Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Tax-Aware Overlay B Portfolio
June 30, 2024 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
MUNICIPAL OBLIGATIONS – 69.2% |
| |||||||||||
Long-Term Municipal Bonds – 69.1% |
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Alabama – 1.2% |
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Southeast Energy Authority A Cooperative District (Morgan Stanley) | $ | 5,500 | $ | 5,467,316 | ||||||||
Southeast Energy Authority A Cooperative District (Royal Bank of Canada) | 1,000 | 1,055,688 | ||||||||||
Southeast Energy Authority A Cooperative District (Sumitomo Mitsui Financial Group, Inc.) | 1,100 | 1,163,161 | ||||||||||
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| |||||||||||
7,686,165 | ||||||||||||
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American Samoa – 0.1% |
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American Samoa Economic Development Authority (Territory of American Samoa) | 815 | 844,863 | ||||||||||
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Arizona – 1.4% |
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Arizona Industrial Development Authority (Equitable School Revolving Fund LLC Obligated Group) | 600 | 600,064 | ||||||||||
4.00%, 11/01/2039 | 750 | 746,592 | ||||||||||
5.00%, 11/01/2035 | 850 | 919,332 | ||||||||||
Chandler Industrial Development Authority (Intel Corp.) | 2,000 | 2,053,124 | ||||||||||
Series 2024 | 1,000 | 1,006,284 | ||||||||||
City of Glendale AZ (City of Glendale AZ COP) | 1,000 | 884,732 | ||||||||||
2.442%, 07/01/2032 | 2,250 | 1,898,424 | ||||||||||
City of Tempe AZ (City of Tempe AZ COP) | 1,475 | 1,171,740 | ||||||||||
|
| |||||||||||
9,280,292 | ||||||||||||
|
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California – 14.8% |
| |||||||||||
Anaheim Housing & Public Improvements Authority (City of Anaheim CA Electric System Revenue) | 1,150 | 983,656 | ||||||||||
Bay Area Toll Authority | 2,000 | 1,969,040 | ||||||||||
4.29% (MUNIPSA + 0.41%), 04/01/2056(b) | 2,000 | 1,961,252 |
1
Principal Amount (000) | U.S. $ Value | |||||||||||
California Community Choice Financing Authority (American International Group, Inc.) | $ | 2,000 | $ | 2,134,944 | ||||||||
California Community Choice Financing Authority (Deutsche Bank AG) | 5,570 | 5,870,056 | ||||||||||
California Community Choice Financing Authority (Morgan Stanley) | 1,000 | 1,059,828 | ||||||||||
5.20% (SOFR + 1.63%), 07/01/2053(b) | 2,200 | 2,186,416 | ||||||||||
5.248% (SOFR + 1.67%), 02/01/2054(b) | 1,000 | 990,068 | ||||||||||
California Community Housing Agency (California Community Housing Agency Brio Apartments & Next on Lex Apartments) | 3,200 | 2,616,408 | ||||||||||
California Community Housing Agency (California Community Housing Agency Summit at Sausalito Apartments) | 595 | 457,012 | ||||||||||
California Enterprise Development Authority (Rocketship Education Obligated Group) | 540 | 522,520 | ||||||||||
California Health Facilities Financing Authority (Sutter Health Obligated Group) | 900 | 954,444 | ||||||||||
California Housing Finance Agency | 4,167 | 4,197,564 | ||||||||||
Series 2021-1, Class A 3.50%, 11/20/2035 | 3,471 | 3,317,004 | ||||||||||
Series 2021-2, Class A 3.75%, 03/25/2035 | 4,820 | 4,804,444 | ||||||||||
Series 2021-2, Class X 0.84%, 03/25/2035(c) | 2,892 | 131,672 | ||||||||||
California Infrastructure & Economic Development Bank (DesertXpress Enterprises LLC) | 370 | 384,668 | ||||||||||
California Municipal Finance Authority (Anaheim Electric Utility Fund) | 1,000 | 1,022,488 | ||||||||||
California Municipal Finance Authority (LAX Integrated Express Solutions LLC) | 1,700 | 1,752,096 |
2
Principal Amount (000) | U.S. $ Value | |||||||||||
California Municipal Finance Authority (Waste Management, Inc.) | $ | 4,710 | $ | 4,493,912 | ||||||||
California Pollution Control Financing Authority (San Diego County Water Authority Desalination Project Pipeline) | 450 | 474,768 | ||||||||||
California Public Finance Authority (California University of Science & Medicine Obligated Group) | 1,000 | 1,055,132 | ||||||||||
California School Finance Authority (Classical Academy Obligated Group) | 1,000 | 1,019,336 | ||||||||||
California School Finance Authority (Fenton Charter Public Schools) | 600 | 597,720 | ||||||||||
California School Finance Authority (Rocketship Education Obligated Group) | 370 | 370,440 | ||||||||||
California State University | 400 | 349,592 | ||||||||||
Series 2021-B | 2,000 | 1,560,384 | ||||||||||
2.374%, 11/01/2035 | 1,000 | 769,948 | ||||||||||
California Statewide Communities Development Authority (Lancer Educational Housing LLC) | 375 | 390,048 | ||||||||||
California Statewide Communities Development Authority (Loma Linda University Medical Center) | 500 | 516,756 | ||||||||||
California Statewide Communities Development Authority (NCCD-Hooper Street LLC) | 40 | 40,000 | ||||||||||
5.00%, 07/01/2029(a) | 215 | 220,640 | ||||||||||
City of Fremont CA Community Facilities District No. 1 | 1,505 | 1,525,080 | ||||||||||
City of Los Angeles CA | 3,000 | 3,043,924 |
3
Principal Amount (000) | U.S. $ Value | |||||||||||
City of Los Angeles Department of Airports | $ | 485 | $ | 513,880 | ||||||||
City of Los Angeles Department of Airports (Pre-refunded - US Treasuries) | 215 | 220,848 | ||||||||||
City of Roseville CA (City of Roseville CA Fiddyment Ranch Community Facilities District No. 1) | 1,000 | 1,024,736 | ||||||||||
City of Roseville CA (HP Campus Oaks Community Facilities District No. 1) | 305 | 310,580 | ||||||||||
CMFA Special Finance Agency VIII Elan Huntington Beach | 110 | 96,676 | ||||||||||
Coast Community College District (Pre-refunded - US Treasuries) | 1,000 | 593,464 | ||||||||||
Coronado Community Development Agency Successor Agency | 2,040 | 2,074,564 | ||||||||||
County of Los Angeles CA | 1,000 | 1,016,560 | ||||||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority 777 Place-Pomona) | 2,750 | 2,353,228 | ||||||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority 1818 Platinum Triangle-Anaheim) | 485 | 404,240 | ||||||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Acacia on Santa Rosa Creek) | 2,000 | 1,613,108 | ||||||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Millennium South Bay-Hawthorne) | 1,300 | 1,096,764 | ||||||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Pasadena Portfolio) | 990 | 799,352 |
4
Principal Amount (000) | U.S. $ Value | |||||||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Theo Apartments) | $ | 2,700 | $ | 2,276,016 | ||||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Vineyard Gardens Apartments) | 1,000 | 748,148 | ||||||||||
Golden State Tobacco Securitization Corp. (Golden State Tobacco Securitization Corp. Lease) | 1,000 | 964,228 | ||||||||||
Los Angeles Department of Water & Power Power System Revenue | 365 | 392,972 | ||||||||||
5.00%, 07/01/2029 | 455 | 499,356 | ||||||||||
Middle Fork Project Finance Authority | 450 | 472,740 | ||||||||||
Newport Mesa Unified School District | 510 | 510,704 | ||||||||||
Northern California Sanitation Agencies Financing Authority (Pre-refunded - US Treasuries) | 2,000 | 2,006,076 | ||||||||||
Oakland Unified School District/Alameda County | 1,025 | 1,044,028 | ||||||||||
River Islands Public Financing Authority (River Islands Public Financing Authority Cmnty Facs District No. 2003-1 Area 1) | 500 | 503,012 | ||||||||||
River Islands Public Financing Authority (River Islands Public Financing Authority Community Facilities District No. 2003-1) | 500 | 503,012 | ||||||||||
Sacramento County Water Financing Authority (Sacramento County Water Agency) | 5,125 | 4,706,440 | ||||||||||
San Mateo Foster City School District/CA (Pre-refunded - US Treasuries) | 2,610 | 2,635,620 | ||||||||||
Saugus/Hart School Facilities Financing Authority (Saugus Union School District Community Facilities District No. 06-01) | 750 | 763,776 |
5
Principal Amount (000) | U.S. $ Value | |||||||||||
Southern California Public Power Authority (American International Group, Inc.) | $ | 1,400 | $ | 1,482,872 | ||||||||
State of California | 50 | 50,160 | ||||||||||
Series 2015 5.00%, 03/01/2026 | 2,085 | 2,106,484 | ||||||||||
Series 2023 6.00%, 03/01/2033 | 2,000 | 2,146,656 | ||||||||||
Tobacco Securitization Authority of Southern California | 960 | 1,032,568 | ||||||||||
University of California | 1,500 | 1,478,536 | ||||||||||
5.00%, 05/15/2042 | 1,000 | 1,124,420 | ||||||||||
Walnut Energy Center Authority (Pre-refunded - US Treasuries) | 1,800 | 1,801,964 | ||||||||||
|
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95,111,048 | ||||||||||||
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Colorado – 0.2% |
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Johnstown Plaza Metropolitan District | 564 | 493,812 | ||||||||||
Vauxmont Metropolitan District | 173 | 144,104 | ||||||||||
AGM Series 2020 | 115 | 115,560 | ||||||||||
5.00%, 12/01/2027 | 105 | 109,965 | ||||||||||
5.00%, 12/01/2033 | 110 | 118,700 | ||||||||||
5.00%, 12/01/2050 | 300 | 310,972 | ||||||||||
|
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1,293,113 | ||||||||||||
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Connecticut – 1.4% |
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City of Bridgeport CT | 1,890 | 1,978,972 | ||||||||||
5.00%, 11/01/2030 | 2,015 | 2,109,924 | ||||||||||
5.00%, 11/01/2031 | 1,335 | 1,398,004 | ||||||||||
Connecticut State Health & Educational Facilities Authority (Yale University) | 3,380 | 3,331,900 | ||||||||||
|
| |||||||||||
8,818,800 | ||||||||||||
|
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District of Columbia – 0.5% |
| |||||||||||
District of Columbia Income Tax Revenue | 1,000 | 1,171,532 |
6
Principal Amount (000) | U.S. $ Value | |||||||||||
Metropolitan Washington Airports Authority Aviation Revenue | $ | 1,910 | $ | 1,999,057 | ||||||||
|
| |||||||||||
3,170,589 | ||||||||||||
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Florida – 2.0% |
| |||||||||||
County of Osceola FL Transportation Revenue | 100 | 77,300 | ||||||||||
Zero Coupon, 10/01/2031 | 100 | 74,062 | ||||||||||
Zero Coupon, 10/01/2032 | 200 | 142,040 | ||||||||||
Zero Coupon, 10/01/2034 | 100 | 65,112 | ||||||||||
County of Pasco FL (H Lee Moffitt Cancer Center & Research Institute Obligated Group) | 1,000 | 1,076,508 | ||||||||||
Lakewood Ranch Stewardship District (Lakewood Ranch Stewardship District Assessment Country Club East) | 915 | 791,902 | ||||||||||
Lakewood Ranch Stewardship District (Lakewood Ranch Stewardship District Series 2020 Assessment Country Club East) | 915 | 791,902 | ||||||||||
North Broward Hospital District | 3,590 | 3,730,272 | ||||||||||
5.00%, 01/01/2032 | 2,950 | 3,065,672 | ||||||||||
Palm Beach County Health Facilities Authority (Federation CCRC Operations Corp. Obligated Group) | 200 | 189,176 | ||||||||||
Polk County Industrial Development Authority (Mineral Development LLC) | 950 | 890,640 | ||||||||||
State of Florida Department of Transportation Turnpike System Revenue | 2,230 | 2,230,000 | ||||||||||
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13,124,586 | ||||||||||||
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Georgia – 1.1% |
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City of Atlanta GA Department of Aviation | 640 | 698,752 | ||||||||||
Series 2021-B 5.00%, 07/01/2029 | 600 | 655,080 | ||||||||||
Series 2021-C 5.00%, 07/01/2035 | 2,350 | 2,533,058 | ||||||||||
City of Atlanta GA Water & Wastewater Revenue (Pre-refunded - US Treasuries) | 1,000 | 1,014,472 |
7
Principal Amount (000) | U.S. $ Value | |||||||||||
Main Street Natural Gas, Inc. (Citigroup, Inc.) | $ | 2,000 | $ | 2,110,020 | ||||||||
Municipal Electric Authority of Georgia | 180 | 188,428 | ||||||||||
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7,199,810 | ||||||||||||
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Guam – 0.8% |
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Antonio B Won Pat International Airport Authority | 200 | 184,968 | ||||||||||
3.099%, 10/01/2028 | 100 | 91,320 | ||||||||||
3.339%, 10/01/2030 | 150 | 132,536 | ||||||||||
3.489%, 10/01/2031 | 120 | 104,772 | ||||||||||
Territory of Guam | 315 | 319,568 | ||||||||||
Territory of Guam (Guam Section 30 Income Tax) | 100 | 102,412 | ||||||||||
5.00%, 12/01/2029 | 245 | 250,996 | ||||||||||
5.00%, 12/01/2030 | 390 | 399,628 | ||||||||||
5.00%, 12/01/2032 | 360 | 368,828 | ||||||||||
Territory of Guam (Territory of Guam Business Privilege Tax) | 1,405 | 1,422,984 | ||||||||||
Series 2015-D | 615 | 622,888 | ||||||||||
Territory of Guam (Territory of Guam Hotel Occupancy Tax) | 1,000 | 1,017,840 | ||||||||||
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5,018,740 | ||||||||||||
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Illinois – 2.0% |
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Chicago Board of Education | 1,000 | 1,002,136 | ||||||||||
Series 2019-B 5.00%, 12/01/2030 | 270 | 281,376 | ||||||||||
5.00%, 12/01/2031 | 310 | 322,220 | ||||||||||
5.00%, 12/01/2032 | 200 | 207,856 | ||||||||||
5.00%, 12/01/2033 | 160 | 166,272 | ||||||||||
Illinois Finance Authority (Illinois Institute of Technology) | 100 | 99,784 | ||||||||||
5.00%, 09/01/2027 | 200 | 200,144 | ||||||||||
5.00%, 09/01/2029 | 200 | 200,596 | ||||||||||
5.00%, 09/01/2032 | 100 | 100,032 | ||||||||||
5.00%, 09/01/2033 | 400 | 399,052 | ||||||||||
5.00%, 09/01/2034 | 100 | 99,272 |
8
Principal Amount (000) | U.S. $ Value | |||||||||||
Illinois Finance Authority (Memorial Health Obligated Group) | $ | 1,725 | $ | 1,799,908 | ||||||||
Metropolitan Pier & Exposition Authority | 1,400 | 1,458,532 | ||||||||||
State of Illinois | 3,810 | 3,884,636 | ||||||||||
Series 2024-B | 1,600 | 1,742,656 | ||||||||||
5.25%, 05/01/2043 | 1,000 | 1,102,936 | ||||||||||
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13,067,408 | ||||||||||||
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Indiana – 0.4% |
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City of Whiting IN (BP PLC) | 2,000 | 2,004,908 | ||||||||||
Indiana Finance Authority (Ohio Valley Electric Corp.) | 330 | 294,664 | ||||||||||
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2,299,572 | ||||||||||||
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Iowa – 0.2% |
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Iowa Finance Authority (Iowa Fertilizer Co., LLC) | 1,000 | 1,048,025 | ||||||||||
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Kansas – 0.3% |
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Kansas Development Finance Authority (State of Kansas Department of Administration Lease) | 2,000 | 1,860,977 | ||||||||||
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Kentucky – 2.2% |
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City of Ashland KY (Royal Blue Health LLC Obligated Group) | 325 | 328,768 | ||||||||||
5.00%, 02/01/2027 | 380 | 389,068 | ||||||||||
5.00%, 02/01/2030 | 255 | 268,123 | ||||||||||
5.00%, 02/01/2031 | 295 | 304,904 | ||||||||||
Kentucky Economic Development Finance Authority (Owensboro Health, Inc. Obligated Group) | 6,195 | 6,322,132 | ||||||||||
Kentucky Public Energy Authority (BP PLC) | 6,370 | 6,397,128 | ||||||||||
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14,010,123 | ||||||||||||
|
|
9
Principal Amount (000) | U.S. $ Value | |||||||||||
Louisiana – 0.7% |
| |||||||||||
Louisiana Local Government Environmental Facilities & Community Development Auth (St James Place of Baton Rouge) | $ | 1,550 | $ | 1,558,160 | ||||||||
Parish of St. James LA (NuStar Logistics LP) | 515 | 568,860 | ||||||||||
6.10%, 12/01/2040(a) | 500 | 552,312 | ||||||||||
Parish of St. John the Baptist LA (Marathon Oil Corp.) | 1,570 | 1,570,000 | ||||||||||
|
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4,249,332 | ||||||||||||
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Maryland – 0.5% |
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University System of Maryland | 2,970 | 3,004,871 | ||||||||||
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Massachusetts – 0.9% |
| |||||||||||
Commonwealth of Massachusetts | 659 | 647,570 | ||||||||||
Commonwealth of Massachusetts (Commonwealth of Massachusetts COVID-19 Recovery Assessment Revenue) | 659 | 647,570 | ||||||||||
Massachusetts Water Resources Authority | 2,000 | 2,264,844 | ||||||||||
Series 2024-C | 2,000 | 2,289,168 | ||||||||||
|
| |||||||||||
5,849,152 | ||||||||||||
|
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Michigan – 4.9% |
| |||||||||||
City of Detroit MI | 800 | 804,556 | ||||||||||
5.00%, 04/01/2026 | 1,200 | 1,219,444 | ||||||||||
5.00%, 04/01/2028 | 2,475 | 2,567,168 | ||||||||||
5.00%, 04/01/2029 | 1,000 | 1,032,204 | ||||||||||
5.00%, 04/01/2030 | 600 | 620,064 | ||||||||||
Michigan Finance Authority (City of Detroit MI Income Tax) | 900 | 900,424 | ||||||||||
Michigan Finance Authority (Great Lakes Water Authority Sewage Disposal System Revenue) | 10,115 | 10,115,000 |
10
Principal Amount (000) | U.S. $ Value | |||||||||||
Michigan Finance Authority (Michigan Finance Authority Tobacco Settlement Revenue) | $ | 1,000 | $ | 926,580 | ||||||||
Michigan Finance Authority (Pre-refunded - US Treasuries) | 5,055 | 5,058,852 | ||||||||||
Michigan Finance Authority (Public Lighting Authority) | 1,175 | 1,175,596 | ||||||||||
Michigan Strategic Fund (Michigan Strategic Fund - I 75 Improvement Project) | 2,000 | 2,062,333 | ||||||||||
5.00%, 06/30/2033 | 1,090 | 1,125,556 | ||||||||||
South Lyon Community Schools | 3,640 | 3,740,332 | ||||||||||
|
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31,348,109 | ||||||||||||
|
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Minnesota – 0.2% |
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State of Minnesota (State of Minnesota Lease) | 1,000 | 1,010,570 | ||||||||||
|
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Mississippi – 0.1% |
| |||||||||||
Mississippi Development Bank (Magnolia Regional Health Center) | 1,100 | 995,218 | ||||||||||
|
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Missouri – 0.1% |
| |||||||||||
Howard Bend Levee District | 185 | 185,820 | ||||||||||
5.75%, 03/01/2027 | 255 | 257,989 | ||||||||||
|
| |||||||||||
443,809 | ||||||||||||
|
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Nevada – 0.1% |
| |||||||||||
City of Sparks NV (City of Sparks NV Sales Tax) | 435 | 415,814 | ||||||||||
State of Nevada Department of Business & Industry (DesertXpress Enterprises LLC) | 520 | 540,688 | ||||||||||
|
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956,502 | ||||||||||||
|
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New Hampshire – 1.3% |
| |||||||||||
New Hampshire Business Finance Authority | 1,674 | 1,642,680 | ||||||||||
Series 2022-1, Class A | 4,872 | 4,841,232 |
11
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2022-1, Class X | $ | 3,654 | $ | 78,208 | ||||||||
Series 2024-2, Class X | 1,000 | 42,152 | ||||||||||
National Finance Authority | 1,955 | 1,882,640 | ||||||||||
|
| |||||||||||
8,486,912 | ||||||||||||
|
| |||||||||||
New Jersey – 3.8% |
| |||||||||||
New Jersey Economic Development Authority (United Airlines, Inc.) | 1,310 | 1,311,244 | ||||||||||
New Jersey Health Care Facilities Financing Authority (Inspira Health Obligated Group) | 1,325 | 1,378,844 | ||||||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Fed Hwy Grant) | 1,630 | 1,670,992 | ||||||||||
5.00%, 06/15/2030 | 1,675 | 1,715,476 | ||||||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease) | 160 | 170,460 | ||||||||||
Series 2019-BB1 | 1,250 | 1,321,016 | ||||||||||
New Jersey Turnpike Authority | 1,225 | 1,075,028 | ||||||||||
Series 2024-C | 1,000 | 1,098,838 | ||||||||||
AGM Series 2005-D3 | 11,070 | 11,317,840 | ||||||||||
Tobacco Settlement Financing Corp./NJ | 3,450 | 3,622,560 | ||||||||||
|
| |||||||||||
24,682,298 | ||||||||||||
|
| |||||||||||
New York – 11.7% |
| |||||||||||
Albany County Airport Authority | 145 | 145,620 | ||||||||||
5.00%, 12/15/2025 | 145 | 147,415 | ||||||||||
5.00%, 12/15/2026 | 145 | 148,940 | ||||||||||
Build NYC Resource Corp. (East Harlem Scholars Academy Charter School Obligated Group) | 245 | 261,004 |
12
Principal Amount (000) | U.S. $ Value | |||||||||||
Build NYC Resource Corp. (Integration Charter Schools) | $ | 300 | $ | 302,720 | ||||||||
Build NYC Resource Corp. (Metropolitan College of New York) | 1,000 | 600,000 | ||||||||||
City of New York NY | 1,055 | 1,112,760 | ||||||||||
Series 2019-E | 1,000 | 1,018,240 | ||||||||||
Series 2021 | 3,385 | 3,046,392 | ||||||||||
Series 2021-A | 2,500 | 2,571,260 | ||||||||||
County of Onondaga NY | 1,145 | 1,165,008 | ||||||||||
Dutchess County Local Development Corp. (Bard College) | 900 | 883,012 | ||||||||||
Hempstead Town Local Development Corp. (Evergreen Charter School, Inc.) | 1,000 | 1,038,148 | ||||||||||
Metropolitan Transportation Authority | 1,540 | 1,592,212 | ||||||||||
Series 2017-C | 6,400 | 6,780,132 | ||||||||||
5.00%, 11/15/2029 | 1,735 | 1,838,692 | ||||||||||
Series 2020-C | 1,355 | 1,425,164 | ||||||||||
Monroe County Industrial Development Corp./NY (Academy of Health Sciences Charter School) | 370 | 379,768 | ||||||||||
Monroe County Industrial Development Corp./NY (Rochester Regional Health Obligated Group) | 955 | 997,124 | ||||||||||
New York City Transitional Finance Authority Building Aid Revenue (New York City Transitional Finance Authority Building Aid Revenue State Lease) | 1,460 | 1,551,684 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 4,000 | 4,004,012 | ||||||||||
5.00%, 11/01/2027 | 3,350 | 3,353,304 | ||||||||||
5.00%, 11/01/2029 | 1,155 | 1,156,120 |
13
Principal Amount (000) | U.S. $ Value | |||||||||||
New York Liberty Development Corp. (3 World Trade Center LLC) | $ | 350 | $ | 350,940 | ||||||||
7.25%, 11/15/2044(a) | 100 | 100,524 | ||||||||||
New York Liberty Development Corp. (One Bryant Park LLC) | 2,755 | 2,516,184 | ||||||||||
2.625%, 09/15/2069 | 320 | 291,876 | ||||||||||
2.80%, 09/15/2069 | 4,620 | 4,153,312 | ||||||||||
New York State Dormitory Authority (Garnet Health Medical Center Obligated Group) | 700 | 698,892 | ||||||||||
New York State Dormitory Authority (New York and Presbyterian Hospital Obligated Group) | 1,000 | 1,117,384 | ||||||||||
New York State Dormitory Authority (Northwell Health Obligated Group) | 1,000 | 1,002,100 | ||||||||||
4.00%, 05/01/2040 | 1,000 | 993,060 | ||||||||||
New York State Dormitory Authority (Pre-refunded - US Govt Agencies) | 1,000 | 936,112 | ||||||||||
New York State Dormitory Authority (Wagner College) | 540 | 561,892 | ||||||||||
New York State Thruway Authority (New York State Thruway Authority Gen Toll Road) | 2,810 | 2,866,100 | ||||||||||
New York State Urban Development Corp. (State of New York Pers Income Tax) | 275 | 301,100 | ||||||||||
New York Transportation Development Corp. (American Airlines, Inc.) | 1,000 | 942,216 | ||||||||||
New York Transportation Development Corp. (Delta Air Lines, Inc.) | 1,495 | 1,543,244 | ||||||||||
New York Transportation Development Corp. (JFK International Air Terminal LLC) | 2,000 | 1,918,404 | ||||||||||
5.00%, 12/01/2040 | 1,000 | 1,051,792 | ||||||||||
Niagara Area Development Corp. (Reworld Holding Corp.) | 600 | 599,620 |
14
Principal Amount (000) | U.S. $ Value | |||||||||||
Port Authority of New York & New Jersey | $ | 3,615 | $ | 3,620,396 | ||||||||
Series 2019 | 1,455 | 1,539,568 | ||||||||||
Suffolk Tobacco Asset Securitization Corp. | 430 | 428,768 | ||||||||||
Triborough Bridge & Tunnel Authority (Metropolitan Transportation Authority Payroll Mobility Tax Revenue) | 3,000 | 2,432,260 | ||||||||||
2.511%, 05/15/2035 | 1,500 | 1,202,572 | ||||||||||
Series 2022 | 500 | 564,118 | ||||||||||
5.00%, 05/15/2035 | 1,000 | 1,126,052 | ||||||||||
5.00%, 05/15/2036 | 1,000 | 1,122,420 | ||||||||||
Series 2024 | 1,500 | 1,726,008 | ||||||||||
Troy Capital Resource Corp. (Rensselaer Polytechnic Institute) | 305 | 328,628 | ||||||||||
5.00%, 09/01/2032 | 415 | 446,908 | ||||||||||
5.00%, 09/01/2033 | 395 | 425,852 | ||||||||||
Trust for Cultural Resources of The City of New York (The) (Lincoln Center for the Performing Arts, Inc.) | 3,130 | 3,252,740 | ||||||||||
|
| |||||||||||
75,679,773 | ||||||||||||
|
| |||||||||||
Ohio – 1.5% |
| |||||||||||
County of Cuyahoga OH (MetroHealth System (The)) | 4,000 | 4,072,920 | ||||||||||
County of Montgomery OH (Dayton Children’s Hospital Obligated Group) | 1,150 | 1,259,176 | ||||||||||
County of Washington OH (Marietta Area Health Care, Inc. Obligated Group) | 1,000 | 1,085,044 | ||||||||||
Ohio Higher Educational Facility Commission (Ashtabula County Medical Center Obligated Group) | 360 | 378,944 | ||||||||||
5.25%, 01/01/2035 | 750 | 810,252 | ||||||||||
5.25%, 01/01/2038 | 1,110 | 1,189,135 | ||||||||||
5.25%, 01/01/2039 | 780 | 830,180 | ||||||||||
|
| |||||||||||
9,625,651 | ||||||||||||
|
|
15
Principal Amount (000) | U.S. $ Value | |||||||||||
Oklahoma – 0.8% |
| |||||||||||
Comanche County Memorial Hospital | $ | 1,000 | $ | 993,956 | ||||||||
5.00%, 07/01/2028 | 1,000 | 981,524 | ||||||||||
5.00%, 07/01/2029 | 1,000 | 975,917 | ||||||||||
Oklahoma Development Finance Authority | 1,000 | 920,692 | ||||||||||
Oklahoma Development Finance Authority (OU Medicine Obligated Group) | 1,000 | 1,039,492 | ||||||||||
|
| |||||||||||
4,911,581 | ||||||||||||
|
| |||||||||||
Other – 1.0% |
| |||||||||||
Federal Home Loan Mortgage Corp. Freddie Mac Multifamily ML Certificates | 963 | 755,385 | ||||||||||
Series 2021-ML10, Class AUS | 1,231 | 964,528 | ||||||||||
Federal Home Loan Mortgage Corp. Multifamily VRD Certificates (FHLMC Multifamily VRD Certificates) | 4,685 | 3,955,152 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates | 1,000 | 1,029,892 | ||||||||||
|
| |||||||||||
6,704,957 | ||||||||||||
|
| |||||||||||
Pennsylvania – 3.1% |
| |||||||||||
Allegheny County Sanitary Authority | 3,105 | 3,108,319 | ||||||||||
5.00%, 12/01/2025 | 4,365 | 4,370,468 | ||||||||||
City of Philadelphia PA Water & Wastewater Revenue | 685 | 749,596 | ||||||||||
Moon Industrial Development Authority (Baptist Homes Society) | 560 | 548,560 | ||||||||||
Pennsylvania Economic Development Financing Authority (Commonwealth of Pennsylvania Department of Transportation) | 3,300 | 3,585,664 | ||||||||||
Pennsylvania Economic Development Financing Authority (UPMC Obligated Group) | 2,000 | 1,992,002 | ||||||||||
Pennsylvania Turnpike Commission | 2,540 | 2,663,200 |
16
Principal Amount (000) | U.S. $ Value | |||||||||||
Philadelphia Authority for Industrial Development (MaST Community Charter School III) | $ | 640 | $ | 650,184 | ||||||||
Pittsburgh Water & Sewer Authority | 2,500 | 2,426,848 | ||||||||||
|
| |||||||||||
20,094,841 | ||||||||||||
|
| |||||||||||
Puerto Rico – 1.5% |
| |||||||||||
Commonwealth of Puerto Rico | 143 | 143,484 | ||||||||||
Zero Coupon, 07/01/2033 | 1,294 | 863,584 | ||||||||||
4.00%, 07/01/2046 | 16 | 14,740 | ||||||||||
Series 2022-C | 92 | 56,440 | ||||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | 1,325 | 1,393,316 | ||||||||||
5.00%, 07/01/2035(a) | 250 | 261,220 | ||||||||||
Puerto Rico Electric Power Authority | 1,240 | 1,239,281 | ||||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (AES Puerto Rico LP) | 812 | 787,328 | ||||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority | 458 | 452,388 | ||||||||||
6.625%, 01/01/2028 | 3,494 | 3,446,188 | ||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 887 | 887,000 | ||||||||||
|
| |||||||||||
9,544,969 | ||||||||||||
|
| |||||||||||
South Carolina – 1.5% |
| |||||||||||
Patriots Energy Group Financing Agency (Royal Bank of Canada) | 5,000 | 5,413,501 | ||||||||||
South Carolina Jobs-Economic Development Authority (Novant Health Obligated Group) | 1,000 | 986,732 | ||||||||||
5.25%, 11/01/2041 | 3,000 | 3,388,284 | ||||||||||
|
| |||||||||||
9,788,517 | ||||||||||||
|
|
17
Principal Amount (000) | U.S. $ Value | |||||||||||
Tennessee – 0.2% |
| |||||||||||
Metropolitan Nashville Airport Authority (The) | $ | 1,205 | $ | 1,285,647 | ||||||||
|
| |||||||||||
Texas – 1.7% |
| |||||||||||
City of Austin TX | 2,000 | 2,029,592 | ||||||||||
City of Corpus Christi TX Utility System Revenue | 1,290 | 1,290,620 | ||||||||||
Series 2015-C | 1,030 | 1,046,852 | ||||||||||
City of Houston TX Airport System Revenue (United Airlines, Inc.) | 475 | 475,108 | ||||||||||
Irving Hospital Authority (Baylor Medical Center at Irving) | 1,100 | 1,121,136 | ||||||||||
Mission Economic Development Corp. (Natgasoline LLC) | 1,010 | 1,001,540 | ||||||||||
Texas Municipal Gas Acquisition and Supply Corp. I (Bank of America Corp.) | 1,675 | 1,724,197 | ||||||||||
Via Metropolitan Transit (Via Metropolitan Transit Sales Tax) | 2,580 | 2,581,120 | ||||||||||
|
| |||||||||||
11,270,165 | ||||||||||||
|
| |||||||||||
Vermont – 0.5% |
| |||||||||||
State of Vermont | 3,135 | 3,158,454 | ||||||||||
|
| |||||||||||
Virginia – 1.0% |
| |||||||||||
Chesterfield County Economic Development Authority (County of Chesterfield VA) | 3,000 | 3,345,883 | ||||||||||
5.00%, 04/01/2044 | 2,000 | 2,224,368 | ||||||||||
Virginia Small Business Financing Authority (95 Express Lanes LLC) | 1,120 | 1,182,612 | ||||||||||
|
| |||||||||||
6,752,863 | ||||||||||||
|
|
18
Principal Amount (000) | U.S. $ Value | |||||||||||
Washington – 0.8% |
| |||||||||||
Central Puget Sound Regional Transit Authority (Pre-refunded - US Treasuries) | $ | 1,000 | $ | 1,022,989 | ||||||||
Spokane County School District No. 81 Spokane | 2,000 | 1,845,088 | ||||||||||
State of Washington | 1,000 | 1,016,468 | ||||||||||
Washington State Housing Finance Commission | 1,097 | 997,108 | ||||||||||
|
| |||||||||||
4,881,653 | ||||||||||||
|
| |||||||||||
West Virginia – 0.4% |
| |||||||||||
Tobacco Settlement Finance Authority/WV | 2,595 | 2,479,489 | ||||||||||
|
| |||||||||||
Wisconsin – 2.2% |
| |||||||||||
State of Wisconsin | 750 | 831,920 | ||||||||||
Wausau School District | 2,180 | 2,382,184 | ||||||||||
Wisconsin Health & Educational Facilities Authority (Advocate Aurora Health Obligated Group) | 1,000 | 1,022,284 | ||||||||||
Wisconsin Public Finance Authority (CFC-SA LLC) | 1,400 | 1,435,380 | ||||||||||
Wisconsin Public Finance Authority (Queens University of Charlotte) | 1,000 | 1,031,532 | ||||||||||
Wisconsin Public Finance Authority (Southeastern Regional Medical Center Obligated Group) | 1,000 | 830,568 | ||||||||||
4.00%, 02/01/2040 | 1,000 | 808,876 | ||||||||||
Series 2022 | 1,000 | 945,968 | ||||||||||
Wisconsin Public Finance Authority (UMA Education, Inc.) | 1,120 | 1,126,476 | ||||||||||
5.00%, 10/01/2026(a) | 1,185 | 1,200,932 | ||||||||||
5.00%, 10/01/2027(a) | 1,205 | 1,232,720 | ||||||||||
5.00%, 10/01/2028(a) | 680 | 701,664 | ||||||||||
5.00%, 10/01/2029(a) | 400 | 415,820 | ||||||||||
|
| |||||||||||
13,966,324 | ||||||||||||
|
| |||||||||||
Total Long-Term Municipal Bonds |
| 445,005,768 | ||||||||||
|
|
19
Principal Amount (000) | U.S. $ Value | |||||||||||
Short-Term Municipal Notes – 0.1% |
| |||||||||||
California – 0.1% |
| |||||||||||
State of California | $ | 800 | $ | 800,000 | ||||||||
|
| |||||||||||
Total Municipal Obligations |
| 445,805,768 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
INVESTMENT COMPANIES – 23.9% |
| |||||||||||
Funds and Investment Trusts – 23.9%(h) |
| |||||||||||
iShares Core MSCI EAFE ETF | 651,393 | 47,317,188 | ||||||||||
iShares Core MSCI Emerging Markets ETF | 388,950 | 20,820,493 | ||||||||||
SPDR S&P 500 ETF Trust | 157,873 | 85,917,644 | ||||||||||
|
| |||||||||||
Total Investment Companies |
| 154,055,325 | ||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
GOVERNMENTS - TREASURIES – 2.0% |
| |||||||||||
United States – 2.0% |
| |||||||||||
U.S. Treasury Notes | $ | 14,009 | 12,993,347 | |||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 0.9% |
| |||||||||||
Industrial – 0.9% |
| |||||||||||
Consumer Non-Cyclical – 0.9% |
| |||||||||||
Baylor Scott & White Holdings | 1,075 | 1,007,253 | ||||||||||
1.777%, 11/15/2030 | 1,000 | 825,040 | ||||||||||
Novant Health, Inc. | 3,525 | 2,664,936 | ||||||||||
Ochsner LSU Health System of North Louisiana | 2,000 | 1,419,560 | ||||||||||
|
| |||||||||||
Total Corporates - Investment Grade |
| 5,916,789 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 0.9% |
| |||||||||||
Autos - Fixed Rate – 0.2% |
| |||||||||||
Foursight Capital Automobile Receivables Trust | 277 | 276,360 |
20
Principal Amount (000) | U.S. $ Value | |||||||||||
Lendbuzz Securitization Trust | $ | 1,298 | $ | 1,308,544 | ||||||||
|
| |||||||||||
1,584,904 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 0.7% |
| |||||||||||
HTA TRRB Custodial Trust | 961 | 936,372 | ||||||||||
5.25%, 07/01/2036 | 1,088 | 1,092,934 | ||||||||||
5.25%, 07/01/2041 | 1,068 | 1,039,836 | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Auth | 1,203 | 1,194,116 | ||||||||||
|
| |||||||||||
4,263,258 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| 5,848,162 | ||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
PURCHASED OPTIONS - PUTS – 0.7% |
| |||||||||||
Options on Equity Indices – 0.7% |
| |||||||||||
Euro STOXX 50 Index | EUR | 16,598,000 | 408,367 | |||||||||
Euro STOXX 50 Index | 3,784,000 | 93,099 | ||||||||||
Euro STOXX 50 Index | 3,354,000 | 82,520 | ||||||||||
FTSE 100 Index | GBP | 6,106,000 | 110,033 | |||||||||
FTSE 100 Index | 1,349,000 | 24,309 | ||||||||||
FTSE 100 Index | 1,136,000 | 20,471 | ||||||||||
Nikkei 225 Index | JPY | 2,444,750,000 | 304,441 |
21
Notional Amount | U.S. $ Value | |||||||||||
S&P 500 Index | USD | 171,105,000 | $ | 2,995,693 | ||||||||
S&P 500 Index | 33,660,000 | 589,317 | ||||||||||
|
| |||||||||||
Total Purchased Options - Puts | 4,628,250 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
CORPORATES - NON-INVESTMENT GRADE – 0.2% | ||||||||||||
Industrial – 0.2% | ||||||||||||
Communications - Media – 0.2% | ||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | $ | 1,546 | 1,172,718 | |||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.1% |
| |||||||||||
Risk Share Floating Rate – 0.1% |
| |||||||||||
Connecticut Avenue Securities Trust | 250 | 265,652 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 51 | 50,644 | ||||||||||
Series 2015-C02, Class 1M2 | 24 | 24,408 | ||||||||||
Series 2015-C03, Class 1M2 | 25 | 26,096 | ||||||||||
Series 2016-C01, Class 1M2 | 98 | 103,740 | ||||||||||
Series 2016-C02, Class 1M2 | 26 | 26,638 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations |
| 497,178 | ||||||||||
|
|
22
Shares | U.S. $ Value | |||||||||||
PREFERRED STOCKS – 0.1% |
| |||||||||||
Industrial – 0.1% |
| |||||||||||
Energy – 0.1% |
| |||||||||||
AES Puerto Rico LP | 76,842 | $ | 223,610 | |||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.0% |
| |||||||||||
Non-Agency Fixed Rate CMBS – 0.0% |
| |||||||||||
City of Fort Wayne IN | $ | 27 | 3 | |||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 1.7% |
| |||||||||||
Investment Companies – 1.7% |
| |||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.22%(h) (l) (m) | 10,603,574 | 10,603,574 | ||||||||||
|
| |||||||||||
Total Investments – 99.7% |
| 641,744,724 | ||||||||||
Other assets less liabilities – 0.3% | 2,002,173 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 643,746,897 | ||||||||||
|
|
FUTURES
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation (Depreciation) | ||||||||||||||||
Purchased Contracts |
| |||||||||||||||||||
E-Mini Russell 2000 Futures | 117 | September 2024 | $ | 12,080,250 | $ | (103,850 | ) | |||||||||||||
Euro STOXX 50 Index Futures | 268 | September 2024 | 14,138,345 | (73,624 | ) | |||||||||||||||
FTSE 100 Index Futures | 16 | September 2024 | 1,660,926 | (2,481 | ) | |||||||||||||||
Hang Seng Index Futures | 1 | July 2024 | 112,882 | (1,977 | ) | |||||||||||||||
MSCI Emerging Markets Futures | 90 | September 2024 | 4,896,900 | 23,594 | ||||||||||||||||
MSCI Singapore IX ETS Futures | 30 | July 2024 | 699,889 | 5,689 | ||||||||||||||||
Nikkei 225 (OSE) Futures | 11 | September 2024 | 2,706,072 | 34,567 | ||||||||||||||||
OMXS 30 Index Futures | 11 | July 2024 | 267,554 | 1,080 | ||||||||||||||||
S&P 500 E-Mini Futures | 396 | September 2024 | 109,325,700 | 537,993 | ||||||||||||||||
S&P Mid 400 E-Mini Futures | 28 | September 2024 | 8,282,680 | (81,658 | ) | |||||||||||||||
S&P/TSX 60 Index Futures | 50 | September 2024 | 9,579,328 | 22,598 | ||||||||||||||||
TOPIX Index Futures | 69 | September 2024 | 12,053,235 | 122,788 | ||||||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 110 | September 2024 | 22,464,062 | 44,397 | ||||||||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 207 | September 2024 | 22,766,766 | 114,714 | ||||||||||||||||
U.S. Ultra Bond (CBT) Futures | 38 | September 2024 | 4,763,063 | 59,470 | ||||||||||||||||
Sold Contracts |
| |||||||||||||||||||
FTSE 100 Index Futures | 119 | September 2024 | 12,353,134 | 91,270 | ||||||||||||||||
SPI 200 Futures | 131 | September 2024 | 16,979,892 | (42,365 | ) | |||||||||||||||
|
| |||||||||||||||||||
$ | 752,205 | |||||||||||||||||||
�� |
|
|
23
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
Bank of America, NA | NOK | 16,962 | USD | 1,600 | 07/19/2024 | $ | 11,093 | |||||||||||||||||||||||
Bank of America, NA | USD | 3,143 | NOK | 34,462 | 07/19/2024 | 86,097 | ||||||||||||||||||||||||
Bank of America, NA | USD | 6,511 | SEK | 70,777 | 07/19/2024 | 171,829 | ||||||||||||||||||||||||
Bank of America, NA | NZD | 1,584 | USD | 968 | 07/25/2024 | 3,211 | ||||||||||||||||||||||||
Bank of America, NA | USD | 1,317 | NZD | 2,158 | 07/25/2024 | (2,561 | ) | |||||||||||||||||||||||
Bank of America, NA | EUR | 3,672 | USD | 3,937 | 08/08/2024 | (2,508 | ) | |||||||||||||||||||||||
Bank of America, NA | USD | 2,224 | JPY | 346,054 | 08/16/2024 | (58,327 | ) | |||||||||||||||||||||||
Bank of America, NA | CAD | 1,211 | USD | 888 | 08/23/2024 | 1,258 | ||||||||||||||||||||||||
Bank of America, NA | USD | 2,104 | GBP | 1,659 | 08/29/2024 | (6,067 | ) | |||||||||||||||||||||||
Barclays Bank PLC | NOK | 7,620 | USD | 719 | 07/19/2024 | 4,655 | ||||||||||||||||||||||||
Barclays Bank PLC | SEK | 11,137 | USD | 1,069 | 07/19/2024 | 16,944 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 2,907 | CHF | 2,616 | 08/08/2024 | 17,532 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 2,774 | JPY | 439,618 | 08/16/2024 | (23,078 | ) | |||||||||||||||||||||||
Citibank, NA | USD | 963 | EUR | 893 | 08/08/2024 | (4,863 | ) | |||||||||||||||||||||||
Citibank, NA | JPY | 545,248 | USD | 3,530 | 08/16/2024 | 118,007 | ||||||||||||||||||||||||
Deutsche Bank AG | JPY | 1,137,142 | USD | 7,363 | 08/16/2024 | 246,838 | ||||||||||||||||||||||||
Goldman Sachs Bank USA | SEK | 31,027 | USD | 2,829 | 07/19/2024 | (100,397 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 7,468 | NZD | 12,182 | 07/25/2024 | (47,764 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | CHF | 10,306 | USD | 11,511 | 08/08/2024 | (11,457 | ) | |||||||||||||||||||||||
Goldman Sachs Bank USA | USD | 13,637 | CAD | 18,754 | 08/23/2024 | 88,281 | ||||||||||||||||||||||||
HSBC Bank USA | CHF | 4,930 | USD | 5,462 | 08/08/2024 | (49,833 | ) | |||||||||||||||||||||||
HSBC Bank USA | USD | 2,806 | CHF | 2,469 | 08/08/2024 | (45,676 | ) | |||||||||||||||||||||||
HSBC Bank USA | CAD | 7,927 | USD | 5,780 | 08/23/2024 | (20,580 | ) | |||||||||||||||||||||||
HSBC Bank USA | AUD | 3,707 | USD | 2,470 | 09/19/2024 | (7,842 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | SEK | 7,173 | USD | 691 | 07/19/2024 | 13,307 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | SEK | 32,577 | USD | 3,002 | 07/19/2024 | (74,258 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,351 | CHF | 1,201 | 08/08/2024 | (8,584 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 14,977 | EUR | 13,911 | 08/08/2024 | (53,682 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | JPY | 844,731 | USD | 5,399 | 08/16/2024 | 112,526 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,991 | JPY | 461,759 | 08/16/2024 | (101,388 | ) | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | SEK | 13,635 | USD | 1,307 | 07/19/2024 | 19,051 | ||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 749 | CHF | 666 | 08/08/2024 | (4,630 | ) | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 2,934 | JPY | 450,714 | 08/16/2024 | (113,713 | ) | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | GBP | 2,453 | USD | 3,118 | 08/29/2024 | 16,179 | ||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 11,722 | GBP | 9,242 | 08/29/2024 | (35,259 | ) | |||||||||||||||||||||||
State Street Bank & Trust Co. | SEK | 2,352 | USD | 225 | 07/19/2024 | 2,955 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 157,296 | |||||||||||||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied 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 | 16,860 | $ | (1,074,782 | ) | $ | (1,085,894 | ) | $ | 11,112 |
* | Termination date |
24
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 | 6,600 | 01/15/2028 | 1.230% | CPI# | Maturity | $ | 1,263,234 | $ | 1,071,523 | $ | 191,711 | |||||||||||||
USD | 4,990 | 01/15/2028 | 0.735% | CPI# | Maturity | 1,137,556 | — | 1,137,556 | ||||||||||||||||
USD | 7,825 | 01/15/2030 | 1.572% | CPI# | Maturity | 1,407,605 | 425,293 | 982,312 | ||||||||||||||||
USD | 7,825 | 01/15/2030 | 1.587% | CPI# | Maturity | 1,396,766 | 421,810 | 974,956 | ||||||||||||||||
USD | 1,550 | 01/15/2030 | 1.714% | CPI# | Maturity | 258,384 | 60,998 | 197,386 | ||||||||||||||||
USD | 1,550 | 01/15/2030 | 1.731% | CPI# | Maturity | 255,919 | 60,376 | 195,543 | ||||||||||||||||
USD | 6,700 | 01/15/2031 | 2.782% | CPI# | Maturity | 497,844 | 138,039 | 359,805 | ||||||||||||||||
USD | 6,210 | 01/15/2031 | 2.680% | CPI# | Maturity | 523,813 | 143,090 | 380,723 | ||||||||||||||||
USD | 5,300 | 01/15/2031 | 2.989% | CPI# | Maturity | 284,572 | 73,147 | 211,425 | ||||||||||||||||
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| |||||||||||||||||||
$ | 7,025,693 | $ | 2,394,276 | $ | 4,631,417 | |||||||||||||||||||
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|
# | 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 Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
USD | 18,000 | 07/31/2030 | 1 Day SOFR | 4.616% | Annual | $ | 499,202 | $ | 228,105 | $ | 271,097 | |||||||||||||
USD | 12,900 | 11/01/2030 | 1 Day SOFR | 4.518% | Annual | 302,244 | 144,284 | 157,960 | ||||||||||||||||
USD | 6,800 | 07/31/2031 | 1 Day SOFR | 3.972% | Annual | — | — | — | ||||||||||||||||
USD | 22,400 | 08/15/2031 | 1 Day SOFR | 4.027% | Annual | 17,069 | — | 17,069 | ||||||||||||||||
USD | 53,100 | 03/31/2033 | 3.120% | 1 Day SOFR | Annual | 3,513,294 | 1,309,008 | 2,204,286 | ||||||||||||||||
USD | 5,060 | 06/15/2034 | 4.038% | 1 Day SOFR | Annual | (41,562 | ) | 240 | (41,802 | ) | ||||||||||||||
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| |||||||||||||||||||
$ | 4,290,247 | $ | 1,681,637 | $ | 2,608,610 | |||||||||||||||||||
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|
|
|
|
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 | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 5.00% | USD | 30 | $ | (3,961 | ) | $ | (2,666 | ) | $ | (1,295 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 99 | (13,125 | ) | (11,395 | ) | (1,730 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 43 | (5,735 | ) | (3,860 | ) | (1,875 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 153 | (20,338 | ) | (17,946 | ) | (2,392 | ) |
25
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) | |||||||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 5.00% | USD | 0 | ** | $ | (59 | ) | $ | (50 | ) | $ | (9 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 7 | (887 | ) | (747 | ) | (140 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 16 | (2,188 | ) | (1,486 | ) | (702 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 24 | (3,133 | ) | (2,128 | ) | (1,005 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 201 | (26,723 | ) | (22,351 | ) | (4,372 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 99 | (13,125 | ) | (8,685 | ) | (4,440 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 205 | (27,196 | ) | (18,493 | ) | (8,703 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 295 | (39,138 | ) | (26,618 | ) | (12,520 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 296 | (39,316 | ) | (26,047 | ) | (13,269 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 38 | (5,085 | ) | (4,396 | ) | (689 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 89 | (11,765 | ) | (7,557 | ) | (4,208 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 384 | (51,022 | ) | (32,816 | ) | (18,206 | ) | |||||||||||||||||||||
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| |||||||||||||||||||||||||||
$ | (262,796 | ) | $ | (187,241 | ) | $ | (75,555 | ) | ||||||||||||||||||||||||
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|
|
* | Termination date |
INFLATION (CPI) SWAPS
Rate Type | ||||||||||||||||||||||||||||
Swap Counterparty | 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) | ||||||||||||||||||||
Barclays Bank PLC | USD | 9,000 | 10/23/2026 | 2.310% | CPI# | Maturity | $ | 631,292 | $ | — | $ | 631,292 | ||||||||||||||||
Barclays Bank PLC | USD | 5,000 | 12/04/2027 | 2.170% | CPI# | Maturity | 612,390 | — | 612,390 | |||||||||||||||||||
Barclays Bank PLC | USD | 5,400 | 10/23/2029 | 2.388% | CPI# | Maturity | 336,156 | — | 336,156 |
26
Rate Type | ||||||||||||||||||||||||||||
Swap Counterparty | 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) | ||||||||||||||||||||
Barclays Bank PLC | USD | 2,000 | 10/23/2029 | 2.388% | CPI# | Maturity | $ | 124,502 | $ | — | $ | 124,502 | ||||||||||||||||
Barclays Bank PLC | USD | 6,400 | 12/04/2032 | 2.233% | CPI# | Maturity | 800,664 | — | 800,664 | |||||||||||||||||||
Barclays Bank PLC | USD | 3,000 | 12/04/2032 | 2.233% | CPI# | Maturity | 375,311 | — | 375,311 | |||||||||||||||||||
Citibank, NA | USD | 10,000 | 07/20/2027 | 2.104% | CPI# | Maturity | 1,318,978 | — | 1,318,978 | |||||||||||||||||||
Citibank, NA | USD | 6,500 | 07/20/2027 | 2.104% | CPI# | Maturity | 857,336 | — | 857,336 | |||||||||||||||||||
Deutsche Bank AG | USD | 10,000 | 09/04/2025 | 1.818% | CPI# | Maturity | 1,455,336 | — | 1,455,336 | |||||||||||||||||||
Deutsche Bank AG | USD | 8,000 | 09/04/2025 | 1.818% | CPI# | Maturity | 1,164,269 | — | 1,164,269 | |||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 17,000 | 07/20/2024 | 1.995% | CPI# | Maturity | 2,282,778 | — | 2,282,778 | |||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 6,400 | 07/20/2024 | 1.995% | CPI# | Maturity | 859,399 | — | 859,399 | |||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 13,000 | 11/04/2026 | 2.015% | CPI# | Maturity | 1,829,861 | — | 1,829,861 | |||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 7,000 | 11/04/2026 | 2.015% | CPI# | Maturity | 985,310 | — | 985,310 | |||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 28,000 | 12/27/2028 | 2.009% | CPI# | Maturity | 3,796,474 | — | 3,796,474 | |||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 12,000 | 12/27/2028 | 2.009% | CPI# | Maturity | 1,627,060 | — | 1,627,060 | |||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 22,020 | 01/15/2030 | 3.493% | CPI# | Maturity | 261,697 | — | 261,697 | |||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,800 | 01/15/2030 | 3.493% | CPI# | Maturity | 33,277 | — | 33,277 | |||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,620 | 01/15/2032 | 3.325% | CPI# | Maturity | 18,100 | — | 18,100 | |||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 6,800 | 07/20/2032 | 2.158% | CPI# | Maturity | 941,027 | — | 941,027 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 20,311,217 | $ | — | $ | 20,311,217 | |||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||||||
Swap Counterparty | 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) | ||||||||||||||||||||
Citibank, NA | USD | 12,470 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 1,219,512 | $ | — | $ | 1,219,512 | ||||||||||||||||
Citibank, NA | USD | 6,655 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | 650,971 | — | 650,971 | |||||||||||||||||||
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|
|
|
|
| |||||||||||||||||||||||
$ | 1,870,483 | $ | $ | 1,870,483 | ||||||||||||||||||||||||
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|
|
|
|
|
* | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
TOTAL RETURN SWAPS
Counterparty & | 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 | ) | |||||||||||||||
Swiss Market Index Futures | 0.00 | % | Maturity | CHF | 601 | 09/20/2024 | (5,988 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | (7,174 | ) | ||||||||||||||||||||||
|
|
27
** | Notional 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, 2024, the aggregate market value of these securities amounted to $44,805,693 or 7.0% of net assets. |
(b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at June 30, 2024. |
(c) | IO - Interest Only. |
(d) | When-Issued or delayed delivery security. |
(e) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(f) | Fair valued by the Adviser. |
(g) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
(h) | 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. |
(i) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(j) | Non-income producing security. |
(k) | Defaulted. |
(l) | Affiliated investments. |
(m) | The rate shown represents the 7-day yield as of period end. |
(n) | 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 $93,081,902 and gross unrealized depreciation of investments was $(24,679,437), resulting in net unrealized appreciation of $68,402,465. |
As of June 30, 2024, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 10.5% and 0.0%, respectively.
Currency Abbreviations:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – Great British Pound
JPY – Japanese Yen
NOK – Norwegian Krone
NZD – New Zealand Dollar
SEK – Swedish Krona
USD – United States Dollar
Glossary:
ABS – Asset-Backed Securities
AGM – Assured Guaranty Municipal
BAM – Build American Mutual
CBT – Chicago Board of Trade
CCRC – Congregate Care Retirement Center
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CMBS – Commercial Mortgage-Backed Securities
CME – Chicago Mercantile Exchange
COP – Certificate of Participation
EAFE – Europe, Australia, and Far East
ETF – Exchange Traded Fund
ETS – Emission Trading Scheme
28
FHLMC – Federal Home Loan Mortgage Corporation
FTSE – Financial Times Stock Exchange
MSCI – Morgan Stanley Capital International
MUNIPSA – SIFMA Municipal Swap Index
NATL – National Interstate Corporation
OMXS – Stockholm Stock Exchange
OSE – Osaka Securities Exchange
SOFR – Secured Overnight Financing Rate
SPDR – Standard & Poor’s Depository Receipt
SPI – Share Price Index
TOPIX – Tokyo Price Index
TSX – Toronto Stock Exchange
UPMC – University of Pittsburgh Medical Center
XLCA – XL Capital Assurance Inc.
29
Sanford C. Bernstein Fund, Inc.
Tax-Aware 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.
30
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 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: | ||||||||||||||||
Long-Term Municipal Bonds | $ | — | $ | 444,218,440 | $ | 787,328 | $ | 445,005,768 | ||||||||
Short-Term Municipal Notes | — | 800,000 | — | 800,000 | ||||||||||||
Investment Companies | 154,055,325 | — | — | 154,055,325 | ||||||||||||
Governments - Treasuries | — | 12,993,347 | — | 12,993,347 | ||||||||||||
Corporates - Investment Grade | — | 5,916,789 | — | 5,916,789 | ||||||||||||
Asset-Backed Securities | — | 5,848,162 | — | 5,848,162 | ||||||||||||
Purchased Options - Puts | — | 4,628,250 | — | 4,628,250 | ||||||||||||
Corporates - Non-Investment Grade | — | 1,172,718 | — | 1,172,718 | ||||||||||||
Collateralized Mortgage Obligations | — | 497,178 | — | 497,178 | ||||||||||||
Preferred Stocks | — | — | 223,610 | 223,610 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 3 | — | 3 | ||||||||||||
Short-Term Investments | 10,603,574 | — | — | 10,603,574 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 164,658,899 | 476,074,887 | 1,010,938 | 641,744,724 |
31
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | $ | 1,058,160 | $ | — | $ | — | $ | 1,058,160 | ||||||||
Forward Currency Exchange Contracts | — | 929,763 | — | 929,763 | ||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 7,025,693 | — | 7,025,693 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 4,331,809 | — | 4,331,809 | ||||||||||||
Inflation (CPI) Swaps | — | 20,311,217 | — | 20,311,217 | ||||||||||||
Interest Rate Swaps | — | 1,870,483 | — | 1,870,483 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures | (305,955 | ) | — | — | (305,955 | ) | ||||||||||
Forward Currency Exchange Contracts | — | (772,467 | ) | — | (772,467 | ) | ||||||||||
Centrally Cleared Credit Default Swaps | — | (1,074,782 | ) | — | (1,074,782 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (41,562 | ) | — | (41,562 | ) | ||||||||||
Credit Default Swaps | — | (262,796 | ) | — | (262,796 | ) | ||||||||||
Total Return Swaps | — | (7,174 | ) | — | (7,174 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 165,411,104 | $ | 508,385,071 | $ | 1,010,938 | $ | 674,807,113 | ||||||||
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|
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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. |
A summary of the Portfolio’s transactions in AB mutual funds for nine months ended June 30, 2024 is as follows:
Fund | Market Value 09/30/2023 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 06/30/2024 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 0 | $ | 237,736 | $ | 227,132 | $ | 10,604 | $ | 961 |
32