AB Bond Inflation Strategy
Portfolio of Investments
July 31, 2023 (unaudited)
Principal Amount (000) |
U.S. $ Value | |||||||||||
INFLATION-LINKED SECURITIES 72.5% |
||||||||||||
United States 72.5% |
||||||||||||
U.S. Treasury Inflation Index |
U.S.$ | 64,076 | $ | 62,193,851 | ||||||||
0.125%, 07/15/2026 (TIPS) |
121,215 | 113,941,694 | ||||||||||
0.125%, 07/15/2030 (TIPS)(a) |
284,142 | 254,795,755 | ||||||||||
0.125%, 07/15/2031 (TIPS) |
19,214 | 17,022,624 | ||||||||||
0.375%, 07/15/2027 (TIPS) |
21,409 | 20,104,626 | ||||||||||
2.50%, 01/15/2029 (TIPS)(a) |
84,712 | 87,438,168 | ||||||||||
|
|
|||||||||||
Total Inflation-Linked Securities |
555,496,718 | |||||||||||
|
|
|||||||||||
CORPORATES - INVESTMENT GRADE 7.2% |
||||||||||||
Financial Institutions 3.8% |
||||||||||||
Banking 2.9% |
||||||||||||
AIB Group PLC |
746 | 733,064 | ||||||||||
Ally Financial, Inc. |
575 | 579,157 | ||||||||||
Banco de Credito del Peru S.A. |
958 | 886,782 | ||||||||||
Banco Santander SA |
400 | 400,000 | ||||||||||
Bank of Ireland Group PLC |
456 | 454,536 | ||||||||||
BNP Paribas SA |
1,255 | 964,204 | ||||||||||
Capital One Financial Corp. |
1,080 | 1,089,990 | ||||||||||
Citigroup, Inc. |
103 | 103,334 | ||||||||||
Series W |
504 | 452,305 | ||||||||||
Series Y |
480 | 403,642 | ||||||||||
Credit Suisse Group AG |
1,025 | 1,026,619 | ||||||||||
Deutsche Bank AG/New York NY |
296 | 268,262 | ||||||||||
3.961%, 11/26/2025 |
405 | 390,153 | ||||||||||
6.119%, 07/14/2026 |
696 | 692,659 | ||||||||||
7.146%, 07/13/2027 |
233 | 237,625 | ||||||||||
Discover Bank |
327 | 297,433 | ||||||||||
Goldman Sachs Group, Inc. (The) |
775 | 663,423 | ||||||||||
HSBC Holdings PLC |
420 | 434,158 | ||||||||||
8.113%, 11/03/2033 |
1,738 | 1,924,661 | ||||||||||
Lloyds Banking Group PLC |
1,011 | 944,122 |
1
Principal Amount (000) |
U.S. $ Value | |||||||||||
Morgan Stanley |
EUR | 1,030 | $ | 1,001,876 | ||||||||
NatWest Group PLC |
U.S.$ | 648 | 640,030 | |||||||||
Santander Holdings USA, Inc. |
497 | 432,440 | ||||||||||
6.499%, 03/09/2029 |
458 | 459,924 | ||||||||||
6.565%, 06/12/2029 |
37 | 36,924 | ||||||||||
Standard Chartered PLC |
657 | 632,592 | ||||||||||
6.00%, 07/26/2025(b) (c) |
1,267 | 1,220,501 | ||||||||||
7.141% (LIBOR 3 Month + 1.51%), 01/30/2027(b) (c) (d) |
400 | 368,676 | ||||||||||
Svenska Handelsbanken AB |
1,400 | 1,107,442 | ||||||||||
UBS Group AG |
614 | 555,142 | ||||||||||
UniCredit SpA |
204 | 180,271 | ||||||||||
2.569%, 09/22/2026(b) |
1,071 | 980,554 | ||||||||||
3.127%, 06/03/2032(b) |
368 | 293,992 | ||||||||||
US Bancorp |
427 | 373,881 | ||||||||||
Wells Fargo & Co. |
493 | 506,967 | ||||||||||
Series BB |
418 | 374,971 | ||||||||||
|
|
|||||||||||
22,112,312 | ||||||||||||
|
|
|||||||||||
Brokerage 0.2% |
||||||||||||
Charles Schwab Corp. (The) |
253 | 247,497 | ||||||||||
Series I |
1,366 | 1,221,873 | ||||||||||
|
|
|||||||||||
1,469,370 | ||||||||||||
|
|
|||||||||||
Finance 0.5% |
||||||||||||
Aircastle Ltd. |
232 | 227,942 | ||||||||||
6.50%, 07/18/2028(b) |
558 | 558,731 | ||||||||||
Aviation Capital Group LLC |
346 | 303,625 | ||||||||||
4.125%, 08/01/2025(b) |
7 | 6,647 | ||||||||||
4.375%, 01/30/2024(b) |
194 | 191,290 | ||||||||||
4.875%, 10/01/2025(b) |
246 | 236,758 | ||||||||||
5.50%, 12/15/2024(b) |
425 | 417,609 | ||||||||||
6.375%, 07/15/2030(b) |
245 | 244,765 | ||||||||||
Synchrony Financial |
791 | 588,457 | ||||||||||
3.95%, 12/01/2027 |
429 | 382,917 | ||||||||||
4.50%, 07/23/2025 |
244 | 233,513 |
2
Principal Amount (000) |
U.S. $ Value | |||||||||||
4.875%, 06/13/2025 |
U.S.$ | 414 | $ | 400,197 | ||||||||
|
|
|||||||||||
3,792,451 | ||||||||||||
|
|
|||||||||||
REITs 0.2% |
||||||||||||
GLP Capital LP/GLP Financing II, Inc. |
949 | 776,035 | ||||||||||
4.00%, 01/15/2031 |
414 | 357,928 | ||||||||||
Vornado Realty LP |
718 | 532,232 | ||||||||||
|
|
|||||||||||
1,666,195 | ||||||||||||
|
|
|||||||||||
29,040,328 | ||||||||||||
|
|
|||||||||||
Industrial 3.1% |
||||||||||||
Basic 0.1% |
||||||||||||
Freeport Indonesia PT |
415 | 401,463 | ||||||||||
|
|
|||||||||||
Communications - Media 0.2% |
||||||||||||
Cox Communications, Inc. |
281 | 282,307 | ||||||||||
Interpublic Group of Cos., Inc. (The) |
547 | 533,850 | ||||||||||
Prosus NV |
593 | 535,052 | ||||||||||
4.027%, 08/03/2050(b) |
487 | 311,096 | ||||||||||
Tencent Holdings Ltd. |
655 | 422,003 | ||||||||||
|
|
|||||||||||
2,084,308 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.0% |
||||||||||||
T-Mobile USA, Inc. |
240 | 234,727 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.5% |
||||||||||||
General Motors Financial Co., Inc. |
723 | 725,972 | ||||||||||
Harley-Davidson Financial Services, Inc. |
1,942 | 1,769,997 | ||||||||||
Nissan Motor Co., Ltd. |
1,378 | 1,279,004 | ||||||||||
|
|
|||||||||||
3,774,973 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.1% |
||||||||||||
Marriott International, Inc./MD |
92 | 92,525 | ||||||||||
MDC Holdings, Inc. |
731 | 654,179 | ||||||||||
|
|
|||||||||||
746,704 | ||||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.3% |
||||||||||||
BAT Capital Corp. |
268 | 268,000 |
3
Principal Amount (000) |
U.S. $ Value | |||||||||||
Cargill, Inc. |
U.S.$ | 632 | $ | 637,972 | ||||||||
Ochsner LSU Health System of North Louisiana |
1,190 | 877,542 | ||||||||||
Takeda Pharmaceutical Co., Ltd. |
384 | 382,015 | ||||||||||
|
|
|||||||||||
2,165,529 | ||||||||||||
|
|
|||||||||||
Energy 0.7% |
||||||||||||
Continental Resources, Inc./OK |
1,496 | 1,161,898 | ||||||||||
5.75%, 01/15/2031(b) |
1,113 | 1,076,694 | ||||||||||
Ecopetrol SA |
1,134 | 1,166,035 | ||||||||||
Oleoducto Central SA |
229 | 203,576 | ||||||||||
ONEOK Partners LP |
105 | 103,185 | ||||||||||
Var Energi ASA |
867 | 901,741 | ||||||||||
8.00%, 11/15/2032(b) |
680 | 733,652 | ||||||||||
|
|
|||||||||||
5,346,781 | ||||||||||||
|
|
|||||||||||
Other Industrial 0.0% |
||||||||||||
LKQ Corp. |
312 | 314,044 | ||||||||||
|
|
|||||||||||
Technology 1.0% |
||||||||||||
Honeywell International, Inc. |
EUR | 1,853 | 2,038,699 | |||||||||
Kyndryl Holdings, Inc. |
U.S.$ | 1,428 | 1,244,216 | |||||||||
Lenovo Group Ltd. |
1,193 | 1,187,154 | ||||||||||
6.536%, 07/27/2032(b) |
1,139 | 1,159,616 | ||||||||||
NXP BV/NXP Funding LLC |
711 | 719,248 | ||||||||||
SK Hynix, Inc. |
382 | 296,497 | ||||||||||
TSMC Arizona Corp. |
1,009 | 969,114 | ||||||||||
|
|
|||||||||||
7,614,544 | ||||||||||||
|
|
|||||||||||
Transportation - Railroads 0.1% |
||||||||||||
Lima Metro Line 2 Finance Ltd. |
214 | 194,454 | ||||||||||
5.875%, 07/05/2034(b) |
271 | 265,549 | ||||||||||
|
|
|||||||||||
460,003 | ||||||||||||
|
|
|||||||||||
Transportation - Services 0.1% |
||||||||||||
ENA Master Trust |
303 | 223,735 |
4
Principal Amount (000) |
U.S. $ Value | |||||||||||
ERAC USA Finance LLC |
U.S.$ | 635 | $ | 625,062 | ||||||||
|
|
|||||||||||
848,797 | ||||||||||||
|
|
|||||||||||
23,991,873 | ||||||||||||
|
|
|||||||||||
Utility 0.3% |
||||||||||||
Electric 0.3% |
||||||||||||
AES Panama Generation Holdings SRL |
355 | 306,898 | ||||||||||
Duke Energy Carolinas NC Storm Funding LLC |
1,183 | 851,003 | ||||||||||
Electricite de France SA |
415 | 437,700 | ||||||||||
Engie Energia Chile SA |
751 | 624,975 | ||||||||||
|
|
|||||||||||
2,220,576 | ||||||||||||
|
|
|||||||||||
Total Corporates - Investment Grade |
55,252,777 | |||||||||||
|
|
|||||||||||
ASSET-BACKED SECURITIES 5.9% |
||||||||||||
Autos - Fixed Rate 3.1% |
||||||||||||
ACM Auto Trust |
1,047 | 1,045,751 | ||||||||||
American Credit Acceptance Receivables
Trust |
290 | 289,563 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC |
1,294 | 1,273,055 | ||||||||||
Carvana Auto Receivables Trust |
244 | 226,692 | ||||||||||
Series 2021-N4, Class D |
916 | 859,682 | ||||||||||
Series 2021-P4, Class D |
1,206 | 1,011,478 | ||||||||||
CPS Auto Receivables Trust |
1,080 | 1,011,530 | ||||||||||
Series 2022-A, Class C |
1,765 | 1,671,625 | ||||||||||
FHF Trust |
295 | 281,484 | ||||||||||
Ford Credit Auto Owner Trust |
1,000 | 876,786 |
5
Principal Amount (000) |
U.S. $ Value | |||||||||||
Hertz Vehicle Financing III LLC |
U.S.$ | 1,660 | $ | 1,525,933 | ||||||||
LAD Auto Receivables Trust |
450 | 439,443 | ||||||||||
Series 2022-1A, Class A |
1,351 | 1,336,500 | ||||||||||
Lendbuzz Securitization Trust |
1,179 | 1,171,185 | ||||||||||
Octane Receivables Trust |
1,508 | 1,367,250 | ||||||||||
Prestige Auto Receivables Trust |
903 | 901,119 | ||||||||||
Research-Driven Pagaya Motor Asset Trust VII
|
1,711 | 1,675,671 | ||||||||||
Santander Bank Auto Credit-Linked Notes |
1,375 | 1,352,958 | ||||||||||
Series 2022-B, Class B |
1,322 | 1,313,024 | ||||||||||
Santander Bank NA - SBCLN |
447 | 434,516 | ||||||||||
United Auto Credit Securitization Trust |
541 | 539,665 | ||||||||||
Series 2023-1, Class A |
951 | 949,173 | ||||||||||
Westlake Automobile Receivables Trust |
2,063 | 2,062,046 | ||||||||||
|
|
|||||||||||
23,616,129 | ||||||||||||
|
|
|||||||||||
Other ABS - Fixed Rate 2.4% |
||||||||||||
AB Issuer LLC |
1,446 | 1,191,855 | ||||||||||
Affirm Asset Securitization Trust |
118 | 114,534 | ||||||||||
Series 2021-Z2, Class A |
213 | 205,167 | ||||||||||
Series 2022-X1, Class A |
366 | 357,642 | ||||||||||
Amur Equipment Finance Receivables XI LLC |
828 | 820,053 |
6
Principal Amount (000) |
U.S. $ Value | |||||||||||
Atalaya Equipment Leasing Trust |
U.S.$ | 482 | $ | 455,450 | ||||||||
BHG Securitization Trust |
1,350 | 1,061,192 | ||||||||||
Cajun Global LLC |
454 | 387,472 | ||||||||||
College Ave Student Loans LLC |
603 | 512,801 | ||||||||||
Dext ABS LLC |
197 | 180,364 | ||||||||||
Series 2023-1, Class A2 |
2,148 | 2,117,970 | ||||||||||
Diamond Issuer |
2,152 | 1,851,295 | ||||||||||
Dominos Pizza Master Issuer LLC |
763 | 645,275 | ||||||||||
GCI Funding I LLC |
468 | 396,987 | ||||||||||
Hardees Funding LLC |
494 | 443,942 | ||||||||||
Series 2020-1A, Class A2 |
326 | 275,639 | ||||||||||
MVW LLC |
722 | 637,981 | ||||||||||
Neighborly Issuer LLC |
514 | 428,517 | ||||||||||
Series 2022-1A, Class A2 |
1,640 | 1,344,755 | ||||||||||
Series 2023-1A, Class A2 |
1,955 | 1,903,695 | ||||||||||
Nelnet Student Loan Trust |
758 | 598,997 | ||||||||||
Series 2021-DA, Class B |
793 | 645,425 | ||||||||||
NMEF Funding LLC |
939 | 932,463 |
7
Principal Amount (000) |
U.S. $ Value | |||||||||||
Upstart Securitization Trust |
U.S.$ | 1,090 | $ | 1,054,686 | ||||||||
|
|
|||||||||||
18,564,157 | ||||||||||||
|
|
|||||||||||
Credit Cards - Fixed Rate 0.4% |
||||||||||||
Brex Commercial Charge Card Master Trust |
2,894 | 2,823,866 | ||||||||||
|
|
|||||||||||
Total Asset-Backed Securities |
45,004,152 | |||||||||||
|
|
|||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS 5.2% |
||||||||||||
Risk Share Floating Rate 5.0% |
||||||||||||
Bellemeade Re Ltd. |
335 | 335,922 | ||||||||||
Series 2021-1A, Class M1C |
728 | 738,999 | ||||||||||
Series 2021-2A, Class M1B |
1,425 | 1,418,566 | ||||||||||
Series 2021-3A, Class A2 |
1,699 | 1,672,468 | ||||||||||
Series 2022-1, Class M1B |
1,255 | 1,244,453 | ||||||||||
Series 2022-2, Class M1A |
2,594 | 2,650,842 | ||||||||||
Connecticut Avenue Securities Trust |
22 | 21,935 | ||||||||||
Series 2019-R02, Class 1M2 |
1 | 1,131 | ||||||||||
Series 2019-R03, Class 1M2 |
2 | 2,402 | ||||||||||
Series 2019-R07, Class 1M2 |
35 | 35,092 | ||||||||||
Series 2020-R01, Class 1M2 |
320 | 322,199 |
8
Principal Amount (000) |
U.S. $ Value | |||||||||||
Series 2020-R02, Class 2M2 |
U.S.$ | 159 | $ | 159,455 | ||||||||
Series 2022-R01, Class 1M2 |
2,899 | 2,853,661 | ||||||||||
Series 2022-R02, Class 2M1 |
1,456 | 1,454,580 | ||||||||||
Series 2022-R03, Class 1M2 |
2,283 | 2,360,423 | ||||||||||
Series 2022-R04, Class 1M2 |
573 | 583,487 | ||||||||||
Series 2023-R02, Class 1M1 |
1,025 | 1,040,155 | ||||||||||
Eagle Re Ltd. |
675 | 677,365 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
82 | 85,689 | ||||||||||
Series 2019-DNA4, Class M2 |
29 | 29,080 | ||||||||||
Series 2020-DNA1, Class M2 |
134 | 133,547 | ||||||||||
Series 2020-DNA5, Class M2 |
301 | 305,781 | ||||||||||
Series 2021-DNA5, Class M2 |
417 | 417,580 | ||||||||||
Series 2021-DNA6, Class M2 |
2,561 | 2,518,145 | ||||||||||
Series 2021-HQA3, Class M1 |
966 | 954,452 | ||||||||||
Series 2021-HQA4, Class M2 |
1,765 | 1,731,383 | ||||||||||
Series 2022-DNA1, Class M1B |
1,542 | 1,511,352 |
9
Principal Amount (000) |
U.S. $ Value | |||||||||||
Series 2022-DNA2, Class M1B |
U.S.$ | 2,468 | $ | 2,474,056 | ||||||||
Series 2022-DNA3, Class M1B |
1,069 | 1,087,107 | ||||||||||
Series 2022-DNA4, Class M1B |
2,051 | 2,109,830 | ||||||||||
Series 2022-DNA5, Class M1B |
3,681 | 3,929,079 | ||||||||||
Series 2022-DNA6, Class M1A |
967 | 972,210 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities
|
348 | 370,447 | ||||||||||
Series 2021-R02, Class 2M2 |
1,221 | 1,199,503 | ||||||||||
PMT Credit Risk Transfer Trust |
476 | 475,468 | ||||||||||
Series 2019-3R, Class A |
42 | 41,051 | ||||||||||
Series 2020-1R, Class A |
154 | 149,605 | ||||||||||
Triangle Re Ltd. |
519 | 519,705 | ||||||||||
|
|
|||||||||||
38,588,205 | ||||||||||||
|
|
|||||||||||
Agency Floating Rate 0.2% |
||||||||||||
Federal Home Loan Mortgage Corp. REMICs |
1,743 | 141,622 | ||||||||||
Series 4693, Class SL |
1,072 | 104,545 | ||||||||||
Series 4954, Class SL |
1,324 | 130,310 |
10
Principal Amount (000) |
U.S. $ Value | |||||||||||
Series 4981, Class HS |
U.S.$ | 2,646 | $ | 268,845 | ||||||||
Federal National Mortgage Association REMICs |
768 | 70,820 | ||||||||||
Series 2016-77, Class DS |
845 | 77,160 | ||||||||||
Series 2017-62, Class AS |
899 | 95,905 | ||||||||||
Series 2017-97, Class LS |
1,296 | 140,315 | ||||||||||
Government National Mortgage Association |
699 | 74,402 | ||||||||||
Series 2017-134, Class MS |
792 | 86,839 | ||||||||||
|
|
|||||||||||
1,190,763 | ||||||||||||
|
|
|||||||||||
Non-Agency Floating Rate 0.0% |
||||||||||||
JPMorgan Chase Bank, NA |
132 | 129,642 | ||||||||||
|
|
|||||||||||
Total Collateralized Mortgage Obligations |
39,908,610 | |||||||||||
|
|
|||||||||||
COLLATERALIZED LOAN OBLIGATIONS 2.9% |
||||||||||||
CLO - Floating Rate 2.9% |
||||||||||||
AGL CLO 10 Ltd. |
250 | 248,003 | ||||||||||
AGL CLO 12 Ltd. |
948 | 914,943 | ||||||||||
AGL CLO 16 Ltd. |
650 | 628,713 | ||||||||||
Balboa Bay Loan Funding Ltd. |
415 | 402,164 |
11
Principal Amount (000) |
U.S. $ Value | |||||||||||
Series 2021-1A, Class A |
U.S.$ | 1,111 | $ | 1,103,221 | ||||||||
Ballyrock CLO 15 Ltd. |
1,000 | 978,466 | ||||||||||
Ballyrock CLO 16 Ltd. |
660 | 634,877 | ||||||||||
Crown Point CLO 11 Ltd. |
400 | 394,650 | ||||||||||
Dryden 78 CLO Ltd. |
880 | 847,530 | ||||||||||
Series 2020-78A, Class D |
460 | 442,636 | ||||||||||
Dryden 98 CLO Ltd. |
500 | 460,256 | ||||||||||
Elevation CLO Ltd. |
780 | 740,523 | ||||||||||
Elmwood CLO IX Ltd. |
1,065 | 1,034,515 | ||||||||||
Flatiron CLO 21 Ltd. |
1,120 | 1,085,053 | ||||||||||
Goldentree Loan Management US CLO 7 Ltd. |
1,077 | 1,068,648 | ||||||||||
Magnetite XXVI Ltd. |
2,348 | 2,334,886 | ||||||||||
Neuberger Berman Loan Advisers CLO 42 Ltd. |
1,295 | 1,240,428 |
12
Principal Amount (000) |
U.S. $ Value | |||||||||||
Neuberger Berman Loan Advisers CLO 43 Ltd. |
U.S.$ | 1,354 | $ | 1,347,494 | ||||||||
New Mountain CLO 3 Ltd. |
500 | 497,259 | ||||||||||
OCP CLO Ltd. |
1,424 | 1,416,118 | ||||||||||
Pikes Peak CLO 8 |
1,450 | 1,442,390 | ||||||||||
Rad CLO 7 Ltd. |
400 | 391,280 | ||||||||||
Rad CLO 14 Ltd. |
291 | 289,147 | ||||||||||
Regatta XX Funding Ltd. |
1,425 | 1,389,716 | ||||||||||
Regatta XXIV Funding Ltd. |
500 | 485,069 | ||||||||||
Sixth Street CLO XVII Ltd. |
381 | 379,846 | ||||||||||
Voya CLO Ltd. |
340 | 317,094 | ||||||||||
|
|
|||||||||||
Total Collateralized Loan Obligations |
22,514,925 | |||||||||||
|
|
|||||||||||
CORPORATES - NON-INVESTMENT GRADE 1.3% |
||||||||||||
Industrial 1.2% |
||||||||||||
Capital Goods 0.1% |
||||||||||||
TK Elevator Midco GmbH |
EUR | 401 | 401,532 | |||||||||
|
|
|||||||||||
Communications - Media 0.5% |
||||||||||||
Altice Financing SA |
642 | 523,275 |
13
Principal Amount (000) |
U.S. $ Value | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
U.S.$ | 104 | $ | 87,980 | ||||||||
4.50%, 06/01/2033(b) |
368 | 291,456 | ||||||||||
4.75%, 02/01/2032(b) |
2,261 | 1,872,899 | ||||||||||
DISH DBS Corp. |
1,067 | 823,255 | ||||||||||
VZ Vendor Financing II BV |
EUR | 561 | 495,787 | |||||||||
|
|
|||||||||||
4,094,652 | ||||||||||||
|
|
|||||||||||
Communications - Telecommunications 0.1% |
||||||||||||
Altice France SA/France |
307 | 236,246 | ||||||||||
Lorca Telecom Bondco SA |
642 | 661,945 | ||||||||||
|
|
|||||||||||
898,191 | ||||||||||||
|
|
|||||||||||
Consumer Cyclical - Automotive 0.1% |
||||||||||||
Ford Motor Credit Co. LLC |
U.S.$ | 501 | 514,812 | |||||||||
|
|
|||||||||||
Consumer Cyclical - Entertainment 0.1% |
||||||||||||
Carnival Corp. |
1,235 | 1,096,964 | ||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.1% |
||||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV |
EUR | 550 | 533,368 | |||||||||
|
|
|||||||||||
Services 0.1% |
||||||||||||
APCOA Parking Holdings GmbH |
642 | 622,748 | ||||||||||
|
|
|||||||||||
Technology 0.1% |
||||||||||||
Seagate HDD Cayman |
U.S.$ | 881 | 922,751 | |||||||||
|
|
|||||||||||
9,085,018 | ||||||||||||
|
|
|||||||||||
Utility 0.1% |
||||||||||||
Electric 0.1% |
||||||||||||
Vistra Corp. |
751 | 676,688 | ||||||||||
|
|
|||||||||||
Total Corporates - Non-Investment Grade |
9,761,706 | |||||||||||
|
|
|||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 1.2% |
||||||||||||
Non-Agency Floating Rate CMBS 0.7% |
||||||||||||
BAMLL Commercial Mortgage Securities
Trust |
1,755 | 1,550,210 |
14
Principal Amount (000) |
U.S. $ Value | |||||||||||
BBCMS Mortgage Trust |
U.S.$ | 1,383 | $ | 1,313,620 | ||||||||
BX Commercial Mortgage Trust |
185 | 181,733 | ||||||||||
Series 2019-IMC, Class E |
895 | 873,835 | ||||||||||
Federal Home Loan Mortgage Corp. |
110 | 105,383 | ||||||||||
Natixis Commercial Mortgage Securities
Trust |
391 | 359,565 | ||||||||||
|
|
|||||||||||
4,384,346 | ||||||||||||
|
|
|||||||||||
Non-Agency Fixed Rate CMBS 0.5% |
||||||||||||
BAMLL Commercial Mortgage Securities
Trust |
520 | 423,601 | ||||||||||
GS Mortgage Securities Trust |
19 | 5,475 | ||||||||||
Series 2014-GC18, Class D |
158 | 42,452 | ||||||||||
GSF |
573 | 538,591 | ||||||||||
Series 2021-1, Class A2 |
1,421 | 1,342,569 | ||||||||||
Series 2021-1, Class AS |
40 | 38,697 | ||||||||||
HFX Funding Issuer |
1,070 | 1,022,898 | ||||||||||
JPMBB Commercial Mortgage Securities
Trust |
314 | 285,131 | ||||||||||
Series 2014-C22, Class XA |
17,353 | 80,229 | ||||||||||
LB-UBS Commercial Mortgage Trust |
78 | 28,470 |
15
Principal Amount (000) |
U.S. $ Value | |||||||||||
Morgan Stanley Bank of America Merrill Lynch
Trust |
U.S.$ | 9,174 | $ | 133,586 | ||||||||
Wells Fargo Commercial Mortgage Trust |
330 | 279,744 | ||||||||||
Series 2016-NXS6, Class C |
525 | 427,580 | ||||||||||
|
|
|||||||||||
4,649,023 | ||||||||||||
|
|
|||||||||||
Total Commercial Mortgage-Backed Securities |
9,033,369 | |||||||||||
|
|
|||||||||||
MORTGAGE PASS-THROUGHS 1.1% |
||||||||||||
Agency Fixed Rate 30-Year 1.1% |
||||||||||||
Federal National Mortgage Association |
3,619 | 3,062,819 | ||||||||||
3.00%, 02/01/2052 |
6,399 | 5,639,012 | ||||||||||
|
|
|||||||||||
Total Mortgage Pass-Throughs |
8,701,831 | |||||||||||
|
|
|||||||||||
EMERGING MARKETS - CORPORATE BONDS 0.4% |
||||||||||||
Industrial 0.4% |
||||||||||||
Basic 0.0% |
||||||||||||
Volcan Cia Minera SAA |
125 | 89,414 | ||||||||||
|
|
|||||||||||
Capital Goods 0.1% |
||||||||||||
Embraer Netherlands Finance BV |
590 | 578,312 | ||||||||||
Odebrecht Holdco Finance Ltd. |
270 | 1,082 | ||||||||||
|
|
|||||||||||
579,394 | ||||||||||||
|
|
|||||||||||
Communications - Media 0.1% |
||||||||||||
Globo Comunicacao e Participacoes SA |
427 | 356,874 | ||||||||||
|
|
|||||||||||
Consumer Cyclical - Other 0.1% |
||||||||||||
Wynn Macau Ltd. |
483 | 429,870 | ||||||||||
|
|
|||||||||||
Consumer Non-Cyclical 0.1% |
||||||||||||
Natura & Co. Luxembourg Holdings SARL |
592 | 558,552 | ||||||||||
Natura Cosmeticos SA |
583 | 511,145 | ||||||||||
Virgolino de Oliveira Finance SA |
655 | 65 | ||||||||||
|
|
|||||||||||
1,069,762 | ||||||||||||
|
|
|||||||||||
2,525,314 | ||||||||||||
|
|
16
Principal Amount (000) |
U.S. $ Value | |||||||||||
Utility 0.0% |
||||||||||||
Electric 0.0% |
||||||||||||
Terraform Global Operating LP |
U.S.$ | 89 | $ | 87,043 | ||||||||
|
|
|||||||||||
Financial Institutions 0.0% |
||||||||||||
Other Finance 0.0% |
||||||||||||
OEC Finance Ltd. |
266 | 10,646 | ||||||||||
|
|
|||||||||||
Total Emerging Markets - Corporate Bonds |
2,623,003 | |||||||||||
|
|
|||||||||||
QUASI-SOVEREIGNS 0.3% |
||||||||||||
Quasi-Sovereign Bonds 0.3% |
||||||||||||
Hungary 0.2% |
||||||||||||
Magyar Export-Import Bank Zrt |
1,197 | 1,197,024 | ||||||||||
|
|
|||||||||||
Mexico 0.1% |
||||||||||||
Comision Federal de Electricidad |
1,016 | 924,164 | ||||||||||
|
|
|||||||||||
Total Quasi-Sovereigns |
2,121,188 | |||||||||||
|
|
|||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS 0.1% |
||||||||||||
United States 0.1% |
||||||||||||
University of California |
1,465 | 1,004,260 | ||||||||||
|
|
|||||||||||
EMERGING MARKETS - SOVEREIGNS 0.1% |
||||||||||||
Dominican Republic 0.1% |
||||||||||||
Dominican Republic International Bond |
922 | 798,092 | ||||||||||
|
|
|||||||||||
Shares | ||||||||||||
COMMON STOCKS 0.1% |
||||||||||||
Financials 0.1% |
||||||||||||
Insurance 0.1% |
||||||||||||
Mt Logan Re Ltd. (Special
Investment)(g) (i) (k) |
556 | 401,052 | ||||||||||
|
|
|||||||||||
Principal Amount (000) |
||||||||||||
GOVERNMENTS - SOVEREIGN BONDS 0.0% |
||||||||||||
Colombia 0.0% |
||||||||||||
Colombia Government International Bond |
U.S.$ | 248 | 193,564 | |||||||||
|
|
17
Company | Shares | U.S. $ Value | ||||||||||
SHORT-TERM INVESTMENTS 2.7% |
||||||||||||
Investment Companies 2.7% |
||||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.19%(n) (o) (p) |
20,465,783 | $ | 20,465,783 | |||||||||
|
|
|||||||||||
Total Investments 101.0% |
773,281,030 | |||||||||||
Other assets less liabilities (1.0)% |
(7,438,813 | ) | ||||||||||
|
|
|||||||||||
Net Assets 100.0% |
$ | 765,842,217 | ||||||||||
|
|
FUTURES
Description | Number of Contracts |
Expiration Month |
Current Notional |
Value and Unrealized Appreciation (Depreciation) | ||||||||||||||||
Purchased Contracts | ||||||||||||||||||||
U.S. 10 Yr Ultra Futures | 510 | September 2023 | $ | 59,662,031 | $ | (962,974 | ) | |||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 591 | September 2023 | 119,991,469 | (1,641,795 | ) | |||||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 447 | September 2023 | 47,748,680 | (757,773 | ) | |||||||||||||||
Sold Contracts | ||||||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 26 | September 2023 | 26,828,805 | 200,003 | ||||||||||||||||
U.S. Ultra Bond (CBT) Futures | 22 | September 2023 | 2,908,812 | 33,451 | ||||||||||||||||
|
|
|||||||||||||||||||
$ | (3,129,088 | ) | ||||||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS
Counterparty | Contracts to Deliver (000) |
In Exchange (000) |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | EUR | 5,893 | USD | 6,499 | 10/12/2023 | $ | (3,292 | ) | ||||||||||||||||
State Street Bank & Trust Co. | JPY | 1,314 | USD | 10 | 08/25/2023 | 235 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
$ | (3,057 | ) | ||||||||||||||||||||||
|
|
18
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
Description | Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at July 31, 2023 |
Notional (000) |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY Series 40, 5 Year Index, 06/20/2028* |
(5.00 | )% | Quarterly | 4.09% | USD | 4,391 | $ | (179,961 | ) | $ | (9,033 | ) | $ | (170,928 | ) | |||||||||||||||||
iTraxx Australia Series 39, 5 Year Index, 06/20/2028* |
(1.00 | ) | Quarterly | 0.72 | USD | 32,147 | (432,445 | ) | (328,251 | ) | (104,194 | ) | ||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
CDX-NAIG Series 40, 5 Year Index, 06/20/2028* |
1.00 | Quarterly | 0.63 | USD | 32,147 | 553,533 | 432,965 | 120,568 | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (58,873 | ) | $ | 95,681 | $ | (154,554 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
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 | 01/15/2024 | 1.599% | CPI# | Maturity | $ | 395,916 | $ | | $ | 395,916 | |||||||||||||
USD | 20,700 | 07/15/2024 | 3.440% | CPI# | Maturity | 166 | | 166 | ||||||||||||||||
USD | 64,600 | 02/26/2025 | 1.589% | CPI# | Maturity | 8,173,671 | | 8,173,671 | ||||||||||||||||
USD | 38,550 | 02/28/2025 | 1.527% | CPI# | Maturity | 4,993,507 | | 4,993,507 | ||||||||||||||||
USD | 61,010 | 05/13/2027 | 3.263% | CPI# | Maturity | (313,599 | ) | | (313,599 | ) | ||||||||||||||
USD | 29,760 | 07/08/2027 | 2.770% | CPI# | Maturity | 302,308 | | 302,308 | ||||||||||||||||
USD | 29,760 | 07/08/2027 | 2.778% | CPI# | Maturity | 291,708 | | 291,708 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
$ | 13,843,677 | $ | | $ | 13,843,677 | |||||||||||||||||||
|
|
|
|
|
|
# | 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 by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
USD | 1,160 | 06/09/2025 | 2.000% | 1 Day SOFR | Annual | $ | 63,826 | $ | 58,491 | $ | 5,335 | |||||||||||||||||||
USD | 2,106 | 08/04/2025 | 1.970% | 1 Day SOFR | Annual | 138,014 | 113,565 | 24,449 | ||||||||||||||||||||||
USD | 5,400 | 10/04/2026 | 1.170% | 1 Day SOFR | Annual | 582,738 | 505,778 | 76,960 | ||||||||||||||||||||||
USD | 1,080 | 11/08/2026 | 1.451% | 1 Day SOFR | Annual | 108,087 | 93,638 | 14,449 | ||||||||||||||||||||||
USD | 1,080 | 11/09/2026 | 1.470% | 1 Day SOFR | Annual | 107,392 | 93,647 | 13,745 | ||||||||||||||||||||||
USD | 7,030 | 04/04/2027 | 2.235% | 1 Day SOFR | Annual | 529,739 | 477,416 | 52,323 | ||||||||||||||||||||||
USD | 20,920 | 06/05/2027 | 0.345% | 1 Day SOFR | Annual | 2,961,225 | 2,827,034 | 134,191 | ||||||||||||||||||||||
USD | 715 | 07/12/2027 | 2.000% | 1 Day SOFR | Annual | 56,311 | 55,423 | 888 | ||||||||||||||||||||||
USD | 5,395 | 06/04/2029 | 1.985% | 1 Day SOFR | Annual | 557,340 | 536,543 | 20,797 | ||||||||||||||||||||||
USD | 3,170 | 09/27/2029 | 1.300% | 1 Day SOFR | Annual | 486,185 | 442,472 | 43,713 | ||||||||||||||||||||||
USD | 40,300 | 05/21/2031 | 1.394% | 1 Day SOFR | Annual | 6,683,868 | 6,328,047 | 355,821 | ||||||||||||||||||||||
USD | 1,490 | 11/10/2035 | 2.410% | 1 Day SOFR | Annual | 198,887 | 176,299 | 22,588 | ||||||||||||||||||||||
USD | 595 | 03/06/2042 | 3.500% | 1 Day SOFR | Annual | 12,096 | | 12,096 | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
$ | 12,485,708 | $ | 11,708,353 | $ | 777,355 | |||||||||||||||||||||||||
|
|
|
|
|
|
19
CREDIT DEFAULT SWAPS
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at July 31, 2023 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | % | Monthly | 7.50% | USD | 5 | $ | (1,050 | ) | $ | (747 | ) | $ | (303 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 5 | (1,050 | ) | (597 | ) | (453 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 7 | (1,517 | ) | (681 | ) | (836 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 15 | (3,151 | ) | (2,074 | ) | (1,077 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 15 | (3,150 | ) | (1,889 | ) | (1,261 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 14 | (2,918 | ) | (1,554 | ) | (1,364 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 21 | (4,317 | ) | (2,419 | ) | (1,898 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 24 | (5,017 | ) | (2,904 | ) | (2,113 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 24 | (5,018 | ) | (2,812 | ) | (2,206 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 28 | (5,834 | ) | (2,826 | ) | (3,008 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 34 | (7,001 | ) | (3,923 | ) | (3,078 | ) |
20
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at July 31, 2023 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | % | Monthly | 7.50% | USD | 52 | $ | (10,736 | ) | $ | (5,868 | ) | $ | (4,868 | ) | |||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 49 | (10,152 | ) | (5,133 | ) | (5,019 | ) | |||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 3 | (584 | ) | (322 | ) | (262 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 69 | (14,237 | ) | (7,664 | ) | (6,573 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 73 | (15,170 | ) | (5,433 | ) | (9,737 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 95 | (19,721 | ) | (7,213 | ) | (12,508 | ) | |||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 17 | (3,500 | ) | (1,812 | ) | (1,688 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 73 | (15,170 | ) | (8,443 | ) | (6,727 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 84 | (17,504 | ) | (9,741 | ) | (7,763 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 122 | (25,322 | ) | (12,792 | ) | (12,530 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 123 | (25,439 | ) | (12,846 | ) | (12,593 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 402 | (83,319 | ) | (21,122 | ) | (62,197 | ) | |||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8 | (1,750 | ) | (1,174 | ) | (576 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 8 | (1,751 | ) | (693 | ) | (1,058 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 17 | (3,501 | ) | (1,527 | ) | (1,974 | ) |
21
Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at July 31, 2023 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | % | Monthly | 7.50% | USD | 17 | $ | (3,501 | ) | $ | (1,411 | ) | $ | (2,090 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 33 | (6,885 | ) | (3,283 | ) | (3,602 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 93 | (19,371 | ) | (9,115 | ) | (10,256 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 100 | (20,771 | ) | (7,927 | ) | (12,844 | ) | |||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 107 | (22,288 | ) | (6,941 | ) | (15,347 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (360,695 | ) | $ | (152,886 | ) | $ | (207,809 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
(a) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(b) | 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, 2023, the aggregate market value of these securities amounted to $149,315,944 or 19.5% of net assets. |
(c) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(d) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at July 31, 2023. |
(e) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.41% of net assets as of July 31, 2023, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date |
Cost | Market Value |
Percentage of Net Assets | ||||||||
GSF |
02/25/2021 | $ | 554,727 | $ | 538,591 | 0.07% | ||||||
GSF |
02/25/2021 | 1,450,093 | 1,342,569 | 0.18% | ||||||||
GSF |
02/25/2021 | 40,686 | 38,697 | 0.01% | ||||||||
HFX Funding Issuer |
11/19/2020 | 1,135,906 | 1,022,898 | 0.13% | ||||||||
PMT Credit Risk Transfer Trust |
02/11/2000 | 154,096 | 149,605 | 0.02% | ||||||||
Virgolino de Oliveira Finance SA |
01/24/2014 | 363,153 | 65 | 0.00% |
(f) | Inverse interest only security. |
22
(g) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(h) | IO - Interest Only. |
(i) | Non-income producing security. |
(j) | Defaulted matured security. |
(k) | Fair valued by the Adviser. |
(l) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at July 31, 2023. |
(m) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at July 31, 2023. |
(n) | Affiliated investments. |
(o) | 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. |
(p) | The rate shown represents the 7-day yield as of period end. |
(q) | As of July 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $16,747,576 and gross unrealized depreciation of investments was $(27,941,106), resulting in net unrealized depreciation of $(11,193,530). |
Currency Abbreviations:
EUR Euro
JPY Japanese Yen
USD United States Dollar
Glossary:
ABS Asset-Backed Securities
CBT Chicago Board of Trade
CDX-CMBX.NA North American Commercial Mortgage-Backed Index
CDX-NAHY North American High Yield Credit Default Swap Index
CDX-NAIG North American Investment Grade Credit Default Swap Index
CLO Collateralized Loan Obligations
CMBS Commercial Mortgage-Backed Securities
CPI Consumer Price Index
LIBOR London Interbank Offered Rate
OSE Osaka Securities Exchange
REIT Real Estate Investment Trust
REMICs Real Estate Mortgage Investment Conduits
SOFR Secured Overnight Financing Rate
TIPS Treasury Inflation Protected Security
23
AB Bond Inflation Strategy
July 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. 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.
Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.
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Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
The following table summarizes the valuation of the Fund's investments by the above fair value hierarchy levels as of July 31, 2023:
Investments in Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Inflation-Linked Securities | $ | | $ | 555,496,718 | $ | | $ | 555,496,718 | ||||||||
Corporates - Investment Grade | 668,000 | 54,584,777 | | 55,252,777 | ||||||||||||
Asset-Backed Securities | | 45,004,152 | | 45,004,152 | ||||||||||||
Collateralized Mortgage Obligations | | 39,908,610 | | 39,908,610 | ||||||||||||
Collateralized Loan Obligations | | 22,514,925 | | 22,514,925 | ||||||||||||
Corporates - Non-Investment Grade | | 9,761,706 | | 9,761,706 | ||||||||||||
Commercial Mortgage-Backed Securities | | 7,113,512 | 1,919,857 | 9,033,369 | ||||||||||||
Mortgage Pass-Throughs | | 8,701,831 | | 8,701,831 | ||||||||||||
Emerging Markets - Corporate Bonds | | 2,622,938 | 65 | 2,623,003 | ||||||||||||
Quasi-Sovereigns | | 2,121,188 | | 2,121,188 | ||||||||||||
Local Governments - US Municipal Bonds | | 1,004,260 | | 1,004,260 | ||||||||||||
Emerging Markets - Sovereigns | | 798,092 | | 798,092 | ||||||||||||
Common Stocks | | | 401,052 | 401,052 | ||||||||||||
Governments - Sovereign Bonds | | 193,564 | | 193,564 | ||||||||||||
Short-Term Investments | 20,465,783 | | | 20,465,783 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments in Securities | 21,133,783 | 749,826,273 | 2,320,974 | 773,281,030 | ||||||||||||
Other Financial Instruments(a): |
||||||||||||||||
Assets: |
||||||||||||||||
Futures | 233,454 | | | 233,454 | ||||||||||||
Forward Currency Exchange Contracts | | 235 | | 235 | ||||||||||||
Centrally Cleared Credit Default Swaps | | 553,533 | | 553,533 | ||||||||||||
Centrally Cleared Inflation (CPI) Swaps | | 14,157,276 | | 14,157,276 | ||||||||||||
Centrally Cleared Interest Rate Swaps | | 12,485,708 | | 12,485,708 | ||||||||||||
Liabilities: |
||||||||||||||||
Futures | (3,362,542 | ) | | | (3,362,542 | ) | ||||||||||
Forward Currency Exchange Contracts | | (3,292 | ) | | (3,292 | ) | ||||||||||
Centrally Cleared Credit Default Swaps | | (612,406 | ) | | (612,406 | ) | ||||||||||
Centrally Cleared Inflation (CPI) Swaps | | (313,599 | ) | | (313,599 | ) | ||||||||||
Credit Default Swaps | | (360,695 | ) | | (360,695 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 18,004,695 | $ | 775,733,033 | $ | 2,320,974 | $ | 796,058,702 | ||||||||
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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, written options and written swaptions which are valued at market value. |
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A summary of the Fund's transactions in AB mutual funds for the nine months ended July 31, 2023 is as follows:
Fund | Market Value 10/31/2022 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 07/31/2023 (000) |
Dividend Income (000) |
|||||||||||||||
Government Money Market Portfolio | $ | 43,764 | $ | 523,257 | $ | 546,555 | $ | 20,466 | $ | 485 |
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