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 | 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 | 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 |
| 273,654,034 | ||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 25.2% |
| |||||||||||
Industrial – 13.2% |
| |||||||||||
Basic – 1.0% |
| |||||||||||
Anglo American Capital PLC | 403 | 370,332 | ||||||||||
Braskem Netherlands Finance BV | 500 | 424,565 | ||||||||||
Freeport Indonesia PT | 324 | 310,230 | ||||||||||
Inversiones CMPC SA | 200 | 175,225 | ||||||||||
Inversiones CMPC SA/Cayman Islands Branch | 322 | 321,960 | ||||||||||
LYB International Finance BV | 187 | 186,787 | ||||||||||
LyondellBasell Industries NV | 568 | 580,911 |
1
Principal Amount (000) | U.S. $ Value | |||||||||||
Nucor Corp. | U.S.$ | 1,105 | $ | 1,100,712 | ||||||||
Suzano Austria GmbH | 2,416 | 1,953,940 | ||||||||||
3.75%, 01/15/2031 | 343 | 277,041 | ||||||||||
WRKCo, Inc. | 1,732 | 1,699,196 | ||||||||||
|
| |||||||||||
7,400,899 | ||||||||||||
|
| |||||||||||
Capital Goods – 1.0% | ||||||||||||
CNH Industrial Capital LLC | 1,191 | 1,175,993 | ||||||||||
Flowserve Corp. | 1,227 | 953,391 | ||||||||||
Parker-Hannifin Corp. | 743 | 679,451 | ||||||||||
4.50%, 09/15/2029 | 934 | 929,321 | ||||||||||
Raytheon Technologies Corp. | 2,242 | 2,214,962 | ||||||||||
Westinghouse Air Brake Technologies Corp. | 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 | 765 | 606,079 | ||||||||||
5.125%, 07/01/2049 | 467 | 389,772 | ||||||||||
Discovery Communications LLC | 509 | 436,304 | ||||||||||
Fox Corp. | 700 | 687,337 | ||||||||||
Interpublic Group of Cos., Inc. (The) | 519 | 513,094 | ||||||||||
Magallanes, Inc. | 1,826 | 1,631,330 | ||||||||||
Prosus NV | 489 | 427,875 | ||||||||||
3.68%, 01/21/2030(c) | 639 | 510,122 | ||||||||||
4.027%, 08/03/2050(c) | 485 | 302,761 | ||||||||||
Tencent Holdings Ltd. | 1,256 | 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 | 505 | 395,996 | ||||||||||
Weibo Corp. | 3,313 | 2,716,246 | ||||||||||
|
| |||||||||||
11,368,071 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
T-Mobile USA, Inc. | 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. | U.S.$ | 278 | $ | 287,461 | ||||||||
General Motors Financial Co., Inc. | 171 | 157,554 | ||||||||||
5.25%, 03/01/2026 | 600 | 601,008 | ||||||||||
Harley-Davidson Financial Services, Inc. | 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. | 2,303 | 1,885,420 | ||||||||||
MDC Holdings, Inc. | 968 | 795,899 | ||||||||||
|
| |||||||||||
2,681,319 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.4% | ||||||||||||
Lowe’s Cos., Inc. | 774 | 731,337 | ||||||||||
Ross Stores, Inc. | 1,925 | 1,936,184 | ||||||||||
|
| |||||||||||
2,667,521 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 1.4% | ||||||||||||
Altria Group, Inc. | 1,745 | 1,487,072 | ||||||||||
4.80%, 02/14/2029 | 1,204 | 1,141,043 | ||||||||||
BAT Capital Corp. | 2,706 | 2,264,624 | ||||||||||
4.906%, 04/02/2030 | 917 | 851,737 | ||||||||||
Biogen, Inc. | 11 | 11,033 | ||||||||||
Cencosud SA | 1,473 | 1,464,825 | ||||||||||
Cigna Corp. | 740 | 733,236 | ||||||||||
CVS Health Corp. | 87 | 86,138 | ||||||||||
Ochsner LSU Health System of North Louisiana | 1,480 | 1,192,732 | ||||||||||
Takeda Pharmaceutical Co., Ltd. | 1,378 | 1,388,018 | ||||||||||
|
| |||||||||||
10,620,458 | ||||||||||||
|
| |||||||||||
Energy – 3.8% | ||||||||||||
BP Capital Markets America, Inc. | 2,985 | 2,133,051 | ||||||||||
Conocophillips Co. | 85 | 74,342 | ||||||||||
Continental Resources, Inc./OK | 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. | U.S.$ | 1,190 | $ | 1,180,801 | ||||||||
Enbridge Energy Partners LP | 1,713 | 2,049,707 | ||||||||||
Energy Transfer LP | 100 | 99,703 | ||||||||||
4.75%, 01/15/2026 | 1,425 | 1,422,207 | ||||||||||
6.25%, 04/15/2049 | 882 | 855,522 | ||||||||||
Eni SpA | 1,163 | 1,127,459 | ||||||||||
Marathon Oil Corp. | 1,800 | 1,953,216 | ||||||||||
Marathon Petroleum Corp. | 2,794 | 2,865,778 | ||||||||||
6.50%, 03/01/2041 | 415 | 451,491 | ||||||||||
MPLX LP | 2,687 | 2,430,230 | ||||||||||
Oleoducto Central SA | 491 | 406,259 | ||||||||||
ONEOK Partners LP | 73 | 69,698 | ||||||||||
ONEOK, Inc. | 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. | 1,059 | 934,440 | ||||||||||
4.50%, 12/15/2026 | 683 | 670,802 | ||||||||||
Suncor Energy, Inc. | 1,377 | 1,545,035 | ||||||||||
Tengizchevroil Finance Co. International Ltd. | 415 | 306,063 | ||||||||||
TransCanada PipeLines Ltd. | 1,356 | 1,464,317 | ||||||||||
6.20%, 10/15/2037 | 829 | 901,363 | ||||||||||
Transcontinental Gas Pipe Line Co., LLC | 449 | 403,229 | ||||||||||
|
| |||||||||||
28,258,102 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.2% | ||||||||||||
Alfa SAB de CV | 915 | 911,740 | ||||||||||
CITIC Ltd. | 889 | 783,598 | ||||||||||
|
| |||||||||||
1,695,338 | ||||||||||||
|
| |||||||||||
Services – 0.2% | ||||||||||||
Expedia Group, Inc. | 49 | 50,535 | ||||||||||
Global Payments, Inc. | 845 | 738,293 | ||||||||||
RELX Capital, Inc. | 375 | 380,284 | ||||||||||
S&P Global, Inc. | 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. | U.S.$ | 203 | $ | 186,330 | ||||||||
Broadcom, Inc. | 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. | 1,270 | 1,183,818 | ||||||||||
Fiserv, Inc. | 2,539 | 2,315,873 | ||||||||||
HP, Inc. | 1,907 | 1,861,918 | ||||||||||
Infor, Inc. | 649 | 600,260 | ||||||||||
Kyndryl Holdings, Inc. | 2,545 | 2,152,128 | ||||||||||
NXP BV/NXP Funding LLC | 1,300 | 1,315,844 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. | 875 | 780,555 | ||||||||||
Oracle Corp. | 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. | 532 | 419,998 | ||||||||||
TSMC Arizona Corp. | 685 | 682,417 | ||||||||||
Western Digital Corp. | 1,444 | 1,106,234 | ||||||||||
Workday, Inc. | 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. | 819 | 795,323 | ||||||||||
|
| |||||||||||
Transportation - Railroads – 0.1% | ||||||||||||
Lima Metro Line 2 Finance Ltd. | 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 | U.S.$ | 380 | $ | 286,900 | ||||||||
|
| |||||||||||
97,888,286 | ||||||||||||
|
| |||||||||||
Financial Institutions – 11.3% | ||||||||||||
Banking – 7.7% | ||||||||||||
ABN AMRO Bank NV | 269 | 267,397 | ||||||||||
Banco de Credito del Peru S.A. | 1,447 | 1,319,302 | ||||||||||
Banco Santander SA | 200 | 187,278 | ||||||||||
4.175%, 03/24/2028 | 800 | 764,528 | ||||||||||
Bank of America Corp. | 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 | 335 | 334,809 | ||||||||||
Series Z | 524 | 523,371 | ||||||||||
Bank of New York Mellon Corp. (The) | 392 | 383,211 | ||||||||||
BNP Paribas SA | 751 | 676,306 | ||||||||||
2.871%, 04/19/2032(c) | 1,587 | 1,318,273 | ||||||||||
Capital One Financial Corp. | 1,186 | 1,050,239 | ||||||||||
4.927%, 05/10/2028 | 1,205 | 1,194,372 | ||||||||||
Citigroup, Inc. | 941 | 880,475 | ||||||||||
4.075%, 04/23/2029 | 1,397 | 1,329,148 | ||||||||||
5.95%, 01/30/2023(d) | 481 | 471,794 | ||||||||||
Series W | 788 | 681,620 | ||||||||||
Series Y | 139 | 111,263 | ||||||||||
Citizens Financial Group, Inc. | 2,795 | 2,777,811 | ||||||||||
Credit Suisse Group AG | 2,591 | 2,072,126 | ||||||||||
4.194%, 04/01/2031(c) | 799 | 709,496 | ||||||||||
Danske Bank A/S | 1,744 | 1,737,268 | ||||||||||
Deutsche Bank AG/New York NY | 958 | 851,566 | ||||||||||
2.552%, 01/07/2028 | 1,458 | 1,261,418 | ||||||||||
3.961%, 11/26/2025 | 385 | 372,965 | ||||||||||
Discover Bank | 386 | 375,547 | ||||||||||
Goldman Sachs Group, Inc. (The) | 739 | 598,139 | ||||||||||
2.615%, 04/22/2032 | 1,862 | 1,544,846 | ||||||||||
Series V | 764 | 626,717 |
6
Principal Amount (000) | U.S. $ Value | |||||||||||
HSBC Holdings PLC | 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 | 1,043 | 995,335 | ||||||||||
JPMorgan Chase & Co. | 2,363 | 1,989,670 | ||||||||||
4.323%, 04/26/2028 | 1,566 | 1,541,993 | ||||||||||
Series I | 820 | 778,032 | ||||||||||
Series V | 401 | 374,947 | ||||||||||
Lloyds Banking Group PLC | 250 | 250,783 | ||||||||||
Mizuho Financial Group, Inc. | 386 | 361,176 | ||||||||||
Morgan Stanley | 1,110 | 1,085,913 | ||||||||||
Series F | 335 | 335,958 | ||||||||||
Series G | 1,502 | 1,427,771 | ||||||||||
Nationwide Building Society | 1,238 | 1,133,711 | ||||||||||
Santander Holdings USA, Inc. | 1,584 | 1,565,372 | ||||||||||
Santander UK Group Holdings PLC | 1,150 | 1,143,767 | ||||||||||
Societe Generale SA | 2,339 | 2,089,078 | ||||||||||
Standard Chartered PLC | 400 | 324,928 | ||||||||||
3.971%, 03/30/2026(c) | 885 | 864,601 | ||||||||||
7.75%, 04/02/2023(c) (d) | 200 | 198,276 | ||||||||||
Swedbank AB | 200 | 191,280 | ||||||||||
UBS AG/Stamford CT | 1,584 | 1,587,041 | ||||||||||
UBS Group AG | 859 | 855,744 | ||||||||||
7.00%, 01/31/2024-02/19/2025(c) (d) | 456 | 447,972 | ||||||||||
UniCredit SpA | 459 | 411,801 | ||||||||||
US Bancorp | 723 | 622,358 |
7
Principal Amount (000) | U.S. $ Value | |||||||||||
Wells Fargo & Co. | 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) | 1,949 | 1,657,313 | ||||||||||
Nomura Holdings, Inc. | 1,881 | 1,527,391 | ||||||||||
|
| |||||||||||
3,184,704 | ||||||||||||
|
| |||||||||||
Finance – 1.4% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 245 | 250,437 | ||||||||||
Air Lease Corp. | 702 | 569,259 | ||||||||||
2.875%, 01/15/2026 | 175 | 160,669 | ||||||||||
3.625%, 04/01/2027 | 76 | 70,295 | ||||||||||
Aircastle Ltd. | 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 | 1,521 | 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 | 1,460 | 1,397,804 | ||||||||||
Synchrony Financial | 1,255 | 952,018 | ||||||||||
4.50%, 07/23/2025 | 873 | 848,303 | ||||||||||
|
| |||||||||||
10,430,707 | ||||||||||||
|
| |||||||||||
Insurance – 1.0% | ||||||||||||
Elevance Health, Inc. | 33 | 32,999 | ||||||||||
Guardian Life Insurance Co. of America (The) | 868 | 778,501 | ||||||||||
Massachusetts Mutual Life Insurance Co. | 11 | 8,086 | ||||||||||
MetLife Capital Trust IV | 970 | 1,049,550 | ||||||||||
MetLife, Inc. | 25 | 32,927 | ||||||||||
Nationwide Mutual Insurance Co. | 377 | 519,238 |
8
Principal Amount (000) | U.S. $ Value | |||||||||||
Prudential Financial, Inc. | 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 | 1,400 | 1,324,330 | ||||||||||
Voya Financial, Inc. | 742 | 699,884 | ||||||||||
|
| |||||||||||
7,619,741 | ||||||||||||
|
| |||||||||||
Other Finance – 0.0% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 351 | 335,833 | ||||||||||
|
| |||||||||||
REITs – 0.8% |
| |||||||||||
American Tower Corp. | 845 | 804,001 | ||||||||||
4.05%, 03/15/2032 | 415 | 378,052 | ||||||||||
Digital Realty Trust LP | 1,584 | 1,435,278 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. | 1,181 | 948,272 | ||||||||||
Host Hotels & Resorts LP | 480 | 381,010 | ||||||||||
Vornado Realty LP | 2,003 | 1,681,078 | ||||||||||
|
| |||||||||||
5,627,691 | ||||||||||||
|
| |||||||||||
84,211,284 | ||||||||||||
|
| |||||||||||
Utility – 0.7% |
| |||||||||||
Electric – 0.6% |
| |||||||||||
AES Panama Generation Holdings SRL | 487 | 420,890 | ||||||||||
Chile Electricity Pec SpA | 1,040 | 761,345 | ||||||||||
Duke Energy Carolinas NC Storm Funding LLC | 920 | 766,682 | ||||||||||
Engie Energia Chile SA | 981 | 828,945 | ||||||||||
Entergy Corp. | 2,291 | 1,966,640 | ||||||||||
|
| |||||||||||
4,744,502 | ||||||||||||
|
| |||||||||||
Other Utility – 0.1% |
| |||||||||||
American Water Capital Corp. | 438 | 411,663 | ||||||||||
|
| |||||||||||
5,156,165 | ||||||||||||
|
| |||||||||||
Total Corporates - Investment Grade |
| 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 | U.S.$ | 1,203 | $ | 1,171,130 | ||||||||
Series 2020 | 1,509 | 1,473,050 | ||||||||||
Series 2022 | 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 | 20 | 20,917 | ||||||||||
Series 2007 | 151 | 161,030 | ||||||||||
Series 2016 | 1,068 | 1,083,548 | ||||||||||
Series 2017 | 701 | 710,805 | ||||||||||
Series 2018 | 2,112 | 2,158,453 | ||||||||||
5.00%, 11/01/2048 | 385 | 397,595 | ||||||||||
Federal National Mortgage Association | ||||||||||||
Series 2003 | 355 | 377,289 | ||||||||||
Series 2004 | 323 | 344,305 | ||||||||||
Series 2005 | 338 | 360,107 | ||||||||||
Series 2006 | 66 | 70,680 | ||||||||||
Series 2007 | 88 | 93,669 | ||||||||||
Series 2008 | 0 | ** | 504 | |||||||||
Series 2009 | 12 | 12,443 | ||||||||||
Series 2010 | 445 | 450,785 | ||||||||||
5.00%, 06/01/2040 | 11 | 11,219 | ||||||||||
Series 2012 | 5,115 | 5,027,199 | ||||||||||
Series 2013 | 2,380 | 2,337,540 | ||||||||||
4.00%, 10/01/2043 | 1,542 | 1,557,562 | ||||||||||
Series 2015 | 1,415 | 1,345,815 | ||||||||||
Series 2018 | 1,565 | 1,598,890 | ||||||||||
Series 2019 | 3,990 | 3,882,922 | ||||||||||
Series 2020 | 1,410 | 1,374,243 | ||||||||||
Series 2021 | 6,876 | 5,983,187 | ||||||||||
2.50%, 01/01/2052 | 2,192 | 1,979,394 | ||||||||||
Series 2022 | 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 | U.S.$ | 732 | $ | 698,989 | ||||||||
Series 2022 | 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 | 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 | 2,812 | 2,731,342 | ||||||||||
Series 2017 | 1,502 | 1,456,246 | ||||||||||
|
| |||||||||||
4,187,588 | ||||||||||||
|
| |||||||||||
Other Agency Fixed Rate Programs – 0.0% | ||||||||||||
Federal National Mortgage Association | 23 | 24,404 | ||||||||||
|
| |||||||||||
Agency ARMs – 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp. Gold | ||||||||||||
Series 2006 | 0 | ** | 128 | |||||||||
Series 2007 | 0 | ** | 376 | |||||||||
Federal National Mortgage Association | ||||||||||||
Series 2007 | 1 | 1,023 | ||||||||||
2.495% (LIBOR 12 Month + 1.80%), 03/01/2037(e) | 1 | 630 | ||||||||||
|
| |||||||||||
2,157 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 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 | U.S.$ | 374 | $ | 372,117 | ||||||||
Series 2019-3A, Class M1C | 300 | 294,327 | ||||||||||
Series 2020-3A, Class M1B | 202 | 202,598 | ||||||||||
Series 2021-1A, Class M1C | 1,036 | 1,017,464 | ||||||||||
Series 2021-2A, Class M1B | 1,892 | 1,816,645 | ||||||||||
Series 2021-3A, Class A2 | 1,894 | 1,844,722 | ||||||||||
Series 2022-1, Class M1B | 1,000 | 968,105 | ||||||||||
Connecticut Avenue Securities Trust | ||||||||||||
Series 2022-R06, Class 1M1 | 1,658 | 1,654,023 | ||||||||||
Series 2022-R07, Class 1M1 | 2,234 | 2,239,442 | ||||||||||
Connecticut Avenue Securities Trust | ||||||||||||
Series 2021-R03, Class 1M1 | 2,290 | 2,244,057 | ||||||||||
Series 2022-R01, Class 1M2 | 2,306 | 2,077,166 | ||||||||||
Series 2022-R02, Class 2M1 | 2,126 | 2,069,058 | ||||||||||
Series 2022-R03, Class 1M2 | 1,545 | 1,469,376 | ||||||||||
Series 2022-R05, Class 2M2 | 1,206 | 1,146,665 | ||||||||||
Eagle RE Ltd. | 217 | 215,243 | ||||||||||
Eagle Re Ltd. | 906 | 901,596 |
12
Principal Amount (000) | U.S. $ Value | |||||||||||
Eagle RE Ltd. | U.S.$ | 650 | $ | 627,542 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 1,358 | 1,290,862 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||||||
Series 2015-DNA1, Class M3 | 372 | 375,482 | ||||||||||
Series 2017-HQA2, Class M2B | 1,320 | 1,311,909 | ||||||||||
Series 2020-DNA5, Class M2 | 744 | 744,908 | ||||||||||
Series 2021-DNA3, Class M2 | 779 | 720,026 | ||||||||||
Series 2021-DNA5, Class M2 | 710 | 684,483 | ||||||||||
Series 2021-DNA6, Class M2 | 2,513 | 2,294,387 | ||||||||||
Series 2021-DNA7, Class M2 | 2,412 | 2,171,789 | ||||||||||
Series 2021-HQA4, Class M2 | 1,530 | 1,320,235 | ||||||||||
Series 2022-DNA1, Class M1A | 1,019 | 983,356 | ||||||||||
Series 2022-DNA1, Class M1B | 1,223 | 1,097,505 | ||||||||||
Series 2022-DNA2, Class M1B | 1,717 | 1,584,095 | ||||||||||
Series 2022-DNA3, Class M1B | 711 | 668,640 | ||||||||||
Series 2022-DNA5, Class M1B | 2,274 | 2,285,141 | ||||||||||
Series 2022-HQA1, Class M1B | 399 | 381,001 |
13
Principal Amount (000) | U.S. $ Value | |||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||||||
Series 2015-C04, Class 1M2 | 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 | 49 | 47,129 | ||||||||||
Oaktown Re VII Ltd. | 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. | 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 | 298 | 270,484 | ||||||||||
Federal National Mortgage Association REMICs | 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 | 24 | 20,151 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | 76 | 39,474 | ||||||||||
New Residential Mortgage Loan Trust | 21 | 18,317 | ||||||||||
|
| |||||||||||
691,005 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.1% |
| |||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust | 874 | 340,501 | ||||||||||
HomeBanc Mortgage Trust | 163 | 139,412 |
16
Principal Amount (000) | U.S. $ Value | |||||||||||
JPMorgan Chase Bank, NA | U.S.$ | 209 | $ | 204,692 | ||||||||
|
| |||||||||||
684,605 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 59,178,374 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 5.5% |
| |||||||||||
Other ABS - Fixed Rate – 2.8% |
| |||||||||||
AB Issuer LLC | 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 | 509 | 480,173 | ||||||||||
BHG Securitization Trust | 302 | 288,860 | ||||||||||
Cajun Global LLC | 442 | 400,080 | ||||||||||
College Ave Student Loans LLC | 637 | 564,484 | ||||||||||
Conn’s Receivables Funding LLC | 1,120 | 1,112,840 | ||||||||||
Dext ABS LLC | 186 | 171,707 | ||||||||||
Diamond Infrastructure Funding LLC | 935 | 829,285 | ||||||||||
Diamond Issuer | 1,941 | 1,705,351 | ||||||||||
Domino’s Pizza Master Issuer LLC | 1,057 | 921,601 | ||||||||||
FREED ABS Trust | 1,760 | 1,706,973 | ||||||||||
GCI Funding I LLC | 673 | 595,174 |
17
Principal Amount (000) | U.S. $ Value | |||||||||||
Hardee’s Funding LLC | ||||||||||||
Series 2018-1A, Class A23 | U.S.$ | 784 | $ | 756,943 | ||||||||
Series 2020-1A, Class A2 3.981%, 12/20/2050(c) | 482 | 437,948 | ||||||||||
MVW LLC | 951 | 866,986 | ||||||||||
Neighborly Issuer | 2,008 | 1,729,464 | ||||||||||
Neighborly Issuer LLC | 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 | 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 | 690 | 661,174 |
18
Principal Amount (000) | U.S. $ Value | |||||||||||
Ford Credit Auto Owner Trust | U.S.$ | 1,390 | $ | 1,240,234 | ||||||||
LAD Auto Receivables Trust | 1,056 | 1,021,601 | ||||||||||
Santander Bank Auto Credit-Linked Notes | 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 | 1,021 | 1,001,311 | ||||||||||
Series 2022-1, Class A | 1,888 | 1,852,178 | ||||||||||
Chase Issuance Trust | 200 | 200,003 | ||||||||||
Mission Lane Credit Card Master Trust | 400 | 386,019 | ||||||||||
|
| |||||||||||
3,439,511 | ||||||||||||
|
| |||||||||||
Home Equity Loans - Floating Rate – 0.0% | ||||||||||||
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates | 41 | 38,766 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 41,207,028 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.7% | ||||||||||||
Non-Agency Floating Rate CMBS – 1.9% | ||||||||||||
AREIT Trust | 3,188 | 3,060,689 | ||||||||||
Ashford Hospitality Trust | 792 | 767,288 | ||||||||||
BAMLL Commercial Mortgage Securities Trust | 2,435 | 2,287,325 | ||||||||||
BBCMS Mortgage Trust | 1,998 | 1,971,316 |
19
Principal Amount (000) | U.S. $ Value | |||||||||||
BFLD Trust | U.S.$ | 2,976 | $ | 2,870,461 | ||||||||
BX Commercial Mortgage Trust | ||||||||||||
Series 2019-IMC, Class D | 207 | 196,284 | ||||||||||
Series 2019-IMC, Class E | 839 | 780,207 | ||||||||||
CLNY Trust | 1,450 | 1,348,046 | ||||||||||
Federal Home Loan Mortgage Corp. | 254 | 236,524 | ||||||||||
Natixis Commercial Mortgage Securities Trust | 666 | 656,172 | ||||||||||
|
| |||||||||||
14,174,312 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS – 1.8% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 740 | 652,182 | ||||||||||
Banc of America Commercial Mortgage Trust | 211 | 206,370 | ||||||||||
CGRBS Commercial Mortgage Trust | 2,495 | 2,495,192 | ||||||||||
Citigroup Commercial Mortgage Trust | 1,140 | 1,131,026 | ||||||||||
Commercial Mortgage Trust | ||||||||||||
Series 2012-CR3, Class E | 889 | 444,369 | ||||||||||
Series 2013-SFS, Class A1 | 122 | 120,236 | ||||||||||
Series 2015-LC21, Class XA | 2,155 | 34,472 | ||||||||||
GS Mortgage Securities Trust | ||||||||||||
Series 2011-GC5, Class D | 28 | 11,726 | ||||||||||
Series 2013-G1, Class A2 | 1,499 | 1,482,723 |
20
Principal Amount (000) | U.S. $ Value | |||||||||||
GSF | ||||||||||||
Series 2021-1, Class A1 | U.S.$ | 710 | $ | 654,664 | ||||||||
Series 2021-1, Class A2 | 1,556 | 1,460,897 | ||||||||||
Series 2021-1, Class AS | 59 | 54,088 | ||||||||||
HFX Funding | 1,690 | 1,581,733 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||||||
Series 2013-C14, Class D | 472 | 278,773 | ||||||||||
Series 2014-C22, Class XA | 5,362 | 72,070 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 712 | 550,339 | ||||||||||
LB-UBS Commercial Mortgage Trust | 147 | 60,449 | ||||||||||
LSTAR Commercial Mortgage Trust | 331 | 327,231 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||||||
Series 2014-C19, Class D | 603 | 525,419 | ||||||||||
Series 2015-C25, Class XA | 1,957 | 48,301 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 1,030 | 954,189 | ||||||||||
WF-RBS Commercial Mortgage Trust | 356 | 348,436 | ||||||||||
|
| |||||||||||
13,494,885 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 27,669,197 | |||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 3.0% | ||||||||||||
CLO - Floating Rate – 3.0% | ||||||||||||
Balboa Bay Loan Funding Ltd. | 1,472 | 1,424,400 | ||||||||||
Dryden 78 CLO Ltd. | ||||||||||||
Series 2020-78A, Class C | 1,260 | 1,169,122 | ||||||||||
Series 2020-78A, Class D | 400 | 370,968 | ||||||||||
Elevation CLO Ltd. | 1,080 | 986,107 |
21
Principal Amount (000) | U.S. $ Value | |||||||||||
Elmwood CLO IX Ltd. | U.S.$ | 1,500 | $ | 1,451,478 | ||||||||
Flatiron CLO 21 Ltd. | 1,130 | 1,089,544 | ||||||||||
Goldentree Loan Management US CLO 7 Ltd. | 1,491 | 1,432,654 | ||||||||||
Madison Park Funding LI Ltd. | 889 | 827,776 | ||||||||||
Neuberger Berman Loan Advisers CLO 43 Ltd. | 1,729 | 1,674,786 | ||||||||||
New Mountain CLO 3 Ltd. | 250 | 226,989 | ||||||||||
OCP CLO Ltd. | 1,954 | 1,898,833 | ||||||||||
Pikes Peak CLO 8 | 1,907 | 1,844,027 | ||||||||||
Rad CLO 7 Ltd. | 570 | 531,917 | ||||||||||
Rad CLO 11 Ltd. | 950 | 876,716 | ||||||||||
Regatta XX Funding Ltd. | 2,924 | 2,797,941 | ||||||||||
Rockford Tower CLO Ltd. | ||||||||||||
Series 2021-1A, Class D | 1,883 | 1,733,438 | ||||||||||
Series 2021-2A, Class A1 | 1,310 | 1,261,395 |
22
Principal Amount (000) | U.S. $ Value | |||||||||||
Voya CLO Ltd. | U.S.$ | 480 | $ | 413,722 | ||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 22,011,813 | |||||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 1.9% | ||||||||||||
Industrial – 1.3% | ||||||||||||
Capital Goods – 0.0% | ||||||||||||
TK Elevator Midco GmbH | EUR | 331 | 299,922 | |||||||||
|
| |||||||||||
Communications - Media – 0.5% | ||||||||||||
Altice Financing SA | 540 | 421,998 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | U.S.$ | 1,591 | 1,279,444 | |||||||||
4.75%, 02/01/2032(c) | 260 | 214,063 | ||||||||||
DISH DBS Corp. | 996 | 737,169 | ||||||||||
Summer BC Holdco B SARL | EUR | 540 | 491,246 | |||||||||
VZ Vendor Financing II BV | 540 | 420,962 | ||||||||||
|
| |||||||||||
3,564,882 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
Altice France SA/France | 259 | 202,655 | ||||||||||
Lorca Telecom Bondco SA | 540 | 473,239 | ||||||||||
|
| |||||||||||
675,894 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||||
Adient Global Holdings Ltd. | 540 | 512,541 | ||||||||||
Ford Motor Credit Co. LLC | U.S.$ | 812 | 753,585 | |||||||||
ZF Finance GmbH | EUR | 400 | 329,404 | |||||||||
|
| |||||||||||
1,595,530 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.2% | ||||||||||||
Carnival Corp. | U.S.$ | 1,545 | 1,267,379 | |||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
NH Hotel Group SA | EUR | 190 | 177,788 | |||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | U.S.$ | 959 | 775,706 |
23
Principal Amount (000) | U.S. $ Value | |||||||||||
IQVIA, Inc. | EUR | 310 | $ | 256,913 | ||||||||
Nobel Bidco BV | 540 | 379,488 | ||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV | 320 | 280,549 | ||||||||||
|
| |||||||||||
1,692,656 | ||||||||||||
|
| |||||||||||
Services – 0.1% | ||||||||||||
APCOA Parking Holdings GmbH | 540 | 460,411 | ||||||||||
|
| |||||||||||
Technology – 0.0% | ||||||||||||
Playtech PLC | 310 | 312,883 | ||||||||||
|
| |||||||||||
Transportation - Airlines – 0.0% | ||||||||||||
Deutsche Lufthansa AG | U.S.$ | 200 | 176,282 | |||||||||
|
| |||||||||||
10,223,627 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.5% | ||||||||||||
Banking – 0.5% | ||||||||||||
Credit Suisse Group AG | 355 | 294,519 | ||||||||||
7.50%, 07/17/2023-12/11/2023(c) (d) | 2,919 | 2,708,285 | ||||||||||
Intesa Sanpaolo SpA | 757 | 725,849 | ||||||||||
|
| |||||||||||
3,728,653 | ||||||||||||
|
| |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
Vistra Corp. | 648 | 589,680 | ||||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 14,541,960 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 1.0% | ||||||||||||
United States – 1.0% | ||||||||||||
Port Authority of New York & New Jersey | 1,000 | 981,466 | ||||||||||
State Board of Administration Finance Corp. | 1,634 | 1,477,943 | ||||||||||
State of California | 2,040 | 2,757,410 | ||||||||||
Tobacco Settlement Finance Authority/WV | 540 | 515,200 | ||||||||||
University of California | 2,070 | 1,563,116 | ||||||||||
|
| |||||||||||
Total Local Governments - US Municipal Bonds | 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 | U.S.$ | 293 | $ | 208,396 | ||||||||
Volcan Cia Minera SAA | 189 | 164,525 | ||||||||||
|
| |||||||||||
372,921 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.2% | ||||||||||||
Cemex SAB de CV | 1,525 | 1,148,630 | ||||||||||
Embraer Netherlands Finance BV | 1,025 | 967,856 | ||||||||||
6.95%, 01/17/2028(c) | 537 | 519,816 | ||||||||||
Odebrecht Holdco Finance Ltd. | 417 | 1,666 | ||||||||||
|
| |||||||||||
2,637,968 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.1% | ||||||||||||
Globo Comunicacao e Participacoes SA | 645 | 500,685 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% | ||||||||||||
Wynn Macau Ltd. | 730 | 449,680 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
Natura & Co. Luxembourg Holdings SARL | 564 | 496,320 | ||||||||||
|
| |||||||||||
4,457,574 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
Terraform Global Operating LLC | 117 | 112,562 | ||||||||||
|
| |||||||||||
Financial Institutions – 0.0% | ||||||||||||
Other Finance – 0.0% | ||||||||||||
OEC Finance Ltd. | 381 | 8,400 | ||||||||||
|
| |||||||||||
Total Emerging Markets - Corporate Bonds | 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 | 2,347,502 | |||||||||||
|
|
25
Principal Amount (000) | U.S. $ Value | |||||||||||
AGENCIES – 0.3% | ||||||||||||
Agency Debentures – 0.3% | ||||||||||||
Federal Home Loan Banks | U.S.$ | 1,465 | $ | 1,454,234 | ||||||||
Federal National Mortgage Association | 355 | 420,498 | ||||||||||
6.625%, 11/15/2030 | 260 | 321,295 | ||||||||||
|
| |||||||||||
Total Agencies | 2,196,027 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.3% | ||||||||||||
Quasi-Sovereign Bonds – 0.3% | ||||||||||||
Indonesia – 0.1% | ||||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | 447 | 450,297 | ||||||||||
|
| |||||||||||
Mexico – 0.2% | ||||||||||||
Comision Federal de Electricidad | 1,685 | 1,289,867 | ||||||||||
4.688%, 05/15/2029(c) | 478 | 427,900 | ||||||||||
|
| |||||||||||
1,717,767 | ||||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 2,168,064 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - SOVEREIGNS – 0.3% | ||||||||||||
Dominican Republic – 0.2% | ||||||||||||
Dominican Republic International Bond | 1,919 | 1,474,991 | ||||||||||
|
| |||||||||||
Egypt – 0.1% | ||||||||||||
Egypt Government International Bond | 1,070 | 658,050 | ||||||||||
|
| |||||||||||
Total Emerging Markets - Sovereigns | 2,133,041 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.1% | ||||||||||||
Colombia – 0.1% | ||||||||||||
Colombia Government International Bond | 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) | 7,417,439 | 7,417,439 | ||||||||||
|
|
26
Principal Amount (000) | U.S. $ Value | |||||||||||
U.S. Treasury Bills – 0.6% | ||||||||||||
U.S. Treasury Bill | U.S.$ | 4,281 | $ | 4,265,012 | ||||||||
|
| |||||||||||
Governments - Treasuries – 0.5% | ||||||||||||
Japan – 0.5% | ||||||||||||
Japan Treasury Discount Bill | JPY | 495,950 | 3,656,206 | |||||||||
|
| |||||||||||
Total Short-Term Investments | 15,338,657 | |||||||||||
|
| |||||||||||
Total Investments – 106.9% | 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 | Market Value | Upfront (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 | 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 | 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 | 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 | 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 | 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 |
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CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 322 | (73,580 | ) | (21,363 | ) | (52,217 | ) | |||||||||||||||||
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$ | (2,199,410 | ) | $ | (987,076 | ) | $ | (1,212,334 | ) | ||||||||||||||||||||
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* | 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 | 02/25/2021 | $ | 696,032 | $ | 654,664 | 0.09% | ||||||
GSF | 02/25/2021 | 1,597,273 | 1,460,897 | 0.20% | ||||||||
GSF | 02/25/2021 | 60,358 | 54,088 | 0.01% | ||||||||
HFX Funding | 11/19/2020 | 1,802,063 | 1,581,733 | 0.21% | ||||||||
JPMorgan Madison Avenue Securities Trust | 11/06/2015 | 49,208 | 47,129 | 0.01% | ||||||||
PMT Credit Risk Transfer Trust | 02/11/2020 | 262,982 | 258,838 | 0.03% | ||||||||
Terraform Global Operating LLC | 02/08/2018 | 117,000 | 112,562 | 0.02% | ||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/28/2015 | 197,532 | 179,016 | 0.02% | ||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 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. | 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: |
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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 | ||||||||||||
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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 | ) | ||||||||||
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Total | $ | 6,309,274 | $ | 779,193,760 | $ | 6,873,434 | $ | 792,376,468 | ||||||||
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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. |
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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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