NPORT-EX 2 NPORT_64D6_97884509_1223.htm HTML

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Tax-Aware Overlay N Portfolio

December 31, 2023 (unaudited)

 

     

Principal

Amount

(000)

        U.S. $ Value  

MUNICIPAL OBLIGATIONS – 74.6%

 

Long-Term Municipal Bonds – 74.6%

 

American Samoa – 0.1%

 

American Samoa Economic Development Authority

(Territory of American Samoa)
Series 2018
6.50%, 09/01/2028(a)

      $                180        $      191,078  
          

 

 

  

Colorado – 0.1%

                    

Vauxmont Metropolitan District
AGM Series 2020
5.00%, 12/01/2050

         100          105,620  
          

 

 

  

Florida – 0.1%

           

Capital Trust Agency, Inc.

(Franklin Academy Series 2020 Obligated Group)
Series 2020
5.00%, 12/15/2026(a)

         100          99,358  

County of Osceola FL Transportation Revenue
Series 2020-A
Zero Coupon, 10/01/2032

         100          68,174  
          

 

 

  
             167,532  
          

 

 

  

Guam – 2.1%

           

Antonio B Won Pat International Airport Authority
Series 2021-A
3.099%, 10/01/2028

         100          89,346  

3.339%, 10/01/2030

         150          128,706  

Guam Power Authority
Series 2022-A
5.00%, 10/01/2028

         1,000          1,073,082  

Territory of Guam
Series 2019
5.00%, 11/15/2031

         75          78,188  

Territory of Guam

(Guam Section 30 Income Tax)
Series 2016-A
5.00%, 12/01/2026

         100          104,023  

5.00%, 12/01/2029

         105          108,810  

5.00%, 12/01/2030

         165          170,706  

5.00%, 12/01/2032

         155          160,426  

Territory of Guam

(Territory of Guam Business Privilege Tax)
Series 2015
5.00%, 11/15/2030

         600          611,704  

Series 2015-D
5.00%, 11/15/2025

         265          269,962  
          

 

 

  
             2,794,953  
          

 

 

  

Illinois – 0.9%

           

Illinois Finance Authority

(Illinois Institute of Technology)
Series 2019
5.00%, 09/01/2027

         100          100,392  

5.00%, 09/01/2033

         100          99,614  

 

1

     

Principal

Amount

(000)

        U.S. $ Value  

Metropolitan Pier & Exposition Authority
Series 2017-B
5.00%, 12/15/2025

      $               1,000        $     1,033,535  
          

 

 

  
                      1,233,541  
          

 

 

  

Kentucky – 0.2%

           

City of Ashland KY

(Royal Blue Health LLC Obligated Group)
Series 2019
5.00%, 02/01/2026

         100          102,740  

5.00%, 02/01/2030

         100          109,090  
          

 

 

  
             211,830  
          

 

 

  

Michigan – 4.3%

           

City of Detroit MI
Series 2018
5.00%, 04/01/2025

         800          810,070  

Michigan Finance Authority

(Great Lakes Water Authority Sewage Disposal System Revenue)
AGM Series 2014
5.00%, 07/01/2026

         5,055          5,093,736  
          

 

 

  
             5,903,806  
          

 

 

  

Nevada – 0.2%

           

City of Sparks NV

(City of Sparks NV Sales Tax)
Series 2019-A
2.75%, 06/15/2028(a)

         235          223,223  
          

 

 

  

New Jersey – 0.1%

           

New Jersey Economic Development Authority

(United Airlines, Inc.)
Series 2012
5.25%, 09/15/2029

         125          125,230  
          

 

 

  

New York – 61.7%

           

Albany County Airport Authority
Series 2020-B
5.00%, 12/15/2024

         145          146,870  

5.00%, 12/15/2025

         145          149,170  

5.00%, 12/15/2026

         145          151,808  

Build NYC Resource Corp.

(East Harlem Scholars Academy Charter School Obligated Group)
Series 2022
5.75%, 06/01/2042(a)

         245          251,852  

Build NYC Resource Corp.

(Integration Charter Schools)
Series 2021
5.00%, 06/01/2041(a)

         300          290,166  

Build NYC Resource Corp.

(Metropolitan College of New York)
Series 2014
5.25%, 11/01/2029

         1,000          600,000  

City of New York NY
Series 2014-A
5.00%, 08/01/2028

         1,285          1,300,040  

Series 2014-J
5.00%, 08/01/2027

         1,085          1,097,700  

 

2

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2018-E
5.00%, 03/01/2031

      $               1,055        $    1,156,066  

Series 2021
1.396%, 08/01/2027

     

    

  

 

   

 

2,970

 

     

 

2,671,976

 

Corning City School District
Series 2023-A
5.00%, 06/21/2024

         1,000          1,007,338  

County of Onondaga NY
Series 2022
4.00%, 06/15/2040

         1,145          1,188,230  

Dutchess County Local Development Corp.

(Bard College)
Series 2020-B
5.918%, 07/01/2039

         940          928,508  

Hempstead Town Local Development Corp.

(Evergreen Charter School, Inc.)
Series 2022-A
5.25%, 06/15/2042

         1,000          997,628  

Metropolitan Transportation Authority

           

Series 2017-C
5.00%, 11/15/2028

         6,400          6,958,260  

AGM Series 2021
4.161% (SOFR + 0.55%), 11/01/2032(b)

         1,000          1,000,008  

Monroe County Industrial Development Corp./NY

(Academy of Health Sciences Charter School)
Series 2022
5.00%, 07/01/2032(a)

         370          368,734  

Monroe County Industrial Development Corp./NY

(Rochester Regional Health Obligated Group)
Series 2020
5.00%, 12/01/2030

         955          1,028,016  

New York City Transitional Finance Authority Building Aid Revenue

(New York City Transitional Finance Authority Building Aid Revenue State Lease)
Series 2018-S
5.00%, 07/15/2031

         1,460          1,615,286  

New York City Transitional Finance Authority Future Tax Secured Revenue
Series 2014-B
5.00%, 11/01/2026

         4,000          4,023,410  

Series 2015-C
5.00%, 11/01/2028

         2,145          2,203,676  

Series 2021
5.00%, 11/01/2024

         4,415          4,494,602  

New York Liberty Development Corp.

(3 World Trade Center LLC)
Series 2014

           

5.375%, 11/15/2040(a)

         250          250,308  

7.25%, 11/15/2044(a)

         100          100,678  

New York Liberty Development Corp.

(One Bryant Park LLC)
Series 2019

           

2.45%, 09/15/2069

         1,900          1,766,414  

2.625%, 09/15/2069

         320          295,684  

2.80%, 09/15/2069

         2,250          2,045,228  

 

3

     

Principal

Amount

(000)

        U.S. $ Value  

New York Liberty Development Corp.

(Port Authority of New York & New Jersey)
Series 2021-1
3.00%, 02/15/2042

      $               3,000        $    2,627,174  

New York State Dormitory Authority
Series 2021
1.187%, 03/15/2026 (Pre-refunded/ETM)

         1,000          933,060  

New York State Dormitory Authority

(Garnet Health Medical Center Obligated Group)
Series 2017
5.00%, 12/01/2024(a)

                  700          702,424  

New York State Dormitory Authority

(New York and Presbyterian Hospital Obligated Group)
Series 2023
5.00%, 08/01/2038

         1,000          1,153,650  

New York State Dormitory Authority

(Northwell Health Obligated Group)
Series 2022
4.00%, 05/01/2039

         1,000          1,003,232  

4.00%, 05/01/2040

         1,000          997,406  

New York State Dormitory Authority

(State of New York Pers Income Tax)
Series 2014-A
5.00%, 02/15/2028 (Pre-refunded/ETM)

         2,035          2,039,770  

Series 2014-C
5.00%, 03/15/2029

         3,000          3,009,820  

New York State Dormitory Authority

(Wagner College)
Series 2022
5.00%, 07/01/2037

         540          574,558  

New York State Thruway Authority

(New York State Thruway Authority Gen Toll Road)
Series 2019-M
2.90%, 01/01/2035

         2,000          1,740,960  

Series 2021-O
4.00%, 01/01/2038

         2,810          2,947,478  

New York State Urban Development Corp.

(State of New York Pers Income Tax)
Series 2022
5.00%, 09/15/2029

         275          314,250  

New York Transportation Development Corp.

(American Airlines, Inc.)
Series 2021
3.00%, 08/01/2031

         1,000          897,626  

New York Transportation Development Corp.

(Delta Air Lines, Inc.)
Series 2018
5.00%, 01/01/2030

         2,065          2,119,350  

5.00%, 01/01/2032

         1,495          1,528,824  

New York Transportation Development Corp.

(JFK International Air Terminal LLC)
Series 2022
4.00%, 12/01/2042

         2,000          1,899,358  

Niagara Area Development Corp.

(Covanta Holding Corp.)
Series 2018-B
3.50%, 11/01/2024(a)

         600          592,522  

 

4

     

Principal

Amount

(000)

        U.S. $ Value  

Port Authority of New York & New Jersey
Series 2014
5.00%, 09/01/2028

      $               3,615        $    3,637,266  

Series 2019
5.00%, 11/01/2031

         1,455          1,599,846  

Suffolk Tobacco Asset Securitization Corp.
Series 2021
4.00%, 06/01/2050

         470          472,986  

Town of Oyster Bay NY
Series 2023
5.00%, 03/08/2024

         1,000          1,002,798  

Triborough Bridge & Tunnel Authority

(Metropolitan Transportation Authority Payroll Mobility Tax Revenue)
Series 2021
5.00%, 05/15/2050

         2,265          2,362,000  

Series 2021-A
2.511%, 05/15/2035

                  1,500          1,188,070  

Series 2022
5.00%, 05/15/2034

         500          600,256  

5.00%, 05/15/2035

         1,000          1,194,336  

5.00%, 05/15/2036

         1,000          1,183,712  

Troy Capital Resource Corp.

(Rensselaer Polytechnic Institute)
Series 2020
5.00%, 09/01/2031

         305          341,074  

5.00%, 09/01/2032

         415          463,782  

5.00%, 09/01/2033

         395          440,954  

Trust for Cultural Resources of The City of New York (The)

(Lincoln Center for the Performing Arts, Inc.)
Series 2016-A
5.00%, 12/01/2026

         5,575          5,939,218  
          

 

 

  
             83,595,416  
          

 

 

  

Ohio – 0.4%

           

Ohio Air Quality Development Authority

(Pratt Paper OH LLC)
Series 2017
3.75%, 01/15/2028(a)

         530          524,909  
          

 

 

  

Puerto Rico – 1.8%

           

Commonwealth of Puerto Rico
Series 2021-A
Zero Coupon, 07/01/2024

         48          47,074  

Zero Coupon, 07/01/2033

         414          257,928  

4.00%, 07/01/2046

         3          2,818  

Series 2022-C
0.00%, 11/01/2043

         18          9,752  

HTA TRRB Custodial Trust
Series 2022
5.25%, 07/01/2034

         165          160,874  

5.25%, 07/01/2036

         215          215,818  

5.25%, 07/01/2041

         205          200,142  

Puerto Rico Commonwealth Aqueduct & Sewer Authority
Series 2020-A
5.00%, 07/01/2030(a)

         725          736,244  

 

5

     

Principal

Amount

(000)

        U.S. $ Value  

Puerto Rico Electric Power Authority
AGM Series 2007-V
5.25%, 07/01/2031

      $                230        $      228,594  

Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth

(AES Puerto Rico LP)
Series 2000
6.625%, 06/01/2026(c) (d)

                  745          521,500  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue
Series 2018-A
Zero Coupon, 07/01/2024

         133          130,388  
          

 

 

  
             2,511,132  
          

 

 

  

South Carolina – 1.5%

           

Patriots Energy Group Financing Agency

(Royal Bank of Canada)
Series 2018-A
4.00%, 10/01/2048 (Pre-refunded/ETM)

         2,000          2,001,018  
          

 

 

  

Texas – 0.1%

           

City of Houston TX Airport System Revenue

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

         100          100,009  
          

 

 

  

Washington – 0.5%

           

Kalispel Tribe of Indians
Series 2018-B
5.00%, 01/01/2032(a)

         700          722,816  
          

 

 

  

Wisconsin – 0.5%

           

Wisconsin Public Finance Authority

(UMA Education, Inc.)
Series 2019
5.00%, 10/01/2025(a)

         165          166,606  

5.00%, 10/01/2026(a)

         180          183,170  

5.00%, 10/01/2027(a)

         155          158,813  

5.00%, 10/01/2028(a)

         105          108,118  

5.00%, 10/01/2029(a)

         100          103,164  
          

 

 

  
             719,871  
          

 

 

  

Total Municipal Obligations
(cost $104,315,281)

 

        101,131,984  
          

 

 

  
     Shares           

INVESTMENT COMPANIES – 19.2%

 

Funds and Investment Trusts – 19.2%

 

iShares Core MSCI EAFE ETF(e)
(cost $24,686,841)

             368,888             25,951,271  
          

 

 

  

 

6

     

Principal

Amount

(000)

        U.S. $ Value  

GOVERNMENTS - TREASURIES – 2.5%

 

United States – 2.5%

 

U.S. Treasury Notes
2.625%, 02/15/2029(f) (g)
(cost $3,682,434)

      $              3,543        $    3,339,831  
          

 

 

  
     Notional
Amount		           

PURCHASED OPTIONS - PUTS – 0.5%

 

Options on Equities indices – 0.5%

 

Euro STOXX 50 Index
Expiration: Nov 2024; Contracts: 950;
Exercise Price: EUR 3,650.00;
Counterparty: UBS AG (d)

      EUR        3,467,500          64,423  

FTSE 100 Index
Expiration: Dec 2024; Contracts: 200;
Exercise Price: GBP 6,600.00;
Counterparty: UBS AG (d)

      GBP        1,320,000          25,146  

Nikkei 225 Index
Expiration: Nov 2024; Contracts: 13,000;
Exercise Price: JPY 27,000.00;
Counterparty: UBS AG (d)

      JPY        351,000,000          53,245  

S&P 500 Index
Expiration: Dec 2024; Contracts: 7,500;
Exercise Price: USD 3,950.00;
Counterparty: UBS AG (d)

      USD        29,625,000          540,421  
          

 

 

  

Total Purchased Options - Puts
(premiums paid $809,429)

              683,235  
          

 

 

  
     Principal
Amount
(000)		           

COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.1%

 

Non-Agency Fixed Rate CMBS – 0.1%

 

Washington State Housing Finance Commission
Series 2021-1, Class A
3.50%, 12/20/2035
(cost $160,683)

      $        144          137,601  
          

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0%

 

Risk Share Floating Rate – 0.0%

 

Federal National Mortgage Association

Connecticut Avenue Securities
Series 2016-C01, Class 1M2
12.202% (SOFR + 6.86%), 08/25/2028(b)
(cost $46,781)

         45          48,132  
          

 

 

  

 

7

Company    Shares        U.S. $ Value  

SHORT-TERM INVESTMENTS – 2.2%

 

Investment Companies – 2.2%

 

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.27%(e) (h) (i)
(cost $3,023,358)

                 3,023,358        $ 3,023,358  
          

 

 

  

Total Investments – 99.1%
(cost $136,724,807)(j)

 

        134,315,412  

Other assets less liabilities – 0.9%

              1,248,331  
          

 

 

  

Net Assets – 100.0%

            $  135,563,743  
          

 

 

  

FUTURES

 

Description   

Number

of
Contracts

    Expiration
Month		   

Current

Notional

   

Value and

Unrealized
Appreciation

(Depreciation)

Purchased Contracts

 

E-Mini Russell 2000 Futures        23        March 2024      $  2,354,855      $ 175,782
Euro STOXX 50 Index Futures        12        March 2024        601,829        (5,651 )
FTSE 100 Index Futures        3        March 2024        296,605        5,980
MSCI Emerging Markets Futures        101        March 2024        5,220,185         245,770
Nikkei 225 (OSE) Futures        2        March 2024        474,468        3,251
S&P 500 E-Mini Futures        143        March 2024        34,463,000        1,228,730
S&P Mid 400 E-Mini Futures        6        March 2024        1,685,700        95,914
U.S. T-Note 2 Yr (CBT) Futures        27        March 2024        5,559,680        56,967
U.S. T-Note 10 Yr (CBT) Futures        70        March 2024        7,902,344        275,512
U.S. Ultra Bond (CBT) Futures        19        March 2024        2,538,281        214,166
Sold Contracts                    
Euro STOXX 50 Index Futures        57        March 2024        2,858,690        19,079
FTSE 100 Index Futures        43        March 2024        4,251,334        (94,396 )
Hang Seng Index Futures        3        January 2024        329,103        (14,107 )
MSCI Singapore IX ETS Futures        6        January 2024        130,798        (4,534 )
OMXS 30 Index Futures        20        January 2024        476,153        (10,448 )
S&P/TSX 60 Index Futures        4        March 2024        767,005        (6,456 )
SPI 200 Futures        25        March 2024        3,230,499        (48,907 )
TOPIX Index Futures        10        March 2024        1,678,014        4,587
                   

 

 

  
                    $  2,141,239
                   

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty   

Contracts to

Deliver

(000)

     

In Exchange

For

(000)

     

Settlement

Date

     

Unrealized

Appreciation

(Depreciation)

Bank of America, NA        EUR        5,123          USD        5,448          01/10/2024        $   (209,040 ) 
Bank of America, NA        JPY        204,709          USD        1,413          01/12/2024          (40,072 )
Bank of America, NA        GBP        1,084          USD        1,358          01/25/2024          (23,439 )
Bank of America, NA        NOK        14,724          USD        1,406          02/16/2024          (45,031 )
Bank of America, NA        USD        1,358          NOK        14,724          02/16/2024          92,881
Barclays Bank PLC        NZD        1,459          USD        897          01/11/2024          (25,976 )
Barclays Bank PLC        SEK        10,642          USD        1,022          02/16/2024          (35,222 )
BNP Paribas SA        USD        1,516          CAD        2,054          01/10/2024          34,680
BNP Paribas SA        USD        855          NZD        1,468          01/11/2024          72,765
Deutsche Bank AG        USD        1,630          EUR        1,495          01/10/2024          20,660

 

8

Counterparty   

Contracts to

Deliver

(000)

     

In Exchange

For

(000)

     

Settlement

Date

     

Unrealized

Appreciation

(Depreciation)

Deutsche Bank AG        JPY        124,319          USD        840          01/12/2024        $ (42,875 )
Deutsche Bank AG        CHF        3,273          USD        3,696          01/18/2024          (201,880 )
Goldman Sachs Bank USA        EUR        533          USD        572          01/10/2024          (16,906 )
Goldman Sachs Bank USA        USD        1,408          CAD        1,931          01/10/2024          49,019
Goldman Sachs Bank USA        USD        558          JPY        81,879          01/12/2024          23,727
Goldman Sachs Bank USA        USD        2,729          GBP        2,158          01/25/2024          21,593
HSBC Bank USA        USD        624          EUR        568          01/10/2024          3,660
JPMorgan Chase Bank, NA        EUR        1,004          USD        1,075          01/10/2024          (33,225 )
Morgan Stanley Capital Services LLC        CAD        3,728          USD        2,769          01/10/2024          (45,615 )
Morgan Stanley Capital Services LLC        USD        530          EUR        500          01/10/2024          21,605
Morgan Stanley Capital Services LLC        GBP        1,603          USD        1,991          01/25/2024          (52,196 )
Morgan Stanley Capital Services LLC        CHF        889          USD        1,029          02/15/2024          (32,719 )
State Street Bank & Trust Co.        CAD        373          USD        273          01/10/2024          (8,734 )
State Street Bank & Trust Co.        EUR        339          USD        370          01/10/2024          (3,200 )
State Street Bank & Trust Co.        USD        180          CAD        243          01/10/2024          3,688
State Street Bank & Trust Co.        USD        656          EUR        605          01/10/2024          13,083
State Street Bank & Trust Co.        USD        564          NZD        926          01/11/2024          21,237
State Street Bank & Trust Co.        JPY        294,446          USD        2,003          01/12/2024          (87,798 )
State Street Bank & Trust Co.        USD        337          JPY        49,759          01/12/2024          16,659
State Street Bank & Trust Co.        USD        165          CHF        143          01/18/2024          5,153
State Street Bank & Trust Co.        AUD        364          USD        244          01/25/2024          (3,771 )
State Street Bank & Trust Co.        GBP        76          USD        96          01/25/2024          (596 )
State Street Bank & Trust Co.        USD        592          AUD        902          01/25/2024          22,860
State Street Bank & Trust Co.        USD        142          GBP        112          01/25/2024          539
State Street Bank & Trust Co.        NOK        25          USD        2          02/16/2024          (31 )
State Street Bank & Trust Co.        SEK        3,465          USD        339          02/16/2024          (4,995 )
UBS AG        CAD        1,558          USD        1,132          01/10/2024          (44,233 )
                                   

 

 

  
                                    $  (533,745 )
                                   

 

 

  

CENTRALLY CLEARED INFLATION (CPI) SWAPS

 

                   Rate Type                                  
Notional
Amount
(000)		      Termination
Date		      Payments
made
by the
Fund		      Payments
received
by the
Fund		      Payment
Frequency
Paid/
Received		      Market
Value		        Upfront
Premiums
Paid
(Received)		        Unrealized
Appreciation
(Depreciation)		  
USD      2,900      01/15/2028      1.230%      CPI#      Maturity      $ 510,872        $    —        $ 510,872  
USD      1,125      01/15/2030      1.572%      CPI#      Maturity        187,223          —          187,223  
USD      1,125      01/15/2030      1.587%      CPI#      Maturity        185,647          —          185,647  
USD      180      01/15/2030      1.714%      CPI#      Maturity        27,555          —          27,555  
USD      180      01/15/2030      1.731%      CPI#      Maturity        27,266          —          27,266  
USD      1,000      01/15/2031      2.782%      CPI#      Maturity        59,646          —          59,646  
USD      880      01/15/2031      2.680%      CPI#      Maturity        61,461          —          61,461  
USD      770      01/15/2031      2.989%      CPI#      Maturity        29,816          —          29,816  
                         

 

 

       

 

 

       

 

 

  
     $  1,089,486        $ —        $  1,089,486  
                         

 

 

       

 

 

       

 

 

  

 

#

Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

 

9

CENTRALLY CLEARED INTEREST RATE SWAPS

 

                   Rate Type                                  
Notional
Amount
(000)		      Termination
Date		      Payments
made
by the
Fund		      Payments
received
by the
Fund		      Payment
Frequency
Paid/
Received		      Market
Value		        Upfront
Premiums
Paid
(Received)		        Unrealized
Appreciation
(Depreciation)		  
USD      5,000      04/19/2028      1 Day SOFR      3.496%      Annual      $ (77,065 )       $    —        $ (77,065 ) 
USD      1,200      04/30/2030      1 Day SOFR      3.411%      Annual        (18,584 )         —          (18,584 ) 
USD      1,000      04/30/2030      1 Day SOFR      3.715%      Annual        4,690          —          4,690  
USD      870      04/30/2030      1 Day SOFR      3.500%      Annual        (8,262 )         —          (8,262 ) 
USD      3,100      07/31/2030      1 Day SOFR      4.616%      Annual        200,033          —          200,033  
USD      1,800      07/31/2030      1 Day SOFR      3.806%      Annual        21,728          —          21,728  
USD      1,100      07/31/2030      1 Day SOFR      4.016%      Annual        28,398          —          28,398  
USD      2,000      11/01/2030      1 Day SOFR      4.518%      Annual        122,266          —          122,266  
USD      8,700      03/31/2033      3.120%      1 Day SOFR      Annual        371,598          —          371,598  
                         

 

 

       

 

 

       

 

 

  
     $    644,802        $ —        $    644,802  
                         

 

 

       

 

 

       

 

 

  

CREDIT DEFAULT SWAPS

 

Swap Counterparty &
Referenced Obligation		    Fixed
Rate
(Pay)
Receive		     Payment
Frequency		    Implied
Credit
Spread at
December 31,
2023		  

Notional
Amount
(000)

      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  
Sale Contracts

 

Citigroup Global Markets, Inc.

 

CDX-CMBX.NA.BBB- Series 6, 05/11/2063*

      3.00 %    Monthly     7.50%     USD        14      $ (1,803 )    $ (1,260 )    $ (543 ) 

CDX-CMBX.NA.BBB- Series 6, 05/11/2063*

      3.00     Monthly    7.50      USD        46        (5,949 )      (5,364 )      (585 ) 
Credit Suisse International

 

CDX-CMBX.NA.BBB- Series 6, 05/11/2063*

      3.00     Monthly    7.50      USD        3        (421 )      (368 )      (53 ) 

CDX-CMBX.NA.BBB- Series 6, 05/11/2063*

      3.00     Monthly    7.50      USD        8        (1,022 )      (721 )      (301 ) 

CDX-CMBX.NA.BBB- Series 6, 05/11/2063*

      3.00     Monthly    7.50      USD        93        (12,079 )      (10,492 )      (1,587 ) 

CDX-CMBX.NA.BBB- Series 6, 05/11/2063*

      3.00     Monthly    7.50      USD        56        (7,211 )      (4,957 )      (2,254 ) 

 

10

Swap Counterparty &
Referenced Obligation		    Fixed
Rate
(Pay)
Receive		     Payment
Frequency		      Implied
Credit
Spread at
December 31,
2023		    

Notional
Amount
(000)

      Market
Value		     Upfront
Premiums
Paid
(Received)		     Unrealized
Appreciation
(Depreciation)		  

CDX-CMBX.NA.BBB- Series 6, 05/11/2063*

      3.00 %      Monthly         7.50%       USD        95      $ (12,320 )    $ (8,700 )    $ (3,620 ) 
Goldman Sachs International

 

CDX-CMBX.NA.BBB- Series 6, 05/11/2063*

      3.00       Monthly        7.50        USD        18        (2,283 )      (2,050 )      (233 ) 

CDX-CMBX.NA.BBB- Series 6, 05/11/2063*

      3.00       Monthly        7.50        USD        32        (4,087 )      (2,725 )      (1,362 ) 
               

 

 

    

 

 

    

 

 

  
                $  (47,175 )    $  (36,637 )    $  (10,538 ) 
               

 

 

    

 

 

    

 

 

  

 

*

Termination date

INFLATION (CPI) SWAPS

 

                          Rate Type                            
Swap Counterparty    Notional
Amount
(000)		      Termination
Date		      Payments
made
by the
Fund		     Payments
received
by the
Fund		     Payment
Frequency
Paid/
Received		      Market
Value		     Upfront
Premiums
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  
Barclays Bank PLC      USD        4,000        10/23/2026        2.310%       CPI#       Maturity      $ 212,029     $ —      $ 212,029  
Barclays Bank PLC      USD        1,000        10/23/2029        2.388%       CPI#       Maturity        46,114       —        46,114  
Barclays Bank PLC      USD        3,000        12/04/2032        2.233%       CPI#       Maturity        328,110       —        328,110  
Citibank, NA      USD        3,500        07/20/2027        2.104%       CPI#       Maturity        402,929       —        402,929  
Deutsche Bank AG      USD        4,000        09/04/2025        1.818%       CPI#       Maturity        521,087       —        521,087  
JPMorgan Chase Bank, NA      USD        2,500        03/02/2024        2.175%       CPI#       Maturity        265,975       —        265,975  
JPMorgan Chase Bank, NA      USD        3,900        07/20/2024        1.995%       CPI#       Maturity        454,998       —        454,998  
JPMorgan Chase Bank, NA      USD        3,000        11/04/2026        2.015%       CPI#       Maturity        370,675       —        370,675  
JPMorgan Chase Bank, NA      USD        5,000        12/27/2028        2.009%       CPI#       Maturity        604,156       —        604,156  
JPMorgan Chase Bank, NA      USD        1,000        01/15/2030        3.493%       CPI#       Maturity        (3,289 )      —        (3,289 ) 
JPMorgan Chase Bank, NA      USD        1,620        01/15/2032        3.325%       CPI#       Maturity        (8,663 )      —        (8,663 ) 
Morgan Stanley Capital Services LLC      USD        1,800        07/20/2032        2.158%       CPI#       Maturity        221,099       —        221,099  
                  

 

 

    

 

 

     

 

 

  
                   $  3,415,220     $    —      $  3,415,220  
                  

 

 

    

 

 

     

 

 

  

 

#

Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).

INTEREST RATE SWAPS

 

                        Rate Type      
Swap Counterparty    Notional
Amount
(000)		      Termination
Date		    Payments
made
by the
Fund		   Payments
received
by the
Fund		   Payment
Frequency
Paid/
Received		    Market
Value		      Upfront
Premiums
Paid
(Received)		      Unrealized
Appreciation
(Depreciation)		  
Citibank, NA      USD        2,840      10/09/2029    1.125%   SIFMA*   Quarterly    $  243,093      $    —      $  243,093  

 

*

Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index.

 

11

TOTAL RETURN SWAPS

 

Counterparty &
Referenced Obligation		    Rate Paid/
Received		     Payment
Frequency		      Current
Notional
(000)		      Maturity
Date		      Unrealized
Appreciation
(Depreciation)		  
Receive Total Return on Reference Obligation

 

Morgan Stanley Capital Services LLC

 

Swiss Market Index Futures

      0.00 %      Maturity        CHF        1,219        03/15/2024      $  611  

 

(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 December 31, 2023, the aggregate market value of these securities amounted to $5,774,183 or 4.3% of net assets.

(b)

Floating Rate Security. Stated interest/floor/ceiling rate was in effect at December 31, 2023.

(c)

Defaulted.

(d)

Non-income producing security.

(e)

To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618.

(f)

Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.

(g)

Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.

(h)

Affiliated investments.

(i)

The rate shown represents the 7-day yield as of period end.

(j)

As of December 31, 2023, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $10,250,578 and gross unrealized depreciation of investments was $(5,669,805), resulting in net unrealized depreciation of $(4,580,773).

As of December 31, 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 6.4% and 0.0%, respectively.

Currency Abbreviations:

AUD – Australian Dollar

CAD – Canadian Dollar

CHF – Swiss Franc

EUR – Euro

GBP – Great British Pound

JPY – Japanese Yen

NOK – Norwegian Krone

NZD – New Zealand Dollar

SEK – Swedish Krona

USD – United States Dollar

 

12

Glossary:

AGM – Assured Guaranty Municipal

CBT – Chicago Board of Trade

CDX-CMBX.NA – North American Commercial Mortgage–Backed Index

CMBS – Commercial Mortgage-Backed Securities

EAFE – Europe, Australia, and Far East

ETF – Exchange Traded Fund

ETM – Escrowed to Maturity

ETS – Emission Trading Scheme

FTSE – Financial Times Stock Exchange

MSCI – Morgan Stanley Capital International

OMXS – Stockholm Stock Exchange

OSE – Osaka Securities Exchange

SOFR – Secured Overnight Financing Rate

SPI – Share Price Index

TOPIX – Tokyo Price Index

TSX – Toronto Stock Exchange

 

13

Sanford C. Bernstein Fund, Inc.

Tax-Aware Overlay N Portfolio

December 31, 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.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

 

14

Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments 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.

The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of December 31, 2023:

 

Investments in Securities:

    Level 1      Level 2      Level 3      Total  
Assets:

 

Local Governments - US Municipal Bonds    $ —      $  101,131,984      $     —      $  101,131,984  
Investment Companies       25,951,271        —        —        25,951,271  
Governments - Treasuries      —        3,339,831        —        3,339,831  
Purchased Options - Puts      —        683,235        —        683,235  
Commercial Mortgage-Backed Securities      —        137,601        —        137,601  
Collateralized Mortgage Obligations      —        48,132        —        48,132  
Short-Term Investments      3,023,358        —        —        3,023,358  
  

 

 

     

 

 

     

 

 

     

 

 

  
Total Investments in Securities      28,974,629        105,340,783        —        134,315,412  
Other Financial Instruments(a):         
Assets:            
Futures      2,325,738        —        —        2,325,738  
Forward Currency Exchange Contracts      —        423,809        —        423,809  
Centrally Cleared Inflation (CPI) Swaps      —        1,089,486        —        1,089,486  
Centrally Cleared Interest Rate Swaps      —        748,713        —        748,713  
Inflation (CPI) Swaps      —        3,427,172        —        3,427,172  
Interest Rate Swaps      —        243,093        —        243,093  
Total Return Swaps      —        611        —        611  

 

15

Investments in Securities:

    Level 1     Level 2     Level 3      Total  
Liabilities:          
Futures    $ (184,499 )    $ —     $ —      $ (184,499 ) 
Forward Currency Exchange Contracts      —       (957,554 )      —        (957,554 ) 
Centrally Cleared Interest Rate Swaps      —       (103,911 )      —        (103,911 ) 
Credit Default Swaps      —       (47,175 )      —        (47,175 ) 
Inflation (CPI) Swaps      —       (11,952 )      —        (11,952 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  
Total    $  31,115,868     $  110,153,075     $     —      $  141,268,943  
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(a)

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 Portfolio’s transactions in AB mutual funds for three months ended December 31, 2023 is as follows:

 

Fund   

Market Value

09/30/2023

(000)

     

Purchases

at Cost

(000)

     

Sales

Proceeds

(000)

     

Market Value

12/31/2023

(000)

     

Dividend
Income

(000)

  
Government Money Market Portfolio    $  1,624      $  12,238      $  10,839      $  3,023      $  14  

 

16