N-Q 1 dnq.htm SANFORD C. BERNSTEIN FUND II, INC. Sanford C. Bernstein Fund II, 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: 811-21034

SANFORD C. BERNSTEIN FUND II, 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: September 30, 2010

Date of reporting period: December 31, 2009

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

 

2

Sanford C. Bernstein Fund II, Inc. - Intermediate Duration Institutional Portfolio

Portfolio of Investments

December 31, 2009 (unaudited)

 

     Principal
Amount
(000)		      U.S. $ Value

CORPORATES - INVESTMENT GRADES - 34.9%

        

Industrial - 19.9%

        

Basic - 2.7%

        

Alcoa, Inc.

        

6.75%, 7/15/18

    $ 1,025      $ 1,045,572

ArcelorMittal

        

6.125%, 6/01/18

      2,710        2,796,276

ArcelorMittal USA, Inc.

        

6.50%, 4/15/14

      1,110        1,184,698

BHP Billiton Finance USA Ltd.

        

5.40%, 3/29/17

      200        214,275

7.25%, 3/01/16

      2,114        2,409,305

The Dow Chemical Co.

        

7.375%, 11/01/29

      175        191,079

7.60%, 5/15/14

      1,422        1,618,082

8.55%, 5/15/19

      1,381        1,647,733

Eastman Chemical

        

5.50%, 11/15/19

      557        555,261

EI Du Pont de Nemours & Co.

        

5.875%, 1/15/14

      1,370        1,513,354

Freeport-McMoRan Copper & Gold, Inc.

        

8.25%, 4/01/15

      1,200        1,308,000

8.375%, 4/01/17

      1,310        1,434,450

Inco Ltd.

        

7.75%, 5/15/12

      2,545        2,800,210

International Paper Co.

        

5.30%, 4/01/15

      1,235        1,273,165

7.50%, 8/15/21

      1,082        1,212,350

7.95%, 6/15/18

      1,530        1,764,717

Ispat Inland ULC

        

9.75%, 4/01/14

      5        5,250

Packaging Corp. of America

        

5.75%, 8/01/13

      885        948,458

PPG Industries, Inc.

        

5.75%, 3/15/13

      2,035        2,172,747

Rio Tinto Finance USA Ltd.

        

6.50%, 7/15/18

      2,585        2,839,571

Union Carbide Corp.

        

7.75%, 10/01/96

      745        571,458
           
          29,506,011
           

Capital Goods - 1.4%

        

Allied Waste North America, Inc.

        

6.125%, 2/15/14

    85      86,478

Boeing Co.

        

6.00%, 3/15/19

    2,325      2,523,006

Holcim US Finance Sarl & Cie SCS

        

6.00%, 12/30/19 (a)

    236      245,650

John Deere Capital Corp.

        

5.25%, 10/01/12

    2,365      2,554,049

Lafarge SA

        

6.15%, 7/15/11

    1,489      1,551,662

Owens Corning, Inc.

        

6.50%, 12/01/16

    1,812      1,855,620

Republic Services, Inc.

        

5.25%, 11/15/21 (a)

    983      966,512

5.50%, 9/15/19 (a)

    1,413      1,434,834

Tyco International Finance SA

        

6.00%, 11/15/13

    1,185      1,298,030

8.50%, 1/15/19

    965      1,165,477

United Technologies Corp.

        

4.875%, 5/01/15

    1,419      1,523,147

Vulcan Materials Co.

        

6.30%, 6/15/13

    200      213,919
         
        15,418,384
         

Communications - Media - 2.0%

        

BSKYB Finance UK PLC

        

5.625%, 10/15/15 (a)

    1,245      1,358,845

CBS Corp.

        

5.625%, 8/15/12

    585      611,482

6.625%, 5/15/11

    500      523,978

8.875%, 5/15/19

    1,255      1,501,387

Comcast Cable Communications Holdings, Inc.

        

9.455%, 11/15/22

    1,140      1,466,205

Comcast Corp.

        

5.30%, 1/15/14

    1,175      1,254,070

5.50%, 3/15/11

    150      156,971

DirecTV Holdings LLC / DirecTV Financing Co., Inc.

        

4.75%, 10/01/14 (a)

    975      993,852

6.375%, 6/15/15

    735      763,481

News America Holdings, Inc.

        

9.25%, 2/01/13

    1,370      1,598,441

News America, Inc.

        

6.55%, 3/15/33

    760      778,417

Reed Elsevier Capital, Inc.

        

8.625%, 1/15/19

    1,005      1,222,853

RR Donnelley & Sons Co.

        

4.95%, 4/01/14

    570      570,173

11.25%, 2/01/19

    1,395      1,740,905

Time Warner Cable, Inc.

        

7.50%, 4/01/14

    1,140      1,313,484

Time Warner Entertainment Co.

        

8.375%, 3/15/23

    2,480      2,937,786

WPP Finance UK

        

5.875%, 6/15/14

    845      872,635

8.00%, 9/15/14

    2,230      2,536,090
         
        22,201,055
         

Communications - Telecommunications - 3.4%

        

AT&T Corp.

        

8.00%, 11/15/31 (b)

    370      451,592

British Telecommunications PLC

        

5.15%, 1/15/13

    2,155      2,247,204

9.125%, 12/15/10 (b)

    270      289,256

Embarq Corp.

        

7.082%, 6/01/16

    2,770      3,059,681

New Cingular Wireless Services, Inc.

        

8.125%, 5/01/12

    7,920      8,949,069

Pacific Bell Telephone Co.

        

6.625%, 10/15/34

    2,735      2,709,967

Qwest Corp.

        

7.50%, 10/01/14

    1,045      1,085,494

7.875%, 9/01/11

    1,455      1,524,112

Telecom Italia Capital SA

        

4.00%, 1/15/10

    2,815      2,817,168

6.175%, 6/18/14

    2,155      2,335,789

6.375%, 11/15/33

    310      305,635

US Cellular Corp.

        

6.70%, 12/15/33

    2,940      2,891,340

Verizon Communications, Inc.

        

4.90%, 9/15/15

    1,000      1,061,398

5.25%, 4/15/13

    1,510      1,627,735

Verizon New Jersey, Inc.

        

Series A

        

5.875%, 1/17/12

    1,346      1,434,086

Vodafone Group PLC

        

5.35%, 2/27/12

    200      213,385

5.50%, 6/15/11

    1,860      1,961,666

7.75%, 2/15/10

    2,640      2,660,170
         
        37,624,747
         

Consumer Cyclical - Automotive - 0.5%

        

Daimler Finance North America LLC

        

4.875%, 6/15/10

    635      645,424

5.75%, 9/08/11

    695      730,036

7.30%, 1/15/12

    784      852,319

7.75%, 1/18/11

    291      309,386

Harley-Davidson Funding Corp.

        

5.75%, 12/15/14 (a)

    1,190      1,208,169

Volvo Treasury AB

        

5.95%, 4/01/15 (a)

    2,092      2,158,764
         
        5,904,098
         

Consumer Cyclical - Entertainment - 0.8%

       

Time Warner, Inc.

        

6.875%, 5/01/12

    1,805      1,976,011

Turner Broadcasting System, Inc.

        

8.375%, 7/01/13

    2,314      2,636,891

Viacom, Inc.

        

5.625%, 9/15/19

    2,360      2,464,085

The Walt Disney Co.

        

5.50%, 3/15/19

    1,925      2,062,482
         
        9,139,469
         

Consumer Cyclical - Other - 0.3%

       

Marriott International, Inc.

        

Series J

        

5.625%, 2/15/13

    2,601      2,668,920

MDC Holdings, Inc.

        

5.50%, 5/15/13

    10      10,047

Toll Brothers Finance Corp.

        

5.15%, 5/15/15

    300      287,057

6.875%, 11/15/12

    66      69,128
         
        3,035,152
         

Consumer Cyclical - Retailers - 0.1%

       

Kohls Corp.

        

6.25%, 12/15/17

    100      110,652

Wal-Mart Stores, Inc.

        

4.25%, 4/15/13

    1,170      1,240,512
         
        1,351,164
         

Consumer Non-Cyclical - 4.9%

       

Altria Group, Inc.

        

9.70%, 11/10/18

    1,410      1,742,995

AstraZeneca PLC

        

5.40%, 9/15/12

    200      218,471

Avon Products, Inc.

        

6.50%, 3/01/19

    2,305      2,576,017

Baxter FinCo BV

        

4.75%, 10/15/10

    2,428      2,505,907

Bottling Group LLC

        

6.95%, 3/15/14

    2,060      2,370,252

Bunge Ltd. Finance Corp.

        

5.10%, 7/15/15

    1,143      1,133,230

5.875%, 5/15/13

    1,805      1,878,866

Cadbury Schweppes US Finance LLC

        

5.125%, 10/01/13 (a)

    2,420      2,516,756

Campbell Soup Co.

        

6.75%, 2/15/11

    1,950      2,074,771

The Coca-Cola Co.

        

5.35%, 11/15/17

    2,210      2,380,663

ConAgra Foods, Inc.

        

7.875%, 9/15/10

    33      34,545

Delhaize Group SA

        

5.875%, 2/01/14

    615      660,518

Diageo Capital PLC

        

7.375%, 1/15/14

    2,085      2,411,955

Fisher Scientific International, Inc.

        

6.125%, 7/01/15

    362      373,312

Fortune Brands, Inc.

        

3.00%, 6/01/12

    1,450      1,437,110

4.875%, 12/01/13

    1,257      1,283,939

Johnson & Johnson

        

5.55%, 8/15/17

    2,130      2,349,403

Kraft Foods, Inc.

        

5.25%, 10/01/13

    815      861,240

6.25%, 6/01/12

    5,355      5,771,250

The Kroger Co.

        

6.80%, 12/15/18

    918      1,019,852

Pepsico, Inc.

        

4.65%, 2/15/13

    2,215      2,365,988

5.00%, 6/01/18

    200      207,646

Pfizer, Inc.

        

5.35%, 3/15/15

    2,340      2,557,398

The Procter & Gamble Co.

        

4.70%, 2/15/19

    2,325      2,380,068

Reynolds American, Inc.

        

7.25%, 6/01/13

    2,420      2,640,278

7.625%, 6/01/16

    405      441,522

Safeway, Inc.

        

5.80%, 8/15/12

    15      16,201

6.50%, 3/01/11

    395      417,492

Whirlpool Corp.

        

8.60%, 5/01/14

    285      322,694

Wyeth

        

5.50%, 2/01/14

    6,408      6,981,349
         
        53,931,688
         

Energy - 1.8%

        

Amerada Hess Corp.

        

7.875%, 10/01/29

    811      972,676

Anadarko Petroleum Corp.

        

5.95%, 9/15/16

    2,464      2,665,301

6.45%, 9/15/36

    741      773,877

Apache Corp.

        

5.25%, 4/15/13

    1,295      1,387,827

5.625%, 1/15/17

    100      106,599

Baker Hughes, Inc.

        

6.50%, 11/15/13

    1,155      1,303,734

Canadian Natural Resources Ltd.

        

5.15%, 2/01/13

    835      888,690

Conoco Funding Co.

        

6.35%, 10/15/11

    25      27,199

Conoco, Inc.

        

6.95%, 4/15/29

    5      5,668

Hess Corp.

        

8.125%, 2/15/19

    190      229,132

Nabors Industries, Inc.

        

9.25%, 1/15/19

    2,395      2,933,195

Noble Energy, Inc.

        

8.25%, 3/01/19

    2,306      2,758,854

The Premcor Refining Group, Inc.

        

7.50%, 6/15/15

    1,413      1,402,616

Valero Energy Corp.

        

6.875%, 4/15/12

    1,465      1,599,606

Weatherford International Ltd.

        

5.15%, 3/15/13

    1,025      1,073,409

6.00%, 3/15/18

    395      397,751

9.625%, 3/01/19

    1,165      1,452,409
         
       
        19,978,543
         

Other Industrial - 0.2%

        

Noble Group Ltd.

        

6.75%, 1/29/20 (a)

    1,840      1,888,300
         

Technology - 1.5%

        

Cisco Systems, Inc.

        

5.25%, 2/22/11

    2,205      2,313,766

Computer Sciences Corp.

        

5.50%, 3/15/13

    1,500      1,590,261

Dell, Inc.

        

5.625%, 4/15/14

    1,450      1,579,690

Electronic Data Systems Corp.

        

Series B

        

6.00%, 8/01/13 (b)

    3,473      3,839,124

IBM International Group Capital LLC

        

5.05%, 10/22/12

    200      216,645

Motorola, Inc.

        

6.50%, 9/01/25

    1,350      1,172,896

7.50%, 5/15/25

    250      239,213

7.625%, 11/15/10

    133      137,791

Oracle Corp.

        

4.95%, 4/15/13

    1,260      1,352,057

5.25%, 1/15/16

    925      998,872

Tyco Electronics Group SA

        

6.00%, 10/01/12

    100      106,100

Xerox Corp.

        

7.625%, 6/15/13

    510      520,177

8.25%, 5/15/14

    1,920      2,202,476
         
        16,269,068
         

Transportation - Airlines - 0.2%

        

Southwest Airlines Co.

        

5.25%, 10/01/14

    1,335      1,352,181

5.75%, 12/15/16

    890      879,604
         
        2,231,785
         

Transportation - Railroads - 0.1%

        

Canadian Pacific Railway Co.

        

6.50%, 5/15/18

    445      480,865
         
        218,960,329
         

Financial Institutions - 11.2%

        

Banking - 6.6%

        

American Express Co.

        

7.25%, 5/20/14

    1,125      1,269,417

8.125%, 5/20/19

    2,390      2,832,296

ANZ National International Ltd.

        

6.20%, 7/19/13 (a)

    1,175      1,293,064

Bank of America Corp.

        

4.50%, 8/01/10

    135      137,824

4.875%, 1/15/13

    3,110      3,234,269

7.625%, 6/01/19

    1,455      1,683,212

Bank of Tokyo-Mitsubishi UFJ Ltd./ New York NY

        

7.40%, 6/15/11

    280      301,932

Barclays Bank PLC

        

8.55%, 6/15/11 (a)(c)

    1,420      1,306,400

BBVA International Preferred SA Unipersonal

        

5.919%, 4/18/17

    985      792,925

The Bear Stearns Co., Inc.

        

5.55%, 1/22/17

    2,670      2,670,785

5.70%, 11/15/14

    3,040      3,345,012

Citigroup, Inc.

        

5.00%, 9/15/14

    3,726      3,591,953

5.30%, 1/07/16

    20      19,461

5.50%, 4/11/13

    1,200      1,244,118

6.50%, 8/19/13

    15      15,978

8.50%, 5/22/19

    2,690      3,106,286

Compass Bank

        

5.50%, 4/01/20

    3,239      2,987,848

Countrywide Financial Corp.

        

5.80%, 6/07/12

    420      445,835

6.25%, 5/15/16

    1,140      1,159,569

Countrywide Home Loans, Inc.

        

Series L

        

4.00%, 3/22/11

    1,224      1,250,060

Credit Agricole SA

        

8.375%, 10/13/19 (a)

    1,737      1,841,220

Credit Suisse USA, Inc.

        

5.50%, 8/15/13

    870      945,129

The Goldman Sachs Group, Inc.

        

4.75%, 7/15/13

    760      795,139

5.125%, 1/15/15

    845      887,886

7.50%, 2/15/19

    4,275      4,983,808

Huntington National Bank

        

4.375%, 1/15/10

    980      980,104

JP Morgan Chase Capital XVIII

        

Series R

        

6.95%, 8/17/36

    200      194,307

JPMorgan Chase & Co.

        

0.43%, 11/01/12 (d)

    100      98,349

6.75%, 2/01/11

    185      195,147

JPMorgan Chase Capital XXV

        

Series Y

        

6.80%, 10/01/37

    4      3,974

Manufacturers & Traders Trust Co.

        

8.00%, 10/01/10

    300      314,074

Marshall & Ilsley Bank

        

5.00%, 1/17/17

    2,310      1,796,843

Merrill Lynch & Co., Inc.

        

6.05%, 5/16/16

    879      886,909

Morgan Stanley

        

5.625%, 1/09/12

    2,475      2,611,922

6.60%, 4/01/12

    1,625      1,767,990

6.625%, 4/01/18

    2,525      2,729,949

National Capital Trust II

        

5.486%, 3/23/15 (a)

    705      562,991

National City Bank of Cleveland Ohio

        

6.25%, 3/15/11

    2,680      2,798,644

Rabobank Nederland

        

11.00%, 6/30/19 (a)

    250      304,814

Regions Financial Corp.

        

6.375%, 5/15/12

    2,500      2,380,990

Royal Bank of Scotland Group PLC

        

5.00%, 10/01/14

    85      75,120

SouthTrust Corp.

        

5.80%, 6/15/14

    15      15,714

UBS Preferred Funding Trust I

        

8.622%, 10/01/10 (c)

    1,437      1,337,085

UFJ Finance Aruba AEC

        

6.75%, 7/15/13

    520      578,946

Union Bank of California

        

5.95%, 5/11/16

    2,790      2,771,159

Union Planters Corp.

        

7.75%, 3/01/11

    1,900      1,889,071

Wachovia Capital Trust III

        

5.80%, 3/15/11 (c)

    65      49,725

Wachovia Corp.

        

5.35%, 3/15/11

    50      52,136

5.50%, 5/01/13

    2,630      2,793,936

Wells Fargo & Co.

        

4.20%, 1/15/10

    1,040      1,040,906

5.625%, 12/11/17

    2,530      2,631,595
         
        73,003,826
         

Finance - 1.1%

        

General Electric Capital Corp.

        

4.80%, 5/01/13

    5,420      5,665,363

Series A

        

4.375%, 11/21/11

    10      10,415

5.00%, 6/30/18 (b)

    100      97,685

5.00%, 6/27/18

    125      124,631

5.50%, 12/18/18 (b)

    200      198,806

6.90%, 9/15/15

    200      221,826

Series G

        

5.72%, 8/22/11

    250      254,229

HSBC Finance Corp.

        

5.50%, 1/19/16

    100      104,908

7.00%, 5/15/12

    1,420      1,544,053

International Lease Finance Corp.

        

5.125%, 11/01/10

    100      96,007

5.65%, 6/01/14

    333      251,668

SLM Corp.

        

Series A

        

5.375%, 1/15/13 - 5/15/14

    3,895      3,604,474
         
        12,174,065
         

Insurance - 3.0%

        

Aegon NV

        

4.75%, 6/01/13

    395      397,159

Aetna, Inc.

        

6.00%, 6/15/16

    825      866,151

Allied World Assurance Co. Holdings Ltd.

        

7.50%, 8/01/16

    745      795,543

The Allstate Corp.

        

6.125%, 5/15/37 (c)

    2,495      2,170,650

Assurant, Inc.

        

5.625%, 2/15/14

    705      722,849

Coventry Health Care, Inc.

        

5.95%, 3/15/17

    540      489,659

6.125%, 1/15/15

    210      200,594

6.30%, 8/15/14

    1,670      1,633,427

Genworth Financial, Inc.

        

6.515%, 5/22/18

    2,570      2,351,789

Guardian Life Insurance

        

7.375%, 9/30/39 (a)

    1,255      1,283,572

Humana, Inc.

        

6.30%, 8/01/18

    1,170      1,133,136

6.45%, 6/01/16

    240      242,594

7.20%, 6/15/18

    510      521,596

Liberty Mutual Group, Inc.

        

5.75%, 3/15/14 (a)

    895      882,178

Lincoln National Corp.

        

8.75%, 7/01/19

    677      773,543

Massachusetts Mutual Life Insurance Co.

        

8.875%, 6/01/39 (a)

    1,325      1,625,045

MetLife, Inc.

        

5.00%, 11/24/13

    780      821,124

5.375%, 12/15/12

    10      10,628

7.717%, 2/15/19

    474      557,014

10.75%, 8/01/39

    835      1,028,241

Nationwide Mutual Insurance Co.

        

9.375%, 8/15/39 (a)

    2,195      2,317,178

Principal Financial Group, Inc.

        

7.875%, 5/15/14

    1,905      2,102,537

Prudential Financial, Inc.

        

5.15%, 1/15/13

    1,710      1,798,886

6.20%, 1/15/15

    265      285,106

8.875%, 6/15/38

    1,020      1,081,200

Series D

        

7.375%, 6/15/19

    200      224,233

UnitedHealth Group, Inc.

        

5.25%, 3/15/11

    15      15,543

6.00%, 2/15/18

    3,315      3,424,223

Wellpoint, Inc.

        

5.875%, 6/15/17

    225      231,807

7.00%, 2/15/19

    530      592,767

XL Capital Ltd.

        

5.25%, 9/15/14

    1,560      1,527,741

6.25%, 5/15/27

    15      13,640

Series E

        

6.50%, 4/15/17 (c)

    1,445      1,090,975
         
        33,212,328
         

REITS - 0.5%

        

HCP, Inc.

        

5.95%, 9/15/11

    15      15,476

Healthcare Realty Trust, Inc.

        

5.125%, 4/01/14

    1,555      1,500,396

8.125%, 5/01/11

    15      15,758

Nationwide Health Properties, Inc.

        

6.50%, 7/15/11

    85      88,379

Simon Property Group LP

        

5.00%, 3/01/12

    1,060      1,095,630

5.625%, 8/15/14

    2,196      2,261,755
         
        4,977,394
         
        123,367,613
         

Utility - 2.7%

        

Electric - 1.6%

        

Allegheny Energy Supply

        

5.75%, 10/15/19 (a)

    2,355      2,287,480

Ameren Corp.

        

8.875%, 5/15/14

    1,445      1,623,057

Carolina Power & Light Co.

        

6.50%, 7/15/12

    1,395      1,529,449

FirstEnergy Corp.

        

Series B

        

6.45%, 11/15/11

    241      258,413

Series C

        

7.375%, 11/15/31

    1,663      1,802,529

MidAmerican Energy Holdings Co.

        

5.875%, 10/01/12

    535      582,664

Nisource Finance Corp.

        

6.80%, 1/15/19

    2,705      2,892,854

7.875%, 11/15/10

    760      796,754

Pacific Gas & Electric Co.

        

4.80%, 3/01/14

    1,195      1,269,088

6.05%, 3/01/34

    5      5,220

Progress Energy, Inc.

        

7.10%, 3/01/11

    482      510,160

Public Service Company of Colorado

        

Series 10

        

7.875%, 10/01/12

    540      619,593

The Southern Co.

        

Series A

        

5.30%, 1/15/12

    884      947,134

SPI Electricity & Gas Australia Holdings Pty Ltd.

        

6.15%, 11/15/13 (a)

    1,180      1,231,492

Union Electric Co.

        

6.70%, 2/01/19

    250      276,013

Wisconsin Energy Corp.

        

6.25%, 5/15/67 (c)

    1,279      1,138,310
         
        17,770,210
         

Natural Gas - 0.9%

        

DCP Midstream LLC

        

6.875%, 2/01/11

    239      249,450

Duke Energy Field Services Corp.

        

7.875%, 8/16/10

    435      452,236

Energy Transfer Partners LP

           

6.70%, 7/01/18

       1,645      1,761,301

7.50%, 7/01/38

       1,820      1,994,138

Enterprise Products Operating LLC

           

Series G

           

5.60%, 10/15/14

       700      745,381

TransCanada Pipelines Ltd.

           

6.35%, 5/15/67 (c)

       2,725      2,556,775

Williams Co., Inc.

           

7.875%, 9/01/21

       1,136      1,303,015

8.125%, 3/15/12

       965      1,055,193
            
           10,117,489
            

Other Utility - 0.2%

           

Veolia Environnement

           

6.00%, 6/01/18

       1,725      1,821,484
            
           29,709,183
            

Non Corporate Sectors - 1.1%

           

Agencies - Not Government Guaranteed - 1.1%

           

Gaz Capital SA

           

6.212%, 11/22/16 (a)

       4,975      4,763,562

Petrobras International Finance

           

5.75%, 1/20/20

       4,050      4,120,012

TransCapitalInvest Ltd. for OJSC AK Transneft

           

8.70%, 8/07/18 (a)

       2,705      3,117,513
            
           12,001,087
            

Total Corporates - Investment Grades
(cost $364,387,527)

            384,038,212
            

GOVERNMENTS - TREASURIES - 22.0%

           

Canada - 2.4%

           

Canadian Government Bond

           

3.75%, 6/01/19

    CAD    27,005      26,105,134
            

United States - 19.6%

           

U.S. Treasury Bonds

           

3.75%, 11/15/18

    $    22,839      22,837,219

4.50%, 2/15/36

       32,735      32,243,975

4.75%, 2/15/37

       640      654,000

U.S. Treasury Notes

           

1.75%, 11/15/11

       70,265      71,151,533

2.125%, 1/31/10

       25,595      25,631,985

2.375%, 8/31/14

       62,175      61,718,387

2.625%, 7/31/14

       1,640      1,648,200
            
           215,885,299
            

Total Governments - Treasuries
(cost $245,777,658)

            241,990,433
            

MORTGAGE PASS-THRU’S - 15.3%

      

Agency Fixed Rate 30-Year - 14.0%

     

Federal Home Loan Mortgage Corp. Gold

      

Series 2005

      

4.50%, 8/01/35 - 12/01/35

    7,136    7,145,702

Series 2007

      

4.50%, 1/01/37

    32    32,421

5.50%, 7/01/35

    3,048    3,209,321

Series 2008

      

5.50%, 4/01/38

    25    25,790

Federal National Mortgage Association

      

6.00%, TBA

    5,925    6,274,942

6.50%, TBA

    8,275    8,862,012

Series 2003

      

5.00%, 11/01/33

    6,371    6,564,501

5.50%, 4/01/33 - 7/01/33

    11,831    12,434,660

Series 2004

      

5.50%, 4/01/34 - 11/01/34

    9,820    10,320,956

6.00%, 9/01/34

    574    612,566

Series 2005

      

4.50%, 5/01/35 - 9/01/35

    13,934    13,974,476

5.50%, 2/01/35

    10,134    10,651,227

6.00%, 4/01/35

    5,432    5,793,476

Series 2006

      

5.00%, 2/01/36

    18,641    19,166,482

5.50%, 4/01/36

    2,085    2,189,885

6.50%, 1/01/36

    77    83,162

Series 2007

      

4.50%, 9/01/35 - 3/01/36

    8,699    8,749,262

5.00%, 11/01/35

    23    23,844

5.50%, 5/01/36

    133    140,159

Series 2008

      

5.50%, 12/01/35 - 3/01/37

    13,956    14,659,226

6.00%, 3/01/37

    22,079    23,493,103
       
      154,407,173
       

Agency ARMS - 1.3%

      

Federal Home Loan Mortgage Corp.

      

Series 2005

      

4.765%, 5/01/35 (d)

    1,902    1,982,417

Series 2006

      

5.739%, 12/01/36 (d)

    118    123,789

Series 2008

      

5.619%, 11/01/37 (c)

    2,043    2,157,565

Federal National Mortgage Association

      

Series 2003

      

4.786%, 12/01/33 (c)

    1,865    1,959,688

Series 2006

      

5.45%, 2/01/36 (c)

    2,210    2,324,064

6.177%, 3/01/36 (c)

    1,726    1,812,731

Series 2007

        

4.734%, 3/01/34 (c)

    1,713      1,783,743

5.899%, 3/01/37 (c)

    21      22,304

5.936%, 2/01/37 (d)

    19      20,214

Series 2009

        

4.322%, 5/01/38 (d)

    2,136      2,224,218
         
        14,410,733
         

Total Mortgage Pass-Thru’s
(cost $161,562,901)

         168,817,906
         

COMMERCIAL MORTGAGE-BACKED SECURITIES - 8.4%

        

Non-Agency Fixed Rate CMBS - 8.3%

        

Banc of America Commercial Mortgage, Inc.

        

Series 2005-6, Class A4

        

5.179%, 9/10/47

    250      245,520

Series 2006-5, Class A4

        

5.414%, 9/10/47

    5,570      5,231,599

Series 2007-5, Class A4

        

5.492%, 2/10/51

    30      25,309

Bear Stearns Commercial Mortgage Securities, Inc.

        

Series 2006-PW12, Class A4

        

5.719%, 9/11/38

    1,420      1,441,919

Commercial Mortgage Pass Through Certificates

        

Series 2005-C6, Class A5A

        

5.116%, 6/10/44

    1,700      1,650,614

Series 2006-C8, Class A4

        

5.306%, 12/10/46

    3,895      3,324,263

Credit Suisse Mortgage Capital Certificates

        

Series 2006-C3, Class A3

        

5.826%, 6/15/38

    5,275      4,533,142

Series 2006-C4, Class A3

        

5.467%, 9/15/39

    220      188,435

Series 2006-C5, Class A3

        

5.311%, 12/15/39

    3,070      2,561,041

CS First Boston Mortgage Securities Corp.

        

Series 2004-C1, Class A4

        

4.75%, 1/15/37

    1,220      1,204,642

Series 2005-C1, Class A4

        

5.014%, 2/15/38

    4,400      4,318,228

Greenwich Capital Commercial Funding Corp.

        

Series 2007-GG11, Class A4

        

5.736%, 12/10/49

    40      35,507

Series 2007-GG9, Class A4

        

5.444%, 3/10/39

    3,355      2,964,292

JP Morgan Chase Commercial Mortgage Securities Corp.

        

Series 2006-CB14, Class A4

        

5.481%, 12/12/44

    1,460      1,406,291

Series 2006-CB15, Class A4

        

5.814%, 6/12/43

    4,980      4,792,460

Series 2006-CB16, Class A4

        

5.552%, 5/12/45

    3,890      3,697,510

Series 2006-CB17, Class A4

        

5.429%, 12/12/43

    5,825      5,502,555

Series 2007-C1, Class A4

        

5.716%, 2/15/51

    40      31,747

Series 2007-LD11, Class A4

        

5.818%, 6/15/49

    4,905      4,271,525

Series 2007-LDPX, Class A3

        

5.42%, 1/15/49

    5,500      4,639,559

LB-UBS Commercial Mortgage Trust

        

Series 2006-C3, Class A4

        

5.661%, 3/15/39

    620      574,350

Series 2006-C4, Class A4

        

5.882%, 6/15/38

    125      118,330

Series 2006-C6, Class A4

        

5.372%, 9/15/39

    4,610      4,394,496

Series 2006-C7, Class A3

        

5.347%, 11/15/38

    3,915      3,588,907

Series 2007-C1, Class A4

        

5.424%, 2/15/40

    25      20,703

Series 2008-C1, Class A2

        

6.149%, 4/15/41

    3,290      3,045,311

Merrill Lynch/Countrywide Commercial Mortgage Trust

        

Series 2006-2, Class A4

        

5.909%, 6/12/46

    2,180      2,140,136

Series 2007-9, Class A4

        

5.70%, 9/12/49

    30      25,458

Morgan Stanley Capital I

        

Series 2007-HQ13, Class A3

        

5.569%, 12/15/44

    5,240      4,284,593

Series 2007-IQ15, Class A4

        

5.88%, 6/11/49

    2,770      2,469,305

Series 2007-T27, Class A4

        

5.649%, 6/11/42

    6,210      5,995,599

Wachovia Bank Commercial Mortgage Trust

        

Series 2006-C27, Class A3

        

5.765%, 7/15/45

    5,315      4,814,021

Series 2007-C31, Class A4

        

5.509%, 4/15/47

    5,345      4,289,136

Series 2007-C32, Class A3

        

5.74%, 6/15/49

    4,140      3,380,277
         
        91,206,780
         

Non-Agency Floating Rate CMBS - 0.1%

        

GS Mortgage Securities Corp. II

        

Series 2007-EOP, Class E

        

0.675%, 3/06/20 (a)(d)

    1,180      1,006,215
         

Total Commercial Mortgage-Backed Securities
(cost $98,999,630)

         92,212,995
         

AGENCIES - 3.8%

        

Agency Debentures - 3.8%

        

Federal Home Loan Bank

        

5.00%, 11/17/17

    14,655      15,852,592

Federal Home Loan Mortgage Corp.

        

4.125%, 12/21/12

    100      106,350

5.125%, 11/17/17

    14,171      15,428,478

Federal National Mortgage Association

        

3.25%, 4/09/13

    180      186,811

6.25%, 5/15/29

    8,440      9,651,545

6.625%, 11/15/30

    560      673,013
         

Total Agencies
(cost $41,601,237)

         41,898,789
         

CORPORATES - NON-INVESTMENT GRADES - 3.8%

        

Industrial - 2.3%

        

Basic - 0.4%

        

Ineos Group Holdings PLC

        

8.50%, 2/15/16 (a)

    730      490,925

Steel Capital SA for OAO Severstal

        

9.75%, 7/29/13 (a)

    1,035      1,049,283

Stora Enso Oyj

        

7.375%, 5/15/11

    80      81,827

United States Steel Corp.

        

6.05%, 6/01/17

    2,875      2,744,668

Westvaco Corp.

        

8.20%, 1/15/30

    435      447,522
         
        4,814,225
         

Capital Goods - 0.6%

        

Case New Holland, Inc.

        

7.125%, 3/01/14

    510      517,650

Masco Corp.

        

6.125%, 10/03/16

    3,230      3,078,000

Mohawk Industries, Inc.

        

6.875%, 1/15/16 (b)

    2,945      2,930,275

Textron Financial Corp.

        

4.60%, 5/03/10

    194      193,950

5.40%, 4/28/13

    380      379,820
         
        7,099,695
         

Communications - Media - 0.2%

        

Cablevision Systems Corp.

        

Series B

        

8.00%, 4/15/12 (b)

    755      798,413

Clear Channel Communications, Inc.

        

5.50%, 9/15/14

    1,640      1,074,200

Univision Communications, Inc.

        

12.00%, 7/01/14 (a)

    209      230,161
         
        2,102,774
         

Communications - Telecommunications - 0.2%

        

Cricket Communications, Inc.

        

7.75%, 5/15/16

    455      453,862

Qwest Communications International, Inc.

        

7.50%, 2/15/14 (b)

    425      426,594

Series B

        

7.50%, 2/15/14

    250      250,938

Windstream Corp.

        

7.875%, 11/01/17 (a)

    760      750,500
         
        1,881,894
         

Consumer Cyclical - Automotive - 0.1%

        

Ford Motor Credit Co. LLC

        

7.00%, 10/01/13

    45      44,932

The Goodyear Tire & Rubber Co.

        

9.00%, 7/01/15

    1,005      1,045,200
         
        1,090,132
         

Consumer Cyclical - Other - 0.3%

        

Starwood Hotels & Resorts Worldwide, Inc.

        

7.875%, 5/01/12

    2,621      2,827,404

William Lyon Homes, Inc.

        

10.75%, 4/01/13

    100      70,500
         
        2,897,904
         

Consumer Cyclical - Retailers - 0.0%

        

Limited Brands, Inc.

        

6.90%, 7/15/17

    409      408,489
         

Consumer Non-Cyclical - 0.2%

        

Bausch & Lomb, Inc.

        

9.875%, 11/01/15

    915      965,325

HCA, Inc.

        

8.50%, 4/15/19 (a)

    1,265      1,363,037

IASIS Healthcare LLC/IASIS Capital Corp.

        

8.75%, 6/15/14

    55      55,688

Stater Brothers Holdings

        

8.125%, 6/15/12

    65      65,650

Tyson Foods, Inc.

        

7.85%, 4/01/16

    15      15,375

8.25%, 10/01/11

    75      80,250
         
        2,545,325
         

Energy - 0.1%

        

Pride International, Inc.

        

7.375%, 7/15/14

    5      5,162

Tesoro Corp.

        

6.50%, 6/01/17

    1,160      1,078,800
         
        1,083,962
         

Services - 0.0%

           

Service Corp. International

           

6.75%, 4/01/16

       5      4,837
            

Technology - 0.1%

           

Flextronics International Ltd.

           

6.50%, 5/15/13

       900      902,250
            

Transportation - Airlines - 0.1%

           

UAL Pass Through Trust

           

Series 071A

           

6.636%, 7/02/22

       1,139      967,916
            

Transportation - Railroads - 0.0%

           

Trinity Industries, Inc.

           

6.50%, 3/15/14

       5      5,031
            
           25,804,434
            

Financial Institutions - 1.0%

           

Banking - 0.6%

           

ABN Amro Bank NV

           

4.31%, 3/10/16 (c)

    EUR    625      436,785

BankAmerica Capital II

           

Series 2

           

8.00%, 12/15/26

    $    1,298      1,272,040

Commerzbank Capital Funding Trust I

           

5.012%, 4/12/16 (c)

    EUR    300      199,980

Dexia Credit Local

           

4.30%, 11/18/15 (c)

       700      451,568

LBG Capital No.1 PLC

           

8.00%, 12/29/49 (a)

    $    3,655      2,814,350

RBS Capital Trust III

           

5.512%, 9/30/14 (c)

       2,085      1,042,500

Zions Bancorporation

           

5.50%, 11/16/15

       790      558,519
            
           6,775,742
            

Brokerage - 0.1%

           

Lehman Brothers Holdings, Inc.

           

6.20%, 9/26/14 (e)

       1,108      216,060

7.875%, 11/01/09 (e)

       2,323      452,985

Series G

           

4.80%, 3/13/14 (e)

       698      136,110
            
           805,155
            

Insurance - 0.2%

           

ING Capital Funding Trust III

           

8.439%, 12/31/10 (c)

       1,570      1,350,200

ING Groep NV

           

5.775%, 12/08/15 (c)

       525      387,813

Liberty Mutual Group, Inc.

           

7.80%, 3/15/37 (a)

       1,240      1,023,000
            
           2,761,013
            

REITS - 0.1%

        

AMR Real Estate PTR/FIN

        

7.125%, 2/15/13

    560      571,200
         
        10,913,110
         

Utility - 0.5%

        

Electric - 0.5%

        

The AES Corp.

        

7.75%, 3/01/14 - 10/15/15

    1,020      1,035,300

Dynegy Holdings, Inc.

        

8.375%, 5/01/16

    1,175      1,116,250

Edison Mission Energy

        

7.00%, 5/15/17

    865      683,350

NRG Energy, Inc.

        

7.25%, 2/01/14

    1,085      1,098,562

7.375%, 2/01/16

    635      635,794

RRI Energy, Inc.

        

7.625%, 6/15/14

    575      569,250
         
        5,138,506
         

Total Corporates - Non-Investment Grades
(cost $44,206,515)

         41,856,050
         

BANK LOANS - 2.0%

        

Industrial - 1.6%

        

Basic - 0.1%

        

Hexion Specialty Chemicals, Inc.

        

2.56%, 5/05/13 (d)

    501      437,910

Ineos US Finance LLC

        

7.50%, 12/16/13 (d)

    99      89,196

8.00%, 12/16/14 (d)

    99      89,691

John Maneely Co.

        

3.48%-3.53%, 12/09/13 (d)

    349      327,624

Lyondell Chemical Company

        

3.73%, 12/20/13 (d)

    85      62,847

3.98%, 12/22/14 (d)

    52      38,231

7.00%, 12/22/14 (d)

    225      165,895

Lyondell Chemical Company (New Money Dip)

        

13.00%, 4/06/10 (d)(f)

    134      139,465

Lyondell Chemical Company (New Roll-Up Dip)

        

5.79%-6.56%, 4/06/10 (d)

    134      138,326

Univar, Inc.

        

3.23%, 10/10/14 (d)

    237      218,294
         
        1,707,479
         

Capital Goods - 0.1%

        

Hawker Beechcraft Acquisition Co. LLC

        

2.23%-2.25%, 3/26/14 (d)

    141      105,889

2.25%, 3/26/14 (d)

    8      6,282

Manitowoc Co., Inc.

        

7.50%, 11/06/14 (d)

    304      294,972

Ravago Holding America, Inc.

        

3.06%, 1/30/14 (d)

    424      377,137

Sequa Corp.

        

3.51%-3.94%, 12/03/14 (d)

    278      247,266

Tegrant Corp. (SCA Packaging)

        

5.76%, 3/08/15 (d)

    300      177,000
         
        1,208,546
         

Communications - Media - 0.1%

        

Clear Channel Communications, Inc.

        

3.88%, 1/29/16 (d)

    212      172,955

Univision Communications, Inc.

        

2.50%, 9/29/14 (d)

    625      540,469
         
        713,424
         

Communications - Telecommunications - 0.1%

        

Sorenson Communications, Inc.

        

2.74%, 8/16/13 (d)

    353      335,357

7.23%, 2/16/14 (d)

    828      808,719
         
        1,144,076
         

Consumer Cyclical - Automotive - 0.0%

        

Ford Motor Co.

        

3.24%-3.29%, 12/15/13 (d)

    461      424,637

Visteon Corp.

        

8.35%, 6/13/13 (d)(e)

    150      165,459
         
        590,096
         

Consumer Cyclical - Other - 0.1%

        

Harrah’s Operating Co., Inc.

        

3.25%-3.28%, 1/28/15 (d)

    417      336,970

Las Vegas Sands LLC

        

2.01%, 5/23/14 (d)

    520      453,650

On Assignment, Inc.

        

6.75%, 1/31/13 (d)

    403      386,876

VML US Finance LLC

        

4.76%, 5/27/13 (d)

    209      197,254
         
        1,374,750
         

Consumer Cyclical - Retailers - 0.1%

        

Michaels Stores, Inc.

        

2.56%, 10/31/13 (d)

    106      96,290

4.81%, 7/31/16 (d)

    143      134,787

Neiman Marcus Group, Inc.

        

2.255%, 4/06/13 (d)

    492      442,875
         
        673,952
         

Consumer Non-Cyclical - 0.2%

        

Best Brands Corp.

        

7.485%, 12/12/12 (d)(g)

    383      329,617

Fenwal, Inc.

        

2.51%, 2/28/14 (d)

    821      703,366

HCA, Inc.

        

2.50%, 11/18/13 (d)

    511      487,876

Health Management Associates, Inc.

        

2.00%, 2/28/14 (d)

    367      342,878
         
        1,863,737
         

Energy - 0.1%

        

Ashmore Energy International

        

3.23%, 3/30/12 (d)

    90      81,736

3.25%, 3/30/14 (d)

    370      337,494

Dalbo, Inc.

        

7.00%, 8/27/12 (d)

    332      210,543

Infrastrux Group, Inc.

        

8.00%, 11/03/12 (d)(g)

    754      670,775
         
        1,300,548
         

Other Industrial - 0.1%

        

Education Management LLC

        

2.06%, 6/03/13 (d)

    467      437,466

Swift Transportation Co., Inc.

        

5/12/14 (d)(h)

    338      307,348
         
        744,814
         

Services - 0.2%

        

Collins & Aikman Floorcoverings, Inc. (Tandus)

        

2.756%-2.78%, 5/08/14 (d)

    470      357,111

Sabre, Inc.

        

2.48%-2.49%, 9/30/14 (d)

    500      449,465

Travelport LLC

        

2.75%, 8/23/13 (d)

    400      380,928

West Corp.

        

2.61%, 10/24/13 (d)

    963      908,740
         
        2,096,244
         

Technology - 0.4%

        

Avaya, Inc.

        

3.01%, 10/24/14 (d)

    249      214,625

Dealer Computer Services, Inc.

        

2.25%, 10/26/12 (d)

    752      695,653

5.75%, 10/26/13 (d)

    500      425,000

Dresser, Inc.

        

2.52%, 5/04/14 (d)

    485      452,075

First Data Corp.

        

2.98%-3.00%, 9/24/14 (d)

    243      215,077

Freescale Semiconductor, Inc.

        

1.99%, 11/29/13 (d)

    499      435,026

IPC Systems, Inc.

        

2.48%-2.50%, 6/02/14 (d)

    682      569,273

5.50%, 6/01/15 (d)

    750      542,497

Sitel, LLC (ClientLogic)

        

5.73%-5.78%, 1/30/14 (d)

    683      601,036

Sungard Data Systems, Inc.

        

1.98%, 2/28/14 (d)

    17      15,843
         
        4,166,105
         

Transportation - Airlines - 0.0%

        

Delta Airlines

        

3.53%, 4/30/14 (d)

    497      413,110
         

Transportation - Services - 0.0%

        

Oshkosh Truck Corp.

        

6.26%-6.29%, 12/06/13 (d)

    154      153,635
         
        18,150,516
         

Utility - 0.2%

        

Electric - 0.2%

        

FirstLight Power Resources, Inc.

        

4.81%, 5/01/14 (d)

    800      676,000

GBGH, LLC (US Energy)

        

4.00%, 6/09/13 (d)(i)(j)

    308      156,299

12.00%, 6/09/14 (d)(g)(i)(j)

    96      0

Texas Competitive Electric Holdings Co. LLC

        

3.73%-3.75%, 10/10/14 (d)

    880      710,644

3.75%-3.78%, 10/10/14 (d)

    492      397,825
         
        1,940,768
         

Financial Institutions - 0.2%

        

Finance - 0.1%

        

CIT Group, Inc.

        

13.00%, 1/20/12 (d)

    720      743,659
         

REITS - 0.1%

        

Crescent Resources, LLC

        

8.36%, 9/07/12 (d)(e)

    1,808      817,087

13.50%, 6/10/10 (d)

    300      300,000
         
        1,117,087
         
        1,860,746
         

Total Bank Loans
(cost $24,676,843)

         21,952,030
         

GOVERNMENTS - SOVEREIGN BONDS - 1.8%

        

Brazil - 0.4%

        

Republic of Brazil

        

8.25%, 1/20/34

    3,040      3,868,400
         

Croatia - 0.3%

        

Republic of Croatia

        

6.75%, 11/05/19 (a)

    2,700      2,908,105
         

Lithuania - 0.2%

        

Republic of Lithuania

        

6.75%, 1/15/15 (a)

    2,580      2,626,737
         

Peru - 0.5%

        

Republic of Peru

        

8.375%, 5/03/16

    1,470      1,775,025

9.875%, 2/06/15

    3,150      3,984,750
         
        5,759,775
         

Poland - 0.2%

        

Poland Government International Bond

        

6.375%, 7/15/19

    2,180      2,364,210
         

Russia - 0.2%

        

Russian Federation

        

7.50%, 3/31/30 (a)(b)

    1,704      1,923,638
         

Total Governments - Sovereign Bonds
(cost $17,237,914)

         19,450,865
         

ASSET-BACKED SECURITIES - 1.3%

        

Home Equity Loans - Floating Rate - 0.9%

        

Citigroup Mortgage Loan Trust, Inc.

        

Series 2007-AMC4, Class M1

        

0.50%, 5/25/37 (d)

    65      2,868

Countrywide Asset-Backed Certificates

        

Series 2002-4, Class A1

        

0.971%, 2/25/33 (d)

    4      3,171

Series 2006-S5, Class A1

        

0.34%, 6/25/35 (d)

    3      2,819

Credit-Based Asset Servicing and Securitization LLC

        

Series 2003-CB1, Class AF

        

3.95%, 1/25/33 (d)

    49      42,390

HFC Home Equity Loan Asset Backed Certificates

        

Series 2005-3, Class A1

        

0.493%, 1/20/35 (d)

    737      652,008

Series 2006-1, Class M1

        

0.513%, 1/20/36 (d)

    29      23,258

Series 2007-1, Class M1

        

0.613%, 3/20/36 (d)

    110      50,468

Series 2007-2, Class M1

        

0.543%, 7/20/36 (d)

    40      14,180

Home Equity Asset Trust

        

Series 2007-2, Class M1

        

0.661%, 7/25/37 (d)

    4,620      40,203

Series 2007-3, Class M1

        

0.581%, 8/25/37 (d)

    4,590      166,498

HSI Asset Securitization Corp. Trust

        

Series 2006-OPT2, Class M2

        

0.621%, 1/25/36 (d)

    1,515      376,243

Series 2007-WF1, Class 2A2

        

0.36%, 5/25/37 (d)

    7,980      5,996,622

Indymac Residential Asset Backed Trust

        

Series 2006-D, Class 2A2

        

0.341%, 11/25/36 (d)

    133      94,221

Master Asset Backed Securities Trust

        

Series 2006-NC2, Class A3

        

0.341%, 8/25/36 (d)

    220      114,627

Newcastle Mortgage Securities Trust

        

Series 2007-1, Class 2A1

        

0.361%, 4/25/37 (d)

    2,883      1,739,361

Novastar Home Loan Equity

        

Series 2007-2, Class M1

        

0.531%, 9/25/37 (d)

    25      776

Option One Mortgage Loan Trust

        

Series 2006-3, Class M1

        

0.46%, 2/25/37 (d)

    1,189      9,031

RAAC Series

        

Series 2006-SP3, Class A1

        

0.311%, 8/25/36 (d)

    80      77,851

Residential Asset Mortgage Products, Inc.

        

Series 2005-RS3, Class AIA2

        

0.401%, 3/25/35 (d)

    13      13,233

Soundview Home Equity Loan Trust

        

Series 2007-OPT2, Class 2A2

        

0.361%, 7/25/37 (d)

    85      39,967

Wells Fargo Home Equity Trust

        

Series 2004-1, Class 1A

        

0.53%, 4/25/34 (d)

    59      46,061
         
        9,505,856
         

Credit Cards - Fixed Rate - 0.3%

        

Citibank Credit Card Issuance Trust

        

Series 2009-A5, Class A5

        

2.25%, 12/23/14

    3,360      3,326,217
         

Home Equity Loans - Fixed Rate - 0.1%

        

Asset Backed Funding Certificates

        

Series 2003-WF1, Class A2

        

1.361%, 12/25/32

    529      389,049

Bayview Financial Acquisition Trust

        

Series 2005-D, Class AF2

        

5.402%, 12/28/35

    79      75,223

Citifinancial Mortgage Securities, Inc.

        

Series 2003-1, Class AFPT

        

3.36%, 1/25/33

    504      427,064

Countrywide Asset-Backed Certificates

        

Series 2007-S1, Class A3

        

5.81%, 11/25/36

    118      39,696

Credit-Based Asset Servicing and Securitization LLC

        

Series 2005-CB4, Class AF2

        

4.751%, 8/25/35

    106      100,804

Home Equity Mortgage Trust

        

Series 2005-4, Class A3

        

4.742%, 1/25/36

    29      28,476
         
        1,060,312
         

Other ABS - Fixed Rate - 0.0%

        

DB Master Finance, LLC

        

Series 2006-1, Class A2

        

5.779%, 6/20/31 (a)

    700      665,000
         

Other ABS - Floating Rate - 0.0%

        

Petra CRE CDO Ltd.

        

Series 2007-1A, Class C

        

1.331%, 2/25/47 (a)(d)

    1,410      14,100
         

Total Asset-Backed Securities
(cost $31,063,962)

         14,571,485
         

INFLATION-LINKED SECURITIES - 1.0%

        

United States - 1.0%

        

U.S. Treasury Notes

        

3.00%, 7/15/12 (TIPS)

(cost $10,778,228)

    10,286      11,058,523
         

GOVERNMENTS - SOVEREIGN AGENCIES - 0.7%

        

United Kingdom - 0.7%

        

The Royal Bank of Scotland PLC

        

1.45%, 10/20/11 (a)

(cost $8,296,017)

    8,302      8,283,420
         

CMOS - 0.7%

        

Non-Agency ARMS - 0.5%

        

Bear Stearns Alt-A Trust

        

Series 2006-3, Class 22A1

        

5.873%, 5/25/36 (c)

    67      41,414

Series 2007-1, Class 21A1

        

5.56%, 1/25/47 (c)

    180      97,175

Citigroup Mortgage Loan Trust, Inc.

        

Series 2005-2, Class 1A4

        

5.128%, 5/25/35 (c)

    2,331      1,982,587

Series 2006-AR1, Class 3A1

        

5.50%, 3/25/36 (d)

    154      99,757

Countrywide Alternative Loan Trust

        

Series 2006-OA7, Class 1A1

        

2.637%, 6/25/46 (c)

    4,219      1,738,709

Deutsche Mortgage Securities, Inc.

        

Series 2005-WF1, Class 1A1

        

5.158%, 6/26/35 (a)(c)

    31      30,387

Indymac Index Mortgage Loan Trust

        

Series 2006-AR7, Class 4A1

        

5.856%, 5/25/36 (c)

    1,440      807,147

Merrill Lynch Mortgage Investors, Inc.

        

Series 2005-A9, Class 2A1A

        

5.151%, 12/25/35 (c)

    8      6,856

Residential Funding Mortgage Securities, I Inc.

        

Series 2005-SA3, Class 3A

        

5.247%, 8/25/35 (c)

    83      69,954
         
        4,873,986
         

Non-Agency Floating Rate - 0.2%

        

Banc of America Funding Corp.

        

Series 2007-B, Class A1

        

0.443%, 4/20/47 (d)

    97      51,781

Countrywide Alternative Loan Trust

        

Series 2005-62, Class 2A1

        

1.544%, 12/25/35 (d)

    911      501,879

Series 2006-OA14, Class 3A1

        

1.394%, 11/25/46 (d)

    2,691      1,155,148

Lehman XS Trust

        

Series 2007-4N, Class M1

        

0.681%, 3/25/47 (d)

    145      653

MLCC Mortgage Investors, Inc.

        

Series 2003-F, Class A1

        

0.551%, 10/25/28 (d)

    9      7,411

Sequoia Mortgage Trust

        

Series 2007-3, Class 1A1

        

0.43%, 7/20/36 (d)

    43      31,720

Structured Asset Mortgage Investment, Inc.

        

Series 2004-AR5, Class 1A1

        

0.89%, 10/19/34 (d)

    864      593,506

WaMu Mortgage Pass Through Certificates

        

Series 2005-AR13, Class B1

        

0.831%, 10/25/45 (d)

    57      4,373

Series 2005-AR13, Class B2

        

0.861%, 10/25/45 (d)

    57      4,142

Series 2007-OA1, Class A1A

        

1.332%, 2/25/47 (d)

    82      40,945

Series 2007-OA3, Class B1

        

0.681%, 4/25/47 (d)

    25      379
         
        2,391,937
         

Agency Fixed Rate - 0.0%

        

Fannie Mae Grantor Trust

        

Series 2004-T5, Class AB4

        

0.557%, 5/28/35

    323      303,868
         

Non-Agency Fixed Rate - 0.0%

        

JP Morgan Alternative Loan Trust

        

Series 2006-A3, Class 2A1

        

6.05%, 7/25/36

    91      52,218

Merrill Lynch Mortgage Investors, Inc.

        

Series 2005-A8, Class A1C1

        

5.25%, 8/25/36

    256      229,694
         
        281,912
         

Total CMOs
(cost $14,021,554)

         7,851,703
         

QUASI-SOVEREIGNS - 0.5%

        

Quasi-Sovereign Bonds - 0.5%

        

Russia - 0.5%

        

RSHB Capital SA for OJSC Russian Agricultural Bank

        

7.75%, 5/29/18 (a)

(cost $5,024,979)

      5,045        5,517,969   
             

EMERGING MARKETS - CORPORATE BONDS - 0.1%

        

Industrial - 0.1%

        

Energy - 0.1%

        

Ecopetrol SA

        

7.625%, 7/23/19

(cost $856,018)

      859        952,202   
             
     Shares         

PREFERRED STOCKS - 0.0%

        

Non Corporate Sectors - 0.0%

        

Agencies - Government Sponsored - 0.0%

        

Federal Home Loan Mortgage Corp.

        

Series Z

        

8.375% (c)

      39,550        41,527   

Federal National Mortgage Association

        

8.25% (c)

      59,175        65,093   
             

Total Preferred Stocks
(cost $2,468,125)

           106,620   
             
     Principal
Amount
(000)		         

SUPRANATIONALS - 0.0%

        

European Investment Bank

        

5.125%, 5/30/17

(cost $16,329)

    $ 15        16,424   
             
       
     Shares         

SHORT-TERM INVESTMENTS - 4.2%

        

Investment Companies - 4.2%

        

AllianceBernstein Fixed-Income Shares,
Inc. - Government STIF Portfolio, 0.08% (k)
(cost $46,422,814)

      46,422,814        46,422,814   
             

Total Investments - 100.5%
(cost $1,117,398,251) (l)

           1,106,998,440   

Other assets less liabilities - (0.5)%

           (5,833,746 ) 
             

Net Assets - 100.0%

         $ 1,101,164,694   
             

INTEREST RATE SWAP TRANSACTIONS

 

Swap Counterparty

    Notional
Amount
(000)		    Termination
Date		    Rate Type      
         Payments
made by
the Portfolio		    Payments
received by
the Portfolio		     Unrealized
Appreciation/
(Depreciation)

Citigroup

    $ 72,500    9/17/10    3 Month LIBOR    2.780 %    $ 1,779,566

FUTURES CONTRACTS

 

Type

    Number
of
Contracts		    Expiration
Month		    Original
Value		    Value at
December 31,
2009		    Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

      

U.S. T-Note 5 Yr Futures

    106    March 2010    $ 12,319,397    $ 12,124,578    $ (194,819 ) 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

     Contract
Amount
(000)		    U.S. $
Value on
Origination
Date		    U.S. $
Value at
December 31,
2009		    Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts:

            

Hungarian Forint

settling 1/26/10

    688,602    $ 3,678,825    $ 3,651,942    $ (26,883 ) 

Hungarian Forint

settling 1/26/10

    370,442      1,922,077      1,964,605      42,528   

Sale Contracts:

            

Canadian Dollar

settling 1/13/10

    28,021      26,310,627      26,793,238      (482,611 ) 

Euro

settling 1/25/10

    1,147      1,704,119      1,643,974      60,145   

Hungarian Forint

settling 1/26/10

    1,059,044      5,792,825      5,616,547      176,278   

 

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2009, the aggregate market value of these securities amounted to $66,285,018 or 6.0% of net assets.
(b) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2009.
(c) Variable rate coupon, rate shown as of December 31, 2009.
(d) Floating Rate Security. Stated interest rate was in effect at December 31, 2009.

(e) Security is in default and is non-income producing.
(f) 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 $46,185 and $1,796, 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.
(g) Pay-In-Kind Payments (PIK).
(h) This position or a portion of this position represents an unsettled loan purchase. At December 31, 2009, the market value and unrealized gain/(loss) of these unsettled loan purchases amounted to $307,348 and $21,590, 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.
(i) Illiquid security.
(j) Fair valued.
(k) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(l) As of December 31, 2009, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $39,111,726 and gross unrealized depreciation of investments was $(49,511,537), resulting in net unrealized depreciation of $(10,399,811).

The fund currently owns investments collateralized by subprime mortgage loans. Subprime loans are offered to homeowners who do not have a history of debt or who have had problems meeting their debt obligations. Because repayment is less certain, subprime borrowers pay a higher rate of interest than prime borrowers. As of December 31, 2009, the fund’s total exposure to subprime investments was 1.45% of net assets. These investments are valued in accordance with the fund’s Valuation Policies. An amount equivalent to U.S. $84,800 has been segregated to collateralize margin requirements for the open futures contracts at December 31, 2009.

Currency Abbreviations:

 

CAD    -    Canadian Dollar
EUR    -    Euro Dollar
Glossary:
ABS    -    Asset-Backed Securities
ARMs    -    Adjustable Rate Mortgages
CDO    -    Collateralized Debt Obligation
CMBS    -    Commercial Mortgage-Backed Securities
CMOs    -    Collateralized Mortgage Obligations
LIBOR    -    London Interbank Offered Rates
LP    -    Limited Partnership
OJSC    -    Open Joint Stock Company
REIT    -    Real Estate Investment Trust
TBA    -    To Be Announced
TIPS    -    Treasury Inflation Protected Security

Sanford C. Bernstein Fund II, Inc. – Intermediate Duration Institutional Portfolio

December 31, 2009 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The 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 Portfolio. Unobservable inputs reflect the Portfolio’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 Portfolio’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2009:

 

Investments in Securities

    Level 1     Level 2    Level 3    Total  

Assets:

           

Corporates - Investment Grades

    $ —        $ 382,745,148    $ 1,293,064    $ 384,038,212   

Governments - Treasuries

      —          241,990,433      —        241,990,433   

Mortgage Pass-Thru’s

      —          168,817,906      —        168,817,906   

Commercial Mortgage-Backed Securities

      —          85,352,120      6,860,875      92,212,995   

Agencies

      —          41,898,789      —        41,898,789   

Corporates - Non-Investment Grades

      —          40,888,134      967,916      41,856,050   

Bank Loans

      —          —        21,952,030      21,952,030   

Governments - Sovereign Bonds

      —          19,450,865      —        19,450,865   

Asset-Backed Securities

      —          3,326,217      11,245,268      14,571,485   

Inflation-Linked Securities

      —          11,058,523      —        11,058,523   

Governments - Sovereign Agencies

      —          8,283,420      —        8,283,420   

CMOs

      —          303,868      7,547,835      7,851,703   

Quasi-Sovereigns

      —          5,517,969      —        5,517,969   

Emerging Markets - Corporate Bonds

      —          952,202      —        952,202   

Preferred Stocks

      —          106,620      —        106,620   

Supranationals

      —          16,424      —        16,424   

Short-Term Investments

      46,422,814        —        —        46,422,814   
                              

Total Investments

      46,422,814        1,010,708,638      49,866,988      1,106,998,440   

Other Financial Instruments*:

           

Assets

      —          1,779,566      —        1,779,566   

Liabilities

      (194,819 )      —        —        (194,819 ) 
                              

Total

    $     46,227,995      $     1,012,488,204    $     49,866,988    $     1,108,583,187   
                              

 

* 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:

 

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

Balance as of 9/30/09

    $ 12,480,303      $ 4,345,293      $ 3,320,641      $     26,949,401   

Accrued discounts /premiums

      51        5,730        525        109,805   

Realized gain (loss)

      —          —          —          (374,217 ) 

Change in unrealized appreciation/depreciation

      20,676        (5,416 )      10,863        1,299,318   

Net purchases (sales)

      —          —          —          (6,032,277 ) 

Net transfers in and/or out of Level 3

      (11,207,966 )      2,515,268        (2,364,113 )      —     
                                

Balance as of 12/31/09

    $ 1,293,064      $ 6,860,875      $ 967,916      $ 21,952,030   
                                

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/09

    $ 20,676      $ (5,416 )    $ 10,863      $ 1,148,741   
                                
     Governments -
Sovereign
Bonds 		    Asset-Backed
Securities		     CMOs     Quasi-
Sovereigns		  

Balance as of 9/30/09

    $ 12,778,909      $ 10,794,042      $ 8,009,924      $ 8,266,850   

Accrued discounts /premiums

      —          1,809        1,257        3,786   

Realized gain (loss)

      —          6,047        12,890        226,010   

Change in unrealized appreciation/depreciation

      —          1,022,352        300,993        (60,740 ) 

Net purchases (sales)

      —          (578,982 )      (777,229 )      (2,881,056 ) 

Net transfers in and/or out of Level 3

      (12,778,909 )      —          —          (5,554,850 ) 
                                

Balance as of 12/31/09

    $ —        $ 11,245,268      $ 7,547,835      $ —     
                                

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/09

    $ —        $ 1,022,177      $ 300,993      $ —     
                                
     Total                    

Balance as of 9/30/09

    $ 86,945,363         

Accrued discounts /premiums

      122,963         

Realized gain (loss)

      (129,270 )       

Change in unrealized appreciation/depreciation

      2,588,046         

Net purchases (sales)

      (10,269,544 )       

Net transfers in and/or out of Level 3

      (29,390,570 )       
              

Balance as of 12/31/09

    $     49,866,988         
              

Net change in unrealized appreciation/depreciation

      —           

from Investments held as of 12/31/09

    $ 2,498,034         
              

ITEM 2. CONTROLS AND PROCEDURES.

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

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

 

ITEM 3. EXHIBITS.

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

 

EXHIBIT NO.

  

DESCRIPTION OF EXHIBIT

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

 

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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): Sanford C. Bernstein Fund II, Inc.
By:  

/s/    Robert M. Keith

  Robert M. Keith
  President
Date:   February 19, 2010

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

 

By:  

/s/    Robert M. Keith

  Robert M. Keith
  President
Date:   February 19, 2010
By:  

/s/    Joseph J. Mantineo

  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   February 19, 2010

 

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