AB Tax-Aware Real Return Income Shares
Portfolio of Investments
January 31, 2024 (unaudited)
| | | | | | | | |
| | | Principal
Amount
(000) | | | U.S. $ Value | |
|
MUNICIPAL OBLIGATIONS – 81.7% | |
Short-Term Municipal Notes – 81.7% | |
Arizona – 8.2% | |
Arizona Health Facilities Authority (Banner Health Obligated Group)
Series 2017-C
2.95%, 01/01/2046(a) | | $ | 100 | | | $ | 100,000 | |
Arizona Industrial Development Authority (Phoenix Children’s Hospital)
Series 2019
2.95%, 02/01/2048(a) | | | 100 | | | | 100,000 | |
| | | | | | | | |
| | | | | | | 200,000 | |
| | | | | | | | |
California – 20.4% | |
Abag Finance Authority for Nonprofit Corps (Lakeside Village Apartments)
Series 2011
4.07%, 10/01/2046(a) | | | 100 | | | | 100,000 | |
Bay Area Toll Authority
Series 2017-G
3.85%, 04/01/2047(a) | | | 100 | | | | 100,000 | |
California Statewide Communities Development Authority (Marvin & Bebe L Zigman)
Series 1999-J
4.15%, 09/01/2029(a) | | | 100 | | | | 100,000 | |
County of San Bernardino CA (WLP Evergreen Apartments LLC)
Series 1999
4.12%, 05/15/2029(a) | | | 100 | | | | 100,000 | |
San Francisco Intl Airport
Series 2018-S
3.05%, 05/01/2058(a) | | | 100 | | | | 100,000 | |
| | | | | | | | |
| | | | | | | 500,000 | |
| | | | | | | | |
Florida – 12.2% | |
Florida Keys Aqueduct Authority
Series 2013
3.75%, 09/01/2035(a) | | | 100 | | | | 100,000 | |
Hillsborough County Industrial Development Authority (BayCare Obligated Group)
Series 2020
3.20%, 11/15/2042(a) | | | 100 | | | | 100,000 | |
JEA Water & Sewer System Revenue
Series 2010-A
3.78%, 10/01/2042(a) | | | 100 | | | | 100,000 | |
| | | | | | | | |
| | | | | | | 300,000 | |
| | | | | | | | |
Iowa – 4.1% | |
Iowa Finance Authority (Iowa Health System Obligated Group)
Series 2018
3.15%, 07/01/2041(a) | | | 100 | | | | 100,000 | |
| | | | | | | | |
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| | | | | | | | |
| | | Principal
Amount
(000) | | | U.S. $ Value | |
| | |
Maryland – 8.2% | | | | | | | | |
Maryland Health & Higher Educational Facilities Authority
Series 2014-A
3.29%, 04/01/2035(a) | | $ | 200 | | | $ | 200,000 | |
| | | | | | | | |
| | |
New York – 20.4% | | | | | | | | |
City of New York
Series 2012-G
3.10%, 04/01/2042(a) | | | 100 | | | | 100,000 | |
Long Island Power Authority
Series 2023-D
3.65%, 05/01/2033(a) | | | 100 | | | | 100,000 | |
Metropolitan Transportation Authority
Series 2021-E
3.20%, 11/15/2050(a) | | | 100 | | | | 100,000 | |
New York State Housing Finance Agency
Series 2009
3.60%, 05/15/2039(a) | | | 100 | | | | 100,000 | |
New York State Housing Finance Agency (Barclay Street Realty LLC)
Series 2004-A
3.60%, 11/15/2037(a) | | | 100 | | | | 100,000 | |
| | | | | | | | |
| | | | | | | 500,000 | |
| | | | | | | | |
| | |
Pennsylvania – 4.1% | | | | | | | | |
Pennsylvania Turnpike Commission
Series 2019
4.70%, 12/01/2038(a) | | | 100 | | | | 100,000 | |
| | | | | | | | |
| | |
Washington – 4.1% | | | | | | | | |
Washington State Housing Finance Commission (Traditions at South Hill LLC)
Series 2014
3.92%, 08/01/2044(a) | | | 100 | | | | 100,000 | |
| | | | | | | | |
Total Investments – 81.7%
(cost $2,000,000)(b) | | | | | | | 2,000,000 | |
Other assets less liabilities – 18.3% | | | | | | | 447,927 | |
| | | | | | | | |
| | |
Net Assets – 100.0% | | | | | | $ | 2,447,927 | |
| | | | | | | | |
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 | | | 300 | | | 01/15/2026 | | 4.243% | | CPI# | | Maturity | | $ | 281 | | | $ | — | | | $ | 281 | |
| # | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
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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 | | | 1,530 | | | 02/01/2033 | | 3.250% | | 1 Day SOFR | | Annual | | $ | 69,194 | | | $ | — | | | $ | 69,194 | |
INFLATION (CPI) SWAPS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Rate Type | | | | | | | | | | | |
| Swap Counterparty | | 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) | |
| JPMorgan Chase Bank, NA | | | USD | | | | 800 | | | | 04/29/2036 | | | 2.498% | | CPI# | | Maturity | | $ | 64,549 | | | $ | — | | | $ | 64,549 | |
| # | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
TOTAL RETURN SWAPS
| | | | | | | | | | | | | | | | | | | | |
Counterparty &
Referenced Obligation | | Rate Paid/
Received | | | Payment
Frequency | | | Current
Notional
(000) | | | Maturity
Date | | | Unrealized
Appreciation
(Depreciation) | |
| Receive Total Return on Reference Obligation | | | | | | | | | | | | | | | | | | | | |
| Barclays Bank PLC | | | | | | | | | | | | | | | | | | | | |
Barclays Capital US Inflation Linked Bonds 1 to 10 Year | |
| 1 Day
SOFR |
| |
| Maturity
|
| | USD | 5,230 | | | | 04/01/2024 | | | $ | (22,276 | ) |
| (a) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
| (b) | As of January 31, 2024, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $134,024 and gross unrealized depreciation of investments was $(22,276), resulting in net unrealized appreciation of $111,748. |
Glossary:
SOFR – Secured Overnight Financing Rate
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AB Tax-Aware Real Return Income Shares
January 31, 2024 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
| | • | | Level 1 - quoted prices in active markets for identical investments |
| | • | | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| | • | | Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of January 31, 2024:
| | | | | | | | | | | | | | | | |
Investments in Securities: | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Assets: | |
| Short-Term Municipal Notes | | $ | — | | | $ | 2,000,000 | | | $ | — | | | $ | 2,000,000 | |
| | | | | | | | | | | | | | | | |
| Total Investments in Securities | | | — | | | | 2,000,000 | | | | — | | | | 2,000,000 | |
| Other Financial Instruments(a): | | | | | | | | | | | | | | | | |
| Assets: | |
| Centrally Cleared Inflation (CPI) Swaps | | | — | | | | 281 | | | | — | | | | 281 | |
| Centrally Cleared Interest Rate Swaps | | | — | | | | 69,194 | | | | — | | | | 69,194 | |
| Inflation (CPI) Swaps | | | — | | | | 64,549 | | | | — | | | | 64,549 | |
| Liabilities: | | | | | | | | | | | | | | | | |
| Total Return Swaps | | | — | | | | (22,276 | ) | | | — | | | | (22,276 | ) |
| | | | | | | | | | | | | | | | |
| Total | | $ | — | | | $ | 2,111,748 | | | $ | — | | | $ | 2,111,748 | |
| | | | | | | | | | | | | | | | |
| (a) | Other financial instruments include reverse repurchase agreements and derivative instruments, such as futures, forwards and swaps. Derivative instruments are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
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A summary of the Fund’s transactions in AB mutual funds for the nine months ended January 31, 2024 is as follows:
| | | | | | | | | | | | | | | | | | | | |
| Fund | | Market Value 04/30/2023 (000) | | | Purchases at Cost (000) | | | Sales Proceeds (000) | | | Market Value 01/31/2024 (000) | | | Dividend Income (000) | |
| Government Money Market Portfolio | | $ | 919 | | | $ | 4,502 | | | $ | 5,421 | | | $ | 0 | | | $ | 18 | |
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