AB Municipal Bond Inflation Strategy
Portfolio of Investments
January 31, 2024 (unaudited)
| Principal Amount (000) |
U.S. $ Value | |||||||
| MUNICIPAL OBLIGATIONS – 93.9% |
| |||||||
| Long-Term Municipal Bonds – 93.9% |
| |||||||
| Alabama – 4.1% |
| |||||||
| Alabama Special Care Facilities Financing Authority-Birmingham AL (Children’s Hospital of Alabama Obligated Group (The)) |
$ | 3,905 | $ | 3,988,340 | ||||
| Black Belt Energy Gas District (Goldman Sachs Group, Inc. (The)) |
1,830 | 1,959,999 | ||||||
| Series 2023-D |
2,500 | 2,504,251 | ||||||
| Black Belt Energy Gas District (Royal Bank of Canada) |
21,155 | 21,274,048 | ||||||
| Series 2022-D |
2,555 | 2,565,580 | ||||||
| Infirmary Health System Special Care Facilities Financing Authority of Mobile (Infirmary Health System Obligated Group) |
2,110 | 2,139,262 | ||||||
| Series 2021 |
1,675 | 1,618,274 | ||||||
| Southeast Alabama Gas Supply District/The (Pacific Mutual Holding Co.) |
2,000 | 2,135,354 | ||||||
| Southeast Energy Authority A Cooperative District (Goldman Sachs Group, Inc. (The)) |
1,000 | 1,042,142 | ||||||
| Southeast Energy Authority A Cooperative District (Morgan Stanley) |
18,485 | 18,306,219 | ||||||
| Southeast Energy Authority A Cooperative District (Royal Bank of Canada) |
2,000 | 2,122,883 | ||||||
| Southeast Energy Authority A Cooperative District (Sumitomo Mitsui Financial Group, Inc.) |
3,000 | 3,199,834 | ||||||
|
|
|
|||||||
| 62,856,186 | ||||||||
|
|
|
|||||||
| Alaska – 0.3% |
| |||||||
| Alaska Housing Finance Corp. (Pre-refunded - Others) |
4,000 | 4,035,042 | ||||||
|
|
|
|||||||
1
| Principal Amount (000) |
U.S. $ Value | |||||||
| American Samoa – 0.1% |
| |||||||
| American Samoa Economic Development Authority (Territory of American Samoa) |
$ | 1,335 | $ | 1,388,634 | ||||
| Series 2018 |
295 | 311,415 | ||||||
| 7.125%, 09/01/2038(b) |
280 | 307,630 | ||||||
|
|
|
|||||||
| 2,007,679 | ||||||||
|
|
|
|||||||
| Arizona – 1.9% |
| |||||||
| Arizona Industrial Development Authority (Equitable School Revolving Fund LLC Obligated Group) |
935 | 962,484 | ||||||
| 5.00%, 11/01/2031 |
800 | 880,849 | ||||||
| 5.00%, 11/01/2032 |
650 | 715,940 | ||||||
| 5.00%, 11/01/2033 |
900 | 988,923 | ||||||
| Arizona Industrial Development Authority (KIPP NYC Public Charter Schools) |
500 | 473,307 | ||||||
| Arizona Industrial Development Authority (Legacy Cares, Inc.) |
1,000 | 60,000 | ||||||
| 6.75%, 07/01/2030(c) (d) (e) |
1,000 | 60,000 | ||||||
| Arizona Industrial Development Authority (Phoenix Children’s Hospital Obligated Group) |
1,800 | 1,823,519 | ||||||
| 5.00%, 02/01/2026 |
1,200 | 1,248,090 | ||||||
| Chandler Industrial Development Authority (Intel Corp.) |
5,000 | 5,174,038 | ||||||
| City of Glendale AZ (City of Glendale AZ COP) |
4,000 | 3,320,422 | ||||||
| City of Phoenix Civic Improvement Corp. (Phoenix Sky Harbor International Airport) |
3,945 | 4,146,590 | ||||||
| City of Tempe AZ (City of Tempe AZ COP) |
2,400 | 2,002,530 | ||||||
| Industrial Development Authority of the County of Pima (The) (La Posada at Park Centre, Inc. Obligated Group) |
1,500 | 1,503,673 | ||||||
| State of Arizona Lottery Revenue (Pre-refunded - US Treasuries) |
5,000 | 5,495,463 | ||||||
|
|
|
|||||||
| 28,855,828 | ||||||||
|
|
|
|||||||
2
| Principal Amount (000) |
U.S. $ Value | |||||||
| Arkansas – 0.1% |
| |||||||
| Arkansas Development Finance Authority (Hybar LLC) |
$ | 1,000 | $ | 1,076,146 | ||||
| City of Fayetteville AR Sales & Use Tax Revenue |
1,000 | 995,332 | ||||||
|
|
|
|||||||
| 2,071,478 | ||||||||
|
|
|
|||||||
| California – 9.0% |
| |||||||
| ARC70 II TRUST |
4,936 | 4,989,978 | ||||||
| California Community Choice Financing Authority (American International Group, Inc.) |
2,000 | 2,139,432 | ||||||
| California Community Choice Financing Authority (Deutsche Bank AG) |
4,925 | 5,206,602 | ||||||
| California Community Choice Financing Authority (Goldman Sachs Group, Inc. (The)) |
1,125 | 1,206,985 | ||||||
| California Community Housing Agency (California Community Housing Agency Brio Apartments & Next on Lex Apartments) |
3,315 | 2,674,803 | ||||||
| California Community Housing Agency (California Community Housing Agency Fountains at Emerald Park) |
995 | 848,323 | ||||||
| California Infrastructure & Economic Development Bank (DesertXpress Enterprises LLC) |
8,910 | 8,910,764 | ||||||
| California Pollution Control Financing Authority (Rialto Bioenergy Facility LLC) |
250 | 18,750 | ||||||
| California State Public Works Board (State of California Department of Corrections & Rehabilitation Lease) |
2,995 | 3,296,080 | ||||||
| California State University |
1,000 | 786,456 | ||||||
3
| Principal Amount (000) |
U.S. $ Value | |||||||
| City of Los Angeles CA |
$ | 4,000 | $ | 4,030,831 | ||||
| City of Los Angeles Department of Airports |
1,410 | 1,487,254 | ||||||
| Series 2021 |
4,000 | 4,472,626 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Acacia on Santa Rosa Creek) |
2,000 | 1,528,232 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Millennium South Bay-Hawthorne) |
3,200 | 2,579,229 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Theo Apartments) |
2,300 | 1,847,774 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Vineyard Gardens Apartments) |
2,000 | 1,435,693 | ||||||
| Sacramento County Water Financing Authority (Sacramento County Water Agency) |
5,000 | 4,487,945 | ||||||
| San Diego County Regional Airport Authority |
3,100 | 3,164,081 | ||||||
| 4.00%, 07/01/2036 |
8,395 | 8,487,525 | ||||||
| 4.00%, 07/01/2039 |
7,075 | 7,043,641 | ||||||
| 4.00%, 07/01/2040 |
8,655 | 8,546,091 | ||||||
| 4.00%, 07/01/2041 |
3,325 | 3,266,213 | ||||||
| 5.00%, 07/01/2030 |
2,785 | 3,057,747 | ||||||
| San Francisco Intl Airport |
5,480 | 5,594,242 | ||||||
| Series 2021-A |
3,275 | 3,639,847 | ||||||
| 5.00%, 05/01/2036 |
5,960 | 6,544,817 | ||||||
| Series 2023-E |
5,000 | 5,696,614 | ||||||
| State of California |
2,655 | 2,680,225 | ||||||
| 5.00%, 10/01/2024 |
3,590 | 3,639,794 | ||||||
| Series 2023 |
10,000 | 11,914,520 | ||||||
| 5.10%, 03/01/2029 |
1,200 | 1,239,840 | ||||||
| University of California |
||||||||
| Series 2022-S |
6,000 | 6,035,342 | ||||||
| 5.00%, 05/15/2025 |
4,000 | 4,114,904 | ||||||
|
|
|
|||||||
| 136,613,200 | ||||||||
|
|
|
|||||||
4
| Principal Amount (000) |
U.S. $ Value | |||||||
| Colorado – 3.3% |
| |||||||
| Arapahoe County School District No. 5 Cherry Creek (Arapahoe County School District No. 5 Cherry Creek COP) |
$ | 2,655 | $ | 2,767,305 | ||||
| City & County of Denver Co. Airport System Revenue |
7,910 | 8,863,437 | ||||||
| City & County of Denver Co. Airport System Revenue (Denver Intl Airport) |
1,700 | 1,778,826 | ||||||
| 5.00%, 12/01/2028 |
2,090 | 2,249,916 | ||||||
| 5.00%, 12/01/2029 |
6,555 | 7,046,042 | ||||||
| Colorado Health Facilities Authority (AdventHealth Obligated Group) |
2,600 | 2,818,732 | ||||||
| Series 2023 |
5,280 | 5,709,040 | ||||||
| Colorado Health Facilities Authority (CommonSpirit Health) |
1,015 | 1,104,614 | ||||||
| 5.00%, 08/01/2032 |
640 | 694,502 | ||||||
| 5.00%, 08/01/2033 |
750 | 812,749 | ||||||
| Colorado Health Facilities Authority (Intermountain Healthcare Obligated Group) |
1,445 | 1,459,709 | ||||||
| Colorado Health Facilities Authority (Sanford Obligated Group) |
1,525 | 1,669,379 | ||||||
| E-470 Public Highway Authority |
2,000 | 1,995,379 | ||||||
| Johnstown Plaza Metropolitan District |
1,873 | 1,555,825 | ||||||
| Platte River Metropolitan District |
365 | 375,861 | ||||||
| State of Colorado (State of Colorado COP) |
6,000 | 7,270,919 | ||||||
5
| Principal Amount (000) |
U.S. $ Value | |||||||
| Sterling Ranch Community Authority Board (Sterling Ranch Colorado Metropolitan District No. 2) |
$ | 1,050 | $ | 924,683 | ||||
| Sterling Ranch Community Authority Board (Sterling Ranch Metropolitan District No. 3) |
1,000 | 1,037,036 | ||||||
| Vauxmont Metropolitan District AGM |
260 | 263,815 | ||||||
|
|
|
|||||||
| 50,397,769 | ||||||||
|
|
|
|||||||
| Connecticut – 2.7% |
| |||||||
| City of New Haven CT |
1,920 | 2,086,803 | ||||||
| Connecticut State Health & Educational Facilities Authority (Stamford Hospital Obligated Group (The)) |
1,500 | 1,467,091 | ||||||
| Connecticut State Health & Educational Facilities Authority (Yale University) |
8,000 | 7,780,472 | ||||||
| Series 2023-A |
7,710 | 7,673,123 | ||||||
| State of Connecticut |
2,230 | 2,237,325 | ||||||
| Series 2014-F |
1,275 | 1,292,856 | ||||||
| Series 2015-B |
4,310 | 4,428,550 | ||||||
| 5.00%, 06/15/2028 |
2,840 | 2,916,635 | ||||||
| Series 2016-A |
2,160 | 2,253,080 | ||||||
| Series 2018-B |
1,440 | 1,576,673 | ||||||
| State of Connecticut Special Tax Revenue |
3,040 | 3,390,159 | ||||||
| Series 2023-A |
3,000 | 3,491,364 | ||||||
|
|
|
|||||||
| 40,594,131 | ||||||||
|
|
|
|||||||
| District of Columbia – 2.1% |
| |||||||
| District of Columbia (District of Columbia International School Obligated Group) |
2,400 | 2,441,003 | ||||||
6
| Principal Amount (000) |
U.S. $ Value | |||||||
| District of Columbia (Plenary Infrastructure DC LLC State Lease) |
$ | 4,765 | $ | 5,166,611 | ||||
| 5.00%, 08/31/2030 |
5,025 | 5,512,531 | ||||||
| 5.00%, 02/29/2032 |
5,475 | 6,069,485 | ||||||
| District of Columbia Income Tax Revenue |
3,750 | 4,533,775 | ||||||
| Metropolitan Washington Airports Authority Aviation Revenue |
3,065 | 3,197,191 | ||||||
| Series 2021-A 4.00%, 10/01/2038 |
2,500 | 2,504,670 | ||||||
| Washington Metropolitan Area Transit Authority Dedicated Revenue (Washington Metropolitan Area Transit Authority Dedicated Revenue Lease) |
2,540 | 2,911,281 | ||||||
|
|
|
|||||||
| 32,336,547 | ||||||||
|
|
|
|||||||
| Florida – 3.9% |
| |||||||
| Align Affordable Housing Bond Fund LP (SHI - Lake Worth LLC) |
2,500 | 2,195,937 | ||||||
| Capital Trust Agency, Inc. (Franklin Academy Series 2020 Obligated Group) |
300 | 293,723 | ||||||
| City of Palmetto FL (Renaissance Arts and Education, Inc.) |
2,400 | 2,488,485 | ||||||
| City of South Miami Health Facilities Authority, Inc. (Baptist Health South Florida Obligated Group) |
4,500 | 4,615,421 | ||||||
| County of Broward FL Airport System Revenue |
2,600 | 2,457,049 | ||||||
| County of Miami-Dade FL (County of Miami-Dade FL Non-Ad Valorem) |
5,000 | 5,027,399 | ||||||
| 5.00%, 06/01/2026 |
2,885 | 2,942,796 | ||||||
| 5.00%, 06/01/2027 |
4,515 | 4,604,495 | ||||||
| County of Osceola FL Transportation Revenue |
115 | 86,778 | ||||||
| Zero Coupon, 10/01/2031 |
140 | 101,235 | ||||||
| Zero Coupon, 10/01/2032 |
100 | 69,290 | ||||||
| Zero Coupon, 10/01/2033 |
115 | 76,095 | ||||||
| Zero Coupon, 10/01/2034 |
125 | 78,900 | ||||||
| County of Pasco FL (H Lee Moffitt Cancer Center & Research Institute Obligated Group) |
8,000 | 8,890,945 | ||||||
7
| Principal Amount (000) |
U.S. $ Value | |||||||
| Florida Development Finance Corp. (Mater Academy, Inc.) |
$ | 2,000 | $ | 1,797,178 | ||||
| Florida Municipal Power Agency (Florida Municipal Power Agency All-Requirements Power Supply Project Revenue) |
500 | 460,032 | ||||||
| Greater Orlando Aviation Authority |
4,000 | 4,189,080 | ||||||
| Greater Orlando Aviation Authority (Pre-refunded - US Treasuries) |
4,420 | 4,692,211 | ||||||
| Hillsborough County Aviation Authority (Pre-refunded - US Treasuries) |
10,000 | 10,097,783 | ||||||
| Orange County Health Facilities Authority (Presbyterian Retirement Communities, Inc. Obligated Group) |
1,000 | 974,280 | ||||||
| Polk County Industrial Development Authority (Mineral Development LLC) |
950 | 914,980 | ||||||
| Village Community Development District No. 14 (Village Community Development District No. 14 Series 2022 Phase I Special Asmnts) |
2,720 | 2,798,294 | ||||||
|
|
|
|||||||
| 59,852,386 | ||||||||
|
|
|
|||||||
| Georgia – 2.8% |
| |||||||
| Augusta Development Authority (WellStar Health System Obligated Group) |
4,490 | 4,795,441 | ||||||
| City of Atlanta GA Department of Aviation |
3,440 | 3,773,790 | ||||||
| 5.00%, 07/01/2042 |
6,830 | 7,385,049 | ||||||
| Cobb County Kennestone Hospital Authority (WellStar Health System Obligated Group) |
1,650 | 1,685,660 | ||||||
| Main Street Natural Gas, Inc. (Citigroup, Inc.) |
2,075 | 2,076,522 | ||||||
| Main Street Natural Gas, Inc. (Royal Bank of Canada) |
8,000 | 8,482,011 | ||||||
8
| Principal Amount (000) |
U.S. $ Value | |||||||
| Main Street Natural Gas, Inc. (Toronto-Dominion Bank (The)) |
$ | 2,000 | $ | 2,003,237 | ||||
| Private Colleges & Universities Authority (Emory University) |
10,000 | 11,774,360 | ||||||
|
|
|
|||||||
| 41,976,070 | ||||||||
|
|
|
|||||||
| Guam – 0.1% |
| |||||||
| Territory of Guam |
125 | 129,956 | ||||||
| Territory of Guam (Territory of Guam Business Privilege Tax) |
865 | 883,049 | ||||||
| Series 2021-F |
500 | 526,111 | ||||||
|
|
|
|||||||
| 1,539,116 | ||||||||
|
|
|
|||||||
| Illinois – 5.1% |
| |||||||
| Chicago Board of Education |
1,200 | 1,246,917 | ||||||
| Series 2019-B |
135 | 141,402 | ||||||
| 5.00%, 12/01/2031 |
265 | 276,903 | ||||||
| 5.00%, 12/01/2033 |
100 | 104,397 | ||||||
| Series 2023 |
1,375 | 1,578,451 | ||||||
| 5.25%, 04/01/2040 |
1,720 | 1,871,497 | ||||||
| Chicago Housing Authority |
2,500 | 2,665,030 | ||||||
| 5.00%, 01/01/2037 |
5,260 | 5,544,489 | ||||||
| 5.00%, 01/01/2038 |
1,000 | 1,049,000 | ||||||
| Chicago O’Hare International Airport |
5,000 | 5,074,465 | ||||||
| Series 2016-C |
5,000 | 5,171,348 | ||||||
| Series 2018-A |
1,000 | 1,053,346 | ||||||
| Series 2022 |
2,000 | 2,012,208 | ||||||
| 5.00%, 01/01/2028 |
680 | 720,869 | ||||||
| 5.00%, 01/01/2031 |
600 | 661,494 | ||||||
| 5.00%, 01/01/2042 |
3,850 | 4,106,372 | ||||||
| Illinois Finance Authority (Ascension Health Credit Group) |
1,630 | 1,631,056 | ||||||
| Illinois Finance Authority (Illinois Institute of Technology) |
100 | 100,044 | ||||||
9
| Principal Amount (000) |
U.S. $ Value | |||||||
| 5.00%, 09/01/2027 |
$ | 100 | $ | 100,451 | ||||
| 5.00%, 09/01/2029 |
100 | 100,625 | ||||||
| 5.00%, 09/01/2033 |
200 | 199,690 | ||||||
| 5.00%, 09/01/2034 |
100 | 99,105 | ||||||
| Illinois Finance Authority (Washington and Jane Smith Community - Orland Park) |
9,375 | 7,182,368 | ||||||
| Illinois Housing Development Authority |
1,250 | 1,251,638 | ||||||
| 7.17%, 11/01/2038 |
125 | 127,892 | ||||||
| Illinois State Toll Highway Authority |
14,805 | 16,482,783 | ||||||
| 5.00%, 01/01/2043 |
6,700 | 7,400,222 | ||||||
| State of Illinois |
3,810 | 3,822,428 | ||||||
| Series 2022-A |
2,945 | 3,306,738 | ||||||
| Series 2022-B |
3,000 | 3,389,162 | ||||||
|
|
|
|||||||
| 78,472,390 | ||||||||
|
|
|
|||||||
| Indiana – 2.5% |
| |||||||
| City of Whiting IN (BP PLC) |
5,000 | 5,109,567 | ||||||
| Indiana Finance Authority (Brightmark Plastics Renewal Indiana LLC) |
2,305 | 1,732,885 | ||||||
| Indiana Finance Authority (CWA Authority, Inc.) |
2,000 | 2,356,178 | ||||||
| Indiana Finance Authority (Duke Energy Indiana LLC) |
5,750 | 5,795,520 | ||||||
| 4.50%, 05/01/2035 |
7,555 | 7,676,158 | ||||||
| Indiana Finance Authority (Good Samaritan Hospital Obligated Group) |
1,210 | 1,183,475 | ||||||
| Indiana Finance Authority (Greencroft Goshen Obligated Group) |
1,000 | 870,349 | ||||||
| Indiana Finance Authority (Indiana University Health, Inc. Obligated Group) |
7,150 | 6,672,555 | ||||||
| Indiana Finance Authority (Ohio Valley Electric Corp.) |
495 | 447,448 | ||||||
10
| Principal Amount (000) |
U.S. $ Value | |||||||
| Indiana Finance Authority (University of Evansville) |
$ | 5,000 | $ | 5,204,114 | ||||
| Indianapolis Local Public Improvement Bond Bank |
1,030 | 1,151,843 | ||||||
|
|
|
|||||||
| 38,200,092 | ||||||||
|
|
|
|||||||
| Iowa – 1.6% |
| |||||||
| Iowa Finance Authority |
8,000 | 7,938,746 | ||||||
| Iowa Higher Education Loan Authority (Simpson College) |
2,275 | 2,132,597 | ||||||
| Iowa Tobacco Settlement Authority |
500 | 520,835 | ||||||
| 4.00%, 06/01/2035 |
515 | 534,192 | ||||||
| 4.00%, 06/01/2037 |
1,000 | 1,020,227 | ||||||
| 4.00%, 06/01/2038 |
1,000 | 1,009,615 | ||||||
| 4.00%, 06/01/2040 |
500 | 500,123 | ||||||
| 5.00%, 06/01/2031 |
900 | 999,138 | ||||||
| PEFA, Inc. (Goldman Sachs Group, Inc. (The)) |
9,300 | 9,533,607 | ||||||
|
|
|
|||||||
| 24,189,080 | ||||||||
|
|
|
|||||||
| Kansas – 0.1% |
| |||||||
| Kansas Development Finance Authority (Pre-refunded - US Treasuries) |
720 | 790,851 | ||||||
|
|
|
|||||||
| Kentucky – 1.8% |
| |||||||
| City of Ashland KY (Royal Blue Health LLC Obligated Group) |
180 | 184,222 | ||||||
| 5.00%, 02/01/2027 |
195 | 202,544 | ||||||
| 5.00%, 02/01/2030 |
125 | 135,421 | ||||||
| 5.00%, 02/01/2031 |
150 | 159,584 | ||||||
| Kentucky Public Energy Authority (BP PLC) |
7,260 | 7,270,404 | ||||||
| Kentucky Public Energy Authority (Morgan Stanley) |
20,000 | 19,929,010 | ||||||
|
|
|
|||||||
| 27,881,185 | ||||||||
|
|
|
|||||||
11
| Principal Amount (000) |
U.S. $ Value | |||||||
| Louisiana – 0.8% |
| |||||||
| City of New Orleans LA |
$ | 1,910 | $ | 2,155,964 | ||||
| 5.00%, 12/01/2035 |
2,680 | 2,991,606 | ||||||
| Jefferson Sales Tax District AGM |
1,800 | 1,922,145 | ||||||
| Parish of St. James LA (NuStar Logistics LP) |
340 | 346,721 | ||||||
| 6.10%, 06/01/2038(b) |
455 | 499,937 | ||||||
| 6.10%, 12/01/2040(b) |
390 | 428,518 | ||||||
| State of Louisiana Gasoline & Fuels Tax Revenue |
4,060 | 3,974,254 | ||||||
|
|
|
|||||||
| 12,319,145 | ||||||||
|
|
|
|||||||
| Maryland – 1.6% |
| |||||||
| County of Montgomery MD |
5,925 | 6,304,013 | ||||||
| Maryland Health & Higher Educational Facilities Authority (Stevenson University, Inc.) |
500 | 471,514 | ||||||
| State of Maryland |
5,790 | 5,847,599 | ||||||
| Series 2022-C |
11,500 | 12,041,456 | ||||||
|
|
|
|||||||
| 24,664,582 | ||||||||
|
|
|
|||||||
| Massachusetts – 1.6% |
| |||||||
| Commonwealth of Massachusetts |
7,000 | 7,070,676 | ||||||
| Series 2020-B |
7,380 | 7,441,396 | ||||||
| Series 2024-A |
2,000 | 2,313,671 | ||||||
| Massachusetts Port Authority |
2,250 | 2,469,060 | ||||||
| 5.00%, 07/01/2039 |
5,000 | 5,404,925 | ||||||
|
|
|
|||||||
| 24,699,728 | ||||||||
|
|
|
|||||||
| Michigan – 1.4% |
| |||||||
| City of Detroit MI |
750 | 779,104 | ||||||
| 5.00%, 04/01/2036 |
305 | 315,786 | ||||||
12
| Principal Amount (000) |
U.S. $ Value | |||||||
| City of Detroit MI Sewage Disposal System Revenue (Great Lakes Water Authority Sewage Disposal System Revenue) |
$ | 2,605 | $ | 2,480,501 | ||||
| Michigan Finance Authority (City of Detroit MI) |
1,000 | 1,041,438 | ||||||
| 5.00%, 04/01/2027 |
1,735 | 1,821,088 | ||||||
| Michigan Finance Authority (Great Lakes Water Authority Water Supply System Revenue) |
10,545 | 10,605,725 | ||||||
| Michigan Finance Authority (Henry Ford Health System Obligated Group) |
1,785 | 1,869,450 | ||||||
| Michigan Finance Authority (Michigan Finance Authority Drinking Water Revolving Fund) |
1,250 | 1,323,578 | ||||||
| Michigan Finance Authority (Michigan Finance Authority Tobacco Settlement Revenue) |
1,000 | 916,940 | ||||||
|
|
|
|||||||
| 21,153,610 | ||||||||
|
|
|
|||||||
| Minnesota – 0.7% |
| |||||||
| City of Brooklyn Park MN (Brooklyn Park AH I LLLP) |
1,500 | 1,533,258 | ||||||
| Dakota County Community Development Agency (Rosemont AH I LLLP) |
370 | 370,276 | ||||||
| 5.66%, 07/01/2041(b) |
1,000 | 1,004,289 | ||||||
| Minneapolis-St Paul Metropolitan Airports Commission |
4,250 | 4,251,265 | ||||||
| 5.00%, 01/01/2039 |
2,105 | 2,276,386 | ||||||
| State of Minnesota |
2,000 | 2,020,391 | ||||||
|
|
|
|||||||
| 11,455,865 | ||||||||
|
|
|
|||||||
| Mississippi – 0.1% |
| |||||||
| Mississippi Development Bank (Magnolia Regional Health Center) |
1,000 | 1,045,261 | ||||||
|
|
|
|||||||
13
| Principal Amount (000) |
U.S. $ Value | |||||||
| Missouri – 0.9% |
| |||||||
| Health & Educational Facilities Authority of the State of Missouri (BJC Healthcare Obligated Group) |
$ | 11,975 | $ | 12,156,261 | ||||
| Howard Bend Levee District |
135 | 136,407 | ||||||
| 5.75%, 03/01/2027 |
120 | 122,713 | ||||||
| Lee’s Summit Industrial Development Authority (John Knox Village Obligated Group) |
1,675 | 1,559,574 | ||||||
|
|
|
|||||||
| 13,974,955 | ||||||||
|
|
|
|||||||
| Montana – 0.2% |
| |||||||
| Montana Facility Finance Authority (Benefis Health System Obligated Group) |
1,925 | 2,005,182 | ||||||
| 5.00%, 02/15/2033 |
1,350 | 1,405,384 | ||||||
|
|
|
|||||||
| 3,410,566 | ||||||||
|
|
|
|||||||
| Nebraska – 0.5% |
| |||||||
| Central Plains Energy Project (Bank of Montreal) |
2,000 | 2,113,372 | ||||||
| Central Plains Energy Project (Royal Bank of Canada) |
6,115 | 6,138,380 | ||||||
|
|
|
|||||||
| 8,251,752 | ||||||||
|
|
|
|||||||
| Nevada – 2.7% |
| |||||||
| Clark County School District |
10,085 | 10,637,184 | ||||||
| 5.00%, 06/15/2027 |
3,500 | 3,743,230 | ||||||
| Series 2021-B |
5,170 | 5,529,285 | ||||||
| Las Vegas Valley Water District |
5,000 | 5,321,084 | ||||||
| 4.00%, 06/01/2037 |
6,350 | 6,676,169 | ||||||
| State of Nevada Department of Business & Industry (DesertXpress Enterprises LLC) |
1,630 | 1,650,647 | ||||||
| Series 2024 |
940 | 940,011 | ||||||
| Tahoe-Douglas Visitors Authority |
1,200 | 1,199,978 | ||||||
14
| Principal Amount (000) |
U.S. $ Value | |||||||
| 5.00%, 07/01/2029 |
$ | 2,625 | $ | 2,756,644 | ||||
| 5.00%, 07/01/2032 |
2,035 | 2,155,147 | ||||||
| 5.00%, 07/01/2035 |
805 | 848,325 | ||||||
|
|
|
|||||||
| 41,457,704 | ||||||||
|
|
|
|||||||
| New Jersey – 5.4% |
| |||||||
| Federal Home Loan Mortgage Corp. Enhanced Receipt (FCR 2019-B) |
12,339 | 11,499,916 | ||||||
| New Jersey Economic Development Authority (New Jersey-American Water Co., Inc.) |
2,000 | 2,007,515 | ||||||
| New Jersey Economic Development Authority (Pre-refunded - US Treasuries) |
1,150 | 1,156,424 | ||||||
| New Jersey Educational Facilities Authority (Ramapo College of New Jersey) |
550 | 554,604 | ||||||
| 4.00%, 07/01/2040 |
750 | 752,506 | ||||||
| 4.00%, 07/01/2041 |
835 | 836,796 | ||||||
| 5.00%, 07/01/2034 |
845 | 983,795 | ||||||
| 5.00%, 07/01/2035 |
400 | 463,378 | ||||||
| 5.00%, 07/01/2036 |
600 | 688,352 | ||||||
| 5.00%, 07/01/2037 |
600 | 680,245 | ||||||
| 5.00%, 07/01/2038 |
745 | 837,471 | ||||||
| New Jersey Transportation Trust Fund Authority |
4,390 | 4,582,739 | ||||||
| Series 2018-A |
4,170 | 4,352,367 | ||||||
| 5.00%, 06/15/2029 |
17,500 | 18,268,322 | ||||||
| 5.00%, 06/15/2030 |
1,500 | 1,565,523 | ||||||
| 5.00%, 06/15/2031 |
3,000 | 3,129,709 | ||||||
| New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease) |
2,960 | 2,996,270 | ||||||
| Series 2023-B |
3,265 | 3,695,107 | ||||||
| 5.00%, 06/15/2043 |
1,250 | 1,391,643 | ||||||
| New Jersey Turnpike Authority |
4,785 | 4,810,284 | ||||||
| Series 2017-A |
7,300 | 7,721,444 | ||||||
| Series 2021-B |
1,000 | 965,396 | ||||||
| 1.713%, 01/01/2029 |
1,350 | 1,199,836 | ||||||
15
| Principal Amount (000) |
U.S. $ Value | |||||||
| Tobacco Settlement Financing Corp./NJ |
$ | 4,750 | $ | 5,106,394 | ||||
| Series 2018-B |
2,260 | 2,298,636 | ||||||
|
|
|
|||||||
| 82,544,672 | ||||||||
|
|
|
|||||||
| New Mexico – 0.1% |
| |||||||
| State of New Mexico Severance Tax Permanent Fund |
1,000 | 1,169,514 | ||||||
|
|
|
|||||||
| New York – 8.7% |
| |||||||
| City of New York NY |
||||||||
| Series 2020-A |
3,940 | 4,157,633 | ||||||
| Series 2021 |
3,120 | 2,826,978 | ||||||
| Series 2021-A |
2,000 | 2,033,291 | ||||||
| Series 2021-F |
2,500 | 2,560,517 | ||||||
| County of Nassau NY |
2,205 | 2,235,343 | ||||||
| Metropolitan Transportation Authority |
||||||||
| Series 2016-A |
1,130 | 1,145,630 | ||||||
| Series 2016-B |
1,370 | 1,431,785 | ||||||
| Series 2017-B |
1,935 | 1,999,965 | ||||||
| 5.00%, 11/15/2026 |
555 | 585,803 | ||||||
| Series 2017-C |
1,275 | 1,345,621 | ||||||
| 5.00%, 11/15/2027 |
1,745 | 1,872,399 | ||||||
| 5.00%, 11/15/2028 |
1,000 | 1,078,864 | ||||||
| Series 2020-A |
5,120 | 5,528,099 | ||||||
| Series 2020-E |
1,000 | 1,028,282 | ||||||
| 5.00%, 11/15/2028 |
4,000 | 4,362,339 | ||||||
| Series 2021-D |
1,855 | 1,853,970 | ||||||
| New York City Municipal Water Finance Authority |
2,000 | 2,464,558 | ||||||
| New York Liberty Development Corp. (3 World Trade Center LLC) |
200 | 200,143 | ||||||
| New York State Dormitory Authority (New York State Sales Tax) |
2,000 | 2,123,099 | ||||||
| New York State Dormitory Authority (State of New York Pers Income Tax) |
2,000 | 1,604,045 | ||||||
16
| Principal Amount (000) |
U.S. $ Value | |||||||
| 2.252%, 03/15/2032 |
$ | 2,000 | $ | 1,676,773 | ||||
| Series 2021-A |
1,000 | 1,025,856 | ||||||
| Series 2022-A |
2,000 | 2,057,992 | ||||||
| New York State Environmental Facilities Corp. (State of New York SRF) |
800 | 830,532 | ||||||
| New York State Thruway Authority (State of New York Pers Income Tax) |
11,850 | 13,578,631 | ||||||
| New York State Urban Development Corp. (State of New York Pers Income Tax) |
37,115 | 42,055,199 | ||||||
| New York Transportation Development Corp. (JFK International Air Terminal LLC) |
1,610 | 1,686,059 | ||||||
| New York Transportation Development Corp. (Laguardia Gateway Partners LLC) |
345 | 345,030 | ||||||
| Suffolk Tobacco Asset Securitization Corp. |
2,265 | 2,446,635 | ||||||
| 5.00%, 06/01/2032 |
2,245 | 2,504,621 | ||||||
| Triborough Bridge & Tunnel Authority (Metropolitan Transportation Authority Payroll Mobility Tax Revenue) |
4,740 | 4,921,326 | ||||||
| Series 2021-A |
2,945 | 2,826,291 | ||||||
| 2.591%, 05/15/2036 |
2,000 | 1,555,316 | ||||||
| 2.917%, 05/15/2040 |
1,000 | 745,896 | ||||||
| Series 2022-A |
6,500 | 6,564,302 | ||||||
| Series 2022-E |
6,000 | 5,987,765 | ||||||
|
|
|
|||||||
| 133,246,588 | ||||||||
|
|
|
|||||||
| North Carolina – 0.5% |
| |||||||
| Fayetteville State University |
655 | 737,196 | ||||||
| State of North Carolina (State of North Carolina Fed Hwy Grant) |
6,710 | 6,848,039 | ||||||
|
|
|
|||||||
| 7,585,235 | ||||||||
|
|
|
|||||||
| North Dakota – 0.0% |
| |||||||
| County of Grand Forks ND (Red River Biorefinery LLC) |
425 | 12,750 | ||||||
| 7.00%, 12/15/2043(c) (d) (e) |
440 | 13,200 | ||||||
|
|
|
|||||||
| 25,950 | ||||||||
|
|
|
|||||||
17
| Principal Amount (000) |
U.S. $ Value | |||||||
| Ohio – 2.6% |
| |||||||
| American Municipal Power, Inc. (American Municipal Power Combined Hydroelectric Revenue) |
$ | 5,000 | $ | 5,156,395 | ||||
| American Municipal Power, Inc. (American Municipal Power Prairie State Energy Campus Revenue) |
1,425 | 1,592,980 | ||||||
| Buckeye Tobacco Settlement Financing Authority |
1,000 | 1,004,352 | ||||||
| City of Chillicothe OH (Adena Health System Obligated Group) |
3,385 | 3,514,622 | ||||||
| City of Cleveland OH Income Tax Revenue |
2,500 | 2,703,412 | ||||||
| 5.00%, 10/01/2029 |
3,085 | 3,366,710 | ||||||
| 5.00%, 10/01/2030 |
2,000 | 2,180,589 | ||||||
| Series 2017-B2 |
1,485 | 1,620,604 | ||||||
| County of Hamilton OH (Christ Hospital Obligated Group) |
1,000 | 1,041,797 | ||||||
| County of Washington OH (Marietta Area Health Care, Inc. Obligated Group) |
2,000 | 2,110,123 | ||||||
| Ohio Higher Educational Facility Commission (University of Dayton) |
1,250 | 1,396,922 | ||||||
| 5.00%, 02/01/2039 |
3,860 | 4,281,029 | ||||||
| University of Toledo |
10,000 | 9,720,681 | ||||||
|
|
|
|||||||
| 39,690,216 | ||||||||
|
|
|
|||||||
| Oklahoma – 0.3% |
| |||||||
| Oklahoma Development Finance Authority |
2,500 | 2,357,088 | ||||||
| Oklahoma Development Finance Authority (OU Medicine Obligated Group) |
2,000 | 2,037,479 | ||||||
|
|
|
|||||||
| 4,394,567 | ||||||||
|
|
|
|||||||
18
| Principal Amount (000) |
U.S. $ Value | |||||||
| Oregon – 1.7% |
| |||||||
| Deschutes County Hospital Facilities Authority (St. Charles Health System Obligated Group) |
$ | 1,000 | $ | 1,010,730 | ||||
| Lane County School District No. 4J Eugene |
8,780 | 8,841,277 | ||||||
| Oregon Health & Science University (Oregon Health & Science University Obligated Group) |
4,750 | 5,238,550 | ||||||
| Port of Portland OR Airport Revenue |
5,000 | 5,003,480 | ||||||
| 4.00%, 07/01/2040 |
3,500 | 3,497,440 | ||||||
| Tri-County Metropolitan Transportation District of Oregon |
1,910 | 2,071,854 | ||||||
|
|
|
|||||||
| 25,663,331 | ||||||||
|
|
|
|||||||
| Other – 0.2% |
| |||||||
| Federal Home Loan Mortgage Corp. Multifamily VRD Certificates (FHLMC Multifamily VRD Certificates) |
3,685 | 3,078,500 | ||||||
|
|
|
|||||||
| Pennsylvania – 6.6% |
| |||||||
| Allegheny County Hospital Development Authority (UPMC Obligated Group) |
5,000 | 4,937,912 | ||||||
| Berks County Municipal Authority (The) (Tower Health Obligated Group) |
1,000 | 516,633 | ||||||
| Series 2020-B |
2,000 | 1,416,595 | ||||||
| Bucks County Industrial Development Authority (Grand View Hospital/Sellersville PA Obligated Group) |
1,150 | 1,086,558 | ||||||
| 5.00%, 07/01/2033 |
1,150 | 1,080,270 | ||||||
| 5.00%, 07/01/2034 |
1,300 | 1,212,625 | ||||||
| 5.00%, 07/01/2035 |
1,050 | 974,029 | ||||||
| Chester County Industrial Development Authority (Collegium Charter School) |
925 | 925,578 | ||||||
| City of Philadelphia PA |
12,990 | 13,885,072 | ||||||
19
| Principal Amount (000) |
U.S. $ Value | |||||||
| City of Philadelphia PA Airport Revenue |
$ | 3,035 | $ | 3,230,067 | ||||
| City of Philadelphia PA Water & Wastewater Revenue |
1,000 | 1,078,633 | ||||||
| 5.00%, 10/01/2033 |
1,135 | 1,219,708 | ||||||
| Hospitals & Higher Education Facilities Authority of Philadelphia (The) (Temple University Health System Obligated Group) |
10,000 | 10,061,912 | ||||||
| Lancaster County Hospital Authority/PA (St. Anne’s Retirement Community Obligated Group) |
485 | 474,942 | ||||||
| 5.00%, 03/01/2033 |
1,600 | 1,505,161 | ||||||
| Montgomery County Higher Education and Health Authority (Thomas Jefferson University Obligated Group) |
1,500 | 1,597,066 | ||||||
| Series 2022 |
1,100 | 1,119,146 | ||||||
| 4.00%, 05/01/2037 |
1,500 | 1,525,984 | ||||||
| 4.00%, 05/01/2038 |
1,375 | 1,391,496 | ||||||
| 4.00%, 05/01/2039 |
1,500 | 1,512,453 | ||||||
| 4.00%, 05/01/2040 |
2,000 | 2,011,724 | ||||||
| 4.00%, 05/01/2041 |
3,000 | 3,005,110 | ||||||
| Moon Industrial Development Authority (Baptist Homes Society) |
890 | 861,732 | ||||||
| Pennsylvania Economic Development Financing Authority (PA Bridges Finco LP) |
1,000 | 1,006,287 | ||||||
| Pennsylvania Economic Development Financing Authority (UPMC Obligated Group) |
5,000 | 4,936,022 | ||||||
| Pennsylvania Turnpike Commission |
1,750 | 1,883,775 | ||||||
| 5.00%, 12/01/2029 |
1,255 | 1,351,583 | ||||||
| Series 2017-B |
5,830 | 6,174,951 | ||||||
| 5.00%, 06/01/2036 |
1,750 | 1,845,259 | ||||||
| Series 2021-A |
1,245 | 1,027,549 | ||||||
20
| Principal Amount (000) |
U.S. $ Value | |||||||
| Series 2021-B |
$ | 2,000 | $ | 2,041,533 | ||||
| Series 2022-A |
1,000 | 1,158,692 | ||||||
| Philadelphia Authority for Industrial Development (MaST Community Charter School III) |
1,000 | 1,011,834 | ||||||
| Pittsburgh Water & Sewer Authority AGM |
10,000 | 9,701,419 | ||||||
| School District of Philadelphia (The) |
5,000 | 5,168,344 | ||||||
| Series 2023-A |
2,000 | 2,273,043 | ||||||
| 5.25%, 09/01/2043 |
4,000 | 4,483,168 | ||||||
|
|
|
|||||||
| 100,693,865 | ||||||||
|
|
|
|||||||
| Puerto Rico – 0.2% |
||||||||
| Commonwealth of Puerto Rico |
127 | 125,066 | ||||||
| 4.00%, 07/01/2046 |
3 | 2,807 | ||||||
| Series 2022-C |
18 | 9,908 | ||||||
| HTA TRRB Custodial Trust |
830 | 809,128 | ||||||
| Puerto Rico Electric Power Authority AGM |
970 | 967,011 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue |
447 | 440,074 | ||||||
|
|
|
|||||||
| 2,353,994 | ||||||||
|
|
|
|||||||
| Rhode Island – 0.2% |
||||||||
| Rhode Island Health and Educational Building Corp. (City of Newport RI) |
3,435 | 3,537,134 | ||||||
|
|
|
|||||||
| South Carolina – 0.9% |
||||||||
| Columbia Housing Authority/SC |
525 | 516,140 | ||||||
| 5.26%, 11/01/2032 |
100 | 97,261 | ||||||
| 5.41%, 11/01/2039 |
1,315 | 1,259,770 | ||||||
| 6.28%, 11/01/2039 |
100 | 95,504 | ||||||
| South Carolina Jobs-Economic Development Authority (Last Step Recycling LLC) |
1,000 | 659,737 | ||||||
21
| Principal Amount (000) |
U.S. $ Value | |||||||
| South Carolina Public Service Authority |
$ | 1,000 | $ | 1,030,127 | ||||
| 5.00%, 12/01/2036 |
1,535 | 1,574,644 | ||||||
| Series 2016-B |
5,040 | 5,180,750 | ||||||
| Series 2016-C |
930 | 961,845 | ||||||
| Series 2021-B |
1,975 | 1,976,407 | ||||||
|
|
|
|||||||
| 13,352,185 | ||||||||
|
|
|
|||||||
| Tennessee – 2.1% |
||||||||
| Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax) |
1,410 | 1,304,041 | ||||||
| Series 2016-B |
1,000 | 636,476 | ||||||
| City of Pigeon Forge TN |
4,545 | 4,573,828 | ||||||
| Knox County Industrial Development Board (Tompaul Knoxville LLC) |
1,000 | 1,010,235 | ||||||
| 9.25%, 11/01/2042(b) |
1,000 | 1,010,020 | ||||||
| Metropolitan Nashville Airport Authority (The) |
1,300 | 1,475,889 | ||||||
| 5.50%, 07/01/2042 |
1,485 | 1,650,698 | ||||||
| Tennergy Corp./TN (Goldman Sachs Group, Inc. (The)) |
5,000 | 5,334,863 | ||||||
| Tennergy Corp./TN (Morgan Stanley) |
9,015 | 9,031,525 | ||||||
| Tennessee Energy Acquisition Corp. (Goldman Sachs Group, Inc. (The)) |
4,000 | 4,157,352 | ||||||
| Wilson County Health & Educational Facilities Board |
1,000 | 823,288 | ||||||
| 4.25%, 12/01/2024 |
1,000 | 967,501 | ||||||
|
|
|
|||||||
| 31,975,716 | ||||||||
|
|
|
|||||||
| Texas – 4.3% |
| |||||||
| Central Texas Regional Mobility Authority |
1,575 | 1,757,486 | ||||||
| 5.00%, 01/01/2035 |
1,350 | 1,500,404 | ||||||
| 5.00%, 01/01/2037 |
1,675 | 1,842,209 | ||||||
| 5.00%, 01/01/2039 |
1,000 | 1,088,262 | ||||||
22
| Principal Amount (000) |
U.S. $ Value | |||||||
| City of Houston TX |
$ | 2,500 | $ | 2,609,954 | ||||
| 5.00%, 03/01/2027 |
4,180 | 4,459,604 | ||||||
| City of Houston TX Airport System Revenue |
1,100 | 1,117,022 | ||||||
| 5.00%, 07/01/2032 |
1,000 | 1,108,304 | ||||||
| 5.00%, 07/01/2033 |
3,000 | 3,323,346 | ||||||
| City of Houston TX Combined Utility System Revenue |
1,100 | 1,105,497 | ||||||
| Series 2019-B |
1,015 | 1,028,584 | ||||||
| City of San Antonio TX Electric & Gas Systems Revenue |
1,750 | 1,937,433 | ||||||
| 5.00%, 02/01/2039 |
2,000 | 2,197,915 | ||||||
| Conroe Local Government Corp. (Conroe Local Government Corp. Conroe Convention Center Hotel) |
905 | 907,097 | ||||||
| Fort Worth Independent School District |
2,900 | 3,026,950 | ||||||
| 5.00%, 02/15/2027 |
2,350 | 2,511,245 | ||||||
| Harris County Cultural Education Facilities Finance Corp. (Memorial Hermann Health System Obligated Group) |
1,000 | 993,221 | ||||||
| Harris County Cultural Education Facilities Finance Corp. (Texas Children’s Hospital Obligated Group) |
2,000 | 1,977,238 | ||||||
| Hidalgo County Regional Mobility Authority |
1,000 | 948,176 | ||||||
| 4.00%, 12/01/2041 |
750 | 704,310 | ||||||
| 5.00%, 12/01/2033 |
1,250 | 1,373,352 | ||||||
| Series 2022-B |
1,000 | 900,371 | ||||||
| Lewisville Independent School District |
2,295 | 2,317,459 | ||||||
| Lower Colorado River Authority (LCRA Transmission Services Corp.) |
800 | 887,636 | ||||||
23
| Principal Amount (000) |
U.S. $ Value | |||||||
| New Hope Cultural Education Facilities Finance Corp. (Buckingham Senior Living Community, Inc. Obligated Group) |
$ | 936 | $ | 355,137 | ||||
| 7.50%, 11/15/2036(c) (d) |
225 | 185,016 | ||||||
| 7.50%, 11/15/2037(c) (d) |
35 | 26,888 | ||||||
| New Hope Cultural Education Facilities Finance Corp. (Dwyer Workforce Development) |
1,370 | 1,369,420 | ||||||
| New Hope Cultural Education Facilities Finance Corp. (Morningside Ministries Obligated Group) |
1,825 | 1,300,259 | ||||||
| Newark Higher Education Finance Corp. (TLC Academy) |
1,690 | 1,430,764 | ||||||
| North Texas Tollway Authority (North Texas Tollway System) |
1,080 | 1,141,299 | ||||||
| Port Authority of Houston of Harris County Texas |
1,065 | 1,149,719 | ||||||
| Port Beaumont Navigation District (Jefferson Railport Terminal II LLC) |
240 | 200,975 | ||||||
| Series 2021 |
550 | 501,159 | ||||||
| Spring Independent School District |
1,430 | 1,541,110 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp. (CHRISTUS Health Obligated Group) |
2,465 | 2,682,566 | ||||||
| 5.00%, 07/01/2031 |
10,940 | 11,898,658 | ||||||
|
|
|
|||||||
| 65,406,045 | ||||||||
|
|
|
|||||||
| Utah – 0.1% |
| |||||||
| Intermountain Power Agency |
2,000 | 2,272,561 | ||||||
|
|
|
|||||||
| Virginia – 0.6% |
| |||||||
| Align Affordable Housing Bond Fund LP (Park Landing LP) |
2,000 | 1,925,812 | ||||||
| Halifax County Industrial Development Authority (Virginia Electric and Power Co.) |
5,000 | 4,941,820 | ||||||
24
| Principal Amount (000) |
U.S. $ Value | |||||||
| US Bank Trust Co. NA (Park Landing LP) |
$ | 601 | $ | 566,475 | ||||
| Virginia Small Business Financing Authority (Pure Salmon Virginia LLC) |
2,000 | 2,004,022 | ||||||
|
|
|
|||||||
| 9,438,129 | ||||||||
|
|
|
|||||||
| Washington – 5.5% |
| |||||||
| Energy Northwest (Bonneville Power Administration) |
19,925 | 20,534,793 | ||||||
| Series 2021-A |
1,000 | 1,005,695 | ||||||
| Port of Seattle WA |
4,820 | 4,823,187 | ||||||
| Series 2018-A |
8,280 | 8,643,138 | ||||||
| 5.00%, 05/01/2030 |
6,200 | 6,469,979 | ||||||
| 5.00%, 05/01/2038 |
1,000 | 1,030,842 | ||||||
| Series 2019 |
2,000 | 2,148,758 | ||||||
| 5.00%, 04/01/2034 |
1,000 | 1,073,044 | ||||||
| Series 2021 |
13,380 | 13,137,877 | ||||||
| Series 2022 |
2,000 | 2,013,187 | ||||||
| Spokane County School District No. 81 Spokane |
5,000 | 4,952,992 | ||||||
| State of Washington |
13,325 | 13,573,698 | ||||||
| University of Washington |
2,500 | 2,177,396 | ||||||
| Washington State Housing Finance Commission (Presbyterian Retirement Communities Northwest Obligated Group) |
2,125 | 1,759,585 | ||||||
|
|
|
|||||||
| 83,344,171 | ||||||||
|
|
|
|||||||
| West Virginia – 0.4% |
| |||||||
| City of South Charleston WV (City of South Charleston WV South Charleston Park Place Excise Tax District) |
1,185 | 965,274 | ||||||
| Tobacco Settlement Finance Authority/WV |
2,540 | 2,389,826 | ||||||
| West Virginia Economic Development Authority (Wyoming County Coal LLC) |
2,500 | 2,532,420 | ||||||
|
|
|
|||||||
| 5,887,520 | ||||||||
|
|
|
|||||||
25
| Principal Amount (000) |
U.S. $ Value | |||||||
| Wisconsin – 1.5% |
| |||||||
| St. Croix Chippewa Indians of Wisconsin |
$ | 1,000 | $ | 746,350 | ||||
| State of Wisconsin |
5,850 | 6,147,272 | ||||||
| Wisconsin Health & Educational Facilities Authority (Advocate Aurora Health Obligated Group) |
2,000 | 2,076,090 | ||||||
| Wisconsin Housing & Economic Development Authority (Roers Sun Prairie Apartments Owner LLC) |
280 | 244,122 | ||||||
| Series 2022-A |
1,285 | 1,112,187 | ||||||
| Wisconsin Public Finance Authority (Appalachian Regional Healthcare System Obligated Group) |
300 | 317,240 | ||||||
| 5.00%, 07/01/2036 |
350 | 366,694 | ||||||
| 5.00%, 07/01/2038 |
375 | 386,250 | ||||||
| Wisconsin Public Finance Authority (Catholic Bishop of Chicago (The)) |
5,000 | 4,511,021 | ||||||
| Wisconsin Public Finance Authority (CFC-SA LLC) |
3,100 | 3,166,480 | ||||||
| Wisconsin Public Finance Authority (National Senior Communities, Inc. Obligated Group) |
1,375 | 1,268,818 | ||||||
| Wisconsin Public Finance Authority (Pre-refunded - US Treasuries) |
15 | 15,803 | ||||||
| Wisconsin Public Finance Authority (Renown Regional Medical Center Obligated Group) |
1,220 | 1,223,213 | ||||||
26
| Principal Amount (000) |
U.S. $ Value | |||||||
| Wisconsin Public Finance Authority (Samaritan Housing Foundation Obligated Group) |
$ | 1,000 | $ | 942,329 | ||||
|
|
|
|||||||
| 22,523,869 | ||||||||
|
|
|
|||||||
| Total Municipal Obligations |
|
1,433,285,960 | ||||||
|
|
|
|||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.8% |
| |||||||
| Agency CMBS – 0.6% |
| |||||||
| California Housing Finance Agency |
4,852 | 4,779,314 | ||||||
| Series 2021-2, Class X |
2,429 | 120,034 | ||||||
| Series 2021-3, Class A |
1,933 | 1,792,751 | ||||||
| Federal Home Loan Mortgage Corp. Multifamily VRD Certificates |
2,448 | 1,936,709 | ||||||
| Series 2022-ML13, Class XCA |
1,166 | 67,141 | ||||||
| Series 2022-ML13, Class XUS |
2,059 | 147,144 | ||||||
| Series 2021-ML10, Class ACA |
969 | 749,261 | ||||||
|
|
|
|||||||
| 9,592,354 | ||||||||
|
|
|
|||||||
| Non-Agency Fixed Rate CMBS – 1.2% |
| |||||||
| California Housing Finance Agency |
958 | 902,230 | ||||||
| City of Fort Wayne IN |
87 | 9 | ||||||
| National Finance Authority |
4,922 | 240,645 | ||||||
| New Hampshire Business Finance Authority |
1,462 | 1,431,531 | ||||||
| Series 2022-1, Class A |
9,799 | 9,721,508 | ||||||
| Series 2022-1, Class X |
8,339 | 187,748 | ||||||
| Series 2022-2, Class A |
4,916 | 4,721,893 | ||||||
| Washington State Housing Finance Commission |
961 | 904,524 | ||||||
| Series 2021-1, Class X |
962 | 44,017 | ||||||
27
| Principal Amount (000) |
U.S. $ Value | |||||||
| Series 2023-1, Class X |
$ | 2,996 | $ | 332,938 | ||||
|
|
|
|||||||
| 18,487,043 | ||||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities |
28,079,397 | |||||||
|
|
|
|||||||
| CORPORATES - INVESTMENT GRADE – 0.9% |
| |||||||
| Industrial – 0.9% |
| |||||||
| Capital Goods – 0.2% |
| |||||||
| Caterpillar Financial Services Corp. |
2,500 | 2,500,050 | ||||||
|
|
|
|||||||
| Consumer Non-Cyclical – 0.7% |
| |||||||
| Baylor Scott & White Holdings |
1,000 | 920,130 | ||||||
| 1.777%, 11/15/2030 |
1,000 | 824,530 | ||||||
| Hackensack Meridian Health, Inc. |
1,790 | 1,274,945 | ||||||
| Ochsner LSU Health System of North Louisiana |
2,300 | 1,568,393 | ||||||
| Sutter Health |
1,000 | 786,670 | ||||||
| UPMC |
5,600 | 5,477,136 | ||||||
|
|
|
|||||||
| 10,851,804 | ||||||||
|
|
|
|||||||
| Total Corporates - Investment Grade |
|
13,351,854 | ||||||
|
|
|
|||||||
| ASSET-BACKED SECURITIES – 0.4% |
| |||||||
| Other ABS - Fixed Rate – 0.4% |
| |||||||
| Commonwealth of Massachusetts |
2,110 | 2,085,899 | ||||||
| HTA HRRB Custodial Trust |
19 | 19,328 | ||||||
| HTA TRRB Custodial Trust |
900 | 903,496 | ||||||
| 5.25%, 07/01/2041 |
649 | 633,675 | ||||||
| Louisiana Local Government Environmental |
2,770 | 2,788,299 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp. |
931 | 0 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities |
6,430,697 | |||||||
|
|
|
|||||||
28
| Principal Amount (000) |
U.S. $ Value | |||||||
| CORPORATES - NON-INVESTMENT GRADE – 0.2% |
||||||||
| Industrial – 0.2% |
||||||||
| Basic – 0.0% |
||||||||
| Red River Biorefinery LLC |
$ | 65 | $ | 48,750 | ||||
|
|
|
|||||||
| Communications - Media – 0.2% |
||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp. |
1,933 | 1,539,557 | ||||||
| DISH DBS Corp. |
959 | 756,210 | ||||||
| 5.75%, 12/01/2028(b) |
996 | 670,876 | ||||||
|
|
|
|||||||
| 2,966,643 | ||||||||
|
|
|
|||||||
| Energy – 0.0% |
||||||||
| Red River Biorefinery LLC |
30 | 22,500 | ||||||
|
|
|
|||||||
| Total Corporates - Non-Investment Grade |
3,037,893 | |||||||
|
|
|
|||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0% |
||||||||
| Risk Share Floating Rate – 0.0% |
||||||||
| Federal National Mortgage Association Connecticut Avenue Securities |
33 | 32,765 | ||||||
| Series 2015-C02, Class 1M2 |
42 | 43,154 | ||||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations |
75,919 | |||||||
|
|
|
|||||||
| Shares | ||||||||
| SHORT-TERM INVESTMENTS – 0.9% |
||||||||
| Investment Companies – 0.9% |
||||||||
| AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.24%(m) (n) (o) |
13,352,990 | 13,352,990 | ||||||
|
|
|
|||||||
| Total Investments – 98.1% |
1,497,614,710 | |||||||
| Other assets less liabilities – 1.9% |
28,357,097 | |||||||
|
|
|
|||||||
| Net Assets – 100.0% |
$ | 1,525,971,807 | ||||||
|
|
|
|||||||
29
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
| Description | Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at January 31, 2024 |
Notional Amount (000) |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| Buy Contracts |
| |||||||||||||||||||||||||||
| CDX-NAHY Series 41, 5 Year Index, 12/20/2028* |
(5.00 | )% | Quarterly | 3.61% | USD | 10,098 | $ | (619,602) | $ | (90,546) | $ | (529,056) | ||||||||||||||||
| * | 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 | 40,000 | 04/15/2025 | 4.690% | CPI# | Maturity | $ | (38,254 | ) | $ | — | $ | (38,254 | ) | |||||||||||
| USD | 48,000 | 01/15/2026 | 3.508% | CPI# | Maturity | 1,941,732 | — | 1,941,732 | ||||||||||||||||
| USD | 30,000 | 08/06/2026 | 2.689% | CPI# | Maturity | 1,839,983 | — | 1,839,983 | ||||||||||||||||
| USD | 25,000 | 10/04/2026 | 2.725% | CPI# | Maturity | 1,209,660 | — | 1,209,660 | ||||||||||||||||
| USD | 74,000 | 01/15/2028 | 3.232% | CPI# | Maturity | 2,661,820 | — | 2,661,820 | ||||||||||||||||
| USD | 19,310 | 01/15/2028 | 1.230% | CPI# | Maturity | 3,399,143 | — | 3,399,143 | ||||||||||||||||
| USD | 14,770 | 01/15/2028 | 0.735% | CPI# | Maturity | 3,141,918 | — | 3,141,918 | ||||||||||||||||
| USD | 25,000 | 10/04/2028 | 2.661% | CPI# | Maturity | 1,175,646 | — | 1,175,646 | ||||||||||||||||
| USD | 12,000 | 08/29/2029 | 1.748% | CPI# | Maturity | 1,804,574 | — | 1,804,574 | ||||||||||||||||
| USD | 4,825 | 01/15/2030 | 1.572% | CPI# | Maturity | 801,603 | — | 801,603 | ||||||||||||||||
| USD | 4,825 | 01/15/2030 | 1.587% | CPI# | Maturity | 794,866 | — | 794,866 | ||||||||||||||||
| USD | 1,670 | 01/15/2030 | 1.714% | CPI# | Maturity | 255,250 | — | 255,250 | ||||||||||||||||
| USD | 1,670 | 01/15/2030 | 1.731% | CPI# | Maturity | 252,574 | — | 252,574 | ||||||||||||||||
| USD | 7,850 | 01/15/2031 | 2.782% | CPI# | Maturity | 474,300 | — | 474,300 | ||||||||||||||||
| USD | 6,150 | 01/15/2031 | 2.680% | CPI# | Maturity | 433,993 | — | 433,993 | ||||||||||||||||
| USD | 15,000 | 12/02/2035 | 2.074% | CPI# | Maturity | 2,158,006 | — | 2,158,006 | ||||||||||||||||
| USD | 25,000 | 04/01/2036 | 2.438% | CPI# | Maturity | 2,286,735 | — | 2,286,735 | ||||||||||||||||
| USD | 32,000 | 04/29/2036 | 2.503% | CPI# | Maturity | 2,589,259 | — | 2,589,259 | ||||||||||||||||
| USD | 10,000 | 05/01/2036 | 2.510% | CPI# | Maturity | 797,713 | — | 797,713 | ||||||||||||||||
| USD | 10,000 | 08/03/2036 | 2.488% | CPI# | Maturity | 696,877 | — | 696,877 | ||||||||||||||||
| USD | 20,000 | 08/06/2036 | 2.440% | CPI# | Maturity | 1,505,751 | — | 1,505,751 | ||||||||||||||||
| USD | 40,000 | 10/04/2036 | 2.510% | CPI# | Maturity | 2,241,156 | — | 2,241,156 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 32,424,305 | $ | — | $ | 32,424,305 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| # | 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 |
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 | 14,000 | 07/31/2030 | 1 Day SOFR | 4.016% | Annual | $ | 249,917 | $ | — | $ | 249,917 | |||||||||||||
| USD | 8,600 | 07/31/2030 | 1 Day SOFR | 4.504% | Annual | 424,796 | — | 424,796 | ||||||||||||||||
| USD | 50,800 | 03/31/2033 | 3.553% | 1 Day SOFR | Annual | 673,448 | — | 673,448 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 1,348,161 | $ | — | $ | 1,348,161 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
30
CREDIT DEFAULT SWAPS
| Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at January 31, 2024 |
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 | 32 | $ | (4,015 | ) | $ | (2,878 | ) | $ | (1,137 | ) | |||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 276 | (34,803 | ) | (32,181 | ) | (2,622 | ) | |||||||||||||||||
| Credit Suisse International |
| |||||||||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 18 | (2,328 | ) | (2,088 | ) | (240 | ) | |||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 18 | (2,212 | ) | (1,600 | ) | (612 | ) | |||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 100 | (12,571 | ) | (11,169 | ) | (1,402 | ) | |||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 179 | (22,581 | ) | (15,926 | ) | (6,655 | ) | |||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 218 | (27,412 | ) | (19,852 | ) | (7,560 | ) | |||||||||||||||||
| Goldman Sachs International |
| |||||||||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 107 | (13,444 | ) | (12,379 | ) | (1,065 | ) | |||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 7.50 | USD | 284 | (35,734 | ) | (24,474 | ) | (11,260 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (155,100 | ) | $ | (122,547 | ) | $ | (32,553 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| * | Termination date |
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) |
||||||||||||||||||||
| Bank of America, NA | USD | 145,000 | 07/15/2030 | 2.730% | CPI# | Maturity | $ | (392,646 | ) | $ | — | $ | (392,646 | ) | ||||||||||||||
| Bank of America, NA | USD | 25,000 | 02/02/2032 | 2.403% | CPI# | Maturity | 2,112,824 | — | 2,112,824 | |||||||||||||||||||
| Bank of America, NA | USD | 50,000 | 02/15/2041 | 2.403% | CPI# | Maturity | 718,083 | — | 718,083 | |||||||||||||||||||
| Bank of America, NA | USD | 30,000 | 02/15/2041 | 2.463% | CPI# | Maturity | 166,854 | — | 166,854 | |||||||||||||||||||
| Barclays Bank PLC | USD | 20,000 | 06/06/2032 | 2.145% | CPI# | Maturity | 2,498,591 | — | 2,498,591 | |||||||||||||||||||
| Barclays Bank PLC | USD | 14,000 | 09/01/2032 | 2.128% | CPI# | Maturity | 1,830,031 | — | 1,830,031 | |||||||||||||||||||
| Barclays Bank PLC | USD | 22,000 | 08/29/2033 | 2.368% | CPI# | Maturity | 1,945,356 | — | 1,945,356 | |||||||||||||||||||
31
| 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) |
||||||||||||||||||||
| Citibank, NA | USD | 25,000 | 07/03/2025 | 2.351% | CPI# | Maturity | $ | 2,173,449 | $ | — | $ | 2,173,449 | ||||||||||||||||
| Citibank, NA | USD | 370,000 | 07/15/2025 | 3.130% | CPI# | Maturity | (422,592 | ) | — | (422,592 | ) | |||||||||||||||||
| Citibank, NA | USD | 12,000 | 11/05/2033 | 2.273% | CPI# | Maturity | 1,254,031 | — | 1,254,031 | |||||||||||||||||||
| Citibank, NA | USD | 13,000 | 02/15/2041 | 2.744% | CPI# | Maturity | (47,628 | ) | — | (47,628 | ) | |||||||||||||||||
| Deutsche Bank AG | USD | 25,000 | 09/02/2025 | 1.880% | CPI# | Maturity | 3,120,890 | — | 3,120,890 | |||||||||||||||||||
| Goldman Sachs International | USD | 55,000 | 04/15/2025 | 4.759% | CPI# | Maturity | (218,970 | ) | — | (218,970 | ) | |||||||||||||||||
| Goldman Sachs International | USD | 30,000 | 04/15/2025 | 4.740% | CPI# | Maturity | (94,612 | ) | — | (94,612 | ) | |||||||||||||||||
| Goldman Sachs International | USD | 39,000 | 01/15/2027 | 3.534% | CPI# | Maturity | 994,756 | — | 994,756 | |||||||||||||||||||
| Goldman Sachs International | USD | 18,000 | 04/15/2032 | 2.994% | CPI# | Maturity | 549,252 | — | 549,252 | |||||||||||||||||||
| Goldman Sachs International | USD | 14,000 | 02/15/2041 | 2.380% | CPI# | Maturity | 768,672 | — | 768,672 | |||||||||||||||||||
| Goldman Sachs International | USD | 7,000 | 02/15/2041 | 2.413% | CPI# | Maturity | 348,786 | — | 348,786 | |||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 13,000 | 03/01/2027 | 2.279% | CPI# | Maturity | 1,201,789 | — | 1,201,789 | |||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 10,000 | 07/03/2028 | 2.356% | CPI# | Maturity | 849,004 | — | 849,004 | |||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 25,000 | 11/05/2028 | 2.234% | CPI# | Maturity | 2,460,736 | — | 2,460,736 | |||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 18,000 | 04/17/2030 | 2.378% | CPI# | Maturity | 1,494,982 | — | 1,494,982 | |||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 29,000 | 04/15/2032 | 2.944% | CPI# | Maturity | 1,044,359 | — | 1,044,359 | |||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 24,000 | 11/17/2032 | 2.183% | CPI# | Maturity | 2,892,159 | — | 2,892,159 | |||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 15,000 | 02/15/2041 | 2.605% | CPI# | Maturity | (231,639 | ) | — | (231,639 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | 27,016,517 | $ | — | $ | 27,016,517 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| # | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
INTEREST RATE 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) |
||||||||||||||||||||
| Citibank, NA | USD | 11,075 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 937,623 | $ | — | $ | 937,623 | ||||||||||||||||
| * | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
| (a) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at January 31, 2024. |
| (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 January 31, 2024, the aggregate market value of these securities amounted to $106,532,924 or 7.0% of net assets. |
| (c) | Non-income producing security. |
| (d) | Defaulted. |
| (e) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 1.47% of net assets as of January 31, 2024, are considered illiquid and restricted. Additional information regarding such securities follows: |
32
| 144A/Restricted & Illiquid Securities | Acquisition Date |
Cost | Market Value |
Percentage of Net Assets | ||||||||
| ARC70 II TRUST |
07/18/2023 | $ | 4,935,957 | $ | 4,989,978 | 0.33% | ||||||
| Arizona Industrial Development Authority |
06/13/2022 | 1,038,658 | 60,000 | 0.00% | ||||||||
| Arizona Industrial Development Authority |
07/21/2022 | 1,036,663 | 60,000 | 0.00% | ||||||||
| County of Grand Forks ND |
05/21/2021 | 425,000 | 12,750 | 0.00% | ||||||||
| County of Grand Forks ND |
05/21/2021 | 440,000 | 13,200 | 0.00% | ||||||||
| Indiana Finance Authority |
03/28/2019 | 2,278,424 | 1,732,885 | 0.11% | ||||||||
| New Hope Cultural Education Facilities Finance Corp. |
02/03/2023 | 1,370,000 | 1,369,420 | 0.09% | ||||||||
| Red River Biorefinery LLC |
05/31/2023 | 65,000 | 48,750 | 0.00% | ||||||||
| University of Toledo |
06/30/2023 | $ | 10,000,000 | $ | 9,720,681 | 0.64% | ||||||
| Wisconsin Public Finance Authority |
08/03/2021 | 5,000,000 | 4,511,021 | 0.30% | ||||||||
| (f) | Inverse floater security. |
| (g) | When-Issued or delayed delivery security. |
| (h) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at January 31, 2024. |
| (i) | IO - Interest Only. |
| (j) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (k) | Fair valued by the Adviser. |
| (l) | Restricted and illiquid security. |
| Restricted & Illiquid Securities | Acquisition Date |
Cost | Market Value |
Percentage of Net Assets | ||||||||
| Tarrant County Cultural Education Facilities Finance Corp. |
01/30/2020 | $ | 980,595 | $ | 0 | 0.00% | ||||||
| (m) | Affiliated investments. |
| (n) | The rate shown represents the 7-day yield as of period end. |
33
| (o) | 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. |
| (p) | As of January 31, 2024, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $80,760,872 and gross unrealized depreciation of investments was $(67,115,340), resulting in net unrealized appreciation of $13,645,532. |
As of January 31, 2024, 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 3.2% and 0.0%, respectively.
Glossary:
ABS – Asset-Backed Securities
AGM – Assured Guaranty Municipal
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CMBS – Commercial Mortgage-Backed Securities
COP – Certificate of Participation
CPI – Consumer Price Index
ETM – Escrowed to Maturity
FHLMC – Federal Home Loan Mortgage Corporation
LIBOR – London Interbank Offered Rate
MUNIPSA – SIFMA Municipal Swap Index
NATL – National Interstate Corporation
SOFR – Secured Overnight Financing Rate
SRF – State Revolving Fund
UPMC – University of Pittsburgh Medical Center
XLCA – XL Capital Assurance Inc.
34
AB Municipal Bond Inflation Strategy
January 31, 2024 (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.
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.
35
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of January 31, 2024:
| Investments in Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets: | ||||||||||||||||
| Long-Term Municipal Bonds | $ | — | $ | 1,433,285,960 | $ | — | $ | 1,433,285,960 | ||||||||
| Commercial Mortgage-Backed Securities | — | 28,079,397 | — | 28,079,397 | ||||||||||||
| Corporates - Investment Grade | — | 13,351,854 | — | 13,351,854 | ||||||||||||
| Asset-Backed Securities | — | 6,430,697 | 0 | (a) | 6,430,697 | |||||||||||
| Corporates - Non-Investment Grade | — | 2,966,643 | 71,250 | 3,037,893 | ||||||||||||
| Collateralized Mortgage Obligations | — | 75,919 | — | 75,919 | ||||||||||||
| Short-Term Investments | 13,352,990 | — | — | 13,352,990 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities | 13,352,990 | 1,484,190,470 | 71,250 | (a) | 1,497,614,710 | |||||||||||
| Other Financial Instruments(b): | ||||||||||||||||
| Assets: | ||||||||||||||||
| Centrally Cleared Inflation (CPI) Swaps | — | 32,462,559 | — | 32,462,559 | ||||||||||||
| Centrally Cleared Interest Rate Swaps | — | 1,348,161 | — | 1,348,161 | ||||||||||||
| Inflation (CPI) Swaps | — | 28,424,604 | — | 28,424,604 | ||||||||||||
| Interest Rate Swaps | — | 937,623 | — | 937,623 | ||||||||||||
| Liabilities: | ||||||||||||||||
| Centrally Cleared Credit Default Swaps | — | (619,602 | ) | — | (619,602 | ) | ||||||||||
| Centrally Cleared Inflation (CPI) Swaps | — | (38,254 | ) | — | (38,254 | ) | ||||||||||
| Credit Default Swaps | — | (155,100 | ) | — | (155,100 | ) | ||||||||||
| Inflation (CPI) Swaps | — | (1,408,087 | ) | — | (1,408,087 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total | $ | 13,352,990 | $ | 1,545,142,374 | $ | 71,250 | (a) | $ | 1,558,566,614 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | The Fund held securities with zero market value at period end. |
| (b) | Other financial instruments include reverse repurchase agreements and derivative instruments, such as futures, forwards and swaps. Derivative instruments 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 three months ended January 31, 2024 is as follows:
| Fund | Market Value 10/31/2023 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 01/31/2024 (000) |
Dividend Income (000) |
|||||||||||||||
| Government Money Market Portfolio | $ | 6,662 | $ | 91,554 | $ | 84,863 | $ | 13,353 | $ | 91 | ||||||||||
36