N-Q 1 d393274dnq.htm ALLIANCEBERNSTEIN FIXED-INCOME SHARES, INC. AllianceBernstein Fixed-Income Shares, 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: 811-06068

ALLIANCEBERNSTEIN FIXED-INCOME SHARES, 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: April 30, 2013

Date of reporting period: July 31, 2012

 

 

 


ITEM 1. SCHEDULE OF INVESTMENTS.


AllianceBernstein Fixed-Income Shares, Inc. - Government STIF Portfolio

Portfolio of Investments

July 31, 2012 (unaudited)

 

     Yield*     Principal
Amount
(000)
     U.S. $ Value  

SHORT-TERM INVESTMENTS - 101.9%

       

U.S. Government & Government Sponsored Agency Obligations - 81.5%

       

Federal Farm Credit Bank

       

3/20/13 (a)

     0.127   $ 50,000       $ 49,985,383   

1/28/13

     0.140     10,500         10,497,743   

2/04/13 (a)

     0.175     1,250         1,249,873   

11/01/12

     0.180     30,000         30,001,197   

7/29/13 (a)

     0.195     2,135         2,134,798   

8/22/12 (a)

     0.197     30,000         29,999,649   

4/24/13 (a)

     0.197     50,000         49,996,258   

7/24/13 (a)

     0.217     1,825         1,825,132   

3/15/13 (a)

     0.219     2,000         2,000,518   

9/16/13 (a)

     0.219     4,610         4,610,604   

5/28/13 (a)

     0.235     1,500         1,500,263   

11/19/13 (a)

     0.237     4,890         4,892,060   

2/22/13 (a)

     0.237     2,115         2,115,244   

11/18/13 (a)

     0.238     5,050         5,051,744   

8/13/12 (a)

     0.239     13,075         13,075,411   

8/28/12 (a)

     0.245     32,800         32,802,452   

1/15/14 (a)

     0.249     4,000         4,000,614   

11/13/12 (a)

     0.259     37,365         37,378,523   

6/12/13 (a)

     0.259     2,000         2,000,889   

9/07/12 (a)

     0.266     10,000         10,000,206   

12/13/12 (a)

     0.269     12,900         12,902,515   

12/16/13 (a)

     0.269     5,250         5,252,762   

9/20/12 (a)

     0.277     29,028         29,034,170   

7/22/13 (a)

     0.277     6,400         6,404,952   

1/15/13 (a)

     0.289     9,700         9,703,373   

4/26/13 (a)

     0.294     1,785         1,786,199   

12/06/13 (a)

     0.296     4,161         4,165,115   

6/26/13 (a)

     0.304     10,685         10,694,807   

9/17/12 (a)

     0.322     1,300         1,300,234   

10/01/12 (a)

     0.345     800         800,125   

1/25/13 (a)

     0.396     2,700         2,701,947   

11/02/12

     0.400     2,060         2,061,178   

2/21/13

     1.750     7,100         7,160,748   

10/17/12

     4.500     29,575         29,844,569   

10/11/12

     4.700     2,000         2,017,649   

10/12/12

     4.820     2,000         2,018,211   

Federal Farm Credit Discount Notes

       

10/25/12

     0.120     7,000         6,998,017   

Federal Home Loan Bank

       

8/28/12

     0.110     47,500         47,498,166   

8/13/12

     0.130     41,000         40,999,769   

10/26/12

     0.140     50,000         49,997,339   

10/18/12

     0.150     3,475         3,474,947   

10/26/12

     0.150     35,000         34,999,753   

2/06/13

     0.150     90,500         90,476,379   

10/11/12

     0.160     50,000         49,997,090   

1/24/13

     0.160     13,185         13,182,845   

2/13/13

     0.160     9,200         9,198,026   


     Yield*     Principal
Amount
(000)
     U.S. $ Value  

2/13/13

     0.170   $ 50,000       $ 49,993,414   

12/27/12 (a)

     0.174     6,200         6,199,251   

1/30/13

     0.180     2,005         2,004,980   

11/01/12 (a)

     0.185     48,000         48,000,010   

10/26/12

     0.190     75,000         75,003,726   

2/12/13

     0.190     1,900         1,899,849   

2/15/13

     0.190     9,400         9,399,504   

10/26/12 (a)

     0.194     77,500         77,503,908   

11/26/12 (a)

     0.194     54,000         53,996,533   

11/23/12 (a)

     0.197     2,250         2,249,978   

10/05/12

     0.200     28,900         28,902,592   

1/04/13

     0.210     6,000         6,000,387   

1/23/13 (a)

     0.213     50,000         50,000,000   

10/24/12

     0.220     2,000         2,000,216   

10/26/12

     0.220     1,970         1,970,171   

8/28/12

     0.230     50,000         50,004,385   

11/14/13 (a)

     0.247     25,000         25,001,424   

12/11/13 (a)

     0.248     50,000         50,000,000   

8/17/12

     0.250     50,000         50,002,793   

1/03/14 (a)

     0.271     50,000         49,985,606   

3/08/13 (a)

     0.320     35,000         34,997,741   

4/05/13 (a)

     0.330     5,190         5,190,000   

12/20/12 (a)

     0.378     37,890         37,919,853   

8/22/12

     0.875     25,225         25,235,685   

10/25/12

     0.875     2,000         2,003,364   

1/16/13

     1.500     50,280         50,580,615   

10/30/12

     1.735     12,100         12,146,706   

8/22/12

     1.750     19,350         19,367,778   

9/14/12

     2.000     28,610         28,673,534   

10/10/12

     4.625     30,935         31,197,238   

Federal Home Loan Bank Discount Notes

       

8/01/12

     0.115     50,000         50,000,000   

8/03/12

     0.120     75,000         74,999,499   

9/12/12

     0.125     21,500         21,496,865   

9/05/12

     0.130     30,000         29,996,208   

9/07/12

     0.130     15,000         14,997,996   

10/16/12

     0.140     27,300         27,291,931   

10/01/12

     0.145     25,000         24,993,858   

10/03/12

     0.150     45,000         44,988,187   

Federal Home Loan Mortgage Corp.

       

11/02/12 (a)

     0.185     39,410         39,406,743   

9/13/13 (a)

     0.189     50,000         49,997,612   

2/04/13 (a)

     0.195     45,024         45,023,194   

5/03/13 (a)

     0.196     4,550         4,549,492   

6/03/13 (a)

     0.196     25,800         25,798,343   

6/17/13 (a)

     0.198     9,900         9,900,077   

8/10/12 (a)

     0.206     35,000         34,999,831   

3/21/13 (a)

     0.207     57,360         57,369,934   

11/04/13 (a)

     0.215     97,630         97,653,648   

8/28/12

     1.000     22,350         22,364,055   

1/09/13

     1.375     79,908         80,321,252   

9/21/12

     2.125     59,789         59,952,144   

1/15/13

     4.500     2,547         2,596,985   


     Yield*     Principal
Amount
(000)
     U.S. $ Value  

10/25/12

     4.625   $ 42,142       $ 42,578,073   

8/20/12

     5.500     59,379         59,544,872   

Federal Home Loan Mortgage Discount Notes

       

10/03/12

     0.140     19,958         19,953,111   

10/10/12

     0.140     19,000         18,994,828   

10/16/12

     0.140     25,000         24,992,611   

10/25/12

     0.140     21,400         21,392,926   

1/03/13

     0.145     50,000         49,968,785   

10/11/12

     0.150     25,000         24,992,604   

10/01/12

     0.160     39,822         39,811,204   

Federal National Mortgage Association

       

11/08/13 (a)

     0.216     110,500         110,522,659   

11/14/13 (a)

     0.219     2,000         2,000,273   

8/12/13 (a)

     0.239     1,000         1,000,321   

8/23/12 (a)

     0.267     184,690         184,702,084   

11/23/12 (a)

     0.267     15,810         15,814,309   

12/28/12 (a)

     0.275     1,700         1,700,706   

10/18/12 (a)

     0.278     50,740         50,753,634   

9/17/12 (a)

     0.278     148,590         148,614,568   

9/13/12 (a)

     0.370     9,000         9,002,347   

5/17/13 (a)

     0.376     24,150         24,184,987   

12/20/12 (a)

     0.428     1,700         1,701,692   

10/30/12

     0.500     36,945         36,975,726   

9/24/12

     0.625     5,500         5,503,704   

8/10/12

     1.750     14,785         14,790,871   

2/12/13

     3.625     12,830         13,061,796   

2/25/13

     4.250     5,000         5,114,103   

11/19/12

     4.750     7,882         7,989,440   

Federal National Mortgage Association Discount Notes

       

9/05/12

     0.130     18,434         18,431,670   

10/10/12

     0.140     7,700         7,697,904   

10/15/12

     0.140     100,000         99,970,834   

8/29/12

     0.145     50,000         49,994,362   

1/09/13

     0.155     9,580         9,573,359   

U.S. Treasury Bill

       

8/09/12

     0.082     100,000         99,998,078   

8/16/12

     0.083     50,000         49,998,281   

8/02/12

     0.085     100,000         99,999,764   

8/23/12

     0.091     100,000         99,994,163   

10/25/12

     0.098     100,000         99,976,980   

10/04/12

     0.110     50,000         49,990,222   

10/18/12

     0.115     100,000         99,975,084   

8/30/12

     0.137     50,000         49,994,482   

1/10/13

     0.137     100,000         99,938,350   

1/17/13

     0.141     100,000         99,933,808   

11/15/12

     0.147     100,000         99,956,864   

1/31/13

     0.147     100,000         99,925,684   

U.S. Treasury Notes

       

1/15/13

     1.375     150,000         150,827,234   

8/15/12

     4.375     50,000         50,081,787   
       

 

 

 
          4,847,839,685   
       

 

 

 


     Principal
Amount
(000)
     U.S. $ Value  

Repurchase Agreements - 20.4%

     

Bank of America 0.16%, dated 7/31/12 due 8/01/12 in the amount of $150,000,667 (collateralized by $139,609,190 U.S. Treasury Bond and U.S. Treasury Note, 0.625% to 3.875%, due 7/15/14 to 8/15/40, value $153,000,089)

   $ 150,000       $ 150,000,000   

Barclays Capital 0.12%, dated 7/19/12 due 08/03/12 in the amount of $100,005,000 (collateralized by $125,187,000 RFCSP Strip Principles, Resolution Funding Strips, and Federal National Mortgage Association, zero coupon to 0.60% due 7/24/15 to 4/15/30, value $102,000,854)

     100,000         100,000,000   

Barclays Capital 0.15%, dated 7/23/12 due 8/07/12 in the amount of $100,006,250 (collateralized by $98,086,700 U.S. Treasury Bond and U.S. Treasury Note, 0.25% to 5.125% due 10/15/12 to 2/15/40, value $102,000,037)

     100,000         100,000,000   

Credit Suisse 0.15%, dated 7/31/12 due 8/01/12 in the amount of $110,000,458 (collateralized by $112,000,000 U.S. Treasury Note, 0.375%, due 7/31/13, value $112,201,607)

     110,000         110,000,000   

Deutsche Bank 0.16%, dated 7/17/12 due 8/01/12 in the amount of $100,006,667 (collateralized by $81,020,900 U.S. Treasury Bond, U.S. Treasury Inflation Index, and U.S. Treasury Note, 0.25% to 7.125%, due 9/30/13 to 5/15/37, value $102,000,064)

     100,000         100,000,000   

Deutsche Bank 0.16%, dated 7/25/12 due 8/08/12 in the amount of $100,006,222 (collateralized by $72,602,900 U.S. Treasury Bond and U.S. Treasury Note, 0.375% to 8.50%, due 3/15/14 to 2/15/20, value $102,197,529)

     100,000         100,000,000   

HSBC Bank USA 0.15%, dated 7/31/12 due 8/01/12 in the amount of $130,000,542 (collateralized by $124,055,000 U.S. Treasury Note, 1.875%, due 8/31/17, value $132,600,584)

     130,000         130,000,000   

JPMorgan Securities, Inc. 0.17%, dated 7/31/12 due 8/01/12 in the amount of $100,000,472 (collateralized by $102,855,000 U.S. Treasury Note, 0.875%, due 7/31/19, value $102,003,357)

     100,000         100,000,000   

Mizuho Securities USA 0.16%, dated 7/31/12 due 8/01/12 in the amount of $175,000,778 (collateralized by $168,848,400 U.S. Treasury Inflation Index and U.S. Treasury Note, 0.125% to 3.875%, due 2/15/13 to 2/15/40, value $178,500,100)

     175,000         175,000,000   

UBS Financial Services 0.16%, dated 7/31/12 due 8/01/12 in the amount of $145,900,648 (collateralized by $149,082,400 U.S. Treasury Note, 0.25%, due 7/15/15, value $148,818,062)

     145,900         145,900,000   
     

 

 

 
        1,210,900,000   
     

 

 

 


     U.S. $ Value  

Total Investments - 101.9%
(cost $6,058,739,686)(b)

   $ 6,058,739,685   

Other assets less liabilities - (1.9)%

     (111,875,803
  

 

 

 

Net Assets - 100.0%

   $ 5,946,863,882   
  

 

 

 

 

(a) Floating Rate Security. Stated interest rate was in effect at July 31, 2012.
(b) As of July 31, 2012, the cost of investments for federal income tax purposes was the same as the cost for financial reporting purposes.
* Represents annualized yield from date of purchase for discount securities, and stated interest rate for interest-bearing securities.


AllianceBernstein Fixed-Income Shares, Inc. - Government STIF Portfolio

July 31, 2012 (unaudited)

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

 

   

Level 1—quoted prices in active markets for identical investments

   

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

   

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

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of July 31, 2012:

 

Investments in Securities:

   Level 1      Level 2      Level 3      Total  

Assets:

           

U.S. Government & Government Sponsored Agency Obligations

   $ —         $ 4,847,839,685       $ —         $ 4,847,839,685   

Repurchase Agreements

     —           1,210,900,000         —           1,210,900,000   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total*

   $                     —         $     6,058,739,685       $                     —         $     6,058,739,685   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* There were no transfers between Level 1 and Level 2 during the reporting period.


ITEM 2. CONTROLS AND PROCEDURES.

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

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

 

ITEM 3. EXHIBITS.

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

 

EXHIBIT NO.

 

DESCRIPTION OF EXHIBIT

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


SIGNATURES

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

(Registrant): AllianceBernstein Fixed-Income Shares

 

By:   /s/     Robert M. Keith
  Robert M. Keith
  President
Date:   September 24, 2012

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:   September 24, 2012

 

By:   /s/     Joseph J. Mantineo
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   September 24, 2012