N-Q 1 dnq.htm ALLIANCEBERNSTEIN BOND FUND, INC. AllianceBernstein Bond Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number: 811-02383

 

 

ALLIANCEBERNSTEIN BOND FUND, INC.

(Exact name of registrant as specified in charter)

 

1345 Avenue of the Americas, New York, New York 10105

(Address of principal executive offices) (Zip code)

 

Joseph J. Mantineo

AllianceBernstein L.P.

1345 Avenue of the Americas

New York, New York 10105

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: (800) 221-5672

Date of fiscal year end: October 31, 2008

Date of reporting period: January 31, 2008

ITEM 1. SCHEDULE OF INVESTMENTS.

AllianceBernstein Bond Fund-Intermediate

Bond Portfolio

Portfolio of Investments

January 31, 2008 (unaudited)

 

     Principal
Amount
(000)		    U.S. $ Value

CORPORATES - INVESTMENT GRADES - 28.1%

      

Industrial - 14.4%

      

Basic - 2.1%

      

BHP Billiton Finance USA Ltd.

      

7.25%, 3/01/16 (a)

    $ 1,116    $ 1,249,267

Inco Ltd.

      

7.75%, 5/15/12 (a)

      4,985      5,524,736

The Dow Chemical Co.

      

7.375%, 11/01/29 (a)

      20      21,847

International Paper Co.

      

4.25%, 1/15/09 (a)

      630      631,346

5.30%, 4/01/15 (a)

      235      229,261

International Steel Group, Inc.

      

6.50%, 4/15/14 (a)

      150      158,502

Lubrizol Corp.

      

4.625%, 10/01/09 (a)

      150      151,704

Stora Enso Oyj

      

7.375%, 5/15/11 (a)

      1,475      1,553,719

United States Steel Corp.

      

5.65%, 6/01/13 (a)

      1,575      1,528,002

6.05%, 6/01/17 (a)

      1,625      1,532,053

Westvaco Corp.

      

8.20%, 1/15/30 (a)

      85      90,402

Weyerhaeuser Co.

      

5.95%, 11/01/08 (a)

      202      205,421
         
        12,876,260
         

Capital Goods - 1.8%

      

Boeing Capital Corp.

      

6.50%, 2/15/12 (a)

      6,940      7,608,398

Caterpillar Financial Services

      

4.50%, 6/15/09 (a)

      371      375,701

Hutchison Whampoa International Ltd.

      

7.45%, 11/24/33 (a)(b)

      216      241,567

John Deere Capital Corp.

      

4.875%, 3/16/09 (a)

      1,540      1,559,935

Lafarge SA

      

6.15%, 7/15/11 (a)

      784      815,771

Tyco International Group SA

      

6.00%, 11/15/13 (a)

    195    202,343

Waste Management, Inc.

      

6.875%, 5/15/09 (a)

    250    259,191
       
      11,062,906
       

Communications - Media - 0.6%

      

British Sky Broadcasting Group PLC

      

6.875%, 2/23/09 (a)

    1,511    1,548,651

BSKYB Finance UK PLC

      

5.625%, 10/15/15 (a)(b)

    270    271,464

Comcast Cable Communications Holdings, Inc.

      

9.455%, 11/15/22 (a)

    174    219,715

Comcast Cable Communications LLC

      

6.875%, 6/15/09 (a)

    287    297,200

Comcast Cable Communications, Inc.

      

6.20%, 11/15/08 (a)

    64    64,784

Comcast Corp.

      

5.50%, 3/15/11 (a)

    313    320,089

News America, Inc.

      

6.55%, 3/15/33 (a)

    142    142,706

RR Donnelley & Sons Co.

      

4.95%, 4/01/14 (a)

    85    81,214

Time Warner Entertainment Co.

      

8.375%, 3/15/23 (a)

    325    373,100

WPP Finance Corp.

      

5.875%, 6/15/14 (a)

    149    163,240
       
      3,482,163
       

Communications - Telecommunications - 2.3%

      

AT&T Corp.

      

8.00%, 11/15/31 (a)

    80    96,275

British Telecommunications PLC

      

8.625%, 12/15/10 (a)

    524    584,101

Embarq Corp.

      

6.738%, 6/01/13 (a)

    25    25,648

7.082%, 6/01/16 (a)

    2,505    2,535,368

New Cingular Wireless Services, Inc.

      

7.875%, 3/01/11 (a)

    225    247,521

8.125%, 5/01/12 (a)

    4,295    4,882,741

8.75%, 3/01/31 (a)

    126    158,177

Nextel Communications, Inc.

      

Series E

      

6.875%, 10/31/13 (a)

    365    340,492

Qwest Corp.

      

7.875%, 9/01/11 (a)

    285    293,906

8.875%, 3/15/12 (a)

    1,110    1,172,438

Sprint Capital Corp.

      

8.375%, 3/15/12 (a)

    626    650,641

Telecom Italia Capital SA

      

4.00%, 11/15/08 - 1/15/10 (a)

    745    737,531

6.375%, 11/15/33 (a)

    110    107,578

Telefonos de Mexico SAB de CV

      

4.50%, 11/19/08 (a)

    1,392    1,390,330

Verizon Communications, Inc.

      

4.90%, 9/15/15 (a)

    180    176,789

Verizon New Jersey, Inc.

      

Series A

      

5.875%, 1/17/12 (a)

    220    228,355

Vodafone Group PLC

      

5.50%, 6/15/11 (a)

    295    303,098
       
      13,930,989
       

Consumer Cyclical - Automotive - 0.0%

      

DaimlerChrysler North America

      

4.875%, 6/15/10 (a)

    137    139,329
       

Consumer Cyclical - Other - 0.4%

      

Centex Corp.

      

5.45%, 8/15/12 (a)

    309    271,920

MDC Holdings, Inc.

      

5.50%, 5/15/13 (a)

    1,155    1,132,722

Starwood Hotels & Resorts Worldwide, Inc.

      

7.375%, 11/15/15 (a)

    224    234,591

7.875%, 5/01/12 (a)

    235    253,455

Toll Brothers Finance Corp.

      

5.15%, 5/15/15 (a)

    35    31,482

6.875%, 11/15/12 (a)

    120    117,062
       
      2,041,232
       

Consumer Cyclical - Retailers - 0.5%

      

Limited Brands, Inc.

      

6.90%, 7/15/17 (a)

    203    193,664

Lowe’s Cos, Inc.

      

5.00%, 10/15/15 (a)

    2,775    2,748,124
       
      2,941,788
       

Consumer Non-Cyclical - 4.1%

      

Abbott Laboratories

      

3.50%, 2/17/09 (a)

    1,560    1,565,827

Altria Group, Inc.

      

7.75%, 1/15/27 (a)

    220    282,408

Bunge Ltd Finance Corp.

      

5.10%, 7/15/15 (a)

    130    127,206

Bunge Ltd. Finance Corp.

      

5.875%, 5/15/13 (a)

    965    1,000,034

Cadbury Schweppes US Finance LLC

      

5.125%, 10/01/13 (a)(b)

    310    309,701

ConAgra Foods, Inc.

      

5.819%, 6/15/17 (a)

    2,005    2,045,274

6.75%, 9/15/11 (a)

    1,245    1,342,799

7.875%, 9/15/10 (a)

    120    130,900

Fisher Scientific International, Inc.

      

6.125%, 7/01/15 (a)

    36    36,247

6.75%, 8/15/14 (a)

    53    54,514

Kraft Foods, Inc.

      

6.25%, 6/01/12 (a)

    5,365    5,635,079

The Kroger Co.

      

7.25%, 6/01/09 (a)

    1,500    1,552,373

Reynolds American, Inc.

      

7.25%, 6/01/13 (a)

    1,520    1,624,888

7.625%, 6/01/16 (a)

    1,490    1,577,990

Safeway, Inc.

      

4.125%, 11/01/08 (a)

    96    95,972

6.50%, 3/01/11 (a)

    82    87,348

7.25%, 2/01/31 (a)

    2,010    2,160,947

Tyson Foods, Inc.

      

6.85%, 4/01/16 (a)

    1,510    1,511,119

Wyeth

      

5.50%, 2/01/14 (a)

    3,673    3,805,243
       
      24,945,869
       

Energy - 1.3%

      

Amerada Hess Corp.

      

7.875%, 10/01/29 (a)

    98    116,878

Canadian Natural Resources Ltd.

      

5.15%, 2/01/13 (a)

    435    443,671

Chevrontexaco Corp

      

5.50%, 1/15/09 (a)

    1,530    1,554,367

ConocoPhillips

      

6.375%, 3/30/09 (a)

    1,510    1,557,416

Gaz Capital for Gazprom

      

6.212%, 11/22/16 (a)(b)

    3,215    3,134,625

Statoilhydro Asa

      

6.36%, 1/15/09 (a)

    454    465,236

The Premcor Refining Group, Inc.

      

7.50%, 6/15/15 (a)

    717    755,053
       
      8,027,246
       

Technology - 1.1%

      

Cisco Systems, Inc.

      

5.25%, 2/22/11 (a)

    2,540    2,642,522

Electronic Data Systems Corp.

      

Series B

      

6.50%, 8/01/13 (a)

    1,847    1,880,573

International Business Machines Corp.

      

4.375%, 6/01/09 (a)

    75    76,543

Motorola, Inc.

      

6.50%, 9/01/25 (a)

    855    772,045

7.50%, 5/15/25 (a)

    30    30,425

7.625%, 11/15/10 (a)

    28    29,409

Oracle Corp.

      

5.25%, 1/15/16 (a)

    280    280,683

Xerox Corp.

      

7.625%, 6/15/13 (a)

    60    62,264

9.75%, 1/15/09 (a)

    1,044    1,096,388
       
      6,870,852
       

Transportation - Airlines - 0.1%

      

United Air Lines, Inc.

      

6.636%, 7/02/22 (a)

    642    609,956
       

Transportation - Services - 0.1%

      

FedEx Corp.

      

3.50%, 4/01/09 (a)

    225    224,646
       
      87,153,236
       

Financial Institutions - 11.2%

      

Banking - 4.4%

      

Bank of America Corp.

      

3.375%, 2/17/09 (a)

    630    630,175

Bank of Tokyo-Mitsubishi UFJ L

      

7.40%, 6/15/11 (a)

    100    109,847

BankAmerica Capital II

      

8.00%, 12/15/26 (a)

    415    423,188

Barclays Bank PLC

      

8.55%, 6/15/11 (a)(b)(c)

    339    367,032

BOI Capital Funding No 2

      

5.571%, 2/01/16 (a)(b)(c)

    115    99,743

Citicorp

      

Series MTNF

      

6.375%, 11/15/08 (a)

    54    55,242

Citigroup, Inc.

      

3.625%, 2/09/09 (a)

    1,580    1,580,463

Compass Bank

      

5.50%, 4/01/20 (a)

    1,774    1,698,068

Huntington National Bank

      

4.375%, 1/15/10 (a)

    183    185,015

JPMorgan Chase & Co.

      

3.50%, 3/15/09 (a)

    1,580    1,577,142

JPMorgan Chase Capital XXV

      

Series Y

      

6.80%, 10/01/37 (a)

    430    406,384

M&I Marshall & Ilsley Bank

      

4.85%, 6/16/15 (a)

    1,545    1,494,906

Marshall & Ilsley Bank

      

5.00%, 1/17/17 (a)

    1,695    1,593,981

Mellon Funding Corp

      

3.25%, 4/01/09 (a)

    861    855,022

Morgan J P & Co., Inc.

      

6.25%, 1/15/09 (a)

    1,424    1,455,959

MUFG Capital Finance 1 Ltd.

      

6.346%, 7/29/49 (a)(c)

    115    109,642

National City Bank of Pennsylvania

      

6.25%, 3/15/11 (a)

    1,515    1,522,246

RBS Capital Trust III

      

5.512%, 9/30/14 (a)(c)

    358    335,690

Regions Financial Corp

      

6.375%, 5/15/12 (a)

    1,510    1,562,960

Resona Preferred Global Securities

      

7.191%, 7/30/15 (a)(b)(c)

    176    174,593

SouthTrust Corp.

      

5.80%, 6/15/14 (a)

    1,470    1,564,731

Sumitomo Mitsui Banking Corp.

      

5.625%, 10/15/15 (a)(b)(c)

    107    101,178

UBS Preferred Funding Trust I

      

8.622%, 10/01/10 (a)(c)

    503    549,861

UFJ Finance Aruba AEC

      

6.75%, 7/15/13 (a)

    172    190,277

Union Bank of California

      

5.95%, 5/11/16 (a)

    1,580    1,528,822

Union Planters Corp.

      

7.75%, 3/01/11 (a)

    1,002    1,082,859

Royal Bank of Scotland Group PLC

      

6.40%, 4/01/09 (a)

    908    933,478

US Bancorp

      

5.30%, 4/28/09 (a)

    1,530    1,561,516

Wachovia Capital Trust III

      

5.80%, 3/15/11 (a)(c)

    235    185,650

Wachovia Corp.

      

5.625%, 12/15/08 (a)

    393    398,146

Washington Mutual, Inc.

      

4.00%, 1/15/09 (a)

    400    380,360

4.20%, 1/15/10 (a)

    25    22,796

Wells Fargo & Co.

      

3.125%, 4/01/09 (a)

    1,570    1,558,537

4.20%, 1/15/10 (a)

    457    461,441

Zions Bancorporation

      

5.50%, 11/16/15 (a)

    170    160,362
       
      26,917,312
       

Brokerage - 1.8%

      

Bear Stearns Co., Inc.

      

5.55%, 1/22/17 (a)

    315    275,666

5.70%, 11/15/14 (a)

    1,655    1,591,069

7.625%, 12/07/09 (a)

    838    866,217

The Goldman Sachs Group, Inc.

      

3.875%, 1/15/09 (a)

    1,252    1,255,379

6.65%, 5/15/09 (a)

    875    908,956

7.35%, 10/01/09 (a)

    63    66,753

Lehman Brothers Holdings, Inc.

      

5.00%, 1/14/11 (a)

    520    517,323

5.75%, 1/03/17 (a)

    262    256,449

6.20%, 9/26/14 (a)

    615    632,932

6.50%, 7/19/17 (a)

    97    99,134

7.875%, 11/01/09 (a)

    1,476    1,545,793

Series MTNG

      

4.80%, 3/13/14 (a)

    79    74,064

Merrill Lynch & Co., Inc

      

Series MTNC

      

4.125%, 1/15/09 (a)

    455    453,408

Merrill Lynch & Co., Inc.

      

6.00%, 2/17/09 (a)

    1,416    1,447,410

6.05%, 5/16/16 (a)

    586    585,557
       
      10,576,110
       

Finance - 2.5%

      

American General Finance Corp.

      

4.625%, 5/15/09 (a)

    530    534,596

Capital One Bank

      

4.25%, 12/01/08 (a)

    300    296,110

5.00%, 6/15/09 (a)

    1,555    1,545,132

Capital One Financial Corp.

      

4.80%, 2/21/12 (a)

    1,300    1,178,641

5.50%, 6/01/15 (a)

    37    33,394

6.75%, 9/15/17 (a)

    345    327,855

CIT Group, Inc.

      

5.125%, 9/30/14 (a)

    315    261,182

5.85%, 9/15/16 (a)

    1,520    1,252,627

7.625%, 11/30/12 (a)

    1,285    1,267,079

Countrywide Financial Corp.

      

6.25%, 5/15/16 (a)

    62    51,659

Series MTN

      

5.80%, 6/07/12 (a)

    44    39,152

Countrywide Home Loans, Inc.

      

Series MTNL

      

4.00%, 3/22/11 (a)

    4    3,485

Household Finance Corp.

      

4.125%, 12/15/08 (a)

    775    777,343

HSBC Finance Corp.

      

5.875%, 2/01/09 (a)

    675    688,161

6.50%, 11/15/08 (a)

    1,525    1,556,206

7.00%, 5/15/12 (a)

    845    906,339

International Lease Finance Corp.

      

6.375%, 3/15/09 (a)

    1,525    1,568,363

iStar Financial, Inc.

      

5.15%, 3/01/12 (a)

    176    150,609

5.65%, 9/15/11 (a)

    915    813,824

SLM Corp.

      

5.375%, 1/15/13 - 5/15/14 (a)

    2,095    1,824,949
       
      15,076,706
       

Insurance - 1.4%

      

Allied World Assurance Co. Holdings Ltd.

      

7.50%, 8/01/16 (a)

    650    680,675

The Allstate Corp.

      

6.125%, 5/15/37 (a)(c)

    1,520    1,478,919

Assurant, Inc.

      

5.625%, 2/15/14 (a)

    92    89,720

Genworth Financial, Inc.

      

4.75%, 6/15/09 (a)

    587    590,259

5.231%, 5/16/09 (a)

    519    524,760

Humana, Inc.

      

6.30%, 8/01/18 (a)

    166    167,392

Liberty Mutual Group, Inc.

      

5.75%, 3/15/14 (a)(b)

    167    174,332

7.80%, 3/15/37 (a)(b)

    165    142,421

Prudential Financial, Inc.

      

5.15%, 1/15/13 (a)

    905    916,999

UnitedHealth Group, Inc.

      

4.125%, 8/15/09 (a)

    573    575,363

4.875%, 3/15/15 (a)

    1,855    1,805,509

5.25%, 3/15/11 (a)

    1,390    1,416,372
       
      8,562,721
       

REITS - 1.1%

      

HCP, Inc.

      

5.95%, 9/15/11 (a)

    1,550    1,521,840

Healthcare Realty Trust

      

8.125%, 5/01/11 (a)

    1,450    1,522,404

Healthcare Realty Trust, Inc.

      

5.125%, 4/01/14 (a)

    845    764,494

Mack-Cali Realty LP

      

7.25%, 3/15/09 (a)

    240    248,181

Nationwide Health Properties, Inc.

      

6.50%, 7/15/11 (a)

    1,515    1,607,610

Simon Property Group LP

      

5.625%, 8/15/14 (a)

    1,169    1,135,826
       
      6,800,355
       
      67,933,204
       

Utility - 2.5%

      

Electric - 1.9%

      

Carolina Power & Light Co.

      

6.50%, 7/15/12 (a)

    345    374,571

Consumers Energy Co.

      

Series C

      

4.25%, 4/15/08 (a)

    116    115,916

Exelon Corp.

      

6.75%, 5/01/11 (a)

    280    295,253

FirstEnergy Corp.

      

Series B

      

6.45%, 11/15/11 (a)

    5,385    5,686,840

Series C

      

7.375%, 11/15/31 (a)

    279    306,438

MidAmerican Energy Holdings Co.

      

5.875%, 10/01/12 (a)

    162    172,251

Nisource Finance Corp.

      

7.875%, 11/15/10 (a)

    154    166,307

Pacific Gas & Electric Co.

      

3.60%, 3/01/09 (a)

    1,565    1,563,876

Progress Energy, Inc.

      

7.10%, 3/01/11 (a)

    2,324    2,505,353

Public Service Company of Colorado

      

7.875%, 10/01/12 (a)

    176    202,621

SPI Electricity & Gas Australia Holdings Pty Ltd.

      

6.15%, 11/15/13 (a)(b)

    283    296,142

Wisconsin Energy Corp.

      

6.25%, 5/15/67 (a)(c)

    140    126,386
       
      11,811,954
       

Natural Gas - 0.6%

      

Duke Energy Field Services Corp.

      

7.875%, 8/16/10 (a)

    94    101,117

Enterprise Products Operating LP

      

Series B

      

5.60%, 10/15/14 (a)

    157    158,299

Sempra Energy

      

4.75%, 5/15/09 (a)

    1,545    1,564,654

TransCanada Pipelines Ltd.

      

6.35%, 5/15/67 (a)(c)

    1,670    1,555,036

Williams Cos, Inc.

      

7.875%, 9/01/21 (a)

    95    104,737
       
      3,483,843
       
      15,295,797
       

Total Corporates - Investment Grades
(cost $170,511,498)

       170,382,237
       

MORTGAGE PASS-THRU’S - 26.7%

     

Agency Fixed Rate 30-Year - 18.1%

     

Federal Gold Loan Mortgage Corp.

     

Series 2005

     

4.50%, 9/01/35 (a)

    704     681,196

Federal Gold Loan Mortgage Corp.

     

Series 2005

     

4.50%, 8/01/35 - 11/01/35 (a)

    1,980     1,915,817

Series 2007

     

4.50%, 1/01/37 (a)

    18,751     18,140,893

5.50%, 7/01/35 (a)

    440     446,257

7.00%, 2/01/37 (a)

    9,342     9,836,080

Federal National Mortgage Association

     

Series 2003

     

5.00%, 11/01/33 (a)

    439     437,778

5.50%, 4/01/33 - 7/01/33 (a)

    4,193     4,255,765

Series 2004

     

5.50%, 4/01/34 - 11/01/34 (a)

    2,089     2,120,111

6.00%, 9/01/34 (a)

    837     860,733

Series 2005

     

4.50%, 8/01/35 (a)

    1,331     1,294,084

5.50%, 2/01/35 (a)

    1,526     1,548,927

Series 2006

     

5.00%, 2/01/36 (a)

    5,991     5,969,476

6.00%, 2/01/36 (a)

    5,192     5,336,664

Series 2007

     

4.50%, 9/01/35 (a)

    972     945,433

5.00%, 11/01/35 - 7/01/36 (a)

    14,803     14,750,458

5.50%, 8/01/37 (a)

    12,555     12,761,667

6.00%, 6/01/37

    0 +   31

6.50%, 8/01/37 - 11/01/37 (a)

    17,988     18,678,788

Government National Mortgage Association

     

Series 1990

     

9.00%, 12/15/19

    0 ++   239

Series 1999

     

8.15%, 9/15/20 (a)

    342     372,488

Series 2000

     

9.00%, 12/15/09 (a)

    206     209,097

Series 2003

     

5.50%, 7/15/33 (a)

    9,090     9,281,156
      
     109,843,138
      

Agency ARMS - 7.6%

     

Federal Home Loan Mortgage Corp.

     

Series 2005

     

4.533%, 4/01/35 (a)(d)

    438     440,668

Series 2006

         

4.332%, 4/01/35 (a)(d)

       2,377    2,389,175

5.76%, 12/01/36 (a)(d)

       3,520    3,611,473

5.938%, 1/01/37 (a)(d)

       522    535,581

Series 2007

         

5.79%, 2/01/37 (a)(d)

       3,340    3,425,804

5.903%, 3/01/37 (a)(d)

       5,551    5,693,248

5.946%, 1/01/37 (a)(d)

       6,162    6,315,599

5.961%, 12/01/36 (a)(d)

       392    402,900

6.044%, 12/01/36 (a)(d)

       531    545,613

6.232%, 4/01/37 (a)(d)

       3,440    3,532,967

Federal National Mortgage Association

         

Series 2005

         

4.685%, 5/01/35 (a)(d)

       628    635,326

4.806%, 7/01/35 (a)(d)

       1,135    1,149,915

5.38%, 9/01/35 (a)(d)

       271    273,616

6.774%, 1/01/36 (a)(d)

       952    966,375

Series 2006

         

4.527%, 8/01/34 (a)(d)

       516    520,852

5.126%, 1/01/36 (a)(d)

       478    483,894

5.463%, 5/01/36 (a)(d)

       156    160,108

5.564%, 4/01/36 (a)(d)

       953    980,865

5.693%, 12/01/36 (a)(d)

       6,318    6,503,733

5.798%, 3/01/36 (a)(d)

       2,716    2,799,588

5.914%, 6/01/36 (a)(d)

       706    728,402

Series 2007

         

5.765%, 1/01/37 (a)(d)

       748    770,259

5.843%, 4/01/37 (a)(d)

       2,483    2,553,121

6.025%, 11/01/36 (a)(d)

       197    203,653

6.071%, 3/01/37 (a)(d)

       554    571,712
          
         46,194,447
          

Agency Fixed Rate 15-Year - 1.0%

         

Government National Mortgage Association

         

Series 1997

         

8.00%, 3/15/12 (a)

       1,489    1,534,868

Series 2001

         

7.50%, 12/15/14 (a)

       4,087    4,262,709
          
         5,797,577
          

Total Mortgage Pass-Thru’s
(cost $157,864,066)

          161,835,162
          

GOVERNMENTS - TREASURIES - 13.5%

         

Treasuries - 13.5%

         

Japan Government Two Year Bond

         

Series 253

         

0.80%, 2/15/09 (a)

    JPY    2,780,300    26,213,017

Series 48

         

0.70%, 6/20/10 (a)

       698,700    6,584,245

Mexican Bonos

         

Series MI10

         

8.00%, 12/19/13 (a)

    MXN      135,245    12,727,031

Peruvian Government International Bond

         

6.90%, 8/12/37 (a)(b)

    PEN      2,845    965,661

Government of Poland

         

Series 1110

         

6.00%, 11/24/10 (a)

    PLN      15,530    6,440,316

U.S. Treasury Bonds

         

4.50%, 2/15/36 (a)

       $ 25,593    26,162,854

U.S. Treasury Notes

         

4.25%, 11/15/17 (a)

         3,010    3,160,969
          

Total Governments - Treasuries
(cost $78,276,320)

          82,254,093
          

COMMERCIAL MORTGAGE-BACKED SECURITIES - 6.8%

         

Non-Agency Fixed Rate CMBS - 6.8%

         

Banc of America Commercial Mortgage, Inc.

         

Series 2001-PB1, Class A2

         

5.787%, 5/11/35 (a)

       $ 294    303,718

Series 2004-4, Class A3

         

4.128%, 7/10/42 (a)

         365    364,042

Series 2004-6, Class A2

         

4.161%, 12/10/42 (a)

         480    473,080

Series 2006-5, Class A4

         

5.414%, 9/10/47 (a)

         3,160    3,182,918

Bear Stearns Commercial Mortgage Securities, Inc.

         

Series 2005-T18, Class A4

         

4.933%, 2/13/42 (a)

         610    597,345

Series 2006-PW12, Class A4

         

5.895%, 9/11/38 (a)

         290    295,788

Series 2007-PW18, Class A4

         

5.70%, 6/11/50 (a)

         3,025    3,138,891

Citigroup Commercial Mortgage Trust

         

Series 2004-C1, Class A4

         

5.529%, 4/15/40 (a)

         560    570,183

Credit Suisse First Boston Mortgage Securities Corp.

         

Series 2003-CK2, Class A2

         

3.861%, 3/15/36 (a)

         88    87,533

Series 2004-C1, Class A4

         

4.75%, 1/15/37 (a)

         180    176,997

Series 2005-C1, Class A4

         

5.014%, 2/15/38 (a)

         534    501,108

Credit Suisse Mortgage Capital Certificates

      

Series 2006-C3, Class A3

      

6.021%, 6/15/38 (a)

    265    272,067

Series 2006-C5, Class A3

      

5.311%, 12/15/39 (a)

    1,600    1,564,844

GE Capital Commercial Mortgage Corp.

      

Series 2005-C3, Class A3FX

      

4.863%, 7/10/45 (a)

    585    581,574

Greenwich Capital Commercial Funding Corp.

      

Series 2003-C1, Class A4

      

4.111%, 7/05/35 (a)

    388    373,745

Series 2005-GG3, Class A2

      

4.305%, 8/10/42 (a)

    642    633,712

GS Mortgage Securities Corp. II

      

Series 2004-GG2, Class A6

      

5.396%, 8/10/38 (a)

    375    379,653

JPMorgan Chase Commercial Mortgage Securities Corp.

      

Series 2005-LDP1, Class A4

      

5.038%, 3/15/46 (a)

    649    638,764

Series 2005-LDP3, Class A2

      

4.851%, 8/15/42 (a)

    515    510,963

Series 2005-LDP4, Class A2

      

4.79%, 10/15/42 (a)

    365    361,798

Series 2006-CB14, Class A4

      

5.481%, 12/12/44 (a)

    250    251,155

Series 2006-CB15, Class A4

      

5.814%, 6/12/43 (a)

    375    382,699

Series 2006-CB17, Class A4

      

5.429%, 12/12/43 (a)

    4,655    4,615,321

LB-UBS Commercial Mortgage Trust

      

Series 2003-C3, Class A4

      

4.166%, 5/15/32 (a)

    555    535,471

Series 2004-C4, Class A4

      

5.296%, 6/15/29 (a)

    195    200,752

Series 2004-C8, Class A2

      

4.201%, 12/15/29 (a)

    381    375,616

Series 2005-C1, Class A4

      

4.742%, 2/15/30 (a)

    426    414,464

Series 2005-C7, Class A4

      

5.197%, 11/15/30 (a)

    435    416,238

Series 2006-C6, Class A4

      

5.372%, 9/15/39 (a)

    3,360    3,326,866

Series 2007-C7, Class A3

      

5.866%, 9/15/45 (a)

    7,765    7,895,550

Merrill Lynch Mortgage Trust

      

Series 2005-CKI1, Class A6

      

5.416%, 11/12/37 (a)

    360    357,119

Series 2005-MKB2, Class A2

      

4.806%, 9/12/42 (a)

    785    781,065

Merrill Lynch/Countrywide Commercial Mortgage Trust

      

Series 2006-2, Class A4

      

6.105%, 6/12/46 (a)

    220    227,037

Morgan Stanley Capital I

      

Series 2005-HQ5, Class A4

      

5.168%, 1/14/42 (a)

    944    940,509

Series 2005-T17, Class A5

      

4.78%, 12/13/41 (a)

    405    394,776

Series 2007-HQ13, Class A3

      

5.569%, 12/15/44 (a)

    2,910    2,952,893

Mortgage Capital Funding, Inc.

      

Series 1996-MC2, Class X

      

2.308%, 12/21/26 (a)(e)

    273    11

Prudential Securities Secured Financing Corp.

      

Series 1999-NRF1, Class AEC

      

0.936%, 11/01/31 (a)(b)(e)

    195,560    1,994,086
       

Total Commercial Mortgage-Backed Securities
(cost $40,721,584)

       41,070,351
       

CMOS - 4.9%

      

Non-Agency ARMS - 2.6%

      

Adjustable Rate Mortgage Trust

      

Series 2005-4, Class 3A1

      

4.963%, 8/25/35 (a)(c)

    2,590    2,582,278

Bear Stearns Alt-A Trust

      

Series 2007-1, Class 21A1

      

5.73%, 1/25/47 (a)(c)

    2,537    2,108,001

Citigroup Mortgage Loan Trust, Inc.

      

Series 2005-2, Class 1A4

      

5.11%, 5/25/35 (a)(c)

    3,235    3,230,017

Series 2006-AR1, Class 3A1

      

5.50%, 3/25/36 (a)(d)

    709    716,165

Indymac Index Mortgage Loan Trust

      

Series 2006-AR7, Class 4A1

      

6.229%, 5/25/36 (a)(c)

    2,008    1,832,302

JPMorgan Alternative Loan Trust

      

Series 2006-A4, Class A1

      

5.95%, 9/25/36 (a)(c)

    2,254    2,295,053

Residential Funding Mortgage Securities, Inc.

      

Series 2005-SA3, Class 3A

      

5.235%, 8/25/35 (a)(c)

    3,018    3,040,926
       
      15,804,742
       

Non-Agency Floating Rate - 1.5%

      

Countrywide Alternative Loan Trust

      

Series 2005-62, Class 2A1

      

5.662%, 12/25/35 (a)(d)

    203    192,506

Series 2006-OA14, Class 3A1

      

5.512%, 11/25/46 (a)(d)

    2,698    2,509,572

Series 2007-OA3, Class M1

      

3.686%, 4/25/47 (a)(d)

    180    103,716

Greenpoint Mortgage Funding Trust

      

Series 2005-AR5, Class M2

      

4.026%, 11/25/45 (a)(d)

    998    628,673

JPMorgan Alternative Loan Trust

      

Series 2006-A3, Class 2A1

      

6.067%, 7/25/36 (a)(c)

    2,182    2,028,913

Structured Asset Securities Corp.

      

Series 2003-6A, Class B3

      

5.607%, 3/25/33 (a)(c)

    1,454    1,334,167

Washington Mutual Mortgage Pass Through

      

Series 2007-OA1, Class A1A

      

5.362%, 2/25/47 (a)(d)

    2,380    2,187,324
       
      8,984,871
       

Non-Agency Fixed Rate - 0.6%

      

Deutsche Mortgage Securities, Inc.

      

Series 2005-WF1, Class 1A1

      

5.075%, 6/26/35 (a)(b)

    1,144    1,143,032

Structured Asset Securities Corp.

      

Series 2002-3, Class B3

      

6.50%, 3/25/32 (a)

    3,039    2,786,108
       
      3,929,140
       

Agency Fixed Rate - 0.2%

      

Government National Mortgage Association

      

Series 2006-39, Class IO

      

1.011%, 7/16/46 (a)(e)

    23,229    905,914
       

Agency Floating Rate - 0.0%

      

Fannie Mae Grantor Trust

      

Series 2004-T5, Class AB4

      

5.135%, 5/28/35 (a)(d)

    65    63,338
       

Total CMOs
(cost $31,784,200)

       29,688,005
       

BANK LOANS - 3.6%

      

Industrial - 2.9%

      

Basic - 0.2%

      

Georgia-Pacific Corporation

      

6.58%-6.896%, 12/20/12

    499    458,466

Newpage Corporation

      

8.688%, 12/14/14

    375    362,111

Univar Corp Opco

      

6.10%, 11/30/14

    500    483,750
       
      1,304,327
       

Capital Goods - 0.2%

      

Building Materials Corporation of America

      

6.875%, 2/22/14

    499    397,339

Sequa Corporation

      

8.08%-9.75%, 12/31/14

    350    332,647

URS Corp.

      

7.592%, 3/05/13

    459    457,825
       
      1,187,811
       

Communication & Media - 0.4%

      

IDEARC, Inc.

      

7.08%, 11/17/14

    997    905,354

Nielsen Finance LLC.

      

6.661%-7.146%, 8/09/13

    499    461,956

Thomson Learning

      

6.03%-7.58%, 7/05/14

    998    892,762

VML US Finance LLC

      

7.08%, 6/15/11

    500    463,055
       
      2,723,127
       

Communications - Media - 0.1%

      

Univision Communications Inc.

      

5.494%, 8/15/14

    966    788,724

5.521%, 8/15/14

    34    27,475
       
      816,199
       

Communications - Telecommunications - 0.3%

      

Alltel Corp.

      

6.772%, 5/16/15

    748    680,562

Cequel Communications, LLC

      

6.646%-8.25%, 3/30/14

    499    427,204

Telesat Canada

      

6.26%-8.00%, 10/23/14

    59    56,287

7.84%-8.09%, 10/23/14

    691    651,216
       
      1,815,269
       

Consumer Cyclical - Other - 0.2%

      

Hanesbrands, Inc.

      

4.994%-5.016%, 9/05/13

    500    478,265

Las Vegas Sands LLC

      

6.58%, 5/23/14

    399    346,472

Wimar Opco LLC

      

9.75%, 1/03/12

    500    493,305
       
      1,318,042
       

Consumer Cyclical -Retailers - 0.3%

      

Neiman Marcus Group Inc.

      

6.29%-6.90%, 4/06/13

    600    548,874

Rite Aid Corp.

      

5.18%-6.20%, 6/04/14

    500    463,440

Supervalu Inc.

      

5.63%, 6/02/12

    748    711,836
       
      1,724,150
       

Consumer Non-Cyclical - 0.6%

     

Aramark Corp.

      

6.705%, 1/26/14

    467    432,149

6.845%, 1/26/14

    30    26,904

Community Health Services Inc.

      

7.331%, 7/01/14

    727    671,874

HCA Inc.

      

7.08%, 11/07/13

    997    914,690

Health Management Associates

      

5.021%-6.580%, 2/28/14

    748    664,327

Mylan Laboratories Inc.

      

6.625%-8.125%, 10/02/14

    350    341,250

Spectrum Brands Inc.

      

8.75%, 3/30/13

    399    375,105
       
      3,426,299
       

Services - 0.1%

      

TDS Investor Corp.

      

7.08%, 8/23/13

    748    667,391
       

Technology - 0.4%

      

Dealer Computer Services

      

6.843%, 10/26/12

    793    749,049

Freescale Semiconductor, Inc.

      

6.382%, 12/02/13

    798    679,484

Sungard Data Sys Inc.

      

6.898%, 2/11/13

    748    692,601
       
      2,121,134
       

Transportation - Airlines - 0.1%

      

Delta Airlines

      

8.082%, 4/30/14

    499    453,146
       
      17,556,895
       

Utility - 0.4%

      

Electric - 0.2%

      

Firstlight Power Resources Inc.

      

7.375%, 11/01/13

    82    74,531

7.43%, 11/01/13

    665    610,347

TXU Corp.

      

8.396%, 10/10/14

    998    908,354
       
      1,593,232
       

Natural Gas - 0.2%

      

Infrastrux Group, Inc.

      

9.345%, 11/05/12

    499    434,228

Kinder Morgan

      

4.78%, 5/30/14

    798    786,865
       
      1,221,093
       
      2,814,325
       

Financial Institutions - 0.3%

      

Brokerage - 0.1%

      

Ameritrade Holdings Corp.

      

4.77%, 12/31/12

    400    375,988
       

Finance - 0.1%

      

First Data Corp.

      

7.58%-7.63%, 9/24/14

    998    904,344
       

Other Finance - 0.1%

      

Chrysler Financial Services, Inc.

      

9.00%, 8/03/12

    499    447,094
       
      1,727,426
       

Total Bank Loans
(cost $23,213,613)

       22,098,646
       

EMERGING MARKETS - SOVEREIGNS - 2.9%

      

Non Corporate Sectors - 2.9%

      

Sovereign - 2.9%

      

Argentina Bonos

      

7.00%, 10/03/15 (a)

    2,053    1,717,057

Republic of Brazil

      

8.25%, 1/20/34 (a)

    3,000    3,637,500

Republic of Indonesia

      

6.875%, 1/17/18 (a)(b)

    1,968    2,031,960

Republic of Panama

      

8.875%, 9/30/27 (a)

    225    282,937

9.375%, 4/01/29 (a)

    2,325    3,084,113

Republic of Peru

      

7.35%, 7/21/25 (a)

    510    580,125

8.75%, 11/21/33 (a)

    2,400    3,186,000

Republic of Philippines

      

8.25%, 1/15/14 (a)

    2,713    3,049,412

8.875%, 3/17/15 (a)

    78    92,040
       

Total Emerging Markets - Sovereigns
(cost $17,676,147)

       17,661,144
       

GOVERNMENTS - SOVEREIGN BONDS - 1.6%

      

Sovereigns - 1.6%

      

Russian Federation

      

7.50%, 3/31/30 (a)(b)(f)

      

(cost $9,259,552)

    8,261    9,520,295
       

ASSET-BACKED SECURITIES - 1.6%

      

Home Equity Loans - Floating Rate - 1.0%

      

Asset Backed Funding Certificates

      

Series 2003-WF1, Class A2

      

5.615%, 12/25/32 (a)(d)

    169    152,955

Bear Stearns Asset Backed Securities, Inc.

      

Series 2005-SD1, Class 1A1

      

3.526%, 4/25/22 (a)(d)

    10    9,832

Credit-Based Asset Servicing & Securities, Inc.

      

Series 2005-CB7, Class AF2

      

5.147%, 11/25/35 (a)(f)

    152    151,577

GE-WMC Mortgage Securities LLC

      

Series 2005-2, Class A2B

      

3.546%, 12/25/35 (a)(d)

    278    274,762

HFC Home Equity Loan Asset Backed Certificates

      

Series 2005-3, Class A1

      

4.219%, 1/20/35 (a)(d)

    212    194,375

Series 2007-2, Class M1

      

4.244%, 7/20/36 (a)(d)

    600    393,192

Home Equity Mortgage Trust

      

Series 2006-1, Class A2

      

5.367%, 5/25/36 (a)(f)

    160    56,000

Household Home Equity Loan trust

      

Series 2007-1, Class M1

      

4.314%, 3/20/36 (a)(d)

    1,250    850,575

HSI Asset Securitization Corp. Trust

      

Series 2006-OPT2, Class 2A1

      

3.456%, 1/25/36 (a)(d)

    35    35,127

Series 2006-OPT2, Class M2

      

3.766%, 1/25/36 (a)(d)

    205    132,799

Lehman XS Trust

      

Series 2005-5N, Class M2

      

4.026%, 11/25/35 (a)(d)

    1,000    704,740

Series 2006-18N, Class M2

      

3.786%, 12/25/36 (a)(d)

    3,000    1,805,250

Newcastle Mortgage Securities Trust

      

Series 2007-1, Class 2A1

      

3.506%, 4/25/37 (a)(d)

    510    492,378

RAAC Series

      

Series 2006-SP3, Class A1

      

3.456%, 8/25/36 (a)(d)

    119    116,610

Residential Asset Mortgage Products, Inc.

      

Series 2005-RS3, Class AIA2

      

3.546%, 3/25/35 (a)(d)

    106    100,679

Saxon Asset Securities Trust

      

Series 2005-4, Class A2B

      

3.556%, 11/25/37 (a)(d)

    51    50,762

Series 2007-2, Class M1

      

3.736%, 5/25/47 (a)(d)

    1,000    447,700

Soundview Home Equity Loan Trust

      

Series 2007-OPT1, Class M6

      

4.576%, 6/25/37 (a)(d)

    120    21,973
       
      5,991,286
       

Other ABS - Fixed Rate - 0.2%

     

DB Master Finance, LLC

      

Series 2006-1, Class A2

      

5.779%, 6/20/31 (a)(b)

    1,495    1,463,620
       

Home Equity Loans - Fixed Rate - 0.2%

     

Citifinancial Mortgage Securities, Inc.

      

Series 2003-1, Class AFPT

      

3.36%, 1/25/33 (a)

    150    124,868

Countrywide Asset-Backed Certificates

      

Series 2007-S1, Class A3

      

5.81%, 11/25/36 (a)

    600    417,006

Credit-Based Asset Servicing & Securities, Inc.

      

Series 2003-CB1, Class AF

      

3.45%, 1/25/33 (a)(f)

    316    312,725

Nationstar NIM Trust

      

Series 2007-A, Class A

      

9.97%, 3/25/37 (a)(b)

    98    73,569

Residential Funding Mortgage Securities II, Inc.

      

Series 2005-HI2, Class A3

      

4.46%, 5/25/35 (a)

    134    133,175
       
      1,061,343
       

Other ABS - Floating Rate - 0.2%

     

Halcyon Securitized Product Investors

      

Series 2007-1A, Class A2

      

5.879%, 5/13/46 (a)(b)(d)(g)

    580    34,800

Libertas Preferred Funding Ltd.

      

Series 2007-3A, Class 2

      

5.193%, 4/09/47 (a)(b)(d)(g)

    1,770    141,600

Neapolitan Segregated Portfolio

      

Series 2007-1A, Class I

      

4.285%, 3/30/46 (a)(b)(d)(g)

    500    45,000

Petra CRE CDO Ltd.

      

Series 2007-1A, Class C

      

4.476%, 2/25/47 (a)(b)(d)

    800    697,248
       
      918,648
       

Autos - Fixed Rate - 0.0%

      

Capital One Prime Auto Receivables Trust

      

Series 2005-1, Class A3

      

4.32%, 8/15/09 (a)

    76    75,693
       

Total Asset-Backed Securities
(cost $15,429,178)

       9,510,590
       

CORPORATES - NON-INVESTMENT GRADES - 1.2%

      

Industrial - 1.1%

      

Basic - 0.9%

      

Ineos Group Holdings PLC

      

8.50%, 2/15/16 (a)(b)

    110    85,800

Packaging Corp. of America

      

5.75%, 8/01/13 (a)

    5,181    5,447,858
       
      5,533,658
       

Communications - Media - 0.1%

      

Cablevision Systems Corp.

      

Series B

      

8.00%, 4/15/12 (a)

    105    100,538

Clear Channel Communications, Inc.

      

5.50%, 9/15/14 (a)

    275    209,539

DirecTV Holdings LLC

      

6.375%, 6/15/15 (a)

    100    94,000

Echostar DBS Corp.

      

6.625%, 10/01/14 (a)

    32    31,240

7.125%, 2/01/16 (a)

    88    87,890
       
      523,207
       

Communications - Telecommunications - 0.0%

      

Qwest Communications International, Inc.

      

7.50%, 2/15/14 (a)

    60    59,400

Series B

      

7.50%, 2/15/14 (a)

    35    34,650
       
      94,050
       

Consumer Cyclical - Automotive - 0.0%

      

General Motors Corp.

      

8.25%, 7/15/23 (a)

    130    104,000
       

Consumer Cyclical - Other - 0.1%

      

Harrah’s Operating Co., Inc.

      

5.625%, 6/01/15 (a)

    56    35,560

5.75%, 10/01/17 (a)

    20    12,000

6.50%, 6/01/16 (a)

    69    44,160

MGM Mirage

      

8.375%, 2/01/11 (a)

    95    97,137
       
      188,857
       

Transportation - Services - 0.0%

         

Hertz Corp.

         

8.875%, 1/01/14 (a)

         90    86,850
          
         6,530,622
          

Utility - 0.1%

         

Electric - 0.1%

         

Dynegy Holdings, Inc.

         

8.375%, 5/01/16 (a)

         645    627,263

Edison Mission Energy

         

7.00%, 5/15/17 (a)

         100    97,250

NRG Energy, Inc.

         

7.25%, 2/01/14 (a)

         120    116,850

7.375%, 2/01/16 (a)

         90    86,962
          
         928,325
          

Financial Institutions - 0.0%

         

REITS - 0.0%

         

American Real Estate Partners LP

         

7.125%, 2/15/13 (a)

         40    37,100

7.125%, 2/15/13 (a)(b)

         30    27,825
          
         64,925
          

Total Corporates - Non-Investment Grades
(cost $7,486,653)

          7,523,872
          

EMERGING MARKETS - TREASURIES - 0.5%

         

Non Corporate Sectors - 0.5%

         

Sovereign - 0.5%

         

Federative Republic of Brazil

         

10.25%, 1/10/28 (a)

    BRL      2,669    1,430,093

12.50%, 1/05/22 (a)

         2,291    1,430,735
          

Total Emerging Markets - Treasuries
(cost $2,801,109)

          2,860,828
          

SUPRANATIONALS - 0.3%

         

Non Corporate Sectors - 0.3%

         

European Investment Bank

         

5.125%, 5/30/17 (a)

         

(cost $1,536,879)

       $ 1,490    1,618,529
          
          Shares     

NON-CONVERTIBLE - PREFERRED STOCKS - 0.2%

         

Non Corporate Sectors - 0.2%

         

Agencies - Government Sponsored - 0.2%

         

Federal Home Loan Mortgage Corp.

         

8.375% (a)

         22,200    596,070

Federal National Mortgage Association

         

8.25% (a)

         32,900    869,218
          

Total Non-Convertible - Preferred Stocks
(cost $1,377,500)

          1,465,288
          

SHORT-TERM INVESTMENTS - 5.6%

      

Investment Companies -3.8%

      

AllianceBernstein Fixed-Income Shares,
Inc. - Prime STIF Portfolio (h)

     23,236,689      23,236,689
         
     Principal
Amount
(000)		     

Agency Discount Notes - 1.8%

     

Federal National Mortgage Association

      

Zero Coupon, 4/30/08

    $ 11,000      10,922,768
         

Total Short-Term Investments
(cost $34,159,457)

         34,159,457
         

Total Investments - 97.5%
(cost $592,097,756)

         591,648,497

Other assets less liabilities - 2.5%

         15,455,746
         

Net Assets - 100.0%

      $ 607,104,243
         

INTEREST RATE SWAP TRANSACTIONS

 

               Rate Type        

Swap Counterparty

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

Lehman Brothers

    $ 2,000    12/04/11      3 Month LIBOR      4.850 %   $ 108,856  

Lehman Brothers

      36,665    11/28/17      3 Month LIBOR      4.723 %     1,460,327  
FINANCIAL FUTURES CONTRACTS              

Type

    Number of
Contracts		    Expiration
Month		    Original Value    Value at
January 31,
2008		     Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

              

U.S. T-Note 10 Yr futures

      181    March 2008    $ 20,521,494    $ 21,126,094     $ 604,600  

Sold Contracts

              

U.S. T-Note 5 Yr futures

      215    March 2008      23,682,142      24,295,000       (612,858 )
                   
              $ (8,258 )
                   

FORWARD CURRENCY EXCHANGE CONTRACTS

 

     Contract
Amount
(000)		    U.S. $
Value on
Origination
Date		    U.S. $ Value at
January 31,
2008		    Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts:

            

Australian Dollar settling 3/31/08

    7,433    $ 6,476,521    $ 6,617,676    $ 141,155  

Canadian Dollar settling 3/26/08

    16,439      15,957,096      16,352,774      395,678  

Euro settling 3/14/08

    8,393      12,484,923      12,462,664      (22,259 )

New Zealand Dollar settling 3/12/08

    6,808      5,118,255      5,337,076      218,821  

Norwegian Krone settling 3/28/08

    95,013      17,884,127      17,494,483      (389,644 )

Swedish Krona settling 2/07/08

    64,974      10,313,263      10,209,660      (103,603 )

Sale Contracts:

            

Japanese Yen settling 3/11/08

    3,845,033      35,678,143      36,256,820      (578,677 )

Japanese Yen settling 3/11/08

    242,454      2,234,146      2,286,225      (52,079 )

Mexican Peso settling 3/31/08

    139,620      12,730,310      12,811,789      (81,479 )

Polish Zloty settling 3/06/08

    15,545      6,216,098      6,404,385      (188,287 )

Swiss Franc settling 2/27/08

    18,813      16,540,065      17,417,615      (877,550 )

 

(a) Position, or a portion thereof, has been segregated to collateralize forward currency exchange contracts. The aggregate market value of these securities amounted to $535,390,123.
(b) 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 January 31, 2008, the aggregate market value of these securities amounted to $23,537,294 or 3.9% of net assets.
(c) Variable rate coupon, rate shown as of January 31, 2008.
(d) Floating Rate Security. Stated interest rate was in effect at January 31, 2008.
(e) IO - Interest Only
(f) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at January 31, 2008.
(g) Illiquid security, valued at fair value.
(h) Investment in affiliated money market mutual fund.

The Portfolio currently owns investments collateralized by subprime mortgage loans. Subprime loans are offered to homeowners who do not have a history of debt or who have had problems meeting their debt obligations. Because repayment is less certain, subprime borrowers pay a higher rate of interest than prime borrowers. As of January 31, 2008, the Portfolio’s total exposure to subprime investments was 0.78%. These investments are valued in accordance with the Fund’s Valuation Policies.

 

+ Represents 30 shares
++ Represents 218 shares

Currency Abbreviations:

BRL   -    Brazilian Real
JPY   -    Japanese Yen
MXN   -    Mexican Peso
PEN   -    Peruvian New Sol
PLN   -    Polish Zloty
Glossary:
LIBOR   -    London Interbank Offered Rates

ITEM 2. CONTROLS AND PROCEDURES.

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

(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS.

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

 

EXHIBIT NO.

   

DESCRIPTION OF EXHIBIT

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

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant): AllianceBernstein Bond Fund, Inc.

 

By:   /s/ Marc O. Mayer
 

Marc O. Mayer

President

Date:   March 26, 2008

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/ Marc O. Mayer
 

Marc O. Mayer

President

Date:   March 26, 2008
By:   /s/ Joseph J. Mantineo
 

Joseph J. Mantineo

Treasurer and Chief Financial Officer

Date:   March 26, 2008