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: 811-21034

SANFORD C. BERNSTEIN FUND II, 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, 2013

Date of reporting period: December 31, 2012

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

Sanford C. Bernstein Fund II, Inc. - Intermediate Duration Institutional Portfolio

Portfolio of Investments

December 31, 2012 (unaudited)

 

            Principal
Amount
(000) 		       U.S. $ Value  

CORPORATES - INVESTMENT GRADES - 28.7%

          

Industrial - 13.2%

          

Basic - 1.2%

          

Alcoa, Inc.

          

5.40%, 4/15/21

     U.S.$         1,655         $ 1,722,544   

AngloGold Ashanti Holdings PLC

          

5.375%, 4/15/20

        1,535           1,584,214   

BHP Billiton Finance USA Ltd.

          

7.25%, 3/01/16

        47           55,655   

Dow Chemical Co. (The)

          

4.125%, 11/15/21

        655           717,568   

5.25%, 11/15/41

        640           713,797   

7.375%, 11/01/29

        165           218,589   

7.60%, 5/15/14

        556           607,030   

8.55%, 5/15/19

        672           907,251   

International Paper Co.

          

4.75%, 2/15/22

        1,100           1,244,689   

7.95%, 6/15/18

        1,415           1,829,349   

Vale SA

          

5.625%, 9/11/42

        2,780           3,017,968   
          

 

 

 
             12,618,654   
          

 

 

 

Capital Goods - 0.6%

          

ADT Corp. (The)

          

3.50%, 7/15/22 (a)

        446           433,776   

Embraer SA

          

5.15%, 6/15/22

        749           820,155   

General Electric Co.

          

5.25%, 12/06/17

        230           271,204   

Owens Corning

          

6.50%, 12/01/16 (b)

        1,652           1,856,295   

Republic Services, Inc.

          

3.80%, 5/15/18

        16           17,590   

5.25%, 11/15/21

        933           1,099,634   

5.50%, 9/15/19

        1,288           1,525,306   

United Technologies Corp.

          

8.75%, 3/01/21

        160           229,798   
          

 

 

 
             6,253,758   
          

 

 

 

Communications - Media - 2.7%

          

CBS Corp.

          

3.375%, 3/01/22

        538           559,399   

5.75%, 4/15/20

        2,196           2,629,567   

8.875%, 5/15/19

        5           6,744   

Comcast Cable Communications Holdings, Inc.

          

9.455%, 11/15/22

        1,130           1,708,401   

Comcast Corp.

          

5.15%, 3/01/20

        2,095           2,483,128   

5.30%, 1/15/14

        15           15,738   

DirecTV Holdings LLC/DirecTV Financing Co., Inc.

          

3.80%, 3/15/22

        2,175           2,243,850   

4.60%, 2/15/21

        700           757,779   

4.75%, 10/01/14

        940           1,003,657   

Globo Comunicacao e Participacoes SA

          

5.307%, 5/11/22 (a)(c)

        784           854,560   

            Principal
Amount
(000) 		       U.S. $ Value  

NBCUniversal Media LLC

          

4.375%, 4/01/21

     U.S.$         530         $ 595,371   

News America, Inc.

          

6.15%, 3/01/37-2/15/41

        1,388           1,756,720   

6.55%, 3/15/33

        755           908,735   

9.25%, 2/01/13

        1,285           1,292,927   

Omnicom Group, Inc.

          

3.625%, 5/01/22

        957           996,925   

Reed Elsevier Capital, Inc.

          

8.625%, 1/15/19

        2,255           2,907,583   

TCI Communications, Inc.

          

7.875%, 2/15/26

        110           154,611   

Time Warner Cable, Inc.

          

7.50%, 4/01/14

        1,130           1,224,416   

Time Warner Entertainment Co. LP

          

8.375%, 3/15/23

        2,420           3,420,382   

WPP Finance UK

          

5.875%, 6/15/14

        10           10,603   

8.00%, 9/15/14

        2,145           2,372,027   
          

 

 

 
             27,903,123   
          

 

 

 

Communications - Telecommunications - 1.6%

          

American Tower Corp.

          

5.05%, 9/01/20

        2,180           2,444,763   

AT&T, Inc.

          

4.30%, 12/15/42 (a)

        567           569,468   

4.45%, 5/15/21

        1,244           1,436,646   

5.35%, 9/01/40

        481           560,148   

5.60%, 5/15/18

        6           7,238   

BellSouth Corp.

          

5.20%, 9/15/14

        37           39,742   

BellSouth Telecommunications, Inc.

          

7.00%, 10/01/25

        135           170,832   

British Telecommunications PLC

          

2.00%, 6/22/15

        1,178           1,211,005   

5.95%, 1/15/18

        314           375,244   

Deutsche Telekom International Finance BV

          

4.875%, 3/06/42 (a)

        2,452           2,617,478   

Pacific Bell Telephone Co.

          

6.625%, 10/15/34

        170           178,153   

Rogers Communications, Inc.

          

4.00%, 6/06/22

     CAD         256           268,225   

Telecom Italia Capital SA

          

6.375%, 11/15/33

     U.S.$         290           292,175   

7.175%, 6/18/19

        910           1,056,055   

Telefonica Emisiones SAU

          

5.462%, 2/16/21

        1,075           1,146,219   

United States Cellular Corp.

          

6.70%, 12/15/33

        1,380           1,447,952   

Verizon Communications, Inc.

          

2.00%, 11/01/16

        6           6,210   

4.60%, 4/01/21

        83           96,879   

5.55%, 2/15/16

        135           153,729   

6.10%, 4/15/18

        37           45,495   

            Principal
Amount
(000) 		       U.S. $ Value  

Vodafone Group PLC

          

6.15%, 2/27/37

     U.S.$         1,955         $ 2,585,830   
          

 

 

 
             16,709,486   
          

 

 

 

Consumer Cyclical - Automotive - 0.6%

          

Ford Motor Credit Co. LLC

          

5.00%, 5/15/18

        4,132           4,559,397   

Harley-Davidson Funding Corp.

          

5.75%, 12/15/14 (a)

        1,798           1,963,571   
          

 

 

 
             6,522,968   
          

 

 

 

Consumer Cyclical - Entertainment - 0.4%

          

Time Warner, Inc.

          

4.70%, 1/15/21

        1,130           1,286,450   

7.625%, 4/15/31

        115           158,318   

Turner Broadcasting System, Inc.

          

8.375%, 7/01/13

        2,109           2,189,283   

Viacom, Inc.

          

5.625%, 9/15/19

        505           603,635   
          

 

 

 
             4,237,686   
          

 

 

 

Consumer Cyclical - Other - 0.3%

          

Marriott International, Inc./DE Series J

          

5.625%, 2/15/13

        2,371           2,383,744   
          

 

 

 

Consumer Cyclical - Retailers - 0.4%

          

Kohl’s Corp.

          

3.25%, 2/01/23

        960           932,123   

Macy’s Retail Holdings, Inc.

          

3.875%, 1/15/22

        2,710           2,888,505   
          

 

 

 
             3,820,628   
          

 

 

 

Consumer Non-Cyclical - 1.6%

          

Ahold Finance USA LLC

          

6.875%, 5/01/29

        2,260           2,883,742   

Archer-Daniels-Midland Co.

          

4.479%, 3/01/21

        18           20,337   

Bunge Ltd. Finance Corp.

          

5.10%, 7/15/15

        1,091           1,181,146   

5.875%, 5/15/13

        1,700           1,730,144   

8.50%, 6/15/19

        19           24,447   

Cadbury Schweppes US Finance LLC

          

5.125%, 10/01/13 (a)

        2,305           2,372,140   

Diageo Capital PLC

          

7.375%, 1/15/14

        25           26,738   

Johnson & Johnson

          

6.95%, 9/01/29

        135           191,838   

Kimberly-Clark Corp.

          

3.875%, 3/01/21

        35           39,126   

Kroger Co. (The)

          

3.40%, 4/15/22

        1,961           2,027,998   

Laboratory Corp. of America Holdings

          

2.20%, 8/23/17

        306           314,092   

PepsiCo, Inc.

          

5.00%, 6/01/18

        180           213,488   

            Principal
Amount
(000) 		       U.S. $ Value  

Pfizer, Inc.

          

5.35%, 3/15/15

     U.S.$         6         $ 6,608   

6.20%, 3/15/19

        35           44,239   

Reynolds American, Inc.

          

3.25%, 11/01/22

        1,278           1,283,745   

Tyson Foods, Inc.

          

4.50%, 6/15/22

        2,820           3,052,695   

6.60%, 4/01/16 (d)

        15           17,189   

Watson Pharmaceuticals, Inc.

          

3.25%, 10/01/22

        998           1,018,806   
          

 

 

 
             16,448,518   
          

 

 

 

Energy - 2.4%

          

Anadarko Petroleum Corp.

          

6.45%, 9/15/36

        714           894,476   

Canadian Natural Resources Ltd.

          

5.15%, 2/01/13

        10           10,035   

ConocoPhillips

          

4.60%, 1/15/15

        6           6,484   

ConocoPhillips Holding Co.

          

6.95%, 4/15/29

        40           55,767   

Encana Corp.

          

3.90%, 11/15/21

        3,385           3,676,591   

Marathon Petroleum Corp.

          

3.50%, 3/01/16

        369           392,804   

5.125%, 3/01/21

        1,856           2,184,215   

Nabors Industries, Inc.

          

9.25%, 1/15/19

        1,908           2,522,470   

Noble Energy, Inc.

          

8.25%, 3/01/19

        2,259           2,960,704   

Noble Holding International Ltd.

          

4.90%, 8/01/20

        192           215,949   

Phillips 66

          

4.30%, 4/01/22 (a)

        2,860           3,199,787   

Reliance Holdings USA, Inc.

          

5.40%, 2/14/22 (a)

        2,256           2,499,290   

Transocean, Inc.

          

2.50%, 10/15/17

        1,245           1,258,097   

Valero Energy Corp.

          

6.125%, 2/01/20

        1,599           1,944,360   

Weatherford International Ltd./Bermuda

          

5.125%, 9/15/20

        1,565           1,724,614   

6.00%, 3/15/18

        164           187,381   

9.625%, 3/01/19

        1,065           1,389,436   
          

 

 

 
             25,122,460   
          

 

 

 

Technology - 0.7%

          

Agilent Technologies, Inc.

          

5.00%, 7/15/20

        388           444,872   

Baidu, Inc.

          

2.25%, 11/28/17

        608           611,770   

Hewlett-Packard Co.

          

4.65%, 12/09/21

        1,311           1,316,100   

HP Enterprise Services LLC

          

7.45%, 10/15/29

        15           17,588   

Intel Corp.

          

4.80%, 10/01/41

        1,015           1,117,116   

            Principal
Amount
(000) 		       U.S. $ Value  

Motorola Solutions, Inc.

          

7.50%, 5/15/25

     U.S.$         240         $ 302,568   

Oracle Corp.

          

5.25%, 1/15/16

        53           59,975   

Telefonaktiebolaget LM Ericsson

          

4.125%, 5/15/22

        2,830           2,941,205   

Xerox Corp.

          

8.25%, 5/15/14

        451           491,944   
          

 

 

 
             7,303,138   
          

 

 

 

Transportation - Airlines - 0.2%

          

Southwest Airlines Co.

          

5.25%, 10/01/14

        1,220           1,298,431   

5.75%, 12/15/16

        850           961,280   
          

 

 

 
             2,259,711   
          

 

 

 

Transportation - Services - 0.5%

          

Asciano Finance Ltd.

          

3.125%, 9/23/15 (a)

        2,550           2,611,873   

Con-way, Inc.

          

6.70%, 5/01/34

        958           1,019,554   

Ryder System, Inc.

          

5.85%, 11/01/16

        680           770,186   

7.20%, 9/01/15

        670           767,328   
          

 

 

 
             5,168,941   
          

 

 

 
             136,752,815   
          

 

 

 

Financial Institutions - 11.4%

          

Banking - 7.2%

          

American Express Co.

          

2.65%, 12/02/22 (a)

        11           10,956   

Bank of America Corp.

          

5.625%, 7/01/20

        35           41,497   

5.70%, 1/24/22

        310           372,790   

5.875%, 2/07/42

        1,751           2,184,528   

7.375%, 5/15/14

        15           16,243   

7.625%, 6/01/19

        1,435           1,836,184   

Series L

          

5.65%, 5/01/18

        2,385           2,774,812   

Barclays Bank PLC

          

6.625%, 3/30/22 (a)

     EUR         1,770           2,752,036   

7.625%, 11/21/22

     U.S.$         1,645           1,642,944   

Bear Stearns Cos. LLC (The)

          

5.30%, 10/30/15

        70           77,574   

5.55%, 1/22/17

        2,435           2,745,969   

5.70%, 11/15/14

        2,880           3,129,615   

Citigroup, Inc.

          

5.30%, 1/07/16

        20           22,126   

5.375%, 8/09/20

        1,644           1,937,369   

8.50%, 5/22/19

        2,650           3,563,288   

Compass Bank

          

5.50%, 4/01/20

        3,134           3,106,800   

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands

          

3.95%, 11/09/22

        1,189           1,217,576   

            Principal
Amount
(000) 		       U.S. $ Value  

Countrywide Financial Corp.

          

6.25%, 5/15/16

     U.S.$         1,040         $ 1,141,615   

DNB Bank ASA

          

3.20%, 4/03/17 (a)

        2,845           3,030,096   

Fifth Third Bancorp

          

3.50%, 3/15/22

        1,099           1,151,834   

6.25%, 5/01/13

        15           15,285   

Goldman Sachs Group, Inc. (The)

          

4.75%, 7/15/13

        115           117,412   

5.00%, 10/01/14

        8           8,522   

5.125%, 1/15/15

        60           64,457   

5.35%, 1/15/16

        230           254,241   

5.75%, 1/24/22

        1,395           1,649,186   

6.00%, 6/15/20

        2,335           2,774,475   

7.50%, 2/15/19

        1,885           2,371,811   

HSBC Holdings PLC

          

4.00%, 3/30/22

        2,990           3,273,649   

5.10%, 4/05/21

        1,647           1,944,911   

ING Bank NV

          

2.00%, 9/25/15 (a)

        2,790           2,801,624   

JPMorgan Chase & Co.

          

3.70%, 1/20/15

        270           284,278   

4.40%, 7/22/20

        30           33,865   

4.50%, 1/24/22

        1,680           1,900,478   

4.625%, 5/10/21

        46           52,448   

4.75%, 3/01/15

        6           6,473   

Series 1

          

7.90%, 4/30/18

        684           774,979   

Macquarie Bank Ltd.

          

5.00%, 2/22/17 (a)

        505           552,319   

Macquarie Group Ltd.

          

4.875%, 8/10/17 (a)

        1,063           1,147,733   

Merrill Lynch & Co., Inc.

          

6.11%, 1/29/37

        125           136,444   

Morgan Stanley

          

5.30%, 3/01/13

        145           145,792   

7.25%, 4/01/32

        15           18,871   

Series G

          

5.50%, 7/24/20-7/28/21

        3,853           4,351,951   

6.625%, 4/01/18

        1,970           2,321,793   

National Capital Trust II

          

5.486%, 3/23/15 (a)

        645           645,713   

Nationwide Building Society

          

6.25%, 2/25/20 (a)

        2,605           3,076,620   

PNC Funding Corp.

          

5.125%, 2/08/20

        15           17,840   

Royal Bank of Scotland PLC (The)

          

9.50%, 3/16/22 (a)

        663           779,939   

Santander US Debt SAU

          

2.991%, 10/07/13 (a)

        2,555           2,559,318   

Societe Generale SA

          

2.50%, 1/15/14 (a)

        1,235           1,247,523   

SouthTrust Corp.

          

5.80%, 6/15/14

        15           15,984   

UBS AG/Stamford CT

          

7.625%, 8/17/22

        1,334           1,473,452   

            Principal
Amount
(000) 		       U.S. $ Value  

UFJ Finance Aruba AEC

          

6.75%, 7/15/13

     U.S.$         520         $ 536,423   

Unicredit Luxembourg Finance SA

          

6.00%, 10/31/17 (a)

        1,042           1,063,491   

Vesey Street Investment Trust I

          

4.404%, 9/01/16

        932           1,005,694   

Wachovia Bank NA

          

5.60%, 3/15/16

        150           168,810   

Wachovia Corp.

          

5.50%, 5/01/13

        2,560           2,602,560   
          

 

 

 
             74,952,216   
          

 

 

 

Finance - 0.6%

          

General Electric Capital Corp.

          

2.95%, 5/09/16

        22           23,174   

4.65%, 10/17/21

        1,127           1,285,948   

4.80%, 5/01/13

        10           10,146   

5.375%, 10/20/16

        180           205,891   

5.40%, 2/15/17

        7           8,051   

5.625%, 5/01/18

        105           124,691   

5.875%, 1/14/38

        43           51,869   

Series A

          

6.90%, 9/15/15

        180           206,649   

HSBC Finance Corp.

          

5.25%, 1/15/14

        15           15,638   

6.676%, 1/15/21

        101           119,823   

SLM Corp.

          

7.25%, 1/25/22

        1,745           1,923,862   

Series A

          

5.375%, 1/15/13-5/15/14

        1,815           1,867,337   
          

 

 

 
             5,843,079   
          

 

 

 

Insurance - 2.6%

          

Allied World Assurance Co., Ltd.

          

7.50%, 8/01/16

        755           892,047   

Allstate Corp. (The)

          

6.125%, 5/15/37

        2,148           2,233,920   

Allstate Life Global Funding Trusts

          

5.375%, 4/30/13

        10           10,166   

American International Group, Inc.

          

3.80%, 3/22/17

        215           232,702   

4.875%, 6/01/22

        1,550           1,769,513   

6.40%, 12/15/20

        1,180           1,464,142   

Coventry Health Care, Inc.

          

5.95%, 3/15/17

        535           621,911   

6.125%, 1/15/15

        205           223,955   

6.30%, 8/15/14

        1,630           1,760,731   

Guardian Life Insurance Co. of America

          

7.375%, 9/30/39 (a)

        873           1,181,041   

Hartford Financial Services Group, Inc.

          

4.00%, 3/30/15

        505           533,626   

5.125%, 4/15/22

        1,075           1,240,389   

5.50%, 3/30/20

        1,341           1,558,074   

6.10%, 10/01/41

        110           130,727   

Humana, Inc.

          

6.30%, 8/01/18

        215           249,795   

6.45%, 6/01/16

        240           272,609   

            Principal
Amount
(000) 		       U.S. $ Value  

7.20%, 6/15/18

     U.S.$         595         $ 733,709   

Lincoln National Corp.

          

8.75%, 7/01/19

        670           895,988   

Massachusetts Mutual Life Insurance Co.

          

8.875%, 6/01/39 (a)

        615           928,676   

Metlife Capital Trust IV

          

7.875%, 12/15/37 (a)

        970           1,188,250   

MetLife, Inc.

          

4.75%, 2/08/21

        350           406,393   

5.00%, 6/15/15

        90           99,081   

7.717%, 2/15/19

        492           645,016   

Nationwide Mutual Insurance Co.

          

9.375%, 8/15/39 (a)

        2,095           2,947,833   

Prudential Financial, Inc.

          

5.625%, 6/15/43

        1,750           1,813,525   

WellPoint, Inc.

          

3.30%, 1/15/23

        986           1,011,641   

XL Group PLC

          

5.25%, 9/15/14

        1,545           1,645,173   

6.25%, 5/15/27

        155           184,080   
          

 

 

 
             26,874,713   
          

 

 

 

Other Finance - 0.2%

          

ORIX Corp.

          

4.71%, 4/27/15

        1,849           1,979,184   
          

 

 

 

REITS - 0.8%

          

ERP Operating LP

          

5.25%, 9/15/14

        165           177,245   

HCP, Inc.

          

5.375%, 2/01/21

        2,940           3,347,943   

Health Care REIT, Inc.

          

5.25%, 1/15/22

        2,940           3,273,828   

Healthcare Realty Trust, Inc.

          

5.125%, 4/01/14

        1,484           1,552,852   
          

 

 

 
             8,351,868   
          

 

 

 
             118,001,060   
          

 

 

 

Utility - 3.7%

          

Electric - 1.5%

          

Alabama Power Co.

          

3.95%, 6/01/21

        54           60,357   

Series 07A

          

5.55%, 2/01/17

        135           155,875   

Allegheny Energy Supply Co. LLC

          

5.75%, 10/15/19 (a)

        1,200           1,316,433   

Constellation Energy Group, Inc.

          

5.15%, 12/01/20

        546           624,144   

Duke Energy Carolinas LLC

          

3.90%, 6/15/21

        42           47,147   

Enersis SA/Cayman Island

          

7.375%, 1/15/14

        70           73,753   

FirstEnergy Corp.

          

Series C

          

7.375%, 11/15/31

        1,588           2,051,037   

            Principal
Amount
(000) 		       U.S. $ Value  

MidAmerican Energy Holdings Co.

          

6.125%, 4/01/36

   U.S.$           2,305         $ 2,909,696   

Nisource Finance Corp.

          

6.80%, 1/15/19

        2,590           3,178,184   

Pacific Gas & Electric Co.

          

4.50%, 12/15/41

        1,100           1,179,214   

6.05%, 3/01/34

        5           6,442   

Southern California Edison Co.

          

3.875%, 6/01/21

        18           20,309   

SPI Electricity & Gas Australia Holdings Pty Ltd.

          

6.15%, 11/15/13 (a)

        1,075           1,111,522   

TECO Finance, Inc.

          

4.00%, 3/15/16

        545           582,708   

5.15%, 3/15/20

        665           773,486   

Union Electric Co.

          

6.70%, 2/01/19

        240           302,742   

Wisconsin Energy Corp.

          

6.25%, 5/15/67

        1,169           1,258,136   
          

 

 

 
             15,651,185   
          

 

 

 

Natural Gas - 2.2%

          

DCP Midstream LLC

          

5.35%, 3/15/20 (a)

        554           611,431   

Energy Transfer Partners LP

          

4.65%, 6/01/21

        25           27,468   

5.95%, 2/01/15

        20           21,917   

6.125%, 2/15/17

        125           144,654   

6.625%, 10/15/36

        120           140,907   

6.70%, 7/01/18

        705           849,461   

7.50%, 7/01/38

        1,660           2,146,793   

Enterprise Products Operating LLC

          

5.20%, 9/01/20

        486           580,096   

Series G

          

5.60%, 10/15/14

        10           10,826   

EQT Corp.

          

8.125%, 6/01/19

        933           1,154,893   

Kinder Morgan Energy Partners LP

          

3.95%, 9/01/22

        3,120           3,336,079   

4.15%, 3/01/22

        655           709,679   

ONEOK, Inc.

          

4.25%, 2/01/22

        2,795           3,036,963   

Talent Yield Investments Ltd.

          

4.50%, 4/25/22 (a)

        2,845           3,093,807   

TransCanada PipeLines Ltd.

          

6.35%, 5/15/67

        2,485           2,663,624   

Williams Cos., Inc. (The)

          

3.70%, 1/15/23

        1,675           1,689,495   

Williams Partners LP

          

5.25%, 3/15/20

        1,796           2,068,906   
          

 

 

 
             22,286,999   
          

 

 

 
             37,938,184   
          

 

 

 

            Principal
Amount
(000) 		       U.S. $ Value  

Non Corporate Sectors - 0.4%

          

Agencies - Not Government Guaranteed - 0.4%

          

Gazprom OAO Via Gaz Capital SA

          

6.212%, 11/22/16 (a)

     U.S.$         1,978         $ 2,215,360   

Petrobras International Finance Co. - Pifco

          

5.375%, 1/27/21

        2,150           2,420,513   

5.75%, 1/20/20

        30           34,151   
          

 

 

 
             4,670,024   
          

 

 

 

Total Corporates - Investment Grades
(cost $268,720,544)

             297,362,083   
          

 

 

 

MORTGAGE PASS-THROUGHS - 23.1%

          

Agency Fixed Rate 30-Year - 19.1%

          

Federal Home Loan Mortgage Corp. Gold

          

4.50%, 5/01/39-2/01/41

        15,867           17,028,626   

5.50%, 4/01/38

        6,310           6,817,078   

Series 2005

          

5.50%, 1/01/35

        26           28,015   

Series 2007

          

5.50%, 7/01/35

        1,219           1,328,306   

Federal National Mortgage Association

          

3.00%, TBA

        15,090           15,811,491   

3.50%, TBA

        23,200           24,734,281   

4.00%, 1/01/41-12/01/41

        33,588           36,051,426   

4.50%, TBA

        17,110           18,482,142   

5.50%, 5/01/38-6/01/38

        9,600           10,439,192   

6.00%, TBA

        1,099           1,200,314   

6.00%, 9/01/37-10/01/40

        11,303           12,374,775   

Series 2003

          

5.00%, 11/01/33

        2,226           2,425,390   

5.50%, 4/01/33-7/01/33

        3,863           4,245,069   

Series 2004

          

5.50%, 2/01/34-11/01/34

        3,563           3,903,711   

6.00%, 9/01/34

        355           394,595   

Series 2005

          

4.50%, 8/01/35

        3,418           3,697,505   

5.50%, 2/01/35

        3,824           4,198,746   

6.00%, 4/01/35

        2,000           2,224,473   

Series 2006

          

5.00%, 2/01/36

        6,278           6,827,569   

5.50%, 4/01/36

        953           1,041,894   

6.00%, 11/01/36

        12           13,629   

Series 2007

          

4.50%, 9/01/35

        3,077           3,340,113   

5.00%, 11/01/35-7/01/36

        95           103,614   

5.50%, 5/01/36-8/01/37

        344           377,849   

6.00%, 3/01/37

        59           64,371   

Series 2008

          

5.50%, 12/01/35-3/01/37

        4,789           5,233,042   

6.00%, 3/01/37-5/01/38

        11,304           12,419,842   

Series 2010

          

6.00%, 2/01/40-4/01/40

        2,738           2,995,448   

Series 2011

          

4.00%, 12/01/41

        21           22,799   
          

 

 

 
             197,825,305   
          

 

 

 

            Principal
Amount
(000) 		       U.S. $ Value  

Agency Fixed Rate 15-Year - 3.1%

          

Federal National Mortgage Association

          

3.00%, TBA

     U.S.$         11,065         $ 11,678,762   

4.50%, TBA

        7,740           8,325,337   

4.50%, 12/01/13-7/01/26

        11,154           12,049,129   

Series 2008

          

4.50%, 5/01/23

        19           20,188   
          

 

 

 
             32,073,416   
          

 

 

 

Agency ARMs - 0.9%

          

Federal Home Loan Mortgage Corp.

          

2.369%, 4/01/35 (b)

        2,032           2,158,905   

2.384%, 11/01/35 (b)

        3,549           3,778,729   

2.938%, 5/01/35 (b)

        941           1,004,522   

Series 2006

          

3.068%, 12/01/36 (b)

        2           2,390   

Series 2007

          

3.276%, 3/01/37 (b)

        3           3,215   

Series 2008

          

2.774%, 11/01/37 (d)

        465           494,979   

Federal National Mortgage Association

          

Series 2003

          

2.81%, 12/01/33 (d)

        830           886,952   

Series 2007

          

2.34%, 3/01/34 (d)

        749           796,097   

2.418%, 2/01/37 (b)

        5           5,200   

2.913%, 3/01/37 (d)

        7           7,023   
          

 

 

 
             9,138,012   
          

 

 

 

Total Mortgage Pass-Throughs
(cost $232,522,571)

             239,036,733   
          

 

 

 

GOVERNMENTS - TREASURIES - 15.1%

          

United States - 15.1%

          

U.S. Treasury Bonds

          

2.75%, 11/15/42

        1,510           1,454,791   

3.00%, 5/15/42

        5,705           5,811,969   

4.50%, 2/15/36

        9,261           12,188,347   

4.625%, 2/15/40

        24,429           33,006,281   

8.125%, 8/15/21

        384           593,370   

U.S. Treasury Notes

          

0.625%, 8/31/17-11/30/17

        20,105           20,054,414   

0.75%, 6/30/17

        4,585           4,612,226   

0.875%, 1/31/17

        7,305           7,402,018   

1.00%, 8/31/16-3/31/17

        57,987           59,075,871   

1.375%, 5/15/13

        36           36,167   

1.625%, 8/15/22-11/15/22

        11,290           11,191,059   

2.125%, 8/15/21

        125           131,406   

2.625%, 11/15/20 (e)

        1,269           1,392,288   
          

 

 

 

Total Governments - Treasuries
(cost $147,214,958)

             156,950,207   
          

 

 

 

            Principal
Amount
(000) 		       U.S. $ Value  

ASSET-BACKED SECURITIES - 11.6%

          

Autos - Fixed Rate - 6.2%

          

Ally Auto Receivables Trust

          

Series 2012-1, Class A2

          

0.71%, 9/15/14

     U.S.$         1,769         $ 1,771,325   

Series 2012-5, Class A2

          

0.45%, 7/15/15

        1,655           1,654,833   

Ally Master Owner Trust

          

Series 2010-3, Class A

          

2.88%, 4/15/15 (a)

        3,235           3,257,176   

AmeriCredit Automobile Receivables Trust

          

Series 2011-4, Class A2

          

0.92%, 3/09/15

        737           737,580   

Series 2011-5, Class A2

          

1.19%, 8/08/15

        727           729,012   

Series 2012-3, Class A3

          

0.96%, 1/09/17

        3,225           3,244,543   

Series 2012-4, Class A2

          

0.49%, 4/08/16

        4,125           4,126,304   

Avis Budget Rental Car Funding AESOP LLC

          

Series 2012-3A, Class A

          

2.10%, 3/20/19 (a)

        2,070           2,111,584   

Bank of America Auto Trust

          

Series 2012-1, Class A4

          

1.03%, 12/15/16

        1,825           1,843,798   

CarMax Auto Owner Trust

          

Series 2012-1, Class A3

          

0.89%, 9/15/16

        1,460           1,469,897   

Exeter Automobile Receivables Trust

          

Series 2012-1A, Class A

          

2.02%, 8/15/16 (a)

        1,322           1,331,757   

Series 2012-2A, Class A

          

1.30%, 6/15/17 (a)

        2,424           2,429,106   

Ford Auto Securitization Trust

          

Series 2011-R3A, Class A2

          

1.96%, 7/15/15 (a)

     CAD         3,423           3,450,438   

Ford Credit Auto Lease Trust

          

Series 2012-B, Class A2

          

0.54%, 11/15/14

     U.S.$         3,158           3,159,796   

Ford Credit Auto Owner Trust

          

Series 2012-B, Class A4

          

1.00%, 9/15/17

        1,865           1,883,988   

Series 2012-D, Class B

          

1.01%, 5/15/18

        860           858,425   

Ford Credit Floorplan Master Owner Trust

          

Series 2012-4, Class A1

          

0.74%, 9/15/16

        6,340           6,342,793   

Mercedes-Benz Auto Lease Trust

          

Series 2011-B, Class A2

          

0.90%, 1/15/14 (a)

        1,689           1,690,703   

Mercedes-Benz Master Owner Trust 2012-A

          

Series 2012-AA, Class A

          

0.79%, 11/15/17 (a)

        2,803           2,799,095   

            Principal
Amount
(000) 		       U.S. $ Value  

Navistar Financial Corp. Owner Trust

          

Series 2012-A, Class A2

          

0.85%, 3/18/15 (a)

     U.S.$         3,346         $ 3,349,667   

Nissan Auto Lease Trust

          

Series 2012-A, Class A2A

          

0.68%, 7/15/14

        2,384           2,389,259   

Series 2012-B, Class A2A

          

0.45%, 6/15/15

        1,405           1,404,703   

Porsche Innovative Lease Owner Trust

          

Series 2011-1, Class A3

          

1.09%, 9/22/14 (a)

        3,630           3,644,981   

Santander Drive Auto Receivables Trust

          

Series 2012-3, Class A3

          

1.08%, 4/15/16

        3,010           3,030,245   

Series 2012-6, Class A2

          

0.47%, 9/15/15

        1,220           1,220,026   

SMART Trust/Australia

          

Series 2012-4US, Class A2A

          

0.67%, 6/14/15

        1,840           1,840,102   

Volkswagen Auto Loan Enhanced Trust

          

Series 2012-1, Class A2

          

0.61%, 10/20/14

        1,973           1,975,142   
          

 

 

 
             63,746,278   
          

 

 

 

Credit Cards - Fixed Rate - 2.8%

          

American Express Credit Account Master Trust

          

Series 2012-2, Class A

          

0.68%, 3/15/18

        5,970           5,990,054   

Series 2012-5, Class A

          

0.59%, 5/15/18

        3,090           3,090,229   

Chase Issuance Trust

          

Series 2012-A7, Class A7

          

2.16%, 9/16/24

        2,730           2,718,157   

Citibank Credit Card Issuance Trust

          

Series 2012-A1, Class A1

          

0.55%, 10/10/17

        3,260           3,257,296   

Discover Card Master Trust

          

Series 2012-A1, Class A1

          

0.81%, 8/15/17

        1,593           1,605,014   

Series 2012-A3, Class A3

          

0.86%, 11/15/17

        1,908           1,920,370   

Dryrock Issuance Trust

          

Series 2012-2, Class A

          

0.64%, 8/15/18

        3,070           3,068,175   

GE Capital Credit Card Master Note Trust

          

Series 2012-6, Class A

          

1.36%, 8/17/20

        2,960           3,001,750   

Series 2012-7, Class A

          

1.76%, 9/15/22

        2,560           2,560,508   

World Financial Network Credit Card Master Trust

          

Series 2012-B, Class A

          

1.76%, 5/17/21

        1,815           1,835,049   
          

 

 

 
             29,046,602   
          

 

 

 

            Principal
Amount
(000) 		       U.S. $ Value  

Autos - Floating Rate - 1.2%

          

BMW Floorplan Master Owner Trust

          

Series 2012-1A, Class A

          

0.609%, 9/15/17 (a)(b)

     U.S.$         4,362         $ 4,355,863   

Ford Credit Floorplan Master Owner Trust

          

Series 2010-3, Class A2

          

1.909%, 2/15/17 (a)(b)

        3,630           3,735,245   

GE Dealer Floorplan Master Note Trust

          

Series 2012-3, Class A

          

0.701%, 6/20/17 (b)

        4,155           4,173,635   
          

 

 

 
             12,264,743   
          

 

 

 

Other ABS - Fixed Rate - 0.7%

          

CIT Canada Equipment Receivables Trust

          

Series 2012-1A, Class A1

          

1.705%, 7/22/13 (a)

     CAD         632           635,447   

CIT Equipment Collateral

          

Series 2012-VT1, Class A3

          

1.10%, 8/22/16 (a)

     U.S.$         1,628           1,632,691   

CNH Equipment Trust

          

Series 2010-C, Class A3

          

1.17%, 5/15/15

        625           627,244   

Series 2012-A, Class A3

          

0.94%, 5/15/17

        2,213           2,229,031   

GE Equipment Midticket LLC

          

Series 2011-1, Class A3

          

1.00%, 8/24/15

        1,126           1,130,472   

GE Equipment Small Ticket LLC

          

Series 2011-2A, Class A2

          

1.14%, 6/23/14 (a)

        1,432           1,434,292   
          

 

 

 
             7,689,177   
          

 

 

 

Credit Cards - Floating Rate - 0.6%

          

Gracechurch Card Funding PLC

          

Series 2012-1A, Class A1

          

0.909%, 2/15/17 (a)(b)

        2,855           2,873,290   

Penarth Master Issuer PLC

          

Series 2012-1A, Class A1

          

0.779%, 3/18/14 (a)(b)

        3,298           3,304,794   
          

 

 

 
             6,178,084   
          

 

 

 

Home Equity Loans - Floating Rate - 0.1%

          

Asset Backed Funding Certificates

          

Series 2003-WF1, Class A2

          

1.335%, 12/25/32 (b)

        328           302,282   

HSBC Home Equity Loan Trust

          

Series 2005-3, Class A1

          

0.471%, 1/20/35 (b)

        423           409,500   

Series 2006-1, Class M1

          

0.491%, 1/20/36 (b)

        56           52,875   

            Principal
Amount
(000) 		       U.S. $ Value  

Wells Fargo Home Equity Trust

          

Series 2004-1, Class 1A

          

0.51%, 4/25/34 (b)

     U.S.$         157         $ 144,347   
          

 

 

 
             909,004   
          

 

 

 

Home Equity Loans - Fixed Rate - 0.0%

          

Citifinancial Mortgage Securities, Inc.

          

Series 2003-1, Class AFPT

          

3.86%, 1/25/33

        303           310,270   

Credit-Based Asset Servicing and Securitization LLC

          

Series 2003-CB1, Class AF

          

3.95%, 1/25/33

        132           130,280   
          

 

 

 
             440,550   
          

 

 

 

Total Asset-Backed Securities
(cost $119,931,819)

             120,274,438   
          

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES - 6.6%

          

Non-Agency Fixed Rate CMBS - 6.5%

          

Bear Stearns Commercial Mortgage Securities

          

Series 2004-T16, Class A5

          

4.60%, 2/13/46

        1,544           1,556,603   

Series 2006-PW12, Class A4

          

5.712%, 9/11/38

        1,375           1,573,978   

Citigroup Commercial Mortgage Trust

          

Series 2004-C1, Class A4

          

5.36%, 4/15/40

        390           409,748   

Commercial Mortgage Pass Through Certificates

          

Series 2005-C6, Class A5A

          

5.116%, 6/10/44

        1,575           1,738,060   

Credit Suisse First Boston Mortgage Securities Corp.

          

Series 2004-C1, Class A4

          

4.75%, 1/15/37

        1,108           1,143,085   

Series 2005-C1, Class A4

          

5.014%, 2/15/38

        4,205           4,529,323   

Credit Suisse Mortgage Capital Certificates

          

Series 2006-C3, Class A3

          

5.804%, 6/15/38

        5,080           5,766,755   

CW Capital Cobalt Ltd.

          

Series 2007-C3, Class A4

          

5.803%, 5/15/46

        2,630           3,099,110   

Greenwich Capital Commercial Funding Corp.

          

Series 2003-C1, Class A4

          

4.111%, 7/05/35

        29           29,328   

Series 2007-GG9, Class A4

          

5.444%, 3/10/39

        5,180           5,965,915   

GS Mortgage Securities Corp. II

          

Series 2004-GG2, Class A6

          

5.396%, 8/10/38

        100           105,668   

Series 2012-GCJ7, Class A4

          

3.377%, 5/10/45

        5,465           5,916,442   

Series 2012-GCJ9, Class A3

          

2.773%, 11/10/45

        3,634           3,655,882   

            Principal
Amount
(000) 		       U.S. $ Value  

JP Morgan Chase Commercial Mortgage Securities Corp.

          

Series 2005-CB11, Class A4

          

5.335%, 8/12/37

     U.S.$         40         $ 43,745   

Series 2006-CB14, Class A4

          

5.481%, 12/12/44

        1,395           1,567,836   

Series 2006-CB16, Class A4

          

5.552%, 5/12/45

        3,730           4,284,808   

Series 2007-CB19, Class A4

          

5.728%, 2/12/49

        45           52,775   

Series 2007-LD11, Class A4

          

5.812%, 6/15/49

        5,165           6,023,165   

Series 2007-LDPX, Class A3

          

5.42%, 1/15/49

        5,075           5,869,775   

Series 2010-C2, Class A1

          

2.749%, 11/15/43 (a)

        2,231           2,333,642   

LB-UBS Commercial Mortgage Trust

          

Series 2003-C3, Class A4

          

4.166%, 5/15/32

        188           188,645   

Series 2004-C4, Class A4

          

5.533%, 6/15/29

        170           180,639   

Series 2005-C1, Class A4

          

4.742%, 2/15/30

        125           133,627   

Series 2006-C1, Class A4

          

5.156%, 2/15/31

        310           346,093   

Series 2006-C3, Class A4

          

5.661%, 3/15/39

        855           970,307   

Series 2006-C4, Class A4

          

5.865%, 6/15/38

        285           329,089   

Series 2007-C1, Class A4

          

5.424%, 2/15/40

        2,892           3,356,805   

Merrill Lynch/Countrywide Commercial Mortgage Trust

          

Series 2006-2, Class A4

          

5.893%, 6/12/46

        2,095           2,413,329   

Series 2006-3, Class A4

          

5.414%, 7/12/46

        25           28,744   

Series 2007-9, Class A4

          

5.70%, 9/12/49

        270           316,632   

Motel 6 Trust

          

Series 2012-MTL6, Class A2

          

1.948%, 10/05/25 (a)

        2,019           2,034,086   

WF-RBS Commercial Mortgage Trust

          

Series 2012-C10, Class A3

          

2.875%, 12/15/45

        1,671           1,725,206   
          

 

 

 
             67,688,845   
          

 

 

 

Non-Agency Floating Rate CMBS - 0.1%

          

GS Mortgage Securities Corp. II

          

Series 2007-EOP, Class E

          

2.476%, 3/06/20 (a)(b)

        1,075           1,078,326   
          

 

 

 

Agency CMBS - 0.0%

          

FHLMC Multifamily Structured Pass Through Certificates

          

Series K010, Class A1

          

3.32%, 7/25/20

        61           66,608   
          

 

 

 

            Principal
Amount
(000) 		       U.S. $ Value  

Total Commercial Mortgage-Backed Securities
(cost $63,155,662)

           $ 68,833,779   
          

 

 

 

AGENCIES - 6.2%

          

Agency Debentures - 6.2%

          

Federal Farm Credit Bank

          

0.242%, 9/29/14 (b)

     U.S.$         2,845           2,846,283   

0.27%, 6/26/13 (b)

        300           300,140   

Federal Home Loan Mortgage Corp.

          

2.375%, 1/13/22

        13,130           13,716,583   

Federal National Mortgage Association

          

6.25%, 5/15/29

        8,296           11,917,959   

6.625%, 11/15/30

        9,565           14,567,533   

Residual Funding Corp. Principal Strip

          

Zero Coupon, 7/15/20

        24,195           21,385,501   
          

 

 

 

Total Agencies
(cost $56,254,271)

             64,733,999   
          

 

 

 

CORPORATES - NON-INVESTMENT GRADES - 1.7%

          

Industrial - 1.1%

          

Basic - 0.3%

          

Basell Finance Co. BV

          

8.10%, 3/15/27 (a)

        790           1,054,650   

LyondellBasell Industries NV

          

5.75%, 4/15/24

        1,481           1,740,175   
          

 

 

 
             2,794,825   
          

 

 

 

Capital Goods - 0.4%

          

B/E Aerospace, Inc.

          

5.25%, 4/01/22

        1,715           1,817,900   

Ball Corp.

          

5.00%, 3/15/22

        1,710           1,829,700   
          

 

 

 
             3,647,600   
          

 

 

 

Consumer Cyclical - Other - 0.3%

          

Host Hotels & Resorts LP

          

5.25%, 3/15/22

        1,140           1,248,300   

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

          

5.375%, 3/15/22 (f)

        1,720           1,827,500   
          

 

 

 
             3,075,800   
          

 

 

 

Consumer Cyclical - Retailers - 0.0%

          

Dollar General Corp.

          

4.125%, 7/15/17

        459           481,950   
          

 

 

 

Energy - 0.1%

          

Cimarex Energy Co.

          

5.875%, 5/01/22

        820           897,900   
          

 

 

 
             10,898,075   
          

 

 

 

Financial Institutions - 0.5%

          

Banking - 0.4%

          

ABN Amro Bank NV

          

4.31%, 3/10/16

     EUR         570           622,618   

            Principal
Amount
(000) 		       U.S. $ Value  

Citigroup, Inc.

          

5.95%, 1/30/23

     U.S.$         2,630         $ 2,662,875   

LBG Capital No.1 PLC

          

8.00%, 6/15/20 (a)

        1,185           1,226,475   

Royal Bank of Scotland Group PLC

          

5.00%, 10/01/14

        85           87,338   
          

 

 

 
             4,599,306   
          

 

 

 

Other Finance - 0.1%

          

Aviation Capital Group Corp.

          

7.125%, 10/15/20 (a)

        945           991,090   
          

 

 

 
             5,590,396   
          

 

 

 

Utility - 0.1%

          

Electric - 0.1%

          

CMS Energy Corp.

          

5.05%, 3/15/22

        920           1,025,309   
          

 

 

 

Total Corporates - Non-Investment Grades
(cost $15,263,690)

             17,513,780   
          

 

 

 

QUASI-SOVEREIGNS - 1.3%

          

Quasi-Sovereign Bonds - 1.3%

          

Indonesia - 0.2%

          

Perusahaan Listrik Negara PT

          

5.50%, 11/22/21 (a)

        2,009           2,270,170   
          

 

 

 

Kazakhstan - 0.2%

          

KazMunaiGaz Finance Sub BV

          

7.00%, 5/05/20 (a)

        1,426           1,775,370   
          

 

 

 

Malaysia - 0.3%

          

Petronas Capital Ltd.

          

5.25%, 8/12/19 (a)

        2,675           3,174,910   
          

 

 

 

South Korea - 0.3%

          

Korea National Oil Corp.

          

3.125%, 4/03/17 (a)

        2,845           2,984,695   
          

 

 

 

United Arab Emirates - 0.3%

          

IPIC GMTN Ltd.

          

3.75%, 3/01/17 (a)

        2,815           2,997,975   
          

 

 

 

Total Quasi-Sovereigns
(cost $11,735,921)

             13,203,120   
          

 

 

 

GOVERNMENTS - SOVEREIGN BONDS - 0.8%

          

Indonesia - 0.3%

          

Republic of Indonesia

          

5.25%, 1/17/42 (a)

        2,800           3,251,500   
          

 

 

 

Poland - 0.0%

          

Poland Government International Bond

          

3.875%, 7/16/15

        34           36,465   
          

 

 

 

            Principal
Amount
(000) 		       U.S. $ Value  

Qatar - 0.3%

          

State of Qatar

          

4.50%, 1/20/22 (a)

     U.S.$         2,532         $ 2,905,470   
          

 

 

 

Russia - 0.2%

          

Russian Foreign Bond - Eurobond

          

7.50%, 3/31/30 (a)

        1,331           1,710,114   
          

 

 

 

Total Governments - Sovereign Bonds
(cost $6,702,695)

             7,903,549   
          

 

 

 

COLLATERALIZED MORTGAGE OBLIGATIONS - 0.3%

          

Non-Agency Fixed Rate - 0.3%

          

Citigroup Mortgage Loan Trust, Inc.

          

Series 2005-2, Class 1A4

          

2.737%, 5/25/35

        1,068           1,020,747   

Countrywide Alternative Loan Trust

          

Series 2006-OA7, Class 1A1

          

2.078%, 6/25/46

        2,677           1,596,263   

JP Morgan Alternative Loan Trust

          

Series 2006-A3, Class 2A1

          

2.918%, 7/25/36

        429           268,797   

Merrill Lynch Mortgage Investors, Inc.

          

Series 2005-A8, Class A1C1

          

5.25%, 8/25/36

        100           101,060   

Residential Funding Mortgage Securities I

          

Series 2005-SA3, Class 3A

          

3.132%, 8/25/35

        37           33,863   
          

 

 

 
             3,020,730   
          

 

 

 

Agency Fixed Rate - 0.0%

          

Fannie Mae Grantor Trust

          

Series 2004-T5, Class AB4

          

0.748%, 5/28/35

        323           279,345   
          

 

 

 

Non-Agency Floating Rate - 0.0%

          

Sequoia Mortgage Trust

          

Series 2007-3, Class 1A1

          

0.411%, 7/20/36 (b)

        30           27,557   

WaMu Mortgage Pass Through Certificates

          

Series 2007-OA1, Class A1A

          

0.866%, 2/25/47 (b)

        63           46,710   
          

 

 

 
             74,267   
          

 

 

 

Total Collateralized Mortgage Obligations
(cost $4,571,350)

             3,374,342   
          

 

 

 

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.3%

          

United States - 0.3%

          

California GO

          

7.625%, 3/01/40

          

(cost $1,936,090)

        1,895           2,737,706   

            Principal
Amount
(000) 		       U.S. $ Value  

BANK LOANS - 0.1%

          

Industrial - 0.1%

          

Technology - 0.1%

          

IPC Systems, Inc.

          

5.46%, 6/01/15 (b)

          

(cost $750,000)

     U.S.$         750         $ 587,498   
          

 

 

 

EMERGING MARKETS - CORPORATE BONDS - 0.0%

          

Non Corporate Sectors - 0.0%

          

Agencies - Not Government Guaranteed - 0.0%

          

Israel Electric Corp., Ltd.

          

7.75%, 12/15/27 (a)

          

(cost $268,384)

        265           288,760   
          

 

 

 

GOVERNMENTS - SOVEREIGN AGENCIES - 0.0%

          

Germany - 0.0%

          

Landwirtschaftliche Rentenbank

          

5.125%, 2/01/17

          

(cost $16,764)

        15           17,593   
          

 

 

 
            Shares           

SHORT-TERM INVESTMENTS - 10.5%

          

Investment Companies - 5.7%

          

AllianceBerstein Fixed-Income Shares Inc. - Government STIF Portfolio, 0.15% (g)
(cost $59,411,190)

        59,411,190           59,411,190   
          

 

 

 
            Principal
Amount
(000) 		          

Repurchase Agreements - 1.9%

          

HSBC Securities New York 0.20%, dated 12/7/12 due 2/5/13 in the amount of $20,006,667 (collateralized by $20,150,000 U.S. Treasury Note, 1.00% due 1/15/14, value $20,412,633)
(cost $20,000,000)

     U.S.$         20,000           20,000,000   
          

 

 

 

Treasury Bill - 2.9%

          

Japan Treasury Discount Bill

          

Series 321

          

Zero Coupon, 2/12/13
(cost $31,684,773)

     JPY         2,610,000           30,123,156   
          

 

 

 

Total Short-Term Investments
(cost $111,095,963)

             109,534,346   
          

 

 

 

                 U.S. $ Value  

Total Investments - 106.3%
(cost $1,040,140,682) (h)

           $ 1,102,351,933   

Other assets less liabilities - (6.3)% (i)

             (65,369,409 ) 
          

 

 

 

Net Assets - 100.0%

           $ 1,036,982,524   
          

 

 

 

FUTURES CONTRACTS

 

Type

   Number
of
Contracts 		     Expiration
Month 		     Original
Value 		     Value at
December 31,
2012 		     Unrealized
Appreciation/
(Depreciation) 		 

Sold Contracts

              

U.S. T-Note 2 Yr Futures

     57         March 2013       $ 12,563,168       $ 12,566,719       $ (3,551 ) 

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty

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

Citibank NA

     EUR         2,308         USD         3,023         1/17/13       $ (24,326 ) 

Citibank NA

     JPY         2,610,000         USD         31,698         2/12/13         1,562,555   

Royal Bank of Canada

     CAD         4,394         USD         4,458         1/31/13         42,735   

Royal Bank of Scotland PLC

     USD         161         CAD         160         1/31/13         (172 ) 
                 

 

 

 
                  $ 1,580,792   
                 

 

 

 

INTEREST RATE SWAP CONTRACTS

 

                   Rate Type         

Swap Counterparty

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

JPMorgan Chase Bank NA

   $ 11,590         1/30/17         1.059 %      3 Month LIBOR       $ (238,388 ) 

JPMorgan Chase Bank NA

     12,780         2/7/22         2.043 %      3 Month LIBOR         (507,481 ) 
             

 

 

 
              $ (745,869 ) 
             

 

 

 

CREDIT DEFAULT SWAP CONTRACTS

 

Swap Counterparty & Referenced Obligation

   Fixed Rate
(Pay)
Receive 		    Implied Credit
Spread at
December 31, 2012 		    Notional
Amount
(000) 		     Market
Value 		    Upfront
Premiums
Paid
(Received) 		    Unrealized
Appreciation/
(Depreciation) 		 

Sale Contracts

             

Barclays Bank PLC:

             

Bank of America Corp.,

             

5.65% 5/01/18, 9/20/17*

     1.00 %      1.22 %    $ 280       $ (2,886 )    $ (18,336 )    $ 15,450   

Credit Suisse International:

             

Anadarko Petroleum Corp.,

             

5.95% 9/15/16, 9/20/17*

     1.00        1.51        3,000         (70,698 )      (99,623 )      28,925   
         

 

 

   

 

 

   

 

 

 
          $ (73,584 )    $ (117,959 )    $ 44,375   
         

 

 

   

 

 

   

 

 

 

 

* Termination date

REVERSE REPURCHASE AGREEMENTS

 

Broker

   Interest Rate     Maturity     U.S. $
Value at
December 31,
2012 		 

ING Bank Amsterdam +

     (0.75 )%*                  – 0  –       $ 1,821,944   

 

+ The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on December 31, 2012
* Interest payment due from counterparty.

 

(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, 2012, the aggregate market value of these securities amounted to $123,497,026 or 11.9% of net assets.
(b) Floating Rate Security. Stated interest rate was in effect at December 31, 2012.
(c) Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at December 31, 2012.
(d) Variable rate coupon, rate shown as of December 31, 2012.
(e) Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. The aggregate market value of these securities amounted to $678,255.
(f) Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. The market value of the collateral amounted to $1,806,250.
(g) Investment in affiliated money market mutual fund. The rate shown represents the 7-day yield as of period end.
(h) As of December 31, 2012, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $65,837,489 and gross unrealized depreciation of investments was $(3,626,238), resulting in net unrealized appreciation of $62,211,251.
(i) An amount of U.S. $12,825 has been segregated to collateralize margin requirements for the open futures contracts at December 31, 2012.

Currency Abbreviations:

 

CAD    -    Canadian Dollar
EUR    -    Euro
JPY    -    Japanese Yen
USD    -    United States Dollar

Glossary:

 

ABS    -    Asset-Backed Securities
ARMs    -    Adjustable Rate Mortgages
CMBS    -    Commercial Mortgage-Backed Securities
FHLMC    -    Federal Home Loan Mortgage Corporation
GO    -    General Obligation
LIBOR    -    London Interbank Offered Rates
REIT    -    Real Estate Investment Trust
TBA    -    To Be Announced

Sanford C. Bernstein Fund II, Inc. - Intermediate Duration Institutional Portfolio

December 31, 2012 (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 (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.

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 pricing services are generally categorized within Level 2. Those investments for which current observable 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, 2012:

 

Investments in Securities:

   Level 1     Level 2     Level 3     Total  

Assets:

        

Corporates - Investment Grades

   $ – 0  –    $ 297,362,083      $ – 0  –    $ 297,362,083   

Mortgage Pass - Throughs

     – 0  –      239,036,733        – 0  –      239,036,733   

Governments - Treasuries

     – 0  –      156,950,207        – 0  –      156,950,207   

Asset-Backed Securities

     – 0  –      111,235,707        9,038,731        120,274,438   

Commercial Mortgage-Backed Securities

     – 0  –      61,679,513        7,154,266        68,833,779   

Agencies

     – 0  –      64,733,999        – 0  –      64,733,999   

Corporates - Non-Investment Grades

     – 0  –      17,513,780        – 0  –      17,513,780   

Quasi-Sovereigns

     – 0  –      13,203,120        – 0  –      13,203,120   

Governments - Sovereign Bonds

     – 0  –      7,903,549        – 0  –      7,903,549   

Collateralized Mortgage Obligations

     – 0  –      279,345        3,094,997        3,374,342   

Local Governments - Municipal Bonds

     – 0  –      2,737,706        – 0  –      2,737,706   

Bank Loans

     – 0  –      – 0  –      587,498        587,498   

Emerging Markets - Corporate Bonds

     – 0  –      288,760        – 0  –      288,760   

Governments - Sovereign Agencies

     – 0  –      17,593        – 0  –      17,593   

Short-Term Investments:

        

Investment Companies

     59,411,190        – 0  –      – 0  –      59,411,190   

Repurchase Agreements

     – 0  –      20,000,000        – 0  –      20,000,000   

Treasury Bill

     – 0  –      30,123,156        – 0  –      30,123,156   
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

     59,411,190        1,023,065,251        19,875,492        1,102,351,933   

Other Financial Instruments* :

        

Assets:

        

Forward Currency Exchange Contracts

     – 0  –      1,605,290        – 0  –      1,605,290   

Credit Default Swap Contracts

     – 0  –      44,375        – 0  –      44,375   

Liabilities:

        

Futures Contracts

     (3,551 )      – 0  –      – 0  –      (3,551 ) 

Forward Currency Exchange Contracts

     – 0  –      (24,498 )      – 0  –      (24,498 ) 

Interest Rate Swap Contracts

     – 0  –      (745,869 )      – 0  –      (745,869 ) 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total^

   $     59,407,639      $     1,023,944,549      $     19,875,492      $     1,103,227,680   
  

 

 

   

 

 

   

 

 

   

 

 

 

 

* 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 de minimis transfers under 1% of net assets 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.

 

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

Balance as of 9/30/12

   $ 14,500,930      $ 7,106,163      $ 3,811,820   

Accrued discounts/(premiums)

     855        (26,571 )      1,789   

Realized gain (loss)

     (828,211 )      – 0  –      (323,992 ) 

Change in unrealized appreciation/depreciation

     824,340        74,674        357,779   

Purchases

     55,160        – 0  –      2,777   

Sales

     (1,338,784 )      – 0  –      (476,177 ) 

Transfers in to Level 3

     – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

     (4,175,559 )      – 0  –      (278,999 ) 
  

 

 

   

 

 

   

 

 

 

Balance as of 12/33/12+

   $ 9,038,731      $ 7,154,266      $ 3,094,997   
  

 

 

   

 

 

   

 

 

 

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

   $ (20,647 )    $ 74,674      $ 200,681   
  

 

 

   

 

 

   

 

 

 
     Bank Loans     Warrants     Total  

Balance as of 9/30/12

   $ 658,315      $ – 0  –    $ 26,077,228   

Accrued discounts/(premiums)

     348        – 0  –      (23,579 ) 

Realized gain (loss)

     (251,808 )      – 0  –      (1,404,011 ) 

Change in unrealized appreciation/depreciation

     208,112        – 0  –      1,464,905   

Purchases

     – 0  –      – 0  –      57,937   

Sales

     (27,469 )      – 0  –      (1,842,430 ) 

Transfers in to Level 3

     – 0  –      – 0  –      – 0  – 

Transfers out of Level 3

     – 0  –      – 0  –      (4,454,558 ) 
  

 

 

   

 

 

   

 

 

 

Balance as of 12/31/12

   $ 587,498      $ – 0  –    $ 19,875,492   
  

 

 

   

 

 

   

 

 

 

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

   $ (50,003 )    $ – 0  –    $ 204,705   
  

 

 

   

 

 

   

 

 

 

 

+ 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’s Level 3 investments at December 31, 2012:

Quantitative Information about Level 3 Fair Value Measurements

 

     Fair Value at
12/31/2012 		     Valuation Technique      Unobservable Input    Range  

Asset-Backed Securities

     $9,038,731         Third Party Vendor       Evaluated Quotes      $91.78 - $102.57   

Commercial Mortgage-Backed Securities

     $7,154,266         Third Party Vendor       Evaluated Quotes      $100.31 - $117.28   

Collateralized Mortgage Obligations

     $3,094,997         Third Party Vendor       Evaluated Quotes      $59.64 - $101.06   

Bank Loans

     $587,498         Third Party Vendor       Vendor Quotes      $78.33   

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, there are several processes outside of the pricing process that 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 significant changes in the registrant’s internal control over financial reporting that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

 

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): Sanford C. Bernstein Fund II, Inc.

 

By:    
  Robert M. Keith
  President
Date:   February 25, 2013

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:    
  Robert M. Keith
  President
Date:   February 25, 2013

 

By:    
  Joseph J. Mantineo
  Treasurer and Chief Financial Officer
Date:   February 25, 2013
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