Bernstein Sanford C Fund Ii NPORT-P Bernstein Intermediate Duration Institutional Portfolio (Jun 2020 report)

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Intermediate Duration Institutional Portfolio

June 30, 2020 (unaudited)

	Principal Amount (000)			U.S. $ Value
CORPORATES - INVESTMENT GRADE – 30.2%
Industrial – 17.1%
Basic – 1.3%
Alpek SAB de CV 4.25%, 09/18/2029(a)		U.S.$	251	$	249,196
Braskem Netherlands Finance BV 4.50%, 01/31/2030(a)			2,250		2,049,258
Celulosa Arauco y Constitucion SA 4.20%, 01/29/2030(a)			651		663,817
Dow Chemical Co. (The) 4.375%, 11/15/2042			87		97,040
DuPont de Nemours, Inc. 4.493%, 11/15/2025			1,085		1,245,027
Eastman Chemical Co. 3.80%, 03/15/2025			496		537,887
Glencore Funding LLC 4.125%, 05/30/2023(a)			502		535,830
GUSAP III LP 4.25%, 01/21/2030(a)			1,190		1,172,150
Inversiones CMPC SA 3.85%, 01/13/2030(a)			200		203,812
4.375%, 04/04/2027(a)			1,103		1,165,733
Inversiones CMPC SA/Cayman Islands Branch 4.375%, 05/15/2023(a)			322		336,993
LYB International Finance BV 4.00%, 07/15/2023			330		357,773
LyondellBasell Industries NV 5.75%, 04/15/2024			996		1,143,796
Orbia Advance Corp. SAB de CV
4.00%, 10/04/2027(a)			750		770,625
4.875%, 09/19/2022(a)			365		382,337
					10,911,274
Capital Goods – 0.5%
General Electric Co. 0.875%, 05/17/2025		EUR	1,304		1,411,760
3.45%, 05/01/2027		U.S.$	1,271		1,300,169
United Technologies Corp. 3.95%, 08/16/2025			1,318		1,501,822
Westinghouse Air Brake Technologies Corp. 3.20%, 06/15/2025			270		275,219
					4,488,970
Communications - Media – 1.0%
Charter Communications Operating LLC/Charter Communications Operating Capital 4.20%, 03/15/2028			216		241,523
Comcast Corp. 3.125%, 07/15/2022			17		17,947
4.15%, 10/15/2028			1,200		1,437,732

1

	Principal Amount (000)		U.S. $ Value
Cox Communications, Inc. 2.95%, 06/30/2023(a)	U.S.$	463	$	486,474
Tencent Holdings Ltd. 1.81%, 01/26/2026(a)		1,256		1,268,560
3.24%, 06/03/2050(a)		1,022		1,031,494
Time Warner Cable LLC 4.00%, 09/01/2021		30		30,799
4.125%, 02/15/2021		733		740,550
4.50%, 09/15/2042		505		538,729
ViacomCBS, Inc. 3.375%, 02/15/2028		974		1,036,277
3.50%, 01/15/2025		83		90,433
3.70%, 06/01/2028		450		489,001
4.75%, 05/15/2025		1,253		1,431,878
				8,841,397
Communications - Telecommunications – 1.9%
AT&T, Inc. 3.40%, 06/15/2022-05/15/2025		5,040		5,527,609
3.60%, 07/15/2025		1,285		1,425,643
4.125%, 02/17/2026		1,370		1,557,813
4.35%, 03/01/2029		1,100		1,281,478
4.55%, 03/09/2049		985		1,161,808
7.00%, 10/01/2025		135		166,167
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC 4.738%, 03/20/2025(a)		1,380		1,494,554
Verizon Communications, Inc. 3.00%, 03/22/2027		463		513,259
Vodafone Group PLC 3.75%, 01/16/2024		2,384		2,610,051
				15,738,382
Consumer Cyclical - Automotive – 0.7%
General Motors Co. 6.125%, 10/01/2025		278		312,400
6.80%, 10/01/2027		390		454,327
General Motors Financial Co., Inc. 4.30%, 07/13/2025		275		287,741
5.10%, 01/17/2024		1,398		1,497,607
5.20%, 03/20/2023		966		1,032,287
5.25%, 03/01/2026		600		653,886
Harley-Davidson Financial Services, Inc. 3.35%, 06/08/2025(a)		891		910,121
Volkswagen Group of America Finance LLC 2.90%, 05/13/2022(a)		990		1,021,957
				6,170,326
Consumer Cyclical - Entertainment – 0.2%
Royal Caribbean Cruises Ltd. 10.875%, 06/01/2023(a)		566		581,514
11.50%, 06/01/2025(a)		1,019		1,057,100
				1,638,614

2

	Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Other – 0.0%
Marriott International, Inc./MD Series EE 5.75%, 05/01/2025	U.S.$	129	$	140,186
Consumer Cyclical - Restaurants – 0.1%
Starbucks Corp. 4.50%, 11/15/2048		605		719,212
Consumer Cyclical - Retailers – 0.3%
AutoNation, Inc. 4.75%, 06/01/2030		1,056		1,146,436
Ralph Lauren Corp. 2.95%, 06/15/2030		593		608,910
Ross Stores, Inc. 4.60%, 04/15/2025		447		513,862
4.70%, 04/15/2027		233		270,362
				2,539,570
Consumer Non-Cyclical – 3.9%
AbbVie, Inc. 2.95%, 11/21/2026(a)		1,376		1,495,808
4.875%, 11/14/2048		932		1,215,794
Ahold Finance USA LLC 6.875%, 05/01/2029		120		166,510
Altria Group, Inc. 4.80%, 02/14/2029		323		376,909
Anheuser-Busch InBev Worldwide, Inc. 4.60%, 06/01/2060		900		1,074,123
5.55%, 01/23/2049		2,345		3,113,996
BAT Capital Corp. 3.215%, 09/06/2026		1,844		1,982,023
Baxalta, Inc. 3.60%, 06/23/2022		5		5,246
Becton Dickinson and Co. 3.734%, 12/15/2024		355		391,874
Biogen, Inc. 3.625%, 09/15/2022		11		11,686
4.05%, 09/15/2025		2,096		2,404,447
Cigna Corp. 3.40%, 03/01/2027(a)		2,395		2,644,631
3.75%, 07/15/2023		311		337,594
4.125%, 11/15/2025		1,278		1,465,572
4.375%, 10/15/2028		740		876,338
Coca-Cola Femsa SAB de CV 2.75%, 01/22/2030		636		665,017
CVS Health Corp. 3.625%, 04/01/2027		286		322,316
3.875%, 07/20/2025		500		560,845
4.10%, 03/25/2025		2,855		3,226,407
HCA, Inc. 5.25%, 06/15/2026		20		23,076
Kimberly-Clark Corp. 3.875%, 03/01/2021		35		35,817
Kimberly-Clark de Mexico SAB de CV 2.431%, 07/01/2031(a)		469		474,862
Medtronic, Inc. 3.50%, 03/15/2025		820		924,460

3

	Principal Amount (000)		U.S. $ Value
Mylan NV 3.95%, 06/15/2026	U.S.$	1,720	$	1,921,601
Shire Acquisitions Investments Ireland DAC 3.20%, 09/23/2026		2,936		3,261,133
Sigma Alimentos SA de CV 4.125%, 05/02/2026(a)		221		231,083
Takeda Pharmaceutical Co., Ltd. 4.40%, 11/26/2023		1,378		1,534,155
Tyson Foods, Inc.
3.95%, 08/15/2024		1,211		1,341,049
4.00%, 03/01/2026		181		207,109
Zimmer Biomet Holdings, Inc. 3.05%, 01/15/2026		296		317,845
Zoetis, Inc. 3.45%, 11/13/2020		479		482,712
				33,092,038
Energy – 4.9%
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. 3.337%, 12/15/2027		3,039		3,246,169
BP Capital Markets America, Inc. 3.194%, 04/06/2025		1,118		1,218,698
Cenovus Energy, Inc. 4.25%, 04/15/2027		1,028		930,690
ConocoPhillips Holding Co. 6.95%, 04/15/2029		85		118,714
Energy Transfer Operating LP
3.60%, 02/01/2023		100		103,687
3.75%, 05/15/2030		259		257,309
4.50%, 04/15/2024		231		250,369
4.65%, 06/01/2021		324		330,759
4.75%, 01/15/2026		1,425		1,554,988
5.50%, 06/01/2027		1,500		1,675,590
Energy Transfer Partners LP/Regency Energy Finance Corp. 4.50%, 11/01/2023		251		268,758
Eni SpA 4.25%, 05/09/2029(a)		1,163		1,271,496
Enterprise Products Operating LLC
3.35%, 03/15/2023		95		100,725
5.20%, 09/01/2020		691		696,162
Exxon Mobil Corp. 1.571%, 04/15/2023		1,660		1,703,409
Husky Energy, Inc. 4.40%, 04/15/2029		2,231		2,228,791
Kinder Morgan Energy Partners LP 4.15%, 03/01/2022		260		272,756
Kinder Morgan, Inc. 5.00%, 02/15/2021(a)		645		658,648
Marathon Oil Corp.
3.85%, 06/01/2025		998		1,010,744
6.80%, 03/15/2032		1,800		1,919,016
Marathon Petroleum Corp.
4.50%, 05/01/2023		1,352		1,457,280
5.125%, 03/01/2021-12/15/2026		2,398		2,765,934

4

	Principal Amount (000)		U.S. $ Value
Newfield Exploration Co. 5.625%, 07/01/2024	U.S.$	805	$	772,760
Noble Energy, Inc. 3.90%, 11/15/2024		1,197		1,201,824
ONEOK, Inc.
4.00%, 07/13/2027		1,720		1,745,164
4.35%, 03/15/2029		1,012		1,060,161
5.85%, 01/15/2026		696		795,521
Phillips 66 4.30%, 04/01/2022		131		138,994
Plains All American Pipeline LP/PAA Finance Corp.
2.85%, 01/31/2023		1,417		1,432,530
3.55%, 12/15/2029		383		371,629
3.60%, 11/01/2024		1,485		1,520,120
3.85%, 10/15/2023		650		674,277
4.50%, 12/15/2026		107		113,405
Sabine Pass Liquefaction LLC 5.00%, 03/15/2027		811		905,684
Shell International Finance BV 2.375%, 04/06/2025		613		651,031
Spectra Energy Partners LP
3.50%, 03/15/2025		20		21,869
4.60%, 06/15/2021		145		148,957
Sunoco Logistics Partners Operations LP 4.00%, 10/01/2027		1,926		1,965,522
TransCanada PipeLines Ltd. 3.80%, 10/01/2020		10		10,075
Valero Energy Corp. 2.70%, 04/15/2023		943		978,645
Williams Cos., Inc. (The)
3.90%, 01/15/2025		30		32,759
4.125%, 11/15/2020		784		786,258
4.30%, 03/04/2024		725		792,708
4.50%, 11/15/2023		1,239		1,357,535
				41,518,120
Other Industrial – 0.1%
Alfa SAB de CV 5.25%, 03/25/2024(a)		915		969,042
Services – 0.1%
Expedia Group, Inc.
6.25%, 05/01/2025(a)		111		117,926
7.00%, 05/01/2025(a)		406		425,216
Global Payments, Inc. 4.00%, 06/01/2023		564		611,145
				1,154,287
Technology – 1.8%
Analog Devices, Inc. 2.95%, 04/01/2025		140		151,460
Baidu, Inc. 3.425%, 04/07/2030		203		217,885
Broadcom Corp./Broadcom Cayman Finance Ltd. 3.875%, 01/15/2027		2,194		2,369,652

5

	Principal Amount (000)		U.S. $ Value
Broadcom, Inc.
4.11%, 09/15/2028(a)	U.S.$	1,165	$	1,273,706
4.15%, 11/15/2030(a)		1,657		1,802,004
4.25%, 04/15/2026(a)		919		1,021,597
4.70%, 04/15/2025(a)		488		550,225
Dell International LLC/EMC Corp. 6.02%, 06/15/2026(a)		918		1,050,238
Hewlett Packard Enterprise Co. 3.60%, 10/15/2020		20		20,124
Infor, Inc. 1.75%, 07/15/2025(a)		649		651,992
KLA Corp. 4.65%, 11/01/2024		1,265		1,448,577
Lam Research Corp. 2.80%, 06/15/2021		566		578,492
Leidos, Inc. 2.95%, 05/15/2023(a)		478		501,776
NXP BV/NXP Funding LLC/NXP USA, Inc.
2.70%, 05/01/2025(a)		204		213,616
3.875%, 06/18/2026(a)		958		1,069,214
Oracle Corp. 2.50%, 04/01/2025		1,685		1,806,404
Seagate HDD Cayman 4.091%, 06/01/2029(a)		346		361,141
				15,088,103
Transportation - Airlines – 0.1%
Southwest Airlines Co. 4.75%, 05/04/2023		985		1,011,831
Transportation - Railroads – 0.1%
Lima Metro Line 2 Finance Ltd.
4.35%, 04/05/2036(a)		261		279,923
5.875%, 07/05/2034(a)		447		527,224
				807,147
Transportation - Services – 0.1%
Aviation Capital Group LLC
2.875%, 01/20/2022(a)		143		136,973
3.50%, 11/01/2027(a)		174		143,367
3.875%, 05/01/2023(a)		648		614,958
4.125%, 08/01/2025(a)		10		8,994
4.875%, 10/01/2025(a)		276		253,153
				1,157,445
				145,985,944
Financial Institutions – 12.6%
Banking – 10.3%
ABN AMRO Bank NV 4.75%, 07/28/2025(a)		269		296,804
AIB Group PLC
4.263%, 04/10/2025(a)		1,115		1,185,535
4.75%, 10/12/2023(a)		575		619,448

6

	Principal Amount (000)		U.S. $ Value
Australia & New Zealand Banking Group Ltd. 4.40%, 05/19/2026(a)	U.S.$	400	$	444,044
Banco de Credito del Peru 3.125%, 07/01/2030(a)		1,210		1,199,824
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5.375%, 04/17/2025(a)		668		731,059
Banco Santander SA
2.746%, 05/28/2025		600		620,946
3.49%, 05/28/2030		200		214,286
3.50%, 04/11/2022		600		621,990
5.179%, 11/19/2025		3,400		3,828,026
Bank of America Corp.
5.00%, 05/13/2021		10		10,394
5.875%, 01/05/2021		35		35,950
Series DD 6.30%, 03/10/2026(b)		335		371,461
Series L 3.95%, 04/21/2025		2,450		2,712,615
Series Z 6.50%, 10/23/2024(b)		524		561,372
Bank of New York Mellon Corp. (The)
1.60%, 04/24/2025		660		684,011
Series G 4.70%, 09/20/2025(b)		803		835,232
Banque Federative du Credit Mutuel SA 2.75%, 10/15/2020(a)		705		709,011
Barclays Bank PLC 6.86%, 06/15/2032(a)(b)		226		275,935
BBVA USA 2.875%, 06/29/2022		1,785		1,830,339
BNP Paribas SA 4.375%, 09/28/2025-05/12/2026(a)		2,375		2,617,731
BPCE SA 2.75%, 01/11/2023(a)		585		613,027
5.70%, 10/22/2023(a)		379		422,369
Capital One Financial Corp.
2.60%, 05/11/2023		808		843,560
3.30%, 10/30/2024		1,725		1,855,617
4.75%, 07/15/2021		90		93,830
Citigroup, Inc.
3.106%, 04/08/2026		1,279		1,374,925
3.875%, 03/26/2025		3,515		3,845,515
5.95%, 01/30/2023(b)		481		478,908
Commonwealth Bank of Australia 4.50%, 12/09/2025(a)		409		460,207
Cooperatieve Rabobank UA 3.95%, 11/09/2022		443		468,991
4.375%, 08/04/2025		1,869		2,101,896
Credit Agricole SA/London 3.25%, 10/04/2024(a)		364		391,027
3.375%, 01/10/2022(a)		680		703,610

7

	Principal Amount (000)		U.S. $ Value
Credit Suisse Group Funding Guernsey Ltd.
3.80%, 06/09/2023	U.S.$	1,440	$	1,548,504
4.55%, 04/17/2026		1,095		1,259,370
Danske Bank A/S 3.875%, 09/12/2023(a)		1,744		1,847,681
Discover Bank 4.682%, 08/09/2028		386		388,775
Fifth Third Bancorp 3.50%, 03/15/2022		41		42,964
Goldman Sachs Group, Inc. (The)
2.35%, 11/15/2021		1,483		1,492,106
3.50%, 04/01/2025		873		957,410
3.75%, 05/22/2025-02/25/2026		731		811,783
3.85%, 07/08/2024		3,365		3,695,880
5.75%, 01/24/2022		510		550,142
Series P 5.00%, 11/10/2022(b)		356		329,001
HSBC Bank USA NA 4.875%, 08/24/2020		680		684,386
HSBC Holdings PLC
4.041%, 03/13/2028		901		994,434
4.25%, 03/14/2024		1,610		1,735,870
4.292%, 09/12/2026		466		519,585
HSBC USA, Inc. 2.75%, 08/07/2020		300		300,672
ING Groep NV 6.875%, 04/16/2022(a)(b)		750		776,235
JPMorgan Chase & Co.
2.083%, 04/22/2026		1,167		1,212,933
3.22%, 03/01/2025		3,995		4,298,380
3.54%, 05/01/2028		968		1,081,285
3.625%, 05/13/2024		436		481,178
4.50%, 01/24/2022		45		47,752
4.625%, 05/10/2021		60		62,166
Lloyds Banking Group PLC 4.05%, 08/16/2023		250		271,515
Manufacturers & Traders Trust Co. 2.625%, 01/25/2021		1,000		1,010,340
Mastercard, Inc. 3.30%, 03/26/2027		663		752,366
Morgan Stanley
2.188%, 04/28/2026		696		725,343
3.737%, 04/24/2024		682		734,814
5.00%, 11/24/2025		699		821,479
7.25%, 04/01/2032		55		82,765
Series F 3.875%, 04/29/2024		335		370,185
Series G 3.75%, 02/25/2023		39		42,046
4.35%, 09/08/2026		1,815		2,089,246
5.50%, 07/28/2021		746		785,314
Nationwide Building Society 4.00%, 09/14/2026(a)		1,580		1,708,264
Royal Bank of Scotland Group PLC 8.625%, 08/15/2021(b)		1,810		1,873,839

8

	Principal Amount (000)			U.S. $ Value
Series U 2.628% (LIBOR 3 Month + 2.32%), 09/30/2027(b)(c)		U.S.$	800	$	734,424
Santander Holdings USA, Inc. 4.40%, 07/13/2027			911		986,376
Santander UK Group Holdings PLC 3.373%, 01/05/2024			1,150		1,205,994
Santander UK PLC 5.00%, 11/07/2023(a)			369		404,280
Societe Generale SA 4.25%, 08/19/2026(a)			1,706		1,819,688
Standard Chartered PLC 2.27% (LIBOR 3 Month + 1.51%), 01/30/2027(a)(b)(c)			400		322,076
5.20%, 01/26/2024(a)			723		782,705
7.50%, 04/02/2022(a)(b)			453		467,704
7.75%, 04/02/2023(a)(b)			200		209,004
State Street Corp. 2.901%, 03/30/2026(a)			125		135,430
Truist Financial Corp. Series Q 5.10%, 03/01/2030(b)			1,603		1,647,115
UBS AG 4.75%, 02/12/2026(a)		EUR	135		154,327
UBS AG/London 1.75%, 04/21/2022(a)		U.S.$	500		509,320
UBS AG/Stamford CT 7.625%, 08/17/2022			1,584		1,762,533
UBS Group AG 4.125%, 09/24/2025(a)			295		334,574
7.00%, 01/31/2024-02/19/2025(a)(b)			456		486,992
US Bancorp Series J 5.30%, 04/15/2027(b)			723		733,050
Wells Fargo & Co. 2.188%, 04/30/2026			1,199		1,239,802
3.069%, 01/24/2023			1,445		1,497,714
3.75%, 01/24/2024			1,535		1,677,325
					87,555,936
Brokerage – 0.1%
Charles Schwab Corp. (The) Series G 5.375%, 06/01/2025(b)			790		838,356
Finance – 0.9%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 2.875%, 08/14/2024			252		237,540
3.30%, 01/23/2023			252		246,224
3.65%, 07/21/2027			252		223,587
4.125%, 07/03/2023			252		246,315
4.50%, 09/15/2023			740		740,614
6.50%, 07/15/2025			245		256,211
Air Lease Corp. 3.00%, 02/01/2030			73		67,657

9

	Principal Amount (000)		U.S. $ Value
3.875%, 07/03/2023	U.S.$	145	$	147,265
4.25%, 02/01/2024		619		632,965
Series G 3.75%, 06/01/2026		49		49,442
GE Capital Funding LLC 3.45%, 05/15/2025(a)		1,247		1,305,883
GE Capital International Funding Co. Unlimited Co. 3.373%, 11/15/2025		1,206		1,257,327
4.418%, 11/15/2035		757		766,614
Synchrony Financial 4.50%, 07/23/2025		1,500		1,592,760
				7,770,404
Insurance – 0.8%
Alleghany Corp. 3.625%, 05/15/2030		1,801		1,920,929
Anthem, Inc. 3.30%, 01/15/2023		33		35,136
Centene Corp. 4.25%, 12/15/2027		293		302,230
4.625%, 12/15/2029		335		353,458
Guardian Life Insurance Co. of America (The) 4.85%, 01/24/2077(a)		868		1,103,974
Massachusetts Mutual Life Insurance Co. 3.729%, 10/15/2070(a)		11		11,306
MetLife Capital Trust IV 7.875%, 12/15/2037(a)		970		1,234,141
MetLife, Inc. 3.048%, 12/15/2022		75		79,282
10.75%, 08/01/2039		25		38,651
Nationwide Mutual Insurance Co. 9.375%, 08/15/2039(a)		377		609,583
Prudential Financial, Inc. 4.50%, 11/15/2020		86		87,255
5.20%, 03/15/2044		462		472,875
5.375%, 05/15/2045		139		145,732
5.875%, 09/15/2042		103		109,429
Voya Financial, Inc. 5.65%, 05/15/2053		395		395,039
				6,899,020
REITS – 0.5%
Host Hotels & Resorts LP Series D 3.75%, 10/15/2023		48		48,936
Welltower, Inc. 4.00%, 06/01/2025		3,410		3,765,799
				3,814,735
				106,878,451

10

	Principal Amount (000)			U.S. $ Value
Utility – 0.5%
Electric – 0.5%
Colbun SA 3.15%, 03/06/2030(a)		U.S.$	200	$	200,938
Duke Energy Carolinas LLC 3.90%, 06/15/2021			42		43,071
Enel Chile SA 4.875%, 06/12/2028			957		1,071,541
Israel Electric Corp., Ltd. Series 6 5.00%, 11/12/2024(a)			1,117		1,251,040
Kentucky Utilities Co. 3.30%, 06/01/2050			732		778,841
NextEra Energy Capital Holdings, Inc. 2.75%, 05/01/2025			342		370,680
PacifiCorp 2.70%, 09/15/2030			418		456,025
					4,172,136
Total Corporates - Investment Grade (cost $241,407,853)					257,036,531
GOVERNMENTS - TREASURIES – 20.1%
Malaysia – 0.2%
Malaysia Government Bond Series 117 3.882%, 03/10/2022		MYR	9,375		2,249,807
Netherlands – 1.3%
Netherlands Government Bond 0.25%, 07/15/2029(a)		EUR	9,090		10,794,526
United States – 18.6%
U.S. Treasury Bonds 1.25%, 05/15/2050		U.S.$	3,970		3,814,922
2.25%, 08/15/2046-08/15/2049			20,862		25,046,324
2.375%, 11/15/2049			4,905		6,057,675
2.50%, 02/15/2046-05/15/2046			6,259		7,761,347
2.75%, 08/15/2042			190		243,616
2.875%, 05/15/2043-11/15/2046			603		797,927
3.00%, 05/15/2042-02/15/2049			16,061		21,996,777
3.00%, 05/15/2047(d)			1,447		1,971,764
3.125%, 02/15/2043-08/15/2044			330		447,711
3.375%, 05/15/2044			646		913,121
3.50%, 02/15/2039			8,105		11,466,042
3.625%, 08/15/2043-02/15/2044			1,981		2,893,915
3.75%, 11/15/2043			295		439,043
4.375%, 02/15/2038-11/15/2039			11,639		18,283,748
4.50%, 02/15/2036			1,074		1,644,424
4.75%, 02/15/2037			1,525		2,432,375
5.25%, 11/15/2028(e)			2,645		3,659,605
5.375%, 02/15/2031			1,105		1,641,616
U.S. Treasury Notes 1.125%, 02/28/2021-09/30/2021			938		948,097
1.375%, 08/31/2020-05/31/2021			1,546		1,552,545
1.50%, 02/15/2030			9,956		10,763,369
1.625%, 11/15/2022-04/30/2023			5,679		5,909,566
1.75%, 10/31/2020-11/15/2029			5,226		5,483,006

11

	Principal Amount (000)		U.S. $ Value
1.875%, 04/30/2022(e)	U.S.$	2,580	$	2,660,222
2.00%, 02/15/2025		36		39,181
2.125%, 08/31/2020-05/15/2025		3,135		3,286,772
2.25%, 11/15/2025-02/15/2027		2,006		2,240,091
2.625%, 02/15/2029(e)		8,921		10,454,297
2.75%, 11/15/2023		160		173,750
2.875%, 05/15/2028		2,786		3,287,915
				158,310,763
Total Governments - Treasuries (cost $146,563,951)				171,355,096
MORTGAGE PASS-THROUGHS – 13.7%
Agency Fixed Rate 30-Year – 12.7%
Federal Home Loan Mortgage Corp.
Series 2019 3.50%, 09/01/2049-11/01/2049		9,473		10,184,905
Series 2020 3.50%, 01/01/2050		2,460		2,672,854
Federal Home Loan Mortgage Corp. Gold
Series 2005 5.50%, 01/01/2035		36		41,481
Series 2007 5.50%, 07/01/2035		230		266,098
Series 2016 4.00%, 02/01/2046		2,094		2,292,634
Series 2017 4.00%, 07/01/2044		1,576		1,725,230
Series 2018 4.00%, 08/01/2048-12/01/2048		6,142		6,625,198
4.50%, 03/01/2048-11/01/2048		6,080		6,630,436
5.00%, 11/01/2048		1,119		1,246,660
Federal National Mortgage Association
Series 2003 5.50%, 04/01/2033-07/01/2033		590		680,853
Series 2004 5.50%, 02/01/2034-11/01/2034		542		630,507
Series 2005 5.50%, 02/01/2035		569		661,638
Series 2006 5.50%, 04/01/2036		115		133,877
Series 2007 5.50%, 05/01/2036-08/01/2037		143		166,668
Series 2008 5.50%, 08/01/2037		1		955
Series 2009 5.00%, 12/01/2039		25		28,636
Series 2010 4.00%, 12/01/2040		943		1,032,592
5.00%, 06/01/2040		25		29,119
Series 2012 3.50%, 02/01/2042-01/01/2043		8,487		9,295,075
Series 2013 3.50%, 04/01/2043		4,121		4,515,380
4.00%, 10/01/2043		3,139		3,439,547
Series 2015 3.00%, 05/01/2045-08/01/2045		3,652		3,869,391

12

	Principal Amount (000)			U.S. $ Value
Series 2017 3.50%, 11/01/2047	U.S.$	840		$	886,800
Series 2018 3.50%, 11/01/2047-02/01/2048		4,074			4,294,230
4.00%, 08/01/2048-12/01/2048		8,212			8,857,654
4.50%, 09/01/2048		5,230			5,702,303
Series 2019 3.50%, 08/01/2049-11/01/2049		12,748			13,643,887
4.00%, 06/01/2049		3,994			4,326,068
Series 2020 3.50%, 01/01/2050		2,646			2,861,270
Government National Mortgage Association
Series 2016 3.00%, 04/20/2046-05/20/2046		2,084			2,214,199
Series 2019 3.00%, 07/01/2050, TBA		8,350			8,845,455
					107,801,600
Agency Fixed Rate 15-Year – 1.0%
Federal National Mortgage Association
Series 2016 2.50%, 10/01/2031-12/01/2031		5,407			5,674,174
Series 2017 2.50%, 01/01/2032-02/01/2032		3,119			3,273,116
					8,947,290
Other Agency Fixed Rate Programs – 0.0%
Federal National Mortgage Association Series 2005 5.50%, 03/01/2025		64			70,520
Agency ARMs – 0.0%
Federal Home Loan Mortgage Corp. Gold
Series 2006 4.299% (LIBRM12 + 0.00%), 12/01/2036(c)		0	**		284
Series 2007 4.10% (LIBRM12 + 0.00%), 03/01/2037(c)		1			619
Federal National Mortgage Association
Series 2007 3.46% (LIBRM12 + 0.00%), 02/01/2037(c)		1			1,315
3.805% (LIBRM12 + 0.00%), 03/01/2037(c)		1			1,190
					3,408
Total Mortgage Pass-Throughs (cost $112,085,255)					116,822,818
COMMERCIAL MORTGAGE-BACKED SECURITIES – 9.6%
Non-Agency Fixed Rate CMBS – 7.5%
BAMLL Commercial Mortgage Securities Trust Series 2013-WBRK, Class D 3.652%, 03/10/2037(a)		740			651,230

13

	Principal Amount (000)		U.S. $ Value
Banc of America Commercial Mortgage Trust Series 2015-UBS7, Class AS 3.989%, 09/15/2048	U.S.$	211	$	225,205
CCUBS Commercial Mortgage Trust Series 2017-C1, Class A4 3.544%, 11/15/2050		2,005		2,244,559
CFCRE Commercial Mortgage Trust Series 2016-C4, Class A4 3.283%, 05/10/2058		2,808		3,025,357
CGRBS Commercial Mortgage Trust Series 2013-VN05, Class A 3.369%, 03/13/2035(a)		2,495		2,633,497
Citigroup Commercial Mortgage Trust
Series 2013-GC11, Class B 3.732%, 04/10/2046		1,140		1,162,001
Series 2015-GC27, Class A5 3.137%, 02/10/2048		1,468		1,558,746
Series 2015-GC35, Class A4 3.818%, 11/10/2048		630		698,247
Series 2016-C1, Class A4 3.209%, 05/10/2049		2,409		2,611,242
Series 2016-GC36, Class A5 3.616%, 02/10/2049		705		776,953
Series 2018-B2, Class A4 4.009%, 03/10/2051		1,200		1,389,091
Commercial Mortgage Trust Series 2012-CR3, Class E 4.909%, 10/15/2045(a)		889		455,552
Series 2013-SFS, Class A1 1.873%, 04/12/2035(a)		401		397,415
Series 2014-UBS5, Class A4 3.838%, 09/10/2047		1,925		2,087,123
Series 2015-3BP, Class A 3.178%, 02/10/2035(a)		400		423,235
Series 2015-CR23, Class A4 3.497%, 05/10/2048		1,350		1,466,745
Series 2015-CR24, Class A5 3.696%, 08/10/2048		730		805,384
Series 2015-CR25, Class A4 3.759%, 08/10/2048		999		1,095,834
Series 2015-DC1, Class A5 3.35%, 02/10/2048		1,960		2,112,375
Series 2015-LC21, Class XA 0.848%, 07/10/2048(f)		2,345		66,662
Series 2015-PC1, Class A5 3.902%, 07/10/2050		226		249,224
CSAIL Commercial Mortgage Trust
Series 2015-C2, Class A4 3.504%, 06/15/2057		675		729,750
Series 2015-C3, Class A4 3.718%, 08/15/2048		1,165		1,275,002
Series 2015-C4, Class A4 3.808%, 11/15/2048		1,641		1,808,707
GS Mortgage Securities Trust
Series 2011-GC5, Class D 5.555%, 08/10/2044(a)		150		111,274

14

	Principal Amount (000)		U.S. $ Value
Series 2013-G1, Class A2 3.557%, 04/10/2031(a)	U.S.$	1,499	$	1,475,661
Series 2014-GC22, Class A5 3.862%, 06/10/2047		1,532		1,656,280
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2011-C5, Class D 5.605%, 08/15/2046(a)		224		180,669
Series 2012-C6, Class E 5.324%, 05/15/2045(a)		712		421,481
Series 2012-C8, Class AS 3.424%, 10/15/2045(a)		1,897		1,933,192
JPMBB Commercial Mortgage Securities Trust
Series 2013-C14, Class D 4.859%, 08/15/2046(a)		472		388,613
Series 2014-C21, Class A5 3.775%, 08/15/2047		1,445		1,566,728
Series 2014-C22, Class XA 0.985%, 09/15/2047(f)		5,790		164,826
Series 2015-C30, Class A5 3.822%, 07/15/2048		725		799,629
Series 2015-C31, Class A3 3.801%, 08/15/2048		1,903		2,099,061
Series 2015-C31, Class B 4.773%, 08/15/2048		725		765,547
JPMCC Commercial Mortgage Securities Trust Series 2017-JP7, Class XA 1.211%, 09/15/2050(f)		10,115		526,922
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ 5.452%, 09/15/2039		258		149,335
LSTAR Commercial Mortgage Trust Series 2016-4, Class A2 2.579%, 03/10/2049(a)		1,099		1,117,124
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C16, Class A5 3.892%, 06/15/2047		1,345		1,448,406
Series 2014-C19, Class D 3.25%, 12/15/2047(a)		603		445,689
Series 2015-C22, Class A4 3.306%, 04/15/2048		2,000		2,133,331
Series 2015-C25, Class XA 1.235%, 10/15/2048(f)		2,174		88,706
Morgan Stanley Capital I Trust
Series 2011-C1, Class D 5.684%, 09/15/2047(a)		300		297,819
Series 2016-UB12, Class A4 3.596%, 12/15/2049		1,105		1,215,810
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B 3.933%, 10/10/2048		1,190		1,207,986
UBS Commercial Mortgage Trust
Series 2012-C1, Class AS 4.171%, 05/10/2045		1,250		1,287,675

15

	Principal Amount (000)		U.S. $ Value
Series 2018-C8, Class A4 3.983%, 02/15/2051	U.S.$	1,320	$	1,510,822
Series 2018-C9, Class A4 4.117%, 03/15/2051		2,100		2,392,442
Series 2018-C10, Class A4 4.313%, 05/15/2051		1,350		1,574,893
UBS-Barclays Commercial Mortgage Trust Series 2012-C4, Class A5 2.85%, 12/10/2045		2,348		2,416,165
Wells Fargo Commercial Mortgage Trust
Series 2015-SG1, Class C 4.613%, 09/15/2048		975		874,025
Series 2016-NXS6, Class C 4.458%, 11/15/2049		1,030		933,000
WFRBS Commercial Mortgage Trust
Series 2014-C24, Class AS 3.931%, 11/15/2047		356		375,542
Series 2014-C25, Class A5 3.631%, 11/15/2047		2,100		2,262,918
				63,770,707
Non-Agency Floating Rate CMBS – 2.1%
Ashford Hospitality Trust
Series 2018-ASHF, Class A 1.085% (LIBOR 1 Month + 0.90%), 04/15/2035(a)(c)		909		843,403
Series 2018-KEYS, Class A 1.185% (LIBOR 1 Month + 1.00%), 06/15/2035(a)(c)		1,500		1,391,030
BAMLL Commercial Mortgage Securities Trust Series 2017-SCH, Class AF 1.185% (LIBOR 1 Month + 1.00%), 11/15/2033(c)(g)		2,435		2,286,819
BFLD Series 2019-DPLO, Class D 2.025% (LIBOR 1 Month + 1.84%), 10/15/2034(a)(c)		640		569,473
BHMS Series 2018-ATLS, Class A 1.435% (LIBOR 1 Month + 1.25%), 07/15/2035(c)(g)		1,200		1,136,481
Braemar Hotels & Resorts Trust Series 2018-PRME, Class A 1.005% (LIBOR 1 Month + 0.82%), 06/15/2035(a)(c)		900		848,143
BX Commercial Mortgage Trust Series 2019-IMC, Class A 1.185% (LIBOR 1 Month + 1.00%), 04/15/2034(a)(c)		1,042		1,000,350
BX Trust Series 2018-EXCL, Class A 1.272% (LIBOR 1 Month + 1.09%), 09/15/2037(a)(c)		1,329		1,183,241

16

	Principal Amount (000)		U.S. $ Value
CLNY Trust Series 2019-IKPR, Class D 2.21% (LIBOR 1 Month + 2.03%), 11/15/2038(a)(c)	U.S.$	1,450	$	1,217,654
DBWF Mortgage Trust Series 2018-GLKS, Class A 1.224% (LIBOR 1 Month + 1.03%), 12/19/2030(a)(c)		1,272		1,208,128
Great Wolf Trust Series 2019-WOLF, Class A 1.219% (LIBOR 1 Month + 1.03%), 12/15/2036(a)(c)		1,433		1,376,146
GS Mortgage Securities Corp. Trust
Series 2019-BOCA, Class A 1.385% (LIBOR 1 Month + 1.20%), 06/15/2038(a)(c)		738		705,175
Series 2019-SMP, Class A 1.335% (LIBOR 1 Month + 1.15%), 08/15/2032(a)(c)		870		826,417
JP Morgan Chase Commercial Mortgage Securities Trust Series 2020-NNN, Class EFL 2.045% (LIBOR 1 Month + 1.85%), 01/16/2037(a)(c)		223		202,163
Morgan Stanley Capital I Trust Series 2015-XLF2, Class SNMA 2.135% (LIBOR 1 Month + 1.95%), 11/15/2026(c)(g)		391		354,727
Natixis Commercial Mortgage Securities Trust
Series 2018-850T, Class A 0.968% (LIBOR 1 Month + 0.78%), 07/15/2033(a)(c)		800		778,077
Series 2019-MILE, Class A 1.685% (LIBOR 1 Month + 1.50%), 07/15/2036(a)(c)		666		652,871
Starwood Retail Property Trust Series 2014-STAR, Class A 1.655% (LIBOR 1 Month + 1.47%), 11/15/2027(a)(c)		1,852		1,414,537
				17,994,835
Agency CMBS – 0.0%
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
Series K021, Class A1 1.603%, 01/25/2022		23		23,660
Series K025, Class A1 1.875%, 04/25/2022		29		29,331
				52,991
Total Commercial Mortgage-Backed Securities (cost $81,669,734)				81,818,533

17

	Principal Amount (000)		U.S. $ Value
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.8%
Risk Share Floating Rate – 4.5%
Bellemeade Re Ltd.
Series 2018-2A, Class M1B 1.535% (LIBOR 1 Month + 1.35%), 08/25/2028(a)(c)	U.S.$	203	$	202,177
Series 2018-3A, Class M1B 2.035% (LIBOR 1 Month + 1.85%), 10/25/2028(a)(c)		475		470,224
Series 2019-1A, Class M1B 1.935% (LIBOR 1 Month + 1.75%), 03/25/2029(a)(c)		1,425		1,326,595
Series 2019-2A, Class M1C 2.185% (LIBOR 1 Month + 2.00%), 04/25/2029(a)(c)		999		982,206
Series 2019-3A, Class M1B 1.785% (LIBOR 1 Month + 1.60%), 07/25/2029(a)(c)		915		886,225
Series 2019-3A, Class M1C 2.135% (LIBOR 1 Month + 1.95%), 07/25/2029(a)(c)		300		279,673
Series 2019-4A, Class M1B 2.185% (LIBOR 1 Month + 2.00%), 10/25/2029(a)(c)		1,340		1,288,842
Connecticut Avenue Securities Trust
Series 2018-R07, Class 1M2 2.585% (LIBOR 1 Month + 2.40%), 04/25/2031(a)(c)		553		546,513
Series 2019-R02, Class 1M2 2.485% (LIBOR 1 Month + 2.30%), 08/25/2031(a)(c)		968		953,099
Series 2019-R03, Class 1M2 2.335% (LIBOR 1 Month + 2.15%), 09/25/2031(a)(c)		1,017		1,004,634
Series 2019-R04, Class 2M2 2.285% (LIBOR 1 Month + 2.10%), 06/25/2039(a)(c)		878		852,420
Series 2019-R05, Class 1M2 2.185% (LIBOR 1 Month + 2.00%), 07/25/2039(a)(c)		510		499,182
Series 2019-R06, Class 2M2 2.285% (LIBOR 1 Month + 2.10%), 09/25/2039(a)(c)		989		959,048
Series 2019-R07, Class 1M2 2.285% (LIBOR 1 Month + 2.10%), 10/25/2039(a)(c)		1,800		1,744,779
Series 2020-R02, Class 2M1 0.935% (LIBOR 1 Month + 0.75%), 01/25/2040(a)(c)		497		492,061
Eagle Re Ltd.
Series 2018-1, Class M2 3.185% (LIBOR 1 Month + 3.00%), 11/25/2028(a)(c)		217		206,469
Series 2020-1, Class M1A 1.085% (LIBOR 1 Month + 0.90%), 01/25/2030(a) (c)		1,700		1,674,896

18

	Principal Amount (000)		U.S. $ Value
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2015-DNA2, Class M3 4.085% (LIBOR 1 Month + 3.90%), 12/25/2027(c)	U.S.$	985	$	1,001,008
Series 2015-HQ1, Class M3 3.985% (LIBOR 1 Month + 3.80%), 03/25/2025(c)		103		104,520
Series 2015-HQ2, Class M2 2.135% (LIBOR 1 Month + 1.95%), 05/25/2025(c)		68		68,056
Series 2016-DNA2, Class M3 4.835% (LIBOR 1 Month + 4.65%), 10/25/2028(c)		214		222,263
Series 2016-DNA4, Class M2 1.485% (LIBOR 1 Month + 1.30%), 03/25/2029(c)		16		16,472
Series 2016-DNA4, Class M3 3.985% (LIBOR 1 Month + 3.80%), 03/25/2029(c)		550		555,511
Series 2016-HQA4, Class M3 4.085% (LIBOR 1 Month + 3.90%), 04/25/2029(c)		890		916,095
Series 2017-DNA2, Class M2 3.635% (LIBOR 1 Month + 3.45%), 10/25/2029(c)		490		496,595
Series 2017-DNA3, Class M2 2.685% (LIBOR 1 Month + 2.50%), 03/25/2030(c)		970		974,774
Series 2017-HQA2, Class M2 2.835% (LIBOR 1 Month + 2.65%), 12/25/2029(c)		330		327,143
Series 2019-DNA3, Class M2 2.235% (LIBOR 1 Month + 2.05%), 07/25/2049(a)(c)		117		114,229
Series 2019-DNA4, Class M2 2.135% (LIBOR 1 Month + 1.95%), 10/25/2049(a)(c)		1,248		1,223,043
Series 2019-FTR2, Class M2 2.335% (LIBOR 1 Month + 2.15%), 11/25/2048(a)(c)		728		687,224
Series 2020-HQA2, Class M1 1.285% (LIBOR 1 Month + 1.10%), 03/25/2050(a)(c)		1,169		1,164,377
Federal National Mortgage Association Connecticut Avenue Securities
Series 2015-C01, Class 1M2 4.485% (LIBOR 1 Month + 4.30%), 02/25/2025(c)		1,087		1,095,444
Series 2015-C01, Class 2M2 4.735% (LIBOR 1 Month + 4.55%), 02/25/2025(c)		233		233,140

19

	Principal Amount (000)		U.S. $ Value
Series 2015-C02, Class 1M2 4.185% (LIBOR 1 Month + 4.00%), 05/25/2025(c)	U.S.$	655	$	661,061
Series 2015-C02, Class 2M2 4.185% (LIBOR 1 Month + 4.00%), 05/25/2025(c)		264		266,069
Series 2015-C03, Class 1M2 5.185% (LIBOR 1 Month + 5.00%), 07/25/2025(c)		613		625,420
Series 2015-C03, Class 2M2 5.185% (LIBOR 1 Month + 5.00%), 07/25/2025(c)		491		501,325
Series 2015-C04, Class 1M2 5.885% (LIBOR 1 Month + 5.70%), 04/25/2028(c)		202		212,115
Series 2015-C04, Class 2M2 5.735% (LIBOR 1 Month + 5.55%), 04/25/2028(c)		505		534,747
Series 2016-C05, Class 2M2 4.635% (LIBOR 1 Month + 4.45%), 01/25/2029(c)		1,813		1,852,747
Series 2016-C06, Class 1M2 4.435% (LIBOR 1 Month + 4.25%), 04/25/2029(c)		446		466,276
Series 2017-C01, Class 1M2 3.735% (LIBOR 1 Month + 3.55%), 07/25/2029(c)		1,011		1,028,140
Series 2017-C03, Class 1M2 3.185% (LIBOR 1 Month + 3.00%), 10/25/2029(c)		440		442,516
Series 2017-C07, Class 2M2 2.685% (LIBOR 1 Month + 2.50%), 05/25/2030(c)		525		516,032
Home Re Ltd. Series 2018-1, Class M1 1.785% (LIBOR 1 Month + 1.60%), 10/25/2028(a)(c)		198		197,875
JP Morgan Madison Avenue Securities Trust Series 2014-CH1, Class M2 4.435% (LIBOR 1 Month + 4.25%), 11/25/2024(c)(g)		138		126,964
Mortgage Insurance-Linked Notes Series 2019-1, Class M1 2.085% (LIBOR 1 Month + 1.90%), 11/26/2029(a)(c)		1,158		1,127,409
Oaktown Re III Ltd. Series 2019-1A, Class M1B 2.135% (LIBOR 1 Month + 1.95%), 07/25/2029(a)(c)		486		476,441
PMT Credit Risk Transfer Trust
Series 2019-1R, Class A 2.184% (LIBOR 1 Month + 2.00%), 03/27/2024(c)(g)		432		393,558

20

	Principal Amount (000)		U.S. $ Value
Series 2019-2R, Class A
2.934% (LIBOR 1 Month + 2.75%), 05/27/2023(c)(g)	U.S.$	953	$	896,985
Series 2019-3R, Class A 2.884% (LIBOR 1 Month + 2.70%), 10/27/2022(c)(g)		291		275,570
Series 2020-1R, Class A 2.534% (LIBOR 1 Month + 2.35%), 02/27/2023(c)(g)		1,096		986,291
Radnor Re Ltd.
Series 2019-1, Class M1B 2.135% (LIBOR 1 Month + 1.95%), 02/25/2029(a)(c)		909		900,396
Series 2019-2, Class M1B 1.935% (LIBOR 1 Month + 1.75%), 06/25/2029(a)(c)		1,076		1,062,489
Series 2020-1, Class M1A 1.135% (LIBOR 1 Month + 0.95%), 02/25/2030(a)(c)		536		529,294
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 1M2 5.435% (LIBOR 1 Month + 5.25%), 11/25/2025(c)(g)		508		463,493
Series 2015-WF1, Class 2M2 5.685% (LIBOR 1 Month + 5.50%), 11/25/2025(c)(g)		156		143,530
				38,255,680
Agency Floating Rate – 1.0%
Federal Home Loan Mortgage Corp. REMICs
Series 4416, Class BS 5.915% (6.10% – LIBOR 1 Month), 12/15/2044(c)(h)		2,743		567,195
Series 4693, Class SL 5.965% (6.15% – LIBOR 1 Month), 06/15/2047(c)(h)		2,741		628,377
Series 4727, Class SA 6.015% (6.20% – LIBOR 1 Month), 11/15/2047(c)(h)		2,480		490,131
Series 4954, Class SL 5.865% (6.05% – LIBOR 1 Month), 02/25/2050(c)(h)		4,634		889,659
Federal National Mortgage Association REMICs
Series 2011-131, Class ST 6.356% (6.54% – LIBOR 1 Month), 12/25/2041(c)(h)		1,449		346,433
Series 2012-70, Class SA 6.366% (6.55% – LIBOR 1 Month), 07/25/2042(c)(h)		2,573		667,746
Series 2016-106, Class ES 5.816% (6.00% – LIBOR 1 Month), 01/25/2047(c)(h)		2,639		498,512
Series 2017-16, Class SG 5.866% (6.05% – LIBOR 1 Month), 03/25/2047(c)(h)		2,761		563,138

21

	Principal Amount (000)		U.S. $ Value
Series 2017-73, Class SA 5.966% (6.15% – LIBOR 1 Month), 09/25/2047(c)(h)	U.S.$	3,235	$	733,674
Series 2017-97, Class LS 6.016% (6.20% – LIBOR 1 Month), 12/25/2047(c)(h)		2,299		588,465
Series 2017-97, Class SW 6.016% (6.20% – LIBOR 1 Month), 12/25/2047(c)(h)		2,153		550,898
Government National Mortgage Association
Series 2017-43, Class ST 5.91% (6.10% – LIBOR 1 Month), 03/20/2047(c)(h)		3,357		634,855
Series 2017-65, Class ST 5.96% (6.15% – LIBOR 1 Month), 04/20/2047(c)(h)		3,074		651,575
Series 2017-134, Class SE 6.01% (6.20% – LIBOR 1 Month), 09/20/2047(c)(h)		2,409		392,178
				8,202,836
Non-Agency Fixed Rate – 0.2%
Alternative Loan Trust
Series 2005-20CB, Class 3A6 5.50%, 07/25/2035		100		89,154
Series 2006-24CB, Class A16 5.75%, 08/25/2036		515		398,023
Series 2006-28CB, Class A14 6.25%, 10/25/2036		381		287,903
Series 2006-J1, Class 1A13 5.50%, 02/25/2036		258		231,649
Countrywide Home Loan Mortgage Pass-Through Trust Series 2006-13, Class 1A19 6.25%, 09/25/2036		103		71,644
First Horizon Alternative Mortgage Securities Trust Series 2006-FA3, Class A9 6.00%, 07/25/2036		395		282,820
				1,361,193
Non-Agency Floating Rate – 0.1%
Chase Mortgage Reference Notes Series 2019-CL1, Class M3 2.285% (LIBOR 1 Month + 2.10%), 04/25/2047(a)(c)		384		352,619
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4, Class A2 0.375% (LIBOR 1 Month + 0.19%), 12/25/2036(c)		1,095		514,821

22

	Principal Amount (000)		U.S. $ Value
HomeBanc Mortgage Trust Series 2005-1, Class A1 0.435% (LIBOR 1 Month + 0.25%), 03/25/2035(c)	U.S.$	291	$	248,090
				1,115,530
Agency Fixed Rate – 0.0%
Federal National Mortgage Association Grantor Trust Series 2004-T5, Class AB4 0.708%, 05/28/2035		323		296,490
Total Collateralized Mortgage Obligations (cost $49,731,113)				49,231,729
ASSET-BACKED SECURITIES – 3.3%
Autos - Fixed Rate – 1.8%
Avis Budget Rental Car Funding AESOP LLC
Series 2016-1A, Class A 2.99%, 06/20/2022(a)		742		737,231
Series 2018-1A, Class A 3.70%, 09/20/2024(a)		1,700		1,711,686
Series 2018-2A, Class A 4.00%, 03/20/2025(a)		1,680		1,695,402
Exeter Automobile Receivables Trust
Series 2016-1A, Class D 8.20%, 02/15/2023(a)		431		436,015
Series 2019-2A, Class A 2.93%, 07/15/2022(a)		178		178,233
First Investors Auto Owner Trust
Series 2019-1A, Class B 3.02%, 03/17/2025(a)		1,700		1,741,771
Series 2020-1A, Class A 1.49%, 01/15/2025(a)		1,165		1,177,220
Flagship Credit Auto Trust
Series 2016-2, Class D 8.56%, 11/15/2023(a)		620		645,926
Series 2016-4, Class D 3.89%, 11/15/2022(a)		570		577,983
Series 2017-4, Class A 2.07%, 04/15/2022(a)		4		4,341
Ford Credit Auto Owner Trust Series 2016-1, Class A 2.31%, 08/15/2027(a)		1,232		1,243,483
Hertz Vehicle Financing II LP
Series 2017-1A, Class A 2.96%, 10/25/2021(a)		1,209		1,197,684
Series 2018-1A, Class A 3.29%, 02/25/2024(a)		572		566,851
Series 2019-1A, Class A 3.71%, 03/25/2023(a)		1,544		1,527,978
Series 2019-2A, Class A 3.42%, 05/25/2025(a)		1,048		1,036,610

23

	Principal Amount (000)			U.S. $ Value
Hertz Vehicle Financing LLC Series 2018-2A, Class A 3.65%, 06/27/2022(a)	U.S.$		1,047	$	1,036,934
					15,515,348
Other ABS - Fixed Rate – 0.9%
Consumer Loan Underlying Bond Credit Trust Series 2018-P1, Class A 3.39%, 07/15/2025(a)			56		55,512
Marlette Funding Trust
Series 2018-3A, Class A 3.20%, 09/15/2028(a)			14		14,132
Series 2018-4A, Class A 3.71%, 12/15/2028(a)			364		367,137
Series 2019-1A, Class A 3.44%, 04/16/2029(a)			373		376,088
Series 2019-3A, Class A 2.69%, 09/17/2029(a)			905		910,142
Series 2020-1A, Class A 2.24%, 03/15/2030(a)			397		398,241
Prosper Marketplace Issuance Trust Series 2019-3A, Class A 3.19%, 07/15/2025(a)			368		369,290
SBA Tower Trust Series 2015-1A,Class C 3.156%, 10/08/2020(a)			1,340		1,341,394
SoFi Consumer Loan Program LLC
Series 2016-2, Class A 3.09%, 10/27/2025(a)			14		14,276
Series 2016-3, Class A 3.05%, 12/26/2025(a)			13		12,706
Series 2017-2, Class A 3.28%, 02/25/2026(a)			75		75,054
Series 2017-5, Class A2 2.78%, 09/25/2026(a)			689		695,962
Series 2017-6, Class A2 2.82%, 11/25/2026(a)			560		563,519
SoFi Consumer Loan Program Trust
Series 2018-3, Class A2 3.67%, 08/25/2027(a)		��	894		905,027
Series 2019-1, Class A 3.24%, 02/25/2028(a)			525		530,151
Series 2019-3, Class A 2.90%, 05/25/2028(a)			737		746,906
					7,375,537
Credit Cards - Fixed Rate – 0.6%
Chase Issuance Trust Series 2012-A7, Class A7 2.16%, 09/15/2024			200		207,531

24

	Principal Amount (000)				U.S. $ Value
World Financial Network Credit Card Master Trust
Series 2018-A, Class A 3.07%, 12/16/2024		U.S.$	2,100		$	2,127,523
Series 2018-B, Class M 3.81%, 07/15/2025			1,100			1,112,735
Series 2019-B, Class M 3.04%, 04/15/2026			1,600			1,613,114
						5,060,903
Home Equity Loans - Floating Rate – 0.0%
ABFC Trust Series 2003-WF1, Class A2 1.31% (LIBOR 1 Month + 1.13%), 12/25/2032(c)			101			98,190
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1, Class 1A 0.485% (LIBOR 1 Month + 0.30%), 04/25/2034(c)			57			54,238
						152,428
Home Equity Loans - Fixed Rate – 0.0%
Credit-Based Asset Servicing & Securitization LLC Series 2003-CB1, Class AF 3.95%, 01/25/2033			0	**		0
Total Asset-Backed Securities (cost $27,908,443)						28,104,216
INFLATION-LINKED SECURITIES – 3.2%
Japan – 0.7%
Japanese Government CPI Linked Bond Series 22 0.10%, 03/10/2027		JPY	648,925			5,982,908
United States – 2.5%
U.S. Treasury Inflation Index
0.125%, 07/15/2026(TIPS)		U.S.$	7,091			7,531,352
0.375%, 07/15/2025(TIPS)			11,266			12,030,003
0.75%, 07/15/2028(TIPS)			1,604			1,808,464
						21,369,819
Total Inflation-Linked Securities (cost $25,833,199)						27,352,727
AGENCIES – 2.6%
Agency Debentures – 2.6%
Federal Home Loan Bank 1.875%, 07/07/2021			3,365			3,422,609
2.50%, 02/13/2024			1,465			1,580,339
Federal National Mortgage Association 6.25%, 05/15/2029			355			514,455
6.625%, 11/15/2030			260			402,566
Residual Funding Corp. Principal Strip Zero Coupon, 07/15/2020			16,374			16,370,398
Total Agencies (cost $21,982,739)						22,290,367

25

	Principal Amount (000)			U.S. $ Value
EMERGING MARKETS - TREASURIES – 1.7%
South Africa – 1.7%
Republic of South Africa Government Bond Series 2030 8.00%, 01/31/2030 (cost $14,047,249)		ZAR	272,934	$	14,497,865
COLLATERALIZED LOAN OBLIGATIONS – 1.2%
CLO - Floating Rate – 1.2%
Dryden CLO Ltd.
Series 2020-77A, Class A 2.374% (LIBOR 3 Month + 2.00%), 05/20/2031(a)(c)	U.S.$		1,000		1,002,467
Series 2020-78A, Class C 3.217% (LIBOR 3 Month + 1.95%), 04/17/2033(a)(c)			1,260		1,188,259
Series 2020-78A, Class D 4.267% (LIBOR 3 Month + 3.00%), 04/17/2033(a)(c)			400		354,700
Elevation CLO Ltd. Series 2020-11A, Class C 3.523% (LIBOR 3 Month + 2.20%), 04/15/2033 (a)(c)			1,080		1,042,153
Goldentree Loan Management US CLO Ltd. Series 2020-7A, Class A 2.308% (LIBOR 3 Month + 1.90%), 04/20/2031(a)(c)			1,415		1,418,518
Kayne CLO Ltd. Series 2020-7A, Class C 3.407% (LIBOR 3 Month + 2.00%), 04/17/2033(a)(c)			570		549,382
Magnetite CLO Ltd. Series 2020-26A, Class A 1.949% (LIBOR 3 Month + 1.75%), 07/15/2030(a)(c)			2,229		2,230,494
OCP CLO Ltd. Series 2020-18A, Class A 2.053% (LIBOR 3 Month + 1.80%), 04/20/2030(a)(c)			1,500		1,502,966
SCFF I Ltd. Series 2020-1A, Class A2A 4.111% (LIBOR 3 Month + 3.25%), 04/15/2031(a)(c)			630		629,861
Voya CLO Ltd. Series 2019-1A, Class DR 4.069% (LIBOR 3 Month + 2.85%), 04/15/2031(a)(c)			480		423,951
Total Collateralized Loan Obligations (cost $10,553,938)					10,342,751

26

	Principal Amount (000)			U.S. $ Value
CORPORATES - NON-INVESTMENT GRADE – 1.1%
Financial Institutions – 0.7%
Banking – 0.7%
Credit Suisse Group AG 6.375%, 08/21/2026(a)(b)		U.S.$	355	$	360,361
7.50%, 07/17/2023(a)(b)			2,571		2,651,241
Discover Financial Services Series D 6.125%, 06/23/2025(b)			2,516		2,590,700
Intesa Sanpaolo SpA 5.017%, 06/26/2024(a)			757		777,651
					6,379,953
Industrial – 0.4%
Capital Goods – 0.1%
TransDigm, Inc. 6.25%, 03/15/2026(a)			705		702,927
Communications - Media – 0.0%
Ziggo BV 5.50%, 01/15/2027(a)			236		238,724
Consumer Cyclical - Automotive – 0.1%
Clarios Global LP/Clarios US Finance Co. 4.375%, 05/15/2026(a)		EUR	228		253,563
Ford Motor Credit Co. LLC 4.063%, 11/01/2024		U.S.$	900		857,655
					1,111,218
Consumer Cyclical - Other – 0.1%
International Game Technology PLC 6.50%, 02/15/2025(a)			890		909,224
Energy – 0.1%
Transocean Poseidon Ltd. 6.875%, 02/01/2027(a)			491		433,479
					3,395,572
Total Corporates - Non-Investment Grade (cost $9,821,410)					9,775,525
GOVERNMENTS - SOVEREIGN BONDS – 1.0%
Colombia – 0.1%
Colombia Government International Bond 3.125%, 04/15/2031			696		691,128
Israel – 0.1%
Israel Government International Bond 3.875%, 07/03/2050			928		1,100,260
Mexico – 0.1%
Mexico Government International Bond 3.90%, 04/27/2025			989		1,060,208

27

	Principal Amount (000)		U.S. $ Value
Peru – 0.1%
Peruvian Government International Bond 2.392%, 01/23/2026	U.S.$	493	$	512,104
Qatar – 0.1%
Qatar Government International Bond 3.40%, 04/16/2025(a)		1,029		1,121,610
Saudi Arabia – 0.2%
Saudi Government International Bond 2.90%, 10/22/2025(a)		1,534		1,626,040
United Arab Emirates – 0.2%
Abu Dhabi Government International Bond
2.50%, 04/16/2025(a)		892		926,565
3.875%, 04/16/2050(a)		746		879,347
				1,805,912
Uruguay – 0.1%
Uruguay Government International Bond 4.375%, 01/23/2031		360		420,095
Total Governments - Sovereign Bonds (cost $7,670,202)				8,337,357
EMERGING MARKETS - CORPORATE BONDS – 0.7%
Industrial – 0.7%
Capital Goods – 0.2%
Cemex SAB de CV 7.375%, 06/05/2027(a)		371		374,193
Embraer Netherlands Finance BV 5.40%, 02/01/2027		1,025		907,125
Odebrecht Finance Ltd. 5.25%, 06/27/2029(a)(i)(j)		656		26,240
				1,307,558
Communications - Media – 0.3%
Globo Comunicacao e Participacoes SA 4.875%, 01/22/2030(a)		645		582,113
Weibo Corp. 3.375%, 07/08/2030		1,973		1,959,919
				2,542,032
Consumer Non-Cyclical – 0.1%
BRF GmbH 4.35%, 09/29/2026(a)		527		508,555
BRF SA 3.95%, 05/22/2023(a)		370		366,647
				875,202
Transportation - Services – 0.1%
Rumo Luxembourg SARL 5.875%, 01/18/2025(a)		672		708,960
				5,433,752

28

		Principal Amount (000)		U.S. $ Value
Utility – 0.0%
Electric – 0.0%
Terraform Global Operating LLC 6.125%, 03/01/2026(g)		U.S.$	117	$	114,930
Total Emerging Markets - Corporate Bonds (cost $6,329,854)					5,548,682
QUASI-SOVEREIGNS – 0.6%
Quasi-Sovereign Bonds – 0.6%
Chile – 0.1%
Corp. Nacional del Cobre de Chile 3.15%, 01/14/2030(a)			905		942,331
3.75%, 01/15/2031(a)			202		219,675
Empresa de Transporte de Pasajeros Metro SA 3.65%, 05/07/2030(a)			200		215,150
					1,377,156
Indonesia – 0.3%
Indonesia Asahan Aluminium Persero PT 4.75%, 05/15/2025(a)			591		634,545
Pertamina Persero PT 6.45%, 05/30/2044(a)			850		1,083,485
Perusahaan Listrik Negara PT 5.45%, 05/21/2028(a)			447		516,145
6.15%, 05/21/2048(a)			200		249,125
					2,483,300
Malaysia – 0.1%
Petronas Capital Ltd. 4.55%, 04/21/2050 (a)			448		569,359
Mexico – 0.1%
Petroleos Mexicanos 6.75%, 09/21/2047			996		764,679
6.84%, 01/23/2030(a)			356		311,889
					1,076,568
Total Quasi-Sovereigns (cost $5,191,752)					5,506,383
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.6%
United States – 0.6%
State of California
5.70%, 11/01/2021			1,255		1,340,541
Series 2010 7.625%, 03/01/2040	��		2,040		3,600,987
Total Local Governments - US Municipal Bonds (cost $3,475,613)					4,941,528

29

	Principal Amount (000)		U.S. $ Value
EMERGING MARKETS - SOVEREIGNS – 0.2%
Brazil – 0.1%
Brazilian Government International Bond 2.875%, 06/06/2025	U.S.$	1,117	$	1,101,362
Egypt – 0.1%
Egypt Government International Bond 6.125%, 01/31/2022(a)		405		414,745
Total Emerging Markets - Sovereigns (cost $1,515,646)				1,516,107
	Shares
COMMON STOCKS – 0.1%
Financials – 0.1%
Insurance – 0.1%
Mt Logan Re Ltd. (Preference Shares)(i)(k)(l) (cost $521,000)		521		506,776
	Principal Amount (000)
SHORT-TERM INVESTMENTS – 6.3%
U.S. Treasury Bills – 4.8%
U.S. Treasury Bill Zero Coupon, 08/13/2020-09/10/2020 (cost $41,172,559)	U.S.$	41,185		41,174,322
	Shares
Investment Companies – 1.4%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 0.13%(m)(n)(o) (cost $11,660,896)		11,660,896		11,660,896
	Principal Amount (000)
Short-Term Municipal Notes – 0.1%
New York – 0.1%
New York State Dormitory Authority (State of New York Pers Income Tax) Series 2020B 5.00%, 03/31/2021 (cost $516,627)	U.S.$	500		517,590
Total Short-Term Investments (cost $53,350,082)				53,352,808
Total Investments – 102.0% (cost $819,659,033)(p)				868,337,799
Other assets less liabilities – (2.0)%				(17,333,859	)
Net Assets – 100.0%			$	851,003,940

30

FUTURES

Description	Number of Contracts		Expiration Month		Current Notional			Value and Unrealized Appreciation/ (Depreciation)
Purchased Contracts
10 Yr Mini Japan Government Bond Futures		1		September 2020		$	140,662		$	(141	)
U.S. 10 Yr Ultra Futures		83		September 2020			13,071,203			100,369
U.S. T-Note 2 Yr (CBT) Futures		1,021		September 2020			225,465,517			54,181
U.S. T-Note 10 Yr (CBT) Futures		62		September 2020			8,628,656			23,437
U.S. Ultra Bond (CBT) Futures		7		September 2020			1,527,094			17,427
Sold Contracts
10 Yr Japan Bond (OSE) Futures		5		September 2020			7,036,351			5,308
U.S. T-Note 5 Yr (CBT) Futures		2		September 2020			251,484			(393	)
									$	200,188

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Barclays Bank PLC		ZAR	15,407		USD	914		07/17/2020	$	27,557
Citibank, NA		ZAR	12,757		USD	688		07/17/2020		(45,701	)
Goldman Sachs Bank USA		ZAR	15,240		USD	915		07/17/2020		38,125
Goldman Sachs Bank USA		ZAR	84,040		USD	4,818		07/17/2020		(16,875	)
Goldman Sachs Bank USA		CAD	1,348		USD	972		08/06/2020		(21,023	)
Goldman Sachs Bank USA		MYR	9,719		USD	2,367		08/13/2020		103,810
HSBC Bank USA		ZAR	36,451		USD	1,951		07/17/2020		(145,819	)
JPMorgan Chase Bank, NA		ZAR	9,445		USD	556		07/17/2020		12,669
Morgan Stanley & Co., Inc.		EUR	10,929		USD	12,357		08/06/2020		68,980
Morgan Stanley & Co., Inc.		JPY	665,190		USD	6,110		08/07/2020		(52,978	)
State Street Bank & Trust Co.		USD	11		SEK	106		07/15/2020		16
State Street Bank & Trust Co.		ZAR	9,412		USD	550		07/17/2020		8,397
State Street Bank & Trust Co.		ZAR	72,391		USD	3,958		07/17/2020		(206,900	)
									$	(229,742	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

Description	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)		Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
CDX-NAHY Series 34, 5 Year Index, 06/20/2025*		(5.00	)%		Quarterly		5.22	%	USD	10,954	$	86,578		$	48,149		$	38,429
Sale Contracts
CDX-NAHY Series 34, 5 Year Index, 06/20/2025*		5.00			Quarterly		5.22		USD	668		(3,479	)		(4,314	)		835
											$	83,099		$	43,835		$	39,264

* Termination date

31

CENTRALLY CLEARED INTEREST RATE SWAPS

			Rate Type
Notional Amount (000)		Termination Date	Payments made by the Fund		Payments received by the Fund		Payment Frequency Paid/ Received		Market Value			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
CAD	70,000	08/27/2021		3 Month CDOR		1.623%		Semi-Annual/ Semi-Annual	$	656,025		$	277	$	655,748
SEK	307,100	08/30/2024		3 Month STIBOR		-0.165%		Quarterly/ Annual		(338,224	)		202		(338,426	)
CAD	8,355	01/14/2025		3 Month CDOR		1.950%		Semi-Annual/ Semi-Annual		350,823			17		350,806
JPY	2,858,880	12/13/2029		6 Month LIBOR		0.080%		Semi-Annual/ Semi-Annual		112,351			9		112,342
USD	4,950	12/13/2029		1.764%		3 Month LIBOR		Semi-Annual/ Quarterly		(537,219	)		—		(537,219	)
CAD	1,780	01/14/2050		2.210%		3 Month CDOR		Semi-Annual/ Semi-Annual		(284,901	)		6		(284,907	)
									$	(41,145	)	$	511	$	(41,656	)

CREDIT DEFAULT SWAPS

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value		Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Buy Contracts
Citigroup Global Markets, Inc.
CDX-CMBX.NA.BBB- Series 9, 09/17/2058*		(3.00	)%		Monthly		7.48	%		USD	804	$	155,963	$	63,377	$	92,586
CDX-CMBX.NA.BBB- Series 9, 09/17/2058*		(3.00	)		Monthly		7.48			USD	1,608		311,926		119,344		192,582
CDX-CMBX.NA.BBB- Series 9, 09/17/2058*		(3.00	)		Monthly		7.48			USD	1,608		311,925		115,279		196,646
CDX-CMBX.NA.BBB- Series 9, 09/17/2058*		(3.00	)		Monthly		7.48			USD	1,980		384,087		137,157		246,930
CDX-CMBX.NA.BBB- Series 9, 09/17/2058*		(3.00	)		Monthly		7.48			USD	400		77,593		26,960		50,633
CDX-CMBX.NA.BBB- Series 9, 09/17/2058*		(3.00	)		Monthly		7.48			USD	400		77,593		26,960		50,633

32

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.BBB- Series 9, 09/17/2058*		(3.00	)%		Monthly		7.48	%		USD	380	$	73,713		$	26,186		$	47,527
Goldman Sachs International
CDX-CMBX.NA.BBB- Series 9, 09/17/2058*		(3.00	)		Monthly		7.48			USD	997		193,318			176,391			16,927
Morgan Stanley & Co. International plc
CDX-CMBX.NA.BBB- Series 9, 09/17/2058*		1.00			Monthly		7.51			USD	1,063		(443	)		221,296			(221,739	)
Sale Contracts
Citigroup Global Markets, Inc.
CDX-CMBX.NA.BB Series 6, 05/11/2063*		5.00			Monthly		25.00			USD	1,650		(831,215	)		(233,655	)		(597,560	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	4,000		(1,249,600	)		(490,147	)		(759,453	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	196		(61,231	)		(19,696	)		(41,535	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	5,000		(1,562,000	)		(391,236	)		(1,170,764	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	345		(107,778	)		(45,206	)		(62,572	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	325		(101,530	)		(43,596	)		(57,934	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	297		(92,783	)		(45,047	)		(47,736	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	58		(18,119	)		(9,230	)		(8,889	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	385		(120,274	)		(56,688	)		(63,586	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	567		(177,178	)		(64,132	)		(113,046	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	804		(251,237	)		(90,939	)		(160,298	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,134		(354,356	)		(125,431	)		(228,925	)

33

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00	%		Monthly		21.20	%		USD	1,608	$	(502,473	)	$	(177,860	)	$	(324,613	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,134		(354,356	)		(122,968	)		(231,388	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,298		(405,604	)		(137,461	)		(268,143	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,215		(379,667	)		(129,327	)		(250,340	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	450		(140,617	)		(47,838	)		(92,779	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	396		(123,744	)		(49,640	)		(74,104	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	340		(106,244	)		(42,620	)		(63,624	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	554		(173,116	)		(69,446	)		(103,670	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	390		(121,869	)		(50,498	)		(71,371	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	81		(25,311	)		(10,306	)		(15,005	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	913		(285,373	)		(108,775	)		(176,598	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	274		(85,643	)		(32,644	)		(52,999	)
Credit Suisse International
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,200		(374,981	)		(119,440	)		(255,541	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	388		(121,211	)		(22,830	)		(98,381	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,127		(352,075	)		(90,295	)		(261,780	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	251		(78,412	)		(20,110	)		(58,302	)

34

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00	%		Monthly		21.20	%		USD	324	$	(101,218	)	$	(26,511	)	$	(74,707	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	629		(196,500	)		(59,292	)		(137,208	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	165		(51,560	)		(20,225	)		(31,335	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	5		(1,562	)		(617	)		(945	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	417		(130,270	)		(61,120	)		(69,150	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	914		(285,534	)		(58,418	)		(227,116	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	240		(74,976	)		(16,394	)		(58,582	)
Deutsche Bank AG
CDX-CMBX.NA.A Series 6, 05/11/2063*		2.00			Monthly		8.64			USD	1,460		(186,685	)		(28,217	)		(158,468	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	45		(14,058	)		(5,212	)		(8,846	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	278		(86,847	)		(34,610	)		(52,237	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	610		(190,564	)		(68,937	)		(121,627	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	610		(190,564	)		(68,910	)		(121,654	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	457		(142,767	)		(48,642	)		(94,125	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	896		(279,910	)		(72,814	)		(207,096	)
Goldman Sachs International
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	984		(307,401	)		(111,940	)		(195,461	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	950		(296,780	)		(71,754	)		(225,026	)

35

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00	%		Monthly		21.20	%		USD	31	$	(9,687	)	$	(3,928	)	$	(5,759	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	268		(83,723	)		(22,880	)		(60,843	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	22		(6,873	)		(1,948	)		(4,925	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	45		(14,058	)		(4,058	)		(10,000	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	45		(14,058	)		(4,391	)		(9,667	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	89		(27,804	)		(9,493	)		(18,311	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	446		(139,331	)		(59,970	)		(79,361	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	306		(95,594	)		(32,210	)		(63,384	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	325		(101,530	)		(49,359	)		(52,171	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	322		(100,593	)		(51,997	)		(48,596	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	448		(139,955	)		(73,385	)		(66,570	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	28		(8,748	)		(4,202	)		(4,546	)
JPMorgan Securities, LLC
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	239		(74,664	)		(22,974	)		(51,690	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	56		(17,494	)		(5,397	)		(12,097	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	138		(43,112	)		(17,399	)		(25,713	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	975		(304,590	)		(118,135	)		(186,455	)

36

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency		Implied Credit Spread at June 30, 2020			Notional Amount (000)			Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00	%		Monthly		21.20	%		USD	338	$	(105,591	)	$	(41,315	)	$	(64,276	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	59		(18,431	)		(5,688	)		(12,743	)
Morgan Stanley Capital Services LLC
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	1,200		(374,880	)		(157,928	)		(216,952	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00			Monthly		21.20			USD	369		(115,275	)		(25,708	)		(89,567	)
												$	(11,305,509	)	$	(3,400,089	)	$	(7,905,420	)

* Termination date

** Principal amount less than 500.

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020, the aggregate market value of these securities amounted to $170,460,863 or 20.0% of net assets.

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

(c) Floating Rate Security. Stated interest/floor/ceiling rate was in effect at June 30, 2020.

(d) Position, or a portion thereof, has been segregated to collateralize margin requirements for open centrally cleared swaps.

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

(f) IO - Interest Only.

(g) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.84% of net assets as of June 30, 2020, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities	Acquisition Date	Cost		Market Value		Percentage of Net Assets
BAMLL Commercial Mortgage Securities Trust Series 2017-SCH, Class AF 1.185%, 11/15/2033	12/04/2017	$	2,435,000	$	2,286,819		0.27	%
BHMS Series 2018-ATLS, Class A 1.435%, 07/15/2035	07/13/2018		1,199,540		1,136,481		0.13	%
JP Morgan Madison Avenue Securities Trust Series 2014-CH1, Class M2 4.435%, 11/25/2024	11/06/2015		136,525		126,964		0.01	%
Morgan Stanley Capital I Trust Series 2015-XLF2, Class SNMA 2.135%, 11/15/2026	11/16/2015		389,855		354,727		0.04	%
PMT Credit Risk Transfer Trust Series 2019-1R, Class A 2.184%, 03/27/2024	03/21/2019		432,057		393,558		0.05	%

37

144A/Restricted & Illiquid Securities	Acquisition Date	Cost		Market Value		Percentage of Net Assets
PMT Credit Risk Transfer Trust Series 2019-2R, Class A 2.934%, 05/27/2023	06/07/2019	$	952,971	$	896,985		0.11	%
PMT Credit Risk Transfer Trust Series 2019-3R, Class A 2.884%, 10/27/2022	10/11/2019		291,030		275,570		0.03	%
PMT Credit Risk Transfer Trust Series 2020-1R, Class A 2.534%, 02/27/2023	02/11/2020		1,096,301		986,291		0.12	%
Terraform Global Operating LLC 6.125%, 03/01/2026	02/08/2018		117,000		114,930		0.01	%
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 1M2 5.435%, 11/25/2025	09/28/2015		507,647		463,493		0.05	%
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2 5.685%, 11/25/2025	09/28/2015		154,764		143,530		0.02	%

(h) Inverse interest only security.

(i) Non-income producing security.

(j) Defaulted.

(k) Restricted and illiquid security.

Restricted & Illiquid Securities	Acquisition Date		Cost		Market Value		Percentage of Net Assets
Mt Logan Re Ltd.(Preference Shares)		12/30/14	$	521,000	$	506,776		0.06	%

(l) Security in which significant unobservable inputs (Level 3) were used in determining fair value.

(m) Affiliated investments.

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

(o) The rate shown represents the 7-day yield as of period end.

(p) As of June 30, 2020, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $58,883,896 and gross unrealized depreciation of investments was $(18,142,496), resulting in net unrealized appreciation of $40,741,400.

Currency Abbreviations:

CAD – Canadian Dollar

EUR – Euro

JPY – Japanese Yen

MYR – Malaysian Ringgit

SEK – Swedish Krona

USD – United States Dollar

ZAR – South African Rand

Glossary:

ABS – Asset-Backed Securities

ARMs – Adjustable Rate Mortgages

CBT – Chicago Board of Trade

CDOR – Canadian Dealer Offered Rate

CDX-CMBX.NA – North American Commercial Mortgage-Backed Index

CDX-NAHY – North American High Yield Credit Default Swap Index

CLO – Collateralized Loan Obligations

CMBS – Commercial Mortgage-Backed Securities

CPI – Consumer Price Index

LIBOR – London Interbank Offered Rates

OSE – Osaka Securities Exchange

REIT – Real Estate Investment Trust

REMICs – Real Estate Mortgage Investment Conduits

STIBOR – Stockholm Interbank Offered Rate

TBA – To Be Announced

TIPS – Treasury Inflation Protected Security

38

Sanford C. Bernstein Fund II, Inc.

Intermediate Duration Institutional Portfolio

June 30, 2020 (unaudited)

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or 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 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 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.

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.

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.

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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.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of June 30, 2020:

Investments in Securities:	Level 1			Level 2			Level 3		Total
Assets:
Corporates - Investment Grade	$	—		$	257,036,531		$	—	$	257,036,531
Governments - Treasuries		—			171,355,096			—		171,355,096
Mortgage Pass-Throughs		—			116,822,818			—		116,822,818
Commercial Mortgage-Backed Securities		—			81,818,533			—		81,818,533
Collateralized Mortgage Obligations		—			49,231,729			—		49,231,729
Asset-Backed Securities		—			28,104,216			—		28,104,216
Inflation-Linked Securities		—			27,352,727			—		27,352,727
Agencies		—			22,290,367			—		22,290,367
Emerging Markets - Treasuries		—			14,497,865			—		14,497,865
Collateralized Loan Obligations		—			10,342,751			—		10,342,751
Corporates - Non-Investment Grade		—			9,775,525			—		9,775,525
Governments - Sovereign Bonds		—			8,337,357			—		8,337,357
Emerging Markets - Corporate Bonds		—			5,548,682			—		5,548,682
Quasi-Sovereigns		—			5,506,383			—		5,506,383
Local Governments - US Municipal Bonds		—			4,941,528			—		4,941,528
Emerging Markets - Sovereigns		—			1,516,107			—		1,516,107
Common Stocks		—			—			506,776		506,776
Short-Term Investments:
U.S. Treasury Bills		—			41,174,322			—		41,174,322
Investment Companies		11,660,896			—			—		11,660,896
Short-Term Municipal Notes		—			517,590			—		517,590
Total Investments in Securities		11,660,896			856,170,127			506,776		868,337,799
Other Financial Instruments(a):
Assets:
Futures		200,722			—			—		200,722
Forward Currency Exchange Contracts		—			259,554			—		259,554
Centrally Cleared Credit Default Swaps		—			86,578			—		86,578
Centrally Cleared Interest Rate Swaps		—			1,119,199			—		1,119,199
Credit Default Swaps		—			1,586,118			—		1,586,118
Liabilities:
Futures		(534	)		—			—		(534	)
Forward Currency Exchange Contracts		—			(489,296	)		—		(489,296	)
Centrally Cleared Credit Default Swaps		—			(3,479	)		—		(3,479	)
Centrally Cleared Interest Rate Swaps		—			(1,160,344	)		—		(1,160,344	)
Credit Default Swaps		—			(12,891,627	)		—		(12,891,627	)
Total	$	11,861,084		$	844,676,830		$	506,776	$	857,044,690	(b)

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^(a)  Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value.

^(b)  Amounts of $12,844,966 and $310,151 for Asset-Backed Securities and Collateralized Mortgage Obligations, respectively, were transferred out of Level 3 into Level 2 as improved transparency of price inputs received from pricing vendors has increased the observability during the reporting period.

A summary of the Portfolio’s transactions in AB mutual funds for the nine months ended June 30, 2020 is as follows:

Fund	Market Value 09/30/2019 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Market Value 06/30/2020 (000)		Dividend Income (000)
Government Money Market Portfolio	$	7,529	$	358,414	$	354,282	$	11,661	$	72

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