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

 

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 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.

 

6

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  

 

7