N-Q 1 d652654dnq.htm ALLIANCEBERNSTEIN BOND FUND - LIMITED DURATION HIGH INCOME PORTFOLIO AllianceBernstein Bond Fund - Limited Duration High Income Portfolio

 

 

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: September 30, 2014

Date of reporting period: December 31, 2013

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

AllianceBernstein Limited Duration High Income Portfolio

Portfolio of Investments

December 31, 2013 (unaudited)

 

     Principal
Amount
(000)		        U.S. $ Value  

CORPORATES - NON-INVESTMENT GRADES - 67.8%

        

Industrial - 58.8%

        

Basic - 6.8%

        

Ainsworth Lumber Co., Ltd.

        

7.50%, 12/15/17 (a)

    U.S.$ 951         $ 1,022,325   

AK Steel Corp.

        

8.75%, 12/01/18

      113           126,278   

Aleris International, Inc.

        

7.625%, 2/15/18

      442           467,415   

ArcelorMittal

        

5.00%, 2/25/17

      135           144,788   

6.125%, 6/01/18

      1,003           1,100,792   

Ashland, Inc.

        

3.875%, 4/15/18

      700           708,750   

Commercial Metals Co.

        

6.50%, 7/15/17

      299           331,143   

7.35%, 8/15/18

      724           825,360   

Consol Energy, Inc.

        

8.00%, 4/01/17

      1,045           1,101,169   

FMG Resources August 2006 Pty Ltd.

        

6.875%, 2/01/18 (a)

      1,000           1,052,500   

GrafTech International Ltd.

        

6.375%, 11/15/20

      776           795,400   

Huntsman International LLC

        

8.625%, 3/15/20-3/15/21

      520           584,038   

NOVA Chemicals Corp.

        

8.625%, 11/01/19

      614           676,167   

Novelis, Inc./GA

        

8.375%, 12/15/17

      270           288,225   

8.75%, 12/15/20

      300           333,750   

Peabody Energy Corp.

        

6.00%, 11/15/18

      694           739,110   

7.375%, 11/01/16

      240           270,000   

PetroLogistics LP/PetroLogistics Finance Corp.

        

6.25%, 4/01/20 (a)

      1,121           1,123,802   

PH Glatfelter Co.

        

5.375%, 10/15/20

      199           203,975   

Rock Tenn Co.

        

4.45%, 3/01/19

      885           933,498   

Rockwood Specialties Group, Inc.

        

4.625%, 10/15/20

      370           377,862   

Smurfit Kappa Acquisitions

        

4.875%, 9/15/18 (a)

      1,480           1,504,001   

SPCM SA

        

5.50%, 6/15/20 (a)

    EUR 120           179,116   

Steel Dynamics, Inc.

        

6.125%, 8/15/19

    U.S.$ 925           1,001,312   

7.625%, 3/15/20

      205           222,425   

Styrolution Group GmbH

        

7.625%, 5/15/16 (a)

    EUR 750           1,082,744   

Thompson Creek Metals Co., Inc.

        

9.75%, 12/01/17

    U.S.$ 320           352,000   

     Principal
Amount
(000)		        U.S. $ Value  

US Coatings Acquisition, Inc./Axalta Coating Systems Dutch Holding B BV

        

5.75%, 2/01/21 (a)

    EUR 285         $ 409,749   
       

 

 

  
          17,957,694   
       

 

 

  

Capital Goods - 7.5%

        

American Builders & Contractors Supply Co., Inc.

        

5.625%, 4/15/21 (a)

    U.S.$ 169           169,845   

Ardagh Packaging Finance PLC

        

7.375%, 10/15/17 (a)

      200           215,000   

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.

        

7.375%, 10/15/17 (a)

    EUR 313           461,295   

7.375%, 10/15/17 (a)

    U.S.$ 200           214,750   

B/E Aerospace, Inc.

        

6.875%, 10/01/20

      385           422,538   

Befesa Zinc SAU Via Zinc Capital SA

        

8.875%, 5/15/18 (a)

    EUR 675           1,009,849   

Bombardier, Inc.

        

7.50%, 3/15/18 (a)

    U.S.$ 625           710,937   

Building Materials Corp. of America

        

6.875%, 8/15/18 (a)

      330           350,625   

7.50%, 3/15/20 (a)

      170           183,600   

Clean Harbors, Inc.

        

5.125%, 6/01/21

      45           45,450   

CNH America LLC

        

7.25%, 1/15/16

      439           483,998   

CNH Capital LLC

        

3.625%, 4/15/18

      280           283,850   

3.875%, 11/01/15

      275           283,938   

6.25%, 11/01/16

      712           785,870   

Crown Americas LLC/Crown Americas Capital Corp. III

        

6.25%, 2/01/21

      405           439,425   

Franz Haniel & Cie GmbH

        

6.25%, 2/08/18

    EUR 290           460,168   

Graphic Packaging International, Inc.

        

7.875%, 10/01/18

    U.S.$ 175           189,875   

Griffon Corp.

        

7.125%, 4/01/18

      375           397,500   

Hanson Ltd.

        

6.125%, 8/15/16

      420           460,950   

HD Supply, Inc.

        

8.125%, 4/15/19

      853           950,029   

Huntington Ingalls Industries, Inc.

        

6.875%, 3/15/18

      1,105           1,193,400   

KraussMaffei Group GmbH

        

8.75%, 12/15/20 (a)

    EUR 290           444,832   

Manitowoc Co., Inc. (The)

        

8.50%, 11/01/20

    U.S.$ 75           85,125   

9.50%, 2/15/18

      425           447,844   

     Principal
Amount
(000)		        U.S. $ Value  

Owens-Brockway Glass Container, Inc.

        

7.375%, 5/15/16

    U.S.$ 505         $ 566,862   

Rexel SA

        

5.125%, 6/15/20 (a)

    EUR 439           635,638   

5.25%, 6/15/20 (a)

    U.S.$ 321           322,605   

6.125%, 12/15/19 (a)

      215           224,675   

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu

        

5.75%, 10/15/20

      755           770,100   

7.125%, 4/15/19

      695           740,175   

RSI Home Products, Inc.

        

6.875%, 3/01/18 (a)

      1,032           1,081,020   

Sealed Air Corp.

        

8.125%, 9/15/19 (a)

      735           825,037   

8.375%, 9/15/21 (a)

      285           323,475   

Silgan Holdings, Inc.

        

5.00%, 4/01/20

      89           87,888   

SPX Corp.

        

6.875%, 9/01/17

      1,135           1,282,550   

7.625%, 12/15/14

      185           194,713   

Tomkins LLC/Tomkins, Inc.

        

9.00%, 10/01/18

      133           145,635   

United Rentals North America, Inc.

        

7.375%, 5/15/20

      300           332,625   

9.25%, 12/15/19

      370           412,550   

Verisure Holding AB

        

8.75%, 9/01/18 (a)

    EUR 400           601,753   

Vulcan Materials Co.

        

6.50%, 12/01/16

    U.S.$ 295           330,400   

7.00%, 6/15/18

      400           455,000   
       

 

 

  
          20,023,394   
       

 

 

  

Communications - Media - 7.2%

        

Allbritton Communications Co.

        

8.00%, 5/15/18

      600           634,500   

Arqiva Broadcast Finance PLC

        

9.50%, 3/31/20 (a)

    GBP 287           527,536   

Cablevision Systems Corp.

        

7.75%, 4/15/18

    U.S.$ 440           491,150   

CCO Holdings LLC/CCO Holdings Capital Corp.

        

7.25%, 10/30/17

      200           211,750   

Cequel Communications Holdings I LLC/Cequel Capital Corp.

        

6.375%, 9/15/20 (a)

      1,160           1,189,000   

Columbus International, Inc.

        

11.50%, 11/20/14 (a)

      600           646,500   

Crown Media Holdings, Inc.

        

10.50%, 7/15/19

      1,050           1,191,750   

CSC Holdings LLC

        

7.625%, 7/15/18

      795           909,281   

DigitalGlobe, Inc.

        

5.25%, 2/01/21 (a)

      903           880,425   

DISH DBS Corp.

        

4.25%, 4/01/18

      600           612,000   

     Principal
Amount
(000)		        U.S. $ Value  

4.625%, 7/15/17

    U.S.$ 95         $ 99,513   

6.625%, 10/01/14

      90           93,600   

7.125%, 2/01/16

      539           596,942   

Gannett Co., Inc.

        

5.125%, 10/15/19 (a)

      500           520,000   

Intelsat Jackson Holdings SA

        

5.50%, 8/01/23 (a)

      285           271,106   

7.25%, 10/15/20

      605           661,719   

8.50%, 11/01/19

      200           218,250   

LIN Television Corp.

        

8.375%, 4/15/18

      200           211,500   

Mediacom LLC/Mediacom Capital Corp.

        

9.125%, 8/15/19

      265           286,531   

Nielsen Finance LLC/Nielsen Finance Co.

        

4.50%, 10/01/20

      550           534,875   

7.75%, 10/15/18

      235           253,800   

RR Donnelley & Sons Co.

        

7.25%, 5/15/18

      275           312,125   

Sinclair Television Group, Inc.

        

5.375%, 4/01/21

      194           191,090   

8.375%, 10/15/18

      255           276,994   

Sirius XM Holdings, Inc.

        

4.625%, 5/15/23 (a)

      200           181,000   

5.875%, 10/01/20 (a)

      948           969,330   

Starz LLC/Starz Finance Corp.

        

5.00%, 9/15/19

      1,255           1,283,237   

Telesat Canada/Telesat LLC

        

6.00%, 5/15/17 (a)

      947           984,880   

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH

        

7.50%, 3/15/19 (a)

      965           1,040,371   

Univision Communications, Inc.

        

6.75%, 9/15/22 (a)

      133           145,635   

7.875%, 11/01/20 (a)

      610           670,237   

UPC Holding BV

        

9.875%, 4/15/18 (a)

      620           664,950   

Videotron Ltd.

        

6.375%, 12/15/15

      273           273,683   

Virgin Media Finance PLC

        

6.375%, 4/15/23 (a)

      200           203,500   

Virgin Media Secured Finance PLC

        

6.50%, 1/15/18

      760           787,550   
       

 

 

  
          19,026,310   
       

 

 

  

Communications - Telecommunications - 3.1%

        

CenturyLink, Inc.

        

Series N

        

6.00%, 4/01/17

      600           661,500   

Series R

        

5.15%, 6/15/17

      400           429,000   

Cincinnati Bell, Inc.

        

8.375%, 10/15/20

      103           111,497   

InterXion Holding NV

        

6.00%, 7/15/20 (a)

    EUR 134           194,022   

     Principal
Amount
(000)		        U.S. $ Value  

MetroPCS Wireless, Inc.

        

6.25%, 4/01/21 (a)

    U.S.$ 230         $ 238,625   

7.875%, 9/01/18

      98           105,228   

SBA Communications Corp.

        

5.625%, 10/01/19

      257           264,710   

SBA Telecommunications, Inc.

        

5.75%, 7/15/20

      291           302,640   

Sprint Communications, Inc.

        

9.00%, 11/15/18 (a)

      235           283,175   

Sunrise Communications Holdings SA

        

8.50%, 12/31/18 (a)

    EUR 650           974,683   

Sunrise Communications International SA

        

7.00%, 12/31/17 (a)

      100           145,164   

T-Mobile USA, Inc.

        

5.25%, 9/01/18 (a)

    U.S.$   1,000           1,052,500   

Telecom Italia Capital SA

        

5.25%, 10/01/15

      1,140           1,198,425   

Wind Acquisition Finance SA

        

6.50%, 4/30/20 (a)

      1,380           1,469,700   

Windstream Corp.

        

7.875%, 11/01/17

      500           571,250   

8.125%, 9/01/18

      150           161,250   
       

 

 

  
          8,163,369   
       

 

 

  

Consumer Cyclical - Automotive - 2.9%

        

Allison Transmission, Inc.

        

7.125%, 5/15/19 (a)

      975           1,050,562   

American Axle & Manufacturing, Inc.

        

5.125%, 2/15/19

      550           565,125   

Banque PSA Finance SA

        

4.375%, 4/04/16 (a)

      336           347,710   

Commercial Vehicle Group, Inc.

        

7.875%, 4/15/19

      150           149,625   

Dana Holding Corp.

        

5.375%, 9/15/21

      286           287,072   

6.50%, 2/15/19

      635           674,687   

General Motors Financial Co., Inc.

        

3.25%, 5/15/18 (a)

      119           119,000   

4.75%, 8/15/17 (a)

      625           663,281   

6.75%, 6/01/18

      325           370,500   

Rhino Bondco S.P.A

        

5.781%, 12/15/19 (a) (b)

    EUR 915           1,252,471   

Schaeffler Finance BV

        

4.25%, 5/15/18 (a)

      158           226,055   

7.75%, 2/15/17 (a)

    U.S.$ 200           227,000   

8.50%, 2/15/19 (a)

      200           225,000   

Schaeffler Holding Finance BV

        

6.875%, 8/15/18 (a)(c)

      315           333,900   

6.875%, 8/15/18 (a)(c)

    EUR 235           345,920   

Servus Luxembourg Holding Sca

        

7.75%, 6/15/18 (a)

      411           594,814   

Tenneco, Inc.

        

6.875%, 12/15/20

    U.S.$ 145           158,413   
       

 

 

  
          7,591,135   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Consumer Cyclical - Entertainment - 1.1%

        

AMC Entertainment, Inc.

        

8.75%, 6/01/19

    U.S.$ 774         $ 827,212   

ClubCorp Club Operations, Inc.

        

10.00%, 12/01/18

      465           514,988   

NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp.

        

5.00%, 8/01/18 (a)

      1,610           1,662,325   

Regal Entertainment Group

        

9.125%, 8/15/18

      59           64,015   
       

 

 

  
          3,068,540   
       

 

 

  

Consumer Cyclical - Other - 3.9%

        

Beazer Homes USA, Inc.

        

6.625%, 4/15/18

      994           1,066,065   

Boardriders SA

        

8.875%, 12/15/17 (a)

    EUR 165           244,015   

Centex Corp.

        

6.50%, 5/01/16

    U.S.$ 230           253,862   

Cirsa Funding Luxembourg SA

        

8.75%, 5/15/18 (a)

    EUR 425           619,753   

DR Horton, Inc.

        

3.625%, 2/15/18

    U.S.$ 375           380,625   

4.75%, 5/15/17

      447           472,702   

6.50%, 4/15/16

      100           109,250   

Hanesbrands, Inc.

        

6.375%, 12/15/20

      250           273,125   

Isle of Capri Casinos, Inc.

        

7.75%, 3/15/19

      700           757,750   

KB Home

        

9.10%, 9/15/17

      183           214,567   

Lennar Corp.

        

4.125%, 12/01/18

      200           201,000   

4.75%, 12/15/17

      140           146,650   

6.95%, 6/01/18

      775           871,875   

Series B

        

6.50%, 4/15/16

      370           403,300   

Levi Strauss & Co.

        

6.875%, 5/01/22

      140           154,000   

7.625%, 5/15/20

      350           384,125   

Marina District Finance Co., Inc.

        

9.875%, 8/15/18

      250           270,625   

MCE Finance Ltd.

        

5.00%, 2/15/21 (a)

      600           586,500   

PVH Corp.

        

7.375%, 5/15/20

      469           516,486   

Royal Caribbean Cruises Ltd.

        

7.25%, 6/15/16

      120           134,700   

Shea Homes LP/Shea Homes Funding Corp.

        

8.625%, 5/15/19

      450           498,375   

Toll Brothers Finance Corp.

        

5.15%, 5/15/15

      150           156,563   

Wolverine World Wide, Inc.

        

6.125%, 10/15/20

      634           678,380   

     Principal
Amount
(000)		        U.S. $ Value  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

        

7.75%, 8/15/20

    U.S.$ 940         $ 1,055,150   
       

 

 

  
          10,449,443   
       

 

 

  

Consumer Cyclical - Restaurants - 0.2%

        

Burger King Corp.

        

9.875%, 10/15/18

      420           466,200   
       

 

 

  

Consumer Cyclical - Retailers - 3.3%

        

AutoNation, Inc.

        

6.75%, 4/15/18

      106           122,695   

Brighthouse Group PLC

        

7.875%, 5/15/18 (a)

    GBP 461           786,295   

Cash America International, Inc.

        

5.75%, 5/15/18 (a)

    U.S.$   1,278           1,214,100   

L Brands, Inc.

        

6.90%, 7/15/17

      400           460,000   

8.50%, 6/15/19

      510           612,000   

Matalan Finance PLC

        

8.875%, 4/29/16 (a)

    GBP 500           852,814   

Michaels Stores, Inc.

        

7.75%, 11/01/18

    U.S.$ 630           683,550   

Phones4u Finance PLC

        

9.50%, 4/01/18 (a)

    GBP 260           455,842   

Rent-A-Center, Inc./TX

        

4.75%, 5/01/21

    U.S.$ 615           577,331   

Rite Aid Corp.

        

8.00%, 8/15/20

      1,225           1,378,125   

Sally Holdings LLC/Sally Capital, Inc.

        

6.875%, 11/15/19

      1,425           1,574,625   
       

 

 

  
          8,717,377   
       

 

 

  

Consumer Non-Cyclical - 10.2%

        

Air Medical Group Holdings, Inc.

        

9.25%, 11/01/18

      524           565,920   

ARAMARK Corp.

        

5.75%, 3/15/20 (a)

      510           532,950   

Boparan Finance PLC

        

9.75%, 4/30/18 (a)

    EUR 135           203,363   

Cerba European Lab SAS

        

7.00%, 2/01/20 (a)

      575           836,512   

CHS/Community Health Systems, Inc.

        

5.125%, 8/15/18

    U.S.$ 1,000           1,032,500   

Constellation Brands, Inc.

        

7.25%, 9/01/16-5/15/17

      1,475           1,699,837   

ConvaTec Healthcare E SA

        

7.375%, 12/15/17 (a)

    EUR 535           776,553   

Cott Beverages, Inc.

        

8.125%, 9/01/18

    U.S.$ 108           116,640   

8.375%, 11/15/17

      12           12,510   

Dean Foods Co.

        

7.00%, 6/01/16

      490           541,450   

Elli Finance UK PLC

        

8.75%, 6/15/19 (a)

    GBP 625           1,146,228   

     Principal
Amount
(000)		        U.S. $ Value  

Endo Health Solutions, Inc.

        

7.00%, 7/15/19-12/15/20

    U.S.$   1,415         $ 1,514,050   

First Quality Finance Co., Inc.

        

4.625%, 5/15/21 (a)

      987           937,650   

Grifols, Inc.

        

8.25%, 2/01/18

      1,120           1,194,200   

Hawk Acquisition Sub, Inc.

        

4.25%, 10/15/20 (a)

      960           928,800   

HCA, Inc.

        

7.875%, 2/15/20

      625           671,094   

8.50%, 4/15/19

      416           440,960   

Health Management Associates, Inc.

        

7.375%, 1/15/20

      179           200,256   

Holding Medi-Partenaires SAS

        

7.00%, 5/15/20 (a)

    EUR 470           662,944   

Hologic, Inc.

        

6.25%, 8/01/20

    U.S.$ 52           54,860   

IMS Health, Inc.

        

6.00%, 11/01/20 (a)

      475           504,687   

Jaguar Holding Co. II/Jaguar Merger Sub, Inc.

        

9.50%, 12/01/19 (a)

      735           826,875   

Jarden Corp.

        

7.50%, 5/01/17

      310           358,825   

Kinetic Concepts, Inc./KCI USA, Inc.

        

10.50%, 11/01/18

      1,039           1,194,850   

Labco SA

        

8.50%, 1/15/18 (a)

    EUR 500           730,840   

Priory Group No 3 PLC

        

7.00%, 2/15/18 (a)

    GBP 890           1,551,170   

R&R Ice Cream PLC

        

8.375%, 11/15/17 (a)

    EUR 215           314,930   

Revlon Consumer Products Corp.

        

5.75%, 2/15/21

    U.S.$ 340           335,325   

Spectrum Brands Escrow Corp.

        

6.375%, 11/15/20 (a)

      422           450,485   

Spectrum Brands, Inc.

        

6.75%, 3/15/20

      125           134,531   

Stater Bros Holdings, Inc.

        

7.375%, 11/15/18

      165           174,488   

Sun Merger Sub, Inc.

        

5.25%, 8/01/18 (a)

      1,519           1,591,152   

Tenet Healthcare Corp.

        

4.75%, 6/01/20

      125           122,188   

6.25%, 11/01/18

      1,225           1,356,687   

Universal Health Services, Inc.

        

7.00%, 10/01/18

      1,083           1,156,102   

7.125%, 6/30/16

      65           73,206   

Valeant Pharmaceuticals International

        

6.50%, 7/15/16 (a)

      355           366,538   

6.75%, 8/15/18 (a)

      488           536,190   

6.875%, 12/01/18 (a)

      370           395,900   

     Principal
Amount
(000)		        U.S. $ Value  

Voyage Care Bondco PLC

        

6.50%, 8/01/18 (a)

    GBP 585         $ 997,308   
       

 

 

  
          27,241,554   
       

 

 

  

Energy - 4.0%

        

Atwood Oceanics, Inc.

        

6.50%, 2/01/20

    U.S.$   1,064           1,135,820   

Bonanza Creek Energy, Inc.

        

6.75%, 4/15/21

      56           58,660   

CGG SA

        

9.50%, 5/15/16

      108           113,670   

CHC Helicopter SA

        

9.25%, 10/15/20

      700           754,250   

Chesapeake Energy Corp.

        

7.25%, 12/15/18

      390           450,450   

Citgo Petroleum Corp.

        

11.50%, 7/01/17 (a)

      393           430,335   

Denbury Resources, Inc.

        

8.25%, 2/15/20

      550           605,687   

Energy XXI Gulf Coast, Inc.

        

7.75%, 6/15/19

      100           107,250   

9.25%, 12/15/17

      280           311,500   

EP Energy LLC/EP Energy Finance, Inc.

        

9.375%, 5/01/20

      450           519,187   

EP Energy LLC/Everest Acquisition Finance, Inc.

        

6.875%, 5/01/19

      512           551,040   

Hornbeck Offshore Services, Inc.

        

5.00%, 3/01/21

      953           933,940   

Linn Energy LLC/Linn Energy Finance Corp.

        

7.00%, 11/01/19 (a)

      1,156           1,167,560   

Newfield Exploration Co.

        

7.125%, 5/15/18

      180           186,930   

Oil States International, Inc.

        

6.50%, 6/01/19

      150           159,563   

Pacific Drilling SA

        

5.375%, 6/01/20 (a)

      1,063           1,068,315   

Petroleum Geo-Services ASA

        

7.375%, 12/15/18 (a)

      1,105           1,176,825   

PHI, Inc.

        

8.625%, 10/15/18

      745           800,875   

Pioneer Energy Services Corp.

        

9.875%, 3/15/18

      145           153,700   
       

 

 

  
          10,685,557   
       

 

 

  

Other Industrial - 1.5%

        

Algeco Scotsman Global Finance PLC

        

8.50%, 10/15/18 (a)

      600           649,500   

Interline Brands, Inc./NJ

        

7.50%, 11/15/18

      415           439,900   

NANA Development Corp.

        

9.50%, 3/15/19 (a)

      1,139           1,181,713   

Safway Group Holding LLC/Safway Finance Corp.

        

7.00%, 5/15/18 (a)

      1,030           1,086,650   

     Principal
Amount
(000)		        U.S. $ Value  

Trionista Holdco GmbH

        

5.00%, 4/30/20 (a)

    EUR 412         $ 578,594   
       

 

 

  
          3,936,357   
       

 

 

  

Services - 1.6%

        

ADT Corp. (The)

        

2.25%, 7/15/17

    U.S.$   1,470           1,446,573   

Cerved Group SpA

        

6.375%, 1/15/20 (a)

    EUR 290           421,174   

Live Nation Entertainment, Inc.

        

7.00%, 9/01/20 (a)

    U.S.$ 316           342,860   

Sabre, Inc.

        

8.50%, 5/15/19 (a)

      1,098           1,218,780   

Service Corp. International/US

        

6.75%, 4/01/16 (b)

      175           190,750   

West Corp.

        

7.875%, 1/15/19

      300           324,000   

8.625%, 10/01/18

      350           380,625   
       

 

 

  
          4,324,762   
       

 

 

  

Technology - 3.7%

        

Amkor Technology, Inc.

        

6.375%, 10/01/22

      125           128,438   

7.375%, 5/01/18

      200           211,000   

Avaya, Inc.

        

7.00%, 4/01/19 (a)

      1,223           1,198,540   

Brightstar Corp.

        

7.25%, 8/01/18 (a)

      1,150           1,247,750   

9.50%, 12/01/16 (a)

      524           576,400   

CDW LLC/CDW Finance Corp.

        

8.00%, 12/15/18

      266           289,940   

8.50%, 4/01/19

      500           552,500   

Ceridian Corp.

        

8.875%, 7/15/19 (a)

      922           1,060,300   

CommScope, Inc.

        

8.25%, 1/15/19 (a)

      572           627,055   

First Data Corp.

        

6.75%, 11/01/20 (a)

      600           621,000   

7.375%, 6/15/19 (a)

      531           568,170   

Iron Mountain, Inc.

        

8.375%, 8/15/21

      302           325,405   

NXP BV/NXP Funding LLC

        

3.75%, 6/01/18 (a)

      650           654,875   

5.75%, 2/15/21 (a)

      200           209,000   

Sanmina Corp.

        

7.00%, 5/15/19 (a)

      900           957,375   

Sensata Technologies BV

        

6.50%, 5/15/19 (a)

      500           540,000   
       

 

 

  
          9,767,748   
       

 

 

  

Transportation - Airlines - 0.3%

        

Air Canada

        

6.75%, 10/01/19 (a)

      525           553,875   

     Principal
Amount
(000)		        U.S. $ Value  

British Airways PLC

        

8.75%, 8/23/16 (b)

    GBP 79         $ 147,827   
       

 

 

  
          701,702   
       

 

 

  

Transportation - Services - 1.5%

        

Avis Budget Car Rental LLC/Avis Budget Finance, Inc.

        

8.25%, 1/15/19

    U.S.$ 700           763,000   

EC Finance PLC

        

9.75%, 8/01/17 (a)

    EUR 785           1,176,815   

Hertz Corp. (The)

        

4.25%, 4/01/18

    U.S.$ 365           374,125   

5.875%, 10/15/20

      63           65,284   

6.75%, 4/15/19

      370           398,675   

7.50%, 10/15/18

      380           409,925   

Oshkosh Corp.

        

8.25%, 3/01/17

      300           315,381   

8.50%, 3/01/20

      500           552,500   
       

 

 

  
          4,055,705   
       

 

 

  
          156,176,847   
       

 

 

  

Financial Institutions - 5.1%

        

Banking - 1.0%

        

Ally Financial, Inc.

        

4.625%, 6/26/15

      230           239,381   

4.75%, 9/10/18

      660           690,525   

Series 8

        

6.75%, 12/01/14

      150           157,125   

Amsouth Bank/Birmingham AL Series AI

        

5.20%, 4/01/15

      100           104,750   

Hbos Capital Funding LP

        

6.071%, 6/30/14 (a)

      385           383,557   

Societe Generale SA

        

5.922%, 4/05/17 (a)

      1,077           1,125,465   
       

 

 

  
          2,700,803   
       

 

 

  

Brokerage - 0.4%

        

E*TRADE Financial Corp.

        

6.375%, 11/15/19

      599           643,176   

6.75%, 6/01/16

      275           298,375   
       

 

 

  
          941,551   
       

 

 

  

Finance - 2.5%

        

AerCap Aviation Solutions BV

        

6.375%, 5/30/17

      730           790,225   

Aviation Capital Group Corp.

        

4.625%, 1/31/18 (a)

      126           130,438   

7.125%, 10/15/20 (a)

      353           395,500   

CIT Group, Inc.

        

5.00%, 5/15/17

      570           608,475   

5.25%, 3/15/18

      166           178,035   

International Lease Finance Corp.

        

8.75%, 3/15/17

      347           408,592   

     Principal
Amount
(000)		        U.S. $ Value  

8.875%, 9/01/17

    U.S.$ 713         $ 848,470   

Milestone Aviation Group Ltd. (The)

        

8.625%, 12/15/17 (a)

      357           380,205   

SLM Corp.

        

3.875%, 9/10/15

      200           206,750   

4.625%, 9/25/17

      220           228,365   

4.875%, 6/17/19

      351           349,755   

5.50%, 1/15/19

      838           869,636   

TMX Finance LLC/TitleMax Finance Corp.

        

8.50%, 9/15/18 (a)

      1,105           1,176,825   
       

 

 

  
          6,571,271   
       

 

 

  

Insurance - 0.3%

        

American Equity Investment Life Holding Co.

        

6.625%, 7/15/21

      766           800,470   
       

 

 

  

Other Finance - 0.9%

        

Harbinger Group, Inc.

        

7.875%, 7/15/19 (a)

      891           956,711   

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

        

7.75%, 1/15/16

      150           153,000   

8.00%, 1/15/18

      1,055           1,097,200   

National Money Mart Co.

        

10.375%, 12/15/16

      320           324,800   
       

 

 

  
          2,531,711   
       

 

 

  
          13,545,806   
       

 

 

  

Utility - 3.9%

        

Electric - 2.5%

        

AES Corp./VA

        

8.00%, 10/15/17

      190           223,250   

9.75%, 4/15/16

      300           353,250   

DPL, Inc.

        

6.50%, 10/15/16

      560           606,200   

EDP Finance BV

        

6.00%, 2/02/18 (a)

      400           428,900   

Series E

        

5.50%, 2/18/14 (a)

    EUR 100           138,258   

FirstEnergy Corp.

        

Series A

        

2.75%, 3/15/18

    U.S.$ 565           555,152   

GenOn Americas Generation LLC

        

8.50%, 10/01/21

      130           136,825   

GenOn Energy, Inc.

        

7.875%, 6/15/17

      575           632,500   

9.50%, 10/15/18

      385           436,013   

NRG Energy, Inc.

        

7.625%, 1/15/18

      1,548           1,764,720   

Puget Energy, Inc.

        

6.50%, 12/15/20

      375           426,688   

Techem GmbH

        

6.125%, 10/01/19 (a)

    EUR 695           1,041,683   
       

 

 

  
          6,743,439   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Natural Gas - 1.4%

        

El Paso LLC

        

7.25%, 6/01/18

    U.S.$ 660         $ 753,482   

Hiland Partners LP/Hiland Partners Finance Corp.

        

7.25%, 10/01/20 (a)

      459           492,277   

Kinder Morgan Finance Co. LLC

        

5.70%, 1/05/16

      150           161,120   

6.00%, 1/15/18 (a)

      250           273,946   

Regency Energy Partners LP/Regency Energy Finance Corp.

        

5.75%, 9/01/20

      1,000           1,032,500   

Sabine Pass LNG LP

        

7.50%, 11/30/16

      885           1,000,050   
       

 

 

  
          3,713,375   
       

 

 

  
          10,456,814   
       

 

 

  

Total Corporates - Non-Investment Grades
(cost $177,053,746)

           180,179,467   
       

 

 

  

CORPORATES - INVESTMENT GRADES - 9.5%

        

Financial Institutions - 4.7%

        

Banking - 3.9%

        

Akbank TAS

        

5.125%, 7/22/15 (a)

      300           308,130   

Barclays Bank PLC

        

5.926%, 12/15/16 (a)

      284           299,620   

7.434%, 12/15/17 (a)

      1,370           1,518,645   

BBVA US Senior SAU

        

4.664%, 10/09/15

      615           646,536   

BNP Paribas SA

        

5.186%, 6/29/15 (a)

      1,750           1,787,187   

Danske Bank A/S

        

5.914%, 6/16/14 (a)

      570           572,850   

ICICI Bank Ltd./Dubai

        

4.80%, 5/22/19 (a)

      231           232,006   

LBG Capital No.2 PLC

        

Series 21

        

15.00%, 12/21/19

    GBP 126           301,132   

Lloyds TSB Bank PLC

        

Series E

        

11.875%, 12/16/21 (a)

    EUR 425           727,917   

Macquarie Group Ltd.

        

7.30%, 8/01/14 (a)

    U.S.$ 150           155,493   

Nordea Bank AB

        

5.424%, 4/20/15 (a)

      360           372,240   

Regions Financial Corp.

        

5.75%, 6/15/15

      235           250,398   

Royal Bank of Scotland PLC (The)

        

9.50%, 3/16/22 (a)

      897           1,050,190   

Santander Bank NA

        

8.75%, 5/30/18

      250           300,386   

     Principal
Amount
(000)		        U.S. $ Value  

UBS AG

        

Series E

        

7.25%, 2/22/22 (a)

    U.S.$   1,050         $ 1,149,750   

UBS Preferred Funding Trust V

        

Series 1

        

6.243%, 5/15/16

      550           586,437   

Zions Bancorporation 4.50%, 3/27/17

      100           105,882   
       

 

 

  
          10,364,799   
       

 

 

  

Finance - 0.7%

        

Air Lease Corp.

        

5.625%, 4/01/17

      1,318           1,451,448   

HSBC Finance Capital Trust IX

        

5.911%, 11/30/35

      400           412,000   
       

 

 

  
          1,863,448   
       

 

 

  

Insurance - 0.1%

        

Cloverie PLC for Zurich Insurance Co., Ltd.

        

Series E

        

12.00%, 7/15/14

    EUR 200           293,712   
       

 

 

  
          12,521,959   
       

 

 

  

Industrial - 4.3%

        

Basic - 0.4%

        

CF Industries, Inc.

        

6.875%, 5/01/18

    U.S.$ 125           144,977   

Freeport-McMoRan Copper & Gold, Inc.

        

2.375%, 3/15/18

      825           822,985   

Plains Exploration & Production Co.

        

6.50%, 11/15/20

      130           143,569   
       

 

 

  
          1,111,531   
       

 

 

  

Capital Goods - 0.1%

        

Mohawk Industries, Inc.

        

6.125%, 1/15/16 (d)

      185           202,575   
       

 

 

  

Communications - Media - 0.4%

        

Kabel Deutschland Holding AG

        

6.50%, 7/31/17 (a)

    EUR 295           435,295   

Myriad International Holdings BV

        

6.00%, 7/18/20 (a)

    U.S.$ 514           560,047   

NBCUniversal Enterprise, Inc.

        

5.25%, 3/19/21 (a)

      114           112,860   
       

 

 

  
          1,108,202   
       

 

 

  

Communications - Telecommunications - 0.7%

        

Embarq Corp.

        

7.082%, 6/01/16

      120           134,088   

Telefonica Emisiones SAU

        

3.192%, 4/27/18

      790           804,549   

Series G

        

3.661%, 9/18/17 (a)

    EUR 50           73,285   

     Principal
Amount
(000)		        U.S. $ Value  

Verizon Communications, Inc.

        

3.65%, 9/14/18

    U.S.$   920         $ 973,879   
       

 

 

  
          1,985,801   
       

 

 

  

Consumer Cyclical - Automotive - 0.2%

        

Delphi Corp.

        

5.875%, 5/15/19

      309           326,767   

Ford Motor Credit Co. LLC

        

3.875%, 1/15/15

      200           206,371   
       

 

 

  
          533,138   
       

 

 

  

Consumer Cyclical - Retailers - 0.2%

        

Dollar General Corp.

        

4.125%, 7/15/17

      313           332,319   

Macy’s Retail Holdings, Inc.

        

5.90%, 12/01/16

      64           71,787   
       

 

 

  
          404,106   
       

 

 

  

Consumer Non-Cyclical - 0.3%

        

Mylan, Inc./PA

        

7.875%, 7/15/20 (a)

      280           316,832   

Warner Chilcott Co. LLC/Warner Chilcott Finance LLC

        

7.75%, 9/15/18

      550           595,375   
       

 

 

  
          912,207   
       

 

 

  

Energy - 1.0%

        

Anadarko Petroleum Corp.

        

6.375%, 9/15/17

      700           803,648   

Continental Resources, Inc./OK

        

8.25%, 10/01/19

      115           125,637   

Nabors Industries, Inc.

        

6.15%, 2/15/18

      583           655,134   

Pioneer Natural Resources Co.

        

5.875%, 7/15/16

      225           249,590   

Transocean, Inc.

        

5.05%, 12/15/16

      150           165,701   

6.00%, 3/15/18

      700           785,012   
       

 

 

  
          2,784,722   
       

 

 

  

Other Industrial - 0.1%

        

URS Corp.

        

4.35%, 4/01/17 (a)

      135           137,528   
       

 

 

  

Services - 0.2%

        

QVC, Inc.

        

7.375%, 10/15/20 (a)

      215           231,789   

7.50%, 10/01/19 (a)

      200           215,570   
       

 

 

  
          447,359   
       

 

 

  

Technology - 0.7%

        

Baidu, Inc.

        

3.25%, 8/06/18

      441           445,762   

     Principal
Amount (000)		        U.S. $ Value  

Seagate HDD Cayman

        

3.75%, 11/15/18 (a)

    U.S.$   1,485         $ 1,501,706   
       

 

 

  
          1,947,468   
       

 

 

  
          11,574,637   
       

 

 

  

Utility - 0.4%

        

Electric - 0.2%

        

CMS Energy Corp.

        

6.55%, 7/17/17

      160           183,357   

Iberdrola International BV

        

Series E

        

4.50%, 9/21/17

    EUR 200           302,937   
       

 

 

  
          486,294   
       

 

 

  

Natural Gas - 0.2%

        

Gas Natural Capital Markets SA

        

Series E

        

6.00%, 1/27/20 (a)

      200           326,669   

Tennessee Gas Pipeline Co. LLC

        

8.00%, 2/01/16

    U.S.$ 140           158,346   
       

 

 

  
          485,015   
       

 

 

  
          971,309   
       

 

 

  

Non Corporate Sectors - 0.1%

        

Agencies - Not Government Guaranteed - 0.1%

        

Petrobras International Finance Co.

        

3.50%, 2/06/17

      155           156,418   
       

 

 

  

Total Corporates - Investment Grades
(cost $24,487,073)

           25,224,323   
       

 

 

  

GOVERNMENTS - TREASURIES - 5.2%

        

United States - 5.2%

        

U.S. Treasury Bonds

        

3.625%, 8/15/43

      6,471           6,110,767   

U.S. Treasury Notes

        

2.25%, 5/31/14

      5,250           5,295,938   

3.75%, 11/15/18

      2,132           2,339,704   
       

 

 

  

Total Governments - Treasuries
(cost $13,934,760)

           13,746,409   
       

 

 

  

BANK LOANS - 3.9%

        

Industrial - 3.9%

        

Basic - 0.1%

        

FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)

        

4.25%, 6/28/19 (b)

      99           99,956   

Unifrax Holding Co.

        

5.25%, 11/28/18 (b)

    EUR 74           101,252   
       

 

 

  
          201,208   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Capital Goods - 0.1%

        

Serta Simmons Holdings, LLC

        

4.25%, 10/01/19 (b)

    U.S.$ 145         $ 146,167   
       

 

 

  

Communications - Media - 0.1%

        

LIN Television Corp.

        

4.00%, 12/21/18 (b)

      147           147,309   
       

 

 

  

Communications - Telecommunications – 0.0%

        

Crown Castle Operating Company

        

3.25%, 1/31/19 (b)

      122           122,357   
       

 

 

  

Consumer Cyclical - Automotive - 0.6%

        

Affinia Group Inc.

        

4.75%, 4/25/20 (b)

      498           503,719   

Exide Technologies

        

9.00%, 10/09/14 (b)

      972           986,143   

Navistar, Inc.

        

5.75%, 8/17/17 (b)

      70           70,941   

TI Group Automotive Systems, LLC

        

5.50%, 3/28/19 (b)

      145           146,548   
       

 

 

  
          1,707,351   
       

 

 

  

Consumer Cyclical - Entertainment - 0.2%

        

Alpha Topco Limited

        

4.50%, 4/30/19 (b)

      397           400,915   

Station Casinos LLC

        

5.00%, 3/02/20 (b)

      174           175,424   
       

 

 

  
          576,339   
       

 

 

  

Consumer Cyclical - Other - 0.3%

        

New HB Acquisition, LLC

        

6.75%, 4/09/20 (b)

      240           248,400   

Seminole Hard Rock Entertainment, Inc. (Seminole Hard Rock International, LLC)

        

3.50%, 5/14/20 (b)

      498           497,087   
       

 

 

  
          745,487   
       

 

 

  

Consumer Cyclical - Retailers - 0.1%

        

J.C. Penney Corp., Inc.

        

6.00%, 5/22/18 (b)

      249           243,029   
       

 

 

  

Consumer Non-Cyclical - 1.6%

        

Air Medical Group Holdings, Inc.

        

6/30/18 (b) (e)

      2,000           2,022,500   

Envision Healthcare Corporation (fka Emergency Medical Services Corporation)

        

4.00%, 5/25/18 (b)

      141           141,654   

H. J. Heinz Company

        

3.50%, 6/05/20 (b)

      100           100,193   

Par Pharmaceutical Companies, Inc. (Par Pharmaceutical, Inc.)

        

4.25%, 9/30/19 (b)

      89           89,023   

     Principal
Amount
(000)		        U.S. $ Value  

Pharmaceutical Product Development, Inc. (Jaguar Holdings, LLC)

        

4.00%, 12/05/18 (b)

    U.S.$ 147         $ 147,810   

Salix Pharmaceuticals Ltd.

        

12/17/19 (b)(e)

      1,700           1,716,473   
       

 

 

  
          4,217,653   
       

 

 

  

Other Industrial - 0.1%

        

Gardner Denver, Inc.

        

4.25%, 7/30/20 (b)

      150           149,607   

Veyance Technologies, Inc.

        

5.25%, 9/08/17 (b)

      298           298,494   
       

 

 

  
          448,101   
       

 

 

  

Services - 0.5%

        

Orbitz Worldwide, Inc.

        

4.50%, 9/25/17 (b)

      111           110,972   

Travelport LLC (fka Travelport Inc.)

        

6.25%, 6/26/19 (b)

      1,195           1,223,880   
       

 

 

  
          1,334,852   
       

 

 

  

Technology - 0.2%

        

MMI International Ltd. (MMI International (Delaware) LLC)

        

7.25%, 11/20/18 (b)

      475           462,531   
       

 

 

  

Total Bank Loans
(cost $10,228,980)

           10,352,384   
       

 

 

  

EMERGING MARKETS - CORPORATE BONDS - 3.2%

        

Industrial - 3.0%

        

Basic - 0.6%

        

Severstal OAO Via Steel Capital SA

        

6.70%, 10/25/17 (a)

      765           823,331   

Vedanta Resources PLC

        

6.00%, 1/31/19 (a)

      500           482,304   

9.50%, 7/18/18 (a)

      265           294,150   
       

 

 

  
          1,599,785   
       

 

 

  

Capital Goods - 0.4%

        

Cemex Espana Luxembourg

        

9.875%, 4/30/19 (a)

      150           171,375   

Cemex SAB de CV

        

4.999%, 10/15/18 (a)(b)

      500           519,353   

6.50%, 12/10/19 (a)

      400           413,200   
       

 

 

  
          1,103,928   
       

 

 

  

Communications - Telecommunications - 0.3%

        

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC

        

9.125%, 4/30/18 (a)

      640           750,400   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

Consumer Cyclical - Retailers - 0.1%

        

Office Depot de Mexico SA de CV

        

6.875%, 9/20/20 (a)

    U.S.$   385         $ 390,775   
       

 

 

  

Consumer Non-Cyclical - 1.0%

        

Foodcorp Pty Ltd.

        

8.75%, 3/01/18 (a)

    EUR 216           324,638   

Marfrig Holding Europe BV

        

8.375%, 5/09/18 (a)

    U.S.$ 785           730,050   

Raizen Energy Finance Ltd.

        

7.00%, 2/01/17 (a)

      375           412,500   

Tonon Bioenergia SA

        

9.25%, 1/24/20 (a)

      265           222,495   

USJ Acucar e Alcool SA

        

9.875%, 11/09/19 (a)

      445           417,187   

Virgolino de Oliveira Finance Ltd.

        

10.50%, 1/28/18 (a)

      625           425,000   
       

 

 

  
          2,531,870   
       

 

 

  

Energy - 0.4%

        

Anton Oilfield Services Group/Hong Kong

        

7.50%, 11/06/18 (a)

      453           471,120   

Pacific Rubiales Energy Corp.

        

5.375%, 1/26/19 (a)

      565           569,237   
       

 

 

  
          1,040,357   
       

 

 

  

Transportation - Airlines - 0.2%

        

Guanay Finance Ltd.

        

6.00%, 12/15/20 (a)

      440           456,786   
       

 

 

  
          7,873,901   
       

 

 

  

Financial Institutions - 0.1%

        

Finance - 0.1%

        

Sistema JSFC via Sistema International Funding SA

        

6.95%, 5/17/19 (a)

      400           424,394   
       

 

 

  

Utility - 0.1%

        

Electric - 0.1%

        

Listrindo Capital BV

        

6.95%, 2/21/19 (a)

      200           208,515   
       

 

 

  

Total Emerging Markets - Corporate Bonds
(cost $8,737,300)

           8,506,810   
       

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.9%

        

Non-Agency Fixed Rate CMBS - 0.9%

        

Credit Suisse Commercial Mortgage Trust

        

Series 2006-C3, Class AJ

        

5.791%, 6/15/38

      365           360,769   

Series 2007-C3, Class AM

        

5.683%, 6/15/39

      150           156,305   

     Principal
Amount
(000)		        U.S. $ Value  

Greenwich Capital Commercial Funding Corp.

        

Series 2007-GG9, Class AM

        

5.475%, 3/10/39

    U.S.$   158         $ 167,642   

GS Mortgage Securities Trust

        

Series 2006-GG6, Class AJ

        

5.592%, 4/10/38

      215           215,880   

JP Morgan Chase Commercial Mortgage Securities Trust

        

Series 2006-LDP8, Class AJ

        

5.48%, 5/15/45

      500           520,608   

Series 2012-CBX, Class E

        

5.187%, 6/15/45 (a)

      100           92,652   

LB-UBS Commercial Mortgage Trust

        

Series 2006-C1, Class AJ

        

5.276%, 2/15/41

      185           182,158   

Merrill Lynch/Countrywide Commercial Mortgage Trust

        

Series 2006-4, Class AJ

        

5.239%, 12/12/49

      600           584,618   

Series 2006-4, Class AJFX

        

5.147%, 12/12/49 (a)

      30           28,737   
       

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $2,257,244)

           2,309,369   
       

 

 

  

QUASI-SOVEREIGNS - 0.6%

        

Quasi-Sovereign Bonds - 0.6%

        

Azerbaijan - 0.2%

        

State Oil Co. of the Azerbaijan Republic

        

5.45%, 2/09/17 (a)

      615           654,175   
       

 

 

  

Hungary - 0.2%

        

Magyar Export-Import Bank ZRT

        

5.50%, 2/12/18 (a)

      435           447,477   
       

 

 

  

Kazakhstan - 0.1%

        

KazMunayGas National Co. JSC

        

11.75%, 1/23/15 (a)

      225           246,938   
       

 

 

  

United Arab Emirates - 0.1%

        

Dubai Electricity & Water Authority

        

6.375%, 10/21/16 (a)

      300           331,200   
       

 

 

  

Total Quasi-Sovereigns
(cost $1,636,543)

           1,679,790   
       

 

 

  

EMERGING MARKETS - SOVEREIGNS - 0.3%

        

Serbia - 0.2%

        

Republic of Serbia

        

4.875%, 2/25/20 (a)

      591           558,529   
       

 

 

  

Sri Lanka - 0.1%

        

Sri Lanka

        

7.40%, 1/22/15 (a)

      160           165,800   
       

 

 

  

Total Emerging Markets - Sovereigns
(cost $751,624)

           724,329   
       

 

 

  

     Principal
Amount
(000)		        U.S. $ Value  

COLLATERALIZED MORTGAGE OBLIGATIONS - 0.2%

        

Non-Agency Floating Rate - 0.2%

        

Connecticut Avenue Securities Series

        

Series 2013-C01, Class M1

        

2.165%, 10/25/23 (b)

    U.S.$ 127         $ 127,313   

Structured Agency Credit Risk Debt Notes

        

Series 2013-DN1, Class M1

        

3.565%, 7/25/23 (b)

      484           497,020   

Total Collateralized Mortgage Obligations
(cost $611,238)

           624,333   
       

 

 

  

GOVERNMENTS - SOVEREIGN AGENCIES - 0.2%

        

Israel - 0.1%

        

Israel Electric Corp., Ltd.

        

6.70%, 2/10/17 (a)

      290           315,230   
       

 

 

  

Norway - 0.0%

        

Eksportfinans ASA

        

2.00%, 9/15/15

      13           12,805   

2.375%, 5/25/16

      112           110,180   
       

 

 

  
          122,985   
       

 

 

  

United Arab Emirates - 0.1%

        

Dubai Holding Commercial Operations MTN Ltd.

        

Series E

        

6.00%, 2/01/17

    GBP 100           172,219   
       

 

 

  

Total Governments - Sovereign Agencies
(cost $572,298)

           610,434   
       

 

 

  
     Shares           

PREFERRED STOCKS - 0.2%

        

Financial Institutions - 0.2%

        

Banking - 0.2%

        

Citigroup Capital XIII

        

7.875% (d)

      18,500           504,125   

US Bancorp/MN

        

6.50%

      3,000           78,900   
       

 

 

  
          583,025   
       

 

 

  

REITS - 0.0%

        

Health Care REIT, Inc.

        

6.50%

      925           21,044   
       

 

 

  

Total Preferred Stocks
(cost $605,025)

           604,069   
       

 

 

  
     Principal
Amount
(000)		           

COVERED BONDS - 0.2%

        

Banco de Sabadell SA

        

3.625%, 2/16/15

    EUR 100           141,043   

     Principal
Amount
(000)		        U.S. $ Value  

Bankinter SA

        

3.875%, 10/30/15

    EUR 50         $ 71,905   

CaixaBank SA

        

5.125%, 4/27/16

      150           223,790   

Kutxabank SA Series E

        

5.125%, 4/08/15

      100           144,317   

Total Covered Bonds
(cost $522,350)

           581,055   
       

 

 

  

GOVERNMENTS - SOVEREIGN BONDS - 0.2%

        

Hungary - 0.2%

        

Hungary Government International Bond

        

4.125%, 2/19/18

    U.S.$ 400           400,940   
       

 

 

  

Lithuania - 0.0%

        

Lithuania Government International Bond

        

6.75%, 1/15/15 (a)

      100           105,650   
       

 

 

  

Total Governments - Sovereign Bonds
(cost $500,480)

           506,590   
       

 

 

  

AGENCIES - 0.0%

        

Agency Debentures - 0.0%

        

Ally Financial, Inc.

        

5.50%, 2/15/17

(cost $104,892)

      100           108,250   
       

 

 

  
     Contracts           

OPTIONS PURCHASED - PUTS - 0.0%

        

Options on Funds and Investment Trusts - 0.0%

        

SPDR S&P 500 ETF Trust

        

Expiration: Jan 2014, Exercise Price: $ 160.00 (f)(g)

      160           1,280   

SPDR S&P 500 ETF Trust

        

Expiration: Jan 2014, Exercise Price: $ 172.00 (f)(g)

      252           4,536   

SPDR S&P 500 ETF Trust

        

Expiration: Feb 2014, Exercise Price: $ 160.00 (f)(g)

      557           13,925   
       

 

 

  
          19,741   
       

 

 

  
     Notional
Amount
(000)		           

Swaptions - 0.0%

        

CDX-NAHY.21 RTP Deutsche Bank AG London

        

Expiration: Jan 2014, Exercise Price: $ 103.00 (f)

      5700           442   

Company

    Notional
Amount
(000)		        U.S. $ Value  

CDX-NAHY.21 RTP Deutsche Bank AG London

        

Expiration: Feb 2014, Exercise Price: $ 104.00 (f)

      12,392         $ 14,808   
       

 

 

  
          15,250   
       

 

 

  

Total Options Purchased - Puts
(premiums paid $173,051)

           34,991   
       

 

 

  
     Shares           

SHORT-TERM INVESTMENTS - 5.5%

        

Investment Companies - 5.5%

        

AllianceBerstein Fixed-Income Shares Inc. -
Government STIF Portfolio, 0.08% (h)
(cost $14,506,079)

      14,506,079         $ 14,506,079   
       

 

 

  

Total Investments - 97.9%
(cost $256,682,683) (i)

           260,298,682   

Other assets less liabilities - 2.1% (j)

           5,535,200   
       

 

 

  

Net Assets - 100.0%

         $ 265,833,882   
       

 

 

  

FUTURES

 

Type

    Number
of
Contracts		      Expiration
Month		      Original
Value		      Value at
December 31,
2013		      Unrealized
Appreciation/
(Depreciation)		  

Purchased Contracts

               

U.S. T-Note 2 Yr

(CBT) Futures

      232         March 2014       $ 51,099,953       $ 50,996,500       $ (103,453 ) 

U.S. T-Note 5 Yr

(CBT) Futures

      201         March 2014         24,296,953         23,981,812         (315,141 ) 
              

 

 

  
               $ (418,594 ) 
              

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

    Contracts to
Deliver
(000)		      In Exchange
For
(000)		      Settlement
Date		      Unrealized
Appreciation/
(Depreciation)		  

Barclays Bank PLC Wholesale

      USD         262         GBP         160         1/30/14       $ 3,115   

Deutsche Bank AG London

      EUR         1,295         USD         1,782         1/30/14         729   

Deutsche Bank AG London

      GBP         282         USD         461         1/30/14         (5,792 ) 

HSBC Bank USA

      EUR         13,055         USD         17,950         1/30/14         (9,947 ) 

HSBC Bank USA

      GBP         3,886         USD         6,306         1/30/14         (127,468 ) 

State Street Bank & Trust Co.

      EUR         424         USD         583         1/30/14         59   

State Street Bank & Trust Co.

      GBP         271         USD         442         1/30/14         (5,782 ) 
                 

 

 

  
                  $ (145,086 ) 
                 

 

 

  

CREDIT DEFAULT SWAPTIONS WRITTEN

 

Description

    Counterparty    Buy/Sell
Protection		      Strike
Rate		      Expiration
Date		      Notional
Amount
(000)		      Premiums
Received		      Market
Value		  

Put - CDX-NAHY Series 21, 5 Year Index

    Deutsche Bank
AG London		      Sell         100.00         1/15/14       $ 11,500       $ 14,375       $ (77 ) 

Put - CDX-NAHY Series 21, 5 Year Index

    Deutsche Bank
AG London		      Sell         101.00         2/19/14         24,785         42,135         (10,001 ) 
                 

 

 

     

 

 

  
                  $ 56,510       $ (10,078 ) 
                 

 

 

     

 

 

  

CENTRALLY CLEARED INTEREST RATE SWAPS

 

                   Rate Type         

Broker/(Exchange)

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

Morgan Stanley & Co., LLC/(CME Group)

      3,096         10/15/22         2.652 %      3 Month LIBOR       $ 41,637   

Morgan Stanley & Co., LLC/ (CME Group)

      5,630         10/15/23         2.829 %      3 Month LIBOR         82,962   

Morgan Stanley & Co., LLC/ (LCH Clearnet)

      55,310         11/07/15         0.430 %      3 Month LIBOR         8,228   

Morgan Stanley & Co., LLC/ (LCH Clearnet)

      22,600         11/07/18         1.530 %      3 Month LIBOR         161,609   

Morgan Stanley & Co., LLC/(LCH Clearnet)

      2,420         9/13/22         2.916 %      3 Month LIBOR         (31,066 ) 

Morgan Stanley & Co., LLC/(LCH Clearnet)

      7,150         11/26/23         2.816 %      3 Month LIBOR         148,588   
             

 

 

  
              $ 411,958   
             

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Broker/(Exchange) & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
December 31, 2013		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

              

Morgan Stanley & Co. LLC/(INTRCONX):

              

CDX-NAIG Series 20 5 Year Index, 6/20/18*

      (5.00 )%      2.63 %    $ 1,200       $ (116,313 )    $ (69,588 )    $ (46,725 ) 

Morgan Stanley & Co. LLC/(INTRCONX):

              

CDX-NAHY Series 21, 5 Year Index, 12/20/18*

      (5.00 )      3.03        1,000         (86,980 )      (46,124 )      (40,856 ) 

Sale Contracts

              

Morgan Stanley & Co. LLC/(INTRCONX):

              

CDX-NAHY Series 20, 5 Year Index, 6/20/18*

      5.00        5.00        1,200         116,313        114,446        1,867   

Morgan Stanley & Co. LLC/(INTRCONX):

              

CDX-NAIG Series 20, 5 Year Index, 6/20/18*

      1.00        0.54        1,540         31,113        13,531        17,582   

Morgan Stanley & Co. LLC/(INTRCONX):

              

CDX-NAHY Series 21, 5 Year Index, 12/20/18*

      5.00        5.00        2,800         243,545        237,763        5,782   

Morgan Stanley & Co. LLC/(INTRCONX):

              

CDX-NAHY Series 21, 5 Year Index, 12/20/18*

      5.00        5.00        1,000         86,980        84,915        2,065   
         

 

 

    

 

 

    

 

 

  
          $ 274,658      $ 334,943      $ (60,285 ) 
         

 

 

    

 

 

    

 

 

  

 

* Termination date

CREDIT DEFAULT SWAPS

 

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
December 31, 2013		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Buy Contracts

              

Bank of America, NA:

              

CDX-EM Series 20, 5 Year Index, 12/20/18*

      (5.00 )%      2.69 %    $ 2,050       $ (211,629 )    $ (212,003 )    $ 374   

Morgan Stanley Capital Services LLC:

              

CDX-NAIG Series 17 5 Year Index, 12/20/16*

      (1.00 )      0.30        1,000         (21,047 )      7,519        (28,566 ) 

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
December 31, 2013		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Cooper Tire & Rubber Co., 7.625%, 3/15/27, 9/20/18*

      (5.00 )%      2.54 %    $ 37       $ (3,966 )    $ (1,332 )    $ (2,634 ) 

Sale Contracts

              

Bank of America, NA:

              

CDX-NAHY Series 14, 5 Year Index, 6/20/15*

      5.00        0.99        1,799         107,704        6,719        100,985   

KB Home, 9.10%, 9/15/17, 9/20/18*

      5.00        2.61        470         48,707        25,345        23,362   

Barclays Bank PLC:

              

Amkor Technology, Inc., 7.375%, 5/01/18, 6/20/18*

      5.00        2.28        150         17,176        (3,827 )      21,003   

Amkor Technology, Inc., 7.375%, 5/01/18, 6/20/18*

      5.00        2.28        95         10,878        1,399        9,479   

Amkor Technology, Inc., 7.375%, 5/01/18, 6/20/18*

      5.00        2.28        85         9,733        1,252        8,481   

Health Management Associates, Inc., 6.125%, 4/15/16, 6/20/17*

      5.00        0.42        180         28,677        (749 )      29,426   

KB Home, 9.10%, 9/15/17, 3/20/19*

      5.00        2.97        330         32,267        28,250        4,017   

Levi Strauss & Co., 7.625%, 5/15/20, 12/20/17*

      5.00        1.26        150         21,656        243        21,413   

M.D.C. Holdings, Inc., 5.625%, 2/01/20, 6/20/17*

      1.00        0.84        180         791        (6,502 )      7,293   

MGM Resorts International, 7.625%, 1/15/17, 6/20/17*

      5.00        1.33        180         22,350        (11,062 )      33,412   

MGM Resorts International, 7.625%, 1/15/17, 6/20/18*

      5.00        1.98        35         4,494        2,019        2,475   

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
December 31, 2013		     Notional
Amount
(000)		      Market
Value		      Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

MGM Resorts International, 7.625%, 1/15/17, 9/20/18*

      5.00 %      2.12 %    $ 340       $ 43,367       $ 20,458      $ 22,909   

NXP BV, 5.75%, 2/15/21, 9/20/18*

      5.00        1.94      EUR 430         80,873         60,007        20,866   

NXP BV, 8.625% 10/15/13, 3/20/18*

      5.00        1.73        50         9,217         2,912        6,305   

Virgin Media Finance PLC, 4.875%, 2/15/22, 12/20/18*

      5.00        3.09      U.S.$ 230         19,739         14,649        5,090   

Virgin Media Finance PLC, 9.50%, 8/15/16, 6/20/17*

      5.00        2.03          200         19,812         4,020        15,792   

Virgin Media Finance PLC, 9.50%, 8/15/16, 6/20/17*

      5.00        2.03        140         13,869         1,392        12,477   

Citibank, NA:

               

Levi Strauss & Co., 8.875%, 4/01/16, 6/20/17*

      5.00        1.01        160         21,805         (4,370 )      26,175   

MGM Resorts International, 7.625%, 1/15/17, 6/20/18*

      5.00        1.98        47         6,035         2,789        3,246   

Owens-Brockway Glass Container Inc., 7.375%, 5/15/16, 6/20/18*

      5.00        1.15        400         66,704         43,995        22,709   

Sanmina-SCI Corp., 0.00%, 9/12/20, 6/20/18*

      5.00        2.01        300         38,422         (957 )      39,379   

Windstream Corp., 7.875%, 11/01/17, 6/20/18*

      5.00        2.54        410         41,807         9,845        31,962   

Credit Suisse International:

               

American Axle & Manufacturing, Inc., 7.875%, 3/01/17, 6/20/18*

      5.00        2.15        480         57,768         8,493        49,275   

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
December 31, 2013		     Notional
Amount
(000)		      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Avis Budget Car Rental LLC, 8.25%, 1/15/19, 9/20/18*

      5.00 %      1.82 %    $ 280       $ 39,779      $ 19,261      $ 20,518   

Avis Budget Car Rental LLC, 8.25%, 1/15/19, 9/20/18*

      5.00        1.82        76         10,824        6,402        4,422   

Avis Budget Car Rental LLC, 8.25%, 1/15/19, 9/20/18*

      5.00        1.82        74         10,539        6,573        3,966   

Dell, Inc., 7.10%, 4/15/28, 12/20/18*

      1.00        3.46        200         (22,605 )      (26,409 )      3,804   

MGM Resorts International, 7.625%, 1/15/17, 6/20/18*

      5.00        1.98        18         2,311        1,112        1,199   

MGM Resorts International, 7.625%, 1/15/17, 9/20/18*

      5.00        2.12        280         35,714        18,554        17,160   

Deutsche Bank AG London:

              

Amkor Technology, Inc., 7.375%, 5/01/18, 12/20/18*

      5.00        2.63        75         8,134        5,820        2,314   

Sprint Capital Corp., 6.00%, 12/01/16, 9/20/18*

      5.00        2.42        510         57,387        28,527        28,860   

Goldman Sachs Bank USA:

              

American Axle & Manufacturing, Inc., 7.875%, 3/01/17, 6/20/18*

      5.00        2.15        348         41,881        4,463        37,418   

HCA, Inc., 8.00%, 10/01/18, 9/20/17*

      5.00        1.54        250         31,071        5,852        25,219   

Health Management Associates, Inc., 6.125%, 4/15/16, 6/20/18*

      5.00        0.58        390         76,005        26,068        49,937   

Goldman Sachs Internationa:

              

Sprint Nextel Corp., 6.00%, 12/01/16, 9/20/18*

      5.00        2.96        530         46,501        33,074        13,427   

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
December 31, 2013		     Notional
Amount
(000)		      Market
Value		      Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

Health Management Associates, Inc., 6.125%, 4/15/16, 6/20/18*

      5.00 %      0.58 %      390       $ 76,005       $ 26,068      $ 49,937   

JPMorgan Chase Bank, NA:

               

Chesapeake Energy Corp., 6.625%, 8/15/20, 9/20/18*

      5.00        1.94        310         41,764         24,345        17,419   

Levi Strauss & Co., 8.875%, 4/01/16, 12/20/16*

      5.00        0.80        150         18,664         (4,874 )      23,538   

M.D.C. Holdings, Inc., 5.625%, 2/01/20, 12/20/16*

      5.00        0.68        150         19,257         5,528        13,729   

MGM Resorts International, 7.625%, 1/15/17, 6/20/18*

      5.00        1.98        450         57,786         7,420        50,366   

UPCG 9.625%, 12/01/19, 9/20/18*

      5.00        1.93      EUR 190         35,582         18,142        17,440   

Morgan Stanley Capital Services LLC:

               

Amkor Technology, Inc., 7.375%, 5/01/18, 9/20/18*

      5.00        2.45          250         27,852         2,198        25,654   

Avis Budget Car Rental LLC, 8.25%, 1/15/19, 9/20/18*

      5.00        1.82      $ 160         22,787         14,565        8,222   

CDX-NAIG Series 17 5 Year Index, 12/20/16*

      1.00        0.30        150         3,157         170        2,987   

Chesapeake Energy Corp., 6.625%, 8/15/20, 6/20/18*

      5.00        1.83        610         81,400         39,438        41,962   

Swap Counterparty & Referenced Obligation

    Fixed Rate
(Pay)
Receive		     Implied Credit
Spread at
December 31, 2013		     Notional
Amount
(000)		      Market
Value		      Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation/
(Depreciation)		  

NXP BV, 0.00%, 10/15/13, 6/20/17*

      5.00 %      1.33 %    EUR 110       $ 18,868       $ (4,910 )    $ 23,778   

UBS AG:

               

Health Management Associates, Inc., 6.125%, 4/15/16, 6/20/17*

      5.00        0.42      $   160         25,490         (2,412 )      27,902   

Levi Strauss & Co., 8.875%, 4/01/16, 6/20/17*

      5.00        1.01        40         5,451         (1,671 )      7,122   
         

 

 

     

 

 

    

 

 

  
          $ 1,258,813       $ 253,808      $ 1,005,005   
         

 

 

     

 

 

    

 

 

  

TOTAL RETURN SWAPS

 

Receive/Pay Total
Return on Reference
Index

    Index    # of Shares
or Units		      Rate
Received by
the Fund		     Notional
Amount
(000)		      Maturity
Date		      Counterparty    Unrealized
Appreciation/
(Depreciation)		  

Pay Total Return on Reference Index

                    

Pay

    iBoxx $ Liquid
High Yield
Index		      1,910,000         0.25 %    $ 1,910         3/20/14       JPMorgan
Chase Bank,
NA		    $ (46,639 ) 

 

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2013, the aggregate market value of these securities amounted to $103,275,977 or 38.8% of net assets.
(b) Floating Rate Security. Stated interest rate was in effect at December 31, 2013.
(c) Pay-In-Kind Payments (PIK).
(d) Variable rate coupon, rate shown as of December 31, 2013.
(e) This position or a portion of this position represents an unsettled loan purchase. At December 31, 2013, the market value and unrealized gain of these unsettled loan purchases amounted to $3,738,973 and $57,473, respectively. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase.
(f) Non-income producing security.
(g) One contract relates to 100 shares.
(h) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(i) As of December 31, 2013, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $5,022,922 and gross unrealized depreciation of investments was $(1,406,923), resulting in net unrealized appreciation of $3,615,999.
(j) An amount of U.S.$714,391 has been segregated to collateralize margin requirements for the open futures contracts at December 31, 2013.

Currency Abbreviations:

 

EUR    -    Euro
GBP    -    Great British Pound
USD    -    United States Dollar

Glossary:

 

CBT    -    Chicago Board of Trade
CDX-EM    -    Emerging Market Credit Default Swap Index
CDX-NAHY     -    North American High Yield Credit Default Swap Index
CDX-NAIG    -    North American Investment Grade Credit Default Swap Index
CFC    -    Customer Facility Charge
CMBS    -    Commercial Mortgage-Backed Securities
CME    -    Chicago Mercantile Exchange
ETF    -    Exchange Traded Fund
INTRCONX     -    Inter-Continental Exchange
JSC    -    Joint Stock Company
JSFC    -    Joint Stock Financial Corporation
LCH    -    London Clearing House
LIBOR    -    London Interbank Offered Rates
MTN    -    Medium Term Note
OJSC    -    Open Joint Stock Company
REIT    -    Real Estate Investment Trust
RTP    -    Real Time Pricing
SPDR    -    Standard & Poor’s Depository Receipt

COUNTRY BREAKDOWN *

December 31, 2013 (unaudited)

 

  64.9%        

United States

  5.9%        

United Kingdom

  2.7%        

France

  2.5%        

Germany

  1.9%        

Luxembourg

  1.9%        

Canada

  1.9%        

Spain

  1.7%        

Italy

  1.3%        

Netherlands

  1.2%        

Switzerland

  0.9%        

Brazil

  0.8%        

Ireland

  0.8%        

Russia

  6.0%        

Other

  5.6%        

Short-Term

 

 

       
  100.0%        

 

 

       

 

* All data are as of December 31, 2013. The Portfolio’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.6% or less in the following countries: Australia, Azerbaijan, Barbados, Chile, China, Colombia, Denmark, Hungary, India, Indonesia, Israel, Kazakhstan, Lithuania, Macau, Mexico, Norway, Portugal, Serbia, Singapore, South Africa, Sri Lanka, Sweden, Turkey, United Arab Emirates, .

AllianceBernstein—Limited Duration High Income Portfolio

December 31, 2013 (unaudited)

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

 

  •  

Level 1—quoted prices in active markets for identical investments

  •  

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

  •  

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

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rates, coupon rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

Options and warrants are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option or a warrant depends upon the contractual terms of, and specific risks inherent in, the option or warrant as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options will be classified as Level 2. For options or warrants that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options and warrants are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.

Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through brokers or pricing services are generally categorized within Level 2. Those investments for which current data has not been provided are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2013:

 

Investments in Securities:

    Level 1     Level 2     Level 3     Total  

Assets:

  

Corporates - Non-Investment Grades

    $ – 0  –    $ 178,585,162      $ 1,594,305      $ 180,179,467   

Corporates - Investment Grades

      – 0  –      25,224,323        – 0  –      25,224,323   

Governments - Treasuries

      – 0  –      13,746,409        – 0  –      13,746,409   

Bank Loans

      – 0  –      – 0  –      10,352,384        10,352,384   

Emerging Markets - Corporate Bonds

      – 0  –      8,506,810        – 0  –      8,506,810   

Commercial Mortgage-Backed Securities

      – 0  –      – 0  –      2,309,369        2,309,369   

Quasi-Sovereigns

      – 0  –      1,679,790        – 0  –      1,679,790   

Emerging Markets - Sovereigns

      – 0  –      724,329        – 0  –      724,329   

Collateralized Mortgage Obligations

      – 0  –      – 0  –      624,333        624,333   

Governments - Sovereign Agencies

      – 0  –      610,434        – 0  –      610,434   

Preferred Stocks

      604,069        – 0  –      – 0  –      604,069   

Covered Bonds

      – 0  –      581,055        – 0  –      581,055   

Governments - Sovereign Bonds

      – 0  –      506,590        – 0  –      506,590   

Agencies

      – 0  –      108,250        – 0  –      108,250   

Options Purchased - Puts

      – 0  –      34,991        – 0  –      34,991   

Short-Term Investments

      14,506,079        – 0  –      – 0  –      14,506,079   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

      15,110,148        230,308,143        14,880,391        260,298,682   

Other Financial Instruments* :

         

Assets:

         

Forward Currency Exchange Contracts

      – 0  –      3,903        – 0  –      3,903   

Centrally Cleared Interest Rate Swaps

      – 0  –      443,024        – 0  –      443,024   

Centrally Cleared Credit Default Swaps

      – 0  –      27,296        – 0  –      27,296   

Credit Default Swaps

      – 0  –      1,036,205        – 0  –      1,036,205   

Liabilities:

         

Futures Contracts

      (418,594 )      – 0  –      – 0  –      (418,594 ) 

Forward Currency Exchange Contracts

      – 0  –      (148,989 )      – 0  –      (148,989 ) 

Credit Default Swaptions Written

      – 0  –      (10,078 )      – 0  –      (10,078 ) 

Centrally Cleared Interest Rate Swaps

      – 0  –      (31,066 )      – 0  –      (31,066 ) 

Centrally Cleared Credit Default Swaps

      – 0  –      (87,581 )      – 0  –      (87,581 ) 

Credit Default Swaps

      – 0  –      (31,200 )      – 0  –      (31,200 ) 

Total Return Swaps

      – 0  –      (46,639 )      – 0  –      (46,639 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total^

    $     14,691,554      $     231,463,018      $     14,880,391      $     261,034,963   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/depreciation on the instrument. Other financial instruments may also include options written and swaptions which are valued at market value.
^ There were no transfers between Level 1 and Level 2 during the reporting period.

The Portfolio recognizes all transfers between levels of the fair value hierarchy assuming the financial instruments were transferred at the beginning of the reporting period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.

 

     Corporates Non  -
Investment
Grades		     Bank Loans     Commercial
Mortgage-Backed
Securities		  

Balance as of 9/30/13

    $ 1,836,530      $ 6,081,608      $ 2,448,529   

Accrued discounts/(premiums)

      (263 )      1,495        490   

Realized gain (loss)

      – 0  –      1,693        12,619   

Change in unrealized appreciation/depreciation

      (15,742 )      90,008        (29 ) 

Purchases

      267,400        6,633,609        100,391   

Sales

      – 0  –      (2,456,029 )      (252,631 ) 

Transfers in to Level 3

      – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

      (493,620 )      – 0  –      – 0  – 
  

 

 

    

 

 

    

 

 

  

Balance as of 12/31/13+

    $     1,594,305      $     10,352,384      $     2,309,369   
  

 

 

    

 

 

    

 

 

  

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/13

    $ (15,742 )    $ 121,421      $ 8,207   
  

 

 

    

 

 

    

 

 

  

                                                                                                     
     Collateralized
Mortgage Obligation		     Total      

Balance as of 9/30/13

    $ 507,835      $ 10,874,502     

Accrued discounts/(premiums)

      – 0  –      1,722     

Realized gain (loss)

      1,113        15,425     

Change in unrealized appreciation/depreciation

      7,756        81,993     

Purchases

      239,543        7,240,943     

Sales

      (131,914 )      (2,840,574 )   

Transfers in to Level 3

      – 0  –      – 0  –   

Transfers out of Level 3

      – 0  –      (493,620 )   
  

 

 

    

 

 

    

Balance as of 12/31/13

    $     624,333      $     14,880,391 +   
  

 

 

    

 

 

    

Net change in unrealized appreciation/depreciation from Investments held as of 12/31/13

    $ 7,756      $ 121,642     
  

 

 

    

 

 

    

 

+ There were de minimis transfers under 1% of net assets during the reporting period.

The following presents information about significant unobservable inputs related to the Portfolio with material categories of Level 3 investments at December 31, 2013:

Quantitative Information about Level 3 Fair Value Measurements

 

     Fair Value at
12/31/13		     

Valuation Technique

    Unobservable Input    Range/
Weighted Average		  

Corporates—Non-Investment Grades

    $ 1,594,305      

Third Party Vendor

    Evaluated Quotes    $ 95.00 – $106.50/ $97.74   

Bank Loans

    $ 10,352,384      

Third Party Vendor

    Vendor Quotes    $ 97.38 – $137.23/ $101.28   

Commercial Mortgage-Backed Securities

    $ 2,309,369      

Third Party Vendor

    Evaluated Quotes    $ 92.65 – $106.41/ $100.42   

Collateralized Mortgage Obligations

    $ 624,333      

Third Party Vendor

    Evaluated Quotes    $ 100.43 – $102.59/ $102.15   

The Adviser has established a Valuation Committee (the “Committee”) which is responsible for overseeing the pricing and valuation of all securities held in the Portfolio. The Committee operates under pricing and valuation policies and procedures established by the Adviser and approved by the Board, including pricing policies which set forth the mechanisms and processes to be employed on a daily basis to implement these policies and procedures. In particular, the pricing policies describe how to determine market quotations for securities and other instruments. The Committee’s responsibilities include: 1) fair value and liquidity determinations (and oversight of any third parties to whom any responsibility for fair value and liquidity determinations is delegated), and 2) regular monitoring of the Adviser’s pricing and valuation policies and procedures and modification or enhancement of these policies and procedures (or recommendation of the modification of these policies and procedures) as the Committee believes appropriate.

The Committee is also responsible for monitoring the implementation of the pricing policies by the Adviser’s Pricing Group (the “Pricing Group”) and a third party which performs certain pricing functions in accordance with the pricing policies. The Pricing Group is responsible for the oversight of the third party on a day-to-day basis. The Committee and the Pricing Group perform a series of activities to provide reasonable assurance of the accuracy of prices including: 1) periodic vendor due diligence meetings, review of methodologies, new developments and process at vendors, 2) daily compare of security valuation versus prior day for all securities that exceeded established thresholds, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by senior management and the Committee.

In addition, several processes outside of the pricing process are used to monitor valuation issues including: 1) performance and performance attribution reports are monitored for anomalous impacts based upon benchmark performance, and 2) portfolio managers review all portfolios for performance and analytics (which are generated using the Adviser’s prices).

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:   February 24, 2014

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:   February 24, 2014
By:   /s/    Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   February 24, 2014