AB Short Duration Income Portfolio
Portfolio of Investments
January 31, 2023 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||
GOVERNMENTS - TREASURIES – 63.7% | ||||||||||
Spain – 0.5% | ||||||||||
Spain Government Bond | EUR | 356 | $ | 353,509 | ||||||
|
| |||||||||
United States – 63.2% | ||||||||||
U.S. Treasury Notes | U.S.$ | 309 | 252,206 | |||||||
1.50%, 01/31/2027 | 499 | 457,062 | ||||||||
2.875%, 08/15/2028(b) | 743 | 714,053 | ||||||||
3.00%, 07/31/2024 | 5,401 | 5,281,911 | ||||||||
3.125%, 11/15/2028 | 2,933 | 2,851,953 | ||||||||
3.25%, 06/30/2027(c) | 2,228 | 2,186,966 | ||||||||
3.375%, 01/31/2028 | 505 | 501,923 | ||||||||
3.875%, 01/15/2026 | 12,239 | 12,225,913 | ||||||||
3.875%, 11/30/2027(c) | 4,967 | 5,016,468 | ||||||||
3.875%, 12/31/2027 | 816 | 823,905 | ||||||||
4.125%, 01/31/2025 | 2,310 | 2,306,391 | ||||||||
4.125%, 10/31/2027 | 103 | 104,760 | ||||||||
4.25%, 12/31/2024 | 10,466 | 10,461,294 | ||||||||
4.375%, 10/31/2024 | 1,750 | 1,750,000 | ||||||||
4.50%, 11/30/2024(c) | 2,732 | 2,739,884 | ||||||||
|
| |||||||||
47,674,689 | ||||||||||
|
| |||||||||
Total Governments - Treasuries | 48,028,198 | |||||||||
|
| |||||||||
CORPORATES - INVESTMENT GRADE – 12.4% | ||||||||||
Financial Institutions – 8.7% | ||||||||||
Banking – 7.9% | ||||||||||
AIB Group PLC | 200 | 195,774 | ||||||||
7.583%, 10/14/2026(a) | 209 | 216,307 | ||||||||
Banco de Credito del Peru S.A. | 119 | 109,327 | ||||||||
Banco Santander SA | 200 | 175,214 | ||||||||
Bank of Ireland Group PLC | 200 | 202,772 | ||||||||
Barclays PLC | 200 | 200,586 | ||||||||
BNP Paribas SA | 200 | 196,790 | ||||||||
BPCE SA | 250 | 253,070 | ||||||||
Capital One Financial Corp. | 67 | 67,395 | ||||||||
Credit Agricole SA | 200 | 206,436 | ||||||||
Danske Bank A/S | 200 | 190,672 | ||||||||
4.298%, 04/01/2028(a) | 200 | 192,534 |
1
Principal Amount (000) | U.S. $ Value | |||||||||
Deutsche Bank AG/New York NY | U.S.$ | 200 | $ | 189,100 | ||||||
6.72%, 01/18/2029 | 156 | 164,157 | ||||||||
Discover Financial Services | 69 | 73,735 | ||||||||
HSBC Holdings PLC | 200 | 191,826 | ||||||||
7.336%, 11/03/2026 | 200 | 211,146 | ||||||||
Intesa Sanpaolo SpA | 359 | 370,897 | ||||||||
Lloyds Banking Group PLC | 200 | 188,590 | ||||||||
Morgan Stanley | 22 | 22,238 | ||||||||
6.296%, 10/18/2028 | 279 | 294,895 | ||||||||
PNC Financial Services Group, Inc. (The) | 12 | 12,087 | ||||||||
Santander UK Group Holdings PLC | 359 | 371,400 | ||||||||
Skandinaviska Enskilda Banken AB | 200 | 200,142 | ||||||||
Societe Generale SA | 271 | 277,900 | ||||||||
Standard Chartered PLC | 340 | 348,136 | ||||||||
Sumitomo Mitsui Financial Group, Inc. | 271 | 282,157 | ||||||||
Swedbank AB | 400 | 389,000 | ||||||||
UBS Group AG | 200 | 199,138 | ||||||||
|
| |||||||||
5,993,421 | ||||||||||
|
| |||||||||
Brokerage – 0.4% | ||||||||||
Nomura Holdings, Inc. | 272 | 275,601 | ||||||||
|
| |||||||||
Finance – 0.4% | ||||||||||
Aircastle Ltd. |
| 5 |
|
| 4,354 |
| ||||
4.125%, 05/01/2024 | 8 | 7,832 | ||||||||
4.25%, 06/15/2026 | 2 | 1,928 | ||||||||
4.40%, 09/25/2023 | 16 | 15,872 | ||||||||
5.00%, 04/01/2023 | 3 | 2,995 | ||||||||
5.25%, 08/11/2025(a) | 52 | 50,879 | ||||||||
Aviation Capital Group LLC | 158 | 141,541 | ||||||||
Synchrony Financial | 57 | 52,720 | ||||||||
4.875%, 06/13/2025 | 50 | 49,065 | ||||||||
|
| |||||||||
327,186 | ||||||||||
|
| |||||||||
6,596,208 | ||||||||||
|
|
2
Principal Amount (000) | U.S. $ Value | |||||||||
Industrial – 3.5% | ||||||||||
Basic – 0.2% | ||||||||||
Arconic Corp. | U.S.$ | 15 | $ | 14,925 | ||||||
Glencore Funding LLC | 115 | 114,685 | ||||||||
|
| |||||||||
129,610 | ||||||||||
|
| |||||||||
Capital Goods – 0.1% | ||||||||||
Regal Rexnord Corp. | 56 | 57,016 | ||||||||
|
| |||||||||
Communications - Media – 0.5% | ||||||||||
Directv Financing LLC/Directv Financing Co-Obligor, Inc. | 46 | 41,665 | ||||||||
Interpublic Group of Cos., Inc. (The) | 105 | 103,631 | ||||||||
Netflix, Inc. | 64 | 63,616 | ||||||||
Pinewood Finance Co., Ltd. | GBP | 118 | 135,107 | |||||||
|
| |||||||||
344,019 | ||||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||
Lear Corp. | U.S.$ | 150 | 141,226 | |||||||
|
| |||||||||
Consumer Cyclical - Entertainment – 0.1% | ||||||||||
Mattel, Inc. | 102 | 102,129 | ||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.4% | ||||||||||
Las Vegas Sands Corp. | 150 | 134,248 | ||||||||
Sands China Ltd. | 200 | 197,250 | ||||||||
|
| |||||||||
331,498 | ||||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.2% | ||||||||||
AutoNation, Inc. | 150 | 140,962 | ||||||||
|
| |||||||||
Consumer Non-Cyclical – 0.6% | ||||||||||
Altria Group, Inc. | 155 | 137,241 | ||||||||
BAT International Finance PLC | 116 | 111,061 | ||||||||
Newell Brands, Inc. | 26 | 24,698 | ||||||||
4.875%, 06/01/2025 | 7 | 6,840 | ||||||||
6.375%, 09/15/2027 | 53 | 53,286 | ||||||||
6.625%, 09/15/2029 | 53 | 53,730 | ||||||||
Philip Morris International, Inc. | 66 | 68,933 | ||||||||
|
| |||||||||
455,789 | ||||||||||
|
|
3
Principal Amount (000) | U.S. $ Value | |||||||||
Energy – 0.6% | ||||||||||
Continental Resources, Inc./OK | U.S.$ | 41 | $ | 40,247 | ||||||
Ecopetrol SA | 15 | 11,813 | ||||||||
5.375%, 06/26/2026 | 55 | 52,975 | ||||||||
5.875%, 11/02/2051 | 7 | 4,839 | ||||||||
6.875%, 04/29/2030 | 45 | 41,950 | ||||||||
8.875%, 01/13/2033 | 13 | 13,309 | ||||||||
Var Energi ASA | 282 | 297,104 | ||||||||
Western Midstream Operating LP | 2 | 1,917 | ||||||||
4.30%, 02/01/2030 | 20 | 18,310 | ||||||||
|
| |||||||||
482,464 | ||||||||||
|
| |||||||||
Services – 0.3% | ||||||||||
Global Payments, Inc. | 216 | 208,498 | ||||||||
|
| |||||||||
Technology – 0.3% | ||||||||||
Entegris Escrow Corp. | 112 | 105,081 | ||||||||
Western Digital Corp. | 116 | 112,043 | ||||||||
|
| |||||||||
217,124 | ||||||||||
|
| |||||||||
2,610,335 | ||||||||||
|
| |||||||||
Utility – 0.2% | ||||||||||
Electric – 0.2% | ||||||||||
Chile Electricity PEC SpA | 200 | 147,663 | ||||||||
|
| |||||||||
Total Corporates - Investment Grade | 9,354,206 | |||||||||
|
| |||||||||
CORPORATES - NON-INVESTMENT GRADE – 9.9% | ||||||||||
Industrial – 9.1% | ||||||||||
Basic – 0.3% | ||||||||||
ASP Unifrax Holdings, Inc. | 10 | 8,540 | ||||||||
Kleopatra Finco Sarl | EUR | 100 | 91,044 | |||||||
Sealed Air Corp. | U.S.$ | 27 | 27,252 | |||||||
WR Grace Holdings LLC | 72 | 67,177 | ||||||||
|
| |||||||||
194,013 | ||||||||||
|
| |||||||||
Capital Goods – 0.8% | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 200 | 182,568 |
4
Principal Amount (000) | U.S. $ Value | |||||||||
Chart Industries, Inc. | U.S.$ | 25 | $ | 25,538 | ||||||
Eco Material Technologies, Inc. | 92 | 88,589 | ||||||||
Gates Global LLC/Gates Corp. | 61 | 60,075 | ||||||||
LSB Industries, Inc. | 34 | 30,637 | ||||||||
Renk AG/Frankfurt am Main | EUR | 100 | 105,760 | |||||||
Triumph Group, Inc. | U.S.$ | 89 | 90,696 | |||||||
|
| |||||||||
583,863 | ||||||||||
|
| |||||||||
Communications - Media – 1.1% | ||||||||||
AMC Networks, Inc. | 181 | 153,669 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 26 | 22,230 | ||||||||
5.125%, 05/01/2027(a) | 59 | 56,222 | ||||||||
Clear Channel Outdoor Holdings, Inc. | 60 | 54,655 | ||||||||
CSC Holdings LLC | 200 | 146,108 | ||||||||
DISH DBS Corp. | 178 | 153,374 | ||||||||
5.75%, 12/01/2028(a) | 32 | 26,245 | ||||||||
5.875%, 11/15/2024 | 53 | 50,044 | ||||||||
McGraw-Hill Education, Inc. | 56 | 49,330 | ||||||||
Radiate Holdco LLC/Radiate Finance, Inc. | 85 | 65,108 | ||||||||
Sirius XM Radio, Inc. | 28 | 24,890 | ||||||||
|
| |||||||||
801,875 | ||||||||||
|
| |||||||||
Communications - Telecommunications – 0.0% | ||||||||||
Consolidated Communications, Inc. | 35 | 26,729 | ||||||||
|
| |||||||||
Consumer Cyclical - Automotive – 0.3% | ||||||||||
Jaguar Land Rover Automotive PLC | 217 | 213,608 | ||||||||
|
| |||||||||
Consumer Cyclical - Entertainment – 1.3% | ||||||||||
Carnival Corp. | 36 | 31,033 | ||||||||
5.75%, 03/01/2027(a) | 62 | 51,446 | ||||||||
10.50%, 02/01/2026(a) | 153 | 159,951 | ||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | 29 | 28,800 |
5
Principal Amount (000) | U.S. $ Value | |||||||||
Lindblad Expeditions LLC | U.S.$ | 28 | $ | 27,416 | ||||||
NCL Corp. Ltd. | 33 | 28,544 | ||||||||
5.875%, 02/15/2027(a) | 268 | 249,535 | ||||||||
8.375%, 02/01/2028(a) | 57 | 57,951 | ||||||||
Royal Caribbean Cruises Ltd. | 42 | 36,493 | ||||||||
5.50%, 08/31/2026(a) | 31 | 27,731 | ||||||||
11.50%, 06/01/2025(a) | 47 | 50,429 | ||||||||
SeaWorld Parks & Entertainment, Inc. | 20 | 20,529 | ||||||||
Viking Cruises Ltd. | 12 | 10,233 | ||||||||
13.00%, 05/15/2025(a) | 16 | 16,974 | ||||||||
Viking Ocean Cruises Ship VII Ltd. | 14 | 11,973 | ||||||||
VOC Escrow Ltd. | 226 | 198,896 | ||||||||
|
| |||||||||
1,007,934 | ||||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.5% | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC | 86 | 76,632 | ||||||||
Caesars Entertainment, Inc. | 40 | 40,761 | ||||||||
Churchill Downs, Inc. | 59 | 55,196 | ||||||||
Five Point Operating Co. LP/Five Point Capital Corp. | 85 | 76,519 | ||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc | 9 | 7,801 | ||||||||
5.00%, 06/01/2029(a) | 45 | 40,228 | ||||||||
Shea Homes LP/Shea Homes Funding Corp. | 11 | 9,796 | ||||||||
Taylor Morrison Communities, Inc. | 15 | 14,755 | ||||||||
Travel + Leisure Co. | 20 | 19,853 | ||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 33 | 31,168 | ||||||||
|
| |||||||||
372,709 | ||||||||||
|
| |||||||||
Consumer Cyclical - Restaurants – 0.1% | ||||||||||
1011778 BC ULC/New Red Finance, Inc. | 17 | 15,538 | ||||||||
4.375%, 01/15/2028(a) | 35 | 32,305 | ||||||||
|
| |||||||||
47,843 | ||||||||||
|
|
6
Principal Amount (000) | U.S. $ Value | |||||||||
Consumer Cyclical - Retailers – 0.8% |
| |||||||||
Bath & Body Works, Inc. | U.S.$ | 64 | $ | 64,918 | ||||||
9.375%, 07/01/2025(a) | 6 | 6,425 | ||||||||
Dufry One BV | EUR | 100 | 106,421 | |||||||
eG Global Finance PLC | 144 | 139,383 | ||||||||
Hanesbrands, Inc. | U.S.$ | 35 | 34,413 | |||||||
Michaels Cos, Inc. (The) | 73 | 61,195 | ||||||||
Rite Aid Corp. | 9 | 5,936 | ||||||||
Staples, Inc. | 15 | 13,317 | ||||||||
Wolverine World Wide, Inc. | 169 | 135,771 | ||||||||
|
| |||||||||
567,779 | ||||||||||
|
| |||||||||
Consumer Non-Cyclical – 0.7% | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 154 | 153,818 | ||||||||
Elanco Animal Health, Inc. | 173 | 169,950 | ||||||||
Embecta Corp. | 34 | 27,999 | ||||||||
Legacy LifePoint Health LLC | 114 | 99,664 | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. | 7 | 6,132 | ||||||||
RP Escrow Issuer LLC | 39 | 31,817 | ||||||||
US Acute Care Solutions LLC | 81 | 73,357 | ||||||||
|
| |||||||||
562,737 | ||||||||||
|
| |||||||||
Energy – 0.4% | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. | 8 | 8,123 | ||||||||
CITGO Petroleum Corp. | 33 | 32,736 | ||||||||
Civitas Resources, Inc. | 30 | 28,082 | ||||||||
Crescent Energy Finance LLC | 28 | 26,873 |
7
Principal Amount (000) | U.S. $ Value | |||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | U.S.$ | 15 | $ | 14,524 | ||||||
8.00%, 01/15/2027 | 21 | 20,732 | ||||||||
Nabors Industries Ltd. | 12 | 11,670 | ||||||||
Nabors Industries, Inc. | 11 | 11,014 | ||||||||
New Fortress Energy, Inc. | 75 | 71,952 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. | 44 | 41,800 | ||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. | 40 | 38,928 | ||||||||
Sunnova Energy Corp. | 25 | 22,501 | ||||||||
|
| |||||||||
328,935 | ||||||||||
|
| |||||||||
Services – 1.2% | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. | 57 | 54,885 | ||||||||
ANGI Group LLC | 260 | 199,321 | ||||||||
APX Group, Inc. | 53 | 51,959 | ||||||||
Block, Inc. | 36 | 32,730 | ||||||||
Garda World Security Corp. | 103 | 104,347 | ||||||||
Millennium Escrow Corp. | 50 | 34,754 | ||||||||
MPH Acquisition Holdings LLC | 78 | 56,650 | ||||||||
Neptune Bidco US, Inc. | 108 | 105,102 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 23 | 20,463 | ||||||||
6.25%, 01/15/2028(a) | 82 | 77,760 | ||||||||
Sabre GLBL, Inc. | 84 | 85,788 | ||||||||
11.25%, 12/15/2027(a) | 35 | 37,098 | ||||||||
ZipRecruiter, Inc. | 63 | 55,094 | ||||||||
|
| |||||||||
915,951 | ||||||||||
|
| |||||||||
Technology – 0.5% | ||||||||||
Gen Digital, Inc. | 42 | 42,589 |
8
Principal Amount (000) | U.S. $ Value | |||||||||
NCR Corp. | U.S.$ | 105 | $ | 93,399 | ||||||
Presidio Holdings, Inc. | 56 | 52,172 | ||||||||
8.25%, 02/01/2028(a) | 2 | 1,923 | ||||||||
Rackspace Technology Global, Inc. | 105 | 63,131 | ||||||||
Veritas US, Inc./Veritas Bermuda Ltd. | 214 | 141,167 | ||||||||
Virtusa Corp. | 10 | 8,402 | ||||||||
|
| |||||||||
402,783 | ||||||||||
|
| |||||||||
Transportation - Airlines – 0.4% | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. | 44 | 43,151 | ||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. | 94 | 89,788 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. | 134 | 137,438 | ||||||||
|
| |||||||||
270,377 | ||||||||||
|
| |||||||||
Transportation - Services – 0.7% | ||||||||||
Albion Financing 1 SARL/Aggreko Holdings, Inc. | 200 | 180,058 | ||||||||
Avis Budget Finance PLC | EUR | 131 | 138,114 | |||||||
EC Finance PLC | 100 | 98,788 | ||||||||
Loxam SAS | 100 | 102,899 | ||||||||
|
| |||||||||
519,859 | ||||||||||
|
| |||||||||
6,816,995 | ||||||||||
|
| |||||||||
Financial Institutions – 0.8% | ||||||||||
Banking – 0.4% | ||||||||||
Bread Financial Holdings, Inc. | U.S.$ | 35 | 31,745 | |||||||
7.00%, 01/15/2026(a) | 7 | 6,421 | ||||||||
Credit Suisse Group AG | 368 | 278,252 | ||||||||
|
| |||||||||
316,418 | ||||||||||
|
| |||||||||
Brokerage – 0.1% | ||||||||||
Advisor Group Holdings, Inc. | 52 | 53,734 | ||||||||
|
|
9
Principal Amount (000) | U.S. $ Value | |||||||||
Finance – 0.1% |
| |||||||||
Castlelake Aviation Finance DAC | U.S.$ | 62 | $ | 56,533 | ||||||
Curo Group Holdings Corp. | 53 | 24,049 | ||||||||
|
| |||||||||
80,582 | ||||||||||
|
| |||||||||
REITs – 0.2% |
| |||||||||
Diversified Healthcare Trust | 167 | 163,891 | ||||||||
|
| |||||||||
614,625 | ||||||||||
|
| |||||||||
Utility – 0.0% |
| |||||||||
Other Utility – 0.0% |
| |||||||||
Solaris Midstream Holdings LLC | 25 | 25,012 | ||||||||
|
| |||||||||
Total Corporates - Non-Investment Grade |
| 7,456,632 | ||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.1% |
| |||||||||
Risk Share Floating Rate – 5.0% |
| |||||||||
Bellemeade Re Ltd. | 1 | 1,240 | ||||||||
Series 2019-1A, Class M2 | 152 | 153,066 | ||||||||
Series 2019-4A, Class M2 | 150 | 145,244 | ||||||||
Series 2022-1, Class M1B | 193 | 186,462 | ||||||||
Series 2022-2, Class M1A | 200 | 199,999 | ||||||||
Connecticut Avenue Securities Trust | 1 | 869 | ||||||||
Series 2019-R03, Class 1M2 | 2 | 1,564 | ||||||||
Eagle Re Ltd. | 150 | 148,537 |
10
Principal Amount (000) | U.S. $ Value | |||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | U.S.$ | 78 | $ | 80,802 | ||||||
Series 2019-DNA4, Class M2 | 2 | 2,134 | ||||||||
Series 2020-DNA1, Class M2 | 26 | 26,152 | ||||||||
Series 2021-DNA5, Class M2 | 62 | 61,687 | ||||||||
Series 2021-DNA6, Class M2 | 150 | 143,632 | ||||||||
Series 2021-DNA7, Class M1 | 218 | 215,011 | ||||||||
Series 2021-DNA7, Class M2 | 225 | 216,704 | ||||||||
Series 2021-HQA4, Class M1 | 231 | 221,295 | ||||||||
Series 2022-DNA2, Class M1B | 144 | 141,401 | ||||||||
Series 2022-HQA1, Class M1B | 20 | 19,962 | ||||||||
Series 2022-HQA2, Class M1B | 184 | 187,669 | ||||||||
Series 2022-HQA3, Class M1A | 136 | 135,899 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 17 | 17,162 | ||||||||
Series 2015-C03, Class 1M2 | 20 | 21,165 | ||||||||
Series 2015-C04, Class 2M2 | 2 | 2,479 |
11
Principal Amount (000) | U.S. $ Value | |||||||||
Series 2016-C01, Class 2M2 | U.S.$ | 9 | $ | 9,052 | ||||||
Series 2016-C04, Class 1B | 119 | 125,562 | ||||||||
Series 2021-R02, Class 2M2 | 230 | 217,648 | ||||||||
Series 2023-R01, Class 1M1 | 361 | 362,787 | ||||||||
Home Re Ltd. | 150 | 151,889 | ||||||||
Series 2021-1, Class M1B | 146 | 146,024 | ||||||||
Oaktown Re II Ltd. | 31 | 30,970 | ||||||||
PMT Credit Risk Transfer Trust | 28 | 27,400 | ||||||||
Series 2019-3R, Class A | 14 | 14,070 | ||||||||
Radnor Re Ltd. | 96 | 95,006 | ||||||||
Series 2020-1, Class M1C | 150 | 147,245 | ||||||||
Traingle Re Ltd. | 110 | 109,995 | ||||||||
|
| |||||||||
3,767,783 | ||||||||||
|
| |||||||||
Agency Fixed Rate – 0.1% | ||||||||||
Federal Home Loan Mortgage Corp. REMICs | 72 | 14,669 | ||||||||
Federal National Mortgage Association REMICs | 117 | 4,165 | ||||||||
Series 2016-26, Class IO | 162 | 25,065 |
12
Principal Amount (000) | U.S. $ Value | |||||||||
Series 2016-31, Class IO | U.S.$ | 215 | $ | 34,629 | ||||||
Series 2016-64, Class BI | 27 | 3,957 | ||||||||
|
| |||||||||
82,485 | ||||||||||
|
| |||||||||
Agency Floating Rate – 0.0% |
| |||||||||
Federal Home Loan Mortgage Corp. REMICs | 89 | 9,208 | ||||||||
Federal National Mortgage Association REMICs | 72 | 2,353 | ||||||||
Series 2012-17, Class SE | 65 | 8,608 | ||||||||
Series 2019-25, Class SA | 44 | 4,933 | ||||||||
Series 2019-42, Class SQ | 38 | 4,859 | ||||||||
|
| |||||||||
29,961 | ||||||||||
|
| |||||||||
Total Collateralized Mortgage Obligations | 3,880,229 | |||||||||
|
| |||||||||
MORTGAGE PASS-THROUGHS – 5.0% | ||||||||||
Agency Fixed Rate 30-Year – 5.0% | ||||||||||
Uniform Mortgage-Backed Security | 3,805 | 3,758,757 | ||||||||
|
| |||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 4.8% | ||||||||||
Canada – 4.8% | ||||||||||
Canada Housing Trust No. 1 | CAD | 5,065 | 3,641,105 | |||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.2% | ||||||||||
Non-Agency Fixed Rate CMBS – 2.7% | ||||||||||
BAMLL Commercial Mortgage Securities Trust | U.S.$ | 100 | 63,824 | |||||||
BANK | 2,039 | 202,439 | ||||||||
Series 2020-BN29, Class XA | 983 | 73,143 |
13
Principal Amount (000) | U.S. $ Value | |||||||||
Barclays Commercial Mortgage Trust | U.S.$ | 962 | $ | 58,772 | ||||||
BBCMS Mortgage Trust | 1,314 | 60,537 | ||||||||
CD Mortgage Trust | 1,505 | 52,380 | ||||||||
CFCRE Commercial Mortgage Trust | 82 | 3,167 | ||||||||
Series 2017-C8, Class XA | 276 | 13,390 | ||||||||
Citigroup Commercial Mortgage Trust | 820 | 29,343 | ||||||||
Commercial Mortgage Trust | 100 | 97,030 | ||||||||
Series 2014-CR16, Class D | 100 | 85,530 | ||||||||
Series 2016-DC2, Class XA | 2,445 | 53,773 | ||||||||
GS Mortgage Securities Trust | 100 | 43,328 | ||||||||
Series 2016-GS3, Class XA | 1,288 | 43,133 | ||||||||
Series 2017-GS5, Class XA | 1,417 | 39,261 | ||||||||
Series 2017-GS7, Class XA | 3,279 | 115,784 | ||||||||
Series 2019-GC39, Class XA | 4,639 | 212,514 | ||||||||
JPMBB Commercial Mortgage Securities Trust | 75 | 32,625 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 100 | 73,445 | ||||||||
Series 2013-LC11, Class B | 110 | 107,925 | ||||||||
UBS Commercial Mortgage Trust | 17 | 15,898 | ||||||||
Series 2017-C1, Class XA | 1,050 | 52,108 | ||||||||
Series 2017-C2, Class XA | 2,032 | 74,820 | ||||||||
Series 2018-C14, Class XA | 814 | 32,394 |
14
Principal Amount (000) | U.S. $ Value | |||||||||
Series 2018-C15, Class XA | U.S.$ | 596 | $ | 23,863 | ||||||
Series 2019-C18, Class XA | 1,261 | 57,854 | ||||||||
UBS-Barclays Commercial Mortgage Trust | 81 | 65,822 | ||||||||
Wells Fargo Commercial Mortgage Trust | 794 | 35,523 | ||||||||
Series 2018-C48, Class XA | 782 | 32,553 | ||||||||
Series 2019-C52, Class XA | 934 | 66,031 | ||||||||
WF-RBS Commercial Mortgage Trust | 60 | 54,056 | ||||||||
Series 2011-C4, Class E | 25 | 20,328 | ||||||||
|
| |||||||||
1,992,593 | ||||||||||
|
| |||||||||
Non-Agency Floating Rate CMBS – 0.5% | ||||||||||
BFLD Trust | 59 | 57,333 | ||||||||
Series 2019-DPLO, Class E | 10 | 9,674 | ||||||||
CLNY Trust | 120 | 111,885 | ||||||||
Great Wolf Trust | 45 | 43,419 | ||||||||
Morgan Stanley Capital I Trust | 133 | 119,548 | ||||||||
Starwood Retail Property Trust | 89 | 61,431 | ||||||||
|
| |||||||||
403,290 | ||||||||||
|
| |||||||||
Total Commercial Mortgage-Backed Securities | 2,395,883 | |||||||||
|
|
15
Principal Amount (000) | U.S. $ Value | |||||||||
COLLATERALIZED LOAN OBLIGATIONS – 3.1% | ||||||||||
CLO - Floating Rate – 3.1% | ||||||||||
Ballyrock CLO 15 Ltd. | U.S.$ | 250 | $ | 231,425 | ||||||
Dryden 98 CLO Ltd. | 250 | 220,578 | ||||||||
Galaxy 30 CLO Ltd. | 250 | 227,494 | ||||||||
New Mountain CLO 3 Ltd. | 250 | 231,126 | ||||||||
Palmer Square CLO Ltd. | 250 | 236,237 | ||||||||
PPM CLO 5 Ltd. | 250 | 217,048 | ||||||||
Regatta XX Funding Ltd. | 250 | 235,087 | ||||||||
Regatta XXIV Funding Ltd. | 250 | 231,697 | ||||||||
Rockford Tower CLO Ltd. | 250 | 228,972 | ||||||||
Sixth Street CLO XVII Ltd. | 250 | 239,652 | ||||||||
|
| |||||||||
Total Collateralized Loan Obligations | 2,299,316 | |||||||||
|
|
16
Principal Amount (000) | U.S. $ Value | |||||||||
BANK LOANS – 1.4% | ||||||||||
Industrial – 1.3% | ||||||||||
Capital Goods – 0.1% | ||||||||||
ACProducts Holdings, Inc. | U.S.$ | 100 | $ | 80,764 | ||||||
Chariot Buyer LLC | 10 | 9,545 | ||||||||
|
| |||||||||
90,309 | ||||||||||
|
| |||||||||
Communications - Media – 0.0% | ||||||||||
Coral-US Co-Borrower LLC | 30 | 29,775 | ||||||||
Univision Communications, Inc. | 2 | 1,651 | ||||||||
|
| |||||||||
31,426 | ||||||||||
|
| |||||||||
Communications - Telecommunications – 0.1% | ||||||||||
Crown Subsea Communications Holding, Inc. | 40 | 39,858 | ||||||||
Directv Financing, LLC | 27 | 26,145 | ||||||||
Zacapa SARL | 43 | 42,251 | ||||||||
|
| |||||||||
108,254 | ||||||||||
|
| |||||||||
Consumer Cyclical - Entertainment – 0.2% | ||||||||||
Seaworld Parks & Entertainment, Inc. | 141 | 140,683 | ||||||||
|
| |||||||||
Consumer Cyclical - Retailers – 0.1% | ||||||||||
Restoration Hardware, Inc. | 60 | 58,129 | ||||||||
|
| |||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||
Kronos Acquisition Holdings, Inc. | 39 | 38,047 | ||||||||
|
| |||||||||
Energy – 0.3% | ||||||||||
GIP II Blue Holding, L.P. | 87 | 86,417 | ||||||||
Parkway Generation, LLC | 119 | 116,834 | ||||||||
|
| |||||||||
203,251 | ||||||||||
|
|
17
Principal Amount (000) | U.S. $ Value | |||||||||
Other Industrial – 0.1% | ||||||||||
American Tire Distributors, Inc. | U.S.$ | 60 | $ | 54,882 | ||||||
Rockwood Service Corporation | 3 | 2,995 | ||||||||
|
| |||||||||
57,877 | ||||||||||
|
| |||||||||
Services – 0.0% |
| |||||||||
Amentum Government Services Holdings LLC | 1 | 723 | ||||||||
8.570% (LIBOR 1 Month + 4.00%), 01/29/2027(h) (i) | 2 | 2,170 | ||||||||
|
| |||||||||
2,893 | ||||||||||
|
| |||||||||
Technology – 0.3% |
| |||||||||
Ascend Learning, LLC | 30 | 25,939 | ||||||||
Banff Guarantor, Inc. | 10 | 9,400 | ||||||||
Boxer Parent Company, Inc. | 27 | 26,314 | ||||||||
Endurance International Group Holdings, Inc. | 88 | 82,776 | ||||||||
FINThrive Software Intermediate Holdings, Inc. | 20 | 13,675 | ||||||||
Loyalty Ventures, Inc. | 77 | 29,737 | ||||||||
Peraton Corp. | 19 | 19,172 | ||||||||
Presidio Holdings, Inc. | 0 | ** | 369 | |||||||
8.330% (LIBOR 3 Month + 3.50%), 01/22/2027(h) (i) | 9 | 8,859 | ||||||||
|
| |||||||||
216,241 | ||||||||||
|
| |||||||||
947,110 | ||||||||||
|
| |||||||||
Financial Institutions – 0.1% |
| |||||||||
Finance – 0.0% |
| |||||||||
Orbit Private Holdings I Ltd. | 30 | 29,650 | ||||||||
|
|
18
Principal Amount (000) | U.S. $ Value | |||||||||
Insurance – 0.1% | ||||||||||
Cross Financial Corp. | U.S.$ | 49 | $ | 48,718 | ||||||
|
| |||||||||
78,368 | ||||||||||
|
| |||||||||
Utility – 0.0% | ||||||||||
Electric – 0.0% | ||||||||||
Granite Generation LLC | 24 | 23,447 | ||||||||
|
| |||||||||
Total Bank Loans | 1,048,925 | |||||||||
|
| |||||||||
EMERGING MARKETS - CORPORATE BONDS – 1.1% | ||||||||||
Industrial – 1.1% | ||||||||||
Basic – 0.1% | ||||||||||
Eldorado Gold Corp. | 28 | 25,261 | ||||||||
Volcan Cia Minera SAA | 41 | 36,096 | ||||||||
|
| |||||||||
61,357 | ||||||||||
|
| |||||||||
Capital Goods – 0.1% | ||||||||||
Embraer Netherlands Finance BV | 115 | 112,844 | ||||||||
|
| |||||||||
Consumer Cyclical - Other – 0.4% | ||||||||||
Wynn Macau Ltd. | 300 | 280,500 | ||||||||
|
| |||||||||
Consumer Non-Cyclical – 0.0% | ||||||||||
Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL | 21 | 20,035 | ||||||||
|
| |||||||||
Energy – 0.5% | ||||||||||
Acu Petroleo Luxembourg SARL | 248 | 232,521 | ||||||||
Leviathan Bond Ltd. | 59 | 58,734 | ||||||||
6.125%, 06/30/2025(a) | 23 | 22,700 | ||||||||
6.50%, 06/30/2027(a) | 30 | 29,513 | ||||||||
|
| |||||||||
343,468 | ||||||||||
|
| |||||||||
Total Emerging Markets - Corporate Bonds | 818,204 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES – 1.1% | ||||||||||
Autos - Fixed Rate – 1.0% | ||||||||||
ACM Auto Trust | 11 | 11,279 | ||||||||
Series 2023-1A, Class A | 180 | 180,032 |
19
Principal Amount (000) | U.S. $ Value | |||||||||
Exeter Automobile Receivables Trust | U.S.$ | 115 | $ | 114,518 | ||||||
Series 2019-1A, Class E | 40 | 39,668 | ||||||||
Foursight Capital Automobile Receivables Trust | 180 | 179,985 | ||||||||
United Auto Credit Securitization Trust | 180 | 180,020 | ||||||||
Westlake Automobile Receivables Trust | 14 | 13,941 | ||||||||
|
| |||||||||
719,443 | ||||||||||
|
| |||||||||
Other ABS - Fixed Rate – 0.1% | ||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I | 0 | ** | 34 | |||||||
SoFi Consumer Loan Program Trust | 100 | 97,306 | ||||||||
|
| |||||||||
97,340 | ||||||||||
|
| |||||||||
Total Asset-Backed Securities | 816,783 | |||||||||
|
| |||||||||
EMERGING MARKETS - SOVEREIGNS – 0.7% | ||||||||||
Angola – 0.3% | ||||||||||
Angolan Government International Bond | 200 | 208,750 | ||||||||
|
| |||||||||
Ecuador – 0.1% | ||||||||||
Ecuador Government International Bond | 21 | 10,382 | ||||||||
5.50%, 07/31/2030(a) | 33 | 21,620 | ||||||||
|
| |||||||||
32,002 | ||||||||||
|
| |||||||||
El Salvador – 0.1% | ||||||||||
El Salvador Government International Bond | 90 | 47,604 | ||||||||
|
| |||||||||
Ivory Coast – 0.1% | ||||||||||
Ivory Coast Government International Bond | EUR | 100 | 91,049 | |||||||
|
|
20
Principal Amount (000) | U.S. $ Value | |||||||||
Lebanon – 0.0% | ||||||||||
Lebanon Government International Bond | U.S.$ | 16 | $ | 1,000 | ||||||
|
| |||||||||
Senegal – 0.1% | ||||||||||
Senegal Government International Bond | EUR | 100 | 95,669 | |||||||
|
| |||||||||
Ukraine – 0.0% | ||||||||||
Ukraine Government International Bond | U.S.$ | 100 | 21,331 | |||||||
|
| |||||||||
Total Emerging Markets - Sovereigns | 497,405 | |||||||||
|
| |||||||||
QUASI-SOVEREIGNS – 0.3% | ||||||||||
Quasi-Sovereign Bonds – 0.3% | ||||||||||
Mexico – 0.3% | ||||||||||
Comision Federal de Electricidad | 200 | 183,537 | ||||||||
Petroleos Mexicanos | 32 | 27,840 | ||||||||
|
| |||||||||
211,377 | ||||||||||
|
| |||||||||
Ukraine – 0.0% | ||||||||||
State Agency of Roads of Ukraine | 200 | 35,663 | ||||||||
|
| |||||||||
Total Quasi-Sovereigns | 247,040 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS – 2.6% | ||||||||||
U.S. Treasury Bills – 1.7% | ||||||||||
U.S. Treasury Bill | 1,331 | 1,300,839 | ||||||||
|
| |||||||||
Shares | ||||||||||
Investment Companies – 0.9% | ||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 4.15%(m) (n) (o) | 668,919 | 668,919 | ||||||||
|
| |||||||||
Total Short-Term Investments | 1,969,758 | |||||||||
|
| |||||||||
Total Investments – 114.4% | 86,212,441 | |||||||||
Other assets less liabilities – (14.4)% | (10,840,672 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 75,371,769 | ||||||||
|
|
21
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation (Depreciation) | ||||||||||||||||
Sold Contracts |
| |||||||||||||||||||
10 Yr Canadian Bond Futures | 9 | March 2023 | $ | 854,038 | $ | (8,942 | ) | |||||||||||||
Euro-BOBL Futures | 5 | March 2023 | 637,614 | 12,041 | ||||||||||||||||
Euro-Schatz Futures | 2 | March 2023 | 229,921 | 2,123 | ||||||||||||||||
U.S. 10 Yr Ultra Futures | 11 | March 2023 | 1,333,234 | (19,374) | ||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 30 | March 2023 | 6,169,453 | (5,553 | ) | |||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 21 | March 2023 | 2,294,086 | 8,738 | ||||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 11 | March 2023 | 1,259,672 | (6,289 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (17,256 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Bank of America, NA | CAD | 4,872 | USD | 3,641 | 03/30/2023 | $ | (21,762 | ) | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | EUR | 1,269 | USD | 1,340 | 02/27/2023 | (41,717 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NZD | 78 | USD | 48 | 02/02/2023 | (2,276 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 256 | USD | 273 | 02/27/2023 | (5,277 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 131 | EUR | 120 | 02/27/2023 | 14 | ||||||||||||||||||
State Street Bank & Trust Co. | GBP | 111 | USD | 135 | 03/24/2023 | (1,611 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NZD | 78 | USD | 50 | 04/20/2023 | (9 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (72,638 | ) | ||||||||||||||||||||||
|
|
22
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at January 31, 2023 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 39, 5 Year Index, 12/20/2027* | 5.00 | % | Quarterly | 4.29% | USD | 4,360 | $ | 146,197 | $ | (95,606 | ) | $ | 241,803 | |||||||||||||||||||
CDX-NAHY Series 39, 5 Year Index, 12/20/2027* | 5.00 | Quarterly | 4.29 | 800 | 26,572 | 21,794 | 4,778 | |||||||||||||||||||||||||
iTraxxx Xover Series 38, 5 Year Index, 12/20/2027* | 5.00 | Quarterly | 4.15 | EUR | 1,380 | 59,103 | (60,382 | ) | 119,485 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 231,872 | $ | (134,194 | ) | $ | 366,066 | ||||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
CAD | 680 | 05/22/2024 | | 3 Month CDOR | | 1.985% | Semi-Annual | $ | (19,964 | ) | $ | — | $ | (19,964 | ) | |||||||||||||||
USD | 260 | 05/24/2024 | 2.206% | | 3 Month LIBOR | | | Semi-Annual/ Quarterly |
| 10,184 | — | 10,184 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (9,780 | ) | $ | — | $ | (9,780 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at January 31, 2023 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
Citigroup Global Markets, |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50% | USD | 309 | $ | (75,437 | ) | $ | (108,269 | ) | $ | 32,832 | ||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 6 | (1,509 | ) | (1,561 | ) | 52 | ||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 11 | (2,716 | ) | (2,602 | ) | (114 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 12 | (2,867 | ) | (2,719 | ) | (148 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 16 | (3,922 | ) | (3,720 | ) | (202 | ) |
23
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at January 31, 2023 | 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 | 15 | $ | (3,621 | ) | $ | (1,200 | ) | $ | (2,421 | ) | |||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 22 | (5,431 | ) | (1,790 | ) | (3,641 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 33 | (7,996 | ) | (1,926 | ) | (6,070 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 49 | (11,919 | ) | (2,850 | ) | (9,069 | ) | |||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 7.50 | USD | 160 | (23,286 | ) | (4,802 | ) | (18,484 | ) | |||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 15 | (3,621 | ) | (1,194 | ) | (2,427 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 96 | (23,536 | ) | (19,812 | ) | (3,724 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 247 | (60,349 | ) | (29,157 | ) | (31,192 | ) | |||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* | 5.00 | Monthly | 7.50 | USD | 134 | (49,359 | ) | (24,794 | ) | (24,565 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 7 | (1,811 | ) | (597 | ) | (1,214 | ) | |||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 7.50 | USD | 178 | (25,893 | ) | (17,175 | ) | (8,718 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2 | (453 | ) | (107 | ) | (346 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (303,726 | ) | $ | (224,275 | ) | $ | (79,451 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
24
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 |
| |||||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||
Markit iBoxx USD Contingent Convertible Liquid Developed Market AT1 | | 1 Day SOFR | | Maturity | USD | 157 | 06/20/2023 | $ | 6,181 |
REVERSE REPURCHASE AGREEMENTS
Broker | Interest Rate | Maturity | U.S. $ Value at January 31, 2023 | |||||||||
HSBC Securities (USA), Inc.† | 4.40 | % | — | $ | 9,013,006 |
† | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on January 31, 2023. |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements is as follows:
Overnight and Continuous | Up to 30 Days | 31-90 Days | Greater than 90 Days | Total | ||||||||||||||||
Governments - Treasuries | $ | 9,013,006 | $ | 0 | $ | 0 | $ | 0 | $ | 9,013,006 |
** | Principal amount less than 500. |
(a) | 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 January 31, 2023, the aggregate market value of these securities amounted to $24,541,387 or 32.6% of net assets. |
(b) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(c) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(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 January 31, 2023. |
(f) | IO - Interest Only. |
(g) | Inverse interest only security. |
(h) | The stated coupon rate represents the greater of the LIBOR or an alternate base rate such as the SOFR or the LIBOR/SOFR floor rate plus spread at January 31, 2023. |
(i) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(j) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.05% of net assets as of January 31, 2023, are considered illiquid and restricted. Additional information regarding such securities follows: |
25
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I | 10/09/2019 | $ | 36 | $ | 34 | 0.00% | ||||||
State Agency of Roads of Ukraine | 06/24/2021 | 200,000 | 35,663 | 0.05% |
(k) | Non-income producing security. |
(l) | Defaulted matured security. |
(m) | Affiliated investments. |
(n) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(o) | The rate shown represents the 7-day yield as of period end. |
(p) | As of January 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $848,402 and gross unrealized depreciation of investments was $(3,016,222), resulting in net unrealized depreciation of $(2,167,820). |
Currency Abbreviations: |
CAD – Canadian Dollar |
EUR – Euro |
GBP – Great British Pound |
NZD – New Zealand Dollar |
USD – United States Dollar |
Glossary: |
ABS – Asset-Backed Securities |
BOBL – Bundesobligationen |
CBT – Chicago Board of Trade |
CDOR – Canadian Dealer Offered Rate |
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index |
CDX-NAHY – North American High Yield Credit Default Swap Index |
CLO – Collateralized Loan Obligations |
CMBS – Commercial Mortgage-Backed Securities |
LIBOR – London Interbank Offered Rate |
REIT – Real Estate Investment Trust |
REMICs – Real Estate Mortgage Investment Conduits |
SOFR – Secured Overnight Financing Rate |
TBA – To Be Announced |
26
AB Shot Duration Income Portfolio
January 31, 2023 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
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.
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.
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
27
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of January 31, 2023:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Governments - Treasuries | $ | — | $ | 48,028,198 | $ | — | $ | 48,028,198 | ||||||||
Corporates - Investment Grade | — | 9,354,206 | — | 9,354,206 | ||||||||||||
Corporates - Non-Investment Grade | — | 7,456,632 | — | 7,456,632 | ||||||||||||
Collateralized Mortgage Obligations | — | 3,880,229 | — | 3,880,229 | ||||||||||||
Mortgage Pass-Throughs | — | 3,758,757 | — | 3,758,757 | ||||||||||||
Governments - Sovereign Agencies | — | 3,641,105 | — | 3,641,105 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 2,395,883 | — | 2,395,883 | ||||||||||||
Collateralized Loan Obligations | — | 2,299,316 | — | 2,299,316 | ||||||||||||
Bank Loans | — | 1,013,729 | 35,196 | 1,048,925 | ||||||||||||
Emerging Markets - Corporate Bonds | — | 818,204 | — | 818,204 | ||||||||||||
Asset-Backed Securities | — | 816,783 | — | 816,783 | ||||||||||||
Emerging Markets - Sovereigns | — | 497,405 | — | 497,405 | ||||||||||||
Quasi-Sovereigns | — | 247,040 | — | 247,040 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
U.S. Treasury Bills | — | 1,300,839 | — | 1,300,839 | ||||||||||||
Investment Companies | 668,919 | — | — | 668,919 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 668,919 | 85,508,326 | 35,196 | 86,212,441 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 22,902 | — | — | 22,902 | ||||||||||||
Forward Currency Exchange Contracts | — | 14 | — | 14 | ||||||||||||
Centrally Cleared Credit Default Swaps | — | 231,872 | — | 231,872 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 10,184 | — | 10,184 | ||||||||||||
Total Return Swaps | — | 6,181 | — | 6,181 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures | (40,158 | ) | — | — | (40,158 | ) | ||||||||||
Forward Currency Exchange Contracts | — | (72,652 | ) | — | (72,652 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (19,964 | ) | — | (19,964 | ) | ||||||||||
Credit Default Swaps | — | (303,726 | ) | — | (303,726 | ) | ||||||||||
Reverse Repurchase Agreements | (9,013,006 | ) | — | — | (9,013,006 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (8,361,343 | ) | $ | 85,360,235 | $ | 35,196 | $ | 77,034,088 | |||||||
|
|
|
|
|
|
|
|
(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, written options and written swaptions which are valued at market value. |
A summary of the Fund’s transactions in AB mutual funds for the three months ended January 31, 2023 is as follows:
Fund | Market Value 10/31/2022 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 01/31/2023 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 921 | $ | 13,720 | $ | 13,972 | $ | 669 | $ | 8 |
28