NPORT-EX 2 NPORT_A_64BJ_69176626_0123.htm HTML

AB Tax-Aware Real Return Income Shares

Portfolio of Investments

January 31, 2023 (unaudited)

 

      Principal
Amount
(000)		        U.S. $ Value  

MUNICIPAL OBLIGATIONS – 83.0%

 

Long-Term Municipal Bonds – 83.0%

 

Alaska – 5.6%

 

Alaska Industrial Development & Export Authority

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

    $        445        $        462,087  
       

 

 

  

Arizona – 3.7%

 

City of Phoenix Civic Improvement Corp.

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

      275          303,485  
       

 

 

  

Colorado – 4.5%

 

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

      325          366,725  
       

 

 

  

Connecticut – 10.9%

 

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

      70          75,667  

Connecticut State Health & Educational Facilities Authority

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

      515          570,696  

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

      215          249,946  
       

 

 

  
          896,309  
       

 

 

  

District of Columbia – 4.1%

 

District of Columbia

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

      290          337,589  
       

 

 

  

Florida – 4.4%

 

Capital Projects Finance Authority/FL

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

      250          256,057  

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

      95          103,873  
       

 

 

  
          359,930  
       

 

 

  

Illinois – 8.6%

 

Illinois Finance Authority

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

      100          102,479  

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

      270          288,204  

 

1

      Principal
Amount
(000)		        U.S. $ Value  

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

    $        295        $        310,078  
       

 

 

  
          700,761  
       

 

 

  

Kentucky – 12.1%

 

City of Ashland KY

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

      100          106,957  

Kentucky Public Energy Authority

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

      570          571,585  

Louisville/Jefferson County Metropolitan Government

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

      320          311,016  
       

 

 

  
          989,558  
       

 

 

  

Louisiana – 1.3%

 

Parish of St. James LA

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

      100          103,060  
       

 

 

  

Michigan – 2.3%

 

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

      160          184,634  
       

 

 

  

New Jersey – 4.6%

 

New Jersey Transportation Trust Fund Authority
Series 2019
5.00%, 12/15/2031

      330          374,567  
       

 

 

  

New York – 4.6%

 

Metropolitan Transportation Authority
Series 2020-C
4.75%, 11/15/2045

      150          149,596  

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

      200          228,454  
       

 

 

  
          378,050  
       

 

 

  

Ohio – 2.0%

 

Buckeye Tobacco Settlement Financing Authority
Series 2020-A
5.00%, 06/01/2034

      150          163,422  
       

 

 

  

Other – 1.0%

 

Federal Home Loan Mortgage Corp. Multifamily VRD Certificates

(FHLMC Multifamily VRD Certificates)
2.65%, 06/15/2036(a)

      100          83,542  
       

 

 

  

 

2

      Principal
Amount
(000)		        U.S. $ Value  

Pennsylvania – 3.7%

 

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

    $      155        $     174,350  

Commonwealth Financing Authority

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

      120          126,093  
       

 

 

  
          300,443  
       

 

 

  

Texas – 2.2%

        

City of Houston TX Airport System Revenue

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

      100          101,027  

Port Beaumont Navigation District

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

      100          82,076  
       

 

 

  
          183,103  
       

 

 

  

Virginia – 2.5%

        

Virginia College Building Authority

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

      190          205,567  
       

 

 

  

West Virginia – 4.3%

        

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

      315          352,056  
       

 

 

  

Wisconsin – 0.6%

        

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

      50          49,822  
       

 

 

  

Total Municipal Obligations
(cost $7,142,718)

           6,794,710  
       

 

 

  
     Shares           

SHORT-TERM INVESTMENTS – 8.4%

        

Investment Companies – 8.4%

        

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 4.15%(b) (c) (d)
(cost $685,444)

      685,444          685,444  
       

 

 

  

Total Investments – 91.4%
(cost $7,828,162)(e)

           7,480,154  

Other assets less liabilities – 8.6%

           704,042  
       

 

 

  

Net Assets – 100.0%

         $     8,184,196  
       

 

 

  

 

3

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      $ 327,186        $ —        $ 327,186  
USD      900      12/24/2024      1.846%      CPI#      Maturity        96,675          —          96,675  
USD      2,000      02/10/2027      1.755%      CPI#      Maturity        244,817          —          244,817  
USD      2,350      12/24/2029      1.978%      CPI#      Maturity        290,525          —          290,525  
                         

 

 

       

 

 

       

 

 

  
     $     959,203        $     —        $     959,203  
                         

 

 

       

 

 

       

 

 

  

 

#

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      6,060      02/01/2025      4.283%      1 Day SOFR      Annual      $ (6,074 )       $ —        $ (6,074 ) 
USD      7,010      02/01/2028      3.469%      1 Day SOFR      Annual        (15,407 )         —          (15,407 ) 
USD      2,830      02/01/2033      3.250%      1 Day SOFR      Annual        (5,743 )         —          (5,743 ) 
                         

 

 

       

 

 

       

 

 

  
                          $     (27,224 )       $     —        $     (27,224 ) 
                         

 

 

       

 

 

       

 

 

  

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    $     73,651      $     —      $     73,651  

 

#

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

     

 1 Day
SOFR plus
0.25%		  
 
 		     Maturity        USD        5,525        03/01/2023      $ (405,301 ) 

Barclays Capital US Inflation Linked Bonds 1 to 10 Year

     

 1 Day
SOFR plus
0.25%		  
 
 		     Maturity        USD        8,131        03/23/2023        (558,451 ) 
                

 

 

  
                 $     (963,752 ) 
                

 

 

  

 

(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 January 31, 2023, the aggregate market value of these securities amounted to $318,500 or 3.9% 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 January 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $1,044,587 and gross unrealized depreciation of investments was $(1,350,717), resulting in net unrealized depreciation of $(306,130).

 

Glossary:
CPI – Consumer Price Index
FHLMC – Federal Home Loan Mortgage Corporation
SOFR – Secured Overnight Financing Rate

 

5

AB Tax-Aware Real Return Income Shares    

January 31, 2023 (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 January 31, 2023:

 

Investments in Securities:

    Level 1      Level 2     Level 3      Total  
Assets:

 

Long-Term Municipal Bonds    $ —      $ 6,794,710     $ —      $ 6,794,710  
Short-Term Investments      685,444        —       —        685,444  
  

 

 

     

 

 

    

 

 

     

 

 

  
Total Investments in Securities      685,444        6,794,710       —        7,480,154  
Other Financial Instruments(a):           
Assets:

 

Centrally Cleared Inflation (CPI) Swaps      —        959,203       —        959,203  
Inflation (CPI) Swaps      —        73,651       —        73,651  
Liabilities:

 

Centrally Cleared Interest Rate Swaps      —        (27,224 )      —        (27,224 ) 
Total Return Swaps      —        (963,752 )      —        (963,752 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  
Total    $     685,444      $     6,836,588     $                 —      $     7,522,032  
  

 

 

     

 

 

    

 

 

     

 

 

  

 

(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, written options and written swaptions which are valued at market value.

A summary of the Fund’s transactions in AB mutual funds for the nine months ended January 31, 2023 is as follows:

 

Fund   

Market Value

04/30/2022

(000)

     

Purchases

at Cost

(000)

     

Sales

Proceeds

(000)

     

Market Value

01/31/2023

(000)

     

Dividend

Income

(000)

  
Government Money Market Portfolio    $     2,209      $     4,578      $     6,102      $     685      $     24  

 

7