AB Short Duration Income Portfolio
Portfolio of Investments
July 31, 2023 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS - TREASURIES – 33.4% | ||||||||||||
Spain – 0.4% | ||||||||||||
Spain Government Bond | EUR | 356 | $ | 356,719 | ||||||||
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| |||||||||||
United States – 33.0% | ||||||||||||
U.S. Treasury Notes | U.S.$ | 865 | 838,509 | |||||||||
3.50%, 01/31/2030 | 380 | 366,292 | ||||||||||
3.50%, 02/15/2033 | 605 | 582,209 | ||||||||||
3.875%, 04/30/2025(c) | 4,079 | 3,999,871 | ||||||||||
3.875%, 01/15/2026(d) | 5,428 | 5,324,627 | ||||||||||
3.875%, 11/30/2027 | 4,967 | 4,887,642 | ||||||||||
3.875%, 12/31/2027 | 816 | 803,123 | ||||||||||
4.00%, 02/29/2028 | 1,675 | 1,658,837 | ||||||||||
4.125%, 01/31/2025 | 2,310 | 2,274,628 | ||||||||||
4.125%, 10/31/2027 | 103 | 102,093 | ||||||||||
4.25%, 12/31/2024(c) | 1,388 | 1,369,546 | ||||||||||
4.25%, 05/31/2025 | 4,096 | 4,043,026 | ||||||||||
4.375%, 10/31/2024 | 1,750 | 1,730,313 | ||||||||||
4.50%, 11/30/2024 | 2,732 | 2,704,451 | ||||||||||
|
| |||||||||||
30,685,167 | ||||||||||||
|
| |||||||||||
Total Governments - Treasuries | 31,041,886 | |||||||||||
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| |||||||||||
CORPORATES - INVESTMENT GRADE – 29.7% | ||||||||||||
Industrial – 20.1% | ||||||||||||
Basic – 0.8% | ||||||||||||
Arconic Corp. | 15 | 15,210 | ||||||||||
Berry Global, Inc. | 157 | 151,907 | ||||||||||
BHP Billiton Finance USA Ltd. | 152 | 151,383 | ||||||||||
Celanese US Holdings LLC | 151 | 150,862 | ||||||||||
DuPont de Nemours, Inc. | 154 | 151,202 | ||||||||||
Sherwin-Williams Co. (The) | 161 | 152,459 | ||||||||||
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| |||||||||||
773,023 | ||||||||||||
|
| |||||||||||
Capital Goods – 1.9% | ||||||||||||
Boeing Co. (The) | 153 | 151,147 | ||||||||||
Caterpillar Financial Services Corp. | 166 | 151,080 | ||||||||||
0.90%, 03/02/2026 | 169 | 152,590 | ||||||||||
4.80%, 01/06/2026 | 110 | 109,791 | ||||||||||
Series D | 153 | 151,100 | ||||||||||
Illinois Tool Works, Inc. | 161 | 151,198 | ||||||||||
John Deere Capital Corp. | 168 | 151,865 |
1
Principal Amount (000) | U.S. $ Value | |||||||||||
4.15%, 09/15/2027 | U.S.$ | 155 | $ | 151,505 | ||||||||
4.75%, 01/20/2028 | 123 | 122,693 | ||||||||||
4.80%, 01/09/2026 | 152 | 151,533 | ||||||||||
RTX Corp. | 161 | 150,751 | ||||||||||
Waste Management, Inc. | 161 | 151,142 | ||||||||||
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| |||||||||||
1,746,395 | ||||||||||||
|
| |||||||||||
Communications - Media – 1.3% |
| |||||||||||
Comcast Corp. | 163 | 152,090 | ||||||||||
3.95%, 10/15/2025 | 155 | 151,373 | ||||||||||
DirecTV Financing LLC/DirecTV Financing Co-Obligor, Inc. | 46 | 41,523 | ||||||||||
Meta Platforms, Inc. | 153 | 152,497 | ||||||||||
Pinewood Finance Co., Ltd. | GBP | 118 | 139,554 | |||||||||
TWDC Enterprises 18 Corp. | U.S.$ | 165 | 151,472 | |||||||||
Series G | 157 | 150,660 | ||||||||||
Walt Disney Co. (The) | 155 | 150,396 | ||||||||||
Warnermedia Holdings, Inc. | 156 | 150,863 | ||||||||||
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| |||||||||||
1,240,428 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.8% |
| |||||||||||
Rogers Communications, Inc. | 158 | 150,704 | ||||||||||
Sprint LLC | 145 | 150,772 | ||||||||||
T-Mobile USA, Inc. | 156 | 150,871 | ||||||||||
4.75%, 02/01/2028 | 155 | 151,170 | ||||||||||
Verizon Communications, Inc. | 156 | 151,016 | ||||||||||
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| |||||||||||
754,533 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 1.7% |
| |||||||||||
General Motors Financial Co., Inc. | 169 | 152,352 | ||||||||||
2.75%, 06/20/2025 | 160 | 151,691 | ||||||||||
5.40%, 04/06/2026 | 123 | 122,199 | ||||||||||
6.05%, 10/10/2025 | 150 | 151,118 | ||||||||||
Honda Motor Co., Ltd. | 164 | 151,047 | ||||||||||
Hyundai Capital America | 49 | 44,137 | ||||||||||
1.80%, 10/15/2025(a) | 165 | 151,351 | ||||||||||
5.80%, 06/26/2025(a) | 151 | 151,072 |
2
Principal Amount (000) | U.S. $ Value | |||||||||||
Mercedes-Benz Finance North America LLC | U.S.$ | 166 | $ | 151,390 | ||||||||
Nissan Motor Acceptance Co. LLC | 6 | 5,220 | ||||||||||
2.75%, 03/09/2028(a) | 66 | 56,200 | ||||||||||
Toyota Motor Credit Corp. | 154 | 150,728 | ||||||||||
4.45%, 05/18/2026 | 153 | 151,172 | ||||||||||
|
| |||||||||||
1,589,677 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.4% | ||||||||||||
Las Vegas Sands Corp. | 150 | 134,487 | ||||||||||
Sands China Ltd. | 200 | 196,339 | ||||||||||
|
| |||||||||||
330,826 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Restaurants – 0.7% | ||||||||||||
McDonald’s Corp. | 158 | 150,726 | ||||||||||
3.70%, 01/30/2026 | 156 | 150,939 | ||||||||||
Starbucks Corp. | 156 | 151,693 | ||||||||||
4.75%, 02/15/2026 | 152 | 150,909 | ||||||||||
|
| |||||||||||
604,267 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 1.1% | ||||||||||||
7-Eleven, Inc. | 169 | 151,742 | ||||||||||
Lowe’s Cos., Inc. | 162 | 151,802 | ||||||||||
3.10%, 05/03/2027 | 162 | 151,838 | ||||||||||
4.80%, 04/01/2026 | 152 | 150,892 | ||||||||||
TJX Cos., Inc. (The) | 163 | 151,234 | ||||||||||
VF Corp. | 161 | 151,720 | ||||||||||
Walmart, Inc. | 146 | 142,642 | ||||||||||
|
| |||||||||||
1,051,870 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 5.1% | ||||||||||||
AbbVie, Inc. | 162 | 151,915 | ||||||||||
3.20%, 05/14/2026 | 159 | 151,503 | ||||||||||
Altria Group, Inc. | 160 | 151,142 | ||||||||||
Amgen, Inc. | 167 | 151,618 | ||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 156 | 150,956 | ||||||||||
Astrazeneca Finance LLC | 168 | 151,833 |
3
Principal Amount (000) | U.S. $ Value | |||||||||||
AstraZeneca PLC | U.S.$ | 169 | $ | 151,235 | ||||||||
BAT International Finance PLC | 168 | 152,171 | ||||||||||
Biogen, Inc. | 156 | 151,375 | ||||||||||
Cigna Group (The) | 168 | 151,613 | ||||||||||
4.50%, 02/25/2026 | 154 | 151,203 | ||||||||||
Conagra Brands, Inc. | 154 | 150,926 | ||||||||||
CVS Health Corp. | 161 | 151,358 | ||||||||||
5.00%, 02/20/2026 | 152 | 151,435 | ||||||||||
Gilead Sciences, Inc. | 149 | 139,753 | ||||||||||
3.50%, 02/01/2025 | 155 | 150,984 | ||||||||||
3.65%, 03/01/2026 | 157 | 151,353 | ||||||||||
GlaxoSmithKline Capital, Inc. | 155 | 151,027 | ||||||||||
HCA, Inc. | 153 | 151,649 | ||||||||||
5.375%, 02/01/2025 | 152 | 151,111 | ||||||||||
5.375%, 09/01/2026 | 47 | 46,842 | ||||||||||
5.875%, 02/15/2026 | 151 | 151,435 | ||||||||||
Johnson & Johnson | 25 | 23,567 | ||||||||||
Kraft Heinz Foods Co. | 160 | 151,242 | ||||||||||
Merck & Co., Inc. | 169 | 151,601 | ||||||||||
Mondelez International, Inc. | 164 | 151,170 | ||||||||||
Pfizer Investment Enterprises Pte Ltd. | 153 | 151,075 | ||||||||||
Philip Morris International, Inc. | 152 | 150,975 | ||||||||||
5.00%, 11/17/2025 | 151 | 150,684 | ||||||||||
Reynolds American, Inc. | 155 | 151,815 | ||||||||||
Royalty Pharma PLC | 167 | 151,785 | ||||||||||
Shire Acquisitions Investments Ireland DAC | 161 | 151,205 | ||||||||||
Tyson Foods, Inc. | 156 | 151,127 | ||||||||||
|
| |||||||||||
4,750,683 | ||||||||||||
|
| |||||||||||
Energy – 1.9% | ||||||||||||
BP Capital Markets America, Inc. | 159 | 151,597 | ||||||||||
Chevron Corp. | 161 | 151,362 | ||||||||||
1.995%, 05/11/2027 | 38 | 34,539 | ||||||||||
2.954%, 05/16/2026 | 159 | 151,834 | ||||||||||
Chevron USA, Inc. | 165 | 151,297 |
4
Principal Amount (000) | U.S. $ Value | |||||||||||
Continental Resources, Inc./OK | U.S.$ | 29 | $ | 25,962 | ||||||||
Energy Transfer LP | 155 | 151,161 | ||||||||||
Enterprise Products Operating LLC | 156 | 150,685 | ||||||||||
Exxon Mobil Corp. | 156 | 150,584 | ||||||||||
3.043%, 03/01/2026 | 158 | 151,013 | ||||||||||
Hess Corp. | 157 | 151,521 | ||||||||||
Marathon Petroleum Corp. | 154 | 152,104 | ||||||||||
Williams Cos., Inc. (The) | 155 | 151,250 | ||||||||||
|
| |||||||||||
1,724,909 | ||||||||||||
|
| |||||||||||
Services – 0.9% | ||||||||||||
Amazon.com, Inc. | 161 | 151,934 | ||||||||||
3.30%, 04/13/2027 | 159 | 151,603 | ||||||||||
4.55%, 12/01/2027 | 50 | 49,966 | ||||||||||
Global Payments, Inc. | 170 | 152,063 | ||||||||||
Mastercard, Inc. | 158 | 151,099 | ||||||||||
PayPal Holdings, Inc. | 163 | 151,740 | ||||||||||
|
| |||||||||||
808,405 | ||||||||||||
|
| |||||||||||
Technology – 3.0% | ||||||||||||
Apple, Inc. | 167 | 150,860 | ||||||||||
2.05%, 09/11/2026 | 164 | 151,587 | ||||||||||
2.45%, 08/04/2026 | 161 | 150,913 | ||||||||||
3.35%, 02/09/2027 | 130 | 124,766 | ||||||||||
Fidelity National Information Services, Inc. | 154 | 151,350 | ||||||||||
Fiserv, Inc. | 160 | 151,254 | ||||||||||
Honeywell International, Inc. | 60 | 58,673 | ||||||||||
HP, Inc. | 160 | 150,709 | ||||||||||
Intel Corp. | 161 | 151,252 | ||||||||||
4.875%, 02/10/2026 | 151 | 150,478 | ||||||||||
International Business Machines Corp. | 158 | 150,759 | ||||||||||
4.00%, 07/27/2025 | 154 | 150,724 | ||||||||||
4.50%, 02/06/2026 | 153 | 150,910 | ||||||||||
Kyndryl Holdings, Inc. | 140 | 121,982 | ||||||||||
Oracle Corp. | 166 | 151,415 | ||||||||||
2.50%, 04/01/2025 | 159 | 151,643 | ||||||||||
5.80%, 11/10/2025 | 149 | 150,864 |
5
Principal Amount (000) | U.S. $ Value | |||||||||||
QUALCOMM, Inc. | U.S.$ | 160 | $ | 151,854 | ||||||||
VMware, Inc. | 154 | 150,785 | ||||||||||
Western Digital Corp. | 116 | 110,824 | ||||||||||
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| |||||||||||
2,833,602 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.3% | ||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 155 | 151,766 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. | 151 | 151,049 | ||||||||||
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| |||||||||||
302,815 | ||||||||||||
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Transportation - Railroads – 0.2% | ||||||||||||
Union Pacific Corp. | 156 | 151,033 | ||||||||||
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| |||||||||||
18,662,466 | ||||||||||||
|
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Financial Institutions – 8.8% | ||||||||||||
Banking – 7.6% | ||||||||||||
Ally Financial, Inc. | 153 | 150,849 | ||||||||||
American Express Co. | 159 | 151,090 | ||||||||||
3.95%, 08/01/2025 | 128 | 124,296 | ||||||||||
4.20%, 11/06/2025 | 155 | 151,337 | ||||||||||
4.99%, 05/01/2026 | 152 | 150,337 | ||||||||||
Banco Santander SA | 200 | 175,398 | ||||||||||
Bank of America Corp. | 160 | 151,171 | ||||||||||
2.456%, 10/22/2025 | 158 | 151,895 | ||||||||||
3.366%, 01/23/2026 | 157 | 151,524 | ||||||||||
Series L | 129 | 125,124 | ||||||||||
Bank of New York Mellon Corp. (The) | 153 | 151,240 | ||||||||||
Barclays PLC | 200 | 195,550 | ||||||||||
Capital One Financial Corp. | 158 | 152,118 | ||||||||||
Citigroup, Inc. | 158 | 151,283 | ||||||||||
3.40%, 05/01/2026 | 132 | 125,577 | ||||||||||
3.70%, 01/12/2026 | 158 | 151,887 | ||||||||||
4.40%, 06/10/2025 | 155 | 151,091 | ||||||||||
Fifth Third Bancorp | 160 | 151,802 | ||||||||||
Goldman Sachs Group, Inc. (The) | 156 | 151,322 | ||||||||||
3.50%, 01/23/2025 | 156 | 151,123 | ||||||||||
3.50%, 04/01/2025 | 157 | 151,387 | ||||||||||
3.75%, 05/22/2025 | 129 | 124,900 |
6
Principal Amount (000) | U.S. $ Value | |||||||||||
JPMorgan Chase & Co. | U.S.$ | 160 | $ | 151,446 | ||||||||
2.083%, 04/22/2026 | 161 | 151,577 | ||||||||||
4.08%, 04/26/2026 | 155 | 151,492 | ||||||||||
5.546%, 12/15/2025 | 125 | 124,701 | ||||||||||
Lloyds Banking Group PLC | 250 | 250,000 | ||||||||||
Macquarie Group Ltd. | 154 | 151,909 | ||||||||||
Morgan Stanley | 161 | 151,535 | ||||||||||
2.72%, 07/22/2025 | 156 | 151,047 | ||||||||||
4.679%, 07/17/2026 | 154 | 151,099 | ||||||||||
Series G | 126 | 122,768 | ||||||||||
PNC Financial Services Group, Inc. (The) | 155 | 152,334 | ||||||||||
5.812%, 06/12/2026 | 152 | 152,195 | ||||||||||
Royal Bank of Canada | 155 | 151,967 | ||||||||||
Santander UK Group Holdings PLC | 359 | 364,220 | ||||||||||
State Street Corp. | 152 | 150,830 | ||||||||||
Toronto-Dominion Bank (The) | 169 | 151,415 | ||||||||||
5.103%, 01/09/2026 | 152 | 151,521 | ||||||||||
Truist Financial Corp. | 157 | 152,053 | ||||||||||
5.90%, 10/28/2026 | 152 | 152,000 | ||||||||||
6.047%, 06/08/2027 | 125 | 125,166 | ||||||||||
Wells Fargo & Co. | 161 | 151,504 | ||||||||||
2.406%, 10/30/2025 | 158 | 151,329 | ||||||||||
3.908%, 04/25/2026 | 156 | 150,981 | ||||||||||
4.54%, 08/15/2026 | 125 | 122,274 | ||||||||||
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7,129,664 | ||||||||||||
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Finance – 0.1% | ||||||||||||
Aircastle Ltd. | 16 | 15,945 | ||||||||||
Synchrony Financial | 57 | 50,877 | ||||||||||
|
| |||||||||||
66,822 | ||||||||||||
|
| |||||||||||
Insurance – 0.5% | ||||||||||||
Chubb INA Holdings, Inc. | 157 | 150,857 | ||||||||||
UnitedHealth Group, Inc. | 163 | 151,539 | ||||||||||
3.75%, 07/15/2025 | 155 | 151,082 | ||||||||||
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453,478 | ||||||||||||
|
| |||||||||||
REITs – 0.6% | ||||||||||||
Boston Properties LP | 159 | 152,023 | ||||||||||
3.65%, 02/01/2026 | 162 | 152,141 |
7
Principal Amount (000) | U.S. $ Value | |||||||||||
GLP Capital LP/GLP Financing II, Inc. | U.S.$ | 143 | $ | 140,560 | ||||||||
Simon Property Group LP | 157 | 151,310 | ||||||||||
|
| |||||||||||
596,034 | ||||||||||||
|
| |||||||||||
8,245,998 | ||||||||||||
|
| |||||||||||
Utility – 0.8% | ||||||||||||
Electric – 0.8% | ||||||||||||
American Electric Power Co., Inc. | 142 | 141,899 | ||||||||||
DTE Energy Co. | 164 | 151,103 | ||||||||||
NextEra Energy Capital Holdings, Inc. | 150 | 151,189 | ||||||||||
Southern California Edison Co. | 156 | 151,080 | ||||||||||
WEC Energy Group, Inc. | 153 | 150,901 | ||||||||||
|
| |||||||||||
746,172 | ||||||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 27,654,636 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 8.8% | ||||||||||||
Risk Share Floating Rate – 8.7% | ||||||||||||
Bellemeade Re Ltd. | 123 | 123,575 | ||||||||||
Series 2019-4A, Class M2 | 150 | 151,408 | ||||||||||
Series 2022-1, Class M1B | 193 | 191,324 | ||||||||||
Series 2022-2, Class M1A | 200 | 204,372 | ||||||||||
Connecticut Avenue Securities Trust | 0 | ** | 71 | |||||||||
Series 2019-R03, Class 1M2 | 0 | ** | 446 | |||||||||
Series 2022-R04, Class 1M1 | 283 | 285,286 |
8
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2022-R08, Class 1M1 | U.S.$ | 530 | $ | 541,864 | ||||||||
Series 2023-R01, Class 1M1 | 336 | 342,688 | ||||||||||
Series 2023-R02, Class 1M1 | 355 | 359,929 | ||||||||||
Series 2023-R03, Class 2M1 | 520 | 527,402 | ||||||||||
Series 2023-R04, Class 1M1 | 544 | 551,952 | ||||||||||
Series 2023-R05, Class 1M1 | 225 | 226,638 | ||||||||||
Series 2023-R06, Class 1M1 | 300 | 300,752 | ||||||||||
Eagle Re Ltd. | 150 | 150,619 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 68 | 70,519 | ||||||||||
Series 2019-DNA4, Class M2 | 1 | 1,033 | ||||||||||
Series 2020-DNA1, Class M2 | 20 | 20,328 | ||||||||||
Series 2021-DNA1, Class M2 | 184 | 184,285 | ||||||||||
Series 2021-DNA5, Class M2 | 54 | 54,539 | ||||||||||
Series 2021-DNA6, Class M2 | 150 | 147,469 | ||||||||||
Series 2021-DNA7, Class M1 | 185 | 183,006 | ||||||||||
Series 2021-DNA7, Class M2 | 225 | 220,779 |
9
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2021-HQA4, Class M1 | U.S.$ | 212 | $ | 207,552 | ||||||||
Series 2022-DNA2, Class M1B | 144 | 144,360 | ||||||||||
Series 2022-DNA7, Class M1A | 529 | 537,260 | ||||||||||
Series 2022-HQA1, Class M1B | 20 | 20,493 | ||||||||||
Series 2022-HQA2, Class M1B | 184 | 192,970 | ||||||||||
Series 2022-HQA3, Class M1A | 127 | 128,694 | ||||||||||
Series 2023-DNA1, Class M1A | 546 | 551,826 | ||||||||||
Series 2023-DNA2, Class M1A | 113 | 114,533 | ||||||||||
Series 2023-HQA1, Class M1A | 199 | 200,006 | ||||||||||
Series 2023-HQA2, Class M1A | 142 | 143,092 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 2 | 2,186 | ||||||||||
Series 2016-C01, Class 2M2 | 7 | 7,626 | ||||||||||
Series 2016-C04, Class 1B | 118 | 129,805 | ||||||||||
Series 2017-C06, Class 2M2 | 356 | 366,662 | ||||||||||
Series 2021-R02, Class 2M2 | 230 | 225,890 | ||||||||||
Home Re Ltd. | 107 | 108,592 | ||||||||||
Series 2021-1, Class M1B | 40 | 40,315 |
10
Principal Amount (000) | U.S. $ Value | |||||||||||
PMT Credit Risk Transfer Trust | U.S.$ | 27 | $ | 26,628 | ||||||||
Series 2019-3R, Class A | 13 | 13,276 | ||||||||||
Triangle Re Ltd. | 65 | 65,553 | ||||||||||
|
| |||||||||||
8,067,603 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.1% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 67 | 13,316 | ||||||||||
Federal National Mortgage Association REMICs | 91 | 2,368 | ||||||||||
Series 2016-26, Class IO | 150 | 22,365 | ||||||||||
Series 2016-31, Class IO | 200 | 31,096 | ||||||||||
Series 2016-64, Class BI | 24 | 3,414 | ||||||||||
|
| |||||||||||
72,559 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 85 | 7,402 | ||||||||||
Federal National Mortgage Association REMICs | 58 | 1,855 | ||||||||||
Series 2012-17, Class SE | 61 | 6,826 | ||||||||||
Series 2019-25, Class SA | 41 | 4,023 | ||||||||||
Series 2019-42, Class SQ | 36 | 3,930 | ||||||||||
|
| |||||||||||
24,036 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 8,164,198 | |||||||||||
|
|
11
Principal Amount (000) | U.S. $ Value | |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 6.6% | ||||||||||||
Industrial – 6.1% | ||||||||||||
Basic – 0.1% | ||||||||||||
Arsenal AIC Parent LLC | U.S.$ | 38 | $ | 38,760 | ||||||||
ASP Unifrax Holdings, Inc. | 10 | 7,434 | ||||||||||
Sealed Air Corp./Sealed Air Corp. US | 27 | 26,923 | ||||||||||
|
| |||||||||||
73,117 | ||||||||||||
|
| |||||||||||
Capital Goods – 1.0% | ||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 200 | 187,388 | ||||||||||
Ball Corp. | 97 | 97,000 | ||||||||||
Chart Industries, Inc. | 25 | 25,649 | ||||||||||
Eco Material Technologies, Inc. | 92 | 88,529 | ||||||||||
Emerald Debt Merger Sub LLC | 69 | 68,673 | ||||||||||
Gates Global LLC/Gates Corp. | 61 | 60,625 | ||||||||||
LSB Industries, Inc. | 110 | 101,119 | ||||||||||
Renk AG/Frankfurt am Main | EUR | 100 | 109,326 | |||||||||
Trinity Industries, Inc. | U.S.$ | 174 | 177,478 | |||||||||
|
| |||||||||||
915,787 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.6% | ||||||||||||
AMC Networks, Inc. | 85 | 75,227 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 26 | 21,995 | ||||||||||
5.125%, 05/01/2027(a) | 59 | 55,351 | ||||||||||
Clear Channel Outdoor Holdings, Inc. | 60 | 55,115 | ||||||||||
DISH DBS Corp. | 87 | 71,326 | ||||||||||
5.75%, 12/01/2028(a) | 32 | 24,690 | ||||||||||
McGraw-Hill Education, Inc. | 56 | 49,169 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc. | 85 | 69,050 | ||||||||||
Sirius XM Radio, Inc. | 12 | 9,395 | ||||||||||
4.00%, 07/15/2028(a) | 62 | 53,957 | ||||||||||
5.00%, 08/01/2027(a) | 70 | 65,037 | ||||||||||
|
| |||||||||||
550,312 | ||||||||||||
|
|
12
Principal Amount (000) | U.S. $ Value | |||||||||||
Consumer Cyclical - Entertainment – 0.7% | ||||||||||||
Carnival Corp. | U.S.$ | 36 | $ | 31,976 | ||||||||
5.75%, 03/01/2027(a) | 62 | 57,335 | ||||||||||
10.50%, 02/01/2026(a) | 153 | 161,219 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | 29 | 28,679 | ||||||||||
Lindblad Expeditions LLC | 28 | 27,071 | ||||||||||
Royal Caribbean Cruises Ltd. | 42 | 39,939 | ||||||||||
5.50%, 08/31/2026(a) | 31 | 29,768 | ||||||||||
7.25%, 01/15/2030(a) | 20 | 20,248 | ||||||||||
11.50%, 06/01/2025(a) | 24 | 25,437 | ||||||||||
SeaWorld Parks & Entertainment, Inc. | 20 | 20,364 | ||||||||||
Viking Cruises Ltd. | 12 | 11,214 | ||||||||||
Viking Ocean Cruises Ship VII Ltd. | 14 | 13,017 | ||||||||||
VOC Escrow Ltd. | 226 | 210,058 | ||||||||||
|
| |||||||||||
676,325 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.3% | ||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC | 86 | 79,380 | ||||||||||
Caesars Entertainment, Inc. | 40 | 40,400 | ||||||||||
Churchill Downs, Inc. | 59 | 54,512 | ||||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc | 9 | 7,679 | ||||||||||
5.00%, 06/01/2029(a) | 45 | 40,252 | ||||||||||
MGM Resorts International | 7 | 6,460 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp. | 11 | 10,023 | ||||||||||
Taylor Morrison Communities, Inc. | 15 | 14,782 | ||||||||||
Travel + Leisure Co. | 20 | 19,908 |
13
Principal Amount (000) | U.S. $ Value | |||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | U.S.$ | 33 | $ | 31,316 | ||||||||
|
| |||||||||||
304,712 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Restaurants – 0.1% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. | 17 | 15,558 | ||||||||||
4.375%, 01/15/2028(a) | 35 | 32,321 | ||||||||||
|
| |||||||||||
47,879 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.3% | ||||||||||||
Bath & Body Works, Inc. | 64 | 64,828 | ||||||||||
9.375%, 07/01/2025(a) | 6 | 6,331 | ||||||||||
Beacon Roofing Supply, Inc. | 31 | 31,075 | ||||||||||
eG Global Finance PLC | EUR | 133 | 140,917 | |||||||||
Staples, Inc. | U.S.$ | 15 | 12,361 | |||||||||
Wolverine World Wide, Inc. | 81 | 63,607 | ||||||||||
|
| |||||||||||
319,119 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.4% | ||||||||||||
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC | 76 | 76,663 | ||||||||||
Elanco Animal Health, Inc. | 82 | 81,025 | ||||||||||
Embecta Corp. | 48 | 39,607 | ||||||||||
Legacy LifePoint Health LLC | 114 | 98,353 | ||||||||||
Medline Borrower LP | 26 | 22,782 | ||||||||||
Newell Brands, Inc. | 26 | 24,770 | ||||||||||
4.875%, 06/01/2025 | 7 | 6,772 | ||||||||||
6.375%, 09/15/2027 | 15 | 14,740 | ||||||||||
US Acute Care Solutions LLC | 81 | 70,805 | ||||||||||
|
| |||||||||||
435,517 | ||||||||||||
|
| |||||||||||
Energy – 0.9% | ||||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. | 8 | 8,057 | ||||||||||
CITGO Petroleum Corp. | 33 | 32,605 |
14
Principal Amount (000) | U.S. $ Value | |||||||||||
Civitas Resources, Inc. | U.S.$ | 30 | $ | 28,304 | ||||||||
8.375%, 07/01/2028(a) | 179 | 184,143 | ||||||||||
Crescent Energy Finance LLC | 28 | 27,575 | ||||||||||
9.25%, 02/15/2028(a) | 88 | 89,522 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 15 | 14,532 | ||||||||||
8.00%, 01/15/2027 | 21 | 20,655 | ||||||||||
Howard Midstream Energy Partners LLC | 107 | 109,348 | ||||||||||
Nabors Industries Ltd. | 12 | 11,546 | ||||||||||
Nabors Industries, Inc. | 11 | 10,751 | ||||||||||
New Fortress Energy, Inc. | 75 | 71,371 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. | 44 | 43,589 | ||||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. | 40 | 39,376 | ||||||||||
Venture Global LNG, Inc. | 131 | 133,177 | ||||||||||
|
| |||||||||||
824,551 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.1% | ||||||||||||
Ritchie Bros Holdings, Inc. | 78 | 79,055 | ||||||||||
|
| |||||||||||
Services – 0.7% | ||||||||||||
ADT Security Corp. (The) | 7 | 6,052 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. | 57 | 54,499 | ||||||||||
ANGI Group LLC | 127 | 106,793 | ||||||||||
APX Group, Inc. | 53 | 51,890 | ||||||||||
Garda World Security Corp. | 103 | 102,400 | ||||||||||
MPH Acquisition Holdings LLC | 78 | 59,728 | ||||||||||
Neptune Bidco US, Inc. | 108 | 99,347 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 23 | 20,292 | ||||||||||
6.25%, 01/15/2028(a) | 82 | 77,316 |
15
Principal Amount (000) | U.S. $ Value | |||||||||||
ZipRecruiter, Inc. | U.S.$ | 63 | $ | 53,798 | ||||||||
|
| |||||||||||
632,115 | ||||||||||||
|
| |||||||||||
Technology – 0.3% | ||||||||||||
Gen Digital, Inc. | 42 | 42,143 | ||||||||||
NCR Corp. | 105 | 95,155 | ||||||||||
Presidio Holdings, Inc. | 56 | 52,930 | ||||||||||
Seagate HDD Cayman | 97 | 101,597 | ||||||||||
Virtusa Corp. | 10 | 8,400 | ||||||||||
|
| |||||||||||
300,225 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.1% | ||||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. | 94 | 88,712 | ||||||||||
|
| |||||||||||
Transportation - Services – 0.5% | ||||||||||||
Albion Financing 1 SARL/Aggreko Holdings, Inc. | 200 | 188,972 | ||||||||||
Avis Budget Finance PLC | EUR | 131 | 143,810 | |||||||||
Loxam SAS | 100 | 105,277 | ||||||||||
|
| |||||||||||
438,059 | ||||||||||||
|
| |||||||||||
5,685,485 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.5% | ||||||||||||
Banking – 0.1% | ||||||||||||
Bread Financial Holdings, Inc. | U.S.$ | 127 | 122,880 | |||||||||
|
| |||||||||||
Brokerage – 0.1% | ||||||||||||
Advisor Group Holdings, Inc. | 52 | 53,291 | ||||||||||
|
| |||||||||||
Finance – 0.3% | ||||||||||||
Castlelake Aviation Finance DAC | 62 | 57,200 | ||||||||||
Curo Group Holdings Corp. | 53 | 20,297 | ||||||||||
GGAM Finance Ltd. | 51 | 51,462 | ||||||||||
8.00%, 06/15/2028(a) | 77 | 78,433 |
16
Principal Amount (000) | U.S. $ Value | |||||||||||
SLM Corp. | U.S.$ | 23 | $ | 20,230 | ||||||||
|
| |||||||||||
227,622 | ||||||||||||
|
| |||||||||||
403,793 | ||||||||||||
�� |
|
| ||||||||||
Utility – 0.0% | ||||||||||||
Other Utility – 0.0% | ||||||||||||
Solaris Midstream Holdings LLC | 25 | 24,516 | ||||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 6,113,794 | |||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 5.3% | ||||||||||||
CLO - Floating Rate – 5.3% | ||||||||||||
AGL CLO 16 Ltd. | 500 | 496,869 | ||||||||||
Ballyrock CLO 15 Ltd. | 250 | 244,616 | ||||||||||
Dryden 78 CLO Ltd. | 550 | 548,269 | ||||||||||
Dryden 98 CLO Ltd. | 250 | 230,128 | ||||||||||
Galaxy 30 CLO Ltd. | 250 | 229,529 | ||||||||||
Neuberger Berman Loan Advisers CLO 42 Ltd | 500 | 497,188 | ||||||||||
New Mountain CLO 3 Ltd. | 250 | 238,624 | ||||||||||
Palmer Square CLO Ltd. | 250 | 241,147 | ||||||||||
PPM CLO 5 Ltd. | 500 | 491,167 |
17
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2021-5A, Class D | U.S.$ | 250 | $ | 223,724 | ||||||||
Rad CLO 14 Ltd. | 550 | 545,849 | ||||||||||
Regatta XX Funding Ltd. | 250 | 243,748 | ||||||||||
Regatta XXIV Funding Ltd. | 250 | 242,535 | ||||||||||
Rockford Tower CLO Ltd. | 250 | 238,821 | ||||||||||
Sixth Street CLO XVII Ltd. | 250 | 245,986 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 4,958,200 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 4.1% | ||||||||||||
Other ABS - Fixed Rate – 2.5% | ||||||||||||
Affirm Asset Securitization Trust | 383 | 380,481 | ||||||||||
BHG Securitization Trust | 151 | 149,089 | ||||||||||
Consumer Loan Underlying Bond Club Certificate Issuer Trust I | 0 | ** | 3 | |||||||||
Dext ABS LLC | 210 | 207,064 | ||||||||||
Lendmark Funding Trust | 210 | 206,833 | ||||||||||
Pagaya AI Debt Trust | 94 | 93,868 | ||||||||||
Series 2023-3, Class A | 95 | 94,995 | ||||||||||
Series 2023-5, Class A | 220 | 220,143 | ||||||||||
Reach ABS Trust | 270 | 270,114 |
18
Principal Amount (000) | U.S. $ Value | |||||||||||
Theorem Funding Trust | U.S.$ | 45 | $ | 44,240 | ||||||||
Series 2022-3A, Class A | 183 | 184,368 | ||||||||||
Series 2023-1A, Class A | 168 | 168,480 | ||||||||||
Upstart Securitization Trust | 250 | 249,690 | ||||||||||
|
| |||||||||||
2,269,368 | ||||||||||||
|
| |||||||||||
Autos - Fixed Rate – 1.4% | ||||||||||||
ACM Auto Trust | 88 | 88,043 | ||||||||||
Exeter Automobile Receivables Trust | 40 | 39,950 | ||||||||||
FHF Trust | 210 | 208,062 | ||||||||||
Foursight Capital Automobile Receivables Trust | 176 | 174,575 | ||||||||||
Lendbuzz Securitization Trust | 190 | 188,547 | ||||||||||
Series 2023-2A, Class A2 | 210 | 208,608 | ||||||||||
Lobel Automobile Receivables Trust | 168 | 166,734 | ||||||||||
Tricolor Auto Securitization Trust | 144 | 143,121 | ||||||||||
United Auto Credit Securitization Trust | 90 | 89,686 | ||||||||||
|
| |||||||||||
1,307,326 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.2% | ||||||||||||
Mission Lane Credit Card Master Trust | 200 | 198,712 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 3,775,406 | |||||||||||
|
|
19
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 3.9% | ||||||||||||
Canada – 3.9% | ||||||||||||
Canada Housing Trust No. 1 | CAD | 5,065 | $ | 3,601,865 | ||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.1% | ||||||||||||
Non-Agency Fixed Rate CMBS – 1.8% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | U.S.$ | 100 | 81,462 | |||||||||
BANK | 2,033 | 189,448 | ||||||||||
Series 2020-BN29, Class XA | 978 | 68,486 | ||||||||||
Barclays Commercial Mortgage Trust | 958 | 54,563 | ||||||||||
BBCMS Mortgage Trust | 1,297 | 52,724 | ||||||||||
CD Mortgage Trust | 1,490 | 43,508 | ||||||||||
CFCRE Commercial Mortgage Trust | 81 | 2,610 | ||||||||||
Series 2017-C8, Class XA | 273 | 11,416 | ||||||||||
Citigroup Commercial Mortgage Trust | 806 | 25,057 | ||||||||||
Commercial Mortgage Trust | 100 | 77,018 | ||||||||||
Series 2016-DC2, Class XA | 2,381 | 42,270 | ||||||||||
GS Mortgage Securities Trust | 100 | 39,687 | ||||||||||
Series 2016-GS3, Class XA | 1,275 | 36,286 | ||||||||||
Series 2017-GS5, Class XA | 1,410 | 34,424 | ||||||||||
Series 2017-GS7, Class XA | 3,266 | 107,479 | ||||||||||
Series 2019-GC39, Class XA | 4,514 | 190,992 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 75 | 32,285 |
20
Principal Amount (000) | U.S. $ Value | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | U.S.$ | 100 | $ | 59,129 | ||||||||
Series 2013-LC11, Class B | 110 | 96,250 | ||||||||||
UBS Commercial Mortgage Trust | 1,037 | 45,422 | ||||||||||
Series 2017-C2, Class XA | 2,008 | 67,006 | ||||||||||
Series 2018-C14, Class XA | 808 | 29,366 | ||||||||||
Series 2018-C15, Class XA | 592 | 21,581 | ||||||||||
Series 2019-C18, Class XA | 1,253 | 52,741 | ||||||||||
UBS-Barclays Commercial Mortgage Trust | 81 | 72,906 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 771 | 29,391 | ||||||||||
Series 2018-C48, Class XA | 761 | 29,340 | ||||||||||
Series 2019-C52, Class XA | 928 | 60,428 | ||||||||||
WF-RBS Commercial Mortgage Trust | 60 | 49,200 | ||||||||||
Series 2011-C4, Class E | 25 | 17,213 | ||||||||||
|
| |||||||||||
1,719,688 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 0.3% | ||||||||||||
BFLD | 10 | 9,786 | ||||||||||
Great Wolf Trust | 45 | 44,264 | ||||||||||
Morgan Stanley Capital I Trust | 133 | 121,556 |
21
Principal Amount (000) | U.S. $ Value | |||||||||||
Starwood Retail Property Trust | U.S.$ | 89 | $ | 63,672 | ||||||||
|
| |||||||||||
239,278 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 1,958,966 | |||||||||||
|
| |||||||||||
BANK LOANS – 1.1% | ||||||||||||
Industrial – 1.0% | ||||||||||||
Capital Goods – 0.1% | ||||||||||||
ACProducts Holdings, Inc. | 100 | 85,766 | ||||||||||
Chariot Buyer LLC | 10 | 9,695 | ||||||||||
|
| |||||||||||
95,461 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.0% | ||||||||||||
Coral-US Co-Borrower LLC | 30 | 29,200 | ||||||||||
Univision Communications, Inc. | 1 | 735 | ||||||||||
|
| |||||||||||
29,935 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
Crown Subsea Communications Holding, Inc. | 40 | 40,094 | ||||||||||
DIRECTV Financing, LLC | 25 | 25,089 | ||||||||||
Zacapa SARL | 43 | 42,480 | ||||||||||
|
| |||||||||||
107,663 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.1% | ||||||||||||
Garrett Motion SARL | 17 | 17,057 | ||||||||||
10.131% (SOFR 3 Month + 4.50%), 04/30/2028(k) (l) | 26 | 25,586 | ||||||||||
|
| |||||||||||
42,643 | ||||||||||||
|
|
22
Principal Amount (000) | U.S. $ Value | |||||||||||
Consumer Cyclical - Entertainment – 0.2% | ||||||||||||
Seaworld Parks & Entertainment, Inc. | U.S.$ | 140 | $ | 140,322 | ||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.0% | ||||||||||||
Kronos Acquisition Holdings, Inc. | 39 | 38,180 | ||||||||||
|
| |||||||||||
Energy – 0.2% | ||||||||||||
GIP II Blue Holding LP | 71 | 70,861 | ||||||||||
Parkway Generation, LLC | 118 | 116,410 | ||||||||||
|
| |||||||||||
187,271 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.1% | ||||||||||||
American Tire Distributors, Inc. | 60 | 52,563 | ||||||||||
Rockwood Service Corporation | 3 | 2,983 | ||||||||||
|
| |||||||||||
55,546 | ||||||||||||
|
| |||||||||||
Technology – 0.2% | ||||||||||||
Amentum Government Services Holdings LLC | 3 | 2,830 | ||||||||||
Ascend Learning, LLC | 30 | 25,531 | ||||||||||
Banff Guarantor, Inc. | 10 | 9,808 | ||||||||||
Boxer Parent Company, Inc. | 27 | 26,580 | ||||||||||
Endurance International Group Holdings, Inc. | 87 | 83,031 | ||||||||||
FINThrive Software Intermediate Holdings, Inc. | 20 | 11,600 | ||||||||||
Loyalty Ventures, Inc. | 72 | 7,237 |
23
Principal Amount (000) | U.S. $ Value | |||||||||||
Peraton Corp. | U.S.$ | 19 | $ | 19,013 | ||||||||
Presidio Holdings, Inc. | 0 | ** | 321 | |||||||||
8.969% (SOFR 3 Month + 3.50%), 01/22/2027(k) (l) | 9 | 8,842 | ||||||||||
|
| |||||||||||
194,793 | ||||||||||||
|
| |||||||||||
891,814 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.1% | ||||||||||||
Finance – 0.0% | ||||||||||||
Orbit Private Holdings I Ltd. | 30 | 29,550 | ||||||||||
|
| |||||||||||
Insurance – 0.1% | �� | |||||||||||
Asurion, LLC | 70 | 66,857 | ||||||||||
Cross Financial Corp. | 49 | 48,776 | ||||||||||
|
| |||||||||||
115,633 | ||||||||||||
|
| |||||||||||
145,183 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
Granite Generation, LLC | 23 | 23,087 | ||||||||||
|
| |||||||||||
Total Bank Loans | 1,060,084 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.0% | ||||||||||||
Industrial – 0.0% | ||||||||||||
Basic – 0.0% | ||||||||||||
Eldorado Gold Corp. | 28 | 25,165 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCKS – 0.0% | ||||||||||||
Energy – 0.0% | ||||||||||||
Oil, Gas & Consumable Fuels – 0.0% | ||||||||||||
Athabasca Oil Corp.(i) | 7,951 | 20,501 | ||||||||||
|
|
24
Company | Shares | U.S. $ Value | ||||||
SHORT-TERM INVESTMENTS – 4.7% | ||||||||
Investment Companies – 4.7% | ||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.19%(n) (o) (p) | 4,372,588 | $ | 4,372,588 | |||||
|
| |||||||
Total Investments – 99.7% | 92,747,289 | |||||||
Other assets less liabilities – 0.3% | 235,448 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 92,982,737 | ||||||
|
|
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized (Depreciation) | ||||||||||||||||
Purchased Contracts | ||||||||||||||||||||
U.S. Long Bond (CBT) Futures | 6 | September 2023 | $ | 746,625 | $ | (15,009 | ) | |||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 206 | September 2023 | 22,004,984 | (97,273 | ) | |||||||||||||||
Sold Contracts | ||||||||||||||||||||
10 Yr Canadian Bond Futures | 8 | September 2023 | 728,624 | 21,343 | ||||||||||||||||
Euro-BOBL Futures | 5 | September 2023 | 637,106 | 7,911 | ||||||||||||||||
Euro-Schatz Futures | 2 | September 2023 | 231,005 | 1,515 | ||||||||||||||||
U.S. 10 Yr Ultra Futures | 6 | September 2023 | 701,906 | 12,460 | ||||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 16 | September 2023 | 1,782,500 | 44,602 | ||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 20 | September 2023 | 4,060,625 | 131 | ||||||||||||||||
|
| |||||||||||||||||||
$ | (24,320 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | EUR | 940 | USD | 1,037 | 10/12/2023 | $ | (525 | ) | ||||||||||||||||
State Street Bank & Trust Co. | NZD | 78 | USD | 48 | 08/24/2023 | (466 | ) | |||||||||||||||||
State Street Bank & Trust Co. | GBP | 109 | USD | 140 | 09/14/2023 | 534 | ||||||||||||||||||
UBS AG | CAD | 4,872 | USD | 3,641 | 08/24/2023 | (54,675 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (55,132 | ) | ||||||||||||||||||||||
|
|
25
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at July 31, 2023 | Notional Amount (000) | Market Value | Upfront Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||
iTraxx Australia Series 39, 5 Year Index, 06/20/2028* | (1.00 | )% | Quarterly | 0.72% | USD | 4,078 | $ | (54,889 | ) | $ | (40,739 | ) | $ | (14,150 | ) | |||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||
CDX-NAHY Series 40, 5 Year Index, 06/20/2028* | 5.00 | Quarterly | 4.09 | USD | 4,179 | 171,272 | 22,330 | 148,942 | ||||||||||||||||||||||
CDX-NAIG Series 40, 5 Year Index, 06/20/2028* | 1.00 | Quarterly | 0.63 | USD | 4,078 | 70,218 | 54,924 | 15,294 | ||||||||||||||||||||||
iTraxxx Xover Series 39, 5 Year Index, 06/20/2028* | 5.00 | Quarterly | 3.81 | EUR | 638 | 37,146 | (3,330 | ) | 40,476 | |||||||||||||||||||||
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$ | 223,747 | $ | 33,185 | $ | 190,562 | |||||||||||||||||||||||||
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* | Termination date |
CREDIT DEFAULT SWAPS
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at July 31, 2023 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
Sale Contracts |
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Citigroup Global Markets, Inc. |
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CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 44 | $ | (9,219) | $ | (2,559) | $ | (6,660 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 30 | (6,184) | (1,729) | (4,455 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 20 | (4,201) | (1,608) | (2,593 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 13 | (2,800) | (1,077) | (1,723 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 10 | (2,101) | (2,336) | 235 | ||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 11 | (2,217) | (2,441) | 224 | ||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 15 | (3,035) | (3,341) | 306 | ||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 6 | (1,167) | (1,402) | 235 | ||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 281 | (58,346) | (97,214) | 38,868 |
26
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at July 31, 2023 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Credit Suisse International |
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CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | % | Monthly | 7.50% | USD | 126 | $ | (18,027 | ) | $ | (3,744 | ) | $ | (14,283 | ) | |||||||||||||
Goldman Sachs International |
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CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 13 | (2,801 | ) | (1,072 | ) | (1,729 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 225 | (46,677 | ) | (26,180 | ) | (20,497 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 88 | (18,204 | ) | (17,789 | ) | (415 | ) | |||||||||||||||||
JPMorgan Securities, LLC |
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CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 7 | (1,400 | ) | (536 | ) | (864 | ) | |||||||||||||||||
Morgan Stanley & Co. International PLC |
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CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 7.50 | USD | 140 | (20,030 | ) | (13,390 | ) | (6,640 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2 | (350 | ) | (96 | ) | (254 | ) | |||||||||||||||||
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$ | (196,759 | ) | $ | (176,514 | ) | $ | (20,245 | ) | ||||||||||||||||||||
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* | Termination date |
** | 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 July 31, 2023, the aggregate market value of these securities amounted to $28,093,859 or 30.2% of net assets. |
(b) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open centrally cleared swaps. |
(c) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(d) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(e) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at July 31, 2023. |
(f) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at July 31, 2023. |
(g) | IO - Interest Only. |
(h) | Inverse interest only security. |
(i) | Non-income producing security. |
27
(j) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.00% of net assets as of July 31, 2023, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||
Consumer Loan Underlying Bond Club Certificate Issuer Trust I | 10/09/2019 | $ | 4 | $ | 3 | 0.00% |
(k) | The stated coupon rate represents the greater of the LIBOR or an alternate base rate such as the SOFR/PRIME or the LIBOR/SOFR/PRIME floor rate plus a spread at July 31, 2023. |
(l) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(m) | Defaulted. |
(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 July 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $555,073 and gross unrealized depreciation of investments was $(1,989,307), resulting in net unrealized depreciation of $(1,434,234). |
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
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CDX-NAIG – North American Investment Grade 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
28
AB Short Duration Income Portfolio
July 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.
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.
29
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 Fund’s investments by the above fair value hierarchy levels as of July 31, 2023:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Governments - Treasuries | $ | — | $ | 31,041,886 | $ | — | $ | 31,041,886 | ||||||||
Corporates - Investment Grade | 250,000 | 27,404,636 | — | 27,654,636 | ||||||||||||
Collateralized Mortgage Obligations | — | 8,164,198 | — | 8,164,198 | ||||||||||||
Corporates - Non-Investment Grade | — | 6,113,794 | — | 6,113,794 | ||||||||||||
Collateralized Loan Obligations | — | 4,958,200 | — | 4,958,200 | ||||||||||||
Asset-Backed Securities | — | 3,775,406 | — | 3,775,406 | ||||||||||||
Governments - Sovereign Agencies | — | 3,601,865 | — | 3,601,865 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 1,958,966 | — | 1,958,966 | ||||||||||||
Bank Loans | — | 892,867 | 167,217 | 1,060,084 | ||||||||||||
Emerging Markets - Corporate Bonds | — | 25,165 | — | 25,165 | ||||||||||||
Common Stocks | 20,501 | — | — | 20,501 | ||||||||||||
Short-Term Investments | 4,372,588 | — | — | 4,372,588 | ||||||||||||
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| |||||||||
Total Investments in Securities | 4,643,089 | 87,936,983 | 167,217 | 92,747,289 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 87,962 | — | — | 87,962 | ||||||||||||
Forward Currency Exchange Contracts | — | 534 | — | 534 | ||||||||||||
Centrally Cleared Credit Default Swaps | — | 278,636 | — | 278,636 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (112,282 | ) | — | — | (112,282 | ) | ||||||||||
Forward Currency Exchange Contracts | — | (55,666 | ) | — | (55,666 | ) | ||||||||||
Centrally Cleared Credit Default Swaps | — | (54,889 | ) | — | (54,889 | ) | ||||||||||
Credit Default Swaps | — | (196,759 | ) | — | (196,759 | ) | ||||||||||
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Total | $ | 4,618,769 | $ | 87,908,839 | $ | 167,217 | $ | 92,694,825 | ||||||||
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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, written options and written swaptions which are valued at market value. |
30
A summary of the Fund’s transactions in AB mutual funds for the nine months ended July 31, 2023 is as follows:
Fund | Market Value 10/31/2022 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 07/31/2023 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 921 | $ | 57,236 | $ | 53,784 | $ | 4,373 | $ | 43 |
31