.75%, 3/17/15(i)

    U.S.$ 591       $ 593,564   

LPL Holdings, Inc.

      

2.00%-2.06%, 6/28/13(i)

      187         186,299   

4.25%, 6/25/15(i)

      589         590,837   
           
        4,236,972   
           

Insurance – 0.0%

      

Asurion Corp.
3.26%-3.31%, 7/03/14(i)

      296         292,790   
           
        4,529,762   
           

Utility – 0.2%

      

Electric – 0.2%

      

FirstLight Power Resources, Inc. (fka NE Energy, Inc.)

      

2.81%, 11/01/13(i)

      538         530,434   

4.81%, 5/01/14(i)

      1,000         945,000   

GBGH, LLC (US Energy)

      

4.00%, 6/09/13(e) (g) (i)

      286         128,855   

12.00%, 6/09/14(e) (g) (h) (i)

      103         0   

Texas Competitive Electric Holdings Company, LLC (TXU)

      

3.75%-3.80%, 10/10/14(i)

      972         818,407   

3.75%-3.80%, 10/10/14(i)

      724         607,501   

3.75%-3.80%, 10/10/14(i)

      772         649,816   
           
        3,680,013   
           

Total Bank Loans
(cost $55,950,260)

         55,785,494   
           

COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.5%

      

Non-Agency Fixed Rate CMBS – 3.5%

      

Banc of America Commercial Mortgage, Inc.
Series 2007-5, Class A4
5.492%, 2/10/51

      3,919         4,115,147   

Commercial Mortgage Pass Through
Certificates
Series 2007-C9, Class A4
5.815%, 12/10/49

      5,030         5,457,791   

Credit Suisse Mortgage Capital Certificates

      

Series 2006-C4, Class AM

      

5.509%, 9/15/39

      13,000         12,787,303   

Series 2006-C5, Class A3

      

5.311%, 12/15/39

      13,000         13,649,830   

JP Morgan Chase Commercial Mortgage
Securities Corp.

      

Series 2006-CB15, Class AM

      

5.855%, 6/12/43

      1,651         1,661,266   

Series 2007-C1, Class A4

      

5.716%, 2/15/51

      5,224         5,532,076   

Series 2007-CB18, Class A4

      

5.44%, 6/12/47

      155         163,445   

     Principal
Amount
(000)		      U.S. $ Value  

Merrill Lynch Mortgage Trust
Series 2008-C1, Class A4
5.69%, 2/12/51

    U.S.$ 6,000       $ 6,356,936   

Merrill Lynch/Countrywide Commercial Mortgage Trust

      

Series 2006-4, Class AM

      

5.204%, 12/12/49

      10,000         9,829,804   

Series 2007-9, Class A4

      

5.70%, 9/12/49

      5,220         5,469,244   

Morgan Stanley Capital I
Series 2006-IQ12, Class AMFX
5.37%, 12/15/43

      8,500         8,527,715   
           
        73,550,557   
           

Non-Agency Floating Rate CMBS – 0.0%

      

Eclipse Ltd.
Series 2007-1X, Class B
1.023%, 1/25/20(c) (i)

    GBP 59         54,960   
           

Total Commercial Mortgage-Backed Securities
(cost $67,731,960)

         73,605,517   
           

QUASI-SOVEREIGNS – 3.1%

      

Quasi-Sovereign Bonds – 3.1%

      

Indonesia – 0.3%

      

Majapahit Holding BV
7.875%, 6/29/37(c)

    U.S.$ 6,188         6,744,920   
           

Kazakhstan – 0.5%

      

KazMunayGas National Co.
8.375%, 7/02/13(c)

      9,625         10,671,719   
           

Russia – 2.3%

      

Russian Agricultural Bank OJSC Via RSHB Capital SA

      

6.299%, 5/15/17(c)

      22,568         23,644,494   

7.125%, 1/14/14(c)

      12,351         13,431,712   

7.75%, 5/29/18(c)

      9,905         11,095,581   
           
        48,171,787   
           

Total Quasi-Sovereigns
(cost $49,881,502)

         65,588,426   
           

INFLATION-LINKED SECURITIES – 2.0%

      

United States – 2.0%

      

U.S. Treasury Inflation Index
2.125%, 1/15/19 (TIPS)
(cost $41,067,446)

      37,433         41,770,290   
           

EMERGING MARKETS - SOVEREIGNS – 1.8%

      

Argentina – 0.7%

      

Republic of Argentina
7.82%, 12/31/33

    EUR 12,751         13,688,418   
           

El Salvador – 0.3%

      

El Salvador
7.65%, 6/15/35(c)

    U.S.$ 5,957         5,957,000   
           

 

     Principal
Amount
(000)		      U.S. $ Value  

Indonesia – 0.8%

      

Republic of Indonesia

      

6.625%, 2/17/37(c)

    U.S.$ 720       $ 770,400   

6.75%, 3/10/14(c)

      565         624,325   

6.875%, 1/17/18(c)

      8,285         9,372,406   

7.75%, 1/17/38(c)

      5,073         6,036,870   

8.50%, 10/12/35(c)

      801         1,031,288   
           
        17,835,289   
           

Total Emerging Markets - Sovereigns
(cost $30,311,648)

         37,480,707   
           

GOVERNMENTS - SOVEREIGN BONDS – 1.2%

      

Croatia – 0.2%

      

Republic of Croatia

      

6.375%, 3/24/21(c)

      1,230         1,234,305   

6.75%, 11/05/19(c)

      2,750         2,887,500   
           
        4,121,805   
           

Hungary – 0.5%

      

Hungary Government International Bond
6.375%, 3/29/21

      10,640         10,712,778   
           

Lithuania – 0.3%

      

Republic of Lithuania
6.75%, 1/15/15(c)

      5,100         5,546,250   
           

Poland – 0.2%

      

Poland Government International Bond
3.875%, 7/16/15

      5,268         5,314,095   
           

Total Governments - Sovereign Bonds
(cost $24,847,375)

         25,694,928   
           

EMERGING MARKETS - TREASURIES – 0.6%

      

Colombia – 0.4%

      

Colombia Government International Bond
7.75%, 4/14/21

    COP 9,860,000         5,734,447   

Republic of Colombia
9.85%, 6/28/27

      4,287,000         2,797,259   
           
        8,531,706   
           

Turkey – 0.2%

      

Turkey Government Bond
16.00%, 3/07/12

    TRY 4,834         3,332,342   
           

Total Emerging Markets - Treasuries
(cost $9,685,059)

         11,864,048   
           

EMERGING MARKETS - CORPORATE BONDS – 0.5%

      

Financial Institutions – 0.3%

      

Banking – 0.3%

      

ATF Bank JSC
9.00%, 5/11/16(c)

    U.S.$ 3,817         4,017,393   

Banco BMG SA
9.15%, 1/15/16(c)

      400         420,000   

     Principal
Amount
(000)		      U.S. $ Value  

CenterCredit International BV
8.625%, 1/30/14(c)

    U.S.$ 2,297       $ 2,345,696   
           
        6,783,089   
           

Other Finance – 0.0%

      

AES El Salvador Trust
6.75%, 2/01/16(c)

      350         344,750   
           
        7,127,839   
           

Industrial – 0.2%

      

Consumer Cyclical - Other – 0.1%

      

Peermont Global Pty Ltd.
7.75%, 4/30/14(c)

    EUR 50         63,774   

Royal Caribbean Cruises Ltd.
7.50%, 10/15/27

    U.S.$ 1,100         1,090,375   
           
        1,154,149   
           

Consumer Non-Cyclical – 0.1%

      

Foodcorp Ltd.
8.875%, 6/15/12(c)

    EUR 194         281,037   

JBS Finance II Ltd.
8.25%, 1/29/18(c)

    U.S.$ 3,100         3,185,250   
           
        3,466,287   
           
        4,620,436   
           

Total Emerging Markets - Corporate Bonds
(cost $11,103,889)

         11,748,275   
           

LOCAL GOVERNMENTS - MUNICIPAL BONDS – 0.5%

      

United States – 0.5%

      

California GO

      

7.95%, 3/01/36

      3,955         4,226,273   

Illinois GO

      

7.35%, 7/01/35

      3,330         3,402,594   

Texas Transp Comm

      

(Texas St Hwy Fund First Tier)

      

5.178%, 4/01/30

      2,560         2,515,917   
           

Total Local Governments - Municipal Bonds
(cost $9,890,563)

         10,144,784   
           

ASSET-BACKED SECURITY – 0.2%

      

Autos - Floating Rate – 0.2%

      

Wheels SPV LLC
Series 2009-1, Class A
1.805%, 3/15/18(c) (i)
(cost $3,953,631)

      3,937         3,958,222   
           
     Shares         

PREFERRED STOCKS – 0.1%

      

Financial Institutions – 0.1%

      

Finance – 0.1%

      

Ally Financial, Inc.
7.00% (c)

      2,680         2,493,740   
           

 

Company

    Shares      U.S. $ Value  

Non Corporate Sectors – 0.0%

      

Agencies - Government Sponsored – 0.0%

      

Federal National Mortgage Association
8.25%

      125,325       $ 213,052   
           

Total Preferred Stocks
(cost $3,668,923)

         2,706,792   
           
     Principal
Amount
(000)		         

CMOs – 0.1%

      

Non-Agency Fixed Rate – 0.1%

      

Merrill Lynch Mortgage Investors, Inc.
Series 2005-A9, Class 2A1A
2.669%, 12/25/35

    U.S.$ 1,088         1,074,223   
           

Agency Fixed Rate – 0.0%

      

Government National Mortgage Association
Series 2006-32, Class XM
0.373%, 11/16/45(k)

      4,018         80,412   
           

Total CMOs
(cost $1,302,112)

         1,154,635   
           

LOCAL GOVERNMENTS - REGIONAL BONDS – 0.0%

      

Colombia – 0.0%

      

Bogota Distrio Capital
9.75%, 7/26/28(c)
(cost $192,783)

    COP 438,000         284,048   
           
     Shares         

WARRANTS – 0.0%

      

GBGH, LLC, expiring 6/09/19(e) (g) (1)

      517         0   

New Koosharem Corp., expiring 1/01/49(e) (g) (1)

      1,776         2   

Quality Distribution, LLC, expiring 11/01/13(1)

      40,706         0   
           

Total Warrants
(cost $2)

         2   
           

COMMON STOCKS – 0.0%

      

Broder Brothers Co.(1)

      49,472         0   

Gallery Media(e) (1) (m)

      697         0   
           

Total Common Stocks
(cost $0)

         0   
           

SHORT-TERM INVESTMENTS – 1.8%

      

Investment Companies – 1.8%

      

AllianceBernstein Fixed-Income Shares, Inc. -
Government STIF Portfolio, 0.16%(n)
(cost $39,321,832)

      39,321,832         39,321,832   
           

 

     U.S. $ Value  

Total Investments – 145.9%
(cost $3,016,955,009)(o)

    $ 3,100,695,847   

Other assets less liabilities – (45.9%)

      (975,740,271 ) 
        

Net Assets – 100.0%

    $ 2,124,955,576   
        

FUTURES CONTRACTS

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
March 31,
2011		      Unrealized
Appreciation/
(Depreciation)		  

Sold Contracts

               

U.S. T-Bond 30 Yr Futures

      1,439         June 2011       $ 171,710,337       $ 172,949,813       $ (1,239,476 ) 

U.S. T-Note 10 Yr Futures

      3,539         June 2011         419,978,524         421,251,594         (1,273,070 ) 
                    
               $ (2,512,546 ) 
                    
              

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty & Description

    Contract
Amount
(000)		      U.S. $
Value on
Origination
Date		      U.S. $
Value at
March 31,
2011		      Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts:

            

Barclays Bank PLC Wholesale:

            

Norwegian Krone settling 4/15/11

      120,358       $ 21,017,580       $ 21,751,240       $ 733,660   

BNP Paribas SA:

            

New Zealand Dollar settling 4/08/11

      29,983         22,429,019         22,871,230         442,211   

Citibank N.A.:

            

Brazilian Real settling 4/04/11

      54,211         33,284,936         33,204,407         (80,529 ) 

Credit Suisse London Branch (GFX):

            

Chinese Yuan Renminbi settling 1/13/12 (1)

      176,203         27,182,416         27,337,247         154,831   

South Korean Won settling 4/18/11

      49,840,097         44,149,257         45,397,497         1,248,240   

Deutsche Bank AG London:

            

Brazilian Real settling 4/04/11

      21,110         12,961,084         12,929,726         (31,358 ) 

Goldman Sachs International:

            

Brazilian Real settling 4/04/11

      75,321         45,927,374         46,134,134         206,760   

Euro settling 5/12/11

      475         665,665         672,691         7,026   

HSBC Bank USA:

            

Mexican Peso settling 4/11/11

      260,000         21,530,308         21,844,579         314,271   

Morgan Stanley and Co. Inc.:

            

Swedish Krona settling 4/15/11

      162,394         25,018,376         25,714,648         696,272   

Royal Bank of Scotland PLC:

            

Euro settling 5/12/11

      15,270         21,279,682         21,624,639         344,957   

Norwegian Krone settling 4/15/11

      125,786         21,466,801         22,732,115         1,265,314   

South African Rand settling 4/14/11

      72,117         9,884,100         10,645,117         761,017   

Standard Chartered Bank:

            

Russian Rubles settling 4/13/11 (1)

      277,483         9,756,627         9,758,102         1,475   

Sale Contracts:

            

Barclays Bank PLC Wholesale:

            

Counterparty & Description

    Contract
Amount
(000)		      U.S. $
Value on
Origination
Date		      U.S. $
Value at
March 31,
2011		      Unrealized
Appreciation/
(Depreciation)		  

Swedish Krona settling 4/15/11

      27,311       $ 4,293,146       $ 4,324,557       $ (31,411 ) 

BNP Paribas SA:

            

Euro settling 5/12/11

      90,747         126,286,761         128,515,619         (2,228,858 ) 

Citibank N.A.:

            

Brazilian Real settling 4/04/11

      54,211         32,432,651         33,204,408         (771,757 ) 

Credit Suisse London Branch (GFX):

            

Japanese Yen settling 5/24/11

      2,695,496         33,308,567         32,414,855         893,712   

Deutsche Bank AG London:

            

Brazilian Real settling 4/04/11

      21,110         12,582,534         12,929,726         (347,192 ) 

Goldman Sachs International:

            

Brazilian Real settling 4/04/11

      75,321         46,246,020         46,134,133         111,887   

Brazilian Real settling 5/03/11

      75,321         45,649,026         45,880,141         (231,115 ) 

Morgan Stanley and Co. Inc.:

            

Great British Pound settling 6/09/11

      231         369,630         369,811         (181 ) 

Royal Bank of Scotland PLC:

            

Mexican Peso settling 4/11/11

      131,564         10,828,381         11,053,653         (225,272 ) 

UBS AG:

            

Pound Sterling settling 4/04/11

      231         369,739         370,130         (391 ) 

South African Rand settling 4/14/11

      77,797         11,044,713         11,483,537         (438,824 ) 

Westpac Banking Corporation:

            

New Zealand Dollar settling 4/08/11

      29,901         22,086,940         22,808,560         (721,620 ) 

 

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

CREDIT DEFAULT SWAP CONTRACTS ON CORPORATE AND INDICES

 

Swap Counterparty & Referenced Obligation/Index

    Fixed
Deal
(Pay)
Receive
Rate		     Implied
Credit
Spread at
March 31,
2011		     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 )%      1.41 %    $ 5,000       $ (80,402 )    $ —        $ (80,402 ) 

Sale Contracts

              

Credit Suisse International:

CDX NAHY-15 5 Yr, 12/20/15*

      5.00        7.16        5,050         (391,235 )      (520,670 )      129,435   

Credit Suisse International:

CDX NAHY-15 5 Yr, 12/20/15*

      5.00        7.16        5,650         (437,718 )      (577,998 )      140,280   

Morgan Stanley Capital Services Inc.:

CDX NAHY-15 5 Yr Index, 12/20/15*

      5.00        4.16        21,400         741,462        477,072        264,390   

 

* Termination date

REVERSE REPURCHASE AGREEMENTS

 

Broker

    Interest Rate     Maturity      U.S. $
Value at
March 31, 2011		  

Barclays Bank

      0.00 %      12/31/11       $ 1,090,000   

Deutsche Bank

      0.17 %      4/04/11         144,474,779   

Deutsche Bank

      0.17 %      4/11/11         41,852,174   

HSBC

      0.13 %      4/06/11         139,706,668   

HSBC

      0.16 %      4/12/11         201,230,808   

HSBC

      0.17 %      4/04/11         127,177,059   

HSBC

      0.17 %      4/11/11         107,805,600   

HSBC

      0.17 %      4/12/11         47,625,675   

HSBC

      0.18 %      4/06/11         173,007,865   

ING

      (2.50 )%*      12/30/11         987,919   

ING

      (0.25 )%*      12/30/11         1,059,875   

ING

      0.05 %      12/30/11         10,769,525   
             
     $ 996,787,947   
             

 

* 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 $988,742,576.
(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 $20,039,783.
(c) 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, 2011, the aggregate market value of these securities amounted to $340,487,145 or 16.0% of net assets.
(d) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.06% of net assets as of March 31, 2011, are 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       $ 2,663,493       $ 1,297,227         0.06 % 

 

(e) Fair valued.
(f) Security is in default and is non-income producing.
(g) Illiquid security.
(h) Pay-In-Kind Payments (PIK).
(i) Floating Rate Security. Stated interest rate was in effect at March 31, 2011.
(j) This position or a portion of this position represents an unsettled loan purchase. At March 31, 2011, the market value and unrealized loss of these unsettled loan purchases amounted to $497,500 and $8,750, 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) IO - Interest Only
(l) Non-income producing security.
(m) Restricted and illiquid security.
(n) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(o) As of March 31, 2011, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $120,982,767 and gross unrealized depreciation of investments was
     $(37,241,929), resulting in net unrealized appreciation of $83,740,838.

Currency Abbreviations:

BRL – Brazilian Real
COP – Colombian Peso
EUR – Euro
GBP – Great British Pound
RUB – Russian Ruble
TRY – Turkish Lira
ZAR – South African Rand

Glossary:

ARMs – Adjustable Rate Mortgages
CMBS – Commercial Mortgage-Backed Securities
CMOs – Collateralized Mortgage Obligations
GO – General Obligation
OJSC – Open Joint Stock Company
REIT – Real Estate Investment Trust
STRIPS – Separate Trading of Registered Interest and Principle of Securities
TIPS – Treasury Inflation Protected Security

AllianceBernstein Income Fund

Portfolio Summary

March 31, 2011 (unaudited)

COUNTRY BREAKDOWN *

 

  84.5%   United States
    4.0%   Russia
    2.5%   Brazil
    0.8%   Indonesia
    0.7%   United Kingdom
    0.6%   Kazakhstan
    0.5%   Australia
    0.4%   Argentina
    0.4%   Colombia
    0.4%   South Africa
    0.4%   Canada
    0.4%   Netherlands
    0.3%   Hungary
    2.8%   Other
    1.3%   Short-Term
   
100.0%   Total Investments
   

 

* All data are as of March 31, 2011. 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: Barbados, Belgium, Bermuda, China, Croatia, El Salvador, France, Germany, Hong Kong, India, Japan, Lithuania, Luxembourg, New Zealand, Peru, Poland, Sweden, Switzerland, Turkey and Ukraine.

AllianceBernstein Income Fund

March 31, 2011 (unaudited)

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

 

  •  

Level 1 - quoted prices in active markets for identical investments

 

  •  

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

 

  •  

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

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of March 31, 2011:

 

Investments in Securities

    Level 1     Level 2     Level 3      Total  

Assets:

          

Governments - Treasuries

    $ —        $ 1,846,954,286      $ —         $ 1,846,954,286   

Corporates - Investment Grades

      —          341,811,971        —           341,811,971   

Corporates - Non-Investment Grades

      —          243,945,569        3,236,877         247,182,446   

Agencies

      —          151,385,927        —           151,385,927   

Mortgage Pass-Thru’s

      —          132,253,217        —           132,253,217   

Bank Loans

      —          —          55,785,494         74,716,443   

Commercial Mortgage-Backed Securities

      —          31,160,078        42,445,439         73,605,517   

Quasi-Sovereigns

      —          65,588,426        —           65,588,426   

Inflation-Linked Securities

      —          41,770,290        —           41,770,290   

Emerging Markets - Sovereigns

      —          37,480,707        —           37,480,707   

Governments - Sovereign Bonds

      —          25,694,928        —           25,694,928   

Emerging Markets - Treasuries

      —          11,864,048        —           11,864,048   

Emerging Markets - Corporate Bonds

      —          11,748,275        —           11,748,275   

Local Governments - Municipal Bonds

      —          10,144,784        —           10,144,784   

Asset-Backed Security

      —          3,958,222        —           3,958,222   

Preferred Stocks

      213,052        2,493,740        —           2,706,792   

CMOs

      —          80,412        1,074,223         1,154,635   

Local Governments - Regional Bonds

      —          284,048        —           284,048   

Warrants

      —          —          2         2   

Common Stocks^

      —          —          0         0   

Short-Term Investments

      39,321,832        —          —           39,321,832   
                                 

Total Investments in Securities

      39,534,884        2,958,618,928+        102,542,035         3,100,695,847   

Other Financial Instruments* :

          

Assets

          

Forward Currency Exchange Contracts

      —          7,181,633        —           7,181,633   

Credit Default Swap Contracts

      —          534,105        —           534,105   

Liabilities

          

Futures Contracts

      (2,512,546 )      —          —           (2,512,546 ) 

Forward Currency Exchange Contracts

      —          (5,108,508 )      —           (5,108,508 ) 

Credit Default Swap Contracts

      —          (80,402 )      —           (80,402 ) 
                                 

Total

    $ 37,022,338      $ 2,961,145,756      $ 102,542,035       $ 3,100,710,129   
                                 

 

^ 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.
+ The earlier close of the foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred between the close of the foreign markets and the time at which the Fund values its securities which may materially affect the value of securities trading in such markets. To account for this, the Fund may frequently value many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available. Accordingly, a significant portion of the Fund’s investments are categorized as level 2 investments.

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

 

     Corporates - Non-
Investment Grades		     Bank Loans     Commercial
Mortgage-Backed
Securities		  

Balance as of 12/31/10

    $ 1,223,099      $ 53,468,498      $ 46,176,890   

Accrued discounts/(premiums)

      (54,001 )      127,994        73,181   

Realized gain (loss)

      —          200,197        741,573   

Change in unrealized appreciation/depreciation

      153,817        1,101,629        (312,767 ) 

Purchases

      1,913,962        7,686,628        —     

Sales

      —          (6,799,452 )      (4,233,438 ) 

Transfers into Level 3

      —          —          —     

Transfers out of Level 3

      —          —          —     
                        

Balance as of 3/31/11

    $ 3,236,877      $ 55,785,494      $ 42,445,439   
                        

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/11

    $ 153,426      $ 1,188,930      $ 332,690   
                        
     CMOs     Warrants     Common Stocks*  

Balance as of 12/31/10

    $ 1,428,922      $ 231,215      $ 0   

Accrued discounts/(premiums)

      780        —          —     

Realized gain (loss)

      24,063        242,984        —     

Change in unrealized appreciation/depreciation

      (3,402 )      (175,162 )      —     

Purchases

      —          2        —     

Sales

      (376,140 )      (299,037 )      —     

Transfers into Level 3

      —          —          —     

Transfers out of Level 3

      —          —          —     
                        

Balance as of 3/31/11

    $ 1,074,223      $ 2      $ 0   
                        

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/11

    $ (3,402 )    $ —        $ —     
                        
     Total              

Balance as of 12/31/10

    $ 102,528,624       

Accrued discounts/(premiums)

      147,954       

Realized gain (loss)

      1,208,817       

Change in unrealized appreciation/depreciation

      764,115       

Purchases

      9,600,592       

Sales

      (11,708,067 )     

Transfers into Level 3

      —         

Transfers out of Level 3

      —         
            

Balance as of 3/31/11

    $ 102,542,035       
            

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/11

    $ 1,671,644       
            

 

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

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 26, 2011

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 26, 2011

 

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

Date: May 26, 2011