AB Municipal Income Fund II
AB Virginia Portfolio
Portfolio of Investments
August 31, 2023 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS – 95.6% | ||||||||
Long-Term Municipal Bonds – 90.7% | ||||||||
Virginia – 65.8% | ||||||||
Align Affordable Housing Bond Fund LP (Park Landing LP) | $ | 995 | $ | 922,771 | ||||
Arlington County Industrial Development Authority (Virginia Hospital Center Arlington Health System/VA) | 4,000 | 3,676,518 | ||||||
Cherry Hill Community Development Authority (Potomac Shores Project) | 585 | 585,740 | ||||||
Chesapeake Bay Bridge & Tunnel District | 4,000 | 4,039,215 | ||||||
City of Richmond VA Public Utility Revenue | 4,000 | 4,156,262 | ||||||
5.00%, 01/15/2034 | 5,000 | 5,175,735 | ||||||
Culpeper County Economic Development Authority (County of Culpeper VA Lease) | 2,955 | 2,968,240 | ||||||
Dulles Town Center Community Development Authority | 1,000 | 971,059 | ||||||
Fairfax County Economic Development Authority | 415 | 422,886 | ||||||
Fairfax County Industrial Development Authority (Inova Health System Obligated Group) | 2,000 | 2,009,314 | ||||||
Series 2018-A | 1,500 | 1,422,404 | ||||||
Series 2022 | 2,000 | 1,945,414 | ||||||
Fairfax County Water Authority | 2,570 | 2,521,165 | ||||||
4.00%, 04/01/2043 | 1,875 | 1,816,759 | ||||||
Greater Richmond Convention Center Authority | 3,000 | 3,081,079 | ||||||
5.00%, 06/15/2031 (Pre-refunded/ETM) | 2,000 | 2,054,053 | ||||||
Halifax County Industrial Development Authority (Virginia Electric and Power Co.) | 3,000 | 2,929,617 | ||||||
Hampton Roads Sanitation District | 3,550 | 3,833,730 |
1
Principal Amount (000) | U.S. $ Value | |||||||
Hampton Roads Transportation Accountability Commission | $ | 4,000 | $ | 4,333,762 | ||||
Series 2021-A | 5,000 | 5,249,535 | ||||||
Henrico County Economic Development Authority (LifeSpire of Virginia Obligated Group) | 765 | 767,548 | ||||||
Henrico County Economic Development Authority (Westminster-Canterbury Corp. Obligated Group) | 1,000 | 1,001,610 | ||||||
James City County Economic Development Authority (Williamsburg Landing, Inc. Obligated Group) | 1,575 | 1,185,582 | ||||||
Lexington Industrial Development Authority (Kendal at Lexington) | 1,500 | 1,426,564 | ||||||
Lynchburg Economic Development Authority (Centra Health Obligated Group) | 1,750 | 1,757,995 | ||||||
Norfolk Airport Authority/VA | 2,870 | 2,979,014 | ||||||
Richmond Redevelopment & Housing Authority (American Tobacco Holdings LLC) | 970 | 853,137 | ||||||
Roanoke County Economic Development Authority (City of Roanoke VA Lease) | 1,750 | 1,796,268 | ||||||
Roanoke Economic Development Authority (Carilion Clinic Obligated Group) | 1,000 | 1,006,394 | ||||||
4.00%, 07/01/2038 | 1,550 | 1,527,666 | ||||||
Roanoke Economic Development Authority (Lynchburg College) | 1,125 | 1,158,042 | ||||||
5.00%, 09/01/2038 | 1,535 | 1,544,071 | ||||||
5.00%, 09/01/2043 | 1,000 | 986,886 | ||||||
Rockingham County Economic Development Authority (Sentara Healthcare Obligated Group) | 1,265 | 954,771 |
2
Principal Amount (000) | U.S. $ Value | |||||||
Rockingham County Economic Development Authority (Sunnyside Presbyterian Home Obligated Group) | $ | 1,085 | $ | 1,014,604 | ||||
5.00%, 12/01/2039 | 1,000 | 977,097 | ||||||
Suffolk Economic Development Authority (EveryAge Obligated Group) | 1,000 | 950,644 | ||||||
Tobacco Settlement Financing Corp./VA | 2,400 | 2,203,114 | ||||||
University of Virginia | 1,000 | 613,407 | ||||||
Virginia College Building Authority (Marymount University) | 1,000 | 917,808 | ||||||
Series 2015-A | 1,615 | 1,615,164 | ||||||
Virginia College Building Authority (Regent University) | 3,125 | 2,924,622 | ||||||
Virginia College Building Authority (Virginia College Building Authority State Lease) | 9,140 | 8,018,109 | ||||||
Virginia Commonwealth University Health System Authority (Virginia Commonwealth University Health System Authority Obligated Group) | 2,000 | 2,017,261 | ||||||
Virginia Port Authority | 2,000 | 2,052,906 | ||||||
5.00%, 07/01/2036 | 4,160 | 4,254,131 | ||||||
Virginia Resources Authority | 20 | 20,023 | ||||||
Series 2016-C | 2,000 | 2,039,722 | ||||||
Virginia Resources Authority (Virginia Resources Authority SRF) | 4,000 | 4,004,498 | ||||||
Virginia Small Business Financing Authority (95 Express Lanes LLC) | 4,580 | 4,827,507 | ||||||
Virginia Small Business Financing Authority (Bon Secours Mercy Health, Inc.) | 3,500 | 3,151,839 | ||||||
Virginia Small Business Financing Authority (Covanta Holding Corp.) | 1,000 | 920,157 |
3
Principal Amount (000) | U.S. $ Value | |||||||
Virginia Small Business Financing Authority (Elizabeth River Crossings OpCo LLC) | $ | 5,000 | $ | 4,554,067 | ||||
Virginia Small Business Financing Authority (Hampton University) | 4,125 | 4,176,752 | ||||||
Virginia Small Business Financing Authority (I-66 Express Mobility Partners LLC) | 3,350 | 3,324,277 | ||||||
Virginia Small Business Financing Authority (National Senior Campuses, Inc. Obligated Group) | 1,500 | 1,226,539 | ||||||
Virginia Small Business Financing Authority (Pure Salmon Virginia, LLC) | 4,000 | 3,994,948 | ||||||
Winchester Economic Development Authority (Valley Health Obligated Group) | 2,000 | 2,052,147 | ||||||
5.00%, 01/01/2035 | 1,500 | 1,537,185 | ||||||
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136,449,334 | ||||||||
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American Samoa – 0.2% | ||||||||
American Samoa Economic Development Authority (Territory of American Samoa) | 420 | 453,882 | ||||||
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Arizona – 0.4% | ||||||||
Maricopa County Industrial Development Authority (Benjamin Franklin Charter School Ltd.) | 200 | 202,060 | ||||||
Salt Verde Financial Corp. (Citigroup, Inc.) | 705 | 721,829 | ||||||
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923,889 | ||||||||
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District of Columbia – 14.1% | ||||||||
Metropolitan Washington Airports Authority Aviation Revenue | 2,000 | 1,994,650 | ||||||
Series 2021-A | 2,220 | 2,181,609 | ||||||
5.00%, 10/01/2036 | 2,250 | 2,397,424 | ||||||
5.00%, 10/01/2046 | 5,000 | 5,139,200 |
4
Principal Amount (000) | U.S. $ Value | |||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | $ | 4,300 | $ | 4,780,019 | ||||
Series 2019 | 1,500 | 1,608,071 | ||||||
AGM Series 2022 | 3,000 | 2,749,496 | ||||||
Washington Metropolitan Area Transit Authority | 1,145 | 1,211,353 | ||||||
5.00%, 07/01/2032 | 3,950 | 4,170,646 | ||||||
Washington Metropolitan Area Transit Authority Dedicated Revenue (Washington Metropolitan Area Transit Authority Dedicated Revenue Lease) | 3,000 | 2,999,201 | ||||||
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29,231,669 | ||||||||
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Georgia – 0.2% | ||||||||
Municipal Electric Authority of Georgia | 100 | 103,057 | ||||||
5.00%, 01/01/2048 | 100 | 100,249 | ||||||
5.00%, 01/01/2056 | 155 | 156,573 | ||||||
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359,879 | ||||||||
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Guam – 2.9% | ||||||||
Antonio B Won Pat International Airport Authority | 565 | 419,000 | ||||||
Guam Department of Education (Guam Department of Education COP) | 1,095 | 1,053,713 | ||||||
Guam Power Authority | 1,630 | 1,662,380 | ||||||
Territory of Guam | 210 | 213,663 | ||||||
Territory of Guam (Territory of Guam Business Privilege Tax) | 1,370 | 1,175,751 | ||||||
Territory of Guam (Territory of Guam Hotel Occupancy Tax) | 1,500 | 1,532,448 | ||||||
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6,056,955 | ||||||||
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Illinois – 1.1% | ||||||||
Metropolitan Pier & Exposition Authority | 2,200 | 2,207,082 | ||||||
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Michigan – 0.0% | ||||||||
City of Detroit MI | 85 | 86,774 | ||||||
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Principal Amount (000) | U.S. $ Value | |||||||
Nevada – 0.0% | ||||||||
City of Reno NV (County of Washoe NV Sales Tax Revenue) | $ | 500 | $ | 61,248 | ||||
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New York – 0.9% | ||||||||
Metropolitan Transportation Authority | 1,750 | 1,838,335 | ||||||
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North Carolina – 0.2% | ||||||||
North Carolina Medical Care Commission (Aldersgate United Methodist Retirement Community, Inc.) | 560 | 460,012 | ||||||
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Puerto Rico – 3.1% | ||||||||
Commonwealth of Puerto Rico | 43 | 41,681 | ||||||
Zero Coupon, 07/01/2033 | 369 | 224,157 | ||||||
4.00%, 07/01/2033 | 103 | 96,125 | ||||||
4.00%, 07/01/2035 | 3 | 2,389 | ||||||
4.00%, 07/01/2037 | 2 | 2,007 | ||||||
4.00%, 07/01/2041 | 3 | 2,621 | ||||||
4.00%, 07/01/2046 | 103 | 85,522 | ||||||
5.375%, 07/01/2025 | 203 | 206,989 | ||||||
5.625%, 07/01/2027 | 303 | 315,900 | ||||||
5.75%, 07/01/2031 | 103 | 111,256 | ||||||
Series 2022-C | 19 | 9,843 | ||||||
HTA TRRB Custodial Trust | 190 | 187,061 | ||||||
5.25%, 07/01/2036 | 225 | 226,747 | ||||||
5.25%, 07/01/2041 | 210 | 208,639 | ||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | 855 | 875,783 | ||||||
5.00%, 07/01/2035(a) | 250 | 250,699 | ||||||
Puerto Rico Electric Power Authority | 235 | 233,643 | ||||||
NATL Series 2007-V | 300 | 294,296 | ||||||
Puerto Rico Highway & Transportation Authority | 360 | 354,150 | ||||||
Series 2022-B | 100 | 64,250 | ||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (AES Puerto Rico LP) | 555 | 388,500 |
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Principal Amount (000) | U.S. $ Value | |||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (Hospital Auxilio Mutuo Obligated Group) | $ | 275 | $ | 247,372 | ||||
4.00%, 07/01/2040 | 295 | 261,456 | ||||||
5.00%, 07/01/2034 | 110 | 117,505 | ||||||
5.00%, 07/01/2035 | 115 | 121,842 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 223 | 174,191 | ||||||
Zero Coupon, 07/01/2046 | 1,000 | 277,278 | ||||||
Series 2019-A | 180 | 170,458 | ||||||
5.00%, 07/01/2058 | 955 | 924,350 | ||||||
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6,476,710 | ||||||||
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South Carolina – 0.1% | ||||||||
South Carolina Public Service Authority | 205 | 183,008 | ||||||
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Tennessee – 0.1% | ||||||||
Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax) | 295 | 271,451 | ||||||
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Texas – 0.7% | ||||||||
Mission Economic Development Corp. (Natgasoline LLC) | 520 | 507,160 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. (Edgemere Retirement Senior Quality Lifestyles Corp.) | 969 | 0 | ||||||
Texas Private Activity Bond Surface Transportation Corp. (NTE Mobility Partners Segments 3 LLC) | 1,000 | 1,001,756 | ||||||
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1,508,916 | ||||||||
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Washington – 0.4% | ||||||||
Pend Oreille County Public Utility District No. 1 Box Canyon | 650 | 652,138 | ||||||
Washington State Housing Finance Commission (Presbyterian Retirement Communities Northwest Obligated Group) | 100 | 73,738 | ||||||
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725,876 | ||||||||
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Principal Amount (000) | U.S. $ Value | |||||||
Wisconsin – 0.5% | ||||||||
Wisconsin Public Finance Authority (Celanese US Holdings LLC) | $ | 1,000 | $ | 1,002,135 | ||||
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Total Long-Term Municipal Bonds | 188,297,155 | |||||||
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Short-Term Municipal Notes – 4.9% | ||||||||
Virginia – 4.9% | ||||||||
Loudoun County Economic Development Authority (Jack Kent Cooke Foundation) | 4,150 | 4,150,000 | ||||||
Roanoke Economic Development Authority (Carilion Clinic Obligated Group) | 4,650 | 4,650,000 | ||||||
Virginia Small Business Financing Authority (Carilion Clinic Obligated Group) | 1,310 | 1,310,000 | ||||||
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Total Short-Term Municipal Notes | 10,110,000 | |||||||
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Total Municipal Obligations | 198,407,155 | |||||||
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Shares | ||||||||
SHORT-TERM INVESTMENTS – 2.8% | ||||||||
Investment Companies – 2.8% | ||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.28%(g) (h) (i) | 5,776,636 | 5,776,636 | ||||||
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Total Investments – 98.4% | 204,183,791 | |||||||
Other assets less liabilities – 1.6% | 3,281,091 | |||||||
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Net Assets – 100.0% | $ | 207,464,882 | ||||||
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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 Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
USD | 1,450 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 134,741 | $ | — | $ | 134,741 | |||||||||||||
USD | 725 | 01/15/2025 | 2.585% | CPI# | Maturity | 66,786 | — | 66,786 | ||||||||||||||||
USD | 725 | 01/15/2025 | 2.613% | CPI# | Maturity | 65,983 | — | 65,983 | ||||||||||||||||
USD | 470 | 01/15/2025 | 4.028% | CPI# | Maturity | 15,404 | — | 15,404 | ||||||||||||||||
USD | 1,700 | 01/15/2026 | CPI# | 3.720% | Maturity | (53,127 | ) | — | (53,127 | ) | ||||||||||||||
USD | 2,260 | 01/15/2027 | CPI# | 3.466% | Maturity | (76,018 | ) | (2,077 | ) | (73,941 | ) | |||||||||||||
USD | 2,250 | 01/15/2027 | CPI# | 3.320% | Maturity | (95,880 | ) | — | (95,880 | ) | ||||||||||||||
USD | 1,770 | 01/15/2027 | CPI# | 3.323% | Maturity | (75,100 | ) | — | (75,100 | ) | ||||||||||||||
USD | 5,020 | 01/15/2028 | 1.230% | CPI# | Maturity | 886,664 | — | 886,664 | ||||||||||||||||
USD | 3,740 | 01/15/2028 | 0.735% | CPI# | Maturity | 793,454 | — | 793,454 | ||||||||||||||||
USD | 4,250 | 01/15/2029 | CPI# | 3.390% | Maturity | (94,691 | ) | — | (94,691 | ) | ||||||||||||||
USD | 2,650 | 01/15/2029 | CPI# | 3.735% | Maturity | 16,594 | — | 16,594 | ||||||||||||||||
USD | 1,550 | 01/15/2029 | CPI# | 3.290% | Maturity | (47,166 | ) | — | (47,166 | ) | ||||||||||||||
USD | 1,375 | 01/15/2030 | 1.572% | CPI# | Maturity | 231,519 | — | 231,519 | ||||||||||||||||
USD | 1,375 | 01/15/2030 | 1.587% | CPI# | Maturity | 229,662 | — | 229,662 | ||||||||||||||||
USD | 1,350 | 01/15/2031 | 2.782% | CPI# | Maturity | 88,842 | — | 88,842 | ||||||||||||||||
USD | 1,230 | 01/15/2031 | 2.680% | CPI# | Maturity | 93,010 | — | 93,010 | ||||||||||||||||
USD | 1,080 | 01/15/2031 | 2.989% | CPI# | Maturity | 49,334 | — | 49,334 | ||||||||||||||||
USD | 1,050 | 01/15/2032 | CPI# | 3.064% | Maturity | (34,696 | ) | — | (34,696 | ) | ||||||||||||||
USD | 1,060 | 04/15/2032 | CPI# | 2.909% | Maturity | (48,602 | ) | — | (48,602 | ) | ||||||||||||||
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$ | 2,146,713 | $ | (2,077 | ) | $ | 2,148,790 | ||||||||||||||||||
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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 | 6,900 | 04/30/2030 | 1 Day SOFR | 3.075% | Annual | $ | (375,066 | ) | $ | — | $ | (375,066 | ) | |||||||||||
USD | 4,300 | 04/30/2030 | 1 Day SOFR | 3.411% | Annual | (141,973 | ) | — | (141,973 | ) | ||||||||||||||
USD | 3,460 | 04/30/2030 | 1 Day SOFR | 3.500% | Annual | (94,014 | ) | — | (94,014 | ) | ||||||||||||||
USD | 2,100 | 04/30/2030 | 1 Day SOFR | 3.369% | Annual | (75,821 | ) | — | (75,821 | ) | ||||||||||||||
USD | 6,400 | 07/31/2030 | 1 Day SOFR | 4.016% | Annual | 44,476 | — | 44,476 | ||||||||||||||||
USD | 3,300 | 07/31/2030 | 1 Day SOFR | 3.806% | Annual | (21,233 | ) | — | (21,233 | ) | ||||||||||||||
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$ | (663,631 | ) | $ | — | $ | (663,631 | ) | |||||||||||||||||
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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 | 2,965 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 328,235 | $ | — | $ | 328,235 |
* | 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, 2023, the aggregate market value of these securities amounted to $7,588,027 or 3.7% of net assets. |
(b) | Defaulted. |
(c) | Non-income producing security. |
(d) | Fair valued by the Adviser. |
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(e) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(f) | 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. |
(g) | 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. |
(h) | The rate shown represents the 7-day yield as of period end. |
(i) | Affiliated investments. |
(j) | As of August 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $4,226,292 and gross unrealized depreciation of investments was $(14,270,519), resulting in net unrealized depreciation of $(10,044,227). |
As of August 31, 2023, 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 1.7% and 0.0%, respectively.
Glossary:
AGM – Assured Guaranty Municipal
COP – Certificate of Participation
ETM – Escrowed to Maturity
NATL – National Interstate Corporation
SOFR – Secured Overnight Financing Rate
SRF – State Revolving Fund
10
AB Municipal Income Fund II
AB Virginia Portfolio
August 31, 2023 (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.
11
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of August 31, 2023:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
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Long-Term Municipal Bonds | $ | — | $ | 188,297,155 | $ | 0 | (a) | $ | 188,297,155 | |||||||
Short-Term Municipal Notes | — | 10,110,000 | — | 10,110,000 | ||||||||||||
Short-Term Investments | 5,776,636 | — | — | 5,776,636 | ||||||||||||
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Total Investments in Securities | 5,776,636 | 198,407,155 | 0 | (a) | 204,183,791 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 2,671,993 | — | 2,671,993 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 44,476 | — | 44,476 | ||||||||||||
Interest Rate Swaps | — | 328,235 | — | 328,235 | ||||||||||||
Liabilities: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (525,280 | ) | — | (525,280 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (708,107 | ) | — | (708,107 | ) | ||||||||||
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Total | $ | 5,776,636 | $ | 200,218,472 | $ | 0 | (a) | $ | 205,995,108 | |||||||
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(a) | The Portfolio held securities with zero market value at period end. |
(b) | 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, written options and written swaptions which are valued at market value. |
A summary of the Portfolio’s transactions in AB mutual funds for the three months ended August 31, 2023 is as follows:
Fund | Market Value 05/31/2023 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 08/31/2023 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 5,178 | $ | 7,538 | $ | 6,939 | $ | 5,777 | $ | 68 |
12