AB Municipal Income Fund II
AB Pennsylvania Portfolio
Portfolio of Investments
August 31, 2022 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
MUNICIPAL OBLIGATIONS – 97.2% | ||||||||||||
Long-Term Municipal Bonds – 97.2% | ||||||||||||
Pennsylvania – 89.6% | ||||||||||||
Allegheny County Airport Authority | $ | 1,000 | $ | 1,080,803 | ||||||||
Allegheny County Hospital Development Authority (Allegheny Health Network Obligated Group) | 1,600 | 1,673,158 | ||||||||||
Allentown Neighborhood Improvement Zone Development Authority | 500 | 517,761 | ||||||||||
Altoona Area School District | 2,000 | 2,158,893 | ||||||||||
Berks County Industrial Development Authority (Highlands at Wyomissing (The)) | 500 | 507,071 | ||||||||||
Berks County Municipal Authority (The) (Tower Health Obligated Group) | 750 | 699,214 | ||||||||||
Bucks County Industrial Development Authority (Grand View Hospital/Sellersville PA Obligated Group) | 420 | 441,381 | ||||||||||
Bucks County Water and Sewer Authority | 780 | 819,541 | ||||||||||
Centre County Hospital Authority (Mount Nittany Medical Center Obligated Group) | 1,000 | 1,031,681 | ||||||||||
Chambersburg Area Municipal Authority (Wilson College) | 650 | 669,847 | ||||||||||
Chester County Industrial Development Authority (Woodlands at Greystone Neighborhood Improvement District) | 345 | 346,644 | ||||||||||
City of Erie Higher Education Building Authority (Gannon University) | 300 | 283,987 | ||||||||||
4.00%, 05/01/2041 | 250 | 230,315 | ||||||||||
City of Philadelphia PA | 1,000 | 1,084,498 | ||||||||||
City of Philadelphia PA Water & Wastewater Revenue | 1,700 | 1,844,750 | ||||||||||
Series 2018-A | 1,000 | 1,073,399 |
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Principal Amount (000) | U.S. $ Value | |||||||||||
Commonwealth Financing Authority (Commonwealth Financing Authority State Lease) | $ |
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| 2,500 | $ | 2,732,219 | ||||||
Commonwealth of Pennsylvania (Commonwealth of Pennsylvania COP) | 450 | 492,093 | ||||||||||
5.00%, 07/01/2035 | 750 | 818,113 | ||||||||||
5.00%, 07/01/2036 | 1,000 | 1,088,604 | ||||||||||
Crawford County Hospital Authority (Meadville Medical Center Obligated Group) | 635 | 652,886 | ||||||||||
Cumberland County Municipal Authority (Penn State Health Obligated Group) | 2,440 | 2,030,705 | ||||||||||
Delaware County Authority (Elwyn Obligated Group) | 1,625 | 1,607,599 | ||||||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) (Temple University Health System Obligated Group) | 660 | 691,058 | ||||||||||
Montgomery County Higher Education and Health Authority (HumanGood Pennsylvania Obligated Group) | 1,100 | 1,134,712 | ||||||||||
Montgomery County Higher Education and Health Authority (Thomas Jefferson University Obligated Group) | 2,000 | 2,081,815 | ||||||||||
Montgomery County Industrial Development Authority/PA (ACTS Retirement-Life Communities, Inc. Obligated Group) | 500 | 525,005 | ||||||||||
Moon Industrial Development Authority (Baptist Homes Society) | 765 | 725,694 | ||||||||||
Northeastern Pennsylvania Hospital and Education Authority (Wilkes University) | 520 | 536,066 | ||||||||||
Pennsylvania Economic Development Financing Authority (Covanta Holding Corp.) | 270 | 216,215 |
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Principal Amount (000) | U.S. $ Value | |||||||||||
Pennsylvania Economic Development Financing Authority (National Railroad Passenger Corp.) | $ |
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| 2,000 | $ | 2,005,465 | ||||||
Pennsylvania Economic Development Financing Authority (Pennsylvania Economic Development Finance Authority Sewage) | 1,020 | 1,011,579 | ||||||||||
Pennsylvania Economic Development Financing Authority (UPMC Obligated Group) | 670 | 648,471 | ||||||||||
Series 2022-C | 1,000 | 967,598 | ||||||||||
Pennsylvania Higher Educational Facilities Authority (University of Pennsylvania Health System Obligated Group (The)) | 1,000 | 961,065 | ||||||||||
Series 2022 | 1,125 | 1,108,783 | ||||||||||
Pennsylvania State University (The) | 500 | 482,558 | ||||||||||
Pennsylvania Turnpike Commission | 1,000 | 1,056,947 | ||||||||||
Pennsylvania Turnpike Commission (Pennsylvania Turnpike Commission Oil Franchise Tax) | 1,000 | 1,076,393 | ||||||||||
5.00%, 12/01/2043 | 1,000 | 1,056,011 | ||||||||||
Philadelphia Authority for Industrial Development (Greater Philadelphia Health Action, Inc.) | 400 | 403,298 | ||||||||||
Philadelphia Authority for Industrial Development (MaST Community Charter School II) | 410 | 425,308 | ||||||||||
Philadelphia Authority for Industrial Development (MaST Community Charter School III) | 260 | 269,697 | ||||||||||
Philadelphia Authority for Industrial Development (Philadelphia Electrical & Technology Charter High School) | 500 | 387,343 |
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Principal | U.S. $ Value | |||||||||||
Philadelphia Authority for Industrial Development (Philadelphia Performing Arts Charter School) | $ | 1,000 | $ | 1,002,913 | ||||||||
Philadelphia Authority for Industrial Development (Temple University-of The Commonwealth System of Higher Education) | 1,000 | 1,052,270 | ||||||||||
School District of Philadelphia (The) | 750 | 788,548 | ||||||||||
Scranton School District/PA | 500 | 545,169 | ||||||||||
5.00%, 12/01/2034 | 800 | 868,675 | ||||||||||
5.00%, 12/01/2035 | 500 | 541,764 | ||||||||||
State Public School Building Authority | 135 | 148,467 | ||||||||||
5.00%, 12/01/2029 | 865 | 934,607 | ||||||||||
Susquehanna Area Regional Airport Authority | 1,000 | 1,032,420 | ||||||||||
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48,571,076 | ||||||||||||
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American Samoa – 0.3% | ||||||||||||
American Samoa Economic Development Authority (Territory of American Samoa) | 135 | 155,499 | ||||||||||
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Arizona – 0.2% | ||||||||||||
Maricopa County Industrial Development Authority (Benjamin Franklin Charter School Ltd.) | 100 | 107,610 | ||||||||||
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Colorado – 0.4% | ||||||||||||
City & County of Denver CO (United Airlines, Inc.) | 215 | 214,486 | ||||||||||
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Guam – 1.7% | ||||||||||||
Antonio B Won Pat International Airport Authority | 100 | 86,252 | ||||||||||
Series 2023 | 100 | 100,964 | ||||||||||
Guam Power Authority | 120 | 125,511 | ||||||||||
5.00%, 10/01/2040 | 525 | 545,458 | ||||||||||
Territory of Guam | 90 | 91,726 | ||||||||||
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949,911 | ||||||||||||
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Principal | U.S. $ Value | |||||||||||
Kentucky – 0.6% | ||||||||||||
Kentucky Economic Development Finance Authority (Owensboro Health, Inc. Obligated Group) | $ | 315 | $ | 319,298 | ||||||||
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Michigan – 0.1% | ||||||||||||
City of Detroit MI | 35 | 36,071 | ||||||||||
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New Jersey – 0.8% | ||||||||||||
Tobacco Settlement Financing Corp./NJ | 425 | 428,133 | ||||||||||
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New York – 1.4% | ||||||||||||
Build NYC Resource Corp. (Albert Einstein College of Medicine, Inc.) | 185 | 190,551 | ||||||||||
New York State Dormitory Authority (Trustees of Columbia University in the City of New York (The)) | 500 | 591,107 | ||||||||||
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781,658 | ||||||||||||
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Puerto Rico – 1.9% | ||||||||||||
Commonwealth of Puerto Rico | 100 | 56,763 | ||||||||||
4.00%, 07/01/2033 | 100 | 93,460 | ||||||||||
5.25%, 07/01/2023 | 15 | 15,224 | ||||||||||
5.625%, 07/01/2029 | 100 | 107,519 | ||||||||||
Puerto Rico Electric Power Authority | 100 | 101,229 | ||||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (AES Puerto Rico LP) | 250 | 259,035 | ||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 100 | 76,472 | ||||||||||
Series 2019-A | 65 | 63,100 | ||||||||||
5.00%, 07/01/2058 | 250 | 241,902 | ||||||||||
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1,014,704 | ||||||||||||
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Principal | U.S. $ Value | |||||||||||
Tennessee – 0.2% | ||||||||||||
Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax) | $ | 120 | $ | 120,264 | ||||||||
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Total Municipal Obligations | 52,698,710 | |||||||||||
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Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 1.8% | ||||||||||||
Investment Companies – 1.8% | ||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 2.03%(d) (e) (f) | 994,917 | 994,917 | ||||||||||
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Total Investments – 99.0% | 53,693,627 | |||||||||||
Other assets less liabilities – 1.0% | 526,245 | |||||||||||
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Net Assets – 100.0% | $ | 54,219,872 | ||||||||||
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CENTRALLY CLEARED INFLATION (CPI) 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 | 435 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 44,331 | $ | — | $ | 44,331 | |||||||||||||
USD | 218 | 01/15/2025 | 2.613% | CPI# | Maturity | 21,804 | — | 21,804 | ||||||||||||||||
USD | 217 | 01/15/2025 | 2.585% | CPI# | Maturity | 21,942 | — | 21,942 | ||||||||||||||||
USD | 120 | 01/15/2025 | 4.028% | CPI# | Maturity | 5,097 | — | 5,097 | ||||||||||||||||
USD | 820 | 01/15/2026 | CPI# | 3.765% | Maturity | (37,034 | ) | — | (37,034 | ) | ||||||||||||||
USD | 650 | 01/15/2027 | CPI# | 3.320% | Maturity | (40,573 | ) | — | (40,573 | ) | ||||||||||||||
USD | 620 | 01/15/2027 | CPI# | 3.466% | Maturity | (33,103 | ) | (738 | ) | (32,365 | ) | |||||||||||||
USD | 490 | 01/15/2027 | CPI# | 3.323% | Maturity | (30,495 | ) | — | (30,495 | ) | ||||||||||||||
USD | 1,970 | 01/15/2028 | 1.230% | CPI# | Maturity | 391,594 | — | 391,594 | ||||||||||||||||
USD | 1,460 | 01/15/2028 | 0.735% | CPI# | Maturity | 342,784 | — | 342,784 | ||||||||||||||||
USD | 1,810 | 01/15/2029 | CPI# | 3.331% | Maturity | (82,500 | ) | — | (82,500 | ) | ||||||||||||||
USD | 740 | 01/15/2029 | CPI# | 3.735% | Maturity | (8,524 | ) | — | (8,524 | ) | ||||||||||||||
USD | 240 | 01/15/2029 | CPI# | 3.408% | Maturity | (9,398 | ) | — | (9,398 | ) | ||||||||||||||
USD | 170 | 01/15/2030 | 1.572% | CPI# | Maturity | 32,441 | — | 32,441 | ||||||||||||||||
USD | 170 | 01/15/2030 | 1.587% | CPI# | Maturity | 32,205 | — | 32,205 | ||||||||||||||||
USD | 400 | 01/15/2031 | 2.782% | CPI# | Maturity | 34,386 | — | 34,386 | ||||||||||||||||
USD | 340 | 01/15/2031 | 2.680% | CPI# | Maturity | 32,683 | — | 32,683 | ||||||||||||||||
USD | 300 | 01/15/2031 | 2.989% | CPI# | Maturity | 19,533 | — | 19,533 | ||||||||||||||||
USD | 290 | 01/15/2032 | CPI# | 3.064% | Maturity | (15,235 | ) | — | (15,235 | ) | ||||||||||||||
USD | 140 | 04/15/2032 | CPI# | 2.909% | Maturity | (9,254 | ) | — | (9,254 | ) | ||||||||||||||
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$ | 712,684 | $ | (738 | ) | $ | 713,422 | ||||||||||||||||||
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# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
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CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
USD | 2,700 | 01/15/2027 | 1 Day SOFR | 2.227% | Annual | $ | (88,745 | ) | $ | — | $ | (88,745 | ) | |||||||||||
USD | 1,100 | 01/15/2028 | 1.208% | 3 Month LIBOR | Semi-Annual/ Quarterly | 116,583 | — | 116,583 | ||||||||||||||||
USD | 1,250 | 01/15/2031 | 1.2405% | 3 Month LIBOR | Semi-Annual/ Quarterly | 184,191 | — | 184,191 | ||||||||||||||||
USD | 1,650 | 04/15/2032 | 1.2835% | 1 Day SOFR | Annual | 227,976 | — | 227,976 | ||||||||||||||||
USD | 800 | 02/15/2041 | 1 Day SOFR | 1.7695% | Annual | (126,912 | ) | — | (126,912 | ) | ||||||||||||||
USD | 380 | 02/15/2041 | 1 Day SOFR | 1.715% | Annual | (63,339 | ) | — | (63,339 | ) | ||||||||||||||
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$ | 249,754 | $ | — | $ | 249,754 | |||||||||||||||||||
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INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Citibank, NA | USD | 1,140 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 102,682 | $ | — | $ | 102,682 |
* | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
(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 August 31, 2022, the aggregate market value of these securities amounted to $2,657,457 or 4.9% of net assets. |
(b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at August 31, 2022. |
(c) | When-Issued or delayed delivery security. |
(d) | Affiliated investments. |
(e) | The rate shown represents the 7-day yield as of period end. |
(f) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(g) | As of August 31, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $2,081,471 and gross unrealized depreciation of investments was $(3,059,290), resulting in net unrealized depreciation of $(977,819). |
As of August 31, 2022, 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 3.8% and 0.3%, respectively.
Glossary:
AGM – Assured Guaranty Municipal
COP – Certificate of Participation
CPI – Consumer Price Index
ETM – Escrowed to Maturity
LIBOR – London Interbank Offered Rate
MUNIPSA – SIFMA Municipal Swap Index
SOFR – Secured Overnight Financing Rate
UPMC – University of Pittsburgh Medical Center
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AB Municipal Income Fund II
AB Pennsylvania Portfolio
August 31, 2022 (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.
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.
8
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of August 31, 2022:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
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Long-Term Municipal Bonds | $ | — | $ | 52,698,710 | $ | — | $ | 52,698,710 | ||||||||
Short-Term Investments | 994,917 | — | — | 994,917 | ||||||||||||
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Total Investments in Securities | 994,917 | 52,698,710 | — | 53,693,627 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 978,800 | — | 978,800 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 528,750 | — | 528,750 | ||||||||||||
Interest Rate Swaps | — | 102,682 | — | 102,682 | ||||||||||||
Liabilities: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (266,116 | ) | — | (266,116 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (278,996 | ) | — | (278,996 | ) | ||||||||||
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Total | $ | 994,917 | $ | 53,763,830 | $ | — | $ | 54,758,747 | ||||||||
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(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
A summary of the Portfolio’s transactions in AB mutual funds for the three months ended August 31, 2022 is as follows:
Fund | Market Value 05/31/2022 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 08/31/2022 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 357 | $ | 3,096 | $ | 2,458 | $ | 995 | $ | 2 |
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