N-Q 1 d376023dnq.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, 2012

Date of reporting period: June 30, 2012

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

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

Portfolio of Investments

June 30, 2012 (unaudited)

 

Company

    Principal
Amount
(000)		        U.S. $ Value  

CORPORATES - INVESTMENT GRADES - 26.9%

        

Industrial - 12.9%

        

Basic - 1.5%

        

Alcoa, Inc.

        

5.40%, 4/15/21

    U.S.$ 1,655         $ 1,647,999   

AngloGold Ashanti Holdings PLC

        

5.375%, 4/15/20

      1,535           1,577,566   

ArcelorMittal

        

6.125%, 6/01/18

      1,297           1,315,089   

ArcelorMittal USA LLC

        

6.50%, 4/15/14

      1,010           1,071,128   

BHP Billiton Finance USA Ltd.

        

7.25%, 3/01/16

      27           32,533   

Dow Chemical Co. (The)

        

4.125%, 11/15/21

      655           702,555   

5.25%, 11/15/41

      640           707,480   

7.375%, 11/01/29

      165           220,747   

7.60%, 5/15/14

      1,297           1,443,776   

8.55%, 5/15/19

      665           884,499   

Eastman Chemical Co.

        

2.40%, 6/01/17

      732           739,755   

3.60%, 8/15/22

      781           796,565   

International Paper Co.

        

4.75%, 2/15/22

      100           109,154   

7.95%, 6/15/18

      1,415           1,783,082   

Packaging Corp. of America

        

5.75%, 8/01/13

      830           875,465   

PPG Industries, Inc.

        

5.75%, 3/15/13

      1,021           1,056,646   

Teck Resources Ltd.

        

4.75%, 1/15/22

      1,189           1,277,589   
       

 

 

  
          16,241,628   
       

 

 

  

Capital Goods - 0.6%

        

ADT Corp. (The)

        

3.50%, 7/15/22 (a)

      630           632,114   

Embraer SA

        

5.15%, 6/15/22

      749           768,849   

General Electric Co.

        

5.25%, 12/06/17

      230           268,581   

Holcim US Finance Sarl & Cie SCS

        

6.00%, 12/30/19 (a)

      231           242,191   

Owens Corning

        

6.50%, 12/01/16

      1,652           1,836,894   

Republic Services, Inc.

        

3.80%, 5/15/18

      5           5,349   

5.25%, 11/15/21

      933           1,071,164   

5.50%, 9/15/19

      1,288           1,490,405   

United Technologies Corp.

        

8.75%, 3/01/21

      160           226,960   
       

 

 

  
          6,542,507   
       

 

 

  

Communications - Media - 2.7%

        

CBS Corp.

        

3.375%, 3/01/22

      2,153           2,145,025   

5.625%, 8/15/12

      19           19,109   

5.75%, 4/15/20

      2,196           2,554,112   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Comcast Cable Communications Holdings, Inc.

        

9.455%, 11/15/22

    U.S.$ 1,130         $ 1,644,961   

Comcast Corp.

        

5.15%, 3/01/20

      2,095           2,432,054   

5.30%, 1/15/14

      15           15,960   

DirecTV Holdings LLC/DirecTV Financing Co., Inc.

        

3.80%, 3/15/22

      2,175           2,199,562   

4.60%, 2/15/21

      700           744,477   

4.75%, 10/01/14

      940           1,009,022   

Globo Comunicacao e Participacoes SA

        

5.307%, 5/11/22 (a)(b)

      784           831,040   

Interpublic Group of Cos., Inc. (The)

        

4.00%, 3/15/22

      273           277,156   

NBCUniversal Media LLC

        

4.375%, 4/01/21

      530           583,067   

News America, Inc.

        

6.15%, 3/01/37-2/15/41

      1,388           1,621,870   

6.55%, 3/15/33

      755           851,455   

9.25%, 2/01/13

      1,285           1,342,677   

Omnicom Group, Inc.

        

3.625%, 5/01/22

      957           972,409   

Reed Elsevier Capital, Inc.

        

8.625%, 1/15/19

      2,255           2,860,826   

TCI Communications, Inc.

        

7.875%, 2/15/26

      110           148,282   

Time Warner Cable, Inc.

        

7.50%, 4/01/14

      1,120           1,241,735   

Time Warner Entertainment Co. LP

        

8.375%, 3/15/23

      2,420           3,278,023   

Virgin Media Secured Finance PLC

        

5.25%, 1/15/21

      915           1,013,670   

WPP Finance UK

        

5.875%, 6/15/14

      10           10,792   

8.00%, 9/15/14

      2,145           2,419,080   
       

 

 

  
          30,216,364   
       

 

 

  

Communications - Telecommunications - 1.6%

        

American Tower Corp.

        

5.05%, 9/01/20

      2,180           2,289,818   

AT&T Corp.

        

8.00%, 11/15/31

      340           503,746   

AT&T, Inc.

        

4.45%, 5/15/21

      1,244           1,408,224   

5.35%, 9/01/40

      481           552,026   

5.60%, 5/15/18

      6           7,181   

BellSouth Corp.

        

5.20%, 9/15/14

      37           40,266   

BellSouth Telecommunications, Inc.

        

7.00%, 10/01/25

      135           168,994   

British Telecommunications PLC

        

2.00%, 6/22/15

      1,178           1,194,187   

5.95%, 1/15/18

      314           367,816   

Deutsche Telekom International Finance BV

        

4.875%, 3/06/42 (a)

      2,452           2,329,505   

New Cingular Wireless Services, Inc.

        

8.75%, 3/01/31

      20           30,461   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Pacific Bell Telephone Co.

        

6.625%, 10/15/34

    U.S.$ 170         $ 179,456   

Telecom Italia Capital SA

        

6.175%, 6/18/14

      2,080           2,095,600   

6.375%, 11/15/33

      290           227,650   

7.175%, 6/18/19

      910           905,450   

Telefonica Emisiones SAU

        

5.462%, 2/16/21

      1,075           936,103   

United States Cellular Corp.

        

6.70%, 12/15/33

      1,380           1,426,716   

Verizon Communications, Inc.

        

2.00%, 11/01/16

      6           6,140   

4.60%, 4/01/21

      83           95,130   

5.55%, 2/15/16

      135           154,963   

6.10%, 4/15/18

      37           45,077   

Vodafone Group PLC

        

6.15%, 2/27/37

      1,955           2,498,734   
       

 

 

  
          17,463,243   
       

 

 

  

Consumer Cyclical - Automotive - 0.4%

        

Ford Motor Credit Co. LLC

        

3.00%, 6/12/17

      2,235           2,222,687   

Harley-Davidson Funding Corp.

        

5.75%, 12/15/14 (a)

      1,798           1,947,013   
       

 

 

  
          4,169,700   
       

 

 

  

Consumer Cyclical - Entertainment - 0.5%

        

Time Warner, Inc.

        

4.70%, 1/15/21

      1,130           1,259,188   

7.625%, 4/15/31

      115           148,539   

Turner Broadcasting System, Inc.

        

8.375%, 7/01/13

      2,109           2,252,612   

Viacom, Inc.

        

5.625%, 9/15/19

      2,160           2,547,314   
       

 

 

  
          6,207,653   
       

 

 

  

Consumer Cyclical - Other - 0.2%

        

Marriott International, Inc./DE

        

Series J

        

5.625%, 2/15/13

      2,371           2,435,899   
       

 

 

  

Consumer Cyclical - Retailers - 0.4%

        

CVS Caremark Corp.

        

6.60%, 3/15/19

      1,085           1,353,052   

Macy’s Retail Holdings, Inc.

        

3.875%, 1/15/22

      2,710           2,849,221   
       

 

 

  
          4,202,273   
       

 

 

  

Consumer Non-Cyclical - 0.9%

        

Ahold Finance USA LLC

        

6.875%, 5/01/29

      2,260           2,809,750   

Archer-Daniels-Midland Co.

        

4.479%, 3/01/21

      18           20,772   

Bunge Ltd. Finance Corp.

        

5.10%, 7/15/15

      1,091           1,165,839   

5.875%, 5/15/13

      1,700           1,764,272   

8.50%, 6/15/19

      19           23,721   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Cadbury Schweppes US Finance LLC

        

5.125%, 10/01/13 (a)

    U.S.$ 2,305         $ 2,414,536   

Delhaize Group SA

        

5.875%, 2/01/14

      570           600,226   

Diageo Capital PLC

        

7.375%, 1/15/14

      25           27,505   

Johnson & Johnson

        

6.95%, 9/01/29

      135           194,530   

Kimberly-Clark Corp.

        

3.875%, 3/01/21

      35           39,157   

PepsiCo, Inc./NC

        

5.00%, 6/01/18

      180           210,251   

Pfizer, Inc.

        

5.35%, 3/15/15

      6           6,708   

6.20%, 3/15/19

      35           43,867   

Tyson Foods, Inc.

        

6.85%, 4/01/16

      15           17,156   

Whirlpool Corp.

        

8.60%, 5/01/14

      260           289,470   
       

 

 

  
          9,627,760   
       

 

 

  

Energy - 2.4%

        

Anadarko Petroleum Corp.

        

5.95%, 9/15/16

      2,433           2,760,915   

6.45%, 9/15/36

      714           825,476   

Canadian Natural Resources Ltd.

        

5.15%, 2/01/13

      10           10,253   

ConocoPhillips

        

4.60%, 1/15/15

      6           6,569   

ConocoPhillips Holding Co.

        

6.95%, 4/15/29

      40           54,874   

Encana Corp.

        

3.90%, 11/15/21

      3,385           3,348,232   

Marathon Petroleum Corp.

        

3.50%, 3/01/16

      369           386,801   

5.125%, 3/01/21

      1,856           2,077,989   

Nabors Industries, Inc.

        

9.25%, 1/15/19

      1,898           2,464,207   

Noble Energy, Inc.

        

8.25%, 3/01/19

      2,253           2,880,246   

Noble Holding International Ltd.

        

4.90%, 8/01/20

      192           208,505   

Phillips 66

        

4.30%, 4/01/22 (a)

      2,860           3,011,014   

Reliance Holdings USA, Inc.

        

5.40%, 2/14/22 (a)

      2,256           2,274,215   

Southwestern Energy Co.

        

4.10%, 3/15/22 (a)

      782           792,587   

Valero Energy Corp.

        

6.125%, 2/01/20

      1,599           1,846,138   

Weatherford International Ltd./Bermuda

        

5.125%, 9/15/20

      1,565           1,680,104   

6.00%, 3/15/18

      164           186,981   

9.625%, 3/01/19

      1,065           1,387,955   
       

 

 

  
          26,203,061   
       

 

 

  

Company

    Principal
Amount
(000)		        U.S. $ Value  

Other Industrial - 0.2%

        

Noble Group Ltd.

        

6.75%, 1/29/20 (a)

    U.S.$ 2,452         $ 2,366,180   
       

 

 

  

Technology - 0.8%

        

Agilent Technologies, Inc.

        

5.00%, 7/15/20

      388           439,444   

Hewlett-Packard Co.

        

4.65%, 12/09/21

      1,311           1,374,195   

HP Enterprise Services LLC

        

7.45%, 10/15/29

      15           18,546   

Intel Corp.

        

4.80%, 10/01/41

      1,015           1,162,413   

Motorola Solutions, Inc.

        

7.50%, 5/15/25

      240           296,654   

Oracle Corp.

        

5.25%, 1/15/16

      53           60,767   

Telefonaktiebolaget LM Ericsson

        

4.125%, 5/15/22

      2,830           2,837,825   

Xerox Corp.

        

2.95%, 3/15/17

      446           451,052   

8.25%, 5/15/14

      1,870           2,085,104   
       

 

 

  
          8,726,000   
       

 

 

  

Transportation - Airlines - 0.2%

        

Southwest Airlines Co.

        

5.25%, 10/01/14

      1,220           1,320,441   

5.75%, 12/15/16

      850           982,116   
       

 

 

  
          2,302,557   
       

 

 

  

Transportation - Railroads - 0.0%

        

Canadian Pacific Railway Co.

        

6.50%, 5/15/18

      405           481,344   
       

 

 

  

Transportation - Services - 0.5%

        

Asciano Finance Ltd.

        

3.125%, 9/23/15 (a)

      2,550           2,537,854   

Con-way, Inc.

        

6.70%, 5/01/34

      1,700           1,688,806   

Ryder System, Inc.

        

5.85%, 11/01/16

      680           772,124   

7.20%, 9/01/15

      662           757,897   
       

 

 

  
          5,756,681   
       

 

 

  
          142,942,850   
       

 

 

  

Financial Institutions - 10.2%

        

Banking - 6.6%

        

Bank of America Corp.

        

3.875%, 3/22/17

      285           290,329   

5.625%, 7/01/20

      35           37,472   

5.70%, 1/24/22

      1,205           1,327,059   

5.875%, 2/07/42

      1,751           1,918,010   

7.375%, 5/15/14

      10           10,754   

7.625%, 6/01/19

      1,425           1,675,630   

Series L

        

5.65%, 5/01/18

      2,385           2,550,264   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Barclays Bank PLC

        

5.125%, 1/08/20

    U.S.$ 2,015         $ 2,186,607   

Bear Stearns Cos. LLC (The)

        

5.30%, 10/30/15

      70           75,961   

5.55%, 1/22/17

      2,435           2,628,139   

5.70%, 11/15/14

      2,870           3,105,598   

Citigroup, Inc.

        

4.50%, 1/14/22

      2,480           2,561,478   

4.75%, 5/19/15

      1,045           1,096,875   

5.30%, 1/07/16

      20           21,232   

5.375%, 8/09/20

      13           14,048   

5.50%, 4/11/13

      1,190           1,223,650   

6.50%, 8/19/13

      120           125,732   

8.50%, 5/22/19

      2,640           3,260,482   

Compass Bank

        

5.50%, 4/01/20

      3,134           2,961,780   

Countrywide Financial Corp.

        

6.25%, 5/15/16

      1,040           1,082,430   

DNB Bank ASA

        

3.20%, 4/03/17 (a)

      2,845           2,877,487   

Fifth Third Bancorp

        

3.50%, 3/15/22

      1,099           1,110,619   

Goldman Sachs Group, Inc. (The)

        

3.625%, 8/01/12

      230           230,421   

4.75%, 7/15/13

      115           118,241   

5.125%, 1/15/15

      60           62,643   

5.25%, 7/27/21

      646           656,218   

5.35%, 1/15/16

      230           241,501   

5.75%, 1/24/22

      2,870           3,029,583   

6.00%, 6/15/20

      2,335           2,492,774   

7.50%, 2/15/19

      1,880           2,143,956   

HSBC Holdings PLC

        

4.00%, 3/30/22

      2,990           3,104,810   

5.10%, 4/05/21

      1,647           1,838,793   

JP Morgan Chase Capital XVIII

        

Series R

        

6.95%, 8/17/36

      180           180,000   

JPMorgan Chase & Co.

        

0.616%, 11/01/12 (c)

      90           90,030   

3.70%, 1/20/15

      270           281,632   

4.40%, 7/22/20

      30           31,642   

4.50%, 1/24/22

      3,325           3,581,750   

4.625%, 5/10/21

      27           28,890   

4.75%, 3/01/15

      6           6,424   

Macquarie Bank Ltd.

        

5.00%, 2/22/17 (a)

      505           514,344   

Macquarie Group Ltd.

        

4.875%, 8/10/17 (a)

      2,143           2,148,077   

Merrill Lynch & Co., Inc.

        

6.11%, 1/29/37

      125           117,783   

Morgan Stanley

        

5.30%, 3/01/13

      145           147,797   

5.50%, 7/24/20-7/28/21

      3,853           3,781,139   

6.625%, 4/01/18

      1,970           2,059,769   

7.25%, 4/01/32

      15           15,933   

National Capital Trust II

        

5.486%, 3/23/15 (a)

      645           599,336   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Nationwide Building Society

        

6.25%, 2/25/20 (a)

    U.S.$ 2,605         $ 2,810,097   

PNC Funding Corp.

        

5.125%, 2/08/20

      15           17,348   

Royal Bank of Scotland PLC (The)

        

6.125%, 1/11/21

      2,080           2,310,703   

Santander US Debt SAU

        

2.991%, 10/07/13 (a)

      2,555           2,456,788   

Societe Generale SA

        

2.50%, 1/15/14 (a)

      1,235           1,213,074   

SouthTrust Corp.

        

5.80%, 6/15/14

      15           16,077   

UFJ Finance Aruba AEC

        

6.75%, 7/15/13

      520           548,347   

Unicredit Luxembourg Finance SA

        

6.00%, 10/31/17 (a)

      1,042           853,149   

Wachovia Bank NA

        

5.60%, 3/15/16

      150           167,877   

Wachovia Corp.

        

5.50%, 5/01/13

      2,550           2,649,651   
       

 

 

  
          72,688,233   
       

 

 

  

Finance - 0.5%

        

General Electric Capital Corp.

        

4.65%, 10/17/21

      1,127           1,251,563   

5.375%, 10/20/16

      180           203,584   

5.40%, 2/15/17

      7           7,963   

5.625%, 5/01/18

      105           120,702   

5.875%, 1/14/38

      43           49,364   

Series A

        

6.90%, 9/15/15

      180           208,343   

HSBC Finance Corp.

        

6.676%, 1/15/21

      101           109,354   

SLM Corp.

        

7.25%, 1/25/22

      1,745           1,845,338   

Series A

        

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

      1,815           1,867,665   
       

 

 

  
          5,663,876   
       

 

 

  

Insurance - 2.1%

        

Allied World Assurance Co., Ltd.

        

7.50%, 8/01/16

      735           847,434   

Allstate Corp. (The)

        

6.125%, 5/15/37

      2,148           2,115,780   

American International Group, Inc.

        

3.80%, 3/22/17

      215           219,169   

6.40%, 12/15/20

      1,180           1,335,143   

Coventry Health Care, Inc.

        

5.95%, 3/15/17

      535           606,838   

6.125%, 1/15/15

      205           223,597   

6.30%, 8/15/14

      1,630           1,771,803   

Genworth Financial, Inc.

        

6.515%, 5/22/18

      1,010           967,867   

Guardian Life Insurance Co. of America

        

7.375%, 9/30/39 (a)

      873           1,139,033   

Hartford Financial Services Group, Inc.

        

Company

    Principal
Amount
(000)		        U.S. $ Value  

4.00%, 3/30/15

    U.S.$ 495         $ 519,140   

5.125%, 4/15/22

      1,075           1,106,988   

5.50%, 3/30/20

      1,341           1,400,078   

6.10%, 10/01/41

      110           106,395   

Humana, Inc.

        

6.30%, 8/01/18

      215           249,953   

6.45%, 6/01/16

      240           272,940   

7.20%, 6/15/18

      585           702,989   

Lincoln National Corp.

        

8.75%, 7/01/19

      670           843,717   

Markel Corp.

        

7.125%, 9/30/19

      1,231           1,431,878   

Massachusetts Mutual Life Insurance Co.

        

8.875%, 6/01/39 (a)

      615           881,217   

MetLife Capital Trust IV

        

7.875%, 12/15/37 (a)

      970           1,076,700   

MetLife, Inc.

        

4.75%, 2/08/21

      350           389,627   

5.00%, 6/15/15

      90           98,946   

7.717%, 2/15/19

      482           610,453   

Nationwide Mutual Insurance Co.

        

9.375%, 8/15/39 (a)

      2,095           2,756,339   

Principal Financial Group, Inc.

        

7.875%, 5/15/14

      26           28,956   

XL Group PLC

        

5.25%, 9/15/14

      1,545           1,627,455   

6.25%, 5/15/27

      155           170,337   
       

 

 

  
          23,500,772   
       

 

 

  

Other Finance - 0.3%

        

Aviation Capital Group Corp.

        

7.125%, 10/15/20

      945           961,071   

ORIX Corp.

        

4.71%, 4/27/15

      2,004           2,089,661   
       

 

 

  
          3,050,732   
       

 

 

  

REITS - 0.7%

        

ERP Operating LP

        

5.25%, 9/15/14

      165           177,761   

HCP, Inc.

        

5.375%, 2/01/21

      2,940           3,251,061   

Health Care REIT, Inc.

        

5.25%, 1/15/22

      2,940           3,118,646   

Healthcare Realty Trust, Inc.

        

5.125%, 4/01/14

      1,484           1,536,563   
       

 

 

  
          8,084,031   
       

 

 

  
          112,987,644   
       

 

 

  

Utility - 3.3%

        

Electric - 1.5%

        

Alabama Power Co.

        

3.95%, 6/01/21

      54           59,042   

Series 07A

        

5.55%, 2/01/17

      135           156,344   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Allegheny Energy Supply Co. LLC

        

5.75%, 10/15/19 (a)

    U.S.$ 1,200         $ 1,291,352   

Constellation Energy Group, Inc.

        

5.15%, 12/01/20

      1,280           1,416,885   

Duke Energy Carolinas LLC

        

3.90%, 6/15/21

      42           46,829   

Enersis SA

        

7.375%, 1/15/14

      70           74,916   

FirstEnergy Corp.

        

Series C

        

7.375%, 11/15/31

      1,588           1,993,369   

MidAmerican Energy Holdings Co.

        

6.125%, 4/01/36

      2,305           2,884,122   

Nisource Finance Corp.

        

6.80%, 1/15/19

      2,590           3,104,954   

Pacific Gas & Electric Co.

        

4.50%, 12/15/41

      1,100           1,163,712   

6.05%, 3/01/34

      5           6,301   

Southern California Edison Co.

        

3.875%, 6/01/21

      18           20,026   

SPI Electricity & Gas Australia Holdings Pty Ltd.

        

6.15%, 11/15/13 (a)

      1,075           1,120,034   

TECO Finance, Inc.

        

4.00%, 3/15/16

      545           583,197   

5.15%, 3/15/20

      665           760,102   

Union Electric Co.

        

6.70%, 2/01/19

      240           302,229   

Wisconsin Energy Corp.

        

6.25%, 5/15/67

      1,169           1,215,760   
       

 

 

  
          16,199,174   
       

 

 

  

Natural Gas - 1.8%

        

DCP Midstream LLC

        

5.35%, 3/15/20 (a)

      554           604,614   

Energy Transfer Partners LP

        

4.65%, 6/01/21

      25           25,828   

5.95%, 2/01/15

      20           21,784   

6.125%, 2/15/17

      125           140,491   

6.625%, 10/15/36

      120           127,485   

6.70%, 7/01/18

      705           808,672   

7.50%, 7/01/38

      1,660           1,872,145   

Enterprise Products Operating LLC

        

5.20%, 9/01/20

      486           556,017   

EQT Corp.

        

8.125%, 6/01/19

      1,233           1,478,691   

Kinder Morgan Energy Partners LP

        

3.95%, 9/01/22

      3,120           3,160,909   

4.15%, 3/01/22

      655           673,357   

ONEOK, Inc.

        

4.25%, 2/01/22

      2,795           2,927,086   

Talent Yield Investments Ltd.

        

4.50%, 4/25/22 (a)

      2,845           2,910,566   

TransCanada PipeLines Ltd.

        

6.35%, 5/15/67

      2,485           2,558,934   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Williams Partners LP

        

5.25%, 3/15/20

    U.S.$ 1,796         $ 2,017,907   
       

 

 

  
          19,884,486   
       

 

 

  
          36,083,660   
       

 

 

  

Non Corporate Sectors - 0.5%

        

Agencies - Not Government Guaranteed - 0.5%

        

Abu Dhabi National Energy Co.

        

4.125%, 3/13/17 (a)

      701           742,367   

Gazprom OAO Via Gaz Capital SA

        

6.212%, 11/22/16 (a)

      1,978           2,146,031   

Petrobras International Finance Co. - Pifco

        

5.375%, 1/27/21

      2,150           2,317,208   

5.75%, 1/20/20

      30           32,816   
       

 

 

  
          5,238,422   
       

 

 

  

Total Corporates - Investment Grades
(cost $278,709,347)

           297,252,576   
       

 

 

  

MORTGAGE PASS-THROUGHS - 24.8%

        

Agency Fixed Rate 30-Year - 20.8%

        

Federal Home Loan Mortgage Corp. Gold

        

4.50%, 10/01/39-2/01/41

      19,707           21,052,694   

5.50%, 4/01/38

      8,427           9,149,544   

Series 2005

        

5.50%, 1/01/35

      31           34,268   

Series 2007

        

5.50%, 7/01/35

      1,476           1,617,771   

Federal National Mortgage Association

        

3.50%, TBA

      15,855           16,665,092   

3.50%, 12/01/41

      16,066           16,893,301   

4.00%, 1/01/41-12/01/41

      41,742           44,497,969   

4.50%, TBA

      16,135           17,307,308   

5.50%, 5/01/38-6/01/38

      13,158           14,320,741   

6.00%, 11/01/37-4/01/40

      16,652           18,280,526   

Series 2003

        

5.00%, 11/01/33

      2,840           3,083,897   

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

      4,849           5,341,644   

Series 2004

        

5.50%, 2/01/34-11/01/34

      4,439           4,882,830   

6.00%, 9/01/34

      442           490,967   

Series 2005

        

4.50%, 6/01/35-9/01/35

      5,614           6,021,266   

5.50%, 2/01/35

      4,737           5,211,573   

6.00%, 4/01/35

      2,405           2,671,492   

Series 2006

        

5.00%, 2/01/36

      8,167           8,843,913   

5.50%, 4/01/36

      1,247           1,363,685   

6.00%, 11/01/36

      16           17,569   

Series 2007

        

4.50%, 9/01/35

      3,881           4,167,270   

5.00%, 11/01/35-7/01/36

      118           127,647   

5.50%, 5/01/36-8/01/37

      428           470,457   

Series 2008

        

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

      6,128           6,699,822   

6.00%, 3/01/37-5/01/38

      14,755           16,251,464   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Series 2010

        

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

    U.S.$ 3,660         $ 4,015,125   
       

 

 

  
          229,479,835   
       

 

 

  

Agency Fixed Rate 15-Year - 3.1%

        

Federal National Mortgage Association

        

3.00%, TBA

      11,065           11,592,316   

4.50%, TBA

      7,740           8,295,104   

4.50%, 12/01/13-7/01/26

      13,268           14,208,138   

Series 2008

        

4.50%, 5/01/23

      26           27,480   
       

 

 

  
          34,123,038   
       

 

 

  

Agency ARMs - 0.9%

        

Federal Home Loan Mortgage Corp.

        

2.393%, 4/01/35 (c)

      2,187           2,311,130   

2.935%, 5/01/35 (c)

      1,080           1,158,258   

5.143%, 11/01/35 (c)

      4,361           4,580,520   

Series 2008

        

3.071%, 11/01/37 (d)

      539           562,753   

Federal National Mortgage Association

        

Series 2003

        

2.78%, 12/01/33 (d)

      926           992,024   

Series 2007

        

2.336%, 3/01/34 (d)

      795           837,494   

2.418%, 2/01/37 (c)

      5           5,250   

2.911%, 3/01/37 (d)

      7           7,276   
       

 

 

  
          10,454,705   
       

 

 

  

Total Mortgage Pass-Throughs
(cost $265,450,808)

           274,057,578   
       

 

 

  

GOVERNMENTS - TREASURIES - 18.3%

        

United States - 18.3%

        

U.S. Treasury Bonds

        

3.00%, 5/15/42

      5,650           5,917,494   

4.50%, 2/15/36

      13,006           17,468,684   

4.625%, 2/15/40

      24,429           33,792,587   

5.375%, 2/15/31

      650           947,172   

U.S. Treasury Notes

        

0.875%, 1/31/17

      7,305           7,368,349   

1.00%, 8/31/16-3/31/17

      114,632           116,404,790   

1.75%, 5/15/22

      9,405           9,481,416   

2.00%, 2/15/22

      4,935           5,101,171   

2.625%, 11/15/20 (e)

      5,617           6,173,435   
       

 

 

  

Total Governments - Treasuries
(cost $189,061,392)

           202,655,098   
       

 

 

  

ASSET-BACKED SECURITIES - 10.8%

        

Autos - Fixed Rate - 5.4%

        

Ally Auto Receivables Trust

        

Series 2011-5, Class A2

        

0.80%, 6/16/14

      3,766           3,768,456   

Series 2012-1, Class A2

        

Company

    Principal
Amount
(000)		        U.S. $ Value  

0.71%, 9/15/14

    U.S.$ 3,134         $ 3,135,403   

Ally Master Owner Trust

        

Series 2010-3, Class A

        

2.88%, 4/15/15 (a)

      3,235           3,281,380   

AmeriCredit Automobile Receivables Trust

        

Series 2010-3, Class A

        

Series 2010-3, Class A3

        

0.96%, 1/09/17

      3,225           3,224,622   

Series 2011-4, Class A2

        

0.92%, 3/09/15

      1,463           1,464,625   

Series 2011-5, Class A2

        

1.19%, 8/08/15

      1,212           1,215,931   

Bank of America Auto Trust

        

Series 2012-1, Class A4

        

1.03%, 12/15/16

      1,825           1,823,979   

CarMax Auto Owner Trust

        

Series 2011-3, Class A3

        

1.07%, 6/15/16

      1,391           1,390,540   

Series 2012-1, Class A3

        

0.89%, 9/15/16

      1,460           1,461,104   

Exeter Automobile Receivables Trust

        

Series 2012-1A, Class A

        

2.02%, 8/15/16 (a)

      1,949           1,953,448   

Ford Auto Securitization Trust

        

Series 2011-R3A, Class A2

        

1.96%, 7/15/15 (a)

    CAD 3,731           3,675,773   

Ford Credit Auto Lease Trust

        

Series 2011-B, Class A2

        

0.82%, 1/15/14

    U.S.$ 3,881           3,884,830   

Ford Credit Auto Owner Trust

        

Series 2012-B, Class A4

        

1.00%, 9/15/17

      1,865           1,871,852   

Mercedes-Benz Auto Lease Trust

        

Series 2011-B, Class A2

        

0.90%, 1/15/14 (a)

      3,553           3,556,860   

Series 2012-A, Class A2

        

0.66%, 4/15/14

      3,541           3,541,314   

Navistar Financial Corp. Owner Trust

        

Series 2012-A, Class A2

        

0.85%, 3/18/15 (a)

      3,346           3,345,902   

Nissan Auto Lease Trust

        

Series 2012-A, Class A2A

        

0.68%, 7/15/14

      2,585           2,585,902   

Porsche Innovative Lease Owner Trust

        

Series 2011-1, Class A3

        

1.09%, 9/22/14 (a)

      3,630           3,635,568   

Santander Drive Auto Receivables Trust

        

Series 2012-3, Class A3

        

1.08%, 4/15/16

      3,010           3,010,651   

Series 2012-4, Class A2

        

0.79%, 8/17/15

      2,066           2,065,869   

Volkswagen Auto Lease Trust

        

Series 2011-A, Class A2

        

1.00%, 2/20/14

      2,828           2,833,486   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Volkswagen Auto Loan Enhanced Trust

        

Series 2012-1, Class A2

        

0.61%, 10/20/14

    U.S.$ 2,825         $ 2,825,768   
       

 

 

  
          59,553,263   
       

 

 

  

Credit Cards - Floating Rate - 2.5%

        

American Express Credit Account Master Trust

        

Series 2011-1, Class A

        

0.412%, 4/17/17 (c)

      5,515           5,521,362   

Chase Issuance Trust

        

Series 2012-A1, Class A1

        

0.342%, 5/16/16 (c)

      10,975           10,973,968   

Discover Card Master Trust

        

Series 2009-A2, Class A

        

1.542%, 2/17/15 (c)

      1,065           1,066,406   

Series 2010-A1, Class A1

        

0.892%, 9/15/15 (c)

      1,213           1,217,836   

GE Capital Credit Card Master Note Trust

        

Series 2012-4, Class A

        

0.543%, 6/15/18 (c)

      2,785           2,785,008   

Gracechurch Card Funding PLC

        

Series 2012-1A, Class A1

        

0.942%, 2/15/17 (a)(c)

      2,855           2,856,498   

Penarth Master Issuer PLC

        

Series 2012-1A, Class A1

        

0.813%, 3/18/14 (a)(c)

      3,298           3,300,260   
       

 

 

  
          27,721,338   
       

 

 

  

Autos - Floating Rate - 1.7%

        

Ford Credit Floorplan Master Owner Trust

        

Series 2010-3, Class A2

        

1.942%, 2/15/17 (a)(c)

      3,630           3,739,767   

Series 2012-1, Class A

        

0.712%, 1/15/16 (c)

      5,386           5,402,235   

GE Dealer Floorplan Master Note Trust

        

Series 2012-2, Class A

        

0.994%, 4/22/19 (c)

      4,155           4,154,999   

Nissan Master Owner Trust Receivables

        

Series 2012-A, Class A

        

0.712%, 5/15/17 (c)

      5,879           5,894,091   
       

 

 

  
          19,191,092   
       

 

 

  

Other ABS - Fixed Rate - 0.7%

        

CIT Equipment Collateral

        

Series 2012-VT1, Class A3

        

1.10%, 8/22/16 (a)

      1,628           1,628,647   

CNH Equipment Trust

        

Series 2010-C, Class A3

        

1.17%, 5/15/15

      1,557           1,562,043   

Series 2012-A, Class A3

        

0.94%, 5/15/17

      2,213           2,219,628   

Company

    Principal
Amount
(000)		        U.S. $ Value  

GE Equipment Midticket LLC

        

Series 2011-1, Class A3

        

1.00%, 8/24/15

    U.S.$ 1,126         $ 1,128,240   

GE Equipment Small Ticket LLC

        

Series 2011-2A, Class A2

        

1.14%, 6/23/14 (a)

      1,796           1,798,796   
       

 

 

  
          8,337,354   
       

 

 

  

Credit Cards - Fixed Rate - 0.3%

        

Discover Card Master Trust

        

Series 2012-A1, Class A1

        

0.81%, 8/15/17

      1,593           1,596,924   

Series 2012-A3, Class A3

        

0.86%, 11/15/17

      1,908           1,910,214   
       

 

 

  
          3,507,138   
       

 

 

  

Home Equity Loans - Floating Rate - 0.1%

        

Citigroup Mortgage Loan Trust, Inc.

        

Series 2007-AMC4, Class M1

        

0.515%, 5/25/37 (c)(f)

      65           967   

Countrywide Asset-Backed Certificates

        

Series 2002-4, Class A1

        

0.985%, 2/25/33 (c)

      1           852   

HSBC Home Equity Loan Trust

        

Series 2005-3, Class A1

        

0.504%, 1/20/35 (c)

      457           419,024   

Series 2006-1, Class M1

        

0.524%, 1/20/36 (c)

      61           51,850   

Series 2007-1, Class M1

        

0.624%, 3/20/36 (c)

      135           97,208   

Series 2007-2, Class M1

        

0.554%, 7/20/36 (c)

      105           70,224   

Series 2007-2, Class M2

        

0.614%, 7/20/36 (c)

      225           130,742   

Novastar Home Equity Loan

        

Series 2007-2, Class M1

        

0.545%, 9/25/37 (c)(f)

      25           940   

Option One Mortgage Loan Trust

        

Series 2006-3, Class M1

        

0.475%, 2/25/37 (c)(f)

      894           7,470   

Wells Fargo Home Equity Trust

        

Series 2004-1, Class 1A

        

0.545%, 4/25/34 (c)

      149           129,601   
       

 

 

  
          908,878   
       

 

 

  

Home Equity Loans - Fixed Rate - 0.1%

        

Asset Backed Funding Certificates

        

Series 2003-WF1, Class A2

        

1.37%, 12/25/32

      331           290,789   

Citifinancial Mortgage Securities, Inc.

        

Series 2003-1, Class AFPT

        

3.36%, 1/25/33

      325           296,151   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Credit-Based Asset Servicing and Securitization LLC

        

Series 2003-CB1, Class AF

        

3.95%, 1/25/33

    U.S.$ 126         $ 113,874   
       

 

 

  
          700,814   
       

 

 

  

Total Asset-Backed Securities
(cost $120,952,417)

           119,919,877   
       

 

 

  

AGENCIES - 10.7%

        

Agency Debentures - 9.5%

        

Federal Farm Credit Bank

        

0.251%, 11/13/12 (c)

      2,290           2,290,868   

0.261%, 10/12/12 (c)

      200           200,065   

0.274%, 9/20/12 (c)

      2,845           2,845,805   

0.275%, 9/29/14 (c)

      2,845           2,847,191   

0.305%, 6/26/13 (c)

      300           300,385   

Federal National Mortgage Association

        

0.265%, 11/23/12 (c)

      41,945           41,939,958   

0.273%, 9/17/12-10/18/12 (c)

      3,805           3,805,992   

4.375%, 10/15/15

      2,505           2,811,675   

6.25%, 5/15/29

      8,296           11,946,555   

6.625%, 11/15/30

      9,565           14,511,482   

Residual Funding Corp. Principal Strip Zero Coupon, 7/15/20

      24,195           21,082,482   
       

 

 

  
          104,582,458   
       

 

 

  

Agency Subordinated - 1.2%

        

Federal Home Loan Mortgage Corp.

        

2.375%, 1/13/22

      13,130           13,474,715   
       

 

 

  

Total Agencies
(cost $109,788,166)

           118,057,173   
       

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES - 6.7%

        

Non-Agency Fixed Rate CMBS - 6.1%

        

Bear Stearns Commercial Mortgage Securities

        

Series 2004-T16, Class A5

        

4.60%, 2/13/46

      3,856           3,944,027   

Series 2006-PW12, Class A4

        

5.901%, 9/11/38

      1,375           1,561,886   

Citigroup Commercial Mortgage Trust

        

Series 2004-C1, Class A4

        

5.534%, 4/15/40

      390           416,022   

Commercial Mortgage Pass Through Certificates

        

Series 2005-C6, Class A5A

        

5.116%, 6/10/44

      1,575           1,739,198   

Credit Suisse First Boston Mortgage Securities Corp.

        

Series 2004-C1, Class A4

        

4.75%, 1/15/37

      1,162           1,213,449   

Series 2005-C1, Class A4

        

5.014%, 2/15/38

      4,205           4,556,799   

Company

    Principal
Amount
(000)		        U.S. $ Value  

Credit Suisse Mortgage Capital Certificates

        

Series 2006-C3, Class A3

        

6.008%, 6/15/38

    U.S.$ 5,080         $ 5,756,402   

Greenwich Capital Commercial Funding Corp.

        

Series 2003-C1, Class A4

        

4.111%, 7/05/35

      51           51,379   

Series 2007-GG9, Class A4

        

5.444%, 3/10/39

      5,180           5,746,324   

GS Mortgage Securities Corp. II

        

Series 2004-GG2, Class A6

        

5.396%, 8/10/38

      100           107,116   

Series 2012-GCJ7, Class A4

        

3.377%, 5/10/45

      5,465           5,581,372   

JP Morgan Chase Commercial Mortgage Securities Corp.

        

Series 2005-CB11, Class A4

        

5.335%, 8/12/37

      40           43,946   

Series 2006-CB14, Class A4

        

5.481%, 12/12/44

      1,395           1,555,437   

Series 2006-CB16, Class A4

        

5.552%, 5/12/45

      3,730           4,209,827   

Series 2007-CB19, Class A4

        

5.924%, 2/12/49

      4,805           5,445,742   

Series 2007-LD11, Class A4

        

6.009%, 6/15/49

      5,165           5,670,158   

Series 2007-LDPX, Class A3

        

5.42%, 1/15/49

      5,015           5,611,138   

Series 2010-C2, Class A1

        

2.749%, 11/15/43 (a)

      2,308           2,386,504   

LB-UBS Commercial Mortgage Trust

        

Series 2003-C3, Class A4

        

4.166%, 5/15/32

      295           300,886   

Series 2004-C4, Class A4

        

5.447%, 6/15/29

      170           180,884   

Series 2005-C1, Class A4

        

4.742%, 2/15/30

      125           134,560   

Series 2006-C1, Class A4

        

5.156%, 2/15/31

      310           345,330   

Series 2006-C3, Class A4

        

5.661%, 3/15/39

      855           960,360   

Series 2006-C4, Class A4

        

6.067%, 6/15/38

      285           325,286   

Series 2007-C1, Class A4

        

5.424%, 2/15/40

      2,892           3,262,305   

Merrill Lynch/Countrywide Commercial Mortgage Trust

        

Series 2006-2, Class A4

        

6.093%, 6/12/46

      2,095           2,374,823   

Series 2006-3, Class A4

        

5.414%, 7/12/46

      25           28,255   

Series 2007-9, Class A4

        

5.70%, 9/12/49

      270           296,443   

UBS Barclays Commercial Mortgage Trust

        

Series 2007-C2, Class A4

        

3.525%, 5/10/63

      3,060           3,038,341   
       

 

 

  
          66,844,199   
       

 

 

  

 

Company

    Principal
Amount
(000)		        U.S. $ Value  

Non-Agency Floating Rate CMBS - 0.6%

        

CW Capital Cobalt Ltd.

        

Series 2007-C3, Class A4

        

6.007%, 5/15/46 (c)

    U.S.$ 5,205         $ 5,753,741   

GS Mortgage Securities Corp. II

        

Series 2007-EOP, Class E

        

2.476%, 3/06/20 (a)(c)

      1,075           1,064,762   
       

 

 

  
          6,818,503   
       

 

 

  

Agency CMBS - 0.0%

        

FHLMC Multifamily Structured Pass Through Certificates

        

Series K010, Class A1

        

3.32%, 7/25/20

      63           67,635   
       

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $69,636,105)

           73,730,337   
       

 

 

  

QUASI-SOVEREIGNS - 1.2%

        

Quasi-Sovereign Bonds - 1.2%

        

Indonesia - 0.2%

        

Perusahaan Listrik Negara PT

        

5.50%, 11/22/21 (a)

      2,009           2,099,405   
       

 

 

  

Kazakhstan - 0.1%

        

KazMunayGas National Co.

        

7.00%, 5/05/20 (a)

      1,426           1,618,510   
       

 

 

  

Malaysia - 0.3%

        

Petronas Capital Ltd.

        

5.25%, 8/12/19 (a)

      2,675           3,073,971   
       

 

 

  

Mexico - 0.1%

        

Petroleos Mexicanos

        

5.50%, 6/27/44 (a)

      1,049           1,072,603   
       

 

 

  

South Korea - 0.2%

        

Korea National Oil Corp.

        

3.125%, 4/03/17 (a)(g)

      2,845           2,901,106   
       

 

 

  

United Arab Emirates - 0.3%

        

IPIC GMTN Ltd.

        

3.75%, 3/01/17 (a)

      2,815           2,927,600   
       

 

 

  

Total Quasi-Sovereigns
(cost $12,778,143)

           13,693,195   
       

 

 

  

CORPORATES - NON-INVESTMENT GRADES - 1.1%

        

Industrial - 0.9%

        

Basic - 0.2%

        

LyondellBasell Industries NV

        

5.75%, 4/15/24 (a)

      1,481           1,572,037   
       

 

 

  

Capital Goods - 0.3%

        

Ball Corp.

        

5.00%, 3/15/22

      1,710           1,778,400   

Company

    Principal
Amount
(000)		        U.S. $ Value  

BE Aerospace, Inc.

        

5.25%, 4/01/22

    U.S.$ 1,715         $ 1,766,450   
       

 

 

  
          3,544,850   
       

 

 

  

Consumer Cyclical - Other - 0.3%

        

Host Hotels & Resorts LP

        

5.25%, 3/15/22 (a)

      1,140           1,168,500   

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

        

5.375%, 3/15/22 (a)(g)

      1,720           1,707,100   
       

 

 

  
          2,875,600   
       

 

 

  

Consumer Cyclical - Retailers - 0.0%

        

Dollar General Corp.

        

4.125%, 7/15/17

      459           465,311   
       

 

 

  

Energy - 0.1%

        

Cimarex Energy Co.

        

5.875%, 5/01/22

      820           851,775   
       

 

 

  
          9,309,573   
       

 

 

  

Financial Institutions - 0.1%

        

Banking - 0.1%

        

ABN Amro Bank NV

        

4.31%, 3/10/16

    EUR 570           476,081   

LBG Capital No.1 PLC

        

8.00%, 6/15/20 (a)

    U.S.$ 1,185           995,400   

Royal Bank of Scotland Group PLC

        

5.00%, 10/01/14

      85           85,322   
       

 

 

  
          1,556,803   
       

 

 

  

Utility - 0.1%

        

Electric - 0.1%

        

CMS Energy Corp.

        

5.05%, 3/15/22

      920           954,259   
       

 

 

  

Total Corporates - Non-Investment Grades
(cost $10,626,602)

           11,820,635   
       

 

 

  

GOVERNMENTS - SOVEREIGN BONDS - 0.7%

        

Indonesia - 0.3%

        

Republic of Indonesia

        

5.25%, 1/17/42 (a)(g)

      2,800           2,929,500   
       

 

 

  

Poland - 0.0%

        

Poland Government International Bond

        

3.875%, 7/16/15

      34           35,897   
       

 

 

  

Qatar - 0.3%

        

State of Qatar

        

4.50%, 1/20/22 (a)

      2,532           2,794,062   
       

 

 

  

Russia - 0.1%

        

Russian Foreign Bond - Eurobond

        

7.50%, 3/31/30 (a)

      1,383           1,660,404   
       

 

 

  

 

Company

    Principal
Amount
(000)		        U.S. $ Value  

Total Governments - Sovereign Bonds
(cost $6,757,331)

         $ 7,419,863   
       

 

 

  

INFLATION-LINKED SECURITIES - 0.6%

        

United States - 0.6%

        

U.S. Treasury Inflation Index

        

3.00%, 7/15/12 (TIPS)

        

(cost $6,807,217)

    U.S.$ 6,790           6,792,712   
       

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS - 0.3%

        

Non-Agency Fixed Rate - 0.3%

        

Citigroup Mortgage Loan Trust, Inc.

        

Series 2005-2, Class 1A4

        

2.771%, 5/25/35

      1,153           1,006,686   

Countrywide Alternative Loan Trust

        

Series 2006-OA7, Class 1A1

        

2.114%, 6/25/46

      3,053           1,282,276   

JP Morgan Alternative Loan Trust

        

Series 2006-A3, Class 2A1

        

2.959%, 7/25/36

      461           236,694   

Merrill Lynch Mortgage Investors, Inc.

        

Series 2005-A8, Class A1C1

        

5.25%, 8/25/36

      143           143,156   

Residential Funding Mortgage Securities I

        

Series 2005-SA3, Class 3A

        

4.061%, 8/25/35

      41           31,640   
       

 

 

  
          2,700,452   
       

 

 

  

Non-Agency Floating Rate - 0.0%

        

Countrywide Alternative Loan Trust

        

Series 2005-62, Class 2A1

        

1.147%, 12/25/35 (c)

      548           303,501   

Sequoia Mortgage Trust

        

Series 2007-3, Class 1A1

        

0.444%, 7/20/36 (c)

      33           25,980   

WaMu Mortgage Pass Through Certificates

        

Series 2007-OA1, Class A1A

        

0.858%, 2/25/47 (c)

      65           37,811   
       

 

 

  
          367,292   
       

 

 

  

Agency Fixed Rate - 0.0%

        

Fannie Mae Grantor Trust

        

Series 2004-T5, Class AB4

        

0.805%, 5/28/35

      323           223,463   
       

 

 

  

Total Collateralized Mortgage Obligations
(cost $5,649,659)

           3,291,207   
       

 

 

  

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.3%

        

United States - 0.3%

        

California GO

        

7.625%, 3/01/40

        

(cost $2,496,295)

      2,440           3,154,530   
       

 

 

  

Company

    Principal
Amount
(000)		        U.S. $ Value  

BANK LOANS - 0.2%

        

Industrial - 0.2%

        

Energy - 0.0%

        

GBGH, LLC (US Energy)

        

6.00%, 6/09/13 (c)(f)(h)

    U.S.$ 278         $ 20,815   

14.00%, 6/09/14 (c)(f)(h)(i)

      118           0   
       

 

 

  
          20,815   
       

 

 

  

Technology - 0.2%

        

IPC Systems, Inc.

        

5.50%, 6/01/15 (c)

      750           615,000   

Lawson Software, Inc. (fka SoftBrands, Inc.)

        

6.25%, 4/05/18 (c)

      1,500           1,505,385   
       

 

 

  
          2,120,385   
       

 

 

  

Total Bank Loans
(cost $2,506,547)

           2,141,200   
       

 

 

  
     Shares           

PREFERRED STOCKS - 0.1%

        

Financial Institutions - 0.1%

        

Finance - 0.1%

        

Citigroup Capital XII

        

8.50%

        

(cost $925,000)

      37,000           929,625   
       

 

 

  
     Principal
Amount
(000)		           

EMERGING MARKETS - CORPORATE BONDS - 0.0%

        

Non Corporate Sectors - 0.0%

        

Israel Electric Corp., Ltd.

        

7.75%, 12/15/27 (a)

        

(cost $268,445)

    U.S.$ 265           263,096   
       

 

 

  

GOVERNMENTS - SOVEREIGN AGENCIES - 0.0%

        

Germany - 0.0%

        

Landwirtschaftliche Rentenbank

        

5.125%, 2/01/17

        

(cost $16,971)

      15           17,567   
       

 

 

  
     Shares           

WARRANTS - 0.0%

        

GBGH, LLC, expiring 6/09/19 (f)(h)(j)
(cost $0)

      556           0   
       

 

 

  

Company

    Shares        U.S. $ Value  

SHORT-TERM INVESTMENTS - 2.6%

        

Investment Companies - 1.4%

        

AllianceBernstein Fixed-Income Shares, Inc.-
Government STIF Portfolio (k)
(cost $15,658,443)

      15,658,443         $ 15,658,443   
       

 

 

  
     Principal
Amount
(000)		           

Governments - Treasuries - 1.2%

        

Japan Treasury Discount Bill

        

0.01%, 8/20/12

        

(cost $13,968,162)

    JPY 1,100,000           13,759,352   
       

 

 

  

Total Short-Term Investments
(cost $29,626,605)

           29,417,795   
       

 

 

  

Total Investments - 105.3%
(cost $1,112,057,050) (l)

           1,164,614,064   

Other assets less liabilities - (5.3)% (m)

           (58,796,360 ) 
       

 

 

  

Net Assets - 100.0%

         $ 1,105,817,704   
       

 

 

  

FUTURES CONTRACTS

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
June 30,
2012		      Unrealized
Appreciation/
(Depreciation)		  

Sold Contracts

               

U.S. T-Note 2 Yr Futures

      74         September 2012       $ 16,300,420       $ 16,293,875       $ 6,545   

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty & Description

    Contract
Amount
(000)		      U.S. $
Value on
Origination
Date		      U.S. $
Value at
June 30,
2012		      Unrealized
Appreciation/
(Depreciation)		  

Sale Contracts

            

Barclays Bank PLC Wholesale:

            

Japanese Yen

settling 8/20/12

      1,099,782       $ 14,066,949       $ 13,767,606       $ 299,343   

Royal Bank of Canada:

            

Canadian Dollar

settling 8/10/12

      3,576         3,485,919         3,509,012         (23,093 ) 

Royal Bank of Scotland PLC:

            

Euro

settling 8/03/12

      470         594,659         594,992         (333 ) 
           

 

 

  
            $ 275,917   
           

 

 

  

INTEREST RATE SWAP TRANSACTIONS

 

                   Rate Type         

Swap Counterparty

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

JPMorgan Chase Bank NA

    $ 11,590         1/30/17         1.059 %      3 Month LIBOR       $ (123,679 ) 

JPMorgan Chase Bank NA

      12,780         2/7/22         2.043 %      3 Month LIBOR         (437,903 ) 
             

 

 

  
              $ (561,582 ) 
             

 

 

  

REVERSE REPURCHASE AGREEMENTS

 

Broker

    Interest Rate     Maturity     U.S. $
Value at
June 30, 2012		  

Credit Suisse First Boston †

      (0.15 )%*      – 0  –    $ 2,720,023   

ING Bank Amsterdam †

      (0.25 )%*      – 0  –      1,705,747   

Nomura International †

      (0.25 )%*      – 0  –      2,322,613   
      

 

 

  
       $ 6,748,383   
      

 

 

  

 

† The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on June 30, 2012
* Interest payment due from counterparty.

 

(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 June 30, 2012, the aggregate market value of these securities amounted to $110,526,313 or 10.0% of net assets.
(b) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at June 30, 2012.
(c) Floating Rate Security. Stated interest rate was in effect at June 30, 2012.
(d) Variable rate coupon, rate shown as of June 30, 2012.
(e) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. The aggregate market value of these securities amounted to $679,269.
(f) Illiquid security.
(g) Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. The market value of the collateral amounted to $6,752,858.
(h) Fair valued.
(i) Pay-In-Kind Payments (PIK).
(j) Non-income producing security.
(k) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(l) As of June 30, 2012, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $58,075,429 and gross unrealized depreciation of investments was $(5,518,402), resulting in net unrealized appreciation of $52,557,027.
(m) An amount of U.S. $20,350 has been segregated to collateralize margin requirements for the open futures contracts at June 30, 2012.

Currency Abbreviations:

 

CAD    -    Canadian Dollar
EUR    -    Euro
JPY    -    Japanese Yen

Glossary:

 

ABS    -    Asset-Backed Securities
ARMs    -    Adjustable Rate Mortgages
CMBS    -    Commercial Mortgage-Backed Securities
FHLMC    -    Federal Home Loan Mortgage Corporation
GO    -    General Obligation
LIBOR    -    London Interbank Offered Rates
REIT    -    Real Estate Investment Trust
TBA    -    To Be Announced
TIPS    -    Treasury Inflation Protected Security

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

June 30, 2012 (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 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 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 June 30, 2012:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

         

Corporates - Investment Grades

    $ 632,114      $ 296,620,462      $ – 0  –    $ 297,252,576   

Mortgage Pass-Throughs

      – 0  –      274,057,578        – 0  –      274,057,578   

Governments - Treasuries

      – 0  –      202,655,098        – 0  –      202,655,098   

Asset-Backed Securities

      – 0  –      105,817,832        14,102,045        119,919,877   

Agencies

      – 0  –      118,057,173        – 0  –      118,057,173   

Commercial Mortgage-Backed Securities

      – 0  –      52,237,186        21,493,151        73,730,337   

Quasi-Sovereigns

      – 0  –      13,693,195        – 0  –      13,693,195   

Corporates - Non-Investment Grades

      – 0  –      11,820,635        – 0  –      11,820,635   

Governments - Sovereign Bonds

      – 0  –      7,419,863        – 0  –      7,419,863   

Inflation-Linked Securities

      – 0  –      6,792,712        – 0  –      6,792,712   

Collateralized Mortgage Obligations

      – 0  –      – 0  –      3,291,207        3,291,207   

Local Governments - Municipal Bonds

      – 0  –      3,154,530        – 0  –      3,154,530   

Bank Loans

      – 0  –      – 0  –      2,141,200        2,141,200   

Preferred Stocks

      929,625        – 0  –      – 0  –      929,625   

Emerging Markets - Corporate Bonds

      – 0  –      263,096        – 0  –      263,096   

Governments - Sovereign Agencies

      – 0  –      17,567        – 0  –      17,567   

Warrants

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

Short-Term Investments:

         

Investment Companies

      15,658,443        – 0  –      – 0  –      15,658,443   

Governments - Treasuries

      – 0  –      13,759,352        – 0  –      13,759,352   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      17,220,182        1,106,366,279        41,027,603        1,164,614,064   

Other Financial Instruments* :

         

Assets:

         

Futures Contracts

      6,545        – 0  –      – 0  –      6,545   

Forward Currency Exchange Contracts

      – 0  –      299,343        – 0  –      299,343   

Liabilities:

         

Forward Currency Exchange Contracts

      – 0  –      (23,426 )      – 0  –      (23,426 ) 

Interest Rate Swap Contracts

      – 0  –      (561,582 )      – 0  –      (561,582 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total

    $     17,226,727      $     1,106,080,614      $     41,027,603      $     1,164,334,944   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

^ The Portfolio 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.

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

 

     Asset-Backed
Securities		     Commercial
Mortgage-Backed
Securities		     Collateralized
Mortgage
Obligations		  

Balance as of 9/30/11

    $ 12,421,517      $ 1,420,541      $ 5,337,144   

Accrued discounts/(premiums)

      7,967        (57,023 )      7,185   

Realized gain (loss)

      (1,052,408 )      (4,047 )      (2,331,149 ) 

Change in unrealized appreciation/depreciation

      1,865,620        123,037        2,584,632   

Purchases

      10,103,071        20,111,595        36,581   

Sales

      (9,243,722 )      (100,952 )      (2,571,789 ) 

Transfers in to Level 3

      – 0  –      – 0  –      228,603   

Transfers out of Level 3

      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 6/30/12

    $     14,102,045      $     21,493,151      $ 3,291,207   
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from Investments held as of 6/30/12

    $ 414,435      $ 123,037      $ 545,094   
  

 

 

    

 

 

    

 

 

  
     Bank Loans     Warrants^     Total  

Balance as of 9/30/11

    $ 2,714,635      $ – 0  –    $ 21,893,837   

Accrued discounts/(premiums)

      34,639        – 0  –      (7,232 ) 

Realized gain (loss)

      (141,778 )      – 0  –      (3,529,382 ) 

Change in unrealized appreciation/depreciation

      247,008        – 0  –      4,820,297   

Purchases

      2,482,302        – 0  –      32,733,549   

Sales

      (3,195,606 )      – 0  –      (15,112,069 ) 

Transfers in to Level 3

      – 0  –      – 0  –      228,603   

Transfers out of Level 3

      – 0  –      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 6/30/12

    $ 2,141,200      $ – 0  –    $     41,027,603   
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from Investments held as of 6/30/12

    $ (339,858 )    $ – 0  –    $ 742,708   
  

 

 

    

 

 

    

 

 

  

 

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

The following presents information about significant unobservable inputs related to the Fund’s material categories of Level 3 investments at June 30, 2012:

 

Quantitative Information about Level 3 Fair Value Measurements

     Fair Value at
6/30/2012		      Valuation Technique    Unobservable Input    Range

Asset-backed Securities

    $ 14,102,045       Discounted Cash Flow    Loss Severity    0-99%
         Constant Prepayment Rate    0.6-20% CPP
         Probability of Default    5-11% CDR
         Yield    0.69566-11%

Commercial Mortgage-Backed Securities

    $ 21,493,151       Discounted Cash Flow    Yield    2.415%-4.612%
         Spread over Treasury    1.54-4.25%
      Broker Quotes    Market Quotes    $110.542569

Glossary:

CPP—Constant Percent Prepayment

CDR—Constant Default Rate

Asset-Backed Securities, Commercial Mortgage-Backed Securities and Collateralized Mortgage Obligations

Within the non-Agency Mortgage Backed (RMBS and CMO) as well as the non-Credit Card or non-Auto Loan backed Asset Backed Securities, due to the relative illiquidity of these markets, the inability of the Fund to observe trading activity in the markets, and the broker quotes not being indicative to trade, the Fund has determined securities in these sectors generally warrant a Level 3 classification.

Because of the wide range of spreads and relatively low trading activity of similar securities, the Fund’s Valuation Committee engages in a regular review process of such securities which meets as often as daily, and involves (as needed) participation from the Mortgage Trading Desk, Fixed Income Research, Risk, Pricing Group, Fund Accounting and Legal. The Fund’s Pricing Group gathers prices from Pricing Direct and IDC (and other vendors as deemed appropriate over time) and from major recognized brokers who make a market in these instruments. The Fund’s trading desk reports on trading activity and engages in dialogue with the trading personnel at the brokers. This review covers the entire portfolio of securities in this sector.

Because the Fund has declared these instruments as Level 3 (due to wide spreads, low quality ratings, and relatively low trading activity), significant inputs (including Constant Prepayment Rate (“CPR”), Loss Severity, and Probability of Default) generally considered observable are deemed unobservable in these asset classes. The Fund’s Valuation Committee periodically reviews these asset classes (as a standing practice) to confirm that the status remains unchanged.

The significant unobservable inputs used in the fair value measurement of the Fund’s Collateralized Mortgage Obligation Securities are CPR, Loss Severity, and Probability of Default. On non-evaluated assets, broker quotes are used when other market information not available to produce an evaluation and are considered non-observable. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.

The significant unobservable inputs used in the fair value measurement of the Fund’s Private Corporate and Asset Backed Securities are the spread over the public curve as well as the spreads or yields on the non-rated instruments.

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 second fiscal quarter of the period 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) Sanford C. Bernstein Fund II, Inc.
By:   /s/    Robert M. Keith
 

Robert M. Keith

President

Date:   August 23, 2012

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

 

By:   /s/    Robert M. Keith
 

Robert M. Keith

President

Date:   August 23, 2012

 

By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   August 23, 2012