Sanford C. Bernstein Fund, Inc.
Schedule of Investments
California Municipal Portfolio
June 30, 2023 (unaudited)
| Principal Amount (000) |
U.S. $ Value | |||||||
| MUNICIPAL OBLIGATIONS – 97.1% |
| |||||||
| Long-Term Municipal Bonds – 95.7% |
| |||||||
| Alabama – 1.8% |
| |||||||
| Southeast Alabama Gas Supply District (The) (Morgan Stanley) |
$ | 18,615 | $ | 18,578,959 | ||||
|
|
|
|||||||
| American Samoa – 0.1% |
||||||||
| American Samoa Economic Development Authority (Territory of American Samoa) |
735 | 777,480 | ||||||
|
|
|
|||||||
| California – 84.7% |
||||||||
| Anaheim Housing & Public Improvements Authority (City of Anaheim CA Electric System Revenue) |
3,850 | 3,262,349 | ||||||
| Bay Area Toll Authority |
5,000 | 4,991,058 | ||||||
| 4.31% (MUNIPSA + 0.30%), 04/01/2056(b) |
5,000 | 4,878,579 | ||||||
| 4.42% (MUNIPSA + 0.41%), 04/01/2056(b) |
9,215 | 8,961,533 | ||||||
| California Community Choice Financing Authority (American International Group, Inc.) |
5,000 | 5,275,672 | ||||||
| California Community Choice Financing Authority (Deutsche Bank AG) |
10,000 | 10,460,988 | ||||||
| California Community Choice Financing Authority (Goldman Sachs Group, Inc. (The)) |
6,020 | 5,994,283 | ||||||
| Series 2023 |
9,590 | 10,006,316 | ||||||
| California Community Choice Financing Authority (Morgan Stanley) |
4,435 | 4,405,811 | ||||||
| Series 2023 |
12,000 | 12,607,930 | ||||||
| 5.014% (SOFR + 1.63%), 07/01/2053(b) |
5,000 | 5,004,067 | ||||||
| California Community Housing Agency (California Community Housing Agency Aster Apartments) |
935 | 802,843 | ||||||
1
| Principal Amount (000) |
U.S. $ Value | |||||||
| California Community Housing Agency (California Community Housing Agency Brio Apartments & Next on Lex Apartments) |
$ | 4,450 | $ | 3,422,301 | ||||
| California Community Housing Agency (California Community Housing Agency Fountains at Emerald Park) |
2,500 | 2,052,790 | ||||||
| California Community Housing Agency (California Community Housing Agency Summit at Sausalito Apartments) |
3,390 | 2,523,719 | ||||||
| California County Tobacco Securitization Agency |
510 | 510,595 | ||||||
| 4.00%, 06/01/2038 |
1,000 | 992,204 | ||||||
| 5.00%, 06/01/2027 |
800 | 848,219 | ||||||
| 5.00%, 06/01/2028 |
700 | 752,484 | ||||||
| 5.00%, 06/01/2030 |
500 | 551,767 | ||||||
| 5.00%, 06/01/2031 |
400 | 440,636 | ||||||
| 5.00%, 06/01/2032 |
300 | 329,700 | ||||||
| California Earthquake Authority |
2,250 | 2,249,594 | ||||||
| California Educational Facilities Authority (University of the Pacific) |
1,545 | 1,619,028 | ||||||
| California Enterprise Development Authority (Rocketship Education Obligated Group) |
885 | 846,657 | ||||||
| 4.00%, 06/01/2031(a) |
2,000 | 1,820,465 | ||||||
| California Health Facilities Financing Authority |
7,500 | 7,500,000 | ||||||
| California Health Facilities Financing Authority (Cedars-Sinai Medical Center) |
6,500 | 6,816,448 | ||||||
| 5.00%, 11/15/2028 |
6,000 | 6,296,731 | ||||||
| 5.00%, 11/15/2029 |
7,000 | 7,353,162 | ||||||
| California Health Facilities Financing Authority (Children’s Hospital Los Angeles) |
1,215 | 1,270,370 | ||||||
| California Health Facilities Financing Authority (CommonSpirit Health) |
2,900 | 3,158,071 | ||||||
| 5.00%, 04/01/2033 |
2,000 | 2,175,919 | ||||||
| 5.00%, 04/01/2034 |
750 | 815,977 | ||||||
| California Health Facilities Financing Authority (Sutter Health Obligated Group) |
4,250 | 4,278,822 | ||||||
| 5.00%, 11/15/2029 |
1,280 | 1,387,355 | ||||||
2
| Principal Amount (000) |
U.S. $ Value | |||||||
| California Infrastructure & Economic Development Bank (California Academy of Sciences) |
$ | 8,700 | $ | 8,600,850 | ||||
| California Infrastructure & Economic Development Bank (California Infrastructure & Economic Development Bank SRF) |
5,000 | 5,131,049 | ||||||
| Series 2018 |
13,965 | 15,513,346 | ||||||
| California Infrastructure & Economic Development Bank (DesertXpress Enterprises LLC) |
20,000 | 19,915,392 | ||||||
| 7.75%, 01/01/2050(a) |
1,000 | 997,169 | ||||||
| California Infrastructure & Economic Development Bank (Segerstrom Center for the Arts) |
2,370 | 2,480,959 | ||||||
| Series 2016-B |
12,760 | 12,760,000 | ||||||
| California Municipal Finance Authority (Emerson College) |
1,000 | 1,042,626 | ||||||
| California Municipal Finance Authority (LAX Integrated Express Solutions LLC) |
800 | 803,049 | ||||||
| 5.00%, 12/31/2024 |
250 | 253,207 | ||||||
| 5.00%, 12/31/2026 |
2,200 | 2,280,654 | ||||||
| 5.00%, 06/30/2029 |
1,050 | 1,111,532 | ||||||
| 5.00%, 12/31/2029 |
1,150 | 1,217,808 | ||||||
| 5.00%, 12/31/2031 |
1,930 | 2,038,720 | ||||||
| California Municipal Finance Authority (United Airlines, Inc.) |
5,250 | 5,190,254 | ||||||
| California Pollution Control Financing Authority (Poseidon Resources Channelside LP) |
2,740 | 2,756,548 | ||||||
| California Pollution Control Financing Authority (San Diego County Water Authority Desalination Project Pipeline) |
1,335 | 1,350,528 | ||||||
| 5.00%, 07/01/2029(a) |
3,400 | 3,553,937 | ||||||
3
| Principal Amount (000) |
U.S. $ Value | |||||||
| California Public Finance Authority (California University of Science & Medicine Obligated Group) |
$ | 1,500 | $ | 1,588,378 | ||||
| California School Finance Authority (Kipp SoCal Public Schools Obligated Group) |
1,305 | 1,203,621 | ||||||
| California School Finance Authority (Lighthouse Community Public Schools Obligated Group) |
1,000 | 1,021,164 | ||||||
| California School Finance Authority (Partnerships to Uplift Communities Series 2023 Obligated Group) |
850 | 866,351 | ||||||
| 5.25%, 08/01/2038(a) |
500 | 501,143 | ||||||
| California School Finance Authority (Rocketship Education Obligated Group) |
945 | 925,035 | ||||||
| Series 2016-A |
1,000 | 1,003,736 | ||||||
| California State Public Works Board (California State Public Works Board Lease) |
11,220 | 11,469,486 | ||||||
| Series 2014-B |
4,445 | 4,549,467 | ||||||
| Series 2017-H |
2,000 | 2,160,224 | ||||||
| 5.00%, 04/01/2031 |
2,000 | 2,160,764 | ||||||
| 5.00%, 04/01/2032 |
1,270 | 1,371,524 | ||||||
| California State University |
280 | 287,403 | ||||||
| Series 2017-A |
5,620 | 6,079,542 | ||||||
| Series 2020-A |
600 | 686,253 | ||||||
| 5.00%, 11/01/2031 |
400 | 457,433 | ||||||
| Series 2020-D |
1,500 | 1,279,269 | ||||||
| Series 2021-B |
7,000 | 5,437,541 | ||||||
| California Statewide Communities Development Authority (CHF-Irvine LLC) |
1,210 | 1,268,280 | ||||||
| California Statewide Communities Development Authority (Emanate Health Obligated Group) |
720 | 758,427 | ||||||
| 5.00%, 04/01/2028 |
535 | 570,431 | ||||||
4
| Principal Amount (000) |
U.S. $ Value | |||||||
| California Statewide Communities Development Authority (Lancer Educational Housing LLC) |
$ | 3,250 | $ | 3,198,279 | ||||
| Series 2019 |
755 | 745,603 | ||||||
| 5.00%, 06/01/2039(a) |
1,800 | 1,748,009 | ||||||
| California Statewide Communities Development Authority (Loma Linda University Medical Center) |
4,500 | 4,566,363 | ||||||
| Series 2016-A |
2,000 | 1,968,202 | ||||||
| Series 2018-A |
250 | 255,955 | ||||||
| 5.00%, 12/01/2033(a) |
1,000 | 1,018,866 | ||||||
| California Statewide Communities Development Authority (NCCD-Hooper Street LLC) |
60 | 59,811 | ||||||
| 5.00%, 07/01/2029(a) |
685 | 686,223 | ||||||
| City & County of San Francisco CA |
4,235 | 4,323,817 | ||||||
| City & County of San Francisco CA (City & County of San Francisco CA COP) |
3,970 | 3,982,140 | ||||||
| City of Hayward CA (City of Hayward CA COP) |
3,000 | 3,017,796 | ||||||
| City of Los Angeles CA |
31,000 | 31,514,120 | ||||||
| City of Los Angeles Department of Airports |
1,145 | 1,192,300 | ||||||
| Series 2017-A |
1,440 | 1,518,326 | ||||||
| 5.00%, 05/15/2029 |
2,575 | 2,712,378 | ||||||
| 5.00%, 05/15/2031 |
1,275 | 1,344,285 | ||||||
| Series 2018 |
3,000 | 3,245,974 | ||||||
| 5.00%, 05/15/2035 |
1,190 | 1,261,810 | ||||||
| Series 2018-C |
2,955 | 3,028,745 | ||||||
| Series 2019 |
4,205 | 4,101,919 | ||||||
| Series 2019-A |
4,315 | 4,550,662 | ||||||
| Series 2020-C |
5,000 | 5,491,332 | ||||||
5
| Principal Amount (000) |
U.S. $ Value | |||||||
| 5.00%, 05/15/2039 |
$ | 2,655 | $ | 2,818,329 | ||||
| Series 2021 |
5,020 | 5,511,371 | ||||||
| 5.00%, 05/15/2033 |
4,735 | 5,269,962 | ||||||
| 5.00%, 05/15/2033 (Pre-refunded/ETM) |
265 | 298,751 | ||||||
| 5.00%, 05/15/2035 |
1,685 | 1,844,767 | ||||||
| Series 2021-D |
2,165 | 2,139,451 | ||||||
| Series 2022 |
1,300 | 1,313,396 | ||||||
| 4.00%, 05/15/2041 |
1,100 | 1,084,182 | ||||||
| 5.00%, 05/15/2033 |
4,000 | 4,458,075 | ||||||
| Series 2022-A |
6,160 | 6,071,419 | ||||||
| City of Riverside CA Sewer Revenue |
2,000 | 2,090,189 | ||||||
| 5.00%, 08/01/2030 |
3,320 | 3,473,085 | ||||||
| Series 2018-A |
2,785 | 3,112,814 | ||||||
| City of Roseville CA (Fiddyment Ranch Community Facilities District No.1) |
1,010 | 1,068,035 | ||||||
| 5.00%, 09/01/2030 |
1,295 | 1,359,451 | ||||||
| City of Roseville CA (HP Campus Oaks Community Facilities District No.1) |
995 | 1,032,998 | ||||||
| City of San Jose CA Airport Revenue (Norman Y Mineta San Jose International Airport SJC) |
3,600 | 3,627,710 | ||||||
| CMFA Special Finance Agency VII (CMFA Special Finance Agency VII The Breakwater Apartments) |
1,650 | 1,381,828 | ||||||
| CMFA Special Finance Agency VIII Elan Huntington Beach |
1,000 | 839,046 | ||||||
| Contra Costa Transportation Authority Sales Tax Revenue |
1,250 | 1,352,041 | ||||||
| Coronado Community Development Agency Successor Agency |
3,625 | 3,774,058 | ||||||
| County of Los Angeles CA |
35,000 | 35,620,319 | ||||||
6
| Principal Amount (000) |
U.S. $ Value | |||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority 1818 Platinum Triangle-Anaheim) |
$ | 3,500 | $ | 2,702,452 | ||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority 777 Place-Pomona) |
1,500 | 1,175,971 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Acacia on Santa Rosa Creek) |
4,000 | 3,028,515 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Altana Apartments) |
5,000 | 3,788,613 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Jefferson Platinum Triangle Apartments) |
3,755 | 3,281,361 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Millennium South Bay-Hawthorne) |
1,000 | 801,541 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Oceanaire Apartments) |
5,000 | 3,561,109 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Pasadena Portfolio) |
2,480 | 1,910,983 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Theo Apartments) |
2,000 | 1,587,290 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Union South Bay) |
3,000 | 2,261,367 | ||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Vineyard Gardens Apartments) |
4,000 | 2,872,294 | ||||||
7
| Principal Amount (000) |
U.S. $ Value | |||||||
| CSCDA Community Improvement Authority (CSCDA Community Improvement Authority Waterscape Apartments) |
$ | 1,500 | $ | 989,749 | ||||
| Desert Sands Unified School District |
1,510 | 1,573,629 | ||||||
| Fontana Redevelopment Agency Successor Agency |
1,750 | 1,905,268 | ||||||
| Foothill-Eastern Transportation Corridor Agency |
1,889 | 1,866,201 | ||||||
| Fremont Community Facilities District No. 1 |
1,000 | 1,030,237 | ||||||
| Golden State Tobacco Securitization Corp. |
2,500 | 1,944,018 | ||||||
| 3.85%, 06/01/2050 |
4,515 | 4,090,449 | ||||||
| Golden State Tobacco Securitization Corp. (Golden State Tobacco Securitization Corp. Lease) |
2,900 | 2,670,743 | ||||||
| Lake Elsinore Public Financing Authority |
630 | 631,079 | ||||||
| Long Beach Unified School District |
1,000 | 1,001,276 | ||||||
| Los Angeles Department of Water & Power (Los Angeles Department of Water & Power PWR) |
14,750 | 14,750,000 | ||||||
| Los Angeles Department of Water & Power Power System Revenue |
1,600 | 1,616,714 | ||||||
| 5.00%, 07/01/2027 |
2,190 | 2,212,130 | ||||||
| Series 2014-C |
9,945 | 10,157,780 | ||||||
| 5.00%, 07/01/2026 |
11,725 | 11,969,697 | ||||||
| Series 2015-E |
820 | 837,544 | ||||||
| Series 2022 |
3,000 | 3,327,265 | ||||||
| Series 2022-B |
3,000 | 3,511,613 | ||||||
| 5.00%, 07/01/2040 |
2,800 | 3,165,943 | ||||||
| Los Angeles Department of Water & Power System Revenue |
4,800 | 5,312,633 | ||||||
8
| Principal Amount (000) |
U.S. $ Value | |||||||
| Los Angeles Department of Water & Power Water System Revenue |
$ | 1,345 | $ | 1,486,821 | ||||
| Los Angeles Unified School District/CA |
2,000 | 2,121,179 | ||||||
| Series 2014-C |
3,860 | 3,860,000 | ||||||
| 5.00%, 07/01/2027 |
10,365 | 10,559,935 | ||||||
| Series 2016-A |
18,645 | 19,450,697 | ||||||
| Series 2017-A |
6,905 | 6,905,000 | ||||||
| 5.00%, 07/01/2024 |
1,470 | 1,499,089 | ||||||
| Series 2018-B |
9,020 | 9,942,884 | ||||||
| Series 2018-M |
1,550 | 1,550,000 | ||||||
| Metropolitan Water District of Southern California |
2,900 | 2,897,143 | ||||||
| Middle Fork Project Finance Authority |
1,650 | 1,791,010 | ||||||
| 5.00%, 04/01/2034 |
1,100 | 1,191,276 | ||||||
| 5.00%, 04/01/2035 |
1,150 | 1,237,110 | ||||||
| Natomas Unified School District |
1,930 | 1,932,293 | ||||||
| Newport Mesa Unified School District |
1,600 | 1,632,986 | ||||||
| Oakland Unified School District/Alameda County |
1,575 | 1,576,836 | ||||||
| Series 2016 |
1,420 | 1,511,490 | ||||||
| Palm Desert Redevelopment Agency Successor Agency |
1,000 | 1,022,030 | ||||||
| Peralta Community College District |
1,820 | 1,851,533 | ||||||
| Pittsburg Successor Agency Redevelopment Agency |
2,785 | 2,936,901 | ||||||
| Port of Los Angeles |
1,000 | 1,015,412 | ||||||
| 5.00%, 08/01/2027 |
1,565 | 1,587,876 | ||||||
| Port of Oakland |
4,800 | 4,920,528 | ||||||
9
| Principal Amount (000) |
U.S. $ Value | |||||||
| River Islands Public Financing Authority (River Islands Public Financing Authority Community Facilities District No
2003-1) |
$ | 2,905 | $ | 2,776,815 | ||||
| 5.00%, 09/01/2042 |
2,510 | 2,406,104 | ||||||
| Riverside County Public Financing Authority |
3,395 | 3,557,428 | ||||||
| Romoland School District |
955 | 956,486 | ||||||
| Sacramento County Water Financing Authority (Sacramento County Water Agency) |
5,700 | 5,095,665 | ||||||
| San Diego County Regional Airport Authority |
19,280 | 19,280,000 | ||||||
| San Francisco City & County Redevelopment Agency Successor Agency (Mission Bay South Public Imp) |
1,500 | 1,503,111 | ||||||
| San Francisco Intl Airport |
11,015 | 11,862,775 | ||||||
| 5.00%, 05/01/2035 |
1,000 | 1,071,352 | ||||||
| Series 2019-E |
3,450 | 3,715,531 | ||||||
| 5.00%, 05/01/2035 |
3,275 | 3,508,679 | ||||||
| 5.00%, 05/01/2036 |
3,385 | 3,601,401 | ||||||
| Series 2019-H |
5,500 | 5,789,767 | ||||||
| Series 2020-E |
3,815 | 4,072,707 | ||||||
| Series 2021-A |
1,950 | 2,115,765 | ||||||
| Series 2022-C |
1,625 | 1,409,076 | ||||||
| San Mateo County Community College District |
5,000 | 5,230,759 | ||||||
| San Mateo Joint Powers Financing Authority (County of San Mateo CA Lease) |
4,000 | 4,001,856 | ||||||
| 5.00%, 07/15/2024 |
3,660 | 3,730,454 | ||||||
| 5.00%, 07/15/2025 |
5,790 | 6,001,620 | ||||||
| 5.00%, 07/15/2026 |
3,310 | 3,497,685 | ||||||
| Santa Clara Valley Transportation Authority (Santa Clara Valley Transportation Authority 2000 Measure A Sales Tax) |
2,000 | 2,090,341 | ||||||
10
| Principal Amount (000) |
U.S. $ Value | |||||||
| Saugus/Hart School Facilities Financing Authority (Saugus Union School District Community Facilities District No. 06-01) |
$ | 1,000 | $ | 1,032,307 | ||||
| 5.00%, 09/01/2030 |
1,365 | 1,403,651 | ||||||
| Southern California Public Power Authority (Los Angeles Department of Water & Power PWR) |
1,030 | 1,050,281 | ||||||
| Southwestern Community College District |
3,250 | 3,254,172 | ||||||
| 5.00%, 08/01/2024 |
3,550 | 3,621,299 | ||||||
| 5.00%, 08/01/2025 |
3,870 | 4,031,488 | ||||||
| State of California |
8,890 | 8,912,519 | ||||||
| Series 2014 |
2,285 | 2,300,528 | ||||||
| 5.00%, 05/01/2029 |
5,295 | 5,379,773 | ||||||
| Series 2015-B |
3,330 | 3,409,397 | ||||||
| Series 2017 |
5,540 | 5,662,473 | ||||||
| Series 2019 |
1,935 | 2,178,495 | ||||||
| 5.00%, 11/01/2031 |
1,310 | 1,461,298 | ||||||
| 5.00%, 04/01/2037 |
615 | 679,628 | ||||||
| Series 2022 |
7,780 | 9,079,455 | ||||||
| 5.00%, 04/01/2042 |
4,630 | 4,948,705 | ||||||
| Series 2023 |
2,625 | 2,989,893 | ||||||
| 6.00%, 03/01/2033 |
4,000 | 4,393,944 | ||||||
| Stockton Unified School District |
7,770 | 8,170,300 | ||||||
| Sweetwater Union High School District |
3,205 | 3,378,251 | ||||||
| BAM Series 2014 |
5,760 | 5,866,511 | ||||||
| 5.00%, 08/01/2029 |
2,220 | 2,262,465 | ||||||
| Tobacco Securitization Authority of Northern California (Sacramento County Tobacco Securitization Corp.) |
1,000 | 1,027,739 | ||||||
| 4.00%, 06/01/2036 |
1,015 | 1,024,700 | ||||||
| 4.00%, 06/01/2038 |
1,210 | 1,204,583 | ||||||
| 4.00%, 06/01/2040 |
1,150 | 1,123,685 | ||||||
| 5.00%, 06/01/2026 |
1,360 | 1,432,005 | ||||||
| 5.00%, 06/01/2027 |
1,500 | 1,606,887 | ||||||
| 5.00%, 06/01/2028 |
1,220 | 1,327,018 | ||||||
| 5.00%, 06/01/2030 |
1,500 | 1,671,957 | ||||||
| 5.00%, 06/01/2032 |
1,300 | 1,451,348 | ||||||
11
| Principal Amount (000) |
U.S. $ Value | |||||||
| Transbay Joint Powers Authority (Transbay Joint Powers Authority Transbay Redevelopment Project Tax Increment Rev) |
$ | 500 | $ | 545,708 | ||||
| 5.00%, 10/01/2032 |
450 | 489,809 | ||||||
| 5.00%, 10/01/2034 |
600 | 648,160 | ||||||
| 5.00%, 10/01/2035 |
600 | 643,472 | ||||||
| 5.00%, 10/01/2036 |
800 | 853,175 | ||||||
| 5.00%, 10/01/2037 |
700 | 740,852 | ||||||
| 5.00%, 10/01/2038 |
1,000 | 1,050,287 | ||||||
| University of California |
1,000 | 1,018,012 | ||||||
| Series 2015-A |
2,280 | 2,322,242 | ||||||
| Series 2017-A |
1,000 | 1,089,475 | ||||||
| 5.00%, 05/15/2029 |
3,000 | 3,270,943 | ||||||
| 5.00%, 05/15/2031 |
2,465 | 2,688,269 | ||||||
| Series 2017-M |
4,000 | 4,356,147 | ||||||
| Series 2018-O |
8,320 | 8,510,380 | ||||||
| Series 2020-B |
7,000 | 8,093,451 | ||||||
| 5.00%, 05/15/2035 |
10,000 | 11,530,492 | ||||||
| Series 2022-S |
2,000 | 2,392,788 | ||||||
| Series 2023-B |
6,260 | 6,222,051 | ||||||
| 5.00%, 05/15/2028 |
3,000 | 3,342,506 | ||||||
| 5.00%, 05/15/2032 |
5,000 | 6,024,414 | ||||||
| 5.00%, 05/15/2033 |
3,180 | 3,879,155 | ||||||
| 5.00%, 05/15/2037 |
2,000 | 2,371,411 | ||||||
| Victor Valley Union High School District |
10,000 | 1,847,655 | ||||||
|
|
|
|||||||
| 898,940,214 | ||||||||
|
|
|
|||||||
| Florida – 0.1% |
||||||||
| Capital Trust Agency, Inc. (Franklin Academy Obligated Group) |
100 | 99,997 | ||||||
| City of Tampa FL (State of Florida Cigarette Tax Revenue) |
175 | 115,847 | ||||||
| County of Osceola FL Transportation Revenue |
150 | 109,582 | ||||||
| Zero Coupon, 10/01/2031 |
185 | 129,130 | ||||||
| Zero Coupon, 10/01/2032 |
100 | 66,696 | ||||||
| Zero Coupon, 10/01/2033 |
250 | 158,909 | ||||||
| Zero Coupon, 10/01/2034 |
270 | 162,474 | ||||||
12
| Principal Amount (000) |
U.S. $ Value | |||||||
| New River Community Development District |
$ | 405 | $ | 0 | ||||
|
|
|
|||||||
| 842,635 | ||||||||
|
|
|
|||||||
| Georgia – 0.2% |
||||||||
| Municipal Electric Authority of Georgia |
460 | 492,407 | ||||||
| 5.00%, 01/01/2035 |
250 | 266,011 | ||||||
| 5.00%, 01/01/2036 |
1,590 | 1,686,097 | ||||||
|
|
|
|||||||
| 2,444,515 | ||||||||
|
|
|
|||||||
| Guam – 2.1% |
||||||||
| Antonio B Won Pat International Airport Authority |
625 | 549,732 | ||||||
| 3.489%, 10/01/2031 |
500 | 411,180 | ||||||
| Series 2023 |
1,080 | 1,094,280 | ||||||
| 5.125%, 10/01/2034(c) |
140 | 141,322 | ||||||
| 5.375%, 10/01/2040(c) |
275 | 270,962 | ||||||
| Guam Department of Education (Guam Department of Education COP) |
1,500 | 1,483,620 | ||||||
| 5.00%, 02/01/2040 |
1,090 | 1,085,429 | ||||||
| Guam Education Financing Foundation (Guam Education Financing Foundation COP) |
3,000 | 2,968,143 | ||||||
| Guam Power Authority |
3,000 | 3,174,344 | ||||||
| Territory of Guam |
495 | 510,727 | ||||||
| Territory of Guam (Guam Section 30 Income Tax) |
1,000 | 1,029,669 | ||||||
| 5.00%, 12/01/2029 |
455 | 468,233 | ||||||
| 5.00%, 12/01/2030 |
730 | 751,018 | ||||||
| 5.00%, 12/01/2032 |
675 | 693,754 | ||||||
| Territory of Guam (Territory of Guam Business Privilege Tax) |
1,365 | 1,367,618 | ||||||
| 5.00%, 11/15/2025 |
1,140 | 1,155,415 | ||||||
| 5.00%, 11/15/2031 |
2,735 | 2,779,344 | ||||||
| Series 2021-F |
1,000 | 1,049,360 | ||||||
| Territory of Guam (Territory of Guam Hotel Occupancy Tax) |
350 | 363,816 | ||||||
| 5.00%, 11/01/2028 |
455 | 477,235 | ||||||
| 5.00%, 11/01/2029 |
500 | 528,325 | ||||||
| 5.00%, 11/01/2030 |
320 | 338,768 | ||||||
|
|
|
|||||||
| 22,692,294 | ||||||||
|
|
|
|||||||
13
| Principal Amount (000) |
U.S. $ Value | |||||||
| Illinois – 0.8% |
||||||||
| Illinois Finance Authority (Illinois Institute of Technology) |
$ | 100 | $ | 99,927 | ||||
| 5.00%, 09/01/2027 |
100 | 99,734 | ||||||
| 5.00%, 09/01/2029 |
100 | 99,732 | ||||||
| 5.00%, 09/01/2032 |
100 | 98,837 | ||||||
| 5.00%, 09/01/2033 |
200 | 196,861 | ||||||
| Metropolitan Pier & Exposition Authority |
3,250 | 3,370,012 | ||||||
| Village of Bolingbrook IL Sales Tax Revenue |
4,450 | 4,120,114 | ||||||
|
|
|
|||||||
| 8,085,217 | ||||||||
|
|
|
|||||||
| Kentucky – 0.4% |
||||||||
| City of Ashland KY (Ashland Hospital Corp. Obligated Group) |
230 | 236,076 | ||||||
| 5.00%, 02/01/2027 |
260 | 270,537 | ||||||
| 5.00%, 02/01/2030 |
160 | 172,391 | ||||||
| 5.00%, 02/01/2031 |
200 | 211,289 | ||||||
| Kentucky Economic Development Finance Authority (Owensboro Health, Inc. Obligated Group) |
3,500 | 3,588,765 | ||||||
|
|
|
|||||||
| 4,479,058 | ||||||||
|
|
|
|||||||
| Louisiana – 0.1% |
||||||||
| Parish of St. James LA (NuStar Logistics LP) |
185 | 189,469 | ||||||
| 6.10%, 06/01/2038(a) |
270 | 291,067 | ||||||
| 6.10%, 12/01/2040(a) |
355 | 382,700 | ||||||
|
|
|
|||||||
| 863,236 | ||||||||
|
|
|
|||||||
| Michigan – 0.2% |
||||||||
| City of Detroit MI |
1,745 | 1,793,511 | ||||||
|
|
|
|||||||
| Missouri – 0.0% |
||||||||
| Howard Bend Levee District |
175 | 177,373 | ||||||
| 5.75%, 03/01/2027 |
150 | 153,325 | ||||||
|
|
|
|||||||
| 330,698 | ||||||||
|
|
|
|||||||
14
| Principal Amount (000) |
U.S. $ Value | |||||||
| Nevada – 0.0% |
||||||||
| City of Sparks NV (City of Sparks NV Sales Tax) |
$ | 510 | $ | 474,751 | ||||
|
|
|
|||||||
| New Jersey – 1.5% |
||||||||
| New Jersey Transportation Trust Fund Authority (New Jersey Transportation Fed Hwy Grant) |
1,410 | 1,475,194 | ||||||
| 5.00%, 06/15/2029 |
6,660 | 6,972,355 | ||||||
| Series 2018-A |
2,710 | 2,837,108 | ||||||
| 5.00%, 06/15/2029 |
1,290 | 1,350,501 | ||||||
| Tobacco Settlement Financing Corp./NJ |
1,000 | 1,026,633 | ||||||
| 5.00%, 06/01/2026 |
1,000 | 1,043,340 | ||||||
| 5.00%, 06/01/2028 |
1,000 | 1,072,357 | ||||||
|
|
|
|||||||
| 15,777,488 | ||||||||
|
|
|
|||||||
| New York – 1.2% |
||||||||
| Metropolitan Transportation Authority |
2,065 | 2,153,981 | ||||||
| Series 2017-C |
2,960 | 3,087,546 | ||||||
| Series 2020-E |
3,750 | 3,964,560 | ||||||
| 5.00%, 11/15/2028 |
3,500 | 3,745,179 | ||||||
| New York Transportation Development Corp. (Laguardia Gateway Partners LLC) |
220 | 217,362 | ||||||
|
|
|
|||||||
| 13,168,628 | ||||||||
|
|
|
|||||||
| Ohio – 0.1% |
||||||||
| Buckeye Tobacco Settlement Financing Authority |
1,175 | 1,254,075 | ||||||
|
|
|
|||||||
| Pennsylvania – 0.1% |
||||||||
| Allentown Neighborhood Improvement Zone Development Authority |
1,000 | 1,018,843 | ||||||
|
|
|
|||||||
| Puerto Rico – 1.0% |
||||||||
| Commonwealth of Puerto Rico |
390 | 373,436 | ||||||
| Zero Coupon, 07/01/2033 |
1,680 | 1,027,117 | ||||||
| 5.25%, 07/01/2023 |
350 | 349,990 | ||||||
| 5.625%, 07/01/2029 |
525 | 562,241 | ||||||
| 5.75%, 07/01/2031 |
220 | 240,287 | ||||||
| HTA HRRB Custodial Trust |
150 | 154,093 | ||||||
15
| Principal Amount (000) |
U.S. $ Value | |||||||
| HTA TRRB Custodial Trust |
$ | 740 | $ | 744,631 | ||||
| Puerto Rico Commonwealth Aqueduct & Sewer Authority |
2,690 | 2,765,004 | ||||||
| 5.00%, 07/01/2035(a) |
1,735 | 1,755,386 | ||||||
| Series 2022-A |
250 | 251,257 | ||||||
| Puerto Rico Electric Power Authority |
1,720 | 1,723,050 | ||||||
| Puerto Rico Highway & Transportation Authority |
970 | 617,017 | ||||||
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue |
556 | 534,022 | ||||||
|
|
|
|||||||
| 11,097,531 | ||||||||
|
|
|
|||||||
| South Carolina – 0.5% |
||||||||
| Patriots Energy Group Financing Agency (Royal Bank of Canada) |
5,000 | 5,000,518 | ||||||
|
|
|
|||||||
| Texas – 0.4% |
||||||||
| Mission Economic Development Corp. (Natgasoline LLC) |
3,205 | 3,120,201 | ||||||
| Texas Municipal Gas Acquisition & Supply Corp. I (Bank of America Corp.) |
995 | 1,036,785 | ||||||
|
|
|
|||||||
| 4,156,986 | ||||||||
|
|
|
|||||||
| Washington – 0.1% |
||||||||
| Washington Health Care Facilities Authority (CommonSpirit Health) |
825 | 887,782 | ||||||
|
|
|
|||||||
| Wisconsin – 0.3% |
||||||||
| UMA Education, Inc. |
195 | 194,877 | ||||||
| 5.00%, 10/01/2025(a) |
730 | 729,791 | ||||||
| 5.00%, 10/01/2026(a) |
770 | 771,537 | ||||||
| 5.00%, 10/01/2027(a) |
805 | 809,210 | ||||||
| 5.00%, 10/01/2028(a) |
700 | 706,043 | ||||||
| 5.00%, 10/01/2029(a) |
320 | 323,564 | ||||||
|
|
|
|||||||
| 3,535,022 | ||||||||
|
|
|
|||||||
| Total Long-Term Municipal Bonds |
1,016,199,441 | |||||||
|
|
|
|||||||
16
| Principal Amount (000) |
U.S. $ Value | |||||||
| Short-Term Municipal Notes – 1.4% |
||||||||
| California – 1.4% |
||||||||
| Bay Area Toll Authority |
$ | 6,375 | $ | 6,375,000 | ||||
| Series 2019 |
2,810 | 2,810,000 | ||||||
| California Health Facilities Financing Authority (Scripps Health Obligated Group) |
800 | 800,000 | ||||||
| Orange County Water District |
5,120 | 5,120,000 | ||||||
|
|
|
|||||||
| Total Short-Term Municipal Notes |
15,105,000 | |||||||
|
|
|
|||||||
| Total Municipal Obligations |
1,031,304,441 | |||||||
|
|
|
|||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.2% |
||||||||
| Agency CMBS – 3.2% |
||||||||
| California Housing Finance Agency |
10,896 | 10,699,612 | ||||||
| Series 2021-1, Class A |
9,667 | 9,044,838 | ||||||
| Series 2021-2, Class A |
7,837 | 7,616,371 | ||||||
| Series 2021-2, Class X |
3,918 | 201,177 | ||||||
| Series 2021-3, Class A |
1,952 | 1,776,796 | ||||||
| Series 2021-3, Class X |
3,318 | 180,170 | ||||||
| City of Fort Wayne IN |
25 | 18,849 | ||||||
| Federal Home Loan Mortgage Corp. |
4,892 | 3,745,386 | ||||||
| Federal Home Loan Mortgage Corp. Multifamily VRD Certificates |
986 | 862,046 | ||||||
| Series 2022-ML13, Class XCA |
2,662 | 150,369 | ||||||
|
|
|
|||||||
| Total Commercial Mortgage-Backed Securities |
34,295,614 | |||||||
|
|
|
|||||||
17
| Principal Amount (000) |
U.S. $ Value | |||||||
| ASSET-BACKED SECURITIES – 0.3% |
||||||||
| Autos - Fixed Rate – 0.3% |
||||||||
| Lendbuzz Securitization Trust |
$ | 2,000 | $ | 1,983,405 | ||||
| Tricolor Auto Securitization Trust |
821 | 818,855 | ||||||
|
|
|
|||||||
| Total Asset-Backed Securities |
2,802,260 | |||||||
|
|
|
|||||||
| GOVERNMENTS - TREASURIES – 0.2% |
||||||||
| United States – 0.2% |
||||||||
| U.S. Treasury Notes |
2,346 | 2,172,982 | ||||||
|
|
|
|||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS – 0.1% |
||||||||
| Risk Share Floating Rate – 0.1% |
||||||||
| Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
83 | 83,973 | ||||||
| Federal National Mortgage Association Connecticut Avenue Securities |
56 | 56,158 | ||||||
| Series 2014-C04, Class 1M2 |
50 | 51,789 | ||||||
| Series 2015-C02, Class 1M2 |
30 | 30,918 | ||||||
| Series 2015-C03, Class 1M2 |
30 | 31,044 | ||||||
| Series 2016-C01, Class 1M2 |
87 | 93,194 | ||||||
| Series 2016-C02, Class 1M2 |
42 | 43,871 | ||||||
| Series 2016-C03, Class 1M2 |
77 | 81,622 | ||||||
|
|
|
|||||||
| Total Collateralized Mortgage Obligations |
472,569 | |||||||
|
|
|
|||||||
18
| U.S. $ Value | ||||||||
| Total Investments – 100.9% |
$ | 1,071,047,866 | ||||||
| Other assets less liabilities – (0.9)% |
(9,514,115 | ) | ||||||
|
|
|
|||||||
| Net Assets – 100.0% |
$ | 1,061,533,751 | ||||||
|
|
|
|||||||
CENTRALLY CLEARED INFLATION (CPI) SWAPS
| Rate Type | ||||||||||||||||||||||||
| Notional |
Termination Date |
Payments made by the Fund |
Payments received by the Fund |
Payment Frequency Paid/ Received |
Market Value |
Upfront |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
| USD | 5,605 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 514,907 | $ | — | $ | 514,907 | |||||||||||||
| USD | 3,100 | 01/15/2025 | 4.028% | CPI# | Maturity | 99,793 | — | 99,793 | ||||||||||||||||
| USD | 2,803 | 01/15/2025 | 2.613% | CPI# | Maturity | 252,178 | — | 252,178 | ||||||||||||||||
| USD | 2,802 | 01/15/2025 | 2.585% | CPI# | Maturity | 255,169 | — | 255,169 | ||||||||||||||||
| USD | 12,110 | 01/15/2026 | CPI# | 3.720% | Maturity | (371,330 | ) | — | (371,330 | ) | ||||||||||||||
| USD | 8,400 | 01/15/2027 | CPI# | 3.320% | Maturity | (351,805 | ) | — | (351,805 | ) | ||||||||||||||
| USD | 4,540 | 01/15/2027 | CPI# | 3.466% | Maturity | (149,575 | ) | (7,900 | ) | (141,675 | ) | |||||||||||||
| USD | 15,980 | 01/15/2028 | 0.735% | CPI# | Maturity | 3,367,842 | — | 3,367,842 | ||||||||||||||||
| USD | 10,130 | 01/15/2029 | CPI# | 3.290% | Maturity | (289,856 | ) | — | (289,856 | ) | ||||||||||||||
| USD | 8,210 | 01/15/2029 | CPI# | 3.735% | Maturity | 66,832 | — | 66,832 | ||||||||||||||||
| USD | 4,115 | 01/15/2030 | 1.572% | CPI# | Maturity | 689,219 | — | 689,219 | ||||||||||||||||
| USD | 4,115 | 01/15/2030 | 1.587% | CPI# | Maturity | 683,632 | — | 683,632 | ||||||||||||||||
| USD | 4,900 | 01/15/2031 | 2.782% | CPI# | Maturity | 320,296 | — | 320,296 | ||||||||||||||||
| USD | 4,500 | 01/15/2031 | 2.680% | CPI# | Maturity | 338,705 | — | 338,705 | ||||||||||||||||
| USD | 3,950 | 01/15/2031 | 2.989% | CPI# | Maturity | 177,942 | — | 177,942 | ||||||||||||||||
| USD | 4,300 | 01/15/2032 | CPI# | 3.064% | Maturity | (138,907 | ) | — | (138,907 | ) | ||||||||||||||
| USD | 4,180 | 04/15/2032 | CPI# | 2.909% | Maturity | (189,546 | ) | — | (189,546 | ) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 5,275,496 | $ | (7,900 | ) | $ | 5,283,396 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| # | 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 | 16,800 | 01/15/2027 | 1 Day SOFR | 4.217% | Annual | $ | (33,613 | ) | $ | — | $ | (33,613 | ) | |||||||||||
| USD | 13,000 | 04/20/2028 | 1 Day SOFR | 3.242% | Annual | (438,631 | ) | — | (438,631 | ) | ||||||||||||||
| USD | 18,800 | 04/30/2030 | 1 Day SOFR | 3.075% | Annual | (769,582 | ) | — | (769,582 | ) | ||||||||||||||
| USD | 16,000 | 04/30/2030 | 1 Day SOFR | 3.715% | Annual | — | — | — | ||||||||||||||||
| USD | 10,700 | 04/30/2030 | 1 Day SOFR | 3.500% | Annual | (147,401 | ) | — | (147,401 | ) | ||||||||||||||
| USD | 9,700 | 04/30/2030 | 1 Day SOFR | 3.369% | Annual | (220,303 | ) | — | (220,303 | ) | ||||||||||||||
| USD | 34,000 | 04/15/2032 | 2.525% | 1 Day SOFR | Annual | 2,918,705 | — | 2,918,705 | ||||||||||||||||
| USD | 28,000 | 04/15/2032 | 3.120% | 1 Day SOFR | Annual | 1,131,927 | — | 1,131,927 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | 2,441,102 | $ | — | $ | 2,441,102 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
19
CREDIT DEFAULT SWAPS
| Swap Counterparty & Referenced Obligation |
Fixed Rate (Pay) Receive |
Payment Frequency |
Implied Credit Spread at June 30, 2023 |
Notional |
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 | 69 | $ | (14,886 | ) | $ | (6,322 | ) | $ | (8,564 | ) | |||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 797 | (172,111 | ) | (96,018 | ) | (76,093 | ) | |||||||||||||||||
| Credit Suisse International |
| |||||||||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1 | (123 | ) | (65 | ) | (58 | ) | |||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 38 | (8,119 | ) | (3,480 | ) | (4,639 | ) | |||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 470 | (101,496 | ) | (43,559 | ) | (57,937 | ) | |||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 708 | (152,796 | ) | (63,891 | ) | (88,905 | ) | |||||||||||||||||
| Goldman Sachs International |
| |||||||||||||||||||||||||||
| CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 613 | (132,374 | ) | (53,726 | ) | (78,648 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (581,905 | ) | $ | (267,061 | ) | $ | (314,844 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| * | Termination date |
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 | 12,395 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 1,408,086 | $ | — | $ | 1,408,086 | ||||||||||||||||||
| * | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
| (a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At June 30, 2023, the aggregate market value of these securities amounted to $107,446,424 or 10.1% of net assets. |
| (b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at June 30, 2023. |
| (c) | When-Issued or delayed delivery security. |
| (d) | Fair valued by the Adviser. |
20
| (e) | Non-income producing security. |
| (f) | Defaulted matured security. |
| (g) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (h) | 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. |
| (i) | IO - Interest Only. |
| (j) | Defaulted. |
| (k) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
| (l) | As of June 30, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $16,014,973 and gross unrealized depreciation of investments was $(42,739,447), resulting in net unrealized depreciation of $(26,724,474). |
As of June 30, 2023, the Portfolio’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 2.1% and 0.0%, respectively.
Glossary:
AGM – Assured Guaranty Municipal
BAM – Build American Mutual
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CMBS – Commercial Mortgage-Backed Securities
COP – Certificate of Participation
CPI – Consumer Price Index
ETM – Escrowed to Maturity
LIBOR – London Interbank Offered Rate
MUNIPSA – Municipal Swap Index
NATL – National Interstate Corporation
SOFR – Secured Overnight Financing Rate
SRF – State Revolving Fund
XLCA – XL Capital Assurance Inc
21
Sanford C. Bernstein Fund, Inc.
California Municipal Portfolio
June 30, 2023 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio 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 Portfolio. Unobservable inputs reflect the Portfolio’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 Portfolio’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.
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The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of June 30, 2023:
| Investments in Securities: |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Assets: |
| |||||||||||||||
| Long-Term Municipal Bonds | $ | — | $ | 1,016,199,441 | $ | 0 | (a) | $ | 1,016,199,441 | |||||||
| Short-Term Municipal Notes | — | 15,105,000 | — | 15,105,000 | ||||||||||||
| Commercial Mortgage-Backed Securities | — | 34,295,614 | — | 34,295,614 | ||||||||||||
| Asset-Backed Securities | — | 2,802,260 | — | 2,802,260 | ||||||||||||
| Governments - Treasuries | — | 2,172,982 | — | 2,172,982 | ||||||||||||
| Collateralized Mortgage Obligations | — | 472,569 | — | 472,569 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities | — | 1,071,047,866 | 0 | (a) | 1,071,047,866 | |||||||||||
| Other Financial Instruments(b): | ||||||||||||||||
| Assets: |
| |||||||||||||||
| Centrally Cleared Inflation (CPI) Swaps | — | 6,766,515 | — | 6,766,515 | ||||||||||||
| Centrally Cleared Interest Rate Swaps | — | 4,050,632 | — | 4,050,632 | ||||||||||||
| Interest Rate Swaps | — | 1,408,086 | — | 1,408,086 | ||||||||||||
| Liabilities: |
| |||||||||||||||
| Centrally Cleared Inflation (CPI) Swaps | — | (1,491,019 | ) | — | (1,491,019 | ) | ||||||||||
| Centrally Cleared Interest Rate Swaps | — | (1,609,530 | ) | — | (1,609,530 | ) | ||||||||||
| Credit Default Swaps | — | (581,905 | ) | — | (581,905 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total | $ | — | $ | 1,079,590,645 | $ | 0 | (a) | $ | 1,079,590,645 | |||||||
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| (a) | The Portfolio held securities with zero market value at period end. |
| (b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
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