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, 2015

Date of reporting period: September 30, 2015

ITEM 1.

SCHEDULE OF INVESTMENTS.

AB Income Fund

Portfolio of Investments

September 30, 2015 (unaudited)


	Principal Amount (000)		U.S. $ Value
GOVERNMENTS - TREASURIES - 106.7%
Brazil - 1.9%
Brazil Notas do Tesouro Nacional
Series F
10.00%, 1/01/17-1/01/25	BRL	148,570	$	33,370,047

United States - 104.8%
U.S. Treasury Bonds
3.125%, 8/15/44	U.S.$	76,388		79,948,827
5.375%, 2/15/31		1,961		2,721,552
6.25%, 5/15/30 (a)		250,000		371,438,750
6.375%, 8/15/27 (a)		260,000		374,596,300
6.50%, 11/15/26 (a)		183,000		262,419,072
8.00%, 11/15/21		27,000		37,049,427
8.75%, 8/15/20		39,500		53,236,520
U.S. Treasury Notes
1.25%, 1/31/20		33,000		32,964,756
2.125%, 8/31/20 (a)		150,000		155,222,700
2.375%, 12/31/20		23,080		24,128,824
3.125%, 5/15/21 (a)		95,000		103,013,155
3.50%, 5/15/20		27,608		30,265,629
3.625%, 2/15/21 (a)(b)(c)		295,000		327,307,810

				1,854,313,322

Total Governments - Treasuries (cost $1,811,301,435)				1,887,683,369

CORPORATES - NON-INVESTMENT GRADE - 13.0%
Industrial - 10.6%
Basic - 0.9%
ArcelorMittal
7.75%, 10/15/39		1,846		1,504,490
Arch Coal, Inc.
7.00%, 6/15/19		2,100		157,500
Cliffs Natural Resources, Inc.
8.25%, 3/31/20 (d)		1,759		1,543,522
Commercial Metals Co.
7.35%, 8/15/18		2,644		2,796,030
Lundin Mining Corp.
7.50%, 11/01/20 (d)		659		637,583
7.875%, 11/01/22 (d)		1,307		1,254,720
Magnetation LLC/Mag Finance Corp.
11.00%, 5/15/28 (e)(f)		1,407		267,330
Novelis, Inc.
8.75%, 12/15/20		837		805,780
Teck Resources Ltd.
4.50%, 1/15/21		3,550		2,392,700
Thompson Creek Metals Co., Inc.
7.375%, 6/01/18		4,398		2,517,855
Univar USA, Inc.
6.75%, 7/15/23 (d)		1,666		1,545,215

				15,422,725


	Principal Amount (000)		U.S. $ Value
Capital Goods - 0.6%
Apex Tool Group LLC
7.00%, 2/01/21 (d)	U.S.$	1,955	$	1,603,100
Berry Plastics Corp.
5.125%, 7/15/23		1,536		1,447,680
Bombardier, Inc.
4.75%, 4/15/19 (d)		3,450		2,777,250
7.50%, 3/15/25 (d)		2,438		1,828,500
Huntington Ingalls Industries, Inc.
7.125%, 3/15/21		690		722,775
Owens-Brockway Glass Container, Inc.
5.875%, 8/15/23 (d)		1,157		1,164,231
Sealed Air Corp.
6.875%, 7/15/33 (d)		1,486		1,489,715
Summit Materials LLC/Summit Materials Finance Corp.
10.50%, 1/31/20		394		421,580

				11,454,831

Communications - Media - 1.7%
CCO Holdings LLC/CCO Holdings Capital Corp.
5.25%, 9/30/22		2,079		1,949,062
Cumulus Media Holdings, Inc.
7.75%, 5/01/19		497		356,598
DISH DBS Corp.
5.875%, 11/15/24		3,303		2,805,486
Hughes Satellite Systems Corp.
7.625%, 6/15/21		3,111		3,332,659
Intelsat Jackson Holdings SA
7.25%, 4/01/19		4,231		3,966,562
Nielsen Co. Luxembourg SARL (The)
5.50%, 10/01/21 (d)		3,243		3,226,785
Quebecor Media, Inc.
5.75%, 1/15/23		2,145		2,112,825
Time, Inc.
5.75%, 4/15/22 (d)		2,285		2,136,475
Unitymedia GmbH
6.125%, 1/15/25 (d)		2,749		2,714,637
Univision Communications, Inc.
5.125%, 5/15/23 (d)		3,295		3,130,250
UPCB Finance IV Ltd.
5.375%, 1/15/25 (d)		2,700		2,538,000
Virgin Media Finance PLC
5.25%, 2/15/22		2,246		2,077,550

				30,346,889

Communications - Telecommunications - 0.8%
Altice Luxembourg SA
7.75%, 5/15/22 (d)		1,342		1,221,220
Columbus International, Inc.
7.375%, 3/30/21 (d)		3,872		3,992,003
Frontier Communications Corp.
6.25%, 9/15/21		3,000		2,497,500


	Principal Amount (000)		U.S. $ Value
Numericable-SFR SAS
6.25%, 5/15/24 (d)	U.S.$	766	$	737,275
Sable International Finance Ltd.
6.875%, 8/01/22 (d)		657		661,928
Sprint Corp.
7.625%, 2/15/25		2,635		2,040,478
Windstream Services LLC
7.50%, 4/01/23 (a)		2,000		1,480,000
7.75%, 10/01/21		1,070		829,250

				13,459,654

Consumer Cyclical - Automotive - 0.4%
Affinia Group, Inc.
7.75%, 5/01/21		238		249,900
Exide Technologies
Series AI
7.00%, 4/30/25 (g)(h)(i)(j)		2,249		1,722,555
11.00%, 4/30/20 (j)(k)		5,143		4,268,790

				6,241,245

Consumer Cyclical - Entertainment - 0.1%
AMC Entertainment, Inc.
5.75%, 6/15/25		1,692		1,645,470

Consumer Cyclical - Other - 0.5%
International Game Technology PLC
6.25%, 2/15/22 (d)		2,605		2,422,650
6.50%, 2/15/25 (d)		350		315,000
MGM Resorts International
6.625%, 12/15/21		744		762,600
6.75%, 10/01/20		1,700		1,755,250
Shea Homes LP/Shea Homes Funding Corp.
6.125%, 4/01/25 (d)		697		712,682
Taylor Morrison Communities, Inc./Monarch Communities, Inc.
5.875%, 4/15/23 (d)		2,018		2,023,045

				7,991,227

Consumer Cyclical - Retailers - 0.6%
American Tire Distributors, Inc.
10.25%, 3/01/22 (d)		3,855		3,932,100
Dollar Tree, Inc.
5.75%, 3/01/23 (d)		2,475		2,567,813
Dufry Finance SCA
4.50%, 8/01/23 (d)	EUR	1,373		1,564,950
Men’s Wearhouse, Inc. (The)
7.00%, 7/01/22	U.S.$	1,870		1,926,343
Party City Holdings, Inc.
6.125%, 8/15/23 (d)		1,090		1,098,175

				11,089,381


	Principal Amount (000)		U.S. $ Value
Consumer Non-Cyclical - 2.0%
Air Medical Merger Sub Corp.
6.375%, 5/15/23 (d)	U.S.$	2,965	$	2,690,738
CHS/Community Health Systems, Inc.
6.875%, 2/01/22		3,286		3,355,696
ConvaTec Finance International SA
8.25% (8.25% Cash or 9.00% PIK), 1/15/19 (d)(j)		3,860		3,792,450
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.
6.00%, 7/15/23 (d)		1,434		1,416,075
Hill-Rom Holdings, Inc.
5.75%, 9/01/23 (d)		408		409,020
Holding Medi-Partenaires SAS
7.00%, 5/15/20 (d)	EUR	1,750		2,060,613
Jaguar Holding Co. II/Pharmaceutical Product Development LLC
6.375%, 8/01/23 (d)	U.S.$	1,200		1,167,000
Kinetic Concepts, Inc./KCI USA, Inc.
10.50%, 11/01/18		4,000		4,187,000
Mallinckrodt International Finance SA/Mallinckrodt CB LLC
5.50%, 4/15/25 (d)		653		581,986
Post Holdings, Inc.
6.00%, 12/15/22 (d)		869		833,154
7.375%, 2/15/22		705		715,575
7.75%, 3/15/24 (d)		1,069		1,095,725
8.00%, 7/15/25 (d)		1,066		1,097,980
PRA Holdings, Inc.
9.50%, 10/01/23 (d)		2,231		2,459,678
Smithfield Foods, Inc.
5.875%, 8/01/21 (d)		2,597		2,661,925
Spectrum Brands, Inc.
5.75%, 7/15/25 (d)		2,897		2,954,940
Sterigenics-Nordion Holdings LLC
6.50%, 5/15/23 (d)		384		381,120
Valeant Pharmaceuticals International, Inc.
5.875%, 5/15/23 (d)		1,130		1,079,150
6.125%, 4/15/25 (d)		3,277		3,121,342

				36,061,167

Energy - 1.9%
Antero Resources Corp.
5.375%, 11/01/21		792		696,960
Berry Petroleum Co. LLC
6.375%, 9/15/22		3,107		930,174
Bonanza Creek Energy, Inc.
6.75%, 4/15/21		320		223,200
BreitBurn Energy Partners LP/BreitBurn Finance Corp.
7.875%, 4/15/22		1,374		491,205
Carrizo Oil & Gas, Inc.
7.50%, 9/15/20		372		347,820


	Principal Amount (000)		U.S. $ Value
Denbury Resources, Inc.
4.625%, 7/15/23	U.S.$	2,591	$	1,399,140
5.50%, 5/01/22		2,257		1,342,915
Energy XXI Gulf Coast, Inc.
11.00%, 3/15/20 (d)		2,102		987,940
EP Energy LLC/Everest Acquisition Finance, Inc.
9.375%, 5/01/20		1,524		1,310,640
Golden Energy Offshore Services AS
8.41%, 5/28/17 (e)(l)	NOK	8,451		362,322
Holly Energy Partners LP/Holly Energy Finance Corp.
6.50%, 3/01/20	U.S.$	2,196		2,086,200
Hornbeck Offshore Services, Inc.
5.875%, 4/01/20		2,737		2,128,018
Legacy Reserves LP/Legacy Reserves Finance Corp.
6.625%, 12/01/21		3,090		2,101,200
Newfield Exploration Co.
5.625%, 7/01/24		984		929,880
Northern Blizzard Resources, Inc.
7.25%, 2/01/22 (d)		1,300		1,062,750
Offshore Group Investment Ltd.
7.125%, 4/01/23		3,068		981,760
Paragon Offshore PLC
6.75%, 7/15/22 (d)		849		110,370
7.25%, 8/15/24 (d)		3,230		419,900
Sabine Pass Liquefaction LLC
5.625%, 3/01/25 (d)		3,686		3,248,287
SandRidge Energy, Inc.
7.50%, 2/15/23		1,259		271,472
SM Energy Co.
5.625%, 6/01/25		946		813,560
6.50%, 1/01/23		731		679,830
Southern Star Central Corp.
5.125%, 7/15/22 (d)		2,000		1,920,000
Tervita Corp.
8.00%, 11/15/18 (d)		3,547		2,660,250
Transocean, Inc.
7.50%, 4/15/31		2,200		1,419,000
Whiting Petroleum Corp.
5.75%, 3/15/21		1,940		1,679,070
6.25%, 4/01/23		2,947		2,549,155
WPX Energy, Inc.
8.25%, 8/01/23		900		816,750

				33,969,768

Other Industrial - 0.2%
Safway Group Holding LLC/Safway Finance Corp.
7.00%, 5/15/18 (d)		3,300		3,378,375

Services - 0.2%
Service Corp. International/US
7.50%, 4/01/27		3,300		3,729,000


	Principal Amount (000)		U.S. $ Value
Technology - 0.4%
Avaya, Inc.
10.50%, 3/01/21 (d)	U.S.$	1,196	$	550,160
Brightstar Corp.
9.50%, 12/01/16 (d)		1,600		1,612,000
Energizer Holdings, Inc.
5.50%, 6/15/25 (d)		1,163		1,132,471
Ensemble S Merger Sub, Inc.
9.00%, 9/30/23 (d)		1,246		1,205,505
Infor Software Parent LLC/Infor Software Parent, Inc.
7.125% (7.125% Cash or 7.875% PIK), 5/01/21 (d)(j)		3,278		2,884,640

				7,384,776

Transportation - Services - 0.3%
Hertz Corp. (The)
5.875%, 10/15/20		2,710		2,678,835
LBC Tank Terminals Holding Netherlands BV
6.875%, 5/15/23 (d)		1,789		1,856,088
XPO Logistics, Inc.
6.50%, 6/15/22 (d)		1,815		1,534,809

				6,069,732

				188,244,240

Financial Institutions - 1.6%
Banking - 1.3%
Barclays Bank PLC
6.86%, 6/15/32 (d)(m)		656		744,560
7.625%, 11/21/22		654		732,889
Citigroup, Inc.
5.95%, 1/30/23 (m)		2,055		1,994,634
Series P
5.95%, 5/15/25 (m)		1,850		1,762,125
Commerzbank AG
8.125%, 9/19/23 (d)		3,610		4,186,192
Credit Agricole SA
7.589%, 1/30/20 (m)	GBP	1,150		1,891,882
7.875%, 1/23/24 (a)(d)(m)	U.S.$	549		545,569
Credit Suisse Group AG
7.50%, 12/11/23 (d)(m)		2,066		2,153,805
Intesa Sanpaolo SpA
5.017%, 6/26/24 (d)		2,922		2,883,424
Royal Bank of Scotland PLC (The)
9.50%, 3/16/22 (d)		2,106		2,295,306
Societe Generale SA
8.00%, 9/29/25 (d)(m)		3,750		3,692,040

				22,882,426


	Principal Amount (000)		U.S. $ Value
Finance - 0.1%
Creditcorp
12.00%, 7/15/18 (d)	U.S.$	2,000	$	1,542,500

Other Finance - 0.1%
ACE Cash Express, Inc.
11.00%, 2/01/19 (d)		779		268,755
iPayment, Inc.
9.50%, 12/15/19 (d)		88		87,191
Series AI
9.50%, 12/15/19		1,763		1,745,803

				2,101,749

REITS - 0.1%
FelCor Lodging LP
6.00%, 6/01/25		1,018		1,018,000

				27,544,675

Utility - 0.8%
Electric - 0.8%
Calpine Corp.
7.875%, 1/15/23 (d)		2,187		2,334,623
Dynegy, Inc.
7.375%, 11/01/22		2,895		2,920,331
7.625%, 11/01/24		1,915		1,934,150
FirstEnergy Corp.
Series C
7.375%, 11/15/31		1,552		1,873,082
GenOn Energy, Inc.
7.875%, 6/15/17		2,100		1,968,750
9.50%, 10/15/18		2,087		1,930,475
Talen Energy Supply LLC
4.60%, 12/15/21		965		801,433

				13,762,844

Total Corporates - Non-Investment Grade (cost $261,068,898)				229,551,759

COLLATERALIZED MORTGAGE OBLIGATIONS - 6.0%
GSE Risk Share Floating Rate - 3.5%
Bellemeade Re Ltd.
Series 2015-1A, Class M1
2.689%, 7/25/25 (d)(l)		6,300		6,296,063
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2013-DN1, Class M2
7.344%, 7/25/23 (l)		3,250		3,763,941
Series 2013-DN2, Class M2
4.444%, 11/25/23 (l)		5,605		5,590,346
Series 2014-DN1, Class M2
2.394%, 2/25/24 (l)		4,085		4,092,264
Series 2014-DN1, Class M3
4.694%, 2/25/24 (l)		4,455		4,446,025
Series 2014-DN2, Class M3
3.794%, 4/25/24 (l)		4,170		3,916,005


	Principal Amount (000)		U.S. $ Value
Series 2014-DN3, Class M3
4.194%, 8/25/24 (l)	U.S.$	5,065	$	4,926,557
Series 2014-DN4, Class M3
4.744%, 10/25/24 (l)		700		700,838
Series 2014-HQ2, Class M3
3.944%, 9/25/24 (l)		1,010		944,842
Series 2015-DNA1, Class M3
3.494%, 10/25/27 (l)		505		476,435
Series 2015-DNA2, Class M2
2.794%, 12/25/27 (l)		5,920		5,943,587
Series 2015-HQA1, Class B
8.994%, 3/25/28 (l)		1,590		1,584,005
Series 2015-HQA1, Class M3
4.894%, 3/25/28 (l)		1,845		1,842,100
Federal National Mortgage Association Connecticut Avenue Securities
Series 2014-C01, Class M2
4.594%, 1/25/24 (l)		1,606		1,608,504
Series 2014-C04, Class 1M2
5.094%, 11/25/24 (l)		6,100		6,116,498
Series 2015-C01, Class 1M2
4.494%, 2/25/25 (l)		4,520		4,392,753
Series 2015-C03, Class 1M2
5.194%, 7/25/25 (l)		1,221		1,217,662
Series 2015-C03, Class 2M2
5.194%, 7/25/25 (l)		2,720		2,716,709
JP Morgan Madison Avenue Securities Trust
Series 2015-1
Series 2015-CH1, Class M2
5.696%, 10/25/25 (d)(l)		2,230		2,207,700

				62,782,834

Non-Agency Fixed Rate - 1.7%
BCAP LLC Trust
Series 2009-RR13, Class 17A3
6.056%, 4/26/37 (d)		806		673,304
BNPP Mortgage Securities LLC Trust
Series 2009-1, Class B1
6.00%, 8/27/37 (d)		1,219		1,033,513
CHL Mortgage Pass-Through Trust
Series 2007-16, Class A1
6.50%, 10/25/37		1,493		1,387,583
Series 2007-3, Class A30
5.75%, 4/25/37		1,581		1,447,161
Series 2007-HY4, Class 1A1
2.674%, 9/25/47		863		770,582
Citigroup Mortgage Loan Trust
Series 2006-4, Class 2A1A
6.00%, 12/25/35		4,226		3,918,448
Series 2007-AR4, Class 1A1A
5.377%, 3/25/37		646		613,485
Series 2010-3, Class 2A2
7.063%, 8/25/37 (d)		731		641,636


	Principal Amount (000)		U.S. $ Value
Countrywide Alternative Loan Trust
Series 2006-19CB, Class A15
6.00%, 8/25/36	U.S.$	245	$	222,943
Series 2006-19CB, Class A24
6.00%, 8/25/36		157		144,587
Series 2006-24CB, Class A15
5.75%, 6/25/36		2,312		2,072,530
Series 2006-41CB, Class 2A13
5.75%, 1/25/37		1,919		1,723,451
Series 2007-13, Class A2
6.00%, 6/25/47		2,778		2,331,895
Credit Suisse Mortgage Trust
Series 2009-8R, Class 6A2
6.00%, 1/26/38 (d)		173		129,751
Series 2010-13R, Class 1A2
5.50%, 12/26/35 (d)		67		63,847
Series 2010-9R, Class 1A5
4.00%, 8/27/37 (d)		938		920,362
CSMC Mortgage-Backed Trust
Series 2006-7, Class 3A12
6.25%, 8/25/36		1,543		1,344,260
First Horizon Alternative Mortgage Securities Trust
Series 2006-AA5, Class A1
2.232%, 9/25/36		2,269		1,849,830
Morgan Stanley Mortgage Loan Trust
Series 2005-10, Class 4A1
5.50%, 12/25/35		993		908,311
Series 2007-10XS, Class A2
6.25%, 7/25/47		1,192		871,771
Nomura Resecuritization Trust
Series 2010-5RA, Class 1A7
6.50%, 10/26/37 (d)		1,902		1,676,031
Wells Fargo Mortgage Backed Securities Trust
Series 2007-AR7, Class A1
2.641%, 12/28/37		4,164		3,847,734
Series 2007-AR8, Class A1
2.721%, 11/25/37		1,679		1,477,816

				30,070,831

Non-Agency Floating Rate - 0.7%
First Horizon Alternative Mortgage Securities Trust
Series 2007-FA2, Class 1A10
0.444%, 4/25/37 (l)		898		478,235
Series 2007-FA2, Class 1A5
0.494%, 4/25/37 (l)		1,017		545,424
Lehman XS Trust
Series 2007-10H, Class 2AIO
6.802%, 7/25/37 (l)(n)		1,140		316,794
Residential Accredit Loans, Inc. Trust
Series 2006-QA4, Class A
0.374%, 5/25/36 (l)		3,435		2,779,805
Washington Mutual Mortgage Pass-Through Certificates
Series 2007-OA1, Class A1A
0.899%, 2/25/47 (l)		4,325		3,449,288
Series 2007-OA4, Class A1A


	Principal Amount (000)		U.S. $ Value
0.959%, 4/25/47 (l)	U.S.$	5,200	$	3,926,031

				11,495,577

Agency Fixed Rate - 0.1%
Federal National Mortgage Association REMICs
Series 2013-87, Class KI
3.00%, 12/25/37 (n)		13,724		1,113,756
Government National Mortgage Association
Series 2013-170, Class MI
4.50%, 11/20/43 (n)		9,791		1,476,540

				2,590,296

Total Collateralized Mortgage Obligations (cost $106,406,930)				106,939,538

CORPORATES - INVESTMENT GRADE - 4.6%
Industrial - 2.4%
Basic - 0.5%
Braskem Finance Ltd.
6.45%, 2/03/24		1,204		993,300
GTL Trade Finance, Inc.
5.893%, 4/29/24 (d)		2,711		2,250,130
7.25%, 4/16/44 (d)		274		206,870
Minsur SA
6.25%, 2/07/24 (d)		285		285,942
Southern Copper Corp.
7.50%, 7/27/35		5,107		4,956,037

				8,692,279

Capital Goods - 0.3%
Odebrecht Finance Ltd.
4.375%, 4/25/25 (d)		6,760		3,718,000
5.25%, 6/27/29 (d)		2,103		1,114,331

				4,832,331

Communications - Telecommunications - 0.7%
Qwest Corp.
6.875%, 9/15/33		1,275		1,230,969
Telefonica Emisiones SAU
7.045%, 6/20/36		5,000		5,863,605
Verizon Communications, Inc.
4.522%, 9/15/48		6,159		5,412,456

				12,507,030

Consumer Cyclical - Retailers - 0.1%
Kohl’s Corp.
4.25%, 7/17/25		2,522		2,526,411

Consumer Non-Cyclical - 0.3%
Kraft Heinz Foods Co.
2.80%, 7/02/20 (d)		2,700		2,717,690
3.50%, 7/15/22 (d)		2,294		2,343,362


	Principal Amount (000)		U.S. $ Value
Reynolds American, Inc.
5.70%, 8/15/35	U.S.$	650	$	706,336

				5,767,388

Energy - 0.4%
Noble Energy, Inc.
5.875%, 6/01/24		1,322		1,315,390
Reliance Holding USA, Inc.
5.40%, 2/14/22 (d)		3,568		3,898,208
Weatherford International Ltd./Bermuda
7.00%, 3/15/38		2,900		2,313,948

				7,527,546

Transportation - Airlines - 0.1%
Delta Air Lines Pass-Through Trust
Series 2007-1A
6.821%, 8/10/22		1,284		1,489,086

				43,342,071

Financial Institutions - 2.0%
Banking - 0.5%
Credit Suisse AG
6.50%, 8/08/23 (d)		3,900		4,312,710
HSBC Capital Funding LP/Jersey
10.176%, 6/30/30 (d)(m)		884		1,330,420
JPMorgan Chase & Co.
Series S
6.75%, 2/01/24 (m)		2,998		3,121,667
Nordea Bank AB
6.125%, 9/23/24 (d)(m)		596		587,060

				9,351,857

Insurance - 1.5%
AIG Life Holdings, Inc.
8.125%, 3/15/46 (d)		509		671,880
American International Group, Inc.
8.175%, 5/15/58		2,525		3,339,312
Fairfax Financial Holdings Ltd.
8.30%, 4/15/26		5,000		6,176,060
Great-West Life & Annuity Insurance Capital LP II
7.153%, 5/16/46 (d)		2,707		2,734,341
Humana, Inc.
8.15%, 6/15/38		1,650		2,350,742
MetLife, Inc.
6.40%, 12/15/36		3,345		3,646,050
Series C
5.25%, 6/15/20 (m)		1,799		1,781,010
Pacific Life Insurance Co.
9.25%, 6/15/39 (d)		1,500		2,236,005


	Principal Amount (000)		U.S. $ Value
Transatlantic Holdings, Inc.
8.00%, 11/30/39	U.S.$	2,122	$	2,835,917

				25,771,317

				35,123,174

Utility - 0.2%
Electric - 0.2%
ComEd Financing III
6.35%, 3/15/33		3,462		3,636,350

Total Corporates - Investment Grade (cost $81,330,653)				82,101,595

AGENCIES - 4.0%
Agency Debentures - 4.0%
Federal Home Loan Banks
5.50%, 7/15/36		8,695		11,497,381
Federal Home Loan Mortgage Corp.
6.25%, 7/15/32		15,000		21,191,625
Residual Funding Corp. Principal Strip Zero Coupon, 7/15/20		42,045		38,681,274

Total Agencies (cost $68,322,755)				71,370,280

COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.3%
Non-Agency Fixed Rate CMBS - 3.1%
Banc of America Commercial Mortgage Trust
Series 2007-3, Class AJ
5.734%, 6/10/49		1,517		1,562,578
Citigroup Commercial Mortgage Trust
Series 2013-GC17, Class D
5.261%, 11/10/46 (d)		6,525		6,107,811
Series 2014-GC21, Class D
4.996%, 5/10/47 (d)		6,052		5,527,303
Series 2014-GC23, Class D
4.658%, 7/10/47 (d)		1,323		1,191,817
Commercial Mortgage Trust
Series 2014-LC17, Class D
3.687%, 10/10/47 (d)		3,549		2,904,587
Series 2014-UBS5, Class D
3.495%, 9/10/47 (d)		1,041		834,755
Series 2015-DC1, Class D
4.499%, 2/10/48 (d)		2,730		2,310,581
Csail Commercial Mortgage Trust
Series 2015-C2, Class D
4.353%, 6/15/57		4,091		3,571,772
GS Mortgage Securities Trust
Series 2013-GC13, Class D
4.205%, 7/10/46 (d)		9,440		8,493,857
LB-UBS Commercial Mortgage Trust
Series 2007-C7, Class AJ
6.455%, 9/15/45		1,750		1,822,243


	Principal Amount (000)		U.S. $ Value
Merrill Lynch/Countrywide Commercial Mortgage Trust
Series 2006-4, Class AJ
5.239%, 12/12/49	U.S.$	6,667	$	6,694,259
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C19, Class D
3.25%, 12/15/47 (d)		1,194		973,134
Wells Fargo Commercial Mortgage Trust
Series 2014-LC18, Class D
3.957%, 12/15/47 (d)		3,781		3,161,614
Series 2015-LC20, Class D
4.511%, 4/15/50 (d)		4,000		3,354,904
WF-RBS Commercial Mortgage Trust
Series 2012-C8, Class E
5.038%, 8/15/45 (d)		4,000		3,975,692
Series 2014-C23, Class D
4.138%, 10/15/57 (d)		2,699		2,285,498

				54,772,405

Non-Agency Floating Rate CMBS - 0.2%
Great Wolf Trust
Series 2015-WOLF, Class A
1.657%, 5/15/34 (d)(l)		4,138		4,116,271
Indus Eclipse PLC
Series 2007-1X, Class B
0.831%, 1/25/20 (d)(l)	GBP	7		10,881

				4,127,152

Agency CMBS - 0.0%
Government National Mortgage Association
Series 2006-32, Class XM
0.018%, 11/16/45 (n)	U.S.$	552		581

Total Commercial Mortgage-Backed Securities (cost $59,614,500)				58,900,138

EMERGING MARKETS - CORPORATE BONDS - 1.5%
Industrial - 1.5%
Basic - 0.2%
Elementia SAB de CV
5.50%, 1/15/25 (d)		1,039		971,465
Vedanta Resources PLC
6.00%, 1/31/19 (d)		855		619,736
8.25%, 6/07/21 (a)(d)		1,943		1,360,916
9.50%, 7/18/18 (a)(d)		610		509,806

				3,461,923

Capital Goods - 0.4%
Cemex SAB de CV
7.25%, 1/15/21 (d)		2,376		2,364,120


	Principal Amount (000)		U.S. $ Value
Grupo Cementos de Chihuahua SAB de CV
8.125%, 2/08/20 (d)	U.S.$	1,954	$	2,032,160
Servicios Corporativos Javer SAPI de CV
9.875%, 4/06/21 (d)		2,185		2,185,218

				6,581,498

Communications - Telecommunications - 0.2%
Comcel Trust via Comunicaciones Celulares SA
6.875%, 2/06/24 (d)		2,016		1,991,405
Digicel Ltd.
6.00%, 4/15/21 (d)		1,500		1,368,750
6.75%, 3/01/23 (d)		385		346,500

				3,706,655

Consumer Cyclical - Retailers - 0.1%
Office Depot de Mexico SA de CV
6.875%, 9/20/20 (d)		2,350		2,348,825

Consumer Non-Cyclical - 0.5%
Cosan Luxembourg SA
5.00%, 3/14/23 (d)		1,361		1,020,750
9.50%, 3/14/18 (d)	BRL	3,117		614,673
Marfrig Holdings Europe BV
8.375%, 5/09/18 (d)	U.S.$	900		839,250
Marfrig Overseas Ltd.
9.50%, 5/04/20 (d)		4,151		4,026,470
Minerva Luxembourg SA
7.75%, 1/31/23 (d)		877		767,375
Tonon Luxembourg SA
7.25%, 1/24/20 (d)(j)		2,354		793,419
Virgolino de Oliveira Finance SA
10.50%, 1/28/18 (e)(f)		4,738		64,437
10.875%, 1/13/20 (e)(f)		750		135,000
11.75%, 2/09/22 (e)(f)		1,690		16,900

				8,278,274

Transportation - Airlines - 0.1%
TAM Capital 3, Inc.
8.375%, 6/03/21 (a)(d)		2,843		2,444,980

Total Emerging Markets - Corporate Bonds (cost $36,368,078)				26,822,155

WHOLE LOAN TRUSTS - 1.4%
Performing Asset - 1.4%
Alpha Credit Debt Fund LLC
15.00%, 1/15/18 (g)(h)		1,570		1,569,622
Cara Aircraft Leasing 28548, Inc.
8.00%, 12/02/19 (g)(h)		334		333,951
Cara Aircraft Leasing 28563, Inc.
8.00%, 6/11/19 (g)(h)		409		408,532


	Principal Amount (000)		U.S. $ Value
Cara Aircraft Leasing 28868, Inc.
8.00%, 11/26/19 (g)(h)	U.S.$	387	$	387,404
Deutsche Bank Mexico SA
8.00%, 10/31/34 (g)(h)	MXN	29,517		1,303,094
8.00%, 10/31/34 (g)(h)(o)		47,198		2,083,935
Ede Del Este SA (DPP)
12.00%, 3/31/16 (g)(h)	U.S.$	547		552,282
Ede Del Este SA (ITABO)
12.00%, 3/31/16 (g)(h)		532		536,890
AlphaCredit Capital, SA de CV
17.25%, 8/06/19 (g)(h)	MXN	14,889		880,750
Recife Funding Ltd. Zero Coupon, 11/05/29 (g)(h)	U.S.$	2,884		2,999,250
Sheridan Auto Loan Holdings I LLC
10.00%, 12/31/20 (g)(h)		1,272		1,272,204
Sheridan Auto Loan Holdings I,
10.00%, 3/31/20 (g)(h)		1,420		1,419,842
Sheridan Consumer Finance Trust
10.86%, 4/01/20 (g)(h)(l)		10,859		10,807,169

Total Whole Loan Trusts (cost $25,483,505)				24,554,925


	Shares
COMMON STOCKS - 1.2%
Exide Technologies (h)(k)(p)		45,970		131,474
Ion Media Networks, Inc. Class A (g)(h)(p)		2,512		785,502
iPayment, Inc. (p)		110,385		550,049
Mt Logan Re Ltd. (Preference Shares) (k)(p)(q)		4,476		4,701,238
Mt Logan Re Ltd. (Preference Shares) (p)(q)		15,000		15,610,011

Total Common Stocks (cost $20,685,632)				21,778,274


	Principal Amount (000)
QUASI-SOVEREIGNS - 1.1%
Quasi-Sovereign Bonds - 1.1%
Indonesia - 0.4%
Majapahit Holding BV
7.875%, 6/29/37 (d)	U.S.$	6,188		6,644,674

Mexico - 0.4%
Petroleos Mexicanos
5.625%, 1/23/46 (d)		4,710		3,836,060
6.50%, 6/02/41		4,900		4,507,020

				8,343,080


	Principal Amount (000)		U.S. $ Value
South Africa - 0.1%
Eskom Holdings SOC Ltd.
7.125%, 2/11/25 (a)(d)	U.S.$	1,070	$	1,006,795

Venezuela - 0.2%
Petroleos de Venezuela SA
5.25%, 4/12/17 (d)		7,500		3,370,500

Total Quasi-Sovereigns (cost $23,149,199)				19,365,049

LOCAL GOVERNMENTS - MUNICIPAL BONDS - 0.9%
United States - 0.9%
Buckeye Tobacco Settlement Financing Authority
Series 2007A-2
5.875%, 6/01/47		1,950		1,608,477
Iowa Tobacco Settlement Authority
Series 2005C
5.625%, 6/01/46		1,575		1,407,924
Michigan Tobacco Settlement Finance Authority
Series 2007A
6.00%, 6/01/48		5,915		4,994,153
State of Illinois
Series 2010
7.35%, 7/01/35		3,330		3,587,242
Texas Transportation Commission State Highway Fund
Series 2010B
5.178%, 4/01/30		2,560		2,928,998
Tobacco Settlement Financing Corp./VA
Series 2007B1
5.00%, 6/01/47		1,850		1,344,784

Total Local Governments - Municipal Bonds (cost $15,884,726)				15,871,578

EMERGING MARKETS - SOVEREIGNS - 0.9%
Dominican Republic - 0.1%
Dominican Republic International Bond
7.45%, 4/30/44 (d)		1,873		1,915,143

El Salvador - 0.3%
El Salvador Government International Bond
7.65%, 6/15/35 (d)		5,957		5,309,176

Ivory Coast - 0.1%
Ivory Coast Government International Bond
6.375%, 3/03/28 (d)		2,440		2,164,671

Jamaica - 0.1%
Jamaica Government International Bond
7.875%, 7/28/45		1,954		1,954,000

Pakistan - 0.1%
Pakistan Government International Bond
7.25%, 4/15/19 (d)		1,700		1,744,074


	Principal Amount (000)		U.S. $ Value
Sri Lanka - 0.1%
Sri Lanka Government International Bond
6.00%, 1/14/19 (d)	U.S.$	1,236	$	1,248,356

Zambia - 0.1%
Zambia Government International Bond
8.50%, 4/14/24 (d)		1,553		1,242,400

Total Emerging Markets - Sovereigns (cost $15,285,444)				15,577,820


	Shares
PREFERRED STOCKS - 0.7%
Financial Institutions - 0.5%
Banking - 0.3%
US Bancorp
Series F
6.50%		180,000		5,169,600

REITS - 0.2%
Digital Realty Trust, Inc.
6.35%		100,000		2,474,000
National Retail Properties, Inc.
Series E
5.70%		26,000		636,740
Public Storage
Series W
5.20%		28,475		675,996
Public Storage
Series X
5.20%		2,000		47,760

				3,834,496

				9,004,096

Industrial - 0.2%
Consumer Non-Cyclical - 0.2%
Ventas Realty LP/Ventas Capital Corp.
5.45%		139,500		3,487,500

Total Preferred Stocks (cost $11,627,365)				12,491,596


	Principal Amount (000)
BANK LOANS - 0.5%
Industrial - 0.5%
Basic - 0.1%
FMG Resources (August 2006) Pty LTD (FMG America Finance, Inc.)
3.75%, 6/30/19 (l)	U.S.$	922		751,758
Magnetation LLC
12.00%, 11/11/15 (g)(h)(j)		1,554		1,387,913

				2,139,671


	Principal Amount (000)		U.S. $ Value
Communications - Media - 0.1%
TWCC Holding Corp.
7.00%, 6/26/20 (l)	U.S.$	1,550	$	1,440,539

Consumer Non-Cyclical - 0.1%
Pharmedium Healthcare Corp.
7.75%, 1/28/22 (l)		1,902		1,873,080

Energy - 0.1%
Atlas 2014-1 Ltd.
6.88%, 1/15/21		1,833		1,824,233

Other Industrial - 0.1%
Unifrax Holding Co.
4.50%, 11/28/18 (l)	EUR	749		832,288

Technology - 0.0%
Avaya Inc.
4.69%, 10/26/17 (l)	U.S.$	154		133,597

Total Bank Loans (cost $8,907,377)				8,243,408

GOVERNMENTS - SOVEREIGN AGENCIES - 0.5%
Brazil - 0.2%
Petrobras Global Finance BV
5.375%, 1/27/21		5,000		3,637,500

Morocco - 0.1%
OCP SA
5.625%, 4/25/24 (d)		1,148		1,171,006

United Kingdom - 0.2%
Royal Bank of Scotland Group PLC
8.00%, 8/10/25 (m)		3,065		3,087,987

Total Governments - Sovereign Agencies (cost $9,367,277)				7,896,493


	Shares
INVESTMENT COMPANIES - 0.2%
Funds and Investment Trusts - 0.2%
OCL Opportunities Fund I (g)(h)		16,259		1,804,784
OCL Opportunities Fund II (g)(h)		6,916		1,079,893

Total Investment Companies (cost $2,981,056)				2,884,677


	Principal Amount (000)
ASSET-BACKED SECURITIES - 0.1%
Autos - Fixed Rate - 0.1%
Hertz Vehicle Financing LLC
Series 2013-1A, Class B2
2.48%, 8/25/19 (d)
(cost $2,127,200)	U.S.$	2,169		2,146,557


	Principal Amount (000)		U.S. $ Value
GOVERNMENTS - SOVEREIGN BONDS - 0.1%
Indonesia - 0.1%
Indonesia Government International Bond 8.50%, 10/12/35 (d) (cost $907,293)	U.S.$	801	$	1,005,156

MORTGAGE PASS-THROUGHS - 0.0%
Agency Fixed Rate 30-Year - 0.0%
Federal National Mortgage Association
Series 1999
7.50%, 11/01/29		27		31,716
Series 1998
8.00%, 6/01/28		19		22,602

Total Mortgage Pass-Throughs (cost $46,266)				54,318


	Notional Amount (000)
OPTIONS PURCHASED - CALLS - 0.0%
Swaptions - 0.0%
CDX-NAHY Series 24 RTR, JPMorgan Chase Bank NA (Sell Protection) Expiration: Oct 2015, Exercise Rate: 106.00% (cost $98,010)		36,000		17,197


	Shares
SHORT-TERM INVESTMENTS - 3.1%
Investment Companies - 3.1%
AB Fixed Income Shares, Inc. - Government STIF Portfolio, 0.14% (r)(s) (cost $55,559,416)		55,559,416		55,559,416

Total Investments - 149.8% (cost $2,616,523,015) (t)				2,650,815,298
Other assets less liabilities - (49.8)%				(881,771,411	)

Net Assets - 100.0%			$	1,769,043,887

FUTURES


Type	Number of Contracts		Expiration Month		Original Value		Value at September 30, 2015		Unrealized Appreciation/ (Depreciation)
Sold Contracts
Euro-BOBL Futures		484		December 2015	$	69,295,110	$	69,776,777	$	(481,667	)
U.S. Long Bond (CBT) Futures		2,327		December 2015		363,564,667		366,138,906		(2,574,239	)
U.S. T-Note 10 Yr (CBT) Futures		3,198		December 2015		409,494,318		411,692,531		(2,198,213	)

									$	(5,254,119	)

FORWARD CURRENCY EXCHANGE CONTRACTS


Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC		IDR	29,208,647		USD	1,982		10/09/15	$	(12,454	)
Barclays Bank PLC		USD	1,347		IDR	19,333,806		10/09/15		(26,959	)
Barclays Bank PLC		TWD	278,804		USD	8,602		10/16/15		161,793
Barclays Bank PLC		SEK	158,168		EUR	19,083		11/05/15		20,152
BNP Paribas SA		MXN	68,797		USD	4,024		11/20/15		(29,624	)
Credit Suisse International		EUR	16,512		USD	18,632		10/27/15		174,906
Deutsche Bank AG		IDR	202,254,083		USD	13,685		10/09/15		(127,124	)
Deutsche Bank AG		EUR	36,623		USD	41,409		10/27/15		471,517
Goldman Sachs Bank USA		BRL	149,921		USD	37,736		10/02/15		(79,955	)
Goldman Sachs Bank USA		USD	37,350		BRL	149,921		10/02/15		466,340
Goldman Sachs Bank USA		IDR	26,388,978		USD	1,793		10/09/15		(9,427	)
Goldman Sachs Bank USA		NZD	980		USD	647		10/09/15		21,442
Goldman Sachs Bank USA		AUD	1,603		USD	1,123		10/30/15		(140	)
Goldman Sachs Bank USA		BRL	149,921		USD	36,939		11/04/15		(462,309	)
Goldman Sachs Bank USA		NOK	6,684		USD	816		11/05/15		31,063
Goldman Sachs Bank USA		USD	19,188		SEK	158,148		11/05/15		(279,392	)
Royal Bank of Scotland PLC		USD	16,997		IDR	240,417,345		10/09/15		(578,046	)
Royal Bank of Scotland PLC		GBP	1,722		USD	2,643		11/10/15		38,877
Standard Chartered Bank		BRL	149,921		USD	41,663		10/02/15		3,846,797
Standard Chartered Bank		USD	37,736		BRL	149,921		10/02/15		79,955
Standard Chartered Bank		MYR	68,411		USD	16,696		10/09/15		1,112,422
Standard Chartered Bank		USD	16,207		MYR	69,554		10/09/15		(363,651	)
Standard Chartered Bank		SGD	50,392		USD	35,983		11/06/15		613,705
State Street Bank & Trust Co.		USD	53,386		JPY	6,410,967		10/23/15		67,490
State Street Bank & Trust Co.		NOK	347		USD	42		11/05/15		1,414

									$	5,138,792

CREDIT DEFAULT SWAPTIONS WRITTEN


Description	Counterparty	Buy/Sell Protection		Strike Rate			Expiration Date		Notional Amount (000)		Premiums Received		Market Value
CDX-NAHY Series 24, 5 Year Index	JPMorgan Chase Bank NA		Buy		103.00	%		10/21/15	$	18,000	$	178,200	$	(202,657	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS


Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at September 30, 2015			Notional Amount (000)		Market Value		Unrealized Appreciation/ (Depreciation)
Sale Contracts
Morgan Stanley & Co. LLC/(INTRCONX):
CDX-NAHY Series 21, 5 Year Index, 12/20/18*		5.00	%		3.24	%	$	12,323	$	666,388	$	26,144
CDX-NAHY Series 24, 5 Year Index, 6/20/20*		5.00			4.29			10,066		303,616		(169,408	)
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			5.00			2,250		2,874		7,144


Clearing Broker/(Exchange) & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at September 30, 2015			Notional Amount (000)		Market Value		Unrealized Appreciation/ (Depreciation)
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00	%		5.00	%	$	2,248	$	2,871	$	850
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			5.00			2,248		2,871		(1,620	)
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			5.00			2,248		2,871		1,523
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			5.00			1,556		1,987		5,873
CDX-NAHY Series 25, 5 Year Index, 12/20/20*		5.00			5.00			1,555		1,986		8,669

									$	985,464	$	(120,825	)

*	Termination date

CENTRALLY CLEARED INTEREST RATE SWAPS


					Rate Type
Clearing Broker/(Exchange)	Notional Amount (000)		Termination Date		Payments made by the Fund		Payments received by the Fund		Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co., LLC/(CME Group)	CAD	91,930		3/10/17		0.973%		3 Month CDOR	$	(225,346	)
Morgan Stanley & Co., LLC/(CME Group)	AUD	115,610		3/11/17		2.140%		3 Month BBSW		(214,360	)
Morgan Stanley & Co., LLC/(CME Group)	CAD	149,400		6/05/17		1.054%		3 Month CDOR		(573,149	)
Morgan Stanley & Co., LLC/(CME Group)	AUD	208,120		6/09/17		2.200%		3 Month BBSW		(596,923	)
Morgan Stanley & Co., LLC/(CME Group)	NZD	157,680		6/09/17		3.368%		3 Month BKBM		(2,036,888	)
Morgan Stanley & Co., LLC/(CME Group)	GBP	17,170		6/05/20		6 Month LIBOR		1.651%		410,281
Morgan Stanley & Co., LLC/(CME Group)		12,260		6/05/20		6 Month LIBOR		1.644%		287,031
Morgan Stanley & Co., LLC/(CME Group)	$	31,550		2/05/25		1.881%		3 Month LIBOR		126,823
Morgan Stanley & Co., LLC/(CME Group)		42,130		2/10/25		2.034%		3 Month LIBOR		(390,547	)
Morgan Stanley & Co., LLC/(CME Group)	CAD	11,800		3/10/25		3 Month CDOR		2.019%		178,933
Morgan Stanley & Co., LLC/(CME Group)	AUD	18,170		3/11/25		6 Month BBSW		2.973%		117,851
Morgan Stanley & Co., LLC/(CME Group)	CAD	19,810		6/05/25		3 Month CDOR		2.281%		671,481
Morgan Stanley & Co., LLC/(CME Group)	AUD	27,550		6/09/25		6 Month BBSW		3.384%		908,502
Morgan Stanley & Co., LLC/(CME Group)	NZD	18,390		6/09/25		3 Month BKBM		4.068%		709,893


					Rate Type
Clearing Broker/(Exchange)	Notional Amount (000)		Termination Date		Payments made by the Fund		Payments received by the Fund		Unrealized Appreciation/ (Depreciation)
Morgan Stanley & Co., LLC/(CME Group)	NZD	18,390		6/09/25		3 Month BKBM		4.068%	$	709,893
Morgan Stanley & Co., LLC/(CME Group)	$	8,010		6/09/25		2.489%		3 Month LIBOR		(426,562	)
Morgan Stanley & Co., LLC/(CME Group)		6,010		6/09/25		2.491%		3 Month LIBOR		(321,179	)
Morgan Stanley & Co., LLC/(CME Group)	NZD	19,500		7/31/25		3.700%		3 Month BKBM		(234,295	)
Morgan Stanley & Co., LLC/(CME Group)	$	7,940		7/31/25		3 Month LIBOR		2.365%		295,871
Morgan Stanley & Co., LLC/(CME Group)	GBP	2,720		6/05/45		2.394%		6 Month LIBOR		(336,969	)
Morgan Stanley & Co., LLC/(LCH Clearnet)		12,000		3/03/19		6 Month LIBOR		1.921%		466,029
Morgan Stanley & Co., LLC/(LCH Clearnet)	$	60,150		1/21/24		2.948%		3 Month LIBOR		(5,492,460	)
Morgan Stanley & Co., LLC/(LCH Clearnet)		47,150		3/25/24		2.887%		3 Month LIBOR		(3,866,008	)
Morgan Stanley & Co., LLC/(LCH Clearnet)		46,860		4/02/24		2.851%		3 Month LIBOR		(4,314,619	)

									$	(14,146,717	)

CREDIT DEFAULT SWAPS


Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Implied Credit Spread at September 30, 2015			Notional Amount (000)		Market Value			Upfront Premiums Paid (Received)			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Credit Suisse International:
CMBX.NA.BB.,
6.00%, 5/11/63*		5.00	%		5.63	%	$	4,000	$	(138,282	)	$	51,249		$	(189,531	)
Kohl’s Corp.,
6.25% 12/15/17, 6/20/19*		1.00			0.99			591		(727	)		(5,945	)		5,218
Kohl’s Corp.,
6.25% 12/15/17, 6/20/19*		1.00			0.99			238		(293	)		(2,396	)		2,103
Kohl’s Corp.,
6.25% 12/15/17, 6/20/19*		1.00			0.99			241		(296	)		(2,422	)		2,126
Kohl’s Corp.,
6.25% 12/15/17, 6/20/19*		1.00			0.99			347		(427	)		(3,130	)		2,703

									$	(140,025	)	$	37,356		$	(177,381	)

*	Termination date

REVERSE REPURCHASE AGREEMENTS


Broker	Interest Rate			Maturity	U.S. $ Value at September 30, 2015
Barclays Capital, Inc.+		(0.50	)%*	—	$	525,427
Barclays Capital, Inc.+		(0.50	)%*	—		1,844,498
Credit Suisse Securities (USA) LLC+		(1.00	)%*	—		589,486
Credit Suisse Securities (USA) LLC+		(0.50	)%*	—		1,036,145
Credit Suisse Securities (USA) LLC+		(0.50	)%*	—		1,924,813
HSBC Bank USA		0.28	%	10/19/15		109,069,254
HSBC Bank USA		0.29	%	10/06/15		20,640,539
HSBC Bank USA		0.30	%	10/06/15		61,368,950
HSBC Bank USA		0.30	%	10/21/15		40,146,994
HSBC Bank USA		0.35	%	11/09/15		77,731,023
HSBC Bank USA		0.40	%	10/15/15		51,455,003
Jefferies & Co., Inc.		0.28	%	10/13/15		61,871,061
Jefferies & Co., Inc.		0.32	%	10/29/15		20,272,869
JPMorgan Chase Bank		(1.00	)%*	10/07/15		513,132
JPMorgan Chase Bank		0.20	%	10/27/15		72,767,037
JPMorgan Chase Bank		0.25	%	10/14/15		49,941,488
JPMorgan Chase Bank		0.30	%	10/13/15		35,819,919
JPMorgan Chase Bank		0.32	%	11/16/15		71,570,406
JPMorgan Chase Bank		0.35	%	11/12/15		50,893,273
JPMorgan Chase Bank		0.38	%	11/12/15		199,727,257

					$	929,708,574

+	The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on September 30, 2015.

*	Interest payment due from counterparty.

(a)

Position, or a portion thereof, has been segregated to collateralize repurchase agreements.

(b)

Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.

(c)

Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.

(d)

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 September 30, 2015, the aggregate market value of these securities amounted to $268,647,477 or 15.2% of net assets.

(e)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.05% of net assets as of September 30, 2015, are considered illiquid and restricted.

Restricted Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

Golden Energy Offshore Services AS

8.41%, 5/28/17

5/14/14

1,270,853

362,322

0.02

Magnetation LLC/Mag Finance Corp.

11.00%, 5/15/28

2/19/15

861,788

267,330

0.02

Restricted Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

Virgolino de Oliveira Finance SA

10.875%, 1/13/20

6/09/14

745,965

135,000

0.01

Virgolino de Oliveira Finance SA

10.50%, 1/28/18

6/13/13

3,510,948

64,437

0.00

Virgolino de Oliveira Finance SA

11.75%, 2/09/22

1/29/14

916,308

16,900

0.00

(f)

Security is in default and is non-income producing.

(g)

Illiquid security.

(h)

Fair valued by the Adviser.

(i)

Convertible security.

(j)

Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at September 30, 2015.

(k)

Restricted and illiquid security.

Restricted Securities

Acquisition
Date

Cost

Market
Value

Percentage of
Net Assets

Exide Technologies Series AI

11.00%, 4/30/20

4/30/14

4,747,694

4,268,790

0.24

Exide Technologies

4/30/15

87,194

131,474

0.01

Mt Logan Re Ltd. (Preference Shares)

12/30/14

4,476,000

4,701,238

0.27

(l)

Floating Rate Security. Stated interest rate was in effect at September 30, 2015.

(m)

Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.

(n)

IO - Interest Only

(o)

Variable rate coupon, rate shown as of September 30, 2015.

(p)

Non-income producing security.

(q)

The security is subject to a 12 month lock-up period, after which semi-annual redemptions are permitted.

(r)

To obtain a copy of the fund’s financial statements, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618.

(s)

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

(t)

As of September 30, 2015, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $110,428,392 and gross unrealized depreciation of investments was $(76,136,109), resulting in net unrealized appreciation of $34,292,283.

Currency Abbreviations:


AUD	-	Australian Dollar
BRL	-	Brazilian Real
CAD	-	Canadian Dollar
EUR	-	Euro
GBP	-	Great British Pound
IDR	-	Indonesian Rupiah
JPY	-	Japanese Yen
MXN	-	Mexican Peso
MYR	-	Malaysian Ringgit
NOK	-	Norwegian Krone
NZD	-	New Zealand Dollar
SEK	-	Swedish Krona
SGD	-	Singapore Dollar
TWD	-	New Taiwan Dollar
USD	-	United States Dollar

Glossary:


BBSW	-	Bank Bill Swap Reference Rate (Australia)
BKBM	-	Bank Bill Benchmark (New Zealand)


CBT	-	Chicago Board of Trade
CDOR	-	Canadian Dealer Offered Rate
CDX-NAHY	-	North American High Yield Credit Default Swap Index
CMBS	-	Commercial Mortgage-Backed Securities
CMBX.NA	-	North American Commercial Mortgage-Backed Index
CME	-	Chicago Mercantile Exchange
GSE	-	Government-Sponsored Enterprise
INTRCONX	-	Inter-Continental Exchange
LCH	-	London Clearing House
LIBOR	-	London Interbank Offered Rates
REIT	-	Real Estate Investment Trust
REMICs	-	Real Estate Mortgage Investment Conduits
RTR	-	Right To Receive

Country Breakdown*

September 30, 2015 (unaudited)


	89.1%			United States
	2.1%			Brazil
	1.0%			Mexico
	0.9%			Canada
	0.8%			Bermuda
	0.5%			France
	0.4%			United Kingdom
	0.4%			Luxembourg
	0.3%			Switzerland
	0.3%			Indonesia
	0.3%			Germany
	0.2%			India
	0.2%			Spain
	1.4%			Other
	2.1%			Short-Term

	100.0%			Total Investments

All data are as of September 30, 2015. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.2% or less in the following countries: Australia, Barbados, Belgium, Dominican Republic, Guatemala, Italy, Ivory Coast, Jamaica, Morocco, Netherlands, Norway, Pakistan, Peru, South Africa, Sri Lanka, Sweden, Venezuela and Zambia.

AB Income Fund

September 30, 2015 (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. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). 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 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 rate curves, coupon rates, currency 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. In addition, non-agency rated investments are classified as Level 3.

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

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

Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through 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 Fund’s investments by the above fair value hierarchy levels as of September 30, 2015:

Investments in Securities:

Level 1

Level 2

Level 3

Total

Assets:

Governments - Treasuries

– 0

–

1,887,683,369

– 0

–

1,887,683,369

Corporates - Non-Investment Grade

– 0

–

223,198,092

6,353,667

229,551,759

Collateralized Mortgage Obligations

– 0

–

2,590,296

104,349,242

106,939,538

Corporates - Investment Grade

– 0

–

82,101,595

– 0

–

82,101,595

Agencies

– 0

–

71,370,280

– 0

–

71,370,280

Investments in Securities:

Level 1

Level 2

Level 3

Total

Commercial Mortgage-Backed Securities

– 0

–

4,116,852

54,783,286

58,900,138

Emerging Markets - Corporate Bonds

– 0

–

26,822,155

– 0

–

26,822,155

Whole Loan Trusts

– 0

–

– 0

–

24,554,925

Common Stocks

– 0

–

– 0

–

21,778,274

Quasi-Sovereigns

– 0

–

19,365,049

– 0

–

19,365,049

Local Governments - Municipal Bonds

– 0

–

15,871,578

– 0

–

15,871,578

Emerging Markets - Sovereigns

– 0

–

15,577,820

– 0

–

15,577,820

Preferred Stocks

12,491,596

– 0

–

– 0

–

12,491,596

Bank Loans

– 0

–

– 0

–

8,243,408

Governments - Sovereign Agencies

– 0

–

7,896,493

– 0

–

7,896,493

Investment Companies

– 0

–

– 0

–

2,884,677

Asset-Backed Securities

– 0

–

2,146,557

– 0

–

2,146,557

Governments - Sovereign Bonds

– 0

–

1,005,156

– 0

–

1,005,156

Mortgage Pass-Throughs

– 0

–

54,318

– 0

–

54,318

Options Purchased - Calls

– 0

–

17,197

– 0

–

17,197

Short-Term Investments

55,559,416

– 0

–

– 0

–

55,559,416

Total Investments in Securities

68,051,012

2,359,816,807

222,947,479

2,650,815,298

Other Financial Instruments*:

Assets:

Forward Currency Exchange Contracts

– 0

–

7,107,873

– 0

–

7,107,873

Centrally Cleared Credit Default Swaps

– 0

–

50,203

– 0

–

50,203

Centrally Cleared Interest Rate Swaps

– 0

–

4,882,588

– 0

–

4,882,588

Credit Default Swaps

– 0

–

12,150

– 0

–

12,150

Liabilities:

Futures

(5,254,119

)

– 0

–

– 0

–

(5,254,119

)

Forward Currency Exchange Contracts

– 0

–

(1,969,081

)

– 0

–

(1,969,081

)

Credit Default Swaptions Written

– 0

–

(202,657

)

– 0

–

(202,657

)

Centrally Cleared Credit Default Swaps

– 0

–

(171,028

)

– 0

–

(171,028

)

Centrally Cleared Interest Rate Swaps

– 0

–

(19,029,305

)

– 0

–

(19,029,305

)

Credit Default Swaps

– 0

–

(189,531

)

– 0

–

(189,531

)

Total+

62,796,893

2,350,308,019

222,947,479

2,636,052,391

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

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

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

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


	Corporates - Non-Investment Grade			Collateralized Mortgage Obligations			Commercial Mortgage-Backed Securities
Balance as of 12/31/14	$	4,961,200		$	87,500,657		$	47,313,294
Accrued discounts/(premiums)		32,651			224,692			101,576
Realized gain (loss)		1,398			318,714			302,160
Change in unrealized appreciation/depreciation		(1,319,001	)		(393,023	)		(2,181,298	)
Purchases/Payups		6,666,014			33,019,725			14,354,194
Sales/Paydowns		(2,225,158	)		(16,321,523	)		(5,106,640	)
Transfers in to Level 3		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		(1,763,437	)		– 0	–		– 0	–

Balance as of 9/30/15	$	6,353,667		$	104,349,242		$	54,783,286

Net change in unrealized appreciation/depreciation from investments held as of 9/30/15	$	(1,289,802	)	$	(121,026	)	$	(1,920,106	)


	Whole Loan Trusts			Common Stocks			Bank Loans
Balance as of 12/31/14	$	16,795,929		$	1,258,032		$	23,689,120
Accrued discounts/(premiums)		27,352			– 0	–		36,879
Realized gain (loss)		(11,013	)		278,102			(290,465	)
Change in unrealized appreciation/depreciation		836,168			957,048			795,304
Purchases		14,655,052			19,563,194			3,347,372
Sales		(7,748,563	)		(278,102	)		(19,334,802	)
Transfers in to Level 3		– 0	–		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		– 0	–		– 0	–

Balance as of 9/30/15	$	24,554,925		$	21,778,274		$	8,243,408

Net change in unrealized appreciation/depreciation from investments held as of 9/30/15	$	836,168		$	1,230,809		$	(388,484	)


	Investment Companies			Total
Balance as of 12/31/14	$	2,409,198		$	183,927,430
Accrued discounts/(premiums)		– 0	–		423,150
Realized gain (loss)		– 0	–		598,896
Change in unrealized appreciation/depreciation		72,457			(1,232,345	)
Purchases/Payups		403,022			92,008,573
Sales/Paydowns		– 0	–		(51,014,788	)
Transfers in to Level 3		– 0	–		– 0	–
Transfers out of Level 3		– 0	–		(1,763,437	)

Balance as of 9/30/15	$	2,884,677		$	222,947,479	+

Net change in unrealized appreciation/depreciation from investments held as of 9/30/15	$	72,457		$	(1,579,984	)

+	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 Fund’s Level 3 investments at September 30, 2015. Securities priced by third party vendors or using prior transaction prices, which approximate fair value, are excluded from the following table.

Quantitative Information about Level 3 Fair Value Measurements

Fair Value at
9/30/15

Valuation Technique

Unobservable Input

Range/
Weighted Average

Corporates—Non-Investment Grade

1,722,555

Market Approach

Implied Enterprise Value

521 mil – $604 mil /NA

Whole Loan Trusts

3,387,029

Projected Cashflow

Level Yield

13.45% / NA

1,089,172

Projected Cashflow

Internal Rate of Return

9.57% / NA

880,750

Projected Cashflow

Internal Rate of Return

15.00% / NA

2,999,250

Market Approach

Underlying NAV of the
collateral

104.01 / NA

10,807,169

Discontinued Cashflow

Level Yield

10.94% / NA

Common Stocks

131,474

Option Pricing Model

Enterprise Value
Excericse Price Years
to Expiration EV
Volatility % Risk Free
Rate

$
$

521 mim – $604 mil /NA
730 mil – $830 mil /NA
3yr – 5 yr / NA

24.5% – 27.7% / NA
1.01% – 1.57% / NA

785,502

Market Approach

EBITDA Projection*

179.1 mil / NA

Bank Loans

1,387,913

Market Approach

EBITDA* EBITDA
Multiple Scrap Value

$
$

28 mil – $70 mil /NA 6X
154 mil / NA

*	Earnings before Interest, Taxes, Depreciation and Amortization.

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

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

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

ITEM 2.

CONTROLS AND PROCEDURES.

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

(b) There were no 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

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

11 (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:		November 20, 2015

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:		November 20, 2015

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

Date:		November 20, 2015