AB Municipal Income Fund II
AB New Jersey Portfolio
Portfolio of Investments
August 31, 2022 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS – 100.2% | ||||||||
Long-Term Municipal Bonds – 100.2% | ||||||||
New Jersey – 85.3% | ||||||||
City of Jersey City NJ | $ | 500 | $ | 551,782 | ||||
5.00%, 11/01/2037 | 1,000 | 1,088,056 | ||||||
Essex County Improvement Authority (Friends of TEAM Academy Charter School Obligated Group) | 500 | 423,905 | ||||||
Hudson County Improvement Authority (County of Hudson NJ) | 1,400 | 1,486,031 | ||||||
Morris-Union Jointure Commission (Morris-Union Jointure Commission COP) | 2,320 | 2,370,020 | ||||||
New Jersey Economic Development Authority (Bancroft Neurohealth Obligated Group) | 1,000 | 1,004,669 | ||||||
New Jersey Economic Development Authority (NJ Metromall Urban Renewal, Inc.) | 961 | 972,415 | ||||||
New Jersey Economic Development Authority (North Star Academy Charter School of Newark, Inc.) | 1,000 | 1,032,290 | ||||||
New Jersey Economic Development Authority (NYNJ Link Borrower LLC) | 1,000 | 1,023,026 | ||||||
5.50%, 01/01/2027 | 1,000 | 1,030,812 | ||||||
New Jersey Economic Development Authority (Port Newark Container Terminal LLC) | 2,500 | 2,557,243 | ||||||
New Jersey Economic Development Authority (Seeing Eye, Inc. (The)) | 1,765 | 1,868,314 | ||||||
New Jersey Economic Development Authority (United Airlines, Inc.) | 1,165 | 1,177,893 | ||||||
New Jersey Educational Facilities Authority (Kean University) | 2,500 | 2,632,670 | ||||||
New Jersey Educational Facilities Authority (Ramapo College of New Jersey) | 1,000 | 941,151 |
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Principal Amount (000) | U.S. $ Value | |||||||
New Jersey Educational Facilities Authority (Stevens Institute of Technology) | $ | 1,750 | $ | 1,806,469 | ||||
New Jersey Health Care Facilities Financing Authority | 3,000 | 2,916,792 | ||||||
New Jersey Health Care Facilities Financing Authority (Hackensack Meridian Health Obligated Group) | 1,950 | 2,062,843 | ||||||
New Jersey Health Care Facilities Financing Authority (Inspira Health Obligated Group) | 1,835 | 1,927,094 | ||||||
New Jersey Health Care Facilities Financing Authority (Valley Health System Obligated Group/NJ) | 2,500 | 2,426,509 | ||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Fed Hwy Grant) | 1,000 | 1,076,457 | ||||||
5.00%, 06/15/2029 | 1,750 | 1,880,009 | ||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease) | 1,250 | 1,288,488 | ||||||
Series 2018-A | 1,750 | 1,850,227 | ||||||
Series 2020-A | 1,415 | 1,300,642 | ||||||
Series 2022-A | 1,000 | 1,109,350 | ||||||
New Jersey Turnpike Authority | 680 | 725,780 | ||||||
Series 2020-D | 1,350 | 1,464,080 | ||||||
North Hudson Sewerage Authority/NJ | 1,625 | 1,539,538 | ||||||
Rahway Valley Sewerage Authority (The) | 3,445 | 2,088,884 | ||||||
Tobacco Settlement Financing Corp./NJ | 2,675 | 2,694,717 | ||||||
Union County Improvement Authority (Township of Union NJ/Union County Lease) | 430 | 430,972 |
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Principal Amount (000) | U.S. $ Value | |||||||
Union County Utilities Authority (County of Union NJ Lease) | $ | 3,050 | $ | 3,055,102 | ||||
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51,804,230 | ||||||||
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American Samoa – 0.3% | ||||||||
American Samoa Economic Development Authority (Territory of American Samoa) | 145 | 167,018 | ||||||
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Arizona – 0.2% | ||||||||
Maricopa County Industrial Development Authority (Benjamin Franklin Charter School Ltd.) | 100 | 107,610 | ||||||
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Delaware – 3.4% | ||||||||
Delaware River & Bay Authority | 1,000 | 950,537 | ||||||
Series 2022 5.00%, 01/01/2032(b) | 1,000 | 1,142,012 | ||||||
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2,092,549 | ||||||||
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Florida – 0.2% | ||||||||
Palm Beach County Health Facilities Authority (Federation CCRC Operations Corp. Obligated Group) | 100 | 99,037 | ||||||
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Guam – 3.4% | ||||||||
Antonio B Won Pat International Airport Authority | 100 | 86,251 | ||||||
Guam Power Authority | 150 | 156,889 | ||||||
5.00%, 10/01/2040 | 655 | 680,524 | ||||||
Territory of Guam (Guam Section 30 Income Tax) | 720 | 729,814 | ||||||
Territory of Guam (Territory of Guam Business Privilege Tax) | 440 | 388,732 | ||||||
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2,042,210 | ||||||||
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Illinois – 0.5% | ||||||||
Chicago Board of Education | 305 | 319,803 | ||||||
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Principal Amount (000) | U.S. $ Value | |||||||
Louisiana – 0.2% | ||||||||
Parish of St. James LA (NuStar Logistics LP) | $ | 100 | $ | 110,670 | ||||
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Michigan – 0.1% | ||||||||
City of Detroit MI | 50 | 51,531 | ||||||
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Nevada – 0.1% | ||||||||
City of Reno NV (County of Washoe NV Sales Tax Revenue) | 500 | 66,560 | ||||||
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New York – 1.9% | ||||||||
Port Authority of New York & New Jersey | 1,100 | 1,135,285 | ||||||
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North Dakota – 0.2% | ||||||||
County of Grand Forks ND (Red River Biorefinery LLC) | 110 | 67,383 | ||||||
7.00%, 12/15/2043(a) | 110 | 64,740 | ||||||
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132,123 | ||||||||
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Ohio – 0.5% | ||||||||
Buckeye Tobacco Settlement Financing Authority | 335 | 318,582 | ||||||
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Puerto Rico – 2.3% | ||||||||
Commonwealth of Puerto Rico | 100 | 56,763 | ||||||
4.00%, 07/01/2033 | 100 | 93,460 | ||||||
4.00%, 07/01/2046 | 100 | 84,555 | ||||||
5.25%, 07/01/2023 | 18 | 17,761 | ||||||
5.625%, 07/01/2029 | 100 | 107,519 | ||||||
Puerto Rico Electric Power Authority AGM | 155 | 156,905 | ||||||
Puerto Rico Highway & Transportation Authority | 145 | 146,810 | ||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (AES Puerto Rico LP) | 300 | 310,842 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 104 | 79,531 | ||||||
Series 2019-A | 70 | 67,954 | ||||||
5.00%, 07/01/2058 | 305 | 295,120 | ||||||
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1,417,220 | ||||||||
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Principal Amount (000) | U.S. $ Value | |||||||
Tennessee – 0.4% | ||||||||
Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax) | $ | 145 | $ | 145,319 | ||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board (Trousdale Foundation Obligated Group) | 260 | 97,760 | ||||||
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243,079 | ||||||||
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Texas – 0.4% | ||||||||
Mission Economic Development Corp. (Natgasoline LLC) | 245 | 248,401 | ||||||
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Washington – 0.5% | ||||||||
Kalispel Tribe of Indians | 210 | 225,465 | ||||||
Washington State Convention Center Public Facilities District (Washington State Convention Center Public Facilities District Hotel Occupancy Tax) | 100 | 96,715 | ||||||
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322,180 | ||||||||
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Wisconsin – 0.3% | ||||||||
UMA Education, Inc. | 200 | 202,010 | ||||||
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Total Municipal Obligations | 60,880,098 | |||||||
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Shares | ||||||||
SHORT-TERM INVESTMENTS – 0.9% | ||||||||
Investment Companies – 0.9% | ||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 2.03%(e) (f) (g) | 514,780 | 514,780 | ||||||
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Total Investments – 101.1% | 61,394,878 | |||||||
Other assets less liabilities – (1.1)% | (646,662 | ) | ||||||
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Net Assets – 100.0% | $ | 60,748,216 | ||||||
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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 Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
USD | 465 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 47,388 | $ | — | $ | 47,388 | |||||||||||||||
USD | 233 | 01/15/2025 | 2.585% | CPI# | Maturity | 23,560 | — | 23,560 | ||||||||||||||||||
USD | 232 | 01/15/2025 | 2.613% | CPI# | Maturity | 23,204 | — | 23,204 | ||||||||||||||||||
USD | 870 | 01/15/2026 | CPI# | 3.611% | Maturity | (46,230 | ) | — | (46,230 | ) | ||||||||||||||||
USD | 800 | 01/15/2026 | CPI# | 3.766% | Maturity | (36,089 | ) | — | (36,089 | ) | ||||||||||||||||
USD | 2,070 | 01/15/2028 | 1.230% | CPI# | Maturity | 411,472 | — | 411,472 | ||||||||||||||||||
USD | 1,640 | 01/15/2028 | 0.735% | CPI# | Maturity | 385,045 | — | 385,045 | ||||||||||||||||||
USD | 3,470 | 01/15/2029 | CPI# | 3.406% | Maturity | (136,465 | ) | — | (136,465 | ) | ||||||||||||||||
USD | 530 | 01/15/2029 | CPI# | 3.735% | Maturity | (6,105 | ) | — | (6,105 | ) | ||||||||||||||||
USD | 240 | 01/15/2029 | CPI# | 3.408% | Maturity | (9,398 | ) | — | (9,398 | ) | ||||||||||||||||
USD | 225 | 01/15/2030 | 1.572% | CPI# | Maturity | 42,936 | — | 42,936 | ||||||||||||||||||
USD | 225 | 01/15/2030 | 1.587% | CPI# | Maturity | 42,624 | — | 42,624 | ||||||||||||||||||
USD | 450 | 01/15/2031 | 2.782% | CPI# | Maturity | 38,684 | — | 38,684 | ||||||||||||||||||
USD | 370 | 01/15/2031 | 2.680% | CPI# | Maturity | 35,567 | — | 35,567 | ||||||||||||||||||
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$ | 816,193 | $ | — | $ | 816,193 | |||||||||||||||||||||
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# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
USD | 8,300 | 01/15/2027 | 1 Day SOFR | 2.482% | Annual | $ | (179,615 | ) | $ | — | $ | (179,615 | ) | |||||||||||
USD | 3,000 | 01/15/2029 | 1.370% | 3 Month LIBOR | Semi-Annual/ Quarterly | 333,853 | — | 333,853 | ||||||||||||||||
USD | 1,650 | 01/15/2031 | 1.456% | 3 Month LIBOR | Semi-Annual/ Quarterly | 216,228 | 32,660 | 183,568 | ||||||||||||||||
USD | 1,350 | 01/15/2031 | 1.270% | 3 Month LIBOR | Semi-Annual/ Quarterly | 195,695 | — | 195,695 | ||||||||||||||||
USD | 1,000 | 01/15/2031 | 1.240% | 3 Month LIBOR | Semi-Annual/ Quarterly | 147,427 | — | 147,427 | ||||||||||||||||
USD | 2,450 | 04/15/2032 | 1.284% | 1 Day SOFR | Annual | 338,511 | — | 338,511 | ||||||||||||||||
USD | 900 | 02/15/2036 | 1 Day SOFR | 2.286% | Annual | (62,457 | ) | — | (62,457 | ) | ||||||||||||||
USD | 700 | 02/15/2041 | 1 Day SOFR | 1.770% | Annual | (111,048 | ) | — | (111,048 | ) | ||||||||||||||
USD | 600 | 02/15/2041 | 1 Day SOFR | 1.657% | Annual | (105,188 | ) | — | (105,188 | ) | ||||||||||||||
USD | 490 | 02/15/2041 | 1 Day SOFR | 1.715% | Annual | (81,674 | ) | — | (81,674 | ) | ||||||||||||||
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$ | 691,732 | $ | 32,660 | $ | 659,072 | |||||||||||||||||||
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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 | 1,235 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 111,239 | $ | — | $ | 111,239 |
* | 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 $1,502,936 or 2.5% of net assets. |
(b) | When-Issued or delayed delivery security. |
(c) | Non-income producing security. |
(d) | Defaulted. |
(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 $3,093,449 and gross unrealized depreciation of investments was $(3,019,878), resulting in net unrealized appreciation of $73,571. |
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 10.0% and 0.0%, respectively.
Glossary:
AGM – Assured Guaranty Municipal
CCRC – Congregate Care Retirement Center
COP – Certificate of Participation
CPI – Consumer Price Index
LIBOR – London Interbank Offered Rate
SOFR – Secured Overnight Financing Rate
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AB Municipal Income Fund II
AB New Jersey 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.
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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 | $ | — | $ | 60,880,098 | $ | — | $ | 60,880,098 | ||||||||
Short-Term Investments | 514,780 | — | — | 514,780 | ||||||||||||
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Total Investments in Securities | 514,780 | 60,880,098 | — | 61,394,878 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 1,050,480 | — | 1,050,480 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 1,231,714 | — | 1,231,714 | ||||||||||||
Interest Rate Swaps | — | 111,239 | — | 111,239 | ||||||||||||
Liabilities: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (234,287 | ) | — | (234,287 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (539,982 | ) | — | (539,982 | ) | ||||||||||
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Total | $ | 514,780 | $ | 62,499,262 | $ | — | $ | 63,014,042 | ||||||||
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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 | $ | 1,284 | $ | 3,125 | $ | 3,894 | $ | 515 | $ | 4 |
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