Bernstein Sanford C Fund Ii NPORT-P Bernstein Intermediate Duration Institutional Portfolio (Jun 2022 report)

Sanford C. Bernstein Fund II, Inc.

Schedule of Investments

Intermediate Duration Institutional Portfolio

June 30, 2022 (unaudited)

	Principal Amount (000)		U.S. $ Value
GOVERNMENTS - TREASURIES – 36.8%
United States – 36.8%
U.S. Treasury Bonds 1.75%, 08/15/2041	U.S.$	8,149	$	6,234,876
1.875%, 02/15/2051		4,063		3,074,700
2.00%, 11/15/2041-08/15/2051		16,243		12,796,192
2.25%, 08/15/2046-02/15/2052		19,619		16,199,741
2.375%, 02/15/2042-11/15/2049		6,641		5,655,863
2.50%, 02/15/2046-05/15/2046		6,259		5,342,874
2.75%, 08/15/2042		190		171,297
2.875%, 05/15/2043-11/15/2046		603		553,451
3.00%, 05/15/2042-02/15/2048		7,025		6,651,270
3.00%, 05/15/2047(a)		1,447		1,362,215
3.125%, 02/15/2043-08/15/2044		330		315,143
3.25%, 05/15/2042		3,123		3,064,932
3.375%, 05/15/2044		646		640,758
3.50%, 02/15/2039		8,105		8,502,652
3.625%, 08/15/2043-02/15/2044		1,981		2,044,241
3.75%, 11/15/2043		295		310,211
4.375%, 02/15/2038-11/15/2039		11,639		13,508,475
4.50%, 02/15/2036		1,074		1,265,742
4.75%, 02/15/2037		1,525		1,847,633
5.25%, 11/15/2028(b)		2,645		2,978,105
5.375%, 02/15/2031		3,646		4,294,187
U.S. Treasury Notes 0.125%, 03/31/2023		67,065		65,744,462
1.375%, 11/15/2031		14,097		12,262,100
1.50%, 02/15/2030(b)		10,851		9,764,204
1.625%, 11/15/2022-05/15/2031		52,289		49,670,668
1.75%, 11/15/2029		1,386		1,274,254
1.875%, 02/28/2027		11,081		10,535,797
2.125%, 12/31/2022		11,453		11,427,947
2.25%, 02/15/2027		1,975		1,907,109
2.625%, 02/15/2029		8,921		8,700,763
2.75%, 11/15/2023		160		159,550
2.875%, 05/15/2028-05/15/2032		5,443		5,392,622
Total Governments - Treasuries (cost $297,708,055)				273,654,034
CORPORATES - INVESTMENT GRADE – 25.2%
Industrial – 13.2%
Basic – 1.0%
Anglo American Capital PLC 3.875%, 03/16/2029(c)		403		370,332
Braskem Netherlands Finance BV 4.50%, 01/31/2030(c)		500		424,565
Freeport Indonesia PT 4.763%, 04/14/2027(c)		324		310,230
Inversiones CMPC SA 3.85%, 01/13/2030(c)		200		175,225
Inversiones CMPC SA/Cayman Islands Branch 4.375%, 05/15/2023(c)		322		321,960
LYB International Finance BV 4.00%, 07/15/2023		187		186,787
LyondellBasell Industries NV 5.75%, 04/15/2024		568		580,911

1

	Principal Amount (000)		U.S. $ Value
Nucor Corp. 4.30%, 05/23/2027	U.S.$	1,105	$	1,100,712
Suzano Austria GmbH 2.50%, 09/15/2028		2,416		1,953,940
3.75%, 01/15/2031		343		277,041
WRKCo, Inc. 4.00%, 03/15/2028		1,732		1,699,196
				7,400,899
Capital Goods – 1.0%
CNH Industrial Capital LLC 3.95%, 05/23/2025		1,191		1,175,993
Flowserve Corp. 2.80%, 01/15/2032		1,227		953,391
Parker-Hannifin Corp. 3.25%, 06/14/2029		743		679,451
4.50%, 09/15/2029		934		929,321
Raytheon Technologies Corp. 4.125%, 11/16/2028		2,242		2,214,962
Westinghouse Air Brake Technologies Corp. 3.20%, 06/15/2025		270		257,823
4.40%, 03/15/2024		1,145		1,142,573
				7,353,514
Communications - Media – 1.5%
Charter Communications Operating LLC/Charter Communications Operating Capital 4.80%, 03/01/2050		765		606,079
5.125%, 07/01/2049		467		389,772
Discovery Communications LLC 5.20%, 09/20/2047		509		436,304
Fox Corp. 4.709%, 01/25/2029		700		687,337
Interpublic Group of Cos., Inc. (The) 4.65%, 10/01/2028		519		513,094
Magallanes, Inc. 4.279%, 03/15/2032(c)		1,826		1,631,330
Prosus NV 3.257%, 01/19/2027(c)		489		427,875
3.68%, 01/21/2030(c)		639		510,122
4.027%, 08/03/2050(c)		485		302,761
Tencent Holdings Ltd. 1.81%, 01/26/2026(c)		1,256		1,160,073
2.39%, 06/03/2030(c)		1,050		882,197
3.24%, 06/03/2050(c)		1,022		708,885
Time Warner Cable LLC 4.50%, 09/15/2042		505		395,996
Weibo Corp. 3.375%, 07/08/2030		3,313		2,716,246
				11,368,071
Communications - Telecommunications – 0.1%
T-Mobile USA, Inc. 2.625%, 02/15/2029		291		244,699
3.375%, 04/15/2029		171		149,659
				394,358

2

	Principal Amount (000)		U.S. $ Value
Consumer Cyclical - Automotive – 0.4%
General Motors Co. 6.125%, 10/01/2025	U.S.$	278	$	287,461
General Motors Financial Co., Inc. 4.30%, 04/06/2029		171		157,554
5.25%, 03/01/2026		600		601,008
Harley-Davidson Financial Services, Inc. 3.05%, 02/14/2027(c)		675		612,056
3.35%, 06/08/2025(c)		1,195		1,149,578
				2,807,657
Consumer Cyclical - Other – 0.4%
Las Vegas Sands Corp. 3.90%, 08/08/2029		2,303		1,885,420
MDC Holdings, Inc. 6.00%, 01/15/2043		968		795,899
				2,681,319
Consumer Cyclical - Retailers – 0.4%
Lowe’s Cos., Inc. 3.65%, 04/05/2029		774		731,337
Ross Stores, Inc. 4.70%, 04/15/2027		1,925		1,936,184
				2,667,521
Consumer Non-Cyclical – 1.4%
Altria Group, Inc. 3.40%, 05/06/2030		1,745		1,487,072
4.80%, 02/14/2029		1,204		1,141,043
BAT Capital Corp. 2.259%, 03/25/2028		2,706		2,264,624
4.906%, 04/02/2030		917		851,737
Biogen, Inc. 3.625%, 09/15/2022		11		11,033
Cencosud SA 5.15%, 02/12/2025(c)		1,473		1,464,825
Cigna Corp. 4.375%, 10/15/2028		740		733,236
CVS Health Corp. 4.30%, 03/25/2028		87		86,138
Ochsner LSU Health System of North Louisiana Series 2021 2.51%, 05/15/2031		1,480		1,192,732
Takeda Pharmaceutical Co., Ltd. 4.40%, 11/26/2023		1,378		1,388,018
				10,620,458
Energy – 3.8%
BP Capital Markets America, Inc. 2.939%, 06/04/2051		2,985		2,133,051
Conocophillips Co. 3.758%, 03/15/2042(c)		85		74,342
Continental Resources, Inc./OK 2.875%, 04/01/2032(c)		1,353		1,058,127
5.75%, 01/15/2031(c)		1,006		971,575

3

	Principal Amount (000)		U.S. $ Value
Devon Energy Corp. 5.60%, 07/15/2041	U.S.$	1,190	$	1,180,801
Enbridge Energy Partners LP 7.375%, 10/15/2045		1,713		2,049,707
Energy Transfer LP 3.60%, 02/01/2023		100		99,703
4.75%, 01/15/2026		1,425		1,422,207
6.25%, 04/15/2049		882		855,522
Eni SpA 4.25%, 05/09/2029(c)		1,163		1,127,459
Marathon Oil Corp. 6.80%, 03/15/2032		1,800		1,953,216
Marathon Petroleum Corp. 5.125%, 12/15/2026		2,794		2,865,778
6.50%, 03/01/2041		415		451,491
MPLX LP 5.20%, 03/01/2047		2,687		2,430,230
Oleoducto Central SA 4.00%, 07/14/2027(c)		491		406,259
ONEOK Partners LP 6.125%, 02/01/2041		73		69,698
ONEOK, Inc. 4.00%, 07/13/2027		1,720		1,657,203
4.35%, 03/15/2029		1,012		951,604
6.35%, 01/15/2031		263		274,880
Plains All American Pipeline LP/PAA Finance Corp. 3.55%, 12/15/2029		1,059		934,440
4.50%, 12/15/2026		683		670,802
Suncor Energy, Inc. 6.80%, 05/15/2038		1,377		1,545,035
Tengizchevroil Finance Co. International Ltd. 3.25%, 08/15/2030(c)		415		306,063
TransCanada PipeLines Ltd. 6.10%, 06/01/2040		1,356		1,464,317
6.20%, 10/15/2037		829		901,363
Transcontinental Gas Pipe Line Co., LLC 3.25%, 05/15/2030		449		403,229
				28,258,102
Other Industrial – 0.2%
Alfa SAB de CV 5.25%, 03/25/2024(c)		915		911,740
CITIC Ltd. 2.85%, 02/25/2030(c)		889		783,598
				1,695,338
Services – 0.2%
Expedia Group, Inc. 6.25%, 05/01/2025(c)		49		50,535
Global Payments, Inc. 3.20%, 08/15/2029		845		738,293
RELX Capital, Inc. 4.75%, 05/20/2032		375		380,284
S&P Global, Inc. 4.25%, 05/01/2029(c)		411		407,087
4.75%, 08/01/2028(c)		83		84,456
				1,660,655

4

	Principal Amount (000)		U.S. $ Value
Technology – 2.6%
Baidu, Inc. 3.425%, 04/07/2030	U.S.$	203	$	186,330
Broadcom, Inc. 3.137%, 11/15/2035(c)		323		246,724
3.187%, 11/15/2036(c)		1,539		1,169,009
4.00%, 04/15/2029(c)		169		156,903
4.15%, 11/15/2030		371		340,211
4.15%, 04/15/2032(c)		601		544,109
4.926%, 05/15/2037(c)		1,079		969,147
Entegris Escrow Corp. 4.75%, 04/15/2029(c)		1,270		1,183,818
Fiserv, Inc. 3.50%, 07/01/2029		2,539		2,315,873
HP, Inc. 5.50%, 01/15/2033		1,907		1,861,918
Infor, Inc. 1.75%, 07/15/2025(c)		649		600,260
Kyndryl Holdings, Inc. 2.05%, 10/15/2026(c)		2,545		2,152,128
NXP BV/NXP Funding LLC 5.55%, 12/01/2028		1,300		1,315,844
NXP BV/NXP Funding LLC/NXP USA, Inc. 3.40%, 05/01/2030		875		780,555
Oracle Corp. 2.875%, 03/25/2031		1,479		1,218,607
3.60%, 04/01/2040		840		629,110
3.65%, 03/25/2041		455		339,057
5.375%, 07/15/2040		270		245,724
SK Hynix, Inc. 2.375%, 01/19/2031(c)		532		419,998
TSMC Arizona Corp. 3.875%, 04/22/2027		685		682,417
Western Digital Corp. 3.10%, 02/01/2032		1,444		1,106,234
Workday, Inc. 3.70%, 04/01/2029		242		226,822
3.80%, 04/01/2032		643		587,959
				19,278,757
Transportation - Airlines – 0.1%
Delta Air Lines, Inc./SkyMiles IP Ltd. 4.50%, 10/20/2025(c)		819		795,323
Transportation - Railroads – 0.1%
Lima Metro Line 2 Finance Ltd. 4.35%, 04/05/2036(c)		248		223,532
5.875%, 07/05/2034(c)		404		395,882
				619,414

5

	Principal Amount (000)		U.S. $ Value
Transportation - Services – 0.0%
ENA Master Trust 4.00%, 05/19/2048(c)	U.S.$	380	$	286,900
				97,888,286
Financial Institutions – 11.3%
Banking – 7.7%
ABN AMRO Bank NV 4.75%, 07/28/2025(c)		269		267,397
Banco de Credito del Peru S.A. 3.125%, 07/01/2030(c)		1,447		1,319,302
Banco Santander SA 3.80%, 02/23/2028		200		187,278
4.175%, 03/24/2028		800		764,528
Bank of America Corp. 2.299%, 07/21/2032		924		746,869
2.687%, 04/22/2032		2,071		1,740,199
4.376%, 04/27/2028		1,652		1,627,749
Series DD 6.30%, 03/10/2026(d)		335		334,809
Series Z 6.50%, 10/23/2024(d)		524		523,371
Bank of New York Mellon Corp. (The) Series G 4.70%, 09/20/2025(d)		392		383,211
BNP Paribas SA 2.591%, 01/20/2028(c)		751		676,306
2.871%, 04/19/2032(c)		1,587		1,318,273
Capital One Financial Corp. 3.273%, 03/01/2030		1,186		1,050,239
4.927%, 05/10/2028		1,205		1,194,372
Citigroup, Inc. 3.98%, 03/20/2030		941		880,475
4.075%, 04/23/2029		1,397		1,329,148
5.95%, 01/30/2023(d)		481		471,794
Series W 4.00%, 12/10/2025(d)		788		681,620
Series Y 4.15%, 11/15/2026(d)		139		111,263
Citizens Financial Group, Inc. 4.30%, 12/03/2025		2,795		2,777,811
Credit Suisse Group AG 3.091%, 05/14/2032(c)		2,591		2,072,126
4.194%, 04/01/2031(c)		799		709,496
Danske Bank A/S 3.875%, 09/12/2023(c)		1,744		1,737,268
Deutsche Bank AG/New York NY 2.129%, 11/24/2026		958		851,566
2.552%, 01/07/2028		1,458		1,261,418
3.961%, 11/26/2025		385		372,965
Discover Bank 4.682%, 08/09/2028		386		375,547
Goldman Sachs Group, Inc. (The) 2.383%, 07/21/2032		739		598,139
2.615%, 04/22/2032		1,862		1,544,846
Series V 4.125%, 11/10/2026(d)		764		626,717

6

	Principal Amount (000)		U.S. $ Value
HSBC Holdings PLC 2.999%, 03/10/2026	U.S.$	200	$	190,832
4.292%, 09/12/2026		220		215,204
4.583%, 06/19/2029		400		385,244
4.762%, 03/29/2033		1,009		931,953
6.375%, 03/30/2025(d)		3,379		3,277,630
ING Groep NV 4.017%, 03/28/2028		1,043		995,335
JPMorgan Chase & Co. 2.58%, 04/22/2032		2,363		1,989,670
4.323%, 04/26/2028		1,566		1,541,993
Series I 4.709% (LIBOR 3 Month + 3.47%), 10/30/2022(d) (e)		820		778,032
Series V 3.534% (LIBOR 3 Month + 3.32%), 10/01/2022(d) (e)		401		374,947
Lloyds Banking Group PLC 4.05%, 08/16/2023		250		250,783
Mizuho Financial Group, Inc. 2.226%, 05/25/2026		386		361,176
Morgan Stanley 4.21%, 04/20/2028		1,110		1,085,913
Series F 3.875%, 04/29/2024		335		335,958
Series G 3.772%, 01/24/2029		1,502		1,427,771
Nationwide Building Society 2.972%, 02/16/2028(c)		1,238		1,133,711
Santander Holdings USA, Inc. 4.26%, 06/09/2025		1,584		1,565,372
Santander UK Group Holdings PLC 3.373%, 01/05/2024		1,150		1,143,767
Societe Generale SA 2.797%, 01/19/2028(c)		2,339		2,089,078
Standard Chartered PLC 2.749% (LIBOR 3 Month + 1.51%), 01/30/2027(c) (d) (e)		400		324,928
3.971%, 03/30/2026(c)		885		864,601
7.75%, 04/02/2023(c) (d)		200		198,276
Swedbank AB Series NC5 5.625%, 09/17/2024(c) (d)		200		191,280
UBS AG/Stamford CT 7.625%, 08/17/2022		1,584		1,587,041
UBS Group AG 4.488%, 05/12/2026(c)		859		855,744
7.00%, 01/31/2024-02/19/2025(c) (d)		456		447,972
UniCredit SpA 2.569%, 09/22/2026(c)		459		411,801
US Bancorp Series J 5.30%, 04/15/2027(d)		723		622,358

7

	Principal Amount (000)		U.S. $ Value
Wells Fargo & Co. 3.35%, 03/02/2033	U.S.$	2,052	$	1,821,314
3.584%, 05/22/2028		559		529,446
Series BB 3.90%, 03/15/2026(d)		635		547,376
				57,012,608
Brokerage – 0.4%
Charles Schwab Corp. (The) Series I 4.00%, 06/01/2026(d)		1,949		1,657,313
Nomura Holdings, Inc. 2.999%, 01/22/2032		1,881		1,527,391
				3,184,704
Finance – 1.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 6.50%, 07/15/2025		245		250,437
Air Lease Corp. 2.10%, 09/01/2028		702		569,259
2.875%, 01/15/2026		175		160,669
3.625%, 04/01/2027		76		70,295
Aircastle Ltd. 2.85%, 01/26/2028(c)		2,065		1,707,548
4.125%, 05/01/2024		359		349,117
4.25%, 06/15/2026		128		117,905
5.25%, 08/11/2025(c)		906		877,434
Aviation Capital Group LLC 1.95%, 01/30/2026-09/20/2026(c)		1,521		1,321,064
3.50%, 11/01/2027(c)		318		278,314
4.125%, 08/01/2025(c)		10		9,595
4.375%, 01/30/2024(c)		312		306,212
4.875%, 10/01/2025(c)		350		341,974
5.50%, 12/15/2024(c)		879		872,759
CDBL Funding 1 3.50%, 10/24/2027(c)		1,460		1,397,804
Synchrony Financial 2.875%, 10/28/2031		1,255		952,018
4.50%, 07/23/2025		873		848,303
				10,430,707
Insurance – 1.0%
Elevance Health, Inc. 3.30%, 01/15/2023		33		32,999
Guardian Life Insurance Co. of America (The) 4.85%, 01/24/2077(c)		868		778,501
Massachusetts Mutual Life Insurance Co. 3.729%, 10/15/2070(c)		11		8,086
MetLife Capital Trust IV 7.875%, 12/15/2037(c)		970		1,049,550
MetLife, Inc. 10.75%, 08/01/2039		25		32,927
Nationwide Mutual Insurance Co. 9.375%, 08/15/2039(c)		377		519,238

8

	Principal Amount (000)		U.S. $ Value
Prudential Financial, Inc. 5.20%, 03/15/2044	U.S.$	462	$	437,375
5.375%, 05/15/2045		139		132,841
5.625%, 06/15/2043		289		282,070
5.875%, 09/15/2042		2,353		2,321,940
Swiss Re Finance Luxembourg SA 5.00%, 04/02/2049(c)		1,400		1,324,330
Voya Financial, Inc. 5.65%, 05/15/2053		742		699,884
				7,619,741
Other Finance – 0.0%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.45%, 04/03/2026		351		335,833
REITs – 0.8%
American Tower Corp. 3.65%, 03/15/2027		845		804,001
4.05%, 03/15/2032		415		378,052
Digital Realty Trust LP 3.60%, 07/01/2029		1,584		1,435,278
GLP Capital LP/GLP Financing II, Inc. 3.25%, 01/15/2032		1,181		948,272
Host Hotels & Resorts LP Series J 2.90%, 12/15/2031		480		381,010
Vornado Realty LP 3.40%, 06/01/2031		2,003		1,681,078
				5,627,691
				84,211,284
Utility – 0.7%
Electric – 0.6%
AES Panama Generation Holdings SRL 4.375%, 05/31/2030(c)		487		420,890
Chile Electricity Pec SpA Zero Coupon, 01/25/2028(c)		1,040		761,345
Duke Energy Carolinas NC Storm Funding LLC Series A-2 2.617%, 07/01/2041		920		766,682
Engie Energia Chile SA 3.40%, 01/28/2030(c)		981		828,945
Entergy Corp. 1.90%, 06/15/2028		2,291		1,966,640
				4,744,502
Other Utility – 0.1%
American Water Capital Corp. 3.45%, 06/01/2029		438		411,663
				5,156,165
Total Corporates - Investment Grade (cost $213,098,053)				187,255,735

9

	Principal Amount (000)			U.S. $ Value
MORTGAGE PASS-THROUGHS – 17.8%
Agency Fixed Rate 30-Year – 17.3%
Federal Home Loan Mortgage Corp.
Series 2019 3.50%, 10/01/2049-11/01/2049	U.S.$	1,203		$	1,171,130
Series 2020 3.50%, 01/01/2050		1,509			1,473,050
Series 2022 2.00%, 03/01/2052		6,633			5,777,866
2.50%, 04/01/2052		7,703			6,948,707
3.00%, 03/01/2052		4,264			3,984,938
Federal Home Loan Mortgage Corp. Gold
Series 2005 5.50%, 01/01/2035		20			20,917
Series 2007 5.50%, 07/01/2035		151			161,030
Series 2016 4.00%, 02/01/2046		1,068			1,083,548
Series 2017 4.00%, 07/01/2044		701			710,805
Series 2018 4.50%, 03/01/2048-11/01/2048		2,112			2,158,453
5.00%, 11/01/2048		385			397,595
Federal National Mortgage Association
Series 2003 5.50%, 04/01/2033-07/01/2033		355			377,289
Series 2004 5.50%, 02/01/2034-11/01/2034		323			344,305
Series 2005 5.50%, 02/01/2035		338			360,107
Series 2006 5.50%, 04/01/2036		66			70,680
Series 2007 5.50%, 05/01/2036-08/01/2037		88			93,669
Series 2008 5.50%, 08/01/2037		0	**		504
Series 2009 5.00%, 12/01/2039		12			12,443
Series 2010 4.00%, 12/01/2040		445			450,785
5.00%, 06/01/2040		11			11,219
Series 2012 3.50%, 02/01/2042-01/01/2043		5,115			5,027,199
Series 2013 3.50%, 04/01/2043		2,380			2,337,540
4.00%, 10/01/2043		1,542			1,557,562
Series 2015 3.00%, 05/01/2045-08/01/2045		1,415			1,345,815
Series 2018 4.50%, 09/01/2048		1,565			1,598,890
Series 2019 3.50%, 08/01/2049-11/01/2049		3,990			3,882,922
Series 2020 3.50%, 01/01/2050		1,410			1,374,243
Series 2021 2.00%, 07/01/2051		6,876			5,983,187
2.50%, 01/01/2052		2,192			1,979,394
Series 2022 2.50%, 03/01/2052-05/01/2052		16,389			14,770,995
3.00%, 02/01/2052-03/01/2052		11,883			11,108,754

10

	Principal Amount (000)			U.S. $ Value
Government National Mortgage Association
Series 2016 3.00%, 04/20/2046-05/20/2046	U.S.$	732		$	698,989
Series 2022 3.00%, 07/01/2052, TBA		1,480			1,394,611
4.00%, 07/01/2052, TBA		3,275			3,259,167
4.50%, 09/01/2052, TBA		7,442			7,493,194
Uniform Mortgage-Backed Security
Series 2022 3.00%, 07/01/2052, TBA		5,384			5,011,137
2.00%, 07/01/2052, TBA		13,171			11,428,724
2.50%, 07/01/2052, TBA		18,727			16,830,882
4.00%, 07/01/2052, TBA		5,776			5,693,620
					128,385,865
Agency Fixed Rate 15-Year – 0.5%
Federal National Mortgage Association
Series 2016 2.50%, 10/01/2031-12/01/2031		2,812			2,731,342
Series 2017 2.50%, 01/01/2032-02/01/2032		1,502			1,456,246
					4,187,588
Other Agency Fixed Rate Programs – 0.0%
Federal National Mortgage Association Series 2005 5.50%, 03/01/2025		23			24,404
Agency ARMs – 0.0%
Federal Home Loan Mortgage Corp. Gold
Series 2006 2.595% (LIBOR 12 Month + 2.18%), 12/01/2036(e)		0	**		128
Series 2007 2.60% (LIBOR 12 Month + 2.10%), 03/01/2037(e)		0	**		376
Federal National Mortgage Association
Series 2007 1.835% (LIBOR 12 Month + 1.46%), 02/01/2037(e)		1			1,023
2.495% (LIBOR 12 Month + 1.80%), 03/01/2037(e)		1			630
					2,157
Total Mortgage Pass-Throughs (cost $136,467,525)					132,600,014
COLLATERALIZED MORTGAGE OBLIGATIONS – 8.0%
Risk Share Floating Rate – 6.8%
Bellemeade Re Ltd.
Series 2018-3A, Class M1B 3.474% (LIBOR 1 Month + 1.85%), 10/25/2028(c) (e)		280			279,165
Series 2019-1A, Class M1B 3.374% (LIBOR 1 Month + 1.75%), 03/25/2029(c) (e)		481			479,064

11

	Principal Amount (000)		U.S. $ Value
Series 2019-3A, Class M1B 3.224% (LIBOR 1 Month + 1.60%), 07/25/2029(c) (e)	U.S.$	374	$	372,117
Series 2019-3A, Class M1C 3.574% (LIBOR 1 Month + 1.95%), 07/25/2029(c) (e)		300		294,327
Series 2020-3A, Class M1B 4.474% (LIBOR 1 Month + 2.85%), 10/25/2030(c) (e)		202		202,598
Series 2021-1A, Class M1C 3.876% (SOFR + 2.95%), 03/25/2031(c) (e)		1,036		1,017,464
Series 2021-2A, Class M1B 2.426% (SOFR + 1.50%), 06/25/2031(c) (e)		1,892		1,816,645
Series 2021-3A, Class A2 1.926% (SOFR + 1.00%), 09/25/2031(c) (e)		1,894		1,844,722
Series 2022-1, Class M1B 3.076% (SOFR + 2.15%), 01/26/2032(c) (e)		1,000		968,105
Connecticut Avenue Securities Trust
Series 2022-R06, Class 1M1 3.698% (SOFR + 2.75%), 05/25/2042(c) (e)		1,658		1,654,023
Series 2022-R07, Class 1M1 3.876% (SOFR + 2.95%), 06/25/2042(c) (e)		2,234		2,239,442
Connecticut Avenue Securities Trust
Series 2021-R03, Class 1M1 1.776% (SOFR + 0.85%), 12/25/2041(c) (e)		2,290		2,244,057
Series 2022-R01, Class 1M2 2.826% (SOFR + 1.90%), 12/25/2041(c) (e)		2,306		2,077,166
Series 2022-R02, Class 2M1 2.126% (SOFR + 1.20%), 01/25/2042(c) (e)		2,126		2,069,058
Series 2022-R03, Class 1M2 4.426% (SOFR + 3.50%), 03/25/2042(c) (e)		1,545		1,469,376
Series 2022-R05, Class 2M2 3.926% (SOFR + 3.00%), 04/25/2042(c) (e)		1,206		1,146,665
Eagle RE Ltd. Series 2018-1, Class M2 4.624% (LIBOR 1 Month + 3.00%), 11/25/2028(c) (e)		217		215,243
Eagle Re Ltd. Series 2020-1, Class M1A 2.524% (LIBOR 1 Month + 0.90%), 01/25/2030(c) (e)		906		901,596

12

	Principal Amount (000)		U.S. $ Value
Eagle RE Ltd. Series 2021-2, Class M1B 2.976% (SOFR + 2.05%), 04/25/2034(c) (e)	U.S.$	650	$	627,542
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2022-DNA4, Class M1B 4.276% (SOFR + 3.35%), 05/25/2042(c) (e)		1,358		1,290,862
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2015-DNA1, Class M3 4.924% (LIBOR 1 Month + 3.30%), 10/25/2027(e)		372		375,482
Series 2017-HQA2, Class M2B 4.274% (LIBOR 1 Month + 2.65%), 12/25/2029(e)		1,320		1,311,909
Series 2020-DNA5, Class M2 3.726% (SOFR + 2.80%), 10/25/2050(c) (e)		744		744,908
Series 2021-DNA3, Class M2 3.026% (SOFR + 2.10%), 10/25/2033(c) (e)		779		720,026
Series 2021-DNA5, Class M2 2.576% (SOFR + 1.65%), 01/25/2034(c) (e)		710		684,483
Series 2021-DNA6, Class M2 2.426% (SOFR + 1.50%), 10/25/2041(c) (e)		2,513		2,294,387
Series 2021-DNA7, Class M2 2.726% (SOFR + 1.80%), 11/25/2041(c) (e)		2,412		2,171,789
Series 2021-HQA4, Class M2 3.276% (SOFR + 2.35%), 12/25/2041(c) (e)		1,530		1,320,235
Series 2022-DNA1, Class M1A 1.926% (SOFR + 1.00%), 01/25/2042(c) (e)		1,019		983,356
Series 2022-DNA1, Class M1B 2.776% (SOFR + 1.85%), 01/25/2042(c) (e)		1,223		1,097,505
Series 2022-DNA2, Class M1B 3.326% (SOFR + 2.40%), 02/25/2042(c) (e)		1,717		1,584,095
Series 2022-DNA3, Class M1B 3.826% (SOFR + 2.90%), 04/25/2042(c) (e)		711		668,640
Series 2022-DNA5, Class M1B 5.279% (SOFR + 4.50%), 06/25/2042(c) (e)		2,274		2,285,141
Series 2022-HQA1, Class M1B 4.426% (SOFR + 3.50%), 03/25/2042(c) (e)		399		381,001

13

	Principal Amount (000)		U.S. $ Value
Federal National Mortgage Association Connecticut Avenue Securities
Series 2015-C04, Class 1M2 7.324% (LIBOR 1 Month + 5.70%), 04/25/2028(e)	U.S.$	131	$	136,565
Series 2016-C05, Class 2M2 6.074% (LIBOR 1 Month + 4.45%), 01/25/2029(e)		1,033		1,076,571
Series 2016-C06, Class 1M2 5.874% (LIBOR 1 Month + 4.25%), 04/25/2029(e)		242		249,775
Series 2017-C01, Class 1M2 5.174% (LIBOR 1 Month + 3.55%), 07/25/2029(e)		612		625,292
Series 2021-R02, Class 2M2 2.926% (SOFR + 2.00%), 11/25/2041(c) (e)		1,071		955,510
Home Re Ltd.
Series 2020-1, Class M1B 4.874% (LIBOR 1 Month + 3.25%), 10/25/2030(c) (e)		118		117,668
Series 2021-2, Class M1B 2.526% (SOFR + 1.60%), 01/25/2034(c) (e)		1,162		1,134,818
JPMorgan Madison Avenue Securities Trust Series 2014-CH1, Class M2 5.874% (LIBOR 1 Month + 4.25%), 11/25/2024(e) (f)		49		47,129
Oaktown Re VII Ltd. Series 2021-2, Class M1A 2.526% (SOFR + 1.60%), 04/25/2034(c) (e)		1,767		1,734,197
PMT Credit Risk Transfer Trust
Series 2019-2R, Class A 4.402% (LIBOR 1 Month + 2.75%), 05/27/2023(c) (e)		792		773,256
Series 2019-3R, Class A 4.352% (LIBOR 1 Month + 2.70%), 10/27/2022(c) (e)		68		67,291
Series 2020-1R, Class A 4.002% (LIBOR 1 Month + 2.35%), 02/27/2023(e) (f)		263		258,838
Radnor Re Ltd.
Series 2019-1, Class M1B 3.574% (LIBOR 1 Month + 1.95%), 02/25/2029(c) (e)		909		905,591
Series 2019-2, Class M1B 3.374% (LIBOR 1 Month + 1.75%), 06/25/2029(c) (e)		407		405,843
Series 2020-1, Class M1A 2.574% (LIBOR 1 Month + 0.95%), 01/25/2030(c) (e)		536		524,499

14

	Principal Amount (000)		U.S. $ Value
Triangle Re Ltd. Series 2021-3, Class M1A 2.826% (SOFR + 1.90%), 02/25/2034(c) (e)	U.S.$	1,282	$	1,267,139
Wells Fargo Credit Risk Transfer Securities Trust
Series 2015-WF1, Class 1M2 6.874% (LIBOR 1 Month + 5.25%), 11/25/2025(e) (f)		197		179,016
Series 2015-WF1, Class 2M2 7.124% (LIBOR 1 Month + 5.50%), 11/25/2025(e) (f)		50		46,952
				50,338,144
Agency Fixed Rate – 0.6%
Federal Home Loan Mortgage Corp. REMICs
Series 4973, Class BI 4.50%, 05/25/2050(g)		5,758		1,150,621
Series 5015, Class BI 4.00%, 09/25/2050(g)		3,418		640,259
Series 5034, Class BI 4.50%, 11/25/2050(g)		4,510		980,749
Federal National Mortgage Association Grantor Trust Series 2004-T5, Class AB4 1.546%, 05/28/2035		298		270,484
Federal National Mortgage Association REMICs Series 2020-89, Class KI 4.00%, 12/25/2050(g)		7,349		1,382,259
				4,424,372
Agency Floating Rate – 0.4%
Federal Home Loan Mortgage Corp. REMICs
Series 4416, Class BS 4.776% (6.10% - LIBOR 1 Month), 12/15/2044(e) (h)		1,460		190,213
Series 4693, Class SL 4.826% (6.15% - LIBOR 1 Month), 06/15/2047(e) (h)		1,592		231,792
Series 4954, Class SL 4.426% (6.05% - LIBOR 1 Month), 02/25/2050(e) (h)		2,273		309,581
Series 4981, Class HS 4.476% (6.10% - LIBOR 1 Month), 06/25/2050(e) (h)		4,983		620,388
Federal National Mortgage Association REMICs
Series 2011-131, Class ST 4.916% (6.54% - LIBOR 1 Month), 12/25/2041(e) (h)		852		134,532
Series 2016-106, Class ES 4.376% (6.00% - LIBOR 1 Month), 01/25/2047(e) (h)		1,469		203,039
Series 2017-73, Class SA 4.526% (6.15% - LIBOR 1 Month), 09/25/2047(e) (h)		1,870		289,843

15

	Principal Amount (000)		U.S. $ Value
Series 2017-97, Class LS 4.576% (6.20% - LIBOR 1 Month), 12/25/2047(e) (h)	U.S.$	1,494	$	216,667
Series 2017-97, Class SW 4.576% (6.20% - LIBOR 1 Month), 12/25/2047(e) (h)		1,356		194,106
Government National Mortgage Association
Series 2017-134, Class SE 4.605% (6.20% - LIBOR 1 Month), 09/20/2047(e) (h)		937		117,540
Series 2017-43, Class ST 4.505% (6.10% - LIBOR 1 Month), 03/20/2047(e) (h)		1,899		267,840
Series 2017-65, Class ST 4.555% (6.15% - LIBOR 1 Month), 04/20/2047(e) (h)		1,679		264,707
				3,040,248
Non-Agency Fixed Rate – 0.1%
Alternative Loan Trust
Series 2005-20CB, Class 3A6 5.50%, 07/25/2035		66		50,750
Series 2006-24CB, Class A16 5.75%, 08/25/2036		386		245,522
Series 2006-28CB, Class A14 6.25%, 10/25/2036		298		183,842
Series 2006-J1, Class 1A13 5.50%, 02/25/2036		171		132,949
CIM Trust Series 2021-INV1, Class A2 2.50%, 07/01/2051		24		20,151
Countrywide Home Loan Mortgage Pass-Through Trust Series 2006-13, Class 1A19 6.25%, 09/25/2036		76		39,474
New Residential Mortgage Loan Trust Series 2021-INV1, Class A2 2.50%, 06/25/2051		21		18,317
				691,005
Non-Agency Floating Rate – 0.1%
Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4, Class A2 2.004% (LIBOR 1 Month + 0.38%), 12/25/2036(e)		874		340,501
HomeBanc Mortgage Trust Series 2005-1, Class A1 2.124% (LIBOR 1 Month + 0.50%), 03/25/2035(e)		163		139,412

16

	Principal Amount (000)		U.S. $ Value
JPMorgan Chase Bank, NA Series 2019-CL1, Class M3 3.724% (LIBOR 1 Month + 2.10%), 04/25/2047(c) (e)	U.S.$	209	$	204,692
				684,605
Total Collateralized Mortgage Obligations (cost $61,309,118)				59,178,374
ASSET-BACKED SECURITIES – 5.5%
Other ABS - Fixed Rate – 2.8%
AB Issuer LLC Series 2021-1, Class A2 3.734%, 07/30/2051(c)		2,090		1,855,042
Affirm Asset Securitization Trust
Series 2021-Z1, Class A 1.07%, 08/15/2025(c)		524		511,742
Series 2021-Z2, Class A 1.17%, 11/16/2026(c)		542		527,826
Series 2022-X1, Class A 1.75%, 02/15/2027(c)		1,557		1,527,549
Atalaya Equipment Leasing Trust Series 2021-1A, Class B 2.08%, 02/15/2027(c)		509		480,173
BHG Securitization Trust Series 2022-A, Class A 1.71%, 02/20/2035(c)		302		288,860
Cajun Global LLC Series 2021-1, Class A2 3.931%, 11/20/2051(c)		442		400,080
College Ave Student Loans LLC Series 2021-C, Class B 2.72%, 07/26/2055(c)		637		564,484
Conn’s Receivables Funding LLC Series 2021-A, Class A 1.05%, 05/15/2026(c)		1,120		1,112,840
Dext ABS LLC Series 2021-1, Class B 1.76%, 02/15/2028(c)		186		171,707
Diamond Infrastructure Funding LLC Series 2021-1A, Class B 2.355%, 04/15/2049(c) (i)		935		829,285
Diamond Issuer Series 2021-1A, Class A 2.305%, 11/20/2051(c)		1,941		1,705,351
Domino’s Pizza Master Issuer LLC Series 2021-1A, Class A2I 2.662%, 04/25/2051(c)		1,057		921,601
FREED ABS Trust Series 2021-2, Class C 1.94%, 06/19/2028(c)		1,760		1,706,973
GCI Funding I LLC Series 2021-1, Class A 2.38%, 06/18/2046(c)		673		595,174

17

	Principal Amount (000)		U.S. $ Value
Hardee’s Funding LLC
Series 2018-1A, Class A23 5.71%, 06/20/2048(c)	U.S.$	784	$	756,943
Series 2020-1A, Class A2 3.981%, 12/20/2050(c)		482		437,948
MVW LLC Series 2021-2A, Class B 1.83%, 05/20/2039(c)		951		866,986
Neighborly Issuer Series 2022-1A, Class A2 3.695%, 01/30/2052(c)		2,008		1,729,464
Neighborly Issuer LLC Series 2021-1A, Class A2 3.584%, 04/30/2051(c)		771		669,292
Nelnet Student Loan Trust
Series 2021-BA, Class B 2.68%, 04/20/2062(c)		620		525,890
Series 2021-CA, Class B 2.53%, 04/20/2062(c)		907		745,673
Series 2021-DA, Class B 2.90%, 04/20/2062(c)		798		682,721
Upstart Securitization Trust
Series 2020-3, Class A 1.702%, 11/20/2030(c)		123		122,808
Series 2021-3, Class B 1.66%, 07/20/2031(c)		1,360		1,253,037
				20,989,449
Autos - Fixed Rate – 2.2%
ACM Auto Trust Series 2022-1A, Class A 3.23%, 04/20/2029(c)		2,240		2,232,768
Avis Budget Rental Car Funding AESOP LLC
Series 2017-2A, Class D 4.56%, 03/20/2024(c) (i)		1,527		1,526,998
Series 2018-1A, Class A 3.70%, 09/20/2024(c)		1,700		1,697,554
Series 2018-2A, Class A 4.00%, 03/20/2025(c)		1,680		1,679,209
Carvana Auto Receivables Trust
Series 2021-N3, Class C 1.02%, 06/12/2028		905		869,532
Series 2021-N4, Class D 2.30%, 09/11/2028		793		740,393
Series 2021-P4, Class D 2.61%, 09/11/2028		989		839,187
CPS Auto Receivables Trust
Series 2021-C, Class D 1.69%, 06/15/2027(c)		1,350		1,246,696
Series 2022-A, Class C 2.17%, 04/16/2029(c)		1,373		1,290,176
FHF Trust Series 2021-2A, Class A 0.83%, 12/15/2026(c)		690		661,174

18

	Principal Amount (000)		U.S. $ Value
Ford Credit Auto Owner Trust Series 2021-1, Class D 2.31%, 10/17/2033(c)	U.S.$	1,390	$	1,240,234
LAD Auto Receivables Trust Series 2021-1A, Class A 1.30%, 08/17/2026(c)		1,056		1,021,601
Santander Bank Auto Credit-Linked Notes Series 2022-A, Class B 5.281%, 05/15/2032(c)		1,709		1,693,780
				16,739,302
Credit Cards - Fixed Rate – 0.5%
Brex Commercial Charge Card Master Trust
Series 2021-1, Class A 2.09%, 07/15/2024(c)		1,021		1,001,311
Series 2022-1, Class A 4.63%, 07/15/2025(c)		1,888		1,852,178
Chase Issuance Trust Series 2012-A7, Class A7 2.16%, 09/15/2024		200		200,003
Mission Lane Credit Card Master Trust Series 2021-A, Class B 2.24%, 09/15/2026(c)		400		386,019
				3,439,511
Home Equity Loans - Floating Rate – 0.0%
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates Series 2004-1, Class 1A 2.224% (LIBOR 1 Month + 0.60%), 04/25/2034(e)		41		38,766
Total Asset-Backed Securities (cost $44,090,974)				41,207,028
COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.7%
Non-Agency Floating Rate CMBS – 1.9%
AREIT Trust Series 2022-CRE6, Class A 2.021% (SOFR + 1.25%), 01/16/2037(c) (e)		3,188		3,060,689
Ashford Hospitality Trust Series 2018-KEYS, Class A 2.325% (LIBOR 1 Month + 1.00%), 06/15/2035(c) (e)		792		767,288
BAMLL Commercial Mortgage Securities Trust Series 2017-SCH, Class AF 2.325% (LIBOR 1 Month + 1.00%), 11/15/2033(c) (e)		2,435		2,287,325
BBCMS Mortgage Trust Series 2020-BID, Class A 3.464% (LIBOR 1 Month + 2.14%), 10/15/2037(c) (e)		1,998		1,971,316

19

	Principal Amount (000)			U.S. $ Value
BFLD Trust Series 2021-FPM, Class A 2.925% (LIBOR 1 Month + 1.60%), 06/15/2038(c) (e)		U.S.$	2,976	$	2,870,461
BX Commercial Mortgage Trust
Series 2019-IMC, Class D 3.224% (LIBOR 1 Month + 1.90%), 04/15/2034(c) (e)			207		196,284
Series 2019-IMC, Class E 3.474% (LIBOR 1 Month + 2.15%), 04/15/2034(c) (e)			839		780,207
CLNY Trust Series 2019-IKPR, Class D 3.349% (LIBOR 1 Month + 2.03%), 11/15/2038(c) (e)			1,450		1,348,046
Federal Home Loan Mortgage Corp. Series 2021-MN1, Class M1 2.926% (SOFR + 2.00%), 01/25/2051(c) (e)			254		236,524
Natixis Commercial Mortgage Securities Trust Series 2019-MILE, Class A 2.824% (LIBOR 1 Month + 1.50%), 07/15/2036(c) (e)			666		656,172
					14,174,312
Non-Agency Fixed Rate CMBS – 1.8%
BAMLL Commercial Mortgage Securities Trust Series 2013-WBRK, Class D 3.652%, 03/10/2037(c)			740		652,182
Banc of America Commercial Mortgage Trust Series 2015-UBS7, Class AS 3.989%, 09/15/2048			211		206,370
CGRBS Commercial Mortgage Trust Series 2013-VN05, Class A 3.369%, 03/13/2035(c)			2,495		2,495,192
Citigroup Commercial Mortgage Trust Series 2013-GC11, Class B 3.732%, 04/10/2046			1,140		1,131,026
Commercial Mortgage Trust
Series 2012-CR3, Class E 4.95%, 10/15/2045(c)			889		444,369
Series 2013-SFS, Class A1 1.873%, 04/12/2035(c)			122		120,236
Series 2015-LC21, Class XA 0.81%, 07/10/2048(g)			2,155		34,472
GS Mortgage Securities Trust
Series 2011-GC5, Class D 5.302%, 08/10/2044(c)			28		11,726
Series 2013-G1, Class A2 3.557%, 04/10/2031(c)			1,499		1,482,723

20

	Principal Amount (000)		U.S. $ Value
GSF
Series 2021-1, Class A1 1.433%, 08/15/2026(f) (i)	U.S.$	710	$	654,664
Series 2021-1, Class A2 2.435%, 08/15/2026(f) (i)		1,556		1,460,897
Series 2021-1, Class AS 2.638%, 08/15/2026(f) (i)		59		54,088
HFX Funding Series 2017-1A, Class A3 3.647%, 03/15/2035(f)		1,690		1,581,733
JPMBB Commercial Mortgage Securities Trust
Series 2013-C14, Class D 4.699%, 08/15/2046(c)		472		278,773
Series 2014-C22, Class XA 0.965%, 09/15/2047(g)		5,362		72,070
JPMorgan Chase Commercial Mortgage Securities Trust Series 2012-C6, Class E 5.114%, 05/15/2045(c)		712		550,339
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ 5.452%, 09/15/2039		147		60,449
LSTAR Commercial Mortgage Trust Series 2016-4, Class A2 2.579%, 03/10/2049(c)		331		327,231
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2014-C19, Class D 3.25%, 12/15/2047(c)		603		525,419
Series 2015-C25, Class XA 1.196%, 10/15/2048(g)		1,957		48,301
Wells Fargo Commercial Mortgage Trust Series 2016-NXS6, Class C 4.54%, 11/15/2049		1,030		954,189
WF-RBS Commercial Mortgage Trust Series 2014-C24, Class AS 3.931%, 11/15/2047		356		348,436
				13,494,885
Total Commercial Mortgage-Backed Securities (cost $29,786,756)				27,669,197
COLLATERALIZED LOAN OBLIGATIONS – 3.0%
CLO - Floating Rate – 3.0%
Balboa Bay Loan Funding Ltd. Series 2021-1A, Class A 2.263% (LIBOR 3 Month + 1.20%), 07/20/2034(c) (e)		1,472		1,424,400
Dryden 78 CLO Ltd.
Series 2020-78A, Class C 2.994% (LIBOR 3 Month + 1.95%), 04/17/2033(c) (e)		1,260		1,169,122
Series 2020-78A, Class D 4.044% (LIBOR 3 Month + 3.00%), 04/17/2033(c) (e)		400		370,968
Elevation CLO Ltd. Series 2020-11A, Class C 3.244% (LIBOR 3 Month + 2.20%), 04/15/2033(c) (e)		1,080		986,107

21

	Principal Amount (000)			U.S. $ Value
Elmwood CLO IX Ltd. Series 2021-2A, Class A 2.193% (LIBOR 3 Month + 1.13%), 07/20/2034(c) (e)		U.S.$	1,500	$	1,451,478
Flatiron CLO 21 Ltd. Series 2021-1A, Class A1 2.154% (LIBOR 3 Month + 1.11%), 07/19/2034(c) (e)			1,130		1,089,544
Goldentree Loan Management US CLO 7 Ltd. Series 2020-7A, Class AR 2.133% (LIBOR 3 Month + 1.07%), 04/20/2034(c) (e)			1,491		1,432,654
Madison Park Funding LI Ltd. Series 2021-51A, Class D 4.094% (LIBOR 3 Month + 3.05%), 07/19/2034(c) (e)			889		827,776
Neuberger Berman Loan Advisers CLO 43 Ltd. Series 2021-43A, Class A 2.174% (LIBOR 3 Month + 1.13%), 07/17/2035(c) (e)			1,729		1,674,786
New Mountain CLO 3 Ltd. Series CLO-3A, Class D 4.413% (LIBOR 3 Month + 3.35%), 10/20/2034(c) (e)			250		226,989
OCP CLO Ltd. Series 2020-18A, Class AR 2.153% (LIBOR 3 Month + 1.09%), 07/20/2032(c) (e)			1,954		1,898,833
Pikes Peak CLO 8 Series 2021-8A, Class A 2.233% (LIBOR 3 Month + 1.17%), 07/20/2034(c) (e)			1,907		1,844,027
Rad CLO 7 Ltd. Series 2020-7A, Class C 3.044% (LIBOR 3 Month + 2.00%), 04/17/2033(c) (e)			570		531,917
Rad CLO 11 Ltd. Series 2021-11A, Class D 3.944% (LIBOR 3 Month + 2.90%), 04/15/2034(c) (e)			950		876,716
Regatta XX Funding Ltd. Series 2021-2A, Class A 2.204% (LIBOR 3 Month + 1.16%), 10/15/2034(c) (e)			2,924		2,797,941
Rockford Tower CLO Ltd.
Series 2021-1A, Class D 4.063% (LIBOR 3 Month + 3.00%), 07/20/2034(c) (e)			1,883		1,733,438
Series 2021-2A, Class A1 2.223% (LIBOR 3 Month + 1.16%), 07/20/2034(c) (e)			1,310		1,261,395

22

	Principal Amount (000)			U.S. $ Value
Voya CLO Ltd. Series 2019-1A, Class DR 3.894% (LIBOR 3 Month + 2.85%), 04/15/2031(c) (e)		U.S.$	480	$	413,722
Total Collateralized Loan Obligations (cost $23,176,800)					22,011,813
CORPORATES - NON-INVESTMENT GRADE – 1.9%
Industrial – 1.3%
Capital Goods – 0.0%
TK Elevator Midco GmbH 4.375%, 07/15/2027(c)		EUR	331		299,922
Communications - Media – 0.5%
Altice Financing SA 3.00%, 01/15/2028(c)			540		421,998
CCO Holdings LLC/CCO Holdings Capital Corp. 4.50%, 08/15/2030-06/01/2033(c)		U.S.$	1,591		1,279,444
4.75%, 02/01/2032(c)			260		214,063
DISH DBS Corp. 5.75%, 12/01/2028(c)			996		737,169
Summer BC Holdco B SARL 5.75%, 10/31/2026(c)		EUR	540		491,246
VZ Vendor Financing II BV 2.875%, 01/15/2029(c)			540		420,962
					3,564,882
Communications - Telecommunications – 0.1%
Altice France SA/France 3.375%, 01/15/2028(c)			259		202,655
Lorca Telecom Bondco SA 4.00%, 09/18/2027(c)			540		473,239
					675,894
Consumer Cyclical - Automotive – 0.2%
Adient Global Holdings Ltd. 3.50%, 08/15/2024(c)			540		512,541
Ford Motor Credit Co. LLC 4.95%, 05/28/2027		U.S.$	812		753,585
ZF Finance GmbH 3.75%, 09/21/2028(c)		EUR	400		329,404
					1,595,530
Consumer Cyclical - Entertainment – 0.2%
Carnival Corp. 4.00%, 08/01/2028(c)		U.S.$	1,545		1,267,379
Consumer Cyclical - Other – 0.0%
NH Hotel Group SA 4.00%, 07/02/2026(c)		EUR	190		177,788
Consumer Non-Cyclical – 0.2%
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC 3.50%, 03/15/2029(c)		U.S.$	959		775,706

23

	Principal Amount (000)			U.S. $ Value
IQVIA, Inc. 2.25%, 03/15/2029(c)		EUR	310	$	256,913
Nobel Bidco BV 3.125%, 06/15/2028(c)			540		379,488
Organon & Co./Organon Foreign Debt Co-Issuer BV 2.875%, 04/30/2028(c)			320		280,549
					1,692,656
Services – 0.1%
APCOA Parking Holdings GmbH 4.625%, 01/15/2027(c)			540		460,411
Technology – 0.0%
Playtech PLC 4.25%, 03/07/2026(c)			310		312,883
Transportation - Airlines – 0.0%
Deutsche Lufthansa AG 3.00%, 05/29/2026(c)		U.S.$	200		176,282
					10,223,627
Financial Institutions – 0.5%
Banking – 0.5%
Credit Suisse Group AG 6.375%, 08/21/2026(c) (d)			355		294,519
7.50%, 07/17/2023-12/11/2023(c) (d)			2,919		2,708,285
Intesa Sanpaolo SpA 5.017%, 06/26/2024(c)			757		725,849
					3,728,653
Utility – 0.1%
Electric – 0.1%
Vistra Corp. 7.00%, 12/15/2026(c) (d)			648		589,680
Total Corporates - Non-Investment Grade (cost $17,821,311)					14,541,960
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 1.0%
United States – 1.0%
Port Authority of New York & New Jersey Series 2020-A 1.086%, 07/01/2023			1,000		981,466
State Board of Administration Finance Corp. Series 2020-A 1.705%, 07/01/2027			1,634		1,477,943
State of California Series 2010 7.625%, 03/01/2040			2,040		2,757,410
Tobacco Settlement Finance Authority/WV Series 2020 3.00%, 06/01/2035			540		515,200
University of California Series 2021-B 3.071%, 05/15/2051			2,070		1,563,116
Total Local Governments - US Municipal Bonds (cost $7,355,871)					7,295,135

24

	Principal Amount (000)		U.S. $ Value
EMERGING MARKETS - CORPORATE BONDS – 0.6%
Industrial – 0.6%
Basic – 0.1%
CSN Resources SA 4.625%, 06/10/2031(c)	U.S.$	293	$	208,396
Volcan Cia Minera SAA 4.375%, 02/11/2026(c)		189		164,525
				372,921
Capital Goods – 0.2%
Cemex SAB de CV 3.875%, 07/11/2031(c)		1,525		1,148,630
Embraer Netherlands Finance BV 5.40%, 02/01/2027		1,025		967,856
6.95%, 01/17/2028(c)		537		519,816
Odebrecht Holdco Finance Ltd. Zero Coupon, 09/10/2058(c)		417		1,666
				2,637,968
Communications - Media – 0.1%
Globo Comunicacao e Participacoes SA 4.875%, 01/22/2030(c)		645		500,685
Consumer Cyclical - Other – 0.1%
Wynn Macau Ltd. 5.625%, 08/26/2028(c)		730		449,680
Consumer Non-Cyclical – 0.1%
Natura & Co. Luxembourg Holdings SARL 6.00%, 04/19/2029(c)		564		496,320
				4,457,574
Utility – 0.0%
Electric – 0.0%
Terraform Global Operating LLC 6.125%, 03/01/2026(f)		117		112,562
Financial Institutions – 0.0%
Other Finance – 0.0%
OEC Finance Ltd. 5.25%, 12/27/2033(c) (j)		381		8,400
Total Emerging Markets - Corporate Bonds (cost $6,351,569)				4,578,536
	Shares
COMMON STOCKS – 0.3%
Financials – 0.3%
Insurance – 0.3%
Mt Logan Re Ltd.(i) (k)		359		352,368
Mt Logan Re Ltd. (Preference Shares)(i) (k) (l) (m)		2,267		1,995,134
Total Common Stocks (cost $2,266,850)				2,347,502

25

	Principal Amount (000)			U.S. $ Value
AGENCIES – 0.3%
Agency Debentures – 0.3%
Federal Home Loan Banks 2.50%, 02/13/2024		U.S.$	1,465	$	1,454,234
Federal National Mortgage Association 6.25%, 05/15/2029			355		420,498
6.625%, 11/15/2030			260		321,295
Total Agencies (cost $2,233,688)					2,196,027
QUASI-SOVEREIGNS – 0.3%
Quasi-Sovereign Bonds – 0.3%
Indonesia – 0.1%
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 5.45%, 05/21/2028(c)			447		450,297
Mexico – 0.2%
Comision Federal de Electricidad 3.348%, 02/09/2031(c)			1,685		1,289,867
4.688%, 05/15/2029(c)			478		427,900
					1,717,767
Total Quasi-Sovereigns (cost $2,608,796)					2,168,064
EMERGING MARKETS - SOVEREIGNS – 0.3%
Dominican Republic – 0.2%
Dominican Republic International Bond 4.875%, 09/23/2032(c)			1,919		1,474,991
Egypt – 0.1%
Egypt Government International Bond 5.875%, 02/16/2031(c)			1,070		658,050
Total Emerging Markets - Sovereigns (cost $2,949,270)					2,133,041
GOVERNMENTS - SOVEREIGN BONDS – 0.1%
Colombia – 0.1%
Colombia Government International Bond 3.125%, 04/15/2031 (cost $693,892)			696		516,258
	Shares
SHORT-TERM INVESTMENTS – 2.1%
Investment Companies – 1.0%
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 1.30%(n) (o) (p) (cost $7,417,439)			7,417,439		7,417,439

26

	Principal Amount (000)			U.S. $ Value
U.S. Treasury Bills – 0.6%
U.S. Treasury Bill 0.00%, 09/22/2022 (cost $4,272,020)		U.S.$	4,281	$	4,265,012
Governments - Treasuries – 0.5%
Japan – 0.5%
Japan Treasury Discount Bill Series 1083 Zero Coupon, 08/29/2022 (cost $3,761,394)		JPY	495,950		3,656,206
Total Short-Term Investments (cost $15,450,853)					15,338,657
Total Investments – 106.9% (cost $863,369,381)(q)					794,691,375
Other assets less liabilities – (6.9)%					(51,161,158	)
Net Assets – 100.0%				$	743,530,217

FUTURES

Description	Number of Contracts		Expiration Month		Current Notional			Value and Unrealized Appreciation/ (Depreciation)
Purchased Contracts
Euro-Bund Futures		131		September 2022		$	20,424,734		$	100,137
U.S. T-Note 2 Yr (CBT) Futures		267		September 2022			56,074,172			(180,799	)
U.S. T-Note 5 Yr (CBT) Futures		282		September 2022			31,654,500			(119,489	)
U.S. Ultra Bond (CBT) Futures		97		September 2022			14,971,344			(279,731	)
Sold Contracts
10 Yr Japan Bond (OSE) Futures		23		September 2022			25,191,848			(208,486	)
U.S. 10 Yr Ultra Futures		180		September 2022			22,927,500			(419,797	)
									$	(1,108,165	)

FORWARD CURRENCY EXCHANGE CONTRACTS

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
Bank of America, NA		USD	1,122		CAD	1,444		07/21/2022		$	104
Barclays Bank PLC		USD	15,487		CNH	104,181		07/21/2022			76,867
BNP Paribas SA		JPY	1,918,480		USD	15,107		07/15/2022			959,169
BNP Paribas SA		USD	7,773		CAD	9,913		07/21/2022			(71,389	)
Deutsche Bank AG		USD	944		EUR	890		07/28/2022			(9,292	)
HSBC Bank USA		USD	10,844		JPY	1,422,084		07/15/2022			(357,251	)
HSBC Bank USA		USD	7,889		AUD	11,018		07/21/2022			(282,644	)
Morgan Stanley Capital Services, Inc.		AUD	11,481		USD	8,229		07/21/2022			303,274
Morgan Stanley Capital Services, Inc.		CNH	108,900		USD	15,929		07/21/2022			(340,403	)
Morgan Stanley Capital Services, Inc.		USD	674		CNH	4,580		07/21/2022			9,970
State Street Bank & Trust Co.		USD	329		AUD	472		07/21/2022			(3,392	)

27

Counterparty	Contracts to Deliver (000)			In Exchange For (000)			Settlement Date		Unrealized Appreciation/ (Depreciation)
State Street Bank & Trust Co.		EUR	6,303		USD	6,583		07/28/2022		$	(32,418	)
State Street Bank & Trust Co.		USD	9		EUR	8		07/28/2022			(45	)
UBS AG		CAD	11,250		USD	8,997		07/21/2022			256,274
										$	508,824

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

Description	Fixed Rate (Pay) Receive			Payment Frequency	Implied Credit Spread at June 30, 2022	Notional Amount (000)			Market Value		Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Buy Contracts
CDX-NAHY Series 38, 5 Year Index, 06/20/2027*		(5.00	)%	Quarterly	5.76%		USD	16,707	$	463,923	$	(758,965	)	$	1,222,888

* Termination date

CENTRALLY CLEARED INFLATION (CPI) 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)
USD	36,470	05/13/2027	3.263%	CPI#	Maturity	$	(396,028	)	$	—	$	(396,028	)

# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

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)
USD	4,950	12/13/2029	1.764%	3 Month LIBOR	Semi-Annual/ Quarterly	$	415,949	$	—	$	415,949

28

CREDIT DEFAULT SWAPS

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency	Implied Credit Spread at June 30, 2022	Notional Amount (000)			Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
Sale Contracts
Citigroup Global Markets, Inc.
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00	%	Monthly	7.50%		USD	6	$	(1,396	)	$	(926	)	$	(470	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	9		(1,994	)		(1,057	)		(937	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	22		(4,985	)		(2,088	)		(2,897	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	31		(6,979			(3,465	)		(3,514	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	37		(8,375	)		(4,682	)		(3,693	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	43		(9,770	)		(5,995	)		(3,775	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	38		(8,774	)		(4,791	)		(3,983	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	37		(8,574	)		(4,479	)		(4,095	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	44		(9,970	)		(5,380	)		(4,590	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	44		(9,970	)		(5,208	)		(4,762	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	62		(14,158	)		(7,396	)		(6,762	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	63		(14,357	)		(6,767	)		(7,590	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	89		(20,339	)		(9,587	)		(10,752	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	101		(23,130	)		(11,484	)		(11,646	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	444		(101,496	)		(51,830	)		(49,666	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	555		(126,820	)		(41,354	)		(85,466	)
Credit Suisse International
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	4		(997	)		(513	)		(484	)

29

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency	Implied Credit Spread at June 30, 2022	Notional Amount (000)			Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00	%	Monthly	7.50%		USD	144	$	(32,902	)	$	(16,807	)	$	(16,095	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	364		(83,151	)		(50,790	)		(32,361	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	219		(50,050	)		(16,711	)		(33,339	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	209		(47,856	)		(13,623	)		(34,233	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	282		(64,606	)		(22,030	)		(42,576	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	338		(77,369	)		(18,972	)		(58,397	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	1,046		(239,283	)		(99,253	)		(140,030	)
Goldman Sachs International
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	24		(5,583	)		(3,491	)		(2,092	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	27		(6,181	)		(3,264	)		(2,917	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	39		(8,973	)		(4,331	)		(4,642	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	39		(8,973	)		(3,649	)		(5,324	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	39		(8,973	)		(3,372	)		(5,601	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	281		(64,208	)		(43,209	)		(20,999	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	283		(64,806	)		(41,017	)		(23,789	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	242		(55,434	)		(28,761	)		(26,673	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	391		(89,333	)		(60,982	)		(28,351	)

30

Swap Counterparty & Referenced Obligation	Fixed Rate (Pay) Receive			Payment Frequency	Implied Credit Spread at June 30, 2022	Notional Amount (000)			Market Value			Upfront Premiums Paid/ (Received)			Unrealized Appreciation/ (Depreciation)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00	%	Monthly	7.50%		USD	234	$	(53,440	)	$	(19,013	)	$	(34,427	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	532		(121,635	)		(57,285	)		(64,350	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	532		(121,636	)		(57,263	)		(64,373	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	828		(189,432	)		(59,626	)		(129,806	)
JPMorgan Securities, LLC
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	49		(11,166	)		(4,485	)		(6,681	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	51		(11,765	)		(4,727	)		(7,038	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	120		(27,518	)		(14,458	)		(13,060	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	208		(47,657	)		(19,091	)		(28,566	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	295		(67,398	)		(34,332	)		(33,066	)
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	850		(194,418	)		(98,169	)		(96,249	)
Morgan Stanley Capital Services LLC
CDX-CMBX.NA.BBB- Series 6, 05/11/2063*		3.00		Monthly	7.50		USD	322		(73,580	)		(21,363	)		(52,217	)
									$	(2,199,410	)	$	(987,076	)	$	(1,212,334	)

* Termination date

** Principal amount less than 500.

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

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

(c) Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At June 30, 2022, the aggregate market value of these securities amounted to $202,614,503 or 27.3% of net assets.

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

(e) Floating Rate Security. Stated interest/floor/ceiling rate was in effect at June 30, 2022.

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(f) Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.60% of net assets as of June 30, 2022, are considered illiquid and restricted. Additional information regarding such securities follows:

144A/Restricted & Illiquid Securities	Acquisition Date	Cost		Market Value		Percentage of Net Assets
GSF Series 2021-1, Class A1 1.433%, 08/15/2026	02/25/2021	$	696,032	$	654,664	0.09%
GSF Series 2021-1, Class A2 2.435%, 08/15/2026	02/25/2021		1,597,273		1,460,897	0.20%
GSF Series 2021-1, Class AS 2.638%, 08/15/2026	02/25/2021		60,358		54,088	0.01%
HFX Funding Series 2017-1A, Class A3 3.647%, 03/15/2035	11/19/2020		1,802,063		1,581,733	0.21%
JPMorgan Madison Avenue Securities Trust Series 2014-CH1, Class M2 5.874%, 11/25/2024	11/06/2015		49,208		47,129	0.01%
PMT Credit Risk Transfer Trust Series 2020-1R, Class A 4.002%, 02/27/2023	02/11/2020		262,982		258,838	0.03%
Terraform Global Operating LLC 6.125%, 03/01/2026	02/08/2018		117,000		112,562	0.02%
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 1M2 6.874%, 11/25/2025	09/28/2015		197,532		179,016	0.02%
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2 7.124%, 11/25/2025	09/28/2015		50,400		46,952	0.01%

(g) IO - Interest Only.

(h) Inverse interest only security.

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

(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 June 30, 2022.

(k) Non-income producing security.

(l) Fair valued by the Adviser.

(m) Restricted and illiquid security.

Restricted & Illiquid Securities	Acquisition Date	Cost		Market Value		Percentage of Net Assets
Mt Logan Re Ltd. (Preference Shares)	12/30/2014	$	2,266,850	$	1,995,134	0.27%

(n) Affiliated investments.

(o) 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.

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

(q) As of June 30, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $5,473,315 and gross unrealized depreciation of investments was $(75,144,913), resulting in net unrealized depreciation of $(69,671,598).

Currency Abbreviations:

AUD – Australian Dollar

CAD – Canadian Dollar

CNH – Chinese Yuan Renminbi (Offshore)

EUR – Euro

JPY – Japanese Yen

USD – United States Dollar

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Glossary:

ABS – Asset-Backed Securities

ARMs – Adjustable Rate Mortgages

BA – Banker’s Acceptance

CBT – Chicago Board of Trade

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 Rate

OSE – Osaka Securities Exchange

REIT – Real Estate Investment Trust

REMICs – Real Estate Mortgage Investment Conduits

SOFR – Secured Overnight Financing Rate

TBA – To Be Announced

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Sanford C. Bernstein Fund II, Inc.

Intermediate Duration Institutional Portfolio

June 30, 2022 (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.

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, 2022:

Investments in Securities:	Level 1			Level 2			Level 3		Total
Assets:
Governments - Treasuries	$	—		$	273,654,034		$	—	$	273,654,034
Corporates - Investment Grade		—			187,255,735			—		187,255,735
Mortgage Pass-Throughs		—			132,600,014			—		132,600,014
Collateralized Mortgage Obligations		—			59,178,374			—		59,178,374
Asset-Backed Securities		—			38,850,745			2,356,283		41,207,028
Commercial Mortgage-Backed Securities		—			25,499,548			2,169,649		27,669,197
Collateralized Loan Obligations		—			22,011,813			—		22,011,813
Corporates - Non-Investment Grade		—			14,541,960			—		14,541,960
Local Governments - US Municipal Bonds		—			7,295,135			—		7,295,135
Emerging Markets - Corporate Bonds		—			4,578,536			—		4,578,536
Common Stocks		—			—			2,347,502		2,347,502
Agencies		—			2,196,027			—		2,196,027
Quasi-Sovereigns		—			2,168,064			—		2,168,064
Emerging Markets - Sovereigns		—			2,133,041			—		2,133,041
Governments - Sovereign Bonds		—			516,258			—		516,258
Short-Term Investments:
Investment Companies		7,417,439			—			—		7,417,439
U.S. Treasury Bills		—			4,265,012			—		4,265,012
Governments - Treasuries		—			3,656,206			—		3,656,206
Total Investments in Securities		7,417,439			780,400,502			6,873,434		794,691,375
Other Financial Instruments(a):
Assets:
Futures		100,137			—			—		100,137
Forward Currency Exchange Contracts		—			1,605,658			—		1,605,658
Centrally Cleared Credit Default Swaps		—			463,923			—		463,923
Centrally Cleared Interest Rate Swaps		—			415,949			—		415,949
Liabilities:
Futures		(1,208,302	)		—			—		(1,208,302	)
Forward Currency Exchange Contracts		—			(1,096,834	)		—		(1,096,834	)
Centrally Cleared Inflation (CPI) Swaps		—			(396,028	)		—		(396,028	)
Credit Default Swaps		—			(2,199,410	)		—		(2,199,410	)
Total	$	6,309,274		$	779,193,760		$	6,873,434	$	792,376,468

^(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.

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A summary of the Portfolio’s transactions in AB mutual funds for the nine months ended June 30, 2022 is as follows:

Fund	Market Value 09/30/2021 (000)		Purchases at Cost (000)		Sales Proceeds (000)		Market Value 06/30/2022 (000)		Dividend Income (000)
Government Money Market Portfolio	$	3,938	$	347,820	$	344,341	$	7,417	$	18

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