N-Q 1 dnq.htm ALLIANCEBERNSTEIN BLENDED STYLE SERIES, INC. AllianceBernstein Blended Style Series, 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: 811-21081

ALLIANCEBERNSTEIN BLENDED STYLE SERIES, 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: August 31, 2010

Date of reporting period: May 31, 2010

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS.


AllianceBernstein Blended Style Series

U.S. Large Cap Portfolio

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.4%

       

The AllianceBernstein Pooling Portfolios - Equity - 100.4%

       

U.S. Large Cap Growth Portfolio

   2,552,825      $ 24,456,059   

U.S. Value Portfolio

   3,186,759        24,506,179   

Total Investments - 100.4%
(cost $48,329,150) (a)

          48,962,238   

Other assets less liabilities - (0.4)%

          (185,570
             

Net Assets - 100.0%

        $ 48,776,668   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $1,447,873 and gross unrealized depreciation of investments was $(814,785), resulting in net unrealized appreciation of $633,088.


AllianceBernstein Blended Style Series - U.S. Large Cap Portfolio

May 31, 2010 (unaudited)

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

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     48,962,238    $     —      $     —      $     48,962,238
                           


AllianceBernstein Retirement Strategies

2000 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.3%

       

The AllianceBernstein Pooling Portfolios - Fixed Income - 73.0%

       

High Yield Portfolio

   69,586      $ 665,243   

Inflation Protected Securities Portfolio

   402,028        4,156,965   

Intermediate Duration Bond Portfolio

   530,233        5,503,814   

Short Duration Bond Portfolio

   547,529        5,190,579   

Volatility Management Portfolio

   511,302        4,770,449   
             
          20,287,050   
             

The AllianceBernstein Pooling Portfolios - Equity - 27.3%

       

Global Real Estate Investment Portfolio

   242,412        1,970,810   

International Growth Portfolio

   106,510        837,167   

International Value Portfolio

   121,368        833,803   

Small-Mid Cap Growth Portfolio

   28,615        345,096   

Small-Mid Cap Value Portfolio

   33,651        336,844   

U.S. Large Cap Growth Portfolio

   169,808        1,626,763   

U.S. Value Portfolio

   212,436        1,633,631   
             
          7,584,114   
             

Total Investments - 100.3%
(cost $25,934,423) (a)

          27,871,164   

Other assets less liabilities - (0.3)%

          (79,834
             

Net Assets - 100.0%

        $ 27,791,330   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $2,139,716 and gross unrealized depreciation of investments was $(202,975), resulting in net unrealized appreciation of $1,936,741.

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.69% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2000 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     27,871,164    $     —      $     —      $     27,871,164
                           


AllianceBernstein 2005 Retirement Strategy

2005 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.2%

       

The AllianceBernstein Pooling Portfolios - Fixed Income - 66.0%

       

High Yield Portfolio

   207,351      $ 1,982,279   

Inflation Protected Securities Portfolio

   575,380        5,949,427   

Intermediate Duration Bond Portfolio

   615,170        6,385,469   

Short Duration Bond Portfolio

   398,595        3,778,678   

Volatility Management Portfolio

   845,244        7,886,124   
             
          25,981,977   
             

The AllianceBernstein Pooling Portfolios - Equity - 34.2%

       

Global Real Estate Investment Portfolio

   337,587        2,744,583   

International Growth Portfolio

   209,087        1,643,426   

International Value Portfolio

   232,355        1,596,281   

Small-Mid Cap Growth Portfolio

   57,678        695,596   

Small-Mid Cap Value Portfolio

   67,530        675,976   

U.S. Large Cap Growth Portfolio

   317,840        3,044,902   

U.S. Value Portfolio

   396,419        3,048,458   
             
          13,449,222   
             

Total Investments - 100.2%
(cost $36,784,293) (a)

          39,431,199   

Other assets less liabilities - (0.2)%

          (93,629
             

Net Assets - 100.0%

        $ 39,337,570   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $3,091,946 and gross unrealized depreciation of investments was $(445,040), resulting in net unrealized appreciation of $2,646,906.

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.42% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2005 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     39,431,199    $     —      $     —      $     39,431,199
                           


AllianceBernstein Retirement Strategies

2010 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.2%

       

The AllianceBernstein Pooling Portfolios - Fixed Income - 56.3%

       

High Yield Portfolio

   1,215,293      $ 11,618,206   

Inflation Protected Securities Portfolio

   2,267,032        23,441,107   

Intermediate Duration Bond Portfolio

   2,257,345        23,431,241   

Short Duration Bond Portfolio

   85,077        806,527   

Volatility Management Portfolio

   3,587,121        33,467,838   
             
          92,764,919   
             

The AllianceBernstein Pooling Portfolios - Equity - 43.9%

       

Global Real Estate Investment Portfolio

   1,405,489        11,426,628   

International Growth Portfolio

   1,166,415        9,168,020   

International Value Portfolio

   1,330,099        9,137,782   

Small-Mid Cap Growth Portfolio

   342,106        4,125,804   

Small-Mid Cap Value Portfolio

   400,065        4,004,650   

U.S. Large Cap Growth Portfolio

   1,798,412        17,228,786   

U.S. Value Portfolio

   2,246,244        17,273,613   
             
          72,365,283   
             

Total Investments - 100.2%
(cost $163,638,380) (a)

          165,130,202   

Other assets less liabilities - (0.2)%

          (392,317
             

Net Assets - 100.0%

        $ 164,737,885   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $6,644,984 and gross unrealized depreciation of investments was $(5,153,162), resulting in net unrealized appreciation of $1,491,822.

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.16% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2010 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     165,130,202    $     —      $     —      $     165,130,202
                           


AllianceBernstein Retirement Strategies

2015 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.0%

       

The AllianceBernstein Pooling Portfolios - Equity - 51.2%

       

Global Real Estate Investment Portfolio

   2,534,901      $ 20,608,743   

International Growth Portfolio

   2,427,109        19,077,081   

International Value Portfolio

   2,774,845        19,063,183   

Small-Mid Cap Growth Portfolio

   855,042        10,311,803   

Small-Mid Cap Value Portfolio

   1,002,872        10,038,747   

U.S. Large Cap Growth Portfolio

   3,672,245        35,180,114   

U.S. Value Portfolio

   4,609,683        35,448,461   
             
          149,728,132   
             

The AllianceBernstein Pooling Portfolios - Fixed Income - 48.8%

       

High Yield Portfolio

   2,199,722        21,029,348   

Inflation Protected Securities Portfolio

   2,658,137        27,485,134   

Intermediate Duration Bond Portfolio

   3,423,734        35,538,360   

Volatility Management Portfolio

   6,313,113        58,901,344   
             
          142,954,186   
             

Total Investments - 100.0%
(cost $294,531,860) (a)

          292,682,318   

Other assets less liabilities - 0.0%

          (103,108
             

Net Assets - 100.0%

        $ 292,579,210   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $10,626,951 and gross unrealized depreciation of investments was $(12,476,493), resulting in net unrealized depreciation of $(1,849,542).

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.15% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2015 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     292,682,318    $     —      $     —      $     292,682,318
                           


AllianceBernstein Retirement Strategies

2020 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.1%

       

The AllianceBernstein Pooling Portfolios - Equity - 58.2%

       

Global Real Estate Investment Portfolio

   3,163,159      $ 25,716,485   

International Growth Portfolio

   3,568,882        28,051,410   

International Value Portfolio

   4,072,102        27,975,340   

Small-Mid Cap Growth Portfolio

   1,310,970        15,810,299   

Small-Mid Cap Value Portfolio

   1,524,528        15,260,519   

U.S. Large Cap Growth Portfolio

   5,302,470        50,797,666   

U.S. Value Portfolio

   6,631,335        50,994,964   
             
          214,606,683   
             

The AllianceBernstein Pooling Portfolios - Fixed Income - 41.9%

       

High Yield Portfolio

   2,762,019        26,404,909   

Inflation Protected Securities Portfolio

   1,571,068        16,244,842   

Intermediate Duration Bond Portfolio

   3,609,438        37,465,964   

Volatility Management Portfolio

   7,944,563        74,122,772   
             
          154,238,487   
             

Total Investments - 100.1%
(cost $381,722,498) (a)

          368,845,170   

Other assets less liabilities - (0.1)%

          (455,996
             

Net Assets - 100.0%

        $ 368,389,174   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $10,051,867 and gross unrealized depreciation of investments was $(22,929,195), resulting in net unrealized depreciation of $(12,877,328).

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.12% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2020 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     368,845,170    $     —      $     —      $     368,845,170
                           


AllianceBernstein Retirement Strategies

2025 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.1%

       

The AllianceBernstein Pooling Portfolios - Equity - 68.0%

       

Global Real Estate Investment Portfolio

   2,659,132      $ 21,618,746   

International Growth Portfolio

   3,517,512        27,647,647   

International Value Portfolio

   4,025,096        27,652,407   

Small-Mid Cap Growth Portfolio

   1,289,026        15,545,650   

Small-Mid Cap Value Portfolio

   1,512,091        15,136,026   

U.S. Large Cap Growth Portfolio

   5,188,067        49,701,684   

U.S. Value Portfolio

   6,513,283        50,087,150   
             
          207,389,310   
             

The AllianceBernstein Pooling Portfolios - Fixed Income - 32.1%

       

High Yield Portfolio

   2,270,757        21,708,436   

Inflation Protected Securities Portfolio

   59,161        611,722   

Intermediate Duration Bond Portfolio

   2,109,722        21,898,919   

Volatility Management Portfolio

   5,770,806        53,841,617   
             
          98,060,694   
             

Total Investments - 100.1%
(cost $321,763,665) (a)

          305,450,004   

Other assets less liabilities - (0.1)%

          (172,866
             

Net Assets - 100.0%

        $ 305,277,138   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $9,393,276 and gross unrealized depreciation of investments was $(25,706,937), resulting in net unrealized depreciation of $(16,313,661).

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.08% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2025 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     305,450,004    $     —      $     —      $     305,450,004
                           


AllianceBernstein Retirement Strategies

2030 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value

MUTUAL FUNDS - 100.0%

       

The AllianceBernstein Pooling Portfolios - Equity - 76.5%

       

Global Real Estate Investment Portfolio

   1,690,072      $ 13,740,289

International Growth Portfolio

   3,690,379        29,006,378

International Value Portfolio

   4,231,551        29,070,753

Small-Mid Cap Growth Portfolio

   1,349,361        16,273,296

Small-Mid Cap Value Portfolio

   1,578,960        15,805,384

U.S. Large Cap Growth Portfolio

   5,323,309        50,997,303

U.S. Value Portfolio

   6,632,033        51,000,336
           
          205,893,739
           

The AllianceBernstein Pooling Portfolios - Fixed Income - 23.5%

       

High Yield Portfolio

   1,468,636        14,040,161

Intermediate Duration Bond Portfolio

   1,382,102        14,346,212

Volatility Management Portfolio

   3,730,509        34,805,649
           
          63,192,022
           

Total Investments - 100.0%
(cost $284,742,354) (a)

          269,085,761

Other assets less liabilities - 0.0%

          126,577
           

Net Assets - 100.0%

        $ 269,212,338
           

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $7,950,236 and gross unrealized depreciation of investments was $(23,606,829), resulting in net unrealized depreciation of $(15,656,593).

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.05% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2030 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     269,085,761    $     —      $     —      $     269,085,761
                           


AllianceBernstein Retirement Strategies

2035 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.2%

       

The AllianceBernstein Pooling Portfolios - Equity - 84.5%

       

Global Real Estate Investment Portfolio

   1,143,941      $ 9,300,242   

International Growth Portfolio

   2,784,116        21,883,147   

International Value Portfolio

   3,200,256        21,985,760   

Small-Mid Cap Growth Portfolio

   1,049,358        12,655,253   

Small-Mid Cap Value Portfolio

   1,232,767        12,339,998   

U.S. Large Cap Growth Portfolio

   4,075,368        39,042,023   

U.S. Value Portfolio

   5,074,075        39,019,639   
             
          156,226,062   
             

The AllianceBernstein Pooling Portfolios - Fixed Income - 15.7%

       

High Yield Portfolio

   49,773        475,830   

Intermediate Duration Bond Portfolio

   922,014        9,570,501   

Volatility Management Portfolio

   2,038,586        19,020,013   
             
          29,066,344   
             

Total Investments - 100.2%
(cost $198,664,662) (a)

          185,292,406   

Other assets less liabilities - (0.2)%

          (433,938
             

Net Assets - 100.0%

        $ 184,858,468   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $3,966,582 and gross unrealized depreciation of investments was $(17,338,838), resulting in net unrealized depreciation of $(13,372,256).

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.04% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2035 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     185,292,406    $     —      $     —      $     185,292,406
                           


AllianceBernstein Retirement Strategies

2040 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.1%

       

The AllianceBernstein Pooling Portfolios - Equity - 89.6%

       

Global Real Estate Investment Portfolio

   998,015      $ 8,113,860   

International Growth Portfolio

   2,563,879        20,152,087   

International Value Portfolio

   2,931,977        20,142,678   

Small-Mid Cap Growth Portfolio

   939,721        11,333,039   

Small-Mid Cap Value Portfolio

   1,115,690        11,168,056   

U.S. Large Cap Growth Portfolio

   3,769,932        36,115,950   

U.S. Value Portfolio

   4,717,524        36,277,762   
             
          143,303,432   
             

The AllianceBernstein Pooling Portfolios - Fixed Income - 10.5%

       

Intermediate Duration Bond Portfolio

   784,552        8,143,647   

Volatility Management Portfolio

   923,855        8,619,573   
             
          16,763,220   
             

Total Investments - 100.1%
(cost $169,078,388) (a)

          160,066,652   

Other assets less liabilities - (0.1)%

          (163,540
             

Net Assets - 100.0%

        $ 159,903,112   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $4,078,051 and gross unrealized depreciation of investments was $(13,089,787), resulting in net unrealized depreciation of $(9,011,736).

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.04% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2040 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     160,066,652    $     —      $     —      $     160,066,652
                           


AllianceBernstein Retirement Strategies

2045 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 100.6%

       

The AllianceBernstein Pooling Portfolios - Equity - 95.3%

       

Global Real Estate Investment Portfolio

   630,252      $ 5,123,951   

International Growth Portfolio

   1,754,091        13,787,153   

International Value Portfolio

   2,008,160        13,796,062   

Small-Mid Cap Growth Portfolio

   644,086        7,767,676   

Small-Mid Cap Value Portfolio

   762,433        7,631,949   

U.S. Large Cap Growth Portfolio

   2,555,103        24,477,891   

U.S. Value Portfolio

   3,182,870        24,476,269   
             
          97,060,951   
             

The AllianceBernstein Pooling Portfolios - Fixed Income - 5.3%

       

Intermediate Duration Bond Portfolio

   496,556        5,154,259   

Volatility Management Portfolio

   23,211        216,556   
             
          5,370,815   
             

Total Investments - 100.6%
(cost $108,323,272) (a)

          102,431,766   

Other assets less liabilities - (0.6)%

          (571,452
             

Net Assets - 100.0%

        $ 101,860,314   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $2,709,159 and gross unrealized depreciation of investments was $(8,600,665), resulting in net unrealized depreciation of $(5,891,506).

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.04% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2045 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     102,431,766    $     —      $     —      $     102,431,766
                           


AllianceBernstein Retirement Strategies

2050 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value

MUTUAL FUNDS - 99.0%

       

The AllianceBernstein Pooling Portfolios - Equity - 93.9%

       

Global Real Estate Investment Portfolio

   97,530      $ 792,920

International Growth Portfolio

   273,099        2,146,559

International Value Portfolio

   312,344        2,145,799

Small-Mid Cap Growth Portfolio

   98,278        1,185,233

Small-Mid Cap Value Portfolio

   118,911        1,190,300

U.S. Large Cap Growth Portfolio

   397,116        3,804,374

U.S. Value Portfolio

   494,456        3,802,364
           
          15,067,549
           

The AllianceBernstein Pooling Portfolios - Fixed Income - 5.1%

       

Intermediate Duration Bond Portfolio

   79,282        822,947

Total Investments - 99.0%
(cost $13,742,069) (a)

          15,890,496

Other assets less liabilities - 1.0%

          154,621
           

Net Assets - 100.0%

        $ 16,045,117
           

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $2,148,427 and gross unrealized depreciation of investments was $(0), resulting in net unrealized appreciation of $2,148,427.

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.04% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2050 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     15,890,496    $     —      $     —      $     15,890,496
                           


AllianceBernstein Retirement Strategies

2055 Retirement Strategy

Portfolio of Investments

May 31, 2010 (unaudited)

 

Company

   Shares      U.S. $ Value  

MUTUAL FUNDS - 101.1%

       

The AllianceBernstein Pooling Portfolios - Equity - 96.2%

       

Global Real Estate Investment Portfolio

   22,698      $ 184,537   

International Growth Portfolio

   62,624        492,220   

International Value Portfolio

   71,988        494,559   

Small-Mid Cap Growth Portfolio

   22,696        273,707   

Small-Mid Cap Value Portfolio

   27,373        274,006   

U.S. Large Cap Growth Portfolio

   91,760        879,063   

U.S. Value Portfolio

   114,245        878,546   
             
          3,476,638   
             

The AllianceBernstein Pooling Portfolios - Fixed Income - 4.9%

       

Intermediate Duration Bond Portfolio

   17,301        179,582   

Total Investments - 101.1%
(cost $3,431,235) (a)

          3,656,220   

Other assets less liabilities - (1.1)%

          (41,205
             

Net Assets - 100.0%

        $ 3,615,015   
             

 

(a) As of May 31, 2010, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $245,827 and gross unrealized depreciation of investments was $(20,842), resulting in net unrealized appreciation of $224,985.

Through its investments in the Underlying Portfolios, the Strategy currently has exposure to 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 May 31, 2010, the Strategy’s total exposure to subprime investments was 0.04% of net assets. These investments are valued in accordance with the Underlying Portfolio’s Valuation Policies.


AllianceBernstein 2055 Retirement Strategy

May 31, 2010 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Strategy 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 Strategy. Unobservable inputs reflect the Strategy’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 Strategy’s own assumptions in determining the fair value of investments)

The following table summarizes the valuation of the Strategy’s investments by the above fair value hierarchy levels as of May 31, 2010:

 

Investments in Securities

   Level 1    Level 2    Level 3    Total

Mutual Funds

   $     3,656,220    $     —      $     —      $     3,656,220
                           


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): AllianceBernstein Blended Style Series, Inc.

 

By:

 

/s/    Robert M. Keith

  Robert M. Keith
  President
Date:   July 23, 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:   July 23, 2010
By:  

/s/    Joseph J. Mantineo

  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   July 23, 2010