AB Total Return Bond Portfolio
Portfolio of Investments
July 31, 2023 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS - TREASURIES – 25.2% | ||||||||||||
United States – 25.2% | ||||||||||||
U.S. Treasury Bonds | U.S.$ | 3,036 | $ | 1,650,459 | ||||||||
2.375%, 02/15/2042 | 501 | 381,160 | ||||||||||
3.125%, 08/15/2044(a) | 1,549 | 1,307,306 | ||||||||||
3.25%, 05/15/2042 | 1,116 | 974,670 | ||||||||||
3.375%, 08/15/2042 | 992 | 881,131 | ||||||||||
3.625%, 05/15/2053 | 1,341 | 1,250,180 | ||||||||||
3.875%, 02/15/2043 | 3,078 | 2,935,833 | ||||||||||
3.875%, 05/15/2043 | 213 | 202,805 | ||||||||||
4.00%, 11/15/2042 | 2,061 | 2,003,514 | ||||||||||
U.S. Treasury Notes | 3,303 | 3,147,981 | ||||||||||
3.50%, 01/31/2028 | 5,279 | 5,117,040 | ||||||||||
3.50%, 04/30/2028 | 3,825 | 3,707,859 | ||||||||||
3.50%, 02/15/2033 | 4,074 | 3,923,675 | ||||||||||
3.625%, 05/31/2028 | 4,314 | 4,208,359 | ||||||||||
3.875%, 11/30/2027 | 10,370 | 10,205,023 | ||||||||||
3.875%, 12/31/2027 | 2,615 | 2,573,240 | ||||||||||
4.00%, 02/29/2028 | 1,315 | 1,302,169 | ||||||||||
4.125%, 10/31/2027 | 1,364 | 1,354,623 | ||||||||||
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| |||||||||||
Total Governments - Treasuries | 47,127,027 | |||||||||||
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| |||||||||||
CORPORATES - INVESTMENT GRADE – 22.6% | ||||||||||||
Financial Institutions – 11.3% | ||||||||||||
Banking – 8.2% | ||||||||||||
AIB Group PLC | 491 | 482,486 | ||||||||||
7.583%, 10/14/2026(b) | 416 | 426,479 | ||||||||||
Ally Financial, Inc. | 270 | 271,952 | ||||||||||
Banco de Credito del Peru S.A. | 635 | 587,794 | ||||||||||
Banco Santander SA | 400 | 376,820 | ||||||||||
Bank of Ireland Group PLC | 215 | 214,310 | ||||||||||
Barclays PLC | 232 | 234,100 | ||||||||||
BNP Paribas SA | 463 | 355,718 | ||||||||||
Capital One Financial Corp. | 118 | 115,249 | ||||||||||
6.377%, 06/08/2034 | 319 | 321,951 | ||||||||||
Citigroup, Inc. | 329 | 295,255 | ||||||||||
Cooperatieve Rabobank UA | 487 | 482,792 | ||||||||||
Credit Suisse Group AG | 319 | 263,201 | ||||||||||
6.373%, 07/15/2026(b) | 369 | 369,583 |
1
Principal Amount (000) | U.S. $ Value | |||||||||||
Danske Bank A/S | U.S.$ | 360 | $ | 339,458 | ||||||||
Deutsche Bank AG/New York NY | 265 | 255,285 | ||||||||||
7.146%, 07/13/2027 | 298 | 303,915 | ||||||||||
Discover Bank | 250 | 227,395 | ||||||||||
Goldman Sachs Group, Inc. (The) | 268 | 229,416 | ||||||||||
HSBC Holdings PLC | 224 | 211,584 | ||||||||||
7.39%, 11/03/2028 | 315 | 332,823 | ||||||||||
8.113%, 11/03/2033 | 277 | 306,750 | ||||||||||
Intesa Sanpaolo SpA | 288 | 281,085 | ||||||||||
7.00%, 11/21/2025(b) | 214 | 217,236 | ||||||||||
Lloyds Banking Group PLC | 381 | 370,949 | ||||||||||
7.953%, 11/15/2033 | 504 | 550,005 | ||||||||||
Mizuho Financial Group, Inc. | 487 | 487,068 | ||||||||||
Morgan Stanley | EUR | 309 | 300,563 | |||||||||
Nationwide Building Society | U.S.$ | 398 | 359,852 | |||||||||
NatWest Group PLC | 481 | 475,084 | ||||||||||
PNC Financial Services Group, Inc. (The) | 112 | 108,121 | ||||||||||
Santander Holdings USA, Inc. | 241 | 242,012 | ||||||||||
6.565%, 06/12/2029 | 20 | 19,959 | ||||||||||
Santander UK Group Holdings PLC | 607 | 615,826 | ||||||||||
Societe Generale SA | 778 | 693,377 | ||||||||||
Standard Chartered PLC | 268 | 258,044 | ||||||||||
6.00%, 07/26/2025(b) (c) | 478 | 460,457 | ||||||||||
7.141% (LIBOR 3 Month + 1.51%), 01/30/2027(b) (c) (d) | 400 | 368,676 | ||||||||||
Swedbank AB | 400 | 382,056 | ||||||||||
UBS Group AG | 396 | 358,039 | ||||||||||
7.00%, 02/19/2025(b) (c) | 312 | 300,547 | ||||||||||
UniCredit SpA | 205 | 181,154 | ||||||||||
2.569%, 09/22/2026(b) | 391 | 357,980 | ||||||||||
3.127%, 06/03/2032(b) | 356 | 284,405 |
2
Principal Amount (000) | U.S. $ Value | |||||||||||
US Bancorp | U.S.$ | 380 | $ | 332,728 | ||||||||
Wells Fargo & Co. | 98 | 98,469 | ||||||||||
7.625%, 09/15/2028(c) | 57 | 58,615 | ||||||||||
Series BB | 273 | 244,897 | ||||||||||
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| |||||||||||
15,411,520 | ||||||||||||
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| |||||||||||
Brokerage – 0.4% | ||||||||||||
Charles Schwab Corp. (The) | 260 | 254,345 | ||||||||||
Series I | 469 | 419,516 | ||||||||||
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| |||||||||||
673,861 | ||||||||||||
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| |||||||||||
Finance – 1.6% | ||||||||||||
Air Lease Corp. | 34 | 31,746 | ||||||||||
Aircastle Ltd. | 835 | 723,778 | ||||||||||
4.125%, 05/01/2024 | 152 | 149,341 | ||||||||||
5.25%, 08/11/2025(b) | 384 | 373,582 | ||||||||||
Aviation Capital Group LLC | 449 | 403,054 | ||||||||||
1.95%, 09/20/2026(b) | 133 | 116,711 | ||||||||||
3.50%, 11/01/2027(b) | 136 | 122,600 | ||||||||||
4.125%, 08/01/2025(b) | 5 | 4,748 | ||||||||||
4.375%, 01/30/2024(b) | 135 | 133,114 | ||||||||||
4.875%, 10/01/2025(b) | 153 | 147,252 | ||||||||||
5.50%, 12/15/2024(b) | 294 | 288,887 | ||||||||||
6.375%, 07/15/2030(b) | 166 | 165,841 | ||||||||||
Synchrony Financial | 420 | 312,455 | ||||||||||
|
| |||||||||||
2,973,109 | ||||||||||||
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| |||||||||||
Insurance – 0.6% | ||||||||||||
MetLife Capital Trust IV | 699 | 733,880 | ||||||||||
Swiss Re Finance Luxembourg SA | 400 | 383,896 | ||||||||||
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| |||||||||||
1,117,776 | ||||||||||||
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| |||||||||||
REITs – 0.5% | ||||||||||||
American Tower Corp. | 147 | 118,716 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. | 274 | 224,061 | ||||||||||
4.00%, 01/15/2031 | 114 | 98,560 |
3
Principal Amount (000) | U.S. $ Value | |||||||||||
Vornado Realty LP | U.S.$ | 709 | $ | 525,560 | ||||||||
|
| |||||||||||
966,897 | ||||||||||||
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| |||||||||||
21,143,163 | ||||||||||||
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| |||||||||||
Industrial – 10.6% | ||||||||||||
Basic – 0.3% | ||||||||||||
Freeport Indonesia PT | 390 | 377,278 | ||||||||||
Glencore Funding LLC | 223 | 221,881 | ||||||||||
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| |||||||||||
599,159 | ||||||||||||
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| |||||||||||
Capital Goods – 0.4% | ||||||||||||
Flowserve Corp. | 425 | 339,970 | ||||||||||
Regal Rexnord Corp. | 401 | 401,253 | ||||||||||
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| |||||||||||
741,223 | ||||||||||||
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Communications – Media – 1.0% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 198 | 155,008 | ||||||||||
Cox Communications, Inc. | 134 | 134,623 | ||||||||||
Discovery Communications LLC | 178 | 146,316 | ||||||||||
5.30%, 05/15/2049 | 81 | 66,958 | ||||||||||
Fox Corp. | 407 | 372,828 | ||||||||||
Interpublic Group of Cos., Inc. (The) | 178 | 171,227 | ||||||||||
5.375%, 06/15/2033 | 140 | 136,635 | ||||||||||
Meta Platforms, Inc. | 193 | 194,260 | ||||||||||
Prosus NV | 219 | 197,599 | ||||||||||
Tencent Holdings Ltd. | 328 | 211,324 | ||||||||||
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| |||||||||||
1,786,778 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
T-Mobile USA, Inc. | 138 | 134,968 | ||||||||||
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| |||||||||||
Consumer Cyclical - Automotive – 0.7% | ||||||||||||
General Motors Financial Co., Inc. | 78 | 72,503 | ||||||||||
5.80%, 06/23/2028 | 242 | 242,995 | ||||||||||
Harley-Davidson Financial Services, Inc. | 501 | 456,626 | ||||||||||
6.50%, 03/10/2028(b) | 20 | 20,210 |
4
Principal Amount (000) | U.S. $ Value | |||||||||||
Nissan Motor Co., Ltd. | U.S.$ | 522 | $ | 484,500 | ||||||||
|
| |||||||||||
1,276,834 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.5% | ||||||||||||
Las Vegas Sands Corp. | 327 | 293,181 | ||||||||||
Marriott International, Inc./MD | 384 | 376,493 | ||||||||||
MDC Holdings, Inc. | 346 | 309,639 | ||||||||||
|
| |||||||||||
979,313 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.4% | ||||||||||||
Advance Auto Parts, Inc. | 811 | 707,565 | ||||||||||
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Consumer Non-Cyclical – 1.6% | ||||||||||||
Altria Group, Inc. | 750 | 662,940 | ||||||||||
BAT Capital Corp. | 1,120 | 968,285 | ||||||||||
6.421%, 08/02/2033 | BAD | 163 | 163,000 | |||||||||
Cargill, Inc. | U.S.$ | 248 | 250,344 | |||||||||
Ochsner LSU Health System of North Louisiana | 520 | 383,463 | ||||||||||
Philip Morris International, Inc. | 469 | 467,541 | ||||||||||
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| |||||||||||
2,895,573 | ||||||||||||
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| |||||||||||
Energy – 1.8% | ||||||||||||
Continental Resources, Inc./OK | 454 | 352,608 | ||||||||||
5.75%, 01/15/2031(b) | 335 | 324,072 | ||||||||||
Ecopetrol SA | 271 | 278,656 | ||||||||||
Marathon Oil Corp. | 650 | 685,016 | ||||||||||
Oleoducto Central SA | 217 | 192,909 | ||||||||||
ONEOK Partners LP | 48 | 47,170 | ||||||||||
Ovintiv, Inc. | 90 | 89,466 | ||||||||||
6.25%, 07/15/2033 | 132 | 133,242 | ||||||||||
Suncor Energy, Inc. | 534 | 566,595 | ||||||||||
Var Energi ASA | 314 | 326,582 | ||||||||||
8.00%, 11/15/2032(b) | 402 | 433,718 | ||||||||||
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3,430,034 | ||||||||||||
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5
Principal Amount (000) | U.S. $ Value | |||||||||||
Other Industrial – 0.2% | ||||||||||||
LKQ Corp. | U.S.$ | 246 | $ | 244,553 | ||||||||
6.25%, 06/15/2033(b) | 145 | 145,950 | ||||||||||
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390,503 | ||||||||||||
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Services – 0.3% | ||||||||||||
Booking Holdings, Inc. | EUR | 320 | 365,840 | |||||||||
Global Payments, Inc. | U.S.$ | 290 | 255,316 | |||||||||
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621,156 | ||||||||||||
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Technology – 2.7% | ||||||||||||
Apple, Inc. | 350 | 304,735 | ||||||||||
Broadcom, Inc. | 53 | 49,124 | ||||||||||
4.15%, 04/15/2032(b) | 187 | 168,753 | ||||||||||
4.926%, 05/15/2037(b) | 547 | 497,458 | ||||||||||
Entegris Escrow Corp. | 395 | 368,713 | ||||||||||
Honeywell International, Inc. | EUR | 410 | 451,088 | |||||||||
Infor, Inc. | U.S.$ | 279 | 255,921 | |||||||||
Kyndryl Holdings, Inc. | 869 | 757,160 | ||||||||||
Lenovo Group Ltd. | 489 | 486,604 | ||||||||||
Micron Technology, Inc. | 562 | 590,527 | ||||||||||
NXP BV/NXP Funding LLC | 277 | 280,213 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. | 298 | 264,007 | ||||||||||
Oracle Corp. | 90 | 85,712 | ||||||||||
SK Hynix, Inc. | 280 | 217,328 | ||||||||||
TSMC Arizona Corp. | 241 | 231,473 | ||||||||||
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5,008,816 | ||||||||||||
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Transportation - Airlines – 0.2% | ||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 401 | 388,296 | ||||||||||
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Transportation - Railroads – 0.1% | ||||||||||||
Lima Metro Line 2 Finance Ltd. | 158 | 154,904 | ||||||||||
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6
Principal Amount (000) | U.S. $ Value | |||||||||||
Transportation - Services – 0.3% | ||||||||||||
ENA Master Trust | U.S.$ | 457 | $ | 337,449 | ||||||||
ERAC USA Finance LLC | 288 | 283,493 | ||||||||||
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620,942 | ||||||||||||
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19,736,064 | ||||||||||||
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Utility – 0.7% | ||||||||||||
Electric – 0.7% | ||||||||||||
AES Panama Generation Holdings SRL | 272 | 234,888 | ||||||||||
Duke Energy Carolinas NC Storm Funding LLC | 306 | 220,124 | ||||||||||
Electricite de France SA | 283 | 298,480 | ||||||||||
Engie Energia Chile SA | 349 | 290,435 | ||||||||||
NRG Energy, Inc. | 362 | 362,250 | ||||||||||
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1,406,177 | ||||||||||||
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Total Corporates - Investment Grade | 42,285,404 | |||||||||||
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MORTGAGE PASS-THROUGHS – 19.5% | ||||||||||||
Agency Fixed Rate 30-Year – 18.6% | ||||||||||||
Federal Home Loan Mortgage Corp. | 176 | 161,980 | ||||||||||
3.50%, 11/01/2049 | 227 | 208,329 | ||||||||||
Series 2022 | 1,877 | 1,527,827 | ||||||||||
2.50%, 04/01/2052 | 2,217 | 1,882,318 | ||||||||||
3.00%, 03/01/2052 | 1,242 | 1,094,944 | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 71 | 71,513 | ||||||||||
Series 2007 | 12 | 11,854 | ||||||||||
Series 2016 | 501 | 481,939 | ||||||||||
Series 2017 | 330 | 317,121 | ||||||||||
Series 2018 | 137 | 133,845 | ||||||||||
4.50%, 10/01/2048 | 316 | 307,767 | ||||||||||
4.50%, 11/01/2048 | 412 | 401,196 | ||||||||||
5.00%, 11/01/2048 | 157 | 156,862 | ||||||||||
Federal National Mortgage Association | 22 | 21,734 | ||||||||||
5.50%, 07/01/2033 | 47 | 47,826 |
7
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2004 | U.S.$ | 6 | $ | 5,897 | ||||||||
5.50%, 05/01/2034 | 14 | 14,303 | ||||||||||
5.50%, 11/01/2034 | 21 | 20,834 | ||||||||||
5.50%, 01/01/2035 | 196 | 198,432 | ||||||||||
Series 2005 | 29 | 28,779 | ||||||||||
Series 2007 | 143 | 144,678 | ||||||||||
Series 2010 | 205 | 196,765 | ||||||||||
Series 2012 | 133 | 124,043 | ||||||||||
3.50%, 11/01/2042 | 1,424 | 1,324,395 | ||||||||||
3.50%, 01/01/2043 | 241 | 224,031 | ||||||||||
Series 2013 | 820 | 761,368 | ||||||||||
4.00%, 10/01/2043 | 494 | 471,435 | ||||||||||
Series 2016 | 367 | 337,660 | ||||||||||
Series 2018 | 694 | 675,085 | ||||||||||
Series 2019 | 553 | 508,702 | ||||||||||
3.50%, 09/01/2049 | 242 | 223,502 | ||||||||||
3.50%, 11/01/2049 | 481 | 441,728 | ||||||||||
Series 2021 | 1,953 | 1,583,068 | ||||||||||
2.50%, 01/01/2052 | 631 | 535,870 | ||||||||||
Series 2022 | 1,377 | 1,165,194 | ||||||||||
2.50%, 04/01/2052 | 1,423 | 1,207,987 | ||||||||||
2.50%, 05/01/2052 | 1,835 | 1,557,317 | ||||||||||
3.00%, 02/01/2052 | 1,624 | 1,431,131 | ||||||||||
3.00%, 03/01/2052 | 2,071 | 1,825,096 | ||||||||||
Government National Mortgage Association | 70 | 62,986 | ||||||||||
3.00%, 05/20/2046 | 169 | 152,516 | ||||||||||
Series 2023 | 994 | 936,703 | ||||||||||
4.50%, 08/01/2053, TBA | 2,589 | 2,490,867 | ||||||||||
5.00%, 08/01/2053, TBA | 2,900 | 2,842,748 | ||||||||||
5.50%, 04/20/2053 | 1,131 | 1,124,858 | ||||||||||
5.50%, 08/01/2053, TBA | 754 | 749,543 | ||||||||||
Uniform Mortgage-Backed Security | 2,680 | 2,169,720 | ||||||||||
4.00%, 08/01/2053, TBA | 649 | 605,977 | ||||||||||
5.50%, 08/01/2053, TBA | 1,913 | 1,900,296 | ||||||||||
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34,870,569 | ||||||||||||
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Agency Fixed Rate 15-Year – 0.9% | ||||||||||||
Federal National Mortgage Association | 93 | 86,533 | ||||||||||
2.50%, 11/01/2031 | 416 | 387,205 | ||||||||||
2.50%, 12/01/2031 | 549 | 510,253 |
8
Principal Amount (000) | U.S. $ Value | |||||||||||
2.50%, 01/01/2032 | U.S.$ | 135 | $ | 125,311 | ||||||||
Series 2017 2.50%, 02/01/2032 | 592 | 550,206 | ||||||||||
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1,659,508 | ||||||||||||
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Agency ARMs – 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp. | 8 | 7,914 | ||||||||||
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Total Mortgage Pass-Throughs | 36,537,991 | |||||||||||
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ASSET-BACKED SECURITIES – 8.3% | ||||||||||||
Other ABS - Fixed Rate – 4.5% | ||||||||||||
AB Issuer LLC | 734 | 604,858 | ||||||||||
ACHV ABS Trust | 166 | 166,308 | ||||||||||
Series 2023-3PL, Class A | 517 | 517,182 | ||||||||||
Affirm Asset Securitization Trust | 61 | 59,730 | ||||||||||
Series 2021-Z2, Class A | 65 | 63,225 | ||||||||||
Series 2022-X1, Class A | 93 | 90,507 | ||||||||||
Atalaya Equipment Leasing Trust | 600 | 564,894 | ||||||||||
Cajun Global LLC | 138 | 117,745 | ||||||||||
College Ave Student Loans LLC | 213 | 181,125 | ||||||||||
Dext ABS LLC | 519 | 464,076 | ||||||||||
Series 2021-1, Class D | 260 | 223,611 | ||||||||||
Series 2023-1, Class A2 | 467 | 460,471 | ||||||||||
Diamond Issuer | 566 | 463,771 | ||||||||||
Domino's Pizza Master Issuer LLC | 407 | 343,706 |
9
Principal Amount (000) | U.S. $ Value | |||||||||||
GCI Funding I LLC | U.S.$ | 246 | $ | 208,725 | ||||||||
Hardee's Funding LLC | 325 | 291,942 | ||||||||||
Series 2020-1A, Class A2 | 975 | 823,902 | ||||||||||
MVW LLC | 553 | 489,175 | ||||||||||
Neighborly Issuer | 361 | 296,411 | ||||||||||
Series 2023-1A, Class A2 | 393 | 382,677 | ||||||||||
Neighborly Issuer LLC | 297 | 247,486 | ||||||||||
Nelnet Student Loan Trust | 220 | 176,974 | ||||||||||
SEB Funding LLC | 690 | 610,065 | ||||||||||
Upstart Securitization Trust | 480 | 464,449 | ||||||||||
|
| |||||||||||
8,313,015 | ||||||||||||
|
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Autos - Fixed Rate – 3.5% | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC | 475 | 467,312 | ||||||||||
Carvana Auto Receivables Trust | 98 | 91,319 | ||||||||||
Series 2021-N4, Class D | 266 | 249,645 | ||||||||||
CPS Auto Receivables Trust | 470 | 440,203 | ||||||||||
Enterprise Fleet Financing LLC | 477 | 475,088 | ||||||||||
FHF Trust | 118 | 113,081 | ||||||||||
Series 2023-1A, Class A2 | 211 | 209,053 | ||||||||||
Flagship Credit Auto Trust | 960 | 903,500 |
10
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2020-1, Class E | U.S.$ | 1,000 | $ | 910,794 | ||||||||
Ford Credit Auto Owner Trust | 542 | 475,218 | ||||||||||
Hertz Vehicle Financing III LLC | 450 | 413,657 | ||||||||||
Lendbuzz Securitization Trust | 659 | 653,960 | ||||||||||
Series 2023-2A, Class A2 | 250 | 248,343 | ||||||||||
Octane Receivables Trust | 541 | 477,641 | ||||||||||
Santander Bank Auto Credit-Linked Notes | 271 | 266,763 | ||||||||||
Santander Drive Auto Receivables Trust | 228 | 227,259 | ||||||||||
|
| |||||||||||
6,622,836 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.3% | ||||||||||||
Brex Commercial Charge Card Master Trust | 565 | 551,308 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 15,487,159 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 6.1% | ||||||||||||
Risk Share Floating Rate – 5.0% | ||||||||||||
Bellemeade Re Ltd. | 672 | 666,494 | ||||||||||
Connecticut Avenue Securities Trust | 12 | 11,658 | ||||||||||
Series 2019-R01, Class 2M2 | 51 | 50,851 | ||||||||||
Series 2019-R02, Class 1M2 | 1 | 794 | ||||||||||
Series 2020-R01, Class 1B1 | 500 | 491,875 |
11
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2022-R01, Class 1B1 | U.S.$ | 625 | $ | 628,522 | ||||||||
Series 2022-R02, Class 2M1 | 368 | 367,985 | ||||||||||
Series 2023-R02, Class 1M1 | 217 | 219,755 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 148 | 155,325 | ||||||||||
Series 2019-DNA1, Class B2 | 750 | 899,282 | ||||||||||
Series 2019-FTR2, Class B1 | 750 | 735,009 | ||||||||||
Series 2019-FTR3, Class B2 | 700 | 679,166 | ||||||||||
Series 2021-DNA3, Class B1 | 651 | 670,479 | ||||||||||
Series 2021-HQA4, Class M2 | 513 | 502,799 | ||||||||||
Series 2022-DNA2, Class M2 | 605 | 620,646 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 254 | 270,062 | ||||||||||
Series 2016-C02, Class 1B | 149 | 172,950 | ||||||||||
Series 2016-C03, Class 1B | 99 | 113,669 | ||||||||||
Series 2016-C06, Class 1B | 377 | 405,169 | ||||||||||
Series 2016-C07, Class 2B | 379 | 413,486 | ||||||||||
Series 2017-C04, Class 2M2 | 188 | 192,134 | ||||||||||
Series 2021-R02, Class 2B1 | 441 | 441,818 |
12
Principal Amount (000) | U.S. $ Value | |||||||||||
JPMorgan Madison Avenue Securities Trust | U.S.$ | 18 | $ | 17,916 | ||||||||
PMT Credit Risk Transfer Trust | 237 | 236,780 | ||||||||||
Series 2019-3R, Class A | 92 | 90,943 | ||||||||||
Series 2020-1R, Class A | 154 | 149,605 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 112 | 105,899 | ||||||||||
Series 2015-WF1, Class 2M2 | 26 | 24,786 | ||||||||||
|
| |||||||||||
9,335,857 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.4% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 567 | 56,467 | ||||||||||
Series 4981, Class HS | 1,721 | 174,828 | ||||||||||
Federal National Mortgage Association REMICs | 787 | 77,845 | ||||||||||
Series 2016-77, Class DS | 632 | 57,667 | ||||||||||
Series 2017-26, Class TS | 793 | 79,763 | ||||||||||
Series 2017-62, Class AS | 675 | 72,003 | ||||||||||
Series 2017-97, Class LS | 800 | 86,665 |
13
Principal Amount (000) | U.S. $ Value | |||||||||||
Government National Mortgage Association | U.S.$ | 749 | $ | 72,362 | ||||||||
|
| |||||||||||
677,600 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.3% | ||||||||||||
Alternative Loan Trust | 183 | 100,446 | ||||||||||
Series 2006-J1, Class 1A13 | 80 | 57,059 | ||||||||||
CHL Mortgage Pass-Through Trust | 46 | 20,025 | ||||||||||
JPMorgan Alternative Loan Trust | 351 | 280,080 | ||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | 452 | 77,207 | ||||||||||
|
| |||||||||||
534,817 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.2% | ||||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust | 427 | 148,379 | ||||||||||
HomeBanc Mortgage Trust | 68 | 55,586 | ||||||||||
Impac Secured Assets Corp. | 129 | 102,990 | ||||||||||
JPMorgan Chase Bank, NA | 85 | 83,342 | ||||||||||
Residential Accredit Loans, Inc. Trust | 495 | 99,667 | ||||||||||
|
| |||||||||||
489,964 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.2% | ||||||||||||
Federal National Mortgage Association Grantor Trust | 53 | 49,069 |
14
Principal Amount (000) | U.S. $ Value | |||||||||||
Federal National Mortgage Association REMICs | U.S.$ | 2,415 | $ | 376,031 | ||||||||
|
| |||||||||||
425,100 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 11,463,338 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 5.3% | ||||||||||||
Non-Agency Fixed Rate CMBS – 3.1% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 960 | 782,034 | ||||||||||
Citigroup Commercial Mortgage Trust | 565 | 498,683 | ||||||||||
Commercial Mortgage Trust | 800 | 759,033 | ||||||||||
GS Mortgage Securities Trust | 252 | 73,619 | ||||||||||
GSF | 277 | 260,585 | ||||||||||
Series 2021-1, Class A2 | 719 | 679,316 | ||||||||||
Series 2021-1, Class AS | 25 | 24,186 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 890 | 639,321 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 551 | 502,762 | ||||||||||
LB-UBS Commercial Mortgage Trust | 77 | 28,119 | ||||||||||
LSTAR Commercial Mortgage Trust | 124 | 123,269 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 7,321 | 279,212 | ||||||||||
Series 2016-LC25, Class C | 545 | 462,001 | ||||||||||
Series 2016-NXS6, Class C | 600 | 488,663 |
15
Principal Amount (000) | U.S. $ Value | |||||||||||
WF-RBS Commercial Mortgage Trust | U.S.$ | 227 | $ | 196,208 | ||||||||
|
| |||||||||||
5,797,011 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 2.2% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 1,330 | 1,174,803 | ||||||||||
BBCMS Mortgage Trust | 692 | 657,285 | ||||||||||
BX Commercial Mortgage Trust | 142 | 138,784 | ||||||||||
Series 2019-IMC, Class E | 566 | 552,748 | ||||||||||
Federal Home Loan Mortgage Corp. | 72 | 68,728 | ||||||||||
HFX Funding Issuer | 710 | 678,746 | ||||||||||
Morgan Stanley Capital I Trust | 520 | 485,426 | ||||||||||
Natixis Commercial Mortgage Securities Trust | 322 | 295,570 | ||||||||||
|
| |||||||||||
4,052,090 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.0% | ||||||||||||
Government National Mortgage Association | 168 | 2 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 9,849,103 | |||||||||||
|
|
16
Principal Amount (000) | U.S. $ Value | |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 4.5% | ||||||||||||
CLO - Floating Rate – 4.5% | ||||||||||||
AGL CLO 12 Ltd. | U.S.$ | 500 | $ | 482,769 | ||||||||
Balboa Bay Loan Funding Ltd. | 709 | 659,246 | ||||||||||
Ballyrock CLO 16 Ltd. | 400 | 384,774 | ||||||||||
Elevation CLO Ltd. | 1,000 | 911,264 | ||||||||||
Elmwood CLO IX Ltd. | 700 | 679,963 | ||||||||||
Flatiron CLO 21 Ltd. | 700 | 678,158 | ||||||||||
Goldentree Loan Management US CLO 7 Ltd. | 581 | 576,880 | ||||||||||
OCP CLO Ltd. | 761 | 756,788 | ||||||||||
Peace Park CLO Ltd. | 300 | 289,135 | ||||||||||
Pikes Peak CLO 8 | 675 | 671,458 | ||||||||||
Regatta XX Funding Ltd. | 1,019 | 1,012,739 | ||||||||||
Rockford Tower CLO Ltd. | 711 | 681,651 |
17
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2021-2A, Class A1 | U.S.$ | 504 | $ | 496,817 | ||||||||
Voya CLO Ltd. | 210 | 195,852 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 8,477,494 | |||||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 2.2% | ||||||||||||
Industrial – 2.1% | ||||||||||||
Basic – 0.2% | ||||||||||||
Sealed Air Corp. | 379 | 349,123 | ||||||||||
|
| |||||||||||
Capital Goods – 0.1% | ||||||||||||
TK Elevator Midco GmbH | EUR | 181 | 181,240 | |||||||||
|
| |||||||||||
Communications - Media – 0.7% | ||||||||||||
Altice Financing SA | 181 | 147,528 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | U.S.$ | 136 | 115,050 | |||||||||
4.50%, 06/01/2033(b) | 483 | 382,536 | ||||||||||
4.75%, 02/01/2032(b) | 146 | 120,939 | ||||||||||
DISH DBS Corp. | 322 | 248,442 | ||||||||||
Summer BC Holdco B SARL | EUR | 181 | 177,680 | |||||||||
VZ Vendor Financing II BV | 181 | 159,960 | ||||||||||
|
| |||||||||||
1,352,135 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.2% | ||||||||||||
Altice France SA/France | 181 | 139,285 | ||||||||||
Lorca Telecom Bondco SA | 181 | 186,623 | ||||||||||
|
| |||||||||||
325,908 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.3% | ||||||||||||
Ford Motor Co. | U.S.$ | 232 | 224,493 | |||||||||
ZF North America Capital, Inc. | 289 | 293,569 | ||||||||||
|
| |||||||||||
518,062 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.3% | ||||||||||||
Carnival Corp. | 712 | 632,420 | ||||||||||
|
|
18
Principal Amount (000) | U.S. $ Value | |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV | EUR | 100 | $ | 96,976 | ||||||||
|
| |||||||||||
Services – 0.1% | ||||||||||||
APCOA Parking Holdings GmbH | 181 | 175,572 | ||||||||||
|
| |||||||||||
Technology – 0.1% | ||||||||||||
Seagate HDD Cayman | U.S.$ | 208 | 217,857 | |||||||||
|
| |||||||||||
3,849,293 | ||||||||||||
|
| |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
Vistra Corp. | 218 | 196,429 | ||||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 4,045,722 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.9% | ||||||||||||
Industrial – 0.9% | ||||||||||||
Basic – 0.2% | ||||||||||||
Stillwater Mining Co. | 446 | 401,132 | ||||||||||
Volcan Cia Minera SAA | 76 | 54,364 | ||||||||||
|
| |||||||||||
455,496 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.3% | ||||||||||||
Embraer Netherlands Finance BV | 540 | 529,303 | ||||||||||
Odebrecht Holdco Finance Ltd. | 477 | 1,908 | ||||||||||
|
| |||||||||||
531,211 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.2% | ||||||||||||
Globo Comunicacao e Participacoes SA | 417 | 348,516 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.2% | ||||||||||||
Wynn Macau Ltd. | 330 | 293,700 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.0% | ||||||||||||
Virgolino de Oliveira Finance SA | 660 | 66 | ||||||||||
|
| |||||||||||
1,628,989 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
Terraform Global Operating LP | 60 | 58,681 | ||||||||||
|
|
19
Principal Amount (000) | U.S. $ Value | |||||||||||
Financial Institutions – 0.0% | ||||||||||||
Other Finance – 0.0% | ||||||||||||
OEC Finance Ltd. | U.S.$ | 213 | $ | 8,521 | ||||||||
7.125%, 12/26/2046(b) (l) (m) | 274 | 17,294 | ||||||||||
|
| |||||||||||
25,815 | ||||||||||||
|
| |||||||||||
Total Emerging Markets - Corporate Bonds | 1,713,485 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.9% | ||||||||||||
United States – 0.9% | ||||||||||||
State of California | 970 | 1,200,642 | ||||||||||
University of California | 730 | 500,416 | ||||||||||
|
| |||||||||||
Total Local Governments - US Municipal Bonds | 1,701,058 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.4% | ||||||||||||
Quasi-Sovereign Bonds – 0.4% | ||||||||||||
Hungary – 0.2% | ||||||||||||
Magyar Export-Import Bank Zrt | 387 | 387,008 | ||||||||||
|
| |||||||||||
Mexico – 0.2% | ||||||||||||
Comision Federal de Electricidad | 295 | 268,335 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 655,343 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.2% | ||||||||||||
Colombia – 0.2% | ||||||||||||
Colombia Government International Bond | 375 | 292,687 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCKS – 0.1% | ||||||||||||
Financials – 0.1% | ||||||||||||
Insurance – 0.1% | ||||||||||||
Mt Logan Re Ltd. (Special Investment)(h) (j) (k) | 368 | 265,428 | ||||||||||
|
|
20
Principal Amount (000) | U.S. $ Value | |||||||||||
EMERGING MARKETS - SOVEREIGNS – 0.1% | ||||||||||||
Dominican Republic – 0.1% | ||||||||||||
Dominican Republic International Bond | U.S.$ | 217 | $ | 187,837 | ||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 9.4% | ||||||||||||
U.S. Treasury Bills – 8.9% | ||||||||||||
U.S. Treasury Bill | 1,170 | 1,164,016 | ||||||||||
Zero Coupon, 11/14/2023 | 955 | 940,307 | ||||||||||
Zero Coupon, 11/16/2023 | 3,920 | 3,858,424 | ||||||||||
Zero Coupon, 11/24/2023 | 5,821 | 5,722,912 | ||||||||||
Zero Coupon, 11/30/2023 | 4,963 | 4,874,197 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Bills | 16,559,856 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies – 0.5% | ||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.19%(n) (o) (p) | 849,767 | 849,767 | ||||||||||
|
| |||||||||||
Total Short-Term Investments | 17,409,623 | |||||||||||
|
| |||||||||||
Total Investments – 105.7% | 197,498,699 | |||||||||||
Other assets less liabilities – (5.7)% | (10,579,930 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 186,918,769 | ||||||||||
|
|
FUTURES
Description | Number of | Expiration Month | Current Notional | Value and Unrealized (Depreciation) | ||||||||||||||||
Purchased Contracts | ||||||||||||||||||||
U.S. 10 Yr Ultra Futures | 64 | September 2023 | $ | 7,487,000 | $ | (126,435 | ) | |||||||||||||
U.S. Long Bond (CBT) Futures | 5 | September 2023 | 622,188 | (164 | ) | |||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 339 | September 2023 | 36,212,086 | (508,973 | ) | |||||||||||||||
U.S. Ultra Bond (CBT) Futures | 113 | September 2023 | 14,940,719 | (170,296 | ) | |||||||||||||||
Sold Contracts | ||||||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 6 | September 2023 | 6,191,263 | 46,154 | ||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 59 | September 2023 | 11,978,844 | 54,846 | ||||||||||||||||
|
| |||||||||||||||||||
$ | (704,868 | ) | ||||||||||||||||||
|
|
21
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to (000) | In Exchange (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | EUR | 2,157 | USD | 2,378 | 10/12/2023 | $ | (1,205 | ) | ||||||||||||||||
State Street Bank & Trust Co. | JPY | 246 | USD | 2 | 08/25/2023 | 44 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | (1,161 | ) | ||||||||||||||||||||||
|
|
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 Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY Series 40, 5 Year Index, 06/20/2028* | (5.00 | )% | Quarterly | 4.09% | USD | 9,864 | $ | (404,266 | ) | $ | (20,291 | ) | $ | (383,975 | ) | |||||||||||||||||
iTraxx Australia Series 39, 5 Year Index, 06/20/2028* | (1.00 | ) | Quarterly | 0.72 | USD | 7,594 | (102,155 | ) | (77,542 | ) | (24,613 | ) | ||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
CDX-NAIG Series 40, 5 Year Index, 06/20/2028* | 1.00 | Quarterly | 0.63 | USD | 7,594 | 130,760 | 102,278 | 28,482 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (375,661 | ) | $ | 4,445 | $ | (380,106 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||
USD | 2,000 | 12/13/2029 | 1.537% | 1 Day SOFR | Annual | $ 283,202 | $ 189,569 | $ | 93,633 |
22
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 | ||||||||||||||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50% | USD | 15 | $ | (3,034 | ) | $ | (1,201 | ) | $ | (1,833 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 29 | (6,068 | ) | (2,446 | ) | (3,622 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 29 | (6,068 | ) | (2,647 | ) | (3,421 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 58 | (12,136 | ) | (5,786 | ) | (6,350 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (27,306 | ) | $ | (12,080 | ) | $ | (15,226 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
(a) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(b) | 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 $62,286,300 or 33.3% of net assets. |
(c) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(d) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at July 31, 2023. |
(e) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 1.03% 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 | ||||||||
GSF | 02/25/2021 | $ | 266,703 | $ | 260,585 | 0.14% | ||||||
GSF | 02/25/2021 | 733,552 | 679,316 | 0.36% | ||||||||
GSF | 02/25/2021 | 25,429 | 24,186 | 0.01% | ||||||||
HFX Funding Issuer | 11/19/2020 | 753,732 | 678,746 | 0.36% | ||||||||
JPMorgan Madison Avenue Securities Trust | 11/06/2015 | 18,206 | 17,916 | 0.01% | ||||||||
PMT Credit Risk Transfer Trust | 11/16/2015 | 154,096 | 149,605 | 0.08% | ||||||||
Virgolino de Oliveira Finance SA | 01/24/2014 | 365,927 | 66 | 0.00% | ||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/28/2015 | 114,255 | 105,899 | 0.06% | ||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/28/2015 | 25,810 | 24,786 | 0.01% |
23
(f) | Inverse interest only security. |
(g) | IO - Interest Only. |
(h) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(i) | Defaulted matured security. |
(j) | Non-income producing security. |
(k) | Fair valued by the Adviser. |
(l) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at July 31, 2023. |
(m) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at July 31, 2023. |
(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 $791,314 and gross unrealized depreciation of investments was $(16,392,245), resulting in net unrealized depreciation of $(15,600,931). |
Currency Abbreviations:
EUR – Euro
JPY – Japanese Yen
USD – United States Dollar
Glossary:
ABS – Asset-Backed Securities
ARMs – Adjustable Rate Mortgages
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
OSE – Osaka Securities Exchange
REIT – Real Estate Investment Trust
REMICs – Real Estate Mortgage Investment Conduits
SOFR – Secured Overnight Financing Rate
TBA – To Be Announced
24
AB Total Return Bond 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.
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Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
The following table summarizes the valuation of the 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 | $ | — | $ | 47,127,027 | $ | — | $ | 47,127,027 | ||||||||
Corporates - Investment Grade | 163,000 | 42,122,404 | — | 42,285,404 | ||||||||||||
Mortgage Pass-Throughs | — | 36,537,991 | — | 36,537,991 | ||||||||||||
Asset-Backed Securities | 517,182 | 14,969,977 | — | 15,487,159 | ||||||||||||
Collateralized Mortgage Obligations | — | 11,463,338 | — | 11,463,338 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 8,885,016 | 964,087 | 9,849,103 | ||||||||||||
Collateralized Loan Obligations | — | 8,477,494 | — | 8,477,494 | ||||||||||||
Corporates - Non-Investment Grade | — | 4,045,722 | — | 4,045,722 | ||||||||||||
Emerging Markets - Corporate Bonds | — | 1,713,419 | 66 | 1,713,485 | ||||||||||||
Local Governments - US Municipal Bonds | — | 1,701,058 | — | 1,701,058 | ||||||||||||
Quasi-Sovereigns | — | 655,343 | — | 655,343 | ||||||||||||
Governments - Sovereign Bonds | — | 292,687 | — | 292,687 | ||||||||||||
Common Stocks | — | — | 265,428 | 265,428 | ||||||||||||
Emerging Markets - Sovereigns | — | 187,837 | — | 187,837 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
U.S. Treasury Bills | — | 16,559,856 | — | 16,559,856 | ||||||||||||
Investment Companies | 849,767 | — | — | 849,767 | ||||||||||||
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| |||||||||
Total Investments in Securities | 1,529,949 | 194,739,169 | 1,229,581 | 197,498,699 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 101,000 | — | — | 101,000 | ||||||||||||
Forward Currency Exchange Contracts | — | 44 | — | 44 | ||||||||||||
Centrally Cleared Credit Default Swaps | — | 130,760 | — | 130,760 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 283,202 | — | 283,202 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures | (805,868 | ) | — | — | (805,868 | ) | ||||||||||
Forward Currency Exchange Contracts | — | (1,205 | ) | — | (1,205 | ) | ||||||||||
Centrally Cleared Credit Default Swaps | — | (506,421 | ) | — | (506,421 | ) | ||||||||||
Credit Default Swaps | — | (27,306 | ) | — | (27,306 | ) | ||||||||||
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| |||||||||
Total | $ | 825,081 | $ | 194,618,243 | $ | 1,229,581 | $ | 196,672,905 | ||||||||
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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. |
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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 | $ | 532 | $ | 73,633 | $ | 73,315 | $ | 850 | $ | 57 |
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