Edgar Filing: ALLIANCEBERNSTEIN INCOME FUND INC

AllianceBernstein Income Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05207

ALLIANCEBERNSTEIN INCOME 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: December 31, 2012

Date of reporting period: March 31, 2012

ITEM 1.

SCHEDULE OF INVESTMENTS.

AllianceBernstein Income Fund

Portfolio of Investments

March 31, 2012 (unaudited)


	Principal Amount (000)		U.S. $ Value
GOVERNMENTS - TREASURIES - 81.3%
Brazil - 0.4%
Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/14	BRL	16,419	$	9,044,125

South Africa - 0.5%
South Africa Government Bond
Series R203
8.25%, 9/15/17	ZAR	79,000		10,747,025

United States - 80.4%
U.S. Treasury Bonds
5.375%, 2/15/31	U.S.$	1,961		2,637,545
6.25%, 8/15/23		10,000		13,850,000
6.625%, 2/15/27		45,570		66,873,975
7.625%, 2/15/25		85,000		132,214,865
8.00%, 11/15/21		75,000		113,923,800
8.75%, 8/15/20 (a)		70,000		107,619,540
U.S. Treasury Notes
1.375%, 9/30/18 (a)		355,000		352,642,445
1.50%, 8/31/18 (a)		91,000		91,248,794
1.875%, 10/31/17 (a)		30,400		31,461,629
2.625%, 8/15/20 (a)		358,400		377,860,045
2.625%, 11/15/20		87,250		91,755,677
2.75%, 2/15/19 (a)		184,100		198,324,671
U.S. Treasury STRIPS Zero Coupon, 5/15/17 (b)		194,750		183,847,505

				1,764,260,491

Total Governments - Treasuries (cost $1,768,752,863)				1,784,051,641


CORPORATES - INVESTMENT GRADES - 16.3%
Financial Institutions - 7.2%
Banking - 3.8%
Banco Bradesco SA/Cayman Islands
5.75%, 3/01/22 (c)		4,500		4,532,345
Barclays Bank PLC
4.75%, 3/15/20	EUR	10,000		7,413,236
BNP Paribas SA
5.00%, 1/15/21	U.S.$	5,500		5,550,968
Capital One Financial Corp.
6.15%, 9/01/16		2,900		3,187,436
Citigroup, Inc.
8.50%, 5/22/19		9,100		11,219,190
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect
3.875%, 2/08/22		5,750		5,560,664
Fifth Third Bancorp
5.45%, 1/15/17		3,100		3,415,140
Goldman Sachs Group, Inc. (The)
5.75%, 1/24/22		2,100		2,160,354
6.00%, 6/15/20		4,980		5,239,991
HSBC Bank USA NA
4.875%, 8/24/20		2,030		2,080,042


	Principal Amount (000)		U.S. $ Value
Itau Unibanco Holding SA/Cayman Island
5.65%, 3/19/22 (c)	U.S.$	2,227	$	2,233,681
6.20%, 12/21/21 (c)		1,475		1,541,375
JPMorgan Chase & Co.
4.50%, 1/24/22		7,500		7,802,542
Macquarie Bank Ltd.
5.00%, 2/22/17 (c)		812		818,179
Macquarie Group Ltd.
4.875%, 8/10/17 (c)		3,455		3,479,531
Manufacturers & Traders Trust Co.
6.625%, 12/04/17		506		581,786
Morgan Stanley
10.09%, 5/03/17 (c)	BRL	11,615		6,331,001
Royal Bank of Scotland PLC (The)
5.625%, 8/24/20	U.S.$	3,895		4,014,693
Wachovia Bank NA
4.875%, 2/01/15		3,841		4,139,884
Zions Bancorporation
4.50%, 3/27/17		3,000		2,981,250

				84,283,288

Brokerage - 0.2%
Charles Schwab Corp. (The)
7.00%, 2/01/22 (a)		4,400		4,685,604

Finance - 0.6%
General Electric Capital Corp.
6.44%, 11/15/22	GBP	128		223,410
Series G
6.875%, 1/10/39	U.S.$	4,500		5,557,230
SLM Corp.
5.05%, 11/14/14		3,610		3,699,441
Series A
5.375%, 5/15/14		3,885		4,011,667

				13,491,748

Insurance - 2.0%
American General Institutional Capital B
8.125%, 3/15/46 (c)		509		516,635
American International Group, Inc.
8.175%, 5/15/58		2,525		2,672,713
CIGNA Corp.
5.125%, 6/15/20		1,690		1,861,618
Fairfax Financial Holdings Ltd.
8.30%, 4/15/26		5,000		5,274,230
Genworth Financial, Inc.
7.70%, 6/15/20		1,756		1,835,020
Great-West Life & Annuity Insurance Capital LP II
7.153%, 5/16/46 (c)		2,707		2,707,000
Guardian Life Insurance Co. of America
7.375%, 9/30/39 (c)		2,455		3,025,284
Hartford Financial Services Group, Inc.
5.95%, 10/15/36		3,533		3,403,795
Humana, Inc.
8.15%, 6/15/38		2,900		3,767,723


	Principal Amount (000)		U.S. $ Value
MetLife, Inc.
4.75%, 2/08/21	U.S.$	2,135	$	2,341,852
6.40%, 12/15/36		2,152		2,108,960
Nationwide Mutual Insurance Co.
9.375%, 8/15/39 (c)		2,700		3,419,615
Pacific Life Insurance Co.
9.25%, 6/15/39 (c)		1,500		1,942,701
Swiss Re Solutions Holding Corp.
7.75%, 6/15/30		2,800		3,285,108
Transatlantic Holdings, Inc.
8.00%, 11/30/39		2,122		2,364,967
ZFS Finance USA Trust II
6.45%, 12/15/65 (c)		2,108		2,086,920

				42,614,141

Other Finance - 0.2%
Aviation Capital Group Corp.
6.75%, 4/06/21 (c)		4,235		4,107,569
IIRSA Norte Finance Ltd.
8.75%, 5/30/24 (c)		315		367,952
Red Arrow International Leasing PLC
8.375%, 6/30/12	RUB	835		28,477

				4,503,998

REITS - 0.4%
Duke Realty LP
6.75%, 3/15/20	U.S.$	1,655		1,935,420
Entertainment Properties Trust
7.75%, 7/15/20		3,308		3,478,345
HCP, Inc.
5.375%, 2/01/21		3,468		3,737,051

				9,150,816

				158,729,595

Industrial - 6.7%
Basic - 1.1%
Anglo American Capital PLC
9.375%, 4/08/19 (c)		3,492		4,588,286
ArcelorMittal
5.25%, 8/05/20		2,500		2,447,355
6.25%, 2/25/22		2,200		2,224,418
GTL Trade Finance, Inc.
7.25%, 10/20/17 (c)		2,536		2,908,792
Mondi Finance PLC
5.75%, 4/03/17	EUR	942		1,354,335
Southern Copper Corp.
7.50%, 7/27/35	U.S.$	5,107		5,987,518
Teck Resources Ltd.
6.00%, 8/15/40		327		344,349
Usiminas Commercial Ltd.
7.25%, 1/18/18 (c)		4,263		4,750,261

				24,605,314


	Principal Amount (000)		U.S. $ Value
Capital Goods - 0.9%
Holcim US Finance Sarl & Cie SCS
6.00%, 12/30/19 (c)	U.S.$	644	$	665,320
Legrand France SA
8.50%, 2/15/25		10		12,752
Odebrecht Finance Ltd.
6.00%, 4/05/23 (c)		6,895		7,165,973
Owens Corning
9.00%, 6/15/19		3,000		3,703,611
Republic Services, Inc.
5.25%, 11/15/21		6,098		6,952,958

				18,500,614

Communications - Media - 0.5%
DirecTV Holdings LLC/DirecTV Financing Co., Inc.
3.80%, 3/15/22 (c)		4,500		4,455,252
Interpublic Group of Cos., Inc. (The)
4.00%, 3/15/22		525		514,085
Time Warner Cable, Inc.
6.55%, 5/01/37		1,457		1,687,191
Time Warner Entertainment Co. LP
8.375%, 7/15/33		2,500		3,339,647
Virgin Media Secured Finance PLC
5.25%, 1/15/21		1,629		1,751,190

				11,747,365

Communications - Telecommunications - 1.6%
American Tower Corp.
5.05%, 9/01/20		4,310		4,453,519
AT&T Inc.
6.50%, 9/01/37		4,500		5,403,789
Deutsche Telekom International Finance BV
4.875%, 3/06/42 (c)		4,719		4,457,983
Embarq Corp.
7.082%, 6/01/16		1,277		1,438,184
Oi SA
5.75%, 2/10/22 (c)		5,500		5,650,642
Qwest Corp.
6.75%, 12/01/21		2,000		2,232,500
6.875%, 9/15/33		1,500		1,485,000
Telefonica Emisiones SAU
7.045%, 6/20/36		5,000		4,914,950
Verizon Communications, Inc.
6.90%, 4/15/38		4,500		5,742,517

				35,779,084

Consumer Cyclical - Entertainment - 0.2%
Time Warner, Inc.
7.70%, 5/01/32		2,500		3,260,600

Consumer Cyclical - Other - 0.1%
Wyndham Worldwide Corp.
4.25%, 3/01/22		2,200		2,156,715


	Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Retailers - 0.2%
CVS Caremark Corp.
5.75%, 5/15/41	U.S.$	4,700	$	5,297,628

Consumer Non-Cyclical - 0.5%
Bunge Ltd. Finance Corp.
8.50%, 6/15/19		2,600		3,176,134
Grupo Bimbo SAB de CV
4.50%, 1/25/22 (a) (c)		1,699		1,738,402
SABMiller Holdings, Inc.
4.95%, 1/15/42 (c)		5,500		5,698,143

				10,612,679

Energy - 0.9%
Nabors Industries, Inc.
9.25%, 1/15/19		2,500		3,209,325
Noble Holding International Ltd.
4.90%, 8/01/20		389		415,607
Phillips 66
4.30%, 4/01/22 (c)		5,550		5,653,069
Reliance Holdings USA, Inc.
5.40%, 2/14/22 (a) (c)		3,568		3,490,644
Southwestern Energy Co.
4.10%, 3/15/22 (c)		1,519		1,505,715
Transocean, Inc.
7.50%, 4/15/31		2,200		2,497,416
Weatherford International Ltd./Bermuda
7.00%, 3/15/38		2,900		3,261,128

				20,032,904

Other Industrial - 0.1%
Noble Group Ltd.
6.75%, 1/29/20 (c)		2,803		2,760,955


Technology - 0.4%
Agilent Technologies, Inc.
5.00%, 7/15/20		782		869,335
Applied Materials, Inc.
5.85%, 6/15/41		6,621		7,611,051

				8,480,386

Transportation - Airlines - 0.1%
Delta Air Lines 2007-1 Class A Pass Through Trust
Series 071A
6.821%, 8/10/22		1,619		1,772,861

Transportation - Services - 0.1%
Asciano Finance Ltd.
4.625%, 9/23/20 (c)		1,080		1,044,479

				146,051,584

Non Corporate Sectors - 1.8%
Agencies - Not Government Guaranteed - 1.8%
Abu Dhabi National Energy Co.
5.875%, 12/13/21 (c)		775		824,443


	Principal Amount (000)		U.S. $ Value
Banco do Brasil SA
5.875%, 1/26/22 (c)	U.S.$	1,475	$	1,517,775
Gazprom OAO Via Gaz Capital SA
6.51%, 3/07/22 (c)		13,563		14,783,670
9.25%, 4/23/19 (c)		7,115		8,778,131
IPIC GMTN Ltd.
5.50%, 3/01/22 (c)		5,400		5,555,250
Petrobras International Finance Co. - Pifco
5.375%, 1/27/21		5,000		5,383,695
VTB Bank OJSC Via VTB Capital SA
6.875%, 5/29/18 (c)		3,441		3,625,954

				40,468,918

Utility - 0.6%
Electric - 0.5%
FirstEnergy Corp.
Series C
7.375%, 11/15/31		3,000		3,693,192
MidAmerican Energy Holdings Co.
6.125%, 4/01/36		4,376		5,201,734
Southern California Edison Co.
Series E
6.25%, 2/01/22		2,200		2,246,706

				11,141,632

Natural Gas - 0.1%
Kinder Morgan Energy Partners LP
3.95%, 9/01/22		792		784,129
4.15%, 3/01/22		1,385		1,397,522

				2,181,651

				13,323,283

Total Corporates - Investment Grades (cost $336,688,223)				358,573,380


CORPORATES - NON-INVESTMENT GRADES - 15.6%
Industrial - 12.6%
Basic - 0.9%
AK Steel Corp.
7.625%, 5/15/20 (a)		2,082		2,009,130
Arch Coal, Inc.
7.00%, 6/15/19 (c)		2,100		1,937,250
Calcipar SA
6.875%, 5/01/18 (c)		687		697,305
Commercial Metals Co.
6.50%, 7/15/17		1,993		2,012,930
7.35%, 8/15/18		2,644		2,733,235
Huntsman International LLC
5.50%, 6/30/16 (a)		1,809		1,806,739
LyondellBasell Industries NV
5.75%, 4/15/24 (c)		3,300		3,293,916
Steel Dynamics, Inc.
7.625%, 3/15/20		3,000		3,247,500


	Principal Amount (000)		U.S. $ Value
Weyerhaeuser Co.
7.375%, 3/15/32	U.S.$	2,000	$	2,130,572

				19,868,577

Capital Goods - 2.0%
Ball Corp.
5.00%, 3/15/22		5,500		5,513,750
BE Aerospace, Inc.
5.25%, 4/01/22		2,200		2,222,000
6.875%, 10/01/20		2,000		2,190,000
Berry Plastics Corp.
10.25%, 3/01/16		67		69,345
Bombardier, Inc.
7.50%, 3/15/18 (c)		3,000		3,300,000
Building Materials Corp. of America
7.00%, 2/15/20 (c)		635		674,688
7.50%, 3/15/20 (c)		2,498		2,647,880
CNH America LLC
7.25%, 1/15/16		2,000		2,195,000
Griffon Corp.
7.125%, 4/01/18		3,558		3,678,082
Huntington Ingalls Industries, Inc.
6.875%, 3/15/18		698		739,880
7.125%, 3/15/21		690		739,163
RBS Global, Inc./Rexnord LLC
11.75%, 8/01/16 (a)		2,150		2,279,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
7.125%, 4/15/19 (c)		5,095		5,311,537
Sealed Air Corp.
6.875%, 7/15/33 (c)		2,885		2,755,175
8.125%, 9/15/19 (c)		1,127		1,243,926
8.375%, 9/15/21 (c)		1,157		1,300,179
SPX Corp.
6.875%, 9/01/17		2,900		3,175,500
Summit Materials LLC/Summit Materials Finance Corp.
10.50%, 1/31/20 (c)		1,599		1,670,955
UR Financing Escrow Corp.
5.75%, 7/15/18 (c)		2,550		2,610,562

				44,316,622

Communications - Media - 2.1%
CCO Holdings LLC/CCO Holdings Capital Corp.
6.625%, 1/31/22		2,079		2,156,963
Clear Channel Communications, Inc.
5.75%, 1/15/13		220		218,350
CSC Holdings LLC
6.75%, 11/15/21 (c)		5,000		5,206,250
Cumulus Media Holdings, Inc.
7.75%, 5/01/19 (a) (c)		672		635,040
DISH DBS Corp.
7.125%, 2/01/16		2,000		2,212,500


	Principal Amount (000)		U.S. $ Value
Hughes Satellite Systems Corp.
7.625%, 6/15/21	U.S.$	3,111	$	3,336,547
Intelsat Jackson Holdings SA
7.25%, 4/01/19		4,231		4,447,839
Lamar Media Corp.
5.875%, 2/01/22 (c)		5,500		5,596,250
LIN Television Corp.
8.375%, 4/15/18		900		941,625
Quebecor Media, Inc.
7.75%, 3/15/16		3,000		3,078,750
RR Donnelley & Sons Co.
8.25%, 3/15/19		2,984		2,969,080
Univision Communications, Inc.
6.875%, 5/15/19 (c)		3,295		3,323,831
UPCB Finance III Ltd.
6.625%, 7/01/20 (c)		2,200		2,244,000
Videotron Ltee
5.00%, 7/15/22 (c)		2,255		2,232,450
Virgin Media Finance PLC
5.25%, 2/15/22		2,024		2,006,290
8.375%, 10/15/19		2,000		2,240,000
XM Satellite Radio, Inc.
7.625%, 11/01/18 (c)		2,500		2,687,500

				45,533,265

Communications - Telecommunications - 0.6%
eAccess Ltd.
8.25%, 4/01/18 (c)		1,596		1,532,160
Frontier Communications Corp.
8.125%, 10/01/18		2,000		2,115,000
Nextel Communications, Inc.
Series C
5.95%, 3/15/14		2,500		2,500,000
Sprint Nextel Corp.
9.00%, 11/15/18 (c)		2,065		2,266,338
Sunrise Communications International SA
7.00%, 12/31/17 (c)	EUR	1,585		2,251,318
Windstream Corp.
7.50%, 4/01/23	U.S.$	2,000		2,060,000
7.75%, 10/01/21		1,070		1,144,900

				13,869,716

Consumer Cyclical - Automotive - 0.7%
American Axle & Manufacturing Holdings, Inc.
9.25%, 1/15/17 (c)		1,694		1,893,045
Delphi Corp.
5.875%, 5/15/19 (c)		654		689,970
6.125%, 5/15/21 (c)		491		522,915
Ford Motor Co.
7.45%, 7/16/31 (a)		650		794,625
Ford Motor Credit Co. LLC
5.75%, 2/01/21		2,125		2,292,790


	Principal Amount (000)		U.S. $ Value
Goodyear Dunlop Tires Europe BV
6.75%, 4/15/19 (c)	EUR	1,500	$	1,993,047
Goodyear Tire & Rubber Co. (The)
7.00%, 5/15/22	U.S.$	2,186		2,125,885
8.75%, 8/15/20		3,000		3,255,000
Schaeffler Finance BV
8.50%, 2/15/19 (c)		1,200		1,281,000

				14,848,277

Consumer Cyclical - Entertainment - 0.0%
Pinnacle Entertainment, Inc.
8.75%, 5/15/20 (a)		841		918,793

Consumer Cyclical - Other - 0.9%
Broder Brothers Co.
12.00%, 10/15/13 (c) (d)		607		605,820
CityCenter Holdings LLC / CityCenter Finance Corp.
7.625%, 1/15/16		2,000		2,110,000
Host Hotels & Resorts LP
9.00%, 5/15/17 (a)		2,000		2,212,500
MGM Resorts International
8.625%, 2/01/19 (c)		4,315		4,627,837
NCL Corp. Ltd.
9.50%, 11/15/18 (c)		961		1,037,880
9.50%, 11/15/18		796		857,690
Royal Caribbean Cruises Ltd.
7.00%, 6/15/13		2,000		2,090,000
7.50%, 10/15/27		1,100		1,105,500
Shea Homes LP/Shea Homes Funding Corp.
8.625%, 5/15/19 (c)		1,188		1,226,610
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.375%, 3/15/22 (c)		3,400		3,332,000

				19,205,837

Consumer Cyclical - Restaurants - 0.1%
CKE Restaurants, Inc.
11.375%, 7/15/18		2,000		2,285,000

Consumer Cyclical - Retailers - 0.9%
AutoNation, Inc.
6.75%, 4/15/18		481		518,278
Burlington Coat Factory Warehouse Corp.
10.00%, 2/15/19		401		417,040
JC Penney Co., Inc.
5.65%, 6/01/20		5,500		5,376,250
Limited Brands, Inc.
5.625%, 2/15/22		1,727		1,742,111
6.90%, 7/15/17		3,621		4,028,362
Rite Aid Corp.
8.00%, 8/15/20 (a)		3,200		3,684,000


	Principal Amount (000)		U.S. $ Value
Toys R US - Delaware, Inc.
7.375%, 9/01/16 (c)	U.S.$	3,206	$	3,286,150

				19,052,191

Consumer Non-Cyclical - 1.7%
Boparan Holdings Ltd.
9.875%, 4/30/18 (c)	GBP	2,400		3,896,384
CHS/Community Health Systems, Inc.
8.875%, 7/15/15	U.S.$	473		490,146
Elan Finance PLC/Elan Finance Corp.
8.75%, 10/15/16		2,750		3,028,437
Emergency Medical Services Corp.
8.125%, 6/01/19		2,391		2,456,752
Fresenius Medical Care US Finance, Inc.
5.75%, 2/15/21 (c)		2,125		2,199,375
HCA Holdings, Inc.
7.75%, 5/15/21		1,700		1,757,375
HCA, Inc.
8.50%, 4/15/19		1,895		2,105,819
JBS Finance II Ltd.
8.25%, 1/29/18 (c)		3,100		3,157,350
JBS USA LLC/JBS USA Finance, Inc.
8.25%, 2/01/20 (c)		2,063		2,119,733
Kinetic Concepts, Inc./KCI USA, Inc.
10.50%, 11/01/18 (c)		2,000		2,077,500
Mylan Inc./PA
7.625%, 7/15/17 (c)		290		319,000
7.875%, 7/15/20 (c)		290		323,350
Pharmaceutical Product Development, Inc.
9.50%, 12/01/19 (c)		2,000		2,170,000
Post Holdings, Inc.
7.375%, 2/15/22 (c)		1,639		1,716,853
Select Medical Corp.
7.625%, 2/01/15		132		130,515
Select Medical Holdings Corp.
6.494%, 9/15/15 (e)		5,000		4,475,000
Valeant Pharmaceuticals International
6.875%, 12/01/18 (c)		2,145		2,161,088
7.00%, 10/01/20 (c)		2,200		2,189,000
7.25%, 7/15/22 (c)		582		576,180

				37,349,857

Energy - 1.4%
Antero Resources Finance Corp.
9.375%, 12/01/17		2,000		2,165,000
Berry Petroleum Co.
6.375%, 9/15/22		3,107		3,192,442
Chesapeake Energy Corp.
6.625%, 8/15/20		2,435		2,477,613
Cie Generale de Geophysique - Veritas
9.50%, 5/15/16		857		942,700
Cimarex Energy Co.
5.875%, 5/01/22		2,006		2,046,120


	Principal Amount (000)		U.S. $ Value
Forest Oil Corp.
7.25%, 6/15/19	U.S.$	2,964	$	2,897,310
Hornbeck Offshore Services, Inc.
5.875%, 4/01/20 (c)		2,737		2,743,843
Oil States International, Inc.
6.50%, 6/01/19		1,960		2,058,000
Pacific Rubiales Energy Corp.
7.25%, 12/12/21 (c)		4,300		4,706,350
Quicksilver Resources, Inc.
7.125%, 4/01/16 (a)		471		433,320
SESI LLC
6.375%, 5/01/19		615		651,900
7.125%, 12/15/21 (c)		2,834		3,060,720
Tesoro Corp.
9.75%, 6/01/19		3,800		4,332,000

				31,707,318

Other Industrial - 0.1%
Brightstar Corp.
9.50%, 12/01/16 (c)		1,600		1,664,000

Services - 0.2%
Live Nation Entertainment, Inc.
8.125%, 5/15/18 (c)		1,820		1,938,300
Service Corp. International/US
7.50%, 4/01/27		3,300		3,341,250
West Corp.
11.00%, 10/15/16		150		159,375

				5,438,925

Technology - 0.8%
Amkor Technology, Inc.
6.625%, 6/01/21		3,000		3,101,250
CDW LLC/CDW Finance Corp.
8.50%, 4/01/19		5,000		5,312,500
First Data Corp.
7.375%, 6/15/19 (c)		4,500		4,567,500
Freescale Semiconductor, Inc.
10.125%, 12/15/16		104		111,020
10.125%, 3/15/18 (c)		2,000		2,230,000
Sanmina-SCI Corp.
7.00%, 5/15/19 (c)		1,830		1,866,600

				17,188,870

Transportation - Airlines - 0.2%
TAM Capital 2, Inc.
9.50%, 1/29/20 (c)		751		819,717
TAM Capital 3, Inc.
8.375%, 6/03/21 (c)		2,843		2,992,257

				3,811,974

				277,059,222


	Principal Amount (000)		U.S. $ Value
Utility - 1.7%
Electric - 1.4%
AES Corp. (The)
8.00%, 10/15/17	U.S.$	4,000	$	4,505,000
Calpine Corp.
7.875%, 7/31/20 (c)		3,200		3,480,000
CMS Energy Corp.
8.75%, 6/15/19		3,900		4,756,518
ComEd Financing III
6.35%, 3/15/33		3,462		3,330,787
Duquesne Light Holdings, Inc.
6.40%, 9/15/20 (c)		2,140		2,364,783
EDP Finance BV
4.90%, 10/01/19 (c)		255		207,289
6.00%, 2/02/18 (c)		3,490		3,084,410
GenOn Americas Generation LLC
8.50%, 10/01/21		3,200		2,816,000
GenOn Energy, Inc.
7.875%, 6/15/17		2,100		1,832,250
NRG Energy, Inc.
7.375%, 1/15/17 (a)		3,000		3,120,000
8.25%, 9/01/20		1,300		1,280,500

				30,777,537

Natural Gas - 0.3%
Chesapeake Midstream Partners LP/CHKM Finance Corp.
6.125%, 7/15/22 (c)		1,123		1,131,423
El Paso Corp.
Series G
7.75%, 1/15/32		2,000		2,277,486
Holly Energy Partners LP/Holly Energy Finance Corp.
6.50%, 3/01/20 (c)		1,949		1,978,235

				5,387,144

				36,164,681

Financial Institutions - 1.3%
Banking - 0.4%
ABN Amro Bank NV
4.31%, 3/10/16	EUR	6,790		6,859,784
NB Capital Trust IV
8.25%, 4/15/27	U.S.$	2,632		2,684,640

				9,544,424

Brokerage - 0.1%
Lehman Brothers Holdings, Inc.
6.875%, 5/02/18 (f)		3,605		1,081,500

Finance - 0.3%
Air Lease Corp.
5.625%, 4/01/17 (c)		1,483		1,477,439
Ally Financial, Inc.
8.00%, 11/01/31		2,456		2,707,740


	Principal Amount (000)		U.S. $ Value
Series 8
6.75%, 12/01/14	U.S.$	2,640	$	2,765,400

				6,950,579

Insurance - 0.0%
Scottish Mutual Assurance Ltd.
6.586%, 4/25/16	GBP	43		40,787

Other Finance - 0.2%
Icahn Enterprises LP / Icahn Enterprises Finance Corp.
8.00%, 1/15/18 (c)	U.S.$	3,000		3,120,000
iPayment, Inc.
10.25%, 5/15/18		1,814		1,668,880

				4,788,880

REITS - 0.3%
DDR Corp.
7.875%, 9/01/20		3,000		3,547,965
SL Green Realty Corp./SL Green
Operating Partnership/Reckson
Operating Partnership
7.75%, 3/15/20		2,514		2,864,044

				6,412,009

				28,818,179

Total Corporates - Non-Investment Grades (cost $330,801,151)				342,042,082


AGENCIES - 9.9%
Agency Debentures - 9.9%
Federal Home Loan Mortgage Corp.
2.375%, 1/13/22		96,516		94,747,827
Federal National Mortgage Association
5.375%, 6/12/17		59,222		71,309,447
Residual Funding Corp. Principal Strip
Zero Coupon, 7/15/20		61,700		50,627,688

Total Agencies (cost $201,761,556)				216,684,962


MORTGAGE PASS-THROUGHS - 9.7%
Agency Fixed Rate 30-Year - 7.8%
Federal Home Loan Mortgage Corp. Gold
Series 2006
6.00%, 9/01/36		18,217		20,103,338
Series 2007
7.00%, 2/01/37		5,615		6,376,327
Federal National Mortgage Association
3.50%, 12/01/41		78,949		81,138,101
6.00%, 2/01/40		1,254		1,378,767
Series 1998
8.00%, 6/01/28		40		47,375
Series 1999
7.50%, 11/01/29		56		66,106
Series 2008
6.00%, 5/01/38		15,122		16,669,966


	Principal Amount (000)		U.S. $ Value
Series 2011
3.50%, 2/01/41	U.S.$	35,803	$	36,796,354
6.00%, 4/01/40		7,803		8,582,269

				171,158,603

Agency ARMs - 1.9%
Federal Home Loan Mortgage Corp.
Series 2007
2.197%, 1/01/37 (e)		9,252		9,784,692
2.434%, 2/01/37 (e)		6,122		6,482,317
3.205%, 2/01/37 (e)		6,988		7,446,758
3.373%, 3/01/37 (e)		2,375		2,530,709
5.281%, 3/01/37 (e)		5,928		6,288,351
Federal National Mortgage Association
Series 2006
2.549%, 11/01/36 (e)		4,246		4,525,145
Series 2007
4.061%, 3/01/37 (e)		4,076		4,264,690

				41,322,662

Total Mortgage Pass-Throughs (cost $207,201,827)				212,481,265


QUASI-SOVEREIGNS - 3.7%
Quasi-Sovereign Bonds - 3.7%
Indonesia - 0.4%
Majapahit Holding BV
7.875%, 6/29/37 (c)		6,188		7,750,470

Kazakhstan - 1.1%
KazMunayGas National Co.
6.375%, 4/09/21 (c)		21,455		23,698,120

Mexico - 0.5%
Comision Federal de Electricidad
5.75%, 2/14/42 (c)		5,750		5,744,250
Petroleos Mexicanos
6.50%, 6/02/41 (c)		4,900		5,512,500

				11,256,750

Russia - 1.4%
Russian Agricultural Bank OJSC Via RSHB Capital SA
6.299%, 5/15/17 (c)		19,568		20,570,860
7.75%, 5/29/18 (c)		9,905		11,192,650

				31,763,510

Venezuela - 0.3%
Petroleos de Venezuela SA
5.25%, 4/12/17 (c)		7,500		5,662,500

Total Quasi-Sovereigns (cost $65,119,250)				80,131,350


	Principal Amount (000)		U.S. $ Value
EMERGING MARKETS - CORPORATE BONDS - 2.3%
Financial Institutions - 0.1%
Banking - 0.1%
CenterCredit International BV
8.625%, 1/30/14 (c)	U.S.$	2,297	$	2,319,970

Other Finance - 0.0%
AES El Salvador Trust
6.75%, 2/01/16 (c)		350		353,500

				2,673,470

Industrial - 2.0%
Basic - 0.7%
Evraz Group SA
8.875%, 4/24/13 (c)		3,697		3,872,608
9.50%, 4/24/18 (c)		385		423,877
Novelis, Inc./GA
8.75%, 12/15/20		800		876,000
Severstal OAO Via Steel Capital SA
9.25%, 4/19/14 (c)		2,000		2,177,500
Vedanta Resources PLC
8.75%, 1/15/14 (c)		7,226		7,424,715

				14,774,700

Communications - Media - 0.2%
Columbus International, Inc.
11.50%, 11/20/14 (c)		3,959		4,392,510
European Media Capital SA
10.00%, 2/01/15 (g)		1,853		1,575,204

				5,967,714

Communications - Telecommunications - 0.4%
MTS International Funding Ltd.
8.625%, 6/22/20 (c)		4,100		4,742,921
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC
9.125%, 4/30/18 (c)		3,500		3,823,750

				8,566,671

Consumer Cyclical - Other - 0.3%
Corp. GEO SAB de CV
8.875%, 3/27/22 (c)		862		881,395
Desarrolladora Homex SAB de CV
9.75%, 3/25/20 (c)		3,500		3,703,041
MCE Finance Ltd.
10.25%, 5/15/18		2,420		2,716,450
Peermont Global Pty Ltd.
7.75%, 4/30/14 (c)	EUR	50		59,349

				7,360,235


	Principal Amount (000)		U.S. $ Value
Consumer Non-Cyclical - 0.2%
Hypermarcas SA
6.50%, 4/20/21 (c)	U.S.$	4,115	$	3,991,550

Other Industrial - 0.2%
Marfrig Overseas Ltd.
9.50%, 5/04/20 (c)		4,151		3,801,486

				44,462,356

Utility - 0.2%
Electric - 0.1%
DTEK Finance BV
9.50%, 4/28/15 (c)		1,532		1,455,400

Natural Gas - 0.1%
Empresa de Energia de Bogota SA
6.125%, 11/10/21 (c)		1,719		1,818,589

				3,273,989

Total Emerging Markets - Corporate Bonds (cost $50,388,563)				50,409,815

BANK LOANS - 2.1%
Industrial - 1.8%
Basic - 0.2%
Ineos US Finance LLC
8.00% 12/16/14 (e)		26		27,269
Newpage Corporation
8.00%, 3/08/13 (e)		3,400		3,436,822

				3,464,091

Capital Goods - 0.3%
Harbor Freight Tools USA, Inc./Central Purchasing, LLC
6.50%, 12/22/17 (e)		5,416		5,451,642
Sequa Corporation
3.76%-3.84%, 12/03/14 (e)		397		390,825

				5,842,467

Communications - Media - 0.2%
Cengage Learning Acquisitions, Inc. (Thomson Learning)
2.49%, 7/03/14 (e)		534		490,991
Charter Communications Operating, LLC
2.25%, 3/06/14 (e)		40		39,752
Clear Channel Communications, Inc.
3.89%, 1/29/16 (e)		402		324,909
Univision Communications Inc.
4.49%, 3/31/17 (e)		2,445		2,266,323
WideOpenWest Finance , LLC
2.74%-4.75%, 6/30/14 (e)		1,455		1,416,676

				4,538,651


	Principal Amount (000)		U.S. $ Value
Communications - Telecommunications - 0.1%
Level 3 Financing, Inc.
2.49%-2.83%, 3/13/14 (e)	U.S.$	1,316	$	1,295,680

Consumer Cyclical - Automotive - 0.3%
Schaeffler AG
1/27/17 (h)		2,100		2,108,862
TI Group Automotive Systems, L.L.C.
7.75%, 3/14/18 (e)		4,000		4,007,520

				6,116,382

Consumer Cyclical - Entertainment - 0.0%
Las Vegas Sands, LLC
2.75%, 11/23/16 (e)		873		842,381

Consumer Cyclical - Other - 0.1%
Caesars Entertainment Operating Company, Inc. (fka Harrah’s Operating Company, Inc.)
3.24%, 1/28/15 (e)		601		571,385
3.24%-3.47%, 1/28/15 (e)		543		516,776
November 2005 Land Investors, LLC (North Las Vegas Consortium)
7.25%, 4/30/10 (e) (f) (i)		2,179		0
Sabre Inc.
5.99%-6.03%, 9/30/17 (e)		2,172		2,066,437

				3,154,598

Consumer Cyclical - Retailers - 0.0%
Burlington Coat Factory Warehouse Corp.
6.25%, 2/23/17 (e)		958		962,967

Consumer Non-Cyclical - 0.3%
CHS/Community Health Systems, Inc.
3.97%-3.99%, 1/25/17 (e)		181		178,261
Harlan Laboratories, Inc. (fka Harlan Sprague Dawley, Inc.)
3.86%, 7/11/14 (e)		870		771,923
HCA Inc.
3.49%, 5/01/18 (e)		895		875,379
Immucor, Inc.
7.25%, 8/19/18 (e)		3,284		3,316,335
U.S. Foodservice, Inc.
2.74%, 7/03/14 (e)		987		952,086

				6,093,984

Energy - 0.0%
CITGO Petroleum Corporation
9.00%, 6/24/17 (e)		344		350,753
GBGH, LLC (US Energy)
6.00%, 6/09/13 (e) (i) (j)		258		19,328
14.00%, 6/09/14 (d) (e) (i) (j)		110		0

				370,081


	Principal Amount (000)		U.S. $ Value
Other Industrial - 0.0%
Gavilon Group LLC, The
6.00%, 12/06/16 (e)	U.S.$	324	$	322,840

Services - 0.1%
Advantage Sales & Marketing Inc.
5.25%, 12/18/17 (e)		839		838,066
Aveta Inc.
8.50%, 4/14/15 (e)		192		191,422
Global Cash Access, Inc.
7.00%, 3/01/16 (e)		338		337,334
ServiceMaster Co., (The)
2.75%, 7/24/14 (e)		62		60,775
2.75%-2.99%, 7/24/14 (e)		619		610,288
West Corporation
4.49%, 7/15/16 (e)		483		483,725

				2,521,610

Technology - 0.2%
Avaya Inc.
3.24%, 10/24/14 (e)		120		116,283
4.99%, 10/26/17 (e)		241		232,853
Eastman Kodak Company
8.50%, 7/20/13 (e)		827		840,451
First Data Corporation
2.99%, 9/24/14 (e)		875		841,779
IPC Systems, Inc.
5.49%-5.72%, 6/01/15 (e)		2,000		1,718,900
SunGard Data Systems Inc. (Solar Capital Corp.)
3.87%-4.15%, 2/28/16 (e)		311		310,958

				4,061,224

				39,586,956

Financial Institutions - 0.2%
Finance - 0.2%
Delos Aircraft Inc.
7.00%, 3/17/16 (e)		434		434,214
iStar Financial Inc.
5.25%, 3/31/16 (e)		4,000		3,935,000

				4,369,214

Utility - 0.1%
Electric - 0.1%
Texas Competitive Electric Holdings Company, LLC (TXU)
3.74%, 10/10/14 (e)		2,379		1,447,605

Total Bank Loans (cost $46,280,572)				45,403,775


	Principal Amount (000)		U.S. $ Value
COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.8%
Non-Agency Fixed Rate CMBS - 1.6%
Credit Suisse Mortgage Capital Certificates
Series 2006-C4, Class AM
5.509%, 9/15/39	U.S.$	13,000	$	12,647,544
LB-UBS Commercial Mortgage Trust
Series 2007-C2, Class AM
5.493%, 2/15/40		3,400		3,238,466
Merrill Lynch/Countrywide Commercial Mortgage Trust
Series 2006-4, Class AM
5.204%, 12/12/49		10,000		9,820,620
Morgan Stanley Capital I
Series 2006-IQ12, Class AMFX
5.37%, 12/15/43		8,500		8,758,876

				34,465,506

Non-Agency Floating Rate CMBS - 0.2%
Eclipse Ltd. Series 2007-1X, Class B
1.337%, 1/25/20 (c) (e)	GBP	59		51,814
GS Mortgage Securities Corp II
5.309%, 8/10/44 (c) (e)	U.S.$	5,651		5,646,987

				5,698,801

Total Commercial Mortgage-Backed Securities (cost $36,043,098)				40,164,307

EMERGING MARKETS - SOVEREIGNS - 1.2%
Argentina - 0.7%
Republic of Argentina
7.82%, 12/31/33	EUR	19,356		16,134,530

Belarus - 0.2%
Republic of Belarus
8.95%, 1/26/18 (c)	U.S.$	3,743		3,368,700

El Salvador - 0.3%
El Salvador
7.65%, 6/15/35 (c)		5,957		6,076,140

Total Emerging Markets - Sovereigns (cost $24,454,820)				25,579,370

GOVERNMENTS - SOVEREIGN BONDS - 0.8%
Croatia - 0.4%
Croatia Government International Bond
6.375%, 3/24/21 (c)		4,600		4,398,750
Republic of Croatia
6.375%, 3/24/21 (c)		1,230		1,176,187
6.75%, 11/05/19 (c)		2,750		2,736,250

				8,311,187


	Principal Amount (000)		U.S. $ Value
Indonesia - 0.1%
Republic of Indonesia
6.625%, 2/17/37 (c)	U.S.$	720	$	883,800
8.50%, 10/12/35 (c)		801		1,189,485

				2,073,285

Lithuania - 0.3%
Lithuania Government International Bond
6.625%, 2/01/22 (c)		6,489		7,170,345

Total Governments - Sovereign Bonds (cost $16,465,477)				17,554,817


LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.5%
United States - 0.5%
California GO
7.95%, 3/01/36		3,955		4,584,676
Illinois GO
7.35%, 7/01/35		3,330		3,898,098
Texas Transp Comm (Texas St Hwy Fund First Tier)
5.178%, 4/01/30		2,560		2,986,752

Total Local Governments - Municipal Bonds (cost $9,888,786)				11,469,526


	Shares
PREFERRED STOCKS - 0.4%
Financial Institutions - 0.4%
Banking - 0.2%
US Bancorp
6.50%		180,000		4,894,200

Finance - 0.1%
Ally Financial, Inc.
7.00% (c)		2,680		2,232,691

REITS - 0.1%
Health Care REIT, Inc.
6.50%		54,775		1,376,441

				8,503,332

Non Corporate Sectors - 0.0%
Agencies - Government Sponsored - 0.0%
Federal National Mortgage Association
8.25%		125,325		172,949

Total Preferred Stocks (cost $9,538,299)				8,676,281


	Principal Amount (000)
GOVERNMENTS - SOVEREIGN AGENCIES - 0.2%
Norway - 0.2%
Eksportfinans ASA
2.00%, 9/15/15	U.S.$	315		279,481
2.375%, 5/25/16		3,728		3,286,038

Total Governments - Sovereign Agencies (cost $3,431,488)				3,565,519


	Principal Amount (000)		U.S. $ Value
ASSET-BACKED SECURITIES - 0.1%
Autos - Floating Rate - 0.1%
Wheels SPV LLC Series 2009-1, Class A
1.792%, 3/15/18 (c) (e) (cost $1,178,364)	U.S.$	1,174	$	1,176,176


	Shares
COMMON STOCKS - 0.0%
Gallery Media (j) (k) (l) (cost $0)		697		906,100


	Principal Amount (000)
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.0%
Non-Agency Fixed Rate - 0.0%
Merrill Lynch Mortgage Investors, Inc.
Series 2005-A9, Class 2A1A
2.572%, 12/25/35	U.S.$	196		195,465

Agency Fixed Rate - 0.0%
Government National Mortgage Association
Series 2006-32, Class XM
0.235%, 11/16/45(m)		2,771		35,585

Total Collateralized Mortgage Obligations (cost $437,339)				231,050


	Contracts

OPTIONS PURCHASED - PUTS - 0.0%
Options on Forward Contracts - 0.0%
CNY/USD Expiration: Aug 2012, Exercise Price: CNY 7.00 (k) (cost $448,298)		1,080,000,000		171


	Shares
WARRANTS - 0.0%
GBGH, LLC, expiring 6/09/19 (i) (j) (k)		517		0
Ion Media Networks, expiring 12/12/39 (i) (j) (k)		1,264		0


	Shares		U.S. $ Value
Ion Media Networks, expiring 12/31/49 (i) (j) (k)		1,248	$	0

Total Warrants (cost $0)				0


SHORT-TERM INVESTMENTS - 0.2%
Investment Companies - 0.2%
AllianceBernstein Fixed-Income Shares, Inc. - Government STIF Portfolio, 0.09% (n) (cost $4,652,534)		4,652,534		4,652,534

Total Investments - 146.1% (cost $3,113,532,508) (o)				3,203,754,121
Other assets less liabilities - (46.1)%				(1,010,198,372	)

Net Assets - 100.0%			$	2,193,555,749

FUTURES CONTRACTS


Type	Number of Contracts		Expiration Month		Original Value		Value at March 31, 2012		Unrealized Appreciation/ (Depreciation)
Sold Contracts
U.S. T-Bond 30 Yr Futures		1,247		June 2012	$	177,630,803	$	171,774,250	$	5,856,553
U.S. T-Note 5 Yr Futures		1,014		June 2012		124,848,700		124,254,610		594,090
U.S. T-Note 10 Yr Futures		2,951		June 2012		387,756,345		382,108,390		5,647,955

									$	12,098,598

FORWARD CURRENCY EXCHANGE CONTRACTS


Counterparty & Description	Contract Amount (000)		U.S. $ Value on Origination Date		U.S. $ Value at March 31, 2012		Unrealized Appreciation/ (Depreciation)
Buy Contracts
Barclays Bank PLC Wholesale:
Indian Rupee settling 4/30/12(1)		547,072	$	10,593,963	$	10,687,579	$	93,616
Malaysian Ringgit settling 4/27/12(1)		33,863		10,974,840		11,045,001		70,161
BNP Paribas SA:
South Korean Won settling 4/20/12		12,493,742		11,060,324		11,012,052		(48,272	)
Citibank N.A.:
Turkish Lira settling 5/14/12		38,905		21,271,616		21,621,761		350,145
Credit Suisse London Branch (GFX):
South African Rand settling 5/14/12		2,835		364,095		367,444		3,349
Goldman Sachs International:
Brazilian Real settling 4/03/12		27,893		15,308,265		15,280,172		(28,093	)


Counterparty & Description	Contract Amount (000)		U.S. $ Value on Origination Date		U.S. $ Value at March 31, 2012		Unrealized Appreciation/ (Depreciation)
New Zealand Dollar settling 4/19/12(2)		13,509	$	11,093,237	$	11,049,592	$	(43,645	)
Russian Rubles settling 4/19/12(1)		277,483		9,317,462		9,439,584		122,122
Morgan Stanley and Co., Inc.:
Brazilian Real settling 4/03/12		27,893		15,355,458		15,280,172		(75,286	)
Royal Bank of Scotland PLC:
Mexican Peso settling 4/27/12		284,184		22,095,728		22,161,032		65,304
Norwegian Krone settling 5/23/12		247,542		43,391,421		43,385,061		(6,360	)
Swedish Krona settling 5/23/12		10,386		1,549,486		1,566,771		17,285
Standard Chartered Bank:
Chinese Yuan Renminbi settling 4/20/12(1)		176,203		28,002,014		27,950,503		(51,511	)
Singapore Dollar settling 4/27/12		14,077		11,130,565		11,198,737		68,172
South African Rand settling 5/14/12		3,259		423,352		422,298		(1,054	)
UBS AG:
Australian Dollar settling 4/19/12		32,385		33,971,247		33,485,366		(485,881	)
Sale Contracts
Barclays Bank PLC Wholesale:
Canadian Dollar settling 5/15/12		23,413		23,459,481		23,453,045		6,436
Great British Pound settling 5/10/12		2,616		4,174,181		4,182,498		(8,317	)
Goldman Sachs International:
Australian Dollar settling 4/19/12(2)		10,533		11,093,237		10,890,580		202,657
Brazilian Real settling 4/03/12		27,893		16,202,841		15,280,172		922,669
HSBC Bank USA:
Canadian Dollar settling 4/03/12		23,413		23,694,855		23,472,754		222,101
Morgan Stanley and Co., Inc.:
Brazilian Real settling 4/03/12		27,893		15,308,265		15,280,172		28,093
Brazilian Real settling 5/03/12		27,893		15,258,022		15,175,838		82,184
Euro settling 5/10/12		78,615		104,868,665		104,866,475		2,190
Standard Chartered Bank:
Chinese Yuan Renminbi settling 4/20/12(1)		175,489		27,780,436		27,837,297		(56,861	)
UBS AG:
Japanese Yen settling 5/11/12		4,185,788		50,233,273		50,587,357		(354,084	)

							$	1,097,120

(1)

Contract represents non-deliverable forward where payment is received from or paid to a counterparty based on the net realized gain/loss on settlement date.

(2)

Represents a cross currency of Australian Dollar and New Zealand Dollar.

CREDIT DEFAULT SWAP CONTRACTS ON INDICES


Swap Counterparty & Referenced Obligation	Fixed Deal (Pay) Receive Rate			Implied Credit Spread at March 31, 2012			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Credit Suisse First Boston:
CDX NAHY- Series 15 5 Year Index, 12/20/15*		5.00	%		6.39	%	$	5,050	$	(578,576	)	$	(409,831	)	$	(168,745	)
CDX NAHY- Series 15 5 Year Index, 12/20/15*		5.00	%		6.39	%		5,650		(647,317	)		(454,955	)		(192,362	)
Morgan Stanley Capital Services Inc.:
CDX-NAHY Series 15 5 Year Index, 12/20/15*		5.00			4.79			20,758		180,295			364,249			(183,954	)
CDX-NAHY Series 17 5 Year Index, 12/20/16*		5.00			5.50			42,680		(736,505	)		(4,593,685	)		3,857,180

															$	3,312,119

*	Termination date

REVERSE REPURCHASE AGREEMENTS


Broker	Interest Rate			Maturity		U.S. $ Value at March 31, 2012
Bank of America		0.17	%		5/24/12	$	109,037,980
Bank of America		0.22	%		5/21/12		98,251,562
Barclays Bank+		(4.25	)%*		—		2,012,145
Barclays Bank+		(2.00	)%*		—		543,437
Barclays Bank+		(1.63	)%*		—		628,906
Barclays Bank+		(0.50	)%*		—		1,225,296
Barclays Bank		0.15	%		4/10/12		54,515,215
Deutsche Bank		0.24	%		4/16/12		90,418,130
Deutsche Bank		0.24	%		4/24/12		53,453,526
Goldman Sachs		0.16	%		5/07/12		106,425,725
Goldman Sachs		0.17	%		5/15/12		44,428,970
HSBC		0.15	%		4/10/12		10,565,273
HSBC		0.17	%		4/19/12		106,645,140
HSBC		0.19	%		5/16/12		39,969,701
HSBC		0.22	%		6/06/12		37,718,492
ING+		(2.00	)%*		—		113,225
ING+		(0.75	)%*		—		1,414,084
ING+		(0.75	)%*		—		396,311
ING+		(0.50	)%*		—		2,226,243
ING+		(0.50	)%*		—		1,855,173
ING+		(0.50	)%*		—		390,147
ING+		(0.38	)%*		—		1,007,811
ING+		(0.38	)%*		—		743,954
ING+		(0.25	)%*		—		583,665
ING+		0.00	%		—		1,633,905
ING+		0.00	%		—		1,206,000
Jefferies Group, Inc.		0.16	%		5/09/12		66,729,762
Jefferies Group, Inc.		0.18	%		5/29/12		20,972,980
Jefferies Group, Inc.		0.19	%		5/14/12		100,397,106
JPMorgan Chase+		0.00	%		—		1,662,000
Morgan Stanley		0.24	%		4/26/12		76,773,583
Nomura International+		(0.05	)%*		—		805,173

						$	1,034,750,620

+	The reverse repurchase agreement matures on demand. The interest rate shown is a variable rate and was in effect on March 31, 2012.

*	Interest payment due from counterparty.

UNFUNDED LOAN COMMITMENTS

As of March 31, 2012, the Fund had the following unfunded loan commitment of $10,725,000, which could be extended at the option of the borrower:


Borrower	Unfunded Loan Commitments		Cost			Value
General Motors Holding, LLC Revolver LIBOR +2.75% 10/27/15	$	5,825,000	$	– 0	–	$	(594,965	)
Sandridge Energy, Inc. LIBOR +0.00% 4/15/12	$	4,900,000	$	– 0	–	$	– 0	–

(a)

Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. The market value of the collateral amounted to $1,027,763,841.

(b)

Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. The market value of the collateral amounted to $22,335,466.

(c)

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 March 31, 2012, the aggregate market value of these securities amounted to $432,463,226 or 19.7% of net assets.

(d)

Pay-In-Kind Payments (PIK).

(e)

Floating Rate Security. Stated interest rate was in effect at March 31, 2012.

(f)

Security is in default and is non-income producing.

(g)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security, which represents 0.07% of net assets as of March 31, 2012, is considered illiquid and restricted.

Restricted Securities

Acquisition
Date

Cost

Market
Value

Percentage
of
Net Assets

European Media Capital SA

10.00%, 2/01/15

8/18/10

2,447,339

1,575,204

0.07

(h)

This position or a portion of this position represents an unsettled loan purchase. At March 31, 2012, the market value and unrealized gain of these unsettled loan purchases amounted to $2,108,862 and $50,862, 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.

(i)

Illiquid security.

(j)

Fair valued.

(k)

Non-income producing security.

(l)

Restricted and illiquid security.

(m)

IO - Interest Only

(n)

Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.

(o)

As of March 31, 2012, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $121,606,333 and gross unrealized depreciation of investments was $(31,384,720), resulting in net unrealized appreciation of $90,221,613.

Currency Abbreviations:


BRL	-	Brazilian Real
CNY	-	Chinese Yuan Renminbi


EUR	-	Euro
GBP	-	Great British Pound
RUB	-	Russian Ruble
ZAR	-	South African Rand

Glossary:


ARMs	-	Adjustable Rate Mortgages
CDX-NAHY	-	North American High Yield Credit Default Swap Index
CMBS	-	Commercial Mortgage-Backed Securities
GO	-	General Obligation
OJSC	-	Open Joint Stock Company
REIT	-	Real Estate Investment Trust
STRIPS	-	Separate Trading of Registered Interest and Principle of Securities

AllianceBernstein Income Fund

March 31, 2012 (unaudited)

Country Breakdown*


86.8	%	United States
2.4	%	Russia
2.1	%	Brazil
0.9	%	United Kingdom
0.8	%	Canada
0.8	%	Kazakhstan
0.6	%	Mexico
0.5	%	Argentina
0.5	%	Netherlands
0.4	%	India
0.3	%	South Africa
0.3	%	Luxembourg
0.3	%	Germany
0.3	%	Indonesia
2.9	%	Other
0.1	%	Short-Term

All data are as of March 31, 2012. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. “Other” country weightings represent 0.3% or less in the following countries: Australia, Barbados, Belarus, China, Colombia, Croatia, El Salvador, France, Hong Kong, Ireland, Japan, Lithuania, Norway, Peru, Portugal, Spain, Switzerland, Ukraine, United Arab Emirates and Venezuela.

AllianceBernstein Income Fund

March 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 March 31, 2012:

Investments in Securities:

Level 1

Level 2

Level 3

Total

Assets:

Governments - Treasuries

– 0

–

1,784,051,641

– 0

–

1,784,051,641

Corporates - Investment Grades

– 0

–

358,573,380

– 0

–

358,573,380

Corporates - Non-Investment Grades

– 0

–

339,918,036

2,124,046

342,042,082

Agencies

– 0

–

216,684,962

– 0

–

216,684,962

Mortgage Pass-Throughs

– 0

–

212,481,265

– 0

–

212,481,265

Quasi-Sovereigns

– 0

–

80,131,350

– 0

–

80,131,350

Emerging Markets - Corporate Bonds

– 0

–

48,834,611

1,575,204

50,409,815

Bank Loans

– 0

–

– 0

–

45,403,775

Commercial Mortgage-Backed Securities

– 0

–

– 0

–

40,164,307

Emerging Markets - Sovereigns

– 0

–

25,579,370

– 0

–

25,579,370

Governments - Sovereign Bonds

– 0

–

17,554,817

– 0

–

17,554,817

Local Governments - Municipal Bonds

– 0

–

11,469,526

– 0

–

11,469,526

Preferred Stocks

6,443,590

2,232,691

– 0

–

8,676,281

Governments - Sovereign Agencies

– 0

–

3,565,519

– 0

–

3,565,519

Asset-Backed Security

– 0

–

1,176,176

– 0

–

1,176,176

Common Stocks

– 0

–

– 0

–

906,100

Collateralized Mortgage Obligations

– 0

–

35,585

195,465

231,050

Options Purchased - Puts

– 0

–

– 0

–

171

Warrants

– 0

–

– 0

–

– 0

–^

– 0

–

Short-Term Investments

4,652,534

– 0

–

– 0

–

4,652,534

Total Investments in Securities

11,096,124

3,102,288,929

90,369,068

3,203,754,121

Other Financial Instruments* :

Assets:

Futures Contracts

12,098,598

– 0

–

– 0

–

12,098,598

Forward Currency Exchange Contracts

– 0

–

2,256,484

– 0

–

2,256,484

Credit Default Swap Contracts

– 0

–

3,857,180

– 0

–

3,857,180

Liabilities:

Forward Currency Exchange Contracts

– 0

–

(1,159,364

)

– 0

–

(1,159,364

)

Credit Default Swap Contracts

– 0

–

(183,954

)

(361,107

)

(545,061

)

Unfunded Loan Commitments

– 0

–

– 0

–

(594,965

)

(594,965

)

Total

23,194,722

3,107,059,275

89,412,996

3,219,666,993

^	The Fund held securities with zero market value at period end.

*	Other financial instruments are derivative instruments, such as futures, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

There were no significant transfers between level 1 and level 2 during the reporting period.

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value. The transfers between levels of the fair value hierarchy assumes the financial instrument was transferred at the beginning of the reporting period.

Corporates - Non-
Investment
Grades

Emerging Markets -
Corporate Bonds

Bank Loans

Balance as of 12/31/11

1,250,452

1,630,799

39,984,562

Accrued discounts/(premiums)

(32,057

)

(53,876

)

104,689

Realized gain (loss)

– 0

–

– 0

–

49,164

Change in unrealized appreciation/depreciation

40,951

(1,719

)

1,143,906

Purchases

1,483,000

– 0

–

13,651,264

Sales

– 0

–

– 0

–

(9,529,810

)

Settlements

– 0

–

– 0

–

– 0

–

Transfers in to Level 3

(618,300

)

– 0

–

– 0

–

Transfers out of Level 3

– 0

–

– 0

–

– 0

–

Balance as of 3/31/12

2,124,046

1,575,204

45,403,775

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/12

40,951

(1,719

)

716,175

Commercial
Mortgage-Backed
Securities

Common Stocks

Collateralized
Mortgage
Obligations

Balance as of 12/31/11

49,535,691

871,250

354,833

Accrued discounts/(premiums)

51,399

– 0

–

150

Realized gain (loss)

1,283,231

– 0

–

9,897

Change in unrealized appreciation/depreciation

1,624,841

34,850

(8,503

)

Purchases

3,294,813

– 0

–

– 0

–

Sales

(15,625,668

)

– 0

–

(160,912

)

Settlements

– 0

–

– 0

–

– 0

–

Transfers in to Level 3

– 0

–

– 0

–

– 0

–

Transfers out of Level 3

– 0

–

– 0

–

– 0

–

Balance as of 3/31/12

40,164,307

906,100

195,465

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/12

2,251,733

34,850

(8,503

)

Options
Purchased - Puts

Warrants^

Credit Default
Swap Contracts

Balance as of 12/31/11

170,219

457,536

(1,421,444

)

Accrued discounts/(premiums)

– 0

–

– 0

–

– 0

–

Realized gain (loss)

– 0

–

– 0

–

135,236

Change in unrealized appreciation/depreciation

(170,048

)

(457,536

)

1,060,337

Purchases

– 0

–

– 0

–

– 0

–

Sales

– 0

–

– 0

–

– 0

–

Settlements

– 0

–

– 0

–

(135,236

)

Transfers in to Level 3

– 0

–

– 0

–

– 0

–

Transfers out of Level 3

– 0

–

– 0

–

– 0

–

Balance as of 3/31/12

171

– 0

–

(361,107

)

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/12

(170,048

)

– 0

–

1,060,337


	Unfunded Loan Commitments			Total
Balance as of 12/31/11	$	(760,162	)	$	92,073,736
Accrued discounts/(premiums)		28,972			99,277
Realized gain (loss)		– 0	–		1,477,528
Change in unrealized appreciation/depreciation		136,225			3,403,304
Purchases		– 0	–		18,429,077
Sales		– 0	–		(25,316,390	)
Settlements		– 0	–		(135,236	)
Transfers in to Level 3		– 0	–		(618,300	)
Transfers out of Level 3		– 0	–		– 0	–

Balance as of 3/31/12	$	(594,965	)	$	89,412,996

Net change in unrealized appreciation/depreciation from Investments held as of 3/31/12	$	136,225		$	4,060,001

^	The Fund held securities with zero market value at period end.

The following presents information about significant unobservable inputs related to the Fund’s material categories of Level 3 investments at March 31, 2012:


	Quantitative Information about Level 3 Fair Value Measurements
	Fair Value at 3/31/2012	Valuation Technique	Unobservable Input	Range
Commericial Mortgage-Backed Securities	$ 40,164,307	Discounted Cash Flow	Yield	4.649-6.686%
			Spread over Benchmark	328-540
		Consensus Pricing	Offered Quotes	55.142447

Bank Loans	$ 45,403,775	Consensus Pricing	Composite of Quotes	7.50-103.75

Asset-Backed Securities, Commercial Mortgage-Backed Securities and Collateralized Mortgage Obligations

Within the non-Agency Mortgage Backed (RMBS and CMO) as well as the non-Credit Card or non-Auto Loan backed Asset Backed Securities, due to the relative illiquidity of these markets, the inability of the Fund to observe trading activity in the markets, and the dealer quotes not being indicative to trade, the Fund has determined securities in these sectors generally warrant a Level 3 classification.

Because of the wide range of spreads and relatively low trading activity of similar securities, the Fund’s Valuation Committee engages in a regular review process of such securities which meets as often as daily, and involves (as needed) participation from the Mortgage Trading Desk, Fixed Income Research, Risk, Pricing Group, Fund Accounting and Legal. The Fund’s Pricing Group gathers prices from Pricing Direct and IDC (and other vendors as deemed appropriate over time) and from major recognized dealers who make a market in these instruments. The Fund’s trading desk reports on trading activity and engages in dialogue with the trading personnel at the dealers. This review covers the entire portfolio of securities in this sector.

Because the Fund has declared these instruments as Level 3 (due to wide spreads, low quality ratings, and relatively low trading activity), significant inputs (including CPR, Loss Severity, and Probability of Default) generally considered observable are deemed unobservable in these asset classes. The Fund’s Valuation Committee periodically reviews these asset classes (as a standing practice) to confirm that the status remains unchanged. In the future, as markets become more liquid and thus typically more observable, it is possible that these markets may be adjusted to Level 2.

The significant unobservable inputs used in the fair value measurement of the Fund’s Collateralized Mortgage Obligation Securities are CPR, Loss Severity, and Probability of Default. On non-evaluated assets, broker quotes are used when other market information not available to produce an evaluation and are considered non-observable. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.

Bank Loans

The significant unobservable inputs used in the fair value measurement of the Fund’s Bank Loans are the market quotes that are received by the vendor and aggregated into the consensus price.

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 Income Fund, Inc.


By:		/s/ Robert M. Keith
		Robert M. Keith
		President

Date:		May 23, 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:		May 23, 2012

By:		/s/ Joseph J. Mantineo
		Joseph J. Mantineo
		Treasurer and Chief Financial Officer

Date:		May 23, 2012