0001752724-22-214716.txt : 20220926 0001752724-22-214716.hdr.sgml : 20220926 20220923180655 ACCESSION NUMBER: 0001752724-22-214716 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220731 FILED AS OF DATE: 20220926 DATE AS OF CHANGE: 20220923 PERIOD START: 20230430 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AB CORPORATE SHARES CENTRAL INDEX KEY: 0001274676 IRS NUMBER: 000000000 FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21497 FILM NUMBER: 221263224 BUSINESS ADDRESS: STREET 1: ALLIANCEBERNSTEIN LP STREET 2: 1345 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10105 BUSINESS PHONE: 2129691000 MAIL ADDRESS: STREET 1: ALLIANCEBERNSTEIN LP STREET 2: 1345 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10105 FORMER COMPANY: FORMER CONFORMED NAME: ALLIANCEBERNSTEIN CORPORATE SHARES DATE OF NAME CHANGE: 20031230 0001274676 S000031982 AB Tax-Aware Real Return Income Shares C000099557 AB Tax-Aware Real Return Income Shares TARRX NPORT-P 1 primary_doc.xml NPORT-P false 0001274676 XXXXXXXX S000031982 C000099557 AB CORPORATE SHARES 811-21497 0001274676 549300BBBXET1QJ4NU38 ALLIANCEBERNSTEIN LP 1345 AVENUE OF THE AMERICAS NEW YORK 10105 212-969-1000 AB Tax-Aware Real Return Income Shares S000031982 3BIY15XUWN7KS81YMK32 2023-04-30 2022-07-31 N 9942974.08 145635.65 9797338.43 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 USD N New Jersey Transportation Trust Fund Authority 549300YUVD5TEXR6L889 NEW JERSEY ST TRANSPRTN TRUST FUND AUTH 6461366H9 330000.00000000 PA USD 368445.13000000 3.760665538222 Long DBT MUN US N 2 2031-12-15 Fixed 5.00000000 N N N N N N City of Phoenix Civic Improvement Corp N/A PHOENIX AZ CIVIC IMPT CORP ARPT REVENUE 71883MPR9 275000.00000000 PA USD 305679.50000000 3.120025935451 Long DBT MUN US N 2 2033-07-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BS1YNO4 IRS USD R V 12MUSCPI IS1YNP5 CCPINFLATIONZERO / Short: BS1YNO4 IRS USD P F 1.97750 IS1YNO4 CCPINFLATIONZERO 000000000 2350000.00000000 OU Notional Amount USD 360538.10000000 3.679959639814 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2029-12-24 0.00000000 USD 0.00000000 USD 2350000.00000000 USD 360538.10000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BS2E0X1 IRS USD R V 00MSOFR IS2E0Y2 CCPOIS / Short: BS2E0X1 IRS USD P F 1.59950 IS2E0X1 CCPOIS 000000000 2270000.00000000 OU Notional Amount USD 148377.36000000 1.514466005845 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2032-02-01 0.00000000 USD 0.00000000 USD 2270000.00000000 USD 148377.36000000 N N N Greater Orlando Aviation Authority 549300CP6PUG5S184F61 GTR ORLANDO FL AVIATION AUTH ARPT FACS REVENUE 392274Y91 95000.00000000 PA USD 106513.50000000 1.087167711527 Long DBT MUN US N 2 2027-10-01 Fixed 5.00000000 N N N N N N Port Beaumont Navigation District 549300G8PKBXALUKJY33 PORT BEAUMONT TX NAV DIST DOCK& WHARF FAC REVENUE 73360CAC8 100000.00000000 PA USD 87732.07000000 0.895468403248 Long DBT MUN US N 2 2035-01-01 Fixed 3.62500000 N N N N N N City of Philadelphia PA 549300IVFOPB4AG7UL47 PHILADELPHIA PA 717813XE4 155000.00000000 PA USD 180007.58000000 1.837311033870 Long DBT MUN US N 2 2030-02-01 Fixed 5.00000000 N N N N N N Connecticut State Health & Educational Facilities Authority 549300ZOQJ5U8YBS5Q35 CONNECTICUT ST HLTH & EDUCTNL FACS AUTH REVENUE 20775DEX6 515000.00000000 PA USD 576607.08000000 5.885344107685 Long DBT MUN US N 2 2034-07-01 Fixed 5.00000000 N N N N N N City of Houston TX Airport System Revenue N/A HOUSTON TX ARPT SYS REVENUE 4423487H5 100000.00000000 PA USD 101919.39000000 1.040276302877 Long DBT MUN US N 2 2029-07-01 Fixed 5.00000000 N N N N N N New York Transportation Development Corp N/A NEW YORK ST TRANSPRTN DEV CORP SPL FAC REVENUE 650116DA1 150000.00000000 PA USD 146888.70000000 1.499271471017 Long DBT MUN US N 2 2045-10-01 Fixed 4.37500000 N N N N N N Capital Projects Finance Authority/FL N/A CAPITAL PROJS FL FIN AUTH STUDENT HSG REVENUE 140427BP9 250000.00000000 PA USD 261751.73000000 2.671661613714 Long DBT MUN US N 2 2033-10-01 Fixed 5.00000000 N N N N N N Buckeye Tobacco Settlement Financing Authority N/A BUCKEYE OH TOBACCO SETTLEMENT FING AUTH 118217CR7 150000.00000000 PA USD 164323.92000000 1.677230210776 Long DBT MUN US N 2 2035-06-01 Fixed 5.00000000 N N N N N N Metropolitan Transportation Authority 5493000TKYODLXADQD60 MET TRANSPRTN AUTH NY REVENUE 59261AQX8 260000.00000000 PA USD 262462.62000000 2.678917563940 Long DBT MUN US N 2 2030-11-15 Fixed 5.00000000 N N N N N N FHLMC Multifamily VRD Certificates N/A FEDERAL HOME LOAN MTGE CORP VA MF VARIABLE RATE CTFS 31350ACQ9 100000.00000000 PA USD 90066.43000000 0.919294874250 Long DBT USGSE US N 2 2036-06-15 Fixed 2.65000000 N N N N N N City of Ashland KY N/A ASHLAND KY MED CENTER REVENUE 044293BP2 100000.00000000 PA USD 109441.74000000 1.117055828804 Long DBT MUN US N 2 2027-02-01 Fixed 5.00000000 N N N N N N State of Illinois 54930048FV8RWPR02D67 ILLINOIS ST 4521522H3 295000.00000000 PA USD 317377.40000000 3.239424689343 Long DBT MUN US N 2 2025-10-01 Fixed 5.00000000 N N N N N N State of Connecticut 5493007GRO6CU0IKP741 CONNECTICUT ST 20772KHU6 215000.00000000 PA USD 253183.33000000 2.584205208475 Long DBT MUN US N 2 2031-01-15 Fixed 5.00000000 N N N N N N JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 Long: IS29092 IRS USD R V 12MUSCPI IS290A3 INFLATIONZERO / Short: IS29092 IRS USD P F 2.49750 IS29092 INFLATIONZERO 000000000 1000000.00000000 OU Notional Amount USD 108451.94000000 1.106953085012 N/A DIR US N 2 JPMorgan Chase Bank N.A. 7H6GLXDRUGQFU57RNE97 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2036-04-29 0.00000000 USD 0.00000000 USD 1000000.00000000 USD 108451.94000000 N N N Sales Tax Securitization Corp N/A SALES TAX SECURITIZATION CORP IL 79467BCR4 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Amount USD 295969.10000000 3.020913303287 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2027-02-10 0.00000000 USD 0.00000000 USD 2000000.00000000 USD 295969.10000000 N N N Commonwealth Financing Authority N/A CMWLTH FING AUTH PA TOBACCO MASTER SETTLEMENT PAYMENT REV 20282EAF3 120000.00000000 PA USD 128915.00000000 1.315816544677 Long DBT MUN US N 2 2025-06-01 Fixed 5.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BS1ZN81 IRS USD R V 12MUSCPI IS1ZN92 CCPINFLATIONZERO / Short: BS1ZN81 IRS USD P F 1.55750 IS1ZN81 CCPINFLATIONZERO 000000000 3000000.00000000 OU Notional Amount USD 378531.78000000 3.863618499090 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2023-02-10 0.00000000 USD 0.00000000 USD 3000000.00000000 USD 378531.78000000 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BS2E0Z3 IRS USD R V 00MSOFR IS2E105 CCPOIS / Short: BS2E0Z3 IRS USD P F 1.46450 IS2E0Z3 CCPOIS 000000000 6590000.00000000 OU Notional Amount USD 253569.46000000 2.588146380894 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y 2027-02-01 0.00000000 USD 0.00000000 USD 6590000.00000000 USD 253569.46000000 N N N State of West Virginia N/A WEST VIRGINIA ST 956553E72 315000.00000000 PA USD 360645.86000000 3.681059530368 Long DBT MUN US N 2 2027-06-01 Fixed 5.00000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Long: IS2EHT6 TRS USD R F 1.00000 IS2EHT6 BONDTRS / Short: IS2EHT6 TRS USD P V 00MSOFR IS2EHU7 BONDTRS 000000000 8500000.00000000 OU Notional Amount USD -71667.34000000 -0.73149805441 N/A DIR US N 2 Barclays Bank PLC G5GSEF7VJP5I7OUK5573 Bloomberg Barclays 1-10 Year Government Inflation-linked Bond Index XBCIT3T INDEX Y equity-performance leg 2023-03-23 0.00000000 USD 0.00000000 USD 8500000.00000000 USD -71667.34000000 N N N City of New Haven CT 549300U4OHEAZ124LQ06 NEW HAVEN CT 6450204H8 70000.00000000 PA USD 77846.10000000 0.794563753780 Long DBT MUN US N 2 2026-08-01 Fixed 5.25000000 N N N N N N Michigan State University N/A MICHIGAN ST UNIV REVENUES 594712WA5 160000.00000000 PA USD 184276.02000000 1.880878376475 Long DBT MUN US N 2 2032-08-15 Fixed 5.00000000 N N N N N N Alaska Industrial Development & Export Authority N/A ALASKA ST INDL DEV & EXPORT AUTH REVENUE 011903HA2 445000.00000000 PA USD 464014.18000000 4.736124849777 Long DBT MUN US N 2 2033-04-01 Fixed 4.00000000 N N N N N N Parish of St James LA N/A SAINT JAMES PARISH LA REVENUE 790103AY1 100000.00000000 PA USD 105336.50000000 1.075154244722 Long DBT MUN US N 2 2041-08-01 Floating 5.85000000 N N N N N N Kentucky Public Energy Authority N/A KENTUCKY ST PUBLIC ENERGY AUTH GAS SPLY REVENUE 74440DCM4 570000.00000000 PA USD 583766.75000000 5.958421811912 Long DBT MUN US N 2 2050-02-01 Floating 4.00000000 N N N N N N Louisville/Jefferson County Metropolitan Government N/A LOUISVILLE & JEFFERSON CNTY KY MET GOVT HLTH SYS REVENUE 54659LCA0 320000.00000000 PA USD 318707.68000000 3.253002662683 Long DBT MUN US N 2 2040-10-01 Fixed 4.00000000 N N N N N N Weld County School District No RE-2 Eaton N/A WELD CNTY CO SCH DIST #RE002 EATON 949255GP2 325000.00000000 PA USD 374953.15000000 3.827091946235 Long DBT MUN US N 2 2027-12-01 Fixed 5.00000000 N N N N N N Public Finance Authority 5493004S6D3NA627K012 PUBLIC FIN AUTH WI REVENUE 74442PMT9 50000.00000000 PA USD 51297.88000000 0.523589956257 Long DBT MUN US N 2 2034-10-01 Fixed 5.00000000 N N N N N N Alliance Bernstein 5493006YWHO7MNK2U579 AB Fixed Income Shares, Inc. - Government Money Market Portfolio 018616748 1721606.45000000 NS USD 1721606.45000000 17.57218516335 Long STIV RF US N 1 N N N LCH Limited F226TOH6YD6XJB17KS62 Long: BS1YNQ6 IRS USD R V 12MUSCPI IS1YNR7 CCPINFLATIONZERO / Short: BS1YNQ6 IRS USD P F 1.84600 IS1YNQ6 CCPINFLATIONZERO 000000000 900000.00000000 OU Notional Amount USD 110563.51000000 1.128505571078 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 N/A N/A Y Inflation based on US CPI Urban Consumers NSA 2024-12-24 0.00000000 USD 0.00000000 USD 900000.00000000 USD 110563.51000000 N N N 2022-08-26 AB CORPORATE SHARES Joseph Mantineo Joseph Mantineo Treasurer and Chief Financial Officer XXXX NPORT-EX 2 NPORT_64BJ_38204677_0722.htm HTML

AB Tax-Aware Real Return Income Shares

Portfolio of Investments

July 31, 2022 (unaudited)

 

      Principal
Amount
(000)
       U.S. $ Value  

MUNICIPAL OBLIGATIONS – 73.1%

 

Long-Term Municipal Bonds – 73.1%

 

Alaska – 4.7%

 

Alaska Industrial Development & Export Authority

(Greater Fairbanks Community Hospital Foundation Obligated Group)
Series 2019
4.00%, 04/01/2033

   $ 445        $        464,014  
       

 

 

 

Arizona – 3.1%

 

City of Phoenix Civic Improvement Corp.

(Phoenix Sky Harbor International Airport)
Series 2019-B
5.00%, 07/01/2033

     275          305,680  
       

 

 

 

Colorado – 3.8%

 

Weld County School District No. RE-2 Eaton
Series 2019
5.00%, 12/01/2027

     325          374,953  
       

 

 

 

Connecticut – 9.3%

 

City of New Haven CT
Series 2017-A
5.25%, 08/01/2026

     70          77,846  

Connecticut State Health & Educational Facilities Authority

(Hartford HealthCare Obligated Group)
Series 2020-A
5.00%, 07/01/2034

     515          576,607  

State of Connecticut
Series 2020-A
5.00%, 01/15/2031

     215          253,184  
       

 

 

 
          907,637  
       

 

 

 

District of Columbia – 3.5%

 

District of Columbia

(District of Columbia Fed Hwy Grant)
Series 2020
5.00%, 12/01/2031

     290          338,932  
       

 

 

 

Florida – 3.8%

 

Capital Projects Finance Authority/FL

(CAPFA Capital Corp. 2000F)
Series 2020-A
5.00%, 10/01/2033

     250          261,752  

Greater Orlando Aviation Authority
Series 2019-A
5.00%, 10/01/2027

     95          106,513  
       

 

 

 
          368,265  
       

 

 

 

Illinois – 7.3%

 

Illinois Finance Authority

(Illinois Institute of Technology)
Series 2019
5.00%, 09/01/2032

     100          106,127  

Sales Tax Securitization Corp.
Series 2020-A
5.00%, 01/01/2026

               270          294,053  

 

1


      Principal
Amount
(000)
       U.S. $ Value  

State of Illinois
Series 2018-A
5.00%, 10/01/2025

   $           295        $        317,377  
       

 

 

 
          717,557  
       

 

 

 

Kentucky – 10.3%

       

City of Ashland KY

(Ashland Hospital Corp. Obligated Group)
Series 2019
5.00%, 02/01/2027

     100          109,442  

Kentucky Public Energy Authority

(Morgan Stanley)
Series 2019-C
4.00%, 02/01/2050

     570          583,767  

Louisville/Jefferson County Metropolitan Government

(Norton Healthcare Obligated Group)
Series 2020-A
4.00%, 10/01/2040

     320          318,707  
       

 

 

 
          1,011,916  
       

 

 

 

Louisiana – 1.1%

       

Parish of St. James LA

(NuStar Logistics LP)
Series 2020
5.85%, 08/01/2041(a)

     100          105,337  
       

 

 

 

Michigan – 1.9%

       

Michigan State University
Series 2019-C
5.00%, 08/15/2032

     160          184,276  
       

 

 

 

New Jersey – 3.8%

       

New Jersey Transportation Trust Fund Authority

(New Jersey Transportation Trust Fund Authority State Lease)
Series 2019
5.00%, 12/15/2031

     330          368,445  
       

 

 

 

New York – 6.5%

       

Metropolitan Transportation Authority
Series 2012-C
5.00%, 11/15/2030

     260          262,462  

New York City Transitional Finance Authority Future Tax Secured Revenue
Series 2019-B
5.00%, 11/01/2035

     200          228,596  

New York Transportation Development Corp.

(Delta Air Lines, Inc.)
Series 2020
4.375%, 10/01/2045

     150          146,889  
       

 

 

 
          637,947  
       

 

 

 

Ohio – 1.7%

       

Buckeye Tobacco Settlement Financing Authority
Series 2020-A
5.00%, 06/01/2035

     150          164,324  
       

 

 

 

 

2


      Principal
Amount
(000)
       U.S. $ Value  

Other – 0.9%

       

Federal Home Loan Mortgage Corp. Multifamily VRD Certificates
2.65%, 06/15/2036(a)

   $           100        $          90,066  
       

 

 

 

Pennsylvania – 3.2%

       

City of Philadelphia PA
Series 2019-B
5.00%, 02/01/2030

     155          180,008  

Commonwealth Financing Authority

(Commonwealth Financing Authority State Lease)
Series 2018
5.00%, 06/01/2025

     120          128,915  
       

 

 

 
          308,923  
       

 

 

 

Texas – 1.9%

       

City of Houston TX Airport System Revenue

(United Airlines, Inc.)
Series 2014
5.00%, 07/01/2029

     100          101,919  

Port Beaumont Navigation District

(Jefferson Railport Terminal II LLC)
Series 2020
3.625%, 01/01/2035(a)

     100          87,732  
       

 

 

 
          189,651  
       

 

 

 

Virginia – 2.1%

       

Virginia College Building Authority

(Virginia College Building Authority State Lease)
Series 2019
5.00%, 02/01/2026

     190          210,738  
       

 

 

 

West Virginia – 3.7%

       

State of West Virginia
Series 2019
5.00%, 06/01/2027

     315          360,646  
       

 

 

 

Wisconsin – 0.5%

       

UMA Education, Inc.
Series 2019
5.00%, 10/01/2034(a)

     50          51,298  
       

 

 

 

Total Municipal Obligations
(cost $7,514,321)

          7,160,605  
       

 

 

 

 

3


      Shares        U.S. $ Value  

SHORT-TERM INVESTMENTS – 17.6%

       

Investment Companies – 17.6%

       

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 1.72%(b) (c) (d)
(cost $1,721,607)

     1,721,607        $ 1,721,607  
       

 

 

 

Total Investments – 90.7%
(cost $9,235,928)(e)

                               8,882,212  

Other assets less liabilities – 9.3%

          914,817  
       

 

 

 

Net Assets – 100.0%

        $     9,797,029  
       

 

 

 

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      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  
                         

 

 

      

 

 

      

 

 

 
     $     1,145,603        $     —        $     1,145,603  
                         

 

 

      

 

 

      

 

 

 

 

#

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      5,910      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  
                         

 

 

      

 

 

      

 

 

 
                          $     546,120        $     —        $     546,120  
                         

 

 

      

 

 

      

 

 

 

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)
 
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)
 
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
                

 

 

 
                 $     (145,758
                

 

 

 

 

(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 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.

(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 Fund’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 0.0% and 0.0%, respectively.

Glossary:

CPI – Consumer Price Index

SOFR – Secured Overnight Financing Rate

 

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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 Fund’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 Fund’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 Fund’s investments by the above fair value hierarchy levels as of July 31, 2022:

 

Investments in Securities:

   Level 1      Level 2     Level 3      Total  
Assets:

 

Long-Term Municipal Bonds    $      $ 7,160,605     $      $ 7,160,605  
Short-Term Investments      1,721,607                     1,721,607  
  

 

 

    

 

 

   

 

 

    

 

 

 
Total Investments in Securities      1,721,607        7,160,605              8,882,212  
Other Financial Instruments(a):           
Assets:

 

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:

 

Total Return Swaps             (145,758            (145,758
  

 

 

    

 

 

   

 

 

    

 

 

 
Total    $     1,721,607      $     8,815,022     $                 —      $     10,536,629  
  

 

 

    

 

 

   

 

 

    

 

 

 

 

(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 Fund’s 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)

 
Government Money Market Portfolio    $     2,209      $     1,795      $     2,282      $     1,722      $     4  

 

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