AB Municipal Bond Inflation Strategy
Portfolio of Investments
July 31, 2024 (unaudited)
| Principal Amount (000) |
U.S. $ Value | |||||||
| MUNICIPAL OBLIGATIONS – 97.7% |
||||||||
| Long-Term Municipal Bonds – 97.4% |
||||||||
| Alabama – 4.4% |
||||||||
| Alabama Special Care Facilities Financing Authority-Birmingham AL (Children’s Hospital of Alabama Obligated Group (The)) |
$ | 3,905 | $ | 3,951,831 | ||||
| Black Belt Energy Gas District (Goldman Sachs Group, Inc. (The)) |
1,830 | 1,966,352 | ||||||
| Series 2023-D |
2,500 | 2,563,645 | ||||||
| Black Belt Energy Gas District (Pacific Mutual Holding Co.) |
1,100 | 1,173,389 | ||||||
| Black Belt Energy Gas District (Royal Bank of Canada) |
21,155 | 21,428,473 | ||||||
| Series 2022-D |
2,555 | 2,574,924 | ||||||
| Infirmary Health System Special Care Facilities Financing Authority of Mobile (Infirmary Health System Obligated Group) |
2,110 | 2,123,942 | ||||||
| Series 2021 |
1,675 | 1,599,957 | ||||||
| Southeast Alabama Gas Supply District (The) (Pacific Mutual Holding Co.) |
2,000 | 2,153,565 | ||||||
| Southeast Energy Authority A Cooperative District (Goldman Sachs Group, Inc. (The)) |
1,000 | 1,044,667 | ||||||
| Southeast Energy Authority A Cooperative District (Morgan Stanley) |
18,485 | 18,477,504 | ||||||
| Southeast Energy Authority A Cooperative District (Royal Bank of Canada) |
2,000 | 2,118,211 | ||||||
| Southeast Energy Authority A Cooperative District (Sumitomo Mitsui Financial Group, Inc.) |
3,000 | 3,185,372 | ||||||
|
|
|
|||||||
| 64,361,832 | ||||||||
|
|
|
|||||||
| Alaska – 0.3% |
||||||||
| Alaska Housing Finance Corp. (Pre-refunded - Others) |
4,000 | 4,025,852 | ||||||
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|
|
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1
| Principal Amount (000) |
U.S. $ Value | |||||||
| American Samoa – 0.1% |
| |||||||
| American Samoa Economic Development Authority (Territory of American Samoa) |
$ | 1,335 | $ | 1,368,216 | ||||
| Series 2018 |
245 | 254,740 | ||||||
| 7.125%, 09/01/2038(c) |
280 | 303,443 | ||||||
|
|
|
|||||||
| 1,926,399 | ||||||||
|
|
|
|||||||
| Arizona – 2.4% |
| |||||||
| Arizona Industrial Development Authority (Equitable School Revolving Fund LLC Obligated Group) |
935 | 957,255 | ||||||
| 5.00%, 11/01/2031 |
800 | 873,845 | ||||||
| 5.00%, 11/01/2032 |
650 | 710,299 | ||||||
| 5.00%, 11/01/2033 |
900 | 982,028 | ||||||
| Arizona Industrial Development Authority (KIPP NYC Public Charter Schools) |
500 | 480,776 | ||||||
| Arizona Industrial Development Authority (Legacy Cares, Inc.) |
1,000 | 40,000 | ||||||
| 6.75%, 07/01/2030(d) (e) (f) |
1,000 | 40,000 | ||||||
| Arizona Industrial Development Authority (Phoenix Children’s Hospital Obligated Group) |
1,800 | 1,809,066 | ||||||
| 5.00%, 02/01/2026 |
1,200 | 1,233,177 | ||||||
| Chandler Industrial Development Authority (Intel Corp.) |
5,000 | 5,154,894 | ||||||
| Series 2024 |
2,000 | 2,028,817 | ||||||
| City of Glendale AZ (City of Glendale AZ COP) |
4,000 | 3,413,568 | ||||||
| City of Phoenix Civic Improvement Corp. (Phoenix Sky Harbor International Airport) |
3,945 | 4,083,846 | ||||||
| Series 2018 |
4,000 | 4,116,903 | ||||||
| City of Tempe AZ (City of Tempe AZ COP) |
2,400 | 2,032,073 | ||||||
2
| Principal Amount (000) |
U.S. $ Value | |||||||
| Industrial Development Authority of the County of Pima (The) (La Posada at Park Centre Inc Obligated Group) |
$ | 1,500 | $ | 1,515,216 | ||||
| State of Arizona Lottery Revenue (Pre-refunded - US Treasuries) |
5,000 | 5,380,822 | ||||||
|
|
|
|||||||
| 34,852,585 | ||||||||
|
|
|
|||||||
| Arkansas – 0.1% |
| |||||||
| Arkansas Development Finance Authority (Hybar LLC) |
1,000 | 1,104,870 | ||||||
| City of Fayetteville AR Sales & Use Tax Revenue |
1,000 | 997,356 | ||||||
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|
|
|||||||
| 2,102,226 | ||||||||
|
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|
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| California – 10.1% |
| |||||||
| ARC70 II TRUST |
4,766 | 4,506,674 | ||||||
| California Community Choice Financing Authority (American International Group, Inc.) |
2,000 | 2,145,611 | ||||||
| California Community Choice Financing Authority (Deutsche Bank AG) |
4,925 | 5,278,605 | ||||||
| California Community Choice Financing Authority (Goldman Sachs Group, Inc. (The)) |
1,125 | 1,210,058 | ||||||
| California Community Housing Agency (California Community Housing Agency Brio Apartments & Next on Lex Apartments) |
3,315 | 2,723,058 | ||||||
| California Community Housing Agency (California Community Housing Agency Fountains at Emerald Park) |
990 | 854,052 | ||||||
| California Housing Finance Agency |
950 | 910,769 | ||||||
| Series 2021-2, Class A |
4,813 | 4,833,650 | ||||||
| Series 2021-2, Class X |
2,407 | 109,763 | ||||||
| Series 2021-3, Class A |
1,917 | 1,799,108 | ||||||
3
| Principal Amount (000) |
U.S. $ Value | |||||||
| California Infrastructure & Economic Development Bank (DesertXpress Enterprises LLC) |
$ | 8,910 | $ | 8,910,205 | ||||
| 8.00%, 01/01/2050(b) (c) |
1,000 | 1,013,755 | ||||||
| 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 | 3,216,385 | ||||||
| California State University |
1,000 | 790,768 | ||||||
| City of Los Angeles CA |
6,000 | 6,112,463 | ||||||
| City of Los Angeles Department of Airports |
4,000 | 4,340,402 | ||||||
| Series 2022 |
4,000 | 4,228,128 | ||||||
| County of Los Angeles CA |
1,000 | 1,018,489 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Acacia on Santa Rosa Creek) |
2,000 | 1,620,475 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Millennium South Bay-Hawthorne) |
3,200 | 2,711,852 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Theo Apartments) |
2,300 | 1,948,219 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Vineyard Gardens Apartments) |
2,000 | 1,503,327 | ||||||
| Los Angeles Department of Water & Power (Pre-refunded - US Treasuries) |
1,000 | 1,002,668 | ||||||
| Los Angeles Unified School District/CA |
6,500 | 7,399,348 | ||||||
4
| Principal Amount (000) |
U.S. $ Value | |||||||
| Sacramento County Water Financing Authority (Sacramento County Water Agency) NATL |
$ | 5,000 | $ | 4,599,265 | ||||
| San Diego County Regional Airport Authority |
7,075 | 7,034,082 | ||||||
| 4.00%, 07/01/2040 |
8,655 | 8,540,083 | ||||||
| 4.00%, 07/01/2041 |
3,325 | 3,254,872 | ||||||
| San Francisco Intl Airport |
5,480 | 5,550,856 | ||||||
| Series 2023-E |
5,000 | 5,649,542 | ||||||
| Series 2024 |
5,960 | 6,573,624 | ||||||
| 5.00%, 05/01/2037 |
2,000 | 2,205,078 | ||||||
| 5.00%, 05/01/2039 |
4,975 | 5,435,381 | ||||||
| 5.25%, 05/01/2044 |
3,380 | 3,689,894 | ||||||
| San Francisco Intl Airport (Pre-refunded - US Treasuries) |
4,000 | 4,005,707 | ||||||
| Southern California Public Power Authority (American International Group, Inc.) |
1,400 | 1,496,161 | ||||||
| State of California |
2,655 | 2,664,308 | ||||||
| 5.00%, 10/01/2024 |
3,590 | 3,602,009 | ||||||
| Series 2023 |
10,000 | 11,569,468 | ||||||
| 5.10%, 03/01/2029 |
1,200 | 1,237,704 | ||||||
|
|
|
|||||||
| 147,314,616 | ||||||||
|
|
|
|||||||
| Colorado – 3.8% |
| |||||||
| Arapahoe County School District No. 5 Cherry Creek (Arapahoe County School District No. 5 Cherry Creek COP) |
2,655 | 2,732,110 | ||||||
| City & County of Denver CO Airport System Revenue |
7,910 | 8,622,424 | ||||||
| City & County of Denver CO Airport System Revenue (Denver Intl Airport) |
2,090 | 2,214,590 | ||||||
| 5.00%, 12/01/2029 |
6,555 | 6,918,148 | ||||||
| Colorado Health Facilities Authority (AdventHealth Obligated Group) |
2,600 | 2,833,993 | ||||||
| Series 2023 |
5,280 | 5,642,173 | ||||||
5
| Principal Amount (000) |
U.S. $ Value | |||||||
| Colorado Health Facilities Authority (CommonSpirit Health) |
$ | 1,015 | $ | 1,088,732 | ||||
| 5.00%, 08/01/2032 |
640 | 687,314 | ||||||
| 5.00%, 08/01/2033 |
750 | 805,544 | ||||||
| Colorado Health Facilities Authority (Intermountain Healthcare Obligated Group) |
1,445 | 1,452,888 | ||||||
| Colorado Health Facilities Authority (Sanford Obligated Group) |
1,525 | 1,648,053 | ||||||
| Colorado State Education Loan Program |
7,000 | 7,129,212 | ||||||
| E-470 Public Highway Authority |
2,000 | 1,998,923 | ||||||
| E-470 Public Highway Authority (Pre-refunded - US Govt Agencies) |
2,000 | 2,000,155 | ||||||
| Johnstown Plaza Metropolitan District |
1,873 | 1,665,130 | ||||||
| Platte River Metropolitan District |
306 | 317,845 | ||||||
| State of Colorado (State of Colorado COP) |
6,000 | 7,131,465 | ||||||
| Sterling Ranch Community Authority Board (Sterling Ranch Metropolitan District No. 3) |
1,000 | 1,068,043 | ||||||
| Vauxmont Metropolitan District AGM |
260 | 261,516 | ||||||
|
|
|
|||||||
| 56,218,258 | ||||||||
|
|
|
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| Connecticut – 2.3% |
| |||||||
| City of New Haven CT |
1,920 | 2,045,516 | ||||||
| Connecticut State Health & Educational Facilities Authority (Stamford Hospital Obligated Group (The)) |
1,500 | 1,467,421 | ||||||
6
| Principal Amount (000) |
U.S. $ Value | |||||||
| Connecticut State Health & Educational Facilities Authority (Yale University) |
$ | 8,000 | $ | 7,881,332 | ||||
| Series 2023-A |
7,710 | 7,654,925 | ||||||
| State of Connecticut |
1,275 | 1,280,968 | ||||||
| Series 2015-B |
2,840 | 2,884,127 | ||||||
| Series 2016-A |
2,160 | 2,213,250 | ||||||
| Series 2018-B |
1,440 | 1,546,923 | ||||||
| State of Connecticut Special Tax Revenue |
3,040 | 3,322,464 | ||||||
| Series 2023-A |
3,000 | 3,428,541 | ||||||
|
|
|
|||||||
| 33,725,467 | ||||||||
|
|
|
|||||||
| District of Columbia – 3.2% |
| |||||||
| District of Columbia (District of Columbia International School Obligated Group) |
2,400 | 2,480,231 | ||||||
| District of Columbia (Plenary Infrastructure DC LLC State Lease) |
4,765 | 5,062,026 | ||||||
| 5.00%, 08/31/2030 |
5,025 | 5,390,846 | ||||||
| 5.00%, 02/29/2032 |
5,475 | 5,953,420 | ||||||
| District of Columbia Income Tax Revenue |
5,795 | 6,423,373 | ||||||
| Series 2024-A |
3,750 | 4,423,552 | ||||||
| Metropolitan Washington Airports Authority Aviation Revenue |
3,065 | 3,166,676 | ||||||
| Series 2021-A |
2,500 | 2,512,645 | ||||||
| Series 2024-A |
2,000 | 2,206,884 | ||||||
| 5.00%, 10/01/2042 |
1,000 | 1,074,454 | ||||||
| 5.25%, 10/01/2041 |
2,000 | 2,208,769 | ||||||
| Metropolitan Washington Airports Authority Aviation Revenue (Pre-refunded - US Treasuries) |
3,000 | 3,009,542 | ||||||
7
| Principal Amount (000) |
U.S. $ Value | |||||||
| Washington Metropolitan Area Transit Authority Dedicated Revenue (Washington Metropolitan Area Transit Authority Dedicated Revenue Lease) |
$ | 2,540 | $ | 2,855,140 | ||||
|
|
|
|||||||
| 46,767,558 | ||||||||
|
|
|
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| Florida – 4.7% |
| |||||||
| Align Affordable Housing Bond Fund LP (SHI - Lake Worth LLC) |
2,500 | 2,249,215 | ||||||
| City of Palmetto FL (Renaissance Arts and Education, Inc.) |
2,400 | 2,471,365 | ||||||
| City of South Miami Health Facilities Authority, Inc. (Baptist Health South Florida Obligated Group) |
4,500 | 4,584,771 | ||||||
| County of Broward FL Airport System Revenue |
2,600 | 2,481,223 | ||||||
| County of Miami-Dade FL (County of Miami-Dade FL Non-Ad Valorem) |
2,885 | 2,917,167 | ||||||
| 5.00%, 06/01/2027 |
4,515 | 4,569,915 | ||||||
| County of Miami-Dade FL Aviation Revenue |
3,130 | 3,441,154 | ||||||
| 5.00%, 10/01/2036(b) |
4,970 | 5,426,196 | ||||||
| County of Osceola FL Transportation Revenue |
115 | 89,634 | ||||||
| Zero Coupon, 10/01/2031 |
140 | 104,631 | ||||||
| Zero Coupon, 10/01/2032 |
100 | 71,724 | ||||||
| Zero Coupon, 10/01/2033 |
115 | 79,037 | ||||||
| Zero Coupon, 10/01/2034 |
125 | 82,328 | ||||||
| County of Pasco FL (H Lee Moffitt Cancer Center & Research Institute Obligated Group) |
8,000 | 8,663,522 | ||||||
| Florida Municipal Power Agency (Florida Municipal Power Agency All-Requirements Power Supply Project Revenue) |
500 | 466,311 | ||||||
| Florida State Board of Governors (Florida State University Athletics Association, Inc.) BAM |
4,500 | 5,020,892 | ||||||
| Greater Orlando Aviation Authority |
4,000 | 4,135,409 | ||||||
| Greater Orlando Aviation Authority (Pre-refunded - US Treasuries) |
4,420 | 4,639,065 | ||||||
8
| Principal Amount (000) |
U.S. $ Value | |||||||
| Hillsborough County Aviation Authority (Pre-refunded - US Treasuries) |
$ | 10,000 | $ | 10,023,383 | ||||
| Orange County Health Facilities Authority (Presbyterian Retirement Communities, Inc. Obligated Group) |
1,000 | 1,002,109 | ||||||
| Polk County Industrial Development Authority (Mineral Development LLC) |
950 | 893,317 | ||||||
| School District of Broward County/FL |
2,000 | 2,007,769 | ||||||
| Village Community Development District No. 14 (Village Community Development District No. 14 Series 2022 Phase I Special Asmnts) |
2,680 | 2,795,960 | ||||||
|
|
|
|||||||
| 68,216,097 | ||||||||
|
|
|
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| Georgia – 3.1% |
| |||||||
| Augusta Development Authority (WellStar Health System Obligated Group) |
4,490 | 4,717,747 | ||||||
| City of Atlanta GA Department of Aviation |
3,440 | 3,722,216 | ||||||
| 5.00%, 07/01/2042 |
6,830 | 7,279,705 | ||||||
| Cobb County Kennestone Hospital Authority (WellStar Health System Obligated Group) |
1,650 | 1,669,348 | ||||||
| Main Street Natural Gas, Inc. (Citigroup, Inc.) |
2,075 | 2,092,183 | ||||||
| Series 2024-C |
4,000 | 4,261,069 | ||||||
| Main Street Natural Gas, Inc. (Royal Bank of Canada) |
8,000 | 8,524,931 | ||||||
| Main Street Natural Gas, Inc. (Toronto-Dominion Bank (The)) |
2,000 | 2,001,215 | ||||||
| Private Colleges & Universities Authority (Emory University) |
10,000 | 11,349,308 | ||||||
|
|
|
|||||||
| 45,617,722 | ||||||||
|
|
|
|||||||
9
| Principal Amount (000) |
U.S. $ Value | |||||||
| Illinois – 5.7% |
| |||||||
| Chicago Board of Education |
$ | 1,200 | $ | 1,236,798 | ||||
| Series 2019-B |
135 | 140,723 | ||||||
| 5.00%, 12/01/2031 |
265 | 276,104 | ||||||
| 5.00%, 12/01/2033 |
100 | 104,082 | ||||||
| Series 2023 |
1,375 | 1,553,868 | ||||||
| 5.25%, 04/01/2040 |
1,720 | 1,890,606 | ||||||
| Chicago Housing Authority |
2,500 | 2,616,266 | ||||||
| 5.00%, 01/01/2037 |
5,260 | 5,488,452 | ||||||
| 5.00%, 01/01/2038 |
1,000 | 1,041,213 | ||||||
| Chicago O’Hare International Airport |
5,000 | 5,026,300 | ||||||
| Series 2016-C |
5,000 | 5,102,868 | ||||||
| Series 2022 |
2,000 | 1,992,445 | ||||||
| 5.00%, 01/01/2028 |
680 | 710,846 | ||||||
| 5.00%, 01/01/2031 |
600 | 646,808 | ||||||
| 5.00%, 01/01/2042 |
3,850 | 4,077,068 | ||||||
| Illinois Finance Authority (Illinois Institute of Technology) |
100 | 99,871 | ||||||
| 5.00%, 09/01/2027 |
100 | 100,185 | ||||||
| 5.00%, 09/01/2029 |
100 | 100,475 | ||||||
| 5.00%, 09/01/2033 |
200 | 200,070 | ||||||
| 5.00%, 09/01/2034 |
100 | 99,597 | ||||||
| Illinois Finance Authority (Pre-refunded - US Treasuries) |
1,500 | 1,509,542 | ||||||
| Illinois Finance Authority (Washington and Jane Smith Community - Orland Park) |
9,375 | 8,023,340 | ||||||
| Illinois Housing Development Authority |
1,190 | 1,199,069 | ||||||
| Illinois Housing Development Authority (Drexel Court & Lake Park East) |
125 | 129,986 | ||||||
| Illinois State Toll Highway Authority |
14,805 | 16,333,243 | ||||||
| 5.00%, 01/01/2043 |
6,700 | 7,283,366 | ||||||
| State of Illinois |
3,810 | 3,813,666 | ||||||
| Series 2022-A |
2,945 | 3,271,494 | ||||||
| Series 2022-B |
3,000 | 3,362,071 | ||||||
10
| Principal Amount (000) |
U.S. $ Value | |||||||
| Series 2024-B |
$ | 1,000 | $ | 1,116,038 | ||||
| 5.00%, 05/01/2041 |
1,400 | 1,536,967 | ||||||
| 5.25%, 05/01/2043 |
3,000 | 3,329,899 | ||||||
|
|
|
|||||||
| 83,413,326 | ||||||||
|
|
|
|||||||
| Indiana – 2.7% |
||||||||
| City of Whiting IN (BP PLC) |
5,000 | 5,045,024 | ||||||
| Indiana Finance Authority (Brightmark Plastics Renewal Indiana LLC) |
2,220 | 1,326,471 | ||||||
| Indiana Finance Authority (CWA Authority, Inc.) |
2,000 | 2,325,490 | ||||||
| Indiana Finance Authority (Duke Energy Indiana LLC) |
5,750 | 5,747,173 | ||||||
| 4.50%, 05/01/2035 |
7,555 | 7,586,770 | ||||||
| Indiana Finance Authority (Good Samaritan Hospital Obligated Group) |
1,210 | 1,147,126 | ||||||
| Indiana Finance Authority (Indiana University Health, Inc. Obligated Group) |
7,150 | 6,860,444 | ||||||
| Indiana Finance Authority (Ohio Valley Electric Corp.) |
495 | 445,821 | ||||||
| Indiana Finance Authority (Parkview Health System Obligated Group) |
2,000 | 1,994,767 | ||||||
| Indiana Finance Authority (University of Evansville) |
5,000 | 5,155,248 | ||||||
| Indianapolis Local Public Improvement Bond Bank |
1,030 | 1,134,200 | ||||||
|
|
|
|||||||
| 38,768,534 | ||||||||
|
|
|
|||||||
| Iowa – 1.5% |
||||||||
| Iowa Finance Authority |
8,000 | 8,009,541 | ||||||
11
| Principal Amount (000) |
U.S. $ Value | |||||||
| Iowa Higher Education Loan Authority (Simpson College) |
$ | 2,275 | $ | 2,198,328 | ||||
| Iowa Tobacco Settlement Authority |
500 | 511,118 | ||||||
| 4.00%, 06/01/2035 |
515 | 525,678 | ||||||
| 4.00%, 06/01/2040 |
500 | 500,247 | ||||||
| 5.00%, 06/01/2031 |
900 | 976,491 | ||||||
| PEFA, Inc. (Goldman Sachs Group, Inc. (The)) |
9,300 | 9,493,110 | ||||||
|
|
|
|||||||
| 22,214,513 | ||||||||
|
|
|
|||||||
| Kansas – 0.1% |
||||||||
| Kansas Development Finance Authority (Pre-refunded - US Treasuries) |
720 | 766,414 | ||||||
|
|
|
|||||||
| Kentucky – 1.6% |
||||||||
| City of Ashland KY (Royal Blue Health LLC Obligated Group) |
180 | 182,728 | ||||||
| 5.00%, 02/01/2027 |
195 | 200,697 | ||||||
| 5.00%, 02/01/2030 |
125 | 132,291 | ||||||
| 5.00%, 02/01/2031 |
150 | 155,893 | ||||||
| Kentucky Public Energy Authority (Morgan Stanley) |
20,000 | 19,926,490 | ||||||
| Kentucky State Property & Building Commission (Kentucky State Property & Building Commission Lease) |
3,000 | 3,014,123 | ||||||
|
|
|
|||||||
| 23,612,222 | ||||||||
|
|
|
|||||||
| Louisiana – 1.0% |
||||||||
| City of New Orleans LA |
1,910 | 2,111,131 | ||||||
| 5.00%, 12/01/2035 |
2,680 | 2,947,236 | ||||||
| Jefferson Sales Tax District |
1,800 | 1,888,571 | ||||||
| Louisiana Local Government Environmental Facilities & Community Development Auth (LCDA 2023-ELL) |
2,578 | 2,605,314 | ||||||
12
| Principal Amount (000) |
U.S. $ Value | |||||||
| Parish of St. James LA (NuStar Logistics LP) |
$ | 340 | $ | 345,125 | ||||
| 6.10%, 06/01/2038(c) |
455 | 505,040 | ||||||
| 6.10%, 12/01/2040(c) |
390 | 434,026 | ||||||
| State of Louisiana Gasoline & Fuels Tax Revenue |
4,015 | 4,001,066 | ||||||
|
|
|
|||||||
| 14,837,509 | ||||||||
|
|
|
|||||||
| Maryland – 0.8% |
||||||||
| State of Maryland |
5,790 | 5,790,000 | ||||||
| 5.00%, 08/01/2025 |
1,000 | 1,020,839 | ||||||
| Series 2022-A |
1,000 | 1,144,919 | ||||||
| State of Maryland Department of Transportation |
3,210 | 3,253,873 | ||||||
|
|
|
|||||||
| 11,209,631 | ||||||||
|
|
|
|||||||
| Massachusetts – 1.8% |
||||||||
| City of Quincy MA |
1,000 | 1,017,046 | ||||||
| Commonwealth of Massachusetts |
7,000 | 7,000,000 | ||||||
| Series 2017-D |
3,000 | 3,057,265 | ||||||
| Series 2024-A |
2,000 | 2,276,283 | ||||||
| Series 2024-B |
2,000 | 2,244,085 | ||||||
| Commonwealth of Massachusetts (Commonwealth of Massachusetts COVID-19 Recovery Assessment Revenue) |
1,267 | 1,242,702 | ||||||
| Massachusetts Development Finance Agency (Tufts Medicine Obligated Group) |
1,000 | 1,017,998 | ||||||
| Massachusetts Port Authority |
2,500 | 2,630,987 | ||||||
| Series 2019-C |
3,050 | 3,199,832 | ||||||
| Massachusetts Water Resources Authority |
2,810 | 3,244,036 | ||||||
|
|
|
|||||||
| 26,930,234 | ||||||||
|
|
|
|||||||
| Michigan – 2.1% |
||||||||
| City of Detroit MI |
750 | 783,060 | ||||||
| 5.00%, 04/01/2036 |
305 | 317,913 | ||||||
13
| Principal Amount (000) |
U.S. $ Value | |||||||
| City of Detroit MI Sewage Disposal System Revenue (Great Lakes Water Authority Sewage Disposal System Revenue) |
$ | 2,605 | $ | 2,544,358 | ||||
| Detroit Downtown Development Authority (Detroit Downtown Development Authority Catalyst Development Area) |
1,125 | 1,182,746 | ||||||
| Great Lakes Water Authority Sewage Disposal System Revenue |
2,120 | 2,158,299 | ||||||
| Great Lakes Water Authority Water Supply System Revenue |
1,000 | 1,018,065 | ||||||
| Michigan Finance Authority |
2,500 | 2,543,133 | ||||||
| Michigan Finance Authority (Bronson Health Care Group Obligated Group) |
11,080 | 11,102,133 | ||||||
| Michigan Finance Authority (City of Detroit MI) |
1,000 | 1,028,957 | ||||||
| 5.00%, 04/01/2027 |
1,735 | 1,798,606 | ||||||
| Michigan Finance Authority (Corewell Health Obligated Group) |
3,000 | 3,039,173 | ||||||
| Michigan Finance Authority (Henry Ford Health System Obligated Group) |
1,785 | 1,841,954 | ||||||
| Michigan Finance Authority (Michigan Finance Authority Tobacco Settlement Revenue) |
1,000 | 940,423 | ||||||
|
|
|
|||||||
| 30,298,820 | ||||||||
|
|
|
|||||||
| Minnesota – 0.8% |
||||||||
| City of Brooklyn Park MN (Brooklyn Park AH I LLLP) |
1,500 | 1,562,855 | ||||||
| Dakota County Community Development Agency (Rosemont AH I LLLP) |
375 | 374,787 | ||||||
| 5.66%, 07/01/2041(c) |
1,000 | 1,001,332 | ||||||
14
| Principal Amount (000) |
U.S. $ Value | |||||||
| Minneapolis-St. Paul Metropolitan Airports Commission |
$ | 4,250 | $ | 4,255,022 | ||||
| 5.00%, 01/01/2039 |
2,105 | 2,252,567 | ||||||
| State of Minnesota |
2,000 | 2,000,000 | ||||||
|
|
|
|||||||
| 11,446,563 | ||||||||
|
|
|
|||||||
| Mississippi – 0.1% |
||||||||
| Mississippi Development Bank (Magnolia Regional Health Center) |
1,000 | 1,017,414 | ||||||
|
|
|
|||||||
| Missouri – 0.1% |
||||||||
| Howard Bend Levee District XLCA |
135 | 135,814 | ||||||
| 5.75%, 03/01/2027 |
120 | 122,109 | ||||||
| Lee’s Summit Industrial Development Authority (John Knox Village Obligated Group) |
1,675 | 1,682,688 | ||||||
|
|
|
|||||||
| 1,940,611 | ||||||||
|
|
|
|||||||
| Montana – 0.2% |
||||||||
| Montana Facility Finance Authority (Benefis Health System Obligated Group) |
1,925 | 1,979,490 | ||||||
| 5.00%, 02/15/2033 |
1,350 | 1,385,843 | ||||||
|
|
|
|||||||
| 3,365,333 | ||||||||
|
|
|
|||||||
| Nebraska – 0.6% |
||||||||
| Central Plains Energy Project (Bank of Montreal) |
2,000 | 2,112,675 | ||||||
| Central Plains Energy Project (Royal Bank of Canada) |
6,115 | 6,126,282 | ||||||
|
|
|
|||||||
| 8,238,957 | ||||||||
|
|
|
|||||||
| Nevada – 1.9% |
||||||||
| Clark County School District |
3,500 | 3,696,287 | ||||||
| Series 2021-B |
5,170 | 5,459,944 | ||||||
| Las Vegas Valley Water District |
5,000 | 5,198,870 | ||||||
| 4.00%, 06/01/2037 |
6,350 | 6,595,132 | ||||||
15
| Principal Amount (000) |
U.S. $ Value | |||||||
| State of Nevada Department of Business & Industry (DesertXpress Enterprises LLC) |
$ | 1,630 | $ | 1,709,450 | ||||
| Series 2024 |
940 | 940,059 | ||||||
| 8.125%, 01/01/2050(b) |
1,000 | 1,013,755 | ||||||
| Tahoe-Douglas Visitors Authority |
2,625 | 2,745,703 | ||||||
| 5.00%, 07/01/2035 |
805 | 841,452 | ||||||
|
|
|
|||||||
| 28,200,652 | ||||||||
|
|
|
|||||||
| New Hampshire – 1.3% |
||||||||
| National Finance Authority |
4,882 | 228,370 | ||||||
| New Hampshire Business Finance Authority |
1,448 | 1,441,079 | ||||||
| Series 2022-1, Class A |
9,732 | 9,802,472 | ||||||
| Series 2022-1, Class X |
8,282 | 178,205 | ||||||
| Series 2022-2, Class A |
4,882 | 4,775,448 | ||||||
| Series 2024-2 |
2,000 | 1,934,119 | ||||||
|
|
|
|||||||
| 18,359,693 | ||||||||
|
|
|
|||||||
| New Jersey – 5.4% |
||||||||
| Essex County Improvement Authority (County of Essex NJ) |
2,000 | 2,031,006 | ||||||
| Illinois Housing Development Authority (FCR 2019-B) |
12,264 | 11,387,369 | ||||||
| New Jersey Economic Development Authority (New Jersey-American Water Co., Inc.) |
2,000 | 2,012,710 | ||||||
| New Jersey Educational Facilities Authority (Ramapo College of New Jersey) |
550 | 550,659 | ||||||
| 4.00%, 07/01/2040 |
750 | 746,998 | ||||||
| 4.00%, 07/01/2041 |
835 | 830,340 | ||||||
| 5.00%, 07/01/2034 |
845 | 954,080 | ||||||
| 5.00%, 07/01/2035 |
400 | 451,079 | ||||||
| 5.00%, 07/01/2036 |
600 | 673,926 | ||||||
| 5.00%, 07/01/2037 |
600 | 672,528 | ||||||
| 5.00%, 07/01/2038 |
745 | 829,908 | ||||||
16
| Principal Amount (000) |
U.S. $ Value | |||||||
| New Jersey Transportation Trust Fund Authority (New Jersey Transportation Fed Hwy Grant) |
$ | 4,390 | $ | 4,523,176 | ||||
| Series 2018-A |
4,170 | 4,302,870 | ||||||
| 5.00%, 06/15/2029 |
17,500 | 18,030,882 | ||||||
| 5.00%, 06/15/2030 |
1,500 | 1,542,244 | ||||||
| 5.00%, 06/15/2031 |
3,000 | 3,080,196 | ||||||
| New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease) |
2,960 | 2,975,701 | ||||||
| Series 2023-B |
3,265 | 3,635,838 | ||||||
| 5.00%, 06/15/2043 |
1,250 | 1,369,222 | ||||||
| New Jersey Turnpike Authority |
7,300 | 7,608,546 | ||||||
| Series 2021-B |
1,000 | 981,595 | ||||||
| 1.713%, 01/01/2029 |
1,350 | 1,206,535 | ||||||
| Series 2024-C |
2,400 | 2,659,842 | ||||||
| 5.00%, 01/01/2044(b) |
1,000 | 1,104,405 | ||||||
| Tobacco Settlement Financing Corp./NJ |
|
4,750 |
|
|
5,002,200 |
| ||
|
|
|
|||||||
| 79,163,855 | ||||||||
|
|
|
|||||||
| New Mexico – 0.1% |
||||||||
| State of New Mexico Severance Tax Permanent Fund |
1,000 | 1,131,500 | ||||||
|
|
|
|||||||
| New York – 8.3% |
||||||||
| City of New York NY |
3,120 | 2,857,178 | ||||||
| Series 2021-A |
2,000 | 2,000,908 | ||||||
| Series 2021-F |
2,500 | 2,532,081 | ||||||
| County of Nassau NY |
2,205 | 2,218,844 | ||||||
| Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates |
2,000 | 2,145,756 | ||||||
| Metropolitan Transportation Authority |
1,130 | 1,135,111 | ||||||
| Series 2016-B |
1,370 | 1,422,059 | ||||||
17
| Principal Amount (000) |
U.S. $ Value | |||||||
| Series 2017 |
$ | 1,935 | $ | 1,980,167 | ||||
| 5.00%, 11/15/2026 |
555 | 577,585 | ||||||
| Series 2017-C |
1,745 | 1,843,712 | ||||||
| Series 2020-A |
5,120 | 5,526,619 | ||||||
| Series 2020-E |
1,000 | 1,018,339 | ||||||
| New York City Municipal Water Finance Authority |
2,000 | 2,361,563 | ||||||
| New York City Transitional Finance Authority (New York City Transitional Finance Authority Future Tax Secured Revenue) |
6,800 | 7,810,767 | ||||||
| 5.00%, 11/01/2039 |
1,900 | 2,173,749 | ||||||
| New York Liberty Development Corp. (3 World Trade Center LLC) |
200 | 200,454 | ||||||
| New York State Dormitory Authority (New York State Sales Tax) |
2,000 | 2,096,458 | ||||||
| New York State Dormitory Authority (State of New York Pers Income Tax) |
2,000 | 1,626,761 | ||||||
| 2.252%, 03/15/2032 |
2,000 | 1,703,242 | ||||||
| Series 2021-A |
1,000 | 1,015,096 | ||||||
| Series 2022-A |
2,000 | 2,034,150 | ||||||
| New York State Environmental Facilities Corp. (State of New York SRF) |
800 | 825,833 | ||||||
| New York State Urban Development Corp. (State of New York Pers Income Tax) |
37,115 | 40,815,380 | ||||||
| New York Transportation Development Corp. (JFK International Air Terminal LLC) |
1,610 | 1,684,945 | ||||||
| New York Transportation Development Corp. (Laguardia Gateway Partners LLC) |
345 | 344,466 | ||||||
| Suffolk Tobacco Asset Securitization Corp. |
2,265 | 2,381,760 | ||||||
| 5.00%, 06/01/2032 |
2,245 | 2,439,456 | ||||||
18
| Principal Amount (000) |
U.S. $ Value | |||||||
| Triborough Bridge & Tunnel Authority (Metropolitan Transportation Authority Payroll Mobility Tax Revenue) |
$ | 4,740 | $ | 4,869,373 | ||||
| Series 2021-A |
2,945 | 2,837,266 | ||||||
| 2.591%, 05/15/2036 |
2,000 | 1,589,859 | ||||||
| 2.917%, 05/15/2040 |
1,000 | 760,969 | ||||||
| Series 2022 |
6,000 | 6,000,988 | ||||||
| Series 2024 |
3,000 | 3,516,292 | ||||||
| Triborough Bridge & Tunnel Authority (Pre-refunded - US Treasuries) |
6,500 | 6,504,601 | ||||||
|
|
|
|||||||
| 120,851,787 | ||||||||
|
|
|
|||||||
| North Carolina – 0.9% |
||||||||
| Fayetteville State University |
655 | 714,304 | ||||||
| State of North Carolina (State of North Carolina Fed Hwy Grant) |
5,360 | 5,424,034 | ||||||
| 5.00%, 03/01/2026 |
6,710 | 6,780,498 | ||||||
|
|
|
|||||||
| 12,918,836 | ||||||||
|
|
|
|||||||
| North Dakota – 0.0% |
||||||||
| County of Grand Forks ND (Red River Biorefinery LLC) |
425 | 0 | ||||||
| 7.00%, 12/15/2043(d) (e) (f) (j) (k) |
440 | 0 | ||||||
|
|
|
|||||||
| 0 | ||||||||
|
|
|
|||||||
| Ohio – 2.4% |
||||||||
| American Municipal Power, Inc. (American Municipal Power Combined Hydroelectric Revenue) |
5,000 | 5,120,336 | ||||||
| City of Chillicothe OH (Adena Health System Obligated Group) |
3,385 | 3,497,818 | ||||||
| City of Cleveland OH Income Tax Revenue |
2,500 | 2,658,482 | ||||||
| County of Hamilton OH (Christ Hospital Obligated Group) |
1,000 | 1,024,827 | ||||||
| County of Washington OH (Marietta Area Health Care, Inc. Obligated Group) |
2,000 | 2,180,875 | ||||||
19
| Principal Amount (000) |
U.S. $ Value | |||||||
| Ohio Higher Educational Facility Commission (University of Dayton) |
$ | 1,250 | $ | 1,371,884 | ||||
| 5.00%, 02/01/2039 |
3,860 | 4,207,972 | ||||||
| Reynoldsburg City School District |
1,000 | 1,025,254 | ||||||
| Series 2014 |
1,000 | 1,031,861 | ||||||
| State of Ohio (Cleveland Clinic Health System Obligated Group) |
3,400 | 3,948,331 | ||||||
| University of Toledo |
9,770 | 9,506,030 | ||||||
|
|
|
|||||||
| 35,573,670 | ||||||||
|
|
|
|||||||
| Oklahoma – 0.3% |
||||||||
| Oklahoma Development Finance Authority |
2,500 | 2,352,778 | ||||||
| Oklahoma Development Finance Authority (OU Medicine Obligated Group) |
2,000 | 2,117,209 | ||||||
|
|
|
|||||||
| 4,469,987 | ||||||||
|
|
|
|||||||
| Oregon – 1.0% |
||||||||
| Deschutes County Hospital Facilities Authority (St. Charles Health System Obligated Group) |
1,000 | 1,000,127 | ||||||
| Oregon Health & Science University (Oregon Health & Science University Obligated Group) |
4,750 | 5,108,509 | ||||||
| Port of Portland OR Airport Revenue |
5,000 | 5,023,387 | ||||||
| 4.00%, 07/01/2040 |
3,500 | 3,453,529 | ||||||
|
|
|
|||||||
| 14,585,552 | ||||||||
|
|
|
|||||||
| Other – 0.4% |
||||||||
| Federal Home Loan Mortgage Corp. |
962 | 776,843 | ||||||
| Federal Home Loan Mortgage Corp. Multifamily VRD Certificates |
2,433 | 2,011,271 | ||||||
| Series 2022-ML13, Class XCA |
1,150 | 61,768 | ||||||
20
| Principal Amount (000) |
U.S. $ Value | |||||||
| Series 2022-ML13, Class XUS |
$ | 2,041 | $ | 136,443 | ||||
| Series M052, Class A |
3,655 | 3,229,464 | ||||||
|
|
|
|||||||
| 6,215,789 | ||||||||
|
|
|
|||||||
| Pennsylvania – 7.0% |
| |||||||
| Allegheny County Hospital Development Authority (UPMC Obligated Group) |
5,000 | 5,001,725 | ||||||
| Berks County Municipal Authority (The) (Tower Health Obligated Group) |
1,000 | 640,000 | ||||||
| Series 2020-B |
2,000 | 1,490,000 | ||||||
| Bucks County Industrial Development Authority (Grand View Hospital/Sellersville PA Obligated Group) |
1,150 | 1,131,585 | ||||||
| 5.00%, 07/01/2033 |
1,150 | 1,129,045 | ||||||
| 5.00%, 07/01/2034 |
1,300 | 1,273,841 | ||||||
| 5.00%, 07/01/2035 |
1,050 | 1,025,028 | ||||||
| Chester County Industrial Development Authority (Collegium Charter School) |
925 | 948,468 | ||||||
| City of Philadelphia PA |
12,990 | 13,657,907 | ||||||
| City of Philadelphia PA Water & Wastewater Revenue |
1,000 | 1,051,753 | ||||||
| 5.00%, 10/01/2033 |
1,135 | 1,192,809 | ||||||
| Hospitals & Higher Education Facilities Authority of Philadelphia (The) (Temple University Health System Obligated Group) AGM |
10,000 | 10,010,443 | ||||||
| Lancaster County Hospital Authority/PA (St. Anne’s Retirement Community Obligated Group) |
485 | 480,334 | ||||||
| 5.00%, 03/01/2033 |
1,600 | 1,541,533 | ||||||
| Montgomery County Higher Education and Health Authority (Thomas Jefferson University Obligated Group) |
1,500 | 1,572,758 | ||||||
| Series 2022 |
1,100 | 1,101,868 | ||||||
| 4.00%, 05/01/2037 |
1,500 | 1,509,538 | ||||||
21
| Principal Amount (000) |
U.S. $ Value | |||||||
| 4.00%, 05/01/2038 |
$ | 1,375 | $ | 1,375,875 | ||||
| 4.00%, 05/01/2039 |
1,500 | 1,496,502 | ||||||
| 4.00%, 05/01/2040 |
2,000 | 1,987,915 | ||||||
| 4.00%, 05/01/2041 |
3,000 | 2,966,293 | ||||||
| Montgomery County Industrial Development Authority/PA (Pre-refunded - US Treasuries) |
2,000 | 2,020,101 | ||||||
| Moon Industrial Development Authority (Baptist Homes Society) |
455 | 446,817 | ||||||
| Pennsylvania Economic Development Financing Authority (PA Bridges Finco LP) |
1,000 | 1,006,702 | ||||||
| Pennsylvania Economic Development Financing Authority (UPMC Obligated Group) |
5,000 | 5,001,725 | ||||||
| Pennsylvania Turnpike Commission |
2,000 | 2,046,767 | ||||||
| Series 2016-A |
3,000 | 3,046,763 | ||||||
| Series 2017 |
1,750 | 1,850,426 | ||||||
| 5.00%, 12/01/2029 |
1,255 | 1,323,020 | ||||||
| Series 2017-B |
5,830 | 6,074,494 | ||||||
| Series 2021-A |
1,245 | 1,062,224 | ||||||
| Series 2021-B |
2,000 | 1,988,976 | ||||||
| Series 2022-A |
1,000 | 1,137,446 | ||||||
| Philadelphia Authority for Industrial Development (MaST Community Charter School III) |
1,000 | 1,010,740 | ||||||
| Pittsburgh Water & Sewer Authority AGM |
10,000 | 9,709,606 | ||||||
| School District of Philadelphia (The) |
5,000 | 5,119,082 | ||||||
| Series 2023-A |
2,000 | 2,268,745 | ||||||
| 5.25%, 09/01/2043 |
4,000 | 4,427,381 | ||||||
|
|
|
|||||||
| 102,126,235 | ||||||||
|
|
|
|||||||
22
| Principal Amount (000) |
U.S. $ Value | |||||||
| Puerto Rico – 0.1% |
| |||||||
| Commonwealth of Puerto Rico |
$ | 3 | $ | 2,895 | ||||
| Series 2022-C |
18 | 10,960 | ||||||
| Puerto Rico Electric Power Authority AGM |
970 | 968,498 | ||||||
|
|
|
|||||||
| 982,353 | ||||||||
|
|
|
|||||||
| Rhode Island – 0.2% |
| |||||||
| Rhode Island Health and Educational Building Corp. (City of Newport RI) |
3,435 | 3,501,347 | ||||||
|
|
|
|||||||
| South Carolina – 1.4% |
| |||||||
| Columbia Housing Authority/SC (Garden Lakes Apartments) |
525 | 521,460 | ||||||
| 5.26%, 11/01/2032 |
100 | 99,135 | ||||||
| 5.41%, 11/01/2039 |
1,315 | 1,297,431 | ||||||
| 6.28%, 11/01/2039 |
100 | 98,734 | ||||||
| Orangeburg County School District |
2,400 | 2,444,961 | ||||||
| South Carolina Jobs-Economic Development Authority (Last Step Recycling LLC) |
1,000 | 350,005 | ||||||
| South Carolina Jobs-Economic Development Authority (Novant Health Obligated Group) |
2,000 | 2,006,730 | ||||||
| 5.25%, 11/01/2044 |
2,500 | 2,802,301 | ||||||
| 5.50%, 11/01/2050 |
2,500 | 2,813,823 | ||||||
| South Carolina Public Service Authority |
1,000 | 1,017,208 | ||||||
| 5.00%, 12/01/2036 |
1,535 | 1,559,137 | ||||||
| Series 2016-B |
5,040 | 5,136,017 | ||||||
| Series 2016-C |
930 | 949,365 | ||||||
|
|
|
|||||||
| 21,096,307 | ||||||||
|
|
|
|||||||
| Tennessee – 2.0% |
| |||||||
| Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax) |
1,410 | 1,355,616 | ||||||
| Series 2016-B |
1,000 | 659,545 | ||||||
23
| Principal Amount (000) |
U.S. $ Value | |||||||
| Knox County Industrial Development Board (Tompaul Knoxville LLC) |
$ | 1,000 | $ | 1,023,069 | ||||
| 9.25%, 11/01/2042(c) |
1,000 | 1,022,869 | ||||||
| Metropolitan Nashville Airport Authority (The) |
1,000 | 1,133,004 | ||||||
| 5.50%, 07/01/2038 |
1,300 | 1,463,047 | ||||||
| 5.50%, 07/01/2042 |
1,485 | 1,637,984 | ||||||
| Tennergy Corp./TN (Morgan Stanley) |
9,015 | 9,056,693 | ||||||
| Tennergy Corp./TN (Nomura Holdings, Inc.) |
5,000 | 5,391,455 | ||||||
| Tennessee Energy Acquisition Corp. (Goldman Sachs Group, Inc. (The)) |
4,000 | 4,165,560 | ||||||
| Wilson County Health & Educational Facilities Board (Limestone Trail Apartments) |
1,000 | 852,404 | ||||||
| 4.25%, 12/01/2024 |
1,000 | 985,357 | ||||||
|
|
|
|||||||
| 28,746,603 | ||||||||
|
|
|
|||||||
| Texas – 4.2% |
| |||||||
| Central Texas Regional Mobility Authority |
1,575 | 1,720,053 | ||||||
| 5.00%, 01/01/2035 |
1,350 | 1,473,162 | ||||||
| 5.00%, 01/01/2037 |
1,675 | 1,818,498 | ||||||
| 5.00%, 01/01/2039 |
1,000 | 1,079,619 | ||||||
| Central Texas Turnpike System |
1,000 | 1,131,527 | ||||||
| Series 2024-C |
2,200 | 2,463,604 | ||||||
| City of Houston TX Airport System Revenue |
1,100 | 1,096,885 | ||||||
| AGM Series 2023 |
4,000 | 4,407,420 | ||||||
| City of Houston TX Combined Utility System Revenue |
1,015 | 1,027,824 | ||||||
| City of San Antonio TX Electric & Gas Systems Revenue |
1,750 | 1,921,045 | ||||||
| 5.00%, 02/01/2039 |
2,000 | 2,183,047 | ||||||
24
| Principal Amount (000) |
U.S. $ Value | |||||||
| Conroe Local Government Corp. (Conroe Local Government Corp. Conroe Convention Center Hotel) |
$ | 905 | $ | 890,847 | ||||
| Harris County Cultural Education Facilities Finance Corp. (Memorial Hermann Health System Obligated Group) |
1,000 | 998,131 | ||||||
| Series 2024 5.00%, 07/01/2034 |
2,000 | 2,312,526 | ||||||
| Harris County Cultural Education Facilities Finance Corp. (Texas Children’s Hospital Obligated Group) |
2,000 | 1,986,230 | ||||||
| Lewisville Independent School District |
2,295 | 2,296,668 | ||||||
| Lower Colorado River Authority (LCRA Transmission Services Corp.) |
800 | 867,705 | ||||||
| New Hope Cultural Education Facilities Finance Corp. (Buckingham Senior Living Community, Inc. Obligated Group) |
945 | 360,846 | ||||||
| 7.50%, 11/15/2036(d) (e) |
225 | 186,631 | ||||||
| 7.50%, 11/15/2037(d) (e) |
35 | 27,042 | ||||||
| New Hope Cultural Education Facilities Finance Corp. (Dwyer Workforce Development) |
1,310 | 1,313,968 | ||||||
| New Hope Cultural Education Facilities Finance Corp. (Morningside Ministries Obligated Group) |
1,825 | 1,394,466 | ||||||
| North Texas Tollway Authority (North Texas Tollway System) |
1,080 | 1,115,281 | ||||||
| Port of Beaumont Navigation District (Jefferson 2020 Bond Lessee & Borrower LLC Obligated Group) |
1,000 | 1,017,978 | ||||||
| Port of Beaumont Navigation District (Jefferson Railport Terminal II LLC) |
550 | 518,784 | ||||||
25
| Principal Amount (000) |
U.S. $ Value | |||||||
| San Antonio Independent School District/TX |
$ | 2,000 | $ | 2,021,989 | ||||
| Tarrant County Cultural Education Facilities Finance Corp. (CHRISTUS Health Obligated Group) |
2,465 | 2,633,356 | ||||||
| 5.00%, 07/01/2031 |
10,940 | 11,674,229 | ||||||
| Texas Municipal Gas Acquisition & Supply Corp. IV (BP PLC) |
7,260 | 7,830,025 | ||||||
| Texas State University System |
1,000 | 1,109,537 | ||||||
|
|
|
|||||||
| 60,878,923 | ||||||||
|
|
|
|||||||
| Utah – 0.4% |
| |||||||
| Intermountain Power Agency |
2,000 | 2,241,784 | ||||||
| State of Utah (Pre-refunded - US Treasuries) |
3,275 | 3,302,242 | ||||||
|
|
|
|||||||
| 5,544,026 | ||||||||
|
|
|
|||||||
| Virginia – 0.8% |
| |||||||
| Align Affordable Housing Bond Fund LP (Park Landing LP) |
2,000 | 2,001,428 | ||||||
| Chesterfield County Economic Development Authority (County of Chesterfield VA) |
2,000 | 2,251,441 | ||||||
| US Bank Trust Co. NA (Park Landing LP) |
1,488 | 1,394,189 | ||||||
| Virginia College Building Authority (Virginia College Building Authority State Lease) |
3,000 | 3,031,583 | ||||||
| Virginia Public Building Authority (Virginia Public Building Authority State Lease) |
1,085 | 1,225,525 | ||||||
| Virginia Small Business Financing Authority (Pure Salmon Virginia LLC) |
2,000 | 2,000,876 | ||||||
|
|
|
|||||||
| 11,905,042 | ||||||||
|
|
|
|||||||
26
| Principal Amount (000) |
U.S. $ Value | |||||||
| Washington – 4.0% |
| |||||||
| Energy Northwest (Bonneville Power Administration) |
$ | 2,000 | $ | 2,036,811 | ||||
| Series 2016 |
4,925 | 5,017,663 | ||||||
| Series 2021-A |
1,000 | 1,007,034 | ||||||
| Port of Seattle WA |
8,280 | 8,570,673 | ||||||
| 5.00%, 05/01/2030 |
6,200 | 6,420,943 | ||||||
| 5.00%, 05/01/2038 |
1,000 | 1,028,240 | ||||||
| Series 2021 |
13,380 | 13,081,758 | ||||||
| Series 2022 |
2,000 | 2,000,000 | ||||||
| State of Washington |
13,325 | 13,433,362 | ||||||
| Series 2024-R |
2,000 | 2,037,630 | ||||||
| Washington State Housing Finance Commission |
953 | 884,216 | ||||||
| Series 2021-1, Class X |
954 | 41,519 | ||||||
| Series 2023-1, Class X |
2,983 | 319,640 | ||||||
| Washington State Housing Finance Commission (Presbyterian Retirement Communities Northwest Obligated Group) |
2,125 | 2,049,657 | ||||||
|
|
|
|||||||
| 57,929,146 | ||||||||
|
|
|
|||||||
| West Virginia – 0.4% |
| |||||||
| City of South Charleston WV (City of South Charleston WV South Charleston Park Place Excise Tax District) |
1,185 | 973,386 | ||||||
| Tobacco Settlement Finance Authority/WV |
2,195 | 2,122,589 | ||||||
| West Virginia Economic Development Authority (Wyoming County Coal LLC) |
2,500 | 2,581,024 | ||||||
|
|
|
|||||||
| 5,676,999 | ||||||||
|
|
|
|||||||
| Wisconsin – 1.3% |
| |||||||
| St. Croix Chippewa Indians of Wisconsin |
1,000 | 752,961 | ||||||
| State of Wisconsin |
1,900 | 1,941,325 | ||||||
27
| Principal Amount (000) |
U.S. $ Value | |||||||
| Wisconsin Health & Educational Facilities Authority (Advocate Aurora Health Obligated Group) |
$ | 2,000 | $ | 2,061,184 | ||||
| Wisconsin Housing & Economic Development Authority (Roers Sun Prairie Apartments Owner LLC) |
280 | 252,112 | ||||||
| Series 2022-A |
1,285 | 1,151,147 | ||||||
| Wisconsin Public Finance Authority |
1,000 | 1,002,037 | ||||||
| Wisconsin Public Finance Authority (Catholic Bishop of Chicago (The)) |
5,000 | 4,597,413 | ||||||
| Wisconsin Public Finance Authority (CFC-SA LLC) |
3,100 | 3,208,136 | ||||||
| Wisconsin Public Finance Authority (National Senior Communities, Inc. Obligated Group) |
1,375 | 1,316,965 | ||||||
| Wisconsin Public Finance Authority (Pre-refunded - US Treasuries) |
15 | 15,532 | ||||||
| Wisconsin Public Finance Authority (Renown Regional Medical Center Obligated Group) |
1,220 | 1,206,337 | ||||||
| Wisconsin Public Finance Authority (UNC Health Appalachian Obligated Group) |
300 | 309,967 | ||||||
| 5.00%, 07/01/2036 |
350 | 359,303 | ||||||
| 5.00%, 07/01/2038 |
375 | 381,619 | ||||||
| 18,556,038 | ||||||||
|
|
|
|||||||
| Total Long-Term Municipal Bonds |
1,421,603,033 | |||||||
|
|
|
|||||||
| Short-Term Municipal Notes – 0.3% |
| |||||||
| California – 0.1% |
| |||||||
| Nuveen California AMT-Free Quality Municipal Income Fund |
1,000 | 1,000,000 | ||||||
|
|
|
|||||||
28
| Principal Amount (000) |
U.S. $ Value | |||||||
| Other – 0.2% |
||||||||
| Nuveen AMT-Free Municipal Credit Income Fund |
$ | 2,000 | $ | 2,000,000 | ||||
| Nuveen AMT-Free Quality Municipal Income Fund |
2,000 | 2,000,000 | ||||||
|
|
|
|||||||
| 4,000,000 | ||||||||
|
|
|
|||||||
| Total Short-Term Municipal Notes |
5,000,000 | |||||||
|
|
|
|||||||
| Total Municipal Obligations |
1,426,603,033 | |||||||
|
|
|
|||||||
| CORPORATES - INVESTMENT GRADE – 0.9% |
||||||||
| Industrial – 0.9% |
||||||||
| Capital Goods – 0.2% |
||||||||
| Caterpillar Financial Services Corp. |
2,500 | 2,499,375 | ||||||
| Consumer Non-Cyclical – 0.7% |
||||||||
| Baylor Scott & White Holdings |
1,000 | 938,190 | ||||||
| 1.777%, 11/15/2030 |
1,000 | 850,760 | ||||||
| Hackensack Meridian Health, Inc. |
1,790 | 1,274,516 | ||||||
| Ochsner LSU Health System of North Louisiana |
2,300 | 1,672,284 | ||||||
| Sutter Health |
1,000 | 776,130 | ||||||
| UPMC |
5,600 | 5,532,576 | ||||||
|
|
|
|||||||
| 11,044,456 | ||||||||
|
|
|
|||||||
| Total Corporates - Investment Grade |
13,543,831 | |||||||
|
|
|
|||||||
| CORPORATES - NON-INVESTMENT GRADE – 0.2% |
||||||||
| Industrial – 0.2% |
||||||||
| Communications - Media – 0.2% |
||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp. |
1,933 | 1,526,838 | ||||||
| DISH DBS Corp. |
959 | 797,639 | ||||||
| 5.75%, 12/01/2028(c) |
996 | 732,398 | ||||||
|
|
|
|||||||
| 3,056,875 | ||||||||
|
|
|
|||||||
29
| Principal Amount (000) |
U.S. $ Value | |||||||
| Energy – 0.0% |
||||||||
| Red River Biorefinery LLC |
$ | 30 | $ | 4,941 | ||||
| Series 23A |
65 | 10,706 | ||||||
|
|
|
|||||||
| 15,647 | ||||||||
|
|
|
|||||||
| Total Corporates - Non-Investment Grade |
3,072,522 | |||||||
|
|
|
|||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.2% |
||||||||
| Agency CMBS – 0.2% |
||||||||
| Federal Home Loan Mortgage Corp. Structured Pass-Through Certificates |
2,497 | 2,638,055 | ||||||
|
|
|
|||||||
| Non-Agency Fixed Rate CMBS – 0.0% |
||||||||
| City of Fort Wayne IN |
87 | 9 | ||||||
| New Hampshire Business Finance Authority |
2,183 | 86,302 | ||||||
| Series 2024-2, Class X |
1,000 | 42,447 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities |
2,766,813 | |||||||
|
|
|
|||||||
| ASSET-BACKED SECURITIES – 0.2% |
||||||||
| Other ABS - Fixed Rate – 0.2% |
||||||||
| HTA HRRB Custodial Trust |
19 | 19,414 | ||||||
| HTA TRRB Custodial Trust |
830 | 808,496 | ||||||
| 5.25%, 07/01/2036 |
900 | 903,481 | ||||||
| 5.25%, 07/01/2041 |
649 | 631,982 | ||||||
| Tarrant County Cultural Education Facilities Finance Corp. |
904 | 0 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities |
2,363,373 | |||||||
|
|
|
|||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0% |
||||||||
| Risk Share Floating Rate – 0.0% |
||||||||
| Federal National Mortgage Association Connecticut Avenue Securities |
37 | 38,245 | ||||||
|
|
|
|||||||
30
| Shares | U.S. $ Value | |||||||
| SHORT-TERM INVESTMENTS – 0.5% |
||||||||
| Investment Companies – 0.5% |
||||||||
| AB Fixed Income Shares, Inc. - Government |
7,011,538 | $ | 7,011,538 | |||||
|
|
|
|||||||
| Total Investments – 99.7% |
1,455,399,355 | |||||||
| Other assets less liabilities – 0.3% |
4,905,789 | |||||||
|
|
|
|||||||
| Net Assets – 100.0% |
$ | 1,460,305,144 | ||||||
|
|
|
|||||||
CENTRALLY CLEARED CREDIT DEFAULT SWAPS
| Description | Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at July 31, 2024 |
Notional Amount (000) |
Market Value |
Upfront Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| Buy Contracts |
| |||||||||||||||||||||||||||
| CDX-NAHY Series 42, 5 Year Index, 06/20/2029* |
(5.00 | )% | Quarterly | 3.31% | USD | 19,310 | $ | (1,422,056) | $ | (1,223,715) | $ | (198,341) | ||||||||||||||||
| * | 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 Paid/ Received |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
| USD | 30,000 | 08/06/2026 | 2.689% | CPI# | Maturity | $ | 2,083,853 | $ | — | $ | 2,083,853 | |||||||||||||
| USD | 25,000 | 10/04/2026 | 2.725% | CPI# | Maturity | 1,413,249 | — | 1,413,249 | ||||||||||||||||
| USD | 24,000 | 01/15/2028 | 3.232% | CPI# | Maturity | 1,077,976 | — | 1,077,976 | ||||||||||||||||
| USD | 19,310 | 01/15/2028 | 1.230% | CPI# | Maturity | 3,608,240 | — | 3,608,240 | ||||||||||||||||
| USD | 14,770 | 01/15/2028 | 0.735% | CPI# | Maturity | 3,308,754 | — | 3,308,754 | ||||||||||||||||
| USD | 25,000 | 10/04/2028 | 2.661% | CPI# | Maturity | 1,372,721 | — | 1,372,721 | ||||||||||||||||
| USD | 12,000 | 08/29/2029 | 1.748% | CPI# | Maturity | 1,910,146 | — | 1,910,146 | ||||||||||||||||
| USD | 4,825 | 01/15/2030 | 1.572% | CPI# | Maturity | 843,299 | — | 843,299 | ||||||||||||||||
| USD | 4,825 | 01/15/2030 | 1.587% | CPI# | Maturity | 836,477 | — | 836,477 | ||||||||||||||||
| USD | 1,670 | 01/15/2030 | 1.714% | CPI# | Maturity | 269,398 | — | 269,398 | ||||||||||||||||
| USD | 1,670 | 01/15/2030 | 1.731% | CPI# | Maturity | 266,688 | — | 266,688 | ||||||||||||||||
| USD | 7,850 | 01/15/2031 | 2.782% | CPI# | Maturity | 523,547 | — | 523,547 | ||||||||||||||||
| USD | 6,150 | 01/15/2031 | 2.680% | CPI# | Maturity | 473,344 | — | 473,344 | ||||||||||||||||
| USD | 5,000 | 04/01/2036 | 2.438% | CPI# | Maturity | 479,011 | — | 479,011 | ||||||||||||||||
| USD | 32,000 | 04/29/2036 | 2.503% | CPI# | Maturity | 2,725,767 | — | 2,725,767 | ||||||||||||||||
| USD | 10,000 | 05/01/2036 | 2.510% | CPI# | Maturity | 840,281 | — | 840,281 | ||||||||||||||||
| USD | 10,000 | 08/03/2036 | 2.488% | CPI# | Maturity | 739,679 | — | 739,679 | ||||||||||||||||
| USD | 20,000 | 08/06/2036 | 2.440% | CPI# | Maturity | 1,592,545 | — | 1,592,545 | ||||||||||||||||
| USD | 40,000 | 10/04/2036 | 2.510% | CPI# | Maturity | 2,405,204 | — | 2,405,204 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 26,770,179 | $ | — | $ | 26,770,179 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| # | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
31
CENTRALLY CLEARED INTEREST RATE SWAPS
| Rate Type | ||||||||||||||||||||||||
| Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Paid/ Received |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
| USD | 8,600 | 07/31/2030 | 1 Day SOFR | 4.504% | Annual | $ | 248,655 | $ | — | $ | 248,655 | |||||||||||||
| USD | 21,800 | 07/31/2031 | 1 Day SOFR | 4.059% | Annual | 407,655 | 2,413 | 405,242 | ||||||||||||||||
| USD | 36,800 | 03/31/2033 | 3.553% | 1 Day SOFR | Annual | 558,450 | — | 558,450 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 1,214,760 | $ | 2,413 | $ | 1,212,347 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
CREDIT DEFAULT SWAPS
| Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at July 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 | 5.00% | USD | 31 | $ | (3,955 | ) | $ | (2,738 | ) | $ | (1,217 | ) | |||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 5.00 | USD | 266 | (34,274 | ) | (30,609 | ) | (3,665 | ) | |||||||||||||||||||||
| Credit Suisse International |
| |||||||||||||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 5.00 | USD | 18 | (2,293 | ) | (1,986 | ) | (307 | ) | |||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 5.00 | USD | 17 | (2,178 | ) | (1,522 | ) | (656 | ) | |||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 5.00 | USD | 96 | (12,380 | ) | (10,622 | ) | (1,758 | ) | |||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 5.00 | USD | 173 | (22,238 | ) | (15,148 | ) | (7,090 | ) | |||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 5.00 | USD | 210 | (26,995 | ) | (18,882 | ) | (8,113 | ) | |||||||||||||||||||||
| Goldman Sachs International |
| |||||||||||||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 5.00 | USD | 103 | (13,239 | ) | (11,774 | ) | (1,465 | ) | |||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* |
3.00 | Monthly | 5.00 | USD | 273 | (35,190 | ) | (23,278 | ) | (11,912 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (152,742 | ) | $ | (116,559 | ) | $ | (36,183 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| * | Termination date |
32
INFLATION (CPI) SWAPS
| Rate Type | ||||||||||||||||||||||||||||||||||||
| Swap Counterparty | Notional Amount (000) |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Received |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||||||
| Bank of America, NA | USD | 145,000 | 07/15/2030 | 2.730% | CPI# | Maturity | $ | 398,025 | $ | — | $ | 398,025 | ||||||||||||||||||||||||
| Bank of America, NA | USD | 25,000 | 02/02/2032 | 2.403% | CPI# | Maturity | 2,267,267 | — | 2,267,267 | |||||||||||||||||||||||||||
| Bank of America, NA | USD | 50,000 | 02/15/2041 | 2.403% | CPI# | Maturity | 903,579 | — | 903,579 | |||||||||||||||||||||||||||
| Bank of America, NA | USD | 30,000 | 02/15/2041 | 2.463% | CPI# | Maturity | 276,020 | — | 276,020 | |||||||||||||||||||||||||||
| Barclays Bank PLC | USD | 20,000 | 06/06/2032 | 2.145% | CPI# | Maturity | 2,624,703 | — | 2,624,703 | |||||||||||||||||||||||||||
| Barclays Bank PLC | USD | 14,000 | 09/01/2032 | 2.128% | CPI# | Maturity | 1,915,653 | — | 1,915,653 | |||||||||||||||||||||||||||
| Barclays Bank PLC | USD | 22,000 | 08/29/2033 | 2.368% | CPI# | Maturity | 2,037,844 | — | 2,037,844 | |||||||||||||||||||||||||||
| Citibank, NA | USD | 25,000 | 07/03/2025 | 2.351% | CPI# | Maturity | 2,285,978 | — | 2,285,978 | |||||||||||||||||||||||||||
| Citibank, NA | USD | 370,000 | 07/15/2025 | 3.130% | CPI# | Maturity | 795,348 | — | 795,348 | |||||||||||||||||||||||||||
| Citibank, NA | USD | 12,000 | 11/05/2033 | 2.273% | CPI# | Maturity | 1,305,346 | — | 1,305,346 | |||||||||||||||||||||||||||
| Citibank, NA | USD | 13,000 | 02/15/2041 | 2.744% | CPI# | Maturity | 1,877 | — | 1,877 | |||||||||||||||||||||||||||
| Deutsche Bank AG | USD | 25,000 | 09/02/2025 | 1.880% | CPI# | Maturity | 3,320,016 | — | 3,320,016 | |||||||||||||||||||||||||||
| Goldman Sachs International | USD | 55,000 | 04/15/2025 | 4.759% | CPI# | Maturity | (113,475 | ) | — | (113,475 | ) | |||||||||||||||||||||||||
| Goldman Sachs International | USD | 30,000 | 04/15/2025 | 4.740% | CPI# | Maturity | (36,581 | ) | — | (36,581 | ) | |||||||||||||||||||||||||
| Goldman Sachs International | USD | 29,000 | 01/15/2027 | 3.534% | CPI# | Maturity | 992,076 | — | 992,076 | |||||||||||||||||||||||||||
| Goldman Sachs International | USD | 75,000 | 07/15/2030 | 2.413% | CPI# | Maturity | (128,157 | ) | — | (128,157 | ) | |||||||||||||||||||||||||
| Goldman Sachs International | USD | 18,000 | 04/15/2032 | 2.994% | CPI# | Maturity | 637,769 | — | 637,769 | |||||||||||||||||||||||||||
| Goldman Sachs International | USD | 25,000 | 02/15/2041 | 2.535% | CPI# | Maturity | (178,371 | ) | — | (178,371 | ) | |||||||||||||||||||||||||
| Goldman Sachs International | USD | 25,000 | 02/15/2041 | 2.537% | CPI# | Maturity | (185,240 | ) | — | (185,240 | ) | |||||||||||||||||||||||||
| Goldman Sachs International | USD | 14,000 | 02/15/2041 | 2.380% | CPI# | Maturity | 828,607 | — | 828,607 | |||||||||||||||||||||||||||
| Goldman Sachs International | USD | 7,000 | 02/15/2041 | 2.413% | CPI# | Maturity | 378,467 | — | 378,467 | |||||||||||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 13,000 | 03/01/2027 | 2.279% | CPI# | Maturity | 1,335,943 | — | 1,335,943 | |||||||||||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 10,000 | 07/03/2028 | 2.356% | CPI# | Maturity | 942,450 | — | 942,450 | |||||||||||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 25,000 | 11/05/2028 | 2.234% | CPI# | Maturity | 2,686,411 | — | 2,686,411 | |||||||||||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 18,000 | 04/17/2030 | 2.378% | CPI# | Maturity | 1,631,910 | — | 1,631,910 | |||||||||||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 29,000 | 04/15/2032 | 2.944% | CPI# | Maturity | 1,188,948 | — | 1,188,948 | |||||||||||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 24,000 | 11/17/2032 | 2.183% | CPI# | Maturity | 3,029,261 | — | 3,029,261 | |||||||||||||||||||||||||||
| JPMorgan Chase Bank, NA | USD | 15,000 | 02/15/2041 | 2.605% | CPI# | Maturity | (179,600 | ) | — | (179,600 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| $ | 30,962,074 | $ | — | $ | 30,962,074 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
| # | 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 Received |
Market Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| Citibank, NA | USD | 11,075 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 895,072 | $ | — | $ | 895,072 | ||||||||||||||||
| * | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
33
| (a) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at July 31, 2024. |
| (b) | When-Issued or delayed delivery security. |
| (c) | 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, 2024, the aggregate market value of these securities amounted to $106,617,794 or 7.3% of net assets. |
| (d) | Defaulted. |
| (e) | Non-income producing security. |
| (f) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 1.69% of net assets as of July 31, 2024, are considered illiquid and restricted. Additional information regarding such securities follows: |
| 144A/Restricted & Illiquid Securities | Acquisition Date |
Cost | Market Value |
Percentage of Net Assets | ||||||||
| ARC70 II TRUST |
07/18/2023 | $ | 4,766,240 | $ | 4,506,674 | 0.31% | ||||||
| Arizona Industrial Development Authority |
06/13/2022 | 1,038,658 | 40,000 | 0.00% | ||||||||
| Arizona Industrial Development Authority |
07/21/2022 | 1,036,663 | 40,000 | 0.00% | ||||||||
| County of Grand Forks ND |
05/21/2021 | 425,000 | 0 | 0.00% | ||||||||
| County of Grand Forks ND |
05/21/2021 | 440,000 | 0 | 0.00% | ||||||||
| Illinois Housing Development Authority |
05/21/2024 | 1,190,000 | 1,199,069 | 0.08% | ||||||||
| Indiana Finance Authority |
03/28/2019 | 2,194,886 | 1,326,471 | 0.09% | ||||||||
| Indiana Finance Authority |
06/24/2024 | 2,000,000 | 1,994,767 | 0.14% | ||||||||
| New Hope Cultural Education Facilities Finance Corp. |
02/03/2023 | 1,310,000 | 1,313,968 | 0.09% | ||||||||
| Red River Biorefinery LLC |
01/25/2024 | 30,000 | 4,941 | 0.00% | ||||||||
| Red River Biorefinery LLC |
05/31/2023 | 65,000 | 10,706 | 0.00% | ||||||||
| South Carolina Jobs-Economic Development Authority |
06/16/2021 | 1,000,000 | 350,005 | 0.02% | ||||||||
34
| 144A/Restricted & Illiquid Securities | Acquisition Date |
Cost | Market Value |
Percentage of Net Assets | ||||||||
| University of Toledo |
06/30/2023 | $ | 9,770,000 | $ | 9,506,030 | 0.65% | ||||||
| Wisconsin Public Finance Authority |
08/03/2021 | 5,000,000 | 4,597,413 | 0.31% | ||||||||
| (g) | Inverse floater security. |
| (h) | IO - Interest Only. |
| (i) | Coupon rate adjusts periodically based upon a predetermined schedule. Stated interest rate in effect at July 31, 2024. |
| (j) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (k) | Fair valued by the Adviser. |
| (l) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
| (m) | 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 | $ | 952,594 | $ | 0 | 0.00% | ||||||
| (n) | Affiliated investments. |
| (o) | The rate shown represents the 7-day yield as of period end. |
| (p) | 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. |
| (q) | As of July 31, 2024, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $76,010,012 and gross unrealized depreciation of investments was $(48,911,339), resulting in net unrealized depreciation of $27,098,673. |
As of July 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
BAM – Build American Mutual
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CMBS – Commercial Mortgage-Backed Securities
CME – Chicago Mercantile Exchange
COP – Certificate of Participation
CPI – Consumer Price Index
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.
35
AB Municipal Bond Inflation Strategy
July 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.
36
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of July 31, 2024:
| Investments in Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets: |
| |||||||||||||||
| Long-Term Municipal Bonds | $ | — | $ | 1,421,603,033 | $ | 0 | (a) | $ | 1,421,603,033 | |||||||
| Short-Term Municipal Notes | — | 5,000,000 | — | 5,000,000 | ||||||||||||
| Corporates - Investment Grade | — | 13,543,831 | — | 13,543,831 | ||||||||||||
| Corporates - Non-Investment Grade | — | 3,056,875 | 15,647 | 3,072,522 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 2,766,813 | — | 2,766,813 | ||||||||||||
| Asset-Backed Securities | — | 2,363,373 | 0 | (a) | 2,363,373 | |||||||||||
| Collateralized Mortgage Obligations | — | 38,245 | — | 38,245 | ||||||||||||
| Short-Term Investments | 7,011,538 | — | — | 7,011,538 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities | 7,011,538 | 1,448,372,170 | 15,647 | (a) | 1,455,399,355 | |||||||||||
| Other Financial Instruments(b): | ||||||||||||||||
| Assets: |
| |||||||||||||||
| Centrally Cleared Inflation (CPI) Swaps | — | 26,770,179 | — | 26,770,179 | ||||||||||||
| Centrally Cleared Interest Rate Swaps | — | 1,214,760 | — | 1,214,760 | ||||||||||||
| Inflation (CPI) Swaps | — | 31,783,498 | — | 31,783,498 | ||||||||||||
| Interest Rate Swaps | — | 895,072 | — | 895,072 | ||||||||||||
| Liabilities: |
| |||||||||||||||
| Centrally Cleared Credit Default Swaps | — | (1,422,056 | ) | — | (1,422,056 | ) | ||||||||||
| Credit Default Swaps | — | (152,742 | ) | — | (152,742 | ) | ||||||||||
| Inflation (CPI) Swaps | — | (821,424 | ) | — | (821,424 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total | $ | 7,011,538 | $ | 1,506,639,457 | $ | 15,647 | (a) | $ | 1,513,666,642 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (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 nine months ended July 31, 2024 is as follows:
| Fund | Market Value 10/31/2023 (000) |
Purchases at Cost (000) |
Sales Proceeds (000) |
Market Value 07/31/2024 (000) |
Dividend Income (000) |
|||||||||||||||
| Government Money Market Portfolio | $ | 6,662 | $ | 323,845 | $ | 323,495 | $ | 7,012 | $ | 500 | ||||||||||
37