AB Municipal Income Fund II
AB Arizona Portfolio
Portfolio of Investments
August 31, 2022 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS – 97.5% | ||||||||
Long-Term Municipal Bonds – 97.5% | ||||||||
Arizona – 84.2% | ||||||||
Arizona Game & Fish Department & Commission (Arizona Game & Fish Department & Commission State Lease) | $ | 825 | $ | 826,712 | ||||
Arizona Health Facilities Authority (HonorHealth) | 3,000 | 3,118,803 | ||||||
Arizona Industrial Development Authority | 1,026 | 991,976 | ||||||
Arizona Industrial Development Authority (Equitable School Revolving Fund LLC Obligated Group) | 1,000 | 917,372 | ||||||
4.00%, 11/01/2050 | 2,000 | 1,797,401 | ||||||
Arizona Industrial Development Authority (KIPP Nashville Obligated Group) | 1,500 | 1,482,030 | ||||||
Arizona Industrial Development Authority (Kipp New York, Inc. Jerome Facility) | 1,000 | 837,011 | ||||||
Arizona Industrial Development Authority (Legacy Cares, Inc.) | 300 | 318,910 | ||||||
Arizona Industrial Development Authority (North Carolina Central University Project) | 2,300 | 2,431,461 | ||||||
Arizona Industrial Development Authority (Phoenix Children’s Hospital Obligated Group) | 1,500 | 1,617,450 | ||||||
Series 2021 | 1,500 | 1,470,904 | ||||||
Arizona Industrial Development Authority (Pinecrest Academy of Nevada) | 600 | 492,106 | ||||||
Arizona Industrial Development Authority (Provident Group - EMU Properties LLC) | 1,000 | 782,221 | ||||||
5.00%, 05/01/2048 | 1,100 | 833,024 | ||||||
Arizona Sports & Tourism Authority | 2,000 | 2,249,823 |
1
Principal Amount (000) | U.S. $ Value | |||||||
Arizona State University | $ | 2,050 | $ | 2,124,382 | ||||
City of Buckeye AZ (Town of Buckeye AZ Excise Tax) | 3,450 | 3,636,226 | ||||||
City of Glendale AZ (City of Glendale AZ COP) | 2,000 | 1,693,971 | ||||||
City of Mesa AZ Utility System Revenue | 1,000 | 1,031,635 | ||||||
City of Phoenix Civic Improvement Corp. (City of Phoenix AZ Water System Revenue) | 1,500 | 1,639,915 | ||||||
City of Phoenix Civic Improvement Corp. (Phoenix Sky Harbor International Airport) | 750 | 797,851 | ||||||
Series 2019 | 2,500 | 2,639,948 | ||||||
Series 2019-B | 3,000 | 2,886,413 | ||||||
4.00%, 07/01/2038 | 1,160 | 1,103,413 | ||||||
City of Tempe AZ (City of Tempe AZ COP) | 1,250 | 1,039,995 | ||||||
County of Pinal AZ | 2,840 | 2,951,111 | ||||||
Gilbert Water Resource Municipal Property Corp. (Town of Gilbert AZ Waterworks & Sewer System Revenue) | 5,000 | 4,971,105 | ||||||
Glendale Industrial Development Authority (Beatitudes Campus Obligated Group (The)) | 1,000 | 955,822 | ||||||
Glendale Industrial Development Authority (Royal Oaks Life Care Community) | 1,000 | 996,562 | ||||||
Glendale Municipal Property Corp. (Glendale Municipal Property Corp. Excise Tax) | 2,500 | 2,516,885 | ||||||
Industrial Development Authority of the City of Phoenix (The) (Downtown Phoenix Student Housing LLC) | 1,000 | 1,016,100 | ||||||
5.00%, 07/01/2042 | 1,250 | 1,258,709 |
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Principal Amount (000) | U.S. $ Value | |||||||
Industrial Development Authority of the City of Phoenix (The) (JMF-Higley 2012 LLC) | $ | 2,500 | $ | 2,509,800 | ||||
Industrial Development Authority of the County of Pima (The) (TMC HealthCare Obligated Group) | 1,590 | 1,723,530 | ||||||
La Paz County Industrial Development Authority (Harmony Public Schools) | 1,200 | 1,213,948 | ||||||
Series 2021 | 580 | 463,138 | ||||||
4.00%, 02/15/2041 | 205 | 176,154 | ||||||
4.00%, 02/15/2046 | 345 | 283,540 | ||||||
Maricopa County Industrial Development Authority (Arizona Autism Charter Schools Obligated Group) | 990 | 745,195 | ||||||
Maricopa County Industrial Development Authority (Banner Health Obligated Group) | 1,400 | 1,495,148 | ||||||
5.00%, 01/01/2035 | 2,000 | 2,121,842 | ||||||
Maricopa County Industrial Development Authority (Benjamin Franklin Charter School Ltd.) | 830 | 893,167 | ||||||
Maricopa County Industrial Development Authority (Commercial Metals Co.) | 500 | 433,410 | ||||||
Maricopa County Industrial Development Authority (GreatHearts Arizona Obligated Group) | 750 | 786,011 | ||||||
Maricopa County Industrial Development Authority (Reid Traditional Schools Obligated Group) | 1,700 | 1,721,583 | ||||||
Maricopa County Industrial Development Authority (Reid Traditional Schools Painted Rock Academy) | 750 | 769,304 | ||||||
Maricopa County Special Health Care District | 3,000 | 3,287,030 | ||||||
5.00%, 07/01/2036 | 1,700 | 1,855,565 | ||||||
McAllister Academic Village LLC (Arizona State University) | 2,500 | 2,656,810 | ||||||
Northern Arizona University | 1,000 | 1,048,695 | ||||||
Salt Verde Financial Corp. (Citigroup, Inc.) | 2,500 | 2,637,054 | ||||||
5.25%, 12/01/2022 | 515 | 517,538 | ||||||
5.25%, 12/01/2023 | 650 | 664,994 |
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Principal Amount (000) | U.S. $ Value | |||||||
Student & Academic Services LLC (Northern Arizona University) | $ | 1,200 | $ | 1,234,607 | ||||
Tempe Industrial Development Authority (Friendship Village of Tempe) | 815 | 746,847 | ||||||
Tempe Industrial Development Authority (Mirabella at ASU, Inc.) | 400 | 379,174 | ||||||
University of Arizona (The) | 3,765 | 3,890,957 | ||||||
Western Maricopa Education Center District No. 402 | 1,765 | 1,815,283 | ||||||
4.50%, 07/01/2034 | 2,175 | 2,235,394 | ||||||
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91,732,965 | ||||||||
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American Samoa – 0.2% | ||||||||
American Samoa Economic Development Authority (Territory of American Samoa) | 225 | 259,165 | ||||||
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Delaware – 0.5% | ||||||||
Delaware State Economic Development Authority (Newark Charter School, Inc.) | 520 | 537,127 | ||||||
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Georgia – 0.2% | ||||||||
Municipal Electric Authority of Georgia | 200 | 206,275 | ||||||
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Guam – 3.1% | ||||||||
Antonio B Won Pat International Airport Authority | 100 | 86,252 | ||||||
Series 2023 | 150 | 151,446 | ||||||
Guam Department of Education (Guam Department of Education COP) | 310 | 305,703 | ||||||
Guam Government Waterworks Authority | 775 | 796,936 | ||||||
Guam Power Authority | 170 | 177,807 | ||||||
5.00%, 10/01/2040 | 705 | 732,472 | ||||||
Series 2022-A | 200 | 207,594 |
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Principal Amount (000) | U.S. $ Value | |||||||
Territory of Guam | $ | 90 | $ | 91,726 | ||||
Territory of Guam (Territory of Guam Business Privilege Tax) | 1,000 | 883,482 | ||||||
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3,433,418 | ||||||||
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Illinois – 0.3% | ||||||||
Chicago Board of Education | 335 | 351,259 | ||||||
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Indiana – 0.2% | ||||||||
Indiana Finance Authority (Brightmark Plastics Renewal Indiana LLC) | 145 | 115,500 | ||||||
Indiana Finance Authority (Ohio Valley Electric Corp.) | 100 | 92,469 | ||||||
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207,969 | ||||||||
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Kentucky – 0.9% | ||||||||
Kentucky Economic Development Finance Authority (Owensboro Health, Inc. Obligated Group) | 1,000 | 1,024,173 | ||||||
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Louisiana – 0.6% | ||||||||
Louisiana Local Government Environmental Facilities & Community Development Auth (St. James Place of Baton Rouge) | 500 | 501,089 | ||||||
Parish of St. James LA (NuStar Logistics LP) | 100 | 110,671 | ||||||
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611,760 | ||||||||
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Michigan – 0.0% | ||||||||
City of Detroit MI | 50 | 51,531 | ||||||
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New York – 1.8% | ||||||||
Metropolitan Transportation Authority | 1,000 | 1,079,126 |
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Principal Amount (000) | U.S. $ Value | |||||||
New York State Dormitory Authority (Trustees of Columbia University in the City of New York (The)) | $ | 755 | $ | 892,571 | ||||
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1,971,697 | ||||||||
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North Carolina – 0.7% | ||||||||
North Carolina Medical Care Commission (Aldersgate United Methodist Retirement Community, Inc.) | 300 | 285,500 | ||||||
North Carolina Medical Care Commission (Pennybyrn at Maryfield) | 500 | 500,468 | ||||||
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785,968 | ||||||||
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Puerto Rico – 1.8% | ||||||||
Commonwealth of Puerto Rico | 1 | 896 | ||||||
Zero Coupon, 07/01/2033 | 144 | 81,587 | ||||||
4.00%, 07/01/2033 | 103 | 96,171 | ||||||
4.00%, 07/01/2035 | 3 | 2,390 | ||||||
4.00%, 07/01/2037 | 2 | 1,999 | ||||||
4.00%, 07/01/2041 | 3 | 2,647 | ||||||
4.00%, 07/01/2046 | 103 | 87,230 | ||||||
5.25%, 07/01/2023 | 32 | 32,090 | ||||||
5.375%, 07/01/2025 | 3 | 3,331 | ||||||
5.625%, 07/01/2027 | 203 | 215,365 | ||||||
5.625%, 07/01/2029 | 3 | 3,386 | ||||||
5.75%, 07/01/2031 | 3 | 3,349 | ||||||
Series 2022-C | 20 | 10,380 | ||||||
Puerto Rico Electric Power Authority | 100 | 101,229 | ||||||
Puerto Rico Highway & Transportation Authority | 130 | 131,916 | ||||||
5.25%, 07/01/2036 | 130 | 131,623 | ||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (AES Puerto Rico LP) | 345 | 357,469 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 130 | 99,414 | ||||||
Series 2019-A | 105 | 101,931 | ||||||
5.00%, 07/01/2058 | 480 | 464,451 | ||||||
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1,928,854 | ||||||||
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Principal Amount (000) | U.S. $ Value | |||||||
Tennessee – 0.2% | ||||||||
Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax) | $ | 165 | $ | 165,363 | ||||
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Texas – 2.5% | ||||||||
Mission Economic Development Corp. (Natgasoline LLC) | 290 | 294,025 | ||||||
North Texas Tollway Authority (North Texas Tollway System) | 1,000 | 1,043,626 | ||||||
Series 2015-B | 1,300 | 1,360,899 | ||||||
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2,698,550 | ||||||||
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Washington – 0.3% | ||||||||
Kalispel Tribe of Indians | 225 | 241,569 | ||||||
Washington State Housing Finance Commission (Presbyterian Retirement Communities Northwest Obligated Group) | 100 | 85,413 | ||||||
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326,982 | ||||||||
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Total Municipal Obligations | 106,293,056 | |||||||
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Shares | ||||||||
SHORT-TERM INVESTMENTS – 1.5% | ||||||||
Investment Companies – 1.5% | ||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 2.03%(c) (d) (e) | 1,609,970 | 1,609,970 | ||||||
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Total Investments – 99.0% | 107,903,026 | |||||||
Other assets less liabilities – 1.0% | 1,081,367 | |||||||
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Net Assets – 100.0% | $ | 108,984,393 | ||||||
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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 | 740 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 75,414 | $ | — | $ | 75,414 | |||||||||||||||||
USD | 370 | 01/15/2025 | 2.585% | CPI# | Maturity | 37,412 | — | 37,412 | ||||||||||||||||||||
USD | 370 | 01/15/2025 | 2.613% | CPI# | Maturity | 37,007 | — | 37,007 | ||||||||||||||||||||
USD | 240 | 01/15/2025 | 4.028% | CPI# | Maturity | 10,193 | — | 10,193 | ||||||||||||||||||||
USD | 1,150 | 01/15/2026 | CPI# | 0.037 | Maturity | (54,623 | ) | — | (54,623 | ) | ||||||||||||||||||
USD | 1,150 | 01/15/2027 | CPI# | 0.033 | Maturity | (71,782 | ) | — | (71,782 | ) | ||||||||||||||||||
USD | 1,150 | 01/15/2027 | CPI# | 0.035 | Maturity | (61,400 | ) | (1,370 | ) | (60,030 | ) | |||||||||||||||||
USD | 900 | 01/15/2027 | CPI# | 0.033 | Maturity | (56,011 | ) | — | (56,011 | ) | ||||||||||||||||||
USD | 2,840 | 01/15/2028 | 1.230% | CPI# | Maturity | 564,531 | — | 564,531 | ||||||||||||||||||||
USD | 2,140 | 01/15/2028 | 0.735% | CPI# | Maturity | 502,436 | — | 502,436 | ||||||||||||||||||||
USD | 2,200 | 01/15/2029 | CPI# | 0.034 | Maturity | (89,460 | ) | — | (89,460 | ) | ||||||||||||||||||
USD | 1,330 | 01/15/2029 | CPI# | 0.037 | Maturity | (15,320 | ) | — | (15,320 | ) | ||||||||||||||||||
USD | 640 | 01/15/2029 | CPI# | 0.033 | Maturity | (31,351 | ) | — | (31,351 | ) | ||||||||||||||||||
USD | 510 | 01/15/2030 | 1.572% | CPI# | Maturity | 97,322 | — | 97,322 | ||||||||||||||||||||
USD | 510 | 01/15/2030 | 1.587% | CPI# | Maturity | 96,614 | — | 96,614 | ||||||||||||||||||||
USD | 650 | 01/15/2031 | 2.782% | CPI# | Maturity | 55,877 | — | 55,877 | ||||||||||||||||||||
USD | 630 | 01/15/2031 | 2.680% | CPI# | Maturity | 60,560 | — | 60,560 | ||||||||||||||||||||
USD | 540 | 01/15/2031 | 2.989% | CPI# | Maturity | 35,159 | — | 35,159 | ||||||||||||||||||||
USD | 530 | 01/15/2032 | CPI# | 0.031 | Maturity | (27,843 | ) | — | (27,843 | ) | ||||||||||||||||||
USD | 490 | 04/15/2032 | CPI# | 0.029 | Maturity | (32,389 | ) | — | (32,389 | ) | ||||||||||||||||||
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$ | 1,132,346 | $ | (1,370 | ) | $ | 1,133,716 | ||||||||||||||||||||||
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# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
USD | 5,700 | 01/15/2027 | 1 Day SOFR | 2.4445% | Annual | $ | (136,812 | ) | $ | — | $ | (136,812 | ) | |||||||||||
USD | 1,100 | 01/15/2031 | 1.427% | 3 Month LIBOR | Semi-Annual/ Quarterly | 146,343 | — | 146,343 | ||||||||||||||||
USD | 3,500 | 04/15/2032 | 2.542% | 1 Day SOFR | Annual | 107,565 | — | 107,565 | ||||||||||||||||
USD | 1,750 | 04/15/2032 | 2.444% | 1 Day SOFR | Annual | 72,321 | — | 72,321 | ||||||||||||||||
USD | 1,000 | 04/15/2032 | 1.28% | 1 Day SOFR | Annual | 138,473 | — | 138,473 | ||||||||||||||||
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$ | 327,890 | $ | — | $ | 327,890 | |||||||||||||||||||
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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 Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Citibank, NA | USD | 1,675 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 150,871 | $ | — | $ | 150,871 |
* | 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 $5,747,616 or 5.3% of net assets. |
(b) | When-Issued or delayed delivery security. |
(c) | Affiliated investments. |
(d) | The rate shown represents the 7-day yield as of period end. |
8
(e) | 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. |
(f) | 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 $2,931,187 and gross unrealized depreciation of investments was $(6,076,116), resulting in net unrealized depreciation of $(3,144,929). |
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 0.1% and 0.0%, respectively.
Glossary:
AGM – Assured Guaranty Municipal
COP – Certificate of Participation
CPI – Consumer Price Index
LIBOR – London Interbank Offered Rate
SOFR – Secured Overnight Financing Rate
9
AB Municipal Income Fund II
AB Arizona 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.
10
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 | $ | — | $ | 106,293,056 | $ | — | $ | 106,293,056 | ||||||||
Short-Term Investments | 1,609,970 | — | — | 1,609,970 | ||||||||||||
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Total Investments in Securities | 1,609,970 | 106,293,056 | — | 107,903,026 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 1,572,525 | — | 1,572,525 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 464,702 | — | 464,702 | ||||||||||||
Interest Rate Swaps | — | 150,871 | — | 150,871 | ||||||||||||
Liabilities: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (440,179 | ) | — | (440,179 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (136,812 | ) | — | (136,812 | ) | ||||||||||
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Total | $ | 1,609,970 | $ | 107,904,163 | $ | — | $ | 109,514,133 | ||||||||
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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 | Market Value 08/31/2022 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 384 | $ | 13,578 | $ | 12,352 | $ | 1,610 | $ | 6 |
11