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, 2009

Date of reporting period: January 31, 2009

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AllianceBernstein Bond Fund-Intermediate Bond Portfolio

Portfolio of Investments

January 31, 2009 (unaudited)

 

     Principal
Amount
(000)		      U.S. $ Value

CORPORATES - INVESTMENT GRADES - 35.4%

        

Industrial - 18.1%

        

Basic - 3.2%

        

ArcelorMittal

        

6.125%, 6/01/18 (a)

    $ 1,470      $ 1,150,143

6.50%, 4/15/14 (a)

      150        123,787

BHP Billiton Finance USA Ltd.

        

7.25%, 3/01/16 (a)

      1,116        1,156,692

The Dow Chemical Co.

        

7.375%, 11/01/29 (a)

      15        11,548

Freeport-McMoRan Copper & Gold, Inc.

        

8.25%, 4/01/15 (a)

      630        536,287

Inco Ltd.

        

7.75%, 5/15/12 (a)

      2,490        2,547,713

International Paper Co.

        

5.30%, 4/01/15 (a)

      235        175,047

7.40%, 6/15/14 (a)

      1,420        1,194,186

7.95%, 6/15/18 (a)

      830        672,076

Lubrizol Corp.

        

4.625%, 10/01/09 (a)

      150        149,899

Packaging Corp. of America

        

5.75%, 8/01/13 (a)

      5,181        4,549,047

PPG Industries, Inc.

        

5.75%, 3/15/13 (a)

      1,125        1,138,863

United States Steel Corp.

        

5.65%, 6/01/13 (a)

      1,575        1,276,289

6.05%, 6/01/17 (a)

      1,625        1,172,764
           
          15,854,341
           

Capital Goods - 1.9%

        

Boeing Capital Corp.

        

6.50%, 2/15/12 (a)

      2,555        2,689,342

Caterpillar Financial Services

        

4.50%, 6/15/09 (a)

      371        372,903

Fisher Scientific International, Inc.

        

6.125%, 7/01/15 (a)

      36        35,460

6.75%, 8/15/14 (a)

      53        51,675

Hutchison Whampoa International Ltd.

        

7.45%, 11/24/33 (a)(b)

      216        195,159

John Deere Capital Corp.

        

4.875%, 3/16/09 (a)

    2,110      2,118,579

Lafarge SA

        

6.15%, 7/15/11 (a)

    784      681,320

Masco Corp.

        

6.125%, 10/03/16 (a)

    1,715      1,101,361

Mohawk Industries, Inc.

        

6.125%, 1/15/16 (a)

    1,555      1,232,574

Tyco International Finance SA

        

6.00%, 11/15/13 (a)

    195      192,107

8.50%, 1/15/19 (a)

    515      546,760

Waste Management, Inc.

        

6.875%, 5/15/09 (a)

    250      252,112
         
        9,469,352
         

Communications - Media - 0.9%

        

British Sky Broadcasting Group PLC

        

6.875%, 2/23/09 (a)

    1,511      1,513,894

BSKYB Finance UK PLC

        

5.625%, 10/15/15 (a)(b)

    270      229,164

Comcast Cable Communications Holdings, Inc.

        

9.455%, 11/15/22 (a)

    174      196,625

Comcast Cable Communications, Inc.

        

6.875%, 6/15/09 (a)

    287      289,833

Comcast Corp.

        

5.50%, 3/15/11 (a)

    313      313,461

News America Holdings, Inc.

        

6.55%, 3/15/33 (a)

    142      126,613

Reed Elsevier Capital, Inc.

        

8.625%, 1/15/19 (a)

    530      531,534

RR Donnelley & Sons Co.

        

4.95%, 4/01/14 (a)

    85      67,036

11.25%, 2/01/19 (a)

    740      725,604

Time Warner Entertainment Co.

        

8.375%, 3/15/23 (a)

    325      327,547

WPP Finance Corp.

        

5.875%, 6/15/14 (a)

    149      130,734
         
        4,452,045
         

Communications - Telecommunications - 3.5%

        

AT&T Corp.

        

8.00%, 11/15/31 (a)

    80      94,923

British Telecommunications PLC

        

8.625%, 12/15/10 (a)

    524      550,170

Embarq Corp.

        

6.738%, 6/01/13 (a)

    1,140      1,083,000

7.082%, 6/01/16 (a)

    2,505      2,229,450

New Cingular Wireless Services, Inc.

        

7.875%, 3/01/11 (a)

    225      241,934

8.125%, 5/01/12 (a)

    4,295      4,680,575

8.75%, 3/01/31 (a)

    126      148,550

Pacific Bell Telephone Co.

        

6.625%, 10/15/34 (a)

    1,450      1,183,136

Qwest Corp.

        

7.50%, 10/01/14 (a)

    1,085      987,350

7.875%, 9/01/11 (a)

    285      282,150

8.875%, 3/15/12 (a)

    1,110      1,104,450

Telecom Italia Capital SA

        

4.00%, 1/15/10 (a)

    575      558,652

6.375%, 11/15/33 (a)

    110      86,651

US Cellular Corp.

        

6.70%, 12/15/33 (a)

    1,560      1,159,910

Verizon Communications, Inc.

        

4.90%, 9/15/15 (a)

    180      171,727

5.25%, 4/15/13 (a)

    815      829,910

Verizon New Jersey, Inc.

        

Series A

        

5.875%, 1/17/12 (a)

    220      221,547

Vodafone Group PLC

        

5.50%, 6/15/11 (a)

    295      299,465

7.75%, 2/15/10 (a)

    1,410      1,457,716
         
        17,371,266
         

Consumer Cyclical - Automotive - 0.0%

        

Daimler Finance North America LLC

        

4.875%, 6/15/10 (a)

    137      134,164
         

Consumer Cyclical - Other - 1.2%

        

Marriott International, Inc.

        

Series J

        

5.625%, 2/15/13 (a)

    1,370      1,174,670

MDC Holdings, Inc.

        

5.50%, 5/15/13 (a)

    1,155      946,902

Starwood Hotels & Resorts Worldwide, Inc.

        

6.25%, 2/15/13 (a)

    1,505      1,219,050

7.375%, 11/15/15 (a)

    1,269      1,015,200

7.875%, 5/01/12 (a)

    1,430      1,244,100

Toll Brothers Finance Corp.

        

5.15%, 5/15/15 (a)

    35      30,261

6.875%, 11/15/12 (a)

    120      100,131
         
        5,730,314
         

Consumer Cyclical - Retailers - 0.7%

        

Lowe’s Cos, Inc.

        

5.00%, 10/15/15 (a)

    2,775      2,815,376

Wal-Mart Stores, Inc.

        

4.25%, 4/15/13 (a)

    640      679,068
         
        3,494,444
         

Consumer Non-Cyclical - 4.1%

        

Abbott Laboratories

        

3.50%, 2/17/09 (a)

    1,560      1,561,123

Baxter FinCo BV

        

4.75%, 10/15/10 (a)

    1,285      1,292,115

Bunge Ltd. Finance Corp.

        

5.10%, 7/15/15 (a)

    130      98,604

5.875%, 5/15/13 (a)

    965      869,894

Cadbury Schweppes US Finance LLC

        

5.125%, 10/01/13 (a)(b)

    310      288,247

ConAgra Foods, Inc.

        

5.819%, 6/15/17 (a)

    2,005      1,919,024

7.875%, 9/15/10 (a)

    120      127,501

Fortune Brands, Inc.

        

4.875%, 12/01/13 (a)

    667      589,468

General Mills, Inc.

        

5.65%, 2/15/19

    220      224,051

Kraft Foods, Inc.

        

6.25%, 6/01/12 (a)

    2,340      2,471,850

The Kroger Co.

        

6.80%, 12/15/18 (a)

    487      507,178

7.25%, 6/01/09 (a)

    1,500      1,514,751

Reynolds American, Inc.

        

7.25%, 6/01/13 (a)

    1,520      1,439,597

7.625%, 6/01/16 (a)

    1,490      1,300,061

Safeway, Inc.

        

6.50%, 3/01/11 (a)

    82      81,969

7.25%, 2/01/31 (a)

    2,010      2,105,360

Wyeth

        

5.50%, 2/01/14 (a)

    3,673      3,830,495
         
        20,221,288
         

Energy - 1.2%

        

Amerada Hess Corp.

        

7.875%, 10/01/29 (a)

    98      90,906

Canadian Natural Resources Ltd.

        

5.15%, 2/01/13 (a)

    435      404,360

ConocoPhillips

        

6.375%, 3/30/09 (a)

    1,510      1,517,065

Gaz Capital SA

        

6.212%, 11/22/16 (a)(b)

    3,215      2,379,100

The Premcor Refining Group, Inc.

        

7.50%, 6/15/15 (a)

    717      677,328

Weatherford International Ltd.

        

5.15%, 3/15/13 (a)

    560      515,772

6.00%, 3/15/18 (a)

    215      171,662
         
        5,756,193
         

Technology - 1.3%

        

Cisco Systems, Inc.

        

5.25%, 2/22/11 (a)

    2,540      2,656,527

Computer Sciences Corp.

        

5.50%, 3/15/13 (a)(b)

    805      767,646

Electronic Data Systems Corp.

        

Series B

        

6.00%, 8/01/13 (a)

    1,847      1,961,616

International Business Machines Corp.

        

Series MTN

        

4.375%, 6/01/09 (a)

    75      75,277

Motorola, Inc.

        

6.50%, 9/01/25 (a)

    855      424,948

7.50%, 5/15/25 (a)

    30      16,840

7.625%, 11/15/10 (a)

    28      26,015

Oracle Corp.

        

5.25%, 1/15/16 (a)

    280      286,580

Xerox Corp.

        

7.625%, 6/15/13 (a)

    60      56,528
         
        6,271,977
         

Transportation - Railroads - 0.1%

        

Canadian Pacific Railway Co.

        

6.50%, 5/15/18 (a)

    320      283,290
         

Transportation - Services - 0.0%

        

FedEx Corp.

        

3.50%, 4/01/09 (a)

    225      224,838
         
        89,263,512
         

Financial Institutions - 14.2%

        

Banking - 8.5%

        

ANZ National International Ltd.

        

6.20%, 7/19/13 (a)(b)

    635      627,659

Bank of America Corp.

        

3.375%, 2/17/09 (a)

    630      629,800

5.375%, 9/11/12 (a)

    1,890      1,833,886

Bank of Tokyo-Mitsubishi UFJ L

        

7.40%, 6/15/11 (a)

    100      103,414

BankAmerica Capital II

        

Series 2

        

8.00%, 12/15/26 (a)

    415      316,771

Barclays Bank PLC

        

8.55%, 6/15/11 (a)(b)(c)

    339      152,564

The Bear Stearns Co., Inc.

        

5.55%, 1/22/17 (a)

    315      287,139

5.70%, 11/15/14 (a)

    1,655      1,627,914

7.625%, 12/07/09 (a)

    838      856,377

Capital One Bank

        

5.00%, 6/15/09 (a)

    1,555      1,539,055

Capital One Financial Corp.

        

4.80%, 2/21/12 (a)

    1,300      1,203,900

5.50%, 6/01/15 (a)

    37      32,042

6.75%, 9/15/17 (a)

    345      314,784

Citigroup, Inc.

        

3.625%, 2/09/09 (a)

    1,580      1,579,592

5.50%, 4/11/13 (a)

    1,015      928,496

6.50%, 8/19/13 (a)

    1,015      969,842

Compass Bank

        

5.50%, 4/01/20 (a)

    1,774      1,486,254

Countrywide Financial Corp.

        

6.25%, 5/15/16 (a)

    62      57,174

Series MTN

        

5.80%, 6/07/12 (a)

    44      43,252

Countrywide Home Loans, Inc.

        

Series MTNL

        

4.00%, 3/22/11 (a)

    4      3,898

Credit Suisse First Boston USA, Inc.

        

5.50%, 8/15/13

    464      459,739

The Goldman Sachs Group, Inc.

        

4.75%, 7/15/13

    1,315      1,219,545

6.65%, 5/15/09 (a)

    875      878,045

7.35%, 10/01/09 (a)

    63      63,090

7.50%, 2/15/19 (a)

    1,145      1,130,115

Huntington National Bank

        

Series BKNT

        

4.375%, 1/15/10 (a)

    183      175,555

JP Morgan Chase & Co.

        

3.50%, 3/15/09 (a)

    1,580      1,581,264

JP Morgan Chase Capital XXV

        

Series Y

        

6.80%, 10/01/37 (a)

    430      339,458

Marshall & Ilsley Bank

        

4.85%, 6/16/15 (a)

    1,545      1,167,102

Series BKNT

        

5.00%, 1/17/17 (a)

    1,695      1,166,162

Mellon Funding Corp.

        

3.25%, 4/01/09 (a)

    861      860,031

Merrill Lynch & Co., Inc.

        

6.00%, 2/17/09 (a)

    1,416      1,416,187

6.05%, 5/16/16 (a)

    586      493,582

Morgan Stanley

        

6.60%, 4/01/12 (a)

    855      821,192

Series MTN

        

5.625%, 1/09/12 (a)

    1,310      1,230,053

6.625%, 4/01/18 (a)

    1,345      1,230,827

MUFG Capital Finance 1 Ltd.

        

6.346%, 7/25/16 (a)(c)

    115      81,183

National City Bank of Cleveland Ohio

        

Series BKNT

        

6.25%, 3/15/11 (a)

    1,515      1,480,611

Regions Financial Corp.

        

6.375%, 5/15/12 (a)

    1,510      1,397,585

Resona Preferred Global Securities

        

7.191%, 7/30/15 (a)(b)(c)

    176      83,866

Royal Bank of Scotland Group PLC

        

6.40%, 4/01/09 (a)

    908      899,084

SouthTrust Corp.

        

5.80%, 6/15/14 (a)

    1,470      1,298,060

Sumitomo Mitsui Banking Corp.

        

5.625%, 10/15/15 (a)(b)(c)

    107      79,473

UBS Preferred Funding Trust I

        

8.622%, 10/01/10 (a)(c)

    503      237,766

UFJ Finance Aruba AEC

        

6.75%, 7/15/13 (a)

    172      173,270

Union Bank of California

        

Series BKNT

        

5.95%, 5/11/16 (a)

    1,580      1,337,326

Union Planters Corp.

        

7.75%, 3/01/11 (a)

    1,002      994,098

US Bancorp

        

5.30%, 4/28/09 (a)

    1,530      1,534,576

Wachovia Corp.

        

Series MTN

        

5.50%, 5/01/13 (a)

    1,445      1,489,308

Wells Fargo & Co.

        

3.125%, 4/01/09 (a)

    1,570      1,572,281

4.20%, 1/15/10 (a)(d)

    457      458,216

Zions Banc Corp.

        

5.50%, 11/16/15 (a)

    170      119,629
         
        42,062,092
         

Finance - 2.6%

        

American General Finance Corp.

        

Series MTNI

        

4.625%, 5/15/09 (a)

    530      484,041

CIT Group, Inc.

        

5.85%, 9/15/16 (a)

    1,520      982,206

7.625%, 11/30/12 (a)

    1,285      1,075,900

Series MTN

        

5.125%, 9/30/14 (a)

    315      204,888

General Electric Capital Corp.

        

4.80%, 5/01/13 (a)

    2,960      2,886,695

HSBC Finance Corp.

        

5.875%, 2/01/09 (a)

    675      675,000

7.00%, 5/15/12 (a)

    845      877,789

International Lease Finance Corp.

        

6.375%, 3/15/09 (a)

    1,525      1,508,965

Series MTN

        

5.65%, 6/01/14 (a)

    175      122,255

SLM Corp.

        

5.45%, 4/25/11 (a)

    1,595      1,389,655

Series MTN

        

5.125%, 8/27/12 (a)

    385      308,077

Series MTNA

        

5.375%, 1/15/13 - 5/15/14 (a)

    3,400      2,616,707
         
        13,132,178
         

Insurance - 1.7%

        

Allied World Assurance Co. Holdings Ltd.

        

7.50%, 8/01/16 (a)

    650      475,269

The Allstate Corp.

        

6.125%, 5/15/37 (a)(c)

    1,520      1,007,559

Assurant, Inc.

        

5.625%, 2/15/14 (a)

    92      77,105

Genworth Financial, Inc.

        

4.75%, 6/15/09 (a)

    340      336,701

5.231%, 5/16/09 (a)

    474      469,697

Series MTN

        

6.515%, 5/22/18 (a)

    1,395      540,225

Humana, Inc.

        

6.30%, 8/01/18 (a)

    166      130,275

Liberty Mutual Group, Inc.

        

5.75%, 3/15/14 (a)(b)

    167      138,622

Prudential Financial, Inc.

        

Series MTN

        

5.15%, 1/15/13 (a)

    905      821,161

UnitedHealth Group, Inc.

        

4.125%, 8/15/09 (a)

    573      573,295

4.875%, 3/15/15 (a)

    1,855      1,702,510

5.25%, 3/15/11 (a)

    1,390      1,393,981

XL Capital Ltd.

        

5.25%, 9/15/14 (a)

    824      521,969
         
        8,188,369
         

REITS - 1.4%

        

HCP, Inc.

        

Series MTN

        

5.95%, 9/15/11 (a)

    1,550      1,222,930

Healthcare Realty Trust, Inc.

        

5.125%, 4/01/14 (a)

    845      634,689

8.125%, 5/01/11 (a)

    1,450      1,338,003

Nationwide Health Properties, Inc.

        

6.50%, 7/15/11 (a)

    1,515      1,367,766

Simon Property Group LP

        

5.00%, 3/01/12 (a)

    1,490      1,199,769

5.625%, 8/15/14 (a)

    1,169      942,034
         
        6,705,191
         
        70,087,830
         

Utility - 3.1%

        

Electric - 1.9%

        

Carolina Power & Light Co.

        

6.50%, 7/15/12 (a)

    345      362,168

Exelon Corp.

        

6.75%, 5/01/11 (a)

    280      277,936

FirstEnergy Corp.

        

Series B

        

6.45%, 11/15/11 (a)

    2,835      2,827,252

Series C

        

7.375%, 11/15/31 (a)

    279      260,034

MidAmerican Energy Holdings Co.

        

5.875%, 10/01/12 (a)

    162      167,154

Nisource Finance Corp.

        

6.80%, 1/15/19 (a)

    1,465      1,047,979

7.875%, 11/15/10 (a)

    154      146,363

Pacific Gas & Electric Co.

        

3.60%, 3/01/09 (a)

    1,565      1,563,269

Progress Energy, Inc.

        

7.10%, 3/01/11 (a)

    2,324      2,395,661

Public Service Company of Colorado

        

Series 10

        

7.875%, 10/01/12 (a)

    176      197,949

SPI Electricity & Gas Australia Holdings Pty Ltd.

        

6.15%, 11/15/13 (a)(b)

    283      282,251

Wisconsin Energy Corp.

        

6.25%, 5/15/67 (a)(c)

    140      78,400
         
        9,606,416
         

Natural Gas - 1.0%

        

Duke Energy Field Services Corp.

        

7.875%, 8/16/10 (a)

    94      95,986

Energy Transfer Partners LP

        

6.70%, 7/01/18 (a)

    1,205      1,077,775

7.50%, 7/01/38 (a)

    1,365      1,154,417

Enterprise Products Operating LLC

        

Series B

        

5.60%, 10/15/14 (a)

    157      146,287

Sempra Energy

        

4.75%, 5/15/09 (a)

    1,545      1,536,175

TransCanada Pipelines Ltd.

        

6.35%, 5/15/67 (a)(c)

    1,670      950,365

Williams Cos., Inc.

        

7.875%, 9/01/21 (a)

    95      90,250
         
        5,051,255
         

Other Utility - 0.2%

        

Veolia Environnement

        

6.00%, 6/01/18 (a)

    935      875,281
         
        15,532,952
         

Total Corporates - Investment Grades
(cost $191,915,634)

         174,884,294
         

MORTGAGE PASS-THRU’S - 28.0%

        

Agency Fixed Rate 30-Year - 25.2%

        

Federal Gold Loan Mortgage Corp.

        

Series 2005

        

4.50%, 8/01/35 - 11/01/35 (a)

    2,478      2,493,295

5.50%, 1/01/35 (a)

    2,831      2,903,733

Series 2007

        

4.50%, 1/01/37 (a)

    14,374      14,457,948

5.50%, 7/01/35 (a)

    399      409,620

7.00%, 2/01/37 (a)

    5,031      5,292,349

Series 2008

        

5.50%, 4/01/38 (a)

    2,267      2,321,564

Federal National Mortgage Association

        

Series 2003

        

5.00%, 11/01/33 (a)

    403      410,953

5.50%, 4/01/33 - 7/01/33 (a)

    3,773      3,876,579

Series 2004

        

5.50%, 4/01/34 - 11/01/34 (a)

    1,873      1,922,828

6.00%, 9/01/34 (a)

    713      736,786

Series 2005

        

4.50%, 8/01/35 (a)

    1,234      1,244,095

5.50%, 2/01/35 (a)

    1,369      1,406,632

Series 2006

        

5.00%, 2/01/36 (a)

    1,178      1,199,851

5.50%, 4/01/36 (a)

    12,470      12,785,659

6.00%, 2/01/36 (a)

    4,534      4,688,333

6.00%, 11/01/36

    9,543      9,847,381

Series 2007

        

4.50%, 9/01/35 (a)

    898      906,238

5.00%, 11/01/35 - 7/01/36 (a)

    13,600      13,851,959

5.50%, 11/01/36 - 8/01/37 (a)

    18,875      19,376,950

6.50%, 8/01/37 - 12/01/37 (a)

    15,373      16,033,305

Government National Mortgage Association

        

Series 1990

        

9.00%, 12/15/19 (a)

    0      177

Series 1999

        

8.15%, 9/15/20 (a)

    256      271,054

Series 2000

        

9.00%, 12/15/09 (a)

    7      7,107

Series 2003

        

5.50%, 7/15/33 (a)

    7,932      8,152,999
         
        124,597,395
         

Agency ARMS - 2.1%

        

Federal Home Loan Mortgage Corp.

        

Series 2006

        

5.937%, 1/01/37 (a)(d)

    417      428,069

Series 2007

        

5.875%, 3/01/37 (a)(d)

    4,712      4,844,591

5.89%, 1/01/37 (a)(d)

    4,970      5,092,071
         
        10,364,731
         

Agency Fixed Rate 15-Year - 0.7%

        

Government National Mortgage Association

        

Series 1997

        

8.00%, 3/15/12 (a)

    852      869,375

Series 2001

        

7.50%, 12/15/14 (a)

    2,671      2,808,398
         
        3,677,773
         

Total Mortgage Pass-Thru’s
(cost $133,735,883)

         138,639,899
         

COMMERCIAL MORTGAGE-BACKED SECURITIES - 12.6%

        

Non-Agency Fixed Rate CMBS - 12.6%

        

Banc of America Commercial Mortgage, Inc.

        

Series 2001-PB1, Class A2

        

5.787%, 5/11/35 (a)

    286      279,638

Series 2004-4, Class A3

        

4.128%, 7/10/42 (a)

    365      361,044

Series 2004-6, Class A2

        

4.161%, 12/10/42 (a)

    465      454,930

Series 2006-5, Class A4

        

5.414%, 9/10/47 (a)

    3,160      2,300,720

Bear Stearns Commercial Mortgage Securities, Inc.

        

Series 2002-TOP6, Class A2

        

6.46%, 10/15/36 (a)

    2,918      2,869,074

Series 2005-T18, Class A4

        

4.933%, 2/13/42 (a)

    610      507,505

Series 2006-PW11, Class A2

        

5.408%, 3/11/39 (a)

    2,965      2,630,412

Series 2006-PW12, Class A4

        

5.718%, 9/11/38 (a)

    290      239,149

Series 2006-T24, Class A4

        

5.537%, 10/12/41 (a)

    2,475      1,858,233

Series 2007-PW18, Class A4

        

5.70%, 6/11/50 (a)

    3,025      2,223,019

Citigroup Commercial Mortgage Trust

        

Series 2004-C1, Class A4

        

5.359%, 4/15/40 (a)

    560      503,528

Series 2008-C7, Class A4

        

6.096%, 12/10/49 (a)

    2,890      2,023,187

Commercial Mortgage Pass Through Certificates

        

Series 2006-C8, Class A4

        

5.306%, 12/10/46 (a)

    2,130      1,486,646

Credit Suisse First Boston Mortgage Securities Corp.

        

Series 2003-CK2, Class A2

        

3.861%, 3/15/36 (a)

    27      26,172

Series 2004-C1, Class A4

        

4.75%, 1/15/37 (a)

    180      160,554

Series 2005-C1, Class A4

        

5.014%, 2/15/38 (a)

    534      450,002

Credit Suisse Mortgage Capital Certificates

        

Series 2006-C3, Class A3

        

5.826%, 6/15/38 (a)

    2,850      2,126,593

Series 2006-C5, Class A3

        

5.311%, 12/15/39 (a)

    1,600      1,048,001

CS First Boston Mortgage Securities Corp.

        

Series 2005-C5, Class A3

        

5.10%, 8/15/38 (a)

    2,870      2,421,032

GE Capital Commercial Mortgage Corp.

        

Series 2005-C3, Class A3FX

        

4.863%, 7/10/45 (a)

    585      553,426

Greenwich Capital Commercial Funding Corp.

        

Series 2003-C1, Class A4

        

4.111%, 7/05/35 (a)

    388      347,370

Series 2005-GG3, Class A2

        

4.305%, 8/10/42 (a)

    640      617,883

Series 2007-GG11, Class A4

        

5.736%, 12/10/49 (a)

    420      286,590

Series 2007-GG9, Class A4

        

5.444%, 3/10/39 (a)

    2,980      2,033,304

GS Mortgage Securities Corp. II

        

Series 2004-GG2, Class A6

        

5.396%, 8/10/38 (a)

    375      337,973

JP Morgan Chase Commercial Mortgage Securities Corp.

        

Series 2005-LDP1, Class A4

        

5.038%, 3/15/46 (a)

    649      531,956

Series 2005-LDP3, Class A2

        

4.851%, 8/15/42 (a)

    515      483,747

Series 2005-LDP4, Class A2

        

4.79%, 10/15/42 (a)

    334      314,084

Series 2006-CB14, Class A4

        

5.481%, 12/12/44 (a)

    1,455      1,015,820

Series 2006-CB15, Class A4

        

5.814%, 6/12/43 (a)

    2,335      1,615,579

Series 2006-CB16, Class A4

        

5.552%, 5/12/45 (a)

    1,810      1,286,749

Series 2006-CB17, Class A4

        

5.429%, 12/12/43 (a)

    4,655      3,130,487

Series 2007-C1, Class A4

        

5.716%, 2/15/51 (a)

    2,965      1,545,276

LB-UBS Commercial Mortgage Trust

        

Series 2003-C3, Class A4

        

4.166%, 5/15/32 (a)

    555      494,210

Series 2004-C4, Class A4

        

5.225%, 6/15/29 (a)

    195      170,640

Series 2004-C8, Class A2

        

4.201%, 12/15/29 (a)

    379      372,609

Series 2005-C1, Class A4

        

4.742%, 2/15/30 (a)

    426      360,550

Series 2005-C7, Class A4

        

5.197%, 11/15/30 (a)

    435      378,204

Series 2006-C6, Class A4

        

5.372%, 9/15/39 (a)

    3,360      2,353,864

Series 2006-C7, Class A3

        

5.347%, 11/15/38 (a)

    2,970      2,065,260

Merrill Lynch Mortgage Trust

        

Series 2005-CKI1, Class A6

        

5.242%, 11/12/37 (a)

    360      301,393

Series 2005-MKB2, Class A2

        

4.806%, 9/12/42 (a)

    785      759,489

Merrill Lynch/Countrywide Commercial Mortgage Trust

        

Series 2006-2, Class A4

        

5.909%, 6/12/46 (a)

    220      162,776

Series 2007-9, Class A4

        

5.70%, 9/12/49 (a)

    2,940      1,840,123

Morgan Stanley Capital I

        

Series 2005-HQ5, Class A4

        

5.168%, 1/14/42 (a)

    944      804,465

Series 2005-HQ6, Class A4A

        

4.989%, 8/13/42 (a)

    3,225      2,674,272

Series 2005-T17, Class A5

        

4.78%, 12/13/41 (a)

    405      339,070

Series 2007-HQ13, Class A3

        

5.569%, 12/15/44 (a)

    2,910      1,926,276

Series 2007-IQ15, Class A4

        

5.881%, 6/11/49 (a)

    1,640      1,088,722

Prudential Securities Secured Financing Corp.

        

Series 1999-NRF1, Class AEC

        

0.949%, 11/01/31 (a)(b)(e)

    71,996      888,944

Wachovia Bank Commercial Mortgage Trust

        

Series 2006-C27, Class A3

        

5.765%, 7/15/45 (a)

    2,885      2,127,466

Series 2007-C31, Class A4

        

5.509%, 4/15/47 (a)

    2,925      1,504,728

Series 2007-C32, Class A2

        

5.736%, 6/15/49 (a)

    2,835      2,048,841

Series 2007-C32, Class A3

        

5.741%, 6/15/49 (a)

    2,435      1,298,179
         

Total Commercial Mortgage-Backed Securities (cost $82,945,525)

         62,029,764
         

BANK LOANS - 3.9%

        

Industrial - 3.4%

        

Basic - 0.4%

        

Celanese US Holdings LLC

        

2.94%, 4/02/14 (d)

    744      605,026

Georgia-Pacific Corp.

        

2.41%-4.19%, 12/20/12 (d)

    442      380,394

Hexion Specialty

        

3.69%, 5/05/13 (d)

    455      191,856

3.75%, 5/05/13 (d)

    99      41,677

Newpage Corp.

        

5.31%, 12/22/14 (d)

    371      208,271

Univar Corp. Opco

        

4.46%, 10/10/14 (d)

    495      267,300
         
        1,694,524
         

Capital Goods - 0.1%

        

Sequa Corp.

        

3.64%-3.69%, 12/03/14 (d)

    278      175,655

URS Corp.

        

3.69%, 5/15/13

    387      359,886
         
        535,541
         

Communications - Media - 0.5%

        

Cengage Learning Acquisitions, Inc. (Thomson Learning)

        

2.91%, 7/03/14 (d)

    988      746,955

CSC Holdings, Inc. (Cablevision)

        

2.08%, 3/29/13 (d)

    744      667,973

Idearc Inc (Verizon)

        

2.41%-3.46%, 11/17/14 (d)

    987      335,491

Univision Communications, Inc.

        

2.66%, 9/29/14 (d)

    500      263,750

Wide Open West Finance LLC

        

2.91%-4.70%, 6/30/14 (d)

    500      277,500
         
        2,291,669
         

Communications - Telecommunications - 0.4%

        

Cequel Communications LLC (Cebridge)

        

2.43%-4.25%, 11/05/13 (d)

    494      395,592

Level 3 Financing, Inc.

        

2.62%-3.51%, 3/13/14 (d)

    750      545,002

Nielsen Finance LLC

        

2.41%-4.39%, 8/09/13 (d)

    494      395,570

Telesat Canada

        

3.91%-5.20%, 10/31/14 (d)

    684      548,692

4.46%, 10/31/14 (d)

    59      47,126
         
        1,931,982
         

Consumer Cyclical - Automotive - 0.1%

        

Chrysler Financial Services Americas LLC

        

6.00%, 8/03/12 (d)

    289      173,766

Ford Motor Co.

        

5.00%, 12/15/13 (d)

    744      266,506
         
        440,272
         

Consumer Cyclical - Other - 0.4%

        

Building Material Holdings

        

3.63%-3.88%, 2/22/14 (d)

    494      317,872

Harrah’s Operating Co., Inc.

        

4.16%-4.46%, 1/28/15 (d)

    993      615,012

Las Vegas Sands LLC

        

2.16%, 5/23/14 (d)

    80      38,722

2.16%, 5/23/14 (d)

    316      153,713

Metro-Goldwyn Mayer

        

3.66%-4.71%, 4/09/12 (d)

    744      331,196

VML US Finance LLC

        

2.66%, 5/27/13 (d)

    500      288,750
         
        1,745,265
         

Consumer Cyclical - Retailers - 0.2%

        

Hanesbrands, Inc.

        

2.91%-4.00%, 9/05/13 (d)

      348      316,712

Neiman Marcus Group, Inc.

        

4.19%, 4/06/13 (d)

      600      412,998

Rite Aid Corp.

        

2.10%-2.18%, 6/04/14 (d)

      496      303,953
         
        1,033,663
         

Consumer Non-Cyclical - 0.8%

        

Aramark Corp.

        

2.03%-2.04%, 1/26/14 (d)

    GBP 30      25,873

3.33%, 1/26/14 (d)

      467      407,258

Carestream Health, Inc.

        

2.41%-3.17%, 4/30/13 (d)

    $ 711      549,613

CHS/Community Health Systems, Inc.

        

2.72%-3.40%, 7/25/14 (d)

      35      29,348

4.44%-4.45%, 7/25/14 (d)

      680      573,656

HCA, Inc.

        

3.71%, 11/18/13 (d)

      987      815,952

Health Management Associates

        

3.21%, 2/28/14 (d)

      707      502,733

Mylan Laboratories, Inc.

        

3.69%-4.75%, 10/02/14 (d)

      343      312,082

Supervalu, Inc.

        

1.66%, 6/02/12 (d)

      680      602,463
         
        3,818,978
         

Energy - 0.1%

        

Infrastrux Group, Inc.

        

4.16%, 11/03/12 (d)(f)

      489      415,246
         

Services - 0.2%

        

First Data Corp.

        

3.14%-3.16%, 9/24/14 (d)

      988      622,125

Travelport LLC

        

3.71%, 8/23/13

      741      398,999
         
        1,021,124
         

Technology - 0.3%

        

Asurion Corp.

        

3.39%-5.71%, 7/03/14 (d)

      500      358,750

Dealer Computer Services, Inc.

        

2.41%, 10/26/12 (d)

      718      380,732

Freescale Semiconductor, Inc.

        

3.93%, 11/29/13 (d)

      620      318,796

Sungard Data Systems, Inc.

        

2.14%-4.14%, 2/28/14 (d)

      741      573,663
         
        1,631,941
         

Transportation - Airlines - 0.0%

        

Delta Airlines

        

3.69%, 4/30/14 (d)

      335      163,144
         
        16,723,349
         

Utility - 0.4%

        

Electric - 0.4%

        

FirstLight Power Resources, Inc.

        

1.35%, 11/01/13 (d)

      164      133,444

4.13%, 11/01/13 (d)

      1,271      1,035,682

5.97%, 5/01/14 (d)

      852      408,835

Texas Competitive Electric Holdings Company LLC

        

3.91%, 10/10/14 (d)

      988      684,150
         
        2,262,111
         

Financial Institutions - 0.1%

        

Brokerage - 0.1%

        

Ameritrade Holdings Corp.

        

1.83%, 12/31/12 (d)

      400      372,000
         

Total Bank Loans
(cost $27,127,347)

         19,357,460
         

GOVERNMENTS - TREASURIES - 3.0%

        

Treasuries - 3.0%

        

United Kingdom - 1.8%

        

United Kingdom Gilt

        

4.50%, 3/07/13 (d)

    GBP 1,500      2,344,660

5.00%, 3/07/12 (a)

      4,210      6,605,817
         
        8,950,477
         

United States - 1.2%

        

U.S. Treasury Bonds

        

4.50%, 2/15/36 (a)

    $ 2,089      2,368,177

U.S. Treasury Notes

        

2.625%, 5/31/10 (a)

      3,260      3,346,850
         
        5,715,027
         

Total Governments - Treasuries
(cost $14,324,849)

         14,665,504
         

INFLATION-LINKED SECURITIES - 2.1%

        

United States - 2.1%

        

U.S. Treasury Notes

        

3.00%, 7/15/12 (TIPS) (a)
(cost $11,064,289)

      10,143      10,507,258
         

AGENCIES - 2.1%

        

Agency Debentures - 2.1%

        

Federal National Mortgage Association

        

6.25%, 5/15/29 (a)
(cost $11,141,765)

      8,610      10,479,222
         

CMOS - 1.9%

        

Non-Agency ARMS - 1.0%

        

Bear Stearns Alt-A Trust

        

Series 2007-1, Class 21A1

        

5.696%, 1/25/47 (a)(c)

      2,340      1,179,899

Citigroup Mortgage Loan Trust, Inc.

        

Series 2005-2, Class 1A4

        

5.115%, 5/25/35 (a)(c)

    2,929      1,978,971

Series 2006-AR1, Class 3A1

        

5.50%, 3/25/36 (a)(d)

    628      386,166

Deutsche Mortgage Securities, Inc.

        

Series 2005-WF1, Class 1A1

        

5.10%, 6/26/35 (a)(b)

    791      727,725

Indymac Index Mortgage Loan Trust

        

Series 2006-AR7, Class 4A1

        

6.066%, 5/25/36 (a)(c)

    1,791      833,773
         
        5,106,534
         

Non-Agency Floating Rate - 0.6%

        

Countrywide Alternative Loan Trust

        

Series 2005-62, Class 2A1

        

3.053%, 12/25/35 (a)(d)

    180      82,987

Series 2006-OA14, Class 3A1

        

2.903%, 11/25/46 (a)(d)

    2,593      907,160

Series 2007-OA3, Class M1

        

0.699%, 4/25/47 (a)(d)

    180      6,560

Greenpoint Mortgage Funding Trust

        

Series 2005-AR5, Class M2

        

1.039%, 11/25/45 (a)(d)

    996      31,028

JP Morgan Alternative Loan Trust

        

Series 2006-A3, Class 2A1

        

6.066%, 7/25/36 (a)(c)

    1,965      993,250

Structured Asset Securities Corp.

        

Series 2003-6A, Class B3

        

5.282%, 3/25/33 (a)(c)

    1,081      217,495

WaMu Mortgage Pass Through Certificates

        

Series 2007-OA1, Class A1A

        

2.753%, 2/25/47 (a)(d)

    2,205      760,506
         
        2,998,986
         

Agency Floating Rate - 0.2%

        

Fannie Mae Grantor Trust

        

Series 2004-T5, Class AB4

        

0.766%, 5/28/35 (a)(d)

    65      56,236

Government National Mortgage Association

        

Series 2006-39, Class IO

        

0.962%, 7/16/46 (a)(c)(e)

    22,744      650,487
         
        706,723
         

Non-Agency Fixed Rate - 0.1%

        

Structured Asset Securities Corp.

        

Series 2002-3, Class B3

        

6.50%, 3/25/32 (a)

    2,738      694,768
         

Total CMOs
(cost $21,546,783)

         9,507,011
         

GOVERNMENTS - SOVEREIGN BONDS - 1.9%

        

Brazil - 0.7%

        

Republic of Brazil

        

8.25%, 1/20/34 (a)

    3,050      3,423,625
         

Peru - 0.5%

        

Republic of Peru

        

8.375%, 5/03/16 (a)

    730      804,825

9.875%, 2/06/15 (a)

    1,575      1,846,688
         
        2,651,513
         

Russia - 0.7%

        

Russian Federation

        

7.50%, 3/31/30 (a)(b)

    3,689      3,411,660
         

Total Governments - Sovereign Bonds
(cost $9,867,330)

         9,486,798
         

CORPORATES - NON-INVESTMENT GRADES - 1.1%

        

Industrial - 0.8%

        

Basic - 0.3%

        

Ineos Group Holdings PLC

        

8.50%, 2/15/16 (a)(b)

    110      5,500

Steel Capital SA for OAO Severstal

        

9.75%, 7/29/13 (a)(b)

    545      327,000

Stora Enso Oyj

        

7.375%, 5/15/11 (a)

    1,475      1,247,148

Westvaco Corp.

        

8.20%, 1/15/30 (a)

    85      63,053
         
        1,642,701
         

Capital Goods - 0.1%

        

Owens Corning, Inc.

        

6.50%, 12/01/16 (a)(d)

    955      691,657
         

Communications - Media - 0.0%

        

Cablevision Systems Corp.

        

Series B

        

8.00%, 4/15/12 (a)

    105      101,325

Clear Channel Communications, Inc.

        

5.50%, 9/15/14 (a)

    275      37,125

DirecTV Holdings LLC

        

6.375%, 6/15/15 (a)

    100      94,000
         
        232,450
         

Communications - Telecommunications - 0.2%

        

Nextel Communications, Inc.

        

Series E

        

6.875%, 10/31/13 (a)

    365      177,025

Qwest Communications International, Inc.

        

7.50%, 2/15/14 (a)

    60      51,300

Series B

        

7.50%, 2/15/14 (a)

    35      29,925

Sprint Capital Corp.

        

8.375%, 3/15/12 (a)

    626      500,800
         
        759,050
         

Consumer Cyclical - Automotive - 0.0%

        

General Motors Corp.

        

8.25%, 7/15/23 (a)

    130      17,550
         

Consumer Cyclical - Other - 0.1%

        

Centex Corp.

        

5.45%, 8/15/12 (a)

    309      251,835

Harrah’s Operating Co., Inc.

        

5.625%, 6/01/15 (a)

    56      8,400

5.75%, 10/01/17 (a)

    20      3,050

6.50%, 6/01/16 (a)

    69      10,350
         
        273,635
         

Consumer Cyclical - Retailers - 0.0%

        

Limited Brands, Inc.

        

6.90%, 7/15/17 (a)

    203      138,686
         

Transportation - Airlines - 0.1%

        

UAL Pass Through Trust Series 2007-1

        

Series 071A

        

6.636%, 7/02/22 (a)

    614      436,281
         
        4,192,010
         

Utility - 0.2%

        

Electric - 0.2%

        

Dynegy Holdings, Inc.

        

8.375%, 5/01/16 (a)

    645      525,675

Edison Mission Energy

        

7.00%, 5/15/17 (a)

    100      93,000

NRG Energy, Inc.

        

7.25%, 2/01/14 (a)

    120      114,600

7.375%, 2/01/16 (a)

    90      85,725
         
        819,000
         

Financial Institutions - 0.1%

        

Banking - 0.0%

        

RBS Capital Trust III

        

5.512%, 9/30/14 (a)(c)

    358      78,067
         

Brokerage - 0.1%

        

Lehman Brothers Holdings, Inc.

        

7.875%, 11/01/09 (a)(g)

    1,476      206,640

Series MTN

        

5.00%, 1/14/11 (a)(g)

    520      72,800

6.20%, 9/26/14 (a)(g)

    615      86,100

Series MTNG

        

4.80%, 3/13/14 (a)(g)

    79      11,060
         
        376,600
         

Insurance - 0.0%

        

Liberty Mutual Group, Inc.

        

7.80%, 3/15/37 (a)(b)

    165      81,531
         

REITS - 0.0%

        

AMR REAL ESTATE PTR/FIN

        

7.125%, 2/15/13 (a)

    70      57,050
         
        593,248
         

Total Corporates - Non-Investment Grades
(cost $10,322,871)

         5,604,258
         

GOVERNMENTS - SOVEREIGN AGENCIES - 1.1%

        

United Kingdom - 1.1%

        

Lloyds TSB Bank PLC

        

Series EMTN

        

4.00%, 11/17/11 (a)

    GBP 392      591,313

Series EMTN

        

4.125%, 11/14/11 (a)

      754      1,144,901

Series EMTN

        

4.625%, 11/04/11 (a)

      2,440      3,754,342
         

Total Governments - Sovereign Agencies
(cost $5,616,090)

         5,490,556
         

QUASI-SOVEREIGNS - 0.6%

        

Russia - 0.6%

        

RSHB Capital SA for OJSC Russian Agricultural Bank

        

6.299%, 5/15/17 (a)(b)

    $ 1,565      985,950

7.75%, 5/29/18 (a)(b)

      3,025      2,026,750
         

Total Quasi-Sovereigns
(cost $4,498,486)

         3,012,700
         

ASSET-BACKED SECURITIES - 0.6%

        

Home Equity Loans - Floating Rate - 0.3%

        

Asset Backed Funding Certificates

        

Series 2003-WF1, Class A2

        

1.596%, 12/25/32 (a)(d)

      158      125,302

Credit-Based Asset Servicing & Securitization LLC

        

Series 2003-CB1, Class AF

        

3.95%, 1/25/33 (a)(h)

      316      289,731

GE-WMC Mortgage Securities LLC

        

Series 2005-2, Class A2B

        

0.559%, 12/25/35 (a)(d)

      74      66,448

HFC Home Equity Loan Asset Backed Certificates

        

Series 2005-3, Class A1

        

0.619%, 1/20/35 (a)(d)

      177      116,697

Series 2007-1, Class M1

        

0.739%, 3/20/36 (a)(d)

      1,250      351,175

Series 2007-2, Class M1

        

0.669%, 7/20/36 (a)(d)

      600      153,999

HSI Asset Securitization Corp. Trust

        

Series 2006-OPT2, Class M2

        

0.779%, 1/25/36 (a)(d)

      205      26,137

Lehman XS Trust

        

Series 2005-5N, Class M2

        

1.039%, 11/25/35 (a)(d)

      1,000      34,467

Series 2006-18N, Class M2

        

0.799%, 12/25/36 (a)(d)

      3,002      88,707

Newcastle Mortgage Securities Trust

        

Series 2007-1, Class 2A1

        

0.519%, 4/25/37 (a)(d)

      433      281,747

RAAC Series

        

Series 2006-SP3, Class A1

        

0.469%, 8/25/36 (a)(d)

    52      48,155

Residential Asset Mortgage Products, Inc.

        

Series 2005-RS3, Class AIA2

        

0.559%, 3/25/35 (a)(d)

    34      29,640
         
        1,612,205
         

Other ABS - Fixed Rate - 0.2%

        

DB Master Finance, LLC

        

Series 2006-1, Class A2

        

5.779%, 6/20/31 (a)(b)

    1,495      971,758
         

Home Equity Loans - Fixed Rate - 0.1%

        

Citifinancial Mortgage Securities, Inc.

        

Series 2003-1, Class AFPT

        

3.36%, 1/25/33 (a)

    140      91,652

Countrywide Asset-Backed Certificates

        

Series 2007-S1, Class A3

        

5.81%, 11/25/36 (a)

    562      142,680

Credit-Based Asset Servicing & Securitization LLC

        

Series 2005-CB7, Class AF2

        

5.147%, 11/25/35 (a)

    33      32,987

Nationstar NIM Trust

        

Series 2007-A, Class A

        

9.97%, 3/25/37 (a)(b)(i)

    18      1,276

Residential Funding Mortgage Securities II, Inc.

        

Series 2005-HI2, Class A3

        

4.46%, 5/25/35 (a)

    38      38,099
         
        306,694
         

Other ABS - Floating Rate - 0.0%

        

Petra CRE CDO Ltd.

        

Series 2007-1A, Class C

        

1.489%, 2/25/47 (a)(b)(d)

    800      32,000
         

Total Asset-Backed Securities
(cost $10,371,031)

         2,922,657
         

SUPRANATIONALS - 0.3%

        

European Investment Bank

        

5.125%, 5/30/17 (a)

(cost $1,532,750)

    1,490      1,635,893
         
     Shares       

PREFERRED STOCKS - 0.0%

        

Agencies - Government Sponsored - 0.0%

        

Federal Home Loan Mortgage Corp.

        

Series Z

        

8.375% (a)

    22,200      23,754

Federal National Mortgage Association

        

8.25% (a)(c)

    32,900      36,190
         

Total Preferred Stocks
(cost $1,377,500)

         59,944
         

SHORT-TERM INVESTMENTS - 5.0%

        

Investment Companies - 5.0%

        

AllianceBernstein Fixed-Income Shares, Inc. - Government STIF Portfolio (j)
(cost $24,598,165)

    24,598,165        24,598,165
           

Total Investments - 99.6%
(cost $561,986,163) (k)

           492,881,383

Other assets less liabilities - 0.4%

           1,753,900
           

Net Assets - 100.0%

         $ 494,635,283
           

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)

Citigroup

    $ 9,000    9/17/13    3 Month LIBOR    3.550 %   $ 533,163

FINANCIAL FUTURES CONTRACTS

 

Type

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

Purchased Contracts

               

U.S. T-Note 10 Yr futures

    185    March 2009    $ 21,899,912    $ 22,694,297    $ 794,385

U.S. T-Note 5 Yr futures

    107    March 2009      12,525,599      12,644,391      118,792
                  
               $ 913,177
                  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

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

Buy Contracts:

            

Japanese Yen

            

settling 2/04/09

    485,408    $ 5,180,723    $ 5,403,423    $ 222,700  

Japanese Yen

            

settling 2/04/09

    1,483      16,004      16,513      509  

Sale Contracts:

            

British Pound

            

settling 2/26/09

    8      12,055      11,383      672  

British Pound

            

settling 2/26/09

    9,868      15,060,186      14,295,177      765,009  

British Pound

            

settling 2/26/09

    2      3,700      3,620      80  

British Pound

            

settling 2/26/09

    279      405,767      404,484      1,283  

Japanese Yen

            

settling 2/04/09

    486,891      5,239,333      5,419,936      (180,603 )

 

(a) Position, or a portion thereof, has been segregated to collateralize forward currency exchange contracts. The aggregate market value of these securities amounted to $434,830,390.

 

(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, 2009, the aggregate market value of these securities amounted to $14,683,845 or 3.0% of net assets.

 

(c) Variable rate coupon, rate shown as of January 31, 2009.

 

(d) Floating Rate Security. Stated interest rate was in effect at January 31, 2009.

 

(e) IO - Interest Only

 

(f) Pay-In-Kind Payments (PIK).

 

(g) Security is in default and is non-income producing.

 

(h) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at January 31, 2009.

 

(i) Illiquid security, valued at fair value.

 

(j) Investment in affiliated money market mutual fund.

 

(k) As of January 31, 2009, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $6,785,621 and gross unrealized depreciation of investments was $(75,890,401), resulting in net unrealized depreciation of $(69,104,780).

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 January 31, 2009, the fund’s total exposure to subprime investments was 1.44%. These investments are valued in accordance with the fund’s Valuation Policies.

An amount equivalent to U.S. $588,900 has been segregated to collateralize margin requirements for the open future contract at January 31, 2009.

Currency Abbreviations:

 

GBP -    Great British Pound

Glossary:

 

ABS -    Asset-Backed Securities
ARMs -    Adjustable Rate Mortgages
CMBS -    Commercial Mortgage-Backed Securities
CMOs -    Collateralized Mortgage Obligations
LIBOR -    London Interbank Offered Rates
OJSC -    Open Joint Stock Company
REITs -    Real Estate Investment Trusts
TIPS -    Treasury Inflation Protected Security

FINANCIAL ACCOUNTING STANDARDS No. 157

The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”), effective November 1, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. FAS 157 also establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

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

 

Level

    Investments in
Securities		    Other
Financial

Instruments*

Level 1

    $ 24,598,165    $ 913,177

Level 2

      430,599,182      809,650

Level 3

      37,684,036      533,163
             

Total

    $     492,881,383    $ 2,255,990
             

 

* Other financial instruments are derivative instruments not reflected in the Portfolio of Investments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation / depreciation on the instrument.

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     Investments
In Securities 		    Other
Financial
Instruments		  

Balance as of 11/1/2008

    $ 44,847,929     $ (514,518 )

Accrued discounts /premiums

      83,248       —  

Realized gain (loss)

      (2,982,741 )     2,461,668 *

Change in unrealized

     

appreciation/depreciation

      (1,166,002 )     1,047,681  

Net purchases (sales)

      (3,451,648 )     (2,461,668 )

Net transfers in and/or out of Level 3

      353,250       – 0  –
                

Balance as of 1/31/09

    $ 37,684,036     $ 533,163  
                

Net change in unrealized appreciation/depreciation from Investments still held as of 01/31/2009

    $ (3,467,982 )   $ 635,896  
                

 

* The realized gain (loss) recognized during the period ended 01/31/2009 for other financial instruments was $2,461,668.

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/    Robert M. Keith
  Robert M. Keith
  President
Date:   March 27, 2009

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

 

By:   /s/    Robert M. Keith
  Robert M. Keith
  President
Date:   March 27, 2009
By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   March 27, 2009