Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Diversified Municipal Portfolio
June 30, 2024 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS – 97.4% |
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Long-Term Municipal Bonds – 97.0% |
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Alabama – 2.1% |
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Alabama Federal Aid Highway Finance Authority (Pre-refunded - US Treasuries) | $ | 1,390 | $ | 1,392,887 | ||||
Black Belt Energy Gas District (Goldman Sachs Group, Inc. (The)) | 11,435 | 12,135,563 | ||||||
Energy Southeast A Cooperative District (Morgan Stanley) | 10,000 | 9,986,261 | ||||||
Infirmary Health System Special Care Facilities Financing Authority of Mobile (Infirmary Health System Obligated Group) | 1,000 | 954,212 | ||||||
4.00%, 02/01/2040 | 2,680 | 2,519,022 | ||||||
Southeast Alabama Gas Supply District (The) (Pacific Mutual Holding Co.) | 10,000 | 10,721,499 | ||||||
Southeast Energy Authority A Cooperative District (Morgan Stanley) | 44,385 | 44,121,242 | ||||||
Southeast Energy Authority A Cooperative District (Royal Bank of Canada) | 7,000 | 7,389,812 | ||||||
Southeast Energy Authority A Cooperative District (Sumitomo Mitsui Financial Group, Inc.) | 13,025 | 13,772,884 | ||||||
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102,993,382 | ||||||||
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American Samoa – 0.0% |
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American Samoa Economic Development Authority (Territory of American Samoa) | 1,920 | 1,990,351 | ||||||
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Arizona – 1.9% |
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Arizona Health Facilities Authority (HonorHealth Obligated Group) | 1,500 | 1,506,684 | ||||||
Arizona Industrial Development Authority (Equitable School Revolving Fund LLC Obligated Group) | 1,000 | 1,087,594 |
1
Principal Amount (000) | U.S. $ Value | |||||||
Arizona Industrial Development Authority (Legacy Cares, Inc.) | $ | 2,000 | $ | 120,000 | ||||
Chandler Industrial Development Authority (Intel Corp.) | 11,680 | 11,990,236 | ||||||
Series 2024 | 12,580 | 12,659,072 | ||||||
City of Glendale AZ (City of Glendale AZ COP) | 2,900 | 2,565,722 | ||||||
2.542%, 07/01/2033 | 5,000 | 4,153,163 | ||||||
2.642%, 07/01/2034 | 10,000 | 8,193,894 | ||||||
City of Glendale AZ (City of Glendale AZ Excise Tax) | 9,010 | 9,010,000 | ||||||
City of Phoenix Civic Improvement Corp. (City of Phoenix AZ Water System Revenue) | 600 | 665,373 | ||||||
5.00%, 07/01/2031 | 850 | 943,369 | ||||||
5.00%, 07/01/2032 | 825 | 915,541 | ||||||
Series 2020-A | 500 | 554,477 | ||||||
5.00%, 07/01/2031 | 650 | 721,400 | ||||||
5.00%, 07/01/2032 | 400 | 443,899 | ||||||
5.00%, 07/01/2033 | 490 | 541,996 | ||||||
Series 2021-A | 1,720 | 1,899,818 | ||||||
City of Tempe AZ (City of Tempe AZ COP) | 5,000 | 4,053,027 | ||||||
2.171%, 07/01/2033 | 5,000 | 3,972,002 | ||||||
Gilbert Water Resource Municipal Property Corp. (Town of Gilbert AZ Waterworks & Sewer System Revenue) | 1,805 | 2,041,726 | ||||||
5.00%, 07/15/2038 | 5,500 | 6,183,091 | ||||||
Industrial Development Authority of the County of Pima (The) (La Posada at Park Centre Inc Obligated Group) | 2,500 | 2,525,682 | ||||||
Maricopa County Industrial Development Authority (HonorHealth Obligated Group) | 1,000 | 1,016,039 | ||||||
5.00%, 12/01/2039(f) | 1,000 | 1,086,853 | ||||||
State of Arizona Lottery Revenue (Pre-refunded - US Treasuries) | 2,000 | 2,000,000 | ||||||
5.00%, 07/01/2025 | 5,000 | 5,080,667 | ||||||
5.00%, 07/01/2027 | 5,500 | 5,783,969 | ||||||
|
| |||||||
91,715,294 | ||||||||
|
|
2
Principal Amount (000) | U.S. $ Value | |||||||
Arkansas – 0.1% |
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Arkansas Development Finance Authority (Hybar LLC) | $ | 1,900 | $ | 2,084,666 | ||||
City of Fayetteville AR Sales & Use Tax Revenue | 3,000 | 2,988,516 | ||||||
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5,073,182 | ||||||||
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California – 9.8% |
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California Community Choice Financing Authority (American International Group, Inc.) | 10,000 | 10,674,720 | ||||||
California Community Choice Financing Authority (Deutsche Bank AG) | 16,165 | 17,035,810 | ||||||
California Community Choice Financing Authority (Goldman Sachs Group, Inc. (The)) | 11,115 | 11,875,905 | ||||||
California Community Choice Financing Authority (Morgan Stanley) | 5,000 | 4,969,123 | ||||||
5.248% (SOFR + 1.67%), 02/01/2054(a) | 5,000 | 4,950,332 | ||||||
California Community Housing Agency (California Community Housing Agency Brio Apartments & Next on Lex Apartments) | 18,035 | 14,745,917 | ||||||
California Enterprise Development Authority (County of Riverside CA Lease) | 5,005 | 5,784,350 | ||||||
California Infrastructure & Economic Development Bank (DesertXpress Enterprises LLC) | 23,210 | 23,214,721 | ||||||
California State Public Works Board (California State Public Works Board Lease) | 1,225 | 1,229,342 | ||||||
Series 2021-A | 12,040 | 12,595,214 | ||||||
California State University | 5,000 | 3,849,732 | ||||||
City of Los Angeles CA | 25,000 | 25,366,052 |
3
Principal Amount (000) | U.S. $ Value | |||||||
City of Los Angeles Department of Airports | $ | 5,840 | $ | 6,045,959 | ||||
Series 2019 | 5,215 | 5,450,672 | ||||||
CMFA Special Finance Agency VIII Elan Huntington Beach | 960 | 843,737 | ||||||
County of Los Angeles CA | 4,000 | 4,066,238 | ||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority 777 Place-Pomona) | 13,250 | 11,338,289 | ||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Acacia on Santa Rosa Creek) | 5,500 | 4,436,048 | ||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Altana Apartments) | 12,800 | 10,508,730 | ||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Millennium South Bay-Hawthorne) | 7,000 | 5,905,660 | ||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Union South Bay) | 3,000 | 2,576,507 | ||||||
CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Vineyard Gardens Apartments) | 6,545 | 4,896,619 | ||||||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue | 6,165 | 6,511,108 | ||||||
Los Angeles Unified School District/CA | 25,000 | 28,261,087 | ||||||
Sacramento County Water Financing Authority (Sacramento County Water Agency) | 15,000 | 13,774,953 | ||||||
San Diego County Regional Airport Authority | 20,735 | 22,316,376 |
4
Principal Amount (000) | U.S. $ Value | |||||||
San Francisco Intl Airport | $ | 9,645 | $ | 10,278,311 | ||||
Series 2023-E | 22,275 | 25,133,459 | ||||||
5.25%, 05/01/2035 | 10,870 | 12,257,136 | ||||||
Series 2024 | 7,000 | 7,712,339 | ||||||
5.25%, 05/01/2042 | 10,000 | 11,056,017 | ||||||
Southern California Public Power Authority (American International Group, Inc.) | 7,000 | 7,414,352 | ||||||
State of California | 11,225 | 12,085,409 | ||||||
Series 2020 | 460 | 507,255 | ||||||
Series 2023 | 10,000 | 11,549,256 | ||||||
5.00%, 09/01/2043 | 10,000 | 11,204,092 | ||||||
5.10%, 03/01/2029 | 2,000 | 2,024,035 | ||||||
6.00%, 03/01/2033 | 1,000 | 1,073,329 | ||||||
State of California (Pre-refunded - Others) | 30,965 | 30,965,000 | ||||||
5.00%, 05/01/2026 | 50,000 | 50,000,000 | ||||||
Series 2019 | 16,895 | 16,895,000 | ||||||
University of California | 5,000 | 5,622,094 | ||||||
Yucaipa Valley Water District Financing Authority (Yucaipa Valley Water District Water & Sewer Revenue) | 3,000 | 3,089,018 | ||||||
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482,089,303 | ||||||||
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Colorado – 2.2% |
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City & County of Denver CO Airport System Revenue | 3,250 | 3,444,433 | ||||||
City & County of Denver CO Airport System Revenue (Denver Intl Airport) | 10,000 | 10,185,126 | ||||||
5.00%, 12/01/2026 | 16,080 | 16,527,447 | ||||||
5.00%, 12/01/2028 | 16,105 | 16,940,279 | ||||||
5.00%, 12/01/2029 | 8,215 | 8,626,492 | ||||||
5.00%, 12/01/2032 | 1,620 | 1,688,564 |
5
Principal Amount (000) | U.S. $ Value | |||||||
Colorado Educational & Cultural Facilities Authority (Ascent Classical Academy Charter Schools, Inc.) | $ | 2,100 | $ | 2,183,475 | ||||
Colorado Health Facilities Authority (CommonSpirit Health) | 3,000 | 3,194,424 | ||||||
5.00%, 08/01/2035 | 1,995 | 2,125,549 | ||||||
Series 2024-A | 4,620 | 5,155,932 | ||||||
Colorado Health Facilities Authority (Sanford Obligated Group) | 2,280 | 2,372,264 | ||||||
E-470 Public Highway Authority | 4,000 | 4,000,601 | ||||||
Johnstown Plaza Metropolitan District | 2,218 | 1,941,975 | ||||||
Platte River Metropolitan District | 2,000 | 2,064,506 | ||||||
State of Colorado (State of Colorado COP) | 11,000 | 13,057,060 | ||||||
Sterling Ranch Community Authority Board (Sterling Ranch Metropolitan District No. 3) | 1,630 | 1,719,217 | ||||||
University of Colorado (Pre-refunded - US Treasuries) | 6,000 | 6,037,921 | ||||||
4.00%, 06/01/2035 | 3,525 | 3,547,279 | ||||||
Vauxmont Metropolitan District | 803 | 668,879 | ||||||
5.00%, 12/15/2026 | 270 | 278,996 | ||||||
AGM Series 2020 | 485 | 487,366 | ||||||
5.00%, 12/01/2027 | 305 | 319,424 | ||||||
5.00%, 12/01/2030 | 385 | 415,116 | ||||||
5.00%, 12/01/2033 | 285 | 307,541 | ||||||
5.00%, 12/01/2050 | 300 | 310,970 | ||||||
|
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107,600,836 | ||||||||
|
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Connecticut – 2.7% |
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City of Bridgeport CT | 1,000 | 1,047,815 | ||||||
Series 2017-B | 1,085 | 1,101,674 | ||||||
5.00%, 08/15/2026 | 4,500 | 4,640,216 | ||||||
5.00%, 08/15/2027 | 6,610 | 6,924,669 | ||||||
Series 2017-C | 2,245 | 2,247,939 | ||||||
5.00%, 08/15/2026 | 2,480 | 2,557,274 | ||||||
5.00%, 08/15/2027 | 2,605 | 2,729,011 | ||||||
5.00%, 08/15/2028 | 1,620 | 1,692,099 |
6
Principal Amount (000) | U.S. $ Value | |||||||
City of Bridgeport CT (Pre-refunded - US Treasuries) | $ | 755 | $ | 796,690 | ||||
Connecticut State Health & Educational Facilities Authority (University of New Haven, Inc.) | 1,000 | 1,010,175 | ||||||
5.00%, 07/01/2027 | 1,100 | 1,117,132 | ||||||
5.00%, 07/01/2028 | 1,100 | 1,122,318 | ||||||
5.00%, 07/01/2029 | 1,200 | 1,225,342 | ||||||
Connecticut State Health & Educational Facilities Authority (Yale University) | 19,535 | 19,257,001 | ||||||
State of Connecticut | 7,345 | 7,433,943 | ||||||
Series 2015-F | 1,570 | 1,599,543 | ||||||
Series 2016-A | 14,500 | 14,829,704 | ||||||
Series 2016-E | 17,000 | 17,075,167 | ||||||
Series 2018-C | 5,500 | 5,690,100 | ||||||
Series 2020-A | 2,565 | 2,759,428 | ||||||
State of Connecticut Special Tax Revenue | 2,840 | 3,096,325 | ||||||
Series 2021-D | 1,060 | 1,076,535 | ||||||
Series 2023-A | 10,000 | 11,347,213 | ||||||
Town of Stratford CT BAM | 2,035 | 2,122,638 | ||||||
5.00%, 01/01/2031 | 3,890 | 4,054,504 | ||||||
5.00%, 01/01/2032 | 3,890 | 4,052,513 | ||||||
5.00%, 01/01/2033 | 3,555 | 3,701,181 | ||||||
University of Connecticut | 7,065 | 7,812,630 | ||||||
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134,120,779 | ||||||||
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Delaware – 0.0% |
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Delaware State Economic Development Authority (Newark Charter School, Inc.) | 575 | 573,718 | ||||||
5.00%, 09/01/2050 | 1,000 | 1,011,768 | ||||||
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1,585,486 | ||||||||
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7
Principal Amount (000) | U.S. $ Value | |||||||
District of Columbia – 1.3% |
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District of Columbia Income Tax Revenue | $ | 10,000 | $ | 11,715,312 | ||||
Metropolitan Washington Airports Authority Aviation Revenue | 1,000 | 1,015,970 | ||||||
5.00%, 10/01/2033(f) | 5,000 | 5,464,329 | ||||||
5.00%, 10/01/2034(f) | 2,000 | 2,185,626 | ||||||
5.00%, 10/01/2036(f) | 8,500 | 9,245,708 | ||||||
5.00%, 10/01/2040(f) | 1,675 | 1,793,583 | ||||||
5.00%, 10/01/2044(f) | 2,000 | 2,125,897 | ||||||
Metropolitan Washington Airports Authority Aviation Revenue (Pre-refunded - US Treasuries) | 30,770 | 30,872,840 | ||||||
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64,419,265 | ||||||||
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Florida – 4.1% |
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City of South Miami Health Facilities Authority, Inc. (Baptist Health South Florida Obligated Group) | 5,000 | 5,210,253 | ||||||
City of Tampa FL (State of Florida Cigarette Tax Revenue) | 650 | 424,460 | ||||||
Zero Coupon, 09/01/2035 | 650 | 406,297 | ||||||
County of Broward FL Airport System Revenue | 1,070 | 1,125,695 | ||||||
Series 2019-C | 1,250 | 1,181,251 | ||||||
County of Broward FL Convention Center Hotel Revenue | 2,685 | 2,988,597 | ||||||
County of Miami-Dade FL Water & Sewer System Revenue | 2,490 | 2,560,882 | ||||||
County of Miami-Dade Seaport Department | 5,500 | 5,793,938 | ||||||
County of Osceola FL Transportation Revenue | 735 | 568,165 | ||||||
Zero Coupon, 10/01/2031 | 905 | 670,256 | ||||||
Zero Coupon, 10/01/2032 | 500 | 355,101 | ||||||
Zero Coupon, 10/01/2033 | 1,210 | 822,789 | ||||||
Zero Coupon, 10/01/2034 | 1,260 | 820,419 | ||||||
County of Pasco FL (H Lee Moffitt Cancer Center & Research Institute Obligated Group) | 25,000 | 26,912,640 |
8
Principal Amount (000) | U.S. $ Value | |||||||
Duval County School Board (Duval County School Board COP) | $ | 4,280 | $ | 4,346,052 | ||||
Florida Development Finance Corp. (Brightline Trains Florida LLC) | 13,920 | 14,650,776 | ||||||
Florida Development Finance Corp. (Mayflower Retirement Center, Inc. Obligated Group) | 3,760 | 3,603,856 | ||||||
Florida Development Finance Corp. (Renaissance Charter School, Inc.) | 2,000 | 2,218,263 | ||||||
6.625%, 06/15/2043(b) | 2,195 | 2,425,774 | ||||||
Florida Municipal Power Agency (Florida Municipal Power Agency All-Requirements Power Supply Project Revenue) | 1,000 | 1,002,597 | ||||||
5.00%, 10/01/2026 | 1,750 | 1,778,477 | ||||||
5.00%, 10/01/2028 | 1,015 | 1,031,143 | ||||||
Series 2021 | 3,000 | 2,762,537 | ||||||
Florida State Board of Education (State of Florida) | 5,340 | 5,423,107 | ||||||
Florida State Board of Governors (Florida State University Athletics Association, Inc.) | 10,000 | 11,157,458 | ||||||
Greater Orlando Aviation Authority | 4,085 | 4,215,269 | ||||||
Greater Orlando Aviation Authority (Pre-refunded - US Treasuries) | 3,000 | 3,125,494 | ||||||
5.00%, 10/01/2030 | 6,250 | 6,511,446 | ||||||
Hillsborough County Aviation Authority (Pre-refunded - US Treasuries) | 2,020 | 2,024,220 | ||||||
Hillsborough County School Board (Hillsborough County School Board COP) | 1,480 | 1,497,164 | ||||||
JEA Electric System Revenue | 1,185 | 1,240,308 |
9
Principal Amount (000) | U.S. $ Value | |||||||
JEA Water & Sewer System Revenue | $ | 22,290 | $ | 23,192,631 | ||||
Series 2024-A | 1,635 | 1,819,685 | ||||||
Lee County Industrial Development Authority/FL (Shell Point Obligated Group) | 2,975 | 2,981,729 | ||||||
Manatee County School District (Manatee County School District COP) | 7,795 | 8,031,796 | ||||||
5.00%, 07/01/2029 | 6,215 | 6,417,179 | ||||||
North Broward Hospital District | 3,000 | 3,111,008 | ||||||
5.00%, 01/01/2030 | 3,180 | 3,302,341 | ||||||
Orange County Health Facilities Authority (Orlando Health Obligated Group) | 6,560 | 6,580,299 | ||||||
Orange County Health Facilities Authority (Presbyterian Retirement Communities, Inc. Obligated Group) | 1,000 | 997,887 | ||||||
Orange County School Board (Pre-refunded - US Treasuries) | 21,280 | 21,303,136 | ||||||
Polk County Industrial Development Authority (Mineral Development LLC) | 1,905 | 1,785,966 | ||||||
South Broward Hospital District (South Broward Hospital District Obligated Group) | 3,350 | 3,400,653 | ||||||
Village Community Development District No. 15 (Village Community Development District No. 15 Series 2023 Phase I Special Assmnt) | 1,000 | 1,021,885 | ||||||
|
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202,800,879 | ||||||||
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Georgia – 2.5% |
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City of Atlanta GA Department of Aviation | 1,250 | 1,216,591 | ||||||
5.00%, 07/01/2029 | 1,250 | 1,319,546 | ||||||
5.00%, 07/01/2030 | 1,315 | 1,403,127 | ||||||
5.00%, 07/01/2031 | 1,725 | 1,857,502 | ||||||
5.00%, 07/01/2032 | 1,000 | 1,079,259 | ||||||
5.00%, 07/01/2033 | 1,400 | 1,508,918 | ||||||
5.00%, 07/01/2034 | 3,000 | 3,233,945 | ||||||
5.00%, 07/01/2036 | 2,400 | 2,580,402 | ||||||
5.00%, 07/01/2037 | 2,500 | 2,674,372 |
10
Principal Amount (000) | U.S. $ Value | |||||||
Series 2022-B | $ | 1,565 | $ | 1,701,893 | ||||
5.00%, 07/01/2036 | 2,845 | 3,085,092 | ||||||
5.00%, 07/01/2037 | 2,535 | 2,733,432 | ||||||
5.00%, 07/01/2039 | 2,765 | 2,952,775 | ||||||
5.00%, 07/01/2040 | 7,105 | 7,566,957 | ||||||
5.00%, 07/01/2041 | 7,460 | 7,914,260 | ||||||
Clarke County School District/GA | 1,300 | 1,303,073 | ||||||
Cobb County Kennestone Hospital Authority (WellStar Health System Obligated Group) | 1,000 | 1,025,876 | ||||||
5.00%, 04/01/2027 | 250 | 260,125 | ||||||
5.00%, 04/01/2028 | 250 | 264,043 | ||||||
5.00%, 04/01/2029 | 300 | 321,370 | ||||||
5.00%, 04/01/2030 | 225 | 244,155 | ||||||
5.00%, 04/01/2031 | 250 | 268,293 | ||||||
Main Street Natural Gas, Inc. (Citadel LP) | 10,000 | 9,870,569 | ||||||
Main Street Natural Gas, Inc. (Citigroup, Inc.) | 1,455 | 1,525,447 | ||||||
Series 2023-A | 22,965 | 24,276,749 | ||||||
Main Street Natural Gas, Inc. (Royal Bank of Canada) | 5,000 | 5,132,241 | ||||||
Main Street Natural Gas, Inc. (Toronto-Dominion Bank (The)) | 5,350 | 5,352,388 | ||||||
Private Colleges & Universities Authority (Emory University) | 25,000 | 28,193,477 | ||||||
|
| |||||||
120,865,877 | ||||||||
|
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Guam – 0.0% | ||||||||
Territory of Guam | 780 | 791,309 | ||||||
|
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Hawaii – 0.1% |
| |||||||
State of Hawaii Harbor System Revenue | 2,765 | 2,778,212 | ||||||
|
| |||||||
Illinois – 5.8% |
| |||||||
Chicago Board of Education | 2,265 | 2,261,536 | ||||||
Series 2018-A | 1,000 | 1,022,816 |
11
Principal Amount (000) | U.S. $ Value | |||||||
Series 2021-A | $ | 3,750 | $ | 3,879,006 | ||||
Series 2023 | 2,125 | 2,396,168 | ||||||
Series 2023-A | 7,000 | 7,510,441 | ||||||
Chicago O’Hare International Airport | 3,020 | 3,086,289 | ||||||
Series 2018-A | 6,000 | 6,180,163 | ||||||
Series 2022 | 3,160 | 3,146,872 | ||||||
5.00%, 01/01/2029 | 500 | 524,396 | ||||||
5.00%, 01/01/2030 | 800 | 848,648 | ||||||
5.00%, 01/01/2033 | 890 | 963,632 | ||||||
5.00%, 01/01/2040 | 1,850 | 1,963,841 | ||||||
5.00%, 01/01/2041 | 2,000 | 2,115,277 | ||||||
5.00%, 01/01/2042 | 2,200 | 2,318,987 | ||||||
BAM Series 2017-F | 2,000 | 2,003,605 | ||||||
County of Cook IL | 2,140 | 2,155,564 | ||||||
Illinois Finance Authority (Ascension Health Credit Group) | 2,000 | 2,019,214 | ||||||
Illinois Finance Authority (Bradley University) | 400 | 404,861 | ||||||
5.00%, 08/01/2026 | 450 | 461,141 | ||||||
Illinois Finance Authority (Illinois Institute of Technology) | 350 | 348,945 | ||||||
5.00%, 09/01/2026 | 300 | 299,353 | ||||||
5.00%, 09/01/2027 | 455 | 455,328 | ||||||
5.00%, 09/01/2029 | 575 | 576,717 | ||||||
5.00%, 09/01/2031 | 1,000 | 1,001,199 | ||||||
5.00%, 09/01/2034 | 600 | 595,640 | ||||||
Illinois Finance Authority (OSF Healthcare System Obligated Group) | 1,000 | 1,014,415 | ||||||
5.00%, 11/15/2028 | 1,250 | 1,267,779 | ||||||
Illinois Municipal Electric Agency | 16,370 | 16,567,979 | ||||||
5.00%, 02/01/2028 | 13,565 | 13,726,177 | ||||||
5.00%, 02/01/2029 | 12,885 | 13,036,730 | ||||||
Illinois State Toll Highway Authority | 2,669 | 2,792,956 | ||||||
Series 2021-A | 27,195 | 30,122,748 | ||||||
Series 2024-A | 4,380 | 5,056,302 |
12
Principal Amount (000) | U.S. $ Value | |||||||
Metropolitan Water Reclamation District of Greater Chicago | $ | 4,835 | $ | 5,777,899 | ||||
Metropolitan Water Reclamation District of Greater Chicago (Pre-refunded - US Treasuries) | 8,350 | 8,399,311 | ||||||
Series 2015-B | 7,660 | 7,703,648 | ||||||
Railsplitter Tobacco Settlement Authority (Pre-refunded - US Treasuries) | 12,450 | 12,617,577 | ||||||
State of Illinois | 18,120 | 18,137,109 | ||||||
5.00%, 05/01/2027 | 5,000 | 5,004,311 | ||||||
Series 2016 | 1,100 | 1,137,064 | ||||||
Series 2017-A | 8,590 | 8,632,676 | ||||||
Series 2017-D | 35,545 | 35,689,739 | ||||||
5.00%, 11/01/2028 | 1,675 | 1,746,565 | ||||||
Series 2019-B | 9,000 | 9,033,341 | ||||||
Series 2020 | 1,500 | 1,642,009 | ||||||
Series 2022-B | 4,000 | 4,464,981 | ||||||
Series 2024-B | 2,250 | 2,479,278 | ||||||
5.00%, 05/01/2040 | 1,765 | 1,932,915 | ||||||
5.00%, 05/01/2041 | 7,530 | 8,201,378 | ||||||
5.25%, 05/01/2042 | 8,500 | 9,424,731 | ||||||
State of Illinois Sales Tax Revenue | 10,000 | 10,113,620 | ||||||
|
| |||||||
284,262,877 | ||||||||
|
| |||||||
Indiana – 1.2% |
| |||||||
City of Whiting IN (BP PLC) | 9,670 | 9,849,210 | ||||||
Series 2023 | 14,460 | 14,495,479 | ||||||
Indiana Finance Authority (CWA Authority, Inc.) | 1,175 | 1,264,125 | ||||||
5.00%, 10/01/2029(f) | 1,425 | 1,559,007 | ||||||
5.00%, 10/01/2030(f) | 1,000 | 1,109,275 | ||||||
5.00%, 10/01/2032(f) | 1,715 | 1,954,642 | ||||||
5.00%, 10/01/2034(f) | 800 | 930,977 |
13
Principal Amount (000) | U.S. $ Value | |||||||
Indiana Finance Authority (Good Samaritan Hospital Obligated Group) | $ | 750 | $ | 751,556 | ||||
5.00%, 04/01/2026 | 790 | 794,126 | ||||||
5.00%, 04/01/2027 | 830 | 834,756 | ||||||
5.00%, 04/01/2028 | 875 | 878,465 | ||||||
Indiana Finance Authority (Indiana University Health, Inc. Obligated Group) | 11,690 | 11,554,835 | ||||||
Indiana Finance Authority (Ohio Valley Electric Corp.) | 1,895 | 1,692,092 | ||||||
Indianapolis Local Public Improvement Bond Bank | 11,570 | 11,568,882 | ||||||
|
| |||||||
59,237,427 | ||||||||
|
| |||||||
Iowa – 0.1% |
| |||||||
Iowa Finance Authority (Iowa Fertilizer Co., LLC) | 5,450 | 5,711,738 | ||||||
|
| |||||||
Kansas – 0.1% |
| |||||||
City of Colby KS (Citizens Medical Center, Inc.) | 2,000 | 1,998,409 | ||||||
City of Overland Park KS Sales Tax Revenue | 215 | 221,975 | ||||||
6.50%, 11/15/2042(b) | 1,610 | 1,652,998 | ||||||
|
| |||||||
3,873,382 | ||||||||
|
| |||||||
Kentucky – 2.3% |
| |||||||
County of Carroll KY (Kentucky Utilities Co.) | 3,835 | 3,565,590 | ||||||
Kentucky Asset Liability Commission (Commonwealth of Kentucky Fed Hwy Grant) | 11,545 | 11,571,551 | ||||||
Kentucky Economic Development Finance Authority (Baptist Healthcare System Obligated Group) | 1,000 | 1,037,016 | ||||||
5.00%, 08/15/2041 | 1,260 | 1,282,212 | ||||||
Kentucky Economic Development Finance Authority (Owensboro Health, Inc. Obligated Group) | 8,780 | 8,935,710 | ||||||
5.00%, 06/01/2030 | 5,870 | 5,988,626 |
14
Principal Amount (000) | U.S. $ Value | |||||||
Kentucky Public Energy Authority (BP PLC) | $ | 28,410 | $ | 28,480,050 | ||||
Series 2024-B | 10,000 | 10,559,887 | ||||||
Kentucky Public Energy Authority (Morgan Stanley) | 5,280 | 5,700,466 | ||||||
5.558% (SOFR + 1.98%), 04/01/2054(a) | 20,000 | 20,000,000 | ||||||
Kentucky State Property & Building Commission (Kentucky State Property & Building Commission Lease) | 5,000 | 5,023,344 | ||||||
Kentucky Turnpike Authority | 3,420 | 3,420,000 | ||||||
5.00%, 07/01/2025 | 2,515 | 2,556,870 | ||||||
5.00%, 07/01/2027 | 5,075 | 5,209,245 | ||||||
|
| |||||||
113,330,567 | ||||||||
|
| |||||||
Louisiana – 1.0% |
| |||||||
Consolidated Govt of the City of Baton Rouge & Parish of E Baton Rouge Sales Tax | 6,450 | 6,540,239 | ||||||
5.00%, 08/01/2028 | 2,535 | 2,567,501 | ||||||
Louisiana Public Facilities Authority (ElementUS Minerals LLC) | 22,000 | 22,162,353 | ||||||
Parish of St. James LA (NuStar Logistics LP) | 2,250 | 2,285,183 | ||||||
6.10%, 06/01/2038(b) | 3,030 | 3,346,884 | ||||||
6.10%, 12/01/2040(b) | 2,595 | 2,866,493 | ||||||
St. Tammany Parish Finance Authority (Christwood) | 1,200 | 1,200,243 | ||||||
State of Louisiana Gasoline & Fuels Tax Revenue | 10,225 | 10,172,191 | ||||||
|
| |||||||
51,141,087 | ||||||||
|
| |||||||
Maine – 0.0% |
| |||||||
Maine Municipal Bond Bank | 1,000 | 1,002,504 | ||||||
|
| |||||||
Maryland – 0.9% |
| |||||||
County of Frederick MD (Pre-refunded - US Treasuries) | 165 | 174,253 |
15
Principal Amount (000) | U.S. $ Value | |||||||
County of Prince George’s MD | $ | 10,000 | $ | 10,005,441 | ||||
Maryland Economic Development Corp. (Purple Line Transit Partners LLC) | 10,000 | 10,140,842 | ||||||
Maryland Health & Higher Educational Facilities Authority (UPMC Obligated Group) | 1,365 | 1,478,074 | ||||||
State of Maryland | 6,380 | 6,498,569 | ||||||
Series 2022-A | 1,080 | 1,234,834 | ||||||
State of Maryland Department of Transportation | 6,550 | 6,685,071 | ||||||
State of Maryland Department of Transportation (Baltimore/Washington International Thurgood Marshall Airport) | 1,500 | 1,535,290 | ||||||
5.00%, 08/01/2028 | 1,050 | 1,099,797 | ||||||
5.00%, 08/01/2029 | 700 | 739,585 | ||||||
5.00%, 08/01/2033 | 1,000 | 1,077,303 | ||||||
5.00%, 08/01/2036 | 1,000 | 1,073,746 | ||||||
|
| |||||||
41,742,805 | ||||||||
|
| |||||||
Massachusetts – 1.8% |
| |||||||
City of Quincy MA | 3,000 | 3,043,611 | ||||||
Commonwealth of Massachusetts | 7,760 | 7,894,558 | ||||||
5.00%, 02/01/2036 | 4,435 | 4,612,133 | ||||||
Series 2018-B | 3,455 | 3,455,000 | ||||||
Series 2024-A | 5,000 | 5,653,002 | ||||||
Series 2024-B | 4,000 | 4,454,970 | ||||||
Commonwealth of Massachusetts (Commonwealth of Massachusetts COVID-19 Recovery Assessment Revenue) | 4,781 | 4,694,878 | ||||||
Massachusetts Bay Transportation Authority Sales Tax Revenue | 2,000 | 2,219,940 | ||||||
Massachusetts Development Finance Agency (Beth Israel Lahey Health Obligated Group) | 1,935 | 1,973,923 |
16
Principal Amount (000) | U.S. $ Value | |||||||
Massachusetts Development Finance Agency (Mass General Brigham, Inc.) | $ | 7,565 | $ | 7,698,265 | ||||
5.00%, 07/01/2029 | 9,000 | 9,505,381 | ||||||
Massachusetts Development Finance Agency (Trustees of Boston College) | 950 | 1,023,221 | ||||||
Massachusetts Development Finance Agency (Tufts Medicine Obligated Group) | 1,425 | 1,440,887 | ||||||
5.00%, 07/01/2030 | 2,100 | 2,131,055 | ||||||
5.00%, 07/01/2032 | 2,000 | 2,025,394 | ||||||
5.00%, 07/01/2033 | 2,000 | 2,025,132 | ||||||
AGM Series 2020-C | 325 | 335,109 | ||||||
5.00%, 10/01/2027 | 440 | 460,498 | ||||||
5.00%, 10/01/2028 | 500 | 530,874 | ||||||
5.00%, 10/01/2029 | 295 | 317,922 | ||||||
5.00%, 10/01/2030 | 315 | 344,083 | ||||||
5.00%, 10/01/2031 | 375 | 409,445 | ||||||
5.00%, 10/01/2032 | 245 | 265,785 | ||||||
Massachusetts Port Authority | 8,615 | 9,322,035 | ||||||
Massachusetts Water Resources Authority | 11,630 | 13,398,232 | ||||||
|
| |||||||
89,235,333 | ||||||||
|
| |||||||
Michigan – 5.6% |
| |||||||
City of Detroit MI Sewage Disposal System Revenue (Great Lakes Water Authority Sewage Disposal System Revenue) | 14,000 | 13,365,860 | ||||||
Detroit Downtown Development Authority (Detroit Downtown Development Authority Catalyst Development Area) | 3,705 | 3,880,517 | ||||||
Great Lakes Water Authority Water Supply System Revenue | 2,700 | 2,700,000 | ||||||
5.00%, 07/01/2025 | 12,805 | 13,021,430 | ||||||
Series 2024-A | 2,100 | 2,411,345 | ||||||
Michigan Finance Authority (Bronson Healthcare Group Obligated Group) | 48,585 | 49,507,809 |
17
Principal Amount (000) | U.S. $ Value | |||||||
Michigan Finance Authority (City of Detroit MI Income Tax) | $ | 3,000 | $ | 2,998,186 | ||||
4.50%, 10/01/2029 | 12,065 | 12,070,683 | ||||||
Michigan Finance Authority (Corewell Health Obligated Group) | 5,265 | 5,327,197 | ||||||
Michigan Finance Authority (Great Lakes Water Authority Water Supply System Revenue) | 7,770 | 7,770,000 | ||||||
Michigan Finance Authority (Michigan Finance Authority Tobacco Settlement Revenue) | 5,000 | 4,632,896 | ||||||
4.00%, 06/01/2035 | 1,000 | 1,017,544 | ||||||
4.00%, 06/01/2036 | 1,000 | 1,010,700 | ||||||
4.00%, 06/01/2037 | 1,000 | 1,003,346 | ||||||
4.00%, 06/01/2038 | 1,000 | 994,693 | ||||||
4.00%, 06/01/2039 | 2,000 | 1,973,396 | ||||||
5.00%, 06/01/2025 | 610 | 616,345 | ||||||
5.00%, 06/01/2026 | 1,290 | 1,320,839 | ||||||
5.00%, 06/01/2028 | 1,000 | 1,055,177 | ||||||
5.00%, 06/01/2029 | 2,000 | 2,136,235 | ||||||
5.00%, 06/01/2031 | 745 | 808,261 | ||||||
Michigan Finance Authority (Pre-refunded - US Treasuries) | 22,045 | 22,061,805 | ||||||
5.00%, 07/01/2027 | 17,895 | 17,908,641 | ||||||
AGM Series 2014-D2 | 16,525 | 16,537,597 | ||||||
5.00%, 07/01/2026 | 25,000 | 25,019,057 | ||||||
5.00%, 07/01/2027 | 5,110 | 5,113,895 | ||||||
Michigan Finance Authority (Public Lighting Authority) | 1,600 | 1,601,171 | ||||||
Series 2014-B | 4,990 | 4,993,108 | ||||||
5.00%, 07/01/2031 | 2,460 | 2,461,820 | ||||||
Michigan Finance Authority (Trinity Health Corp.) | 4,400 | 4,423,978 | ||||||
5.00%, 12/01/2025 | 3,000 | 3,042,276 | ||||||
5.50%, 12/01/2026 | 4,500 | 4,572,544 | ||||||
5.50%, 12/01/2027 | 2,720 | 2,763,417 | ||||||
Michigan Strategic Fund (Michigan Strategic Fund - I 75 Improvement Project) | 3,210 | 3,208,892 | ||||||
5.00%, 12/31/2025 | 2,200 | 2,204,406 | ||||||
5.00%, 06/30/2026 | 2,400 | 2,428,040 |
18
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 12/31/2026 | $ | 5,770 | $ | 5,858,711 | ||||
5.00%, 06/30/2027 | 7,635 | 7,779,537 | ||||||
5.00%, 12/31/2027 | 5,770 | 5,899,878 | ||||||
5.00%, 06/30/2028 | 4,645 | 4,763,108 | ||||||
|
| |||||||
272,264,340 | ||||||||
|
| |||||||
Minnesota – 0.2% |
| |||||||
State of Minnesota | 12,000 | 12,011,539 | ||||||
|
| |||||||
Mississippi – 0.1% |
| |||||||
State of Mississippi (Pre-refunded - US Treasuries) | 5,525 | 5,573,280 | ||||||
|
| |||||||
Missouri – 0.5% |
| |||||||
Cape Girardeau County Industrial Development Authority (Mercy Health/MO) | 1,445 | 1,448,950 | ||||||
5.00%, 03/01/2028 | 1,375 | 1,417,670 | ||||||
City of Kansas City MO (City of Kansas City MO Lease) | 4,000 | 4,455,448 | ||||||
Health & Educational Facilities Authority of the State of Missouri (BJC Healthcare Obligated Group) | 5,000 | 5,069,966 | ||||||
Howard Bend Levee District | 845 | 848,743 | ||||||
5.75%, 03/01/2027 | 775 | 784,087 | ||||||
Metropolitan St. Louis Sewer District | 1,710 | 1,919,647 | ||||||
5.00%, 05/01/2039 | 3,100 | 3,462,870 | ||||||
Missouri Highway & Transportation Commission | 3,385 | 3,466,928 | ||||||
|
| |||||||
22,874,309 | ||||||||
|
| |||||||
Montana – 0.3% |
| |||||||
Montana Facility Finance Authority (Benefis Health System Obligated Group) | 2,500 | 2,514,027 | ||||||
5.00%, 02/15/2026 | 3,190 | 3,239,516 | ||||||
5.00%, 02/15/2027 | 6,950 | 7,136,263 | ||||||
5.00%, 02/15/2028 | 2,375 | 2,430,173 | ||||||
|
| |||||||
15,319,979 | ||||||||
|
|
19
Principal Amount (000) | U.S. $ Value | |||||||
Nebraska – 0.3% |
| |||||||
Central Plains Energy Project (Bank of Montreal) | $ | 5,000 | $ | 5,266,780 | ||||
Central Plains Energy Project (Goldman Sachs Group, Inc. (The)) | 10,000 | 10,468,387 | ||||||
|
| |||||||
15,735,167 | ||||||||
|
| |||||||
Nevada – 0.5% |
| |||||||
City of Las Vegas NV | 2,930 | 3,012,026 | ||||||
Las Vegas Valley Water District | 4,590 | 4,732,855 | ||||||
Series 2022-C | 5,950 | 6,044,761 | ||||||
State of Nevada | 7,000 | 7,084,426 | ||||||
State of Nevada Department of Business & Industry (DesertXpress Enterprises LLC) | 3,075 | 3,197,334 | ||||||
Series 2024 | 2,320 | 2,320,560 | ||||||
|
| |||||||
26,391,962 | ||||||||
|
| |||||||
New Hampshire – 1.0% |
| |||||||
New Hampshire Business Finance Authority | 24,359 | 24,206,158 | ||||||
Series 2022-2, Class A | 9,775 | 9,413,204 | ||||||
Series 2024-1, Class A | 5,620 | 5,498,742 | ||||||
Series 2024-2 | 7,293 | 286,320 | ||||||
3.625%, 08/20/2039 | 4,998 | 4,647,026 | ||||||
Series 2024-2, Class X | 4,998 | 210,658 | ||||||
New Hampshire Business Finance Authority (Brazoria-Fort Bend County Municipal Utility District No. 3) | 1,000 | 993,857 | ||||||
New Hampshire Business Finance Authority (Reworld Holding Corp.) | 2,250 | 2,249,930 | ||||||
|
| |||||||
47,505,895 | ||||||||
|
|
20
Principal Amount (000) | U.S. $ Value | |||||||
New Jersey – 7.9% |
| |||||||
City of Hoboken NJ | $ | 10,000 | $ | 10,032,145 | ||||
Essex County Improvement Authority (County of Essex NJ) Series 2024 | 3,055 | 3,095,707 | ||||||
New Jersey Economic Development Authority (New Jersey Economic Development Authority State Lease) | 5,930 | 6,105,722 | ||||||
New Jersey Economic Development Authority (New Jersey-American Water Co., Inc.) | 7,755 | 7,651,178 | ||||||
New Jersey Economic Development Authority (NYNJ Link Borrower LLC) | 1,000 | 1,001,337 | ||||||
5.50%, 01/01/2027 | 1,000 | 1,001,258 | ||||||
New Jersey Economic Development Authority (Port Newark Container Terminal LLC) | 2,000 | 2,003,476 | ||||||
5.00%, 10/01/2025 | 2,750 | 2,778,161 | ||||||
New Jersey Economic Development Authority (Rutgers The State University of New Jersey) | 1,000 | 1,000,964 | ||||||
5.00%, 06/15/2026 | 3,500 | 3,502,888 | ||||||
New Jersey Economic Development Authority (State of New Jersey) | 3,000 | 3,135,685 | ||||||
5.00%, 06/15/2033 | 2,065 | 2,323,413 | ||||||
New Jersey Economic Development Authority (United Airlines, Inc.) | 3,920 | 3,923,724 | ||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Fed Hwy Grant) | 12,830 | 13,166,385 | ||||||
5.00%, 06/15/2028 | 975 | 1,000,589 | ||||||
Series 2018-A | 3,050 | 3,126,700 | ||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease) | 8,605 | 9,068,076 | ||||||
5.00%, 12/15/2029 | 38,555 | 41,075,946 | ||||||
5.00%, 12/15/2030 | 5,885 | 6,257,007 | ||||||
5.00%, 12/15/2032 | 5,230 | 5,530,255 | ||||||
5.00%, 12/15/2033 | 7,230 | 7,640,435 | ||||||
Series 2019 | 1,525 | 1,628,005 |
21
Principal Amount (000) | U.S. $ Value | |||||||
Series 2019-B | $ | 3,885 | $ | 4,105,456 | ||||
Series 2023-B | 9,685 | 10,655,832 | ||||||
5.00%, 06/15/2042 | 2,915 | 3,194,105 | ||||||
5.00%, 06/15/2043 | 1,505 | 1,641,490 | ||||||
AGM Series 2006-C | 6,600 | 4,638,185 | ||||||
New Jersey Turnpike Authority | 1,800 | 1,801,310 | ||||||
5.00%, 01/01/2028 | 40,000 | 40,027,984 | ||||||
5.00%, 01/01/2029 | 30,900 | 30,916,748 | ||||||
Series 2017-A | 7,235 | 7,507,121 | ||||||
Series 2017-B | 10,000 | 10,595,893 | ||||||
5.00%, 01/01/2030 | 14,830 | 15,678,113 | ||||||
5.00%, 01/01/2031 | 15,220 | 16,045,647 | ||||||
Series 2021-B | 6,625 | 5,813,936 | ||||||
Series 2024-A | 11,235 | 12,737,788 | ||||||
5.00%, 01/01/2033(f) | 2,000 | 2,296,945 | ||||||
5.00%, 01/01/2034(f) | 2,100 | 2,441,635 | ||||||
Series 2024-C | 7,500 | 8,241,283 | ||||||
5.00%, 01/01/2044(f) | 2,500 | 2,737,726 | ||||||
AGM Series 2005-D3 | 14,770 | 15,100,678 | ||||||
South Jersey Transportation Authority | 450 | 500,356 | ||||||
5.00%, 11/01/2037 | 400 | 442,995 | ||||||
State of New Jersey | 20,500 | 20,809,745 | ||||||
Tobacco Settlement Financing Corp./NJ | 4,125 | 4,167,191 | ||||||
5.00%, 06/01/2026 | 3,000 | 3,070,870 | ||||||
5.00%, 06/01/2027 | 4,000 | 4,148,648 | ||||||
5.00%, 06/01/2028 | 2,140 | 2,247,036 | ||||||
5.00%, 06/01/2035 | 2,620 | 2,756,717 | ||||||
Series 2018-B | 10,275 | 10,368,991 | ||||||
Township of Woodbridge NJ | 5,000 | 5,014,103 | ||||||
|
| |||||||
385,753,583 | ||||||||
|
| |||||||
New Mexico – 0.1% |
| |||||||
State of New Mexico Severance Tax Permanent Fund | 3,550 | 3,550,000 | ||||||
|
|
22
Principal Amount (000) | U.S. $ Value | |||||||
New York – 9.7% |
| |||||||
City of New York NY | $ | 1,130 | $ | 1,131,080 | ||||
Series 2019-E | 6,100 | 6,211,268 | ||||||
Series 2020-A | 1,260 | 1,261,263 | ||||||
5.00%, 08/01/2026 | 3,130 | 3,245,035 | ||||||
Series 2021 | 18,750 | 16,874,398 | ||||||
Series 2021-F | 5,000 | 5,055,438 | ||||||
City of Rochester NY | 6,000 | 6,003,185 | ||||||
County of Nassau NY | 8,815 | 9,893,702 | ||||||
5.00%, 04/01/2044 | 4,120 | 4,578,620 | ||||||
Dutchess County Local Development Corp. (Bard College) | 4,505 | 4,419,971 | ||||||
Federal Home Loan Mortgage Corp. | 8,381 | 8,569,901 | ||||||
Hudson Yards Infrastructure Corp. | 6,880 | 7,165,206 | ||||||
Metropolitan Transportation Authority | 20,070 | 20,750,447 | ||||||
Series 2017 | 7,190 | 7,342,049 | ||||||
Series 2017-C | 22,370 | 23,706,954 | ||||||
5.00%, 11/15/2030 | 13,755 | 14,563,890 | ||||||
5.00%, 11/15/2031 | 5,505 | 5,819,665 | ||||||
5.00%, 11/15/2033 | 8,500 | 8,957,195 | ||||||
BAM Series 2024-A | 6,500 | 6,337,989 | ||||||
Metropolitan Transportation Authority (Pre-refunded - US Treasuries) | 5,000 | 5,027,794 | ||||||
New York City Municipal Water Finance Authority | 10,650 | 12,535,259 | ||||||
5.00%, 06/15/2035 | 2,000 | 2,343,872 | ||||||
New York City Transitional Finance Authority Building Aid Revenue (New York City Transitional Finance Authority Building Aid Revenue State Lease) | 10,245 | 10,608,787 |
23
Principal Amount (000) | U.S. $ Value | |||||||
Series 2018-S | $ | 18,035 | $ | 19,167,566 | ||||
5.00%, 07/15/2032 | 15,945 | 16,945,220 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 4,860 | 5,065,570 | ||||||
New York Liberty Development Corp. (3 World Trade Center LLC) | 400 | 401,072 | ||||||
New York Liberty Development Corp. (One Bryant Park LLC) | 4,250 | 3,881,587 | ||||||
2.80%, 09/15/2069 | 11,555 | 10,387,772 | ||||||
New York State Dormitory Authority (New York State Sales Tax) | 14,705 | 15,202,923 | ||||||
Series 2018-C | 6,990 | 7,284,238 | ||||||
New York State Dormitory Authority (State of New York Pers Income Tax) | 10,000 | 10,756,485 | ||||||
Series 2021-A | 1,825 | 1,828,664 | ||||||
Series 2021-E | 19,200 | 19,516,792 | ||||||
Series 2022-A | 3,500 | 3,507,947 | ||||||
Series 2024-A | 5,000 | 5,597,245 | ||||||
5.00%, 03/15/2043 | 6,000 | 6,679,715 | ||||||
5.00%, 03/15/2044 | 2,840 | 3,148,047 | ||||||
New York Transportation Development Corp. (Delta Air Lines, Inc.) | 4,835 | 4,971,250 | ||||||
5.00%, 01/01/2028 | 22,110 | 23,024,231 | ||||||
5.00%, 01/01/2029 | 27,145 | 28,164,756 | ||||||
Series 2023 | 7,000 | 7,611,926 | ||||||
6.00%, 04/01/2035 | 5,000 | 5,651,121 | ||||||
New York Transportation Development Corp. (JFK International Air Terminal LLC) | 7,015 | 7,378,331 | ||||||
New York Transportation Development Corp. (Laguardia Gateway Partners LLC) | 2,095 | 2,094,887 | ||||||
Port Authority of New York & New Jersey | 2,915 | 2,895,997 | ||||||
Series 2020-2 | 5,910 | 6,306,166 |
24
Principal Amount (000) | U.S. $ Value | |||||||
Series 2021-2 | $ | 2,980 | $ | 2,976,673 | ||||
Suffolk Regional Off-Track Betting Co. | 1,000 | 1,039,733 | ||||||
Suffolk Tobacco Asset Securitization Corp. | 1,045 | 1,083,080 | ||||||
5.00%, 06/01/2029 | 2,080 | 2,211,050 | ||||||
5.00%, 06/01/2033 | 2,395 | 2,595,562 | ||||||
Town of Oyster Bay NY | 1,600 | 1,604,394 | ||||||
Triborough Bridge & Tunnel Authority | 7,480 | 7,492,228 | ||||||
Triborough Bridge & Tunnel Authority (Metropolitan Transportation Authority Payroll Mobility Tax Revenue) | 14,725 | 11,938,347 | ||||||
2.591%, 05/15/2036 | 2,000 | 1,582,940 | ||||||
Series 2022 | 14,000 | 14,035,616 | ||||||
Series 2023 | 4,025 | 4,503,402 | ||||||
Series 2024 | 5,000 | 5,753,359 | ||||||
Triborough Bridge & Tunnel Authority (Pre-refunded - US Treasuries) | 9,240 | 9,254,333 | ||||||
|
| |||||||
475,943,193 | ||||||||
|
| |||||||
North Carolina – 0.4% |
| |||||||
County of Wake NC | 1,585 | 1,874,811 | ||||||
Greater Asheville Regional Airport Authority | 1,740 | 1,883,441 | ||||||
5.00%, 07/01/2036 | 1,500 | 1,619,060 | ||||||
5.00%, 07/01/2037 | 1,250 | 1,345,172 | ||||||
5.25%, 07/01/2038 | 1,200 | 1,314,226 | ||||||
5.25%, 07/01/2039 | 1,300 | 1,417,782 | ||||||
5.25%, 07/01/2040 | 3,220 | 3,493,084 | ||||||
5.25%, 07/01/2042 | 1,140 | 1,227,577 | ||||||
AGM Series 2023 | 650 | 707,007 | ||||||
5.00%, 07/01/2037 | 1,400 | 1,517,756 | ||||||
5.00%, 07/01/2038 | 420 | 452,607 | ||||||
5.25%, 07/01/2041 | 1,000 | 1,089,007 | ||||||
5.25%, 07/01/2042 | 1,000 | 1,084,782 | ||||||
|
| |||||||
19,026,312 | ||||||||
|
|
25
Principal Amount (000) | U.S. $ Value | |||||||
North Dakota – 0.1% |
| |||||||
County of Ward ND (Trinity Health Obligated Group) | $ | 2,000 | $ | 1,998,192 | ||||
5.00%, 06/01/2030 | 3,000 | 3,006,806 | ||||||
|
| |||||||
5,004,998 | ||||||||
|
| |||||||
Ohio – 1.6% |
| |||||||
Buckeye Tobacco Settlement Financing Authority | 2,000 | 2,012,331 | ||||||
4.00%, 06/01/2038 | 1,000 | 1,001,310 | ||||||
County of Allen OH Hospital Facilities Revenue (Bon Secours Mercy Health, Inc.) | 10,000 | 10,310,376 | ||||||
5.00%, 08/01/2027 | 8,465 | 8,869,041 | ||||||
5.00%, 08/01/2028 | 1,955 | 2,065,098 | ||||||
Series 2020 | 5,400 | 5,773,220 | ||||||
5.00%, 12/01/2029 | 1,565 | 1,694,542 | ||||||
County of Cuyahoga OH (MetroHealth System (The)) | 2,745 | 2,781,525 | ||||||
5.00%, 02/15/2027 | 2,710 | 2,774,449 | ||||||
County of Franklin OH (Nationwide Children’s Hospital, Inc.) | 1,000 | 1,052,039 | ||||||
County of Hamilton OH (Christ Hospital Obligated Group) | 4,045 | 4,122,956 | ||||||
County of Washington OH (Marietta Area Health Care, Inc. Obligated Group) | 570 | 572,711 | ||||||
6.375%, 12/01/2037 | 5,000 | 5,425,222 | ||||||
Ohio Higher Educational Facility Commission (Oberlin College) | 1,425 | 1,516,894 | ||||||
5.00%, 10/01/2037 | 1,270 | 1,430,549 | ||||||
5.00%, 10/01/2038 | 1,335 | 1,495,030 | ||||||
Ohio Water Development Authority (Ohio Water Development Authority State Lease) | 3,985 | 4,046,296 | ||||||
Ohio Water Development Authority Water Pollution Control Loan Fund | 4,910 | 5,031,125 | ||||||
Port of Greater Cincinnati Development Authority (Duke Energy Convention Center Project) | 1,000 | 1,079,958 | ||||||
Reynoldsburg City School District | 3,430 | 3,503,286 | ||||||
Series 2014 | 3,670 | 3,772,081 |
26
Principal Amount (000) | U.S. $ Value | |||||||
State of Ohio (Cleveland Clinic Health System Obligated Group) | $ | 5,000 | $ | 5,771,690 | ||||
|
| |||||||
76,101,729 | ||||||||
|
| |||||||
Oklahoma – 0.2% |
| |||||||
Comanche County Memorial Hospital | 1,235 | 1,227,535 | ||||||
5.00%, 07/01/2028 | 1,280 | 1,256,353 | ||||||
Oklahoma Development Finance Authority | 4,000 | 3,682,759 | ||||||
Oklahoma Development Finance Authority (OU Medicine Obligated Group) | 4,245 | 4,412,647 | ||||||
|
| |||||||
10,579,294 | ||||||||
|
| |||||||
Oregon – 0.7% |
| |||||||
Hospital Facilities Authority of Multnomah County Oregon (Pre-refunded - US Treasuries) | 220 | 220,570 | ||||||
Medford Hospital Facilities Authority (Asante Health System Obligated Group) | 415 | 449,002 | ||||||
5.00%, 08/15/2031 | 1,245 | 1,345,200 | ||||||
5.00%, 08/15/2033 | 500 | 538,232 | ||||||
5.00%, 08/15/2034 | 875 | 941,831 | ||||||
5.00%, 08/15/2035 | 755 | 812,067 | ||||||
5.00%, 08/15/2036 | 1,300 | 1,395,178 | ||||||
Port of Portland OR Airport Revenue | 4,290 | 4,562,585 | ||||||
Series 2022-2 | 11,255 | 11,224,076 | ||||||
4.00%, 07/01/2040 | 7,170 | 7,044,564 | ||||||
Salem Hospital Facility Authority (Salem Health Obligated Group) | 2,205 | 2,325,164 | ||||||
Tri-County Metropolitan Transportation District of Oregon | 2,335 | 2,459,565 | ||||||
Umatilla County School District No. 6R Umatilla | 2,000 | 826,721 | ||||||
|
| |||||||
34,144,755 | ||||||||
|
|
27
Principal Amount (000) | U.S. $ Value | |||||||
Other – 1.1% |
| |||||||
Federal Home Loan Mortgage Corp. Enhanced Receipt | $ | 23,486 | $ | 21,250,516 | ||||
Series 2019-C, Class 1 | 5,478 | 4,956,695 | ||||||
Series 2019-D, Class 1 | 5,002 | 4,526,061 | ||||||
Series 2019-E, Class 1 | 3,361 | 3,040,810 | ||||||
Federal Home Loan Mortgage Corp. Multifamily VRD Certificates (FHLMC Multifamily VRD Certificates) | 9,340 | 7,981,341 | ||||||
2.65%, 06/15/2035(b) | 4,690 | 3,959,371 | ||||||
Series 2019-M | 9,265 | 8,046,140 | ||||||
Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates | 1,000 | 1,029,893 | ||||||
|
| |||||||
54,790,827 | ||||||||
|
| |||||||
Pennsylvania – 8.3% |
| |||||||
Allegheny County Hospital Development Authority (UPMC Obligated Group) | 5,290 | 5,670,591 | ||||||
5.00%, 07/15/2032 | 6,500 | 6,954,550 | ||||||
5.00%, 07/15/2033 | 7,600 | 8,127,117 | ||||||
Series 2022 | 10,000 | 9,974,329 | ||||||
Bucks County Industrial Development Authority (Grand View Hospital/Sellersville PA Obligated Group) | 2,000 | 1,862,122 | ||||||
Chester County Industrial Development Authority (Collegium Charter School) | 950 | 984,376 | ||||||
City of Philadelphia PA | 12,310 | 12,861,786 | ||||||
5.00%, 08/01/2029 | 9,970 | 10,416,488 | ||||||
5.00%, 08/01/2030 | 4,000 | 4,169,318 | ||||||
5.00%, 08/01/2032 | 8,010 | 8,357,931 | ||||||
Series 2019-A | 1,420 | 1,465,651 | ||||||
City of Philadelphia PA Airport Revenue | 10,350 | 10,802,467 | ||||||
City of Philadelphia PA Water & Wastewater Revenue | 7,750 | 7,914,679 | ||||||
5.00%, 10/01/2026 | 2,675 | 2,771,977 |
28
Principal Amount (000) | U.S. $ Value | |||||||
AGM Series 2023-B | $ | 1,500 | $ | 1,698,556 | ||||
Commonwealth of Pennsylvania | 9,575 | 9,601,961 | ||||||
Series 2017 | 14,415 | 15,040,804 | ||||||
Series 2019 | 4,700 | 4,781,313 | ||||||
Series 2023 | 10,000 | 10,022,492 | ||||||
Geisinger Authority (Kaiser Obligated Group) | 2,500 | 2,660,620 | ||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) (Temple University Health System Obligated Group) | 6,000 | 6,036,178 | ||||||
AGM Series 2022 | 10,000 | 10,016,299 | ||||||
4.00%, 07/01/2039 | 10,000 | 9,932,324 | ||||||
Montgomery County Higher Education and Health Authority (HumanGood Pennsylvania Obligated Group) | 1,845 | 1,864,337 | ||||||
5.00%, 12/01/2032 | 2,750 | 2,806,084 | ||||||
Montgomery County Higher Education and Health Authority (Thomas Jefferson University Obligated Group) | 1,400 | 1,432,668 | ||||||
5.00%, 09/01/2027 | 1,750 | 1,811,834 | ||||||
5.00%, 09/01/2028 | 1,500 | 1,571,022 | ||||||
5.00%, 09/01/2029 | 3,000 | 3,139,420 | ||||||
5.00%, 09/01/2030 | 3,000 | 3,132,208 | ||||||
Series 2019 | 1,710 | 1,809,146 | ||||||
5.00%, 09/01/2032 | 1,200 | 1,268,198 | ||||||
Montgomery County Industrial Development Authority/PA (Pre-refunded - US Treasuries) | 6,000 | 6,058,050 | ||||||
Pennsylvania Economic Development Financing Authority (Commonwealth of Pennsylvania Department of Transportation) | 3,350 | 3,691,251 | ||||||
5.50%, 06/30/2039 | 5,455 | 5,986,274 | ||||||
5.50%, 06/30/2040 | 5,000 | 5,455,599 |
29
Principal Amount (000) | U.S. $ Value | |||||||
Pennsylvania Economic Development Financing Authority (PA Bridges Finco LP) | $ | 8,540 | $ | 8,630,013 | ||||
5.00%, 12/31/2026 | 4,500 | 4,550,706 | ||||||
5.00%, 06/30/2027 | 12,450 | 12,589,004 | ||||||
5.00%, 12/31/2027 | 6,000 | 6,069,207 | ||||||
5.00%, 06/30/2028 | 10,790 | 10,914,373 | ||||||
5.00%, 12/31/2028 | 8,910 | 9,018,046 | ||||||
5.00%, 06/30/2042 | 1,015 | 1,020,483 | ||||||
Pennsylvania Economic Development Financing Authority (UPMC Obligated Group) | 1,150 | 1,249,204 | ||||||
5.00%, 04/15/2031 | 1,635 | 1,766,871 | ||||||
Series 2022-C | 15,140 | 15,079,460 | ||||||
Pennsylvania Higher Educational Facilities Authority (University of Pennsylvania Health System Obligated Group (The)) | 2,720 | 2,720,002 | ||||||
Pennsylvania Turnpike Commission | 7,025 | 7,279,823 | ||||||
5.00%, 06/01/2030 | 6,255 | 6,496,086 | ||||||
Series 2019 | 8,000 | 8,567,912 | ||||||
Series 2022-A | 1,000 | 1,133,694 | ||||||
Pennsylvania Turnpike Commission Registration Fee Revenue | 24,000 | 24,008,162 | ||||||
Philadelphia Authority for Industrial Development (MaST Community Charter School III) | 775 | 787,333 | ||||||
5.00%, 08/01/2040 | 3,445 | 3,466,258 | ||||||
Philadelphia Authority for Industrial Development (St. Joseph’s University) | 835 | 863,226 | ||||||
5.00%, 11/01/2028 | 1,000 | 1,045,045 | ||||||
5.00%, 11/01/2029 | 1,000 | 1,056,921 | ||||||
5.00%, 11/01/2030 | 1,750 | 1,845,631 | ||||||
5.00%, 11/01/2031 | 1,685 | 1,778,967 | ||||||
5.00%, 11/01/2032 | 1,810 | 1,911,043 | ||||||
5.00%, 11/01/2033 | 1,750 | 1,848,184 | ||||||
5.00%, 11/01/2034 | 2,110 | 2,230,609 | ||||||
Pittsburgh Water & Sewer Authority AGM | 26,000 | 25,239,219 | ||||||
School District of Philadelphia (The) | 8,360 | 8,374,713 |
30
Principal Amount (000) | U.S. $ Value | |||||||
Series 2016-F | $ | 24,200 | $ | 24,242,590 | ||||
Series 2023-A | 2,000 | 2,258,254 | ||||||
5.25%, 09/01/2039 | 3,695 | 4,148,952 | ||||||
|
| |||||||
404,340,011 | ||||||||
|
| |||||||
Puerto Rico – 0.4% |
| |||||||
Commonwealth of Puerto Rico | 15 | 15,370 | ||||||
Zero Coupon, 07/01/2033 | 1,346 | 898,344 | ||||||
4.00%, 07/01/2046 | 103 | 93,031 | ||||||
5.625%, 07/01/2027 | 4,709 | 4,913,072 | ||||||
5.625%, 07/01/2029 | 1,982 | 2,125,725 | ||||||
Series 2022-C | 4,132 | 2,531,145 | ||||||
Puerto Rico Electric Power Authority | 5,150 | 5,147,017 | ||||||
Puerto Rico Housing Finance Authority (El Mirador LLC) | 2,250 | 2,298,542 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 2,938 | 2,938,000 | ||||||
|
| |||||||
20,960,246 | ||||||||
|
| |||||||
Rhode Island – 0.1% |
| |||||||
Providence Public Building Authority (City of Providence RI Lease) AGM | 2,195 | 2,334,192 | ||||||
|
| |||||||
South Carolina – 3.1% |
| |||||||
Patriots Energy Group Financing Agency (Royal Bank of Canada) | 50,000 | 54,135,010 | ||||||
Series 2023-B | 18,000 | 18,691,004 | ||||||
Patriots Energy Group Financing Agency (Sumitomo Mitsui Financial Group, Inc.) | 7,460 | 7,990,237 | ||||||
SCAGO Educational Facilities Corp. for Pickens School District (SCAGO Educational Facilities Corp. for Pickens School District Lease) | 3,000 | 3,036,709 | ||||||
5.00%, 12/01/2027 | 2,500 | 2,528,520 | ||||||
South Carolina Jobs-Economic Development Authority (Last Step Recycling LLC) | 1,445 | 942,765 |
31
Principal Amount (000) | U.S. $ Value | |||||||
South Carolina Jobs-Economic Development Authority (Novant Health Obligated Group) | $ | 2,890 | $ | 2,851,656 | ||||
5.00%, 11/01/2034 | 10,000 | 11,410,205 | ||||||
5.00%, 11/01/2039 | 18,615 | 20,822,206 | ||||||
South Carolina Jobs-Economic Development Authority (Prisma Health Obligated Group) | 7,500 | 7,758,141 | ||||||
South Carolina Ports Authority | 1,945 | 2,031,835 | ||||||
South Carolina Public Service Authority | 1,435 | 1,463,248 | ||||||
5.00%, 12/01/2034 | 1,000 | 1,014,507 | ||||||
Series 2020-A | 1,690 | 1,696,499 | ||||||
5.00%, 12/01/2043 | 1,800 | 1,880,688 | ||||||
Series 2021-A | 3,000 | 3,033,157 | ||||||
Series 2021-B | 1,200 | 1,285,721 | ||||||
5.00%, 12/01/2043 | 6,350 | 6,722,396 | ||||||
|
| |||||||
149,294,504 | ||||||||
|
| |||||||
South Dakota – 0.2% |
| |||||||
South Dakota Health & Educational Facilities Authority (Monument Health Obligated Group) | 3,400 | 3,543,931 | ||||||
5.00%, 09/01/2030 | 3,625 | 3,775,003 | ||||||
|
| |||||||
7,318,934 | ||||||||
|
| |||||||
Tennessee – 1.8% |
| |||||||
Metropolitan Government of Nashville & Davidson County TN (Pre-refunded - US Treasuries) | 10,000 | 10,122,406 | ||||||
Metropolitan Nashville Airport Authority (The) | 2,500 | 2,792,711 | ||||||
Tennergy Corp./TN (Nomura Holdings, Inc.) | 21,150 | 22,597,734 | ||||||
Tennergy Corp./TN (Pre-refunded - US Treasuries) | 5,445 | 5,463,219 |
32
Principal Amount (000) | U.S. $ Value | |||||||
Tennessee Energy Acquisition Corp. (Goldman Sachs Group, Inc. (The)) | $ | 43,555 | $ | 45,274,090 | ||||
|
| |||||||
86,250,160 | ||||||||
|
| |||||||
Texas – 4.3% |
| |||||||
Arlington Higher Education Finance Corp. (BASIS Texas Charter Schools, Inc.) | 850 | 846,104 | ||||||
Arlington Higher Education Finance Corp. (Cypress Christian School, Inc.) | 2,000 | 2,068,988 | ||||||
Arlington Higher Education Finance Corp. (Magellan School (The)) | 1,000 | 1,047,362 | ||||||
Board of Regents of the University of Texas System | 1,895 | 1,900,937 | ||||||
Central Texas Turnpike System | 1,000 | 1,000,891 | ||||||
City of Austin TX | 8,000 | 8,118,372 | ||||||
City of Austin TX Airport System Revenue | 2,260 | 2,419,398 | ||||||
City of Dallas TX | 2,000 | 2,211,843 | ||||||
5.00%, 02/15/2043 | 6,700 | 7,275,950 | ||||||
City of El Paso TX Water & Sewer Revenue | 3,000 | 3,029,528 | ||||||
Series 2022 | 4,275 | 4,679,064 | ||||||
5.00%, 03/01/2039 | 3,880 | 4,208,086 | ||||||
City of Houston TX (City of Houston TX Hotel Occupancy Tax) | 2,000 | 2,004,367 | ||||||
City of Houston TX Airport System Revenue | 1,140 | 1,111,207 | ||||||
AGM Series 2023 | 12,095 | 13,136,673 | ||||||
City of Houston TX Airport System Revenue (United Airlines, Inc.) | 9,135 | 9,365,994 | ||||||
City of Houston TX Combined Utility System Revenue (Pre-refunded - US Treasuries) | 10,785 | 10,798,362 | ||||||
5.00%, 05/15/2028 | 6,065 | 6,072,514 |
33
Principal Amount (000) | U.S. $ Value | |||||||
City of San Antonio TX Electric & Gas Systems Revenue | $ | 5,000 | $ | 5,631,602 | ||||
County of Harris TX Toll Road Revenue | 1,065 | 1,182,826 | ||||||
Crowley Independent School District (Pre-refunded - US Govt Agencies) | 4,980 | 5,011,938 | ||||||
Dallas Fort Worth International Airport | 6,500 | 6,829,732 | ||||||
5.00%, 11/01/2032 | 5,500 | 5,989,798 | ||||||
Dallas Independent School District | 5,020 | 5,039,531 | ||||||
Denton Independent School District | 6,685 | 6,695,845 | ||||||
Series 2016 | 1,220 | 1,253,224 | ||||||
Harris County Cultural Education Facilities Finance Corp. (Memorial Hermann Health System Obligated Group) | 1,500 | 1,495,040 | ||||||
Series 2024 | 3,875 | 4,420,136 | ||||||
Harris County Cultural Education Facilities Finance Corp. (Texas Children’s Hospital Obligated Group) | 5,000 | 4,873,745 | ||||||
Harris County Hospital District | 2,465 | 2,511,284 | ||||||
Hidalgo County Regional Mobility Authority | 200 | 210,877 | ||||||
5.00%, 12/01/2029 | 500 | 533,172 | ||||||
5.00%, 12/01/2030 | 500 | 538,498 | ||||||
5.00%, 12/01/2031 | 500 | 542,548 | ||||||
5.00%, 12/01/2032 | 795 | 861,425 | ||||||
Irving Hospital Authority (Baylor Medical Center at Irving) | 600 | 612,840 | ||||||
5.00%, 10/15/2029 | 600 | 611,633 | ||||||
5.00%, 10/15/2030 | 1,000 | 1,018,627 | ||||||
5.00%, 10/15/2031 | 1,020 | 1,037,424 | ||||||
Leander Independent School District | 1,025 | 1,026,688 |
34
Principal Amount (000) | U.S. $ Value | |||||||
Legacy Denton Public Facility Corp. (LDG Vintage Ranch LP) | $ | 15,000 | $ | 15,134,987 | ||||
Mission Economic Development Corp. (Natgasoline LLC) | 10,680 | 10,590,528 | ||||||
New Hope Cultural Education Facilities Finance Corp. (Children’s Health System of Texas Obligated Group) | 2,500 | 2,540,904 | ||||||
5.00%, 08/15/2026 | 2,000 | 2,062,910 | ||||||
5.00%, 08/15/2028 | 2,750 | 2,872,802 | ||||||
New Hope Cultural Education Facilities Finance Corp. (Morningside Ministries Obligated Group) | 875 | 819,870 | ||||||
Series 2022 | 840 | 753,356 | ||||||
4.00%, 01/01/2037 | 1,155 | 956,564 | ||||||
New Hope Cultural Education Facilities Finance Corp. (Pre-refunded - Others) | 1,130 | 1,184,483 | ||||||
North Texas Tollway Authority (North Texas Tollway System) | 3,200 | 3,221,101 | ||||||
5.00%, 01/01/2027 | 2,100 | 2,111,642 | ||||||
5.00%, 01/01/2028 | 5,975 | 6,008,390 | ||||||
Port of Beaumont Navigation District (Jefferson 2020 Bond Lessee & Borrower LLC Obligated Group) | 1,285 | 1,300,217 | ||||||
10.00%, 07/01/2026(b) | 2,000 | 2,003,379 | ||||||
Richardson Independent School District | 2,500 | 2,522,906 | ||||||
San Antonio Independent School District/TX | 3,575 | 3,611,818 | ||||||
State of Texas | 2,335 | 2,338,030 | ||||||
Texas Municipal Gas Acquisition and Supply Corp. II (JPMorgan Chase & Co.) | 5,000 | 4,997,575 |
35
Principal Amount (000) | U.S. $ Value | |||||||
Texas State University System | $ | 2,900 | $ | 3,226,589 | ||||
5.00%, 03/15/2043 | 1,665 | 1,843,753 | ||||||
University of Houston | 1,750 | 1,928,222 | ||||||
|
| |||||||
211,254,099 | ||||||||
|
| |||||||
Utah – 1.0% |
| |||||||
City of Salt Lake City UT Airport Revenue | 2,615 | 2,569,252 | ||||||
5.00%, 07/01/2029 | 3,365 | 3,550,649 | ||||||
5.00%, 07/01/2030 | 7,670 | 8,179,776 | ||||||
Series 2023-A | 9,270 | 10,068,372 | ||||||
BAM Series 2018-A | 17,000 | 17,430,423 | ||||||
Intermountain Power Agency | 5,000 | 5,573,125 | ||||||
5.00%, 07/01/2042 | 2,360 | 2,588,377 | ||||||
Utah Transit Authority (Utah Transit Authority Sales Tax) | 1,305 | 1,325,154 | ||||||
|
| |||||||
51,285,128 | ||||||||
|
| |||||||
Virginia – 1.3% |
| |||||||
Chesterfield County Economic Development Authority (County of Chesterfield VA) | 3,000 | 3,364,480 | ||||||
5.00%, 04/01/2043 | 2,000 | 2,230,589 | ||||||
County of Fairfax VA | 2,750 | 2,809,794 | ||||||
County of Loudoun VA | 3,965 | 4,010,427 | ||||||
Series 2020-B | 3,300 | 3,321,542 | ||||||
Virginia Beach Development Authority (Westminster-Canterbury on Chesapeake Bay Obligated Group) | 2,000 | 2,079,188 | ||||||
Virginia Public Building Authority (Virginia Public Building Authority State Lease) | 4,000 | 4,490,329 | ||||||
Virginia Small Business Financing Authority (Elizabeth River Crossings OpCo LLC) | 2,000 | 2,014,648 | ||||||
4.00%, 01/01/2032 | 5,030 | 5,077,818 | ||||||
4.00%, 01/01/2037 | 7,250 | 7,282,353 |
36
Principal Amount (000) | U.S. $ Value | |||||||
Virginia Small Business Financing Authority (National Senior Communities, Inc. Obligated Group) | $ | 1,400 | $ | 1,468,929 | ||||
5.00%, 01/01/2030 | 1,650 | 1,749,538 | ||||||
5.00%, 01/01/2031 | 1,250 | 1,326,865 | ||||||
5.00%, 01/01/2033 | 1,750 | 1,854,601 | ||||||
5.00%, 01/01/2034 | 1,600 | 1,695,630 | ||||||
5.00%, 01/01/2035 | 1,570 | 1,663,183 | ||||||
Virginia Small Business Financing Authority (Pure Salmon Virginia LLC) | 18,000 | 18,002,247 | ||||||
|
| |||||||
64,442,161 | ||||||||
|
| |||||||
Washington – 3.6% |
| |||||||
Central Puget Sound Regional Transit Authority (Pre-refunded - US Treasuries) | 7,625 | 7,701,623 | ||||||
Energy Northwest (Bonneville Power Administration) | 5,120 | 5,618,308 | ||||||
Grant County Public Utility District No. 2 Priest Rapids Hydroelectric Project (Pre-refunded - US Treasuries) | 6,425 | 6,425,000 | ||||||
King County School District No. 411 Issaquah | 6,440 | 6,537,705 | ||||||
Port of Seattle WA | 8,320 | 8,396,036 | ||||||
5.00%, 05/01/2038 | 4,015 | 4,103,552 | ||||||
Series 2018-B | 4,695 | 4,737,908 | ||||||
Series 2019 | 1,500 | 1,575,839 | ||||||
5.00%, 04/01/2033 | 1,000 | 1,050,897 | ||||||
Series 2021 | 5,000 | 4,792,295 | ||||||
5.00%, 08/01/2033 | 5,000 | 5,379,389 | ||||||
Series 2022 | 2,475 | 2,693,040 | ||||||
Port of Tacoma WA | 6,835 | 6,937,525 | ||||||
5.00%, 12/01/2038 | 6,775 | 6,864,211 | ||||||
Spokane County School District No. 81 Spokane | 10,000 | 9,225,427 | ||||||
State of Washington | 6,500 | 6,609,496 |
37
Principal Amount (000) | U.S. $ Value | |||||||
Series 2021-R | $ | 5,220 | $ | 5,226,305 | ||||
Series 2022-R | 10,000 | 10,168,456 | ||||||
Series 2024-C | 10,000 | 10,097,060 | ||||||
Series 2024-R | 4,000 | 4,065,874 | ||||||
State of Washington (State of Washington Fed Hwy Grant) | 1,490 | 1,493,351 | ||||||
Washington Health Care Facilities Authority (Multicare Health System Obligated Group) | 8,590 | 8,684,386 | ||||||
5.00%, 08/15/2029 | 16,560 | 16,721,407 | ||||||
5.00%, 08/15/2030 | 6,400 | 6,448,954 | ||||||
Washington Health Care Facilities Authority (Virginia Mason Medical Center Obligated Group) | 2,000 | 2,015,126 | ||||||
5.00%, 08/15/2027 | 2,175 | 2,217,316 | ||||||
5.00%, 08/15/2028 | 3,700 | 3,774,365 | ||||||
5.00%, 08/15/2030 | 8,005 | 8,175,791 | ||||||
Washington State Housing Finance Commission | 4,770 | 4,335,258 | ||||||
Washington State Housing Finance Commission | 3,153 | 136,748 | ||||||
Washington State Housing Finance Commission (Seattle Academy of Arts & Sciences) | 2,025 | 2,217,160 | ||||||
|
| |||||||
174,425,808 | ||||||||
|
| |||||||
West Virginia – 0.3% |
| |||||||
Tobacco Settlement Finance Authority/WV | 13,615 | 13,008,958 | ||||||
|
| |||||||
Wisconsin – 2.3% |
| |||||||
State of Wisconsin | 1,000 | 1,113,621 | ||||||
State of Wisconsin (Pre-refunded - US Treasuries) | 9,000 | 9,122,816 | ||||||
5.00%, 05/01/2027 | 12,500 | 13,140,176 | ||||||
5.00%, 05/01/2028 | 12,000 | 12,614,569 | ||||||
Wisconsin Center District AGM | 1,075 | 906,148 | ||||||
Zero Coupon, 12/15/2030 | 2,140 | 1,669,057 | ||||||
Zero Coupon, 12/15/2032 | 2,800 | 2,012,298 | ||||||
Zero Coupon, 12/15/2034 | 2,500 | 1,650,799 |
38
Principal Amount (000) | U.S. $ Value | |||||||
Wisconsin Health & Educational Facilities Authority (Advocate Aurora Health Obligated Group) | $ | 4,000 | $ | 3,953,492 | ||||
Series 2023 | 5,000 | 5,111,413 | ||||||
Wisconsin Health & Educational Facilities Authority (Gundersen Lutheran Obligated Group) | 2,500 | 2,499,999 | ||||||
4.00%, 10/15/2035 | 1,000 | 998,078 | ||||||
Wisconsin Public Finance Authority | 1,000 | 999,696 | ||||||
Wisconsin Public Finance Authority (Carmelite System, Inc. Obligated Group (The)) | 3,750 | 3,822,164 | ||||||
Wisconsin Public Finance Authority (CFC-SA LLC) | 2,000 | 2,078,771 | ||||||
5.50%, 02/01/2042(b) | 6,955 | 7,130,757 | ||||||
Wisconsin Public Finance Authority (Duke Energy Progress LLC) | 5,315 | 5,241,093 | ||||||
Wisconsin Public Finance Authority (Lackland Project) | 2,000 | 1,246,850 | ||||||
Wisconsin Public Finance Authority (North San Gabriel Municipal Utility District No. 1) | 1,000 | 692,398 | ||||||
Wisconsin Public Finance Authority (Pre-refunded - US Treasuries) | 10 | 9,967 | ||||||
Wisconsin Public Finance Authority (Queens University of Charlotte) | 6,000 | 6,189,197 | ||||||
Wisconsin Public Finance Authority (Roseman University of Health Sciences) | 85 | 84,132 | ||||||
Wisconsin Public Finance Authority (Southeast Overtown Park West Community Redevelopment Agency) | 1,100 | 1,113,322 |
39
Principal Amount (000) | U.S. $ Value | |||||||
Wisconsin Public Finance Authority (Southeastern Regional Medical Center Obligated Group) | $ | 615 | $ | 523,500 | ||||
4.00%, 02/01/2036 | 3,335 | 2,810,917 | ||||||
4.00%, 02/01/2038 | 3,575 | 2,969,283 | ||||||
4.00%, 02/01/2040 | 3,945 | 3,191,010 | ||||||
Series 2022 | 3,375 | 3,211,770 | ||||||
5.00%, 02/01/2032 | 2,545 | 2,407,487 | ||||||
Wisconsin Public Finance Authority (UMA Education, Inc.) | 3,360 | 3,379,431 | ||||||
5.00%, 10/01/2026(b) | 3,605 | 3,653,468 | ||||||
5.00%, 10/01/2027(b) | 3,000 | 3,069,011 | ||||||
5.00%, 10/01/2028(b) | 3,525 | 3,637,298 | ||||||
5.00%, 10/01/2029(b) | 835 | 868,029 | ||||||
WPPI Energy (Pre-refunded - US Govt Agencies) | 1,000 | 1,000,034 | ||||||
|
| |||||||
114,122,051 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds |
| 4,749,969,289 | ||||||
|
| |||||||
Short-Term Municipal Notes – 0.4% |
| |||||||
Maryland – 0.4% |
| |||||||
Montgomery County Housing Opportunities Commission | 19,100 | 19,100,000 | ||||||
|
| |||||||
Michigan – 0.0% |
| |||||||
Oakland University | 710 | 710,000 | ||||||
|
| |||||||
Texas – 0.0% |
| |||||||
Tarrant County Housing Finance Corp. (One Oaklake VIII LLC) | 270 | 270,000 | ||||||
|
| |||||||
Total Short-Term Municipal Notes |
| 20,080,000 | ||||||
|
| |||||||
Total Municipal Obligations |
| 4,770,049,289 | ||||||
|
| |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.2% |
| |||||||
Agency CMBS – 0.7% |
| |||||||
California Housing Finance Agency | 15,906 | 15,854,666 | ||||||
Series 2021-2, Class X | 9,653 | 439,495 |
40
Principal Amount (000) | U.S. $ Value | |||||||
Series 2021-3, Class A | $ | 3,839 | $ | 3,565,160 | ||||
Series 2021-3, Class X | 7,847 | 392,434 | ||||||
Federal Home Loan Mortgage Corp. | 1,927 | 1,510,771 | ||||||
Series 2021-ML10, Class AUS | 4,826 | 3,782,465 | ||||||
Series 2024-ML23, Class AUS | 2,100 | 2,197,098 | ||||||
Federal Home Loan Mortgage Corp. Multifamily VRD Certificates | 7,308 | 6,010,220 | ||||||
Series 2022-ML13, Class XCA | 2,017 | 107,155 | ||||||
Series 2022-ML13, Class XUS | 3,699 | 244,099 | ||||||
|
| |||||||
34,103,563 | ||||||||
|
| |||||||
Non-Agency Fixed Rate CMBS – 0.5% |
| |||||||
California Housing Finance Agency | 3,328 | 3,180,687 | ||||||
Series 2019-2, Class A | 10,206 | 10,282,162 | ||||||
City of Fort Wayne IN | 159 | 16 | ||||||
National Finance Authority | 9,775 | 454,587 | ||||||
New Hampshire Business Finance Authority | 8,899 | 8,730,452 | ||||||
Series 2022-1, Class X | 19,510 | 417,580 | ||||||
Washington State Housing Finance Commission | 9,953 | 1,059,500 | ||||||
|
| |||||||
24,124,984 | ||||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities |
| 58,228,547 | ||||||
|
| |||||||
CORPORATES - INVESTMENT GRADE – 1.1% |
| |||||||
Industrial – 1.1% |
| |||||||
Consumer Cyclical - Automotive – 0.2% |
| |||||||
General Motors Financial Co., Inc. | 10,000 | 10,069,700 |
41
Principal Amount (000) | U.S. $ Value | |||||||
Consumer Non-Cyclical – 0.9% |
| |||||||
Baylor Scott & White Holdings | $ | 5,835 | $ | 5,467,278 | ||||
1.777%, 11/15/2030 | 5,000 | 4,125,200 | ||||||
CommonSpirit Health | 4,513 | 4,288,388 | ||||||
Hackensack Meridian Health, Inc. | 7,000 | 4,906,020 | ||||||
Novant Health, Inc. | 19,100 | 14,439,791 | ||||||
Ochsner LSU Health System of North Louisiana | 10,000 | 7,097,800 | ||||||
Sutter Health | 4,000 | 3,025,760 | ||||||
|
| |||||||
43,350,237 | ||||||||
|
| |||||||
Total Corporates - Investment Grade | 53,419,937 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES – 0.5% |
| |||||||
Autos - Fixed Rate – 0.1% |
| |||||||
Flagship Credit Auto Trust | 790 | 789,120 | ||||||
Foursight Capital Automobile Receivables Trust | 322 | 321,626 | ||||||
LAD Auto Receivables Trust | 648 | 648,010 | ||||||
Lendbuzz Securitization Trust | 6,491 | 6,542,718 | ||||||
Tricolor Auto Securitization Trust | 419 | 419,566 | ||||||
|
| |||||||
8,721,040 | ||||||||
|
| |||||||
Other ABS - Fixed Rate – 0.4% |
| |||||||
HTA TRRB Custodial Trust | 4,190 | 4,081,614 | ||||||
5.25%, 07/01/2036 | 4,457 | 4,474,843 | ||||||
5.25%, 07/01/2041 | 3,500 | 3,407,458 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Auth | 6,874 | 6,823,533 | ||||||
|
| |||||||
18,787,448 | ||||||||
|
| |||||||
Total Asset-Backed Securities |
| 27,508,488 | ||||||
|
|
42
Principal Amount (000) | U.S. $ Value | |||||||
CORPORATES - NON-INVESTMENT GRADE – 0.3% |
| |||||||
Industrial – 0.3% |
| |||||||
Communications - Media – 0.1% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | $ | 7,730 | $ | 5,863,592 | ||||
|
| |||||||
Transportation - Airlines – 0.2% |
| |||||||
United Airlines, Inc. | 5,000 | 4,832,450 | ||||||
4.625%, 04/15/2029(b) | 2,300 | 2,143,140 | ||||||
|
| |||||||
6,975,590 | ||||||||
|
| |||||||
Total Corporates - Non-Investment Grade |
| 12,839,182 | ||||||
|
| |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0% |
| |||||||
Risk Share Floating Rate – 0.0% |
| |||||||
Connecticut Avenue Securities Trust | 813 | 863,899 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 43 | 42,967 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities Series 2014-C03, Class 2M2 | 179 | 178,954 | ||||||
Series 2014-C04, Class 1M2 | 119 | 120,626 | ||||||
Series 2015-C02, Class 1M2 | 186 | 190,388 | ||||||
Series 2016-C01, Class 1M2 | 213 | 225,378 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations |
| 1,622,212 | ||||||
|
| |||||||
Total Investments – 100.5% |
| 4,923,667,655 | ||||||
Other assets less liabilities – (0.5)% |
| (25,025,429 | ) | |||||
|
| |||||||
Net Assets – 100.0% |
| $ | 4,898,642,226 | |||||
|
|
43
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 Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
CDX-NAHY Series 42, 5 Year Index, 06/20/2029* | (5.00 | )% | Quarterly | 3.45% | USD | 46,990 | $ | (2,995,492 | ) | $ | (3,026,460 | ) | $ | 30,968 |
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
USD | 63,900 | 07/31/2029 | 1 Day SOFR | 4.461% | Annual | $ | 1,103,933 | $ | — | $ | 1,103,933 | |||||||||||||
USD | 28,300 | 07/31/2030 | 1 Day SOFR | 4.016% | Annual | (307,739 | ) | — | (307,739 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 796,194 | $ | — | $ | 796,194 | |||||||||||||||||||
|
|
|
|
|
|
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 | 225 | $ | (29,857 | ) | $ | (20,092 | ) | $ | (9,765) | ||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 747 | (99,147 | ) | (86,077 | ) | (13,070 | ) | |||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 50 | (6,621 | ) | (5,575 | ) | (1,046 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 123 | (16,376 | ) | (11,122 | ) | (5,254 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 531 | (70,473 | ) | (46,597 | ) | (23,876 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 1,520 | (201,841 | ) | (168,815 | ) | (33,026 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 1,536 | (204,028 | ) | (138,735 | ) | (65,293 | ) |
44
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) | |||||||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 5.00% | USD | 288 | $ | (38,251 | ) | $ | (33,070 | ) | $ | (5,181 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 5.00 | USD | 877 | (116,469 | ) | (74,839 | ) | (41,630 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (783,063 | ) | $ | (584,922 | ) | $ | (198,141 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
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 | 57,160 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 5,588,464 | $ | — | $ | 5,588,464 |
* | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
(a) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at June 30, 2024. |
(b) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At June 30, 2024, the aggregate market value of these securities amounted to $348,316,832 or 7.1% of net assets. |
(c) | Non-income producing security. |
(d) | Defaulted. |
(e) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.02% 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 | ||||||||
Arizona Industrial Development Authority | 06/13/2022 | $ | 2,077,317 | $ | 120,000 | 0.00% | ||||||
South Carolina Jobs-Economic Development Authority | 10/04/2022 | 1,180,754 | 942,765 | 0.02% |
(f) | When-Issued or delayed delivery security. |
(g) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at June 30, 2024. |
(h) | IO - Interest Only. |
45
(i) | 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. |
(j) | 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 $49,033,115 and gross unrealized depreciation of investments was $(129,615,635), resulting in net unrealized depreciation of $(80,582,520). |
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 6.4% and 0.0%, respectively.
Glossary:
ABS – Asset-Backed Securities
AGM – Assured Guaranty Municipal
BAM – Build American Mutual
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap
CMBS – Commercial Mortgage-Backed Securities
CME – Chicago Mercantile Exchange
COP – Certificate of Participation
MUNIPSA – SIFMA Municipal Swap Index
NATL – National Interstate Corporation
OSF – Order of St. Francis
SOFR – Secured Overnight Financing Rate
UPMC – University of Pittsburgh Medical Center
XLCA – XL Capital Assurance Inc.
46
Sanford C. Bernstein Fund, Inc.
Diversified Municipal 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.
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.
47
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 | $ | — | $ | 4,749,969,289 | $ | — | $ | 4,749,969,289 | ||||||||
Short-Term Municipal Notes | — | 20,080,000 | — | 20,080,000 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 58,228,547 | — | 58,228,547 | ||||||||||||
Corporates - Investment Grade | — | 53,419,937 | — | 53,419,937 | ||||||||||||
Asset-Backed Securities | — | 27,508,488 | — | 27,508,488 | ||||||||||||
Corporates - Non-Investment Grade | — | 12,839,182 | — | 12,839,182 | ||||||||||||
Collateralized Mortgage Obligations | — | 1,622,212 | — | 1,622,212 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | — | 4,923,667,655 | — | 4,923,667,655 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 1,103,933 | — | 1,103,933 | ||||||||||||
Interest Rate Swaps | — | 5,588,464 | — | 5,588,464 | ||||||||||||
Liabilities: |
| |||||||||||||||
Centrally Cleared Credit Default Swaps | — | (2,995,492 | ) | — | (2,995,492 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (307,739 | ) | — | (307,739 | ) | ||||||||||
Credit Default Swaps | — | (783,063 | ) | — | (783,063 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 4,926,273,758 | $ | — | $ | 4,926,273,758 | ||||||||
|
|
|
|
|
|
|
|
(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. |
48