NPORT-EX 2 NPORT_2R03_52026420_1223.htm HTML

Sanford C. Bernstein Fund, Inc.

Schedule of Investments

New York Municipal Portfolio

December 31, 2023 (unaudited)

 

     

Principal

Amount

(000)

        U.S. $ Value  

MUNICIPAL OBLIGATIONS – 94.4%

        

Long-Term Municipal Bonds – 89.0%

        

New York – 74.8%

        

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

    $ 855        $ 866,024  

5.00%, 12/15/2025

      855          879,589  

5.00%, 12/15/2026

      855          895,142  

Broome County Local Development Corp.

(United Health Services Hospitals Obligated Group)
AGM Series 2020
3.00%, 04/01/2035

       2,220          2,016,872  

3.00%, 04/01/2036

      2,000               1,789,217  

3.00%, 04/01/2037

      1,500          1,314,123  

4.00%, 04/01/2034

      725          754,972  

4.00%, 04/01/2038

      1,400          1,421,836  

4.00%, 04/01/2039

      1,400          1,414,756  

4.00%, 04/01/2040

      1,500          1,510,383  

5.00%, 04/01/2032

      2,000          2,209,616  

5.00%, 04/01/2033

      1,000          1,104,336  

Build NYC Resource Corp.

(East Harlem Scholars Academy Charter School Obligated Group)
Series 2022
5.00%, 06/01/2032(a)

      375          384,278  

5.75%, 06/01/2042(a)

      1,855          1,906,872  

Build NYC Resource Corp.

(Grand Concourse Acadmey Charter School)
Series 2022
5.00%, 07/01/2042

      550          567,077  

Build NYC Resource Corp.

(Integration Charter Schools)
Series 2021
5.00%, 06/01/2036(a)

      1,050          1,053,902  

5.00%, 06/01/2041(a)

      800          773,775  

Build NYC Resource Corp.

(Metropolitan College of New York)
Series 2014
5.00%, 11/01/2025

      1,750          1,050,000  

5.25%, 11/01/2029

      2,100          1,260,000  

Build NYC Resource Corp.

(NEW World Preparatory Charter School)
Series 2021
4.00%, 06/15/2041(a)

      525          424,122  

City of New York NY
Series 2017-1
5.00%, 08/01/2025

      1,365          1,414,785  

Series 2017-C
5.00%, 08/01/2024

      1,260          1,275,691  

Series 2018-A
5.00%, 08/01/2026

      7,690          8,162,807  

Series 2018-D
5.00%, 12/01/2038

      9,665          10,504,284  

Series 2020-C
5.00%, 08/01/2038

      4,960          5,573,090  

 

1

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2021
1.396%, 08/01/2027

    $  4,950        $      4,453,294  

Series 2021-D
1.216%, 08/01/2026

      6,000          5,512,616  

1.623%, 08/01/2028

      4,000          3,538,476  

Series 2022-B
5.00%, 08/01/2024

      3,405          3,447,403  

Series 2023
5.00%, 08/01/2036

      2,500          3,000,545  

5.00%, 08/01/2040

      1,000          1,158,375  

5.00%, 08/01/2043

      5,000          5,697,694  

City of Rochester NY
Series 2023-I
4.50%, 08/01/2024

      7,000          7,041,744  

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

      17,000          17,124,756  

County of Nassau NY
Series 2014-A
5.00%, 04/01/2025 (Pre-refunded/ETM)

      10,190          10,238,306  

Series 2017-C
5.00%, 10/01/2026

      8,920          9,539,091  

5.00%, 10/01/2027

      13,255          14,532,049  

County of Suffolk NY
Series 2022
5.00%, 09/01/2029

      1,770          2,003,970  

AGM Series 2017-A
4.00%, 02/01/2024

      1,000          1,000,762  

Dutchess County Local Development Corp. (Bard College)
Series 2020-A
5.00%, 07/01/2040

      2,400          2,511,218  

Series 2020-B
5.918%, 07/01/2039

      4,755          4,696,866  

Hempstead Town Local Development Corp.

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

      4,000          3,990,511  

Hudson Yards Infrastructure Corp.
Series 2017-A
5.00%, 02/15/2031

      17,060          18,231,708  

5.00%, 02/15/2032

      5,590          5,971,412  

Series 2021
4.00%, 02/15/2040

      5,000          5,146,317  

Long Island Power Authority
Series 2019-B
1.65%, 09/01/2049

      9,535          9,414,694  

Metropolitan Transportation Authority
Series 2016-D
5.00%, 11/15/2027

      1,210          1,264,400  

Series 2017-B
5.00%, 11/15/2027

      5,050          5,445,682  

5.00%, 11/15/2028

      4,020          4,408,423  

Series 2017-C
5.00%, 11/15/2027

      9,140          9,856,145  

5.00%, 11/15/2028

      7,400          8,045,487  

5.00%, 11/15/2029

      1,790          1,944,994  

5.00%, 11/15/2031

      39,930          43,242,333  

 

2

     

Principal

Amount

(000)

        U.S. $ Value  

Series 2021
4.015% (SOFR + 0.43%), 11/01/2026(b)

    $  1,205        $      1,193,112  

AGM Series 2021
4.135% (SOFR + 0.55%), 11/01/2032(b)

      3,000          3,000,025  

4.385% (SOFR + 0.80%), 11/01/2032(b)

      3,715          3,699,316  

Metropolitan Transportation Authority

(Metropolitan Transportation Authority Dedicated Tax Fund)
Series 2017-A
5.00%, 11/15/2031

      2,060          2,211,055  

Series 2022-A
4.00%, 11/15/2038

      11,605          11,940,902  

Monroe County Industrial Development Corp./NY

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

      250          249,144  

5.625%, 07/01/2042(a)

      2,000          1,967,284  

Monroe County Industrial Development Corp./NY

(Rochester Regional Health Obligated Group)
Series 2020
5.00%, 12/01/2024

      510          515,583  

5.00%, 12/01/2028

      1,210          1,289,931  

Monroe County Industrial Development Corp./NY

(St. Ann’s of Greater Rochester Obligated Group)
Series 2019
4.00%, 01/01/2030

      2,145          1,966,105  

Monroe County Industrial Development Corp./NY

(True North Rochester Prep Charter School)
Series 2020
5.00%, 06/01/2040(a)

      2,265          2,311,776  

Nassau County Local Economic Assistance Corp.

(Catholic Health Services of Long Island Obligated Group)
Series 2014
5.00%, 07/01/2024

      4,550          4,581,969  

Nassau County Local Economic Assistance Corp.

(Roosevelt Children’s Academy Charter School)
Series 2023
4.00%, 07/01/2033

      750          764,467  

New York City Municipal Water Finance Authority
Series 2014-D
5.00%, 06/15/2029

      3,000          3,025,594  

Series 2015-F
5.00%, 06/15/2028

      1,845          1,903,537  

Series 2015-G
5.00%, 06/15/2028

      11,465          11,828,756  

Series 2017
5.00%, 06/15/2038

      3,725          3,956,011  

Series 2017-E
5.00%, 06/15/2037

      1,795          1,912,141  

Series 2018-AA
5.00%, 06/15/2024

      8,280          8,361,055  

Series 2021-B
4.00%, 06/15/2039

      2,000          2,068,916  

Series 2023
5.00%, 06/15/2035

      13,345          16,423,962  

 

3

     

Principal

Amount

(000)

        U.S. $ Value  

New York City Transitional Finance Authority

(New York City Transitional Finance Authority Future Tax Secured Revenue)
Series 2023
5.50%, 05/01/2043

    $ 5,000        $      5,986,554  

New York City Transitional Finance Authority Building Aid Revenue

(New York City Transitional Finance Authority Building Aid Revenue State Lease)
Series 2016-S
5.00%, 07/15/2034

      2,000          2,075,235  

Series 2018-S
5.00%, 07/15/2031

      2,065          2,284,633  

5.00%, 07/15/2032

      16,090          17,785,243  

New York City Transitional Finance Authority Future Tax Secured Revenue
Series 2014-A
5.00%, 08/01/2027

      1,655          1,671,611  

5.00%, 08/01/2029

      5,000          5,044,450  

Series 2014-C
5.00%, 11/01/2026

      6,345          6,382,133  

Series 2014-D1
5.00%, 02/01/2028 (Pre-refunded/ETM)

      7,110          7,142,318  

5.00%, 02/01/2029 (Pre-refunded/ETM)

      2,425          2,436,023  

Series 2015-C
5.00%, 11/01/2026

      20,000          20,557,656  

Series 2016-B
5.00%, 08/01/2031

      2,200          2,312,086  

Series 2017-F
5.00%, 05/01/2032

      1,220          1,306,135  

Series 2020
5.00%, 11/01/2027

      2,580          2,824,606  

Series 2021-E
4.00%, 02/01/2040

      12,575          12,882,738  

Series 2022
4.00%, 02/01/2040

      2,220          2,280,962  

4.00%, 02/01/2041

      1,675          1,717,435  

New York Liberty Development Corp.

(3 World Trade Center LLC)
Series 2014
5.375%, 11/15/2040(a)

      2,000          2,002,459  

7.25%, 11/15/2044(a)

      3,260          3,282,097  

New York Liberty Development Corp.

(One Bryant Park LLC)
Series 2019
2.45%, 09/15/2069

      20,000          18,593,838  

2.625%, 09/15/2069

      22,240          20,550,062  

2.80%, 09/15/2069

      6,470          5,881,169  

New York Liberty Development Corp.

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

      20,000          17,514,490  

New York Power Authority

(New York Power Authority SFP Transmission Project)
AGM Series 2023
5.25%, 11/15/2040

      1,000          1,178,777  

5.25%, 11/15/2041

      1,000          1,174,062  

 

4

     

Principal

Amount

(000)

        U.S. $ Value  

New York State Dormitory Authority
Series 2014
5.00%, 02/15/2029 (Pre-refunded/ETM)

    $ 40        $ 40,094  

Series 2014-A
5.00%, 02/15/2028 (Pre-refunded/ETM)

       2,400               2,405,625  

Series 2017
5.00%, 02/15/2025 (Pre-refunded/ETM)

      2,775          2,842,476  

Series 2020-A
5.00%, 03/15/2024 (Pre-refunded/ETM)

      6,475          6,501,249  

Series 2021
1.187%, 03/15/2026 (Pre-refunded/ETM)

      5,500          5,131,826  

AGM Series 2020
5.00%, 10/01/2026 (Pre-refunded/ETM)

      5          5,328  

5.00%, 10/01/2029 (Pre-refunded/ETM)

      5          5,579  

New York State Dormitory Authority

(Catholic Health System Obligated Group)
Series 2019
5.00%, 07/01/2036

      1,000          845,590  

New York State Dormitory Authority

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

      1,700          1,705,889  

5.00%, 12/01/2026(a)

      1,500          1,497,028  

5.00%, 12/01/2034(a)

      2,500          2,417,304  

New York State Dormitory Authority

(Icahn School of Medicine at Mount Sinai)
Series 2015-A
5.00%, 07/01/2026

      3,745          3,850,032  

New York State Dormitory Authority

(Iona College)
Series 2022-2
5.00%, 07/01/2024

      555          558,411  

5.00%, 07/01/2026

      620          636,576  

5.00%, 07/01/2027

      325          337,879  

5.00%, 07/01/2029

      500          529,723  

5.00%, 07/01/2030

      300          319,847  

5.00%, 07/01/2031

      320          342,841  

5.00%, 07/01/2032

      280          301,982  

New York State Dormitory Authority

(New York and Presbyterian Hospital Obligated Group)
Series 2023
5.00%, 08/01/2036

      4,250          5,010,219  

5.00%, 08/01/2038

      5,000          5,768,251  

New York State Dormitory Authority

(New York State Dormitory Authority Lease)
Series 2022-C
5.00%, 10/01/2025

      1,000          1,036,617  

AGM Series 2020
5.00%, 10/01/2026

      3,045          3,247,130  

5.00%, 10/01/2029

      2,130          2,371,805  

AGM Series 2023
5.00%, 10/01/2025

      4,695          4,878,939  

BAM Series 2022
5.00%, 10/01/2025

      3,975          4,132,970  

 

5

     

Principal

Amount

(000)

        U.S. $ Value  

New York State Dormitory Authority

(New York State Sales Tax)
Series 2018-C
5.00%, 03/15/2040

    $ 2,000        $ 2,135,645  

New York State Dormitory Authority

(New York University)
Series 2019-A
5.00%, 07/01/2032

       2,975               3,361,938  

New York State Dormitory Authority

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

      2,500          2,508,081  

4.00%, 05/01/2040

      6,000          5,984,435  

New York State Dormitory Authority

(Rochester Institute of Technology)
Series 2020-A
5.00%, 07/01/2026

      1,000          1,053,506  

New York State Dormitory Authority

(St. John’s University/NY)
Series 2015-A
5.00%, 07/01/2024

      1,130          1,139,990  

Series 2021-A
4.00%, 07/01/2031

      1,400          1,513,581  

New York State Dormitory Authority

(State of New York Pers Income Tax)
Series 2014
5.00%, 02/15/2029

      11,415          11,436,542  

Series 2014-C
5.00%, 03/15/2028 (Pre-refunded/ETM)

      12,485          12,535,613  

5.00%, 03/15/2029

      2,010          2,016,580  

Series 2021-A
4.00%, 03/15/2039

      1,000          1,038,801  

Series 2021-E
4.00%, 03/15/2037

      4,645          4,992,120  

Series 2022-A
4.00%, 03/15/2039

      2,000          2,086,981  

AMBAC Series 2005-B
5.50%, 03/15/2024

      1,000          1,005,333  

New York State Dormitory Authority

(State of New York Sales Tax Revenue)
Series 2023-A
4.00%, 03/15/2043

      4,350          4,411,411  

New York State Dormitory Authority

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

      1,000          1,063,997  

5.00%, 07/01/2039

      1,500          1,568,877  

5.00%, 07/01/2042

      1,630          1,681,859  

New York State Environmental Facilities Corp.

(New York City Municipal Water Finance Authority)
Series 2019-B
5.00%, 06/15/2027

      445          485,522  

Series 2023
5.125%, 09/01/2050(a)

      1,800          1,822,981  

New York State Thruway Authority

(New York State Thruway Authority Gen Toll Road)
Series 2014-J
5.00%, 01/01/2026

      18,900          18,928,556  

 

6

     

Principal

Amount

(000)

        U.S. $ Value  

5.00%, 01/01/2027

    $ 15,000        $     15,023,821  

Series 2014-K
5.00%, 01/01/2026

      1,310          1,337,197  

5.00%, 01/01/2028

      3,150          3,214,774  

Series 2019-M
2.90%, 01/01/2035

      21,075          18,345,364  

New York State Thruway Authority

(State of New York Pers Income Tax)
Series 2022-A
5.00%, 03/15/2039

      7,250          8,378,195  

New York State Urban Development Corp.

(State of New York Pers Income Tax)
Series 2016-A
5.00%, 03/15/2028 (Pre-refunded/ETM)

      5,010          5,269,298  

Series 2020-E
4.00%, 03/15/2043

      4,650          4,722,873  

Series 2022
5.00%, 09/15/2029

      6,830          7,804,847  

New York Transportation Development Corp.

(American Airlines, Inc.)
Series 2016
5.00%, 08/01/2026

      1,070          1,070,145  

Series 2021
2.25%, 08/01/2026

      1,230          1,175,880  

New York Transportation Development Corp.

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

      24,485          25,129,443  

5.00%, 01/01/2032

      2,355          2,408,281  

5.00%, 01/01/2036

      2,000          2,022,340  

Series 2023
5.625%, 04/01/2040

      2,165          2,329,158  

New York Transportation Development Corp.

(Elevated Accessibility Enhancements Holding Co., LLC)
Series 2023
6.971%, 06/30/2051

      2,000          1,997,784  

New York Transportation Development Corp.

(Empire State Thruway Partners LLC)
Series 2021
4.00%, 10/31/2034

      500          508,329  

4.00%, 10/31/2041

      2,075          1,981,151  

New York Transportation Development Corp.

(JFK International Air Terminal LLC)
Series 2020
5.00%, 12/01/2027

      2,210          2,342,091  

5.00%, 12/01/2030

      1,010          1,107,842  

5.00%, 12/01/2031

      400          438,361  

5.00%, 12/01/2032

      1,035          1,133,600  

5.00%, 12/01/2036

      1,050          1,133,777  

Series 2022
4.00%, 12/01/2042

      1,000          949,679  

5.00%, 12/01/2027

      2,115          2,241,413  

5.00%, 12/01/2031

      2,035          2,254,799  

5.00%, 12/01/2039

      2,765          2,968,815  

5.00%, 12/01/2040

      3,310          3,536,029  

5.00%, 12/01/2042

      2,645          2,789,919  

 

7

     

Principal

Amount

(000)

        U.S. $ Value  

New York Transportation Development Corp.

(JFK NTO LLC)
AGM Series 2023
5.50%, 06/30/2043

    $  2,250        $      2,489,713  

5.50%, 06/30/2044

      2,500          2,757,391  

New York Transportation Development Corp.

(Laguardia Gateway Partners LLC)
Series 2016-A
5.25%, 01/01/2050

      2,535          2,537,718  

Niagara Area Development Corp.

(Covanta Holding Corp.)
Series 2018-A
4.75%, 11/01/2042(a)

      1,000          850,004  

Series 2018-B
3.50%, 11/01/2024(a)

      3,400          3,357,627  

Niagara Falls City School District
Series 2016
5.00%, 06/15/2024

      4,055          4,083,960  

5.00%, 06/15/2025

      3,660          3,751,618  

Onondaga Civic Development Corp.

(Le Moyne College)
Series 2022
4.00%, 07/01/2034

      300          303,481  

4.00%, 07/01/2036

      350          350,845  

4.00%, 07/01/2039

      450          432,986  

Port Authority of New York & New Jersey
Series 2014
5.00%, 09/01/2027

      7,500          7,547,170  

Series 2015
5.00%, 10/15/2026

      8,405          8,638,698  

Series 2017
5.00%, 10/15/2028

      6,925          7,292,754  

Series 2018-2
5.00%, 09/15/2025

      3,040          3,133,296  

5.00%, 09/15/2027

      1,000          1,064,730  

5.00%, 09/15/2028

      8,000          8,579,800  

Series 2019
5.00%, 11/01/2035

      3,135          3,418,913  

5.00%, 11/01/2036

      5,365          5,808,746  

Series 2020-2
5.00%, 07/15/2033

      3,000          3,346,555  

5.00%, 07/15/2034

      10,195          11,350,517  

5.00%, 07/15/2035

      5,095          5,643,127  

Sales Tax Asset Receivable Corp.
Series 2014-A
5.00%, 10/15/2025 (Pre-refunded/ETM)

      6,075          6,176,057  

5.00%, 10/15/2026 (Pre-refunded/ETM)

      7,065          7,182,526  

State of New York
Series 2023-A
5.00%, 03/15/2025

      1,000          1,027,097  

5.00%, 03/15/2026

      1,395          1,471,098  

5.00%, 03/15/2031

      5,600          6,639,377  

5.00%, 03/15/2032

      1,815          2,187,943  

5.00%, 03/15/2033

      1,750          2,145,807  

5.00%, 03/15/2036

      1,500          1,819,073  

5.00%, 03/15/2038

      1,500          1,769,887  

5.00%, 03/15/2039

      2,000          2,344,399  

5.00%, 03/15/2040

      2,250          2,623,547  

Series 2023-C
5.00%, 03/15/2037

      1,670          2,003,612  

 

8

     

Principal

Amount

(000)

        U.S. $ Value  

Suffolk County Economic Development Corp.

(Peconic Landing at Southold, Inc.)
Series 2020
5.00%, 12/01/2029

    $ 500        $ 505,578  

5.00%, 12/01/2034

       1,000               1,009,632  

Suffolk Tobacco Asset Securitization Corp.
Series 2021
4.00%, 06/01/2035

      2,300          2,371,955  

4.00%, 06/01/2036

      2,425          2,483,216  

4.00%, 06/01/2037

      1,170          1,187,087  

4.00%, 06/01/2050

      2,345          2,359,902  

5.00%, 06/01/2034

      2,275          2,514,946  

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

      4,650          4,663,013  

Triborough Bridge & Tunnel Authority
Series 2021-A
5.00%, 11/01/2025

      2,535          2,640,741  

Triborough Bridge & Tunnel Authority

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

      15,035          15,678,889  

Series 2021-A
2.00%, 05/15/2045

      9,185          9,115,840  

2.511%, 05/15/2035

      10,000          7,920,472  

Series 2021-C
5.00%, 05/15/2039

      5,000          5,678,055  

Series 2022
5.00%, 05/15/2041

      1,750          1,978,540  

Series 2022-A
5.00%, 08/15/2024

      20,055          20,286,254  

Series 2022-E
4.635% (SOFR + 1.05%), 04/01/2026(b)

      7,500          7,503,895  

Series 2023
5.25%, 11/15/2042

      10,420          12,220,203  

Troy Capital Resource Corp.

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

      2,570          2,873,967  

5.00%, 09/01/2032

      3,460          3,866,717  

5.00%, 09/01/2033

      2,365          2,640,147  

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

      7,175          7,643,746  

Series 2020
4.00%, 12/01/2033

      1,160          1,231,963  

5.00%, 12/01/2031

      1,800          2,060,706  

5.00%, 12/01/2032

      2,000          2,285,625  

Utility Debt Securitization Authority
Series 2013-T
5.00%, 06/15/2026 (Pre-refunded/ETM)

      2,800          2,810,632  

Westchester County Local Development Corp.

(Kendal on Hudson Obligated Group)
Series 2022
5.00%, 01/01/2027

      400          407,450  

 

9

     

Principal

Amount

(000)

        U.S. $ Value  

5.00%, 01/01/2032

    $    520        $ 529,827  

5.00%, 01/01/2037

      530          531,860  

5.00%, 01/01/2041

      720          709,466  
       

 

 

  
           1,027,973,393  
       

 

 

  

American Samoa – 0.1%

        

American Samoa Economic Development Authority

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

      1,055          1,119,931  
       

 

 

  

California – 0.1%

        

California Community Choice Financing Authority

(Goldman Sachs Group, Inc. (The))
Series 2023
5.25%, 11/01/2054

      1,215          1,315,576  
       

 

 

  

Colorado – 0.9%

        

Colorado Health Facilities Authority

(CommonSpirit Health)
Series 2019-A
5.00%, 08/01/2030

      6,280          6,873,939  

5.00%, 08/01/2031

      2,000          2,187,686  

5.00%, 08/01/2033

      2,750          3,008,129  

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

      160          168,992  
       

 

 

  
          12,238,746  
       

 

 

  

Connecticut – 1.8%

        

State of Connecticut
Series 2018-B
5.00%, 04/15/2025

      14,565          14,967,351  

Series 2018-C
5.00%, 06/15/2027

      4,715          5,114,931  

Series 2018-F
5.00%, 09/15/2027

      4,025          4,392,927  
       

 

 

  
          24,475,209  
       

 

 

  

Florida – 0.1%

        

County of Osceola FL Transportation Revenue
Series 2020-A
Zero Coupon, 10/01/2030

      100          74,462  

Zero Coupon, 10/01/2032

      100          68,173  

Zero Coupon, 10/01/2033

      100          65,006  

Zero Coupon, 10/01/2034

      110          68,109  

Volusia County School Board

(Volusia County School Board COP)
Series 2014-B
5.00%, 08/01/2026

      1,000          1,010,439  
       

 

 

  
          1,286,189  
       

 

 

  

Georgia – 0.2%

        

Municipal Electric Authority of Georgia
Series 2019
5.00%, 01/01/2031

      905          974,063  

5.00%, 01/01/2032

      565          607,740  

5.00%, 01/01/2035

      1,185          1,261,484  
       

 

 

  
          2,843,287  
       

 

 

  

 

10

     

Principal

Amount

(000)

        U.S. $ Value  

Guam – 1.9%

        

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

    $  1,430        $      1,277,661  

3.189%, 10/01/2029

      1,650          1,440,465  

3.339%, 10/01/2030

      1,050          900,943  

Series 2023
5.125%, 10/01/2034

      250          258,628  

5.25%, 10/01/2031

      1,025          1,068,833  

5.25%, 10/01/2035

      265          274,966  

5.375%, 10/01/2033

      525          551,857  

Guam Government Waterworks Authority
Series 2017
5.00%, 07/01/2028

      1,250          1,313,525  

5.00%, 07/01/2030

      1,000          1,050,636  

5.00%, 07/01/2031

      2,000          2,099,702  

Guam Power Authority
Series 2017-A
5.00%, 10/01/2025

      2,980          3,048,179  

5.00%, 10/01/2026

      1,225          1,274,199  

5.00%, 10/01/2027

      1,230          1,300,405  

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

      225          234,562  

Territory of Guam

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

      1,150          1,196,268  

5.00%, 12/01/2029

      620          642,494  

5.00%, 12/01/2030

      1,000          1,034,582  

5.00%, 12/01/2032

      925          957,378  

Territory of Guam

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

      3,580          3,649,839  

Series 2015-D
5.00%, 11/15/2025

      1,555          1,584,115  

Series 2021-F
5.00%, 01/01/2030

      1,000          1,076,908  
       

 

 

  
          26,236,145  
       

 

 

  

Illinois – 0.7%

        

Illinois Finance Authority

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

      145          145,568  

5.00%, 09/01/2029

      225          226,086  

5.00%, 09/01/2032

      365          365,154  

5.00%, 09/01/2033

      200          199,229  

5.00%, 09/01/2034

      100          98,855  

Metropolitan Pier & Exposition Authority
Series 2017-B
5.00%, 12/15/2028

      2,000          2,144,004  

 

11

     

Principal

Amount

(000)

        U.S. $ Value  

State of Illinois
Series 2017-A
5.00%, 12/01/2024

    $  2,105        $      2,138,697  

Series 2018-A
5.00%, 10/01/2024

      2,910          2,947,227  

Series 2018-B
5.00%, 05/01/2024

      1,405          1,412,477  
       

 

 

  
          9,677,297  
       

 

 

  

Kentucky – 0.3%

        

City of Ashland KY

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

      350          359,586  

5.00%, 02/01/2027

      375          391,806  

5.00%, 02/01/2030

      210          229,091  

5.00%, 02/01/2031

      275          294,503  

Kentucky Economic Development Finance Authority

(CommonSpirit Health)
Series 2019-A
5.00%, 08/01/2033

      1,000          1,093,865  

5.00%, 08/01/2034

      1,635          1,786,744  

5.00%, 08/01/2035

      555          602,828  
       

 

 

  
          4,758,423  
       

 

 

  

Michigan – 1.2%

        

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

      250          263,750  

5.00%, 04/01/2032

      1,005          1,058,949  

Michigan Strategic Fund

(Michigan Strategic Fund - I 75 Improvement Project)
Series 2018
5.00%, 12/31/2029

      8,600          9,152,468  

5.00%, 12/31/2030

      4,000          4,254,835  

5.00%, 06/30/2032

      1,690          1,798,458  
       

 

 

  
          16,528,460  
       

 

 

  

Missouri – 0.0%

        

Howard Bend Levee District
XLCA Series 2005
5.75%, 03/01/2025

      120          121,341  

5.75%, 03/01/2027

      275          281,461  
       

 

 

  
          402,802  
       

 

 

  

Nebraska – 0.8%

        

Central Plains Energy Project

(Goldman Sachs Group, Inc. (The))
Series 2022-1
5.00%, 05/01/2053

      10,000          10,539,615  
       

 

 

  

Nevada – 0.0%

        

City of Sparks NV

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

      565          536,685  
       

 

 

  

 

12

     

Principal

Amount

(000)

        U.S. $ Value  

New Jersey – 2.5%

        

New Jersey Transportation Trust Fund Authority

(New Jersey Transportation Fed Hwy Grant)
Series 2016
5.00%, 06/15/2024

    $ 5,090        $      5,132,282  

5.00%, 06/15/2027

      5,000          5,250,407  

Series 2018-A
5.00%, 06/15/2028

      11,680          12,281,033  

New Jersey Transportation Trust Fund Authority

(New Jersey Transportation Trust Fund Authority State Lease)
Series 2018-A
5.00%, 12/15/2030

      3,360          3,715,710  

Series 2019-B
5.00%, 06/15/2030

      1,500          1,659,726  

5.00%, 06/15/2034

      2,360          2,588,891  

Series 2019-BB1
5.00%, 06/15/2034

      2,900          3,181,265  
       

 

 

  
          33,809,314  
       

 

 

  

Puerto Rico – 1.3%

        

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

      468          458,336  

Zero Coupon, 07/01/2033

      2,420          1,508,670  

5.625%, 07/01/2027

      3,150          3,331,177  

5.625%, 07/01/2029

      760          824,275  

Series 2022-C
0.00%, 11/01/2043

      888          483,817  

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

      1,580          1,540,496  

5.25%, 07/01/2036

      1,515          1,520,767  

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

      3,490          3,544,124  

5.00%, 07/01/2035(a)

      2,310          2,331,661  

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

      1,390          1,381,504  

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

      796          780,360  
       

 

 

  
          17,705,187  
       

 

 

  

South Carolina – 0.3%

        

South Carolina Public Service Authority
Series 2020-A
5.00%, 12/01/2043

      1,500          1,601,933  

Series 2021-B
4.00%, 12/01/2038

      2,125          2,160,944  

5.00%, 12/01/2040

      1,000          1,088,578  
       

 

 

  
          4,851,455  
       

 

 

  

 

13

     

Principal

Amount

(000)

        U.S. $ Value  

Tennessee – 0.6%

        

Chattanooga Health Educational & Housing Facility Board

(CommonSpirit Health)
Series 2019-A
5.00%, 08/01/2031

    $ 1,500        $ 1,640,764  

5.00%, 08/01/2033

      1,000          1,093,865  

5.00%, 08/01/2034

      1,000          1,092,810  

Tennergy Corp./TN

(Royal Bank of Canada)
Series 2019-A
5.00%, 02/01/2050

      4,735          4,776,171  
       

 

 

  
          8,603,610  
       

 

 

  

Texas – 0.5%

        

City of Houston TX Airport System Revenue

(United Airlines, Inc.)
Series 2018
5.00%, 07/15/2028

      1,750          1,760,536  

Mission Economic Development Corp.

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

      4,540          4,477,264  
       

 

 

  
          6,237,800  
       

 

 

  

Washington – 0.6%

        

Washington Health Care Facilities Authority

(CommonSpirit Health)
Series 2019-A
5.00%, 08/01/2032

      2,165          2,369,112  

5.00%, 08/01/2033

      2,595          2,838,580  

5.00%, 08/01/2034

      2,520          2,753,881  
       

 

 

  
          7,961,573  
       

 

 

  

Wisconsin – 0.3%

        

Wisconsin Public Finance Authority

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

      995          1,004,686  

5.00%, 10/01/2026(a)

      1,050          1,068,495  

5.00%, 10/01/2027(a)

      1,090          1,116,816  

5.00%, 10/01/2028(a)

      900          926,720  

5.00%, 10/01/2029(a)

      275          283,699  
       

 

 

  
          4,400,416  
       

 

 

  

Total Long-Term Municipal Bonds
(cost $1,244,327,329)

           1,223,501,113  
       

 

 

  

Short-Term Municipal Notes – 5.4%

        

New York – 5.4%

        

Build NYC Resource Corp.

(Asia Society (The))
Series 2015
3.90%, 04/01/2045(c)

      1,685          1,685,000  

 

14

     

Principal

Amount

(000)

        U.S. $ Value  

City of New York NY
Series 2008-L
3.85%, 04/01/2038(c)

    $  1,275        $      1,275,000  

Series 2013-I
4.00%, 04/01/2036(c)

      3,940          3,940,000  

Series 2016
3.76%, 08/01/2044(c)

      8,995          8,995,000  

Dutchess County Industrial Development Agency

(Marist College)
Series 2008
3.90%, 07/01/2038(c)

      1,165          1,165,000  

Metropolitan Transportation Authority
Series 2015
3.80%, 11/01/2026(c)

      380          380,000  

New York City Health and Hospitals Corp.
Series 2008-D
3.80%, 02/15/2026(c)

      375          375,000  

New York City Housing Development Corp.
Series 2012-A
3.80%, 09/01/2049(c)

      1,000          1,000,000  

New York City Housing Development Corp.

(201 Pearl LLC)
Series 2006-A
3.97%, 10/15/2041(c)

      250          250,000  

New York City Housing Development Corp.

(Hewitt Westchester LP)
Series 2011
3.90%, 11/01/2048(c)

      3,400          3,400,000  

New York City Municipal Water Finance Authority
Series 2015-F
3.85%, 06/15/2035(c)

      27,300          27,300,000  

New York State Housing Finance Agency

(8 East 102nd Street LLC)
Series 2023
3.73%, 05/01/2044(c)

      5,790          5,790,000  

New York State Housing Finance Agency

(Liberty Street Realty LLC)
Series 2005
3.86%, 05/01/2035(c)

      3,773          3,773,000  

Triborough Bridge & Tunnel Authority
Series 2023-B
4.00%, 01/01/2032(c)

      2,160          2,160,000  

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

(New York Botanical Garden (The))
Series 2009
3.90%, 07/01/2032(c)

      8,060          8,060,000  

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

(Pierpont Morgan Library)
Series 2004
3.85%, 02/01/2034(c)

      5,465          5,465,000  
       

 

 

  

Total Short-Term Municipal Notes
(cost $75,013,000)

           75,013,000  
       

 

 

  

Total Municipal Obligations
(cost $1,319,340,329)

           1,298,514,113  
       

 

 

  

 

15

     

Principal

Amount

(000)

        U.S. $ Value  

GOVERNMENTS - TREASURIES – 0.2%

        

United States – 0.2%

        

U.S. Treasury Notes 
2.625%, 02/15/2029(d)
(cost $2,464,529)

    $ 2,377        $ 2,240,694  
       

 

 

  

ASSET-BACKED SECURITIES – 0.2%

        

Autos - Fixed Rate – 0.2%

        

Lendbuzz Securitization Trust
Series 2023-1A, Class A2
6.92%, 08/15/2028(a)

      1,694          1,702,516  

Tricolor Auto Securitization Trust
Series 2023-1A, Class A
6.48%, 08/17/2026(a)

      454          453,752  
       

 

 

  

Total Asset-Backed Securities
(cost $2,147,489)

                2,156,268  
       

 

 

  

COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.1%

        

Non-Agency Fixed Rate CMBS – 0.1%

        

City of Fort Wayne IN
10.75%, 12/01/2029(e) (f)

      32          3  

Jefferson County Industrial Development Agency
Series 2019
5.25%, 01/01/2024(e) (f) (g) (h)

      933          101,218  

Washington State Housing Finance Commission
Series 2021-1, Class A
3.50%, 12/20/2035

      962          917,339  

Series 2021-1, Class X
0.726%, 12/20/2035(i)

      962          44,170  
       

 

 

  

Total Commercial Mortgage-Backed Securities
(cost $2,076,863)

           1,062,730  
       

 

 

  

COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0%

        

Risk Share Floating Rate – 0.0%

        

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes
Series 2014-DN3, Class M3
9.452% (SOFR + 4.11%), 08/25/2024(b)

      75          74,897  

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

      63          63,136  

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

      74          76,770  

Series 2016-C01, Class 1M2
12.202% (SOFR + 6.86%), 08/25/2028(b)

      158          168,463  

Series 2016-C02, Class 1M2
11.452% (SOFR + 6.11%), 09/25/2028(b)

      33          34,434  
       

 

 

  

Total Collateralized Mortgage Obligations
(cost $405,117)

           417,700  
       

 

 

  

 

16

     

Principal

Amount

(000)

        U.S. $ Value  

SHORT-TERM INVESTMENTS – 2.0%

        

U.S. Treasury Bills – 2.0%

        

United States – 2.0%

        

U.S. Treasury Bill
Zero Coupon, 03/21/2024
(cost $27,675,449)

    $ 28,000        $ 27,680,796  
       

 

 

  

Total Investments – 96.9%
(cost $1,354,109,776)(j)

           1,332,072,301  

Other assets less liabilities – 3.1%

           43,001,623  
       

 

 

  

Net Assets – 100.0%

         $  1,375,073,924  
       

 

 

  

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      25,000      01/15/2027      1 Day SOFR    2.540%    Annual      $  (1,463,004 )     $ —        $  (1,463,004 ) 
USD      16,300      07/31/2030      1 Day SOFR    4.656%    Annual        1,092,714        —          1,092,714  
USD      15,000      04/15/2032      3.120%    1 Day SOFR    Annual        610,567        —          610,567  
USD      5,600      04/15/2032      4.274%    1 Day SOFR    Annual        (310,799 )       —          (310,799 ) 
                     

 

 

     

 

 

       

 

 

  
                      $ (70,522 )     $    —        $ (70,522 ) 
                     

 

 

     

 

 

       

 

 

  

 

17

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        78      $ (10,156 )    $ (7,098 )    $ (3,058 ) 

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

      3.00       Monthly        7.50       USD        260        (33,653 )      (30,342 )      (3,311 ) 
Credit Suisse International                    

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

      3.00       Monthly        7.50       USD        17        (2,223 )      (1,944 )      (279 ) 

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

      3.00       Monthly        7.50       USD        43        (5,589 )      (3,942 )      (1,647 ) 

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

      3.00       Monthly        7.50       USD        530        (68,628 )      (59,610 )      (9,018 ) 

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

      3.00       Monthly        7.50       USD        257        (33,293 )      (22,879 )      (10,414 ) 

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

      3.00       Monthly        7.50       USD        534        (69,169 )      (48,845 )      (20,324 ) 
Goldman Sachs International                    

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

      3.00       Monthly        7.50       USD        100        (12,980 )      (11,654 )      (1,326 ) 

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

      3.00       Monthly        7.50       USD        233        (30,227 )      (20,164 )      (10,063 ) 
               

 

 

    

 

 

    

 

 

  
                $  (265,918 )    $  (206,478 )    $  (59,440 ) 
               

 

 

    

 

 

    

 

 

  

 

*

Termination date

 

18

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        16,980      10/09/2029    1.125%   SIFMA*   Quarterly    $  1,453,327      $   —      $  1,453,327  

 

*

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 December 31, 2023, the aggregate market value of these securities amounted to $44,572,891 or 3.2% of net assets.

(b)

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

(c)

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.

(d)

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

(e)

Defaulted.

(f)

Non-income producing security.

(g)

Security in which significant unobservable inputs (Level 3) were used in determining fair value.

(h)

Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.01% of net assets as of December 31, 2023, are considered illiquid and restricted. Additional information regarding such securities follows:

 

144A/Restricted & Illiquid Securities   

Acquisition

Date

    Cost     

Market

Value

     

Percentage

of

Net Assets

Jefferson County Industrial Development Agency
Series 2019
5.25%, 01/01/2024

    12/09/2019    $  932,884      $  101,218      0.01%

 

(i)

IO - Interest Only.

(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 $16,796,911 and gross unrealized depreciation of investments was $(37,511,021), resulting in net unrealized depreciation of $(20,714,110).

 

 

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 3.6% and 0.0%, respectively.

Glossary:

AGM – Assured Guaranty Municipal

AMBAC – Ambac Assurance Corporation

BAM – Build American Mutual

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

CMBS – Commercial Mortgage-Backed Securities

COP – Certificate of Participation

ETM – Escrowed to Maturity

OTC – Over-the-Counter

SOFR – Secured Overnight Financing Rate

XLCA – XL Capital Assurance Inc.

 

19

Sanford C. Bernstein Fund, Inc.

New York Municipal 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.

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.

 

20

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    $ —      $ 1,223,501,113     $ —      $ 1,223,501,113  
Short-Term Municipal Notes      —        75,013,000       —        75,013,000  
Governments - Treasuries      —        2,240,694       —        2,240,694  
Asset-Backed Securities      —        2,156,268       —        2,156,268  
Commercial Mortgage-Backed Securities      —        961,512       101,218        1,062,730  
Collateralized Mortgage Obligations      —        417,700       —        417,700  
Short-Term Investments      —        27,680,796       —        27,680,796  
  

 

 

     

 

 

    

 

 

     

 

 

  
Total Investments in Securities      —        1,331,971,083       101,218        1,332,072,301  
Other Financial Instruments(a):           
Assets:           
Centrally Cleared Interest Rate Swaps      —        1,703,281       —        1,703,281  
Interest Rate Swaps      —        1,453,327       —        1,453,327  
Liabilities:           
Centrally Cleared Interest Rate Swaps      —        (1,773,803 )      —        (1,773,803 ) 
Credit Default Swaps      —        (265,918 )      —        (265,918 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  
Total    $     —      $  1,333,087,970     $  101,218      $  1,333,189,188  
  

 

 

     

 

 

    

 

 

     

 

 

  

 

(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.

 

21