Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Short Duration Plus Portfolio
June 30, 2023 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS - TREASURIES – 69.2% |
| |||||||||||
United States – 69.2% |
| |||||||||||
U.S. Treasury Notes | U.S.$ | 47,125 | $ | 46,049,570 | ||||||||
0.75%, 08/31/2026 | 1,749 | 1,559,521 | ||||||||||
3.00%, 06/30/2024 | 3,254 | 3,177,128 | ||||||||||
3.25%, 08/31/2024 | 57,972 | 56,576,951 | ||||||||||
3.50%, 04/30/2028 | 1,448 | 1,406,661 | ||||||||||
4.00%, 06/30/2028 | 849 | 843,860 | ||||||||||
4.125%, 10/31/2027 | 1,610 | 1,600,447 | ||||||||||
4.25%, 09/30/2024 | 5,741 | 5,664,456 | ||||||||||
4.25%, 12/31/2024 | 20,699 | 20,408,117 | ||||||||||
4.375%, 10/31/2024 | 11,470 | 11,330,012 | ||||||||||
4.50%, 11/30/2024 | 8,826 | 8,732,620 | ||||||||||
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Total Governments - Treasuries |
| 157,349,343 | ||||||||||
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| |||||||||||
CORPORATES - INVESTMENT GRADE – 9.8% |
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Financial Institutions – 5.2% |
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Banking – 4.1% |
| |||||||||||
AIB Group PLC | 681 | 692,713 | ||||||||||
Australia & New Zealand Banking Group Ltd. | 294 | 290,872 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA | 600 | 591,450 | ||||||||||
Banco Santander SA | 200 | 187,428 | ||||||||||
Bank of Ireland Group PLC | 343 | 340,753 | ||||||||||
Cooperatieve Rabobank UA | 282 | 263,521 | ||||||||||
Credit Suisse AG | 302 | 300,427 | ||||||||||
Danske Bank A/S | 353 | 344,969 | ||||||||||
Deutsche Bank AG/New York NY | 267 | 264,952 | ||||||||||
HSBC Holdings PLC | 595 | 564,911 | ||||||||||
4.755%, 06/09/2028 | 790 | 759,024 | ||||||||||
Intesa Sanpaolo SpA | 201 | 202,807 | ||||||||||
JPMorgan Chase & Co. | 426 | 424,373 | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 267 | 263,185 | ||||||||||
Nationwide Building Society | 310 | 278,600 | ||||||||||
Santander Holdings USA, Inc. | 185 | 159,986 | ||||||||||
6.499%, 03/09/2029 | 159 | 157,426 | ||||||||||
Santander UK Group Holdings PLC | 407 | 408,099 |
1
Principal Amount (000) | U.S. $ Value | |||||||||||
Societe Generale SA | U.S.$ | 367 | $ | 324,644 | ||||||||
6.447%, 01/12/2027(a) | 273 | 272,571 | ||||||||||
Standard Chartered PLC | 621 | 602,072 | ||||||||||
7.776%, 11/16/2025(a) | 307 | 313,686 | ||||||||||
Sumitomo Mitsui Financial Group, Inc. | 757 | 755,130 | ||||||||||
UBS Group AG | 479 | 476,016 | ||||||||||
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| |||||||||||
9,239,615 | ||||||||||||
|
| |||||||||||
Finance – 0.3% | ||||||||||||
Aviation Capital Group LLC | 298 | 265,271 | ||||||||||
1.95%, 09/20/2026(a) | 99 | 85,873 | ||||||||||
5.50%, 12/15/2024(a) | 65 | 63,592 | ||||||||||
Synchrony Financial | 204 | 177,698 | ||||||||||
4.875%, 06/13/2025 | 199 | 189,257 | ||||||||||
|
| |||||||||||
781,691 | ||||||||||||
|
| |||||||||||
REITs – 0.8% | ||||||||||||
American Tower Corp. | 235 | 220,228 | ||||||||||
5.25%, 07/15/2028 | 106 | 105,002 | ||||||||||
Vornado Realty LP | 426 | 360,848 | ||||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC | 1,072 | 1,010,596 | ||||||||||
|
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1,696,674 | ||||||||||||
|
| |||||||||||
11,717,980 | ||||||||||||
|
| |||||||||||
Industrial – 4.5% | ||||||||||||
Basic – 0.3% | ||||||||||||
Glencore Funding LLC | 623 | 615,138 | ||||||||||
|
| |||||||||||
Capital Goods – 0.3% | ||||||||||||
CNH Industrial Capital LLC | 376 | 363,912 | ||||||||||
Parker-Hannifin Corp. | 389 | 381,274 | ||||||||||
|
| |||||||||||
745,186 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.3% | ||||||||||||
Prosus NV | 367 | 331,566 | ||||||||||
Warnermedia Holdings, Inc. | 359 | 346,909 | ||||||||||
|
| |||||||||||
678,475 | ||||||||||||
|
|
2
Principal Amount (000) | U.S. $ Value | |||||||||||
Consumer Cyclical - Automotive – 0.7% | ||||||||||||
General Motors Financial Co., Inc. | U.S.$ | 211 | $ | 210,255 | ||||||||
Harley-Davidson Financial Services, Inc. | 577 | 517,465 | ||||||||||
Hyundai Capital America | 1,010 | 918,555 | ||||||||||
|
| |||||||||||
1,646,275 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.2% | ||||||||||||
Las Vegas Sands Corp. | 393 | 369,259 | ||||||||||
3.20%, 08/08/2024 | 227 | 220,145 | ||||||||||
|
| |||||||||||
589,404 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.8% | ||||||||||||
BAT International Finance PLC | 740 | 665,371 | ||||||||||
Philip Morris International, Inc. | 445 | 441,814 | ||||||||||
5.00%, 11/17/2025 | 407 | 405,083 | ||||||||||
Zoetis, Inc. | 230 | 230,667 | ||||||||||
|
| |||||||||||
1,742,935 | ||||||||||||
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Energy – 0.8% | ||||||||||||
Canadian Natural Resources Ltd. | 663 | 617,943 | ||||||||||
Continental Resources, Inc./OK | 618 | 549,575 | ||||||||||
Marathon Oil Corp. | 352 | 335,980 | ||||||||||
Var Energi ASA | 349 | 359,676 | ||||||||||
|
| |||||||||||
1,863,174 | ||||||||||||
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| |||||||||||
Other Industrial – 0.2% | ||||||||||||
LKQ Corp. | 368 | 366,605 | ||||||||||
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| |||||||||||
Services – 0.2% | ||||||||||||
Amazon.com, Inc. | 412 | 409,326 | ||||||||||
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Technology – 0.3% | ||||||||||||
Kyndryl Holdings, Inc. | 641 | 556,734 | ||||||||||
TSMC Arizona Corp. | 227 | 217,643 | ||||||||||
|
| |||||||||||
774,377 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.4% | ||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 875 | 855,740 | ||||||||||
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| |||||||||||
10,286,635 | ||||||||||||
|
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3
Principal Amount (000) | U.S. $ Value | |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
Public Service Enterprise Group, Inc. | U.S.$ | 266 | $ | 271,703 | ||||||||
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| |||||||||||
Total Corporates - Investment Grade | 22,276,318 | |||||||||||
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| |||||||||||
ASSET-BACKED SECURITIES – 8.3% | ||||||||||||
Autos - Fixed Rate – 6.1% | ||||||||||||
ACM Auto Trust | 422 | 421,457 | ||||||||||
American Credit Acceptance Receivables Trust | 244 | 243,650 | ||||||||||
Carmax Auto Owner Trust | 190 | 174,064 | ||||||||||
Carvana Auto Receivables Trust | 190 | 176,980 | ||||||||||
CPS Auto Receivables Trust | 101 | 100,419 | ||||||||||
Series 2021-B, Class C | 303 | 298,071 | ||||||||||
Series 2022-D, Class A | 648 | 648,729 | ||||||||||
Series 2023-A, Class A | 266 | 265,111 | ||||||||||
Donlen Fleet Lease Funding 2 LLC | 371 | 349,761 | ||||||||||
Drive Auto Receivables Trust | 120 | 117,886 | ||||||||||
DT Auto Owner Trust | 185 | 178,950 | ||||||||||
Series 2023-1A, Class A | 542 | 539,790 | ||||||||||
Enterprise Fleet Financing LLC | 720 | 715,995 | ||||||||||
Exeter Automobile Receivables Trust | 34 | 34,339 | ||||||||||
Series 2021-1A, Class C | 198 | 195,608 | ||||||||||
FHF Trust | 218 | 218,338 |
4
Principal Amount (000) | U.S. $ Value | |||||||||||
First Investors Auto Owner Trust | U.S.$ | 351 | $ | 333,388 | ||||||||
Flagship Credit Auto Trust | 615 | 591,725 | ||||||||||
Ford Credit Auto Owner Trust | 202 | 180,656 | ||||||||||
Foursight Capital Automobile Receivables Trust | 229 | 222,789 | ||||||||||
Hertz Vehicle Financing III LLC | 562 | 521,373 | ||||||||||
JPMorgan Chase Bank, NA - CACLN | 28 | 27,711 | ||||||||||
Series 2020-2, Class D | 28 | 27,639 | ||||||||||
Series 2021-1, Class B | 189 | 183,021 | ||||||||||
Series 2021-2, Class B | 157 | 151,785 | ||||||||||
LAD Auto Receivables Trust | 401 | 396,227 | ||||||||||
Lendbuzz Securitization Trust | 95 | 94,713 | ||||||||||
Series 2023-2A, Class A1 | 274 | 273,783 | ||||||||||
Prestige Auto Receivables Trust | 605 | 604,514 | ||||||||||
Research-Driven Pagaya Motor Asset Trust VII | 511 | 499,623 | ||||||||||
Santander Bank Auto Credit-Linked Notes | 295 | 289,913 | ||||||||||
Series 2022-B, Class B | 438 | 434,924 | ||||||||||
Series 2022-C, Class B | 343 | 342,581 | ||||||||||
Santander Consumer Auto Receivables Trust | 727 | 663,508 | ||||||||||
Santander Drive Auto Receivables Trust | 424 | 409,546 |
5
Principal Amount (000) | U.S. $ Value | |||||||||||
Tricolor Auto Securitization Trust | U.S.$ | 439 | $ | 438,087 | ||||||||
United Auto Credit Securitization Trust | 153 | 152,946 | ||||||||||
Westlake Automobile Receivables Trust | 427 | 421,653 | ||||||||||
Series 2023-1A, Class A2A | 822 | 818,956 | ||||||||||
World Omni Select Auto Trust | 1,008 | 1,006,125 | ||||||||||
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13,766,334 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 2.2% | ||||||||||||
Affirm Asset Securitization Trust | 198 | 187,158 | ||||||||||
Series 2021-Z1, Class A | 54 | 52,262 | ||||||||||
Amur Equipment Finance Receivables XI LLC | 257 | 254,245 | ||||||||||
Atalaya Equipment Leasing Trust | 185 | 181,198 | ||||||||||
Avant Loans Funding Trust | 811 | 797,229 | ||||||||||
Cajun Global LLC | 101 | 85,699 | ||||||||||
College Ave Student Loans LLC | 400 | 343,729 | ||||||||||
Crossroads Asset Trust | 86 | 85,566 | ||||||||||
Dext ABS LLC | 351 | 337,033 | ||||||||||
Hardee’s Funding LLC | 854 | 765,054 | ||||||||||
Kubota Credit Owner Trust | 760 | 753,144 | ||||||||||
MVW LLC | 347 | 306,733 |
6
Principal Amount (000) | U.S. $ Value | |||||||||||
Neighborly Issuer LLC | U.S.$ | 222 | $ | 184,826 | ||||||||
Nelnet Student Loan Trust | 321 | 284,853 | ||||||||||
Series 2021-DA, Class AFX | 106 | 95,109 | ||||||||||
NMEF Funding LLC | 306 | 303,736 | ||||||||||
Upstart Securitization Trust | 52 | 51,871 | ||||||||||
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5,069,445 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 18,835,779 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.4% | ||||||||||||
Risk Share Floating Rate – 4.9% | ||||||||||||
Bellemeade Re Ltd. | 684 | 685,517 | ||||||||||
Series 2021-2A, Class M1A | 161 | 159,960 | ||||||||||
Series 2021-3A, Class A2 | 480 | 469,173 | ||||||||||
Series 2022-2, Class M1A | 858 | 876,226 | ||||||||||
Connecticut Avenue Securities Trust | 44 | 43,877 | ||||||||||
Series 2021-R03, Class 1M1 | 397 | 393,316 | ||||||||||
Series 2022-R01, Class 1M1 | 906 | 896,319 | ||||||||||
Series 2022-R02, Class 2M1 | 300 | 298,139 | ||||||||||
Series 2022-R05, Class 2M1 | 124 | 124,197 |
7
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2022-R08, Class 1M1 | U.S.$ | 691 | $ | 700,819 | ||||||||
Series 2023-R02, Class 1M1 | 331 | 332,087 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 54 | 54,141 | ||||||||||
Series 2021-DNA5, Class M2 | 145 | 144,834 | ||||||||||
Series 2021-DNA6, Class M1 | 306 | 304,700 | ||||||||||
Series 2021-DNA7, Class M1 | 601 | 593,978 | ||||||||||
Series 2021-HQA4, Class M1 | 424 | 411,392 | ||||||||||
Series 2022-DNA1, Class M1A | 323 | 317,306 | ||||||||||
Series 2022-DNA2, Class M1A | 329 | 327,025 | ||||||||||
Series 2022-DNA4, Class M1A | 288 | 290,075 | ||||||||||
Series 2022-DNA5, Class M1A | 401 | 408,063 | ||||||||||
Series 2022-DNA6, Class M1A | 318 | 320,126 | ||||||||||
Series 2022-DNA7, Class M1A | 847 | 853,998 | ||||||||||
Series 2022-HQA1, Class M1A | 429 | 430,047 | ||||||||||
Series 2022-HQA2, Class M1A | 690 | 701,166 | ||||||||||
Series 2023-DNA1, Class M1A | 406 | 406,853 |
8
Principal Amount (000) | U.S. $ Value | |||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | U.S.$ | 164 | $ | 170,902 | ||||||||
Series 2015-C01, Class 1M2 | 30 | 31,379 | ||||||||||
Series 2015-C02, Class 1M2 | 9 | 9,281 | ||||||||||
Series 2021-R02, Class 2M1 | 312 | 309,977 | ||||||||||
PMT Credit Risk Transfer Trust | 64 | 63,290 | ||||||||||
Series 2019-3R, Class A | 21 | 20,068 | ||||||||||
Triangle Re Ltd. | 162 | 162,563 | ||||||||||
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11,310,794 | ||||||||||||
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Agency Floating Rate – 0.4% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 242 | 236,321 | ||||||||||
Series 4286, Class VF | 209 | 203,590 | ||||||||||
Federal National Mortgage Association REMICs | 155 | 150,311 | ||||||||||
Series 2014-49, Class AF | 272 | 264,524 | ||||||||||
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| |||||||||||
854,746 | ||||||||||||
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Agency Fixed Rate – 0.1% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 199 | 187,078 | ||||||||||
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Non-Agency Floating Rate – 0.0% | ||||||||||||
JPMorgan Chase Bank, NA | 49 | 47,169 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 12,399,787 | |||||||||||
|
|
9
Principal Amount (000) | U.S. $ Value | |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.9% | ||||||||||||
Non-Agency Floating Rate CMBS – 1.8% | ||||||||||||
AREIT Trust | U.S.$ | 761 | $ | 741,195 | ||||||||
BBCMS Mortgage Trust | 546 | 512,597 | ||||||||||
BFLD Trust | 795 | 755,939 | ||||||||||
CLNY Trust | 180 | 166,451 | ||||||||||
GCT Commercial Mortgage Trust | 469 | 369,658 | ||||||||||
HFX Funding Issuer | 470 | 445,632 | ||||||||||
Morgan Stanley Capital I Trust | 365 | 347,105 | ||||||||||
Natixis Commercial Mortgage Securities Trust | 166 | 155,731 | ||||||||||
VASA Trust | 830 | 729,297 | ||||||||||
|
| |||||||||||
4,223,605 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS – 1.1% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 185 | 148,932 | ||||||||||
Citigroup Commercial Mortgage Trust | 516 | 499,760 | ||||||||||
GS Mortgage Securities Trust | 420 | 394,758 |
10
Principal Amount (000) | U.S. $ Value | |||||||||||
GSF | U.S.$ | 380 | $ | 357,381 | ||||||||
Series 2021-1, Class A2 | 538 | 508,134 | ||||||||||
Series 2021-1, Class AS | 18 | 16,491 | ||||||||||
LSTAR Commercial Mortgage Trust | 120 | 119,619 | ||||||||||
UBS-Barclays Commercial Mortgage Trust | 505 | 358,301 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 6 | 5,988 | ||||||||||
|
| |||||||||||
2,409,364 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.0% | ||||||||||||
Government National Mortgage Association | 249 | 3,421 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 6,636,390 | |||||||||||
|
| |||||||||||
AGENCIES – 1.4% | ||||||||||||
Agency Debentures – 1.4% | ||||||||||||
Federal Home Loan Banks | 445 | 437,012 | ||||||||||
Federal Home Loan Mortgage Corp. | 2,000 | 1,986,003 | ||||||||||
Federal National Mortgage Association | 810 | 795,658 | ||||||||||
|
| |||||||||||
Total Agencies | 3,218,673 | |||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 1.3% | ||||||||||||
CLO - Floating Rate – 1.3% | ||||||||||||
AGL CLO 12 Ltd. | 686 | 673,549 | ||||||||||
Dryden 78 CLO Ltd. | 320 | 304,285 | ||||||||||
Elevation CLO Ltd. | 250 | 236,751 |
11
Principal Amount (000) | U.S. $ Value | |||||||||||
Goldentree Loan Management US CLO 7 Ltd. | U.S.$ | 453 | $ | 444,632 | ||||||||
Magnetite XXVI Ltd. | 739 | 728,272 | ||||||||||
Rad CLO 7 Ltd. | 444 | 439,243 | ||||||||||
Voya CLO Ltd. | 130 | 116,934 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 2,943,666 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 0.6% | ||||||||||||
Agency Fixed Rate 30-Year – 0.6% | ||||||||||||
Federal Home Loan Mortgage Corp. | 125 | 115,373 | ||||||||||
3.50%, 11/01/2049 | 602 | 556,455 | ||||||||||
Federal National Mortgage Association | 539 | 540,874 | ||||||||||
Government National Mortgage Association | 26 | 26,911 | ||||||||||
Series 2009 | 212 | 211,000 | ||||||||||
|
| |||||||||||
1,450,613 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year – 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp. Gold | 4 | 3,643 | ||||||||||
6.50%, 03/01/2026 | 5 | 4,493 | ||||||||||
|
| |||||||||||
8,136 | ||||||||||||
|
| |||||||||||
Agency ARMs – 0.0% | ||||||||||||
Federal National Mortgage Association | 0 | ** | 494 | |||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 1,459,243 | |||||||||||
|
|
12
Principal Amount (000) | U.S. $ Value | |||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.2% | ||||||||||||
United States – 0.2% | ||||||||||||
New Jersey Turnpike Authority | U.S.$ | 125 | $ | 112,975 | ||||||||
Port Authority of New York & New Jersey | 280 | 280,000 | ||||||||||
|
| |||||||||||
Total Local Governments - US Municipal Bonds | 392,975 | |||||||||||
|
| |||||||||||
Total Investments – 99.1% | 225,512,174 | |||||||||||
Other assets less liabilities – 0.9% | 1,974,618 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 227,486,792 | ||||||||||
|
|
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation (Depreciation) | ||||||||||||||||
Purchased Contracts | ||||||||||||||||||||
U.S. 10 Yr Ultra Futures | 6 | September 2023 | $ | 710,625 | $ | (3,852 | ) | |||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 375 | September 2023 | 76,253,906 | (1,066,089 | ) | |||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 379 | September 2023 | 40,588,531 | (560,954 | ) | |||||||||||||||
Sold Contracts | ||||||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 9 | September 2023 | 9,265,394 | (40,895 | ) | |||||||||||||||
U.S. Ultra Bond (CBT) Futures | 1 | September 2023 | 136,219 | (2,572 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | (1,674,362 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 3,907 | USD | 28 | 08/25/2023 | $ 970 |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at June 30, 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 | 4.29% | USD | 2,770 | $ | (82,475) | $ | (5,791) | $ | (76,684) |
* | Termination date |
13
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
USD | 2,830 | 05/21/2031 | 1.365% | 1 Day SOFR | Annual | $ | 449,162 | $ | 364,156 | $ | 85,006 |
** | Principal amount less than 500. |
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At June 30, 2023, the aggregate market value of these securities amounted to $46,818,528 or 20.6% of net assets. |
(b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at June 30, 2023. |
(c) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.59% of net assets as of June 30, 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 | $ | 368,700 | $ | 357,381 | 0.16% | ||||||
GSF | 02/25/2021 | 549,170 | 508,134 | 0.22% | ||||||||
GSF | 02/25/2021 | 18,317 | 16,491 | 0.01% | ||||||||
HFX Funding Issuer | 11/19/2022 | 499,114 | 445,632 | 0.20% |
(d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(e) | IO - Interest Only. |
(f) | As of June 30, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $201,940 and gross unrealized depreciation of investments was $(6,601,409), resulting in net unrealized depreciation of $(6,399,469). |
Currency Abbreviations:
JPY – Japanese Yen
USD – United States Dollar
Glossary:
ABS – Asset-Backed Securities
ARMs – Adjustable Rate Mortgages
CBT – Chicago Board of Trade
CDX-NAHY – North American High Yield 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
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Sanford C. Bernstein Fund, Inc.
Short Duration Plus Portfolio
June 30, 2023 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
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The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of June 30, 2023:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Governments - Treasuries | $ | — | $ | 157,349,343 | $ | — | $ | 157,349,343 | ||||||||
Corporates - Investment Grade | — | 22,276,318 | — | 22,276,318 | ||||||||||||
Asset-Backed Securities | — | 18,835,779 | — | 18,835,779 | ||||||||||||
Collateralized Mortgage Obligations | — | 12,399,787 | — | 12,399,787 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 5,754,384 | 882,006 | 6,636,390 | ||||||||||||
Agencies | — | 3,218,673 | — | 3,218,673 | ||||||||||||
Collateralized Loan Obligations | — | 2,943,666 | — | 2,943,666 | ||||||||||||
Mortgage Pass-Throughs | — | 1,459,243 | — | 1,459,243 | ||||||||||||
Local Governments - US Municipal Bonds | — | 392,975 | — | 392,975 | ||||||||||||
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Total Investments in Securities | — | 224,630,168 | 882,006 | 225,512,174 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Forward Currency Exchange Contracts | — | 970 | — | 970 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 449,162 | — | 449,162 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (1,674,362 | ) | — | — | (1,674,362 | ) | ||||||||||
Centrally Cleared Credit Default Swaps | — | (82,475 | ) | — | (82,475 | ) | ||||||||||
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Total | $ | (1,674,362 | ) | $ | 224,997,825 | $ | 882,006 | $ | 224,205,469 | |||||||
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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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