AB Municipal Income Fund II
AB Ohio Portfolio
Portfolio of Investments
August 31, 2022 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS – 106.5% | ||||||||
Long-Term Municipal Bonds – 106.5% | ||||||||
Ohio – 93.3% | ||||||||
Akron Bath Copley Joint Township Hospital District (Summa Health System Obligated Group) | $ | 1,000 | $ | 945,563 | ||||
American Municipal Power, Inc. | 2,000 | 2,109,330 | ||||||
Series 2019 | 1,000 | 973,817 | ||||||
Buckeye Tobacco Settlement Financing Authority | 1,245 | 1,183,983 | ||||||
City of Chillicothe OH (Adena Health System Obligated Group) | 505 | 465,329 | ||||||
5.00%, 12/01/2037 | 1,700 | 1,776,481 | ||||||
City of Cleveland OH | 25 | 25,142 | ||||||
City of Middleburg Heights OH (Southwest General Health Center Obligated Group) | 1,100 | 1,034,780 | ||||||
Cleveland Department of Public Utilities Division of Public Power | 1,100 | 1,205,831 | ||||||
Cleveland Municipal School District | 3,000 | 3,033,859 | ||||||
Cleveland-Cuyahoga County Port Authority (Cleveland-Cuyahoga County Port Authority Flats East Bank TIF District) | 500 | 415,128 | ||||||
County of Allen/OH Hospital Facilities Revenue (Bon Secours Mercy Health, Inc.) | 1,650 | 1,734,280 | ||||||
Series 2020 | 1,370 | 1,343,667 | ||||||
County of Cuyahoga OH (MetroHealth System (The)) | 1,400 | 1,445,104 | ||||||
County of Darke OH (Wayne Hospital Co. Obligated Group) | 190 | 172,934 | ||||||
County of Franklin OH (Agler Green LP) | 770 | 771,350 | ||||||
5.80%, 05/20/2044 | 1,150 | 1,151,443 |
1
Principal Amount (000) | U.S. $ Value | |||||||
County of Franklin OH (First Community Village Obligated Group) | $ | 155 | $ | 132,430 | ||||
County of Hamilton OH (Life Enriching Communities Obligated Group) | 1,000 | 976,916 | ||||||
County of Hamilton OH Sewer System Revenue | 4,305 | 4,442,010 | ||||||
County of Hardin OH (Ohio Northern University) | 500 | 475,113 | ||||||
County of Marion OH (United Church Homes, Inc. Obligated Group) | 200 | 194,356 | ||||||
County of Montgomery OH (Dayton Children’s Hospital Obligated Group) | 1,000 | 983,658 | ||||||
County of Montgomery OH (Trousdale Foundation Obligated Group) | 450 | 169,200 | ||||||
County of Scioto OH (Southern Ohio Medical Center Obligated Group) | 1,000 | 1,035,472 | ||||||
Jefferson County Port Authority/OH (JSW Steel USA Ohio, Inc.) | 550 | 407,567 | ||||||
Miami University/Oxford OH | 1,000 | 1,118,771 | ||||||
Series 2021-A | 800 | 901,535 | ||||||
Ohio Air Quality Development Authority (Duke Energy Corp.) | 1,000 | 1,019,616 | ||||||
Ohio Air Quality Development Authority (Ohio Valley Electric Corp.) | 640 | 616,835 | ||||||
Series 2021 | 1,000 | 927,082 | ||||||
Ohio Higher Educational Facility Commission (Ashtabula County Medical Center Obligated Group) | 1,000 | 1,054,804 | ||||||
5.25%, 01/01/2052 | 1,000 | 1,048,548 |
2
Principal Amount (000) | U.S. $ Value | |||||||
Ohio Higher Educational Facility Commission (Case Western Reserve University) | $ | 3,000 | $ | 3,049,615 | ||||
Ohio Higher Educational Facility Commission (John Carroll University) | 2,000 | 1,813,852 | ||||||
Ohio Higher Educational Facility Commission (Kenyon College) | 320 | 335,518 | ||||||
5.00%, 07/01/2042 | 3,045 | 3,151,366 | ||||||
Ohio Higher Educational Facility Commission (University of Dayton) | 2,000 | 2,170,696 | ||||||
Ohio Turnpike & Infrastructure Commission | 2,000 | 2,251,564 | ||||||
Port of Greater Cincinnati Development Authority (St. Xavier High School, Inc./OH) | 415 | 396,620 | ||||||
State of Ohio (Premier Health Partners Obligated Group) | 1,310 | 1,198,448 | ||||||
4.00%, 11/15/2041 | 725 | 658,279 | ||||||
Summit County Development Finance Authority | 2,015 | 2,028,135 | ||||||
Summit County Development Finance Authority (Summit County Development Finance Authority Lease) | 615 | 618,963 | ||||||
Toledo-Lucas County Port Authority (ParkUToledo, Inc.) | 1,000 | 850,869 | ||||||
University of Akron (The) | 3,080 | 3,152,913 | ||||||
|
| |||||||
56,968,772 | ||||||||
|
| |||||||
American Samoa – 0.2% | ||||||||
American Samoa Economic Development Authority (Territory of American Samoa) | 140 | 161,259 | ||||||
|
|
3
Principal Amount (000) | U.S. $ Value | |||||||
Arizona – 0.2% | ||||||||
Maricopa County Industrial Development Authority (Benjamin Franklin Charter School Ltd.) | $ | 100 | $ | 107,610 | ||||
|
| |||||||
California – 0.4% | ||||||||
California Pollution Control Financing Authority (Poseidon Resources Channelside LP) | 220 | 220,497 | ||||||
State of California | 5 | 5,013 | ||||||
|
| |||||||
225,510 | ||||||||
|
| |||||||
Connecticut – 0.7% | ||||||||
Connecticut State Health & Educational Facilities Authority (University of New Haven, Inc.) | 415 | 416,874 | ||||||
|
| |||||||
Florida – 2.2% | ||||||||
County of Miami-Dade FL Aviation Revenue | 1,300 | 1,337,758 | ||||||
|
| |||||||
Georgia – 0.2% | ||||||||
Municipal Electric Authority of Georgia | 100 | 101,441 | ||||||
|
| |||||||
Guam – 2.5% | ||||||||
Antonio B Won Pat International Airport Authority | 100 | 86,251 | ||||||
Series 2023 | 100 | 100,964 | ||||||
Guam Government Waterworks Authority | 615 | 632,407 | ||||||
Guam Power Authority | 150 | 156,889 | ||||||
5.00%, 10/01/2038 | 540 | 562,782 | ||||||
|
| |||||||
1,539,293 | ||||||||
|
| |||||||
Indiana – 0.1% | ||||||||
Indiana Finance Authority (Brightmark Plastics Renewal Indiana LLC) | 110 | 87,621 | ||||||
|
| |||||||
Kansas – 0.4% | ||||||||
Wyandotte County-Kansas City Unified Government (Wyandotte County-Kansas City Unified Government Sales Tax) | 275 | 257,850 | ||||||
|
|
4
Principal Amount (000) | U.S. $ Value | |||||||
Michigan – 0.1% | ||||||||
City of Detroit MI | $ | 50 | $ | 51,531 | ||||
|
| |||||||
New York – 1.8% | ||||||||
Metropolitan Transportation Authority | 1,000 | 1,079,125 | ||||||
|
| |||||||
North Carolina – 0.6% | ||||||||
North Carolina Medical Care Commission (Pennybyrn at Maryfield) | 375 | 375,351 | ||||||
|
| |||||||
Puerto Rico – 1.7% | ||||||||
Commonwealth of Puerto Rico | 78 | 72,053 | ||||||
4.00%, 07/01/2033 | 100 | 93,460 | ||||||
5.25%, 07/01/2023 | 18 | 17,761 | ||||||
5.625%, 07/01/2029 | 100 | 107,519 | ||||||
Puerto Rico Electric Power Authority | 100 | 101,229 | ||||||
Puerto Rico Highway & Transportation Authority | 120 | 121,769 | ||||||
5.25%, 07/01/2036 | 120 | 121,498 | ||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (AES Puerto Rico LP) | 255 | 264,216 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 100 | 76,472 | ||||||
Series 2019-A | 70 | 67,954 | ||||||
|
| |||||||
1,043,931 | ||||||||
|
| |||||||
Tennessee – 0.2% | ||||||||
Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax) | 125 | 125,275 | ||||||
|
| |||||||
Texas – 1.9% | ||||||||
City of Houston TX Airport System Revenue (United Airlines, Inc.) | 215 | 221,374 | ||||||
Mission Economic Development Corp. (Natgasoline LLC) | 215 | 217,984 |
5
Principal Amount (000) | U.S. $ Value | |||||||
North Texas Tollway Authority (North Texas Tollway System) | $ | 700 | $ | 732,792 | ||||
|
| |||||||
1,172,150 | ||||||||
|
| |||||||
Total Municipal Obligations | 65,051,351 | |||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS – 0.7% | ||||||||
Investment Companies – 0.7% | ||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 2.03%(e) (f) (g) | 398,258 | 398,258 | ||||||
|
| |||||||
Total Investments – 107.2% | 65,449,609 | |||||||
Other assets less liabilities – (7.2)% | (4,381,880 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 61,067,729 | ||||||
|
|
CENTRALLY CLEARED INFLATION (CPI) SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
USD | 460 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 46,879 | $ | — | $ | 46,879 | |||||||||||||
USD | 230 | 01/15/2025 | 2.585% | CPI# | Maturity | 23,256 | — | 23,256 | ||||||||||||||||
USD | 230 | 01/15/2025 | 2.613% | CPI# | Maturity | 23,004 | — | 23,004 | ||||||||||||||||
USD | 150 | 01/15/2025 | 4.028% | CPI# | Maturity | 6,371 | — | 6,371 | ||||||||||||||||
USD | 1,070 | 01/15/2026 | CPI# | 3.720% | Maturity | (50,824 | ) | — | (50,824 | ) | ||||||||||||||
USD | 700 | 01/15/2027 | CPI# | 3.320% | Maturity | (43,694 | ) | — | (43,694 | ) | ||||||||||||||
USD | 670 | 01/15/2027 | CPI# | 3.466% | Maturity | (35,772 | ) | (797 | ) | (34,975 | ) | |||||||||||||
USD | 530 | 01/15/2027 | CPI# | 3.323% | Maturity | (32,984 | ) | — | (32,984 | ) | ||||||||||||||
USD | 2,020 | 01/15/2028 | 1.230% | CPI# | Maturity | 401,533 | — | 401,533 | ||||||||||||||||
USD | 1,520 | 01/15/2028 | 0.735% | CPI# | Maturity | 356,871 | — | 356,871 | ||||||||||||||||
USD | 1,280 | 01/15/2029 | CPI# | 3.390% | Maturity | (52,050 | ) | — | (52,050 | ) | ||||||||||||||
USD | 770 | 01/15/2029 | CPI# | 3.735% | Maturity | (8,869 | ) | — | (8,869 | ) | ||||||||||||||
USD | 390 | 01/15/2029 | CPI# | 3.290% | Maturity | (19,104 | ) | — | (19,104 | ) | ||||||||||||||
USD | 180 | 01/15/2030 | 1.572% | CPI# | Maturity | 34,349 | — | 34,349 | ||||||||||||||||
USD | 180 | 01/15/2030 | 1.587% | CPI# | Maturity | 34,099 | — | 34,099 | ||||||||||||||||
USD | 400 | 01/15/2031 | 2.782% | CPI# | Maturity | 34,386 | — | 34,386 | ||||||||||||||||
USD | 380 | 01/15/2031 | 2.680% | CPI# | Maturity | 36,528 | — | 36,528 | ||||||||||||||||
USD | 320 | 01/15/2031 | 2.989% | CPI# | Maturity | 20,835 | — | 20,835 | ||||||||||||||||
USD | 320 | 01/15/2032 | CPI# | 3.064% | Maturity | (16,811 | ) | — | (16,811 | ) | ||||||||||||||
USD | 340 | 04/15/2032 | CPI# | 2.909% | Maturity | (22,474 | ) | — | (22,474 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 735,529 | $ | (797 | ) | $ | 736,326 | ||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
6
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
USD | 2,600 | 01/15/2027 | 1 Day SOFR | 2.438% | Annual | $ | (61,934 | ) | $ | — | $ | (61,934 | ) | |||||||||||
USD | 2,600 | 01/15/2027 | 1 Day SOFR | 2.518% | Annual | (65,312 | ) | — | (65,312 | ) | ||||||||||||||
USD | 1,100 | 01/15/2027 | 1 Day SOFR | 2.448% | Annual | (25,737 | ) | — | (25,737 | ) | ||||||||||||||
USD | 1,000 | 01/15/2027 | 1 Day SOFR | 2.540% | Annual | (24,207 | ) | — | (24,207 | ) | ||||||||||||||
USD | 3,300 | 01/15/2028 | 1.468% | 1 Day SOFR | Annual | 247,002 | — | 247,002 | ||||||||||||||||
USD | 1,000 | 01/15/2031 | 1.427% | 3 Month LIBOR | Semi-Annual/ Quarterly | 133,039 | — | 133,039 | ||||||||||||||||
USD | 600 | 01/15/2031 | 1.323% | 3 Month LIBOR | Semi-Annual/ Quarterly | 84,610 | — | 84,610 | ||||||||||||||||
USD | 1,500 | 04/15/2032 | 2.773% | 1 Day SOFR | Annual | 14,612 | — | 14,612 | ||||||||||||||||
USD | 500 | 04/15/2032 | 3.069% | 1 Day SOFR | Annual | (6,692 | ) | — | (6,692 | ) | ||||||||||||||
USD | 400 | 04/15/2032 | 3.082% | 1 Day SOFR | Annual | (5,781 | ) | — | (5,781 | ) | ||||||||||||||
USD | 250 | 02/15/2041 | 1 Day SOFR | 1.657% | Annual | (43,828 | ) | — | (43,828 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 245,772 | $ | — | $ | 245,772 | |||||||||||||||||||
|
|
|
|
|
|
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 | 1,175 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 105,835 | $ | — | $ | 105,835 |
* | 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 $1,912,141 or 3.1% of net assets. |
(b) | Non-income producing security. |
(c) | Defaulted. |
(d) | When-Issued or delayed delivery security. |
(e) | Affiliated investments. |
(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. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(g) | The rate shown represents the 7-day yield as of period end. |
(h) | 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 $1,876,816 and gross unrealized depreciation of investments was $(3,743,926), resulting in net unrealized depreciation of $(1,867,110). |
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 2.0% and 0.0%, respectively.
Glossary:
AGM – Assured Guaranty Municipal
CPI – Consumer Price Index
ETM – Escrowed to Maturity
LIBOR – London Interbank Offered Rate
SOFR – Secured Overnight Financing Rate
7
AB Municipal Income Fund II
AB Ohio 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: | ||||||||||||||||
Long-Term Municipal Bonds | $ | — | $ | 65,051,351 | $ | — | $ | 65,051,351 | ||||||||
Short-Term Investments | 398,258 | — | — | 398,258 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 398,258 | 65,051,351 | — | 65,449,609 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 1,018,111 | — | 1,018,111 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 479,263 | — | 479,263 | ||||||||||||
Interest Rate Swaps | — | 105,835 | — | 105,835 | ||||||||||||
Liabilities: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (282,582 | ) | — | (282,582 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (233,491 | ) | — | (233,491 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 398,258 | $ | 66,138,487 | $ | — | $ | 66,536,745 | ||||||||
|
|
|
|
|
|
|
|
(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 | Market Value 08/31/2022 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 3,383 | $ | 3,180 | $ | 6,165 | $ | 398 | $ | 4 |
9