NPORT-EX 2 NPORT_64D5_15645371_1223.htm HTML

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

Tax-Aware Overlay C 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)

      $        235        $ 249,463  
          

 

 

  

California – 60.1%

                   

Anaheim Housing & Public Improvements Authority

(City of Anaheim CA Electric System Revenue)
Series 2020
2.792%, 10/01/2032

         1,150          981,268  

Bay Area Toll Authority
Series 2021
4.17% (MUNIPSA + 0.30%), 04/01/2056(b)

               2,000          1,951,034  

4.28% (MUNIPSA + 0.41%), 04/01/2056(b)

         2,000             1,943,672  

California Community Choice Financing Authority

(American International Group, Inc.)
Series 2023-D
5.50%, 05/01/2054

         1,000          1,077,406  

California Community Choice Financing Authority

(Deutsche Bank AG)
Series 2023
5.25%, 01/01/2054

         2,500          2,644,554  

California Community Choice Financing Authority

(Goldman Sachs Group, Inc. (The))
Series 2021
4.00%, 10/01/2052

         1,300          1,309,074  

Series 2023 5.00%, 12/01/2053

         2,130          2,263,390  

California Community Choice Financing Authority

(Morgan Stanley)
Series 2023
5.00%, 02/01/2054

         1,000          1,079,550  

5.215% (SOFR + 1.63%), 07/01/2053(b)

         1,200          1,200,002  

5.255% (SOFR + 1.67%), 02/01/2054(b)

         1,000          1,000,726  

California Community Housing Agency

(California Community Housing Agency Brio Apartments & Next on Lex Apartments)
Series 2021-A
4.00%, 08/01/2047(a)

         615          493,920  

California Community Housing Agency

(California Community Housing Agency Summit at Sausalito Apartments)
Series 2021
4.00%, 02/01/2050(a)

         595          434,734  

California Educational Facilities Authority

(University of the Pacific)
Series 2015
5.00%, 11/01/2027

         2,000          2,086,444  

California Enterprise Development Authority

(Rocketship Education Obligated Group)
Series 2022
4.00%, 06/01/2031(a) 

         540          504,334  

 

1

      Principal
Amount
(000)		        U.S. $ Value  

California Health Facilities Financing Authority

(CommonSpirit Health)
Series 2020-A
4.00%, 04/01/2035

      $        1,850        $ 1,917,232  

California Health Facilities Financing Authority

(Sutter Health Obligated Group)
Series 2018-A
5.00%, 11/15/2030

                  900          974,114  

California Infrastructure & Economic Development Bank

(California Academy of Sciences)
Series 2021
4.22% (MUNIPSA + 0.35%), 08/01/2047(b)

         2,000          1,986,852  

California Infrastructure & Economic Development Bank

(DesertXpress Enterprises LLC)
Series 2023
3.65%, 01/01/2050(a)

               4,305             4,300,282  

8.00%, 01/01/2050(a)

         370          376,786  

California Municipal Finance Authority

(Anaheim Electric Utility Fund)
Series 2015-B
5.00%, 10/01/2026

         1,000          1,041,388  

California Municipal Finance Authority

(LAX Integrated Express Solutions LLC)
Series 2018
5.00%, 12/31/2028

         1,700          1,805,224  

5.00%, 06/30/2029

         1,000          1,061,792  

California Municipal Finance Authority

(United Airlines, Inc.)
Series 2019
4.00%, 07/15/2029

         2,140          2,103,486  

California Pollution Control Financing Authority

(San Diego County Water Authority Desalination Project Pipeline)
Series 2019
5.00%, 07/01/2029(a)

         450          470,114  

California Public Finance Authority

(California University of Science & Medicine Obligated Group)
Series 2019
6.25%, 07/01/2054(a)

         1,000          1,054,612  

California School Finance Authority

(Classical Academy Obligated Group)
Series 2022
5.00%, 10/01/2042(a)

         1,000          1,028,150  

California School Finance Authority

(Fenton Charter Public Schools)
Series 2020-A
4.00%, 07/01/2030(a)

         600          587,654  

California School Finance Authority

(Rocketship Education Obligated Group)
Series 2015-A
4.25%, 03/01/2028(a)

         460          459,804  

California State University
Series 2020-D
1.49%, 11/01/2028

         400          350,288  

Series 2021-B 2.274%, 11/01/2034

         2,000          1,582,348  

 

2

      Principal
Amount
(000)		        U.S. $ Value  

California Statewide Communities Development Authority

(Lancer Educational Housing LLC)
Series 2019
5.00%, 06/01/2034(a)

      $        375        $      381,558  

California Statewide Communities Development Authority

(Loma Linda University Medical Center)
Series 2016-A
5.00%, 12/01/2041(a)

                        1,000          997,916  

Series 2018-A 5.00%, 12/01/2028(a)

         500          521,606  

California Statewide Communities Development Authority

(Methodist Hospital of Southern California Obligated Group)
Series 2018
5.00%, 01/01/2028

         2,915          3,099,112  

5.00%, 01/01/2029

         2,790          2,971,648  

California Statewide Communities Development Authority

(NCCD-Hooper Street LLC)
Series 2019
5.00%, 07/01/2024(a)

         40          40,142  

5.00%, 07/01/2029(a)

         215          219,814  

City of Fremont CA Community Facilities District No. 1
Series 2015
5.00%, 09/01/2028

         1,505          1,548,288  

City of Los Angeles CA
Series 2023
5.00%, 06/27/2024

         1,000          1,010,062  

City of Los Angeles Department of Airports
Series 2016-A
5.00%, 05/15/2026 (Pre-refunded/ETM)

         215          225,528  

Series 2017-A

5.00%, 05/15/2030

         3,585          3,798,928  

Series 2018-D

5.00%, 05/15/2026

         2,890          3,007,054  

Series 2019

5.00%, 05/15/2031

         485          529,950  

City of Roseville CA

(Fiddyment Ranch Community Facilities District No. 1)
Series 2017
5.00%, 09/01/2031

         1,000          1,044,246  

City of Roseville CA

(HP Campus Oaks Community Facilities District No. 1)
Series 2016
5.00%, 09/01/2031

         305          315,374  

 

3

      Principal
Amount
(000)		        U.S. $ Value  

City of San Jose CA Airport Revenue

(Norman Y Mineta San Jose International Airport SJC)
Series 2014-A
5.00%, 03/01/2024

      $              1,955        $    1,959,584  

Series 2014-B
5.00%, 03/01/2026

                  2,360          2,368,018  

CMFA Special Finance Agency VIII Elan Huntington Beach
Series 2021
4.00%, 08/01/2047(a)

         110          91,524  

Coronado Community Development Agency Successor Agency
Series 2018-A
5.00%, 09/01/2033

         2,040          2,117,932  

County of Los Angeles CA Community Facilities District No. 2021-01

(County of Los Angeles CA Community Facilities District No. 2021-01 Area No. 1)
Series 2022
5.00%, 09/01/2042

         1,800          1,897,628  

County of San Diego CA

(County of San Diego CA COP)
Series 2014-A
5.00%, 10/15/2027

         1,250          1,272,006  

5.00%, 10/15/2028

         1,300          1,322,278  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority 777 Place-Pomona)
Series 2021
3.60%, 05/01/2047(a)

         950          713,714  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority 1818 Platinum Triangle-Anaheim)
Series 2021
3.35%, 04/01/2047(a)

         500          391,388  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority Acacia on Santa Rosa Creek)
Series 2021
4.00%, 10/01/2046(a)

         1,000          762,672  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority Altana Apartments)
Series 2021
3.50%, 10/01/2046(a)

         700          534,566  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority Jefferson Platinum Triangle Apartments)
Series 2021-A1
2.875%, 08/01/2041(a)

         930          820,410  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority Millennium South Bay-Hawthorne)
Series 2021
3.375%, 07/01/2043(a)

         500          400,622  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority Pasadena Portfolio)
Series 2021
2.65%, 12/01/2046(a)

         995          751,204  

 

4

      Principal
Amount
(000)		        U.S. $ Value  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority Theo Apartments)
Series 2021
3.50%, 05/01/2047(a)

      $              1,000        $ 798,278  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority Union South Bay)
Series 2021-A
3.10%, 07/01/2045(a)

                  400          300,030  

CSCDA Community Improvement Authority

(CSCDA Community Improvement Authority Vineyard Gardens Apartments)
Series 2021
4.00%, 10/01/2048(a)

         1,000          713,514  

Golden State Tobacco Securitization Corp.

(Golden State Tobacco Securitization Corp. Lease)
Series 2021
1.40%, 06/01/2025

         1,000          949,956  

Los Angeles Department of Water & Power System Revenue
Series 2020-B
5.00%, 07/01/2028

         365          410,274  

5.00%, 07/01/2029

         455          524,124  

Metropolitan Water District of Southern California
Series 2021-D
4.01% (MUNIPSA + 0.14%), 07/01/2037(b)

         1,000          998,542  

Middle Fork Project Finance Authority
Series 2020
5.00%, 04/01/2033

         450          490,094  

Newport Mesa Unified School District
Series 2020
5.00%, 08/01/2024

         510          516,616  

Oakland Unified School District/Alameda County
Series 2015-A
5.00%, 08/01/2026

         1,025          1,064,474  

Regents of the University of California Medical Center Pooled Revenue
Series 2022
5.00%, 05/15/2039

         3,000             3,492,228  

River Islands Public Financing Authority

(River Islands Public Financing Authority Community Facilities District No. 2003-1)
Series 2022
4.50%, 09/01/2037

         1,000          1,016,954  

5.00%, 09/01/2042

         1,000          1,030,102  

Sacramento County Sanitation Districts Financing Authority

(Sacramento Regional County Sanitation District)
Series 2014-A
5.00%, 12/01/2029

         2,000          2,015,908  

Sacramento County Water Financing Authority

(Sacramento County Water Agency)
NATL Series 2007-B
4.348% (LIBOR 3 Month + 0.57%), 06/01/2039(b) 

         1,450          1,253,936  

 

5

      Principal
Amount
(000)		        U.S. $ Value  

San Diego County Water Authority
Series 2021-A
5.00%, 05/01/2024

      $        500        $ 503,766  

Saugus/Hart School Facilities Financing Authority

(Saugus Union School District Community Facilities District No. 06-01)
Series 2016
5.00%, 09/01/2027

                  750          777,058  

State of California
Series 2023
6.00%, 03/01/2033

         1,000          1,094,834  

Tobacco Securitization Authority of Southern California
Series 2019
5.00%, 06/01/2030

         960          1,045,954  

University of California
Series 2023-B
4.693%, 05/15/2033

         1,500          1,507,892  

Walnut Energy Center Authority
Series 2014
5.00%, 01/01/2026

         1,000          1,009,726  

5.00%, 01/01/2028

               1,800          1,817,328  
          

 

 

  
               98,516,594  
          

 

 

  

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, 10/01/2031

         100          71,250  
          

 

 

  
             170,608  
          

 

 

  

Guam – 2.6%

 

Antonio B Won Pat International Airport Authority
Series 2021-A
2.899%, 10/01/2027

         200          182,262  

3.489%, 10/01/2031

         120          101,390  

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%, 12/01/2029

         140          145,080  

5.00%, 12/01/2030

         225          232,781  

5.00%, 12/01/2032

         205          212,176  

 

6

      Principal
Amount
(000)		        U.S. $ Value  

Territory of Guam

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

      $        805        $ 820,704  

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

                  350          356,554  

Territory of Guam

(Territory of Guam Hotel Occupancy Tax)
Series 2021-A
5.00%, 11/01/2040

         1,000          1,037,946  
          

 

 

  
             4,240,163  
          

 

 

  

Illinois – 2.4%

 

Illinois Finance Authority

(Illinois Institute of Technology)
Series 2019
5.00%, 09/01/2029

         100          100,482  

5.00%, 09/01/2033

         100          99,614  

Metropolitan Pier & Exposition Authority
Series 2017-B
5.00%, 12/15/2030

         1,400             1,494,688  

State of Illinois
Series 2014
5.00%, 05/01/2025

               2,165          2,174,220  
          

 

 

  
             3,869,004  
          

 

 

  

Kentucky – 0.1%

 

City of Ashland KY

(Royal Blue Health LLC Obligated Group)
Series 2019
5.00%, 02/01/2027

         140          146,274  

5.00%, 02/01/2031

         100          107,092  
          

 

 

  
             253,366  
          

 

 

  

Michigan – 3.7%

 

City of Detroit MI
Series 2018
5.00%, 04/01/2029

         1,000          1,054,998  

5.00%, 04/01/2030

         600          632,842  

Michigan Finance Authority

(Public Lighting Authority)
Series 2014-B
5.00%, 07/01/2025

         2,175          2,182,360  

Michigan Strategic Fund

(Michigan Strategic Fund - I 75 Improvement Project)
Series 2018
5.00%, 06/30/2030

         2,000          2,127,950  
          

 

 

  
             5,998,150  
          

 

 

  

Missouri – 0.1%

 

Howard Bend Levee District XLCA
Series 2005
5.75%, 03/01/2027

         100          102,349  
          

 

 

  

Nevada – 0.2%

 

City of Sparks NV

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

         330          313,462  
          

 

 

  

 

7

      Principal
Amount
(000)		        U.S. $ Value  

Ohio – 0.3%

                    

Ohio Air Quality Development Authority

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

      $        530        $ 524,909  
          

 

 

  

Puerto Rico – 1.9%

           

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

         94          91,668  

Zero Coupon, 07/01/2033

         555          345,996  

5.625%, 07/01/2027

         750          793,138  

HTA TRRB Custodial Trust
Series 2022
5.25%, 07/01/2041

         190          185,498  

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

         600          609,304  

5.00%, 07/01/2035(a)

         250          252,344  

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

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

         995          696,500  

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

         176          172,542  
          

 

 

  
             3,146,990  
          

 

 

  

Texas – 1.7%

           

Mission Economic Development Corp.

(Natgasoline LLC)
Series 2018
4.625%, 10/01/2031(a)

               1,010          996,044  

Texas Municipal Gas Acquisition and Supply Corp. I

(Bank of America Corp.)
Series 2008-D
6.25%, 12/15/2026

         1,675             1,752,908  
          

 

 

  
             2,748,952  
          

 

 

  

Washington – 0.6%

           

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

         990          1,022,513  
          

 

 

  

Wisconsin – 0.6%

           

Wisconsin Public Finance Authority

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

         225          227,190  

5.00%, 10/01/2026(a)

         235          239,139  

5.00%, 10/01/2027(a)

         245          251,028  

 

8

      Principal
Amount
(000)		        U.S. $ Value  

5.00%, 10/01/2028(a)

      $        135        $ 139,008  

5.00%, 10/01/2029(a)

                  100          103,164  
          

 

 

  
             959,529  
          

 

 

  

Total Municipal Obligations
(cost $125,692,544)

              122,221,672  
          

 

 

  
     Shares           

INVESTMENT COMPANIES – 14.0%

           

Funds and Investment Trusts – 14.0%(e)

           

iShares Core MSCI Emerging Markets ETF

             127,830          6,465,642  

SPDR S&P 500 ETF Trust

         34,569             16,430,991  
          

 

 

  

Total Investment Companies
(cost $14,062,321)

              22,896,633  
          

 

 

  
     Principal
Amount
(000)		           

COMMERCIAL MORTGAGE-BACKED SECURITIES – 4.6%

           

Agency CMBS – 0.6%

           

Federal Home Loan Mortgage Corp.
Series 2021-ML10, Class AUS
2.032%, 01/25/2038

      $        1,239          961,766  
          

 

 

  

Non-Agency Fixed Rate CMBS – 4.0%

           

California Housing Finance Agency
Series 2019-2, Class A
4.00%, 03/20/2033

         2,080          2,115,082  

Series 2021-1, Class A
3.50%, 11/20/2035

         2,541          2,473,878  

Series 2021-2, Class A
3.75%, 03/25/2035

         1,943          1,919,988  

Series 2021-2, Class X
0.841%, 03/25/2035(f)

         972          48,236  
          

 

 

  
             6,557,184  
          

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $8,747,034)

              7,518,950  
          

 

 

  

GOVERNMENTS - TREASURIES – 1.5%

           

United States – 1.5%

           

U.S. Treasury Notes
2.625%, 02/15/2029(g) (h)
(cost $2,772,099)

         2,670          2,516,892  
          

 

 

  

 

9

      Notional
Amount		        U.S. $ Value  

PURCHASED OPTIONS - PUTS – 0.5%

           

Options on Equity Indices – 0.5%

           

Euro STOXX 50 Index
Expiration: Nov 2024; Contracts: 1,180;
Exercise Price: EUR 3,650.00;
Counterparty: UBS AG(d)

      EUR        4,307,000        $ 80,020  

FTSE 100 Index
Expiration: Dec 2024; Contracts: 250;
Exercise Price: GBP 6,600.00;
Counterparty: UBS AG(d)

      GBP        1,650,000          31,433  

Nikkei 225 Index
Expiration: Nov 2024; Contracts: 17,000;
Exercise Price: JPY 27,000.00;
Counterparty: UBS AG(d)

      JPY        459,000,000          69,629  

S&P 500 Index
Expiration: Dec 2024; Contracts: 9,200;
Exercise Price: USD 3,950.00;
Counterparty: UBS AG(d)

      USD        36,340,000          662,916  
          

 

 

  

Total Purchased Options - Puts
(premiums paid $1,000,195)

              843,998  
          

 

 

  
     Principal
Amount
(000)		           

COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0%

           

Risk Share Floating Rate – 0.0%

           

Federal National Mortgage Association Connecticut Avenue Securities
Series 2014-C03, Class 2M2
8.352% (SOFR + 3.01%), 07/25/2024(b)

       $ 20          20,552  

Series 2015-C02, Class 1M2
9.452% (SOFR + 4.11%), 05/25/2025(b)

         27          27,418  
          

 

 

  

Total Collateralized Mortgage Obligations
(cost $46,848)

              47,970  
          

 

 

  
     Shares           

SHORT-TERM INVESTMENTS – 1.7%

           

Investment Companies – 1.7%

           

AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.27%(e) (i) (j)
(cost $2,726,555)

         2,726,555          2,726,555  
          

 

 

  

Total Investments – 96.9%
(cost $155,047,596)(k)

              158,772,670  

Other assets less liabilities – 3.1%

              5,136,338  
          

 

 

  

Net Assets – 100.0%

            $  163,909,008  
          

 

 

  

 

10

FUTURES

 

Description    Number
of
Contracts		    Expiration
Month		    Current
Notional		    Value and
Unrealized
Appreciation
(Depreciation)
Purchased Contracts                    
Euro STOXX 50 Index Futures        191        March 2024      $ 9,579,119      $ (100,855 )
FTSE 100 Index Futures        4        March 2024        395,473        7,974
Hang Seng Index Futures        3        January 2024        329,103        8,754
MSCI Singapore IX ETS Futures        10        January 2024        217,996        7,678
Nikkei 225 (OSE) Futures        2        March 2024        474,468        3,251
OMXS 30 Index Futures        21        January 2024        499,960        10,647
Russell 2000 E-Mini Futures        29        March 2024        2,969,165        217,149
S&P 500 E-Mini Futures        104        March 2024         25,064,000        709,347
S&P Mid 400 E-Mini Futures        8        March 2024        2,247,600        115,332
TOPIX Index Futures        31        March 2024        5,201,844        25,252
U.S. T-Note 2 Yr (CBT) Futures        33        March 2024        6,795,164        69,607
U.S. T-Note 10 Yr (CBT) Futures        85        March 2024        9,595,703        334,140
U.S. Ultra Bond (CBT) Futures        23        March 2024        3,072,656        259,254
Sold Contracts                    
FTSE 100 Index Futures        5        March 2024        494,341        (10,976 )
S&P/TSX 60 Index Futures        5        March 2024        958,756        (8,070 )
SPI 200 Futures        12        March 2024        1,550,640        (19,066 )
                   

 

 

  
                    $  1,629,418
                   

 

 

  

FORWARD CURRENCY EXCHANGE CONTRACTS

 

Counterparty    Contracts to
Deliver
(000)		      In Exchange
For
(000)		    Settlement
Date		    Unrealized
Appreciation
(Depreciation)
Bank of America, NA        USD      $ 2,529          EUR        2,378        01/10/2024      $ 97,023
Bank of America, NA        JPY        127,791          USD        895        01/12/2024        (12,178 )
Bank of America, NA        GBP        1,312          USD        1,644        01/25/2024        (28,370 )
Bank of America, NA        NOK        18,272          USD        1,744        02/16/2024        (56,240 )
Bank of America, NA        USD        1,879          NOK        20,379        02/16/2024        128,559
Barclays Bank PLC        NZD        1,746          USD        1,073        01/11/2024        (31,075 )
BNP Paribas SA        USD        1,858          CAD        2,517        01/10/2024        42,495
BNP Paribas SA        USD        806          EUR        731        01/10/2024        1,892
BNP Paribas SA        USD        1,101          NZD        1,890        01/11/2024        93,683
Deutsche Bank AG        USD        2,379          EUR        2,182        01/10/2024        30,156
Deutsche Bank AG        JPY         188,630          USD        1,274        01/12/2024        (65,055 )
Deutsche Bank AG        CHF        1,934          USD        2,184        01/18/2024        (119,276 )
Goldman Sachs Bank USA        EUR        753          USD        807        01/10/2024        (23,873 )
Goldman Sachs Bank USA        USD        1,765          CAD        2,420        01/10/2024        61,431
Goldman Sachs Bank USA        USD        613          JPY        90,063        01/12/2024        26,099
Goldman Sachs Bank USA        USD        3,337          GBP        2,638        01/25/2024        26,401
HSBC Bank USA        USD        792          EUR        721        01/10/2024        4,646
JPMorgan Chase Bank, NA        EUR        1,170          USD        1,254        01/10/2024        (38,727 )
JPMorgan Chase Bank, NA        JPY        76,702          USD        542        01/12/2024        (2,928 )
Morgan Stanley & Co., LLC.        CAD        4,550          USD        3,379        01/10/2024        (55,663 )
Morgan Stanley & Co., LLC.        USD        2,615          AUD        4,014        01/25/2024         122,108
Morgan Stanley & Co., LLC.        USD        1,375          GBP        1,107        01/25/2024        36,037
Morgan Stanley & Co., LLC.        CHF        1,061          USD        1,228        02/15/2024        (39,062 )
State Street Bank & Trust Co.        CAD        526          USD        384        01/10/2024        (12,315 )
State Street Bank & Trust Co.        EUR        99          USD        109        01/10/2024        (501 )
State Street Bank & Trust Co.        USD        207          CAD        280        01/10/2024        3,820

 

11

Counterparty    Contracts to
Deliver
(000)		      In Exchange
For
(000)		    Settlement
Date		    Unrealized
Appreciation
(Depreciation)
State Street Bank & Trust Co.        USD        489          EUR        461        01/10/2024      $ 19,929
State Street Bank & Trust Co.        USD        690          NZD        1,132        01/11/2024        25,928
State Street Bank & Trust Co.        USD        4,660          JPY        688,575        01/12/2024        229,279
State Street Bank & Trust Co.        USD        127          CHF        111        01/18/2024        4,828
State Street Bank & Trust Co.        AUD        432          USD        285        01/25/2024        (9,294 )
State Street Bank & Trust Co.        USD        393          AUD        596        01/25/2024        13,646
State Street Bank & Trust Co.        USD        763          GBP        608        01/25/2024        11,755
State Street Bank & Trust Co.        SEK        7,214          USD        701        02/16/2024        (15,484 )
UBS AG        CAD         1,894          USD        1,376        01/10/2024        (53,775 )
                               

 

 

  
                                $  415,899
                               

 

 

  

CENTRALLY CLEARED CREDIT DEFAULT SWAPS

 

Description    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)		  
Buy Contracts                    

CDX-NAHY Series 41, 5 Year Index, 12/20/2028*

      (5.00 )%      Quarterly        3.56%       USD        3,762      $ (224,816 )    $ (34,319 )    $ (190,497 ) 

 

*

Termination date

CENTRALLY CLEARED INFLATION (CPI) SWAPS

 

                   Rate Type                                  

Notional
Amount
(000)

      Termination
Date		      Payments
made
by the
Fund		      Payments
received
by the
Fund		      Payment
Frequency
Paid/
Received		      Market
Value		        Upfront
Premiums
Paid
(Received)		        Unrealized
Appreciation
(Depreciation)		  
USD      3,700      01/15/2028      1.230%      CPI#      Maturity      $ 651,803        $ —        $ 651,803  
USD      1,575      01/15/2030      1.572%      CPI#      Maturity        262,112          —          262,112  
USD      1,575      01/15/2030      1.587%      CPI#      Maturity        259,906          —          259,906  
USD      240      01/15/2030      1.714%      CPI#      Maturity        36,741          —          36,741  
USD      240      01/15/2030      1.731%      CPI#      Maturity        36,355          —          36,355  
USD      1,300      01/15/2031      2.782%      CPI#      Maturity        77,539          —          77,539  
USD      1,180      01/15/2031      2.680%      CPI#      Maturity        82,413          —          82,413  
USD      1,030      01/15/2031      2.989%      CPI#      Maturity        39,884          —          39,884  
                         

 

 

       

 

 

       

 

 

  
                          $  1,446,753        $    —        $  1,446,753  
                         

 

 

       

 

 

       

 

 

  

 

#

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

 

12

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      1,600      04/20/2028      1 Day SOFR      3.478%      Annual      $ (25,911 )       $ —        $ (25,911 ) 
USD      5,900      04/30/2030      1 Day SOFR      3.075%      Annual        (220,720 )         —          (220,720 ) 
USD      1,400      04/30/2030      1 Day SOFR      3.411%      Annual        (21,681 )         —          (21,681 ) 
USD      1,010      04/30/2030      1 Day SOFR      3.500%      Annual        (9,592 )         —          (9,592 ) 
USD      3,400      07/31/2030      1 Day SOFR      4.616%      Annual        219,391          —          219,391  
USD      2,600      07/31/2030      1 Day SOFR      3.806%      Annual        31,385          —          31,385  
USD      2,100      07/31/2030      1 Day SOFR      3.897%      Annual        40,311          —          40,311  
USD      1,600      07/31/2030      1 Day SOFR      4.016%      Annual        41,306          —          41,306  
USD      2,600      11/01/2030      1 Day SOFR      4.518%      Annual        158,946          —          158,946  
USD      14,000      03/31/2033      3.120%      1 Day SOFR      Annual        597,974          —          597,974  
                         

 

 

       

 

 

       

 

 

  
                          $  811,409        $     —        $  811,409  
                         

 

 

       

 

 

       

 

 

  

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        17      $ (2,224 )    $ (1,554 )    $ (670 ) 

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

      3.00       Monthly        7.50         USD        57        (7,391 )      (6,664 )      (727 ) 
Credit Suisse International                    

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

      3.00       Monthly        7.50         USD        4        (480 )      (420 )      (60 ) 

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

      3.00       Monthly        7.50         USD        9        (1,202 )      (848 )      (354 ) 

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

      3.00       Monthly        7.50         USD        47        (6,130 )      (4,211 )      (1,919 ) 

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

      3.00       Monthly        7.50         USD        116        (15,084 )      (13,102 )      (1,982 ) 

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

      3.00       Monthly        7.50         USD        118        (15,324 )      (10,821 )      (4,503 ) 
Goldman Sachs International                    

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

      3.00       Monthly        7.50         USD        22        (2,885 )      (2,590 )      (295 ) 

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

      3.00 %      Monthly        7.50         USD        61        (7,872 )      (5,253 )      (2,619 ) 
               

 

 

    

 

 

    

 

 

  
                $  (58,592 )    $  (45,463 )    $  (13,129 ) 
               

 

 

    

 

 

    

 

 

  

 

*

Termination date

 

13

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        5,000      10/23/2026    2.310%   CPI#   Maturity    $ 265,036      $ —      $ 265,036  
Barclays Bank PLC      USD        5,000      12/04/2027    2.170%   CPI#   Maturity      530,700        —        530,700  
Barclays Bank PLC      USD        1,000      10/23/2029    2.388%   CPI#   Maturity      46,114        —        46,114  
Citibank, NA      USD        3,000      07/20/2027    2.104%   CPI#   Maturity      345,368        —        345,368  
Deutsche Bank AG      USD        4,000      09/04/2025    1.818%   CPI#   Maturity      521,086        —        521,086  
JPMorgan Chase Bank, NA      USD        3,000      03/02/2024    2.175%   CPI#   Maturity      319,170        —        319,170  
JPMorgan Chase Bank, NA      USD        2,500      07/20/2024    1.995%   CPI#   Maturity      291,665        —        291,665  
JPMorgan Chase Bank, NA      USD        4,000      11/04/2026    2.015%   CPI#   Maturity      494,233        —        494,233  
JPMorgan Chase Bank, NA      USD        7,000      12/27/2028    2.009%   CPI#   Maturity      845,819        —        845,819  
JPMorgan Chase Bank, NA      USD        1,800      01/15/2030    3.493%   CPI#   Maturity      (5,921 )       —        (5,921 ) 
Morgan Stanley Capital Services LLC      USD        5,000      07/20/2032    2.158%   CPI#   Maturity      614,163        —        614,163  
                  

 

 

     

 

 

     

 

 

  
                   $  4,267,433      $    —      $  4,267,433  
                  

 

 

     

 

 

     

 

 

  

 

#

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        3,815      10/09/2029    1.125%   SIFMA*   Quarterly    $  326,549      $    —      $  326,549  

 

*

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

 

14

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        1,108        03/15/2024      $ (871 ) 

Swiss Market Index Futures

      0.00 %      Maturity        CHF        111        03/15/2024        (1,927 ) 
                

 

 

  
                 $  (2,798 ) 
                

 

 

  

 

(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 $23,176,274 or 14.1% 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, or call AB at (800) 227-4618.

(f)

IO - Interest Only.

(g)

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

(h)

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

(i)

Affiliated investments.

(j)

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

(k)

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 $19,851,129 and gross unrealized depreciation of investments was $(7,480,481), resulting in net unrealized appreciation of $12,370,648.

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 1.2% 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

 

15

Glossary:

AGM – Assured Guaranty Municipal

CBT – Chicago Board of Trade

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

CDX-NAHY – North American High Yield Credit Default Swap Index

CMBS – Commercial Mortgage-Backed Securities

COP – Certificate of Participation

ETF – Exchange Traded Fund

ETM – Escrowed to Maturity

ETS – Emission Trading Scheme

FTSE – Financial Times Stock Exchange

LIBOR – London Interbank Offered Rate

MSCI – Morgan Stanley Capital International

MUNIPSA – SIFMA Municipal Swap Index

NATL – National Interstate Corporation

OMXS – Stockholm Stock Exchange

OSE – Osaka Securities Exchange

SOFR – Secured Overnight Financing Rate

SPDR – Standard & Poor’s Depository Receipt

SPI – Share Price Index

TOPIX – Tokyo Price Index

TSX – Toronto Stock Exchange

XLCA – XL Capital Assurance Inc.

 

16

Sanford C. Bernstein Fund, Inc.

Tax-Aware Overlay C 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.

 

17

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 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:

 

Long-Term Municipal Bonds    $ —      $  122,221,672      $ —      $  122,221,672  
Investment Companies       22,896,633        —        —        22,896,633  
Commercial Mortgage-Backed Securities      —        7,518,950        —        7,518,950  
Governments - Treasuries      —        2,516,892        —        2,516,892  
Purchased Options - Puts      —        843,998        —        843,998  
Collateralized Mortgage Obligations      —        47,970        —        47,970  
Short-Term Investments      2,726,555        —        —        2,726,555  
  

 

 

     

 

 

     

 

 

     

 

 

  
Total Investments in Securities      25,623,188        133,149,482        —        158,772,670  
Other Financial Instruments(a):         
Assets:            
Futures      1,768,385        —        —        1,768,385  
Forward Currency Exchange Contracts      —        979,715        —        979,715  
Centrally Cleared Inflation (CPI) Swaps      —        1,446,753        —        1,446,753  
Centrally Cleared Interest Rate Swaps      —        1,089,313        —        1,089,313  
Inflation (CPI) Swaps      —        4,273,354        —        4,273,354  
Interest Rate Swaps      —        326,549            —        326,549  

 

18

Investments in Securities:

    Level 1     Level 2     Level 3      Total  
Liabilities:          
Futures    $ (138,967 )    $ —     $ —      $ (138,967 ) 
Forward Currency Exchange Contracts      —       (563,816 )      —        (563,816 ) 
Centrally Cleared Credit Default Swaps      —       (224,816 )      —        (224,816 ) 
Centrally Cleared Interest Rate Swaps      —       (277,904 )      —        (277,904 ) 
Credit Default Swaps      —       (58,592 )      —        (58,592 ) 
Inflation (CPI) Swaps      —       (5,921 )      —        (5,921 ) 
Total Return Swaps      —       (2,798 )      —        (2,798 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  
Total    $  27,252,606     $  140,131,319     $     —      $  167,383,925  
  

 

 

    

 

 

    

 

 

     

 

 

  

 

(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    $  11,322      $  8,395      $  16,990      $  2,727      $  39  

 

19