Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Overlay B Portfolio
June 30, 2024 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS - TREASURIES – 20.0% | ||||||||||||
Austria – 0.1% | ||||||||||||
Republic of Austria Government Bond | EUR | 494 | $ | 455,379 | ||||||||
|
| |||||||||||
Belgium – 0.1% | ||||||||||||
Kingdom of Belgium Government Bond | 445 | 385,209 | ||||||||||
Series 100 | 115 | 119,682 | ||||||||||
|
| |||||||||||
504,891 | ||||||||||||
|
| |||||||||||
China – 0.5% | ||||||||||||
China Government Bond | CNY | 12,420 | 1,738,245 | |||||||||
|
| |||||||||||
Colombia – 0.3% | ||||||||||||
Colombian TES | COP | 3,911,900 | 1,070,461 | |||||||||
|
| |||||||||||
France – 0.3% | ||||||||||||
French Republic Government Bond OAT | EUR | 879 | 960,636 | |||||||||
|
| |||||||||||
Germany – 0.5% | ||||||||||||
Bundesrepublik Deutschland Bundesanleihe | 922 | 800,079 | ||||||||||
3.25%, 07/04/2042(a) | 1,036 | 1,194,454 | ||||||||||
|
| |||||||||||
1,994,533 | ||||||||||||
|
| |||||||||||
Hungary – 0.0% | ||||||||||||
Hungary Government Bond | HUF | 40,660 | 95,939 | |||||||||
|
| |||||||||||
Indonesia – 0.4% | ||||||||||||
Indonesia Treasury Bond | IDR | 26,850,000 | 1,633,478 | |||||||||
|
| |||||||||||
Italy – 0.6% | ||||||||||||
Italy Buoni Poliennali Del Tesoro | EUR | 1,004 | 1,061,159 | |||||||||
Series 10Y | 613 | 666,997 | ||||||||||
Series 13Y | 364 | 383,059 | ||||||||||
Series 16Y | 134 | 128,462 | ||||||||||
|
| |||||||||||
2,239,677 | ||||||||||||
|
|
1
Principal Amount (000) | U.S. $ Value | |||||||||||
Japan – 2.0% | ||||||||||||
Japan Government Five Year Bond | JPY | 486,150 | $ | 3,000,539 | ||||||||
Japan Government Forty Year Bond | 108,150 | 686,798 | ||||||||||
Series 16 | 91,950 | 423,671 | ||||||||||
Japan Government Thirty Year Bond | 99,100 | 432,279 | ||||||||||
Series 81 | 42,900 | 234,879 | ||||||||||
Series 82 | 221,050 | 1,267,043 | ||||||||||
Japan Government Twenty Year Bond | 49,250 | 326,148 | ||||||||||
Series 183 | 216,400 | 1,268,621 | ||||||||||
|
| |||||||||||
7,639,978 | ||||||||||||
|
| |||||||||||
Poland – 0.3% | ||||||||||||
Republic of Poland Government Bond | PLN | 4,487 | 1,052,271 | |||||||||
|
| |||||||||||
1,052,271 | ||||||||||||
|
| |||||||||||
South Korea – 0.4% | ||||||||||||
Korea Treasury Bond | KRW | 1,701,730 | 1,318,625 | |||||||||
|
| |||||||||||
1,318,625 | ||||||||||||
|
| |||||||||||
Spain – 0.9% | ||||||||||||
Spain Government Bond | EUR | 2,332 | 2,504,100 | |||||||||
3.90%, 07/30/2039(a) | 981 | 1,072,318 | ||||||||||
|
| |||||||||||
3,576,418 | ||||||||||||
|
| |||||||||||
United Kingdom – 1.6% | ||||||||||||
United Kingdom Gilt | GBP | 666 | 718,671 | |||||||||
0.875%, 01/31/2046(a) | 453 | 282,386 | ||||||||||
1.50%, 07/31/2053(a) | 405 | 258,220 | ||||||||||
1.75%, 09/07/2037(a) | 430 | 403,375 | ||||||||||
4.625%, 01/31/2034(a) | 2,882 | 3,770,252 | ||||||||||
4.75%, 10/22/2043(a) | 319 | 410,660 | ||||||||||
|
| |||||||||||
5,843,564 | ||||||||||||
|
|
2
Principal Amount (000) | U.S. $ Value | |||||||||||
United States – 12.0% | ||||||||||||
U.S. Treasury Bonds | U.S.$ | 3,964 | $ | 2,424,234 | ||||||||
1.25%, 05/15/2050 | 2,716 | 1,355,504 | ||||||||||
1.875%, 02/15/2051(b) | 4,362 | 2,564,484 | ||||||||||
2.00%, 08/15/2051 | 829 | 501,174 | ||||||||||
2.25%, 08/15/2046 | 471 | 315,771 | ||||||||||
2.25%, 02/15/2052 | 139 | 88,941 | ||||||||||
2.875%, 05/15/2043 | 476 | 370,975 | ||||||||||
2.875%, 05/15/2049 | 480 | 356,625 | ||||||||||
2.875%, 05/15/2052 | 1,035 | 763,327 | ||||||||||
3.00%, 11/15/2045 | 182 | 141,201 | ||||||||||
3.00%, 08/15/2052 | 321 | 242,906 | ||||||||||
3.625%, 08/15/2043 | 1,272 | 1,109,708 | ||||||||||
3.625%, 02/15/2053 | 868 | 743,261 | ||||||||||
3.625%, 05/15/2053 | 462 | 395,488 | ||||||||||
3.875%, 02/15/2043 | 2,161 | 1,960,654 | ||||||||||
4.00%, 11/15/2042 | 790 | 731,305 | ||||||||||
4.25%, 02/15/2054 | 67 | 64,003 | ||||||||||
4.375%, 11/15/2039(b) | 4,358 | 4,323,854 | ||||||||||
4.375%, 08/15/2043 | 674 | 653,359 | ||||||||||
4.50%, 08/15/2039 | 1,302 | 1,311,557 | ||||||||||
4.50%, 02/15/2044 | 498 | 490,291 | ||||||||||
4.75%, 11/15/2043 | 477 | 485,653 | ||||||||||
4.75%, 11/15/2053 | 642 | 667,884 | ||||||||||
U.S. Treasury Notes | 5,664 | 5,318,059 | ||||||||||
4.00%, 01/31/2029 | 3,935 | 3,876,811 | ||||||||||
4.125%, 03/31/2029 | 742 | 734,548 | ||||||||||
4.25%, 02/28/2029 | 4,677 | 4,659,063 | ||||||||||
4.50%, 05/31/2029 | 248 | 249,659 | ||||||||||
4.50%, 11/15/2033 | 192 | 193,785 | ||||||||||
4.625%, 09/30/2028(b) | 7,078 | 7,142,144 | ||||||||||
4.625%, 04/30/2029 | 642 | 649,926 | ||||||||||
4.875%, 04/30/2026 | 431 | 431,774 | ||||||||||
|
| |||||||||||
45,317,928 | ||||||||||||
|
| |||||||||||
Total Governments - Treasuries | 75,442,023 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 17.6% | ||||||||||||
Financial Institutions – 8.4% | ||||||||||||
Banking – 6.9% | ||||||||||||
ABN AMRO Bank NV | EUR | 200 | 208,587 | |||||||||
Ally Financial, Inc. | U.S.$ | 315 | 327,121 | |||||||||
American Express Co. | 408 | 406,237 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA | 600 | 654,084 | ||||||||||
Banco de Credito del Peru SA | 545 | 525,925 |
3
Principal Amount (000) | U.S. $ Value | |||||||||||
Banco Santander SA | U.S.$ | 600 | $ | 578,172 | ||||||||
6.35%, 03/14/2034 | 200 | 200,544 | ||||||||||
Series E | EUR | 100 | 111,618 | |||||||||
Bank of America Corp. | U.S.$ | 369 | 356,852 | |||||||||
Series E | EUR | 401 | 354,383 | |||||||||
Bank of Ireland Group PLC | U.S.$ | 800 | 795,472 | |||||||||
Series E | EUR | 164 | 165,194 | |||||||||
Banque Federative du Credit Mutuel SA | 300 | 316,819 | ||||||||||
Barclays PLC | U.S.$ | 270 | 270,364 | |||||||||
6.375%, 12/15/2025(a) (c) | GBP | 232 | 285,271 | |||||||||
Series E | 100 | 133,246 | ||||||||||
BNP Paribas SA | U.S.$ | 469 | 467,199 | |||||||||
7.375%, 08/19/2025(a) (c) | 200 | 199,618 | ||||||||||
BPCE SA | 366 | 295,556 | ||||||||||
6.508%, 01/18/2035(a) | 646 | 647,602 | ||||||||||
CaixaBank SA | 272 | 272,906 | ||||||||||
6.684%, 09/13/2027(a) | 200 | 203,668 | ||||||||||
Capital One Financial Corp. | 162 | 161,324 | ||||||||||
6.377%, 06/08/2034 | 15 | 15,403 | ||||||||||
Citigroup, Inc. | 246 | 204,989 | ||||||||||
Series AA | 30 | 31,199 | ||||||||||
Series W | 574 | 550,518 | ||||||||||
Series Y | 278 | 259,646 | ||||||||||
Commonwealth Bank of Australia | 107 | 107,144 | ||||||||||
Cooperatieve Rabobank UA | GBP | 142 | 171,545 | |||||||||
Credit Agricole SA | U.S.$ | 569 | 572,602 | |||||||||
Deutsche Bank AG | EUR | 300 | 315,165 | |||||||||
5.375%, 01/11/2029(a) | 100 | 111,406 | ||||||||||
Deutsche Bank AG/New York NY | U.S.$ | 455 | 451,114 |
4
Principal Amount (000) | U.S. $ Value | |||||||||||
Discover Bank | U.S.$ | 300 | $ | 299,160 | ||||||||
Federation des Caisses Desjardins du Quebec | 555 | 542,962 | ||||||||||
Ford Credit Canada Co./Canada | CAD | 231 | 176,687 | |||||||||
Goldman Sachs Group, Inc. (The) | U.S.$ | 46 | 38,255 | |||||||||
Series P | 171 | 171,368 | ||||||||||
HSBC Holdings PLC | 215 | 233,228 | ||||||||||
8.113%, 11/03/2033 | 240 | 271,296 | ||||||||||
ING Groep NV | 340 | 343,655 | ||||||||||
Intesa Sanpaolo SpA | 248 | 256,400 | ||||||||||
7.20%, 11/28/2033(a) | 581 | 622,844 | ||||||||||
JPMorgan Chase & Co. | 280 | 238,689 | ||||||||||
6.289% (SOFR + 0.92%), 02/24/2026(d) | 95 | 95,289 | ||||||||||
Series E | EUR | 327 | 335,352 | |||||||||
Series X | U.S.$ | 360 | 360,094 | |||||||||
KBC Group NV | EUR | 200 | 207,539 | |||||||||
Lloyds Banking Group PLC | U.S.$ | 650 | 650,377 | |||||||||
Mizuho Financial Group, Inc. | 268 | 267,641 | ||||||||||
Morgan Stanley | EUR | 677 | 673,172 | |||||||||
4.656%, 03/02/2029 | 115 | 126,977 | ||||||||||
4.813%, 10/25/2028 | 246 | 272,878 | ||||||||||
Nationwide Building Society | U.S.$ | 1,007 | 943,539 | |||||||||
6.657% (SOFR + 1.29%), 02/16/2028(a) (d) | 384 | 386,104 | ||||||||||
NatWest Group PLC | 468 | 391,978 | ||||||||||
8.125%, 11/10/2033(c) | 617 | 624,756 | ||||||||||
Series E | EUR | 115 | 128,644 | |||||||||
PNC Financial Services Group, Inc. (The) | U.S.$ | 111 | 111,455 | |||||||||
Santander Holdings USA, Inc. | 144 | 132,693 | ||||||||||
6.174%, 01/09/2030 | 143 | 144,224 | ||||||||||
6.499%, 03/09/2029 | 26 | 26,467 |
5
Principal Amount (000) | U.S. $ Value | |||||||||||
Santander UK Group Holdings PLC | U.S.$ | 443 | $ | 408,845 | ||||||||
6.833%, 11/21/2026 | 311 | 315,018 | ||||||||||
Series E | EUR | 151 | 141,047 | |||||||||
Skandinaviska Enskilda Banken AB | U.S.$ | 592 | 591,822 | |||||||||
Societe Generale SA | 203 | 200,686 | ||||||||||
Standard Chartered PLC | 255 | 236,291 | ||||||||||
3.971%, 03/30/2026(a) | 550 | 542,074 | ||||||||||
7.101% (CME Term SOFR 3 Month + 1.51%), 01/30/2027(a) (c) (d) | 400 | 378,644 | ||||||||||
Svenska Handelsbanken AB | 600 | 514,908 | ||||||||||
Swedbank AB | EUR | 292 | 306,989 | |||||||||
Series NC5 | U.S.$ | 400 | 398,008 | |||||||||
UBS Group AG | 452 | 454,287 | ||||||||||
7.00%, 02/19/2025(a) (c) | 400 | 399,000 | ||||||||||
9.25%, 11/13/2028(a) (c) | 323 | 346,886 | ||||||||||
UniCredit SpA | 455 | 436,591 | ||||||||||
3.127%, 06/03/2032(a) | 327 | 277,420 | ||||||||||
Wells Fargo & Co. | 52 | 45,141 | ||||||||||
5.499%, 01/23/2035 | 121 | 120,708 | ||||||||||
|
| |||||||||||
25,916,581 | ||||||||||||
|
| |||||||||||
Brokerage – 0.2% | ||||||||||||
Charles Schwab Corp. (The) | 564 | 563,842 | ||||||||||
Nomura Holdings, Inc. | 379 | 379,193 | ||||||||||
|
| |||||||||||
943,035 | ||||||||||||
|
| |||||||||||
Finance – 0.3% | ||||||||||||
Air Lease Corp. | CAD | 266 | 197,668 | |||||||||
Aviation Capital Group LLC | U.S.$ | 71 | 65,422 | |||||||||
3.50%, 11/01/2027(a) | 56 | 52,409 | ||||||||||
4.125%, 08/01/2025(a) | 12 | 11,779 | ||||||||||
4.875%, 10/01/2025(a) | 147 | 145,040 | ||||||||||
5.50%, 12/15/2024(a) | 347 | 346,074 |
6
Principal Amount (000) | U.S. $ Value | |||||||||||
Credicorp Capital Sociedad Titulizadora SA | PEN | 725 | $ | 192,042 | ||||||||
|
| |||||||||||
1,010,434 | ||||||||||||
|
| |||||||||||
Insurance – 0.4% | ||||||||||||
Athene Global Funding | U.S.$ | 49 | 42,680 | |||||||||
2.55%, 11/19/2030(a) | 15 | 12,514 | ||||||||||
2.717%, 01/07/2029(a) | 19 | 16,866 | ||||||||||
5.583%, 01/09/2029(a) | 2 | 2,008 | ||||||||||
5.62%, 05/08/2026(a) | 377 | 377,249 | ||||||||||
Elevance Health, Inc. | 74 | 74,200 | ||||||||||
Humana, Inc. | 74 | 73,594 | ||||||||||
Nationwide Mutual Insurance Co. | 170 | 215,966 | ||||||||||
Principal Life Global Funding II | 286 | 284,292 | ||||||||||
Swiss Re Finance Luxembourg SA | 200 | 192,462 | ||||||||||
Swiss Re Subordinated Finance PLC | 200 | 197,198 | ||||||||||
|
| |||||||||||
1,489,029 | ||||||||||||
|
| |||||||||||
REITs – 0.6% | ||||||||||||
American Tower Corp. | EUR | 291 | 277,805 | |||||||||
5.20%, 02/15/2029 | U.S.$ | 184 | 183,314 | |||||||||
Annington Funding PLC | GBP | 160 | 179,025 | |||||||||
Crown Castle, Inc. | U.S.$ | 89 | 89,763 | |||||||||
5.80%, 03/01/2034 | 92 | 92,916 | ||||||||||
Digital Dutch Finco BV | EUR | 177 | 157,794 | |||||||||
Essential Properties LP | U.S.$ | 418 | 343,939 | |||||||||
GLP Capital LP/GLP Financing II, Inc. | 397 | 333,174 | ||||||||||
4.00%, 01/15/2031 | 167 | 149,765 | ||||||||||
Trust Fibra Uno | 400 | 388,672 | ||||||||||
|
| |||||||||||
2,196,167 | ||||||||||||
|
| |||||||||||
31,555,246 | ||||||||||||
|
| |||||||||||
Industrial – 8.0% | ||||||||||||
Basic – 0.3% | ||||||||||||
BHP Billiton Finance Ltd. | EUR | 254 | 240,995 |
7
Principal Amount (000) | U.S. $ Value | |||||||||||
Glencore Funding LLC | U.S.$ | 412 | $ | 411,262 | ||||||||
Inversiones CMPC SA | 200 | 203,500 | ||||||||||
Nexa Resources SA | 200 | 201,920 | ||||||||||
OCP SA | 200 | 205,250 | ||||||||||
|
| |||||||||||
1,262,927 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.4% | ||||||||||||
Boeing Co. (The) | 60 | 54,948 | ||||||||||
3.625%, 02/01/2031 | 58 | 50,759 | ||||||||||
5.15%, 05/01/2030 | 59 | 56,644 | ||||||||||
6.298%, 05/01/2029(a) | 103 | 104,445 | ||||||||||
6.528%, 05/01/2034(a) | 163 | 166,871 | ||||||||||
CNH Industrial Capital LLC | 423 | 416,714 | ||||||||||
Finning International, Inc. | CAD | 197 | 143,036 | |||||||||
Regal Rexnord Corp. | U.S.$ | 489 | 491,152 | |||||||||
Westinghouse Air Brake Technologies Corp. | 90 | 87,786 | ||||||||||
|
| |||||||||||
1,572,355 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.4% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 149 | 127,453 | ||||||||||
6.10%, 06/01/2029 | 186 | 186,683 | ||||||||||
Cox Communications, Inc. | 79 | 79,415 | ||||||||||
Discovery Communications LLC | 29 | 22,766 | ||||||||||
Paramount Global | 109 | 89,096 | ||||||||||
4.95%, 01/15/2031 | 340 | 299,006 | ||||||||||
Prosus NV | 291 | 241,166 | ||||||||||
Warnermedia Holdings, Inc. | 614 | 535,764 | ||||||||||
4.302%, 01/17/2030 | EUR | 113 | 121,096 | |||||||||
|
| |||||||||||
1,702,445 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.3% | ||||||||||||
AT&T, Inc. | U.S.$ | 44 | 40,514 | |||||||||
5.40%, 02/15/2034 | 57 | 57,002 | ||||||||||
Bell Telephone Co. of Canada or Bell Canada | CAD | 73 | 52,844 | |||||||||
5.85%, 11/10/2032 | 285 | 220,002 |
8
Principal Amount (000) | U.S. $ Value | |||||||||||
Bell Telephone Co. of Canada or Bell Canada (The) | CAD | 107 | $ | 70,189 | ||||||||
CK Hutchison Group Telecom Finance SA | EUR | 274 | 248,230 | |||||||||
Orange SA | 100 | 92,212 | ||||||||||
TELUS Corp. | CAD | 398 | 295,502 | |||||||||
Vodafone Group PLC | AUD | 130 | 83,568 | |||||||||
|
| |||||||||||
1,160,063 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 1.0% | ||||||||||||
Cummins, Inc. | U.S.$ | 405 | 405,571 | |||||||||
Ford Motor Co. | 910 | 752,916 | ||||||||||
General Motors Financial Co., Inc. | 411 | 412,056 | ||||||||||
6.10%, 01/07/2034 | 262 | 264,877 | ||||||||||
General Motors Financial of Canada Ltd. | CAD | 30 | 22,116 | |||||||||
Harley-Davidson Financial Services, Inc. | U.S.$ | 454 | 425,902 | |||||||||
5.95%, 06/11/2029(a) | 153 | 152,452 | ||||||||||
6.50%, 03/10/2028(a) | 111 | 113,406 | ||||||||||
Hyundai Capital America | 550 | 483,076 | ||||||||||
5.25%, 01/08/2027(a) | 258 | 256,906 | ||||||||||
5.275%, 06/24/2027(a) | 70 | 69,698 | ||||||||||
6.10%, 09/21/2028(a) | 87 | 89,311 | ||||||||||
Nissan Motor Acceptance Co., LLC | 175 | 160,141 | ||||||||||
|
| |||||||||||
3,608,428 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.1% | ||||||||||||
Hasbro, Inc. | 117 | 111,700 | ||||||||||
6.05%, 05/14/2034 | 177 | 176,669 | ||||||||||
|
| |||||||||||
288,369 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.3% | ||||||||||||
Las Vegas Sands Corp. | 281 | 256,842 | ||||||||||
5.90%, 06/01/2027 | 29 | 29,147 | ||||||||||
Marriott International, Inc./MD | 34 | 34,026 | ||||||||||
Series HH | 112 | 95,885 |
9
Principal Amount (000) | U.S. $ Value | |||||||||||
MDC Holdings, Inc. | U.S.$ | 791 | $ | 831,539 | ||||||||
|
| |||||||||||
1,247,439 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Restaurants – 0.1% | ||||||||||||
Starbucks Corp. | 272 | 270,597 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.4% | ||||||||||||
Ross Stores, Inc. | 658 | 649,018 | ||||||||||
Tapestry, Inc. | EUR | 187 | 206,979 | |||||||||
VF Corp. | U.S.$ | 291 | 241,597 | |||||||||
Series E | EUR | 300 | 308,864 | |||||||||
|
| |||||||||||
1,406,458 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 1.4% | ||||||||||||
Altria Group, Inc. | 233 | 232,109 | ||||||||||
3.40%, 05/06/2030 | U.S.$ | 595 | 537,963 | |||||||||
American Medical Systems Europe BV | EUR | 300 | 316,418 | |||||||||
Bayer US Finance LLC | U.S.$ | 207 | 209,159 | |||||||||
Bristol-Myers Squibb Co. | 151 | 163,661 | ||||||||||
Cargill, Inc. | 446 | 445,095 | ||||||||||
CommonSpirit Health | 272 | 267,237 | ||||||||||
CVS Health Corp. | 525 | 523,514 | ||||||||||
Imperial Brands Finance PLC | 495 | 485,328 | ||||||||||
JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL | 277 | 292,994 | ||||||||||
Loblaw Cos. Ltd. | CAD | 250 | 185,479 | |||||||||
6.54%, 02/17/2033(a) | 110 | 87,847 | ||||||||||
Metro Inc/CN | 360 | 260,737 | ||||||||||
Ochsner LSU Health System of North Louisiana | U.S.$ | 810 | 574,922 | |||||||||
Philip Morris International, Inc. | 216 | 214,389 | ||||||||||
Pilgrim’s Pride Corp. | 129 | 137,026 | ||||||||||
Sutter Health | 101 | 101,359 |
10
Principal Amount (000) | U.S. $ Value | |||||||||||
Tyson Foods, Inc. | U.S.$ | 127 | $ | 126,430 | ||||||||
|
| |||||||||||
5,161,667 | ||||||||||||
|
| |||||||||||
Energy – 1.2% | ||||||||||||
BP Capital Markets PLC | EUR | 100 | 104,648 | |||||||||
3.625%, 03/22/2029(a) (c) | 195 | 199,985 | ||||||||||
Continental Resources, Inc./OK | U.S.$ | 598 | 483,268 | |||||||||
5.75%, 01/15/2031(a) | 414 | 407,132 | ||||||||||
Devon Energy Corp. | 222 | 254,172 | ||||||||||
Enbridge Pipelines, Inc. | CAD | 192 | 124,632 | |||||||||
Enbridge, Inc. | 186 | 145,603 | ||||||||||
Energy Transfer LP | U.S.$ | 415 | 411,643 | |||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru | 200 | 216,312 | ||||||||||
ONEOK, Inc. | 155 | 159,621 | ||||||||||
Ovintiv, Inc. | 144 | 147,832 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 417 | 413,080 | ||||||||||
TotalEnergies SE | EUR | 266 | 266,080 | |||||||||
Var Energi ASA | U.S.$ | 391 | 410,921 | |||||||||
8.00%, 11/15/2032(a) | 749 | 835,809 | ||||||||||
|
| |||||||||||
4,580,738 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.1% | ||||||||||||
LKQ Dutch Bond BV | EUR | 299 | 319,519 | |||||||||
|
| |||||||||||
Services – 0.5% | ||||||||||||
Alibaba Group Holding Ltd. | U.S.$ | 399 | 329,386 | |||||||||
Booking Holdings, Inc. | EUR | 169 | 181,210 | |||||||||
4.50%, 11/15/2031 | 372 | 419,895 | ||||||||||
4.75%, 11/15/2034 | 207 | 238,287 | ||||||||||
Chicago Parking Meters LLC | U.S.$ | 800 | 775,343 | |||||||||
S&P Global, Inc. | 125 | 121,323 | ||||||||||
|
| |||||||||||
2,065,444 | ||||||||||||
|
|
11
Principal Amount (000) | U.S. $ Value | |||||||||||
Technology – 0.7% | ||||||||||||
Apple, Inc. | U.S.$ | 417 | $ | 337,286 | ||||||||
Entegris, Inc. | 429 | 409,854 | ||||||||||
Fiserv, Inc. | 174 | 175,536 | ||||||||||
Honeywell International, Inc. | EUR | 1,000 | 1,093,655 | |||||||||
Infor, Inc. | U.S.$ | 227 | 217,491 | |||||||||
NXP BV/NXP Funding LLC | 204 | 206,619 | ||||||||||
Western Digital Corp. | 118 | 102,253 | ||||||||||
|
| |||||||||||
2,542,694 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.2% | ||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 137 | 135,201 | ||||||||||
4.75%, 10/20/2028(a) | 563 | 548,981 | ||||||||||
|
| |||||||||||
684,182 | ||||||||||||
|
| |||||||||||
Transportation - Railroads – 0.1% | ||||||||||||
Lima Metro Line 2 Finance Ltd. | 358 | 326,209 | ||||||||||
|
| |||||||||||
Transportation - Services – 0.5% | ||||||||||||
ENA Master Trust | 1,113 | 781,535 | ||||||||||
ERAC USA Finance LLC | 202 | 198,887 | ||||||||||
Heathrow Funding Ltd. | GBP | 146 | 164,691 | |||||||||
Ryder System, Inc. | U.S.$ | 215 | 215,869 | |||||||||
TTX Co. | 380 | 380,486 | ||||||||||
|
| |||||||||||
1,741,468 | ||||||||||||
|
| |||||||||||
29,941,002 | ||||||||||||
|
| |||||||||||
Utility – 1.2% | ||||||||||||
Electric – 1.0% | ||||||||||||
Adani Transmission Step-One Ltd. | 328 | 310,370 | ||||||||||
AES Andes SA | 200 | 200,380 | ||||||||||
AES Panama Generation Holdings SRL | 488 | 422,917 | ||||||||||
Alexander Funding Trust II | 106 | 112,050 |
12
Principal Amount (000) | U.S. $ Value | |||||||||||
American Electric Power Co., Inc. | U.S.$ | 189 | $ | 188,318 | ||||||||
DTE Energy Co. | 74 | 75,077 | ||||||||||
Duke Energy Carolinas NC Storm Funding LLC | 542 | 417,237 | ||||||||||
Electricite de France SA | 200 | 217,758 | ||||||||||
Series MPLE | CAD | 77 | 58,700 | |||||||||
Enel Finance International NV | U.S.$ | 474 | 461,799 | |||||||||
Engie Energia Chile SA | 400 | 405,500 | ||||||||||
Engie SA | EUR | 100 | 94,700 | |||||||||
NextEra Energy Capital Holdings, Inc. | U.S.$ | 98 | 98,240 | |||||||||
Niagara Mohawk Power Corp. | 206 | 199,999 | ||||||||||
NRG Energy, Inc. | 287 | 302,662 | ||||||||||
Pacific Gas and Electric Co. | 74 | 74,162 | ||||||||||
Vistra Operations Co., LLC | 55 | 55,061 | ||||||||||
6.95%, 10/15/2033(a) | 129 | 137,722 | ||||||||||
|
| |||||||||||
3,832,652 | ||||||||||||
|
| |||||||||||
Natural Gas – 0.1% | ||||||||||||
Cadent Finance PLC | EUR | 176 | 157,457 | |||||||||
CU, Inc. | CAD | 38 | 30,213 | |||||||||
National Grid North America, Inc. | EUR | 360 | 322,429 | |||||||||
|
| |||||||||||
510,099 | ||||||||||||
|
| |||||||||||
Other Utility – 0.1% | ||||||||||||
Suez SACA | 200 | 219,005 | ||||||||||
|
| |||||||||||
4,561,756 | ||||||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 66,058,004 | |||||||||||
|
|
13
Principal Amount (000) | U.S. $ Value | |||||||||||
INFLATION-LINKED SECURITIES – 17.3% | ||||||||||||
Canada – 0.1% | ||||||||||||
Canadian Government Real Return Bond | CAD | 315 | $ | 266,657 | ||||||||
|
| |||||||||||
266,657 | ||||||||||||
|
| |||||||||||
Sweden – 0.1% | ||||||||||||
Sweden Inflation Linked Bond | SEK | 930 | 158,300 | |||||||||
Series 3112 | 1,340 | 163,258 | ||||||||||
Series 3113 | 1,825 | 217,881 | ||||||||||
|
| |||||||||||
539,439 | ||||||||||||
|
| |||||||||||
United States – 17.1% | ||||||||||||
U.S. Treasury Inflation Index | U.S.$ | 2,348 | 2,209,341 | |||||||||
0.125%, 07/15/2030 (TIPS)(f) | 34,030 | 30,489,022 | ||||||||||
0.125%, 07/15/2031 (TIPS)(f) | 4,217 | 3,707,596 | ||||||||||
0.25%, 07/15/2029 (TIPS) | 2,845 | 2,613,450 | ||||||||||
0.375%, 07/15/2027 (TIPS) | 4,507 | 4,276,790 | ||||||||||
0.75%, 07/15/2028 (TIPS) | 7,255 | 6,895,200 | ||||||||||
1.375%, 07/15/2033 (TIPS) | 13,015 | 12,319,965 | ||||||||||
1.75%, 01/15/2034 (TIPS) | 1,927 | 1,874,510 | ||||||||||
|
| |||||||||||
64,385,874 | ||||||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 65,191,970 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
INVESTMENT COMPANIES – 13.1% | ||||||||||||
Funds and Investment Trusts – 13.1%(g) | ||||||||||||
AB All Market Real Return Portfolio - Class Z(h) | 1,657,899 | 14,705,566 | ||||||||||
iShares Core MSCI EAFE ETF | 332,652 | 24,163,841 | ||||||||||
iShares Core MSCI Emerging Markets ETF | 198,314 | 10,615,749 | ||||||||||
|
| |||||||||||
Total Investment Companies | 49,485,156 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
MORTGAGE PASS-THROUGHS – 10.2% | ||||||||||||
Agency Fixed Rate 30-Year – 9.9% | ||||||||||||
Federal Home Loan Mortgage Corp. | U.S.$ | 32 | 28,483 | |||||||||
3.50%, 11/01/2049 | 191 | 171,403 |
14
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2022 | U.S.$ | 699 | $ | 577,496 | ||||||||
3.00%, 05/01/2052 | 635 | 540,556 | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 453 | 430,038 | ||||||||||
Series 2017 | 303 | 287,964 | ||||||||||
Series 2018 | 108 | 103,638 | ||||||||||
4.50%, 11/01/2048 | 336 | 323,442 | ||||||||||
5.00%, 11/01/2048 | 136 | 134,099 | ||||||||||
Federal National Mortgage Association | 104 | 106,095 | ||||||||||
Series 2010 | 188 | 178,147 | ||||||||||
Series 2012 | 109 | 100,727 | ||||||||||
3.50%, 11/01/2042 | 177 | 162,860 | ||||||||||
3.50%, 01/01/2043 | 197 | 181,233 | ||||||||||
Series 2013 | 5 | 4,712 | ||||||||||
3.50%, 04/01/2043 | 689 | 633,333 | ||||||||||
4.00%, 10/01/2043 | 523 | 493,641 | ||||||||||
Series 2014 | 283 | 288,473 | ||||||||||
Series 2015 | 71 | 62,392 | ||||||||||
3.00%, 08/01/2045 | 520 | 456,445 | ||||||||||
Series 2018 | 436 | 393,564 | ||||||||||
4.50%, 09/01/2048 | 492 | 472,963 | ||||||||||
Series 2019 | 417 | 374,036 | ||||||||||
Series 2020 | 112 | 100,421 | ||||||||||
Series 2021 | 2,095 | 1,644,022 | ||||||||||
2.00%, 12/01/2051 | 1,333 | 1,045,026 | ||||||||||
2.50%, 01/01/2052 | 658 | 544,182 | ||||||||||
Series 2022 | 781 | 646,033 | ||||||||||
2.50%, 04/01/2052 | 894 | 737,951 | ||||||||||
2.50%, 05/01/2052 | 1,946 | 1,607,620 | ||||||||||
3.00%, 02/01/2052 | 2,762 | 2,380,326 | ||||||||||
3.00%, 03/01/2052 | 885 | 762,715 | ||||||||||
Government National Mortgage Association | 58 | 51,167 | ||||||||||
3.00%, 05/20/2046 | 154 | 135,662 | ||||||||||
Series 2022 | 1,570 | 1,529,748 | ||||||||||
Series 2023 | 862 | 855,491 | ||||||||||
Series 2024 | 1,404 | 1,181,000 | ||||||||||
3.00%, 07/15/2054, TBA | 1,697 | 1,479,761 | ||||||||||
4.00%, 07/15/2054, TBA | 303 | 279,717 | ||||||||||
4.50%, 07/15/2054, TBA | 2,525 | 2,400,467 |
15
Principal Amount (000) | U.S. $ Value | |||||||||||
5.00%, 07/15/2054, TBA | U.S.$ | 2,443 | $ | 2,378,280 | ||||||||
5.50%, 07/15/2054, TBA | 3,614 | 3,585,404 | ||||||||||
6.00%, 07/15/2054, TBA | 160 | 160,287 | ||||||||||
Uniform Mortgage-Backed Security | 1,369 | 1,070,916 | ||||||||||
5.50%, 07/15/2054, TBA | 2,814 | 2,775,445 | ||||||||||
6.00%, 07/15/2054, TBA | 3,085 | 3,093,204 | ||||||||||
6.50%, 07/15/2054, TBA | 232 | 236,539 | ||||||||||
|
| |||||||||||
37,187,124 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year – 0.3% | ||||||||||||
Federal National Mortgage Association | 16 | 15,667 | ||||||||||
2.50%, 06/01/2028 | 4 | 4,005 | ||||||||||
Series 2014 | 56 | 52,807 | ||||||||||
Series 2016 | 15 | 14,315 | ||||||||||
2.50%, 12/01/2031 | 1,092 | 1,023,966 | ||||||||||
2.50%, 01/01/2032 | 24 | 22,813 | ||||||||||
Series 2017 | 79 | 74,257 | ||||||||||
|
| |||||||||||
1,207,830 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 38,394,954 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 4.6% | ||||||||||||
Other ABS - Fixed Rate – 2.7% | ||||||||||||
AB Issuer LLC | 1,126 | 996,370 | ||||||||||
Affirm Asset Securitization Trust | 2 | 2,064 | ||||||||||
Series 2021-Z2, Class A | 33 | 32,204 | ||||||||||
Series 2022-X1, Class A | 19 | 18,809 | ||||||||||
Series 2024-X1, Class A | 111 | 111,046 | ||||||||||
Amur Equipment Finance Receivables XI LLC | 239 | 238,026 | ||||||||||
Atalaya Equipment Leasing Trust | 228 | 225,597 | ||||||||||
Auxilior Term Funding LLC | 297 | 298,290 |
16
Principal Amount (000) | U.S. $ Value | |||||||||||
BHG Securitization Trust | U.S.$ | 22 | $ | 21,364 | ||||||||
Series 2023-A, Class A | 247 | 245,699 | ||||||||||
Series 2023-B, Class A | 82 | 83,647 | ||||||||||
Cajun Global LLC | 237 | 215,417 | ||||||||||
CNH Equipment Trust | 102 | 101,517 | ||||||||||
College Ave Student Loans LLC | 250 | 220,445 | ||||||||||
Dext ABS LLC | 550 | 548,518 | ||||||||||
Diamond Issuer LLC | 1,139 | 1,026,599 | ||||||||||
GCI Funding I LLC | 364 | 322,639 | ||||||||||
Hardee’s Funding LLC | 257 | 245,093 | ||||||||||
Series 2020-1A, Class A2 | 422 | 383,949 | ||||||||||
HINNT LLC | 78 | 77,858 | ||||||||||
HPEFS Equipment Trust | 61 | 60,523 | ||||||||||
Series 2023-1A, Class A2 | 107 | 106,661 | ||||||||||
Kubota Credit Owner Trust | 391 | 390,702 | ||||||||||
Marlette Funding Trust | 111 | 111,037 | ||||||||||
MVW LLC | 268 | 247,481 | ||||||||||
Neighborly Issuer LLC | 822 | 722,872 | ||||||||||
Series 2023-1A, Class A2 | 1,027 | 1,034,888 | ||||||||||
Nelnet Student Loan Trust | 140 | 115,922 |
17
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2021-CA, Class B | U.S.$ | 499 | $ | 405,686 | ||||||||
Series 2021-DA, Class B | 457 | 380,486 | ||||||||||
Pagaya AI Debt Grantor Trust | 119 | 119,373 | ||||||||||
Pagaya AI Debt Trust | 94 | 93,948 | ||||||||||
Prosper Marketplace Issuance Trust | 81 | 80,842 | ||||||||||
SBA Tower Trust | 774 | 768,994 | ||||||||||
SCF Equipment Leasing LLC | 111 | 111,110 | ||||||||||
|
| |||||||||||
10,165,676 | ||||||||||||
|
| |||||||||||
Autos - Fixed Rate – 1.9% | ||||||||||||
Ally Bank Auto Credit-Linked Notes | 250 | 249,937 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC | 399 | 398,682 | ||||||||||
Carvana Auto Receivables Trust | 90 | 85,051 | ||||||||||
Series 2021-N4, Class D | 117 | 112,903 | ||||||||||
Series 2021-P4, Class D | 596 | 539,374 | ||||||||||
CPS Auto Receivables Trust | 667 | 649,192 | ||||||||||
Series 2022-A, Class C | 699 | 689,271 | ||||||||||
DT Auto Owner Trust | 123 | 122,601 | ||||||||||
FHF Trust | 80 | 78,564 | ||||||||||
Ford Credit Auto Owner Trust | 824 | 764,569 | ||||||||||
Hertz Vehicle Financing III LLC | 380 | 367,122 |
18
Principal Amount (000) | U.S. $ Value | |||||||||||
LAD Auto Receivables Trust | U.S.$ | 25 | $ | 25,384 | ||||||||
Lendbuzz Securitization Trust | 1,142 | 1,150,864 | ||||||||||
Merchants Fleet Funding LLC | 129 | 130,536 | ||||||||||
OCCU Auto Receivables Trust | 81 | 81,205 | ||||||||||
Research-Driven Pagaya Motor Asset Trust VII | 399 | 396,354 | ||||||||||
Research-Driven Pagaya Motor Trust | 90 | 90,801 | ||||||||||
Santander Bank Auto Credit-Linked Notes | 145 | 145,152 | ||||||||||
Series 2022-C, Class B | 139 | 138,725 | ||||||||||
Santander Bank NA - SBCLN | 35 | 35,071 | ||||||||||
Tesla Auto Lease Trust | 75 | 74,804 | ||||||||||
Tricolor Auto Securitization Trust | 109 | 109,361 | ||||||||||
Wheels Fleet Lease Funding 1 LLC | 132 | 133,046 | ||||||||||
World Omni Select Auto Trust | 386 | 385,671 | ||||||||||
|
| |||||||||||
6,954,240 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.0% | ||||||||||||
Brex Commercial Charge Card Master Trust | 121 | 120,858 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 17,240,774 | |||||||||||
|
|
19
Principal Amount (000) | U.S. $ Value | |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 4.1% | ||||||||||||
Risk Share Floating Rate – 3.8% | ||||||||||||
Bellemeade Re Ltd. | U.S.$ | 878 | $ | 878,065 | ||||||||
Series 2022-1, Class M1B | 335 | 336,898 | ||||||||||
Series 2022-2, Class M1A | 1,387 | 1,422,335 | ||||||||||
Connecticut Avenue Securities Trust | 45 | 45,300 | ||||||||||
Series 2022-R01, Class 1M2 | 1,382 | 1,398,145 | ||||||||||
Series 2022-R02, Class 2M1 | 237 | 236,895 | ||||||||||
Series 2022-R03, Class 1M1 | 187 | 189,963 | ||||||||||
Series 2022-R03, Class 1M2 | 117 | 123,201 | ||||||||||
Series 2022-R04, Class 1M2 | 130 | 134,938 | ||||||||||
Series 2022-R06, Class 1M1 | 382 | 392,932 | ||||||||||
Series 2022-R08, Class 1M1 | 404 | 415,410 | ||||||||||
Series 2023-R01, Class 1M1 | 433 | 445,998 | ||||||||||
Series 2023-R02, Class 1M1 | 860 | 882,415 | ||||||||||
Series 2024-R04, Class 1M1 | 114 | 113,617 | ||||||||||
Eagle Re Ltd. | 96 | 96,713 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 15 | 15,446 |
20
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2015-HQA2, Class M3 | U.S.$ | 58 | $ | 59,617 | ||||||||
Series 2021-DNA3, Class M1 | 16 | 16,100 | ||||||||||
Series 2021-DNA5, Class M2 | 221 | 222,869 | ||||||||||
Series 2021-DNA6, Class M1 | 19 | 19,229 | ||||||||||
Series 2021-HQA4, Class M1 | 431 | 430,028 | ||||||||||
Series 2021-HQA4, Class M2 | 415 | 419,918 | ||||||||||
Series 2022-DNA1, Class M1B | 731 | 738,991 | ||||||||||
Series 2022-DNA3, Class M1B | 239 | 248,838 | ||||||||||
Series 2022-DNA4, Class M1B | 878 | 921,870 | ||||||||||
Series 2022-DNA5, Class M1B | 769 | 834,718 | ||||||||||
Series 2022-DNA7, Class M1A | 430 | 437,552 | ||||||||||
Series 2022-HQA1, Class M1B | 134 | 140,741 | ||||||||||
Series 2023-DNA2, Class M1A | 211 | 216,428 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 58 | 58,817 | ||||||||||
Series 2015-C01, Class 1M2 | 80 | 81,076 | ||||||||||
Series 2015-C03, Class 1M2 | 91 | 95,330 | ||||||||||
Series 2015-C04, Class 1M2 | 257 | 270,409 |
21
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2015-C04, Class 2M2 | U.S.$ | 119 | $ | 122,215 | ||||||||
Series 2016-C01, Class 2M2 | 31 | 32,141 | ||||||||||
Series 2016-C02, Class 1M2 | 78 | 81,085 | ||||||||||
Series 2017-C04, Class 2M2 | 274 | 282,102 | ||||||||||
Series 2021-R02, Class 2M2 | 630 | 635,205 | ||||||||||
JPMorgan Madison Avenue Securities Trust | 17 | 17,831 | ||||||||||
PMT Credit Risk Transfer Trust | 515 | 515,094 | ||||||||||
Series 2019-3R, Class A | 53 | 53,382 | ||||||||||
Series 2020-1R, Class A | 122 | 121,898 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 109 | 112,740 | ||||||||||
Series 2015-WF1, Class 2M2 | 27 | 27,870 | ||||||||||
|
| |||||||||||
14,342,365 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.3% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 1,114 | 142,912 | ||||||||||
Series 4719, Class JS | 343 | 36,898 | ||||||||||
Series 4954, Class SL | 1,115 | 114,863 | ||||||||||
Series 4981, Class HS | 2,692 | 234,754 |
22
Principal Amount (000) | U.S. $ Value | |||||||||||
Federal National Mortgage Association REMICs | U.S.$ | 383 | $ | 39,546 | ||||||||
Series 2016-77, Class DS | 892 | 91,210 | ||||||||||
Series 2017-62, Class AS | 422 | 47,014 | ||||||||||
Series 2017-97, Class LS | 862 | 107,643 | ||||||||||
Series 2017-97, Class SW | 447 | 52,325 | ||||||||||
Government National Mortgage Association | 549 | 57,915 | ||||||||||
Series 2017-122, Class SA | 428 | 50,468 | ||||||||||
Series 2017-134, Class SE | 311 | 30,803 | ||||||||||
|
| |||||||||||
1,006,351 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 15,348,716 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.5% | ||||||||||||
Non-Agency Floating Rate CMBS – 1.3% | ||||||||||||
Ashford Hospitality Trust | 112 | 111,553 | ||||||||||
BAMLL Commercial Mortgage Securities Trust | 1,935 | 1,929,543 | ||||||||||
BBCMS Mortgage Trust | 1,089 | 1,088,096 | ||||||||||
BX Commercial Mortgage Trust | 430 | 419,553 | ||||||||||
Federal Home Loan Mortgage Corp. | 89 | 88,340 |
23
Principal Amount (000) | U.S. $ Value | |||||||||||
Great Wolf Trust | U.S.$ | 264 | $ | 263,422 | ||||||||
HILT Commercial Mortgage Trust | 176 | 175,560 | ||||||||||
HLTN Commercial Mortgage Trust | 250 | 248,309 | ||||||||||
Natixis Commercial Mortgage Securities Trust | 316 | 294,337 | ||||||||||
NRTH Mortgage Trust | 290 | 289,275 | ||||||||||
|
| |||||||||||
4,907,988 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS – 1.2% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 500 | 400,577 | ||||||||||
Commercial Mortgage Trust | 795 | 733,926 | ||||||||||
DTP Commercial Mortgage Trust | 116 | 116,066 | ||||||||||
GS Mortgage Securities Trust | 26 | 12,219 | ||||||||||
GSF | 394 | 378,351 | ||||||||||
Series 2021-1, Class A2 | 1,071 | 1,024,089 | ||||||||||
Series 2021-1, Class AS | 39 | 36,360 | ||||||||||
HFX Funding Issuer | 1,230 | 1,215,062 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 150 | 144,251 | ||||||||||
Series 2014-C22, Class XA | 6,654 | 357 | ||||||||||
LB-UBS Commercial Mortgage Trust | 117 | 44,669 |
24
Principal Amount (000) | U.S. $ Value | |||||||||||
LSTAR Commercial Mortgage Trust | U.S.$ | 79 | $ | 77,069 | ||||||||
NJ Trust | 165 | 169,798 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 125 | 111,601 | ||||||||||
|
| |||||||||||
4,464,395 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 9,372,383 | |||||||||||
|
| |||||||||||
COVERED BONDS – 1.5% | ||||||||||||
Banco de Sabadell SA | EUR | 200 | 200,538 | |||||||||
Bank of Montreal | 545 | 537,961 | ||||||||||
Bank of Nova Scotia (The) | 537 | 529,294 | ||||||||||
BPCE SFH SA | 300 | 295,984 | ||||||||||
Cie de Financement Foncier SA | 300 | 297,308 | ||||||||||
Commonwealth Bank of Australia | 592 | 540,234 | ||||||||||
Credit Agricole Home Loan SFH SA | 500 | 497,890 | ||||||||||
Korea Housing Finance Corp. | 479 | 516,094 | ||||||||||
National Australia Bank Ltd. | 583 | 539,725 | ||||||||||
Nationwide Building Society | 535 | 533,315 | ||||||||||
Royal Bank of Canada | 260 | 255,261 | ||||||||||
Santander UK PLC | 337 | 332,157 | ||||||||||
Toronto-Dominion Bank (The) | 545 | 530,291 | ||||||||||
|
| |||||||||||
Total Covered Bonds | 5,606,052 | |||||||||||
|
|
25
Principal Amount (000) | U.S. $ Value | |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 1.5% | ||||||||||||
CLO - Floating Rate – 1.5% |
| |||||||||||
AGL CLO 10 Ltd. | U.S.$ | 330 | $ | 330,253 | ||||||||
Allegro CLO XI Ltd. | 273 | 273,332 | ||||||||||
Ballyrock CLO 17 Ltd. | 250 | 250,129 | ||||||||||
Elmwood CLO 15 Ltd. | 500 | 500,259 | ||||||||||
Elmwood CLO IX Ltd. | 452 | 452,675 | ||||||||||
Flatiron CLO 21 Ltd. | 340 | 340,669 | ||||||||||
Kings Park CLO Ltd. | 250 | 250,200 | ||||||||||
Marble Point CLO XI Ltd. | 371 | 371,653 | ||||||||||
Octagon Investment Partners 30 Ltd. | 250 | 250,112 | ||||||||||
OZLM XVIII Ltd. | 509 | 509,761 | ||||||||||
Pikes Peak CLO 8 | 1,046 | 1,046,544 | ||||||||||
Pikes Peak CLO 15 Ltd. | 250 | 252,238 | ||||||||||
Signal Peak CLO 12 Ltd. | 384 | 384,633 |
26
Principal Amount (000) | U.S. $ Value | |||||||||||
Silver Point CLO 3 Ltd. | U.S.$ | 317 | $ | 319,614 | ||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 5,532,072 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 0.9% | ||||||||||||
Belgium – 0.2% | ||||||||||||
Dexia SA | EUR | 900 | 863,846 | |||||||||
Canada – 0.1% | ||||||||||||
Canada Housing Trust No. 1 | CAD | 435 | 320,269 | |||||||||
4.25%, 03/15/2034(a) | 270 | 202,653 | ||||||||||
|
| |||||||||||
522,922 | ||||||||||||
|
| |||||||||||
France – 0.1% | ||||||||||||
SNCF Reseau | EUR | 500 | 472,289 | |||||||||
|
| |||||||||||
Japan – 0.1% | ||||||||||||
Development Bank of Japan, Inc. | 335 | 344,228 | ||||||||||
|
| |||||||||||
Netherlands – 0.4% | ||||||||||||
BNG Bank NV | AUD | 2,100 | 1,352,270 | |||||||||
|
| |||||||||||
Total Governments - Sovereign Agencies | 3,555,555 | |||||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 0.9% | ||||||||||||
Industrial – 0.7% | ||||||||||||
Basic – 0.0% | ||||||||||||
INEOS Quattro Finance 2 PLC | EUR | 144 | 162,919 | |||||||||
|
| |||||||||||
Communications - Media – 0.2% | ||||||||||||
DISH DBS Corp. | U.S.$ | 168 | 132,708 | |||||||||
5.75%, 12/01/2028(a) | 446 | 306,884 | ||||||||||
VZ Vendor Financing II BV | EUR | 320 | 295,713 | |||||||||
|
| |||||||||||
735,305 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
Altice France SA | 320 | 238,245 | ||||||||||
|
|
27
Principal Amount (000) | U.S. $ Value | |||||||||||
Consumer Cyclical - Automotive – 0.0% | ||||||||||||
ZF Finance GmbH | EUR | 100 | $ | 99,882 | ||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% | ||||||||||||
Hilton Domestic Operating Co., Inc. | U.S.$ | 188 | 188,126 | |||||||||
6.125%, 04/01/2032(a) | 110 | 110,470 | ||||||||||
|
| |||||||||||
298,596 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV | EUR | 200 | 201,300 | |||||||||
|
| |||||||||||
Energy – 0.0% | ||||||||||||
Sunoco LP | U.S.$ | 70 | 71,767 | |||||||||
7.25%, 05/01/2032(a) | 87 | 89,947 | ||||||||||
|
| |||||||||||
161,714 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.0% | ||||||||||||
Odebrecht Holdco Finance Ltd. | 639 | 799 | ||||||||||
|
| |||||||||||
Services – 0.2% | ||||||||||||
APCOA Parking Holdings GmbH | EUR | 320 | 334,753 | |||||||||
Block, Inc. | U.S.$ | 275 | 278,729 | |||||||||
|
| |||||||||||
613,482 | ||||||||||||
|
| |||||||||||
2,512,242 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.1% | ||||||||||||
Finance – 0.0% | ||||||||||||
SLM Corp. | 212 | 206,007 | ||||||||||
|
| |||||||||||
REITs – 0.1% | ||||||||||||
Vivion Investments SARL | EUR | 200 | 212,667 | |||||||||
|
| |||||||||||
418,674 | ||||||||||||
|
| |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
Vistra Corp. | U.S.$ | 384 | 380,417 | |||||||||
|
| |||||||||||
Total Corporates - Non-Investment Grade | 3,311,333 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - REGIONAL BONDS – 0.9% | ||||||||||||
Australia – 0.6% | ||||||||||||
New South Wales Treasury Corp. | AUD | 720 | 380,594 | |||||||||
4.75%, 02/20/2035(a) | 1,577 | 1,015,680 |
28
Principal Amount (000) | U.S. $ Value | |||||||||||
Treasury Corp. of Victoria | AUD | 443 | $ | 225,486 | ||||||||
2.00%, 11/20/2037 | 337 | 149,950 | ||||||||||
Treasury Corp. of Victoria | 768 | 405,342 | ||||||||||
|
| |||||||||||
2,177,052 | ||||||||||||
|
| |||||||||||
Japan – 0.3% | ||||||||||||
Japan Finance Organization for Municipalities | EUR | 1,091 | 1,073,275 | |||||||||
|
| |||||||||||
Total Local Governments - Regional Bonds | 3,250,327 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.8% | ||||||||||||
Industrial – 0.6% | ||||||||||||
Basic – 0.2% | ||||||||||||
Braskem Netherlands Finance BV | U.S.$ | 200 | 181,875 | |||||||||
Periama Holdings LLC/DE | 200 | 197,500 | ||||||||||
Stillwater Mining Co. | 200 | 182,750 | ||||||||||
Volcan Cia Minera SAA | 111 | 86,060 | ||||||||||
|
| |||||||||||
648,185 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.1% | ||||||||||||
Globo Comunicacao e Participacoes SA | 627 | 556,071 | ||||||||||
|
| |||||||||||
Energy – 0.3% | ||||||||||||
Ecopetrol SA | 49 | 48,093 | ||||||||||
8.625%, 01/19/2029 | 288 | 303,149 | ||||||||||
Greenko Wind Projects Mauritius Ltd. | 200 | 197,250 | ||||||||||
Leviathan Bond Ltd. | 101 | 97,611 | ||||||||||
Oleoducto Central SA | 528 | 489,456 | ||||||||||
|
| |||||||||||
1,135,559 | ||||||||||||
|
| |||||||||||
2,339,815 | ||||||||||||
|
| |||||||||||
Utility – 0.2% | ||||||||||||
Electric – 0.1% | ||||||||||||
Terraform Global Operating LP | 86 | 84,849 | ||||||||||
|
|
29
Principal Amount (000) | U.S. $ Value | |||||||||||
Other Utility – 0.1% | ||||||||||||
Aegea Finance SARL | U.S.$ | 400 | $ | 388,720 | ||||||||
|
| |||||||||||
473,569 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.0% | ||||||||||||
Other Finance – 0.0% | ||||||||||||
OEC Finance Ltd. | 139 | 8,502 | ||||||||||
7.125%, 12/26/2046(a) (e) (l) (m) | 554 | 32,431 | ||||||||||
|
| |||||||||||
40,933 | ||||||||||||
|
| |||||||||||
Total Emerging Markets - Corporate Bonds | 2,854,317 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
PURCHASED OPTIONS - PUTS – 0.7% | ||||||||||||
Options on Equity Indices – 0.7% | ||||||||||||
Euro STOXX 50 Index | EUR | 9,589,000 | 235,922 | |||||||||
Euro STOXX 50 Index | 2,193,000 | 53,955 | ||||||||||
Euro STOXX 50 Index | 2,193,000 | 53,955 | ||||||||||
FTSE 100 Index | GBP | 852,000 | 15,353 | |||||||||
FTSE 100 Index | 3,479,000 | 62,693 | ||||||||||
FTSE 100 Index | 710,000 | 12,795 | ||||||||||
Nikkei 225 Index | JPY | 1,428,750,000 | 177,920 | |||||||||
S&P 500 Index | USD | 19,635,000 | 343,768 |
30
Notional Amount | U.S. $ Value | |||||||||||
S&P 500 Index | USD | 100,980,000 | $ | 1,767,950 | ||||||||
|
| |||||||||||
Total Purchased Options - Puts | 2,724,311 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.7% | ||||||||||||
Colombia – 0.1% |
| |||||||||||
Colombia Government International Bond | U.S.$ | 200 | 205,400 | |||||||||
|
| |||||||||||
Germany – 0.3% |
| |||||||||||
Kreditanstalt fuer Wiederaufbau | AUD | 1,999 | 1,322,398 | |||||||||
|
| |||||||||||
Indonesia – 0.1% |
| |||||||||||
Indonesia Government International Bond | EUR | 470 | 499,886 | |||||||||
|
| |||||||||||
Panama – 0.1% |
| |||||||||||
Panama Government International Bond | U.S.$ | 200 | 189,600 | |||||||||
|
| |||||||||||
Romania – 0.1% |
| |||||||||||
Romanian Government International Bond | EUR | 228 | 261,513 | |||||||||
|
| |||||||||||
Total Governments - Sovereign Bonds | 2,478,797 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.6% | ||||||||||||
United States – 0.6% |
| |||||||||||
California Earthquake Authority | U.S.$ | 165 | 164,773 | |||||||||
Commonwealth Financing Authority | 80 | 73,386 | ||||||||||
New Jersey Economic Development Authority | 328 | 349,410 | ||||||||||
State Board of Administration Finance Corp. | 652 | 591,619 | ||||||||||
2.154%, 07/01/2030 | 224 | 189,796 | ||||||||||
Series 2024-A | 98 | 98,598 |
31
Principal Amount (000) | U.S. $ Value | |||||||||||
University of California | U.S.$ | 1,130 | $ | 772,504 | ||||||||
|
| |||||||||||
Total Local Governments - US Municipal Bonds |
| 2,240,086 | ||||||||||
|
| |||||||||||
SUPRANATIONALS – 0.5% |
| |||||||||||
European Investment Bank | AUD | 905 | 563,463 | |||||||||
International Bank for Reconstruction & Development | INR | 46,000 | 544,475 | |||||||||
European Investment Bank | AUD | 690 | 410,577 | |||||||||
International Finance Corp. | 477 | 317,001 | ||||||||||
Inter-American Development Bank | 155 | 97,811 | ||||||||||
|
| |||||||||||
Total Supranationals |
| 1,933,327 | ||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - PROVINCIAL BONDS – 0.4% |
| |||||||||||
Canada – 0.4% |
| |||||||||||
Province of Ontario Canada | CAD | 1,223 | 703,829 | |||||||||
Province of Quebec Canada | EUR | 740 | 743,217 | |||||||||
|
| |||||||||||
Total Local Governments - Provincial Bonds |
| 1,447,046 | ||||||||||
|
| |||||||||||
AGENCIES – 0.3% |
| |||||||||||
Agency Debentures – 0.3% |
| |||||||||||
Federal Home Loan Banks | U.S.$ | 865 | 852,051 | |||||||||
4.75%, 12/08/2028 | 265 | 267,586 | ||||||||||
|
| |||||||||||
Total Agencies |
| 1,119,637 | ||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.2% |
| |||||||||||
Quasi-Sovereign Bonds – 0.2% |
| |||||||||||
Chile – 0.1% |
| |||||||||||
Corp. Nacional del Cobre de Chile | 321 | 304,348 | ||||||||||
|
| |||||||||||
Mexico – 0.1% | ||||||||||||
Comision Federal de Electricidad | 200 | 164,813 | ||||||||||
Petroleos Mexicanos | 154 | 128,847 | ||||||||||
|
| |||||||||||
293,660 | ||||||||||||
|
| |||||||||||
Total Quasi-Sovereigns |
| 598,008 | ||||||||||
|
|
32
Principal Amount (000) | U.S. $ Value | |||||||||||
EMERGING MARKETS - SOVEREIGNS – 0.1% |
| |||||||||||
Dominican Republic – 0.1% |
| |||||||||||
Dominican Republic International Bond | U.S.$ | 330 | $ | 295,969 | ||||||||
5.95%, 01/25/2027(a) | 221 | 219,674 | ||||||||||
|
| |||||||||||
Total Emerging Markets - Sovereigns |
| 515,643 | ||||||||||
|
| |||||||||||
EMERGING MARKETS - TREASURIES – 0.1% |
| |||||||||||
Brazil – 0.1% |
| |||||||||||
Brazil Notas do Tesouro Nacional | BRL | 2,914 | 483,551 | |||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - CANADIAN MUNICIPAL BONDS – 0.0% | ||||||||||||
Canada – 0.0% |
| |||||||||||
City of Calgary Canada | CAD | 70 | 50,742 | |||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 5.0% | ||||||||||||
Investment Companies – 3.7% |
| |||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.22%(g) (h) (o) | 14,114,832 | 14,114,832 | ||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
U.S. TREASURY BILLS – 1.3% | ||||||||||||
U.S. Treasury Bill | U.S.$ | 599 | 598,403 | |||||||||
Zero Coupon, 07/25/2024 | 2,849 | 2,838,777 | ||||||||||
Zero Coupon, 09/05/2024 | 1,663 | 1,646,605 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Bills |
| 5,083,785 | ||||||||||
|
| |||||||||||
Total Short-Term Investments |
| 19,198,617 | ||||||||||
|
| |||||||||||
Total Investments – 104.5% | 393,433,401 | |||||||||||
Other assets less liabilities – (4.5)% | (17,052,165 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 376,381,236 | ||||||||||
|
|
33
FUTURES
Description | Number of | Expiration Month | Current Notional | Value and Unrealized (Depreciation) | ||||||||||||||||
Purchased Contracts | ||||||||||||||||||||
5 Yr Canadian Bond Futures | 48 | September 2024 | $ | 3,890,384 | $ | 21,216 | ||||||||||||||
10 Yr Australian Bond Futures | 12 | September 2024 | 909,142 | (6,821 | ) | |||||||||||||||
10 Yr Canadian Bond Futures | 14 | September 2024 | 1,228,742 | (23,531 | ) | |||||||||||||||
E-Mini Russell 2000 Futures | 61 | September 2024 | 6,298,250 | (54,144 | ) | |||||||||||||||
Euro STOXX 50 Index Futures | 163 | September 2024 | 8,599,068 | (44,779 | ) | |||||||||||||||
Euro-Bund Futures | 16 | September 2024 | 2,255,336 | 7,179 | ||||||||||||||||
Long Gilt Futures | 6 | September 2024 | 740,029 | 5,757 | ||||||||||||||||
MSCI Emerging Markets Futures | 56 | September 2024 | 3,046,960 | 14,542 | ||||||||||||||||
MSCI Singapore IX ETS Futures | 4 | July 2024 | 93,319 | 758 | ||||||||||||||||
Nikkei 225 (OSE) Futures | 6 | September 2024 | 1,476,040 | 18,742 | ||||||||||||||||
OMXS 30 Index Futures | 6 | July 2024 | 145,938 | 467 | ||||||||||||||||
S&P 500 E-Mini Futures | 387 | September 2024 | 106,841,025 | 535,221 | ||||||||||||||||
S&P Mid 400 E-Mini Futures | 15 | September 2024 | 4,437,150 | (43,745 | ) | |||||||||||||||
S&P/TSX 60 Index Futures | 28 | September 2024 | 5,364,424 | 12,655 | ||||||||||||||||
TOPIX Index Futures | 42 | September 2024 | 7,336,752 | 74,569 | ||||||||||||||||
U.S. Long Bond (CBT) Futures | 1 | September 2024 | 118,313 | 2,936 | ||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 208 | September 2024 | 42,477,500 | 106,992 | ||||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 331 | September 2024 | 35,277,359 | 190,363 | ||||||||||||||||
U.S. Ultra Bond (CBT) Futures | 15 | September 2024 | 1,880,156 | 45,110 | ||||||||||||||||
Sold Contracts | ||||||||||||||||||||
3 Yr Australian Bond Futures | 41 | September 2024 | 2,884,359 | 8,483 | ||||||||||||||||
10 Yr Australian Bond Futures | 16 | September 2024 | 1,212,189 | 8,184 | ||||||||||||||||
10 Yr Canadian Bond Futures | 9 | September 2024 | 789,905 | (5,607 | ) | |||||||||||||||
10 Yr Japan Bond (OSE) Futures | 4 | September 2024 | 3,551,743 | 15,523 | ||||||||||||||||
Euro Buxl 30 Yr Bond Futures | 4 | September 2024 | 557,922 | 1,966 | ||||||||||||||||
Euro-BOBL Futures | 4 | September 2024 | 498,806 | 1,656 | ||||||||||||||||
Euro-Bund Futures | 11 | September 2024 | 1,550,544 | (5,195 | ) | |||||||||||||||
Euro-Schatz Futures | 11 | September 2024 | 1,245,194 | (5,666 | ) | |||||||||||||||
FTSE 100 Index Futures | 60 | September 2024 | 6,228,471 | 50,378 | ||||||||||||||||
SPI 200 Futures | 76 | September 2024 | 9,850,930 | (24,290 | ) | |||||||||||||||
U.S. 10 Yr Ultra Futures | 58 | September 2024 | 6,584,813 | (3,659 | ) | |||||||||||||||
U.S. Long Bond (CBT) Futures | 4 | September 2024 | 473,250 | (9,787 | ) | |||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 28 | September 2024 | 5,718,125 | (10,974 | ) | |||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 36 | September 2024 | 3,959,438 | (27,192 | ) | |||||||||||||||
U.S. Ultra Bond (CBT) Futures | 14 | September 2024 | 1,754,812 | (42,553 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | 814,754 | |||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Bank of America, NA | CZK | 12,812 | USD | 543 | 07/11/2024 | $ | (5,146 | ) | ||||||||||||||||||||||
Bank of America, NA | USD | 556 | CZK | 12,743 | 07/11/2024 | (10,727 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 539 | HUF | 198,037 | 07/11/2024 | (1,747 | ) | |||||||||||||||||||||||
Bank of America, NA | CLP | 502,486 | USD | 543 | 07/19/2024 | 8,873 | ||||||||||||||||||||||||
Bank of America, NA | COP | 2,106,035 | USD | 538 | 07/19/2024 | 32,360 | ||||||||||||||||||||||||
Bank of America, NA | NOK | 9,821 | USD | 927 | 07/19/2024 | 6,423 | ||||||||||||||||||||||||
Bank of America, NA | PEN | 2,042 | USD | 547 | 07/19/2024 | 15,662 | ||||||||||||||||||||||||
Bank of America, NA | USD | 1,804 | NOK | 19,778 | 07/19/2024 | 49,411 | ||||||||||||||||||||||||
Bank of America, NA | USD | 788 | PEN | 2,976 | 07/19/2024 | (13,470 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 3,728 | SEK | 40,524 | 07/19/2024 | 98,382 | ||||||||||||||||||||||||
Bank of America, NA | CNH | 9,433 | USD | 1,307 | 07/23/2024 | 12,561 | ||||||||||||||||||||||||
Bank of America, NA | NZD | 951 | USD | 581 | 07/25/2024 | 1,928 | ||||||||||||||||||||||||
Bank of America, NA | SGD | 724 | USD | 538 | 07/25/2024 | 3,149 | ||||||||||||||||||||||||
Bank of America, NA | USD | 544 | MXN | 9,297 | 07/25/2024 | (37,364 | ) |
34
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Bank of America, NA | USD | 751 | NZD | 1,231 | 07/25/2024 | $ | (1,461 | ) | ||||||||||||||||||||||
Bank of America, NA | EUR | 2,147 | USD | 2,302 | 08/08/2024 | (1,467 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 2,398 | JPY | 371,138 | 08/16/2024 | (75,605 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 542 | ZAR | 9,908 | 08/22/2024 | 974 | ||||||||||||||||||||||||
Bank of America, NA | USD | 535 | ZAR | 9,721 | 08/22/2024 | (2,329 | ) | |||||||||||||||||||||||
Bank of America, NA | CAD | 714 | USD | 523 | 08/23/2024 | 742 | ||||||||||||||||||||||||
Bank of America, NA | USD | 1,239 | GBP | 977 | 08/29/2024 | (3,573 | ) | |||||||||||||||||||||||
Barclays Bank PLC | USD | 616 | KRW | 848,159 | 07/18/2024 | (664 | ) | |||||||||||||||||||||||
Barclays Bank PLC | IDR | 10,270,715 | USD | 632 | 07/19/2024 | 3,733 | ||||||||||||||||||||||||
Barclays Bank PLC | SEK | 6,519 | USD | 626 | 07/19/2024 | 9,919 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 1,670 | CHF | 1,502 | 08/08/2024 | 10,069 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 1,598 | JPY | 253,190 | 08/16/2024 | (13,291 | ) | |||||||||||||||||||||||
Barclays Bank PLC | INR | 47,889 | USD | 572 | 09/13/2024 | (1,050 | ) | |||||||||||||||||||||||
BNP Paribas SA | USD | 521 | HUF | 193,660 | 07/11/2024 | 3,606 | ||||||||||||||||||||||||
BNP Paribas SA | MXN | 23,609 | USD | 1,270 | 07/25/2024 | (15,664 | ) | |||||||||||||||||||||||
BNP Paribas SA | USD | 534 | MXN | 9,433 | 07/25/2024 | (19,923 | ) | |||||||||||||||||||||||
Citibank, NA | BRL | 2,890 | USD | 520 | 07/02/2024 | 2,902 | ||||||||||||||||||||||||
Citibank, NA | USD | 551 | BRL | 2,890 | 07/02/2024 | (34,331 | ) | |||||||||||||||||||||||
Citibank, NA | CZK | 12,494 | USD | 539 | 07/11/2024 | 5,222 | ||||||||||||||||||||||||
Citibank, NA | HUF | 196,678 | USD | 529 | 07/11/2024 | (3,664 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 527 | PLN | 2,152 | 07/11/2024 | 7,403 | ||||||||||||||||||||||||
Citibank, NA | USD | 554 | KRW | 748,308 | 07/18/2024 | (11,454 | ) | |||||||||||||||||||||||
Citibank, NA | IDR | 12,264,222 | USD | 755 | 07/19/2024 | 5,126 | ||||||||||||||||||||||||
Citibank, NA | PEN | 2,056 | USD | 537 | 07/19/2024 | 1,744 | ||||||||||||||||||||||||
Citibank, NA | USD | 550 | CLP | 502,171 | 07/19/2024 | (16,915 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 1,065 | COP | 4,163,380 | 07/19/2024 | (64,884 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 795 | IDR | 12,793,541 | 07/19/2024 | (13,150 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 1,064 | PEN | 3,994 | 07/19/2024 | (24,590 | ) | |||||||||||||||||||||||
Citibank, NA | CNH | 1,972 | USD | 273 | 07/23/2024 | 2,115 | ||||||||||||||||||||||||
Citibank, NA | EUR | 1,743 | USD | 1,867 | 08/08/2024 | (2,052 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 916 | EUR | 842 | 08/08/2024 | (12,382 | ) | |||||||||||||||||||||||
Citibank, NA | JPY | 311,729 | USD | 2,018 | 08/16/2024 | 67,467 | ||||||||||||||||||||||||
Citibank, NA | ZAR | 10,123 | USD | 559 | 08/22/2024 | 4,270 | ||||||||||||||||||||||||
Citibank, NA | CAD | 5,226 | USD | 3,799 | 08/23/2024 | (25,404 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 544 | INR | 45,542 | 09/13/2024 | 1,031 | ||||||||||||||||||||||||
Deutsche Bank AG | EUR | 3,327 | USD | 3,582 | 08/08/2024 | 12,214 | ||||||||||||||||||||||||
Deutsche Bank AG | JPY | 687,044 | USD | 4,449 | 08/16/2024 | 149,136 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 544 | HUF | 196,274 | 07/11/2024 | (11,819 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | SEK | 18,008 | USD | 1,642 | 07/19/2024 | (58,270 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 4,417 | NZD | 7,205 | 07/25/2024 | (28,249 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | CHF | 6,284 | USD | 7,018 | 08/08/2024 | (6,985 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 7,773 | CAD | 10,690 | 08/23/2024 | 50,321 | ||||||||||||||||||||||||
HSBC Bank USA | BRL | 2,695 | USD | 485 | 07/02/2024 | 2,706 | ||||||||||||||||||||||||
HSBC Bank USA | USD | 522 | BRL | 2,695 | 07/02/2024 | (40,282 | ) | |||||||||||||||||||||||
HSBC Bank USA | HUF | 404,396 | USD | 1,111 | 07/11/2024 | 15,344 | ||||||||||||||||||||||||
HSBC Bank USA | PLN | 4,373 | USD | 1,114 | 07/11/2024 | 27,714 | ||||||||||||||||||||||||
HSBC Bank USA | PLN | 2,152 | USD | 526 | 07/11/2024 | (8,686 | ) | |||||||||||||||||||||||
HSBC Bank USA | IDR | 8,730,975 | USD | 541 | 07/19/2024 | 7,487 | ||||||||||||||||||||||||
HSBC Bank USA | CNH | 7,931 | USD | 1,098 | 07/23/2024 | 9,965 | ||||||||||||||||||||||||
HSBC Bank USA | USD | 549 | CNH | 3,966 | 07/23/2024 | (4,495 | ) | |||||||||||||||||||||||
HSBC Bank USA | MXN | 8,967 | USD | 536 | 07/25/2024 | 47,623 | ||||||||||||||||||||||||
HSBC Bank USA | SGD | 752 | USD | 557 | 07/25/2024 | 2,106 | ||||||||||||||||||||||||
HSBC Bank USA | USD | 547 | SGD | 741 | 07/25/2024 | 260 | ||||||||||||||||||||||||
HSBC Bank USA | CHF | 2,797 | USD | 3,099 | 08/08/2024 | (28,274 | ) | |||||||||||||||||||||||
HSBC Bank USA | USD | 1,597 | CHF | 1,405 | 08/08/2024 | (25,996 | ) | |||||||||||||||||||||||
HSBC Bank USA | CAD | 4,684 | USD | 3,415 | 08/23/2024 | (12,160 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | SEK | 18,858 | USD | 1,738 | 07/19/2024 | (42,986 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 273 | COP | 1,060,552 | 07/19/2024 | (18,249 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | EUR | 6,248 | USD | 6,754 | 07/24/2024 | 56,348 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 545 | MXN | 9,110 | 07/25/2024 | (48,287 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | EUR | 3,562 | USD | 3,837 | 08/08/2024 | 15,364 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,185 | CHF | 1,053 | 08/08/2024 | (7,528 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 12,567 | EUR | 11,672 | 08/08/2024 | (45,043 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | JPY | 491,674 | USD | 3,142 | 08/16/2024 | 65,495 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,737 | JPY | 268,157 | 08/16/2024 | (58,879 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | BRL | 5,585 | USD | 1,041 | 07/02/2024 | 41,438 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,005 | BRL | 5,585 | 07/02/2024 | (5,608 | ) |
35
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | EUR | 9,940 | USD | 10,645 | 07/11/2024 | $ | (4,806 | ) | ||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | PLN | 2,164 | USD | 543 | 07/11/2024 | 5,037 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | KRW | 2,648,561 | USD | 1,941 | 07/18/2024 | 19,989 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | COP | 4,568,120 | USD | 1,158 | 07/19/2024 | 60,971 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | PEN | 4,297 | USD | 1,159 | 07/19/2024 | 41,184 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | SEK | 8,116 | USD | 778 | 07/19/2024 | 11,340 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 530 | BRL | 2,893 | 08/02/2024 | (14,227 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,123 | EUR | 1,041 | 08/08/2024 | (6,040 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | JPY | 1,674,795 | USD | 10,862 | 08/16/2024 | 381,175 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,691 | JPY | 259,802 | 08/16/2024 | (65,547 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | GBP | 5,191 | USD | 6,584 | 08/29/2024 | 19,803 | ||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 5,167 | GBP | 4,074 | 08/29/2024 | (15,542 | ) | |||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | AUD | 11,956 | USD | 7,955 | 09/19/2024 | (36,881 | ) | |||||||||||||||||||||||
NatWest Markets PLC | USD | 1,022 | JPY | 156,342 | 08/16/2024 | (43,982 | ) | |||||||||||||||||||||||
Standard Chartered Bank | IDR | 4,658,570 | USD | 289 | 07/19/2024 | 4,282 | ||||||||||||||||||||||||
Standard Chartered Bank | USD | 544 | IDR | 8,800,786 | 07/19/2024 | (5,683 | ) | |||||||||||||||||||||||
Standard Chartered Bank | USD | 184 | PEN | 685 | 07/19/2024 | (5,419 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CHF | 266 | PLN | 1,149 | 07/11/2024 | (10,765 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | HUF | 35,441 | USD | 97 | 07/11/2024 | 784 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | NOK | 4,081 | USD | 383 | 07/19/2024 | 954 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | SEK | 4,638 | USD | 444 | 07/19/2024 | 5,826 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | SEK | 5,497 | USD | 505 | 07/19/2024 | (13,770 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | CAD | 357 | MXN | 4,428 | 07/25/2024 | (19,689 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | MXN | 44 | USD | 3 | 07/25/2024 | 234 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 1,077 | USD | 1,158 | 08/08/2024 | 1,726 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 792 | EUR | 734 | 08/08/2024 | (3,483 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | EUR | 6,256 | USD | 6,816 | 08/16/2024 | 101,602 | ||||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 228 | JPY | 34,881 | 08/16/2024 | (9,305 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 360 | ZAR | 6,495 | 08/22/2024 | (4,517 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | ZAR | 6,009 | USD | 324 | 08/22/2024 | (5,502 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | USD | 387 | GBP | 304 | 08/29/2024 | (2,020 | ) | |||||||||||||||||||||||
UBS AG | KRW | 750,889 | USD | 545 | 07/18/2024 | 398 | ||||||||||||||||||||||||
UBS AG | MXN | 10,178 | USD | 538 | 07/25/2024 | (16,651 | ) | |||||||||||||||||||||||
UBS AG | SGD | 735 | USD | 548 | 07/25/2024 | 4,935 | ||||||||||||||||||||||||
UBS AG | USD | 599 | MXN | 10,606 | 07/25/2024 | (21,440 | ) | |||||||||||||||||||||||
UBS AG | USD | 542 | SGD | 728 | 07/25/2024 | (4,096 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 345,365 | |||||||||||||||||||||||||||||
|
|
36
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at June 30, 2024 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY Series 42, 5 Year Index, 06/20/2029* | (5.00 | )% | Quarterly | 3.45% | USD | 4,770 | $ | (304,075 | ) | $ | (307,218 | ) | $ | 3,143 | ||||||||||||||||||
iTraxx Australia Series 41, 5 Year Index, 06/20/2029* | (1.00 | ) | Quarterly | 0.71 | USD | 5,300 | (102,445 | ) | (120,664 | ) | 18,219 | |||||||||||||||||||||
Malaysia Government Bond, 06/20/2029* | (1.00 | ) | Quarterly | 0.45 | USD | 8,800 | (216,370 | ) | (215,201 | ) | (1,169 | ) | ||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
CDX-NAIG Series 42, 5 Year Index, 06/20/2029* | 1.00 | Quarterly | 0.54 | USD | 2,490 | 161,496 | 163,040 | (1,544 | ) | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (461,394 | ) | $ | (480,043 | ) | $ | 18,649 | |||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INFLATION (CPI) SWAPS
Rate Type | ||||||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
USD | 16,672 | 02/26/2025 | 1.589% | CPI# | Maturity | $ | 2,433,105 | $ | — | $ | 2,433,105 | |||||||||||||||||||
USD | 17,150 | 02/28/2025 | 1.527% | CPI# | Maturity | 2,556,267 | — | 2,556,267 | ||||||||||||||||||||||
USD | 6,245 | 07/08/2027 | 2.770% | CPI# | Maturity | 103,052 | — | 103,052 | ||||||||||||||||||||||
USD | 6,245 | 07/08/2027 | 2.778% | CPI# | Maturity | 100,755 | — | 100,755 | ||||||||||||||||||||||
USD | 4,160 | 07/15/2027 | 2.753% | CPI# | Maturity | 64,116 | — | 64,116 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 5,257,295 | $ | — | $ | 5,257,295 | |||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
USD | 610 | 04/21/2025 | 1.815% | 1 Day SOFR | Annual | $ | 20,239 | $ | 14,036 | $ | 6,203 | |||||||||||||
USD | 370 | 06/09/2025 | 1.970% | 1 Day SOFR | Annual | 11,243 | 9,158 | 2,085 | ||||||||||||||||
USD | 484 | 08/04/2025 | 1.950% | 1 Day SOFR | Annual | 30,539 | 13,602 | 16,937 | ||||||||||||||||
USD | 1,990 | 04/27/2026 | 1.570% | 1 Day SOFR | Annual | 119,453 | 96,907 | 22,546 | ||||||||||||||||
USD | 840 | 10/04/2026 | 1.150% | 1 Day SOFR | Annual | 86,212 | 55,590 | 30,622 | ||||||||||||||||
USD | 420 | 11/08/2026 | 1.450% | 1 Day SOFR | Annual | 38,732 | 25,653 | 13,079 | ||||||||||||||||
USD | 420 | 11/09/2026 | 1.505% | 1 Day SOFR | Annual | 38,032 | 25,022 | 13,010 | ||||||||||||||||
USD | 1,040 | 04/04/2027 | 2.240% | 1 Day SOFR | Annual | 64,784 | 52,110 | 12,674 |
37
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
USD | 580 | 04/26/2027 | 2.110% | 1 Day SOFR | Annual | $ | 37,596 | $ | 30,666 | $ | 6,930 | |||||||||||||
USD | 10,260 | 06/05/2027 | 0.343% | 1 Day SOFR | Annual | 1,152,987 | 1,048,310 | 104,677 | ||||||||||||||||
USD | 6,030 | 07/20/2027 | 1.885% | 1 Day SOFR | Annual | 612,313 | 379,947 | 232,366 | ||||||||||||||||
USD | 1,360 | 09/27/2029 | 1.300% | 1 Day SOFR | Annual | 216,637 | 161,431 | 55,206 | ||||||||||||||||
USD | 1,830 | 12/13/2029 | 1.537% | 1 Day SOFR | Annual | 259,961 | 148,474 | 111,487 | ||||||||||||||||
USD | 15,740 | 05/21/2031 | 1.395% | 1 Day SOFR | Annual | 2,490,485 | 2,184,256 | 306,229 | ||||||||||||||||
USD | 1,010 | 11/10/2035 | 2.390% | 1 Day SOFR | Annual | 160,534 | 112,910 | 47,624 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 5,339,747 | $ | 4,358,072 | $ | 981,675 | |||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at June 30, 2024 | 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 | 5.00% | USD | 6 | $ | (769 | ) | $ | (465 | ) | $ | (304 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 12 | (1,537 | ) | (1,024 | ) | (513 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 12 | (1,537 | ) | (946 | ) | (591 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 23 | (3,015 | ) | (2,196 | ) | (819 | ) | |||||||||||||||||||||
JPMorgan Securities LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 116 | (15,395 | ) | (8,727 | ) | (6,668 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (22,253 | ) | $ | (13,358 | ) | $ | (8,895 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
TOTAL RETURN SWAPS
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receive Total Return on Reference Obligation | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||
Swiss Market Index Futures | 0.00 | % | Maturity | CHF | 240 | 09/20/2024 | $ | (1,186 | ) |
38
REVERSE REPURCHASE AGREEMENTS
Broker | Currency | Principal Amount (000) | Interest Rate | Maturity | U.S. $ Value at June 30, | |||||||||||||||
HSBC Securities (USA), Inc.† | USD | 1,071 | 5.46 | % | — | $ | 1,080,909 | |||||||||||||
HSBC Securities (USA), Inc.† | USD | 514 | 5.46 | % | — | 515,689 | ||||||||||||||
|
| |||||||||||||||||||
$ | 1,596,598 | |||||||||||||||||||
|
|
† | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on June 30, 2024. |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements is as follows:
Overnight and Continuous | Up to 30 Days | 31-90 Days | Greater than 90 Days | Total | ||||||||||||||||||
Inflation-Linked Securities | $ | 1,596,598 | $ | — | $ | — | $ | — | $ | 1,596,598 |
(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, 2024, the aggregate market value of these securities amounted to $108,928,506 or 28.9% of net assets. |
(b) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(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 June 30, 2024. |
(e) | Fair valued by the Adviser. |
(f) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(g) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(h) | Affiliated investments. |
(i) | Inverse interest only security. |
(j) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.70% of net assets as of June 30, 2024, 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 | 02/25/2021-08/03/2023 | $ | 380,004 | $ | 378,351 | 0.10% | ||||||
GSF | 02/25/2021-09/06/2022 | 1,086,250 | 1,024,089 | 0.27% | ||||||||
GSF | 02/25/2021-04/01/2021 | 39,469 | 36,360 | 0.01% | ||||||||
HFX Funding Issuer | 11/19/2020 | 1,300,723 | 1,215,062 | 0.32% |
(k) | IO - Interest Only. |
39
(l) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at June 30, 2024. |
(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 June 30, 2024. |
(n) | Non-income producing security. |
(o) | The rate shown represents the 7-day yield as of period end. |
(p) | As of June 30, 2024, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $12,117,296 and gross unrealized depreciation of investments was $(18,565,321), resulting in net unrealized depreciation of $(6,448,025). |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
CLP – Chilean Peso
CNH – Chinese Yuan Renminbi (Offshore)
CNY – Chinese Yuan Renminbi
COP – Colombian Peso
CZK – Czech Koruna
EUR – Euro
GBP – Great British Pound
HUF – Hungarian Forint
IDR – Indonesian Rupiah
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
NOK – Norwegian Krone
NZD – New Zealand Dollar
PEN – Peruvian Sol
PLN – Polish Zloty
SEK – Swedish Krona
SGD – Singapore Dollar
USD – United States Dollar
ZAR – South African Rand
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
CME – Chicago Mercantile Exchange
EAFE – Europe, Australia, and Far East
ETF – Exchange Traded Fund
ETS – Emission Trading Scheme
FTSE – Financial Times Stock Exchange
MSCI – Morgan Stanley Capital International
NATL – National Interstate Corporation
OAT – Obligations Assimilables du Trésor
OMXS – Stockholm Stock Exchange
OSE – Osaka Securities Exchange
REIT – Real Estate Investment Trust
REMICs – Real Estate Mortgage Investment Conduits
SOFR – Secured Overnight Financing Rate
SPI – Share Price Index
TBA – To Be Announced
TIPS – Treasury Inflation Protected Security
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
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Sanford C. Bernstein Fund, Inc.
Overlay B Portfolio
June 30, 2024 (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.
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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Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments 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.
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of June 30, 2024:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments - Treasuries | $ | — | $ | 75,442,023 | $ | — | $ | 75,442,023 | ||||||||
Corporates - Investment Grade | — | 66,058,004 | — | 66,058,004 | ||||||||||||
Inflation-Linked Securities | — | 65,191,970 | — | 65,191,970 | ||||||||||||
Investment Companies | 49,485,156 | — | — | 49,485,156 | ||||||||||||
Mortgage Pass-Throughs | — | 38,394,954 | — | 38,394,954 | ||||||||||||
Asset-Backed Securities | — | 17,240,774 | — | 17,240,774 | ||||||||||||
Collateralized Mortgage Obligations | — | 15,348,716 | — | 15,348,716 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 9,372,383 | — | 9,372,383 | ||||||||||||
Covered Bonds | — | 5,606,052 | — | 5,606,052 | ||||||||||||
Collateralized Loan Obligations | — | 5,532,072 | — | 5,532,072 | ||||||||||||
Governments - Sovereign Agencies | — | 3,555,555 | — | 3,555,555 | ||||||||||||
Corporates - Non-Investment Grade | — | 3,311,333 | — | 3,311,333 | ||||||||||||
Local Governments - Regional Bonds | — | 3,250,327 | — | 3,250,327 | ||||||||||||
Emerging Markets - Corporate Bonds | — | 2,854,317 | — | 2,854,317 | ||||||||||||
Purchased Options - Puts | — | 2,724,311 | — | 2,724,311 | ||||||||||||
Governments - Sovereign Bonds | — | 2,478,797 | — | 2,478,797 | ||||||||||||
Local Governments - US Municipal Bonds | — | 2,240,086 | — | 2,240,086 |
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Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Supranationals | $ | — | $ | 1,933,327 | $ | — | $ | 1,933,327 | ||||||||
Local Governments - Provincial Bonds | — | 1,447,046 | — | 1,447,046 | ||||||||||||
Agencies | — | 1,119,637 | — | 1,119,637 | ||||||||||||
Quasi-Sovereigns | — | 598,008 | — | 598,008 | ||||||||||||
Emerging Markets - Sovereigns | — | 515,643 | — | 515,643 | ||||||||||||
Emerging Markets - Treasuries | — | 483,551 | — | 483,551 | ||||||||||||
Local Governments - Canadian Municipal Bonds | — | 50,742 | — | 50,742 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 14,114,832 | — | — | 14,114,832 | ||||||||||||
U.S. Treasury Bills | — | 5,083,785 | — | 5,083,785 | ||||||||||||
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Total Investments in Securities | 63,599,988 | 329,833,413 | — | 393,433,401 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 1,122,697 | — | — | 1,122,697 | ||||||||||||
Forward Currency Exchange Contracts | — | 1,518,833 | — | 1,518,833 | ||||||||||||
Centrally Cleared Credit Default Swaps | — | 161,496 | — | 161,496 | ||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 5,257,295 | — | 5,257,295 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 5,339,747 | — | 5,339,747 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures | (307,943 | ) | — | — | (307,943 | ) | ||||||||||
Forward Currency Exchange Contracts | — | (1,173,468 | ) | — | (1,173,468 | ) | ||||||||||
Centrally Cleared Credit Default Swaps | — | (622,890 | ) | — | (622,890 | ) | ||||||||||
Credit Default Swaps | — | (22,253 | ) | — | (22,253 | ) | ||||||||||
Total Return Swaps | — | (1,186 | ) | — | (1,186 | ) | ||||||||||
Reverse Repurchase Agreements | (1,596,598 | ) | — | — | (1,596,598 | ) | ||||||||||
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Total | $ | 62,818,144 | $ | 340,290,987 | $ | — | $ | 403,109,131 | ||||||||
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(a) | Other financial instruments include reverse repurchase agreements and derivative instruments, such as futures, forwards and swaps. Derivative instruments are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
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A summary of the Portfolio’s transactions in AB mutual funds for the nine months ended June 30, 2024 is as follows:
Distributions | ||||||||||||||||||||||||||||||||
Fund | Market Value 09/30/2023 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Realized Gain (Loss) (000) | Change (Depr.) | Market Value 06/30/2024 (000) | Dividend Income (000) | Realized Gains (000) | ||||||||||||||||||||||||
AB All Market Real Return Portfolio | $ | 21,231 | $ | 877 | $ | 8,029 | $ | (1,375 | ) | $ | 2,002 | $ | 14,706 | $ | 877 | $ | 0 | |||||||||||||||
Government Money Market Portfolio | 116,399 | 144,712 | 246,996 | 0 | 0 | 14,115 | 2,237 | 0 | ||||||||||||||||||||||||
Total | $ | 137,630 | $ | 145,589 | $ | 255,025 | $ | (1,375 | ) | $ | 2,002 | $ | 28,821 | $ | 3,114 | $ | 0 |
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