AB Tax-Aware Real Return Income Shares
Portfolio of Investments
July 31, 2022 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS 73.1% |
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Long-Term Municipal Bonds 73.1% |
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Alaska 4.7% |
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Alaska Industrial Development & Export Authority (Greater Fairbanks Community Hospital Foundation Obligated Group) |
$ | 445 | $ | 464,014 | ||||
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Arizona 3.1% |
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City of Phoenix Civic Improvement Corp. (Phoenix Sky Harbor International Airport) |
275 | 305,680 | ||||||
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Colorado 3.8% |
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Weld County School District No. RE-2 Eaton |
325 | 374,953 | ||||||
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Connecticut 9.3% |
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City of New Haven CT |
70 | 77,846 | ||||||
Connecticut State Health & Educational Facilities Authority (Hartford HealthCare Obligated Group) |
515 | 576,607 | ||||||
State of Connecticut |
215 | 253,184 | ||||||
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907,637 | ||||||||
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District of Columbia 3.5% |
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District of Columbia (District of Columbia Fed Hwy Grant) |
290 | 338,932 | ||||||
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Florida 3.8% |
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Capital Projects Finance Authority/FL (CAPFA Capital Corp. 2000F) |
250 | 261,752 | ||||||
Greater Orlando Aviation Authority |
95 | 106,513 | ||||||
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368,265 | ||||||||
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Illinois 7.3% |
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Illinois Finance Authority (Illinois Institute of Technology) |
100 | 106,127 | ||||||
Sales Tax Securitization Corp. |
270 | 294,053 |
1
Principal Amount (000) |
U.S. $ Value | |||||||
State of Illinois |
$ | 295 | $ | 317,377 | ||||
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717,557 | ||||||||
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Kentucky 10.3% |
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City of Ashland KY (Ashland Hospital Corp. Obligated Group) |
100 | 109,442 | ||||||
Kentucky Public Energy Authority (Morgan Stanley) |
570 | 583,767 | ||||||
Louisville/Jefferson County Metropolitan Government (Norton Healthcare Obligated Group) |
320 | 318,707 | ||||||
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1,011,916 | ||||||||
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Louisiana 1.1% |
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Parish of St. James LA (NuStar Logistics LP) |
100 | 105,337 | ||||||
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Michigan 1.9% |
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Michigan State University |
160 | 184,276 | ||||||
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New Jersey 3.8% |
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New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease) |
330 | 368,445 | ||||||
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New York 6.5% |
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Metropolitan Transportation Authority |
260 | 262,462 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue |
200 | 228,596 | ||||||
New York Transportation Development Corp. (Delta Air Lines, Inc.) |
150 | 146,889 | ||||||
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637,947 | ||||||||
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Ohio 1.7% |
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Buckeye Tobacco Settlement Financing Authority |
150 | 164,324 | ||||||
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2
Principal Amount (000) |
U.S. $ Value | |||||||
Other 0.9% |
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Federal Home Loan Mortgage Corp. Multifamily VRD Certificates |
$ | 100 | $ | 90,066 | ||||
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Pennsylvania 3.2% |
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City of Philadelphia PA |
155 | 180,008 | ||||||
Commonwealth Financing Authority (Commonwealth Financing Authority State Lease) |
120 | 128,915 | ||||||
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308,923 | ||||||||
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Texas 1.9% |
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City of Houston TX Airport System Revenue (United Airlines, Inc.) |
100 | 101,919 | ||||||
Port Beaumont Navigation District (Jefferson Railport Terminal II LLC) |
100 | 87,732 | ||||||
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189,651 | ||||||||
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Virginia 2.1% |
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Virginia College Building Authority (Virginia College Building Authority State Lease) |
190 | 210,738 | ||||||
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West Virginia 3.7% |
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State of West Virginia |
315 | 360,646 | ||||||
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Wisconsin 0.5% |
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UMA Education, Inc. |
50 | 51,298 | ||||||
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Total Municipal Obligations |
7,160,605 | |||||||
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3
Shares | U.S. $ Value | |||||||
SHORT-TERM INVESTMENTS 17.6% |
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Investment Companies 17.6% |
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AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 1.72%(b) (c) (d) |
1,721,607 | $ | 1,721,607 | |||||
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Total Investments 90.7% |
8,882,212 | |||||||
Other assets less liabilities 9.3% |
914,817 | |||||||
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Net Assets 100.0% |
$ | 9,797,029 | ||||||
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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) |
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USD | 3,000 | 02/10/2023 | 1.558% | CPI# | Maturity | $ | 378,532 | $ | | $ | 378,532 | |||||||||||||
USD | 900 | 12/24/2024 | 1.846% | CPI# | Maturity | 110,564 | | 110,564 | ||||||||||||||||
USD | 2,000 | 02/10/2027 | 1.755% | CPI# | Maturity | 295,969 | | 295,969 | ||||||||||||||||
USD | 2,350 | 12/24/2029 | 1.978% | CPI# | Maturity | 360,538 | | 360,538 | ||||||||||||||||
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$ | 1,145,603 | $ | | $ | 1,145,603 | |||||||||||||||||||
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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) |
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USD | 5,910 | 02/01/2024 | 1.143% | 1 Day SOFR | Annual | $ | 144,174 | $ | | $ | 144,174 | |||||||||||||
USD | 6,590 | 02/01/2027 | 1.465% | 1 Day SOFR | Annual | 253,569 | | 253,569 | ||||||||||||||||
USD | 2,270 | 02/01/2032 | 1.600% | 1 Day SOFR | Annual | 148,377 | | 148,377 | ||||||||||||||||
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$ | 546,120 | $ | | $ | 546,120 | |||||||||||||||||||
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INFLATION (CPI) 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) |
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JPMorgan Chase Bank, NA | USD | 1,000 | 04/29/2036 | 2.498% | CPI# | Maturity | $ | 108,452 | $ | | $ | 108,452 |
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
4
TOTAL RETURN SWAPS
Counterparty & Referenced Obligation |
Rate Paid/ Received |
Payment Frequency |
Current Notional (000) |
Maturity Date |
Unrealized Appreciation/ (Depreciation) |
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Receive Total Return on Reference Obligation | ||||||||||||||||||||||||
Barclays Bank PLC | ||||||||||||||||||||||||
Barclays Capital US Inflation Linked Bonds 1 to 10 Year |
SOFR Plus 0.25 | % | Maturity | USD | 5,751 | 03/01/2023 | $ | (74,091 | ) | |||||||||||||||
Barclays Capital US Inflation Linked Bonds 1 to 10 Year |
SOFR Plus 0.25 | % | Maturity | USD | 8,464 | 03/23/2023 | (71,667 | ) | ||||||||||||||||
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$ | (145,758 | ) | ||||||||||||||||||||||
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(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 July 31, 2022, the aggregate market value of these securities amounted to $334,433 or 3.4% of net assets. |
(b) | Affiliated investments. |
(c) | The rate shown represents the 7-day yield as of period end. |
(d) | To obtain a copy of the funds shareholder report, please go to the Securities and Exchange Commissions website at www.sec.gov, or call AB at (800) 227-4618. |
(e) | As of July 31, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $1,809,608 and gross unrealized depreciation of investments was $(508,907), resulting in net unrealized depreciation of $1,300,701. |
As of July 31, 2022, the Funds percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 0.0% and 0.0%, respectively.
Glossary:
CPI Consumer Price Index
SOFR Secured Overnight Financing Rate
5
AB Tax-Aware Real Return Income Shares
July 31, 2022 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund 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 Fund. Unobservable inputs reflect the Funds 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 Funds 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.
6
The following table summarizes the valuation of the Funds investments by the above fair value hierarchy levels as of July 31, 2022:
Investments in Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
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Long-Term Municipal Bonds | $ | | $ | 7,160,605 | $ | | $ | 7,160,605 | ||||||||
Short-Term Investments | 1,721,607 | | | 1,721,607 | ||||||||||||
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Total Investments in Securities | 1,721,607 | 7,160,605 | | 8,882,212 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
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Centrally Cleared Inflation (CPI) Swaps | | 1,145,603 | | 1,145,603 | ||||||||||||
Centrally Cleared Interest Rate Swaps | | 546,120 | | 546,120 | ||||||||||||
Inflation (CPI) Swaps | | 108,452 | | 108,452 | ||||||||||||
Liabilities: |
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Total Return Swaps | | (145,758 | ) | | (145,758 | ) | ||||||||||
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Total | $ | 1,721,607 | $ | 8,815,022 | $ | | $ | 10,536,629 | ||||||||
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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 Funds transactions in AB mutual funds for the three months ended July 31, 2022 is as follows:
Fund | Market Value 04/30/2022 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 07/31/2022 (000) |
Dividend Income (000) |
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Government Money Market Portfolio | $ | 2,209 | $ | 1,795 | $ | 2,282 | $ | 1,722 | $ | 4 |
7