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: July 31, 2008

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AllianceBernstein Bond Fund-Intermediate

Bond Portfolio

Portfolio of Investments

July 31, 2008 (unaudited)

 

     Principal
Amount
(000)		    U.S. $ Value

CORPORATES - INVESTMENT GRADES - 38.1%

     

Industrial - 20.1%

     

Basic - 4.1%

     

Alcoa, Inc.

      

6.75%, 7/15/18 (a)

    $ 1,125    $ 1,120,920

ArcelorMittal

      

6.125%, 6/01/18 (a)(b)

      1,470      1,411,648

6.50%, 4/15/14 (a)

      150      150,955

BHP Billiton Finance USA Ltd.

      

7.25%, 3/01/16 (a)

      1,116      1,196,070

Inco Ltd.

      

7.75%, 5/15/12 (a)

      4,985      5,350,879

The Dow Chemical Co.

      

7.375%, 11/01/29 (a)

      20      20,353

Freeport-McMoRan Copper & Gold, Inc.

      

8.25%, 4/01/15 (a)

      630      656,775

International Paper Co.

      

4.25%, 1/15/09 (a)

      630      627,936

5.30%, 4/01/15 (a)

      235      203,960

7.40%, 6/15/14 (a)

      1,420      1,418,238

7.95%, 6/15/18 (a)

      830      825,349

Lubrizol Corp.

      

4.625%, 10/01/09 (a)

      150      149,169

Packaging Corp. of America

      

5.75%, 8/01/13 (a)

      5,181      5,080,012

PPG Industries, Inc.

      

5.75%, 3/15/13 (a)

      1,125      1,135,335

United States Steel Corp.

      

5.65%, 6/01/13 (a)

      1,575      1,525,221

6.05%, 6/01/17 (a)

      1,625      1,497,340

Weyerhaeuser Co.

      

5.95%, 11/01/08 (a)

      202      203,086
         
        22,573,246
         

Capital Goods - 2.6%

     

Boeing Capital Corp.

      

6.50%, 2/15/12 (a)

      6,940      7,324,906

Caterpillar Financial Services

      

4.50%, 6/15/09 (a)

      371      374,264

Hutchison Whampoa International Ltd.

      

7.45%, 11/24/33 (a)(b)

      216      220,790

John Deere Capital Corp.

      

4.875%, 3/16/09 (a)

      2,110      2,132,151

 

1

     Principal
Amount
(000)		    U.S. $ Value

Lafarge SA

      

6.15%, 7/15/11 (a)

    784    783,901

Masco Corp.

      

6.125%, 10/03/16 (a)

    1,715    1,485,499

Mohawk Industries, Inc.

      

6.125%, 1/15/16 (a)

    1,555    1,444,289

Tyco International Group SA

      

6.00%, 11/15/13 (a)

    195    189,685

Waste Management, Inc.

      

6.875%, 5/15/09 (a)

    250    254,573
       
      14,210,058
       

Communications - Media - 0.6%

     

British Sky Broadcasting Group PLC

      

6.875%, 2/23/09 (a)

    1,511    1,536,506

BSKYB Finance UK PLC

      

5.625%, 10/15/15 (a)(b)

    270    261,359

Comcast Cable Communications Holdings, Inc.

      

9.455%, 11/15/22 (a)

    174    207,204

Comcast Cable Communications, Inc.

      

6.20%, 11/15/08 (a)

    64    64,182

6.875%, 6/15/09 (a)

    287    294,143

Comcast Corp.

      

5.50%, 3/15/11 (a)

    313    313,108

News America Holdings, Inc.

      

6.55%, 3/15/33 (a)

    142    134,695

RR Donnelley & Sons Co.

      

4.95%, 4/01/14 (a)

    85    77,116

Time Warner Entertainment Co.

      

8.375%, 3/15/23 (a)

    325    346,775

WPP Finance Corp.

      

5.875%, 6/15/14 (a)

    149    143,657
       
      3,378,745
       

Communications - Telecommunications - 3.5%

     

AT&T Corp.

      

8.00%, 11/15/31 (a)

    80    90,862

British Telecommunications PLC

      

8.625%, 12/15/10 (a)

    524    562,858

Embarq Corp.

      

6.738%, 6/01/13 (a)

    1,140    1,097,538

7.082%, 6/01/16 (a)

    2,505    2,340,970

New Cingular Wireless Services, Inc.

      

7.875%, 3/01/11 (a)

    225    239,733

8.125%, 5/01/12 (a)

    4,295    4,712,852

8.75%, 3/01/31 (a)

    126    146,739

Pacific Bell Telephone Co.

      

6.625%, 10/15/34 (a)

    1,450    1,394,085

Qwest Corp.

      

7.50%, 10/01/14 (a)

    1,085    995,487

7.875%, 9/01/11 (a)

    285    280,725

8.875%, 3/15/12 (a)

    1,110    1,107,225

 

2

     Principal
Amount
(000)		    U.S. $ Value

Telecom Italia Capital SA

      

4.00%, 11/15/08 - 1/15/10 (a)

    745    736,351

6.375%, 11/15/33 (a)

    110    93,794

Telefonos de Mexico SAB de CV

      

4.50%, 11/19/08 (a)

    1,392    1,394,883

US Cellular Corp.

      

6.70%, 12/15/33 (a)

    1,560    1,410,018

Verizon Communications, Inc.

      

4.90%, 9/15/15 (a)

    180    170,053

5.25%, 4/15/13 (a)

    815    815,840

Verizon New Jersey, Inc.

      

Series A

      

5.875%, 1/17/12 (a)

    220    222,395

Vodafone Group PLC

      

5.50%, 6/15/11 (a)

    295    297,905

7.75%, 2/15/10 (a)

    1,410    1,473,929
       
      19,584,242
       

Consumer Cyclical - Automotive - 0.0%

     

Daimler Finance North America LLC

      

4.875%, 6/15/10 (a)

    137    137,205
       

Consumer Cyclical - Other - 1.2%

     

Marriott International, Inc.

      

Series J

      

5.625%, 2/15/13 (a)

    1,370    1,284,604

MDC Holdings, Inc.

      

5.50%, 5/15/13 (a)

    1,155    1,089,098

Starwood Hotels & Resorts Worldwide, Inc.

      

6.25%, 2/15/13 (a)

    1,505    1,432,573

7.375%, 11/15/15 (a)

    1,269    1,210,168

7.875%, 5/01/12 (a)

    1,430    1,443,577

Toll Brothers Finance Corp.

      

5.15%, 5/15/15 (a)

    35    29,357

6.875%, 11/15/12 (a)

    120    114,380
       
      6,603,757
       

Consumer Cyclical - Retailers - 0.6%

     

Limited Brands, Inc.

      

6.90%, 7/15/17 (a)

    203    177,509

Lowe’s Cos, Inc.

      

5.00%, 10/15/15 (a)

    2,775    2,705,617

Wal-Mart Stores, Inc.

      

4.25%, 4/15/13 (a)

    640    636,582
       
      3,519,708
       

Consumer Non-Cyclical - 4.5%

     

Abbott Laboratories

      

3.50%, 2/17/09 (a)

    1,560    1,561,883

Baxter FinCo BV

      

4.75%, 10/15/10 (a)

    1,285    1,299,862

Bunge Ltd. Finance Corp.

      

5.10%, 7/15/15 (a)

    130    111,682

5.875%, 5/15/13 (a)

    965    927,991

Cadbury Schweppes US Finance LLC

      

5.125%, 10/01/13 (a)(b)

    310    297,831

 

3

     Principal
Amount
(000)		    U.S. $ Value

ConAgra Foods, Inc.

      

5.819%, 6/15/17 (a)

    2,005    1,949,351

6.75%, 9/15/11 (a)

    1,245    1,288,056

7.875%, 9/15/10 (a)

    120    126,815

Fisher Scientific International, Inc.

      

6.125%, 7/01/15 (a)

    36    35,673

6.75%, 8/15/14 (a)

    53    53,455

Fortune Brands, Inc.

      

4.875%, 12/01/13 (a)

    667    630,566

Kraft Foods, Inc.

      

6.25%, 6/01/12 (a)

    5,365    5,498,744

The Kroger Co.

      

6.80%, 12/15/18 (a)

    487    506,025

7.25%, 6/01/09 (a)

    1,500    1,536,341

Reynolds American, Inc.

      

7.25%, 6/01/13 (a)

    1,520    1,565,085

7.625%, 6/01/16 (a)

    1,490    1,539,762

Safeway, Inc.

      

4.125%, 11/01/08 (a)

    96    96,061

6.50%, 3/01/11 (a)

    82    84,840

7.25%, 2/01/31 (a)

    2,010    2,075,743

Wyeth

      

5.50%, 2/01/14 (a)

    3,673    3,716,213
       
      24,901,979
       

Energy - 1.4%

     

Amerada Hess Corp.

      

7.875%, 10/01/29 (a)

    98    111,394

Canadian Natural Resources Ltd.

      

5.15%, 2/01/13 (a)

    435    433,741

ConocoPhillips

      

6.375%, 3/30/09 (a)

    1,510    1,536,131

Gaz Capital SA

      

6.212%, 11/22/16 (a)(b)

    3,215    2,943,654

The Premcor Refining Group, Inc.

      

7.50%, 6/15/15 (a)

    717    740,379

Statoilhydro Asa

      

6.36%, 1/15/09 (a)

    454    460,183

Texaco Capital, Inc.

      

5.50%, 1/15/09 (a)

    960    966,485

Weatherford International Ltd.

      

5.15%, 3/15/13 (a)

    560    554,998

6.00%, 3/15/18 (a)

    215    212,212
       
      7,959,177
       

Technology - 1.5%

     

Cisco Systems, Inc.

      

5.25%, 2/22/11 (a)

    2,540    2,614,559

Computer Sciences Corp.

      

5.50%, 3/15/13 (a)(b)

    805    797,526

Electronic Data Systems Corp.

      

Series B

      

6.00%, 8/01/13 (a)

    1,847    1,941,380

 

4

     Principal
Amount
(000)		    U.S. $ Value

International Business Machines Corp.

      

4.375%, 6/01/09 (a)

    75    75,859

Motorola, Inc.

      

6.50%, 9/01/25 (a)

    855    663,737

7.50%, 5/15/25 (a)

    30    26,833

7.625%, 11/15/10 (a)

    28    28,189

Oracle Corp.

      

4.95%, 4/15/13 (a)

    684    690,790

5.25%, 1/15/16 (a)

    280    277,032

Xerox Corp.

      

7.625%, 6/15/13 (a)

    60    62,305

9.75%, 1/15/09 (a)

    1,044    1,069,928
       
      8,248,138
       

Transportation - Railroads - 0.1%

     

Canadian Pacific Railway Co.

      

6.50%, 5/15/18 (a)

    320    313,159
       

Transportation - Services - 0.0%

     

FedEx Corp.

      

3.50%, 4/01/09 (a)

    225    224,428
       
      111,653,842
       

Financial Institutions - 14.5%

     

Banking - 5.4%

     

ANZ National International Ltd.

      

6.20%, 7/19/13 (a)(b)

    635    634,568

Bank of America Corp.

      

3.375%, 2/17/09 (a)

    630    627,988

Bank of Tokyo-Mitsubishi UFJ L

      

7.40%, 6/15/11 (a)

    100    105,110

BankAmerica Capital II

      

Series 2

      

8.00%, 12/15/26 (a)

    415    401,750

Barclays Bank PLC

      

8.55%, 6/15/11 (a)(b)(c)

    339    330,499

The Bear Stearns Co., Inc.

      

5.55%, 1/22/17 (a)

    315    290,210

5.70%, 11/15/14 (a)

    1,655    1,597,620

7.625%, 12/07/09 (a)

    838    869,558

Citicorp, Inc.

      

Series MTNF

      

6.375%, 11/15/08 (a)

    54    54,316

Citigroup, Inc.

      

3.625%, 2/09/09 (a)

    1,580    1,576,601

5.50%, 4/11/13 (a)

    1,015    991,467

Compass Bank

      

5.50%, 4/01/20 (a)

    1,774    1,517,306

Huntington National Bank

      

4.375%, 1/15/10 (a)

    183    174,137

JP Morgan Chase & Co.

      

3.50%, 3/15/09 (a)

    1,580    1,573,969

 

5

     Principal
Amount
(000)		    U.S. $ Value

JPM Chase Capital XXV

      

Series Y

      

6.80%, 10/01/37 (a)

    430    363,325

M&I Marshall & Ilsley Bank

      

4.85%, 6/16/15 (a)

    1,545    1,216,949

5.00%, 1/17/17 (a)

    1,695    1,277,610

Mellon Funding Corp.

      

3.25%, 4/01/09 (a)

    861    856,005

Morgan JP & Co., Inc.

      

6.25%, 1/15/09 (a)

    1,424    1,435,066

MUFG Capital Finance 1 Ltd.

      

6.346%, 7/25/16 (a)(c)

    115    98,586

National City Bank of Ohio

      

6.25%, 3/15/11 (a)

    1,515    1,129,296

RBS Capital Trust III

      

5.512%, 9/30/14 (a)(c)(d)

    358    298,765

Regions Financial Corp.

      

6.375%, 5/15/12 (a)

    1,510    1,389,873

Resona Preferred Global Securities

      

7.191%, 7/30/15 (a)(b)(c)

    176    153,217

Royal Bank of Scotland Group PLC

      

6.40%, 4/01/09 (a)

    908    919,067

SouthTrust Corp.

      

5.80%, 6/15/14 (a)

    1,470    1,323,628

Sumitomo Mitsui Banking Corp.

      

5.625%, 10/15/15 (a)(b)(c)

    107    96,103

UBS Preferred Funding Trust I

      

8.622%, 10/01/10 (a)(c)

    503    506,141

UFJ Finance Aruba AEC

      

6.75%, 7/15/13 (a)

    172    178,410

Union Bank of California

      

5.95%, 5/11/16 (a)

    1,580    1,397,450

Union Planters Corp.

      

7.75%, 3/01/11 (a)

    1,002    1,014,741

US Bancorp

      

5.30%, 4/28/09 (a)

    1,530    1,539,278

Wachovia Corp.

      

5.50%, 5/01/13 (a)

    1,445    1,334,160

5.625%, 12/15/08 (a)

    393    392,029

Washington Mutual, Inc.

      

4.00%, 1/15/09 (a)

    400    339,000

4.20%, 1/15/10 (a)

    25    19,250

Wells Fargo & Co.

      

3.125%, 4/01/09 (a)

    1,570    1,562,948

4.20%, 1/15/10 (a)

    457    457,223

Zions Banc Corp.

      

5.50%, 11/16/15 (a)

    170    110,546
       
      30,153,765
       

 

6

     Principal
Amount
(000)		    U.S. $ Value

Brokerage - 2.0%

      

The Goldman Sachs Group, Inc.

      

3.875%, 1/15/09 (a)

    1,252    1,251,616

6.65%, 5/15/09 (a)

    875    894,864

7.35%, 10/01/09 (a)

    63    64,727

Lehman Brothers Holdings, Inc.

      

5.00%, 1/14/11 (a)

    520    501,512

5.75%, 1/03/17 (a)

    1,597    1,376,785

6.20%, 9/26/14 (a)

    615    565,973

6.50%, 7/19/17 (a)

    97    87,555

7.875%, 11/01/09 (a)

    1,476    1,494,513

Series MTNG

      

4.80%, 3/13/14 (a)

    79    70,025

Merrill Lynch & Co., Inc.

      

6.00%, 2/17/09 (a)

    1,416    1,410,424

6.05%, 5/16/16 (a)

    586    533,051

Series MTNC

      

4.125%, 1/15/09 (a)

    455    450,339

Morgan Stanley

      

5.625%, 1/09/12 (a)

    1,310    1,282,599

6.60%, 4/01/12 (a)

    855    858,464
       
      10,842,447
       

Finance - 3.8%

     

American General Finance Corp.

      

4.625%, 5/15/09 (a)

    530    521,872

Capital One Bank

      

4.25%, 12/01/08 (a)

    300    298,757

5.00%, 6/15/09 (a)

    1,555    1,552,128

Capital One Financial Corp.

      

4.80%, 2/21/12 (a)

    1,300    1,151,375

5.50%, 6/01/15 (a)

    37    32,348

6.75%, 9/15/17 (a)

    345    333,996

CIT Group, Inc.

      

5.85%, 9/15/16 (a)

    1,520    1,084,365

7.625%, 11/30/12 (a)

    1,285    1,091,329

Series MTN

      

5.125%, 9/30/14 (a)

    315    228,602

Countrywide Financial Corp.

      

6.25%, 5/15/16 (a)

    62    53,408

Series MTN

      

5.80%, 6/07/12 (a)

    44    41,284

Countrywide Home Loans, Inc.

      

Series MTNL

      

4.00%, 3/22/11 (a)

    4    3,720

General Electric Capital Corp.

      

4.80%, 5/01/13 (a)

    2,960    2,915,425

Household Finance Corp.

      

4.125%, 12/15/08 (a)

    775    774,242

 

7

     Principal
Amount
(000)		    U.S. $ Value

HSBC Finance Corp.

      

5.875%, 2/01/09 (a)

    675    679,453

6.50%, 11/15/08 (a)

    1,525    1,534,540

7.00%, 5/15/12 (a)

    845    877,475

International Lease Finance Corp.

      

5.65%, 6/01/14 (a)

    175    149,619

6.375%, 3/15/09 (a)

    1,525    1,511,633

iStar Financial, Inc.

      

5.15%, 3/01/12 (a)

    176    127,600

5.65%, 9/15/11 (a)

    915    681,675

SLM Corp.

      

5.375%, 1/15/13 - 5/15/14 (a)

    3,400    2,939,132

5.40%, 10/25/11 (a)

    1,101    988,586

5.45%, 4/25/11 (a)

    1,595    1,450,967

Series MTN

      

5.125%, 8/27/12 (a)

    385    330,306
       
      21,353,837
       

Insurance - 1.8%

     

Allied World Assurance Co. Holdings Ltd.

      

7.50%, 8/01/16 (a)

    650    610,340

The Allstate Corp.

      

6.125%, 5/15/37 (a)(c)

    1,520    1,366,282

Assurant, Inc.

      

5.625%, 2/15/14 (a)

    92    85,828

Genworth Financial, Inc.

      

4.75%, 6/15/09 (a)

    587    583,335

5.231%, 5/16/09 (a)

    519    520,497

6.515%, 5/22/18 (a)

    1,395    1,240,395

Humana, Inc.

      

6.30%, 8/01/18 (a)

    166    151,298

Liberty Mutual Group, Inc.

      

5.75%, 3/15/14 (a)(b)

    167    157,898

7.80%, 3/15/37 (a)(b)

    165    122,460

Prudential Financial, Inc.

      

Series MTND

      

5.15%, 1/15/13 (a)

    905    883,352

UnitedHealth Group, Inc.

      

4.125%, 8/15/09 (a)

    573    567,322

4.875%, 3/15/15 (a)

    1,855    1,696,891

5.25%, 3/15/11 (a)

    1,390    1,375,726

XL Capital Ltd.

      

5.25%, 9/15/14 (a)

    824    732,138
       
      10,093,762
       

REITS - 1.5%

     

HCP, Inc.

      

5.95%, 9/15/11 (a)

    1,550    1,510,326

Healthcare Realty Trust, Inc.

      

5.125%, 4/01/14 (a)

    845    751,985

8.125%, 5/01/11 (a)

    1,450    1,494,321

 

8

     Principal
Amount
(000)		    U.S. $ Value

Mack-Cali Realty LP

      

7.25%, 3/15/09 (a)

    240    242,436

Nationwide Health Properties, Inc.

      

6.50%, 7/15/11 (a)

    1,515    1,537,066

Simon Property Group LP

      

5.00%, 3/01/12 (a)

    1,490    1,426,821

5.625%, 8/15/14 (a)

    1,169    1,125,581
       
      8,088,536
       
      80,532,347
       

Utility - 3.5%

     

Electric - 2.3%

     

Carolina Power & Light Co.

      

6.50%, 7/15/12 (a)

    345    361,760

Exelon Corp.

      

6.75%, 5/01/11 (a)

    280    287,518

FirstEnergy Corp.

      

Series B

      

6.45%, 11/15/11 (a)

    5,385    5,499,905

Series C

      

7.375%, 11/15/31 (a)

    279    298,393

MidAmerican Energy Holdings Co.

      

5.875%, 10/01/12 (a)

    162    166,495

Nisource Finance Corp.

      

6.80%, 1/15/19 (a)

    1,465    1,425,981

7.875%, 11/15/10 (a)

    154    159,575

Pacific Gas & Electric Co.

      

3.60%, 3/01/09 (a)

    1,565    1,564,617

Progress Energy, Inc.

      

7.10%, 3/01/11 (a)

    2,324    2,433,860

Public Service Company of Colorado

      

Series 10

      

7.875%, 10/01/12 (a)

    176    194,945

SPI Electricity & Gas Australia Holdings

      

Pty Ltd.

      

6.15%, 11/15/13 (a)(b)

    283    285,844

Wisconsin Energy Corp.

      

6.25%, 5/15/67 (a)(c)

    140    117,468
       
      12,796,361
       

Natural Gas - 1.0%

     

Duke Energy Field Services Corp.

      

7.875%, 8/16/10 (a)

    94    98,526

Energy Transfer Partners LP

      

6.70%, 7/01/18 (a)

    1,205    1,215,303

7.50%, 7/01/38 (a)

    1,365    1,382,857

Enterprise Products Operating LP

      

Series B

      

5.60%, 10/15/14 (a)

    157    153,434

Sempra Energy

      

4.75%, 5/15/09 (a)

    1,545    1,550,871

 

9

     Principal
Amount
(000)		    U.S. $ Value

TransCanada Pipelines Ltd.

      

6.35%, 5/15/67 (a)(c)

    1,670    1,411,239

Williams Co., Inc.

      

7.875%, 9/01/21 (a)

    95    100,937
       
      5,913,167
       

Other Utility - 0.2%

     

Veolia Environment

      

6.00%, 6/01/18 (a)

    935    931,469
       
      19,640,997
       

Total Corporates - Investment Grades

      

(cost $218,871,941)

       211,827,186
       

MORTGAGE PASS-THRU’S - 24.5%

     

Agency Fixed Rate 30-Year - 21.6%

     

Federal Gold Loan Mortgage Corp.

      

Series 2005

      

4.50%, 8/01/35 - 11/01/35 (a)

    2,545    2,339,151

Series 2007

      

4.50%, 1/01/37 (a)

    18,058    16,593,903

5.50%, 7/01/35 (a)

    416    409,457

Federal Home Loan Mortgage Corp.

      

Series 2007

      

7.00%, 2/01/37 (a)

    7,983    8,354,408

Federal National Mortgage Association

      

Series 2003

      

5.00%, 11/01/33 (a)

    418    399,868

5.50%, 4/01/33 - 7/01/33 (a)

    3,941    3,880,069

Series 2004

      

5.50%, 4/01/34 - 11/01/34 (a)

    1,956    1,923,683

6.00%, 9/01/34 (a)

    758    764,709

Series 2005

      

4.50%, 8/01/35 (a)

    1,277    1,173,222

5.50%, 2/01/35 (a)

    1,429    1,406,548

Series 2006

      

5.00%, 2/01/36 (a)

    3,878    3,698,561

6.00%, 2/01/36 (a)

    4,775    4,815,151

Series 2007

      

4.50%, 9/01/35 (a)

    926    855,563

5.00%, 11/01/35 - 7/01/36 (a)

    14,088    13,437,234

5.50%, 11/01/36 - 8/01/37 (a)

    19,645    19,341,845

6.50%, 8/01/37 - 11/01/37 (a)

    16,363    16,828,304

Series 2008

      

5.50%, 3/01/37 (a)

    15,234    14,957,371

Government National Mortgage Association

      

Series 1990

      

9.00%, 12/15/19 (a)

    0 +    188

Series 1999

      

8.15%, 9/15/20 (a)

    308    335,296

Series 2000

      

9.00%, 12/15/09 (a)

    72    72,482

 

10

     Principal
Amount
(000)		    U.S. $ Value

Series 2003

      

5.50%, 7/15/33 (a)

    8,430    8,396,337
       
      119,983,350
       

Agency ARMS - 2.1%

     

Federal Home Loan Mortgage Corp.

      

Series 2006

      

5.921%, 1/01/37 (a)(e)

    457    465,933

Series 2007

      

5.902%, 3/01/37 (a)(e)

    5,269    5,371,060

5.942%, 1/01/37 (a)(e)

    5,655    5,762,985
       
      11,599,978
       

Agency Fixed Rate 15-Year - 0.8%

     

Government National Mortgage Association

      

Series 1997

      

8.00%, 3/15/12 (a)

    1,136    1,169,578

Series 2001

      

7.50%, 12/15/14 (a)

    3,308    3,456,396
       
      4,625,974
       

Total Mortgage Pass-Thru’s

      

(cost $136,620,442)

       136,209,302
       

COMMERCIAL MORTGAGE-BACKED SECURITIES - 14.4%

     

Non-Agency Fixed Rate CMBS - 14.4%

     

Banc of America Commercial Mortgage, Inc.

      

Series 2001-PB1, Class A2

      

5.787%, 5/11/35 (a)

    290    292,262

Series 2004-4, Class A3

      

4.128%, 7/10/42 (a)

    365    362,999

Series 2004-6, Class A2

      

4.161%, 12/10/42 (a)

    479    475,541

Series 2006-5, Class A4

      

5.414%, 9/10/47 (a)

    3,160    2,946,922

Bear Stearns Commercial Mortgage

      

Securities, Inc.

      

Series 2002-TOP6, Class A2

      

6.46%, 10/15/36 (a)

    2,918    2,982,600

Series 2005-T18, Class A4

      

4.933%, 2/13/42 (a)

    610    569,271

Series 2006-PW11, Class A2

      

5.41%, 3/11/39 (a)

    2,965    2,950,376

Series 2006-PW12, Class A4

      

5.718%, 9/11/38 (a)

    290    277,630

Series 2006-T24, Class A4

      

5.537%, 10/12/41 (a)

    2,475    2,333,711

Series 2007-PW18, Class A4

      

5.70%, 6/11/50 (a)

    3,025    2,780,758

Citigroup Commercial Mortgage Trust

      

Series 2004-C1, Class A4

      

5.356%, 4/15/40 (a)

    560    544,682

Series 2008-C7, Class A4

      

6.095%, 12/10/49 (a)

    2,890    2,761,347

 

11

     Principal
Amount
(000)		    U.S. $ Value

Commercial Mortgage Pass Through

      

Certificates

      

Series 2006-C8, Class A4

      

5.306%, 12/10/46 (a)

    2,130    1,962,988

Credit Suisse First Boston Mortgage

      

Securities Corp.

      

Series 2003-CK2, Class A2

      

3.861%, 3/15/36 (a)

    41    40,192

Series 2004-C1, Class A4

      

4.75%, 1/15/37 (a)

    180    172,856

Series 2005-C1, Class A4

      

5.014%, 2/15/38 (a)

    534    503,668

Credit Suisse Mortgage Capital Certificates

      

Series 2006-C3, Class A3

      

5.827%, 6/15/38 (a)

    2,850    2,744,311

Series 2006-C5, Class A3

      

5.311%, 12/15/39 (a)

    1,600    1,474,958

CS First Boston Mortgage Securities Corp.

      

Series 2005-C5, Class A3

      

5.10%, 8/15/38 (a)

    2,870    2,786,759

GE Capital Commercial Mortgage Corp.

      

Series 2005-C3, Class A3FX

      

4.863%, 7/10/45 (a)

    585    581,984

Greenwich Capital Commercial Funding

      

Corp.

      

Series 2003-C1, Class A4

      

4.111%, 7/05/35 (a)

    388    360,798

Series 2005-GG3, Class A2

      

4.305%, 8/10/42 (a)

    642    637,856

Series 2007-GG9, Class A4

      

5.444%, 3/10/39 (a)

    2,980    2,719,099

GS Mortgage Securities Corp. II

      

Series 2004-GG2, Class A6

      

5.396%, 8/10/38 (a)

    375    362,493

JP Morgan Chase Commercial Mortgage

      

Securities Corp.

      

Series 2005-LDP1, Class A4

      

5.038%, 3/15/46 (a)

    649    611,686

Series 2005-LDP3, Class A2

      

4.851%, 8/15/42 (a)

    515    510,903

Series 2005-LDP4, Class A2

      

4.79%, 10/15/42 (a)

    344    340,903

Series 2006-CB14, Class A4

      

5.481%, 12/12/44 (a)

    1,455    1,368,731

Series 2006-CB15, Class A4

      

5.814%, 6/12/43 (a)

    2,335    2,236,486

Series 2006-CB16, Class A4

      

5.552%, 5/12/45 (a)

    1,810    1,700,491

Series 2006-CB17, Class A4

      

5.429%, 12/12/43 (a)

    4,655    4,327,532

Series 2007-C1, Class A4

      

5.716%, 11/15/17 (a)

    2,965    2,715,470

 

12

     Principal
Amount
(000)		    U.S. $ Value

LB-UBS Commercial Mortgage Trust

      

Series 2003-C3, Class A4

      

4.166%, 5/15/32 (a)

    555    517,283

Series 2004-C4, Class A4

      

5.124%, 6/15/29 (a)

    195    189,962

Series 2004-C8, Class A2

      

4.201%, 12/15/29 (a)

    381    378,235

Series 2005-C1, Class A4

      

4.742%, 2/15/30 (a)

    426    396,611

Series 2005-C7, Class A4

      

5.197%, 11/15/30 (a)

    435    411,806

Series 2006-C6, Class A4

      

5.372%, 9/15/39 (a)

    3,360    3,121,428

Series 2006-C7, Class A3

      

5.347%, 11/15/38 (a)

    2,970    2,748,348

Series 2007-C7, Class A3

      

5.866%, 9/15/45 (a)

    1,640    1,527,254

Merrill Lynch Mortgage Trust

      

Series 2005-CKI1, Class A6

      

5.243%, 11/12/37 (a)

    360    342,066

Series 2005-MKB2, Class A2

      

4.806%, 9/12/42 (a)

    785    784,193

Merrill Lynch/Countrywide Commercial

      

Mortgage Trust

      

Series 2006-2, Class A4

      

5.909%, 6/12/46 (a)

    220    212,781

Series 2007-9, Class A4

      

5.70%, 9/12/17 (a)

    2,940    2,713,784

Morgan Stanley Capital

      

Series 2005-HQ5, Class A4

      

5.168%, 1/14/42 (a)

    944    899,139

Series 2005-HQ6, Class A4A

      

4.989%, 8/13/42 (a)

    3,225    3,032,941

Series 2005-T17, Class A5

      

4.78%, 12/13/41 (a)

    405    377,787

Series 2007-HQ13, Class A3

      

5.569%, 12/15/44 (a)

    2,910    2,641,653

Prudential Securities Secured Financing

      

Corp.

      

Series 1999-NRF1, Class AEC

      

0.839%, 11/01/31 (a)(b)(f)

    123,653    1,336,412

Wachovia Bank Commercial Mortgage Trust

      

Series 2006-C27, Class A3

      

5.765%, 7/15/45 (a)

    2,885    2,760,913

Series 2007-C31, Class A4

      

5.509%, 4/15/47 (a)

    2,925    2,673,493

Series 2007-C32, Class A2

      

5.736%, 6/15/49 (a)

    2,835    2,778,604

 

13

     Principal
Amount
(000)		    U.S. $ Value

Series 2007-C32, Class A3

      

5.741%, 6/15/49 (a)

    2,935    2,720,885
       

Total Commercial Mortgage-Backed Securities

      

(cost $83,719,465)

       80,003,841
       

BANK LOANS - 5.1%

     

Industrial - 4.3%

     

Basic - 0.7%

     

Celanese US Holdings LLC

      

4.28%, 4/02/14 (c)

    748    701,619

Dealer Computer Services, Inc.

      

4.80%, 10/26/12 (c)

    738    681,071

Georgia-Pacific Corp.

      

4.40%-4.55%, 12/20/12 (c)

    496    467,821

Hexion Specialty

      

5.06%, 5/06/13 (c)

    748    651,775

Newpage Corp.

      

6.563%, 12/22/14 (c)

    373    367,909

Univar Corp. Opco

      

5.80%, 10/10/14 (c)

    498    452,725

Wimar Opco LLC

      

10.75%, 1/03/12 (c)

    500    422,710
       
      3,745,630
       

Capital Goods - 0.1%

     

Sequa Corp.

      

5.92%-6.06%, 12/03/14 (c)

    348    328,274

URS Corp.

      

5.30%, 5/15/13 (c)

    423    421,915
       
      750,189
       

Communications - Media - 0.8%

     

CSC Holdings, Inc. (Cablevision)

      

4.206%, 3/29/13 (c)

    748    707,458

IDEARC, Inc. (Verizon)

      

4.47%-4.80%, 11/17/14 (c)

    992    735,540

Metro-Goldwyn Mayer

      

6.05%, 4/09/12 (c)

    748    582,056

Thomson Learning

      

4.96%, 7/03/14 (c)

    993    877,003

Univision Communications, Inc.

      

4.71%-5.05%, 9/29/14 (c)

    1,000    813,440

VML US Finance LLC

      

5.06%, 5/27/13 (c)

    500    482,655

Wide Open West Finance LLC

      

5.15%-5.31%, 6/30/14 (c)

    500    442,500
       
      4,640,652
       

Communications - Telecommunications - 0.6%

     

Alltel Corp.

      

5.208%, 5/15/15 (c)

    744    742,283

Cequel Communications LLC

      

4.685%-6.00%, 11/05/13 (c)

    496    460,721

Level 3 Communications

      

4.71%-5.04%, 3/13/14 (c)

    750    680,812

 

14

     Principal
Amount
(000)		    U.S. $ Value

Nielsen Finance LLC

      

4.73%, 8/09/13 (c)

    496    461,107

Telesat Canada

      

0.00%, 10/31/14*

    19    18,003

5.65%-5.80%, 10/31/14 (c)

    687    654,931

5.67%-5.81%, 10/31/14 (c)

    40    38,201
       
      3,056,058
       

Consumer Cyclical - Automotive - 0.1%

     

Ford Motor Co.

      

5.46%, 12/16/13 (c)

    748    588,299
       

Consumer Cyclical - Other - 0.4%

     

Building Material Holdings

      

5.44%-5.56%, 2/24/14 (c)

    496    428,853

Hanesbrands, Inc.

      

4.55%, 9/05/13 (c)

    400    383,978

Harrah’s Operating Co., Inc.

      

5.80%, 1/28/15 (c)

    998    880,922

Las Vegas Sands LLC

      

4.45%-4.55%, 5/23/14 (c)

    398    343,008
       
      2,036,761
       

Consumer Cyclical - Retailers - 0.2%

     

Neiman Marcus Group, Inc.

      

4.422%, 4/06/13 (c)

    600    559,218

Rite Aid Corp.

      

4.22%, 6/04/14 (c)

    499    433,289
       
      992,507
       

Consumer Non-Cyclical - 0.8%

     

Aramark Corp.

      

4.676%, 1/27/14 (c)

    467    444,417

5.03%, 1/27/14 (c)

    30    28,208

Carestream Health, Inc.

      

4.46%-4.80%, 4/30/13 (c)

    725    641,021

Community Health Services, Inc.

      

0.00%, 7/25/14*

    35    32,837

4.71%-4.90%, 7/25/14 (c)

    680    641,833

HCA, Inc.

      

5.05%, 11/18/13 (c)

    992    932,897

Health Management Associates

      

4.55%, 2/28/14 (c)

    711    655,904

Mylan Laboratories, Inc.

      

5.75%-6.06%, 10/02/14 (c)

    348    344,388

Supervalu, Inc.

      

3.642%, 6/02/12 (c)

    684    644,772
       
      4,366,277
       

Energy - 0.1%

     

Infrastrux Group, Inc.

      

6.96%, 11/03/12 (c)

    493    458,188
       

Services - 0.2%

     

Chrysler Financial Services Americas LLC

      

6.78%, 8/03/12 (c)

    496    407,634

 

15

     Principal
Amount
(000)		    U.S. $ Value

Travelport

      

4.713%, 8/23/13 (c)

    744    622,070
       
      1,029,704
       

Technology - 0.3%

     

Asurion Corp.

      

5.784%, 7/03/14 (c)

    500    468,750

Freescale Semiconductor, Inc.

      

4.22%, 11/29/13 (c)

    794    714,377

Sungard Data Systems, Inc.

      

4.508%, 2/28/14 (c)

    744    701,846
       
      1,884,973
       

Transportation - Airlines - 0.0%

     

Delta Airlines

      

5.71%, 4/30/14 (c)

    337    220,502
       
      23,769,740
       

Utility - 0.6%

     

Electric - 0.6%

     

FirstLight Power Resources, Inc.

      

5.31%, 11/01/13 (c)

    1,333    1,268,395

5.313%, 11/01/13 (c)

    164    155,821

7.313%, 5/01/14 (c)

    852    764,437

Texas Competitive Electronics

      

6.23%-6.48%, 10/10/14 (c)

    993    929,119
       
      3,117,772
       

Financial Institutions - 0.2%

     

Brokerage - 0.1%

     

Ameritrade Holdings Corp.

      

3.96%, 12/31/12 (c)

    400    381,464
       

Finance - 0.1%

     

First Data Corp.

      

5.21%-5.55%, 9/24/14 (c)

    993    911,294
       
      1,292,758
       

Total Bank Loans

      

(cost $29,579,629)

       28,180,270
       

CMOS - 3.8%

     

Non-Agency ARMS - 2.2%

     

Adjustable Rate Mortgage Trust

      

Series 2005-4, Class 3A1

      

4.953%, 8/25/35 (a)(c)

    2,456    2,145,885

Bear Stearns Alt-A Trust

      

Series 2007-1, Class 21A1

      

5.721%, 1/25/47 (a)(c)

    2,417    1,407,101

Citigroup Mortgage Loan Trust, Inc.

      

Series 2005-2, Class 1A4

      

5.115%, 5/25/35 (a)(c)

    3,125    2,740,649

Series 2006-AR1, Class 3A1

      

5.50%, 3/25/36 (a)(e)

    663    582,955

Indymac Index Mortgage Loan Trust

      

Series 2006-AR7, Class 4A1

      

6.212%, 5/25/36 (a)(c)

    1,866    1,137,695

 

16

     Principal
Amount
(000)		    U.S. $ Value

JP Morgan Alternative Loan Trust

      

Series 2006-A4, Class A1

      

5.95%, 9/25/36 (a)(c)

    1,986    1,574,481

Residential Funding Mortgage Securities, Inc.

      

Series 2005-SA3, Class 3A

      

5.238%, 8/25/35 (a)(c)

    2,821    2,464,215
       
      12,052,981
       

Non-Agency Floating Rate - 0.9%

     

Countrywide Alternative Loan Trust

      

Series 2005-62, Class 2A1

      

4.291%, 12/25/35 (a)(e)

    191    131,772

Series 2006-OA14, Class 3A1

      

4.141%, 11/25/46 (a)(e)

    2,679    1,794,731

Series 2007-OA3, Class M1

      

2.771%, 4/25/47 (e)(g)

    180    27,027

Greenpoint Mortgage Funding Trust

      

Series 2005-AR5, Class M2

      

3.111%, 11/25/45 (e)(g)

    997    109,694

JPMorgan Alternative Loan Trust

      

Series 2006-A3, Class 2A1

      

6.069%, 7/25/36 (a)(c)

    2,058    1,232,111

Structured Asset Securities Corp.

      

Series 2003-6A, Class B3

      

5.914%, 3/25/33 (a)(c)

    1,153    722,161

Washington Mutual Mortgage Pass Through

      

Series 2007-OA1, Class A1A

      

3.991%, 2/25/47 (a)(e)

    2,261    1,331,007
       
      5,348,503
       

Non-Agency Fixed Rate - 0.5%

     

Deutsche Mortgage Securities, Inc.

      

Series 2005-WF1, Class 1A1

      

5.088%, 6/26/35 (a)(b)

    937    907,867

Structured Asset Securities Corp.

      

Series 2002-3, Class B3

      

6.50%, 3/25/32 (a)

    2,820    1,686,487
       
      2,594,354
       

Agency Fixed Rate - 0.2%

     

Government National Mortgage Association

      

Series 2006-39, Class IO

      

1.002%, 7/16/46 (a)(f)

    22,874    1,030,354
       

Agency Floating Rate - 0.0%

     

Fannie Mae Grantor Trust

      

Series 2004-T5, Class AB4

      

2.753%, 5/28/35 (a)(e)

    65    56,888
       

Total CMOs

      

(cost $29,710,632)

       21,083,080
       

GOVERNMENTS - TREASURIES - 2.6%

     

Treasuries - 2.6%

     

U.S. Treasury Bonds

      

4.50%, 2/15/36 (a)

    7,614    7,466,876

 

17

     Principal
Amount
(000)		    U.S. $ Value

U.S. Treasury Notes

      

2.125%, 1/31/10 (a)

    7,175    7,155,384
       

Total Governments - Treasuries

      

(cost $14,597,992)

       14,622,260
       

INFLATION-LINKED SECURITIES - 2.0%

     

U.S. Treasury Notes

      

3.00%, 7/15/12 (TIPS) (a)

      

(cost $11,396,011)

    10,341    11,160,085
       

CORPORATES - NON-INVESTMENT GRADES - 1.1%

     

Industrial - 1.0%

     

Basic - 0.4%

     

Ineos Group Holdings PLC

      

8.50%, 2/15/16 (a)(b)

    110    73,700

Steel Capital SA for OAO Severstal

      

9.75%, 7/29/13 (a)(b)

    545    545,681

Stora Enso Oyj

      

7.375%, 5/15/11 (a)

    1,475    1,433,608

Westvaco Corp.

      

8.20%, 1/15/30 (a)

    85    79,921
       
      2,132,910
       

Capital Goods - 0.1%

     

Owens Corning, Inc.

      

6.50%, 12/01/16 (a)

    955    862,034
       

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    149,875

DirecTV Holdings LLC

      

6.375%, 6/15/15 (a)

    100    94,250

Echostar DBS Corp.

      

6.625%, 10/01/14 (a)

    32    29,360

7.125%, 2/01/16 (a)

    88    81,180
       
      455,203
       

Communications - Telecommunications - 0.2%

     

Nextel Communications, Inc.

      

Series E

      

6.875%, 10/31/13 (a)

    365    286,525

Qwest Communications International, Inc.

      

7.50%, 2/15/14 (a)

    60    55,350

Series B

      

7.50%, 2/15/14 (a)

    35    32,287

Sprint Capital Corp.

      

8.375%, 3/15/12 (a)

    626    615,045
       
      989,207
       

Consumer Cyclical - Automotive - 0.0%

     

General Motors Corp.

      

8.25%, 7/15/23 (a)

    130    64,350
       

 

18

     Principal
Amount
(000)		    U.S. $ Value

Consumer Cyclical - Other - 0.1%

      

Centex Corp.

      

5.45%, 8/15/12 (a)

    309    262,650

Harrah’s Operating Co., Inc.

      

5.625%, 6/01/15 (a)

    56    25,480

5.75%, 10/01/17 (a)

    20    8,800

6.50%, 6/01/16 (a)

    69    31,050

MGM Mirage

      

8.375%, 2/01/11 (a)

    95    85,738
       
      413,718
       

Transportation - Airlines - 0.1%

      

United Air Lines, Inc.

      

6.636%, 7/02/22 (a)

    628    483,531
       

Transportation - Services - 0.0%

      

Hertz Corp.

      

8.875%, 1/01/14 (a)

    90    82,575
       
      5,483,528
       

Utility - 0.1%

      

Electric - 0.1%

      

Dynegy Holdings, Inc.

      

8.375%, 5/01/16 (a)

    645    640,162

Edison Mission Energy

      

7.00%, 5/15/17 (a)

    100    94,500

NRG Energy, Inc.

      

7.25%, 2/01/14 (a)

    120    117,000

7.375%, 2/01/16 (a)

    90    87,300
       
      938,962
       

Financial Institutions - 0.0%

      

REITS - 0.0%

      

Icahn Enterprises

      

7.125%, 2/15/13 (a)

    70    62,650
       

Total Corporates - Non-Investment Grades

      

(cost $7,222,602)

       6,485,140
       

GOVERNMENTS - SOVEREIGN BONDS - 0.9%

      

Non Corporate Sectors - 0.9%

      

Republic of Brazil

      

8.25%, 1/20/34 (a)

    655    807,288

Russian Federation

      

7.50%, 3/31/30 (a)(b)(d)

    3,708    4,166,348
       

Total Governments - Sovereign Bonds

      

(cost $4,999,829)

       4,973,636
       

ASSET-BACKED SECURITIES - 0.9%

      

Home Equity Loans - Floating Rate - 0.5%

      

Asset Backed Funding Certificates

      

Series 2003-WF1, Class A2

      

3.608%, 12/25/32 (a)(e)

    169    151,448

 

19

     Principal
Amount
(000)		    U.S. $ Value

GE-WMC Mortgage Securities LLC

      

Series 2005-2, Class A2B

      

2.631%, 12/25/35 (a)(e)

    168    159,748

HFC Home Equity Loan Asset Backed

      

Certificates

      

Series 2005-3, Class A1

      

2.718%, 1/20/35 (a)(e)

    191    154,290

Series 2007-2, Class M1

      

2.768%, 7/20/36 (a)(e)

    600    329,131

Household Home Equity Loan Trust

      

Series 2007-1, Class M1

      

2.838%, 3/20/36 (a)(e)

    1,250    749,265

HSI Asset Securitization Corp. Trust

      

Series 2006-OPT2, Class 2A1

      

2.541%, 1/25/36 (a)(e)

    2    2,409

Series 2006-OPT2, Class M2

      

2.851%, 1/25/36 (a)(e)

    205    107,920

Lehman XS Trust

      

Series 2005-5N, Class M2

      

3.111%, 11/25/35 (e)(g)

    1,000    77,506

Series 2006-18N, Class M2

      

2.871%, 12/25/36 (e)(g)

    3,002    224,196

Newcastle Mortgage Securities Trust

      

Series 2007-1, Class 2A1

      

2.591%, 4/25/37 (a)(e)

    481    433,993

RAAC Series

      

Series 2006-SP3, Class A1

      

2.541%, 8/25/36 (a)(e)

    80    75,150

Residential Asset Mortgage Products, Inc.

      

Series 2005-RS3, Class AIA2

      

2.631%, 3/25/35 (a)(e)

    58    49,955
       
      2,515,011
       

Other ABS - Fixed Rate - 0.2%

     

DB Master Finance, LLC

      

Series 2006-1, Class A2

      

5.779%, 6/20/31 (a)(b)

    1,495    1,210,950
       

Home Equity Loans - Fixed Rate - 0.1%

     

Citifinancial Mortgage Securities, Inc.

      

Series 2003-1, Class AFPT

      

3.36%, 1/25/33 (a)

    150    104,811

Countrywide Asset-Backed Certificates

      

Series 2007-S1, Class A3

      

5.81%, 11/25/36 (a)

    588    266,508

Credit-Based Asset Servicing & Securities,

      

Inc.

      

Series 2003-CB1, Class AF

      

3.95%, 1/25/33 (a)(d)

    316    274,017

Series 2005-CB7, Class AF2

      

5.147%, 11/25/35 (a)(d)

    86    82,921

Nationstar NIM Trust

      

Series 2007-A, Class A

      

9.97%, 3/25/37 (a)(b)

    20    1,959

 

20

     Principal
Amount
(000)		    U.S. $ Value

Residential Funding Mortgage Securities II, Inc.

      

Series 2005-HI2, Class A3

      

4.46%, 5/25/35 (a)

    61      60,229
         
        790,445
         

Other ABS - Floating Rate - 0.1%

     

Neapolitan Segregated Portfolio

      

Series 2007-1A, Class I

      

3.463%, 3/30/46 (b)(e)(g)

    500      21,250

Petra CRE CDO Ltd.

      

Series 2007-1A, Class C

      

3.561%, 2/25/47 (a)(b)(e)

    800      425,375
         
        446,625
         

Total Asset-Backed Securities

      

(cost $11,205,050)

         4,963,031
         

QUASI-SOVEREIGNS - 0.8%

     

Quasi-Sovereign Bonds - 0.8%

     

RSHB Capital SA for OJSC Russian Agricultural Bank

      

6.299%, 5/15/17 (a)(b)

    1,565      1,408,642

7.75%, 5/29/18 (a)(b)

    3,025      2,922,453
         

Total Quasi-Sovereigns

      

(cost $4,494,398)

         4,331,095
         

AGENCIES - 0.6%

     

Agency Debentures - 0.6%

     

Federal National Mortgage Association

      

6.25%, 5/15/29 (a)

    2,340      2,647,209

6.625%, 11/15/30 (a)

    880      1,045,565
         

Total Agencies

      

(cost $3,816,200)

         3,692,774
         

SUPRANATIONALS - 0.3%

     

European Investment Bank

      

5.125%, 5/30/17 (a)

      

(cost $1,534,852)

    1,490      1,553,663
         
   Shares   
       

PREFERRED STOCKS - 0.2%

     

Non Corporate Sectors - 0.2%

     

Agencies - Government Sponsored - 0.2%

     

Federal Home Loan Mortgage Corp.

      

Series Z

      

8.375% (a)(c)

    22,200      376,290

Federal National Mortgage Association

      

8.25% (a)

    32,900      552,391
         

Total Preferred Stocks

      

(cost $1,377,500)

         928,681
         

SHORT-TERM INVESTMENTS - 3.7%

     

Investment Companies - 3.7%

     

AllianceBernstein Fixed-Income Shares,

      

Inc. - Government STIF Portfolio (h)

      

(cost $20,840,723)

    20,840,723      20,840,723
         

Total Investments - 99.0%

     

(cost $579,987,236)

         550,854,767

Other assets less liabilities - 1.0%

         5,315,883
         

Net Assets - 100.0%

       $ 556,170,650
         

 

21

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

    $ 38,935    6/03/10    3 Month LIBOR   3.444%   $ 99,325  

Lehman Brothers

      2,000    12/04/11    3 Month LIBOR   4.850%     67,517  

Lehman Brothers

      10,500    2/26/13    3 Month LIBOR   3.746%     (44,834 )

Lehman Brothers

      36,665    11/28/17    3 Month LIBOR   4.723%     436,473  

Lehman Brothers

      3,745    6/03/18    4.708%   3 Month LIBOR     (22,173 )

FINANCIAL FUTURES CONTRACTS

 

Type

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

U.S. T-Note 10 Yr futures

    239    September 2008    $ 27,113,349    $ 27,443,922    $ 330,573

FORWARD CURRENCY EXCHANGE CONTRACTS

 

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

Buy Contracts:

            

British Pound

            

settling 8/11/08

    1,007    $ 1,977,747    $ 1,993,782    $ 16,035  

British Pound

            

settling 8/11/08

    3,868      7,621,150      7,660,713      39,563  

Canadian Dollar

            

settling 8/13/08

    5,984      5,938,899      5,842,798      (96,101 )

Canadian Dollar

            

settling 8/13/08

    11,036      10,791,036      10,775,843      (15,193 )

Euro

            

settling 9/29/08

    8,439      13,189,449      13,120,911      (68,538 )

Norwegian Krone

            

settling 8/12/08

    84,219      16,051,051      16,418,772      367,721  

Swedish Krona

            

settling 9/08/08

    99,137      16,334,959      16,338,207      3,248  

Sale Contracts:

            

British Pound

            

settling 8/11/08

    7,748      15,141,979      15,344,804      (202,825 )

Canadian Dollar

            

settling 8/13/08

    783      769,409      764,329      5,080  

Japanese Yen

            

settling 8/18/08

    999,490      9,554,711      9,273,797      280,914  

Japanese Yen

            

settling 8/18/08

    5,088      48,637      47,213      1,424  

New Zealand Dollar

            

settling 9/09/08

    1,271      949,168      927,024      22,144  

 

22

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

Sale Contracts: (continued)

            

Swiss Franc

            

settling 9/16/08

    12,719    $ 12,375,140    $ 12,148,343    $ 226,797

 

(a) Position, or a portion thereof, has been segregated to collateralize forward currency exchange contracts. The aggregate market value of these securities amounted to $501,374,111.

 

(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 July 31, 2008, the aggregate market value of these securities amounted to $20,734,034 or 3.7% of net assets.

 

(c) Variable rate coupon, rate shown as of July 31, 2008.

 

(d) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at July 31, 2008.

 

(e) Floating Rate Security. Stated interest rate was in effect at July 31, 2008.

 

(f) IO - Interest Only

 

(g) Illiquid security, valued at fair value.

 

(h) Investment in affiliated money market mutual fund.

 

 + Represents 172 shares.

 

 * The position represents an unfunded loan commitment. Investments in unfunded loan commitments obligate the Fund to fund these commitments at the borrower’s discretion. At period end, the market value and unrealized loss of these unfunded loan commitments amounted to $50,840 and ($1,612), respectively. The coupon rate will be determined at the time of funding and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase.

The fund currently owns investments collateralized by subprime mortgage loans. Subprime loans are offered to homeowners who do not have a history of debt or who have had problems meeting their debt obligations. Because repayment is less certain, subprime borrowers pay a higher rate of interest than prime borrowers. As of July 31, 2008, the fund’s total exposure to subprime investments was 3.23%. These investments are valued in accordance with the fund’s Valuation Policies.

 

Glossary:

      

LIBOR

    -    London Interbank Offered Rates

TIPS

    -    Treasury Inflation Protected Security

 

23

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 Bond Fund, Inc.

 

By:  

/s/ Marc O. Mayer

  Marc O. Mayer
  President

Date:

   September 3, 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:   September 3, 2008

 

By:  

/s/ Joseph J. Mantineo

  Joseph J. Mantineo
  Treasurer and Chief Financial Officer

Date:

   September 3, 2008