UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-02383
AB BOND FUND, INC.
(Exact name of registrant as specified in charter)
1345 Avenue of the Americas, New York, New York 10105
(Address of principal executive offices) (Zip code)
Joseph J. Mantineo
AllianceBernstein L.P.
1345 Avenue of the Americas
New York, New York 10105
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 221-5672
Date of fiscal year end: October 31, 2021
Date of reporting period: April 30, 2021
ITEM 1. REPORTS TO STOCKHOLDERS.
APR 04.30.21
SEMI-ANNUAL REPORT
AB ALL MARKET REAL RETURN PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
FROM THE PRESIDENT |
Dear Shareholder,
We’re pleased to provide this report for the AB All Market Real Return Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
June 9, 2021
This report provides management’s discussion of fund performance for the AB All Market Real Return Portfolio for the semi-annual reporting period ended April 30, 2021.
The Fund’s investment objective is to maximize real return over inflation.
NAV RETURNS AS OF APRIL 30, 2021 (unaudited)
6 Months | 12 Months | |||||||
AB ALL MARKET REAL RETURN PORTFOLIO | ||||||||
Class 1 Shares1 | 32.17% | 44.46% | ||||||
Class 2 Shares1 | 32.39% | 44.80% | ||||||
Class A Shares | 31.99% | 44.22% | ||||||
Class C Shares | 31.63% | 43.23% | ||||||
Advisor Class Shares2 | 32.12% | 44.61% | ||||||
Class R Shares2 | 31.90% | 43.72% | ||||||
Class K Shares2 | 32.06% | 44.28% | ||||||
Class I Shares2 | 32.37% | 44.79% | ||||||
Class Z Shares2 | 32.51% | 44.93% | ||||||
MSCI AC World Commodity Producers Index (net) | 53.18% | 47.02% |
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to the Adviser’s institutional clients or through other limited arrangements. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions.
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its benchmark, the Morgan Stanley Capital International All Country (“MSCI AC”) World Commodity Producers Index (net), for the six- and 12-month periods ended April 30, 2021.
During both periods, all share classes of the Fund underperformed the benchmark, before sales charges. For the six-month period, the strategic allocation detracted overall, relative to the benchmark, as real estate, commodity futures and inflation-sensitive equities underperformed commodity producers. Security selection within real estate investment trusts
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(“REITs”), inflation-sensitive equities and currency selection contributed, while selection in commodity equities detracted. The Fund’s tactical overweight to commodity futures contributed, while tactical allocations to REITs and commodity equities detracted.
For the 12-month period, the strategic allocation to real estate and inflation-sensitive equities detracted, relative to the benchmark, as they underperformed commodity producers, while the allocation to commodity futures contributed positively. Security selection within REITs, inflation-sensitive equities and currency contributed, while selection in commodity equities detracted. The Fund’s tactical overweight to commodity futures contributed, while tactical allocations to REITs and commodity equities detracted.
The Fund utilized derivatives for hedging and investment purposes in the form of futures and inflation swaps, which added to absolute returns for both periods; currency forwards and total return swaps detracted for the six-month period and added for the 12-month period; variance swaps detracted for both periods; for the 12-month period, written options added and purchased options detracted from returns.
MARKET REVIEW AND INVESTMENT STRATEGY
Global equities reached post-pandemic highs, recording strong double-digit returns for the six-month period ended April 30, 2021. Equity markets suffered a brief setback in November, but favorable news about the efficacy of potential coronavirus vaccines offset market volatility. Massive US fiscal and monetary support under the Biden administration and the start of worldwide vaccine distribution further accelerated the global economic recovery. Toward the end of the period, the emergence of inflationary fears precipitated a rise in longer-term interest rates, which pressured the valuations of many market-leading growth stocks, and boosted a rotation into cyclical and value-oriented shares. Despite concern around a potentially overstimulated economy, inflation data remained muted and yields fell back, easing the rotation toward value stocks and dampening volatility. Small-cap stocks substantially outperformed large-cap stocks on a relative basis, and large and small value-style stocks outperformed their growth-style peers significantly.
Global fixed-income market returns were mixed, with elevated volatility and dispersion between regions and credit sectors. Developed-market government bonds fell sharply in all major developed markets except Japan. Historically low interest rates also set the stage for a sharp rebound in risk assets, which began to significantly rise in November. Emerging-market high-yield sovereign bonds, along with emerging- and developed-market high-yield corporates, led significant gains as investors searched for higher yields. Emerging-market local-currency bonds and investment-grade corporate bonds in Europe and emerging markets also had positive
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results. Investment-grade emerging-market sovereign bonds and US corporates had negative returns yet outperformed developed-market treasuries. Securitized assets were negative but outperformed US Treasuries. The US dollar fell against all major developed-market currencies, except the yen, and against most emerging-market currencies. Brent crude oil prices rebounded significantly on the improved global economic outlook and OPEC+ production cuts. In addition, copper advanced strongly due in part to increased demand for infrastructure and green-energy initiatives.
Inflation assets rallied over the six-month period, with natural resource equities, commodities, REITs and inflation breakevens all posting positive returns. The global vaccine rollout and large US stimulus package kept investor sentiment elevated and benefited economically sensitive cyclical stocks. Natural resource stocks outperformed the broader equity market after lagging for much of the COVID-19 crisis. Reassurance from central banks around the world that stimulus measures would remain in place continued to bolster inflation expectations. Commodities also realized positive returns over the period as investors hoped that a speedy vaccine rollout would allow pent-up demand for goods and services to re-enter the market as early as summer 2021. REITs performed in line with the broader equity market, with hard-hit sectors such as retail and lodging outperforming on a relative basis.
The Fund’s Senior Investment Management Team continues to look for sources of value via asset allocation shifts, active security selection, risk overlay strategies and currency management. The Fund uses a blend of quantitative and fundamental research in order to determine overall portfolio risk, allocate risk across major real asset classes and identify idiosyncratic opportunities.
INVESTMENT POLICIES
The Fund seeks to maximize real return. Real return is the rate of return after adjusting for inflation. The Fund pursues an aggressive investment strategy involving a variety of asset classes. The Fund invests primarily in instruments that the Adviser expects to outperform broad equity indices during periods of rising inflation. Under normal circumstances, the Fund expects to invest its assets principally in the following instruments that, in the judgment of the Adviser, are affected directly or indirectly by the level and change in rate of inflation: inflation-indexed fixed-income securities, such as Treasury inflation-protected securities (“TIPS”) and similar bonds issued by governments outside of the United States; commodities; commodity-related equity securities; real estate equity securities; inflation-sensitive equity securities, which the Fund defines as equity securities of companies that
(continued on next page)
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the Adviser believes have the ability to pass along increasing costs to consumers and maintain or grow margins in rising inflation environments, including equity securities of utilities and infrastructure-related companies (“inflation-sensitive equities”); securities and derivatives linked to the price of other assets (such as commodities, stock indices and real estate); and currencies. The Fund expects its investments in fixed-income securities to have a broad range of maturities and quality levels.
The Fund seeks inflation protection from investments around the globe, both in developed- and emerging-market countries. In selecting securities for purchase and sale, the Adviser utilizes its qualitative and quantitative resources to determine overall inflation sensitivity, asset allocation and security selection. The Adviser assesses the securities’ risks and inflation sensitivity as well as the securities’ impact on the overall risks and inflation sensitivity of the Fund. When its analysis indicates that changes are necessary, the Adviser intends to implement them through a combination of changes to underlying positions and the use of inflation swaps and other types of derivatives, such as interest rate swaps.
The Fund anticipates that its targeted investment mix, other than its investments in inflation-indexed fixed-income securities, will focus on commodity-related equity securities, commodities and commodity derivatives, real estate equity securities and inflation-sensitive equities to provide a balance between expected return and inflation protection. The Fund may vary its investment allocations among these asset classes, at times significantly. Its commodities investments will include significant exposure to energy commodities, but will also include agricultural products, and industrial and precious metals, such as gold. The Fund’s investments in real estate equity securities will include REITs and other real estate-related securities.
The Fund invests in both US and non-US dollar-denominated equity or fixed-income securities. The Fund may invest in currencies for hedging or investment purposes, both in the spot market and through long or short positions in currency-related derivatives. The Fund does not ordinarily expect to hedge its foreign currency exposure because it will be balanced by investments in US dollar-denominated securities, although it may hedge the exposure under certain circumstances.
The Fund may enter into derivatives, such as options, futures contracts, forwards, swaps or structured notes, to a significant extent, subject to the limits of applicable law. The Fund intends to use leverage for investment purposes through the use of cash made available
(continued on next page)
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by derivatives transactions to make other investments in accordance with its investment policies. In determining when and to what extent to employ leverage or enter into derivatives transactions, the Adviser considers factors such as the relative risks and returns expected of potential investments and the cost of such transactions. The Adviser considers the impact of derivatives in making its assessments of the Fund’s risks. The resulting exposures to markets, sectors, issuers or specific securities will be continuously monitored by the Adviser.
The Fund may seek to gain exposure to physical commodities traded in the commodities markets through use of a variety of derivative instruments, including investments in commodity index-linked notes. The Adviser expects that the Fund will seek to gain exposure to commodities and commodity-related instruments and derivatives primarily through investments in AllianceBernstein Cayman Inflation Strategy, Ltd., a wholly owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The Subsidiary is advised by the Adviser and has the same investment objective and substantially similar investment policies and restrictions as the Fund except that the Subsidiary, unlike the Fund, may invest, without limitation, in commodities and commodity-related instruments. The Fund is subject to the risks associated with the commodities, derivatives and other instruments in which the Subsidiary invests, to the extent of its investment in the Subsidiary. The Fund limits its investment in the Subsidiary to no more than 25% of its net assets. Investment in the Subsidiary is expected to provide the Fund with commodity exposure within the limitations of federal tax requirements that apply to the Fund.
The Fund is “non-diversified”, which means that it may concentrate its assets in a smaller number of issuers than a diversified fund.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The MSCI AC World Commodity Producers Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The MSCI AC World Commodity Producers Index is a free float-adjusted, market capitalization index designed to track the performance of global listed commodity producers, including emerging markets. Commodities sectors include: energy, grains, industrial metals, petroleum, precious metals and softs. MSCI makes no express or implied warranties or representations, and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices, any securities or financial products. This report is not approved, reviewed or produced by MSCI. Net returns include the reinvestment of dividends after deduction of non-US withholding tax. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the stock, commodity and bond markets fluctuate. The value of the Fund’s investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
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DISCLOSURES AND RISKS (continued)
Commodity Risk: Investing in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (“NAV”) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Foreign fixed-income securities may have more illiquid investments risk because secondary trading markets for these securities may be smaller and less well-developed and the securities may trade less frequently. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally go down.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Subsidiary Risk: By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and, unless otherwise noted in the Fund’s prospectus, is not subject to all of the investor protections of the
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DISCLOSURES AND RISKS (continued)
1940 Act. However, the Fund wholly owns and controls the Subsidiary, and the Fund and the Subsidiary are managed by the Adviser, making it unlikely the Subsidiary will take actions contrary to the interests of the Fund or its shareholders.
Real Estate Risk: The Fund’s investments in real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
Non-Diversification Risk: The Fund may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Fund’s NAV.
Active Trading Risk: The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Fund’s return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com. For Class 1 shares, go to www.bernstein.com
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DISCLOSURES AND RISKS (continued)
and click on “Investments”, found in the footer, then “Mutual Fund Information—Mutual Fund Performance at a Glance.”
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com. For Class 1 shares, go to www.bernstein.com, click on “Investments”, found in the footer, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports.” Please read the prospectus and/or summary prospectus carefully before investing.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2021 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS 1 SHARES1 | ||||||||
1 Year | 44.46% | 44.46% | ||||||
5 Years | 6.42% | 6.42% | ||||||
10 Years | -0.48% | -0.48% | ||||||
CLASS 2 SHARES1 | ||||||||
1 Year | 44.80% | 44.80% | ||||||
5 Years | 6.71% | 6.71% | ||||||
10 Years | -0.23% | -0.23% | ||||||
CLASS A SHARES | ||||||||
1 Year | 44.22% | 38.12% | ||||||
5 Years | 6.23% | 5.31% | ||||||
10 Years | -0.62% | -1.05% | ||||||
CLASS C SHARES | ||||||||
1 Year | 43.23% | 42.23% | ||||||
5 Years | 5.44% | 5.44% | ||||||
10 Years2 | -1.34% | -1.34% | ||||||
ADVISOR CLASS SHARES3 | ||||||||
1 Year | 44.61% | 44.61% | ||||||
5 Years | 6.50% | 6.50% | ||||||
10 Years | -0.35% | -0.35% | ||||||
CLASS R SHARES3 | ||||||||
1 Year | 43.72% | 43.72% | ||||||
5 Years | 5.96% | 5.96% | ||||||
10 Years | -0.86% | -0.86% | ||||||
CLASS K SHARES3 | ||||||||
1 Year | 44.28% | 44.28% | ||||||
5 Years | 6.24% | 6.24% | ||||||
10 Years | -0.59% | -0.59% | ||||||
CLASS I SHARES3 | ||||||||
1 Year | 44.79% | 44.79% | ||||||
5 Years | 6.68% | 6.68% | ||||||
10 Years | -0.25% | -0.25% | ||||||
CLASS Z SHARES3 | ||||||||
1 Year | 44.93% | 44.93% | ||||||
5 Years | 6.70% | 6.70% | ||||||
Since Inception4 | 1.49% | 1.49% |
(footnotes continued on next page)
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HISTORICAL PERFORMANCE (continued)
The Fund’s prospectus fee table shows the Fund’s total annual operating expense ratios as 1.15%, 0.88%, 1.44%, 2.19%, 1.18%, 1.64%, 1.33%, 0.91% and 0.90% for Class 1, Class 2, Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Fund’s annual operating expense ratios, exclusive of extraordinary expenses, interest expense, and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, brokerage commissions and other transaction costs, to 1.30%, 2.05%, 1.05%, 1.55%, 1.30%, 1.05% and 1.05% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2022 and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to the Adviser’s institutional clients or through other limited arrangements. |
2 | Assumes conversion of Class C shares into Class A shares after 10 years. |
3 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
4 | Inception date: 1/31/2014. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2021 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS 1 SHARES1 | ||||
1 Year | 46.86% | |||
5 Years | 6.73% | |||
10 Years | -0.65% | |||
CLASS 2 SHARES1 | ||||
1 Year | 47.22% | |||
5 Years | 7.02% | |||
10 Years | -0.40% | |||
CLASS A SHARES | ||||
1 Year | 40.43% | |||
5 Years | 5.62% | |||
10 Years | -1.22% | |||
CLASS C SHARES | ||||
1 Year | 44.43% | |||
5 Years | 5.74% | |||
10 Years2 | -1.51% | |||
ADVISOR CLASS SHARES3 | ||||
1 Year | 46.83% | |||
5 Years | 6.79% | |||
10 Years | -0.52% | |||
CLASS R SHARES3 | ||||
1 Year | 46.06% | |||
5 Years | 6.26% | |||
10 Years | -1.03% | |||
CLASS K SHARES3 | ||||
1 Year | 46.68% | |||
5 Years | 6.56% | |||
10 Years | -0.76% | |||
CLASS I SHARES3 | ||||
1 Year | 47.40% | |||
5 Years | 7.02% | |||
10 Years | -0.42% | |||
CLASS Z SHARES3 | ||||
1 Year | 47.17% | |||
5 Years | 7.02% | |||
Since Inception4 | 0.77% |
(footnotes continued on next page)
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HISTORICAL PERFORMANCE (continued)
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to the Adviser’s institutional clients or through other limited arrangements. |
2 | Assumes conversion of Class C shares into Class A shares after 10 years. |
3 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
4 | Inception date: 1/31/2014. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of a mutual fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 15 |
EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Expenses Paid During Period* | Annualized Expense Ratio* | Total Expenses Paid During Period+ | Total Annualized Expense Ratio+ | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,319.90 | $ | 7.42 | 1.29 | % | $ | 7.59 | 1.32 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.40 | $ | 6.46 | 1.29 | % | $ | 6.61 | 1.32 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,316.30 | $ | 11.72 | 2.04 | % | $ | 11.89 | 2.07 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,014.68 | $ | 10.19 | 2.04 | % | $ | 10.34 | 2.07 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,321.20 | $ | 5.99 | 1.04 | % | $ | 6.16 | 1.07 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.64 | $ | 5.21 | 1.04 | % | $ | 5.36 | 1.07 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,319.00 | $ | 8.85 | 1.54 | % | $ | 9.03 | 1.57 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.16 | $ | 7.70 | 1.54 | % | $ | 7.85 | 1.57 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,320.60 | $ | 7.25 | 1.26 | % | $ | 7.48 | 1.30 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.55 | $ | 6.31 | 1.26 | % | $ | 6.51 | 1.30 | % | ||||||||||||
Class I | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,323.70 | $ | 4.90 | 0.85 | % | $ | 5.07 | 0.88 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.58 | $ | 4.26 | 0.85 | % | $ | 4.41 | 0.88 | % | ||||||||||||
Class 1 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,321.70 | $ | 6.27 | 1.09 | % | $ | 6.45 | 1.12 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.39 | $ | 5.46 | 1.09 | % | $ | 5.61 | 1.12 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,323.90 | $ | 4.90 | 0.85 | % | $ | 5.07 | 0.88 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.58 | $ | 4.26 | 0.85 | % | $ | 4.41 | 0.88 | % | ||||||||||||
Class Z | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,325.10 | $ | 4.84 | 0.84 | % | $ | 5.02 | 0.87 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.63 | $ | 4.21 | 0.84 | % | $ | 4.36 | 0.87 | % |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Fund’s investments in affiliated/unaffiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated/unaffiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Fund’s total expenses are equal to the classes’ annualized expense ratio plus the Fund’s pro rata share of the weighted average expense ratio of the affiliated/unaffiliated underlying portfolios in which it invests, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
16 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
PORTFOLIO SUMMARY
April 30, 2021 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,197.2
1 | All data are as of April 30, 2021. The portfolio breakdown is expressed as an approximate percentage of the Fund’s net assets inclusive of derivative exposure, based on the Adviser’s internal classification guidelines. |
2 | The Fund’s security type breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Consolidated Portfolio of Investments” section of the report for additional details). |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 17 |
PORTFOLIO SUMMARY (continued)
April 30, 2021 (unaudited)
TEN LARGEST HOLDINGS2
Company | U.S. $ Value | Percent of Net Assets | ||||||
Royal Dutch Shell PLC – Class B | $ | 26,952,945 | 2.3 | % | ||||
iShares Global Energy ETF | 25,765,137 | 2.2 | ||||||
Prologis, Inc. | 20,691,183 | 1.7 | ||||||
iShares MSCI Global Metals & Mining Producers ETF | 19,245,056 | 1.6 | ||||||
BP PLC | 13,670,552 | 1.1 | ||||||
Digital Realty Trust, Inc. | 12,412,696 | 1.0 | ||||||
Chevron Corp. | 12,117,115 | 1.0 | ||||||
Mitsui Fudosan Co., Ltd. | 11,941,392 | 1.0 | ||||||
Welltower, Inc. | 10,442,675 | 0.9 | ||||||
Simon Property Group, Inc. | 10,421,187 | 0.9 | ||||||
$ | 163,659,938 | 13.7 | % |
1 | All data are as of April 30, 2021. The Fund’s country breakdown is expressed as a percentage of total investments (excluding security lending collateral) and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Consolidated Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.8% or less in the following: Austria, Belgium, Chile, Denmark, Finland, Greece, India, Ireland, Israel, Luxembourg, Mexico, Netherlands, New Zealand, Norway, Philippines, Russia, Singapore, South Korea, Sweden, Switzerland, Taiwan, Thailand and United Arab Emirates. |
2 | Long-term investments. |
18 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS
April 30, 2021 (unaudited)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
COMMON STOCKS – 72.0% |
| |||||||
Real Estate – 34.4% |
| |||||||
Diversified Real Estate Activities – 2.5% |
| |||||||
Mitsubishi Estate Co., Ltd. | 150,600 | $ | 2,478,708 | |||||
Mitsui Fudosan Co., Ltd. | 549,300 | 11,941,392 | ||||||
New World Development Co., Ltd. | 835,750 | 4,422,512 | ||||||
Sumitomo Realty & Development Co., Ltd. | 50,600 | 1,689,074 | ||||||
Sun Hung Kai Properties Ltd. | 486,000 | 7,310,583 | ||||||
UOL Group Ltd. | 329,700 | 1,902,425 | ||||||
|
| |||||||
29,744,694 | ||||||||
|
| |||||||
Diversified REITs – 3.0% |
| |||||||
Alexander & Baldwin, Inc. | 112,690 | 2,065,608 | ||||||
Armada Hoffler Properties, Inc. | 150,043 | 2,045,086 | ||||||
Broadstone Net Lease, Inc. | 80,450 | 1,623,481 | ||||||
Cofinimmo SA | 12,250 | 1,878,087 | ||||||
Daiwa House REIT Investment Corp. | 1,583 | 4,239,595 | ||||||
Essential Properties Realty Trust, Inc. | 198,070 | 5,187,453 | ||||||
Fibra Uno Administracion SA de CV | 991,230 | 1,223,318 | ||||||
Growthpoint Properties Ltd. | 1,440,142 | 1,441,880 | ||||||
ICADE | 26,520 | 2,063,733 | ||||||
Land Securities Group PLC | 297,780 | 2,967,394 | ||||||
Merlin Properties Socimi SA | 362,400 | 4,005,370 | ||||||
Nomura Real Estate Master Fund, Inc. | 987 | 1,559,516 | ||||||
Stockland | 1,690,396 | 6,091,635 | ||||||
|
| |||||||
36,392,156 | ||||||||
|
| |||||||
Health Care REITs – 2.3% |
| |||||||
Medical Properties Trust, Inc. | 304,150 | 6,706,508 | ||||||
Omega Healthcare Investors, Inc. | 155,396 | 5,905,048 | ||||||
Physicians Realty Trust | 233,286 | 4,369,447 | ||||||
Welltower, Inc. | 139,180 | 10,442,675 | ||||||
|
| |||||||
27,423,678 | ||||||||
|
| |||||||
Hotel & Resort REITs – 0.8% |
| |||||||
Apple Hospitality REIT, Inc. | 150,250 | 2,382,965 | ||||||
Park Hotels & Resorts, Inc.(a) | 190,780 | 4,256,302 | ||||||
RLJ Lodging Trust | 155,140 | 2,503,959 | ||||||
|
| |||||||
9,143,226 | ||||||||
|
| |||||||
Industrial REITs – 4.4% |
| |||||||
Americold Realty Trust | 125,390 | 5,064,502 | ||||||
Ascendas Real Estate Investment Trust | 832,700 | 1,940,456 | ||||||
Dream Industrial Real Estate Investment Trust | 194,124 | 2,152,634 | ||||||
GLP J-Reit | 1,693 | 2,837,932 | ||||||
Industrial & Infrastructure Fund Investment Corp. | 1,353 | 2,449,907 | ||||||
Mitsui Fudosan Logistics Park, Inc. | 403 | 2,085,837 | ||||||
Plymouth Industrial REIT, Inc. | 54,286 | 1,011,891 | ||||||
Prologis, Inc. | 177,561 | 20,691,183 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 19 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Rexford Industrial Realty, Inc. | 91,090 | $ | 5,060,050 | |||||
Segro PLC | 358,812 | 4,984,823 | ||||||
STAG Industrial, Inc.(b) | 129,980 | 4,745,570 | ||||||
|
| |||||||
53,024,785 | ||||||||
|
| |||||||
Office REITs – 3.2% |
| |||||||
Alexandria Real Estate Equities, Inc. | 50,191 | 9,089,590 | ||||||
Allied Properties Real Estate Investment Trust | 77,560 | 2,691,237 | ||||||
alstria office REIT-AG | 110,470 | 1,977,942 | ||||||
Boston Properties, Inc. | 46,710 | 5,107,738 | ||||||
Cousins Properties, Inc. | 133,735 | 4,904,062 | ||||||
Daiwa Office Investment Corp. | 284 | 2,052,240 | ||||||
Japan Prime Realty Investment Corp. | 525 | 2,131,194 | ||||||
Kilroy Realty Corp. | 61,240 | 4,197,390 | ||||||
Nippon Building Fund, Inc. | 670 | 4,397,203 | ||||||
Orix JREIT, Inc. | 429 | 756,745 | ||||||
True North Commercial Real Estate Investment Trust | 146,620 | 849,314 | ||||||
|
| |||||||
38,154,655 | ||||||||
|
| |||||||
Real Estate Development – 2.7% |
| |||||||
China Resources Land Ltd. | 1,284,000 | 6,011,779 | ||||||
CIFI Holdings Group Co., Ltd. | 6,620,000 | 5,914,544 | ||||||
CK Asset Holdings Ltd. | 317,000 | 1,984,615 | ||||||
Emaar Properties PJSC | 1,560,120 | 1,575,076 | ||||||
Instone Real Estate Group AG(a)(c) | 102,789 | 3,056,263 | ||||||
Megaworld Corp. | 17,716,000 | 1,156,667 | ||||||
Midea Real Estate Holding Ltd.(b)(c) | 2,554,000 | 5,810,843 | ||||||
Times China Holdings Ltd. | 4,535,000 | 6,454,637 | ||||||
|
| |||||||
31,964,424 | ||||||||
|
| |||||||
Real Estate Operating Companies – 3.6% | ||||||||
ADLER Group SA(a)(c) | 138,380 | 4,087,067 | ||||||
Aroundtown SA | 461,500 | 3,553,600 | ||||||
CA Immobilien Anlagen AG | 64,239 | 2,815,121 | ||||||
Central Pattana PCL | 421,300 | 706,959 | ||||||
CTP NV(a)(c) | 118,359 | 1,999,274 | ||||||
Deutsche Wohnen SE | 153,960 | 8,329,026 | ||||||
Fastighets AB Balder – Class B(a)(b) | 78,850 | 4,543,172 | ||||||
Grainger PLC | 651,620 | 2,572,408 | ||||||
Hulic Co., Ltd. | 176,200 | 2,010,186 | ||||||
Kojamo Oyj | 94,380 | 2,043,898 | ||||||
LEG Immobilien SE | 35,330 | 4,915,647 | ||||||
Shurgard Self Storage SA | 25,950 | 1,207,220 | ||||||
SM Prime Holdings, Inc. | 1,497,400 | 1,070,229 | ||||||
Swire Properties Ltd. | 661,000 | 1,972,524 | ||||||
Wharf Real Estate Investment Co., Ltd. | 236,000 | 1,356,299 | ||||||
|
| |||||||
43,182,630 | ||||||||
|
|
20 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Real Estate Services – 0.0% |
| |||||||
FirstService Corp. | 1,525 | $ | 247,717 | |||||
|
| |||||||
Residential REITs – 5.5% |
| |||||||
American Campus Communities, Inc. | 112,580 | 5,089,742 | ||||||
American Homes 4 Rent – Class A | 188,450 | 6,980,188 | ||||||
Bluerock Residential Growth REIT, Inc. | 80,910 | 767,027 | ||||||
Comforia Residential REIT, Inc. | 685 | 2,195,080 | ||||||
Daiwa Securities Living Investments Corp. | 2,130 | 2,185,938 | ||||||
Equity Residential | 5,540 | 411,234 | ||||||
Essex Property Trust, Inc. | 28,400 | 8,250,768 | ||||||
Independence Realty Trust, Inc. | 290,400 | 4,890,336 | ||||||
Invitation Homes, Inc. | 178,360 | 6,253,302 | ||||||
Killam Apartment Real Estate Investment Trust | 296,860 | 4,574,322 | ||||||
Mid-America Apartment Communities, Inc. | 46,640 | 7,337,871 | ||||||
Minto Apartment Real Estate Investment Trust(c) | 135,080 | 2,400,152 | ||||||
Sun Communities, Inc. | 53,407 | 8,909,890 | ||||||
UDR, Inc. | 129,020 | 5,992,979 | ||||||
|
| |||||||
66,238,829 | ||||||||
|
| |||||||
Retail REITs – 3.7% |
| |||||||
AEON REIT Investment Corp. | 1,201 | 1,651,452 | ||||||
Brixmor Property Group, Inc. | 279,200 | 6,237,328 | ||||||
CapitaLand Integrated Commercial Trust | 1,992,260 | 3,214,239 | ||||||
Eurocommercial Properties NV(a) | 131,000 | 3,388,649 | ||||||
Link REIT | 579,901 | 5,470,240 | ||||||
Mercialys SA | 149,465 | 1,912,526 | ||||||
NETSTREIT Corp. | 126,896 | 2,643,244 | ||||||
Simon Property Group, Inc. | 85,602 | 10,421,187 | ||||||
SITE Centers Corp. | 352,870 | 5,204,832 | ||||||
Vicinity Centres(b) | 3,546,540 | 4,334,075 | ||||||
|
| |||||||
44,477,772 | ||||||||
|
| |||||||
Specialized REITs – 2.7% |
| |||||||
CubeSmart | 129,690 | 5,491,075 | ||||||
Digital Realty Trust, Inc. | 80,440 | 12,412,696 | ||||||
EPR Properties(a) | 49,810 | 2,376,435 | ||||||
MGM Growth Properties LLC – Class A | 122,436 | 4,410,145 | ||||||
National Storage Affiliates Trust | 111,200 | 5,052,928 | ||||||
Safestore Holdings PLC | 214,090 | 2,517,621 | ||||||
|
| |||||||
32,260,900 | ||||||||
|
| |||||||
412,255,466 | ||||||||
|
| |||||||
Energy – 9.2% |
| |||||||
Integrated Oil & Gas – 7.5% |
| |||||||
BP PLC | 3,265,510 | 13,670,552 | ||||||
Chevron Corp. | 117,562 | 12,117,115 | ||||||
Exxon Mobil Corp. | 107,464 | 6,151,239 | ||||||
LUKOIL PJSC (Sponsored ADR) | 36,639 | 2,829,996 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 21 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
OMV AG | 31,068 | $ | 1,527,255 | |||||
PetroChina Co., Ltd. – Class H | 14,658,000 | 5,302,797 | ||||||
Petroleo Brasileiro SA (Preference Shares) | 1,061,300 | 4,614,815 | ||||||
Repsol SA | 565,749 | 6,752,940 | ||||||
Royal Dutch Shell PLC – Class A | 26,890 | 505,969 | ||||||
Royal Dutch Shell PLC – Class B | 1,506,285 | 26,952,945 | ||||||
TOTAL SE | 219,724 | 9,711,308 | ||||||
|
| |||||||
90,136,931 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.0% | ||||||||
Baker Hughes Co. – Class A | 15,222 | 305,658 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.1% | ||||||||
Aker BP ASA | 188,683 | 5,373,551 | ||||||
Canadian Natural Resources Ltd. | 11,414 | 346,464 | ||||||
EOG Resources, Inc. | 78,631 | 5,790,387 | ||||||
Pioneer Natural Resources Co. | 5,283 | 812,684 | ||||||
Woodside Petroleum Ltd. | 5,348 | 93,272 | ||||||
|
| |||||||
12,416,358 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.5% | ||||||||
ENEOS Holdings, Inc. | 954,000 | 4,103,072 | ||||||
Gevo, Inc.(a)(b) | 38,355 | 260,047 | ||||||
Idemitsu Kosan Co., Ltd. | 14,600 | 349,173 | ||||||
Neste Oyj | 2,168 | 131,101 | ||||||
Parkland Corp./Canada(b) | 17,322 | 556,378 | ||||||
Renewable Energy Group, Inc.(a) | 3,531 | 196,041 | ||||||
Valero Energy Corp. | 5,634 | 416,691 | ||||||
VERBIO Vereinigte BioEnergie AG | 3,923 | 197,848 | ||||||
|
| |||||||
6,210,351 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.1% | ||||||||
Cheniere Energy, Inc.(a) | 9,525 | 738,378 | ||||||
|
| |||||||
109,807,676 | ||||||||
|
| |||||||
Materials – 9.0% |
| |||||||
Aluminum – 0.3% |
| |||||||
Alcoa Corp.(a) | 92,121 | 3,375,313 | ||||||
|
| |||||||
Commodity Chemicals – 0.7% |
| |||||||
Beijing Sanju Environmental Protection and New Material Co., Ltd. | 346,585 | 285,163 | ||||||
Corteva, Inc. | 81,000 | 3,949,560 | ||||||
Ecopro Co., Ltd.(d)(e) | 3,170 | 213,167 | ||||||
Guangzhou Tinci Materials Technology Co., Ltd. | 19,040 | 197,226 | ||||||
Kuraray Co., Ltd. | 30,600 | 332,628 | ||||||
LG Chem Ltd. | 205 | 171,131 | ||||||
Mitsubishi Chemical Holdings Corp. | 60,600 | 451,136 | ||||||
Mitsui Chemicals, Inc. | 22,200 | 698,855 |
22 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Orbia Advance Corp. SAB de CV | 802,015 | $ | 2,243,282 | |||||
W-Scope Corp.(a) | 22,500 | 142,310 | ||||||
|
| |||||||
8,684,458 | ||||||||
|
| |||||||
Construction Materials – 0.6% |
| |||||||
Breedon Group PLC(a) | 1,388,180 | 1,978,494 | ||||||
Buzzi Unicem SpA | 80,150 | 2,138,553 | ||||||
CSR Ltd. | 39,165 | 179,869 | ||||||
Fletcher Building Ltd. | 420,820 | 2,187,809 | ||||||
Grupo Cementos de Chihuahua SAB de CV | 210,117 | 1,482,239 | ||||||
|
| |||||||
7,966,964 | ||||||||
|
| |||||||
Copper – 0.6% |
| |||||||
Antofagasta PLC | 35,236 | 907,684 | ||||||
First Quantum Minerals Ltd. | 125,091 | 2,883,154 | ||||||
Freeport-McMoRan, Inc. | 5,841 | 220,264 | ||||||
Lundin Mining Corp. | 160,851 | 1,943,324 | ||||||
OZ Minerals Ltd. | 63,874 | 1,165,326 | ||||||
|
| |||||||
7,119,752 | ||||||||
|
| |||||||
Diversified Chemicals – 0.1% |
| |||||||
Daicel Corp. | 43,800 | 338,444 | ||||||
Kemira Oyj | 11,637 | 190,089 | ||||||
LANXESS AG | 8,638 | 635,691 | ||||||
|
| |||||||
1,164,224 | ||||||||
|
| |||||||
Diversified Metals & Mining – 2.5% | ||||||||
Anglo American PLC | 197,212 | 8,361,873 | ||||||
BHP Group Ltd. | 12,868 | 468,342 | ||||||
China Molybdenum Co., Ltd. | 270,000 | 182,373 | ||||||
Ganfeng Lithium Co., Ltd. | 11,700 | 196,062 | ||||||
GEM Co., Ltd. | 128,500 | 197,230 | ||||||
Glencore PLC(a) | 2,262,259 | 9,215,133 | ||||||
MMC Norilsk Nickel PJSC (ADR) | 55,974 | 1,912,072 | ||||||
Nanjing Hanrui Cobalt Co., Ltd. | 16,800 | 189,433 | ||||||
Orocobre Ltd.(a)(b) | 181,296 | 933,702 | ||||||
Rio Tinto PLC | 105,404 | 8,828,340 | ||||||
Zhejiang Huayou Cobalt Co., Ltd.(a) | 17,000 | 213,207 | ||||||
|
| |||||||
30,697,767 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.2% | ||||||||
CF Industries Holdings, Inc. | 42,440 | 2,063,857 | ||||||
|
| |||||||
Gold – 1.2% |
| |||||||
Agnico Eagle Mines Ltd. | 106,622 | 6,663,712 | ||||||
AngloGold Ashanti Ltd. | 157,011 | 3,238,704 | ||||||
Northern Star Resources Ltd. | 94,964 | 762,982 | ||||||
Polyus PJSC (GDR)(c) | 18,629 | 1,717,871 | ||||||
Regis Resources Ltd. | 431,024 | 859,273 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 23 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
St. Barbara Ltd. | 632,957 | $ | 894,626 | |||||
|
| |||||||
14,137,168 | ||||||||
|
| |||||||
Industrial Gases – 0.1% |
| |||||||
Air Liquide SA | 1,752 | 295,041 | ||||||
Air Products and Chemicals, Inc. | 797 | 229,919 | ||||||
Linde PLC | 1,066 | 304,705 | ||||||
|
| |||||||
829,665 | ||||||||
|
| |||||||
Paper Packaging – 0.1% |
| |||||||
Sealed Air Corp. | 17,312 | 855,213 | ||||||
Smurfit Kappa Group PLC | 8,011 | 409,524 | ||||||
|
| |||||||
1,264,737 | ||||||||
|
| |||||||
Paper Products – 0.4% |
| |||||||
Stora Enso Oyj – Class R | 87,810 | 1,680,021 | ||||||
Suzano SA(a) | 243,500 | 3,078,238 | ||||||
|
| |||||||
4,758,259 | ||||||||
|
| |||||||
Precious Metals & Minerals – 0.1% | ||||||||
Industrias Penoles SAB de CV(a) | 51,032 | 655,579 | ||||||
|
| |||||||
Specialty Chemicals – 0.6% |
| |||||||
Albemarle Corp. | 1,067 | 179,437 | ||||||
Beijing Easpring Material Technology Co., Ltd.(a) | 16,300 | 126,718 | ||||||
Chr Hansen Holding A/S(a) | 389 | 35,713 | ||||||
Covestro AG(c) | 28,751 | 1,880,298 | ||||||
Danimer Scientific, Inc.(a)(b) | 9,705 | 247,963 | ||||||
Ecolab, Inc. | 1,185 | 265,582 | ||||||
Evonik Industries AG | 64,864 | 2,270,827 | ||||||
IMCD NV | 1,376 | 199,863 | ||||||
Johnson Matthey PLC | 3,912 | 175,549 | ||||||
Koninklijke DSM NV | 1,290 | 231,297 | ||||||
Livent Corp.(a) | 8,839 | 159,279 | ||||||
Novozymes A/S – Class B | 1,148 | 81,419 | ||||||
Shanghai Putailai New Energy Technology Co., Ltd. | 14,560 | 181,712 | ||||||
Shenzhen Capchem Technology Co., Ltd. | 14,200 | 168,316 | ||||||
Sika AG | 1,420 | 424,101 | ||||||
Symrise AG | 1,169 | 150,959 | ||||||
Umicore SA | 15,022 | 912,776 | ||||||
Wacker Chemie AG | 1,292 | 194,859 | ||||||
|
| |||||||
7,886,668 | ||||||||
|
| |||||||
Steel – 1.5% |
| |||||||
APERAM SA | 65,641 | 3,397,410 | ||||||
ArcelorMittal SA(a) | 153,762 | 4,469,956 | ||||||
Commercial Metals Co. | 9,053 | 264,529 | ||||||
Evraz PLC | 162,837 | 1,444,091 | ||||||
Fortescue Metals Group Ltd. | 50,051 | 865,948 | ||||||
Steel Dynamics, Inc. | 7,620 | 413,156 |
24 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Vale SA (Sponsored ADR) – Class B | 336,950 | $ | 6,779,434 | |||||
|
| |||||||
17,634,524 | ||||||||
|
| |||||||
108,238,935 | ||||||||
|
| |||||||
Capital Goods – 2.7% |
| |||||||
Aerospace & Defense – 0.0% |
| |||||||
Hexcel Corp.(a) | 3,558 | 200,707 | ||||||
Huntington Ingalls Industries, Inc. | 302 | 64,121 | ||||||
|
| |||||||
264,828 | ||||||||
|
| |||||||
Agricultural & Farm Machinery – 0.1% | ||||||||
Lindsay Corp. | 1,330 | 220,488 | ||||||
Toro Co. (The) | 1,827 | 209,374 | ||||||
|
| |||||||
429,862 | ||||||||
|
| |||||||
Building Products – 0.4% |
| |||||||
A O Smith Corp. | 2,807 | 190,174 | ||||||
Carrier Global Corp. | 30,016 | 1,308,097 | ||||||
Cie de Saint-Gobain(a) | 17,419 | 1,099,054 | ||||||
Johnson Controls International PLC | 4,652 | 290,006 | ||||||
Kingspan Group PLC | 2,058 | 183,049 | ||||||
Lennox International, Inc. | 788 | 264,248 | ||||||
Masco Corp. | 14,079 | 899,366 | ||||||
Nibe Industrier AB | 3,581 | 130,782 | ||||||
Owens Corning | 3,331 | 322,474 | ||||||
ROCKWOOL International A/S | 301 | 134,637 | ||||||
Xinyi Glass Holdings Ltd. | 102,000 | 361,386 | ||||||
|
| |||||||
5,183,273 | ||||||||
|
| |||||||
Construction & Engineering – 0.1% |
| |||||||
Arcosa, Inc. | 4,372 | 263,588 | ||||||
Shimizu Corp. | 114,900 | 941,500 | ||||||
|
| |||||||
1,205,088 | ||||||||
|
| |||||||
Construction & Farm Machinery & Heavy Trucks – 0.2% | ||||||||
Cummins, Inc. | 959 | 241,706 | ||||||
Volvo AB – Class B(b) | 65,570 | 1,601,257 | ||||||
|
| |||||||
1,842,963 | ||||||||
|
| |||||||
Electrical Components & Equipment – 0.8% | ||||||||
ABB Ltd. | 7,849 | 254,952 | ||||||
Acuity Brands, Inc. | 9,344 | 1,733,499 | ||||||
Advent Technologies Holdings, Inc.(a)(b) | 21,217 | 255,028 | ||||||
AFC Energy PLC(a)(b) | 173,400 | 161,757 | ||||||
Amara Raja Batteries Ltd. | 15,241 | 166,088 | ||||||
Ballard Power Systems, Inc.(a)(b) | 13,018 | 284,264 | ||||||
Camel Group Co., Ltd. | 126,000 | 232,504 | ||||||
Ceres Power Holdings PLC(a) | 8,100 | 149,690 | ||||||
Contemporary Amperex Technology Co., Ltd. | 3,600 | 216,338 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 25 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
EnerSys | 2,615 | $ | 239,482 | |||||
Eve Energy Co., Ltd. | 15,500 | 211,062 | ||||||
First Solar, Inc.(a) | 5,397 | 413,032 | ||||||
FuelCell Energy, Inc.(a) | 17,436 | 169,304 | ||||||
Gotion High-tech Co., Ltd.(a) | 36,500 | 194,987 | ||||||
GS Yuasa Corp. | 5,300 | 143,464 | ||||||
Hubbell, Inc. | 1,819 | 349,266 | ||||||
Legrand SA | 1,586 | 154,381 | ||||||
Nexans SA(a) | 2,646 | 217,309 | ||||||
nVent Electric PLC | 12,144 | 369,785 | ||||||
Plug Power, Inc.(a) | 6,611 | 188,480 | ||||||
PowerCell Sweden AB(a)(b) | 4,042 | 104,066 | ||||||
Prysmian SpA | 29,979 | 937,940 | ||||||
Rockwell Automation, Inc. | 6,497 | 1,716,897 | ||||||
Schneider Electric SE | 1,095 | 174,714 | ||||||
Signify NV(a)(b)(c) | 5,424 | 308,024 | ||||||
SMA Solar Technology AG(a) | 3,763 | 215,145 | ||||||
Sunrun, Inc.(a) | 6,389 | 313,061 | ||||||
|
| |||||||
9,874,519 | ||||||||
|
| |||||||
Heavy Electrical Equipment – 0.3% | ||||||||
Bloom Energy Corp.(a)(b) | 8,048 | 209,007 | ||||||
CS Wind Corp. | 2,142 | 147,156 | ||||||
ITM Power PLC(a) | 22,021 | 158,157 | ||||||
Ming Yang Smart Energy Group Ltd. | 60,100 | 163,767 | ||||||
NARI Technology Co., Ltd. | 36,300 | 178,766 | ||||||
NEL ASA(a) | 41,888 | 121,283 | ||||||
Nordex SE(a) | 6,346 | 183,218 | ||||||
Siemens Energy AG(a) | 9,411 | 314,769 | ||||||
Siemens Gamesa Renewable Energy SA(b) | 5,517 | 199,273 | ||||||
TPI Composites, Inc.(a) | 3,889 | 206,700 | ||||||
Unison Co., Ltd./South Korea(a) | 49,039 | 179,116 | ||||||
Vestas Wind Systems A/S | 33,550 | 1,400,493 | ||||||
Xinjiang Goldwind Science & Technology Co., Ltd. – Class H(b) | 88,800 | 146,313 | ||||||
|
| |||||||
3,608,018 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.1% | ||||||||
General Electric Co. | 24,763 | 324,891 | ||||||
Honeywell International, Inc. | 510 | 113,750 | ||||||
Roper Technologies, Inc. | 832 | 371,438 | ||||||
|
| |||||||
810,079 | ||||||||
|
| |||||||
Industrial Machinery – 0.6% |
| |||||||
Chart Industries, Inc.(a) | 2,041 | 327,846 | ||||||
China Conch Venture Holdings Ltd. | 21,000 | 99,084 | ||||||
Energy Recovery, Inc.(a) | 11,738 | 248,846 | ||||||
Evoqua Water Technologies Corp.(a) | 9,276 | 265,108 | ||||||
GEA Group AG | 4,467 | 196,166 | ||||||
John Bean Technologies Corp. | 1,791 | 260,376 | ||||||
Kurita Water Industries Ltd. | 2,000 | 92,369 |
26 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
McPhy Energy SA(a) | 3,753 | $ | 136,146 | |||||
Mitsubishi Heavy Industries Ltd. | 10,700 | 318,521 | ||||||
Mueller Industries, Inc. | 7,252 | 325,397 | ||||||
NGK Insulators Ltd. | 10,300 | 188,247 | ||||||
Pentair PLC | 3,727 | 240,429 | ||||||
Rexnord Corp. | 4,199 | 209,656 | ||||||
Snap-on, Inc. | 6,983 | 1,659,161 | ||||||
SPX Corp.(a) | 4,781 | 290,015 | ||||||
Techtronic Industries Co., Ltd. | 93,000 | 1,687,463 | ||||||
Trane Technologies PLC | 651 | 113,163 | ||||||
Watts Water Technologies, Inc. | 2,375 | 295,806 | ||||||
Xylem, Inc./NY | 869 | 96,155 | ||||||
|
| |||||||
7,049,954 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.1% | ||||||||
United Rentals, Inc.(a) | 1,341 | 429,053 | ||||||
WW Grainger, Inc. | 2,706 | 1,173,159 | ||||||
|
| |||||||
1,602,212 | ||||||||
|
| |||||||
31,870,796 | ||||||||
|
| |||||||
Utilities – 1.8% |
| |||||||
Electric Utilities – 0.7% |
| |||||||
Acciona SA | 932 | 162,021 | ||||||
Avangrid, Inc. | 7,285 | 370,806 | ||||||
Contact Energy Ltd. | 15,680 | 84,631 | ||||||
Enel SpA | 498,473 | 4,949,502 | ||||||
Exelon Corp. | 6,063 | 272,471 | ||||||
Iberdrola SA | 19,148 | 258,765 | ||||||
Infratil Ltd. | 9,040 | 46,015 | ||||||
NextEra Energy, Inc. | 2,861 | 221,756 | ||||||
NRG Energy, Inc. | 34,749 | 1,244,709 | ||||||
Orsted AS(c) | 1,052 | 152,924 | ||||||
Red Electrica Corp. SA | 8,622 | 158,283 | ||||||
SSE PLC | 5,775 | 117,080 | ||||||
Terna Rete Elettrica Nazionale SpA | 16,273 | 119,956 | ||||||
Verbund AG(b) | 942 | 77,360 | ||||||
|
| |||||||
8,236,279 | ||||||||
|
| |||||||
Gas Utilities – 0.1% |
| |||||||
UGI Corp. | 37,342 | 1,632,219 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.6% | ||||||||
Albioma SA | 4,063 | 183,896 | ||||||
Atlantica Sustainable Infrastructure PLC | 8,172 | 315,031 | ||||||
Azure Power Global Ltd.(a)(b) | 9,896 | 230,478 | ||||||
Boralex, Inc. | 9,213 | 295,320 | ||||||
Brookfield Renewable Corp. | 6,174 | 255,921 | ||||||
China Longyuan Power Group Corp Ltd. | 118,000 | 173,523 | ||||||
EDP Renovaveis SA | 104,553 | 2,491,350 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 27 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Energix-Renewable Energies Ltd. | 46,662 | $ | 182,926 | |||||
Enlight Renewable Energy Ltd.(a) | 91,194 | 189,966 | ||||||
Falck Renewables SpA | 24,139 | 176,272 | ||||||
Innergex Renewable Energy, Inc. | 18,598 | 317,746 | ||||||
Meridian Energy Ltd. | 28,582 | 108,956 | ||||||
Neoen SA(a)(c) | 3,013 | 137,961 | ||||||
NextEra Energy Partners LP | 3,972 | 296,113 | ||||||
Omega Geracao SA(a) | 20,800 | 150,102 | ||||||
Ormat Technologies, Inc. | 3,296 | 238,630 | ||||||
RENOVA, Inc.(a) | 5,500 | 173,220 | ||||||
Solaria Energia y Medio Ambiente SA(a) | 7,519 | 154,144 | ||||||
Terna Energy SA | 14,860 | 222,502 | ||||||
TransAlta Renewables, Inc.(b) | 22,932 | 363,248 | ||||||
Xinyi Energy Holdings Ltd.(b) | 300,000 | 145,894 | ||||||
|
| |||||||
6,803,199 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.1% | ||||||||
AES Corp. (The) | 4,550 | 126,581 | ||||||
Cia Energetica de Sao Paulo (Preference Shares) | 38,500 | 179,315 | ||||||
Clearway Energy, Inc. | 10,881 | 289,217 | ||||||
Drax Group PLC | 48,903 | 275,958 | ||||||
ERG SpA | 6,093 | 182,138 | ||||||
Guangxi Guiguan Electric Power Co., Ltd. | 199,000 | 159,070 | ||||||
Northland Power, Inc.(b) | 9,236 | 318,148 | ||||||
|
| |||||||
1,530,427 | ||||||||
|
| |||||||
Multi-Utilities – 0.1% |
| |||||||
Algonquin Power & Utilities Corp. | 20,130 | 324,759 | ||||||
E.ON SE | 24,657 | 297,310 | ||||||
National Grid PLC | 14,750 | 185,932 | ||||||
RWE AG | 5,545 | 210,554 | ||||||
Suez SA | 1,759 | 42,042 | ||||||
United Utilities Group PLC | 13,662 | 182,740 | ||||||
Veolia Environnement SA | 4,182 | 133,385 | ||||||
|
| |||||||
1,376,722 | ||||||||
|
| |||||||
Water Utilities – 0.2% |
| |||||||
Aguas Andinas SA | 462,122 | 131,342 | ||||||
American States Water Co. | 3,276 | 259,426 | ||||||
American Water Works Co., Inc. | 1,552 | 242,097 | ||||||
Beijing Enterprises Water Group Ltd.(a) | 604,000 | 230,689 | ||||||
California Water Service Group | 4,775 | 280,531 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 26,900 | 211,850 | ||||||
Guangdong Investment Ltd. | 86,000 | 132,408 | ||||||
Middlesex Water Co. | 2,930 | 240,319 | ||||||
Pennon Group PLC | 3,343 | 47,751 | ||||||
Severn Trent PLC | 2,411 | 82,529 |
28 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
SJW Group | 5,266 | $ | 345,186 | |||||
|
| |||||||
2,204,128 | ||||||||
|
| |||||||
21,782,974 | ||||||||
|
| |||||||
Software & Services – 1.8% |
| |||||||
Application Software – 0.4% |
| |||||||
Autodesk, Inc.(a) | 375 | 109,466 | ||||||
Cadence Design Systems, Inc.(a) | 4,505 | 593,624 | ||||||
Citrix Systems, Inc. | 7,865 | 974,080 | ||||||
Constellation Software, Inc./Canada | 625 | 917,265 | ||||||
Dropbox, Inc. – Class A(a) | 31,881 | 819,342 | ||||||
Fair Isaac Corp.(a) | 1,129 | 588,672 | ||||||
Intuit, Inc. | 726 | 299,228 | ||||||
Trade Desk, Inc. (The) – Class A(a) | 221 | 161,178 | ||||||
Xero Ltd.(a) | 4,773 | 519,950 | ||||||
|
| |||||||
4,982,805 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 0.3% | ||||||||
Mastercard, Inc. – Class A | 3,460 | 1,321,928 | ||||||
Visa, Inc. – Class A | 2,472 | 577,360 | ||||||
Western Union Co. (The) – Class W | 43,956 | 1,132,306 | ||||||
|
| |||||||
3,031,594 | ||||||||
|
| |||||||
Internet Services & Infrastructure – 0.1% | ||||||||
GDS Holdings Ltd. (ADR)(a) | 17,220 | 1,428,743 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.2% | ||||||||
Accenture PLC – Class A | 2,569 | 744,933 | ||||||
EPAM Systems, Inc.(a) | 3,873 | 1,772,866 | ||||||
|
| |||||||
2,517,799 | ||||||||
|
| |||||||
Systems Software – 0.8% |
| |||||||
Crowdstrike Holdings, Inc. – Class A(a) | 1,487 | 310,054 | ||||||
Microsoft Corp. | 22,427 | 5,655,641 | ||||||
Oracle Corp. | 13,312 | 1,008,917 | ||||||
ServiceNow, Inc.(a) | 2,831 | 1,433,533 | ||||||
Trend Micro, Inc./Japan | 14,300 | 680,664 | ||||||
|
| |||||||
9,088,809 | ||||||||
|
| |||||||
21,049,750 | ||||||||
|
| |||||||
Food Beverage & Tobacco – 1.3% |
| |||||||
Agricultural Products – 0.2% |
| |||||||
Archer-Daniels-Midland Co. | 5,312 | 335,347 | ||||||
Bunge Ltd. | 20,321 | 1,715,499 | ||||||
Darling Ingredients, Inc.(a) | 3,490 | 242,380 | ||||||
|
| |||||||
2,293,226 | ||||||||
|
| |||||||
Brewers – 0.1% |
| |||||||
Kirin Holdings Co., Ltd. | 35,700 | 670,418 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.9% |
| |||||||
a2 Milk Co., Ltd. (The)(a)(b) | 30,892 | 168,892 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 29 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Beyond Meat, Inc.(a)(b) | 1,334 | $ | 175,661 | |||||
Danone SA | 2,718 | 191,862 | ||||||
Glanbia PLC | 13,758 | 202,396 | ||||||
Hershey Co. (The) | 10,526 | 1,729,422 | ||||||
Hormel Foods Corp.(b) | 6,206 | 286,717 | ||||||
JBS SA | 35,500 | 196,843 | ||||||
Kerry Group PLC – Class A | 1,117 | 144,787 | ||||||
Marfrig Alimentos SA | 63,800 | 227,738 | ||||||
Minerva SA/Brazil | 87,100 | 155,214 | ||||||
Mowi ASA | 143,379 | 3,537,174 | ||||||
Nestle SA | 9,237 | 1,102,258 | ||||||
Pilgrim’s Pride Corp.(a) | 16,153 | 387,026 | ||||||
Sanderson Farms, Inc. | 2,018 | 332,021 | ||||||
Sao Martinho SA | 31,100 | 178,457 | ||||||
Tyson Foods, Inc. – Class A | 18,186 | 1,408,505 | ||||||
WH Group Ltd.(c) | 136,500 | 118,933 | ||||||
|
| |||||||
10,543,906 | ||||||||
|
| |||||||
Tobacco – 0.1% |
| |||||||
Philip Morris International, Inc. | 17,662 | 1,677,890 | ||||||
|
| |||||||
15,185,440 | ||||||||
|
| |||||||
Media & Entertainment – 1.2% |
| |||||||
Interactive Home Entertainment – 0.2% | ||||||||
Electronic Arts, Inc. | 9,590 | 1,362,548 | ||||||
Nintendo Co., Ltd. | 1,500 | 860,479 | ||||||
|
| |||||||
2,223,027 | ||||||||
|
| |||||||
Interactive Media & Services – 0.8% |
| |||||||
Alphabet, Inc. – Class A(a) | 1,333 | 3,137,216 | ||||||
Alphabet, Inc. – Class C(a) | 1,253 | 3,019,880 | ||||||
Facebook, Inc. – Class A(a) | 12,115 | 3,938,344 | ||||||
|
| |||||||
10,095,440 | ||||||||
|
| |||||||
Movies & Entertainment – 0.2% |
| |||||||
Netflix, Inc.(a) | 4,073 | 2,091,363 | ||||||
|
| |||||||
14,409,830 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 1.2% | ||||||||
Semiconductor Equipment – 0.5% |
| |||||||
Applied Materials, Inc. | 14,755 | 1,958,136 | ||||||
ASML Holding NV | 3,389 | 2,199,941 | ||||||
Enphase Energy, Inc.(a) | 1,290 | 179,633 | ||||||
GCL-Poly Energy Holdings Ltd.(a)(d)(e) | 208,000 | 53,019 | ||||||
KLA Corp. | 495 | 156,098 | ||||||
Lam Research Corp. | 560 | 347,452 | ||||||
Meyer Burger Technology AG(a)(b) | 252,477 | 117,673 | ||||||
Sino-American Silicon Products, Inc. | 17,000 | 118,206 | ||||||
SolarEdge Technologies, Inc.(a) | 886 | 233,496 | ||||||
Teradyne, Inc. | 3,302 | 413,014 | ||||||
Xinyi Solar Holdings Ltd. | 106,000 | 176,789 | ||||||
|
| |||||||
5,953,457 | ||||||||
|
|
30 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Semiconductors – 0.7% |
| |||||||
Advanced Micro Devices, Inc.(a) | 4,830 | $ | 394,225 | |||||
Broadcom, Inc. | 1,963 | 895,520 | ||||||
Canadian Solar, Inc.(a)(b) | 5,966 | 246,038 | ||||||
Cree, Inc.(a) | 1,471 | 146,247 | ||||||
Flat Glass Group Co., Ltd.(b) | 61,892 | 190,100 | ||||||
Intel Corp. | 3,284 | 188,928 | ||||||
LONGi Green Energy Technology Co., Ltd. – Class A | 15,700 | 239,504 | ||||||
NVIDIA Corp. | 1,150 | 690,437 | ||||||
QUALCOMM, Inc. | 12,572 | 1,744,993 | ||||||
STMicroelectronics NV | 27,946 | 1,043,818 | ||||||
SunPower Corp.(a)(b) | 7,140 | 183,427 | ||||||
Texas Instruments, Inc. | 11,262 | 2,032,904 | ||||||
|
| |||||||
7,996,141 | ||||||||
|
| |||||||
13,949,598 | ||||||||
|
| |||||||
Pharmaceuticals & Biotechnology – 1.0% | ||||||||
Biotechnology – 0.2% |
| |||||||
AbbVie, Inc. | 14,945 | 1,666,368 | ||||||
Amgen, Inc. | 1,702 | 407,867 | ||||||
Jinyu Bio-Technology Co., Ltd. | 72,000 | 242,129 | ||||||
|
| |||||||
2,316,364 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.4% | ||||||||
Bio-Rad Laboratories, Inc. – Class A(a) | 2,113 | 1,331,465 | ||||||
Eurofins Scientific SE(a) | 1,520 | 150,543 | ||||||
Mettler-Toledo International, Inc.(a) | 1,120 | 1,470,918 | ||||||
Sartorius Stedim Biotech | 2,011 | 923,624 | ||||||
Waters Corp.(a) | 2,579 | 773,365 | ||||||
|
| |||||||
4,649,915 | ||||||||
|
| |||||||
Pharmaceuticals – 0.4% |
| |||||||
Bayer AG | 4,199 | 271,710 | ||||||
Elanco Animal Health, Inc.(a) | 13,207 | 418,794 | ||||||
Eli Lilly & Co. | 11,424 | 2,087,965 | ||||||
Johnson & Johnson | 556 | 90,478 | ||||||
Merck & Co., Inc. | 10,945 | 815,403 | ||||||
Novo Nordisk A/S – Class B | 2,755 | 203,229 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 4,800 | 83,334 | ||||||
Takeda Pharmaceutical Co., Ltd. | 32,900 | 1,098,876 | ||||||
Zoetis, Inc. | 1,725 | 298,477 | ||||||
|
| |||||||
5,368,266 | ||||||||
|
| |||||||
12,334,545 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 1.0% |
| |||||||
Apparel, Accessories & Luxury Goods – 0.2% | ||||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,032 | 777,457 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 31 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Pandora A/S(a) | 14,752 | $ | 1,670,647 | |||||
|
| |||||||
2,448,104 | ||||||||
|
| |||||||
Consumer Electronics – 0.0% |
| |||||||
Panasonic Corp. | 10,300 | 120,943 | ||||||
|
| |||||||
Homebuilding – 0.7% |
| |||||||
Construtora Tenda SA | 187,200 | 892,569 | ||||||
Corp. GEO SAB de CV Series B(a)(d)(e) | 1,321 | – 0 | – | |||||
Desarrolladora Homex SAB de CV(a) | 1,590 | 2 | ||||||
Installed Building Products, Inc. | 1,329 | 178,950 | ||||||
MRV Engenharia e Participacoes SA | 203,700 | 650,619 | ||||||
Persimmon PLC | 59,330 | 2,566,647 | ||||||
PulteGroup, Inc. | 60,220 | 3,560,206 | ||||||
Urbi Desarrollos Urbanos SAB de CV(a) | 9 | 3 | ||||||
|
| |||||||
7,848,996 | ||||||||
|
| |||||||
Household Appliances – 0.1% |
| |||||||
Electrolux AB – Class B(b) | 55,708 | 1,563,539 | ||||||
|
| |||||||
11,981,582 | ||||||||
|
| |||||||
Retailing – 0.9% |
| |||||||
Automotive Retail – 0.0% |
| |||||||
Blink Charging Co.(a)(b) | 7,638 | 281,078 | ||||||
|
| |||||||
Department Stores – 0.1% |
| |||||||
Next PLC(a) | 10,362 | 1,116,673 | ||||||
|
| |||||||
Home Improvement Retail – 0.2% |
| |||||||
Home Depot, Inc. (The) | 7,975 | 2,581,268 | ||||||
Lowe’s Cos., Inc. | 375 | 73,594 | ||||||
|
| |||||||
2,654,862 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.6% | ||||||||
Amazon.com, Inc.(a) | 1,326 | 4,597,799 | ||||||
eBay, Inc. | 4,525 | 252,450 | ||||||
HelloFresh SE(a) | 17,874 | 1,482,742 | ||||||
Zalando SE(a)(c) | 9,572 | 995,474 | ||||||
|
| |||||||
7,328,465 | ||||||||
|
| |||||||
11,381,078 | ||||||||
|
| |||||||
Banks – 0.9% |
| |||||||
Diversified Banks – 0.5% |
| |||||||
Bank of America Corp. | 24,759 | 1,003,482 | ||||||
BNP Paribas SA(a) | 7,360 | 471,906 | ||||||
Danske Bank A/S | 26,108 | 496,254 | ||||||
ING Groep NV(a) | 32,318 | 412,862 | ||||||
JPMorgan Chase & Co. | 14,144 | 2,175,489 | ||||||
National Bank of Canada | 6,065 | 440,929 | ||||||
Societe Generale SA(a) | 36,772 | 1,046,060 | ||||||
Wells Fargo & Co. | 5,327 | 239,981 | ||||||
|
| |||||||
6,286,963 | ||||||||
|
|
32 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Regional Banks – 0.4% |
| |||||||
Citizens Financial Group, Inc. | 12,006 | $ | 555,638 | |||||
Fifth Third Bancorp | 29,349 | 1,189,808 | ||||||
Mebuki Financial Group, Inc. | 358,000 | 781,126 | ||||||
SVB Financial Group(a) | 3,002 | 1,716,634 | ||||||
|
| |||||||
4,243,206 | ||||||||
|
| |||||||
10,530,169 | ||||||||
|
| |||||||
Diversified Financials – 0.9% |
| |||||||
Asset Management & Custody Banks – 0.0% | ||||||||
Ameriprise Financial, Inc. | 521 | 134,626 | ||||||
EQT AB | 7,213 | 243,096 | ||||||
|
| |||||||
377,722 | ||||||||
|
| |||||||
Consumer Finance – 0.1% |
| |||||||
Ally Financial, Inc. | 13,794 | 709,701 | ||||||
Capital One Financial Corp. | 4,224 | 629,714 | ||||||
|
| |||||||
1,339,415 | ||||||||
Financial Exchanges & Data – 0.2% |
| |||||||
Moody’s Corp. | 3,077 | 1,005,287 | ||||||
S&P Global, Inc. | 1,872 | 730,810 | ||||||
|
| |||||||
1,736,097 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.3% | ||||||||
Goldman Sachs Group, Inc. (The) | 5,835 | 2,033,206 | ||||||
Raymond James Financial, Inc. | 12,689 | 1,659,467 | ||||||
|
| |||||||
3,692,673 | ||||||||
|
| |||||||
Mortgage REITs – 0.0% |
| |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc.(b) | 3,878 | 203,207 | ||||||
|
| |||||||
Multi-Sector Holdings – 0.2% |
| |||||||
Kinnevik AB – Class B(a)(b) | 29,760 | 1,642,503 | ||||||
|
| |||||||
Other Diversified Financial Services – 0.1% | ||||||||
M&G PLC | 411,736 | 1,235,873 | ||||||
|
| |||||||
10,227,490 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 0.8% | ||||||||
Electronic Components – 0.0% |
| |||||||
Samsung SDI Co., Ltd. | 242 | 141,251 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 0.0% | ||||||||
Itron, Inc.(a) | 3,408 | 306,515 | ||||||
Landis+Gyr Group AG(a) | 4,189 | 290,377 | ||||||
|
| |||||||
596,892 | ||||||||
|
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 33 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Technology Distributors – 0.2% |
| |||||||
Arrow Electronics, Inc.(a) | 13,922 | $ | 1,588,082 | |||||
CDW Corp./DE | 2,881 | 513,769 | ||||||
|
| |||||||
2,101,851 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.6% | ||||||||
Apple, Inc. | 53,235 | 6,998,273 | ||||||
|
| |||||||
9,838,267 | ||||||||
|
| |||||||
Health Care Equipment & Services – 0.8% | ||||||||
Health Care Distributors – 0.2% |
| |||||||
AmerisourceBergen Corp. – Class A | 11,608 | 1,402,246 | ||||||
McKesson Corp. | 6,399 | 1,200,197 | ||||||
|
| |||||||
2,602,443 | ||||||||
|
| |||||||
Health Care Equipment – 0.2% |
| |||||||
Abbott Laboratories | 7,200 | 864,576 | ||||||
ABIOMED, Inc.(a) | 763 | 244,717 | ||||||
Danaher Corp. | 1,485 | 377,101 | ||||||
IDEXX Laboratories, Inc.(a) | 497 | 272,848 | ||||||
Medtronic PLC | 3,894 | 509,802 | ||||||
ResMed, Inc. | 1,845 | 346,805 | ||||||
|
| |||||||
2,615,849 | ||||||||
|
| |||||||
Health Care Supplies – 0.1% |
| |||||||
Align Technology, Inc.(a) | 1,129 | 672,353 | ||||||
|
| |||||||
Health Care Technology – 0.2% |
| |||||||
Cerner Corp. | 17,195 | 1,290,485 | ||||||
Teladoc Health, Inc.(a)(b) | 3,990 | 687,677 | ||||||
Veeva Systems, Inc. – Class A(a) | 1,825 | 515,471 | ||||||
|
| |||||||
2,493,633 | ||||||||
|
| |||||||
Managed Health Care – 0.1% |
| |||||||
Molina Healthcare, Inc.(a) | 4,782 | 1,219,888 | ||||||
|
| |||||||
9,604,166 | ||||||||
|
| |||||||
Transportation – 0.6% |
| |||||||
Air Freight & Logistics – 0.1% |
| |||||||
Kuehne & Nagel International AG | 5,436 | 1,625,336 | ||||||
|
| |||||||
Highways & Railtracks – 0.4% |
| |||||||
Transurban Group(b) | 394,235 | 4,298,845 | ||||||
|
| |||||||
Marine – 0.1% |
| |||||||
Nippon Yusen KK | 42,200 | 1,658,602 | ||||||
|
| |||||||
7,582,783 | ||||||||
|
| |||||||
Insurance – 0.6% |
| |||||||
Life & Health Insurance – 0.6% |
| |||||||
CNP Assurances | 81,391 | 1,423,588 | ||||||
iA Financial Corp., Inc. | 26,238 | 1,477,602 |
34 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Manulife Financial Corp. | 17,357 | $ | 379,012 | |||||
MetLife, Inc. | 25,179 | 1,602,140 | ||||||
Prudential Financial, Inc. | 17,598 | 1,766,135 | ||||||
|
| |||||||
6,648,477 | ||||||||
|
| |||||||
Multi-line Insurance – 0.0% |
| |||||||
Aviva PLC | 36,886 | 203,926 | ||||||
|
| |||||||
6,852,403 | ||||||||
|
| |||||||
Automobiles & Components – 0.5% |
| |||||||
Auto Parts & Equipment – 0.3% |
| |||||||
Aisin Corp. | 44,300 | 1,705,100 | ||||||
BorgWarner, Inc. | 7,273 | 353,322 | ||||||
Exide Industries Ltd. | 53,630 | 128,415 | ||||||
Lear Corp. | 4,009 | 737,015 | ||||||
Magna International, Inc. – Class A (Canada) | 9,043 | 854,014 | ||||||
Tianneng Power International Ltd.(b) | 114,000 | 209,027 | ||||||
|
| |||||||
3,986,893 | ||||||||
|
| |||||||
Automobile Manufacturers – 0.2% |
| |||||||
Nissan Motor Co., Ltd.(a) | 153,200 | 769,056 | ||||||
Tesla, Inc.(a) | 1,379 | 978,317 | ||||||
|
| |||||||
1,747,373 | ||||||||
|
| |||||||
5,734,266 | ||||||||
|
| |||||||
Consumer Services – 0.5% |
| |||||||
Casinos & Gaming – 0.1% |
| |||||||
La Francaise des Jeux SAEM(c) | 7,025 | 360,008 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.2% |
| |||||||
Hilton Grand Vacations, Inc.(a) | 60,130 | 2,679,393 | ||||||
|
| |||||||
Leisure Facilities – 0.1% |
| |||||||
Planet Fitness, Inc.(a) | 13,700 | 1,150,663 | ||||||
|
| |||||||
Restaurants – 0.1% |
| |||||||
Chipotle Mexican Grill, Inc. – Class A(a) | 670 | 999,660 | ||||||
Domino’s Pizza, Inc. | 351 | 148,241 | ||||||
|
| |||||||
1,147,901 | ||||||||
|
| |||||||
Specialized Consumer Services – 0.0% |
| |||||||
WW International, Inc.(a) | 9,445 | 262,004 | ||||||
|
| |||||||
5,599,969 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.3% | ||||||||
Diversified Support Services – 0.1% |
| |||||||
Ever Sunshine Lifestyle Services Group Ltd.(c) | 560,120 | 1,377,992 | ||||||
|
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 35 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
Environmental & Facilities Services – 0.1% | ||||||||
Aker Carbon Capture AS(a) | 44,952 | $ | 91,294 | |||||
Casella Waste Systems, Inc. – Class A(a) | 3,781 | 253,743 | ||||||
Clean Harbors, Inc.(a) | 3,263 | 290,277 | ||||||
Republic Services, Inc. – Class A | 3,318 | 352,703 | ||||||
Tetra Tech, Inc. | 2,219 | 283,211 | ||||||
TOMRA Systems ASA | 2,453 | 122,546 | ||||||
Waste Management, Inc. | 2,269 | 313,054 | ||||||
|
| |||||||
1,706,828 | ||||||||
|
| |||||||
Human Resource & Employment Services – 0.1% | ||||||||
Robert Half International, Inc. | 10,009 | 876,888 | ||||||
|
| |||||||
3,961,708 | ||||||||
|
| |||||||
Telecommunication Services – 0.3% |
| |||||||
Integrated Telecommunication Services – 0.2% | ||||||||
Infrastrutture Wireless Italiane SpA(c) | 198,890 | 2,320,542 | ||||||
Telenor ASA | 29,449 | 524,634 | ||||||
|
| |||||||
2,845,176 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.1% | ||||||||
Softbank Corp. | 36,400 | 469,209 | ||||||
|
| |||||||
3,314,385 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.2% |
| |||||||
Food Retail – 0.1% |
| |||||||
Kroger Co. (The) | 41,956 | 1,533,072 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 0.1% |
| |||||||
Walmart, Inc. | 6,323 | 884,651 | ||||||
|
| |||||||
2,417,723 | ||||||||
|
| |||||||
Industrials – 0.1% |
| |||||||
Machinery – 0.1% |
| |||||||
AGCO Corp. | 1,427 | 208,228 | ||||||
CNH Industrial NV(b) | 8,738 | 129,712 | ||||||
Deere & Co. | 3,757 | 1,393,283 | ||||||
|
| |||||||
1,731,223 | ||||||||
|
| |||||||
Household & Personal Products – 0.0% |
| |||||||
Personal Products – 0.0% |
| |||||||
BellRing Brands, Inc.(a) | 11,498 | 296,533 | ||||||
|
| |||||||
Total Common Stocks | 861,938,755 | |||||||
|
| |||||||
INVESTMENT COMPANIES – 5.2% |
| |||||||
Funds and Investment Trusts – 5.2%(f) |
| |||||||
iShares Global Energy ETF(b) | 1,042,279 | 25,765,137 |
36 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||
| ||||||||
iShares MSCI Global Metals & Mining Producers ETF | 420,106 | $ | 19,245,056 | |||||
VanEck Vectors Agribusiness ETF(b) | 54,379 | 4,970,784 | ||||||
VanEck Vectors Gold Miners ETF | 215,430 | 7,402,175 | ||||||
Vanguard Global ex-U.S. Real Estate ETF | 40,940 | 2,339,311 | ||||||
Vanguard Real Estate ETF(b) | 24,600 | 2,437,368 | ||||||
|
| |||||||
Total Investment Companies | 62,159,831 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 19.0% | ||||||||
Investment Companies – 19.0% |
| |||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(f)(g)(h) | 227,798,062 | 227,798,062 | ||||||
|
| |||||||
Total Investments Before Security Lending Collateral for Securities Loaned – 96.2% | 1,151,896,648 | |||||||
|
| |||||||
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES LOANED – 0.7% | ||||||||
Investment Companies – 0.7% |
| |||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio Class AB, 0.01%(f)(g)(h) | 8,438,548 | 8,438,548 | ||||||
|
| |||||||
Total Investments – 96.9% | 1,160,335,196 | |||||||
Other assets less liabilities – 3.1% | 36,861,247 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,197,196,443 | ||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts |
| |||||||||||||||
Brent Crude Futures | 367 | September 2021 | $ | 23,788,940 | $ | 1,070,905 | ||||||||||
Brent Crude Futures | 51 | October 2021 | 3,281,850 | 969,822 | ||||||||||||
Cattle Feeder Futures | 30 | May 2021 | 2,004,000 | (157,089 | ) | |||||||||||
Cattle Feeder Futures | 107 | August 2021 | 7,851,125 | (259,065 | ) | |||||||||||
Cocoa Futures | 49 | July 2021 | 1,167,180 | (49,531 | ) | |||||||||||
Cocoa Futures | 300 | September 2021 | 7,233,000 | (198,385 | ) | |||||||||||
Coffee Robusta Futures | 427 | July 2021 | 6,217,120 | (30,317 | ) | |||||||||||
Coffee ‘C’ Futures | 78 | September 2021 | 4,194,450 | 334,406 | ||||||||||||
Copper Futures | 215 | July 2021 | 24,015,500 | 1,547,598 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 37 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Corn Futures | 821 | December 2021 | $ | 23,141,938 | $ | 1,956,042 | ||||||||||
Cotton No.2 Futures | 143 | December 2021 | 6,081,790 | 432,079 | ||||||||||||
Gasoline RBOB Futures | 110 | August 2021 | 9,300,060 | 550,270 | ||||||||||||
Gold 100 OZ Futures | 186 | August 2021 | 32,918,280 | (296,218 | ) | |||||||||||
KC HRW Wheat Futures | 197 | December 2021 | 7,025,513 | 1,222,553 | ||||||||||||
Lean Hogs Futures | 137 | August 2021 | 5,781,400 | 210,842 | ||||||||||||
Live Cattle Futures | 43 | June 2021 | 2,005,090 | 11,185 | ||||||||||||
Live Cattle Futures | 172 | August 2021 | 8,161,400 | 23,046 | ||||||||||||
LME Lead Futures | 126 | May 2021 | 6,753,600 | 185,493 | ||||||||||||
LME Lead Futures | 95 | July 2021 | 5,114,563 | 223,178 | ||||||||||||
LME Nickel Futures | 136 | May 2021 | 14,402,400 | 931,598 | ||||||||||||
LME Nickel Futures | 151 | July 2021 | 16,013,550 | 13,292 | ||||||||||||
LME Primary Aluminum Futures | 386 | May 2021 | 23,068,325 | 3,484,970 | ||||||||||||
LME Primary Aluminum Futures | 516 | July 2021 | 30,914,850 | 2,327,030 | ||||||||||||
LME Zinc Futures | 220 | May 2021 | 16,040,750 | 617,205 | ||||||||||||
LME Zinc Futures | 204 | July 2021 | 14,926,425 | 554,965 | ||||||||||||
Low Sulphur Gasoil Futures | 146 | September 2021 | 7,854,800 | 337,122 | ||||||||||||
Natural Gas Futures | 358 | June 2021 | 10,661,240 | 748,115 | ||||||||||||
Natural Gas Futures | 581 | August 2021 | 17,267,320 | 897,602 | ||||||||||||
NY Harbor ULSD Futures | 106 | August 2021 | 8,594,141 | 496,269 | ||||||||||||
Platinum Futures | 164 | July 2021 | 9,882,640 | (60,825 | ) | |||||||||||
S&P 500 E-Mini Futures | 133 | June 2021 | 27,759,760 | 1,911,285 | ||||||||||||
Silver Futures | 114 | July 2021 | 14,747,610 | (409,198 | ) | |||||||||||
Soybean Futures | 231 | November 2021 | 15,474,112 | 1,395,493 | ||||||||||||
Soybean Meal Futures | 28 | July 2021 | 1,193,080 | (17,367 | ) | |||||||||||
Soybean Meal Futures | 417 | December 2021 | 16,721,700 | 650,982 | ||||||||||||
Soybean Oil Futures | 473 | December 2021 | 14,766,114 | 1,491,943 | ||||||||||||
Sugar 11 (World) Futures | 287 | June 2021 | 5,458,051 | 143,549 | ||||||||||||
Wheat Futures (CBT) | 207 | December 2021 | 7,583,963 | 1,208,328 | ||||||||||||
WTI Crude Futures | 382 | August 2021 | 23,932,300 | 1,129,749 | ||||||||||||
WTI Crude Futures | 33 | November 2021 | 2,013,990 | 154,760 | ||||||||||||
Sold Contracts |
| |||||||||||||||
KC HRW Wheat Futures | 34 | July 2021 | 1,195,950 | (13,308 | ) | |||||||||||
LME Lead Futures | 126 | May 2021 | 6,753,600 | (298,045 | ) | |||||||||||
LME Lead Futures | 95 | July 2021 | 5,114,563 | (398,291 | ) | |||||||||||
LME Nickel Futures | 136 | May 2021 | 14,402,400 | 19,354 | ||||||||||||
LME Nickel Futures | 53 | July 2021 | 5,620,650 | (335,408 | ) | |||||||||||
LME Primary Aluminum Futures | 386 | May 2021 | 23,068,325 | (2,260,823 | ) | |||||||||||
LME Primary Aluminum Futures | 143 | July 2021 | 8,567,488 | (270,210 | ) | |||||||||||
LME Zinc Futures | 220 | May 2021 | 16,040,750 | (941,655 | ) | |||||||||||
LME Zinc Futures | 21 | July 2021 | 1,536,544 | (59,630 | ) | |||||||||||
MSCI Emerging Markets Futures | 48 | June 2021 | 3,207,840 | (6,699 | ) | |||||||||||
|
| |||||||||||||||
$ | 21,188,966 | |||||||||||||||
|
|
38 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Australia and New Zealand Banking Group Ltd. | HKD | 257,719 | USD | 33,242 | 08/13/2021 | $ | 55,442 | |||||||||
Bank of America, NA | CHF | 1,267 | USD | 1,351 | 05/06/2021 | (36,436 | ) | |||||||||
Bank of America, NA | USD | 2,777 | CHF | 2,574 | 05/06/2021 | 41,685 | ||||||||||
Bank of America, NA | USD | 2,748 | JPY | 298,642 | 05/20/2021 | (15,367 | ) | |||||||||
Bank of America, NA | NZD | 1,985 | USD | 1,423 | 05/25/2021 | 2,569 | ||||||||||
Bank of America, NA | USD | 4,241 | RUB | 322,409 | 05/25/2021 | 36,253 | ||||||||||
Bank of America, NA | EUR | 4,591 | USD | 5,459 | 05/27/2021 | (62,742 | ) | |||||||||
Bank of America, NA | NZD | 2,962 | USD | 2,083 | 05/27/2021 | (36,488 | ) | |||||||||
Bank of America, NA | USD | 2,729 | EUR | 2,326 | 05/27/2021 | 69,368 | ||||||||||
Bank of America, NA | USD | 2,778 | NZD | 3,931 | 05/27/2021 | 34,900 | ||||||||||
Bank of America, NA | USD | 4,176 | AUD | 5,398 | 06/04/2021 | (16,355 | ) | |||||||||
Bank of America, NA | ILS | 9,425 | USD | 2,905 | 06/23/2021 | 1,810 | ||||||||||
Bank of America, NA | USD | 4,238 | ILS | 13,809 | 06/23/2021 | 15,351 | ||||||||||
Bank of America, NA | USD | 1,667 | PLN | 6,427 | 06/24/2021 | 28,421 | ||||||||||
Bank of America, NA | USD | 836 | NOK | 7,108 | 07/15/2021 | 18,028 | ||||||||||
Bank of America, NA | USD | 4,313 | SEK | 36,871 | 07/15/2021 | 44,932 | ||||||||||
Bank of America, NA | CHF | 3,969 | USD | 4,372 | 08/05/2021 | 15,282 | ||||||||||
Barclays Bank PLC | USD | 4,487 | PEN | 16,701 | 05/20/2021 | (73,345 | ) | |||||||||
Barclays Bank PLC | USD | 5,648 | RUB | 424,919 | 05/25/2021 | (10,214 | ) | |||||||||
Barclays Bank PLC | USD | 4,823 | NZD | 6,643 | 05/27/2021 | (69,503 | ) | |||||||||
Barclays Bank PLC | AUD | 1,937 | USD | 1,475 | 06/04/2021 | (17,763 | ) | |||||||||
Barclays Bank PLC | USD | 14,836 | MXN | 299,692 | 06/18/2021 | (115,307 | ) | |||||||||
Barclays Bank PLC | CNY | 14,560 | USD | 2,233 | 06/24/2021 | (7,508 | ) | |||||||||
Barclays Bank PLC | KRW | 5,377,368 | USD | 4,818 | 07/22/2021 | 7,554 | ||||||||||
Barclays Bank PLC | PHP | 666,997 | USD | 13,575 | 07/22/2021 | (106,460 | ) | |||||||||
Barclays Bank PLC | USD | 13,086 | KRW | 14,604,883 | 07/22/2021 | (20,516 | ) | |||||||||
Barclays Bank PLC | USD | 10,516 | PHP | 516,288 | 07/22/2021 | 74,189 | ||||||||||
Barclays Bank PLC | MYR | 13,603 | USD | 3,311 | 09/23/2021 | 7,003 | ||||||||||
Barclays Bank PLC | MYR | 38,921 | USD | 9,427 | 09/23/2021 | (27,356 | ) | |||||||||
Barclays Bank PLC | USD | 24,365 | MYR | 100,776 | 09/23/2021 | 114,987 | ||||||||||
BNP Paribas SA | USD | 3,476 | CHF | 3,250 | 05/06/2021 | 82,542 | ||||||||||
BNP Paribas SA | USD | 20,799 | SEK | 174,770 | 05/19/2021 | (151,425 | ) | |||||||||
BNP Paribas SA | NZD | 2,874 | AUD | 2,637 | 05/27/2021 | (25,037 | ) | |||||||||
BNP Paribas SA | USD | 3,033 | EUR | 2,575 | 05/27/2021 | 63,166 | ||||||||||
BNP Paribas SA | AUD | 1,813 | USD | 1,388 | 06/04/2021 | (8,125 | ) | |||||||||
BNP Paribas SA | NZD | 3,868 | USD | 2,800 | 06/04/2021 | 32,630 | ||||||||||
BNP Paribas SA | CZK | 97,134 | USD | 4,443 | 06/24/2021 | (72,419 | ) | |||||||||
BNP Paribas SA | SEK | 20,315 | USD | 2,384 | 07/15/2021 | (17,463 | ) | |||||||||
BNP Paribas SA | USD | 3,534 | SEK | 30,112 | 07/15/2021 | 25,885 | ||||||||||
Citibank, NA | BRL | 23,988 | USD | 4,439 | 05/04/2021 | 23,250 | ||||||||||
Citibank, NA | USD | 4,310 | BRL | 23,988 | 05/04/2021 | 105,507 | ||||||||||
Citibank, NA | USD | 3,159 | CHF | 2,806 | 05/06/2021 | (86,662 | ) | |||||||||
Citibank, NA | CLP | 2,101,951 | USD | 2,904 | 05/20/2021 | (53,405 | ) | |||||||||
Citibank, NA | COP | 66,416,758 | USD | 18,505 | 05/20/2021 | 823,918 | ||||||||||
Citibank, NA | USD | 3,478 | CLP | 2,431,955 | 05/20/2021 | (56,724 | ) | |||||||||
Citibank, NA | USD | 5,301 | COP | 19,446,319 | 05/20/2021 | (124,600 | ) | |||||||||
Citibank, NA | USD | 5,936 | PEN | 22,478 | 05/20/2021 | 4,941 | ||||||||||
Citibank, NA | SGD | 2,824 | USD | 2,124 | 05/21/2021 | 1,982 | ||||||||||
Citibank, NA | USD | 10,618 | SGD | 14,284 | 05/21/2021 | 114,817 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 39 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Citibank, NA | RUB | 425,514 | USD | 5,589 | 05/25/2021 | $ | (56,211 | ) | ||||||||
Citibank, NA | USD | 2,798 | RUB | 213,124 | 05/25/2021 | 29,853 | ||||||||||
Citibank, NA | USD | 2,869 | RUB | 215,659 | 05/25/2021 | (7,829 | ) | |||||||||
Citibank, NA | AUD | 2,637 | USD | 2,015 | 05/27/2021 | (16,860 | ) | |||||||||
Citibank, NA | EUR | 1,122 | USD | 1,340 | 05/27/2021 | (10,074 | ) | |||||||||
Citibank, NA | BRL | 14,409 | USD | 2,662 | 06/02/2021 | 16,996 | ||||||||||
Citibank, NA | USD | 3,484 | HUF | 1,045,362 | 06/24/2021 | 4,879 | ||||||||||
Citibank, NA | CAD | 1,625 | USD | 1,298 | 07/16/2021 | (24,106 | ) | |||||||||
Citibank, NA | KRW | 4,589,301 | USD | 4,109 | 07/22/2021 | 3,722 | ||||||||||
Credit Suisse International | CZK | 31,927 | USD | 1,430 | 06/24/2021 | (54,530 | ) | |||||||||
Credit Suisse International | HUF | 504,156 | USD | 1,624 | 06/24/2021 | (58,401 | ) | |||||||||
Credit Suisse International | USD | 11,767 | CNY | 76,939 | 06/24/2021 | 70,177 | ||||||||||
Credit Suisse International | USD | 2,382 | PLN | 9,459 | 06/24/2021 | 112,939 | ||||||||||
Deutsche Bank AG | CHF | 14,544 | USD | 15,930 | 05/18/2021 | (1,191 | ) | |||||||||
Deutsche Bank AG | USD | 3,991 | SEK | 33,432 | 05/18/2021 | (41,388 | ) | |||||||||
Deutsche Bank AG | EUR | 3,386 | USD | 4,091 | 05/19/2021 | 19,363 | ||||||||||
Deutsche Bank AG | JPY | 55,263 | USD | 510 | 05/19/2021 | 3,888 | ||||||||||
Deutsche Bank AG | NOK | 33,587 | USD | 4,053 | 05/19/2021 | 18,100 | ||||||||||
Deutsche Bank AG | USD | 504 | AUD | 649 | 05/19/2021 | (4,448 | ) | |||||||||
Deutsche Bank AG | USD | 7,912 | GBP | 5,685 | 05/19/2021 | (60,623 | ) | |||||||||
Deutsche Bank AG | USD | 11,113 | NZD | 15,410 | 05/19/2021 | (85,846 | ) | |||||||||
Deutsche Bank AG | CLP | 9,544,802 | USD | 13,329 | 05/20/2021 | (98,980 | ) | |||||||||
Deutsche Bank AG | COP | 17,994,151 | USD | 4,811 | 05/20/2021 | 20,928 | ||||||||||
Deutsche Bank AG | PEN | 55,904 | USD | 15,134 | 05/20/2021 | 359,035 | ||||||||||
Deutsche Bank AG | USD | 2,935 | CLP | 2,101,951 | 05/20/2021 | 21,797 | ||||||||||
Deutsche Bank AG | ILS | 13,772 | USD | 4,198 | 06/23/2021 | (44,056 | ) | |||||||||
Deutsche Bank AG | HUF | 3,156,033 | USD | 10,250 | 06/24/2021 | (283,119 | ) | |||||||||
Deutsche Bank AG | INR | 196,823 | USD | 2,645 | 07/15/2021 | 19,712 | ||||||||||
Deutsche Bank AG | USD | 11,684 | INR | 869,492 | 07/15/2021 | (87,079 | ) | |||||||||
Goldman Sachs Bank USA | BRL | 66,277 | USD | 12,349 | 05/04/2021 | 148,149 | ||||||||||
Goldman Sachs Bank USA | USD | 1,601 | BRL | 9,217 | 05/04/2021 | 95,523 | ||||||||||
Goldman Sachs Bank USA | USD | 10,560 | BRL | 57,060 | 05/04/2021 | (55,305 | ) | |||||||||
Goldman Sachs Bank USA | CHF | 5,990 | USD | 6,757 | 05/06/2021 | 197,566 | ||||||||||
Goldman Sachs Bank USA | CAD | 10,563 | USD | 8,517 | 05/18/2021 | (77,191 | ) | |||||||||
Goldman Sachs Bank USA | CAD | 10,671 | USD | 8,604 | 05/19/2021 | (77,998 | ) | |||||||||
Goldman Sachs Bank USA | COP | 9,868,855 | USD | 2,727 | 05/20/2021 | 99,547 | ||||||||||
Goldman Sachs Bank USA | JPY | 128,340 | USD | 1,191 | 05/20/2021 | 16,556 | ||||||||||
Goldman Sachs Bank USA | USD | 7,130 | JPY | 770,471 | 05/20/2021 | (79,063 | ) | |||||||||
Goldman Sachs Bank USA | USD | 2,763 | SGD | 3,706 | 05/21/2021 | 22,323 | ||||||||||
Goldman Sachs Bank USA | RUB | 101,854 | USD | 1,351 | 05/25/2021 | (151 | ) | |||||||||
Goldman Sachs Bank USA | USD | 15,077 | RUB | 1,125,301 | 05/25/2021 | (147,452 | ) | |||||||||
Goldman Sachs Bank USA | USD | 10,619 | BRL | 57,060 | 06/02/2021 | (143,242 | ) | |||||||||
Goldman Sachs Bank USA | USD | 1,118 | ZAR | 16,078 | 06/17/2021 | (16,366 | ) | |||||||||
Goldman Sachs Bank USA | ILS | 20,622 | USD | 6,256 | 06/23/2021 | (96,082 | ) | |||||||||
Goldman Sachs Bank USA | USD | 3,128 | ILS | 10,403 | 06/23/2021 | 76,137 | ||||||||||
Goldman Sachs Bank USA | PLN | 29,819 | USD | 7,865 | 06/24/2021 | (517 | ) | |||||||||
Goldman Sachs Bank USA | TWD | 99,809 | USD | 3,646 | 07/07/2021 | 51,187 | ||||||||||
Goldman Sachs Bank USA | TWD | 302,576 | USD | 10,788 | 07/22/2021 | (128,952 | ) | |||||||||
HSBC Bank USA | CHF | 2,928 | USD | 3,267 | 05/06/2021 | 60,856 | ||||||||||
HSBC Bank USA | AUD | 35,108 | USD | 27,234 | 05/19/2021 | 186,105 | ||||||||||
HSBC Bank USA | USD | 8,526 | CAD | 10,671 | 05/19/2021 | 155,891 | ||||||||||
HSBC Bank USA | EUR | 2,839 | USD | 3,419 | 05/27/2021 | 3,599 |
40 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
HSBC Bank USA | EUR | 1,469 | USD | 1,733 | 05/27/2021 | $ | (34,007 | ) | ||||||||
HSBC Bank USA | GBP | 3,047 | USD | 4,200 | 06/17/2021 | (8,660 | ) | |||||||||
HSBC Bank USA | USD | 4,212 | CNY | 27,616 | 06/24/2021 | 36,769 | ||||||||||
HSBC Bank USA | USD | 4,430 | IDR | 65,504,698 | 07/15/2021 | 57,497 | ||||||||||
HSBC Bank USA | USD | 16,772 | HKD | 130,379 | 08/13/2021 | 16,409 | ||||||||||
JPMorgan Chase Bank, NA | USD | 2,752 | COP | 9,868,855 | 05/20/2021 | (125,283 | ) | |||||||||
JPMorgan Chase Bank, NA | DKK | 14,922 | USD | 2,400 | 07/15/2021 | (15,843 | ) | |||||||||
JPMorgan Chase Bank, NA | INR | 259,879 | USD | 3,420 | 07/15/2021 | (45,986 | ) | |||||||||
JPMorgan Chase Bank, NA | USD | 9,728 | INR | 732,735 | 07/15/2021 | 44,266 | ||||||||||
Morgan Stanley Capital Services, Inc. | CHF | 24,757 | USD | 27,068 | 05/19/2021 | (50,969 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | JPY | 933,340 | USD | 8,701 | 05/20/2021 | 160,545 | ||||||||||
Morgan Stanley Capital Services, Inc. | JPY | 578,578 | USD | 5,278 | 05/20/2021 | (16,688 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,334 | JPY | 146,240 | 05/20/2021 | 4,218 | ||||||||||
Morgan Stanley Capital Services, Inc. | USD | 8,069 | JPY | 873,368 | 05/20/2021 | (77,132 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | NZD | 2,066 | USD | 1,497 | 05/27/2021 | 19,132 | ||||||||||
Morgan Stanley Capital Services, Inc. | NZD | 3,769 | USD | 2,663 | 05/27/2021 | (34,056 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | USD | 9,205 | EUR | 7,721 | 05/27/2021 | 82,541 | ||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,299 | EUR | 1,079 | 05/27/2021 | (1,120 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | USD | 4,252 | GBP | 3,047 | 06/17/2021 | (43,088 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | MXN | 82,642 | USD | 4,101 | 06/18/2021 | 41,744 | ||||||||||
Morgan Stanley Capital Services, Inc. | MYR | 49,238 | USD | 11,869 | 09/23/2021 | (91,426 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | USD | 5,228 | MYR | 21,707 | 09/23/2021 | 45,452 | ||||||||||
Natwest Markets PLC | GBP | 12,361 | USD | 17,285 | 05/19/2021 | 213,908 | ||||||||||
Natwest Markets PLC | USD | 1,395 | COP | 5,066,907 | 05/20/2021 | (46,395 | ) | |||||||||
Natwest Markets PLC | EUR | 1,583 | USD | 1,895 | 05/27/2021 | (8,477 | ) | |||||||||
Societe Generale | AUD | 5,380 | NZD | 5,854 | 06/04/2021 | 43,525 | ||||||||||
Standard Chartered Bank | CHF | 5,895 | USD | 6,569 | 05/06/2021 | 114,049 | ||||||||||
Standard Chartered Bank | USD | 2,881 | COP | 10,324,993 | 05/20/2021 | (132,239 | ) | |||||||||
Standard Chartered Bank | EUR | 4,080 | USD | 4,873 | 05/27/2021 | (35,093 | ) | |||||||||
Standard Chartered Bank | NZD | 4,143 | USD | 2,974 | 05/27/2021 | 10,102 | ||||||||||
Standard Chartered Bank | USD | 1,369 | AUD | 1,796 | 06/04/2021 | 14,747 | ||||||||||
Standard Chartered Bank | TWD | 118,254 | USD | 4,222 | 06/18/2021 | (28,646 | ) | |||||||||
Standard Chartered Bank | USD | 3,605 | TWD | 99,809 | 07/07/2021 | (9,710 | ) | |||||||||
Standard Chartered Bank | TWD | 203,565 | USD | 7,357 | 07/22/2021 | 12,393 | ||||||||||
Standard Chartered Bank | USD | 5,457 | PHP | 265,212 | 07/22/2021 | (16,868 | ) | |||||||||
State Street Bank & Trust Co. | USD | 2,764 | CHF | 2,555 | 05/06/2021 | 34,714 | ||||||||||
State Street Bank & Trust Co. | USD | 1,792 | CHF | 1,589 | 05/06/2021 | (51,623 | ) | |||||||||
State Street Bank & Trust Co. | THB | 46,935 | USD | 1,517 | 05/13/2021 | 9,466 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 41 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
State Street Bank & Trust Co. | USD | 4,011 | THB | 125,719 | 05/13/2021 | $ | 26,488 | |||||||||
State Street Bank & Trust Co. | USD | 6,065 | THB | 186,938 | 05/13/2021 | (61,771 | ) | |||||||||
State Street Bank & Trust Co. | JPY | 1,378,648 | USD | 13,026 | 05/20/2021 | 410,710 | ||||||||||
State Street Bank & Trust Co. | JPY | 152,423 | USD | 1,386 | 05/20/2021 | (8,825 | ) | |||||||||
State Street Bank & Trust Co. | PEN | 20,346 | USD | 5,463 | 05/20/2021 | 86,417 | ||||||||||
State Street Bank & Trust Co. | USD | 8,208 | JPY | 876,622 | 05/20/2021 | (185,970 | ) | |||||||||
State Street Bank & Trust Co. | USD | 178 | HKD | 1,380 | 05/21/2021 | (339 | ) | |||||||||
State Street Bank & Trust Co. | EUR | 12,385 | USD | 14,795 | 05/27/2021 | (101,298 | ) | |||||||||
State Street Bank & Trust Co. | NZD | 174 | USD | 126 | 05/27/2021 | 1,944 | ||||||||||
State Street Bank & Trust Co. | USD | 3,255 | EUR | 2,726 | 05/27/2021 | 23,659 | ||||||||||
State Street Bank & Trust Co. | USD | 3,623 | EUR | 3,005 | 05/27/2021 | (8,190 | ) | |||||||||
State Street Bank & Trust Co. | USD | 2,263 | NZD | 3,173 | 05/27/2021 | 8,106 | ||||||||||
State Street Bank & Trust Co. | USD | 1,816 | AUD | 2,381 | 06/04/2021 | 17,979 | ||||||||||
State Street Bank & Trust Co. | USD | 6,647 | GBP | 4,832 | 06/17/2021 | 26,764 | ||||||||||
State Street Bank & Trust Co. | USD | 283 | GBP | 203 | 06/17/2021 | (2,416 | ) | |||||||||
State Street Bank & Trust Co. | ZAR | 145,133 | USD | 9,890 | 06/17/2021 | (57,383 | ) | |||||||||
State Street Bank & Trust Co. | MXN | 19,935 | USD | 986 | 06/18/2021 | 7,034 | ||||||||||
State Street Bank & Trust Co. | CAD | 1,484 | USD | 1,188 | 07/16/2021 | (19,518 | ) | |||||||||
State Street Bank & Trust Co. | USD | 1,216 | CAD | 1,520 | 07/16/2021 | 20,355 | ||||||||||
UBS AG | BRL | 23,855 | USD | 4,415 | 05/04/2021 | 23,122 | ||||||||||
UBS AG | USD | 4,154 | BRL | 23,855 | 05/04/2021 | 237,201 | ||||||||||
UBS AG | NZD | 17,629 | USD | 12,650 | 05/19/2021 | 35,959 | ||||||||||
UBS AG | USD | 22,906 | EUR | 19,031 | 05/19/2021 | (19,515 | ) | |||||||||
UBS AG | USD | 1,626 | JPY | 175,643 | 05/19/2021 | (18,722 | ) | |||||||||
UBS AG | USD | 15,918 | NOK | 132,219 | 05/19/2021 | (33,145 | ) | |||||||||
UBS AG | JPY | 1,092,294 | USD | 10,035 | 05/20/2021 | 39,491 | ||||||||||
UBS AG | USD | 2,893 | JPY | 313,684 | 05/20/2021 | (22,069 | ) | |||||||||
UBS AG | EUR | 3,596 | USD | 4,359 | 05/27/2021 | 33,875 | ||||||||||
UBS AG | BRL | 7,766 | USD | 1,429 | 06/02/2021 | 3,016 | ||||||||||
UBS AG | USD | 2,912 | TWD | 80,660 | 06/18/2021 | (12,744 | ) | |||||||||
UBS AG | USD | 4,195 | CZK | 90,997 | 06/24/2021 | 35,060 | ||||||||||
UBS AG | CAD | 8,999 | USD | 7,185 | 07/16/2021 | (137,235 | ) | |||||||||
UBS AG | USD | 2,870 | PHP | 140,004 | 07/22/2021 | 1,726 | ||||||||||
|
| |||||||||||||||
$ | 1,130,894 | |||||||||||||||
|
|
INFLATION (CPI) SWAPS (see Note D)
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 | 57,870 | 03/18/2031 | 2.378 | % | CPI | # | Maturity | $ | 179,821 | $ | – 0 | – | $ | 179,821 | |||||||||||||||||||||
Goldman Sachs International | USD | 133,680 | 04/26/2027 | 1.705 | % | CPI | # | Maturity | 5,995,305 | – 0 | – | 5,995,305 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 69,760 | 04/26/2027 | 2.175 | % | CPI | # | Maturity | 1,455,742 | – 0 | – | 1,455,742 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 110,190 | 04/25/2030 | 1.900 | % | CPI | # | Maturity | 2,979,141 | – 0 | – | 2,979,141 | ||||||||||||||||||||||||
Goldman Sachs International | USD | 58,060 | 03/16/2031 | 2.289 | % | CPI | # | Maturity | 432,447 | – 0 | – | 432,447 |
42 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
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) | ||||||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 34,880 | 04/26/2027 | 2.183 | % | CPI | # | Maturity | $ | 714,398 | $ | – 0 | – | $ | 714,398 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | 11,756,854 | $ | – 0 | – | $ | 11,756,854 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||||
JPMorgan Chase Bank, NA | ||||||||||||||||||||||||
JPMorgan JMABRF34 Index(1) | 0.00% | Quarterly | USD | 8,053 | 06/15/2021 | $ | (133,141 | ) | ||||||||||||||||
JPMorgan JMABRF34 Index(2) | 0.00% | Quarterly | USD | 25,844 | 06/15/2021 | (517,652 | ) | |||||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||||||
UBS AG | ||||||||||||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | | 3 Month LIBOR Plus 0.14% | | Quarterly | USD | 12,316 | 08/16/2021 | (1,004,818 | ) | |||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | | 3 Month LIBOR Plus 0.20% | | Quarterly | USD | 14,286 | 09/15/2021 | (1,164,126 | ) | |||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | | 3 Month LIBOR Plus 0.26% | | Quarterly | USD | 36,859 | 09/15/2021 | (1,828,557 | ) | |||||||||||||||
FTSE EPRA/NAREIT Developed Real Estate Index | | 3 Month LIBOR Plus 0.225 | | Quarterly | USD | 38,471 | 04/15/2022 | (745,070 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
$ | (5,393,364 | ) | ||||||||||||||||||||||
|
|
VARIANCE SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Volatility Strike Rate | Payment Frequency | Notional Amount (000) | Market Value | Upfront Premiums (Paid) Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
Citibank, NA |
| |||||||||||||||||||||||||||
USD/JPY 04/19/2022* | 6.85 | % | Maturity | USD | 1,445 | $ | (73,024 | ) | $ | – 0 | – | $ | (73,024 | ) | ||||||||||||||
UBS AG |
| |||||||||||||||||||||||||||
USD/JPY 09/30/2021* | 7.85 | Maturity | USD | 1,342 | (343,305 | ) | – 0 | – | (343,305 | ) | ||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
Goldman Sachs Bank USA |
| |||||||||||||||||||||||||||
USD/JPY 09/30/2021* | 7.20 | Maturity | USD | 1,074 | 198,414 | – 0 | – | 198,414 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (217,915 | ) | $ | – 0 | – | $ | (217,915 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
(a) | Non-income producing security. |
(b) | Represents entire or partial securities out on loan. See Note E for securities lending information. |
(c) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the aggregate market value of these securities amounted to $26,723,626 or 2.2% of net assets. |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 43 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
(d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(e) | Fair valued by the Adviser. |
(f) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov. Additionally, shareholder reports for AB funds can be obtained by calling AB at (800) 227-4618. |
(g) | Affiliated investments. |
(h) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD – Australian Dollar BRL – Brazilian Real CAD – Canadian Dollar CHF – Swiss Franc CLP – Chilean Peso CNY – Chinese Yuan Renminbi COP – Colombian Peso CZK – Czech Koruna DKK – Danish Krone EUR – Euro GBP – Great British Pound HKD – Hong Kong Dollar HUF – Hungarian Forint IDR – Indonesian Rupiah ILS – Israeli Shekel INR – Indian Rupee JPY – Japanese Yen KRW – South Korean Won MXN – Mexican Peso MYR – Malaysian Ringgit NOK – Norwegian Krone NZD – New Zealand Dollar PEN – Peruvian Sol PHP – Philippine Peso PLN – Polish Zloty RUB – Russian Ruble | SEK – Swedish Krona SGD – Singapore Dollar THB – Thailand Baht TWD – New Taiwan Dollar USD – United States Dollar ZAR – South African Rand
Glossary:
ADR – American Depositary Receipt CBT – Chicago Board of Trade CPI – Consumer Price Index EPRA – European Public Real Estate Association ETF – Exchange Traded Fund FTSE – Financial Times Stock Exchange GDR – Global Depositary Receipt KC HRW – Kansas City Hard Red Winter LIBOR – London Interbank Offered Rate LME – London Metal Exchange MSCI – Morgan Stanley Capital International NAREIT – National Association of Real Estate Investment Trusts PJSC – Public Joint Stock Company RBOB – Reformulated Gasoline Blend-Stock for Oxygen Blending (Unleaded Gas) REIT – Real Estate Investment Trust ULSD – Ultra-Low Sulfur Diesel WTI – West Texas Intermediate |
(1) | The following table represents the (long/(short)) futures basket holdings underlying the total return swap with JPMorgan JMABRF34 Index as of April 30, 2021. |
Security Description | Current Notional | Percent of Basket’s Value | ||||||
Soybean Oil Futures 07/2021 | $ | (2,025,145 | ) | (25.2 | )% | |||
Corn Futures 07/2021 | (2,011,782 | ) | (25.0 | )% | ||||
KC HRW Wheat Futures 07/2021 | (2,003,612 | ) | (24.9 | )% | ||||
KC HRW Wheat Futures 12/2021 | 1,984,028 | 24.6 | % | |||||
Wheat Futures (CBT) 07/2021 | (1,952,798 | ) | (24.3 | )% | ||||
Wheat Futures (CBT) 12/2021 | 1,939,047 | 24.1 | % | |||||
Corn Futures 12/2021 | 1,906,582 | 23.7 | % | |||||
Sugar #11 (World) Futures 07/2021 | (1,880,829 | ) | (23.4 | )% | ||||
Coffee ‘C’ Futures 07/2021 | (1,868,921 | ) | (23.2 | )% | ||||
Sugar #11 (World) Futures 10/2021 | 1,864,926 | 23.2 | % | |||||
Coffee ‘C’ Futures 12/2021 | 1,862,216 | 23.1 | % | |||||
Soybean Oil Futures 12/2021 | 1,839,360 | 22.8 | % | |||||
Copper Futures 07/2021 | (1,822,782 | ) | (22.6 | )% | ||||
Copper Futures 12/2021 | 1,822,488 | 22.6 | % | |||||
Cotton No.2 Futures 07/2021 | (1,812,897 | ) | (22.5 | )% |
44 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Security Description | Current Notional | Percent of Basket’s Value | ||||||
Soybean Futures 07/2021 | $ | (1,790,805 | ) | (22.2 | )% | |||
Cotton No.2 Futures 12/2021 | 1,780,057 | 22.1 | % | |||||
LME Nickel Futures 07/2021 | (1,776,698 | ) | (22.1 | )% | ||||
LME Nickel Futures 11/2021 | 1,774,756 | 22.0 | % | |||||
LME Primary Aluminum Futures 07/2021 | (1,752,524 | ) | (21.8 | )% | ||||
LME Primary Aluminum Futures 11/2021 | 1,748,706 | 21.7 | % | |||||
Natural Gas Futures 11/2021 | 1,738,537 | 21.6 | % | |||||
Natural Gas Futures 07/2021 | (1,729,260 | ) | (21.5 | )% | ||||
Soybean Futures 11/2021 | 1,728,481 | 21.5 | % | |||||
LME Zinc Futures 11/2021 | 1,717,945 | 21.3 | % | |||||
LME Zinc Futures 07/2021 | (1,717,502 | ) | (21.3 | )% | ||||
NY Harbor ULSD Futures 07/2021 | (1,708,241 | ) | (21.2 | )% | ||||
NY Harbor ULSD Futures 11/2021 | 1,705,946 | 21.2 | % | |||||
Lean Hogs Futures 10/2021 | 1,692,442 | 21.0 | % | |||||
Brent Crude Futures 07/2021 | (1,688,604 | ) | (21.0 | )% | ||||
Gasoline RBOB Futures 11/2021 | 1,686,715 | 20.9 | % | |||||
WTI Crude Futures 07/2021 | (1,685,187 | ) | (20.9 | )% | ||||
Lean Hogs Futures 07/2021 | (1,682,566 | ) | (20.9 | )% | ||||
WTI Crude Futures 11/2021 | 1,681,242 | 20.9 | % | |||||
Brent Crude Futures 11/2021 | 1,680,197 | 20.9 | % | |||||
Soybean Meal Futures 07/2021 | (1,675,302 | ) | (20.8 | )% | ||||
Gasoline RBOB Futures 07/2021 | (1,673,048 | ) | (20.8 | )% | ||||
Soybean Meal Futures 12/2021 | 1,646,026 | 20.4 | % | |||||
Live Cattle Futures 10/2021 | 1,607,860 | 20.0 | % | |||||
Live Cattle Futures 06/2021 | (1,550,936 | ) | (19.3 | )% |
(2) | The following table represents the (long/(short)) futures basket holdings underlying the total return swap with JPMorgan JMABRF34 Index as of April 30, 2021. |
Security Description | Current Notional | Percent of Basket’s Value | ||||||
Soybean Oil Futures 07/2021 | $ | (6,499,571 | ) | (25.2 | )% | |||
Corn Futures 07/2021 | (6,456,684 | ) | (25.0 | )% | ||||
KC HRW Wheat Futures 07/2021 | (6,430,464 | ) | (24.9 | )% | ||||
KC HRW Wheat Futures 12/2021 | 6,367,608 | 24.6 | % | |||||
Wheat Futures (CBT) 07/2021 | (6,267,380 | ) | (24.3 | )% | ||||
Wheat Futures (CBT) 12/2021 | 6,223,247 | 24.1 | % | |||||
Corn Futures 12/2021 | 6,119,052 | 23.7 | % | |||||
Sugar #11 (World) Futures 07/2021 | (6,036,398 | ) | (23.4 | )% | ||||
Coffee ‘C’ Futures 07/2021 | (5,998,180 | ) | (23.2 | )% | ||||
Sugar #11 (World) Futures 10/2021 | 5,985,360 | 23.2 | % | |||||
Coffee ‘C’ Futures 12/2021 | 5,976,663 | 23.1 | % | |||||
Soybean Oil Futures 12/2021 | 5,903,308 | 22.8 | % | |||||
Copper Futures 07/2021 | (5,850,100 | ) | (22.6 | )% | ||||
Copper Futures 12/2021 | 5,849,157 | 22.6 | % | |||||
Cotton No.2 Futures 07/2021 | (5,818,375 | ) | (22.5 | )% | ||||
Soybean Futures 07/2021 | (5,747,472 | ) | (22.2 | )% | ||||
Cotton No.2 Futures 12/2021 | 5,712,977 | 22.1 | % | |||||
LME Nickel Futures 07/2021 | (5,702,196 | ) | (22.1 | )% | ||||
LME Nickel Futures 11/2021 | 5,695,965 | 22.0 | % | |||||
LME Primary Aluminum Futures 07/2021 | (5,624,611 | ) | (21.8 | )% | ||||
LME Primary Aluminum Futures 11/2021 | 5,612,357 | 21.7 | % | |||||
Natural Gas Futures 11/2021 | 5,579,721 | 21.6 | % | |||||
Natural Gas Futures 07/2021 | (5,549,946 | ) | (21.5 | )% |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 45 |
CONSOLIDATED PORTFOLIO OF INVESTMENTS (continued)
Security Description | Current Notional | Percent of Basket’s Value | ||||||
Soybean Futures 11/2021 | $ | 5,547,447 | 21.5 | % | ||||
LME Zinc Futures 11/2021 | 5,513,632 | 21.3 | % | |||||
LME Zinc Futures 07/2021 | (5,512,213 | ) | (21.3 | )% | ||||
NY Harbor ULSD Futures 07/2021 | (5,482,487 | ) | (21.2 | )% | ||||
NY Harbor ULSD Futures 11/2021 | 5,475,124 | 21.2 | % | |||||
Lean Hogs Futures 10/2021 | 5,431,783 | 21.0 | % | |||||
Brent Crude Futures 07/2021 | (5,419,464 | ) | (21.0 | )% | ||||
Gasoline RBOB Futures 11/2021 | 5,413,402 | 20.9 | % | |||||
WTI Crude Futures 07/2021 | (5,408,497 | ) | (20.9 | )% | ||||
Lean Hogs Futures 07/2021 | (5,400,087 | ) | (20.9 | )% | ||||
WTI Crude Futures 11/2021 | 5,395,837 | 20.9 | % | |||||
Brent Crude Futures 11/2021 | 5,392,483 | 20.9 | % | |||||
Soybean Meal Futures 07/2021 | (5,376,775 | ) | (20.8 | )% | ||||
Gasoline RBOB Futures 07/2021 | (5,369,538 | ) | (20.8 | )% | ||||
Soybean Meal Futures 12/2021 | 5,282,814 | 20.4 | % | |||||
Live Cattle Futures 10/2021 | 5,160,323 | 20.0 | % | |||||
Live Cattle Futures 06/2021 | (4,977,629 | ) | (19.3 | )% |
See notes to consolidated financial statements.
46 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES
April 30, 2021 (unaudited)
Assets |
| |||||||
Investments in securities, at value |
| |||||||
Unaffiliated issuers (cost $784,251,005) | $ | 924,098,586 | (a) | |||||
Affiliated issuers (cost $236,236,610—including investment of cash collateral for securities loaned of $8,438,548) | 236,236,610 | |||||||
Cash collateral due from broker | 53,332,634 | |||||||
Foreign currencies, at value (cost $2,629,643) | 2,616,110 | |||||||
Unrealized appreciation on inflation swaps | 11,756,854 | |||||||
Unrealized appreciation on forward currency exchange contracts | 5,661,623 | |||||||
Receivable for investment securities sold | 5,450,788 | |||||||
Unaffiliated dividends and interest receivable | 1,902,589 | |||||||
Receivable for capital stock sold | 385,796 | |||||||
Unrealized appreciation on variance swaps | 198,414 | |||||||
Receivable for variation margin on futures | 20,497 | |||||||
Affiliated dividends receivable | 2,119 | |||||||
|
| |||||||
Total assets | 1,241,662,620 | |||||||
|
| |||||||
Liabilities |
| |||||||
Payable for investment securities purchased and foreign currency transactions | 12,571,748 | |||||||
Cash collateral due to broker | 11,740,000 | |||||||
Payable for collateral received on securities loaned | 8,438,548 | |||||||
Unrealized depreciation on total return swaps | 5,393,364 | |||||||
Unrealized depreciation on forward currency exchange contracts | 4,530,729 | |||||||
Advisory fee payable | 757,991 | |||||||
Unrealized depreciation on variance swaps | 416,329 | |||||||
Payable for capital stock redeemed | 237,979 | |||||||
Distribution fee payable | 131,180 | |||||||
Administrative fee payable | 25,571 | |||||||
Transfer Agent fee payable | 21,069 | |||||||
Directors’ fees payable | 2,488 | |||||||
Accrued expenses and other liabilities | 199,181 | |||||||
|
| |||||||
Total liabilities | 44,466,177 | |||||||
|
| |||||||
Net Assets | $ | 1,197,196,443 | ||||||
|
| |||||||
Composition of Net Assets |
| |||||||
Capital stock, at par | $ | 123,925 | ||||||
Additional paid-in capital | 1,094,877,574 | |||||||
Distributable earnings | 102,194,944 | |||||||
|
| |||||||
Net Assets | $ | 1,197,196,443 | ||||||
|
|
(a) | Includes securities on loan with a value of $23,553,273 (see Note E). |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 47 |
CONSOLIDATED STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share—33 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 2,652,441 | 270,065 | $ | 9.82 | * | ||||||
| ||||||||||||
C | $ | 421,771 | 42,645 | $ | 9.89 | |||||||
| ||||||||||||
Advisor | $ | 16,199,268 | 1,655,894 | $ | 9.78 | |||||||
| ||||||||||||
R | $ | 65,439 | 6,648 | $ | 9.84 | |||||||
| ||||||||||||
K | $ | 1,198,697 | 123,583 | $ | 9.70 | |||||||
| ||||||||||||
I | $ | 25,615,182 | 2,642,676 | $ | 9.69 | |||||||
| ||||||||||||
1 | $ | 603,049,242 | 62,672,656 | $ | 9.62 | |||||||
| ||||||||||||
2 | $ | 9,851 | 1,000 | $ | 9.85 | |||||||
| ||||||||||||
Z | $ | 547,984,552 | 56,510,241 | $ | 9.70 | |||||||
|
* | The maximum offering price per share for Class A shares was $10.26 which reflects a sales charge of 4.25%. |
See notes to consolidated financial statements.
48 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED STATEMENT OF OPERATIONS
Six Months Ended April 30, 2021 (unaudited)
Investment Income |
| |||||||
Dividends |
| |||||||
Unaffiliated issuers (net of foreign taxes withheld of $528,793) | $ | 12,405,082 | ||||||
Affiliated issuers | 22,443 | |||||||
Interest (net of foreign taxes withheld of $117)(a) | (157,763 | ) | ||||||
Securities lending income | 144,197 | $ | 12,413,959 | |||||
|
| |||||||
Expenses |
| |||||||
Advisory fee (see Note B) | 4,097,983 | |||||||
Distribution fee—Class A | 5,823 | |||||||
Distribution fee—Class C | 2,498 | |||||||
Distribution fee—Class R | 155 | |||||||
Distribution fee—Class K | 1,476 | |||||||
Distribution fee—Class 1 | 691,716 | |||||||
Transfer agency—Class A | 7,543 | |||||||
Transfer agency—Class C | 951 | |||||||
Transfer agency—Advisor Class | 26,888 | |||||||
Transfer agency—Class R | 70 | |||||||
Transfer agency—Class K | 1,188 | |||||||
Transfer agency—Class I | 3,613 | |||||||
Transfer agency—Class 1 | 61,579 | |||||||
Transfer agency—Class 2 | 1 | |||||||
Transfer agency—Class Z | 52,187 | |||||||
Custody and accounting | 179,686 | |||||||
Registration fees | 68,322 | |||||||
Audit and tax | 58,931 | |||||||
Administrative | 40,043 | |||||||
Printing | 24,055 | |||||||
Legal | 20,377 | |||||||
Directors’ fees | 16,062 | |||||||
Miscellaneous | 36,560 | |||||||
|
| |||||||
Total expenses | 5,397,707 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Notes B & E) | (95,309 | ) | ||||||
|
| |||||||
Net expenses | 5,302,398 | |||||||
|
| |||||||
Net investment income | 7,111,561 | |||||||
|
|
(a) | The negative interest income reflects coupon income adjusted for fluctuations in the inflation index related to inflation-indexed bonds and the amortization of premiums. |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 49 |
CONSOLIDATED STATEMENT OF OPERATIONS (continued)
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 24,448,835 | ||||||
Forward currency exchange contracts | 882,729 | |||||||
Futures | 64,537,442 | |||||||
Swaps | (3,845,609 | ) | ||||||
Foreign currency transactions | 3,674,879 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | 188,528,316 | |||||||
Forward currency exchange contracts | (927,935 | ) | ||||||
Futures | 11,110,599 | |||||||
Swaps | 73,306 | |||||||
Foreign currency denominated assets and liabilities | 26,273 | |||||||
|
| |||||||
Net gain on investment and foreign currency transactions | 288,508,835 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 295,620,396 | ||||||
|
|
See notes to consolidated financial statements.
50 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 7,111,561 | $ | 13,891,611 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 89,698,276 | (66,470,870 | ) | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 198,810,559 | (63,456,198 | ) | |||||
Contributions from Affiliates (see Note B) | – 0 | – | 9,171 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 295,620,396 | (116,026,286 | ) | |||||
Distributions to Shareholders | ||||||||
Class A | (221,879 | ) | (167,388 | ) | ||||
Class C | (9,571 | ) | (4,157 | ) | ||||
Advisor Class | (412,387 | ) | (343,095 | ) | ||||
Class R | (652 | ) | (3,960 | ) | ||||
Class K | (32,508 | ) | (34,127 | ) | ||||
Class I | (808,887 | ) | (500,083 | ) | ||||
Class 1 | (16,708,336 | ) | (11,399,122 | ) | ||||
Class 2 | (293 | ) | (184 | ) | ||||
Class Z | (15,915,046 | ) | (10,352,467 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase (decrease) | 6,557,075 | (83,740,442 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | 268,067,912 | (222,571,311 | ) | |||||
Net Assets | ||||||||
Beginning of period | 929,128,531 | 1,151,699,842 | ||||||
|
|
|
| |||||
End of period | $ | 1,197,196,443 | $ | 929,128,531 | ||||
|
|
|
|
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 51 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
April 30, 2021 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 9 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB All Market Real Return Portfolio (the “Fund”), a non-diversified portfolio. As part of the Fund’s investment strategy, the Fund seeks to gain exposure to commodities and commodities-related instruments and derivatives primarily through investments in AllianceBernstein Cayman Inflation Strategy, Ltd., a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the “Subsidiary”). The Fund is the sole shareholder of the Subsidiary and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary. As of April 30, 2021, consolidated net assets of the Fund were $1,197,196,443, of which $267,963,272, or 22%, represented the Fund’s ownership of all issued shares and voting rights of the Subsidiary. This report presents the consolidated financial statements of the Fund and the Subsidiary. All intercompany transactions and balances have been eliminated in consolidation. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class 1, Class 2, Class Z, and Class T shares. Class B and Class T shares have not been issued. Class 1 shares are sold only to the private clients of Sanford C. Bernstein & Co. LLC by its registered representatives. As of April 30, 2021, AllianceBernstein L.P. (the “Adviser”), was the sole shareholder of Class 2 shares. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Class R, Class K, Class 1, and Class Z shares are sold without an initial or contingent deferred sales charge. Advisor Class, Class I, and Class 2 shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All eleven classes of shares have identical voting, dividend, liquidation and other
52 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The consolidated financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the consolidated financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, the Adviser will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 53 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are 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.
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, 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.
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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
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.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2021:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Real Estate | $ | 239,429,116 | $ | 172,826,350 | $ | – 0 | – | $ | 412,255,466 | |||||||
Energy | 35,135,893 | 74,671,783 | – 0 | – | 109,807,676 | |||||||||||
Materials | 43,866,176 | 64,159,592 | 213,167 | 108,238,935 | ||||||||||||
Capital Goods | 19,066,896 | 12,803,900 | – 0 | – | 31,870,796 | |||||||||||
Utilities | 11,920,629 | 9,862,345 | – 0 | – | 21,782,974 | |||||||||||
Software & Services | 19,849,136 | 1,200,614 | – 0 | – | 21,049,750 | |||||||||||
Food Beverage & Tobacco | 9,048,720 | 6,136,720 | – 0 | – | 15,185,440 | |||||||||||
Media & Entertainment | 13,549,351 | 860,479 | – 0 | – | 14,409,830 | |||||||||||
Semiconductors & Semiconductor Equipment | 9,810,548 | 4,086,031 | 53,019 | 13,949,598 | ||||||||||||
Pharmaceuticals & Biotechnology | 9,361,100 | 2,973,445 | – 0 | – | 12,334,545 | |||||||||||
Consumer Durables & Apparel | 6,845,888 | 5,135,694 | 0 | (a) | 11,981,582 | |||||||||||
Retailing | 9,268,931 | 2,112,147 | – 0 | – | 11,381,078 | |||||||||||
Banks | 7,321,961 | 3,208,208 | – 0 | – | 10,530,169 | |||||||||||
Diversified Financials | 7,106,018 | 3,121,472 | – 0 | – | 10,227,490 | |||||||||||
Technology Hardware & Equipment | 9,406,639 | 431,628 | – 0 | – | 9,838,267 | |||||||||||
Health Care Equipment & Services | 9,604,166 | – 0 | – | – 0 | – | 9,604,166 | ||||||||||
Transportation | – 0 | – | 7,582,783 | – 0 | – | 7,582,783 | ||||||||||
Insurance | 5,224,889 | 1,627,514 | – 0 | – | 6,852,403 | |||||||||||
Automobiles & Components | 2,922,668 | 2,811,598 | – 0 | – | 5,734,266 | |||||||||||
Consumer Services | 5,239,961 | 360,008 | – 0 | – | 5,599,969 | |||||||||||
Commercial & Professional Services | 2,369,876 | 1,591,832 | – 0 | – | 3,961,708 | |||||||||||
Telecommunication Services | – 0 | – | 3,314,385 | – 0 | – | 3,314,385 | ||||||||||
Food & Staples Retailing | 2,417,723 | – 0 | – | – 0 | – | 2,417,723 | ||||||||||
Industrials | 1,601,511 | 129,712 | – 0 | – | 1,731,223 | |||||||||||
Household & Personal Products | 296,533 | – 0 | – | – 0 | – | 296,533 | ||||||||||
Investment Companies | 62,159,831 | – 0 | – | – 0 | – | 62,159,831 | ||||||||||
Short-Term Investments | 227,798,062 | – 0 | – | – 0 | – | 227,798,062 | ||||||||||
Investments of Cash Collateral for Securities Loaned in Affiliated Money Market Fund | 8,438,548 | – 0 | – | – 0 | – | 8,438,548 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 779,060,770 | 381,008,240 | 266,186 | 1,160,335,196 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | $ | 27,251,030 | $ | – 0 | – | $ | – 0 | – | $ | 27,251,030 | (c) | |||||
Forward Currency Exchange Contracts | – 0 | – | 5,661,623 | – 0 | – | 5,661,623 | ||||||||||
Inflation (CPI) Swaps | – 0 | – | 11,756,854 | – 0 | – | 11,756,854 | ||||||||||
Variance Swaps | – 0 | – | 198,414 | – 0 | – | 198,414 | ||||||||||
Liabilities: | ||||||||||||||||
Futures | (6,062,064 | ) | – 0 | – | – 0 | – | (6,062,064 | )(c) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (4,530,729 | ) | – 0 | – | (4,530,729 | ) | ||||||||
Total Return Swaps | – 0 | – | (5,393,364 | ) | – 0 | – | (5,393,364 | ) | ||||||||
Variance Swaps | – 0 | – | (416,329 | ) | – 0 | – | (416,329 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 800,249,736 | $ | 388,284,709 | $ | 266,186 | $ | 1,188,800,631 | ||||||||
|
|
|
|
|
|
|
|
(a) | The Fund held securities with zero market value at period end. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(c) | Only variation margin receivable/(payable) at period end is reported within the consolidated statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the consolidated portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for Federal income tax purposes. Note that the loss from the Subsidiary’s contemplated activities also cannot be carried forward to reduce future Subsidiary’s income in subsequent years. However, if the Subsidiary’s taxable gains exceed its losses and other deductible items during a taxable year, the net gain will pass through to the Fund as income for Federal income tax purposes.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s consolidated financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .75% of the Fund’s average daily net assets. The Adviser agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses on an annual basis (the “Expense Caps”) to 1.30%, 2.05%, 1.05%, 1.55%, 1.30%, 1.05%, 1.30%, 1.05% and 1.05% of daily average net assets for Class A, Class C, Advisor Class, Class R, Class K, Class I, Class 1, Class 2 and Class Z shares, respectively. This fee waiver and/or expense reimbursement agreement will remain in effect until January 31, 2022. For the six months ended April 30, 2021, such reimbursement amounted to $14,278.
The Subsidiary has entered into a separate agreement with the Adviser for the management of the Subsidiary’s portfolio. The Adviser receives no compensation from the Subsidiary for its services under the agreement.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2021, the reimbursement for such services amounted to $40,043.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $115,091 for the six months ended April 30, 2021.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $11 from the sale of Class A shares and received $5 and $4 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2021.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of ..20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2021, such waiver amounted to $80,527.
A summary of the Fund’s transactions in AB mutual funds for the six months ended April 30, 2021 is as follows:
Fund | Market Value 10/31/20 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 4/30/21 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 229,370 | $ | 365,851 | $ | 367,423 | $ | 227,798 | $ | 22 | ||||||||||
Government Money Market Portfolio* | 6,911 | 206,966 | 205,438 | 8,439 | 1 | |||||||||||||||
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|
|
| |||||||||||||||||
Total | $ | 236,237 | $ | 23 | ||||||||||||||||
|
|
|
|
* | Investments of cash collateral for securities lending transactions (see Note E). |
During the year ended October 31, 2020, the Adviser reimbursed the Fund $9,171 for trading losses incurred due to a trade entry error.
During the second quarter of 2018, AXA S.A. (“AXA”), a French holding company for the AXA Group, completed the sale of a minority stake in its subsidiary, AXA Equitable Holdings, Inc. (now named Equitable Holdings, Inc.)(“Equitable”), through an initial public offering. Equitable is the holding company for a diverse group of financial services companies, including an
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
approximate 65% economic interest in the Adviser and a 100% interest in AllianceBernstein Corporation, the general partner of the Adviser. Since the initial sale, AXA has completed additional offerings (and related transactions). As a result, as of May 20, 2021, AXA no longer owns shares of Equitable.
Sales that were completed on November 13, 2019 resulted in the indirect transfer of a “controlling block” of voting securities of the Adviser (a “Change of Control Event”) and may have been deemed to have been an “assignment” causing a termination of the Fund’s investment advisory and administration agreements. In order to ensure that investment advisory and administration services could continue uninterrupted in the event of a Change of Control Event, the Board previously approved new investment advisory and administration agreements with the Adviser, and shareholders of the Fund subsequently approved the new investment advisory agreement. These agreements became effective on November 13, 2019.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to AllianceBernstein Investments, Inc. (the “Distributor”) at an annual rate of up to .30% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to Class C shares, .50% of the Fund’s average daily net assets attributable to Class R shares, .25% of the Fund’s average daily net assets attributable to Class K shares and .25% of the Fund’s average daily net assets attributable to Class 1 shares. There are no distribution and servicing fees on the Advisor Class, Class I, Class 2 and Class Z shares. Payments under the Plan in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares’ average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $159,733, $16,709, $19,717 and $1,939,103 for Class C, Class R, Class K and Class 1 shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2021 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 366,646,738 | $ | 310,747,196 | ||||
U.S. government securities | – 0 | – | – 0 | – |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation | $ | 215,589,612 | ||
Gross unrealized depreciation | (47,276,596 | ) | ||
|
| |||
Net unrealized appreciation | $ | 168,313,016 | ||
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
• | Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the consolidated statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2021, the Fund held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2021, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions” or in order to take a “long” or “short” position with respect to an underlying referenced asset described below under “Total Return Swaps”. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the consolidated statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the consolidated statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for OTC swaps are recognized as cost or proceeds on the consolidated statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the consolidated statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the consolidated statement of operations.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the consolidated statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended April 30, 2021, the Fund held inflation (CPI) swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended April 30, 2021, the Fund held total return swaps for hedging and non-hedging purposes.
Variance Swaps:
The Fund may enter into variance swaps to hedge equity market risk or adjust exposure to the equity markets. Variance swaps are contracts in which two parties agree to exchange cash payments based on the difference between the stated level of variance and the actual variance realized on underlying asset(s) or index(es). Actual “variance” as used here is defined as the sum of the square of the returns on the reference asset(s) or index(es) (which in effect is a measure of its “volatility”) over the length of the contract term. So the parties to a variance swap can be said to exchange actual volatility for a contractually stated rate of volatility.
During the six months ended April 30, 2021, the Fund held variance swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
66 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
During the six months ended April 30, 2021, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Consolidated | Fair Value | Consolidated | Fair Value | ||||||||
Equity contracts | Receivable/Payable for variation margin on futures | $ | 1,911,285 | * | Receivable/Payable for variation margin on futures | $ | 6,699 | * | ||||
Commodity contracts | Receivable/Payable for variation margin on futures | | 25,339,745 | * | Receivable/Payable for variation margin on futures | | 6,055,365 | * | ||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | | 5,661,623 | Unrealized depreciation on forward currency exchange contracts | | 4,530,729 | ||||||
Interest rate contracts | Unrealized appreciation on inflation swaps | | 11,756,854 | |||||||||
Commodity contracts | Unrealized depreciation on total return swaps | | 650,793 | |||||||||
Equity contracts | Unrealized depreciation on total return swaps | | 4,742,571 | |||||||||
Foreign currency contracts | Unrealized appreciation on variance swaps | | 198,414 | Unrealized depreciation on variance swaps | | 416,329 | ||||||
|
|
|
| |||||||||
Total | $ | 44,867,921 | $ | 16,402,486 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the consolidated statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the consolidated portfolio of investments. |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 67 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (24,187 | ) | $ | 11,047 | ||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 7,216,928 | 3,926,761 | |||||||
Commodity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | 57,344,701 | 7,172,791 | |||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 882,729 | (927,935 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 4,345,360 | 7,854,707 | |||||||
Commodity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 7,103,261 | 1,963,297 | |||||||
Foreign exchange contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 9,209 | (114,747 | ) | ||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (15,303,439 | ) | (9,629,951 | ) | |||||
|
|
|
| |||||||
Total | $ | 61,574,562 | $ | 10,255,970 | ||||||
|
|
|
|
68 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended April 30, 2021:
Futures: | ||||
Average notional amount of buy contracts | $ | 352,056,264 | ||
Average notional amount of sale contracts | $ | 44,450,761 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 423,834,640 | ||
Average principal amount of sale contracts | $ | 489,886,126 | ||
Inflation Swaps: | ||||
Average notional amount | $ | 461,868,571 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 174,347,205 | ||
Variance Swaps: | ||||
Average notional amount | $ | 2,650,626 |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the consolidated statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of April 30, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
AB All Market Real Return Portfolio
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Australia and New Zealand Banking Group Ltd. | $ | 55,442 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 55,442 | |||||||
Bank of America, NA | 308,599 | (167,388 | ) | – 0 | – | – 0 | – | 141,211 | ||||||||||||
Barclays Bank PLC | 203,733 | (203,733 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
BNP Paribas SA | 204,223 | (204,223 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Citibank, NA | 1,309,686 | (509,495 | ) | – 0 | – | – 0 | – | 800,191 | ||||||||||||
Credit Suisse International | 183,116 | (112,931 | ) | – 0 | – | – 0 | – | 70,185 | ||||||||||||
Deutsche Bank AG | 462,823 | (462,823 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 11,768,037 | (822,319 | ) | (10,670,000 | ) | – 0 | – | 275,718 | ||||||||||||
HSBC Bank USA | 517,126 | (42,667 | ) | – 0 | – | – 0 | – | 474,459 | ||||||||||||
JPMorgan Chase Bank, NA | 758,664 | (187,112 | ) | (410,000 | ) | – 0 | – | 161,552 |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 69 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Morgan Stanley Capital Services, Inc. | $ | 353,632 | $ | (314,479 | ) | $ | – 0 | – | $ | – 0 | – | $ | 39,153 | |||||||
Natwest Markets PLC | 213,908 | (54,872 | ) | – 0 | – | – 0 | – | 159,036 | ||||||||||||
Societe Generale | 43,525 | – 0 | – | – 0 | – | – 0 | – | 43,525 | ||||||||||||
Standard Chartered Bank | 151,291 | (151,291 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 673,636 | (497,333 | ) | – 0 | – | – 0 | – | 176,303 | ||||||||||||
UBS AG | 409,450 | (409,450 | ) | – 0 | – | – 0 | – | – 0 | �� | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 17,616,891 | $ | (4,140,116 | ) | $ | (11,080,000 | ) | $ | – 0 | – | $ | 2,396,775 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Bank of America, NA | $ | 167,388 | $ | (167,388 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Barclays Bank PLC | 447,972 | (203,733 | ) | – 0 | – | – 0 | – | 244,239 | ||||||||||||
BNP Paribas SA | 274,469 | (204,223 | ) | – 0 | – | – 0 | – | 70,246 | ||||||||||||
Citibank, NA | 509,495 | (509,495 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 112,931 | (112,931 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 706,730 | (462,823 | ) | – 0 | – | – 0 | – | 243,907 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 822,319 | (822,319 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 42,667 | (42,667 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 187,112 | (187,112 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley Capital Services, Inc. | 314,479 | (314,479 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Natwest Markets PLC | 54,872 | (54,872 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Standard Chartered Bank | 222,556 | (151,291 | ) | – 0 | – | – 0 | – | 71,265 | ||||||||||||
State Street Bank & Trust Co. | 497,333 | (497,333 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 5,329,306 | (409,450 | ) | (4,919,856 | ) | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 9,689,629 | $ | (4,140,116 | ) | $ | (4,919,856 | ) | $ | – 0 | – | $ | 629,657 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
70 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
AllianceBernstein Cayman Inflation Strategy, Ltd.
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
JPMorgan Chase Bank, NA | $ | 650,793 | $ | – 0 | – | $ | (280,000 | ) | $ | – 0 | – | $ | 370,793 | |||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 650,793 | $ | – 0 | – | $ | (280,000 | ) | $ | – 0 | – | $ | 370,793 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
NOTE E
Securities Lending
The Fund may enter into securities lending transactions. Under the Fund’s securities lending program, all loans of securities will be collateralized continually by cash collateral and/or non-cash collateral. Non-cash collateral will include only securities issued or guaranteed by the U.S. government or its agencies or instrumentalities. The Fund cannot sell or repledge any non-cash collateral, such collateral will not be reflected in the portfolio of investments. If a loan is collateralized by cash, the Fund will be compensated for the loan from a portion of the net return from the income earned on cash collateral after a rebate is paid to the borrower (in some cases, this rebate may be a “negative rebate” or fee paid by the borrower to the Fund in connection with the loan), and payments are made for fees of the securities lending agent and for certain other administrative expenses. If the Fund receives non-cash collateral, the Fund will receive a fee from the borrower generally equal to a negotiated percentage of the market value of
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 71 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
the loaned securities. The Fund will have the right to call a loan and obtain the securities loaned at any time on notice to the borrower within the normal and customary settlement time for the securities. While the securities are on loan, the borrower is obligated to pay the Fund amounts equal to any income or other distributions from the securities; however, these distributions will not be afforded the same preferential tax treatment as qualified dividends. The Fund will not be able to exercise voting rights with respect to any securities during the existence of a loan, but will have the right to regain ownership of loaned securities in order to exercise voting or other ownership rights. Collateral received and securities loaned are marked to market daily to ensure that the securities loaned are secured by collateral. The lending agent currently invests the cash collateral received in Government Money Market Portfolio, an eligible money market vehicle, in accordance with the investment restrictions of the Fund, and as approved by the Board. The collateral received on securities loaned is recorded as an asset as well as a corresponding liability in the consolidated statement of assets and liabilities. The collateral will be adjusted the next business day to maintain the required collateral amount. The amounts of securities lending income from the borrowers and Government Money Market Portfolio are reflected in the consolidated statement of operations. When the Fund earns net securities lending income from Government Money Market Portfolio, the income is inclusive of a rebate expense paid to the borrower. In connection with the cash collateral investment by the Fund in Government Money Market Portfolio, the Adviser has agreed to waive a portion of the Fund’s share of the advisory fees of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. When the Fund lends securities, its investment performance will continue to reflect changes in the value of the securities loaned. A principal risk of lending portfolio securities is that the borrower may fail to return the loaned securities upon termination of the loan and that the collateral will not be sufficient to replace the loaned securities. The lending agent has agreed to indemnify the Fund in the case of default of any securities borrower.
A summary of the Fund’s transactions surrounding securities lending for the six months ended April 30, 2021 is as follows:
Market Value on Loan* | Cash Collateral* | Market Value of Non-Cash Collateral* | Income from Borrowers | Government Money Market Portfolio | ||||||||||||||||||
Income Earned | Advisory Fee Waived | |||||||||||||||||||||
$ | 23,553,273 | $ | 8,438,548 | $ | 16,282,766 | $ | 142,967 | $ | 1,230 | $ | 504 |
* | As of April 30, 2021. |
72 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
NOTE F
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 39,941 | 106,944 | $ | 375,585 | $ | 878,328 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 25,555 | 18,577 | 214,154 | 159,388 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 23,428 | 5,054 | 208,669 | 40,141 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (723,813 | ) | (454,169 | ) | (6,405,430 | ) | (3,812,340 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (634,889 | ) | (323,594 | ) | $ | (5,607,022 | ) | $ | (2,734,483 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 45 | 5,106 | $ | 393 | $ | 41,696 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,081 | 428 | 9,141 | 3,697 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (23,307 | ) | (5,044 | ) | (208,669 | ) | (40,141 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,456 | ) | (21,492 | ) | (13,531 | ) | (175,527 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (23,637 | ) | (21,002 | ) | $ | (212,666 | ) | $ | (170,275 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 261,622 | 266,300 | $ | 2,348,219 | $ | 2,062,690 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 35,548 | 30,646 | 296,466 | 261,410 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (182,083 | ) | (911,996 | ) | (1,600,631 | ) | (6,219,619 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 115,087 | (615,050 | ) | $ | 1,044,054 | $ | (3,895,519 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Shares sold | 457 | 5,559 | $ | 4,073 | $ | 43,032 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 77 | 467 | 652 | 3,960 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,010 | ) | (30,671 | ) | (9,050 | ) | (234,057 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (476 | ) | (24,645 | ) | $ | (4,325 | ) | $ | (187,065 | ) | ||||||||||||||
|
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 73 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class K | ||||||||||||||||||||||||
Shares sold | 25,467 | 111,348 | $ | 230,137 | $ | 803,021 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 3,926 | 4,034 | 32,508 | 34,127 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (98,156 | ) | (165,165 | ) | (832,105 | ) | (1,162,309 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (68,763 | ) | (49,783 | ) | $ | (569,460 | ) | $ | (325,161 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Shares sold | 53,922 | 275,947 | $ | 479,584 | $ | 1,888,924 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 97,928 | 59,111 | 808,887 | 500,083 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (387,708 | ) | (200,636 | ) | (3,381,981 | ) | (1,540,739 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (235,858 | ) | 134,422 | $ | (2,093,510 | ) | $ | 848,268 | ||||||||||||||||
| ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Shares sold | 7,440,872 | 7,351,843 | $ | 64,697,543 | $ | 57,260,027 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,712,373 | 1,079,630 | 14,041,460 | 9,079,689 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (9,097,888 | ) | (17,336,540 | ) | (78,773,805 | ) | (130,350,693 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 55,357 | (8,905,067 | ) | $ | (34,802 | ) | $ | (64,010,977 | ) | |||||||||||||||
| ||||||||||||||||||||||||
Class Z | ||||||||||||||||||||||||
Shares sold | 248,824 | 669,090 | $ | 2,310,525 | $ | 4,754,066 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,926,761 | 1,223,696 | 15,915,046 | 10,352,467 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (528,899 | ) | (3,826,335 | ) | (4,190,765 | ) | (28,371,763 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 1,646,686 | (1,933,549 | ) | $ | 14,034,806 | $ | (13,265,230 | ) | ||||||||||||||||
|
There were no transactions in capital shares for Class 2 for the six months ended April 30, 2021 and the year ended October 31, 2020.
At April 30, 2021, certain AB mutual funds owned approximately 40% of the Fund’s outstanding shares. Significant transactions by such shareholder, if any, may impact the Fund’s performance.
NOTE G
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the stock, commodity and bond markets fluctuate. The value of the Fund’s
74 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Interest Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Commodity Risk—Investing in commodities and commodity-linked derivative instruments, either directly or through the Subsidiary, may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected on the consolidated statement of assets and liabilities.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 75 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Foreign fixed-income securities may have more illiquid investments risk because secondary trading markets for these securities may be smaller and less well developed and the securities may trade less frequently. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Subsidiary Risk—By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and, unless otherwise noted in the Fund’s Prospectus, is not subject to all of the investor protections of the 1940 Act. However, the Fund wholly owns and controls the Subsidiary, and the Fund and the Subsidiary are managed by the Adviser, making it unlikely the Subsidiary will take actions contrary to the interests of the Fund or its shareholders.
Real Estate Risk—The Fund’s investments in the real estate securities have many of the same risks as direct ownership of real estate, including the risk that the value of real estate could decline due to a variety of factors that affect the real estate market generally. Investments in REITs may have additional risks. REITs are dependent on the capability of their managers, may have limited diversification, and could be significantly affected by changes in taxes.
76 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Non-Diversification Risk—The Fund may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Fund’s NAV.
Active Trading Risk—The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Fund’s return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
LIBOR Transition and Associated Risk—A Fund may invest in debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. The United Kingdom Financial Conduct Authority, which regulates LIBOR, will cease publishing certain LIBOR benchmarks at the end of 2021. Although certain LIBOR rates are intended to be published until June 2023, banks are strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and the Secured Overnight Financing Rate, global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition away from LIBOR is underway but remains incomplete. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 77 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE H
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the consolidated statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2021.
NOTE I
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2021 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2020 and October 31, 2019 were as follows:
2020 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 22,804,583 | $ | 24,643,711 | ||||
|
|
|
| |||||
Total distributions paid | $ | 22,804,583 | $ | 24,643,711 | ||||
|
|
|
|
78 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
As of October 31, 2020, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed ordinary income | $ | 31,120,422 | ||
Accumulated capital and other losses | (131,023,017 | )(a) | ||
Unrealized appreciation/(depreciation) | (255,580,416 | )(b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | (355,483,011 | )(c) | |
|
|
(a) | As of October 31, 2020, the Fund had a net capital loss carryforward of $131,023,017. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of Treasury inflation-protected securities, the tax treatment of earnings from the Subsidiary, the tax treatment of swaps, the tax deferral of losses on wash sales, and the tax treatment of partnership investments. |
(c) | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) is attributable primarily to the accrual of foreign capital gains tax. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2020, the Fund had a net short-term capital loss carryforward of $90,232,566 and a net long-term capital loss carryforward of $40,790,451, which may be carried forward for an indefinite period.
NOTE J
Subsequent Events
As of April 30, 2021, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Effective May 31, 2021, Class C shares will automatically convert to Class A shares after eight years instead of ten years.
Management has evaluated subsequent events for possible recognition or disclosure in the consolidated financial statements through the date the consolidated financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Fund’s consolidated financial statements through this date.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 79 |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.65 | $ 8.66 | $ 8.53 | $ 8.90 | $ 8.24 | $ 8.13 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .05 | .09 | .12 | .14 | .09 | .10 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.37 | (.96 | ) | .13 | (.23 | ) | .76 | .11 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.42 | (.87 | ) | .25 | (.09 | ) | .85 | .21 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.25 | ) | (.14 | ) | (.12 | ) | (.28 | ) | (.19 | ) | (.10 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.82 | $ 7.65 | $ 8.66 | $ 8.53 | $ 8.90 | $ 8.24 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | 31.99 | % | (10.11 | )% | 2.97 | % | (1.11 | )% | 10.45 | % | 2.75 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,652 | $6,926 | $10,634 | $11,478 | $11,819 | $13,682 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | 1.29 | %^ | 1.29 | % | 1.30 | % | 1.26 | % | 1.27 | % | 1.30 | % | ||||||||||||
Expenses, before | 1.40 | %^ | 1.40 | % | 1.32 | % | 1.27 | % | 1.28 | % | 1.36 | % | ||||||||||||
Net investment income(b) | 1.07 | %^ | 1.10 | % | 1.42 | % | 1.52 | % | 1.05 | % | 1.23 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 88 | % | 100 | % | 141 | % | 123 | % | 119 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .04 | %^ | .04 | % | .02 | % | .03 | % | .04 | % | .02 | % |
See | footnote summary on pages 88-89. |
80 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.66 | $ 8.63 | $ 8.49 | $ 8.83 | $ 8.17 | $ 8.03 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .01 | .03 | .06 | .07 | .02 | .04 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.39 | (.95 | ) | .11 | (.23 | ) | .76 | .12 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.40 | (.92 | ) | .17 | (.16 | ) | .78 | .16 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.17 | ) | (.05 | ) | (.03 | ) | (.18 | ) | (.12 | ) | (.02 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.89 | $ 7.66 | $ 8.63 | $ 8.49 | $ 8.83 | $ 8.17 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | 31.63 | % | (10.74 | )%(g) | 2.05 | %(g) | (1.82 | )% | 9.73 | % | 2.07 | %(g) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $422 | $508 | $754 | $1,225 | $1,801 | $2,814 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | 2.04 | %^ | 2.04 | % | 2.05 | % | 2.01 | % | 2.02 | % | 2.03 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | 2.21 | %^ | 2.15 | % | 2.07 | % | 2.02 | % | 2.03 | % | 2.11 | % | ||||||||||||
Net investment income(b) | .24 | %^ | .34 | % | .66 | % | .78 | % | .27 | % | .51 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 88 | % | 100 | % | 141 | % | 123 | % | 119 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .04 | %^ | .04 | % | .02 | % | .03 | % | .04 | % | .02 | % |
See | footnote summary on pages 88-89. |
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 81 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.63 | $ 8.63 | $ 8.51 | $ 8.89 | $ 8.22 | $ 8.13 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .06 | .11 | .14 | .16 | .11 | .12 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.36 | (.95 | ) | .12 | (.24 | ) | .77 | .11 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.42 | (.84 | ) | .26 | (.08 | ) | .88 | .23 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.27 | ) | (.16 | ) | (.14 | ) | (.30 | ) | (.21 | ) | (.14 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.78 | $ 7.63 | $ 8.63 | $ 8.51 | $ 8.89 | $ 8.22 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | 32.12 | % | (9.79 | )% | 3.15 | % | (.96 | )% | 10.87 | % | 3.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $16,199 | $11,761 | $18,611 | $26,030 | $27,670 | $25,307 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | 1.04 | %^ | 1.04 | % | 1.05 | % | 1.01 | % | 1.02 | % | 1.04 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | 1.21 | %^ | 1.14 | % | 1.07 | % | 1.02 | % | 1.02 | % | 1.10 | % | ||||||||||||
Net investment income(b) | 1.24 | %^ | 1.33 | % | 1.66 | % | 1.77 | % | 1.31 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 88 | % | 100 | % | 141 | % | 123 | % | 119 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .04 | %^ | .04 | % | .02 | % | .03 | % | .04 | % | .02 | % |
See | footnote summary on pages 88-89. |
82 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.53 | $ 8.53 | $ 8.40 | $ 8.79 | $ 8.14 | $ 8.06 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .03 | .07 | .10 | .11 | .07 | .07 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.37 | (.95 | ) | .11 | (.23 | ) | .76 | .11 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.40 | (.88 | ) | .21 | (.12 | ) | .83 | .18 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.12 | ) | (.08 | ) | (.27 | ) | (.18 | ) | (.10 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.84 | $ 7.53 | $ 8.53 | $ 8.40 | $ 8.79 | $ 8.14 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | 31.90 | % | (10.32 | )% | 2.62 | % | (1.47 | )% | 10.29 | % | 2.41 | %(g) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $65 | $54 | $271 | $271 | $239 | $201 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | 1.54 | %^ | 1.54 | % | 1.55 | % | 1.55 | % | 1.54 | % | 1.54 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | 1.56 | %^ | 1.60 | % | 1.57 | % | 1.58 | % | 1.60 | % | 1.66 | % | ||||||||||||
Net investment income(b) | .73 | %^ | .92 | % | 1.16 | % | 1.24 | % | .81 | % | .91 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 88 | % | 100 | % | 141 | % | 123 | % | 119 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .04 | %^ | .04 | % | .02 | % | .03 | % | .04 | % | .02 | % |
See footnote summary on pages 88-89.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 83 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.55 | $ 8.55 | $ 8.42 | $ 8.80 | $ 8.15 | $ 8.07 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .04 | .08 | .12 | .13 | .09 | .10 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.35 | (.94 | ) | .13 | (.23 | ) | .75 | .11 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.39 | (.86 | ) | .25 | (.10 | ) | .84 | .21 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.24 | ) | (.14 | ) | (.12 | ) | (.28 | ) | (.19 | ) | (.13 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.70 | $ 7.55 | $ 8.55 | $ 8.42 | $ 8.80 | $ 8.15 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | 32.06 | % | (10.10 | )% | 3.03 | % | (1.20 | )% | 10.48 | % | 2.81 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $1,199 | $1,453 | $2,069 | $2,604 | $2,265 | $1,888 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | 1.26 | %^ | 1.28 | % | 1.27 | % | 1.26 | % | 1.28 | % | 1.29 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | 1.28 | %^ | 1.29 | % | 1.28 | % | 1.27 | % | 1.29 | % | 1.35 | % | ||||||||||||
Net investment income(b) | 1.02 | %^ | 1.08 | % | 1.44 | % | 1.52 | % | 1.05 | % | 1.23 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 88 | % | 100 | % | 141 | % | 123 | % | 119 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .04 | %^ | .04 | % | .02 | % | .03 | % | .04 | % | .02 | % |
See footnote summary on pages 88-89.
84 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.58 | $ 8.58 | $ 8.46 | $ 8.83 | $ 8.17 | $ 8.11 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .06 | .12 | .15 | .17 | .12 | .12 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.34 | (.94 | ) | .13 | (.22 | ) | .77 | .11 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.40 | (.82 | ) | .28 | (.05 | ) | .89 | .23 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.29 | ) | (.18 | ) | (.16 | ) | (.32 | ) | (.23 | ) | (.17 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.69 | $ 7.58 | $ 8.58 | $ 8.46 | $ 8.83 | $ 8.17 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | 32.37 | % | (9.76 | )% | 3.39 | % | (.69 | )% | 10.98 | % | 3.03 | %(g) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $25,615 | $21,817 | $23,541 | $12,213 | $16,753 | $15,646 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | .85 | %^ | .86 | ��% | .85 | % | .83 | % | .85 | % | .91 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | .86 | %^ | .87 | % | .86 | % | .84 | % | .86 | % | .92 | % | ||||||||||||
Net investment income(b) | 1.43 | %^ | 1.49 | % | 1.79 | % | 1.96 | % | 1.48 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 88 | % | 100 | % | 141 | % | 123 | % | 119 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .04 | %^ | .04 | % | .02 | % | .03 | % | .04 | % | .02 | % |
See footnote summary on pages 88-89.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 85 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 1 | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.52 | $ 8.51 | $ 8.39 | $ 8.76 | $ 8.11 | $ 8.05 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .05 | .10 | .13 | .15 | .10 | .11 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.32 | (.93 | ) | .12 | (.22 | ) | .76 | .10 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.37 | (.83 | ) | .25 | (.07 | ) | .86 | .21 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.27 | ) | (.16 | ) | (.13 | ) | (.30 | ) | (.21 | ) | (.15 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.62 | $ 7.52 | $ 8.51 | $ 8.39 | $ 8.76 | $ 8.11 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | 32.17 | % | (9.94 | )% | 3.14 | % | (.92 | )% | 10.69 | % | 2.82 | %(g) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $603,049 | $470,635 | $608,485 | $641,891 | $649,421 | $505,143 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | 1.09 | %^ | 1.10 | % | 1.09 | % | 1.08 | % | 1.09 | % | 1.15 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | 1.10 | %^ | 1.11 | % | 1.10 | % | 1.08 | % | 1.10 | % | 1.16 | % | ||||||||||||
Net investment income(b) | 1.18 | %^ | 1.26 | % | 1.62 | % | 1.71 | % | 1.24 | % | 1.38 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 88 | % | 100 | % | 141 | % | 123 | % | 119 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .04 | %^ | .04 | % | .02 | % | .03 | % | .04 | % | .02 | % |
See footnote summary on pages 88-89.
86 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 2 | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.70 | $ 8.71 | $ 8.58 | $ 8.96 | $ 8.29 | $ 8.22 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .07 | .12 | .16 | .18 | .13 | .13 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.37 | (.95 | ) | .13 | (.24 | ) | .77 | .11 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.44 | (.83 | ) | .29 | (.06 | ) | .90 | .24 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.29 | ) | (.18 | ) | (.16 | ) | (.32 | ) | (.23 | ) | (.17 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.85 | $ 7.70 | $ 8.71 | $ 8.58 | $ 8.96 | $ 8.29 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d)* | 32.39 | % | (9.70 | )% | 3.46 | % | (.77 | )% | 10.96 | % | 3.17 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $10 | $8 | $9 | $9 | $9 | $8 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | .85 | %^ | .82 | % | .81 | % | .82 | % | .82 | % | .90 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | .87 | %^ | .84 | % | .81 | % | .82 | % | .83 | % | .90 | % | ||||||||||||
Net investment income(b) | 1.45 | %^ | 1.53 | % | 1.90 | % | 1.95 | % | 1.50 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 88 | % | 100 | % | 141 | % | 123 | % | 119 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .04 | %^ | .04 | % | .02 | % | .03 | % | .04 | % | .02 | % |
See footnote summary on pages 88-89.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 87 |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class Z | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.58 | $ 8.58 | $ 8.46 | $ 8.83 | $ 8.17 | $ 8.11 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .06 | .12 | .16 | .17 | .13 | .12 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | 2.35 | (.94 | ) | .12 | (.22 | ) | .76 | .11 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | .00 | (c) | – 0 | – | – 0 | – | .00 | (c) | .00 | (c) | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | 2.41 | (.82 | ) | .28 | (.05 | ) | .89 | .23 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends |
| |||||||||||||||||||||||
Dividends from net investment income | (.29 | ) | (.18 | ) | (.16 | ) | (.32 | ) | (.23 | ) | (.17 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 9.70 | $ 7.58 | $ 8.58 | $ 8.46 | $ 8.83 | $ 8.17 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d)* | 32.51 | % | (9.75 | )% | 3.37 | % | (.68 | )% | 10.98 | % | 3.09 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $547,985 | $415,967 | $487,326 | $1,013,733 | $692,895 | $8,634 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f)‡ | .84 | %^ | .85 | % | .84 | % | .83 | % | .82 | % | .92 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f)‡ | .85 | %^ | .86 | % | .85 | % | .84 | % | .83 | % | .92 | % | ||||||||||||
Net investment income(b) | 1.44 | %^ | 1.51 | % | 1.89 | % | 1.86 | % | 1.60 | % | 1.56 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 88 | % | 100 | % | 141 | % | 123 | % | 119 | % | ||||||||||||
‡ Expense ratios exclude the estimated acquired fund fees of the affiliated/unaffiliated underlying |
| |||||||||||||||||||||||
portfolios | .04 | %^ | .04 | % | .02 | % | .03 | % | .04 | % | .02 | % |
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Amount is less than $.005. |
88 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
CONSOLIDATED FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(e) | In connection with the Fund’s investments in affiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses, and for the six months ended April 30, 2021 and the years ended October 31, 2020, October 31, 2019, October 31, 2018 and October 31, 2017, such waiver amounted to .01% (annualized), .01%, .01%, .01% and .01%, respectively. |
(f) | The expense ratios presented below exclude interest/bank overdraft: |
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Net of waivers/reimbursements | N/A | N/A | 1.29 | % | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | N/A | N/A | 1.32 | % | N/A | N/A | N/A | |||||||||||||||||
Class C |
| |||||||||||||||||||||||
Net of waivers/reimbursements | N/A | N/A | 2.04 | % | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | N/A | N/A | 2.07 | % | N/A | N/A | N/A | |||||||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Net of waivers/reimbursements | N/A | N/A | 1.04 | % | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | N/A | N/A | 1.06 | % | N/A | N/A | N/A | |||||||||||||||||
Class R |
| |||||||||||||||||||||||
Net of waivers/reimbursements | N/A | N/A | 1.54 | % | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | N/A | N/A | 1.57 | % | N/A | N/A | N/A | |||||||||||||||||
Class K |
| |||||||||||||||||||||||
Net of waivers/reimbursements | N/A | N/A | 1.27 | % | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | N/A | N/A | 1.28 | % | N/A | N/A | N/A | |||||||||||||||||
Class I |
| |||||||||||||||||||||||
Net of waivers/reimbursements | N/A | N/A | .84 | % | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | N/A | N/A | .85 | % | N/A | N/A | N/A | |||||||||||||||||
Class 1 |
| |||||||||||||||||||||||
Net of waivers/reimbursements | N/A | N/A | 1.09 | % | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | N/A | N/A | 1.09 | % | N/A | N/A | N/A | |||||||||||||||||
Class 2 |
| |||||||||||||||||||||||
Net of waivers/reimbursements | N/A | N/A | .81 | % | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | N/A | N/A | .81 | % | N/A | N/A | N/A | |||||||||||||||||
Class Z |
| |||||||||||||||||||||||
Net of waivers/reimbursements | N/A | N/A | .83 | % | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | N/A | N/A | .84 | % | N/A | N/A | N/A |
(g) | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
* | Includes the impact of proceeds received and credited to the Fund resulting from class action settlements, which enhanced the Fund’s performance for the years ended October 31, 2020 and October 31, 2019 by .02% and .07%, respectively. |
^ | Annualized. |
See notes to consolidated financial statements.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 89 |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Vinod Chathlani(2), Vice President Daniel J. Loewy(2), Vice President Leon Zhu(2), Vice President Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Analyst | Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672 | Independent Registered Public Ernst & Young LLP 5 Times Square New York, NY 10036
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s All Market Real Return Portfolio Team. Messrs. Chathlani, Loewy and Zhu are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio. |
90 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
Operation and Effectiveness of the Fund’s Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Fund’s LRMP is adequately designed, has been implemented as intended,
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 91 |
and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Fund, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
92 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AB Bond Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB All Market Real Return Portfolio (the “Fund”) at a meeting held by video conference on August 4-5, 2020 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 93 |
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant retained by the Fund’s former Senior Officer/Independent Compliance Officer. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2018 and 2019 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained by the Fund’s former Senior Officer/Independent Compliance Officer. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
94 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to soft dollar arrangements (whereby investment advisers receive brokerage and research services from brokers that execute transactions for their clients); 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; brokerage commissions paid by the Fund to brokers affiliated with the Adviser; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5-, and 10-year periods ended May 31, 2020 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, and their discussion with the Adviser of the reasons for the Fund’s underperformance in the periods reviewed, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Fund’s contractual advisory fee rate with a peer group median and took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 95 |
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors previously discussed these matters with an independent fee consultant.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional clients. In this regard, the Adviser noted, among other things, that, compared to institutional accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund invests in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund is for services that are in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund
96 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Fund’s expense ratio was above the medians. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund does not contain breakpoints and that they had discussed their strong preference for breakpoints in advisory contracts with the Adviser. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also previously discussed economies of scale with an independent fee consultant. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. The directors informed the Adviser that they would monitor the Fund’s asset level (which was well below the level at which they would anticipate adding an initial breakpoint) and its profitability to the Adviser and anticipated revisiting the question of breakpoints in the future if circumstances warranted doing so.
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 97 |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
1 | Prior to April 30, 2021, High Yield Portfolio was named FlexFee High Yield Portfolio. |
98 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
NOTES
abfunds.com | AB ALL MARKET REAL RETURN PORTFOLIO | 99 |
NOTES
100 | AB ALL MARKET REAL RETURN PORTFOLIO | abfunds.com |
AB ALL MARKET REAL RETURN PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
AMRR-0152-0421
APR 04.30.21
SEMI-ANNUAL REPORT
AB BOND INFLATION STRATEGY
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
FROM THE PRESIDENT |
Dear Shareholder,
We’re pleased to provide this report for the AB Bond Inflation Strategy (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB BOND INFLATION STRATEGY | 1 |
SEMI-ANNUAL REPORT
June 7, 2021
This report provides management’s discussion of fund performance for the AB Bond Inflation Strategy for the semi-annual reporting period ended April 30, 2021.
The Fund’s investment objective is to maximize real return without assuming what the Adviser considers to be undue risk.
NAV RETURNS AS OF APRIL 30, 2021 (unaudited)
6 Months | 12 Months | |||||||
AB BOND INFLATION STRATEGY | ||||||||
Class 1 Shares1 | 4.32% | 13.40% | ||||||
Class 2 Shares1 | 4.37% | 13.53% | ||||||
Class A Shares | 4.29% | 13.33% | ||||||
Class C Shares | 3.86% | 12.45% | ||||||
Advisor Class Shares2 | 4.40% | 13.59% | ||||||
Class R Shares2 | 4.10% | 12.99% | ||||||
Class K Shares2 | 4.19% | 13.21% | ||||||
Class I Shares2 | 4.36% | 13.58% | ||||||
Class Z Shares2 | 4.35% | 13.57% | ||||||
Bloomberg Barclays 1-10 Year TIPS Index | 3.38% | 7.32% |
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Adviser’s institutional clients or through other limited arrangements. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its benchmark, the Bloomberg Barclays 1-10 Year Treasury Inflation-Protected Securities (“TIPS”) Index, for the six- and 12-month periods ended April 30, 2021.
During the six-month period, all share classes outperformed the benchmark, before sales charges. Off-benchmark sector allocation was the primary contributor, relative to the benchmark, mostly from allocations to investment-grade corporate bonds and Consumer Price Index (“CPI”) swaps that were partially offset by investment-grade credit default swaps. The Fund’s exposure to inflation breakevens also contributed. Currency decisions detracted, as losses primarily from exposures to the Canadian dollar, Australian dollar and Swedish krona were greater than a gain in the euro.
2 | AB BOND INFLATION STRATEGY | abfunds.com |
During the 12-month period, all share classes outperformed the benchmark, before sales charges. Off-benchmark sector allocation was the main contributor to outperformance, mostly from allocations to investment-grade corporate bonds, agency risk-sharing transactions, commercial mortgage-backed securities and CPI swaps that were partially offset by investment-grade credit default swaps and interest rate swaps. The Fund’s exposure to inflation breakevens also contributed. Currency decisions detracted, as losses primarily from exposures to the Canadian dollar, Australian dollar, New Zealand dollar and Swedish krona were greater than a gain in the euro.
During both periods, the Fund utilized currency forwards to hedge currency risk and actively manage currency positions. Credit default swaps were utilized in the corporate and commercial mortgage-backed securities sectors for hedging and investment purposes. Treasury futures and interest rate swaps were utilized to manage duration, country exposure and yield-curve positioning. CPI swaps were used to hedge inflation and for investment purposes, which added to absolute returns for both periods. Total return swaps and written options were used in the corporate sector for hedging and investment purposes. Written swaptions were used for hedging and investment purposes, which added for both periods.
MARKET REVIEW AND INVESTMENT STRATEGY
Global fixed-income market returns were mixed over the six-month period ended April 30, 2021, with elevated volatility and dispersion between regions and credit sectors. After the positive impact of massive fiscal stimulus enacted by governments and central bank monetary policies, longer-term treasury yields continued to steadily rise during the period, based on expectations of an economic growth recovery. Developed-market government bond returns fell sharply in all major developed markets except Japan, where treasury returns were slightly positive. Historically low interest rates also set the stage for a sharp rebound in risk assets, which began to significantly rise in November, when positive vaccine news extended the credit rally. Emerging-market high-yield hard-currency sovereign bonds, along with emerging- and developed-market high-yield corporate bonds, led significant gains against developed-market treasuries with strong positive returns, as investors searched for higher yields in a period of historically low interest rates. Emerging-market local-currency bonds and investment-grade corporate bonds in Europe and emerging markets also had positive results. Investment-grade emerging-market sovereign bonds and US corporate bonds had negative returns, yet outperformed developed-market treasuries. Securitized assets outperformed US Treasuries, with slightly negative results. The US dollar fell against all major developed-market currencies except the yen and also fell against most emerging-market currencies during the period. Brent crude oil prices significantly rebounded on the improved global economic outlook and OPEC+ production cuts, and copper advanced near an all-time high partly due to increased demand for infrastructure and green-energy initiatives.
abfunds.com | AB BOND INFLATION STRATEGY | 3 |
INVESTMENT POLICIES
The Fund seeks real return. Real return is the rate of return after adjusting for inflation. The Fund pursues its objective by investing principally in inflation-indexed securities (such as TIPS or inflation-indexed securities from issuers other than the US Treasury) or by gaining inflation protection through derivatives transactions, such as inflation (CPI) swaps or total return swaps linked to TIPS. In deciding whether to purchase inflation-indexed securities or use inflation-linked derivatives transactions, the Adviser considers the relative costs and efficiency of each method. In addition, in seeking to maximize real return, the Fund may also invest in other fixed-income investments, such as US and non-US government securities, corporate fixed-income securities and mortgage-related securities, as well as derivatives linked to such securities.
Under normal circumstances, the Fund invests at least 80% of its net assets in fixed-income securities. While the Fund expects to invest principally in investment-grade securities, it may invest up to 15% of its total assets in fixed-income securities rated BB or B or the equivalent by at least one national rating agency (or deemed by the Adviser to be of comparable credit quality), which are not investment-grade (“junk bonds”).
Inflation-indexed securities are fixed-income securities structured to provide protection against inflation. Their principal value and/or the interest paid on them are adjusted to reflect official inflation measures. The inflation measure for TIPS is the CPI for Urban Consumers. The Fund may also invest in other inflation-indexed securities, issued by both US and non-US issuers, and in derivative instruments linked to these securities.
The Fund may invest in derivatives, such as options, futures contracts, forwards or swaps. The Fund intends to use leverage for investment purposes. To do this, the Fund expects to enter into (i) reverse repurchase agreement transactions and use the cash made available from these transactions to make additional investments in fixed-income securities in accordance with the Fund’s investment policies and (ii) total return swaps. In determining when and to what extent to employ leverage or enter into derivatives transactions, the Adviser considers factors such as the relative risks and returns expected of potential investments and the costs of such transactions. The Adviser considers the impact of reverse repurchase agreements, swaps and other derivatives in making its assessments of the Fund’s risks. The resulting exposures to markets, sectors, issuers or specific securities will be continuously monitored by the Adviser.
(continued on next page)
4 | AB BOND INFLATION STRATEGY | abfunds.com |
The Adviser selects securities for purchase or sale based on its assessment of the securities’ risk and return characteristics as well as the securities’ impact on the overall risk and return characteristics of the Fund. In making this assessment, the Adviser takes into account various factors, including the credit quality and sensitivity to interest rates of the securities under consideration and of the Fund’s other holdings.
The Fund may also invest in loan participations and assignments; structured securities; mortgage-backed and other asset-backed securities; variable-, floating-, and inverse-floating-rate instruments; and preferred stock, and may use other investment techniques. The Fund may invest in fixed-income securities of any maturity and duration. If the rating of a fixed-income security falls below investment-grade, the Fund will not be obligated to sell the security and may continue to hold it if, in the Adviser’s opinion, the investment is appropriate under the circumstances.
abfunds.com | AB BOND INFLATION STRATEGY | 5 |
DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg Barclays 1-10 Year TIPS Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Barclays 1-10 Year TIPS Index represents the performance of inflation-protected securities issued by the US Treasury. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of the Fund’s investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater
6 | AB BOND INFLATION STRATEGY | abfunds.com |
DISCLOSURES AND RISKS (continued)
for fixed-income securities with longer maturities. Although the Fund invests principally in inflation-indexed securities, the value of its securities may be vulnerable to changes in expectations of inflation or interest rates.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities Risk: Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (“NAV”) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally go down.
abfunds.com | AB BOND INFLATION STRATEGY | 7 |
DISCLOSURES AND RISKS (continued)
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com. For Class 1 shares, go to www.bernstein.com and click on “Investments”, found in the footer, then “Mutual Fund Information—Mutual Fund Performance at a Glance.”
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Class 1 and Class 2 shares do not carry sales charges. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
8 | AB BOND INFLATION STRATEGY | abfunds.com |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2021 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | SEC Yields1 | ||||||||||
CLASS 1 SHARES2 | 0.44% | |||||||||||
1 Year | 13.40% | 13.40% | ||||||||||
5 Years | 4.40% | 4.40% | ||||||||||
10 Years | 3.03% | 3.03% | ||||||||||
CLASS 2 SHARES2 | 0.54% | |||||||||||
1 Year | 13.53% | 13.53% | ||||||||||
5 Years | 4.49% | 4.49% | ||||||||||
10 Years | 3.13% | 3.13% | ||||||||||
CLASS A SHARES | 0.19% | |||||||||||
1 Year | 13.33% | 8.49% | ||||||||||
5 Years | 4.26% | 3.36% | ||||||||||
10 Years | 2.85% | 2.40% | ||||||||||
CLASS C SHARES | -0.54% | |||||||||||
1 Year | 12.45% | 11.45% | ||||||||||
5 Years | 3.46% | 3.46% | ||||||||||
10 Years3 | 2.11% | 2.11% | ||||||||||
ADVISOR CLASS SHARES4 | 0.44% | |||||||||||
1 Year | 13.59% | 13.59% | ||||||||||
5 Years | 4.51% | 4.51% | ||||||||||
10 Years | 3.12% | 3.12% | ||||||||||
CLASS R SHARES4 | -0.20% | |||||||||||
1 Year | 12.99% | 12.99% | ||||||||||
5 Years | 3.99% | 3.99% | ||||||||||
10 Years | 2.62% | 2.62% | ||||||||||
CLASS K SHARES4 | 0.11% | |||||||||||
1 Year | 13.21% | 13.21% | ||||||||||
5 Years | 4.23% | 4.23% | ||||||||||
10 Years | 2.87% | 2.87% | ||||||||||
CLASS I SHARES4 | 0.43% | |||||||||||
1 Year | 13.58% | 13.58% | ||||||||||
5 Years | 4.52% | 4.52% | ||||||||||
10 Years | 3.14% | 3.14% | ||||||||||
CLASS Z SHARES4 | 0.52% | |||||||||||
1 Year | 13.57% | 13.57% | ||||||||||
5 Years | 4.49% | 4.49% | ||||||||||
Since Inception5 | 4.01% | 4.01% |
(footnotes continued on next page)
abfunds.com | AB BOND INFLATION STRATEGY | 9 |
HISTORICAL PERFORMANCE (continued)
The Fund’s prospectus fee table shows the Fund’s total annual operating expense ratios as 0.88%, 0.78%, 1.18%, 1.91%, 0.93%, 1.58%, 1.21%, 0.88% and 0.81% for Class 1, Class 2, Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Fund’s annual operating expenses (exclusive of extraordinary expenses, interest expense and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest) to 0.60%, 0.50%, 0.75%, 1.50%, 0.50%, 1.00%, 0.75%, 0.50% and 0.50% for Class 1, Class 2, Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2022, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2021. |
2 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Adviser’s institutional clients or through other limited arrangements. These share classes do not carry front-end sales charges; therefore, their respective NAV and SEC returns are the same. |
3 | Assumes conversion of Class C shares into Class A shares after 10 years. |
4 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
5 | Inception date: 12/11/2014. |
10 | AB BOND INFLATION STRATEGY | abfunds.com |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2021 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS 1 SHARES1 | ||||
1 Year | 15.90% | |||
5 Years | 4.37% | |||
10 Years | 3.17% | |||
CLASS 2 SHARES1 | ||||
1 Year | 16.03% | |||
5 Years | 4.46% | |||
10 Years | 3.26% | |||
CLASS A SHARES | ||||
1 Year | 10.81% | |||
5 Years | 3.33% | |||
10 Years | 2.53% | |||
CLASS C SHARES | ||||
1 Year | 13.92% | |||
5 Years | 3.44% | |||
10 Years2 | 2.24% | |||
ADVISOR CLASS SHARES3 | ||||
1 Year | 15.95% | |||
5 Years | 4.47% | |||
10 Years | 3.25% | |||
CLASS R SHARES3 | ||||
1 Year | 15.43% | |||
5 Years | 3.98% | |||
10 Years | 2.76% | |||
CLASS K SHARES3 | ||||
1 Year | 15.67% | |||
5 Years | 4.19% | |||
10 Years | 3.00% | |||
CLASS I SHARES3 | ||||
1 Year | 15.97% | |||
5 Years | 4.47% | |||
10 Years | 3.27% | |||
CLASS Z SHARES3 | ||||
1 Year | 15.96% | |||
5 Years | 4.48% | |||
Since Inception4 | 3.90% |
(footnotes continued on next page)
abfunds.com | AB BOND INFLATION STRATEGY | 11 |
HISTORICAL PERFORMANCE (continued)
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Adviser’s institutional clients or through other limited arrangements. |
2 | Assumes conversion of Class C shares into Class A shares after 10 years. |
3 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
4 | Inception date: 12/11/2014. |
12 | AB BOND INFLATION STRATEGY | abfunds.com |
EXPENSE EXAMPLE
(unaudited)
As a shareholder of a mutual fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
abfunds.com | AB BOND INFLATION STRATEGY | 13 |
EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,042.90 | $ | 4.05 | 0.80 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.83 | $ | 4.01 | 0.80 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,038.60 | $ | 7.78 | 1.54 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.16 | $ | 7.70 | 1.54 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,044.00 | $ | 2.79 | 0.55 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.07 | $ | 2.76 | 0.55 | % | ||||||||
Class R | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,041.00 | $ | 5.31 | 1.05 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.59 | $ | 5.26 | 1.05 | % | ||||||||
Class K | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,041.90 | $ | 4.05 | 0.80 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.83 | $ | 4.01 | 0.80 | % | ||||||||
Class I | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,043.60 | $ | 2.79 | 0.55 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.07 | $ | 2.76 | 0.55 | % | ||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,043.20 | $ | 3.29 | 0.65 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.57 | $ | 3.26 | 0.65 | % | ||||||||
Class 2 | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,043.70 | $ | 2.79 | 0.55 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.07 | $ | 2.76 | 0.55 | % | ||||||||
Class Z | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,043.50 | $ | 2.74 | 0.54 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.12 | $ | 2.71 | 0.54 | % |
* | Expenses are equal to each classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
14 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO SUMMARY
April 30, 2021 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $698.2
Total Investments ($mil): $955.2
INFLATION PROTECTION BREAKDOWN1
U.S. Inflation-Protected Exposure | 86.4 | % | ||
Non-U.S. Inflation-Protected Exposure | 0.5 | |||
Non-Inflation Exposure | 13.1 | |||
100.0 | % |
SECTOR BREAKDOWN OF NET PORTFOLIO ASSETS, EXCLUDING TREASURY SECURITIES, TIPS, INTEREST RATE DERIVATIVES AND NET CASH EQUIVALENTS1
Corporates–Investment Grade | 15.7% | |||
Commercial Mortgage-Backed Securities | 7.8% | |||
Collateralized Mortgage Obligations | 5.9% | |||
Corporates–Non-Investment Grade | 3.3% | |||
Mortgage Pass-Throughs | 2.9% | |||
Asset-Backed Securities | 2.1% | |||
Collateralized Loan Obligations | 1.4% | |||
Emerging Markets–Corporate Bonds | 0.7% | |||
Quasi-Sovereigns | 0.5% | |||
Local Governments–US Municipal Bonds | 0.4% | |||
Governments–Sovereign Bonds | 0.3% | |||
Emerging Markets–Sovereigns | 0.3% | |||
Common Stocks | 0.2% |
SECTOR BREAKDOWN OF TOTAL PORTFOLIO INVESTMENTS, EXCLUDING DERIVATIVES2
Inflation-Linked Securities | 63.0% | |||
Corporates–Investment Grade | 12.0% | |||
Commercial Mortgage-Backed Securities | 5.9% | |||
Collateralized Mortgage Obligations | 4.3% | |||
Corporates–Non-Investment Grade | 2.4% | |||
Mortgage Pass-Throughs | 2.1% | |||
Asset-Backed Securities | 1.6% | |||
Collateralized Loan Obligations | 1.0% | |||
Emerging Markets–Corporate Bonds | 0.5% | |||
Quasi-Sovereigns | 0.4% | |||
Emerging Markets–Sovereigns | 0.3% | |||
Local Governments–US Municipal Bonds | 0.3% | |||
Governments–Sovereign Bonds | 0.2% | |||
Other | 0.3% | |||
Short-Term | 5.7% |
1 | All data are as of April 30, 2021. The Fund’s sector and inflation protection exposure breakdowns are expressed as an approximate percentage of the Fund’s total net assets (and may vary over time) inclusive of derivative exposure except as noted, based on the Adviser’s internal classification. |
2 | The Fund’s sector breakdown is expressed, based on the Adviser’s internal classification, as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions (not reflected in the table), which may be used for hedging or investment purposes or to adjust the risk profile or exposures of the Fund (see “Portfolio of Investments” section of the report for additional details). “Other” sector breakdown weightings represent 0.2% or less in the following sectors: Common Stocks and Government–Treasuries. Derivative transactions may result in a form of leverage for the Fund. The Fund uses leverage for investment purposes by entering into reverse repurchase agreements. As a result, the Fund’s total investments will generally exceed its net assets. |
abfunds.com | AB BOND INFLATION STRATEGY | 15 |
PORTFOLIO OF INVESTMENTS
April 30, 2021 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
INFLATION-LINKED SECURITIES – 86.2% |
| |||||||||||
Canada – 0.5% |
| |||||||||||
Canadian Government Real Return Bond | CAD | 4,270 | $ | 3,573,165 | ||||||||
|
| |||||||||||
United States – 85.7% |
| |||||||||||
U.S. Treasury Inflation Index | U.S.$ | 116,619 | 124,313,374 | |||||||||
0.125%, 07/15/2024-01/15/2030 (TIPS)(a) | 83,556 | 91,765,737 | ||||||||||
0.125%, 10/15/2024 (TIPS)(a)(b) | 13,684 | 14,893,703 | ||||||||||
0.25%, 01/15/2025 (TIPS) | 52,873 | 57,788,352 | ||||||||||
0.25%, 07/15/2029 (TIPS)(a) | 23,300 | 25,942,828 | ||||||||||
0.375%, 07/15/2023 (TIPS)(a)(b) | 18,064 | 19,340,232 | ||||||||||
0.375%, 07/15/2025-01/15/2027 (TIPS) | 17,792 | 19,831,444 | ||||||||||
0.375%, 07/15/2027 (TIPS)(a) | 60,664 | 68,095,080 | ||||||||||
0.50%, 01/15/2028 (TIPS)(a) | 30,199 | 34,011,076 | ||||||||||
0.625%, 07/15/2021-01/15/2024 (TIPS)(a) | 32,982 | 35,826,567 | ||||||||||
0.625%, 01/15/2026 (TIPS) | 20,653 | 23,166,816 | ||||||||||
0.75%, 07/15/2028 (TIPS)(a) | 43,420 | 50,061,768 | ||||||||||
0.875%, 01/15/2029 (TIPS) | 14,286 | 16,576,427 | ||||||||||
2.50%, 01/15/2029 (TIPS) | 11,316 | 14,627,359 | ||||||||||
3.875%, 04/15/2029 (TIPS) | 1,344 | 1,900,611 | ||||||||||
|
| |||||||||||
598,141,374 | ||||||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 601,714,539 | |||||||||||
|
| |||||||||||
CORPORATES – INVESTMENT GRADE – 16.4% | ||||||||||||
Industrial – 8.9% |
| |||||||||||
Basic – 0.8% |
| |||||||||||
Alpek SAB de CV | 564 | 559,770 | ||||||||||
4.25%, 09/18/2029(c) | 232 | 245,270 | ||||||||||
Fresnillo PLC | 1,530 | 1,498,731 | ||||||||||
GUSAP III LP | 1,000 | 1,051,125 | ||||||||||
Industrias Penoles SAB de CV | 343 | 352,432 | ||||||||||
Inversiones CMPC SA | 845 | 934,507 | ||||||||||
Inversiones CMPC SA/Cayman Islands Branch | 270 | 285,407 | ||||||||||
Nutrition & Biosciences, Inc. | 300 | 296,523 | ||||||||||
Suzano Austria GmbH | 222 | 226,440 | ||||||||||
|
| |||||||||||
5,450,205 | ||||||||||||
|
|
16 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Capital Goods – 0.0% | ||||||||||||
Westinghouse Air Brake Technologies Corp. | U.S.$ | 180 | $ | 191,966 | ||||||||
|
| |||||||||||
Communications - Media – 0.8% | ||||||||||||
Prosus NV | 428 | 448,009 | ||||||||||
4.027%, 08/03/2050(c) | 487 | 453,908 | ||||||||||
Tencent Holdings Ltd. | 874 | 880,170 | ||||||||||
2.39%, 06/03/2030(c) | 610 | 595,006 | ||||||||||
3.24%, 06/03/2050(c) | 655 | 599,843 | ||||||||||
Time Warner Cable LLC | 235 | 252,000 | ||||||||||
ViacomCBS, Inc. | 287 | 337,759 | ||||||||||
Weibo Corp. | 2,114 | 2,104,487 | ||||||||||
|
| |||||||||||
5,671,182 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.2% | ||||||||||||
AT&T, Inc. | 129 | 128,919 | ||||||||||
3.50%, 09/15/2053(c) | 450 | 415,273 | ||||||||||
3.65%, 09/15/2059(c) | 827 | 763,710 | ||||||||||
|
| |||||||||||
1,307,902 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.8% | ||||||||||||
General Motors Co. | 194 | 230,216 | ||||||||||
6.80%, 10/01/2027 | 272 | 341,662 | ||||||||||
General Motors Financial Co., Inc. | 1,166 | 1,289,503 | ||||||||||
Harley-Davidson Financial Services, Inc. | 1,732 | 1,839,644 | ||||||||||
Lear Corp. | 400 | 423,724 | ||||||||||
3.80%, 09/15/2027 | 122 | 133,980 | ||||||||||
Nissan Motor Co., Ltd. | 1,378 | 1,509,103 | ||||||||||
|
| |||||||||||
5,767,832 | ||||||||||||
|
|
abfunds.com | AB BOND INFLATION STRATEGY | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Cyclical - Other – 0.2% | ||||||||||||
Las Vegas Sands Corp. | U.S.$ | 765 | $ | 793,726 | ||||||||
3.20%, 08/08/2024 | 446 | 467,671 | ||||||||||
Marriott International, Inc./MD | 92 | 105,953 | ||||||||||
|
| |||||||||||
1,367,350 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.6% | ||||||||||||
Advance Auto Parts, Inc. | 1,525 | 1,669,982 | ||||||||||
Falabella SA | 450 | 484,256 | ||||||||||
InRetail Consumer | 552 | 525,311 | ||||||||||
Ross Stores, Inc. | 1,083 | 1,247,118 | ||||||||||
|
| |||||||||||
3,926,667 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 1.5% | ||||||||||||
Altria Group, Inc. | 950 | 988,551 | ||||||||||
4.80%, 02/14/2029 | 226 | 257,177 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. | 1,080 | 1,396,029 | ||||||||||
BAT Capital Corp. | 1,727 | 1,692,736 | ||||||||||
2.726%, 03/25/2031 | 671 | 644,220 | ||||||||||
4.70%, 04/02/2027 | 605 | 682,234 | ||||||||||
Baxalta, Inc. | 209 | 215,053 | ||||||||||
Cencosud SA | 1,134 | 1,266,040 | ||||||||||
Cigna Corp. | 115 | 122,833 | ||||||||||
4.125%, 11/15/2025 | 374 | 419,905 | ||||||||||
4.375%, 10/15/2028 | 501 | 573,620 | ||||||||||
CVS Health Corp. | 126 | 143,387 | ||||||||||
Kimberly-Clark de Mexico SAB de CV | 350 | 342,890 | ||||||||||
Sigma Alimentos SA de CV | 209 | 226,282 | ||||||||||
Takeda Pharmaceutical Co., Ltd. | 1,151 | 1,257,433 | ||||||||||
|
| |||||||||||
10,228,390 | ||||||||||||
|
|
18 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Energy – 2.2% | ||||||||||||
Boardwalk Pipelines LP | U.S.$ | 604 | $ | 625,986 | ||||||||
BP Capital Markets America, Inc. | 1,962 | 1,787,971 | ||||||||||
Cenovus Energy, Inc. | 33 | 36,243 | ||||||||||
4.40%, 04/15/2029 | 1,830 | 1,995,377 | ||||||||||
5.375%, 07/15/2025 | 337 | 382,940 | ||||||||||
Chevron USA, Inc. | 942 | 1,237,486 | ||||||||||
Enbridge Energy Partners LP | 1,351 | 2,009,086 | ||||||||||
Energy Transfer LP | 843 | 1,008,405 | ||||||||||
Eni SpA | 954 | 1,069,768 | ||||||||||
Marathon Petroleum Corp. | 289 | 340,667 | ||||||||||
6.50%, 03/01/2041 | 282 | 375,145 | ||||||||||
Oleoducto Central SA | 453 | 479,614 | ||||||||||
ONEOK, Inc. | 105 | 120,035 | ||||||||||
6.35%, 01/15/2031 | 166 | 209,588 | ||||||||||
Tengizchevroil Finance Co. International Ltd. | 306 | 312,120 | ||||||||||
TransCanada PipeLines Ltd. | 1,455 | 1,925,430 | ||||||||||
Williams Cos., Inc. (The) | 1,250 | 1,364,950 | ||||||||||
|
| |||||||||||
15,280,811 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.1% | ||||||||||||
Alfa SAB de CV | 600 | 657,450 | ||||||||||
|
| |||||||||||
Services – 0.3% | ||||||||||||
Alibaba Group Holding Ltd. | 1,508 | 1,449,912 | ||||||||||
Expedia Group, Inc. | 34 | 39,564 | ||||||||||
Mastercard, Inc. | 449 | 495,831 | ||||||||||
|
| |||||||||||
1,985,307 | ||||||||||||
|
| |||||||||||
Technology – 1.0% | ||||||||||||
Baidu, Inc. | 201 | 211,763 |
abfunds.com | AB BOND INFLATION STRATEGY | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | U.S.$ | 186 | $ | 199,156 | ||||||||
Broadcom, Inc. | 840 | 926,369 | ||||||||||
4.15%, 11/15/2030 | 1,160 | 1,267,497 | ||||||||||
5.00%, 04/15/2030 | 312 | 359,106 | ||||||||||
Dell International LLC/EMC Corp. | 111 | 121,090 | ||||||||||
6.02%, 06/15/2026(c) | 974 | 1,162,712 | ||||||||||
Infor, Inc. | 450 | 458,545 | ||||||||||
Micron Technology, Inc. | 1,523 | 1,710,801 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. | 143 | 151,031 | ||||||||||
SK Hynix, Inc. | 382 | 365,654 | ||||||||||
|
| |||||||||||
6,933,724 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.3% | ||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 528 | 566,635 | ||||||||||
4.75%, 10/20/2028(c) | 614 | 673,785 | ||||||||||
Southwest Airlines Co. | 693 | 793,922 | ||||||||||
|
| |||||||||||
2,034,342 | ||||||||||||
|
| |||||||||||
Transportation - Railroads – 0.1% | ||||||||||||
Lima Metro Line 2 Finance Ltd. | 241 | 248,757 | ||||||||||
5.875%, 07/05/2034(c) | 308 | 352,297 | ||||||||||
|
| |||||||||||
601,054 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.0% | ||||||||||||
ENA Master Trust | 303 | 304,856 | ||||||||||
|
| |||||||||||
61,709,038 | ||||||||||||
|
| |||||||||||
Financial Institutions – 7.2% | ||||||||||||
Banking – 4.7% | ||||||||||||
ABN AMRO Bank NV | 200 | 224,834 | ||||||||||
American Express Co. | 99 | 99,079 | ||||||||||
Series C | 729 | 725,377 |
20 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Banco de Credito del Peru | U.S.$ | 958 | $ | 942,432 | ||||||
Banco Santander SA | 1,400 | 1,600,438 | ||||||||
Bank of America Corp. | 636 | 642,990 | ||||||||
Series DD | 295 | 344,607 | ||||||||
Series Z | 458 | 526,219 | ||||||||
Bank of New York Mellon Corp. (The) | 273 | 301,321 | ||||||||
Barclays Bank PLC | 137 | 188,604 | ||||||||
BNP Paribas SA | 1,145 | 1,153,771 | ||||||||
Capital One Financial Corp. | 740 | 740,511 | ||||||||
CIT Group, Inc. | 579 | 653,176 | ||||||||
CITIC Ltd. | 550 | 546,837 | ||||||||
Citigroup, Inc. | 1,103 | 1,254,166 | ||||||||
5.95%, 01/30/2023(d) | 257 | 272,037 | ||||||||
Series Q | 409 | 409,168 | ||||||||
Series R | 364 | 364,415 | ||||||||
Series W | 504 | 511,222 | ||||||||
Credit Suisse Group AG | 2,152 | 2,378,089 | ||||||||
Deutsche Bank AG/New York NY | 296 | 299,807 | ||||||||
3.961%, 11/26/2025 | 405 | 439,061 | ||||||||
Discover Bank | 327 | 348,255 | ||||||||
Fifth Third Bancorp | 334 | 365,500 |
abfunds.com | AB BOND INFLATION STRATEGY | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Goldman Sachs Group, Inc. (The) | U.S.$ | 1,364 | $ | 1,370,138 | ||||||
HSBC Holdings PLC | 787 | 869,005 | ||||||||
4.292%, 09/12/2026 | 377 | 418,519 | ||||||||
ING Groep NV | 1,217 | 1,231,166 | ||||||||
JPMorgan Chase & Co. | 834 | 862,289 | ||||||||
2.58%, 04/22/2032 | 1,364 | 1,369,824 | ||||||||
Series I | 528 | 530,260 | ||||||||
Series V | 258 | 257,974 | ||||||||
Series Z | 432 | 433,706 | ||||||||
Morgan Stanley | 124 | 124,508 | ||||||||
Natwest Group PLC | 480 | 489,691 | ||||||||
Series U | 600 | 595,926 | ||||||||
Santander Holdings USA, Inc. | 424 | 472,620 | ||||||||
Standard Chartered PLC | 400 | 383,352 | ||||||||
4.30%, 02/19/2027(c) | 1,421 | 1,552,457 | ||||||||
7.50%, 04/02/2022(c)(d) | 380 | 398,525 | ||||||||
Truist Financial Corp. | 1,060 | 1,182,388 | ||||||||
UBS AG/Stamford CT | 465 | 505,697 | ||||||||
UBS Group AG | 1,030 | 1,045,800 | ||||||||
UniCredit SpA | 1,725 | 1,738,731 | ||||||||
US Bancorp | 427 | 480,567 |
22 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Wells Fargo & Co. | U.S.$ | 589 | $ | 610,758 | ||||||||
3.90%, 03/15/2026(d) | 418 | 427,764 | ||||||||||
|
| |||||||||||
32,683,581 | ||||||||||||
|
| |||||||||||
Brokerage – 0.3% | ||||||||||||
Charles Schwab Corp. (The) | 554 | 619,344 | ||||||||||
Series I | 1,366 | 1,408,934 | ||||||||||
|
| |||||||||||
2,028,278 | ||||||||||||
|
| |||||||||||
Finance – 1.8% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 209 | 245,366 | ||||||||||
Air Lease Corp. | 222 | 231,209 | ||||||||||
3.625%, 04/01/2027 | 51 | 54,362 | ||||||||||
3.875%, 07/03/2023 | 101 | 107,429 | ||||||||||
4.25%, 02/01/2024 | 285 | 309,120 | ||||||||||
Aircastle Ltd. | 1,329 | 1,304,427 | ||||||||||
4.125%, 05/01/2024 | 232 | 246,226 | ||||||||||
4.25%, 06/15/2026 | 83 | 89,652 | ||||||||||
4.40%, 09/25/2023 | 586 | 627,459 | ||||||||||
5.00%, 04/01/2023 | 49 | 52,489 | ||||||||||
5.25%, 08/11/2025(c) | 585 | 648,116 | ||||||||||
Aviation Capital Group LLC | 664 | 652,114 | ||||||||||
2.875%, 01/20/2022(c) | 101 | 102,252 | ||||||||||
3.50%, 11/01/2027(c) | 211 | �� | 218,410 | |||||||||
3.875%, 05/01/2023(c) | 524 | 547,674 | ||||||||||
4.125%, 08/01/2025(c) | 7 | 7,494 | ||||||||||
4.375%, 01/30/2024(c) | 194 | 206,752 | ||||||||||
4.875%, 10/01/2025(c) | 246 | 270,379 | ||||||||||
5.50%, 12/15/2024(c) | 550 | 617,953 | ||||||||||
CDBL Funding 1 | 940 | 993,639 | ||||||||||
GE Capital European Funding Unlimited Co. | EUR | 200 | 298,725 | |||||||||
GE Capital Funding LLC | U.S.$ | 1,570 | 1,787,806 | |||||||||
Huarong Finance 2017 Co., Ltd. | 1,103 | 707,299 | ||||||||||
Synchrony Financial | 1,875 | 2,092,556 | ||||||||||
|
| |||||||||||
12,418,908 | ||||||||||||
|
|
abfunds.com | AB BOND INFLATION STRATEGY | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Insurance – 0.4% |
| |||||||||||
Alleghany Corp. | U.S.$ | 1,257 | $ | 1,368,433 | ||||||||
Centene Corp. | 208 | 218,121 | ||||||||||
4.625%, 12/15/2029 | 237 | 257,207 | ||||||||||
Guardian Life Insurance Co. of America (The) | 183 | 222,546 | ||||||||||
Nationwide Mutual Insurance Co. | 125 | 209,426 | ||||||||||
Voya Financial, Inc. | 335 | 358,514 | ||||||||||
|
| |||||||||||
2,634,247 | ||||||||||||
|
| |||||||||||
Other Finance – 0.0% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 233 | 255,303 | ||||||||||
|
| |||||||||||
REITS – 0.0% |
| |||||||||||
Rexford Industrial Realty LP | 343 | 326,292 | ||||||||||
|
| |||||||||||
50,346,609 | ||||||||||||
|
| |||||||||||
Utility – 0.3% |
| |||||||||||
Electric – 0.3% |
| |||||||||||
AES Panama Generation Holdings SRL | 358 | 369,931 | ||||||||||
Chile Electricity Pec SpA | 661 | 536,236 | ||||||||||
Enel Chile SA | 640 | 738,720 | ||||||||||
Israel Electric Corp., Ltd. | 396 | 443,990 | ||||||||||
NextEra Energy Capital Holdings, Inc. | 231 | 246,352 | ||||||||||
|
| |||||||||||
2,335,229 | ||||||||||||
|
| |||||||||||
Total Corporates – Investment Grade | 114,390,876 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 8.1% | ||||||||||||
Non-Agency Fixed Rate CMBS – 5.5% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 520 | 471,154 |
24 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
CCUBS Commercial Mortgage Trust | U.S.$ | 1,210 | $ | 1,335,709 | ||||||
CFCRE Commercial Mortgage Trust | 730 | 787,562 | ||||||||
CGRBS Commercial Mortgage Trust | 885 | 921,125 | ||||||||
Citigroup Commercial Mortgage Trust | 915 | 955,883 | ||||||||
Series 2013-GC11, Class D | 191 | 194,089 | ||||||||
Series 2015-GC27, Class A5 | 1,382 | 1,478,788 | ||||||||
Series 2015-GC35, Class A4 | 450 | 497,676 | ||||||||
Series 2016-C1, Class A4 | 775 | 838,083 | ||||||||
Series 2016-GC36, Class A5 | 565 | 620,615 | ||||||||
Series 2017-P8, Class AS | 526 | 579,512 | ||||||||
Commercial Mortgage Trust | 105 | 105,146 | ||||||||
Series 2015-3BP, Class A | 250 | 265,715 | ||||||||
Series 2015-CR24, Class A5 | 590 | 649,264 | ||||||||
Series 2015-CR25, Class A4 | 1,155 | 1,271,719 | ||||||||
Series 2015-DC1, Class A5 | 1,220 | 1,314,827 | ||||||||
Series 2015-PC1, Class A5 | 745 | 820,828 | ||||||||
CSAIL Commercial Mortgage Trust | 475 | 514,983 | ||||||||
Series 2015-C3, Class A4 | 395 | 432,872 | ||||||||
Series 2015-C4, Class A4 | 1,853 | 2,041,442 | ||||||||
GS Mortgage Securities Trust | 19 | 11,409 |
abfunds.com | AB BOND INFLATION STRATEGY | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2013-G1, Class A1 | U.S.$ | 159 | $ | 160,034 | ||||||
Series 2014-GC18, Class D | 393 | 130,667 | ||||||||
Series 2014-GC22, Class A5 | 1,072 | 1,161,559 | ||||||||
Series 2015-GC28, Class A5 | 1,300 | 1,404,132 | ||||||||
Series 2018-GS9, Class A4 | 1,150 | 1,296,490 | ||||||||
GSF | 79 | 79,476 | ||||||||
Series 2021-1, Class A2 | 158 | 162,740 | ||||||||
Series 2021-1, Class AS | 40 | 41,200 | ||||||||
JPMBB Commercial Mortgage Securities Trust | 1,220 | 1,322,552 | ||||||||
Series 2014-C21, Class B | 314 | 337,435 | ||||||||
Series 2014-C22, Class XA | 19,697 | 458,817 | ||||||||
Series 2015-C30, Class A5 | 585 | 644,795 | ||||||||
Series 2015-C31, Class A3 | 990 | 1,087,108 | ||||||||
Series 2015-C33, Class A4 | 1,150 | 1,271,299 | ||||||||
JPMCC Commercial Mortgage Securities Trust | 8,834 | 426,114 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 129 | 110,074 | ||||||||
LB-UBS Commercial Mortgage Trust | 132 | 76,217 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 10,316 | 388,689 | ||||||||
Morgan Stanley Capital I Trust | 870 | 950,964 |
26 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
UBS Commercial Mortgage Trust | U.S.$ | 990 | $ | 1,111,955 | ||||||||
Series 2018-C9, Class A4 | 1,800 | 2,024,667 | ||||||||||
Series 2018-C10, Class A4 | 1,200 | 1,364,810 | ||||||||||
UBS-Barclays Commercial Mortgage Trust | 2,309 | 2,374,446 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 1,160 | 1,250,480 | ||||||||||
Series 2015-SG1, Class C | 295 | 282,180 | ||||||||||
Series 2016-LC25, Class C | 330 | 351,014 | ||||||||||
Series 2016-NXS6, Class A4 | 900 | 957,309 | ||||||||||
Series 2016-NXS6, Class C | 525 | 554,114 | ||||||||||
Series 2018-C48, Class A5 | 145 | 166,275 | ||||||||||
|
| |||||||||||
38,056,013 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 2.6% | ||||||||||||
Ashford Hospitality Trust | 891 | 889,977 | ||||||||||
Series 2018-KEYS, Class A | 1,250 | 1,249,975 | ||||||||||
BAMLL Commercial Mortgage Securities Trust | 1,755 | 1,715,257 | ||||||||||
BBCMS Mortgage Trust | 963 | 967,826 | ||||||||||
BHMS | 1,001 | 1,000,654 |
abfunds.com | AB BOND INFLATION STRATEGY | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Braemar Hotels & Resorts Trust | U.S.$ | 1,000 | $ | 995,033 | ||||||
BX Commercial Mortgage Trust | 766 | 763,895 | ||||||||
BX Trust | 1,130 | 1,100,043 | ||||||||
CLNY Trust | 1,000 | 978,772 | ||||||||
DBWF Mortgage Trust | 1,042 | 1,042,864 | ||||||||
Federal Home Loan Mortgage Corp. | 218 | 219,247 | ||||||||
GS Mortgage Securities Corp. Trust | 1,368 | 1,369,355 | ||||||||
Series 2019-SMP, Class A | 1,125 | 1,124,651 | ||||||||
HFX Funding | 1,070 | 1,110,666 | ||||||||
Invitation Homes Trust | 374 | 374,892 | ||||||||
Series 2018-SFR3, Class C | 710 | 711,427 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 92 | 91,761 |
28 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Morgan Stanley Capital I Trust | U.S.$ | 182 | $ | 155,258 | ||||||||
Natixis Commercial Mortgage Securities Trust | 1,200 | 1,194,000 | ||||||||||
Series 2019-MILE, Class A | 461 | 462,661 | ||||||||||
Starwood Retail Property Trust | 961 | 708,771 | ||||||||||
|
| |||||||||||
18,226,985 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities (cost $54,836,289) | 56,282,998 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 5.9% | ||||||||||||
Risk Share Floating Rate – 4.6% | ||||||||||||
Bellemeade Re Ltd. | 412 | 413,104 | ||||||||||
Series 2019-1A, Class M1B | 945 | 945,000 | ||||||||||
Series 2019-2A, Class M1C | 707 | 711,224 | ||||||||||
Series 2019-3A, Class M1B | 660 | 660,625 | ||||||||||
Series 2019-3A, Class M1C | 480 | 480,000 | ||||||||||
Series 2019-4A, Class M1B | 965 | 965,000 | ||||||||||
Series 2020-2A, Class M1B | 518 | 523,462 |
abfunds.com | AB BOND INFLATION STRATEGY | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2020-3A, Class M1B | U.S.$ | 330 | $ | 334,950 | ||||||
Series 2020-4A, Class M2A | 470 | 472,287 | ||||||||
Series 2021-1A, Class M1C | 728 | 725,753 | ||||||||
Connecticut Avenue Securities Trust | 293 | 294,885 | ||||||||
Series 2019-R02, Class 1M2 | 189 | 190,820 | ||||||||
Series 2019-R03, Class 1M2 | 94 | 94,233 | ||||||||
Series 2019-R04, Class 2M2 | 260 | 260,566 | ||||||||
Series 2019-R05, Class 1M2 | 146 | 146,157 | ||||||||
Series 2019-R06, Class 2M2 | 371 | 372,916 | ||||||||
Series 2019-R07, Class 1M2 | 728 | 732,600 | ||||||||
Series 2020-R01, Class 1M2 | 1,203 | 1,210,611 | ||||||||
Series 2020-R02, Class 2M2 | 661 | 665,328 | ||||||||
Eagle Re Ltd. | 1,100 | 1,093,754 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 214 | 221,820 | ||||||||
Series 2017-DNA3, Class M2 | 900 | 920,408 |
30 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2017-HQA2, Class M2B | U.S.$ | 840 | $ | 852,161 | ||||||
Series 2017-HQA3, Class M2 | 878 | 891,587 | ||||||||
Series 2019-DNA3, Class M2 | 71 | 72,034 | ||||||||
Series 2019-DNA4, Class M2 | 585 | 587,685 | ||||||||
Series 2019-FTR2, Class M2 | 515 | 513,155 | ||||||||
Series 2019-HQA3, Class M2 | 454 | 456,753 | ||||||||
Series 2020-DNA1, Class M2 | 841 | 843,885 | ||||||||
Series 2020-DNA5, Class M2 | 960 | 975,862 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 218 | 225,194 | ||||||||
Series 2015-C01, Class 1M2 | 454 | 464,579 | ||||||||
Series 2015-C01, Class 2M2 | 30 | 30,254 | ||||||||
Series 2015-C02, Class 1M2 | 227 | 230,133 | ||||||||
Series 2015-C02, Class 2M2 | 63 | 63,568 | ||||||||
Series 2015-C03, Class 1M2 | 220 | 224,811 | ||||||||
Series 2015-C03, Class 2M2 | 111 | 112,992 |
abfunds.com | AB BOND INFLATION STRATEGY | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2015-C04, Class 1M2 | U.S.$ | 549 | $ | 582,466 | ||||||
Series 2016-C05, Class 2M2 | 567 | 590,761 | ||||||||
Series 2016-C06, Class 1M2 | 254 | 264,423 | ||||||||
Series 2016-C07, Class 2M2 | 839 | 874,853 | ||||||||
Series 2017-C02, Class 2M2C | 938 | 971,384 | ||||||||
Series 2017-C03, Class 1M2 | 521 | 534,975 | ||||||||
Home Re Ltd. | 790 | 800,144 | ||||||||
Mortgage Insurance-Linked Notes | 699 | 700,187 | ||||||||
Oaktown Re V Ltd. | 1,427 | 1,437,487 | ||||||||
PMT Credit Risk Transfer Trust | 192 | 183,192 | ||||||||
Series 2019-2R, Class A | 426 | 423,294 | ||||||||
Series 2019-3R, Class A | 117 | 117,380 | ||||||||
Series 2020-1R, Class A | 418 | 416,960 | ||||||||
Radnor Re Ltd. | 586 | 588,758 |
32 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2019-2, Class M1B | U.S.$ | 723 | $ | 723,675 | ||||||||
Series 2020-1, Class M1A | 391 | 389,504 | ||||||||||
Series 2020-2, Class M1C | 578 | 588,840 | ||||||||||
STACR Trust | 426 | 431,122 | ||||||||||
Triangle Re Ltd. | 1,640 | 1,655,683 | ||||||||||
Series 2021-1, Class M1B | 746 | 746,610 | ||||||||||
|
| |||||||||||
32,001,854 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.9% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 2,736 | 534,525 | ||||||||||
Series 4693, Class SL | 1,736 | 417,538 | ||||||||||
Series 4727, Class SA | �� | 1,836 | 399,123 | |||||||||
Series 4954, Class SL | 2,520 | 472,012 | ||||||||||
Series 4981, Class HS | 5,323 | 927,919 | ||||||||||
Federal National Mortgage Association REMICs | 857 | 189,479 | ||||||||||
Series 2014-17, Class SA | 2,249 | 556,409 |
abfunds.com | AB BOND INFLATION STRATEGY | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2014-78, Class SE | U.S.$ | 1,291 | $ | 255,777 | ||||||||
Series 2016-77, Class DS | 1,442 | 309,673 | ||||||||||
Series 2017-62, Class AS | 1,642 | 343,815 | ||||||||||
Series 2017-81, Class SA | 1,853 | 438,077 | ||||||||||
Series 2017-97, Class LS | 2,019 | 506,459 | ||||||||||
Series 2020-26, Class GS | 2,706 | 480,696 | ||||||||||
Government National Mortgage Association | 1,256 | 278,149 | ||||||||||
Series 2017-134, Class MS | 1,292 | 296,042 | ||||||||||
|
| |||||||||||
6,405,693 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.4% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 3,911 | 695,461 | ||||||||||
Series 5015, Class BI | 3,025 | 545,694 | ||||||||||
Series 5049, Class CI | 3,316 | 483,380 | ||||||||||
Federal National Mortgage Association REMICs | 6,438 | 1,049,735 | ||||||||||
|
| |||||||||||
2,774,270 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.0% | ||||||||||||
JPMorgan Chase Bank, NA | 212 | 215,616 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 41,397,433 | |||||||||||
|
|
34 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
CORPORATES – NON-INVESTMENT GRADE – 3.3% | ||||||||||||
Industrial – 2.5% | ||||||||||||
Basic – 0.3% | ||||||||||||
Axalta Coating Systems LLC | U.S.$ | 844 | $ | 819,355 | ||||||||
INEOS Quattro Finance 2 PLC | EUR | 506 | 610,583 | |||||||||
Ingevity Corp. | U.S.$ | 683 | 680,473 | |||||||||
|
| |||||||||||
2,110,411 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.4% | ||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC | 942 | 929,773 | ||||||||||
GFL Environmental, Inc. | 993 | 957,977 | ||||||||||
TransDigm, Inc. | 512 | 542,126 | ||||||||||
|
| |||||||||||
2,429,876 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.5% | ||||||||||||
Cable One, Inc. | 499 | 493,441 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 472 | 476,663 | ||||||||||
5.00%, 02/01/2028(c) | 702 | 733,386 | ||||||||||
CSC Holdings LLC | 145 | 148,988 | ||||||||||
Netflix, Inc. | 1,272 | 1,548,431 | ||||||||||
|
| |||||||||||
3,400,909 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.3% | ||||||||||||
Lumen Technologies, Inc. | 970 | 955,149 | ||||||||||
T-Mobile USA, Inc. | 306 | 311,260 | ||||||||||
2.875%, 02/15/2031 | 559 | 545,064 | ||||||||||
3.375%, 04/15/2029 | 322 | 327,661 | ||||||||||
|
| |||||||||||
2,139,134 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||||
Allison Transmission, Inc. | 985 | 950,574 | ||||||||||
Clarios Global LP/Clarios US Finance Co. | EUR | 191 | 237,426 | |||||||||
|
| |||||||||||
1,188,000 | ||||||||||||
|
|
abfunds.com | AB BOND INFLATION STRATEGY | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Cyclical - Entertainment – 0.3% | ||||||||||||
Mattel, Inc. | U.S.$ | 549 | $ | 568,429 | ||||||||
3.75%, 04/01/2029(c) | 550 | 562,749 | ||||||||||
Royal Caribbean Cruises Ltd. | 394 | 452,249 | ||||||||||
11.50%, 06/01/2025(c) | 708 | 820,423 | ||||||||||
|
| |||||||||||
2,403,850 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Restaurants – 0.1% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. | 1,046 | 1,025,164 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.1% | ||||||||||||
Levi Strauss & Co. | 623 | 620,384 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 664 | 639,572 | ||||||||||
Jazz Securities DAC | 305 | 311,826 | ||||||||||
Newell Brands, Inc. | 471 | 524,661 | ||||||||||
4.875%, 06/01/2025 | 115 | 127,391 | ||||||||||
|
| |||||||||||
1,603,450 | ||||||||||||
|
| |||||||||||
Energy – 0.1% | ||||||||||||
Transocean Poseidon Ltd. | 388 | 367,145 | ||||||||||
|
| |||||||||||
17,288,323 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.8% | ||||||||||||
Banking – 0.5% | ||||||||||||
Credit Suisse Group AG | 320 | 347,530 | ||||||||||
7.50%, 07/17/2023-12/11/2023(c)(d) | 1,356 | 1,459,843 | ||||||||||
Discover Financial Services | 1,667 | 1,878,309 | ||||||||||
|
| |||||||||||
3,685,682 | ||||||||||||
|
| |||||||||||
Finance – 0.3% | ||||||||||||
Navient Corp. | 722 | 762,612 | ||||||||||
7.25%, 01/25/2022 | 54 | 56,094 |
36 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
SLM Corp. | U.S.$ | 900 | $ | 947,151 | ||||||||
|
| |||||||||||
1,765,857 | ||||||||||||
|
| |||||||||||
5,451,539 | ||||||||||||
|
| |||||||||||
Total Corporates – Non-Investment Grade | 22,739,862 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 2.9% | ||||||||||||
Agency Fixed Rate 30-Year – 2.9% | ||||||||||||
Uniform Mortgage-Backed Security | 12,600 | 13,067,578 | ||||||||||
Series 2020 | 6,731 | 6,964,482 | ||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 20,032,060 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 2.1% |
| |||||||||||
Autos - Fixed Rate – 1.0% |
| |||||||||||
Avis Budget Rental Car Funding AESOP LLC | 1,760 | 1,876,373 | ||||||||||
Series 2018-2A, Class A | 1,425 | 1,544,199 | ||||||||||
First Investors Auto Owner Trust | 1,200 | 1,220,955 | ||||||||||
Series 2020-1A, Class A | 369 | 370,753 | ||||||||||
Flagship Credit Auto Trust | 288 | 291,299 | ||||||||||
Ford Credit Auto Owner Trust | 1,000 | 1,002,234 | ||||||||||
Hertz Vehicle Financing II LP | 122 | 122,206 | ||||||||||
Series 2017-1A, Class A | 206 | 207,130 | ||||||||||
Series 2019-1A, Class A | 163 | 163,805 | ||||||||||
Series 2019-2A, Class A | 137 | 137,192 | ||||||||||
|
| |||||||||||
6,936,146 | ||||||||||||
|
|
abfunds.com | AB BOND INFLATION STRATEGY | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Other ABS - Fixed Rate – 0.6% |
| |||||||||||
Affirm Asset Securitization Trust | U.S.$ | 711 | $ | 719,939 | ||||||||
Series 2021-Z1, Class A | 744 | 743,974 | ||||||||||
Domino’s Pizza Master Issuer LLC | 781 | 809,699 | ||||||||||
Hardee’s Funding LLC | 505 | 564,186 | ||||||||||
Series 2020-1A, Class A2 | 334 | 349,695 | ||||||||||
Neighborly Issuer LLC | 526 | 533,356 | ||||||||||
SoFi Consumer Loan Program LLC | 97 | 97,306 | ||||||||||
SoFi Consumer Loan Program Trust | 19 | 19,271 | ||||||||||
Upstart Securitization Trust | 481 | 484,616 | ||||||||||
|
| |||||||||||
4,322,042 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.5% | ||||||||||||
Brex Commercial Charge Card Master Trust | 729 | 729,248 | ||||||||||
World Financial Network Credit Card Master Trust | 850 | 860,105 | ||||||||||
Series 2018-B, Class M | 935 | 945,990 | ||||||||||
Series 2019-B, Class M | 1,070 | 1,096,068 | ||||||||||
|
| |||||||||||
3,631,411 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 14,889,599 | |||||||||||
|
| |||||||||||
38 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 1.4% | ||||||||||||
CLO - Floating Rate – 1.4% | ||||||||||||
Ballyrock CLO 15 Ltd. | U.S.$ | 1,000 | $ | 999,900 | ||||||||
Dryden CLO Ltd. | 700 | 700,492 | ||||||||||
Series 2020-78A, Class C | 880 | 882,130 | ||||||||||
Series 2020-78A, Class D | 460 | 461,060 | ||||||||||
Elevation CLO Ltd. | 780 | 758,514 | ||||||||||
Goldentree Loan Management US Clo 7 Ltd. | 1,077 | 1,077,110 | ||||||||||
Kayne CLO 7 Ltd. | 400 | 401,162 | ||||||||||
Magnetite XXVI Ltd. | 1,485 | 1,487,369 | ||||||||||
OCP CLO Ltd. | 1,022 | 1,021,600 | ||||||||||
Series 2020-18A, Class AR | 1,424 | 1,422,866 | ||||||||||
Voya CLO Ltd. | 340 | 338,959 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 9,551,162 | |||||||||||
|
| |||||||||||
abfunds.com | AB BOND INFLATION STRATEGY | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
EMERGING MARKETS – CORPORATE BONDS – 0.7% | ||||||||||||
Industrial – 0.7% | ||||||||||||
Basic – 0.1% | ||||||||||||
Braskem Netherlands Finance BV | U.S.$ | 200 | $ | 203,300 | ||||||||
Vedanta Resources Finance II PLC | 379 | 415,668 | ||||||||||
Volcan Cia Minera SAA | 262 | 257,808 | ||||||||||
|
| |||||||||||
876,776 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.3% | ||||||||||||
Cemex SAB de CV | 942 | 928,765 | ||||||||||
Embraer Netherlands Finance BV | 590 | 619,131 | ||||||||||
6.95%, 01/17/2028(c) | 384 | 430,080 | ||||||||||
Odebrecht Holdco Finance Ltd. | 270 | 7,168 | ||||||||||
|
| |||||||||||
1,985,144 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.1% | ||||||||||||
Globo Comunicacao e Participacoes SA | 427 | 432,039 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% | ||||||||||||
Wynn Macau Ltd. | 483 | 506,546 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
BRF GmbH | 327 | 336,810 | ||||||||||
Natura Cosmeticos SA | 583 | 591,471 | ||||||||||
Virgolino de Oliveira Finance SA | 655 | 6,203 | ||||||||||
|
| |||||||||||
934,484 | ||||||||||||
|
| |||||||||||
4,734,989 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
Terraform Global Operating LLC | 89 | 91,414 | ||||||||||
|
| |||||||||||
Financial Institutions – 0.0% | ||||||||||||
Other Finance – 0.0% | ||||||||||||
OEC Finance Ltd. | 221 | 33,089 | ||||||||||
|
| |||||||||||
Total Emerging Markets – Corporate Bonds | 4,859,492 | |||||||||||
|
|
40 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
QUASI-SOVEREIGNS – 0.5% | ||||||||||||
Quasi-Sovereign Bonds – 0.5% | ||||||||||||
Indonesia – 0.1% | ||||||||||||
Indonesia Asahan Aluminium Persero PT | U.S.$ | 435 | $ | 473,606 | ||||||||
Pertamina Persero PT | 353 | 450,803 | ||||||||||
|
| |||||||||||
924,409 | ||||||||||||
|
| |||||||||||
Mexico – 0.2% | ||||||||||||
Comision Federal de Electricidad | 1,089 | 1,045,100 | ||||||||||
Petroleos Mexicanos | 529 | 468,165 | ||||||||||
6.84%, 01/23/2030 | 258 | 265,095 | ||||||||||
|
| |||||||||||
1,778,360 | ||||||||||||
|
| |||||||||||
Peru – 0.2% | ||||||||||||
Corp. Financiera de Desarrollo SA | 1,185 | 1,125,972 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 3,828,741 | |||||||||||
|
| |||||||||||
EMERGING MARKETS – SOVEREIGNS – 0.4% | ||||||||||||
Dominican Republic – 0.2% | ||||||||||||
Dominican Republic International Bond | 1,213 | 1,269,101 | ||||||||||
|
| |||||||||||
Egypt – 0.1% | ||||||||||||
Egypt Government International Bond | 1,259 | 1,210,214 | ||||||||||
|
| |||||||||||
Oman – 0.1% | ||||||||||||
Oman Government International Bond | 256 | 268,128 | ||||||||||
6.25%, 01/25/2031(c) | 336 | 360,780 | ||||||||||
|
| |||||||||||
628,908 | ||||||||||||
|
| |||||||||||
Total Emerging Markets – Sovereigns | 3,108,223 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS – US MUNICIPAL BONDS – 0.4% | ||||||||||||
United States – 0.4% | ||||||||||||
City of New York | 775 | 749,738 |
abfunds.com | AB BOND INFLATION STRATEGY | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Port Authority of New York & New Jersey | U.S.$ | 660 | $ | 670,275 | ||||||||
State of California | 825 | 845,828 | ||||||||||
Tobacco Settlement Finance Authority/WV | 770 | 783,595 | ||||||||||
|
| |||||||||||
Total Local Governments – US Municipal Bonds | 3,049,436 | |||||||||||
|
| |||||||||||
GOVERNMENTS – SOVEREIGN BONDS – 0.3% | ||||||||||||
Colombia – 0.0% | ||||||||||||
Colombia Government International Bond | 248 | 242,389 | ||||||||||
|
| |||||||||||
Israel – 0.1% | ||||||||||||
Israel Government International Bond | 656 | 729,513 | ||||||||||
|
| |||||||||||
Qatar – 0.1% | ||||||||||||
Qatar Government International Bond | 398 | 433,397 | ||||||||||
|
| |||||||||||
Saudi Arabia – 0.1% | ||||||||||||
Saudi Government International Bond | 733 | 777,484 | ||||||||||
�� |
|
| ||||||||||
Total Governments – Sovereign Bonds | 2,182,783 | |||||||||||
|
| |||||||||||
GOVERNMENTS – TREASURIES – 0.2% | ||||||||||||
Malaysia – 0.2% | ||||||||||||
Malaysia Government Bond | MYR | 6,633 | 1,646,828 | |||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCKS – 0.2% | ||||||||||||
Financials – 0.2% | ||||||||||||
Insurance – 0.2% | ||||||||||||
Mt Logan Re Ltd. (Preference Shares)(f)(g)(l)(n) | 1,428 | 1,418,663 | ||||||||||
|
|
42 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
SHORT-TERM INVESTMENTS – 7.8% | ||||||||||||
Investment Companies – 5.3% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(o)(p)(q) | 36,751,490 | $ | 36,751,490 | |||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
U.S. Treasury Bills – 2.5% | ||||||||||||
U.S. Treasury Bill | U.S.$ | 17,385 | 17,384,725 | |||||||||
|
| |||||||||||
Total Short-Term Investments | 54,136,215 | |||||||||||
|
| |||||||||||
Total Investments – 136.8% | 955,228,910 | |||||||||||
Other assets less liabilities – (36.8)% | (256,987,067 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 698,241,843 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts |
| |||||||||||||||
Euro Buxl 30 Yr Bond Futures | 62 | June 2021 | $ | 15,049,520 | $ | (411,507 | ) | |||||||||
Sold Contracts |
| |||||||||||||||
Canadian 10 Yr Bond Futures | 110 | June 2021 | 12,471,708 | (120,441 | ) | |||||||||||
Long Gilt Future | 149 | June 2021 | 26,271,470 | 320,797 | ||||||||||||
U.S. 10 Yr Ultra Futures | 134 | June 2021 | 19,503,281 | 143,868 | ||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 430 | June 2021 | 94,925,859 | 19,480 | ||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 321 | June 2021 | 39,783,938 | (65,883 | ) | |||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 248 | June 2021 | 32,743,750 | 512,808 | ||||||||||||
U.S. Ultra Bond (CBT) Futures | 113 | June 2021 | 21,007,406 | 215,712 | ||||||||||||
|
| |||||||||||||||
$ | 614,834 | |||||||||||||||
|
|
abfunds.com | AB BOND INFLATION STRATEGY | 43 |
PORTFOLIO OF INVESTMENTS (continued)
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Barclays Bank PLC | AUD | 16,964 | USD | 12,939 | 06/04/2021 | $ | (131,712 | ) | ||||||||||||||
BNP Paribas SA | SEK | 146,132 | USD | 17,147 | 07/15/2021 | (127,225 | ) | |||||||||||||||
Citibank, NA | BRL | 1,413 | USD | 261 | 05/04/2021 | 1,369 | ||||||||||||||||
Citibank, NA | USD | 249 | BRL | 1,413 | 05/04/2021 | 11,150 | ||||||||||||||||
Citibank, NA | JPY | 502,656 | USD | 4,743 | 05/20/2021 | 143,468 | ||||||||||||||||
Citibank, NA | CAD | 40,978 | USD | 32,736 | 07/16/2021 | (607,879 | ) | |||||||||||||||
Goldman Sachs Bank USA | USD | 6,285 | RUB | 469,086 | 05/25/2021 | (61,466 | ) | |||||||||||||||
HSBC Bank USA | USD | 12,511 | CHF | 11,270 | 05/06/2021 | (170,007 | ) | |||||||||||||||
HSBC Bank USA | USD | 4,485 | JPY | 491,522 | 05/20/2021 | 12,377 | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | BRL | 45,717 | USD | 8,460 | 05/04/2021 | 44,311 | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 8,093 | BRL | 45,717 | 05/04/2021 | 323,507 | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | NZD | 8,444 | USD | 6,120 | 05/27/2021 | 78,195 | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 7,687 | BRL | 42,135 | 06/02/2021 | 48,872 | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | MYR | 7,213 | USD | 1,744 | 09/23/2021 | (8,384 | ) | |||||||||||||||
Natwest Markets PLC | BRL | 41,440 | USD | 7,669 | 05/04/2021 | 40,166 | ||||||||||||||||
Natwest Markets PLC | USD | 7,665 | BRL | 41,440 | 05/04/2021 | (36,052 | ) | |||||||||||||||
Natwest Markets PLC | BRL | 41,440 | USD | 7,648 | 06/02/2021 | 39,907 | ||||||||||||||||
Natwest Markets PLC | CAD | 819 | USD | 649 | 07/16/2021 | (16,993 | ) | |||||||||||||||
Societe Generale | USD | 634 | CHF | 592 | 05/06/2021 | 14,272 | ||||||||||||||||
State Street Bank & Trust Co. | CHF | 243 | USD | 265 | 05/06/2021 | (893 | ) | |||||||||||||||
State Street Bank & Trust Co. | USD | 683 | CHF | 640 | 05/06/2021 | 17,521 | ||||||||||||||||
State Street Bank & Trust Co. | USD | 251 | CHF | 228 | 05/06/2021 | (1,476 | ) | |||||||||||||||
State Street Bank & Trust Co. | USD | 16 | JPY | 1,782 | 05/20/2021 | 213 | ||||||||||||||||
State Street Bank & Trust Co. | USD | 2 | JPY | 241 | 05/20/2021 | (15 | ) | |||||||||||||||
State Street Bank & Trust Co. | EUR | 13,785 | USD | 16,456 | 05/27/2021 | (123,819 | ) | |||||||||||||||
State Street Bank & Trust Co. | NZD | 1,189 | USD | 845 | 05/27/2021 | (6,368 | ) | |||||||||||||||
State Street Bank & Trust Co. | USD | 319 | EUR | 265 | 05/27/2021 | (147 | ) | |||||||||||||||
State Street Bank & Trust Co. | AUD | 797 | USD | 607 | 06/04/2021 | (6,709 | ) | |||||||||||||||
State Street Bank & Trust Co. | GBP | 396 | USD | 545 | 06/17/2021 | (1,768 | ) | |||||||||||||||
UBS AG | BRL | 88,569 | USD | 15,424 | 05/04/2021 | (880,669 | ) | |||||||||||||||
UBS AG | USD | 16,391 | BRL | 88,569 | 05/04/2021 | (85,846 | ) | |||||||||||||||
UBS AG | USD | 524 | RUB | 40,185 | 05/25/2021 | 9,250 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (1,482,850 | ) | ||||||||||||||||||||
|
|
44 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
Morgan Stanley & Co. LLC |
| |||||||||||||||||||||||||||||||
CDX-NAIG Series 36, 5 Year Index, 06/20/2026* | (1.00 | )% | Quarterly | 0.50 | % | USD | 119,190 | $ | (3,099,696 | ) | $ | (2,527,730 | ) | $ | (571,966 | ) | ||||||||||||||||
Malaysia, 06/20/2026* | (1.00 | ) | Quarterly | 0.46 | USD | 50,370 | (1,436,557 | ) | (1,418,668 | ) | (17,889 | ) | ||||||||||||||||||||
People’s Republic of China, 7.500%, 10/28/2027, 06/20/2026* | (1.00 | ) | Quarterly | 0.38 | USD | 29,050 | (953,286 | ) | (967,846 | ) | 14,560 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (5,489,539 | ) | $ | (4,914,244 | ) | $ | (575,295 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date. |
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note D)
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 | 64,600 | 02/26/2022 | CPI# | 1.440% | Maturity | $ | (1,029,560 | ) | $ | – 0 | – | $ | (1,029,560 | ) | ||||||||||||
USD | 38,550 | 02/28/2022 | CPI# | 1.352% | Maturity | (685,687 | ) | – 0 | – | (685,687 | ) | |||||||||||||||
USD | 21,500 | 07/15/2022 | 1.851% | CPI# | Maturity | 288,653 | – 0 | – | 288,653 | |||||||||||||||||
USD | 12,000 | 07/15/2022 | 1.850% | CPI# | Maturity | 161,742 | – 0 | – | 161,742 | |||||||||||||||||
USD | 11,250 | 07/15/2022 | 1.575% | CPI# | Maturity | 238,558 | – 0 | – | 238,558 | |||||||||||||||||
USD | 9,450 | 07/15/2022 | 1.758% | CPI# | Maturity | 164,235 | – 0 | – | 164,235 | |||||||||||||||||
USD | 4,500 | 07/15/2022 | 1.484% | CPI# | Maturity | 108,077 | – 0 | – | 108,077 | |||||||||||||||||
USD | 9,000 | 07/15/2023 | 1.902% | CPI# | Maturity | 181,184 | – 0 | – | 181,184 | |||||||||||||||||
USD | 3,000 | 01/15/2024 | 1.599% | CPI# | Maturity | 118,993 | – 0 | – | 118,993 | |||||||||||||||||
USD | 64,600 | 02/26/2025 | 1.589% | CPI# | Maturity | 3,066,737 | – 0 | – | 3,066,737 | |||||||||||||||||
USD | 38,550 | 02/28/2025 | 1.527% | CPI# | Maturity | 1,954,285 | – 0 | – | 1,954,285 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 4,567,217 | $ | – 0 | – | $ | 4,567,217 | ||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
abfunds.com | AB BOND INFLATION STRATEGY | 45 |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
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) | |||||||||||||||||||
SEK | 217,650 | 08/30/2024 | 3 Month STIBOR | (0.165)% | Quarterly/Annual | $ | (298,966 | ) | $ | 143 | $ | (299,109 | ) | |||||||||||||
USD | 1,160 | 06/09/2025 | 2.488% | 3 Month LIBOR | Semi-Annual/ Quarterly | (93,237 | ) | – 0 | – | (93,237 | ) | |||||||||||||||
USD | 2,106 | 08/04/2025 | 2.293% | 3 Month LIBOR | Semi-Annual/ Quarterly | (144,919 | ) | – 0 | – | (144,919 | ) | |||||||||||||||
USD | 5,400 | 10/04/2026 | 1.487% | 3 Month LIBOR | Semi-Annual/ Quarterly | (132,093 | ) | – 0 | – | (132,093 | ) | |||||||||||||||
USD | 1,080 | 11/08/2026 | 1.657% | 3 Month LIBOR | Semi-Annual/ Quarterly | (43,440 | ) | – 0 | – | (43,440 | ) | |||||||||||||||
USD | 1,080 | 11/09/2026 | 1.672% | 3 Month LIBOR | Semi-Annual/ Quarterly | (44,332 | ) | – 0 | – | (44,332 | ) | |||||||||||||||
USD | 7,030 | 04/04/2027 | 2.436% | 3 Month LIBOR | Semi-Annual/ Quarterly | (540,628 | ) | – 0 | – | (540,628 | ) | |||||||||||||||
USD | 20,920 | 06/05/2027 | 0.558% | 3 Month LIBOR | Semi-Annual/ Quarterly | 737,113 | – 0 | – | 737,113 | |||||||||||||||||
USD | 715 | 07/12/2027 | 2.355% | 3 Month LIBOR | Semi-Annual/ Quarterly | (55,444 | ) | – 0 | – | (55,444 | ) | |||||||||||||||
USD | 5,395 | 06/04/2029 | 2.150% | 3 Month LIBOR | Semi-Annual/ Quarterly | (332,239 | ) | – 0 | – | (332,239 | ) | |||||||||||||||
USD | 3,170 | 09/27/2029 | 1.593% | 3 Month LIBOR | Semi-Annual/ Quarterly | (26,429 | ) | – 0 | – | (26,429 | ) | |||||||||||||||
USD | 1,490 | 11/10/2035 | 2.631% | 3 Month LIBOR | Semi-Annual/ Quarterly | (161,687 | ) | – 0 | – | (161,687 | ) | |||||||||||||||
CAD | 2,980 | 03/04/2051 | 2.333% | 3 Month CDOR | Semi-Annual | 89,617 | – 0 | – | 89,617 | |||||||||||||||||
CAD | 2,975 | 03/03/2051 | 2.297% | 3 Month CDOR | Semi-Annual | 108,504 | 119 | 108,385 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (938,180 | ) | $ | 262 | $ | (938,442 | ) | |||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | )% | Monthly | 5.60 | % | USD | 1,683 | $ | 169,170 | $ | 114,028 | $ | 55,142 | |||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 1,367 | 137,406 | 95,853 | 41,553 | |||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 1,367 | 137,406 | 99,232 | 38,174 |
46 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) % | Monthly | 5.60 | % | USD | 683 | $ | 68,653 | $ | 52,658 | $ | 15,995 | |||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 346 | 34,778 | 22,809 | 11,969 | |||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 346 | 34,778 | 22,809 | 11,969 | |||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 328 | 32,969 | 22,107 | 10,862 | |||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 67 | 6,746 | 13,170 | (6,424 | ) | ||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 68 | 6,830 | 13,829 | (6,999 | ) | ||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 707 | 71,124 | 141,836 | (70,712 | ) | ||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 708 | 71,225 | 142,147 | (70,922 | ) | ||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 1,341 | 135,017 | 265,983 | (130,966 | ) | ||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 2,682 | 269,809 | 542,000 | (272,191 | ) | ||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 664 | 66,799 | 114,901 | (48,102 | ) | ||||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 288 | 28,925 | 57,966 | (29,041 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 354 | 35,612 | 68,523 | (32,911 | ) | ||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 708 | 71,225 | 144,181 | (72,956 | ) | ||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 9 | (2,542 | ) | (1,404 | ) | (1,138 | ) |
abfunds.com | AB BOND INFLATION STRATEGY | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 9 | $ | (2,543 | ) | $ | (1,123 | ) | $ | (1,420 | ) | ||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 13 | (3,672 | ) | (1,281 | ) | (2,391 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 27 | (7,626 | ) | (3,898 | ) | (3,728 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 27 | (7,626 | ) | (3,551 | ) | (4,075 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 25 | (7,065 | ) | (2,920 | ) | (4,145 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 37 | (10,453 | ) | (4,547 | ) | (5,906 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 43 | (12,148 | ) | (5,459 | ) | (6,689 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 43 | (12,148 | ) | (5,285 | ) | (6,863 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 60 | (16,951 | ) | (7,374 | ) | (9,577 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 60 | (16,951 | ) | (6,654 | ) | (10,297 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 87 | (24,579 | ) | (9,648 | ) | (14,931 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 92 | (25,984 | ) | (11,029 | ) | (14,955 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 121 | (34,184 | ) | (12,864 | ) | (21,320 | ) | |||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 1,145 | (96,931 | ) | (24,667 | ) | (72,264 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 5 | (1,413 | ) | (605 | ) | (808 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 122 | (34,457 | ) | (14,404 | ) | (20,053 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 139 | (39,270 | ) | (16,705 | ) | (22,565 | ) |
48 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 130 | $ | (36,716 | ) | $ | (10,212 | ) | $ | (26,504 | ) | ||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 138 | (38,975 | ) | (9,242 | ) | (29,733 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 226 | (63,830 | ) | (32,478 | ) | (31,352 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 169 | (47,731 | ) | (13,558 | ) | (34,173 | ) | |||||||||||||||||||
Deutsche Bank AG |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 30 | (8,474 | ) | (3,407 | ) | (5,067 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 130 | (36,716 | ) | (15,868 | ) | (20,848 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 150 | (42,365 | ) | (18,310 | ) | (24,055 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 217 | (61,288 | ) | (24,044 | ) | (37,244 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 218 | (61,570 | ) | (24,145 | ) | (37,425 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 436 | (123,141 | ) | (30,300 | ) | (92,841 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 662 | (186,971 | ) | (44,943 | ) | (142,028 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 714 | (201,657 | ) | (39,699 | ) | (161,958 | ) | |||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 15 | (4,237 | ) | (2,207 | ) | (2,030 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 15 | (4,236 | ) | (1,302 | ) | (2,934 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 27 | (7,628 | ) | (3,354 | ) | (4,274 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 30 | (8,473 | ) | (2,870 | ) | (5,603 | ) |
abfunds.com | AB BOND INFLATION STRATEGY | 49 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 30 | $ | (8,473 | ) | $ | (2,653 | ) | $ | (5,820 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 59 | (16,664 | ) | (6,170 | ) | (10,494 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 166 | (46,884 | ) | (17,132 | ) | (29,752 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 178 | (50,273 | ) | (14,899 | ) | (35,374 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 371 | (104,783 | ) | (58,739 | ) | (46,044 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 322 | (90,943 | ) | (42,450 | ) | (48,493 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 517 | (146,018 | ) | (83,032 | ) | (62,986 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 598 | (168,895 | ) | (89,045 | ) | (79,850 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 1,000 | (282,517 | ) | (128,244 | ) | (154,273 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 1,300 | (367,163 | ) | (148,743 | ) | (218,420 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 28 | (7,908 | ) | (2,646 | ) | (5,262 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 30 | (8,473 | ) | (2,836 | ) | (5,637 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 118 | (33,327 | ) | (14,586 | ) | (18,741 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 122 | (34,457 | ) | (11,498 | ) | (22,959 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 241 | (68,067 | ) | (28,883 | ) | (39,184 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 691 | (195,161 | ) | (82,088 | ) | (113,073 | ) | |||||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 1,100 | (310,676 | ) | (157,474 | ) | (153,202 | ) | |||||||||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 191 | (53,945 | ) | (13,047 | ) | (40,898 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (1,906,706 | ) | $ | 620,510 | $ | (2,527,216 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date. |
50 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
INFLATION (CPI) SWAPS (see Note D)
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) | ||||||||||||||||||||
JPMorgan Chase Bank, NA | USD 23,800 | 07/15/2023 | 1.848 | % | CPI# | Maturity | $ | 548,092 | $ | – 0 | – | $ | 548,092 |
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
INTEREST RATE SWAPS (see Note D)
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) | ||||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 595 | 03/06/2042 | 2.804 | % | | 3 Month LIBOR | | Semi-Annual/ Quarterly | $ | (86,833 | ) | $ | – 0 | – | $ | (86,833 | ) |
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||
Barclays Bank PLC iBoxx $ Liquid High Yield Index | 3 Month LIBOR | Quarterly | USD 21,273 | 06/20/2021 | $ | (408,090 | ) |
REVERSE REPURCHASE AGREEMENTS (see Note D)
Broker | Interest Rate | Maturity | U.S. $ Value at April 30, 2021 | |||||||||
HSBC Bank USA† | 0.04 | % | — | $ | 4,686,842 | |||||||
HSBC Bank USA† | 0.04 | % | — | 5,289,170 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 16,118,830 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 33,566,473 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 21,263,256 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 18,019,030 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 24,725,467 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 4,798,533 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 5,698,945 | ||||||||
JPMorgan Chase Bank† | 0.07 | % | — | 26,874,029 | ||||||||
JPMorgan Chase Bank† | 0.07 | % | — | 39,565,794 | ||||||||
JPMorgan Chase Bank† | 0.07 | % | — | 32,728,563 | ||||||||
|
| |||||||||||
$ | 233,334,932 | |||||||||||
|
|
† | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on April 30, 2021. |
abfunds.com | AB BOND INFLATION STRATEGY | 51 |
PORTFOLIO OF INVESTMENTS (continued)
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements is as follows:
Overnight and | Up to 30 Days | 31-90 Days | Greater than 90 Days | Total | ||||||||||||||||
Inflation-Linked Securities | $ | 233,334,932 | $ | – 0 – | $ | – 0 – | $ | – 0 – | $ | 233,334,932 |
(a) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(b) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(c) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the aggregate market value of these securities amounted to $134,669,746 or 19.3% of net assets. |
(d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(e) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2021. |
(f) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(g) | Fair valued by the Adviser. |
(h) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.29% of net assets as of April 30, 2021, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
GSF | 02/25/2021 | $ | 79,476 | $ | 79,476 | 0.01 | % | |||||||||
GSF | 02/25/2021 | 162,609 | 162,740 | 0.02 | % | |||||||||||
GSF | 02/25/2021 | 41,167 | 41,200 | 0.01 | % | |||||||||||
HFX Funding | 11/19/2020 | 1,146,169 | 1,110,666 | 0.16 | % | |||||||||||
Morgan Stanley Capital I Trust | 11/16/2015 | 181,951 | 155,258 | 0.02 | % | |||||||||||
PMT Credit Risk Transfer Trust Series 2020-1R, Class A | 02/11/2000 | 417,980 | 416,960 | 0.06 | % | |||||||||||
Terraform Global Operating LLC | 02/08/2018 | 88,999 | 91,414 | 0.01 | % | |||||||||||
Virgolino de Oliveira Finance SA | 01/24/2014 | 363,153 | 6,203 | 0.00 | % |
(i) | IO – Interest Only. |
(j) | Inverse interest only security. |
(k) | Defaulted matured security. |
52 | AB BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
(l) | Non-income producing security. |
(m) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at April 30, 2021. |
(n) | Restricted and illiquid security. |
Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Mt Logan Re Ltd. (Preference Shares) | 12/30/2014 | $ | 1,427,910 | $ | 1,418,663 | 0.20 | % |
(o) | Affiliated investments. |
(p) | To obtain a copy of the fund’s shareholder report, please go to the Securities and Exchange Commission’s website at www.sec.gov, or call AB at (800) 227-4618. |
(q) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
|
AUD – Australian Dollar |
BRL – Brazilian Real |
CAD – Canadian Dollar |
CHF – Swiss Franc |
EUR – Euro |
GBP – Great British Pound |
JPY – Japanese Yen |
MYR – Malaysian Ringgit |
NZD – New Zealand Dollar |
RUB – Russian Ruble |
SEK – Swedish Krona |
USD – United States Dollar |
Glossary:
ABS – Asset-Backed Securities
CBT – Chicago Board of Trade
CDOR – Canadian Dealer Offered Rate
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
CPI – Consumer Price Index
LIBOR – London Interbank Offered Rate
REIT – Real Estate Investment Trust
REMICs – Real Estate Mortgage Investment Conduits
SOFR – Secured Overnight Financing Rate
STIBOR – Stockholm Interbank Offered Rate
TBA – To Be Announced
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
abfunds.com | AB BOND INFLATION STRATEGY | 53 |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2021 (unaudited)
Assets |
| |||
Investments in securities, at value |
| |||
Unaffiliated issuers (cost $876,022,858) | $ | 918,477,420 | ||
Affiliated issuers (cost $36,751,490) | 36,751,490 | |||
Cash | 423,558 | |||
Cash collateral due from broker | 12,571,996 | |||
Foreign currencies, at value (cost $125,175) | 126,253 | |||
Receivable for investment securities sold | 24,943,436 | |||
Receivable for capital stock sold | 6,268,283 | |||
Interest receivable | 2,454,986 | |||
Market value on credit default swaps (net premiums paid $1,934,032) | 1,378,472 | |||
Unrealized appreciation on forward currency exchange contracts | 784,578 | |||
Unrealized appreciation on inflation swaps | 548,092 | |||
Receivable for variation margin on centrally cleared swaps | 1,560 | |||
Affiliated dividends receivable | 105 | |||
|
| |||
Total assets | 1,004,730,229 | |||
|
| |||
Liabilities |
| |||
Payable for reverse repurchase agreements | 233,334,932 | |||
Payable for investment securities purchased | 64,015,522 | |||
Market value on credit default swaps (net premiums received $1,313,522) | 3,285,178 | |||
Unrealized depreciation on forward currency exchange contracts | 2,267,428 | |||
Cash collateral due to broker | 1,858,000 | |||
Payable for capital stock redeemed | 679,382 | |||
Unrealized depreciation on total return swaps | 408,090 | |||
Advisory fee payable | 201,507 | |||
Payable for variation margin on futures | 91,951 | |||
Unrealized depreciation on interest rate swaps | 86,833 | |||
Distribution fee payable | 46,013 | |||
Administrative fee payable | 26,146 | |||
Transfer Agent fee payable | 10,844 | |||
Directors’ fees payable | 1,972 | |||
Accrued expenses and other liabilities | 174,588 | |||
|
| |||
Total liabilities | 306,488,386 | |||
|
| |||
Net Assets | $ | 698,241,843 | ||
|
| |||
Composition of Net Assets |
| |||
Capital stock, at par | $ | 59,191 | ||
Additional paid-in capital | 652,334,340 | |||
Distributable earnings | 45,848,312 | |||
|
| |||
Net Assets | $ | 698,241,843 | ||
|
|
See notes to financial statements.
54 | AB BOND INFLATION STRATEGY | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share—33 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 37,376,991 | 3,131,433 | $ | 11.94 | * | ||||||
| ||||||||||||
C | $ | 6,456,118 | 556,730 | $ | 11.60 | |||||||
| ||||||||||||
Advisor | $ | 212,675,443 | 17,799,083 | $ | 11.95 | |||||||
| ||||||||||||
R | $ | 2,161,438 | 180,951 | $ | 11.94 | |||||||
| ||||||||||||
K | $ | 7,529,938 | 632,177 | $ | 11.91 | |||||||
| ||||||||||||
I | $ | 5,871,290 | 497,234 | $ | 11.81 | |||||||
| ||||||||||||
1 | $ | 344,717,134 | 29,439,348 | $ | 11.71 | |||||||
| ||||||||||||
2 | $ | 62,411,123 | 5,332,825 | $ | 11.70 | |||||||
| ||||||||||||
Z | $ | 19,042,368 | 1,621,575 | $ | 11.74 | |||||||
|
* | The maximum offering price per share for Class A shares was $12.47 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB BOND INFLATION STRATEGY | 55 |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2021 (unaudited)
Investment Income | ||||||||
Interest | $ | 12,130,566 | ||||||
Dividends | ||||||||
Unaffiliated issuers | 7,908 | |||||||
Affiliated issuers | 584 | $ | 12,139,058 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 1,560,213 | |||||||
Distribution fee—Class A | 41,922 | |||||||
Distribution fee—Class C | 23,332 | |||||||
Distribution fee—Class R | 6,582 | |||||||
Distribution fee—Class K | 8,629 | |||||||
Distribution fee—Class 1 | 165,550 | |||||||
Transfer agency—Class A | 21,293 | |||||||
Transfer agency—Class C | 2,971 | |||||||
Transfer agency—Advisor Class | 103,307 | |||||||
Transfer agency—Class R | 3,423 | |||||||
Transfer agency—Class K | 6,903 | |||||||
Transfer agency—Class I | 3,503 | |||||||
Transfer agency—Class 1 | 17,951 | |||||||
Transfer agency—Class 2 | 3,337 | |||||||
Transfer agency—Class Z | 1,306 | |||||||
Custody and accounting | 98,817 | |||||||
Registration fees | 74,055 | |||||||
Audit and tax | 56,404 | |||||||
Administrative | 45,394 | |||||||
Printing | 41,551 | |||||||
Legal | 19,600 | |||||||
Directors’ fees | 13,085 | |||||||
Miscellaneous | 14,470 | |||||||
|
| |||||||
Total expenses before interest expense | 2,333,598 | |||||||
Interest expense | 149,092 | |||||||
|
| |||||||
Total expenses | 2,482,690 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (529,786 | ) | ||||||
|
| |||||||
Net expenses | 1,952,904 | |||||||
|
| |||||||
Net investment income | 10,186,154 | |||||||
|
|
See notes to financial statements.
56 | AB BOND INFLATION STRATEGY | abfunds.com |
STATEMENT OF OPERATIONS (continued)
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | 10,404,295 | ||||||
Forward currency exchange contracts | 58,799 | |||||||
Futures | 7,848,843 | |||||||
Options written | 839,826 | |||||||
Swaps | (7,862,394 | ) | ||||||
Swaptions written | 636,120 | |||||||
Foreign currency transactions | (1,892,053 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments(a) | (449,330 | ) | ||||||
Forward currency exchange contracts | (2,095,271 | ) | ||||||
Futures | (392,566 | ) | ||||||
Options written | (510,303 | ) | ||||||
Swaps | 8,461,319 | |||||||
Swaptions written | (51,621 | ) | ||||||
Foreign currency denominated assets and liabilities | 99,881 | |||||||
|
| |||||||
Net gain on investment and foreign currency transactions | 15,095,545 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 25,281,699 | ||||||
|
|
(a) | Net of decrease in accrued foreign capital gains taxes of $310. |
See notes to financial statements.
abfunds.com | AB BOND INFLATION STRATEGY | 57 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||
Increase in Net Assets from Operations | ||||||||
Net investment income | $ | 10,186,154 | $ | 14,427,948 | ||||
Net realized gain on investment and foreign currency transactions | 10,033,436 | 7,521,295 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 5,062,109 | 20,654,424 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 25,281,699 | 42,603,667 | ||||||
Distributions to Shareholders | ||||||||
Class A | (299,437 | ) | (649,771 | ) | ||||
Class C | (33,914 | ) | (50,256 | ) | ||||
Advisor Class | (1,685,062 | ) | (3,332,209 | ) | ||||
Class R | (17,822 | ) | (62,687 | ) | ||||
Class K | (61,309 | ) | (127,416 | ) | ||||
Class I | (66,075 | ) | (224,256 | ) | ||||
Class 1 | (3,374,580 | ) | (7,448,238 | ) | ||||
Class 2 | (641,792 | ) | (1,473,613 | ) | ||||
Class Z | (151,898 | ) | (502,262 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase (decrease) | 106,705,398 | (98,268,014 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | 125,655,208 | (69,535,055 | ) | |||||
Net Assets | ||||||||
Beginning of period | 572,586,635 | 642,121,690 | ||||||
|
|
|
| |||||
End of period | $ | 698,241,843 | $ | 572,586,635 | ||||
|
|
|
|
See notes to financial statements.
58 | AB BOND INFLATION STRATEGY | abfunds.com |
STATEMENT OF CASH FLOWS
For the Six Months Ended April 30, 2021 (unaudited)
Cash flows from operating activities | ||||||||
Net increase in net assets from operations | $ | 25,281,699 | ||||||
Reconciliation of net increase in net assets from operations to net decrease in cash from operating activities | ||||||||
Purchases of long-term investments | $ | (379,683,281 | ) | |||||
Purchases of short-term investments | (229,879,842 | ) | ||||||
Proceeds from disposition of long-term investments | 286,062,176 | |||||||
Proceeds from disposition of short-term investments | 178,387,250 | |||||||
Net realized gain on investment transactions and foreign currency transactions | (10,033,436 | ) | ||||||
Net realized gain on forward currency exchange contracts | 58,799 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (5,062,109 | ) | ||||||
Net accretion of bond discount and amortization of bond premium | 2,456,837 | |||||||
Inflation index adjustment | (6,152,354 | ) | ||||||
Increase in receivable for investments sold | (18,061,375 | ) | ||||||
Decrease in interest receivable | 243,517 | |||||||
Increase in affiliated dividends receivable | (10 | ) | ||||||
Decrease in cash collateral due from broker | 1,655,675 | |||||||
Increase in payable for investments purchased | 50,429,774 | |||||||
Increase in cash collateral due to broker | 1,515,000 | |||||||
Increase in advisory fee payable | 30,086 | |||||||
Decrease in administrative fee payable | (1,154 | ) | ||||||
Decrease in Transfer Agent fee payable | (1,430 | ) | ||||||
Increase in distribution fee payable | 7,309 | |||||||
Decrease in Directors’ fee payable | (200 | ) | ||||||
Decrease in accrued expenses | (47,551 | ) | ||||||
Payments on options written, net | (12,505 | ) | ||||||
Payments on swaps, net | (4,289,853 | ) | ||||||
Proceeds for exchange-traded derivatives settlements, net | 10,412,432 | |||||||
|
| |||||||
Total adjustments | (121,966,245 | ) | ||||||
|
| |||||||
Net cash provided by (used in) operating activities | (96,684,546 | ) | ||||||
Cash flows from financing activities | ||||||||
Subscriptions of capital stock, net | 97,386,044 | |||||||
Cash dividends paid (net of dividend reinvestments)† | (1,093,042 | ) | ||||||
Increase in reverse repurchase agreements | 2,639,724 | |||||||
|
| |||||||
Net cash provided by (used in) financing activities | 98,932,726 | |||||||
Effect of exchange rate on cash | (1,792,172 | ) | ||||||
|
| |||||||
Net increase in cash | 456,008 | |||||||
Cash at beginning of period | 93,803 | |||||||
|
| |||||||
Cash at end of period | $ | 549,811 | ||||||
|
| |||||||
Supplemental disclosure of cash flow information | ||||||||
† Reinvestment of dividends | $ | 5,238,847 | ||||||
Interest expense paid during the period | $ | 202,493 |
In accordance with U.S. GAAP, the Fund has included a Statement of Cash Flows as a result of its significant investments in reverse repurchase agreements throughout the period.
See notes to financial statements.
abfunds.com | AB BOND INFLATION STRATEGY | 59 |
NOTES TO FINANCIAL STATEMENTS
April 30, 2021 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 9 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Bond Inflation Strategy Portfolio (the “Fund”), a diversified portfolio. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2. Class B and Class T shares have not been issued. Class 1 shares are sold only to the private clients of Sanford C. Bernstein & Co. LLC by its registered representatives. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Class R, Class K, and Class 1 shares are sold without an initial or contingent deferred sales charge. Advisor Class, Class I, Class 2 and Class Z shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All eleven classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Directors (the “Board”).
60 | AB BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this
abfunds.com | AB BOND INFLATION STRATEGY | 61 |
NOTES TO FINANCIAL STATEMENTS (continued)
determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates,
62 | AB BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are 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.
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, 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.
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.
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.
abfunds.com | AB BOND INFLATION STRATEGY | 63 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2021:
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Inflation-Linked Securities | $ | – 0 | – | $ | 601,714,539 | $ | – 0 | – | $ | 601,714,539 | ||||||
Corporates – Investment Grade | – 0 | – | 114,390,876 | – 0 | – | 114,390,876 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 55,999,582 | 283,416 | 56,282,998 | |||||||||||
Collateralized Mortgage Obligations | – 0 | – | 41,397,433 | – 0 | – | 41,397,433 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 22,739,862 | – 0 | – | 22,739,862 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 20,032,060 | – 0 | – | 20,032,060 | ||||||||||
Asset-Backed Securities | – 0 | – | 14,145,625 | 743,974 | 14,889,599 | |||||||||||
Collateralized Loan Obligations | – 0 | – | 9,551,162 | – 0 | – | 9,551,162 | ||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 4,859,492 | – 0 | – | 4,859,492 | ||||||||||
Quasi-Sovereigns | – 0 | – | 3,828,741 | – 0 | – | 3,828,741 | ||||||||||
Emerging Markets – Sovereigns | – 0 | – | 3,108,223 | – 0 | – | 3,108,223 | ||||||||||
Local Governments – US Municipal Bonds | – 0 | – | 3,049,436 | – 0 | – | 3,049,436 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 2,182,783 | – 0 | – | 2,182,783 | ||||||||||
Governments – Treasuries | – 0 | – | 1,646,828 | – 0 | – | 1,646,828 | ||||||||||
Common Stocks | – 0 | – | – 0 | – | 1,418,663 | 1,418,663 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 36,751,490 | – 0 | – | – 0 | – | 36,751,490 | ||||||||||
U.S. Treasury Bills | – 0 | – | 17,384,725 | – 0 | – | 17,384,725 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 36,751,490 | 916,031,367 | 2,446,053 | 955,228,910 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 1,212,665 | – 0 | – | – 0 | – | 1,212,665 | (b) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 784,578 | – 0 | – | 784,578 | ||||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | 6,282,464 | – 0 | – | 6,282,464 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 935,234 | – 0 | – | 935,234 | (b) | |||||||||
Credit Default Swaps | – 0 | – | 1,378,472 | – 0 | – | 1,378,472 | ||||||||||
Inflation (CPI) Swaps | – 0 | – | 548,092 | – 0 | – | 548,092 | ||||||||||
Liabilities: |
| |||||||||||||||
Futures | (597,831 | ) | – 0 | – | – 0 | – | (597,831 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (2,267,428 | ) | – 0 | – | (2,267,428 | ) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (5,489,539 | ) | – 0 | – | (5,489,539 | )(b) |
64 | AB BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Inflation (CPI) Swaps | $ | – 0 | – | $ | (1,715,247 | ) | $ | – 0 | – | $ | (1,715,247 | )(b) | ||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (1,873,414 | ) | – 0 | – | (1,873,414 | )(b) | ||||||||
Credit Default Swaps | – 0 | – | (3,285,178 | ) | – 0 | – | (3,285,178 | ) | ||||||||
Interest Rate Swaps | – 0 | – | (86,833 | ) | – 0 | – | (86,833 | ) | ||||||||
Total Return Swaps | – 0 | – | (408,090 | ) | – 0 | – | (408,090 | ) | ||||||||
Reverse Repurchase Agreements | (233,334,932 | ) | – 0 | – | – 0 | – | (233,334,932 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (195,968,608 | ) | $ | 910,834,478 | $ | 2,446,053 | $ | 717,311,923 | �� | ||||||
|
|
|
|
|
|
|
|
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in
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NOTES TO FINANCIAL STATEMENTS (continued)
which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income.
The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
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NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .50% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion, of the Fund’s average daily net assets. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding extraordinary expenses, interest expense, and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest), on an annual basis (“Expense Caps”) to .75%, 1.50%, .50%, 1.00%, .75%, .50%, .60%, .50% and .50% of the daily average net assets for the Class A, Class C, Advisor Class, Class R, Class K, Class I, Class 1, Class 2, and Class Z shares, respectively. This fee waiver and/or expense reimbursement agreement will remain in effect until January 31, 2022 and then may be extended for additional one-year terms. For the six months ended April 30, 2021, such reimbursement amounted to $527,370.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2021, the reimbursement for such services amounted to $45,394.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $68,187 for the six months ended April 30, 2021.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $7,111 from the sale of Class A shares and received $22,540 and $327 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2021.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of ..20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the
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NOTES TO FINANCIAL STATEMENTS (continued)
investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2021, such waiver amounted to $2,416.
A summary of the Fund’s transactions in AB mutual funds for the six months ended April 30, 2021 is as follows:
Fund | Market Value 10/31/20 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 4/30/21 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 2,644 | $ | 212,494 | $ | 178,387 | $ | 36,751 | $ | 1 |
During the second quarter of 2018, AXA S.A. (“AXA”), a French holding company for the AXA Group, completed the sale of a minority stake in its subsidiary, AXA Equitable Holdings, Inc. (now named Equitable Holdings, Inc.)(“Equitable”), through an initial public offering. Equitable is the holding company for a diverse group of financial services companies, including an approximate 65% economic interest in the Adviser and a 100% interest in AllianceBernstein Corporation, the general partner of the Adviser. Since the initial sale, AXA has completed additional offerings (and related transactions). As a result, as of May 20, 2021, AXA no longer owns shares of Equitable.
Sales that were completed on November 13, 2019 resulted in the indirect transfer of a “controlling block” of voting securities of the Adviser (a “Change of Control Event”) and may have been deemed to have been an “assignment” causing a termination of the Fund’s investment advisory and administration agreements. In order to ensure that investment advisory and administration services could continue uninterrupted in the event of a Change of Control Event, the Board previously approved new investment advisory and administration agreements with the Adviser, and shareholders of the Fund subsequently approved the new investment advisory agreement. These agreements became effective on November 13, 2019.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets
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NOTES TO FINANCIAL STATEMENTS (continued)
attributable to Class C shares, .50% of the Fund’s average daily net assets attributable to Class R shares, .25% of the Fund’s average daily net assets attributable to Class K shares and .10% of the Fund’s average daily net assets attributable to Class 1 shares. There are no distribution and servicing fees on the Advisor Class, Class I, Class 2 and Class Z shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares’ average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $274,683, $54,208, $56,801 and $1,581,475 for Class C, Class R, Class K and Class 1 shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2021 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 102,172,891 | $ | 116,386,252 | ||||
U.S. government securities | 277,539,648 | 164,874,342 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation | $ | 56,280,566 | ||
Gross unrealized depreciation | (14,114,587 | ) | ||
|
| |||
Net unrealized appreciation | $ | 42,165,979 | ||
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
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The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
• | Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2021, the Fund held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates
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on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2021, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
• | Option Transactions |
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Fund’s maximum payment for written put
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NOTES TO FINANCIAL STATEMENTS (continued)
options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling or buying a security or currency at a price different from the current market value.
The Fund may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. The Fund’s maximum payment for written put swaptions equates to the notional amount of the underlying swap. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
During the six months ended April 30, 2021, the Fund held written options for hedging and non-hedging purposes.
During the six months ended April 30, 2021, the Fund held written swaptions for hedging and non-hedging purposes.
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates
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two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for OTC swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
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NOTES TO FINANCIAL STATEMENTS (continued)
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2021, the Fund held interest rate swaps for hedging and non-hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer
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NOTES TO FINANCIAL STATEMENTS (continued)
Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended April 30, 2021, the Fund held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments.
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The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2021, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended April 30, 2021, the Fund held total return swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a
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NOTES TO FINANCIAL STATEMENTS (continued)
settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2021, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 1,212,665 | * | Receivable/Payable for variation margin on futures | $ | 597,831 | * | ||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | 14,560 | * | Receivable/Payable for variation margin on centrally cleared swaps | 589,855 | * | ||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps |
| 7,217,579 | * | Receivable/Payable for variation margin on centrally cleared swaps |
| 3,588,804 | * | ||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts |
| 784,578 |
| Unrealized depreciation on forward currency exchange contracts |
| 2,267,428 |
| ||||
Interest rate contracts | Unrealized depreciation on interest rate swaps |
| 86,833 |
| ||||||||
Interest rate contracts | Unrealized appreciation on inflation swaps |
| 548,092 |
| ||||||||
Credit contracts | Market value on credit default swaps | 1,378,472 | Market value on credit default swaps | 3,285,178 | ||||||||
Credit contracts | Unrealized depreciation on total return swaps | 408,090 | ||||||||||
|
|
|
| |||||||||
Total | $ | 11,155,946 | $ | 10,824,019 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
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NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 7,848,843 | $ | (392,566 | ) | ||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 58,799 | (2,095,271 | ) | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 839,826 | (510,303 | ) | ||||||
Credit contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | 636,120 | (51,621 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (1,857,814 | ) | 8,088,531 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (6,004,580 | ) | 372,788 | ||||||
|
|
|
| |||||||
Total | $ | 1,521,194 | $ | 5,411,558 | ||||||
|
|
|
|
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended April 30, 2021:
Futures: | ||||
Average notional amount of buy contracts | $ | 37,845,170 | (a) | |
Average notional amount of sale contracts | $ | 202,849,599 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 76,069,621 | ||
Average principal amount of sale contracts | $ | 125,185,781 |
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NOTES TO FINANCIAL STATEMENTS (continued)
Options Written: | ||||
Average notional amount | $ | 62,745,920 | (b) | |
Swaptions Written: | ||||
Average notional amount | $ | 28,500,000 | (b) | |
Interest Rate Swaps: | ||||
Average notional amount | $ | 595,000 | ||
Inflation Swaps: | ||||
Average notional amount | $ | 23,800,000 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 209,191,267 | ||
Centrally Cleared Inflation Swaps: | ||||
Average notional amount | $ | 277,000,000 | ||
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 14,379,857 | ||
Average notional amount of sale contracts | $ | 14,853,571 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 198,610,000 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 20,860,000 |
(a) | Positions were open for five months during the period. |
(b) | Positions were open for one month during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of April 30, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 1,331,898 | $ | (792,351 | ) | $ | (539,547 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Goldman Sachs Bank USA/Goldman Sachs International | 66,799 | (66,799 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 12,377 | (12,377 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC | 577,017 | (347,393 | ) | (229,624 | ) | – 0 | – | – 0 | – |
abfunds.com | AB BOND INFLATION STRATEGY | 79 |
NOTES TO FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | $ | 601,722 | $ | (459,838 | ) | $ | (141,884 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Natwest Markets PLC | 80,073 | (53,045 | ) | – 0 | – | – 0 | – | 27,028 | ||||||||||||
Societe Generale | 14,272 | – 0 | – | – 0 | – | – 0 | – | 14,272 | ||||||||||||
State Street Bank & Trust Co. | 17,734 | (17,734 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
UBS AG | 9,250 | (9,250 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,711,142 | $ | (1,758,787 | ) | $ | (911,055 | ) | $ | – 0 | – | $ | 41,300 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Barclays Bank PLC | $ | 539,802 | $ | – 0 | – | $ | (260,000 | ) | $ | – 0 | – | $ | 279,802 | |||||||
BNP Paribas SA | 127,225 | – 0 | – | – 0 | – | – 0 | – | 127,225 | ||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 792,351 | (792,351 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 359,323 | – 0 | – | (260,000 | ) | (50,319 | ) | 49,004 | ||||||||||||
Deutsche Bank AG | 722,182 | – 0 | – | – 0 | – | (722,182 | ) | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 1,368,653 | (66,799 | ) | – 0 | – | (1,094,500 | ) | 207,354 | ||||||||||||
HSBC Bank USA | 170,007 | (12,377 | ) | – 0 | – | – 0 | – | 157,630 | ||||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC | 347,393 | (347,393 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | 459,838 | (459,838 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Natwest Markets PLC | 53,045 | (53,045 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 141,195 | (17,734 | ) | – 0 | – | – 0 | – | 123,461 | ||||||||||||
UBS AG | 966,515 | (9,250 | ) | – 0 | – | – 0 | – | 957,265 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,047,529 | $ | (1,758,787 | ) | $ | (520,000 | ) | $ | (1,867,001 | ) | $ | 1,901,741 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
See Note D.3 for additional disclosure of netting arrangements regarding reverse repurchase agreements.
80 | AB BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. Reverse Repurchase Agreements
The Fund may enter into reverse repurchase transactions (“RVP”) in accordance with the terms of a Master Repurchase Agreement (“MRA”), under which the Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the Fund enters into a reverse repurchase agreement, it will establish a segregated account with the custodian containing liquid assets having a value comparable to the repurchase price. Under the MRA and other Master Agreements, the Fund is permitted to offset payables and/or receivables with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund in the event of a default. In the event of a default by a MRA counterparty, the Fund may be considered an unsecured creditor with respect to any excess collateral (collateral with a market value in excess of the repurchase price) held by and/or posted to the counterparty, and as such the return of such excess collateral may be delayed or denied. For the six months ended April 30, 2021, the average amount of reverse repurchase agreements outstanding was $246,233,554 and the daily weighted average interest rate was 0.09%. At April 30, 2021, the Fund had reverse repurchase agreements outstanding in the amount of $233,334,932 as reported on the statement of assets and liabilities.
The following table presents the Fund’s RVP liabilities by counterparty net of the related collateral pledged by the Fund as of April 30, 2021:
Counterparty | RVP Liabilities Subject to a MRA | Securities Collateral Pledged†* | Net Amount of RVP Liabilities | |||||||||
HSBC Bank USA | $ | 134,166,546 | $ | (134,166,546 | ) | $ | – 0 | – | ||||
JPMorgan Chase Bank | 99,168,386 | (99,168,386 | ) | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total | $ | 233,334,932 | $ | (233,334,932 | ) | $ | – 0 | – | ||||
|
|
|
|
|
|
† | Including accrued interest. |
* | The actual collateral pledged may be more than the amount reported due to overcollateralization. |
abfunds.com | AB BOND INFLATION STRATEGY | 81 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 824,640 | 1,261,189 | $ | 9,764,567 | $ | 14,062,730 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 19,920 | 43,961 | 234,743 | 495,138 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 18,730 | 14,046 | 220,893 | 156,235 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (434,319 | ) | (2,126,950 | ) | (5,137,465 | ) | (23,152,124 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 428,971 | (807,754 | ) | $ | 5,082,738 | $ | (8,438,021 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 300,410 | 187,777 | $ | 3,449,190 | $ | 2,049,635 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 2,324 | 3,364 | 26,677 | 37,161 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (19,268 | ) | (14,427 | ) | (220,893 | ) | (156,235 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (66,599 | ) | (81,140 | ) | (761,621 | ) | (868,047 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 216,867 | 95,574 | $ | 2,493,353 | $ | 1,062,514 | ||||||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 8,378,989 | 5,506,776 | $ | 99,354,289 | $ | 60,921,189 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 122,890 | 253,528 | 1,450,197 | 2,856,501 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,427,261 | ) | (9,408,756 | ) | (28,755,990 | ) | (103,456,299 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 6,074,618 | (3,648,452 | ) | $ | 72,048,496 | $ | (39,678,609 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||
Shares sold | 35,319 | 77,780 | $ | 417,197 | $ | 845,022 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,512 | 4,957 | 17,822 | 55,751 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (120,968 | ) | (457,340 | ) | (1,431,173 | ) | (4,996,719 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (84,137 | ) | (374,603 | ) | $ | (996,154 | ) | $ | (4,095,946 | ) | ||||||||||||||
|
82 | AB BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class K | ||||||||||||||||||||||||
Shares sold | 235,475 | 289,515 | $ | 2,784,471 | $ | 3,233,235 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 5,212 | 11,291 | 61,309 | 127,416 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (197,018 | ) | (174,841 | ) | (2,318,325 | ) | (1,884,738 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 43,669 | 125,965 | $ | 527,455 | $ | 1,475,913 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Shares sold | 102,501 | 366,818 | $ | 1,198,726 | $ | 4,053,521 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 5,673 | 20,138 | 66,075 | 224,256 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (336,320 | ) | (574,453 | ) | (3,919,553 | ) | (6,419,617 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (228,146 | ) | (187,497 | ) | $ | (2,654,752 | ) | $ | (2,141,840 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Shares sold | 4,344,881 | 4,785,245 | $ | 50,524,663 | $ | 52,219,913 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 227,837 | 515,381 | 2,633,703 | 5,712,290 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,656,661 | ) | (7,432,024 | ) | (30,817,857 | ) | (80,548,968 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 1,916,057 | (2,131,398 | ) | $ | 22,340,509 | $ | (22,616,765 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||
Shares sold | 631,868 | 2,095,390 | $ | 7,335,262 | $ | 22,581,072 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 51,658 | 115,965 | 597,054 | 1,284,697 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (665,964 | ) | (2,363,445 | ) | (7,694,862 | ) | (25,251,716 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 17,562 | (152,090 | ) | $ | 237,454 | $ | (1,385,947 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class Z | ||||||||||||||||||||||||
Shares sold | 909,742 | 1,366,377 | $ | 10,609,384 | $ | 14,759,779 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 13,038 | 45,824 | 151,267 | 501,842 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (269,287 | ) | (3,464,375 | ) | (3,134,352 | ) | (37,710,934 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 653,493 | (2,052,174 | ) | $ | 7,626,299 | $ | (22,449,313 | ) | ||||||||||||||||
|
abfunds.com | AB BOND INFLATION STRATEGY | 83 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE F
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of the Fund’s investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Interest Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk—Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities. Although the Fund invests principally in inflation-indexed securities, the value of its securities may be vulnerable to changes in expectations of inflation or interest rates.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate
84 | AB BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected on the statement of assets and liabilities.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities Risk—Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
abfunds.com | AB BOND INFLATION STRATEGY | 85 |
NOTES TO FINANCIAL STATEMENTS (continued)
LIBOR Transition and Associated Risk—A Fund may invest in debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. The United Kingdom Financial Conduct Authority, which regulates LIBOR, will cease publishing certain LIBOR benchmarks at the end of 2021. Although certain LIBOR rates are intended to be published until June 2023, banks are strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and the Secured Overnight Financing Rate, global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition away from LIBOR is underway but remains incomplete. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results.
86 | AB BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2021.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2021 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2020 and October 31, 2019 were as follows:
2020 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 13,870,708 | $ | 16,015,055 | ||||
|
|
|
| |||||
Total taxable distributions paid | $ | 13,870,708 | $ | 16,015,055 | ||||
Return of Capital | – 0 | – | 371,868 | |||||
|
|
|
| |||||
Total distributions paid | $ | 13,870,708 | $ | 16,386,923 | ||||
|
|
|
|
As of October 31, 2020, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Accumulated capital and other losses | $ | (11,427,672 | )(a) | |
Unrealized appreciation/(depreciation) | 38,726,683 | (b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 27,299,011 | (c) | |
|
|
(a) | As of October 31, 2020, the Fund had a net capital loss carryforward of $11,427,672. During the fiscal year, the Fund utilized $6,094,772 of capital loss carry forwards to offset current year net realized gains. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of Treasury inflation-protected securities, the tax treatment of swaps, the tax deferral of losses on wash sales, and the amortization on callable bonds. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax and the tax treatment of defaulted securities. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital
abfunds.com | AB BOND INFLATION STRATEGY | 87 |
NOTES TO FINANCIAL STATEMENTS (continued)
losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2020, the Fund had a net long-term capital loss carryforward of $11,427,672, which may be carried forward for an indefinite period.
NOTE I
Subsequent Events
As of April 30, 2021, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Effective May 31, 2021, Class C shares will automatically convert to Class A shares after eight years instead of ten years.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Fund’s financial statements through this date.
88 | AB BOND INFLATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.56 | $ 10.95 | $ 10.47 | $ 10.83 | $ 10.92 | $ 10.44 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .18 | .25 | .21 | .28 | .21 | .18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .30 | .59 | .52 | (.38 | ) | (.11 | ) | .51 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .48 | .84 | .73 | (.10 | ) | .10 | .69 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.10 | ) | (.23 | ) | (.24 | ) | (.26 | ) | (.19 | ) | (.21 | ) | ||||||||||||
Return of capital | – 0 | – | – 0 | – | (.01 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.10 | ) | (.23 | ) | (.25 | ) | (.26 | ) | (.19 | ) | (.21 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.94 | $ 11.56 | $ 10.95 | $ 10.47 | $ 10.83 | $ 10.92 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 4.29 | % | 7.64 | % | 7.00 | % | (.99 | )% | .91 | % | 6.63 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $37,377 | $31,248 | $38,422 | $52,116 | $27,718 | $16,712 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) | .80 | %^ | .91 | % | 1.25 | % | 1.31 | % | 1.01 | % | .98 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) | 1.04 | %^ | 1.18 | % | 1.51 | % | 1.56 | % | 1.34 | % | 1.42 | % | ||||||||||||
Net investment income(b) | 3.08 | %^ | 2.26 | % | 1.93 | % | 2.60 | % | 1.95 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 48 | % | 40 | % | 36 | % | 42 | % | 41 | % |
See footnote summary on page 98.
abfunds.com | AB BOND INFLATION STRATEGY | 89 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.25 | $ 10.67 | $ 10.24 | $ 10.61 | $ 10.71 | $ 10.27 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .15 | .18 | .13 | .19 | .13 | .10 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .27 | .56 | .49 | (.37 | ) | (.11 | ) | .50 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .42 | .74 | .62 | (.18 | ) | .02 | .60 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.07 | ) | (.16 | ) | (.19 | ) | (.19 | ) | (.12 | ) | (.16 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.60 | $ 11.25 | $ 10.67 | $ 10.24 | $ 10.61 | $ 10.71 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 3.86 | % | 6.92 | % | 6.18 | % | (1.77 | )% | .16 | % | 5.86 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $6,456 | $3,823 | $2,607 | $3,391 | $3,627 | $2,505 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) | 1.54 | %^ | 1.64 | % | 1.99 | % | 2.03 | % | 1.76 | % | 1.72 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) | 1.79 | %^ | 1.91 | % | 2.26 | % | 2.29 | % | 2.09 | % | 2.16 | % | ||||||||||||
Net investment income(b) | 2.64 | %^ | 1.62 | % | 1.28 | % | 1.77 | % | 1.26 | % | .96 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 48 | % | 40 | % | 36 | % | 42 | % | 41 | % |
See footnote summary on page 98.
90 | AB BOND INFLATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.57 | $ 10.96 | $ 10.49 | $ 10.84 | $ 10.93 | $ 10.46 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .21 | .27 | .27 | .30 | .25 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .29 | .60 | .48 | (.37 | ) | (.13 | ) | .49 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .50 | .87 | .75 | (.07 | ) | .12 | .71 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.26 | ) | (.27 | ) | (.28 | ) | (.21 | ) | (.24 | ) | ||||||||||||
Return of capital | – 0 | – | – 0 | – | (.01 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.12 | ) | (.26 | ) | (.28 | ) | (.28 | ) | (.21 | ) | (.24 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.95 | $ 11.57 | $ 10.96 | $ 10.49 | $ 10.84 | $ 10.93 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 4.40 | % | 7.93 | % | 7.21 | % | (.68 | )% | 1.15 | % | 6.87 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $212,676 | $135,677 | $168,440 | $150,011 | $107,545 | $29,186 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) | .55 | %^ | .66 | % | .97 | % | 1.05 | % | .77 | % | .73 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) | .79 | %^ | .92 | % | 1.24 | % | 1.31 | % | 1.10 | % | 1.16 | % | ||||||||||||
Net investment income(b) | 3.47 | %^ | 2.44 | % | 2.47 | % | 2.80 | % | 2.31 | % | 2.04 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 48 | % | 40 | % | 36 | % | 42 | % | 41 | % |
See footnote summary on page 98.
abfunds.com | AB BOND INFLATION STRATEGY | 91 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.57 | $ 10.93 | $ 10.46 | $ 10.82 | $ 10.89 | $ 10.44 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .15 | .21 | .20 | .24 | .21 | .29 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .30 | .62 | .49 | (.37 | ) | (.12 | ) | .37 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .45 | .83 | .69 | (.13 | ) | .09 | .66 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.08 | ) | (.19 | ) | (.22 | ) | (.23 | ) | (.16 | ) | (.21 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.94 | $ 11.57 | $ 10.93 | $ 10.46 | $ 10.82 | $ 10.89 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset | 4.10 | % | 7.61 | %(f) | 6.64 | % | (1.15 | )% | .80 | %(f) | 6.41 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,161 | $3,066 | $6,992 | $6,354 | $5,364 | $408 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) | 1.05 | %^ | 1.21 | % | 1.47 | % | 1.54 | % | 1.29 | % | 1.24 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) | 1.42 | %^ | 1.58 | % | 1.83 | % | 1.90 | % | 1.67 | % | 1.71 | % | ||||||||||||
Net investment income(b) | 2.59 | %^ | 1.88 | % | 1.88 | % | 2.24 | % | 2.08 | % | 2.71 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 48 | % | 40 | % | �� | 36 | % | 42 | % | 41 | % |
See footnote summary on page 98.
92 | AB BOND INFLATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.54 | $ 10.92 | $ 10.45 | $ 10.81 | $ 10.89 | $ 10.42 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .18 | .27 | .17 | .27 | .21 | .20 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .29 | .58 | .54 | (.38 | ) | (.11 | ) | .49 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .47 | .85 | .71 | (.11 | ) | .10 | .69 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.10 | ) | (.23 | ) | (.23 | ) | (.25 | ) | (.18 | ) | (.22 | ) | ||||||||||||
Return of capital | – 0 | – | – 0 | – | (.01 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.10 | ) | (.23 | ) | (.24 | ) | (.25 | ) | (.18 | ) | (.22 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.91 | $ 11.54 | $ 10.92 | $ 10.45 | $ 10.81 | $ 10.89 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 4.19 | % | 7.74 | % | 6.88 | % | (1.01 | )% | .96 | % | 6.66 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $7,530 | $6,790 | $5,051 | $12,055 | $2,903 | $2,409 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) | .80 | %^ | .89 | % | 1.27 | % | 1.35 | % | 1.01 | % | .98 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) | 1.11 | %^ | 1.21 | % | 1.57 | % | 1.65 | % | 1.37 | % | 1.36 | % | ||||||||||||
Net investment income(b) | 3.06 | %^ | 2.40 | % | 1.61 | % | 2.57 | % | 1.95 | % | 1.87 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 48 | % | 40 | % | 36 | % | 42 | % | 41 | % |
See footnote summary on page 98.
abfunds.com | AB BOND INFLATION STRATEGY | 93 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.44 | $ 10.84 | $ 10.38 | $ 10.74 | $ 10.84 | $ 10.38 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .18 | .27 | .25 | .28 | .24 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .31 | .59 | .49 | (.36 | ) |
| (.12 | ) | .50 | |||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .49 | .86 | .74 | (.08 | ) | .12 | .72 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.26 | ) | (.27 | ) | (.28 | ) | (.22 | ) | (.26 | ) | ||||||||||||
Return of capital | – 0 | – | – 0 | – | (.01 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.12 | ) | (.26 | ) | (.28 | ) | (.28 | ) | (.22 | ) | (.26 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.81 | $ 11.44 | $ 10.84 | $ 10.38 | $ 10.74 | $ 10.84 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 4.36 | % | 7.97 | % | 7.23 | % | (.73 | )% | 1.15 | % | 6.98 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $5,871 | $8,297 | $9,893 | $5,688 | $642 | $345 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) | .55 | %^ | .65 | % | .94 | % | 1.11 | % | .76 | % | .72 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) | .77 | %^ | .88 | % | 1.18 | % | 1.34 | % | .99 | % | 1.03 | % | ||||||||||||
Net investment income(b) | 3.16 | %^ | 2.42 | % | 2.40 | % | 2.67 | % | 2.25 | % | 2.08 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 48 | % | 40 | % | 36 | % | 42 | % | 41 | % |
See footnote summary on page 98.
94 | AB BOND INFLATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 1 | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.35 | $ 10.77 | $ 10.33 | $ 10.69 | $ 10.80 | $ 10.35 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .19 | .26 | .24 | .28 | .22 | .20 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .29 | .59 | .48 | (.36 | ) | (.11 | ) | .51 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .48 | .85 | .72 | (.08 | ) | .11 | .71 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.27 | ) | (.27 | ) | (.28 | ) | (.22 | ) | (.26 | ) | ||||||||||||
Return of capital | – 0 | – | – 0 | – | (.01 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.12 | ) | (.27 | ) | (.28 | ) | (.28 | ) | (.22 | ) | (.26 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.71 | $ 11.35 | $ 10.77 | $ 10.33 | $ 10.69 | $ 10.80 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 4.32 | % | 7.84 | % | 7.18 | % | (.77 | )%(f) | 1.01 | % | 6.89 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $344,718 | $312,381 | $319,282 | $306,620 | $274,366 | $226,408 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) | .65 | %^ | .75 | % | 1.07 | % | 1.14 | % | .86 | % | .82 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) | .78 | %^ | .88 | % | 1.20 | % | 1.28 | % | 1.04 | % | 1.03 | % | ||||||||||||
Net investment income(b) | 3.19 | %^ | 2.42 | % | 2.31 | % | 2.66 | % | 2.10 | % | 1.86 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 48 | % | 40 | % | 36 | % | 42 | % | 41 | % |
See footnote summary on page 98.
abfunds.com | AB BOND INFLATION STRATEGY | 95 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 2 | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.34 | $ 10.76 | $ 10.32 | $ 10.69 | $ 10.79 | $ 10.35 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .19 | .28 | .26 | .29 | .24 | .20 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .29 | .58 | .48 | (.37 | ) | (.11 | ) | .51 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .48 | .86 | .74 | (.08 | ) | .13 | .71 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.28 | ) | (.29 | ) | (.29 | ) | (.23 | ) | (.27 | ) | ||||||||||||
Return of capital | – 0 | – | – 0 | – | (.01 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.12 | ) | (.28 | ) | (.30 | ) | (.29 | ) | (.23 | ) | (.27 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.70 | $ 11.34 | $ 10.76 | $ 10.32 | $ 10.69 | $ 10.79 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 4.37 | % | 7.96 | % | 7.19 | % | (.77 | )% | 1.21 | % | 6.92 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $62,411 | $60,289 | $58,829 | $50,705 | $54,118 | $37,207 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) | .55 | %^ | .65 | % | .96 | % | 1.03 | % | .76 | % | .72 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) | .68 | %^ | .78 | % | 1.09 | % | 1.17 | % | .94 | % | .93 | % | ||||||||||||
Net investment income(b) | 3.26 | %^ | 2.53 | % | 2.45 | % | 2.78 | % | 2.24 | % | 1.93 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 48 | % | 40 | % | 36 | % | 42 | % | 41 | % |
See footnote summary on page 98.
96 | AB BOND INFLATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class Z | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.38 | $ 10.80 | $ 10.35 | $ 10.72 | $ 10.82 | $ 10.38 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .21 | .24 | .27 | .28 | .24 | .25 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .27 | .62 | .47 | (.36 | ) | (.11 | ) | .46 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .48 | .86 | .74 | (.08 | ) | .13 | .71 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.28 | ) | (.28 | ) | (.29 | ) | (.23 | ) | (.27 | ) | ||||||||||||
Return of capital | – 0 | – | – 0 | – | (.01 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.12 | ) | (.28 | ) | (.29 | ) | (.29 | ) | (.23 | ) | (.27 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.74 | $ 11.38 | $ 10.80 | $ 10.35 | $ 10.72 | $ 10.82 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 4.35 | % | 7.92 | % | 7.26 | % | (.77 | )% | 1.19 | % | 6.89 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $19,042 | $11,016 | $32,606 | $26,142 | $16,019 | $11,576 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e) | .54 | %^ | .67 | % | .96 | % | 1.06 | % | .76 | % | .73 | % | ||||||||||||
Expenses, before waivers/reimbursements(e) | .68 | %^ | .81 | % | 1.10 | % | 1.21 | % | .94 | % | .95 | % | ||||||||||||
Net investment income(b) | 3.53 | %^ | 2.16 | % | 2.50 | % | 2.69 | % | 2.22 | % | 2.40 | % | ||||||||||||
Portfolio turnover rate | 33 | % | 48 | % | 40 | % | 36 | % | 42 | % | 41 | % |
See footnote summary on page 98.
abfunds.com | AB BOND INFLATION STRATEGY | 97 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Amount is less than $.005. |
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(e) | The expense ratios presented below exclude interest expense: |
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Net of waivers/reimbursements | .75 | %^ | .75 | % | .75 | % | .75 | % | .75 | % | .76 | % | ||||||||||||
Before waivers/reimbursements | .99 | %^ | 1.01 | % | 1.02 | % | 1.01 | % | 1.07 | % | 1.20 | % | ||||||||||||
Class C | ||||||||||||||||||||||||
Net of waivers/reimbursements | 1.50 | %^ | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||
Before waivers/reimbursements | 1.75 | %^ | 1.77 | % | 1.77 | % | 1.76 | % | 1.82 | % | 1.94 | % | ||||||||||||
Advisor Class | ||||||||||||||||||||||||
Net of waivers/reimbursements | .50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Before waivers/reimbursements | .74 | %^ | .77 | % | .77 | % | .76 | % | .83 | % | .93 | % | ||||||||||||
Class R | ||||||||||||||||||||||||
Net of waivers/reimbursements | 1.00 | %^ | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Before waivers/reimbursements | 1.37 | %^ | 1.37 | % | 1.36 | % | 1.36 | % | 1.38 | % | 1.47 | % | ||||||||||||
Class K | ||||||||||||||||||||||||
Net of waivers/reimbursements | .75 | %^ | .75 | % | .75 | % | .75 | % | .75 | % | .75 | % | ||||||||||||
Before waivers/reimbursements | 1.07 | %^ | 1.07 | % | 1.04 | % | 1.05 | % | 1.10 | % | 1.13 | % | ||||||||||||
Class I | ||||||||||||||||||||||||
Net of waivers/reimbursements | .50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Before waivers/reimbursements | .72 | %^ | .73 | % | .73 | % | .73 | % | .72 | % | .81 | % | ||||||||||||
Class 1 | ||||||||||||||||||||||||
Net of waivers/reimbursements | .60 | %^ | .60 | % | .60 | % | .60 | % | .60 | % | .60 | % | ||||||||||||
Before waivers/reimbursements | .73 | %^ | .73 | % | .73 | % | .74 | % | .77 | % | .81 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Net of waivers/reimbursements | .50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Before waivers/reimbursements | .63 | %^ | .63 | % | .63 | % | .64 | % | .67 | % | .71 | % | ||||||||||||
Class Z | ||||||||||||||||||||||||
Net of waivers/reimbursements | .50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Before waivers/reimbursements | .64 | %^ | .63 | % | .64 | % | .65 | % | .68 | % | .72 | % |
(f) | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
^ | Annualized. |
See notes to financial statements.
98 | AB BOND INFLATION STRATEGY | abfunds.com |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Michael Canter(2), Vice President Shawn E. Keegan(2), Vice President Janaki Rao(2), Vice President Emilie D. Wrapp, Secretary | Michael B. Reyes, Senior Analyst Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672 | Independent Registered Public Ernst & Young LLP 5 Times Square New York, NY 10036
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s U.S. Multi-Sector Fixed-Income Team. Messrs. Canter, Keegan, and Rao are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio. |
abfunds.com | AB BOND INFLATION STRATEGY | 99 |
Operation and Effectiveness of the Fund’s Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Trustees (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
100 | AB BOND INFLATION STRATEGY | abfunds.com |
The Adviser informed the Fund Board that the Committee believes the Fund’s LRMP is adequately designed, has been implemented as intended, and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Fund, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
abfunds.com | AB BOND INFLATION STRATEGY | 101 |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AB Bond Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Bond Inflation Strategy (the “Fund”) at a meeting held by video conference on November 3-5, 2020 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
102 | AB BOND INFLATION STRATEGY | abfunds.com |
judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2018 and 2019 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution
abfunds.com | AB BOND INFLATION STRATEGY | 103 |
expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended July 31, 2020 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and noted that it was above the median. The directors took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this
104 | AB BOND INFLATION STRATEGY | abfunds.com |
purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors previously discussed these matters with an independent fee consultant.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
abfunds.com | AB BOND INFLATION STRATEGY | 105 |
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also previously discussed economies of scale with an independent fee consultant. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
106 | AB BOND INFLATION STRATEGY | abfunds.com |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
1 | Prior to April 30, 2021, High Yield Portfolio was named FlexFee High Yield Portfolio. |
abfunds.com | AB BOND INFLATION STRATEGY | 107 |
NOTES
108 | AB BOND INFLATION STRATEGY | abfunds.com |
AB BOND INFLATION STRATEGY
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
BIS-0152-0421
APR 04.30.21
SEMI-ANNUAL REPORT
AB INCOME FUND
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
FROM THE PRESIDENT |
Dear Shareholder,
We’re pleased to provide this report for the AB Income Fund (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
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SEMI-ANNUAL REPORT
June 11, 2021
This report provides management’s discussion of fund performance for the AB Income Fund for the semi-annual reporting period ended April 30, 2021.
The investment objective of the Fund is to seek high current income consistent with preservation of capital.
NAV RETURNS AS OF APRIL 30, 2021 (unaudited)
6 Months | 12 Months | |||||||
AB INCOME FUND | ||||||||
Class A Shares | 1.99% | 9.69% | ||||||
Class C Shares | 1.48% | 8.72% | ||||||
Advisor Class Shares1 | 1.99% | 9.81% | ||||||
Class Z Shares1 | 2.01% | 9.86% | ||||||
Bloomberg Barclays US Aggregate Bond Index | -1.52% | -0.27% |
1 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund, or through other limited or special arrangements approved by the Adviser, such as purchases by shareholders of the Fund’s Predecessor Fund. |
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its benchmark, the Bloomberg Barclays US Aggregate Bond Index, for the six- and 12-month periods ended April 30, 2021.
During the six-month period, all share classes outperformed the benchmark, before sales charges. Sector allocation was the primary contributor, relative to the benchmark, mostly from off-benchmark allocations to emerging-market sovereign and corporate bonds, as well as agency risk-sharing transactions that more than offset losses from an underweight to investment-grade corporate bonds and an overweight to US Treasuries. Security selection among high-yield corporate bonds and commercial mortgage-backed securities (“CMBS”) added, more than offsetting a loss in US agency mortgages. Yield-curve positioning contributed, as underweights along the 20- and 30-year parts of the curve exceeded losses from overweights among five- and 10-year maturities. Country allocation to non-US countries including Canada and Colombia were minor detractors, while currency decisions did not have a meaningful impact on returns.
During the 12-month period, all share classes outperformed the benchmark, before sales charges. Sector allocation was the main contributor, mostly from off-benchmark allocations to high-yield corporate bonds in the US and eurozone, emerging-market sovereign and corporate bonds,
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agency risk-sharing transactions, bank loans and collateralized loan obligations, while an underweight to investment-grade corporate bonds and an overweight to US Treasuries detracted. Positive security selection in investment-grade corporate bonds, CMBS, high-yield corporate bonds and emerging-market corporate bonds more than offset a loss in US agency mortgages. Yield-curve positioning contributed, as underweights along the 20- and 30-year parts of the curve exceeded losses from overweights among five- and 10-year maturities. Country allocation and currency decisions did not have a meaningful impact on results.
During both periods, the Fund utilized derivatives in the form of futures, interest rate swaptions and interest rate swaps to manage and hedge duration risk and/or to take active yield-curve positioning. Currency forwards were used to hedge foreign currency exposure and to take active currency risk. Credit default swaps, both single name and index, were used to create synthetic exposure in investment-grade and high-yield credit risk.
MARKET REVIEW AND INVESTMENT STRATEGY
Global fixed-income market returns were mixed over the six-month period ended April 30, 2021, with elevated volatility and dispersion between regions and credit sectors. After the positive impact of massive fiscal stimulus enacted by governments and central bank monetary policies, longer-term treasury yields continued to steadily rise during the period, based on expectations of an economic growth recovery. Developed-market government bond returns fell sharply in all major developed markets except Japan, where treasury returns were slightly positive. Historically low interest rates also set the stage for a sharp rebound in risk assets, which began to significantly rise in November, when positive vaccine news extended the credit rally. Emerging-market high-yield hard-currency sovereign bonds, along with emerging- and developed-market high-yield corporate bonds, led significant gains against developed-market treasuries with strong positive returns, as investors searched for higher yields in a period of historically low interest rates. Emerging-market local-currency bonds and investment-grade corporate bonds in Europe and emerging markets also had positive results. Investment-grade emerging-market sovereign bonds and US corporate bonds had negative returns, yet outperformed developed-market treasuries. Securitized assets outperformed US Treasuries, with slightly negative results. The US dollar fell against all major developed-market currencies except the yen and also fell against most emerging-market currencies during the period. Brent crude oil prices significantly rebounded on the improved global economic outlook and OPEC+ production cuts, and copper advanced near an all-time high partly due to increased demand for infrastructure and green-energy initiatives.
The Fund’s Senior Investment Management Team (the “Team”) continues to pursue high income, while preserving capital by investing primarily in government bonds from both US and non-US issuers as well as corporate
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bonds, with scope to invest a select amount in below investment-grade bonds. The Team manages the Fund with a core fixed-income strategy through a global, multi-sector approach that seeks an attractive risk/return profile.
INVESTMENT POLICIES
The Fund pursues its objective by investing, under normal circumstances, at least 80% of its net assets in income-producing securities. The Fund also normally invests at least 65% of its total assets in securities of US and foreign governments, their agencies or instrumentalities and repurchase agreements relating to US government securities.
The Fund normally invests at least 65% of its total assets in US dollar-denominated securities. The Fund may also invest up to 35% of its total assets in non-government fixed-income securities, including corporate debt securities, non-government mortgage-backed and other asset-backed securities, certificates of deposit and commercial paper. The Fund may invest up to 35% of its net assets in below investment-grade securities (commonly known as “junk bonds”). The Fund may invest no more than 25% of its total assets in securities of issuers in any one country other than the US. The Fund’s investments in foreign securities may include investments in securities of emerging-market countries or of issuers in emerging markets.
The Adviser selects securities for purchase or sale based on its assessment of the securities’ risks and return characteristics as well as the securities’ impact on the overall risks and return characteristics of the Fund. In making this assessment, the Adviser takes into account various factors, including the credit quality and sensitivity to interest rates of the securities under consideration and of the Fund’s other holdings. The Fund may invest in fixed-income securities with any maturity or duration.
The Fund utilizes derivatives, such as options, futures contracts, forwards and swaps to a significant extent, subject to the limits of applicable law. The Fund may, for example, use credit default, interest rate and total return swaps to establish exposure to the fixed-income markets or particular fixed-income securities. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Fund’s exposure. The Fund may also enter into transactions such as reverse repurchase agreements that are similar to borrowings for investment purposes. The Fund’s use of derivatives and these borrowing transactions may create aggregate exposure that is substantially in excess of its net assets, effectively leveraging the Fund.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg Barclays US Aggregate Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Barclays US Aggregate Bond Index represents the performance of securities within the US investment-grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, asset-backed securities and commercial mortgage-backed securities. The index is not leveraged, whereas the Fund utilizes leverage. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of
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DISCLOSURES AND RISKS (continued)
a fixed-income security may be shorter than or equal to the full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline, as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (“NAV”) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Mortgage-Related and/or Other Asset-Backed Securities Risk: Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by
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DISCLOSURES AND RISKS (continued)
non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk.
Active Trading Risk: The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Fund’s return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance
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DISCLOSURES AND RISKS (continued)
assumes reinvestment of distributions and does not account for taxes.
The Fund commenced operations on April 22, 2016. The Fund acquired the assets and liabilities of the AllianceBernstein Income Fund, Inc., a closed-end fund (the “Predecessor Fund”), effective at the close of business on April 21, 2016 (the “Reorganization”). The Fund has the same investment objective that the Predecessor Fund had and similar investment strategies and policies. In addition, the Fund has higher expenses (including transfer agency and shareholder servicing fees), and a different advisory fee arrangement than the Predecessor Fund had.
Performance information prior to April 22, 2016 shown in this report reflects the historical performance of the Predecessor Fund based on its NAV. Such performance information may not be representative of performance the Fund would have achieved as an open-end fund under its current investment strategies and policies and expense levels.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2021 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | SEC Yields1 | ||||||||||
CLASS A SHARES | 2.28% | |||||||||||
1 Year | 9.69% | 4.97% | ||||||||||
5 Years | 4.35% | 3.44% | ||||||||||
Since Inception2 | 4.42% | 3.53% | ||||||||||
CLASS C SHARES | 1.63% | |||||||||||
1 Year | 8.72% | 7.72% | ||||||||||
5 Years | 3.56% | 3.56% | ||||||||||
Since Inception2 | 3.63% | 3.63% | ||||||||||
ADVISOR CLASS SHARES3,4 | 2.64% | |||||||||||
1 Year | 9.81% | 9.81% | ||||||||||
5 Years | 4.61% | 4.61% | ||||||||||
10 Years | 5.09% | 5.09% | ||||||||||
CLASS Z SHARES4 | 2.68% | |||||||||||
1 Year | 9.86% | 9.86% | ||||||||||
Since Inception2 | 4.11% | 4.11% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 0.80%, 1.55%, 0.55% and 0.48% for Class A, Class C, Advisor Class and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Fund’s annual operating expense ratios, exclusive of acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses and brokerage commissions and other transaction costs, to 0.77%, 1.52%, 0.52% and 0.52% for Class A, Class C, Advisor Class and Class Z shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2022. Any fees waived and expense borne by the Adviser through April 22, 2018 under the expense limitations in effect prior to that date may be reimbursed by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne, provided that no reimbursement payment will be made that would cause the Fund’s total annual operating expenses to exceed the expense limitations. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2021. |
2 | Inception dates: 4/21/2016 for all share classes except Class Z; 11/20/2019 for Class Z shares. |
3 | Performance returns of Advisor Class shares for the periods prior to April 21, 2016 are based on the NAV per share of the Predecessor Fund. |
4 | These share classes are offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund, or through other limited or special arrangements approved by the Adviser, such as purchases by shareholders of the Fund’s Predecessor Fund. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2021 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 5.68% | |||
Since Inception1 | 3.33% | |||
CLASS C SHARES | ||||
1 Year | 8.54% | |||
Since Inception1 | 3.46% | |||
ADVISOR CLASS SHARES2,3 | ||||
1 Year | 10.63% | |||
5 Years | 4.53% | |||
10 Years | 5.17% | |||
CLASS Z SHARES3 | ||||
1 Year | 10.54% | |||
Since Inception1 | 3.36% |
1 | Inception dates: 4/21/2016 for all share classes except Class Z; 11/20/2019 for Class Z shares. |
2 | Performance returns of Advisor Class shares for the periods prior to April 21, 2016 are based on the NAV per share of the Predecessor Fund. |
3 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund, or through other limited or special arrangements approved by the Adviser, such as purchases by shareholders of the Fund’s Predecessor Fund. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,019.90 | $ | 3.96 | 0.79 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.88 | $ | 3.96 | 0.79 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,014.80 | $ | 7.69 | 1.54 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.16 | $ | 7.70 | 1.54 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,019.90 | $ | 2.70 | 0.54 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.12 | $ | 2.71 | 0.54 | % | ||||||||
Class Z | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,020.10 | $ | 2.45 | 0.49 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.36 | $ | 2.46 | 0.49 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
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PORTFOLIO SUMMARY
April 30, 2021 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $4,725.9
1 | All data are as of April 30, 2021. The Fund’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” security type weightings represent 1.0% or less in the following types: Agencies, Asset-Backed Securities, Common Stocks, Governments—Sovereign Bonds, Local Governments—Provincial Bonds, Local Governments—US Municipal Bonds, Preferred Stocks, Quasi-Sovereigns and Warrants. |
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PORTFOLIO SUMMARY (continued)
April 30, 2021 (unaudited)
1 | All data are as of April 30, 2021. The Fund’s country breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” country weightings represent 0.4% or less in the following: Angola, Bahrain, Bermuda, Chile, China, Costa Rica, Denmark, Dominican Republic, Ecuador, El Salvador, Finland, Germany, Ghana, Honduras, Hong Kong, India, Indonesia, Ireland, Israel, Ivory Coast, Jamaica, Japan, Kazakhstan, Kenya, Kuwait, Lebanon, Luxembourg, Macau, Malaysia, Netherlands, Nigeria, Norway, Oman, Pakistan, Panama, Peru, Qatar, Saudi Arabia, Senegal, Spain, Sri Lanka, Sweden, Switzerland, Turkey, Ukraine, United Arab Emirates and Zambia. |
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PORTFOLIO OF INVESTMENTS
April 30, 2021 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS – | ||||||||||||
Australia – 1.0% | ||||||||||||
Australia Government Bond | AUD | 62,528 | $ | 47,369,821 | ||||||||
|
| |||||||||||
Colombia – 0.7% | ||||||||||||
Colombian TES | COP | 120,958,800 | 31,375,832 | |||||||||
|
| |||||||||||
Mexico – 0.7% | ||||||||||||
Mexican Bonos | MXN | 645,000 | 35,405,180 | |||||||||
|
| |||||||||||
Russia – 1.1% | ||||||||||||
Russian Federal Bond – OFZ | RUB | 670,156 | 8,972,601 | |||||||||
Series 6227 | 3,026,338 | 41,600,352 | ||||||||||
|
| |||||||||||
50,572,953 | ||||||||||||
|
| |||||||||||
United States – 52.3% | ||||||||||||
U.S. Treasury Bonds | U.S.$ | 37,958 | 31,623,426 | |||||||||
1.25%, 05/15/2050 | 33,090 | 25,644,518 | ||||||||||
4.50%, 02/15/2036 | 17,631 | 23,584,217 | ||||||||||
5.50%, 08/15/2028(b)(c)(d) | 161,400 | 208,155,563 | ||||||||||
6.00%, 02/15/2026 | 30,903 | 38,425,576 | ||||||||||
6.125%, 11/15/2027(d) | 398,327 | 521,932,716 | ||||||||||
6.125%, 08/15/2029 | 47,418 | 64,858,933 | ||||||||||
6.25%, 05/15/2030(d) | 122,903 | 172,217,128 | ||||||||||
6.375%, 08/15/2027(c) | 45,300 | 59,690,355 | ||||||||||
6.50%, 11/15/2026 | 39,144 | 50,770,991 | ||||||||||
6.625%, 02/15/2027(d) | 106,822 | 140,437,154 | ||||||||||
6.875%, 08/15/2025 | 18,100 | 22,811,656 | ||||||||||
7.50%, 11/15/2024 | 20,000 | 24,928,125 | ||||||||||
U.S. Treasury Notes | 48,083 | 47,324,092 | ||||||||||
0.625%, 05/15/2030(d) | 204,567 | 188,106,117 | ||||||||||
1.50%, 08/15/2026(c) | 161,051 | 165,731,648 | ||||||||||
1.625%, 08/15/2029 | 14,595 | 14,768,113 | ||||||||||
1.75%, 11/15/2029(d) | 78,385 | 79,977,195 | ||||||||||
2.125%, 07/31/2024(c) | 125,561 | 132,526,028 | ||||||||||
2.125%, 05/31/2026(d) | 186,093 | 197,607,080 | ||||||||||
2.25%, 11/15/2025(c)(e) | 192,514 | 205,508,588 |
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PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
2.625%, 02/15/2029 | U.S.$ | 9,944 | $ | 10,826,530 | ||||||||
3.125%, 11/15/2028 | 39,000 | 43,868,906 | ||||||||||
|
| |||||||||||
2,471,324,655 | ||||||||||||
|
| |||||||||||
Total Governments – Treasuries | 2,636,048,441 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 15.1% | ||||||||||||
Agency Fixed Rate 30-Year – 15.1% | ||||||||||||
Federal Home Loan Mortgage Corp. | 128,141 | 133,984,724 | ||||||||||
4.50%, 02/01/2050 | 5,352 | 5,976,990 | ||||||||||
Federal National Mortgage Association Series 1998 | 4 | 3,963 | ||||||||||
Series 1999 | 8 | 9,092 | ||||||||||
Series 2020 | 73,025 | 76,335,987 | ||||||||||
4.50%, 02/01/2050 | 9,935 | 11,032,008 | ||||||||||
Government National Mortgage Association | 78,250 | 81,312,752 | ||||||||||
Uniform Mortgage-Backed Security Series 2021 | 223,488 | 234,015,955 | ||||||||||
3.50%, 05/01/2051, TBA | 13,429 | 14,291,164 | ||||||||||
4.00%, 05/01/2051, TBA | 92,255 | 99,116,495 | ||||||||||
4.50%, 05/01/2051, TBA | 53,949 | 58,771,231 | ||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 714,850,361 | |||||||||||
|
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CORPORATES – INVESTMENT GRADE – 13.8% | ||||||||||||
Financial Institutions – 8.0% | ||||||||||||
Banking – 4.7% | ||||||||||||
AIB Group PLC | 4,005 | 4,342,501 | ||||||||||
4.75%, 10/12/2023(a) | 1,734 | 1,890,164 | ||||||||||
Ally Financial, Inc. | 1,497 | 1,752,403 | ||||||||||
8.00%, 11/01/2031 | 75 | 105,415 | ||||||||||
American Express Co. | 576 | 576,461 |
abfunds.com | AB INCOME FUND | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series C | U.S.$ | 2,148 | $ | 2,137,324 | ||||||||
Australia & New Zealand Banking Group Ltd. | 200 | 224,942 | ||||||||||
4.50%, 03/19/2024(a) | 2,577 | 2,829,598 | ||||||||||
Banco de Credito del Peru | 3,765 | 3,703,819 | ||||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | 3,998 | 4,499,149 | ||||||||||
Banco Santander SA | 4,000 | 4,572,680 | ||||||||||
Bank of America Corp. | 2,526 | 2,950,772 | ||||||||||
Series X | 6,520 | 7,278,146 | ||||||||||
Series Z | 2,072 | 2,380,624 | ||||||||||
Bank of New York Mellon Corp. (The) Series E | 844 | 845,393 | ||||||||||
Series G | 992 | 1,094,910 | ||||||||||
Barclays Bank PLC | 656 | 903,096 | ||||||||||
Barclays PLC | GBP | 333 | 525,631 | |||||||||
7.25%, 03/15/2023(a)(g) | 1,350 | 2,016,516 | ||||||||||
7.875%, 03/15/2022(a)(g) | U.S.$ | 205 | 215,379 | |||||||||
BBVA Bancomer SA/Texas | 5,343 | 5,828,211 | ||||||||||
BNP Paribas SA | 1,296 | 1,345,248 | ||||||||||
Capital One Financial Corp. | 4,352 | 4,355,003 | ||||||||||
CIT Group, Inc. | 1,568 | 1,659,414 | ||||||||||
Citigroup, Inc. | 3,286 | 3,303,087 | ||||||||||
5.95%, 01/30/2023(g) | 2,055 | 2,175,238 | ||||||||||
Series Q | 8,027 | 8,030,291 |
16 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series T | U.S.$ | 1,388 | $ | 1,620,837 | ||||||||
Series U | 2,540 | 2,666,543 | ||||||||||
Series V | 1,811 | 1,846,568 | ||||||||||
Series W | 2,865 | 2,906,056 | ||||||||||
Comerica, Inc. | 10,316 | 11,561,967 | ||||||||||
Cooperatieve Rabobank UA | 2,250 | 2,466,135 | ||||||||||
Credit Agricole SA | EUR | 3,780 | 4,583,132 | |||||||||
8.125%, 12/23/2025(a)(g) | U.S.$ | 2,233 | 2,707,825 | |||||||||
Danske Bank A/S | 200 | 213,052 | ||||||||||
5.00%, 01/12/2022(a) | 478 | 492,163 | ||||||||||
5.375%, 01/12/2024(a) | 1,459 | 1,625,355 | ||||||||||
5.875%, 04/06/2022(a)(g) | EUR | 3,302 | 4,128,502 | |||||||||
Discover Bank | U.S.$ | 500 | 543,880 | |||||||||
4.682%, 08/09/2028 | 8,350 | 8,892,750 | ||||||||||
Fifth Third Bancorp | 1,353 | 1,480,601 | ||||||||||
Goldman Sachs Group, Inc. (The) | 760 | 851,664 | ||||||||||
HSBC Holdings PLC | EUR | 4,667 | 6,305,641 | |||||||||
6.00%, 09/29/2023(a)(g) | 3,669 | 4,852,159 | ||||||||||
6.375%, 03/30/2025(g) | U.S.$ | 1,942 | 2,151,192 | |||||||||
ING Groep NV | 6,341 | 7,062,035 | ||||||||||
6.875%, 04/16/2022(a)(g) | 515 | 537,609 | ||||||||||
JPMorgan Chase & Co. | 3,123 | 3,136,366 | ||||||||||
Series S | 2,998 | 3,326,521 | ||||||||||
Series V | 1,561 | 1,560,844 | ||||||||||
Series Z | 2,673 | 2,683,558 |
abfunds.com | AB INCOME FUND | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Lloyds Banking Group PLC | U.S.$ | 4,360 | $ | 4,843,916 | ||||||||
Morgan Stanley | 724 | 726,968 | ||||||||||
Nationwide Building Society | 1,150 | 1,184,408 | ||||||||||
Natwest Group PLC | 3,800 | 3,876,722 | ||||||||||
Nordea Bank Abp | 8,725 | 10,061,321 | ||||||||||
PNC Financial Services Group, Inc. (The) | 1,247 | 1,262,887 | ||||||||||
Santander Holdings USA, Inc. | 463 | 516,092 | ||||||||||
Societe Generale SA | 8,825 | 9,811,812 | ||||||||||
Standard Chartered PLC | 7,800 | 7,475,364 | ||||||||||
7.50%, 04/02/2022(a)(g) | 1,278 | 1,340,303 | ||||||||||
7.75%, 04/02/2023(a)(g) | 265 | 289,335 | ||||||||||
Swedbank AB | 200 | 206,806 | ||||||||||
Series NC5 | 2,000 | 2,161,020 | ||||||||||
Truist Financial Corp. | 10,721 | 11,800,390 | ||||||||||
Series Q | 2,924 | 3,261,605 | ||||||||||
UBS Group AG | 3,569 | 3,954,624 | ||||||||||
UniCredit SpA | 4,320 | 4,354,387 | ||||||||||
4.875%, 02/20/2029(a) | EUR | 2,970 | 3,905,576 | |||||||||
|
| |||||||||||
222,777,906 | ||||||||||||
|
| |||||||||||
Brokerage – 0.2% | ||||||||||||
Charles Schwab Corp. (The) | U.S.$ | 6,567 | 7,341,578 | |||||||||
|
| |||||||||||
Finance – 1.2% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 373 | 389,352 | ||||||||||
3.30%, 01/23/2023 | 150 | 155,711 | ||||||||||
3.875%, 01/23/2028 | 582 | 616,146 | ||||||||||
6.50%, 07/15/2025 | 861 | 1,010,814 |
18 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Aircastle Ltd. | U.S.$ | 1,242 | $ | 1,219,035 | ||||||||
4.125%, 05/01/2024 | 678 | 719,575 | ||||||||||
4.25%, 06/15/2026 | 163 | 176,064 | ||||||||||
4.40%, 09/25/2023 | 1,716 | 1,837,407 | ||||||||||
5.00%, 04/01/2023 | 140 | 149,969 | ||||||||||
5.25%, 08/11/2025(a) | 5,846 | 6,476,725 | ||||||||||
Aviation Capital Group LLC | 349 | 342,753 | ||||||||||
2.875%, 01/20/2022(a) | 1,672 | 1,692,733 | ||||||||||
3.50%, 11/01/2027(a) | 1,437 | 1,487,467 | ||||||||||
3.875%, 05/01/2023(a) | 3,587 | 3,749,061 | ||||||||||
4.125%, 08/01/2025(a) | 1,592 | 1,704,252 | ||||||||||
4.375%, 01/30/2024(a) | 1,694 | 1,805,347 | ||||||||||
4.875%, 10/01/2025(a) | 1,315 | 1,445,317 | ||||||||||
5.50%, 12/15/2024(a) | 4,722 | 5,305,403 | ||||||||||
GE Capital Funding LLC | 3,510 | 3,996,942 | ||||||||||
Huarong Finance II Co., Ltd. | 2,067 | 1,578,671 | ||||||||||
5.50%, 01/16/2025(a) | 7,507 | 5,836,693 | ||||||||||
Synchrony Financial | 806 | 825,812 | ||||||||||
3.95%, 12/01/2027 | 6,904 | 7,506,650 | ||||||||||
4.25%, 08/15/2024 | 4,911 | 5,363,156 | ||||||||||
4.375%, 03/19/2024 | 499 | 544,863 | ||||||||||
4.50%, 07/23/2025 | 576 | 642,833 | ||||||||||
|
| |||||||||||
56,578,751 | ||||||||||||
|
| |||||||||||
Insurance – 1.3% | ||||||||||||
ACE Capital Trust II | 750 | 1,140,645 | ||||||||||
AIG Life Holdings, Inc. | 509 | 735,566 | ||||||||||
Assicurazioni Generali SpA | EUR | 6,630 | 9,785,574 | |||||||||
CNP Assurances | 7,200 | 10,095,290 | ||||||||||
Credit Agricole Assurances SA | 3,200 | 4,732,863 | ||||||||||
Fairfax Financial Holdings Ltd. | U.S.$ | 5,000 | 6,342,650 | |||||||||
Hartford Financial Services Group, Inc. (The) | 3,275 | 3,147,570 | ||||||||||
MetLife Capital Trust IV | 4,117 | 5,719,254 |
abfunds.com | AB INCOME FUND | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Prudential Financial, Inc. | U.S.$ | 4,029 | $ | 4,315,422 | ||||||||
5.625%, 06/15/2043 | 2,868 | 3,103,778 | ||||||||||
Voya Financial, Inc. | 12,065 | 12,911,842 | ||||||||||
|
| |||||||||||
62,030,454 | ||||||||||||
|
| |||||||||||
Other Finance – 0.0% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 710 | 777,961 | ||||||||||
|
| |||||||||||
REITS – 0.6% | ||||||||||||
Brixmor Operating Partnership LP | 2,215 | 2,433,488 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. | 886 | 999,860 | ||||||||||
5.375%, 04/15/2026 | 283 | 320,311 | ||||||||||
Kite Realty Group LP | 515 | 553,779 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 1,047 | 1,108,501 | ||||||||||
5.00%, 10/15/2027 | 75 | 79,087 | ||||||||||
Omega Healthcare Investors, Inc. | 336 | 366,455 | ||||||||||
Regency Centers LP | 1,700 | 1,864,169 | ||||||||||
Sabra Health Care LP | 1,946 | 2,133,711 | ||||||||||
Spirit Realty LP | 2,453 | 2,586,345 | ||||||||||
3.40%, 01/15/2030 | 1,800 | 1,887,282 | ||||||||||
4.45%, 09/15/2026 | 1,010 | 1,126,827 | ||||||||||
STORE Capital Corp. | 1,143 | 1,290,298 | ||||||||||
Trust Fibra Uno | 4,814 | 5,293,294 | ||||||||||
VEREIT Operating Partnership LP | 2,588 | 2,797,317 | ||||||||||
4.625%, 11/01/2025 | 1,286 | 1,460,562 | ||||||||||
4.875%, 06/01/2026 | 459 | 531,283 | ||||||||||
|
| |||||||||||
26,832,569 | ||||||||||||
|
| |||||||||||
376,339,219 | ||||||||||||
|
| |||||||||||
Industrial – 5.2% | ||||||||||||
Basic – 0.8% | ||||||||||||
Anglo American Capital PLC | 3,216 | 3,685,938 | ||||||||||
5.625%, 04/01/2030(a) | 1,960 | 2,355,528 |
20 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
ArcelorMittal SA | U.S.$ | 1,180 | $ | 1,662,632 | ||||||||
Arconic Corp. | 1,765 | 1,887,509 | ||||||||||
Glencore Funding LLC | 7,218 | 7,814,279 | ||||||||||
Gold Fields Orogen Holdings BVI Ltd. | 1,445 | 1,572,160 | ||||||||||
GTL Trade Finance, Inc. | 274 | 364,146 | ||||||||||
GTL Trade Finance, Inc./Gerdau Holdings, Inc. | 328 | 365,987 | ||||||||||
GUSAP III LP | 1,491 | 1,567,227 | ||||||||||
Industrias Penoles SAB de CV | 970 | 1,121,126 | ||||||||||
MEGlobal Canada ULC | 1,988 | 2,223,826 | ||||||||||
Minsur SA | 285 | 302,777 | ||||||||||
Nexa Resources SA | 10,030 | 10,641,830 | ||||||||||
Suzano Austria GmbH | 1,304 | 1,330,080 | ||||||||||
7.00%, 03/16/2047(a) | 478 | 613,632 | ||||||||||
Vale Overseas Ltd. | 614 | 643,242 | ||||||||||
|
| |||||||||||
38,151,919 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.1% | ||||||||||||
General Electric Co. | 815 | 890,518 | ||||||||||
Series D | 1,203 | 1,141,827 | ||||||||||
Westinghouse Air Brake Technologies Corp. | 419 | 446,855 | ||||||||||
4.40%, 03/15/2024 | 2,081 | 2,269,414 | ||||||||||
|
| |||||||||||
4,748,614 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.3% | ||||||||||||
Prosus NV | 5,224 | 5,468,222 | ||||||||||
4.027%, 08/03/2050(a) | 1,123 | 1,046,692 | ||||||||||
5.50%, 07/21/2025(a) | 683 | 779,815 | ||||||||||
Weibo Corp. | 4,574 | 4,799,270 | ||||||||||
|
| |||||||||||
12,093,999 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | U.S.$ | 1,990 | $ | 2,133,738 | ||||||||
5.152%, 03/20/2028(a) | 1,990 | 2,279,187 | ||||||||||
|
| |||||||||||
4,412,925 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - | ||||||||||||
General Motors Co. | 1,290 | 1,530,817 | ||||||||||
6.80%, 10/01/2027 | 1,832 | 2,301,193 | ||||||||||
General Motors Financial Co., Inc. | EUR | 1,571 | 1,999,225 | |||||||||
3.50%, 11/07/2024 | U.S.$ | 951 | 1,024,198 | |||||||||
3.70%, 05/09/2023 | 336 | 353,781 | ||||||||||
3.95%, 04/13/2024 | 1,800 | 1,945,638 | ||||||||||
4.15%, 06/19/2023 | 1,073 | 1,146,018 | ||||||||||
5.10%, 01/17/2024 | 5,068 | 5,604,803 | ||||||||||
5.20%, 03/20/2023 | 1,712 | 1,853,565 | ||||||||||
5.25%, 03/01/2026 | 146 | 168,059 | ||||||||||
Harley-Davidson Financial Services, Inc. | 130 | 132,153 | ||||||||||
3.35%, 06/08/2025(a) | 5,173 | 5,494,502 | ||||||||||
Lear Corp. | 855 | 905,710 | ||||||||||
3.80%, 09/15/2027 | 1,378 | 1,513,320 | ||||||||||
4.25%, 05/15/2029 | 545 | 607,228 | ||||||||||
Nissan Motor Acceptance Corp. | 246 | 251,961 | ||||||||||
2.80%, 01/13/2022(a) | 225 | 228,089 | ||||||||||
3.45%, 03/15/2023(a) | 356 | 372,412 | ||||||||||
Nissan Motor Co., Ltd. | 4,615 | 5,054,071 | ||||||||||
Volkswagen Group of America Finance LLC | 3,894 | 4,210,582 | ||||||||||
|
| |||||||||||
36,697,325 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
Lennar Corp. | 75 | 86,744 | ||||||||||
Marriott International, Inc./MD | 1,526 | 1,757,433 | ||||||||||
|
| |||||||||||
1,844,177 | ||||||||||||
|
|
22 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Cyclical - Retailers – 0.1% | ||||||||||||
VF Corp. | U.S.$ | 2,807 | $ | 2,998,325 | ||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.3% | ||||||||||||
Altria Group, Inc. | 1,145 | 1,302,953 | ||||||||||
BAT Capital Corp. | 5,400 | 6,089,418 | ||||||||||
Cigna Corp. | 6,987 | 7,340,612 | ||||||||||
Kimberly-Clark de Mexico SAB de CV | 1,267 | 1,241,264 | ||||||||||
|
| |||||||||||
15,974,247 | ||||||||||||
|
| |||||||||||
Energy – 1.5% | ||||||||||||
Boardwalk Pipelines LP | 1,798 | 2,125,308 | ||||||||||
Cenovus Energy, Inc. | 2,500 | 2,640,350 | ||||||||||
Continental Resources, Inc./OK | 2,501 | 2,901,410 | ||||||||||
Ecopetrol SA | 813 | 875,074 | ||||||||||
6.875%, 04/29/2030 | 4,658 | 5,635,947 | ||||||||||
Empresa Electrica Cochrane SpA | 937 | 962,174 | ||||||||||
Enable Midstream Partners LP | 8,139 | 8,907,647 | ||||||||||
4.95%, 05/15/2028 | 452 | 504,970 | ||||||||||
Energy Transfer LP | 383 | 414,322 | ||||||||||
Energy Transfer Operating LP | 7,425 | 8,631,117 | ||||||||||
Eni SpA | 1,969 | 2,207,938 | ||||||||||
Hess Corp. | 8,898 | 11,716,264 | ||||||||||
Hunt Oil Co. of Peru LLC Sucursal Del Peru | 718 | 729,793 | ||||||||||
Oleoducto Central SA | 1,169 | 1,237,679 | ||||||||||
ONEOK, Inc. | 3,952 | 4,359,570 | ||||||||||
5.85%, 01/15/2026 | 7,452 | 8,791,497 |
abfunds.com | AB INCOME FUND | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | U.S.$ | 1,287 | $ | 1,424,130 | ||||||||
4.65%, 10/15/2025 | 3,902 | 4,325,718 | ||||||||||
Raizen Fuels Finance SA | 2,218 | 2,478,171 | ||||||||||
|
| |||||||||||
70,869,079 | ||||||||||||
|
| |||||||||||
Services – 0.0% |
| |||||||||||
Expedia Group, Inc. | 708 | 823,871 | ||||||||||
|
| |||||||||||
Technology – 0.6% |
| |||||||||||
Baidu, Inc. | 797 | 839,839 | ||||||||||
3.425%, 04/07/2030 | 225 | 237,049 | ||||||||||
Broadcom, Inc. | 4,978 | 4,803,272 | ||||||||||
5.00%, 04/15/2030 | 2,656 | 3,057,003 | ||||||||||
Dell International LLC/EMC Corp. | 4,940 | 5,678,431 | ||||||||||
NXP BV/NXP Funding LLC | 3,499 | 4,091,765 | ||||||||||
5.55%, 12/01/2028(a) | 1,130 | 1,368,227 | ||||||||||
VMware, Inc. | 5,333 | 5,962,134 | ||||||||||
|
| |||||||||||
26,037,720 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.6% |
| |||||||||||
Delta Air Lines, Inc. | 4,659 | 5,420,048 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 1,412 | 1,514,008 | ||||||||||
4.75%, 10/20/2028(a) | 1,640 | 1,799,687 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. | 8,739 | 9,586,509 | ||||||||||
Southwest Airlines Co. | 9,941 | 11,388,708 | ||||||||||
|
| |||||||||||
29,708,960 | ||||||||||||
|
| |||||||||||
Transportation - Railroads – 0.0% |
| |||||||||||
Lima Metro Line 2 Finance Ltd. | 387 | 399,457 | ||||||||||
5.875%, 07/05/2034(a) | 1,715 | 1,961,705 | ||||||||||
|
| |||||||||||
2,361,162 | ||||||||||||
|
| |||||||||||
246,722,323 | ||||||||||||
|
|
24 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Utility – 0.6% |
| |||||||||||
Electric – 0.6% |
| |||||||||||
AES Panama Generation Holdings SRL | U.S.$ | 1,094 | $ | 1,130,458 | ||||||||
Colbun SA | 209 | 212,827 | ||||||||||
ComEd Financing III | 3,462 | 4,127,085 | ||||||||||
Empresas Publicas de Medellin ESP | 3,775 | 3,798,122 | ||||||||||
4.375%, 02/15/2031(a) | 5,315 | 5,333,270 | ||||||||||
Enel Finance International NV | 5,060 | 5,744,567 | ||||||||||
Engie Energia Chile SA | 6,432 | 6,576,720 | ||||||||||
LLPL Capital Pte Ltd. | 1,122 | 1,309,164 | ||||||||||
|
| |||||||||||
28,232,213 | ||||||||||||
|
| |||||||||||
Total Corporates – Investment Grade | 651,293,755 | |||||||||||
|
| |||||||||||
CORPORATES – NON-INVESTMENT GRADE – 11.5% | ||||||||||||
Industrial – 9.2% |
| |||||||||||
Basic – 0.7% |
| |||||||||||
CF Industries, Inc. | 75 | 87,353 | ||||||||||
Cleveland-Cliffs, Inc. | 1,440 | 1,466,064 | ||||||||||
4.875%, 03/01/2031(a) | 962 | 978,883 | ||||||||||
ERP Iron Ore, LLC | 118 | 100,623 | ||||||||||
Graham Packaging Co., Inc. | 454 | 487,560 | ||||||||||
Graphic Packaging International LLC | 1,032 | 1,125,138 | ||||||||||
Hecla Mining Co. | 1,541 | 1,685,839 | ||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. | 2,965 | 3,320,652 | ||||||||||
INEOS Group Holdings SA | EUR | 3,215 | 3,906,668 | |||||||||
INEOS Quattro Finance 1 PLC | 107 | 131,120 |
abfunds.com | AB INCOME FUND | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC | U.S.$ | 2,626 | $ | 2,718,409 | ||||||||
Joseph T Ryerson & Son, Inc. | 2,712 | 3,001,289 | ||||||||||
Kaiser Aluminum Corp. | 1,211 | 1,287,971 | ||||||||||
Kleopatra Finco SARL | EUR | 2,779 | 3,288,230 | |||||||||
Magnetation LLC/Mag Finance Corp. | U.S.$ | 1,407 | – 0 | – | ||||||||
Nouryon Holding BV | EUR | 3,287 | 4,149,384 | |||||||||
Peabody Energy Corp. | U.S.$ | 1,027 | 504,277 | |||||||||
PIC AU Holdings LLC/PIC AU Holdings Corp. | 1,158 | 1,067,977 | ||||||||||
SPCM SA | 913 | 935,898 | ||||||||||
Valvoline, Inc. | 1,485 | 1,523,833 | ||||||||||
|
| |||||||||||
31,767,168 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.5% |
| |||||||||||
ARD Finance SA | EUR | 1,076 | 1,323,219 | |||||||||
6.50% (6.50% Cash or 7.25% PIK), 06/30/2027(a)(l) | U.S.$ | 5,393 | 5,646,848 | |||||||||
Bombardier, Inc. | 2,000 | 1,998,660 | ||||||||||
7.50%, 12/01/2024-03/15/2025(a) | 2,675 | 2,693,711 | ||||||||||
7.875%, 04/15/2027(a) | 1,946 | 1,941,680 | ||||||||||
Cleaver-Brooks, Inc. | 1,258 | 1,254,641 | ||||||||||
F-Brasile SpA/F-Brasile US LLC | 2,778 | 2,821,587 | ||||||||||
Gates Global LLC/Gates Corp. | 1,047 | 1,096,167 | ||||||||||
GFL Environmental, Inc. | 273 | 286,688 | ||||||||||
8.50%, 05/01/2027(a) | 960 | 1,054,982 | ||||||||||
TransDigm, Inc. | 33 | 34,942 |
26 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Triumph Group, Inc. | U.S.$ | 1,309 | $ | 1,323,307 | ||||||||
7.75%, 08/15/2025 | 362 | 359,488 | ||||||||||
8.875%, 06/01/2024(a) | 1,838 | 2,044,297 | ||||||||||
Trivium Packaging Finance BV | EUR | 100 | 123,291 | |||||||||
Vertical Holdco GmbH | U.S.$ | 1,124 | 1,224,913 | |||||||||
|
| |||||||||||
25,228,421 | ||||||||||||
|
| |||||||||||
Communications - Media – 1.0% |
| |||||||||||
Advantage Sales & Marketing, Inc. | 1,297 | 1,299,992 | ||||||||||
6.50%, 11/15/2028(a) | 5,620 | 5,945,904 | ||||||||||
AMC Networks, Inc. | 4,309 | 4,247,123 | ||||||||||
Arches Buyer, Inc. | 879 | 904,772 | ||||||||||
Banijay Entertainment SASU | EUR | 600 | 728,159 | |||||||||
5.375%, 03/01/2025(a) | U.S.$ | 1,955 | 2,015,136 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 10,147 | 10,246,671 | ||||||||||
5.75%, 02/15/2026(a) | 52 | 53,742 | ||||||||||
CSC Holdings LLC | 459 | 431,515 | ||||||||||
5.00%, 11/15/2031(a) | 2,775 | 2,778,163 | ||||||||||
DISH DBS Corp. | 45 | 51,876 | ||||||||||
iHeartCommunications, Inc. | 0 | ** | 372 | |||||||||
8.375%, 05/01/2027 | 147 | 158,084 | ||||||||||
Lamar Media Corp. | 364 | 384,115 | ||||||||||
LCPR Senior Secured Financing DAC | 3,152 | 3,387,801 | ||||||||||
Meredith Corp. | 2,293 | 2,355,461 | ||||||||||
National CineMedia LLC | 2,267 | 2,175,186 | ||||||||||
Scripps Escrow II, Inc. | 2,163 | 2,193,931 | ||||||||||
Sinclair Television Group, Inc. | 2,251 | 2,240,510 | ||||||||||
TEGNA, Inc. | 3,630 | 3,771,897 |
abfunds.com | AB INCOME FUND | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Univision Communications, Inc. | U.S.$ | 10 | $ | 10,840 | ||||||||
|
| |||||||||||
45,381,250 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.4% | ||||||||||||
Altice France SA/France | 7,096 | 7,125,307 | ||||||||||
Connect Finco SARL/Connect US Finco LLC | 1,301 | 1,356,878 | ||||||||||
Consolidated Communications, Inc. | 3,624 | 3,904,171 | ||||||||||
Frontier Communications Corp. | 1,042 | 1,098,247 | ||||||||||
Intelsat Jackson Holdings SA | 4,941 | 3,030,414 | ||||||||||
Telecom Italia Capital SA | 75 | 98,293 | ||||||||||
Zayo Group Holdings, Inc. | 2,825 | 2,915,852 | ||||||||||
|
| |||||||||||
19,529,162 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - | ||||||||||||
American Axle & Manufacturing, Inc. | 2,445 | 2,612,507 | ||||||||||
Clarios Global LP/Clarios US Finance Co. | EUR | 360 | 447,504 | |||||||||
Dealer Tire LLC/DT Issuer LLC | U.S.$ | 2,682 | 2,839,004 | |||||||||
Exide Technologies | 2,273 | – 0 | – | |||||||||
(First Lien) | 933 | – 0 | – | |||||||||
Ford Motor Co. | 2,800 | 3,136,056 | ||||||||||
IHO Verwaltungs GmbH | EUR | 560 | 685,969 | |||||||||
3.875% (3.875% Cash or 4.625% PIK), 05/15/2027(a)(l) | 623 | 776,332 | ||||||||||
Jaguar Land Rover Automotive PLC | U.S.$ | 546 | 554,807 | |||||||||
7.75%, 10/15/2025(a) | 1,661 | 1,803,348 | ||||||||||
Meritor, Inc. | 1,006 | 1,077,748 |
28 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
PM General Purchaser LLC | U.S.$ | 1,306 | $ | 1,436,979 | ||||||||
Tenneco, Inc. | 2,680 | 2,595,205 | ||||||||||
7.875%, 01/15/2029(a) | 1,764 | 1,986,864 | ||||||||||
Titan International, Inc. | 873 | 901,887 | ||||||||||
|
| |||||||||||
20,854,210 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - | ||||||||||||
Boyne USA, Inc. | 1,417 | 1,456,293 | ||||||||||
Carnival Corp. | 4,321 | 4,560,599 | ||||||||||
9.875%, 08/01/2027(a) | 1,508 | 1,774,524 | ||||||||||
11.50%, 04/01/2023(a) | 6,513 | 7,480,311 | ||||||||||
Cedar Fair LP | 996 | 1,023,460 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | 9,553 | 10,028,166 | ||||||||||
NCL Corp., Ltd. | 2,194 | 2,298,237 | ||||||||||
Royal Caribbean Cruises Ltd. | 3,117 | 3,268,923 | ||||||||||
10.875%, 06/01/2023(a) | 2,193 | 2,517,213 | ||||||||||
11.50%, 06/01/2025(a) | 3,954 | 4,581,856 | ||||||||||
SeaWorld Parks & Entertainment, Inc. | 4,017 | 4,368,407 | ||||||||||
9.50%, 08/01/2025(a) | 3,735 | 4,054,604 | ||||||||||
Six Flags Theme Parks, Inc. | 820 | 884,403 | ||||||||||
Viking Cruises Ltd. | 1,057 | 1,035,945 | ||||||||||
13.00%, 05/15/2025(a) | 1,888 | 2,207,431 | ||||||||||
Viking Ocean Cruises Ship VII Ltd. | 1,376 | 1,398,470 | ||||||||||
VOC Escrow Ltd. | 75 | 76,501 | ||||||||||
|
| |||||||||||
53,015,343 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.5% | ||||||||||||
Adams Homes, Inc. | 2,232 | 2,355,876 | ||||||||||
Bally’s Corp. | 2,577 | 2,743,990 |
abfunds.com | AB INCOME FUND | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Beazer Homes USA, Inc. | U.S.$ | 157 | $ | 165,877 | ||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. | 937 | 937,206 | ||||||||||
6.25%, 09/15/2027(a) | 1,846 | 1,955,209 | ||||||||||
Empire Communities Corp. | 1,386 | 1,482,022 | ||||||||||
Forestar Group, Inc. | 1,470 | 1,529,653 | ||||||||||
Forterra Finance LLC/FRTA Finance Corp. | 1,383 | 1,493,308 | ||||||||||
Hilton Domestic Operating Co., Inc. | 314 | 330,359 | ||||||||||
Installed Building Products, Inc. | 846 | 890,415 | ||||||||||
K. Hovnanian Enterprises, Inc. | 3,302 | 3,333,270 | ||||||||||
Marriott Ownership Resorts, Inc. | 1,618 | 1,717,361 | ||||||||||
Mattamy Group Corp. | 901 | 948,834 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp. | 1,969 | 2,009,424 | ||||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. | 688 | 672,492 | ||||||||||
Travel + Leisure Co. | 2,404 | 2,754,816 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 75 | 79,893 | ||||||||||
|
| |||||||||||
25,400,005 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. | 14 | 14,165 | ||||||||||
IRB Holding Corp. | 1,031 | 1,067,642 | ||||||||||
|
| |||||||||||
1,081,807 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.7% | ||||||||||||
Burlington Coat Factory Warehouse Corp. | 616 | 655,670 | ||||||||||
Dufry One BV | EUR | 1,810 | 2,149,937 |
30 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
FirstCash, Inc. | U.S.$ | 1,608 | $ | 1,659,906 | ||||||||
Foundation Building Materials, Inc. | 1,143 | 1,133,719 | ||||||||||
L Brands, Inc. | 252 | 276,189 | ||||||||||
6.75%, 07/01/2036 | 704 | 849,390 | ||||||||||
6.875%, 11/01/2035 | 2,210 | 2,679,824 | ||||||||||
7.50%, 06/15/2029 | 236 | 273,637 | ||||||||||
9.375%, 07/01/2025(a) | 320 | 405,619 | ||||||||||
Magic Mergeco, Inc. | 2,159 | 2,187,650 | ||||||||||
7.875%, 05/01/2029(a) | 4,529 | 4,664,327 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp. | 1,480 | 1,605,238 | ||||||||||
Rite Aid Corp. | 2,417 | 2,503,939 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp. | 3,230 | 3,403,322 | ||||||||||
Staples, Inc. | 1,173 | 1,214,853 | ||||||||||
10.75%, 04/15/2027(a) | 1,108 | 1,146,348 | ||||||||||
TPro Acquisition Corp. | 1,216 | 1,340,154 | ||||||||||
William Carter Co. (The) | 2,154 | 2,278,846 | ||||||||||
|
| |||||||||||
30,428,568 | ||||||||||||
|
| |||||||||||
Consumer Non - Cyclical – 0.7% | ||||||||||||
AdaptHealth LLC | 2,041 | 2,031,775 | ||||||||||
6.125%, 08/01/2028(a) | 1,265 | 1,332,526 | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 799 | 830,704 | ||||||||||
4.875%, 02/15/2030(a) | 82 | 85,403 | ||||||||||
Bausch Health Americas, Inc. | 223 | 248,284 | ||||||||||
Bausch Health Cos., Inc. | 446 | 455,901 | ||||||||||
CHS/Community Health Systems, Inc. | 2,079 | 2,174,717 | ||||||||||
8.125%, 06/30/2024(a) | 162 | 169,593 | ||||||||||
Cidron Aida Finco Sarl | EUR | 496 | 608,147 | |||||||||
Emergent BioSolutions, Inc. | U.S.$ | 642 | 601,387 |
abfunds.com | AB INCOME FUND | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | U.S.$ | 1,928 | $ | 1,473,705 | ||||||||
9.50%, 07/31/2027(a) | 1,413 | 1,497,738 | ||||||||||
Jazz Securities DAC | 1,278 | 1,306,602 | ||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC | 548 | 363,510 | ||||||||||
5.625%, 10/15/2023(a)(j)(n) | 107 | 72,747 | ||||||||||
Organon Finance 1 LLC | 1,527 | 1,584,293 | ||||||||||
Radiology Partners, Inc. | 3,294 | 3,611,706 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. | 4,840 | 5,240,800 | ||||||||||
Sunshine Mid BV | EUR | 2,077 | 2,578,077 | |||||||||
Triton Water Holdings, Inc. | U.S.$ | 1,264 | 1,279,636 | |||||||||
US Acute Care Solutions LLC | 656 | 684,490 | ||||||||||
US Foods, Inc. | 3,990 | 4,039,476 | ||||||||||
Vizient, Inc. | 561 | 595,266 | ||||||||||
WASH Multifamily Acquisition, Inc. | 1,252 | 1,300,290 | ||||||||||
|
| |||||||||||
34,166,773 | ||||||||||||
|
| |||||||||||
Energy – 1.8% | ||||||||||||
Antero Resources Corp. | 1,007 | 1,130,559 | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. | 2,125 | 2,295,892 | ||||||||||
Bonanza Creek Energy, Inc. | 55 | 55,052 | ||||||||||
Callon Petroleum, Co. | 1,252 | 1,189,225 | ||||||||||
Citgo Holding, Inc. | 737 | 759,095 | ||||||||||
CITGO Petroleum Corp. | 2,880 | 2,970,115 | ||||||||||
CNX Resources Corp. | 3,514 | 3,742,621 |
32 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Comstock Resources, Inc. | U.S.$ | 1,613 | $ | 1,749,331 | ||||||
Diamond Offshore Drilling, Inc. | 2,642 | 468,955 | ||||||||
EnLink Midstream LLC | 4,206 | 4,346,985 | ||||||||
EnLink Midstream Partners LP | 318 | 326,268 | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 1,149 | 1,127,249 | ||||||||
6.50%, 10/01/2025 | 179 | 179,700 | ||||||||
7.75%, 02/01/2028 | 4,346 | 4,387,809 | ||||||||
8.00%, 01/15/2027 | 1,356 | 1,397,087 | ||||||||
Global Partners LP/GLP Finance Corp. | 1,924 | 2,081,749 | ||||||||
Gulfport Energy Corp. | 438 | 438,504 | ||||||||
6.375%, 05/15/2025-01/15/2026(j)(n) | 2,545 | 2,545,372 | ||||||||
6.625%, 05/01/2023(j)(n) | 236 | 238,343 | ||||||||
Hess Midstream Operations LP | 2,739 | 2,843,164 | ||||||||
Independence Energy Finance Ll | 2,362 | 2,364,268 | ||||||||
Nabors Industries Ltd. | 1,294 | 1,155,348 | ||||||||
7.50%, 01/15/2028(a) | 1,372 | 1,195,506 | ||||||||
New Fortress Energy, Inc. | 3,422 | 3,543,310 | ||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. | 6,150 | 6,464,757 | ||||||||
NGL Energy Partners LP/NGL Energy Finance Corp. | 1,544 | 1,508,318 | ||||||||
Occidental Petroleum Corp. | 4,990 | 4,978,273 | ||||||||
3.20%, 08/15/2026 | 771 | 752,966 | ||||||||
5.875%, 09/01/2025 | 1,121 | 1,224,121 | ||||||||
8.00%, 07/15/2025 | 1,755 | 2,048,471 | ||||||||
8.50%, 07/15/2027 | 891 | 1,087,813 | ||||||||
8.875%, 07/15/2030 | 891 | 1,146,236 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 4,960 | 5,194,955 | ||||||||
SM Energy Co. | 685 | 654,134 |
abfunds.com | AB INCOME FUND | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | U.S.$ | 4,769 | $ | 4,684,732 | ||||||||
6.50%, 07/15/2027 | 775 | 843,309 | ||||||||||
Transocean Phoenix 2 Ltd. | 440 | 437,601 | ||||||||||
Transocean, Inc. | 1,061 | 781,724 | ||||||||||
8.00%, 02/01/2027(a) | 2,513 | 1,764,955 | ||||||||||
Vantage Drilling International | 3,068 | – 0 | – | |||||||||
Western Midstream Operating LP | 207 | 216,050 | ||||||||||
4.65%, 07/01/2026 | 3,058 | 3,277,381 | ||||||||||
4.75%, 08/15/2028 | 1,490 | 1,604,551 | ||||||||||
5.30%, 02/01/2030 | 1,254 | 1,367,700 | ||||||||||
|
| |||||||||||
82,569,554 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.0% | ||||||||||||
Interface, Inc. | 1,124 | 1,173,265 | ||||||||||
KAR Auction Services, Inc. | 75 | 75,937 | ||||||||||
|
| |||||||||||
1,249,202 | ||||||||||||
|
| |||||||||||
Services – 0.6% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. | 1,167 | 1,235,853 | ||||||||||
9.75%, 07/15/2027(a) | 1,513 | 1,664,829 | ||||||||||
ANGI Group LLC | 458 | 454,904 | ||||||||||
APX Group, Inc. | 3,506 | 3,775,646 | ||||||||||
7.625%, 09/01/2023 | 2,000 | 2,055,880 | ||||||||||
7.875%, 12/01/2022 | 694 | 697,269 | ||||||||||
Cars.com, Inc. | 2,427 | 2,532,477 | ||||||||||
eDreams ODIGEO SA | EUR | 1,327 | 1,556,873 | |||||||||
Garda World Security Corp. | U.S.$ | 3,358 | 3,697,830 | |||||||||
Monitronics International, Inc. | 1,835 | – 0 | – | |||||||||
MPH Acquisition Holdings LLC | 4,123 | 4,062,887 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 473 | 496,347 |
34 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
TripAdvisor, Inc. | U.S.$ | 1,231 | $ | 1,329,997 | ||||||||
Verscend Escrow Corp. | 4,000 | 4,260,520 | ||||||||||
|
| |||||||||||
27,821,312 | ||||||||||||
|
| |||||||||||
Technology – 0.5% | ||||||||||||
Austin BidCo, Inc. | 947 | 963,951 | ||||||||||
Avaya, Inc. | 3,860 | 4,106,461 | ||||||||||
Banff Merger Sub, Inc. | 2,954 | 3,137,148 | ||||||||||
Cablevision Lightpath LLC | 1,847 | 1,897,035 | ||||||||||
CommScope, Inc. | 1,061 | 1,136,342 | ||||||||||
NCR Corp. | 2,517 | 2,595,354 | ||||||||||
5.75%, 09/01/2027(a) | 473 | 500,037 | ||||||||||
6.125%, 09/01/2029(a) | 366 | 398,508 | ||||||||||
8.125%, 04/15/2025(a) | 1,180 | 1,291,510 | ||||||||||
Presidio Holdings, Inc. | 165 | 170,221 | ||||||||||
8.25%, 02/01/2028(a) | 1,836 | 2,007,152 | ||||||||||
Science Applications International Corp. | 448 | 461,888 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. | 6,350 | 6,591,935 | ||||||||||
Xerox Corp. | 27 | 28,247 | ||||||||||
|
| |||||||||||
25,285,789 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.2% | ||||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. | 2,470 | 2,610,095 | ||||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. | 3,724 | 4,215,602 | ||||||||||
United Airlines, Inc. | 767 | 796,622 | ||||||||||
|
| |||||||||||
7,622,319 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.1% | ||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | 787 | 832,756 |
abfunds.com | AB INCOME FUND | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Modulaire Global Finance Plc | U.S.$ | 1,258 | $ | 1,283,185 | ||||||||
|
| |||||||||||
2,115,941 | ||||||||||||
|
| |||||||||||
433,516,824 | ||||||||||||
|
| |||||||||||
Financial Institutions – 2.2% | ||||||||||||
Banking – 1.1% | ||||||||||||
Alliance Data Systems Corp. | 4,513 | 4,634,896 | ||||||||||
7.00%, 01/15/2026(a) | 824 | 886,154 | ||||||||||
Ally Financial, Inc. | 5,227 | 5,318,211 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA | EUR | 5,000 | 6,266,847 | |||||||||
Series 9 | U.S.$ | 1,800 | 1,973,286 | |||||||||
Banco Santander SA | EUR | 3,700 | 4,656,060 | |||||||||
CaixaBank SA | 2,400 | 3,300,926 | ||||||||||
Citizens Financial Group, Inc. | U.S.$ | 222 | 222,049 | |||||||||
Credit Suisse Group AG | 640 | 691,379 | ||||||||||
6.375%, 08/21/2026(a)(g) | 3,961 | 4,301,765 | ||||||||||
7.50%, 07/17/2023-12/11/2023(a)(g) | 7,239 | 7,816,357 | ||||||||||
Discover Financial Services | 2,197 | 2,475,492 | ||||||||||
Exide Global Holding NETH | 1,124 | 1,101,572 | ||||||||||
Intesa Sanpaolo SpA | 999 | 1,084,654 | ||||||||||
Societe Generale SA | 2,015 | 2,375,362 | ||||||||||
UniCredit SpA | EUR | 2,700 | 3,513,875 | |||||||||
|
| |||||||||||
50,618,885 | ||||||||||||
|
| |||||||||||
Brokerage – 0.1% | ||||||||||||
NFP Corp. | U.S.$ | 2,285 | 2,395,731 | |||||||||
7.00%, 05/15/2025(a) | 2,239 | 2,413,776 | ||||||||||
|
| |||||||||||
4,809,507 | ||||||||||||
|
|
36 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Finance – 0.2% | ||||||||||||
Compass Group Diversified Holdings LLC | U.S.$ | 2,157 | $ | 2,275,613 | ||||||||
Curo Group Holdings Corp. | 2,000 | 2,047,760 | ||||||||||
Enova International, Inc. | 3,418 | 3,520,984 | ||||||||||
goeasy Ltd. | 2,145 | 2,230,478 | ||||||||||
Lincoln Financing SARL | EUR | 759 | 924,325 | |||||||||
Navient Corp. | U.S.$ | 71 | 74,539 | |||||||||
|
| |||||||||||
11,073,699 | ||||||||||||
|
| |||||||||||
Insurance – 0.3% | ||||||||||||
Acrisure LLC/Acrisure Finance, Inc. | 4,241 | 4,361,360 | ||||||||||
10.125%, 08/01/2026(a) | 831 | 951,096 | ||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | 2,948 | 3,101,414 | ||||||||||
Ardonagh Midco 2 PLC | 2,370 | 2,567,895 | ||||||||||
AssuredPartners, Inc. | 3,179 | 3,221,630 | ||||||||||
|
| |||||||||||
14,203,395 | ||||||||||||
|
| |||||||||||
Other Finance – 0.3% | ||||||||||||
Altice France Holding SA | 3,024 | 3,406,476 | ||||||||||
Intrum AB | EUR | 127 | 152,317 | |||||||||
3.00%, 09/15/2027(a) | 1,490 | 1,754,199 | ||||||||||
3.50%, 07/15/2026(a) | 1,040 | 1,262,068 | ||||||||||
Nordic Aviation Capital | U.S.$ | 12,727 | 8,909,139 | |||||||||
|
| |||||||||||
15,484,199 | ||||||||||||
|
| |||||||||||
REITS – 0.2% | ||||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC | 1,154 | 1,205,734 | ||||||||||
Diversified Healthcare Trust | 1,389 | 1,559,180 | ||||||||||
Iron Mountain, Inc. | 75 | 77,960 | ||||||||||
5.00%, 07/15/2028(a) | 138 | 142,836 |
abfunds.com | AB INCOME FUND | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | U.S.$ | 628 | $ | 668,920 | ||||||||
Realogy Group LLC/Realogy Co-Issuer Corp. | 4,479 | 5,015,226 | ||||||||||
|
| |||||||||||
8,669,856 | ||||||||||||
|
| |||||||||||
104,859,541 | ||||||||||||
|
| |||||||||||
Utility – 0.1% |
| |||||||||||
Electric – 0.1% |
| |||||||||||
NRG Energy, Inc. | 75 | 78,128 | ||||||||||
Talen Energy Supply LLC | 394 | 327,847 | ||||||||||
7.25%, 05/15/2027(a) | 850 | 873,401 | ||||||||||
10.50%, 01/15/2026(a) | 3,081 | 2,831,562 | ||||||||||
|
| |||||||||||
4,110,938 | ||||||||||||
|
| |||||||||||
Other Utility – 0.0% | ||||||||||||
Solaris Midstream Holdings LLC | 1,727 | 1,807,944 | ||||||||||
|
| |||||||||||
5,918,882 | ||||||||||||
|
| |||||||||||
Total Corporates – Non-Investment Grade | 544,295,247 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 7.0% | ||||||||||||
Risk Share Floating Rate – 6.2% |
| |||||||||||
Bellemeade Re Ltd. | ||||||||||||
Series 2018-3A, Class M1B | 944 | 946,584 | ||||||||||
Series 2019-1A, Class M2 | 1,340 | 1,345,571 | ||||||||||
Series 2019-2A, Class M1C | 9,029 | 9,081,502 | ||||||||||
Series 2019-3A, Class M1B | 634 | 635,103 | ||||||||||
Series 2019-3A, Class M1C | 15,567 | 15,566,995 | ||||||||||
Series 2020-2A, Class M1C | 10,680 | 10,879,904 |
38 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Connecticut Avenue Securities Trust Series 2020-R02, Class 2M1 0.856% (LIBOR 1 Month + 0.75%), 01/25/2040(a)(f) | U.S.$ | 725 | $ | 724,929 | ||||||
Eagle RE Ltd. | 513 | 515,556 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||||
Series 2013-DN2, Class M2 | 2,103 | 2,141,899 | ||||||||
Series 2014-DN3, Class M3 | 1,609 | 1,642,879 | ||||||||
Series 2014-HQ2, Class M3 | 793 | 814,876 | ||||||||
Series 2015-DN1, Class B | 2,536 | 2,499,311 | ||||||||
Series 2015-DNA1, Class M3 | 487 | 494,985 | ||||||||
Series 2015-DNA2, Class B | 1,484 | 1,617,254 | ||||||||
Series 2015-DNA3, Class B | 2,465 | 2,912,140 | ||||||||
Series 2015-HQA1, Class B | 1,572 | 1,730,863 | ||||||||
Series 2016-DNA1, Class B | 2,222 | 2,511,858 | ||||||||
Series 2016-DNA2, Class M3 | 4,538 | 4,745,960 | ||||||||
Series 2016-DNA4, Class M3 | 5,001 | 5,212,739 | ||||||||
Series 2016-HQA2, Class M3 | 7,244 | 7,574,982 |
abfunds.com | AB INCOME FUND | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2017-DNA1, Class M2 | U.S.$ | 2,466 | $ | 2,559,869 | ||||||
Series 2017-DNA2, Class B1 | 5,178 | 5,636,730 | ||||||||
Series 2017-DNA2, Class M2 | 1,157 | 1,201,364 | ||||||||
Series 2017-DNA3, Class B1 | 4,550 | 4,754,331 | ||||||||
Series 2017-HQA2, Class B1 | 3,000 | 3,214,131 | ||||||||
Series 2017-HQA3, Class B1 | 9,090 | 9,556,672 | ||||||||
Series 2017-HQA3, Class M2 | 6,869 | 6,974,525 | ||||||||
Series 2018-HQA1, Class B1 | 4,520 | 4,717,352 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Trust | 7,000 | 7,216,967 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||||
Series 2014-C01, Class M2 | 3,210 | 3,274,536 | ||||||||
Series 2014-C02, Class 1M2 | 2,255 | 2,255,152 | ||||||||
Series 2014-C04, Class 1M2 | 4,404 | 4,553,788 | ||||||||
Series 2014-C04, Class 2M2 | 585 | 600,580 | ||||||||
Series 2015-C02, Class 2M2 | 473 | 479,461 |
40 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2015-C03, Class 1M2 | U.S.$ | 1,944 | $ | 1,989,232 | ||||||
Series 2015-C03, Class 2M2 | 445 | 452,433 | ||||||||
Series 2015-C04, Class 1M2 | 3,315 | 3,514,090 | ||||||||
Series 2015-C04, Class 2M2 | 1,657 | 1,748,145 | ||||||||
Series 2016-C01, Class 1M2 | 1,954 | 2,078,888 | ||||||||
Series 2016-C01, Class 2M2 | 755 | 803,806 | ||||||||
Series 2016-C02, Class 1M2 | 4,843 | 5,110,796 | ||||||||
Series 2016-C04, Class 1M2 | 431 | 452,051 | ||||||||
Series 2016-C05, Class 2B | 2,742 | 3,225,191 | ||||||||
Series 2016-C05, Class 2M2 | 3,712 | 3,870,394 | ||||||||
Series 2016-C07, Class 2B | 1,188 | 1,355,612 | ||||||||
Series 2016-C07, Class 2M2 | 484 | 504,341 | ||||||||
Series 2017-C01, Class 1B1 | 16,579 | 18,216,146 | ||||||||
Series 2017-C02, Class 2B1 | 7,031 | 7,646,916 | ||||||||
Series 2017-C03, Class 1B1 | 7,080 | 7,593,975 | ||||||||
Series 2017-C05, Class 1B1 | 7,280 | 7,539,728 |
abfunds.com | AB INCOME FUND | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2017-C07, Class 2B1 | U.S.$ | 7,313 | $ | 7,586,554 | ||||||
Series 2018-C01, Class 1B1 | 8,575 | 8,747,195 | ||||||||
Series 2018-C03, Class 1B1 | 7,250 | 7,440,524 | ||||||||
Series 2018-C05, Class 1B1 | 6,873 | 7,044,088 | ||||||||
Home Re Ltd. | ||||||||||
Series 2018-1, Class M1 | 698 | 699,701 | ||||||||
Series 2019-1, Class B1 | 2,000 | 1,993,550 | ||||||||
Series 2020-1, Class M2 | 4,734 | 4,848,269 | ||||||||
JPMorgan Madison Avenue Securities Trust | ||||||||||
Series 2014-CH1, Class M2 | 659 | 649,254 | ||||||||
Series 2015-CH1, Class M2 | 1,185 | 1,119,608 | ||||||||
Mortgage Insurance-Linked Notes | 13,630 | 13,418,609 | ||||||||
Oaktown Re III Ltd. | 7,478 | 7,508,910 | ||||||||
PMT Credit Risk Transfer Trust | ||||||||||
Series 2019-1R, Class A | 1,747 | 1,668,991 | ||||||||
Series 2019-2R, Class A | 2,849 | 2,833,349 | ||||||||
Series 2019-3R, Class A | 962 | 964,508 |
42 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2020-1R, Class A | U.S.$ | 4,604 | $ | 4,592,816 | ||||||||
Radnor Re Ltd. | ||||||||||||
Series 2018-1, Class B1 | 803 | 820,852 | ||||||||||
Series 2018-1, Class M2 | 721 | 720,787 | ||||||||||
Series 2019-1, Class M1B | 2,673 | 2,684,855 | ||||||||||
Series 2019-1, Class M2 | 6,106 | 6,121,351 | ||||||||||
Series 2019-2, Class M1B | 9,100 | 9,110,952 | ||||||||||
Series 2020-1, Class M1A | 6,523 | 6,494,968 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 468 | 458,033 | ||||||||||
|
| |||||||||||
294,220,816 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.7% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | ||||||||||||
Series 3119, Class PI | 1,295 | 330,697 | ||||||||||
Series 3856, Class KS | 8,237 | 1,560,468 | ||||||||||
Series 4248, Class SL | 745 | 131,223 | ||||||||||
Series 4372, Class JS | 4,273 | 891,276 | ||||||||||
Series 4570, Class ST | 1,802 | 428,052 |
abfunds.com | AB INCOME FUND | 43 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 4735, Class SA | U.S.$ | 8,965 | $ | 2,275,129 | ||||||
Series 4763, Class SB | 14,507 | 3,383,282 | ||||||||
Series 4774, Class BS | 7,718 | 1,419,856 | ||||||||
Series 4774, Class SL | 10,070 | 1,832,773 | ||||||||
Series 4927, Class SJ | 4,126 | 889,804 | ||||||||
Federal National Mortgage Association REMICs | ||||||||||
Series 2013-4, Class ST | 2,689 | 540,850 | ||||||||
Series 2014-88, Class BS | 2,388 | 539,068 | ||||||||
Series 2015-90, Class SA | 19,206 | 4,644,401 | ||||||||
Series 2016-69, Class DS | 29,589 | 4,984,845 | ||||||||
Series 2017-49, Class SP | 2,572 | 615,543 | ||||||||
Series 2018-32, Class SB | 5,274 | 1,243,766 | ||||||||
Series 2018-45, Class SL | 3,537 | 878,864 | ||||||||
Series 2018-57, Class SL | 13,771 | 2,613,189 | ||||||||
Series 2018-58, Class SA | 5,328 | 998,412 | ||||||||
Series 2018-59, Class HS | 14,335 | 2,680,445 |
44 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2019-25, Class SA | U.S.$ | 4,825 | $ | 1,055,503 | ||||||||
Series 2019-60, Class SJ | 4,534 | 979,947 | ||||||||||
|
| |||||||||||
34,917,393 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.1% | ||||||||||||
Alternative Loan Trust | 1,050 | 820,552 | ||||||||||
CHL Mortgage Pass-Through Trust | ||||||||||||
Series 2007-3, Class A30 | 570 | 413,279 | ||||||||||
Series 2007-HY4, Class 1A1 | 236 | 227,054 | ||||||||||
Citigroup Mortgage Loan Trust Series 2007-AR4, Class 1A1A 3.196%, 03/25/2037 | 141 | 140,827 | ||||||||||
CSMC Mortgage-Backed Trust | 395 | 243,524 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust | 854 | 851,131 | ||||||||||
|
| |||||||||||
2,696,367 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.0% | ||||||||||||
Federal National Mortgage Association REMICs | ||||||||||||
Series 2013-87, Class KI | 2,198 | 84,950 | ||||||||||
Series 2016-26, Class IO | 542 | 91,375 | ||||||||||
|
| |||||||||||
176,325 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.0% | ||||||||||||
First Horizon Alternative Mortgage Securities Trust | 391 | 104,422 | ||||||||||
Lehman XS Trust | 317 | 58,039 | ||||||||||
|
| |||||||||||
162,461 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 332,173,362 | |||||||||||
|
|
abfunds.com | AB INCOME FUND | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
EMERGING MARKETS – | ||||||||||||
Angola – 0.5% | ||||||||||||
Angolan Government International Bond | U.S.$ | 6,780 | $ | 6,830,002 | ||||||||
8.25%, 05/09/2028(a) | 460 | 471,730 | ||||||||||
9.125%, 11/26/2049(a) | 11,122 | 11,242,257 | ||||||||||
9.50%, 11/12/2025(a) | 4,256 | 4,662,448 | ||||||||||
|
| |||||||||||
23,206,437 | ||||||||||||
|
| |||||||||||
Bahrain – 0.4% | ||||||||||||
Bahrain Government International Bond | 7,434 | 7,359,660 | ||||||||||
6.75%, 09/20/2029(a) | 1,709 | 1,878,084 | ||||||||||
7.00%, 10/12/2028(a) | 2,107 | 2,360,894 | ||||||||||
7.375%, 05/14/2030(a) | 1,961 | 2,217,523 | ||||||||||
CBB International Sukuk Programme Co. SPC | 1,087 | 1,136,798 | ||||||||||
CBB International Sukuk Programme Co. WLL | 2,362 | 2,592,000 | ||||||||||
|
| |||||||||||
17,544,959 | ||||||||||||
|
| |||||||||||
Costa Rica – 0.2% | ||||||||||||
Costa Rica Government International Bond | 5,214 | 5,423,538 | ||||||||||
7.158%, 03/12/2045(a) | 4,004 | 4,138,634 | ||||||||||
|
| |||||||||||
9,562,172 | ||||||||||||
|
| |||||||||||
Dominican Republic – 0.5% | ||||||||||||
Dominican Republic International Bond | 9,442 | 9,788,994 | ||||||||||
4.875%, 09/23/2032(a) | 3,361 | 3,516,446 | ||||||||||
6.40%, 06/05/2049(a) | 2,287 | 2,478,250 | ||||||||||
6.875%, 01/29/2026(a) | 6,782 | 7,925,615 | ||||||||||
|
| |||||||||||
23,709,305 | ||||||||||||
|
| |||||||||||
Ecuador – 0.3% | ||||||||||||
Ecuador Government International Bond | ||||||||||||
Zero Coupon, 07/31/2030(a) | 626 | 342,807 | ||||||||||
0.50%, 07/31/2030-07/31/2040(a) | 16,410 | 11,395,932 | ||||||||||
|
| |||||||||||
11,738,739 | ||||||||||||
|
| |||||||||||
Egypt – 0.7% | ||||||||||||
Egypt Government International Bond | 6,333 | 6,700,314 | ||||||||||
6.125%, 01/31/2022(a) | 5,970 | 6,124,100 | ||||||||||
6.20%, 03/01/2024(a) | 4,724 | 5,037,851 |
46 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
6.588%, 02/21/2028(a) | U.S.$ | 1,000 | $ | 1,037,063 | ||||||||
7.053%, 01/15/2032(a) | 2,597 | 2,658,354 | ||||||||||
7.50%, 01/31/2027(a) | 6,064 | 6,665,852 | ||||||||||
7.60%, 03/01/2029(a) | 217 | 235,011 | ||||||||||
7.625%, 05/29/2032(a) | 5,226 | 5,525,842 | ||||||||||
|
| |||||||||||
33,984,387 | ||||||||||||
|
| |||||||||||
El Salvador – 0.0% | ||||||||||||
El Salvador Government International Bond | 628 | 594,834 | ||||||||||
|
| |||||||||||
Ghana – 0.4% | ||||||||||||
Ghana Government International Bond | 13,133 | 13,032,861 | ||||||||||
7.75%, 04/07/2029(a) | 2,161 | 2,209,623 | ||||||||||
8.625%, 04/07/2034(a) | 1,769 | 1,821,517 | ||||||||||
8.627%, 06/16/2049(a) | 238 | 230,458 | ||||||||||
8.95%, 03/26/2051(a) | 1,313 | 1,298,475 | ||||||||||
10.75%, 10/14/2030(a) | 693 | 874,609 | ||||||||||
|
| |||||||||||
19,467,543 | ||||||||||||
|
| |||||||||||
Honduras – 0.0% | ||||||||||||
Honduras Government International Bond | 1,555 | 1,706,904 | ||||||||||
|
| |||||||||||
Ivory Coast – 0.1% | ||||||||||||
Ivory Coast Government International Bond | EUR | 1,195 | 1,442,345 | |||||||||
6.125%, 06/15/2033(a) | U.S.$ | 1,654 | 1,751,483 | |||||||||
6.375%, 03/03/2028(a) | 1,377 | 1,521,413 | ||||||||||
|
| |||||||||||
4,715,241 | ||||||||||||
|
| |||||||||||
Kenya – 0.2% | ||||||||||||
Kenya Government International Bond | 620 | 685,797 | ||||||||||
7.00%, 05/22/2027(a) | 1,680 | 1,826,790 | ||||||||||
7.25%, 02/28/2028(a) | 1,639 | 1,771,964 | ||||||||||
8.00%, 05/22/2032(a) | 3,420 | 3,741,266 | ||||||||||
|
| |||||||||||
8,025,817 | ||||||||||||
|
| |||||||||||
Lebanon – 0.0% | ||||||||||||
Lebanon Government International Bond | 507 | 63,945 | ||||||||||
6.85%, 03/23/2027(a)(j)(n) | 1,053 | 133,797 | ||||||||||
Series G | 1,284 | 165,155 | ||||||||||
|
| |||||||||||
362,897 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Nigeria – 0.3% | ||||||||||||
Nigeria Government International Bond | U.S.$ | 248 | $ | 256,029 | ||||||||
7.625%, 11/21/2025-11/28/2047(a) | 11,691 | 12,876,152 | ||||||||||
7.696%, 02/23/2038(a) | 1,729 | 1,775,251 | ||||||||||
7.875%, 02/16/2032(a) | 426 | 457,098 | ||||||||||
|
| |||||||||||
15,364,530 | ||||||||||||
|
| |||||||||||
Oman – 0.5% | ||||||||||||
Oman Government International Bond | 5,200 | 5,350,475 | ||||||||||
4.875%, 02/01/2025(a) | 6,547 | 6,857,164 | ||||||||||
5.375%, 03/08/2027(a) | 4,550 | 4,730,009 | ||||||||||
6.00%, 08/01/2029(a) | 4,272 | 4,525,116 | ||||||||||
6.25%, 01/25/2031(a) | 2,630 | 2,823,963 | ||||||||||
|
| |||||||||||
24,286,727 | ||||||||||||
|
| |||||||||||
Pakistan – 0.0% | ||||||||||||
Pakistan Government International Bond | 245 | 255,765 | ||||||||||
|
| |||||||||||
Senegal – 0.3% | ||||||||||||
Senegal Government International Bond | 5,158 | 5,383,018 | ||||||||||
6.75%, 03/13/2048(a) | 6,453 | 6,476,392 | ||||||||||
8.75%, 05/13/2021(a) | 864 | 864,864 | ||||||||||
|
| |||||||||||
12,724,274 | ||||||||||||
|
| |||||||||||
South Africa – 0.6% | ||||||||||||
Republic of South Africa Government International Bond | 425 | 426,939 | ||||||||||
4.85%, 09/30/2029 | 9,846 | 10,173,995 | ||||||||||
5.65%, 09/27/2047 | 2,762 | 2,653,764 | ||||||||||
5.75%, 09/30/2049 | 10,390 | 9,986,089 | ||||||||||
5.875%, 06/22/2030(d) | 2,797 | 3,085,091 | ||||||||||
6.30%, 06/22/2048 | 2,368 | 2,418,024 | ||||||||||
|
| |||||||||||
28,743,902 | ||||||||||||
|
| |||||||||||
Sri Lanka – 0.0% | ||||||||||||
Sri Lanka Government International Bond | 285 | 184,947 | ||||||||||
|
| |||||||||||
Ukraine – 0.2% | ||||||||||||
Ukraine Government International Bond | 4,689 | 4,698,671 | ||||||||||
7.375%, 09/25/2032(a) | 3,586 | 3,618,050 | ||||||||||
|
| |||||||||||
8,316,721 | ||||||||||||
|
| |||||||||||
Total Emerging Markets – Sovereigns | 244,496,101 | |||||||||||
|
|
48 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS – SOVEREIGN AGENCIES – 4.1% | ||||||||||||
Canada – 4.1% | ||||||||||||
Canada Housing Trust No. 1 | CAD | 231,855 | $ | 196,032,209 | ||||||||
|
| |||||||||||
BANK LOANS – 2.6% | ||||||||||||
Industrial – 2.3% | ||||||||||||
Basic – 0.0% | ||||||||||||
Nouryon Finance B.V. (fka AkzoNobel) | U.S.$ | 167 | 164,976 | |||||||||
|
| |||||||||||
Capital Goods – 0.2% | ||||||||||||
Apex Tool Group, LLC | 4,842 | 4,841,772 | ||||||||||
Garrett Motion SARL (fka Garrett Motion Inc.) | 2,080 | 2,078,395 | ||||||||||
Granite US Holdings Corporation | 3,580 | 3,566,771 | ||||||||||
|
| |||||||||||
10,486,938 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.1% | ||||||||||||
iHeartCommunications, Inc. (fka Clear Channel Communications, Inc.) | 247 | 243,636 | ||||||||||
Nielsen Finance LLC | 814 | 814,790 | ||||||||||
Univision Communications Inc. | 920 | 916,909 | ||||||||||
|
| |||||||||||
1,975,335 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.2% | ||||||||||||
Crown Subsea Communications Holding, Inc. | 4,950 | 4,939,704 | ||||||||||
Zacapa SARL | 3,333 | 3,337,774 | ||||||||||
|
| |||||||||||
8,277,478 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 49 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Cyclical - | ||||||||||||
Clarios Global LP | U.S.$ | 397 | $ | 392,198 | ||||||||
Navistar, Inc. | 2,684 | 2,680,342 | ||||||||||
|
| |||||||||||
3,072,540 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.2% | ||||||||||||
Caesars Resort Collection, LLC | 4,541 | 4,488,511 | ||||||||||
Flutter Entertainment PLC | 328 | 328,317 | ||||||||||
Golden Nugget Online Gaming, Inc. | 111 | 124,859 | ||||||||||
Scientific Games International, Inc. | 2,557 | 2,518,428 | ||||||||||
|
| |||||||||||
7,460,115 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - | ||||||||||||
IRB Holding Corp. (fka Arby’s/Buffalo Wild Wings) | 558 | 553,824 | ||||||||||
Whatabrands LLC | 579 | 574,637 | ||||||||||
|
| |||||||||||
1,128,461 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.1% | ||||||||||||
Great Outdoors Group, LLC | 1,207 | 1,211,578 | ||||||||||
PetSmart LLC | 4,370 | 4,378,740 | ||||||||||
|
| |||||||||||
5,590,318 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.4% | ||||||||||||
Aldevron, LLC | 2,583 | 2,586,422 |
50 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Alphabet Holding Company, Inc. (fka Nature’s Bounty) | U.S.$ | 3,524 | $ | 3,537,550 | ||||||||
Froneri International Limited | 322 | 324,819 | ||||||||||
Global Medical Response, Inc. (aka Air Medical) | 1,149 | 1,148,055 | ||||||||||
Kronos Acquisition Holdings Inc. | 1,905 | 1,877,333 | ||||||||||
LifePoint Health, Inc. (fka Regionalcare Hospital Partners Holdings, Inc.) | 1,018 | 1,013,820 | ||||||||||
U.S. Renal Care, Inc. | 5,962 | 5,825,739 | ||||||||||
US Radiology Specialists, Inc. (US Outpatient Imaging Services, Inc.) | 4,319 | 4,332,305 | ||||||||||
|
| |||||||||||
20,646,043 | ||||||||||||
|
| |||||||||||
Energy – 0.1% | ||||||||||||
CITGO Petroleum Corporation | 1,595 | 1,594,083 | ||||||||||
Enviva Holdings, LP | 4,880 | 4,904,400 | ||||||||||
|
| |||||||||||
6,498,483 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.1% | ||||||||||||
American Tire Distributors, Inc. | 292 | 285,838 | ||||||||||
8.500% (LIBOR 1 Month + 7.50%), | 655 | 642,244 | ||||||||||
8.500% (LIBOR 3 Month + 7.50%), | 75 | 73,758 | ||||||||||
Dealer Tire, LLC | 1,313 | 1,310,827 |
abfunds.com | AB INCOME FUND | 51 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
KAR Auction Services, Inc. | U.S.$ | 199 | $ | 196,201 | ||||||||
Rockwood Service Corporation | 177 | 176,653 | ||||||||||
RS IVY Holdco., Inc. | 2,135 | 2,145,323 | ||||||||||
|
| |||||||||||
4,830,844 | ||||||||||||
|
| |||||||||||
Services – 0.2% | ||||||||||||
Allied Universal Holdco LLC (fka USAGM Holdco, LLC) | 409 | 408,295 | ||||||||||
Amentum Government Services Holdings LLC | 447 | 443,052 | ||||||||||
Parexel International Corporation | 2,660 | 2,634,437 | ||||||||||
Sabre GLBL, Inc. | 928 | 934,781 | ||||||||||
Team Health Holdings, Inc. | 2,635 | 2,449,749 | ||||||||||
Verscend Holding Corp. | 1,945 | 1,943,141 | ||||||||||
|
| |||||||||||
8,813,455 | ||||||||||||
|
| |||||||||||
Technology – 0.6% | ||||||||||||
athenahealth, Inc. | 4,960 | 4,972,312 | ||||||||||
Boxer Parent Company, Inc. (fka BMC Software, Inc.) | 3,443 | 3,422,775 | ||||||||||
Endurance International Group Holdings, Inc. | 9,760 | 9,656,349 | ||||||||||
Peraton Corp. | 1,060 | 1,058,675 |
52 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
4.500% (LIBOR 1 Month + 3.75%), | U.S.$ | 600 | $ | 599,250 | ||||||||
Presidio Holdings, Inc. | 93 | 92,710 | ||||||||||
3.690% (LIBOR 3 Month + 3.50%), | 1,542 | 1,535,863 | ||||||||||
Solera, LLC (Solera Finance, Inc.) | 2,044 | 2,031,509 | ||||||||||
Veritas US, Inc. | 5,732 | 5,767,680 | ||||||||||
|
| |||||||||||
29,137,123 | ||||||||||||
|
| |||||||||||
108,082,109 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.2% | ||||||||||||
Insurance – 0.2% | ||||||||||||
Hub International Limited | 2,855 | 2,850,727 | ||||||||||
Jones DesLauriers Insurance Management, Inc. | CAD | 593 | 4,830,824 | |||||||||
8.000% (CDOR 3 Month + 7.50%), | 5,923 | 483,327 | ||||||||||
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.) | U.S.$ | 2,242 | 2,229,432 | |||||||||
|
| |||||||||||
10,394,310 | ||||||||||||
|
| |||||||||||
Other Finance – 0.0% | ||||||||||||
HighTower Holding, LLC | 1,380 | 1,378,275 | ||||||||||
|
| |||||||||||
11,772,585 | ||||||||||||
|
| |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
Granite Generation LLC | 3,307 | 3,295,443 | ||||||||||
4.750% (LIBOR 3 Month + 3.75%), | 632 | 630,161 | ||||||||||
|
| |||||||||||
3,925,604 | ||||||||||||
|
| |||||||||||
Total Bank Loans | 123,780,298 | |||||||||||
|
|
abfunds.com | AB INCOME FUND | 53 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 2.6% | ||||||||||||
CLO - Floating Rate – 2.6% |
| |||||||||||
Apidos CLO | U.S.$ | 550 | $ | 544,009 | ||||||||
Ares XXXIV CLO Ltd. | 9,437 | 9,436,991 | ||||||||||
Balboa Bay Loan Funding Ltd. | 1,900 | 1,909,745 | ||||||||||
Ballyrock CLO 15 Ltd. | 2,750 | 2,749,725 | ||||||||||
Black Diamond CLO Ltd. | 5,300 | 5,198,945 | ||||||||||
BlueMountain Fuji US CLO Ltd. | 3,300 | 3,227,934 | ||||||||||
CBAM Ltd. | ||||||||||||
Series 2017-3A, Class E1 | 1,604 | 1,587,454 | ||||||||||
Series 2018-7A, Class B1 | 1,996 | 1,996,084 | ||||||||||
CIFC Funding 2020-IV Ltd. | 300 | 301,362 | ||||||||||
Dryden 49 Senior Loan Fund | 605 | 604,292 | ||||||||||
Dryden CLO Ltd. | ||||||||||||
Series 2020-78A, Class C | 1,480 | 1,483,582 |
54 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2020-78A, Class D | U.S.$ | 6,824 | $ | 6,839,357 | ||||||
Elevation CLO Ltd. | 4,490 | 4,470,769 | ||||||||
Elmwood CLO VII Ltd. | 4,200 | 4,232,512 | ||||||||
Elmwood CLO VIII Ltd. | 1,000 | 997,552 | ||||||||
GoldenTree Loan Opportunities IX Ltd. | 2,815 | 2,798,994 | ||||||||
Greywolf CLO VI Ltd. | 5,300 | 5,301,781 | ||||||||
Halcyon Loan Advisors Funding Ltd. | ||||||||||
Series 2018-1A, Class A2 | 1,826 | 1,808,882 | ||||||||
Series 2018-1A, Class C | 2,000 | 1,874,038 | ||||||||
Kayne CLO 7 Ltd. | 2,663 | 2,663,125 | ||||||||
Magnetite XXV Ltd. | 3,000 | 3,009,702 | ||||||||
Marble Point CLO XI Ltd. | 2,400 | 2,401,024 | ||||||||
Northwoods Capital Ltd. | 1,350 | 1,320,276 |
abfunds.com | AB INCOME FUND | 55 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
OCP CLO Ltd. | U.S.$ | 4,750 | $ | 4,750,000 | ||||||
Octagon Investment Partners 29 Ltd. | 6,571 | 6,518,460 | ||||||||
OZLM Ltd. | ||||||||||
Series 2014-7RA, Class CR | 1,000 | 978,915 | ||||||||
Series 2018-18A, Class B | 5,450 | 5,409,343 | ||||||||
Rockford Tower CLO Ltd. | ||||||||||
Series 2017-2A, Class DR | 4,444 | 4,444,210 | ||||||||
Series 2017-3A, Class A | 1,931 | 1,932,833 | ||||||||
Romark CLO III Ltd. | ||||||||||
Series 2019-3A, Class A2 | 4,450 | 4,450,801 | ||||||||
Series 2019-3A, Class B | 600 | 600,827 | ||||||||
Signal Peak CLO 2 LLC | 4,575 | 4,565,026 | ||||||||
Sixth Street CLO XVII Ltd. | 2,400 | 2,401,644 | ||||||||
Sound Point CLO XIX Ltd. | 7,931 | 7,917,367 | ||||||||
Venture CLO Ltd. | 1,591 | 1,592,095 | ||||||||
Voya CLO Ltd. | 4,595 | 4,581,237 |
56 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
York CLO-7 Ltd. | U.S.$ | 4,400 | $ | 4,404,563 | ||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 121,305,456 | |||||||||||
|
| |||||||||||
EMERGING MARKETS – CORPORATE BONDS – 2.4% | ||||||||||||
Industrial – 2.2% |
| |||||||||||
Basic – 0.8% |
| |||||||||||
Braskem Idesa SAPI | 2,459 | 2,475,598 | ||||||||||
Braskem Netherlands Finance BV | 5,877 | 5,973,971 | ||||||||||
Consolidated Energy Finance SA | 787 | 789,361 | ||||||||||
CSN Resources SA | 5,342 | 5,618,300 | ||||||||||
Eldorado Gold Corp. | 4,117 | 4,487,530 | ||||||||||
First Quantum Minerals Ltd. | 2,310 | 2,523,675 | ||||||||||
7.25%, 04/01/2023(a) | 1,952 | 1,983,720 | ||||||||||
7.50%, 04/01/2025(a) | 410 | 425,631 | ||||||||||
Indika Energy Capital IV Pte Ltd. | 4,123 | 4,412,383 | ||||||||||
Sasol Financing USA LLC | 1,467 | 1,556,671 | ||||||||||
Vedanta Resources Finance II PLC | 4,716 | 5,172,273 | ||||||||||
Volcan Cia Minera SAA | 667 | 656,328 | ||||||||||
|
| |||||||||||
36,075,441 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.2% | ||||||||||||
Cemex SAB de CV | 697 | 787,784 | ||||||||||
Embraer Netherlands Finance BV | 4,430 | 4,648,731 | ||||||||||
6.95%, 01/17/2028(a) | 2,058 | 2,304,960 | ||||||||||
Klabin Austria Gmbh | 1,084 | 1,325,082 | ||||||||||
Odebrecht Holdco Finance Ltd. | 5,578 | 147,826 | ||||||||||
|
| |||||||||||
9,214,383 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 57 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Communications - Media – 0.0% | ||||||||||||
Globo Comunicacao e Participacoes SA | U.S.$ | 996 | $ | 1,007,753 | ||||||||
VTR Finance NV | 541 | 584,280 | ||||||||||
|
| |||||||||||
1,592,033 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.2% | ||||||||||||
C&W Senior Financing DAC | 247 | 262,801 | ||||||||||
7.50%, 10/15/2026(a) | 893 | 942,061 | ||||||||||
Digicel Group Holdings Ltd. | 81 | 60,026 | ||||||||||
8.00% (5.00% Cash and 3.00% PIK), 04/01/2025(a)(l) | 495 | 413,887 | ||||||||||
10.00% (8.00% Cash and 2.00% PIK), 04/01/2024(l) | 7,104 | 6,960,885 | ||||||||||
Digicel Holdings Bermuda Ltd./Digicel International Finance Ltd. | 339 | 353,442 | ||||||||||
MTN Mauritius Investments Ltd. | 701 | 716,247 | ||||||||||
VTR Comunicaciones SpA | 682 | 713,670 | ||||||||||
|
| |||||||||||
10,423,019 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.3% | ||||||||||||
Melco Resorts Finance Ltd. | 200 | 211,900 | ||||||||||
5.625%, 07/17/2027(a) | 2,333 | 2,469,043 | ||||||||||
MGM China Holdings Ltd. | 895 | 934,604 | ||||||||||
5.375%, 05/15/2024(a) | 569 | 585,643 | ||||||||||
5.875%, 05/15/2026(a) | 598 | 629,881 | ||||||||||
Studio City Finance Ltd. | 1,088 | 1,148,384 | ||||||||||
6.50%, 01/15/2028(a) | 998 | 1,081,583 | ||||||||||
Wynn Macau Ltd. | 2,168 | 2,268,270 | ||||||||||
5.625%, 08/26/2028(a) | 1,919 | 2,012,551 | ||||||||||
|
| |||||||||||
11,341,859 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||||
BRF GmbH | 941 | 969,230 | ||||||||||
BRF SA | 4,401 | 4,514,326 |
58 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Natura Cosmeticos SA | U.S.$ | 2,828 | $ | 2,869,091 | ||||||||
Tonon Luxembourg SA | 867 | 8,756 | ||||||||||
Ulker Biskuvi Sanayi AS | 609 | 658,405 | ||||||||||
Virgolino de Oliveira Finance SA | 4,738 | 44,869 | ||||||||||
10.875%, 01/13/2020(i)(j)(m) | 750 | 255,000 | ||||||||||
11.75%, 02/09/2022(j)(m)(n) | 1,690 | 8,429 | ||||||||||
|
| |||||||||||
9,328,106 | ||||||||||||
|
| |||||||||||
Energy – 0.5% | ||||||||||||
Cosan SA | 437 | 465,624 | ||||||||||
Geopark Ltd. | 410 | 419,891 | ||||||||||
Gran Tierra Energy, Inc. | 1,998 | 1,686,732 | ||||||||||
Investment Energy Resources Ltd. | 1,306 | 1,388,931 | ||||||||||
Kosmos Energy Ltd. | 1,388 | 1,325,106 | ||||||||||
Leviathan Bond Ltd. | 1,763 | 1,930,235 | ||||||||||
Medco Oak Tree Pte Ltd. | 1,031 | 1,118,828 | ||||||||||
Medco Platinum Road Pte Ltd. | 1,532 | 1,620,856 | ||||||||||
MV24 Capital BV | 1,696 | 1,793,314 | ||||||||||
Peru LNG Srl | 3,305 | 2,756,163 | ||||||||||
Petrobras Global Finance BV | 7,273 | 8,144,669 | ||||||||||
SEPLAT Petroleum Development Co. PLC | 2,065 | 2,106,920 | ||||||||||
|
| |||||||||||
24,757,269 | ||||||||||||
|
| |||||||||||
102,732,110 | ||||||||||||
|
| |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
AES Gener SA | 1,816 | 1,924,960 | ||||||||||
Cemig Geracao e Transmissao SA | 2,251 | 2,588,087 |
abfunds.com | AB INCOME FUND | 59 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Light Servicos de Eletricidade SA/Light Energia SA | U.S.$ | 1,396 | $ | 1,444,685 | ||||||||
Star Energy Geothermal Wayang Windu Ltd. | 820 | 932,872 | ||||||||||
Terraform Global Operating LLC | 289 | 296,841 | ||||||||||
|
| |||||||||||
7,187,445 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.1% | ||||||||||||
Banking – 0.0% | ||||||||||||
Fidelity Bank PLC | 575 | 611,944 | ||||||||||
|
| |||||||||||
Insurance – 0.1% | ||||||||||||
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer, Inc. | 1,860 | 1,990,776 | ||||||||||
|
| |||||||||||
Other Finance – 0.0% | ||||||||||||
OEC Finance Ltd. | 3,532 | 520,580 | ||||||||||
5.25%, 12/27/2033(a)(l) | 1,092 | 163,347 | ||||||||||
|
| |||||||||||
683,927 | ||||||||||||
|
| |||||||||||
3,286,647 | ||||||||||||
|
| |||||||||||
Total Emerging Markets – Corporate Bonds (cost $122,861,758) | 113,206,202 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.1% | ||||||||||||
Non-Agency Fixed Rate CMBS – 1.7% |
| |||||||||||
Banc of America Commercial Mortgage Trust | 372 | 402,375 | ||||||||||
BANK | 65,810 | 4,287,761 | ||||||||||
Barclays Commercial Mortgage Trust Series 2019-C3, Class XA 1.503%, 05/15/2052(p) | 10,899 | 977,211 |
60 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Benchmark Mortgage Trust Series 2019-B13, Class XA 1.264%, 08/15/2057(p) | U.S.$ | 44,395 | $ | 3,227,205 | ||||||
CD Mortgage Trust | 14,739 | 674,597 | ||||||||
CFCRE Commercial Mortgage Trust Series 2016-C4, Class XA 1.801%, 05/10/2058(p) | 13,626 | 899,994 | ||||||||
Citigroup Commercial Mortgage Trust Series 2013-GC15, Class C | 516 | 541,824 | ||||||||
Series 2016-C3, Class XA | 37,318 | 1,535,978 | ||||||||
Commercial Mortgage Trust Series 2014-CR15, Class XA | 34,141 | 632,555 | ||||||||
Series 2015-CR27, Class XA | 6,449 | 226,937 | ||||||||
CSAIL Commercial Mortgage Trust Series 2015-C1, Class D | 670 | 481,956 | ||||||||
Series 2019-C15, Class B | 960 | 1,068,683 | ||||||||
GS Mortgage Securities Trust Series 2011-GC5, Class C | 375 | 311,272 | ||||||||
Series 2011-GC5, Class D | 14,025 | 8,549,776 | ||||||||
Series 2016-GS3, Class XA | 31,466 | 1,673,770 | ||||||||
Series 2019-GC39, Class XA | 15,713 | 1,062,672 | ||||||||
JPMBB Commercial Mortgage Securities Trust | 1,599 | 1,720,230 | ||||||||
Series 2014-C21, Class D | 3,450 | 3,327,026 | ||||||||
Series 2014-C24, Class C | 5,869 | 5,724,536 | ||||||||
JPMCC Commercial Mortgage Securities Trust | 10,646 | 498,581 | ||||||||
JPMDB Commercial Mortgage Securities Trust | 37,264 | 2,330,639 |
abfunds.com | AB INCOME FUND | 61 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | U.S.$ | 2,411 | $ | 2,414,304 | ||||||
Series 2012-C8, Class E | 2,103 | 1,744,169 | ||||||||
Series 2012-LC9, Class E | 7,500 | 6,040,174 | ||||||||
Series 2012-LC9, Class G | 831 | 604,476 | ||||||||
Series 2016-JP2, Class XA | 15,968 | 1,194,587 | ||||||||
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ 5.452%, 09/15/2039 | 1,070 | 619,377 | ||||||||
LCCM | 44,793 | 2,740,826 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 680 | 611,703 | ||||||||
Series 2014-C18, Class C | 4,408 | 4,597,709 | ||||||||
Series 2015-C22, Class XA | 12,115 | 367,096 | ||||||||
UBS Commercial Mortgage Trust Series 2012-C1, Class D | 2,000 | 1,760,307 | ||||||||
Series 2017-C1, Class XA | 8,175 | 569,992 | ||||||||
Series 2019-C16, Class XA | 16,833 | 1,564,916 | ||||||||
Series 2019-C18, Class XA | 44,366 | 2,935,132 | ||||||||
UBS-Barclays Commercial Mortgage Trust | 2,414 | 2,452,707 | ||||||||
Series 2013-C5, Class C | 782 | 769,306 | ||||||||
Wells Fargo Commercial Mortgage Trust Series 2015-LC20, Class XA | 8,201 | 287,258 | ||||||||
Series 2016-C36, Class XA | 48,353 | 2,571,659 | ||||||||
Series 2016-LC24, Class XA | 30,425 | 2,062,700 |
62 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2016-LC25, Class XA | U.S.$ | 19,691 | $ | 697,168 | ||||||||
Series 2019-C52, Class XA | 19,948 | 2,047,489 | ||||||||||
WF-RBS Commercial Mortgage Trust Series 2011-C4, Class E | 489 | 298,436 | ||||||||||
Series 2014-LC14, Class C | 134 | 141,282 | ||||||||||
|
| |||||||||||
79,248,351 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 0.4% | ||||||||||||
BFLD Trust | 11,227 | 11,142,526 | ||||||||||
DBWF Mortgage Trust Series 2018-GLKS, Class E 3.133% (LIBOR 1 Month + 3.02%), 12/19/2030(a)(f) | 1,994 | 1,978,897 | ||||||||||
Great Wolf Trust | 5,005 | 4,945,484 | ||||||||||
Morgan Stanley Capital I Trust Series 2019-BPR, Class D 4.115% (LIBOR 1 Month + 4.00%), 05/15/2036(a)(f) | 1,651 | 1,147,245 | ||||||||||
|
| |||||||||||
19,214,152 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.0% | ||||||||||||
Government National Mortgage Association | 163 | 368 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 98,462,871 | |||||||||||
|
| |||||||||||
EMERGING MARKETS – TREASURIES – 1.8% | ||||||||||||
Brazil – 1.7% |
| |||||||||||
Brazil Notas do Tesouro Nacional | BRL | 426,115 | 82,767,533 | |||||||||
|
|
abfunds.com | AB INCOME FUND | 63 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Dominican Republic – 0.1% | ||||||||||||
Dominican Republic International Bond | DOP | 149,900 | $ | 2,844,903 | ||||||||
|
| |||||||||||
South Africa – 0.0% | ||||||||||||
Republic of South Africa Government Bond | ZAR | 24,037 | 1,529,472 | |||||||||
|
| |||||||||||
Total Emerging Markets – Treasuries | 87,141,908 | |||||||||||
|
| |||||||||||
INFLATION-LINKED SECURITIES – 1.4% | ||||||||||||
United States – 1.4% |
| |||||||||||
U.S. Treasury Inflation Index | U.S.$ | 62,183 | 67,545,818 | |||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 1.3% | ||||||||||||
Quasi-Sovereign Bonds – 1.3% |
| |||||||||||
Bahrain – 0.1% |
| |||||||||||
Oil and Gas Holding Co. BSCC (The) | 668 | 745,154 | ||||||||||
8.375%, 11/07/2028(a) | 3,912 | 4,553,323 | ||||||||||
|
| |||||||||||
5,298,477 | ||||||||||||
|
| |||||||||||
Chile – 0.0% | ||||||||||||
Corp. Nacional del Cobre de Chile | 212 | 228,695 | ||||||||||
Empresa de Transporte de Pasajeros Metro SA | 200 | 214,750 | ||||||||||
|
| |||||||||||
443,445 | ||||||||||||
|
| |||||||||||
Indonesia – 0.1% | ||||||||||||
Indonesia Asahan Aluminium Persero PT | 2,044 | 2,225,405 | ||||||||||
5.71%, 11/15/2023(a) | 277 | 304,492 | ||||||||||
|
| |||||||||||
2,529,897 | ||||||||||||
|
| |||||||||||
Kazakhstan – 0.1% | ||||||||||||
KazMunayGas National Co. JSC | 768 | 862,704 | ||||||||||
5.375%, 04/24/2030(a) | 1,940 | 2,303,653 | ||||||||||
|
| |||||||||||
3,166,357 | ||||||||||||
|
|
64 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Malaysia – 0.1% | ||||||||||||
Petronas Capital Ltd. | U.S.$ | 3,739 | $ | 4,034,755 | ||||||||
Mexico – 0.8% | ||||||||||||
Petroleos Mexicanos | 13,565 | 13,095,651 | ||||||||||
6.49%, 01/23/2027 | 1,455 | 1,538,662 | ||||||||||
6.50%, 01/23/2029 | 403 | 409,146 | ||||||||||
6.75%, 09/21/2047 | 10,176 | 9,005,760 | ||||||||||
6.84%, 01/23/2030 | 5,324 | 5,470,410 | ||||||||||
6.95%, 01/28/2060 | 4,846 | 4,260,967 | ||||||||||
7.69%, 01/23/2050 | 5,648 | 5,436,200 | ||||||||||
|
| |||||||||||
39,216,796 | ||||||||||||
|
| |||||||||||
Panama – 0.0% | ||||||||||||
Aeropuerto Internacional de Tocumen SA | 1,008 | 1,077,352 | ||||||||||
|
| |||||||||||
South Africa – 0.0% | ||||||||||||
Eskom Holdings SOC Ltd. | 1,169 | 1,224,381 | ||||||||||
|
| |||||||||||
Ukraine – 0.1% | ||||||||||||
NAK Naftogaz Ukraine via Kondor Finance PLC | 2,168 | 2,160,954 | ||||||||||
|
| |||||||||||
United Arab Emirates – 0.0% | ||||||||||||
DP World Crescent Ltd. | 296 | 315,240 | ||||||||||
DP World PLC | 696 | 843,596 | ||||||||||
|
| |||||||||||
1,158,836 | ||||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 60,311,250 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 1.1% | ||||||||||||
Other ABS - Fixed Rate – 0.7% |
| |||||||||||
CLUB Credit Trust | 902 | 908,615 | ||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I | 903 | 901,743 | ||||||||||
Series 2019-36, Class PT | 1,269 | 1,261,782 |
abfunds.com | AB INCOME FUND | 65 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2019-43, Class PT | U.S.$ | 708 | $ | 694,848 | ||||||||
Consumer Loan Underlying Bond Credit Trust | 2,982 | 3,035,742 | ||||||||||
Marlette Funding Trust | 4,116 | 4,164,162 | ||||||||||
Series 2018-4A, Class C | 558 | 570,618 | ||||||||||
Series 2019-2A, Class C | 2,692 | 2,746,283 | ||||||||||
Series 2019-3A, Class C | 4,413 | 4,476,118 | ||||||||||
SoFi Consumer Loan Program LLC Series 2016-1, Class R Zero Coupon, 08/25/2025(h)(k)(m) | 1,571 | 628,418 | ||||||||||
Series 2016-5, Class R Zero Coupon, 09/25/2028(h)(k)(m) | 24 | 440,882 | ||||||||||
Series 2017-5, Class R1 Zero Coupon, 09/25/2026(h)(k)(m) | 17 | 317,661 | ||||||||||
SoFi Consumer Loan Program Trust Series 2018-1, Class R1 | 37 | 1,098,421 | ||||||||||
Series 2018-2, Class C | 1,400 | 1,451,209 | ||||||||||
Series 2019-2, Class D | 1,000 | 1,050,036 | ||||||||||
Series 2019-3, Class D | 5,378 | 5,576,208 | ||||||||||
Series 2019-4, Class D | 3,000 | 3,062,827 | ||||||||||
|
| |||||||||||
32,385,573 | ||||||||||||
|
| |||||||||||
Autos - Fixed Rate – 0.4% | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC | 2,372 | 2,520,827 | ||||||||||
CPS Auto Receivables Trust | 1,471 | 1,497,826 | ||||||||||
CPS Auto Trust | ||||||||||||
Series 2016-D, Class E | 3,000 | 3,079,230 | ||||||||||
Series 2017-A, Class E | 4,200 | 4,339,767 |
66 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Exeter Automobile Receivables Trust | U.S.$ | 2,000 | $ | 2,040,357 | ||||||||
First Investors Auto Owner Trust | 450 | 455,382 | ||||||||||
Flagship Credit Auto Trust | ||||||||||||
Series 2017-1, Class E | 1,000 | 1,033,718 | ||||||||||
Series 2018-3, Class D | 670 | 703,463 | ||||||||||
Series 2019-4, Class E | 2,970 | 3,149,328 | ||||||||||
Westlake Automobile Receivables Trust | 2,551 | 2,663,331 | ||||||||||
|
| |||||||||||
21,483,229 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 53,868,802 | |||||||||||
|
| |||||||||||
GOVERNMENTS – SOVEREIGN BONDS – 1.1% | ||||||||||||
Colombia – 0.2% | ||||||||||||
Colombia Government International Bond | 864 | 844,452 | ||||||||||
3.25%, 04/22/2032 | 8,612 | 8,422,536 | ||||||||||
|
| |||||||||||
9,266,988 | ||||||||||||
|
| |||||||||||
Israel – 0.2% | ||||||||||||
Israel Government International Bond | 7,916 | 8,341,485 | ||||||||||
|
| |||||||||||
Mexico – 0.1% | ||||||||||||
Mexico Government International Bond | 1,205 | 1,336,646 | ||||||||||
4.75%, 04/27/2032 | 2,706 | 3,041,375 | ||||||||||
|
| |||||||||||
4,378,021 | ||||||||||||
|
| |||||||||||
Panama – 0.1% | ||||||||||||
Panama Notas del Tesoro | 5,330 | 5,682,446 | ||||||||||
|
| |||||||||||
Peru – 0.0% | ||||||||||||
Peruvian Government International Bond | 247 | 253,685 | ||||||||||
2.783%, 01/23/2031 | 719 | 719,584 | ||||||||||
|
| |||||||||||
973,269 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 67 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Qatar – 0.2% | ||||||||||||
Qatar Government International Bond | U.S.$ | 4,399 | $ | 4,725,626 | ||||||||
3.40%, 04/16/2025(a) | 1,074 | 1,169,519 | ||||||||||
3.75%, 04/16/2030(a) | 1,810 | 2,023,014 | ||||||||||
3.875%, 04/23/2023(a) | 861 | 916,696 | ||||||||||
|
| |||||||||||
8,834,855 | ||||||||||||
|
| |||||||||||
Saudi Arabia – 0.1% | ||||||||||||
Saudi Government International Bond | 3,031 | 3,214,944 | ||||||||||
3.25%, 10/22/2030(a) | 3,774 | 3,981,570 | ||||||||||
|
| |||||||||||
7,196,514 | ||||||||||||
|
| |||||||||||
United Arab Emirates – 0.2% | ||||||||||||
Abu Dhabi Government International Bond 2.50%, 04/16/2025(a) | 2,587 | 2,732,519 | ||||||||||
3.125%, 04/16/2030(a) | 4,640 | 5,005,400 | ||||||||||
|
| |||||||||||
7,737,919 | ||||||||||||
|
| |||||||||||
Total Governments – Sovereign Bonds | 52,411,497 | |||||||||||
|
| |||||||||||
AGENCIES – 0.9% | ||||||||||||
Agency Debentures – 0.9% | ||||||||||||
Federal Home Loan Banks | 8,695 | 12,659,091 | ||||||||||
Federal Home Loan Mortgage Corp. | 10,400 | 15,069,392 | ||||||||||
6.75%, 03/15/2031 | 4,000 | 5,820,720 | ||||||||||
Series GDIF | 4,606 | 6,555,213 | ||||||||||
|
| |||||||||||
Total Agencies | 40,104,416 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS – PROVINCIAL BONDS – 0.7% | ||||||||||||
Canada – 0.7% |
| |||||||||||
Province of Alberta Canada | CAD | 5,934 | 5,172,957 | |||||||||
Province of British Columbia Canada | 3,539 | 3,652,758 | ||||||||||
Province of Quebec Canada | 12,134 | 13,236,194 |
68 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Province of Saskatchewan Canada | CAD | 12,746 | $ | 11,143,975 | ||||||||
|
| |||||||||||
Total Local Governments – Provincial Bonds | 33,205,884 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
PREFERRED STOCKS – 0.3% | ||||||||||||
Industrial – 0.2% |
| |||||||||||
Auto Components – 0.1% | ||||||||||||
Exide Corp. | 3,093 | 2,482,133 | ||||||||||
|
| |||||||||||
Capital Goods – 0.1% | ||||||||||||
Stanley Black & Decker, Inc. | 4,000 | 5,580,000 | ||||||||||
|
| |||||||||||
8,062,133 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.1% |
| |||||||||||
Banking – 0.1% | ||||||||||||
US Bancorp | 187,450 | 4,877,449 | ||||||||||
|
| |||||||||||
Total Preferred Stocks | 12,939,582 | |||||||||||
|
| |||||||||||
COMMON STOCKS – 0.2% | ||||||||||||
Energy – 0.1% |
| |||||||||||
Oil, Gas & Consumable Fuels – 0.1% |
| |||||||||||
Berry Corp. | 137,884 | 842,471 | ||||||||||
Bonanza Creek Energy, Inc.(j) | 5,127 | 169,653 | ||||||||||
Denbury, Inc.(j) | 13,032 | 709,071 | ||||||||||
Golden Energy Offshore Services AS(j) | 1,497,659 | 188,917 | ||||||||||
Paragon Litigation – Class A(h)(j) | 10,360 | 1,036 | ||||||||||
Paragon Litigation – Class B(h)(j) | 15,538 | 155,380 | ||||||||||
SandRidge Energy, Inc.(j) | 105 | 426 | ||||||||||
Vantage Drilling International(j) | 16,001 | 51,363 | ||||||||||
Whiting Petroleum Corp.(j) | 12,942 | 518,586 | ||||||||||
|
| |||||||||||
2,636,903 | ||||||||||||
|
| |||||||||||
Consumer Discretionary – 0.1% | ||||||||||||
Auto Components – 0.1% | ||||||||||||
ATD New Holdings, Inc.(h)(j) | 29,486 | 1,032,010 | ||||||||||
Exide Corp.(h)(j) | 497 | 1,130,675 | ||||||||||
|
| |||||||||||
2,162,685 | ||||||||||||
|
|
abfunds.com | AB INCOME FUND | 69 |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
Internet & Catalog Retail – 0.0% | ||||||||||||
GOLO Mobile, Inc.(j) | 30,264 | $ | 1,847 | |||||||||
|
| |||||||||||
2,164,532 | ||||||||||||
|
| |||||||||||
Information Technology – 0.0% | ||||||||||||
Software – 0.0% |
| |||||||||||
Monitronics International, Inc.(j) | 68,348 | 513,294 | ||||||||||
Paysafe AG Tracker(h)(j) | 79,682 | – 0 | – | |||||||||
Paysafe Ltd.(j) | 100,908 | 1,392,530 | ||||||||||
|
| |||||||||||
1,905,824 | ||||||||||||
|
| |||||||||||
Consumer Staples – 0.0% |
| |||||||||||
Food & Staples Retailing – 0.0% | ||||||||||||
Southeastern Grocers, Inc.(h)(j)(k) | 71,086 | 941,889 | ||||||||||
|
| |||||||||||
Communication Services – 0.0% | ||||||||||||
Media – 0.0% | ||||||||||||
iHeartMedia, Inc. – Class A(j) | 14,385 | 275,329 | ||||||||||
|
| |||||||||||
Total Common Stocks | 7,924,477 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
LOCAL GOVERNMENTS – US MUNICIPAL BONDS – 0.1% | ||||||||||||
United States – 0.1% | ||||||||||||
Texas Transportation Commission State Highway Fund | ||||||||||||
Series 2010B | U.S.$ | 2,560 | 3,191,718 | |||||||||
|
| |||||||||||
Shares | ||||||||||||
WARRANTS – 0.0% | ||||||||||||
Avaya Holdings Corp., expiring 12/15/2022(j) | 2,936 | 26,424 | ||||||||||
Encore Automotive Acceptance, expiring 07/05/2031(h)(j)(k) | 12 | – 0 | – | |||||||||
Flexpath Capital, Inc., expiring 04/15/2031(h)(j)(k) | 17,195 | – 0 | – | |||||||||
SandRidge Energy, Inc., A-CW22, expiring 10/04/2022(j) | 2,566 | 17 | ||||||||||
SandRidge Energy, Inc., B-CW22, expiring 10/04/2022(j) | 1,080 | 22 | ||||||||||
|
| |||||||||||
Total Warrants | 26,463 | |||||||||||
|
|
70 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Shares | U.S. $ Value | ||||||||||
| ||||||||||||
SHORT-TERM INVESTMENTS – 0.6% | ||||||||||||
Investment Companies – 0.6% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(s)(t)(u) | 27,329,750 | $ | 27,329,750 | |||||||||
|
| |||||||||||
Total Investments – 131.7% | 6,221,945,868 | |||||||||||
Other assets less liabilities – (31.7)% | (1,496,022,060 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 4,725,923,808 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts |
| |||||||||||||||
Long Gilt Future | 13 | June 2021 | $ | 2,292,142 | $ | (26,406 | ) | |||||||||
U.S. T-Note 5 Yr (CBT) Futures | 3,684 | June 2021 | 456,585,750 | (3,662,314 | ) | |||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 2,256 | June 2021 | 297,862,500 | 524,114 | ||||||||||||
U.S. Ultra Bond (CBT) Futures | 90 | June 2021 | 16,731,563 | (347,673 | ) | |||||||||||
Sold Contracts |
| |||||||||||||||
Euro Buxl 30 Yr Bond Futures | 16 | June 2021 | 3,883,747 | 105,781 | ||||||||||||
Euro-BOBL Futures | 389 | June 2021 | 63,009,868 | 130,537 | ||||||||||||
Euro-Bund Futures | 58 | June 2021 | 11,854,182 | 73,877 | ||||||||||||
Euro-Schatz Futures | 388 | June 2021 | 52,282,279 | 1,922 | ||||||||||||
U.S. 10 Yr Ultra Futures | 8 | June 2021 | 1,164,375 | 25,536 | ||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 1,618 | June 2021 | 357,186,140 | 227,846 | ||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 434 | June 2021 | 53,788,875 | (88,716 | ) | |||||||||||
|
| |||||||||||||||
$ | (3,035,496 | ) | ||||||||||||||
|
|
abfunds.com | AB INCOME FUND | 71 |
PORTFOLIO OF INVESTMENTS (continued)
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Bank of America, NA | ZAR | 60,783 | USD | 4,145 | 06/17/2021 | $ | (20,969 | ) | ||||||||
Barclays Bank PLC | AUD | 61,562 | USD | 46,866 | 06/04/2021 | (564,538 | ) | |||||||||
BNP Paribas SA | EUR | 69,463 | USD | 83,002 | 05/27/2021 | (547,341 | ) | |||||||||
Citibank, NA | CAD | 293,278 | USD | 234,289 | 07/16/2021 | (4,350,538 | ) | |||||||||
Deutsche Bank AG | COP | 67,060,661 | USD | 18,748 | 05/20/2021 | 895,506 | ||||||||||
Goldman Sachs Bank USA | RUB | 3,122,675 | USD | 41,837 | 05/25/2021 | 409,173 | ||||||||||
JPMorgan Chase Bank, NA | COP | 67,060,661 | USD | 18,659 | 05/20/2021 | 807,087 | ||||||||||
JPMorgan Chase Bank, NA | EUR | 8,646 | USD | 10,396 | 05/27/2021 | (3,282 | ) | |||||||||
JPMorgan Chase Bank, NA | IDR | 23,323,000 | USD | 1,578 | 07/15/2021 | (19,511 | ) | |||||||||
Morgan Stanley Capital Services, Inc. | MXN | 763,341 | USD | 37,762 | 06/18/2021 | 266,215 | ||||||||||
Natwest Markets PLC | BRL | 467,032 | USD | 86,430 | 05/04/2021 | 452,671 | ||||||||||
Natwest Markets PLC | USD | 86,383 | BRL | 467,032 | 05/04/2021 | (406,310 | ) | |||||||||
Natwest Markets PLC | BRL | 467,032 | USD | 86,195 | 06/02/2021 | 449,757 | ||||||||||
State Street Bank & Trust Co. | EUR | 3,346 | USD | 3,975 | 05/27/2021 | (48,030 | ) | |||||||||
State Street Bank & Trust Co. | GBP | 1,234 | USD | 1,699 | 06/17/2021 | (5,510 | ) | |||||||||
UBS AG | BRL | 467,032 | USD | 81,333 | 05/04/2021 | (4,643,834 | ) | |||||||||
UBS AG | USD | 86,430 | BRL | 467,032 | 05/04/2021 | (452,670 | ) | |||||||||
UBS AG | EUR | 1,166 | USD | 1,406 | 05/27/2021 | 3,347 | ||||||||||
|
| |||||||||||||||
$ | (7,778,777 | ) | ||||||||||||||
|
|
INTEREST RATE SWAPTIONS WRITTEN (see Note D)
Description | Index | Counterparty | Strike Rate | Expiration Date | Notional Amount (000) | Premiums Received | Market Value | |||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
Interest Rate Swaption | | 3 Month LIBOR | | | Bank of America, NA | | 1.77% | 05/05/2021 | USD 23,600 | $ | 195,880 | $ | (5,577 | ) |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
CDX-NAHY Series 36, 5 Year Index, 06/20/2026* | 5.00 | % | Quarterly | 2.87 | % | USD | 13,441 | $ | 1,398,974 | $ | 1,231,086 | $ | 167,888 | |||||||||||||||
iTraxx-Xover Series 35, 5 Year Index, 06/20/2026* | 5.00 | Quarterly | 2.49 | EUR | 13,220 | 1,979,576 | 1,675,240 | 304,336 | ||||||||||||||||||||
Russian Federation, 7.500%, 03/31/2030, 06/20/2026* | 1.00 | Quarterly | 1.00 | USD | 5,872 | 7,232 | (34,718 | ) | 41,950 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 3,385,782 | $ | 2,871,608 | $ | 514,174 | |||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
72 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||||
Notional | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
USD | 109,350 | 04/20/2023 | 2.850% | | 3 Month LIBOR | | | Semi-Annual/ Quarterly | $ | (5,647,210 | ) | $ | – 0 | – | $ | (5,647,210 | ) | |||||||||||||||
USD | 46,860 | 04/02/2024 | 2.851% | | 3 Month LIBOR | | | Semi-Annual/ Quarterly | (3,370,633 | ) | – 0 | – | (3,370,633 | ) | ||||||||||||||||||
USD | 30,755 | 02/10/2025 | 2.034% | | 3 Month LIBOR | | | Semi-Annual/ Quarterly | (1,701,167 | ) | – 0 | – | (1,701,167 | ) | ||||||||||||||||||
USD | 6,010 | 06/09/2025 | 2.491% | | 3 Month LIBOR | | | Semi-Annual/ Quarterly | (483,766 | ) | – 0 | – | (483,766 | ) | ||||||||||||||||||
USD | 10,000 | 01/11/2027 | 2.285% | | 3 Month LIBOR | | | Semi-Annual/ Quarterly | (730,347 | ) | – 0 | – | (730,347 | ) | ||||||||||||||||||
USD | 11,920 | 04/26/2027 | 2.287% | | 3 Month LIBOR | | | Semi-Annual/ Quarterly | (795,297 | ) | – 0 | – | (795,297 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (12,728,420 | ) | $ | – 0 | – | $ | (12,728,420 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Barclays Bank PLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* | 5.00 | % | Monthly | 12.50 | % | USD | 5,000 | $ | (2,374,945 | ) | $ | (120,930 | ) | $ | (2,254,015 | ) | ||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* | 5.00 | Monthly | 12.50 | USD | 4,000 | (1,899,956 | ) | (597,532 | ) | (1,302,424 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 1,187 | (335,446 | ) | (312,707 | ) | (22,739 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 162 | (45,826 | ) | (10,001 | ) | (35,825 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 2,227 | (629,350 | ) | (543,229 | ) | (86,121 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 2,227 | (629,350 | ) | (537,797 | ) | (91,553 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 643 | (181,658 | ) | (70,999 | ) | (110,659 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 2,969 | (839,039 | ) | (716,982 | ) | (122,057 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 1,146 | (323,669 | ) | (178,808 | ) | (144,861 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 1,529 | (431,841 | ) | (151,827 | ) | (280,014 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 3,250 | (917,908 | ) | (327,963 | ) | (589,945 | ) |
abfunds.com | AB INCOME FUND | 73 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 5,000 | $ | (1,412,167 | ) | $ | (593,945 | ) | $ | (818,222 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 5,000 | (1,412,166 | ) | (500,621 | ) | (911,545 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 5,000 | (1,412,166 | ) | (493,379 | ) | (918,787 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 5,300 | (1,496,897 | ) | (324,326 | ) | (1,172,571 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 9,557 | (2,699,215 | ) | (943,532 | ) | (1,755,683 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 9,557 | (2,699,215 | ) | (934,036 | ) | (1,765,179 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 9,557 | (2,699,215 | ) | (934,036 | ) | (1,765,179 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 9,029 | (2,550,091 | ) | (761,663 | ) | (1,788,428 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 12,000 | (3,390,200 | ) | (1,485,981 | ) | (1,904,219 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 9,564 | (2,701,193 | ) | (586,564 | ) | (2,114,629 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 11,206 | (3,164,948 | ) | (682,298 | ) | (2,482,650 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 13,500 | (3,812,850 | ) | (1,167,231 | ) | (2,645,619 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 13,543 | (3,824,995 | ) | (1,136,711 | ) | (2,688,284 | ) | |||||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 567 | (48,000 | ) | (21,930 | ) | (26,070 | ) | |||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 1,136 | (96,169 | ) | (44,770 | ) | (51,399 | ) | |||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 2,839 | (240,337 | ) | (109,803 | ) | (130,534 | ) | |||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 6,500 | (550,261 | ) | (342,712 | ) | (207,549 | ) | |||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 15,000 | (1,270,666 | ) | (413,626 | ) | (857,040 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 9,220 | (2,604,035 | ) | (1,088,584 | ) | (1,515,451 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 17,343 | (4,899,686 | ) | (2,098,187 | ) | (2,801,499 | ) | |||||||||||||||||||||
Deutsche Bank AG |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 23,700 | (2,006,336 | ) | (1,013,661 | ) | (992,675 | ) |
74 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 10,000 | $ | (2,824,334 | ) | $ | (1,547,360 | ) | $ | (1,276,974 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 20,000 | (5,648,667 | ) | (2,820,851 | ) | (2,827,816 | ) | |||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* | 5.00 | Monthly | 12.50 | USD | 16,500 | (7,837,317 | ) | (3,640,586 | ) | (4,196,731 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 6,323 | (1,785,826 | ) | (1,001,089 | ) | (784,737 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 8,827 | (2,493,039 | ) | (1,417,644 | ) | (1,075,395 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 9,029 | (2,550,091 | ) | (758,027 | ) | (1,792,064 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 11,909 | (3,364,491 | ) | (1,349,973 | ) | (2,014,518 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 13,000 | (3,671,633 | ) | (1,287,489 | ) | (2,384,144 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 14,291 | (4,037,446 | ) | (1,623,072 | ) | (2,414,374 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 30,184 | (8,524,968 | ) | (4,106,978 | ) | (4,417,990 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* | 5.00 | Monthly | 12.50 | USD | 3,748 | (1,780,779 | ) | (709,918 | ) | (1,070,861 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* | 5.00 | Monthly | 12.50 | USD | 3,869 | (1,838,269 | ) | (722,249 | ) | (1,116,020 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 3,000 | (847,301 | ) | (184,908 | ) | (662,393 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 4,514 | (1,274,903 | ) | (378,876 | ) | (896,027 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 9,543 | (2,695,261 | ) | (1,051,303 | ) | (1,643,958 | ) | |||||||||||||||||||||
Morgan Stanley & Co. International PLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 293 | (24,808 | ) | (11,746 | ) | (13,062 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 547 | (154,491 | ) | (44,526 | ) | (109,965 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 7,808 | (2,205,240 | ) | (469,615 | ) | (1,735,625 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (107,158,660 | ) | $ | (42,372,581 | ) | $ | (64,786,079 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
abfunds.com | AB INCOME FUND | 75 |
PORTFOLIO OF INVESTMENTS (continued)
REVERSE REPURCHASE AGREEMENTS (see Note D)
Broker | Interest Rate | Maturity | U.S. $ Value at April 30, 2021 | |||||||||
First Boston† | (0.25 | )%* | — | $ | 3,176,050 | |||||||
HSBC Securities (USA), Inc.† | 0.04 | % | — | 121,051,479 | ||||||||
HSBC Securities (USA), Inc.† | 0.07 | % | — | 77,763,356 | ||||||||
HSBC Securities (USA), Inc.† | 0.08 | % | — | 154,231,913 | ||||||||
HSBC Securities (USA), Inc.† | 0.12 | % | — | 90,374,395 | ||||||||
HSBC Securities (USA), Inc.† | 2.13 | % | — | 68,529,427 | ||||||||
JPMorgan Chase Bank† | 0.05 | % | — | 41,539,846 | ||||||||
JPMorgan Chase Bank† | 0.07 | % | — | 52,301,787 | ||||||||
JPMorgan Chase Bank† | 0.08 | % | — | 256,827,963 | ||||||||
JPMorgan Chase Bank† | 0.11 | % | — | 101,136,627 | ||||||||
|
| |||||||||||
$ | 966,932,843 | |||||||||||
|
|
* | Interest payment due from counterparty. |
† | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on April 30, 2021. |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements on the statements of assets and liabilities is as follows:
Overnight and Continuous | Up to 30 Days | 31-90 Days | Greater than 90 Days | Total | ||||||||||||||||
Emerging Markets—Sovereigns | $ | 3,176,050 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 3,176,050 | |||||||
Government-Treasuries | 963,756,793 | – 0 | – | – 0 | – | – 0 | – | 963,756,793 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 966,932,843 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 966,932,843 | |||||||
|
|
|
|
|
| �� |
|
|
|
** | Principal amount less than 500. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the aggregate market value of these securities amounted to $1,684,819,081 or 35.7% of net assets. |
(b) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open centrally cleared swaps. |
(c) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(d) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(e) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(f) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2021. |
(g) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(h) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(i) | Defaulted matured security. |
(j) | Non-income producing security. |
(k) | Fair valued by the Adviser. |
76 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
(l) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at April 30, 2021. |
(m) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.35% of net assets as of April 30, 2021, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I | 09/27/2018 | $ | 902,776 | $ | 901,743 | 0.02 | % | |||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I | 09/04/2019 | 1,261,535 | 1,261,782 | 0.03 | % | |||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I | 01/09/2019 | 705,962 | 694,848 | 0.01 | % | |||||||||||
Digicel Group Holdings Ltd. | 06/19/2000 | 10,397 | 60,026 | 0.00 | % | |||||||||||
Exide Global Holding NETH | 10/23/2020 | 923,574 | 1,101,572 | 0.02 | % | |||||||||||
Exide Technologies (Exchange Priority) | 06/21/2019 | – 0 | – | – 0 | – | 0.00 | % | |||||||||
Exide Technologies (First Lien) | 12/01/2019 | 692,006 | – 0 | – | 0.00 | % | ||||||||||
Home Re Ltd. | 12/20/2019 | 2,072,141 | 1,993,550 | 0.04 | % | |||||||||||
JPMorgan Madison Avenue Securities Trust | 11/06/2015 | 654,870 | 649,254 | 0.01 | % | |||||||||||
JPMorgan Madison Avenue Securities Trust | 09/18/2015 | 1,179,794 | 1,119,608 | 0.02 | % | |||||||||||
Magnetation LLC/Mag Finance Corp. | 02/19/2015 | 861,788 | – 0 | – | 0.00 | % | ||||||||||
PMT Credit Risk Transfer Trust | 02/11/2000 | 4,604,044 | 4,592,816 | 0.10 | % | |||||||||||
Radnor Re Ltd. | 12/23/2019 | 824,323 | 820,852 | 0.02 | % | |||||||||||
SoFi Consumer Loan Program LLC | 07/19/2017 | 504,572 | 628,418 | 0.01 | % | |||||||||||
SoFi Consumer Loan Program LLC | 06/23/2017 | 1,275,923 | 440,882 | 0.01 | % |
abfunds.com | AB INCOME FUND | 77 |
PORTFOLIO OF INVESTMENTS (continued)
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
SoFi Consumer Loan Program LLC | 09/18/2017 | $ | 1,758,337 | $ | 317,661 | 0.01 | % | |||||||||
SoFi Consumer Loan Program Trust | 02/01/2018 | 3,677,431 | 1,098,421 | 0.02 | % | |||||||||||
Terraform Global Operating LLC | 02/08/2018 | 289,000 | 296,841 | 0.01 | % | |||||||||||
Tonon Luxembourg SA | 07/24/2015 | 1,804,783 | 8,756 | 0.00 | % | |||||||||||
Virgolino de Oliveira Finance SA | 06/19/2013 | 3,510,949 | 44,869 | 0.00 | % | |||||||||||
Virgolino de Oliveira Finance SA | 06/09/2014 | 745,965 | 255,000 | 0.01 | % | |||||||||||
Virgolino de Oliveira Finance SA | 01/31/2014 | 916,308 | 8,429 | 0.00 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/06/2016 | 471,795 | 458,033 | 0.01 | % |
(n) | Defaulted. |
(o) | Inverse interest only security. |
(p) | IO – Interest Only. |
(q) | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at April 30, 2021. |
(r) | This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase. |
(s) | Affiliated investments. |
(t) | 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. |
(u) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
COP – Colombian Peso
DOP – Dominican Peso
EUR – Euro
GBP – Great British Pound
IDR – Indonesian Rupiah
MXN – Mexican Peso
RUB – Russian Ruble
USD – United States Dollar
ZAR – South African Rand
78 | AB INCOME FUND | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Glossary:
ABS – Asset-Backed Securities
BOBL – Bundesobligationen
CBT – Chicago Board of Trade
CDOR – Canadian Dealer Offered Rate
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
JSC – Joint Stock Company
LIBOR – London Interbank Offered Rate
REIT – Real Estate Investment Trust
REMICs – Real Estate Mortgage Investment Conduits
TBA – To Be Announced
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
abfunds.com | AB INCOME FUND | 79 |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2021 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $6,106,671,858) | $ | 6,194,616,118 | ||
Affiliated issuers (cost $27,329,750) | 27,329,750 | |||
Cash | 258,296 | |||
Cash collateral due from broker | 2,493,000 | |||
Foreign currencies, at value (cost $8,646,940) | 8,631,719 | |||
Receivable for investment securities sold | 303,445,382 | |||
Interest receivable | 63,872,906 | |||
Receivable for capital stock sold | 23,591,953 | |||
Unrealized appreciation on forward currency exchange contracts | 3,283,756 | |||
Receivable for variation margin on futures | 205,985 | |||
Affiliated dividends receivable | 69 | |||
|
| |||
Total assets | 6,627,728,934 | |||
|
| |||
Liabilities | ||||
Swaptions written, at value (premiums received $195,880) | 5,577 | |||
Payable for reverse repurchase agreements | 966,932,843 | |||
Payable for investment securities purchased | 790,869,687 | |||
Market value on credit default swaps (net premiums received $42,372,581) | 107,158,660 | |||
Payable for capital stock repurchased | 20,323,437 | |||
Unrealized depreciation on forward currency exchange contracts | 11,062,533 | |||
Advisory fee payable | 1,678,590 | |||
Dividends payable | 1,418,062 | |||
Cash collateral due to broker | 930,000 | |||
Distribution fee payable | 253,056 | |||
Payable for variation margin on centrally cleared swaps | 77,546 | |||
Transfer Agent fee payable | 69,021 | |||
Administrative fee payable | 27,080 | |||
Directors’ fees payable | 7,661 | |||
Accrued expenses and other liabilities | 991,373 | |||
|
| |||
Total liabilities | 1,901,805,126 | |||
|
| |||
Net Assets | $ | 4,725,923,808 | ||
|
| |||
Composition of Net Assets | ||||
Capital stock, at par | $ | 591,939 | ||
Additional paid-in capital | 4,712,309,459 | |||
Distributable earnings | 13,022,410 | |||
|
| |||
Net Assets | $ | 4,725,923,808 | ||
|
|
Net Asset Value Per Share—33 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 292,064,132 | 36,620,715 | $ | 7.98 | * | ||||||
| ||||||||||||
C | $ | 211,499,419 | 26,487,652 | $ | 7.98 | |||||||
| ||||||||||||
Advisor | $ | 4,192,357,729 | 525,072,079 | $ | 7.98 | |||||||
| ||||||||||||
Z | $ | 30,002,528 | 3,758,787 | $ | 7.98 | |||||||
|
* | The maximum offering price per share for Class A shares was $8.33 which reflects a sales charge of 4.25%. |
See notes to financial statements.
80 | AB INCOME FUND | abfunds.com |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2021 (unaudited)
Investment Income | ||||||||
Interest (net of foreign taxes withheld of $78,811) | $ | 92,216,111 | ||||||
Dividends | ||||||||
Unaffiliated issuers | 198,786 | |||||||
Affiliated issuers | 3,091 | |||||||
Other income | 30,486 | $ | 92,448,474 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 10,138,961 | |||||||
Distribution fee—Class A | 380,246 | |||||||
Distribution fee—Class C | 1,108,753 | |||||||
Transfer agency—Class A | 114,901 | |||||||
Transfer agency—Class C | 83,503 | |||||||
Transfer agency—Advisor Class | 1,583,423 | |||||||
Transfer agency—Class Z | 2,353 | |||||||
Custody and accounting | 165,432 | |||||||
Registration fees | 155,346 | |||||||
Printing | 144,959 | |||||||
Audit and tax | 73,760 | |||||||
Directors’ fees | 42,821 | |||||||
Administrative | 40,595 | |||||||
Legal | 38,956 | |||||||
Miscellaneous | 77,384 | |||||||
|
| |||||||
Total expenses before interest expense | 14,151,393 | |||||||
Interest expense | 388,634 | |||||||
Total expenses | 14,540,027 | |||||||
|
| |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (313,365 | ) | ||||||
|
| |||||||
Net expenses | 14,226,662 | |||||||
|
| |||||||
Net investment income | 78,221,812 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions(a) | 27,785,389 | |||||||
Forward currency exchange contracts | 2,340,892 | |||||||
Futures | (10,769,816 | ) | ||||||
Swaps | 10,584,629 | |||||||
Foreign currency transactions | (9,805,375 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments(b) | (13,258,789 | ) | ||||||
Forward currency exchange contracts | (9,906,956 | ) | ||||||
Futures | (914,470 | ) | ||||||
Swaps | 17,433,460 | |||||||
Swaptions written | 190,303 | |||||||
Foreign currency denominated assets and liabilities | 262,990 | |||||||
|
| |||||||
Net gain on investment and foreign currency transactions | 13,942,257 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 92,164,069 | ||||||
|
|
(a) | Net of foreign capital gains taxes of $262,133. |
(b) | Net of decrease in accrued foreign capital gains taxes of $80,697. |
See notes to financial statements.
abfunds.com | AB INCOME FUND | 81 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 78,221,812 | $ | 150,562,614 | ||||
Net realized gain on investment and foreign currency transactions | 20,135,719 | 34,435,875 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (6,193,462 | ) | (55,441,926 | ) | ||||
|
|
|
| |||||
Net increase in net assets from operations | 92,164,069 | 129,556,563 | ||||||
Distributions to Shareholders | ||||||||
Class A | (5,283,052 | ) | (10,178,007 | ) | ||||
Class C | (3,008,447 | ) | (5,915,916 | ) | ||||
Advisor Class | (78,060,454 | ) | (156,640,759 | ) | ||||
Class Z | (442,202 | ) | (437,740 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase | 97,251,773 | 699,536,203 | ||||||
|
|
|
| |||||
Total increase | 102,621,687 | 655,920,344 | ||||||
Net Assets | ||||||||
Beginning of period | 4,623,302,121 | 3,967,381,777 | ||||||
|
|
|
| |||||
End of period | $ | 4,725,923,808 | $ | 4,623,302,121 | ||||
|
|
|
|
See notes to financial statements.
82 | AB INCOME FUND | abfunds.com |
STATEMENT OF CASH FLOWS
For the Six Months Ended April 30, 2021 (unaudited)
Cash flows from operating activities | ||||||||
Net increase in net assets from operations | $ | 92,164,069 | ||||||
Reconciliation of net increase in net assets from operations to net decrease in cash from operating activities | ||||||||
Purchases of long-term investments | $ | (7,442,227,050 | ) | |||||
Purchases of short-term investments | (810,816,563 | ) | ||||||
Proceeds from disposition of long-term investments | 7,364,138,492 | |||||||
Proceeds from disposition of short-term investments | 820,164,323 | |||||||
Net realized gain on investment transactions and foreign currency transactions | (20,135,719 | ) | ||||||
Net realized gain on forward currency exchange contracts | 2,340,892 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 6,193,462 | |||||||
Net accretion of bond discount and amortization of bond premium | 29,928,155 | |||||||
Inflation index adjustment | (752,075 | ) | ||||||
Increase in receivable for investments sold | (180,283,279 | ) | ||||||
Increase in interest receivable | (5,517,166 | ) | ||||||
Decrease in affiliated dividends receivable | 1,146 | |||||||
Increase in cash collateral due from broker | (502,000 | ) | ||||||
Decrease in payable for investments purchased | (246,951,296 | ) | ||||||
Decrease in cash collateral due to broker | (280,000 | ) | ||||||
Increase in advisory fee payable | 210,432 | |||||||
Increase in administrative fee payable | 321 | |||||||
Increase in Transfer Agent fee payable | 1,782 | |||||||
Increase in distribution fee payable | 8,196 | |||||||
Increase in Directors’ fee payable | 469 | |||||||
Decrease in accrued expenses | (145,203 | ) | ||||||
Proceeds from swaptions written, net | 195,880 | |||||||
Proceeds on swaps, net | 5,093,872 | |||||||
Payments for exchange-traded derivatives settlements, net | (6,132,394 | ) | ||||||
|
| |||||||
Total adjustments | (485,465,323 | ) | ||||||
|
| |||||||
Net cash provided by (used in) operating activities | (393,301,254 | ) | ||||||
Cash flows from financing activities | ||||||||
Subscriptions of capital stock, net | 34,543,740 | |||||||
Cash dividends paid (net of dividend reinvestments)† | (25,372,654 | ) | ||||||
Increase in reverse repurchase agreements | 399,492,371 | |||||||
|
| |||||||
Net cash provided by (used in) financing activities | 408,663,457 | |||||||
Effect of exchange rate on cash | (9,542,385 | ) | ||||||
|
| |||||||
Net increase in cash | 5,819,818 | |||||||
Cash at beginning of period | 3,070,197 | |||||||
|
| |||||||
Cash at end of period | $ | 8,890,015 | ||||||
|
| |||||||
Supplemental disclosure of cash flow information | ||||||||
† Reinvestment of dividends | $ | 60,902,160 | ||||||
Interest expense paid during the period | $ | 507,707 |
In accordance with U.S. GAAP, the Fund has included a Statement of Cash Flows as a result of its significant investments in reverse repurchase agreements throughout the period.
See notes to financial statements.
abfunds.com | AB INCOME FUND | 83 |
NOTES TO FINANCIAL STATEMENTS
April 30, 2021 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of nine portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Income Fund (the “Fund”), a diversified portfolio. The Fund acquired the assets and liabilities of the AllianceBernstein Income Fund, Inc., a closed-end fund (the “Predecessor Fund”), effective at the close of business on April 21, 2016 (the “Reorganization”). The Predecessor Fund was the accounting survivor in the Reorganization and as such, the financial statements and the Advisor Class shares financial highlights reflect the financial information of the Predecessor Fund through April 21, 2016. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares. Effective November 20, 2019, the Fund commenced offering Class Z shares. Class B, Class K, Class R, Class I, Class T, Class 1 and Class 2 shares have not been issued. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Advisor Class and Class Z shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All eleven classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
84 | AB INCOME FUND | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties.
abfunds.com | AB INCOME FUND | 85 |
NOTES TO FINANCIAL STATEMENTS (continued)
Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
86 | AB INCOME FUND | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
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 are 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.
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, 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.
Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively, the values may be obtained through unobservable management determined inputs and/or management’s proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on an 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
abfunds.com | AB INCOME FUND | 87 |
NOTES TO FINANCIAL STATEMENTS (continued)
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.
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as a significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
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.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2021:
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Governments — Treasuries | $ | – 0 | – | $ | 2,636,048,441 | $ | – 0 | – | $ | 2,636,048,441 | ||||||
Mortgage Pass-Throughs | – 0 | – | 714,850,361 | – 0 | – | 714,850,361 | ||||||||||
Corporates — Investment Grade | – 0 | – | 651,293,755 | – 0 | – | 651,293,755 | ||||||||||
Corporates — Non-Investment Grade | – 0 | – | 534,183,913 | 10,111,334 | (a) | 544,295,247 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 332,173,362 | – 0 | – | 332,173,362 | ||||||||||
Emerging Markets — Sovereigns | – 0 | – | 244,496,101 | – 0 | – | 244,496,101 | ||||||||||
Governments — Sovereign Agencies | – 0 | – | 196,032,209 | – 0 | – | 196,032,209 |
88 | AB INCOME FUND | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bank Loans | $ | – 0 | – | $ | 102,111,296 | $ | 21,669,002 | $ | 123,780,298 | |||||||
Collateralized Loan Obligations | – 0 | – | 121,305,456 | – 0 | – | 121,305,456 | ||||||||||
Emerging Markets — Corporate Bonds | – 0 | – | 113,197,446 | 8,756 | 113,206,202 | |||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 98,462,871 | – 0 | – | 98,462,871 | ||||||||||
Emerging Markets — Treasuries | – 0 | – | 87,141,908 | – 0 | – | 87,141,908 | ||||||||||
Inflation-Linked Securities | – 0 | – | 67,545,818 | – 0 | – | 67,545,818 | ||||||||||
Quasi-Sovereigns | – 0 | – | 60,311,250 | – 0 | – | 60,311,250 | ||||||||||
Asset-Backed Securities | – 0 | – | 51,383,420 | 2,485,382 | 53,868,802 | |||||||||||
Governments — Sovereign Bonds | – 0 | – | 52,411,497 | – 0 | – | 52,411,497 | ||||||||||
Agencies | – 0 | – | 40,104,416 | – 0 | – | 40,104,416 | ||||||||||
Local Governments — Provincial Bonds | – 0 | – | 33,205,884 | – 0 | – | 33,205,884 | ||||||||||
Preferred Stocks | 4,877,449 | 5,580,000 | 2,482,133 | 12,939,582 | ||||||||||||
Common Stocks | 4,663,487 | – 0 | – | 3,260,990 | (a) | 7,924,477 | ||||||||||
Local Governments — US Municipal Bonds | – 0 | – | 3,191,718 | – 0 | – | 3,191,718 | ||||||||||
Warrants | 26,463 | – 0 | – | 0 | (a) | 26,463 | ||||||||||
Short-Term Investments | 27,329,750 | – 0 | – | – 0 | – | 27,329,750 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 36,897,149 | 6,145,031,122 | 40,017,597 | 6,221,945,868 | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 1,089,613 | – 0 | – | – 0 | – | 1,089,613 | (c) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 3,283,756 | – 0 | – | 3,283,756 | ||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 3,385,782 | – 0 | – | 3,385,782 | (c) | |||||||||
Liabilities: |
| |||||||||||||||
Futures | (4,125,109 | ) | – 0 | – | – 0 | – | (4,125,109 | )(c) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (11,062,533 | ) | – 0 | – | (11,062,533 | ) | ||||||||
Interest Rate Swaptions | – 0 | – | (5,577 | ) | – 0 | – | (5,577 | ) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (12,728,420 | ) | – 0 | – | (12,728,420 | )(c) | ||||||||
Credit Default Swaps | – 0 | – | (107,158,660 | ) | – 0 | – | (107,158,660 | ) | ||||||||
Reverse Repurchase Agreements | (966,932,843 | ) | – 0 | – | – 0 | – | (966,932,843 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (933,071,190 | ) | $ | 6,020,745,470 | $ | 40,017,597 | $ | 5,127,691,877 | |||||||
|
|
|
|
|
|
|
|
(a) | The Fund held securities with zero market value at period end. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(c) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
abfunds.com | AB INCOME FUND | 89 |
NOTES TO FINANCIAL STATEMENTS (continued)
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for
90 | AB INCOME FUND | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .45% of the first $2.5 billion of the Fund’s average daily net assets, .40% of the excess over $2.5 billion up to $5 billion and .35% in excess of $5 billion, of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs) on an annual basis (the “Expense Caps”) to .77%, 1.52%, .52%, and .52% of daily average net assets for Class A, Class C, Advisor Class, and Class Z shares, respectively. For the six months ended April 30, 2021, such reimbursement/waivers amounted to $301,364. The Expense Caps may not be terminated by the Adviser before January 31, 2022. Any fees waived and expenses borne by the Adviser through April 22, 2018 are subject to repayment by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne; such waivers that are subject to repayment amounted to $1,361,441 and $396,862 for the years ended October 31, 2017 and October 31, 2018, respectively. In any case, no reimbursement payment will be made that
abfunds.com | AB INCOME FUND | 91 |
NOTES TO FINANCIAL STATEMENTS (continued)
would cause the Fund’s total annual operating expenses to exceed the Expense Caps’ net fee percentage set forth above.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2021, the reimbursement for such services amounted to $40,595.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $420,834 for the six months ended April 30, 2021.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $17,880 from the sale of Class A shares and received $55,528 and $7,787 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2021.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2021, such waiver amounted to $12,001.
A summary of the Fund’s transactions in AB mutual funds for the six months ended April 30, 2021 is as follows:
Fund | Market Value 10/31/20 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 4/30/21 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 26,220 | $ | 806,051 | $ | 804,941 | $ | 27,330 | $ | 3 |
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NOTES TO FINANCIAL STATEMENTS (continued)
During the second quarter of 2018, AXA S.A. (“AXA”), a French holding company for the AXA Group, completed the sale of a minority stake in its subsidiary, AXA Equitable Holdings, Inc. (now named Equitable Holdings, Inc.)(“Equitable”), through an initial public offering. Equitable is the holding company for a diverse group of financial services companies, including an approximate 65% economic interest in the Adviser and a 100% interest in AllianceBernstein Corporation, the general partner of the Adviser. Since the initial sale, AXA has completed additional offerings (and related transactions). As a result, as of May 20, 2021, AXA no longer owns shares of Equitable.
Sales that were completed on November 13, 2019 resulted in the indirect transfer of a “controlling block” of voting securities of the Adviser (a “Change of Control Event”) and may have been deemed to have been an “assignment” causing a termination of the Fund’s investment advisory and administration agreements. In order to ensure that investment advisory and administration services could continue uninterrupted in the event of a Change of Control Event, the Board previously approved new investment advisory and administration agreements with the Adviser, and shareholders of the Fund subsequently approved the new investment advisory agreement. These agreements became effective on November 13, 2019.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .25% of the Fund’s average daily net assets attributable to Class A shares and 1% of the Fund’s average daily net assets attributable to Class C shares. There are no distribution and servicing fees on the Advisor Class and Class Z shares. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amount of $902,292 for Class C shares. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2021 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 778,991,653 | $ | 469,302,628 | ||||
U.S. government securities | 6,664,085,470 | 6,844,939,234 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation | $ | 224,107,979 | ||
Gross unrealized depreciation | (220,601,370 | ) | ||
|
| |||
Net unrealized appreciation | $ | 3,506,609 | ||
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
• | Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily
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NOTES TO FINANCIAL STATEMENTS (continued)
fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2021, the Fund held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2021, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
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NOTES TO FINANCIAL STATEMENTS (continued)
• | Option Transactions |
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Fund’s maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could
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NOTES TO FINANCIAL STATEMENTS (continued)
result in the Fund selling or buying a security or currency at a price different from the current market value.
The Fund may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. The Fund’s maximum payment for written put swaptions equates to the notional amount of the underlying swap. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
During the six months ended April 30, 2021, the Fund held purchased swaptions for hedging and non-hedging purposes.
During the six months ended April 30, 2021, the Fund held written swaptions for hedging and non-hedging purposes.
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk.
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NOTES TO FINANCIAL STATEMENTS (continued)
This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for OTC swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a
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NOTES TO FINANCIAL STATEMENTS (continued)
realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2021, the Fund held interest rate swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the
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NOTES TO FINANCIAL STATEMENTS (continued)
swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2021, the Fund held credit default swaps for non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted
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NOTES TO FINANCIAL STATEMENTS (continued)
and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2021, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||
Interest rate contracts | Receivable/ Payable for variation margin on futures | $ | 1,089,613 | * | Receivable/ Payable for variation margin on futures | $ | 4,125,109 | * | ||||
Credit contracts | Receivable/ Payable for variation margin on centrally cleared swaps | 514,174 | * | |||||||||
Interest rate contracts | Receivable/ Payable for variation margin on centrally cleared swaps | | 12,728,420 | * | ||||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | | 3,283,756 | Unrealized depreciation on forward currency exchange contracts | | 11,062,533 |
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NOTES TO FINANCIAL STATEMENTS (continued)
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||||
Interest rate contracts | | Swaptions written, at value | $ | 5,577 | ||||||||||
Credit contracts | | Market value on credit default swaps | | 107,158,660 | ||||||||||
|
|
|
| |||||||||||
Total | $ | 4,887,543 | $ | 135,080,299 | ||||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. |
This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments.
Derivative Type | Location of Gain | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (10,769,816 | ) | $ | (914,470 | ) | |||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 2,340,892 | (9,906,956 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (109,751 | ) | (141,652 | ) |
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NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type | Location of Gain | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | $ | – 0 | – | $ | 190,303 | ||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (2,654,303 | ) | 3,864,132 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 13,238,932 | 13,569,328 | |||||||
|
|
|
| |||||||
Total | $ | 2,045,954 | $ | 6,660,685 | ||||||
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|
|
|
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended April 30, 2021:
Futures: | ||||
Average notional amount of buy contracts | $ | 541,492,601 | ||
Average notional amount of sale contracts | $ | 353,665,920 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 139,205,831 | ||
Average principal amount of sale contracts | $ | 509,924,607 | ||
Purchased Swaptions: | ||||
Average notional amount | $ | 22,443,667 | (a) | |
Swaptions Written: | ||||
Average notional amount | $ | 23,600,000 | (b) | |
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 214,895,000 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 402,027,875 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 5,041,500 | (a) | |
Average notional amount of sale contracts | $ | 61,656,435 |
(a) | Positions were open for two months during the period. |
(b) | Positions were open for one month during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
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NOTES TO FINANCIAL STATEMENTS (continued)
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of April 30, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Deutsche Bank AG | $ | 895,506 | $ | (895,506 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Goldman Sachs Bank USA | 409,173 | (409,173 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC | 807,087 | (807,087 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services, Inc. | 266,215 | (266,215 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Natwest Markets PLC | 902,428 | (406,310 | ) | – 0 | – | – 0 | – | 496,118 | ||||||||||||
UBS AG | 3,347 | (3,347 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
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|
|
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|
|
|
|
|
| |||||||||||
Total | $ | 3,283,756 | $ | (2,787,638 | ) | $ | – 0 | – | $ | – 0 | – | $ | 496,118 | ^ | ||||||
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|
|
|
|
|
|
|
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Bank of America, NA | $ | 26,546 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 26,546 | |||||||
Barclays Bank PLC | 2,939,483 | – 0 | – | – 0 | – | (2,188,411 | ) | 751,072 | ||||||||||||
BNP Paribas SA | 547,341 | – 0 | – | – 0 | – | – 0 | – | 547,341 | ||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 43,859,899 | – 0 | – | (2,123,000 | ) | (38,373,522 | ) | 3,363,377 | ||||||||||||
Credit Suisse International | 9,709,154 | – 0 | – | – 0 | – | (9,709,154 | ) | – 0 | – | |||||||||||
Deutsche Bank AG | 10,479,337 | (895,506 | ) | – 0 | – | (9,583,831 | ) | – 0 | – | |||||||||||
Goldman Sachs International | 34,264,811 | (409,173 | ) | (370,000 | ) | (33,485,638 | ) | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC | 8,459,306 | (807,087 | ) | – 0 | – | (7,652,219 | ) | – 0 | – |
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NOTES TO FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services, Inc. | $ | 2,384,539 | $ | (266,215 | ) | $ | – 0 | – | $ | (2,118,324 | ) | $ | – 0 | – | ||||||
Natwest Markets PLC | 406,310 | (406,310 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 53,540 | – 0 | – | – 0 | – | – 0 | – | 53,540 | ||||||||||||
UBS AG | 5,096,504 | (3,347 | ) | – 0 | – | (5,093,157 | ) | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 118,226,770 | $ | (2,787,638 | ) | $ | (2,493,000 | ) | $ | (108,204,256 | ) | $ | 4,741,876 | ^ | ||||||
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|
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|
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|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. TBA and Dollar Rolls
The Fund may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.
abfunds.com | AB INCOME FUND | 105 |
NOTES TO FINANCIAL STATEMENTS (continued)
The Fund may enter into certain TBA transactions known as dollar rolls. Dollar rolls involve sales by the Fund of securities for delivery in the current month and the Fund’s simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the “drop”) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the six months ended April 30, 2021, the Fund earned drop income of $560,716 which is included in interest income in the accompanying statement of operations.
4. Reverse Repurchase Agreements
The Fund may enter into reverse repurchase transactions (“RVP”) in accordance with the terms of a Master Repurchase Agreement (“MRA”), under which the Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the Fund enters into a reverse repurchase agreement, it will establish a segregated account with the custodian containing liquid assets having a value comparable to the repurchase price. Under the MRA and other Master Agreements, the Fund is permitted to offset payables and/or receivables with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund in the event of a default. In the event of a default by a MRA counterparty, the Fund may be considered an unsecured creditor with respect to any excess collateral (collateral with a market value in excess of the repurchase price) held by and/or posted to the counterparty, and as such the return of such excess collateral may be delayed or denied. For the six months ended April 30, 2021, the average amount of reverse repurchase agreements outstanding was $630,998,122 and the daily weighted average interest rate was 0.10%. At April 30, 2021, the Fund had reverse repurchase agreements outstanding in the amount of $966,932,843 as reported on the statement of assets and liabilities.
106 | AB INCOME FUND | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table presents the Fund’s RVP liabilities by counterparty net of the related collateral pledged by the Fund as of April 30, 2021:
Counterparty | RVP Liabilities Subject to a MRA | Securities Collateral Pledged†* | Net Amount of RVP Liabilities | |||||||||
First Boston | $ | 3,176,050 | $ | (3,176,050 | ) | $ | – 0 | – | ||||
HSBC Securities (USA), Inc. | 511,950,570 | (511,950,570 | ) | – 0 | – | |||||||
JPMorgan Chase Bank | 451,806,223 | (451,806,223 | ) | – 0 | – | |||||||
|
|
|
|
|
| |||||||
Total | $ | 966,932,843 | $ | (966,932,843 | ) | $ | – 0 | – | ||||
|
|
|
|
|
|
† | Including accrued interest. |
* | The actual collateral pledged may be more than the amount reported due to overcollateralization. |
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 8,998,266 | 21,145,246 | $ | 73,080,688 | $ | 167,807,929 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 440,828 | 794,985 | 3,550,350 | 6,292,343 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 94,353 | 197,566 | 763,203 | 1,553,543 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (9,289,192 | ) | (15,889,560 | ) | (74,847,975 | ) | (124,259,840 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 244,255 | 6,248,237 | $ | 2,546,266 | $ | 51,393,975 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 2,160,750 | 11,945,989 | $ | 17,520,608 | $ | 95,198,555 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 263,066 | 508,293 | 2,122,158 | 4,029,036 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (94,240 | ) | (197,320 | ) | (763,203 | ) | (1,553,543 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (3,185,947 | ) | (5,477,623 | ) | (25,690,179 | ) | (42,721,251 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (856,371 | ) | 6,779,339 | $ | (6,810,616 | ) | $ | 54,952,797 | ||||||||||||||||
|
abfunds.com | AB INCOME FUND | 107 |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Shares sold | 98,063,514 | 265,870,110 | $ | 792,415,348 | $ | 2,104,021,251 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 6,806,463 | 12,977,218 | 54,894,694 | 102,871,686 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (93,811,462 | ) | (210,433,650 | ) | (757,357,577 | ) | (1,630,716,915 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 11,058,515 | 68,413,678 | $ | 89,952,465 | $ | 576,176,022 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class Z(a) |
| |||||||||||||||||||||||
Shares sold | 1,879,986 | 2,554,455 | $ | 15,137,022 | $ | 18,769,036 | ||||||||||||||||||
| ||||||||||||||||||||||||
Share issued in reinvestment of dividends and distributions | 41,616 | 37,721 | 334,958 | 298,182 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (483,375 | ) | (271,616 | ) | (3,908,322 | ) | (2,053,809 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 1,438,227 | 2,320,560 | $ | 11,563,658 | $ | 17,013,409 | ||||||||||||||||||
|
(a) | Commenced distribution on November 20, 2019. |
NOTE F
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment Grade Securities Risk—Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and
108 | AB INCOME FUND | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Interest Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk—Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
abfunds.com | AB INCOME FUND | 109 |
NOTES TO FINANCIAL STATEMENTS (continued)
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
Mortgage-Related and/or Other Asset-Backed Securities Risk—Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected on the statement of assets and liabilities.
Active Trading Risk—The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Fund’s return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
LIBOR Transition and Associated Risk—A Fund may invest in debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. The United Kingdom Financial Conduct Authority, which regulates LIBOR, will cease publishing certain LIBOR benchmarks at the end of 2021. Although certain LIBOR rates are intended to be published until June 2023, banks are strongly encouraged
110 | AB INCOME FUND | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and the Secured Overnight Financing Rate, global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition away from LIBOR is underway but remains incomplete. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”)
abfunds.com | AB INCOME FUND | 111 |
NOTES TO FINANCIAL STATEMENTS (continued)
intended to provide short-term financing, if necessary, subject to certain restrictions in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2021.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2021 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2020 and October 31, 2019 were as follows:
2020 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 173,172,422 | $ | 112,953,691 | ||||
|
|
|
| |||||
Total taxable distributions paid | $ | 173,172,422 | $ | 112,953,691 | ||||
|
|
|
| |||||
Return of Capital | – 0 | – | 20,741,741 | |||||
|
|
|
| |||||
Total distributions paid | $ | 173,172,422 | $ | 133,695,432 | ||||
|
|
|
|
As of October 31, 2020, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Accumulated capital and other losses | $ | (71,977,526 | )(a) | |
Unrealized appreciation/(depreciation) | 86,652,003 | (b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 14,674,477 | (c) | |
|
|
(a) | As of October 31, 2020, the Fund had a net capital loss carryforward of $55,561,127. During the fiscal year, the Fund utilized $20,690,535 of capital loss carry forwards to offset current year net realized gains. As of October 31, 2020, the cumulative deferred loss on straddles was $16,416,399. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of grantor trusts, the amortization on callable bonds, the tax treatment of swaps, the tax deferral of losses on wash sales, and the tax treatment of partnership investments. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax, the tax treatment of defaulted securities, and dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2020, the Fund had a net long-term capital loss carryforward of $55,561,127 which may be carried forward for an indefinite period.
112 | AB INCOME FUND | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE I
Subsequent Events
As of April 30, 2021, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Effective May 31, 2021, Class C shares will automatically convert to Class A shares after eight years instead of ten years.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Fund’s financial statements through this date.
abfunds.com | AB INCOME FUND | 113 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | April 21, 2016(a) to October 31, 2016 | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.96 | $ 7.98 | $ 7.49 | $ 8.09 | $ 8.08 | $ 7.99 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(b)(c) | .13 | .26 | .31 | .29 | .36 | .17 | † | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .03 | .02 | (d) | .53 | (.50 | ) | .05 | .08 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (e) | .00 | (e) | .00 | (e) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .16 | .28 | .84 | (.21 | ) | .41 | .25 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.14 | ) | (.30 | ) | (.30 | ) | (.36 | ) | (.40 | ) | (.16 | ) | ||||||||||||
Return of capital | – 0 | – | – 0 | – | (.05 | ) | (.03 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.14 | ) | (.30 | ) | (.35 | ) | (.39 | ) | (.40 | ) | (.16 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 7.98 | $ 7.96 | $ 7.98 | $ 7.49 | $ 8.09 | $ 8.08 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(f) | 1.99 | % | 3.55 | % | 11.50 | % | (2.71 | )% | 5.17 | % | 3.14 | %† | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $292,064 | $289,619 | $240,567 | $232,931 | $165,294 | $2,104 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g) | .79 | %^ | .78 | % | .77 | % | 1.08 | % | 1.03 | % | 1.16 | %^ | ||||||||||||
Expenses, before waivers/reimbursements(g) | .80 | %^ | .80 | % | .83 | % | 1.16 | % | 1.11 | % | 1.37 | %^ | ||||||||||||
Net investment income(c) | 3.11 | %^ | 3.24 | % | 4.02 | % | 3.73 | % | 4.42 | % | 4.06 | %†^ | ||||||||||||
Portfolio turnover rate** | 118 | % | 246 | % | 270 | % | 105 | % | 42 | % | 14 | % |
See footnote summary on page 117-118.
114 | AB INCOME FUND | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | April 21, 2016(a) to October 31, 2016 | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 7.97 | $ 7.99 | $ 7.50 | $ 8.10 | $ 8.09 | $ 7.99 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(b)(c) | .10 | .20 | .25 | .23 | .30 | .14 | † | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .02 | .02 | (d) | .53 | (.50 | ) | .05 | .09 | ||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (e) | .00 | (e) | .00 | (e) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from | .12 | .22 | .78 | (.27 | ) | .35 | .23 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.24 | ) | (.25 | ) | (.30 | ) | (.34 | ) | (.13 | ) | ||||||||||||
Return of capital | – 0 | – | – 0 | – | (.04 | ) | (.03 | ) | – 0 | – | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.11 | ) | (.24 | ) | (.29 | ) | (.33 | ) | (.34 | ) | (.13 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of | $ 7.98 | $ 7.97 | $ 7.99 | $ 7.50 | $ 8.10 | $ 8.09 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(f) | 1.48 | % | 2.77 | % | 10.65 | % | (3.43 | )% | 4.37 | % | 2.85 | %† | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $211,499 | $217,968 | $164,413 | $82,283 | $62,121 | $1,133 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g) | 1.54 | %^ | 1.53 | % | 1.52 | % | 1.83 | % | 1.78 | % | 1.90 | %^ | ||||||||||||
Expenses, before waivers/reimbursements(g) | 1.55 | %^ | 1.55 | % | 1.57 | % | 1.92 | % | 1.87 | % | 2.15 | %^ | ||||||||||||
Net investment income(c) | 2.35 | %^ | 2.49 | % | 3.21 | % | 2.98 | % | 3.68 | % | 3.34 | %†^ | ||||||||||||
Portfolio turnover rate** | 118 | % | 246 | % | 270 | % | 105 | % | 42 | % | 14 | % |
See footnote summary on page 117-118.
abfunds.com | AB INCOME FUND | 115 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | January 1, 2016 to October 31, | Year Ended 2015 | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016(h) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Net asset value, beginning of period | $ 7.97 | $ 7.99 | $ 7.50 | $ 8.10 | $ 8.09 | $ 7.86 | $ 8.34 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||||||
Net investment income(b)(c) | .14 | .27 | .33 | .31 | .41 | .29† | .38 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .02 | .03 | (d) | .53 | (.50 | ) | .02 | .22 | (.41 | ) | ||||||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (e) | .00 | (e) | .00 | (e) | – 0 | – | – 0 | – | ||||||||||||||
|
| |||||||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .16 | .30 | .86 | (.19 | ) | .43 | .51 | (.03 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||||||
Dividends from net investment income | (.15 | ) | (.32 | ) | (.31 | ) | (.38 | ) | (.42 | ) | (.28 | ) | (.46 | ) | ||||||||||||||
Distributions from net realized gain on investment transactions | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.05 | ) | ||||||||||||||
Return of capital | – 0 | – | – 0 | – | (.06 | ) | (.03 | ) | – 0 | – | – 0 | – | – 0 | – | ||||||||||||||
|
| |||||||||||||||||||||||||||
Total dividends and distributions | (.15 | ) | (.32 | ) | (.37 | ) | (.41 | ) | (.42 | ) | (.28 | ) | (.51 | ) | ||||||||||||||
|
| |||||||||||||||||||||||||||
Redemption fee | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | .00 | (e) | – 0 | – | ||||||||||||||
Anti-Dilutive Effect of Share Repurchase Program | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | – 0 | – | .06 | |||||||||||||||
|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ 7.98 | $ 7.97 | $ 7.99 | $ 7.50 | $ 8.10 | $ 8.09 | $ 7.86 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Market value, end of period | N/A | N/A | N/A | N/A | N/A | N/A | $7.67 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Discount, end of period | N/A | N/A | N/A | N/A | N/A | N/A | (2.42 | )% | ||||||||||||||||||||
Total Return | ||||||||||||||||||||||||||||
Total investment return based on: | ||||||||||||||||||||||||||||
Market value | N/A | N/A | N/A | N/A | N/A | N/A | 9.71 | %(i) | ||||||||||||||||||||
Net asset value(f) | 1.99 | % | 3.80 | % | 11.76 | % | (2.46 | )% | 5.44 | % | 6.66 | %† | .70 | %(i) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||||
Net assets, end of period (000,000’s omitted) | $4,192 | $4,097 | $3,562 | $2,222 | $1,806 | $916 | $1,696 | |||||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(g) | .54 | %^ | .53 | % | .52 | % | .83 | % | .81 | % | .88 | %^ | .75 | % | ||||||||||||||
Expenses, before waivers/reimbursements(g) | .55 | %^ | .55 | % | .58 | % | .91 | % | .93 | % | .96 | %^ | .75 | % | ||||||||||||||
Net investment income(c) | 3.35 | %^ | 3.48 | % | 4.24 | % | 3.98 | % | 5.11 | % | 4.29 | %†^ | 4.57 | % | ||||||||||||||
Portfolio turnover rate** | 118 | % | 246 | % | 270 | % | 105 | % | 42 | % | 14 | % | 34 | % |
See footnote summary on page 117-118.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class Z | ||||||||
Six Months Ended April 30, 2021 (unaudited) |
2019(j) to October 31, | |||||||
|
| |||||||
Net asset value, beginning of period | $ 7.97 | $ 7.97 | ||||||
|
| |||||||
Income From Investment | ||||||||
Net investment income(b)(c) | .14 | .27 | ||||||
Net realized and unrealized gain on investment and foreign currency transactions | .02 | .03 | (d) | |||||
|
| |||||||
Net increase in net asset value from operations | .16 | .30 | ||||||
|
| |||||||
Less: Dividends | ||||||||
Dividends from net investment income | (.15 | ) | (.30 | ) | ||||
|
| |||||||
Net asset value, end of period | $ 7.98 | $ 7.97 | ||||||
|
| |||||||
Total Return | ||||||||
Total investment return based on net asset value(f) | 2.01 | % | 3.89 | % | ||||
Ratios/Supplemental Data | ||||||||
Net assets, end of period (000’s omitted) | $30,003 | $18,492 | ||||||
Ratio to average net assets of: | ||||||||
Expenses, net of waivers/reimbursements(g)^ | .49 | % | .48 | % | ||||
Expenses, before waivers/reimbursements(g)^ | .49 | % | .48 | % | ||||
Net investment income(c)^ | 3.40 | % | 3.49 | % | ||||
Portfolio turnover rate** | 118 | % | 246 | % |
(a) | Inception date. |
(b) | Based on average shares outstanding. |
(c) | Net of expenses waived/reimbursed by the Adviser. |
(d) | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Fund’s change in net realized and unrealized gain (loss) on investment transactions for the period. |
(e) | Amount is less than $.005. |
(f) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
abfunds.com | AB INCOME FUND | 117 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(g) | The expense ratios, excluding interest expense are: |
Six Months (unaudited) | Year Ended October 31, | January 1, 2016 to 2016(h) | Year Ended 2015 | |||||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Net of waivers/reimbursements | .77 | %^ | .77 | % | .77 | % | .77 | % | .77 | % | .88 | %^ | N/A | |||||||||||||||
Before waivers/reimbursements | .78 | %^ | .79 | % | .82 | % | .85 | % | .85 | % | 1.09 | %^ | N/A | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Net of waivers/reimbursements | 1.52 | %^ | 1.52 | % | 1.52 | % | 1.52 | % | 1.52 | % | 1.63 | %^ | N/A | |||||||||||||||
Before waivers/reimbursements | 1.53 | %^ | 1.54 | % | 1.57 | % | 1.60 | % | 1.61 | % | 1.87 | %^ | N/A | |||||||||||||||
Advisor Class | ||||||||||||||||||||||||||||
Net of waivers/reimbursements | .52 | %^ | .52 | % | .52 | % | .52 | % | .54 | % | .61 | %^ | .61 | % | ||||||||||||||
Before waivers/reimbursements | .53 | %^ | .54 | % | .57 | % | .60 | % | .65 | % | .69 | %^ | .61 | % | ||||||||||||||
Class Z | ||||||||||||||||||||||||||||
Net of waivers/reimbursements | .48 | %^ | .46 | % | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||
Before waivers/reimbursements | .48 | %^ | .46 | % | N/A | N/A | N/A | N/A | N/A |
(h) | The Predecessor Fund’s fiscal year end was December 31 and the Fund’s fiscal year end is October 31. |
(i) | Total investment return is calculated assuming a purchase of common stock on the opening of the first day and a sale on the closing of the last day of each period reported. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at prices obtained under the Fund’s dividend reinvestment plan. Generally, total investment return based on net asset value will be higher than total investment return based on market value in periods where there is an increase in the discount or a decrease in the premium of the market value to the net asset value from the beginning to the end of such periods. Conversely, total investment return based on net asset value will be lower than total investment return based on market value in periods where there is a decrease in the discount or an increase in the premium of the market value to the net asset value from the beginning to the end of such periods. Total investment return calculated for a period of less than one year is not annualized. |
(j) | Commencement of distributions. |
† | For the year ended October 31, 2016, the amount includes a refund for overbilling of prior years’ custody out of pocket fees as follows: |
Net Investment Income Per Share | Net Investment Income Ratio | Total Return | ||
$.003 | .04 % | .03 % |
^ | Annualized. |
** | The Fund accounts for dollar roll transactions as purchases and sales. |
See notes to financial statements.
118 | AB INCOME FUND | abfunds.com |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Scott A. DiMaggio(2), Vice President Gershon M. Distenfeld(2), Matthew S. Sheridan(2), Vice President Emilie D. Wrapp, Secretary | Michael B. Reyes, Senior Analyst Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672 | Independent Registered Public Ernst & Young LLP 5 Times Square New York, NY 10036
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s U.S. Investment Grade: Core Fixed Income Investment Team. Messrs. DiMaggio, Distenfeld and Sheridan are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio. |
abfunds.com | AB INCOME FUND | 119 |
Operation and Effectiveness of the Fund’s Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Fund’s LRMP is adequately designed, has been implemented as intended,
120 | AB INCOME FUND | abfunds.com |
and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Fund, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
abfunds.com | AB INCOME FUND | 121 |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AB Bond Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Income Fund (the “Fund”) at a meeting held by video conference on November 3-5, 2020 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
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judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2018 and 2019 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency, distribution and brokerage services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution
abfunds.com | AB INCOME FUND | 123 |
expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1- and 3-year periods ended July 31, 2020 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and noted that the fee rate for the period reviewed was above the median but that, due to subsequent increases in assets, the Fund had crossed a breakpoint and the effective fee rate was currently equal to the median. The directors took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
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The Adviser informed the directors that there were no institutional products managed by the Adviser that utilize investment strategies similar to those of the Fund.
The directors noted that the Fund may invest in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund would be for services in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels and that the Fund’s net assets were above the first breakpoint level. Accordingly, the Fund’s current effective advisory fee rate reflected a reduction due to the breakpoint and would be further reduced to the extent the net assets of the Fund increase. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also previously discussed economies of scale with an independent fee consultant. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that
abfunds.com | AB INCOME FUND | 125 |
there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s breakpoint arrangements were acceptable and provide a means for sharing economies of scale.
126 | AB INCOME FUND | abfunds.com |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
1 | Prior to April 30, 2021, High Yield Portfolio was named FlexFee High Yield Portfolio. |
abfunds.com | AB INCOME FUND | 127 |
NOTES
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NOTES
abfunds.com | AB INCOME FUND | 129 |
NOTES
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NOTES
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NOTES
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AB INCOME FUND
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
IF-0152-0421
APR 04.30.21
SEMI-ANNUAL REPORT
AB MUNICIPAL BOND INFLATION STRATEGY
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
FROM THE PRESIDENT |
Dear Shareholder,
We’re pleased to provide this report for the AB Municipal Bond Inflation Strategy (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 1 |
SEMI-ANNUAL REPORT
June 9, 2021
This report provides management’s discussion of fund performance for the AB Municipal Bond Inflation Strategy for the semi-annual period ended April 30, 2021.
The Fund’s investment objective is to maximize real after-tax return for investors subject to federal income taxes, without undue risk to principal.
NAV RETURNS AS OF APRIL 30, 2021 (unaudited)
6 Months | 12 Months | |||||||
AB MUNICIPAL BOND INFLATION STRATEGY | ||||||||
Class 1 Shares1 | 6.21% | 15.38% | ||||||
Class 2 Shares1 | 6.37% | 15.60% | ||||||
Class A Shares | 6.19% | 15.21% | ||||||
Class C Shares | 5.82% | 14.37% | ||||||
Advisor Class Shares2 | 6.32% | 15.59% | ||||||
Bloomberg Barclays 1-10 Year TIPS Index | 3.38% | 7.32% |
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Adviser’s institutional clients or through other limited arrangements. |
2 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions.
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its benchmark, the Bloomberg Barclays 1-10 Year Treasury Inflation-Protected Securities (“TIPS”) Index, for the six- and 12-month periods ended April 30, 2021.
All share classes of the Fund outperformed the benchmark for both periods, before sales charges. The Fund invests primarily in municipal bonds and uses tax-efficient hedges for inflation protection. Over both periods, the Fund’s lower-than-benchmark interest-rate risk contributed, relative to the benchmark, as rates rose. An overweight to tax-exempt bonds versus taxable bonds added to performance. An overweight to municipal credit detracted for the six-month period, but contributed for the 12-month period. The use of Consumer Price Index (“CPI”) swaps, a more tax-efficient way of achieving inflation protection, contributed to returns
2 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
over both periods. Yield-curve positioning detracted for both periods, specifically underweights to the long part of the curve.
The Fund utilized derivatives in the form of CPI swaps for hedging and investment purposes, which added to absolute performance for both periods. Interest rate swaps were utilized for hedging purposes and had no material impact on performance for either period. Credit default swaps were utilized for investment purposes and had no material impact on performance for either period.
MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended April 30, 2021, the US economy moved closer to a full reopening and equity markets continued to rally, while interest rates and inflation expectations rose in anticipation of stronger growth ahead. The yield on the 10-year US Treasury rose 72 basis points (“b.p.”) in 2021, to 1.64% as of April 30, 2021. On the bright side for muni investors is that the 10-year AAA municipal bond yield rose just 28 b.p. to 0.99% in the same period—less than half as much as the 10-year Treasury. Through April, municipals posted positive absolute returns of 0.48%, and higher returns, relative to other fixed-income asset classes, such as US Treasuries and US investment-grade corporates, which both posted negative returns. The two main catalysts behind the municipal market’s outperformance were strong investor demand and generally improving fundamentals among municipal issuers. During the first four months of 2021, investors poured $42 billion into the market, on pace for a new calendar-year record, and marked 12 consecutive months of inflows following the dramatic sell-off in municipals associated with the 2020 pandemic.
Demand for income was very apparent during the quarter, as BBB-rated and high-yield credit spreads compressed—53 b.p. and 71 b.p., respectively—leading to outperformance by those credit indices versus high-grade counterparts. Investor concerns around issuer credit fundamentals were calmed by a combination of much better-than-expected tax revenue collections, as well as a bevy of stimulus for municipal issuers from the federal government. Municipalities benefited from three separate stimulus packages. First, the CARES Act supplied a much needed $347 billion to issuers, and this has since been supplemented by a package passed in late December 2020, which had $167 billion appropriated for various municipal sectors. Finally, the American Rescue Plan Act of 2021 supplied $649 billion for issuers. Public rating agencies reacted to the positive credit trends, evidenced by S&P 500’s removal of several noteworthy negative outlooks on large sectors, including state and local government, school districts, mass transit, airports, toll roads and specific issuers such as the state of Illinois.
The Fund’s Senior Investment Management Team (the “Team”) continues to focus on real after-tax return by investing in municipal bonds that
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 3 |
generate income exempt from federal income taxes. In seeking to manage volatility and interest-rate risk, the Team focuses on intermediate-term bonds and seeks to provide inflation protection by entering into inflation swap agreements or investing in other inflation-protected instruments.
The Fund may purchase municipal securities that are insured under policies issued by certain insurance companies. Historically, insured municipal securities typically received a higher credit rating, which meant that the issuer of the securities paid a lower interest rate. As a result of declines in the credit quality and associated downgrades of most bond insurers, insurance has less value than it did in the past. The market now values insured municipal securities primarily based on the credit quality of the issuer of the security with little value given to the insurance feature. In purchasing such insured securities, the Adviser evaluates the risk and return of municipal securities through its own research. If an insurance company’s rating is downgraded or the company becomes insolvent, the prices of municipal securities insured by the insurance company may decline. As of April 30, 2021, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity were 2.34% and 0.00%, respectively.
INVESTMENT POLICIES
The Fund seeks real after-tax return for investors subject to federal income taxes. Real return is the rate of return after adjusting for inflation. The Fund pursues its objective by investing principally in high-quality, predominantly investment-grade, municipal securities that pay interest exempt from federal taxation. As a fundamental policy, the Fund will invest at least 80% of its net assets in municipal securities. These securities may be subject to the federal alternative minimum tax for some taxpayers.
The Fund will invest at least 80% of its total assets in fixed-income securities rated A or better or the equivalent by one or more national rating agencies or deemed to be of comparable credit quality by the Adviser. In deciding whether to take direct or indirect exposure, the Fund may invest up to 20% of its total assets in fixed-income securities rated BB or B or the equivalent by one or more national rating agencies (or deemed to be of comparable credit quality by the Adviser), which are not investment grade (“junk bonds”). If the rating of a fixed-income security falls below investment-grade, the Fund will not be obligated to sell the security and may continue to hold it if, in the Adviser’s opinion, the investment is appropriate under the circumstances.
The Fund may invest in fixed-income securities with any maturity and duration.
(continued on next page)
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To provide inflation protection, the Fund will typically enter into inflation swaps. The Fund may use other inflation-indexed instruments. Payments to the Fund pursuant to swaps will result in taxable income, either ordinary income or capital gains, rather than income exempt from federal income taxation. It is expected that the Fund’s primary use of derivatives will be for the purpose of inflation protection.
The Fund may also invest in forward commitments; zero-coupon municipal securities and variable, floating and inverse floating-rate municipal securities; certain types of mortgage-related securities; and derivatives, such as options, futures contracts, forwards and swaps.
The Fund may utilize leverage for investment purposes through the use of tender option bond (“TOB”) transactions. The Adviser considers the impact of TOB transactions, swaps and other derivatives in making its assessments of the Fund’s risks. The resulting exposures to markets, sectors, issuers or specific securities will be continuously monitored by the Adviser.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg Barclays 1-10 Year TIPS Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Barclays 1-10 Year TIPS Index represents the performance of inflation-protected securities issued by the US Treasury. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of the Fund’s investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Municipal Market Risk: This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Fund’s investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular state’s municipal securities, the Fund is vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of municipal securities, which could impair any such issuer’s ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may
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DISCLOSURES AND RISKS (continued)
continue or worsen, adversely affecting the performance of the Fund. The Fund’s investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.
Congress has previously considered making changes to the municipal securities provisions of the Internal Revenue Code that could change the US federal income tax treatment of certain types of municipal securities.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk.
Leverage Risk: To the extent the Fund uses leveraging techniques, such as TOB transactions, its net asset value (“NAV”) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 7 |
DISCLOSURES AND RISKS (continued)
may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally go down.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com. For Class 1 shares, go to www.bernstein.com and click on “Investments”, found in the footer, then “Mutual Fund Information—Mutual Fund Performance at a Glance.”
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 3.00% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Class 1 and 2 shares do not carry sales charges. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2021 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | SEC Yields1 | ||||||||||
CLASS 1 SHARES2 | 0.45% | |||||||||||
1 Year | 15.38% | 15.38% | ||||||||||
5 Years | 3.24% | 3.24% | ||||||||||
10 Years | 2.50% | 2.50% | ||||||||||
CLASS 2 SHARES2 | 0.55% | |||||||||||
1 Year | 15.60% | 15.60% | ||||||||||
5 Years | 3.36% | 3.36% | ||||||||||
10 Years | 2.60% | 2.60% | ||||||||||
CLASS A SHARES | 0.28% | |||||||||||
1 Year | 15.21% | 11.71% | ||||||||||
5 Years | 3.09% | 2.46% | ||||||||||
10 Years | 2.32% | 2.00% | ||||||||||
CLASS C SHARES | -0.45% | |||||||||||
1 Year | 14.37% | 13.37% | ||||||||||
5 Years | 2.32% | 2.32% | ||||||||||
10 Years3 | 1.58% | 1.58% | ||||||||||
ADVISOR CLASS SHARES4 | 0.53% | |||||||||||
1 Year | 15.59% | 15.59% | ||||||||||
5 Years | 3.36% | 3.36% | ||||||||||
10 Years | 2.60% | 2.60% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 0.67%, 0.57%, 0.85%, 1.61% and 0.60% for Class 1, Class 2, Class A, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Fund’s annual operating expense ratios, exclusive of extraordinary expenses, interest expense, and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, to 0.60%, 0.50%, 0.75%, 1.50% and 0.50% for Class 1, Class 2, Class A, Class C and Advisor Class shares, respectively. These waivers/reimbursements may not be terminated prior to January 31, 2022 and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2021. |
2 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Adviser’s institutional clients or through other limited arrangements. |
3 | Assumes conversion of Class C shares into Class A shares after 10 years. |
4 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 9 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2021 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS 1 SHARES1 | ||||
1 Year | 13.96% | |||
5 Years | 3.16% | |||
10 Years | 2.55% | |||
CLASS 2 SHARES1 | ||||
1 Year | 14.07% | |||
5 Years | 3.26% | |||
10 Years | 2.65% | |||
CLASS A SHARES | ||||
1 Year | 10.36% | |||
5 Years | 2.38% | |||
10 Years | 2.08% | |||
CLASS C SHARES | ||||
1 Year | 11.94% | |||
5 Years | 2.25% | |||
10 Years2 | 1.63% | |||
ADVISOR CLASS SHARES3 | ||||
1 Year | 14.18% | |||
5 Years | 3.27% | |||
10 Years | 2.66% |
1 | Class 1 shares are only available to Bernstein Global Wealth Management private client accounts. Class 2 shares are only available to large Bernstein Global Wealth Management private client accounts and the Adviser’s institutional clients or through other limited arrangements. |
2 | Assumes conversion of Class C shares into Class A shares after 10 years. |
3 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of a mutual fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 11 |
EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,061.90 | $ | 3.83 | 0.75 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.08 | $ | 3.76 | 0.75 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,058.20 | $ | 7.65 | 1.50 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.36 | $ | 7.50 | 1.50 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,063.20 | $ | 2.56 | 0.50 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.32 | $ | 2.51 | 0.50 | % | ||||||||
Class 1 | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,062.10 | $ | 3.07 | 0.60 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.82 | $ | 3.01 | 0.60 | % | ||||||||
Class 2 | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,063.70 | $ | 2.56 | 0.50 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.32 | $ | 2.51 | 0.50 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
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PORTFOLIO SUMMARY
April 30, 2021 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $1,261.9
1 | All data are as of April 30, 2021. The Fund’s quality rating breakdown is expressed as a percentage of the Fund’s total investments in municipal securities and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). The quality ratings are determined by using the S&P Global Ratings (“S&P”), Moody’s Investors Services, Inc.(“Moody’s”) and Fitch Ratings, Ltd.(“Fitch”). The Fund considers the credit ratings issued by S&P, Moody’s and Fitch and uses the highest rating issued by the agencies. These ratings are a measure of the quality and safety of a bond or portfolio, based on the issuer’s financial condition. AAA is the highest (best) and D is the lowest (worst). If applicable, the pre-refunded category includes bonds which are secured by U.S. Government securities and therefore are deemed high-quality investment grade by the Adviser. If applicable, Not Applicable (N/A) includes non-creditworthy investments, such as equities, currency contracts, futures and options. If applicable, the Not Rated category includes bonds that are not rated by a nationally recognized statistical rating organization. The Adviser evaluates the creditworthiness of non-rated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment. |
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PORTFOLIO OF INVESTMENTS
April 30, 2021 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
MUNICIPAL OBLIGATIONS – 96.6% |
| |||||||
Long-Term Municipal Bonds – 93.1% |
| |||||||
Alabama – 1.6% |
| |||||||
Alabama Special Care Facilities Financing Authority-Birmingham AL | $ | 3,905 | $ | 4,547,479 | ||||
Infirmary Health System Special Care Facilities Financing Authority of Mobile | 2,110 | 2,438,490 | ||||||
Special Care Facilities Financing Authority of the City of Pell City Alabama | 11,235 | 11,484,410 | ||||||
Tuscaloosa County Industrial Development Authority | 1,580 | 1,802,708 | ||||||
|
| |||||||
20,273,087 | ||||||||
|
| |||||||
American Samoa – 0.2% |
| |||||||
American Samoa Economic Development Authority | 295 | 355,190 | ||||||
7.125%, 09/01/2038(a) | 280 | 346,939 | ||||||
Series 2015A | 1,335 | 1,537,077 | ||||||
|
| |||||||
2,239,206 | ||||||||
|
| |||||||
Arizona – 2.7% |
| |||||||
Arizona Industrial Development Authority | 935 | 1,144,567 | ||||||
5.00%, 11/01/2031-11/01/2033 | 2,350 | 3,054,209 | ||||||
Arizona State University | 7,260 | 7,533,302 |
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PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
City of Phoenix Civic Improvement Corp. | $ | 3,330 | $ | 3,355,395 | ||||
City of Phoenix Civic Improvement Corp. | 3,945 | 4,834,875 | ||||||
Salt River Project Agricultural Improvement & Power District | 2,750 | 3,517,010 | ||||||
Series 2011A | 3,140 | 3,227,678 | ||||||
State of Arizona Lottery Revenue | 5,000 | 6,451,921 | ||||||
Tempe Industrial Development Authority | 510 | 510,196 | ||||||
|
| |||||||
33,629,153 | ||||||||
|
| |||||||
California – 5.0% |
| |||||||
California Community Housing Agency | 3,315 | 3,550,896 | ||||||
California Housing Finance | 999 | 1,161,357 | ||||||
California Pollution Control Financing Authority | 250 | 259,012 | ||||||
California State Public Works Board | 10,000 | 10,598,567 | ||||||
City of Los Angeles Department of Airports | 1,000 | 1,242,275 | ||||||
Series 2021A | 4,000 | 5,215,827 | ||||||
CSCDA Community Improvement Authority | 2,000 | 2,063,465 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Golden State Tobacco Securitization Corp. | $ | 1,580 | $ | 1,608,094 | ||||
Los Angeles Unified School District/CA | 6,935 | 8,768,106 | ||||||
State of California | 6,000 | 6,564,442 | ||||||
5.00%, 11/01/2030 | 10,870 | 14,713,179 | ||||||
Series 2014 | 4,250 | 4,744,674 | ||||||
University of California | 2,000 | 2,603,190 | ||||||
|
| |||||||
63,093,084 | ||||||||
|
| |||||||
Colorado – 4.1% |
| |||||||
Centerra Metropolitan District No. 1 | 1,510 | 1,608,682 | ||||||
City & County of Denver CO Airport System Revenue | 13,395 | 14,367,191 | ||||||
Series 2018A | 16,555 | 21,088,958 | ||||||
Colorado Health Facilities Authority | 2,890 | 3,663,474 | ||||||
Colorado Health Facilities Authority | 1,525 | 1,973,365 | ||||||
Denver City & County School District No. 1 | 4,730 | 5,309,681 | ||||||
Denver Urban Renewal Authority | 1,640 | 1,732,957 | ||||||
Sterling Ranch Community Authority Board | 1,050 | 1,148,628 |
16 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Vauxmont Metropolitan District | $ | 260 | $ | 299,900 | ||||
|
| |||||||
51,192,836 | ||||||||
|
| |||||||
Connecticut – 3.8% |
| |||||||
City of New Haven CT | 1,920 | 2,380,149 | ||||||
Connecticut State Health & Educational Facilities Authority | 10,105 | 10,264,544 | ||||||
State of Connecticut | 5,035 | 5,617,526 | ||||||
Series 2014A | 2,230 | 2,510,910 | ||||||
Series 2014F | 1,275 | 1,475,037 | ||||||
Series 2015B | 7,170 | 8,490,477 | ||||||
Series 2016A | 2,160 | 2,572,712 | ||||||
Series 2018B | 1,440 | 1,848,001 | ||||||
State of Connecticut Clean Water Fund – State Revolving Fund | 4,360 | 4,746,903 | ||||||
State of Connecticut Special Tax Revenue | 6,000 | 7,740,536 | ||||||
|
| |||||||
47,646,795 | ||||||||
|
| |||||||
District of Columbia – 0.8% |
| |||||||
Metropolitan Washington Airports Authority | 5,500 | 6,546,574 | ||||||
5.00%, 10/01/2026 | 3,065 | 3,755,090 | ||||||
|
| |||||||
10,301,664 | ||||||||
|
| |||||||
Florida – 7.2% |
| |||||||
Capital Trust Agency, Inc. | 300 | 326,452 | ||||||
Central Florida Expressway Authority | 6,000 | 7,797,613 | ||||||
5.00%, 07/01/2034(c) | 7,255 | 9,355,930 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Citizens Property Insurance, Inc. | $ | 7,315 | $ | 7,699,192 | ||||
City of Jacksonville FL | 6,140 | 6,557,876 | ||||||
5.00%, 10/01/2026 (Pre-refunded/ETM) | 4,050 | 4,325,634 | ||||||
City of South Miami Health Facilities Authority, Inc. | 4,500 | 5,332,626 | ||||||
City of Tampa FL Water & Wastewater System Revenue | 1,565 | 1,596,363 | ||||||
County of Broward FL Airport System Revenue | 2,600 | 2,739,300 | ||||||
County of Miami-Dade FL | 1,500 | 1,603,191 | ||||||
County of Miami-Dade FL | 18,500 | 21,105,062 | ||||||
County of Osceola FL Transportation Revenue | 595 | 447,840 | ||||||
Florida Municipal Power Agency | 500 | 501,102 | ||||||
Series 2011B | 2,890 | 2,947,185 | ||||||
Series 2015B | 1,500 | 1,671,720 | ||||||
Greater Orlando Aviation Authority | 8,420 | 10,320,111 | ||||||
Mid-Bay Bridge Authority | 1,000 | 1,164,692 |
18 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Palm Beach County Health Facilities Authority | $ | 375 | $ | 380,004 | ||||
Polk County Industrial Development Authority | 1,000 | 1,062,121 | ||||||
State Board of Administration Finance Corp. | 2,205 | 2,225,532 | ||||||
1.705%, 07/01/2027 | 1,515 | 1,528,494 | ||||||
|
| |||||||
90,688,040 | ||||||||
|
| |||||||
Georgia – 2.4% |
| |||||||
Augusta Development Authority | 9,555 | 11,080,526 | ||||||
Cobb County Kennestone Hospital Authority | 1,650 | 1,935,535 | ||||||
Main Street Natural Gas, Inc. | 9,370 | 10,113,868 | ||||||
Series 2018C | 6,850 | 7,444,041 | ||||||
|
| |||||||
30,573,970 | ||||||||
|
| |||||||
Guam – 0.4% |
| |||||||
Territory of Guam | 155 | 173,077 | ||||||
Territory of Guam | 3,970 | 4,486,243 | ||||||
|
| |||||||
4,659,320 | ||||||||
|
| |||||||
Illinois – 6.1% |
| |||||||
Chicago Board of Education | 1,200 | 1,446,719 | ||||||
Series 2018C | 3,165 | 3,248,744 | ||||||
Series 2019A | 525 | 650,693 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2019B | $ | 500 | $ | 615,817 | ||||
Chicago Housing Authority | 3,500 | 4,180,918 | ||||||
5.00%, 01/01/2037(c) | 5,260 | 6,258,323 | ||||||
Chicago O’Hare International Airport | 5,000 | 5,792,803 | ||||||
Series 2016C | 5,000 | 5,936,108 | ||||||
Series 2017B | 1,475 | 1,783,636 | ||||||
Chicago O’Hare International Airport | 2,500 | 2,673,419 | ||||||
5.50%, 01/01/2025 | 2,250 | 2,425,240 | ||||||
Illinois Finance Authority | 1,630 | 1,846,283 | ||||||
Illinois Finance Authority | 800 | 962,855 | ||||||
Illinois Finance Authority | 2,900 | 4,101,429 | ||||||
Illinois State Toll Highway Authority | 1,080 | 1,390,806 | ||||||
State of Illinois | 1,670 | 1,829,218 | ||||||
Series 2014 | 4,180 | 4,621,020 | ||||||
Series 2017B | 5,050 | 5,801,801 | ||||||
Series 2017D | 14,515 | 16,157,049 | ||||||
Series 2018A | 2,785 | 3,078,960 | ||||||
Series 2018B | 1,730 | 1,912,603 | ||||||
|
| |||||||
76,714,444 | ||||||||
|
|
20 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Indiana – 0.3% |
| |||||||
Indiana Finance Authority | $ | 2,380 | $ | 2,239,940 | ||||
Indiana Municipal Power Agency | 2,105 | 2,121,186 | ||||||
|
| |||||||
4,361,126 | ||||||||
|
| |||||||
Iowa – 1.2% |
| |||||||
Iowa Finance Authority | 2,250 | 2,486,531 | ||||||
Iowa Higher Education Loan Authority | 2,275 | 2,494,954 | ||||||
Iowa Tobacco Settlement Authority | 3,515 | 4,167,923 | ||||||
5.00%, 06/01/2031 | 900 | 1,196,488 | ||||||
Series 2021B | 2,000 | 2,294,487 | ||||||
PEFA, Inc. | 2,360 | 2,858,058 | ||||||
|
| |||||||
15,498,441 | ||||||||
|
| |||||||
Kentucky – 3.8% |
| |||||||
City of Ashland KY | 650 | 764,626 | ||||||
Kentucky Municipal Power Agency | 4,875 | 5,237,099 | ||||||
Kentucky Public Energy Authority | 7,260 | 8,384,306 | ||||||
Kentucky Public Energy Authority | 20,000 | 20,696,670 | ||||||
Series 2019C | 9,015 | 10,628,488 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Kentucky Turnpike Authority | $ | 2,275 | $ | 2,403,741 | ||||
|
| |||||||
48,114,930 | ||||||||
|
| |||||||
Louisiana – 1.1% |
| |||||||
Jefferson Sales Tax District | 1,800 | 2,251,167 | ||||||
Parish of St. James LA | 340 | 387,683 | ||||||
6.10%, 06/01/2038-12/01/2040(a) | 845 | 1,072,513 | ||||||
State of Louisiana Gasoline & Fuels Tax Revenue | 2,860 | 2,997,106 | ||||||
5.00%, 05/01/2027(c) | 6,225 | 6,537,534 | ||||||
|
| |||||||
13,246,003 | ||||||||
|
| |||||||
Maryland – 1.2% |
| |||||||
County of Montgomery MD | 5,925 | 7,365,664 | ||||||
Maryland Health & Higher Educational Facilities Authority | 500 | 568,160 | ||||||
State of Maryland | 5,790 | 6,681,613 | ||||||
|
| |||||||
14,615,437 | ||||||||
|
| |||||||
Massachusetts – 3.1% |
| |||||||
Commonwealth of Massachusetts | 7,380 | 8,479,849 | ||||||
Massachusetts Clean Water Trust (The) | 5,515 | 5,665,174 | ||||||
Massachusetts Development Finance Agency | 1,655 | 2,090,266 |
22 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Massachusetts Port Authority | $ | 11,280 | $ | 14,652,993 | ||||
Massachusetts School Building Authority | 2,475 | 2,628,169 | ||||||
Metropolitan Boston Transit Parking Corp. | 5,025 | 5,063,639 | ||||||
|
| |||||||
38,580,090 | ||||||||
|
| |||||||
Michigan – 2.7% |
| |||||||
City of Detroit MI | 1,055 | 1,236,288 | ||||||
City of Detroit MI Sewage Disposal System Revenue | 3,750 | 3,778,288 | ||||||
Michigan Finance Authority | 2,735 | 3,326,862 | ||||||
Michigan Finance Authority | 10,545 | 12,051,888 | ||||||
Michigan Finance Authority | 1,785 | 2,159,395 | ||||||
Michigan Strategic Fund | 9,090 | 11,547,271 | ||||||
|
| |||||||
34,099,992 | ||||||||
|
| |||||||
Minnesota – 0.0% |
| |||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority | 75 | 72,844 | ||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Mississippi – 0.1% |
| |||||||
Mississippi Hospital Equipment & Facilities Authority | $ | 1,500 | $ | 1,725,201 | ||||
|
| |||||||
Missouri – 0.2% |
| |||||||
Howard Bend Levee District | 255 | 288,482 | ||||||
Lee’s Summit Industrial Development Authority | 1,675 | 1,834,686 | ||||||
|
| |||||||
2,123,168 | ||||||||
|
| |||||||
Montana – 0.3% |
| |||||||
Montana Facility Finance Authority | 3,275 | 3,900,468 | ||||||
|
| |||||||
Nebraska – 1.3% |
| |||||||
Central Plains Energy Project | 15,000 | 16,694,244 | ||||||
|
| |||||||
Nevada – 0.7% |
| |||||||
City of Sparks NV | 465 | 470,204 | ||||||
State of Nevada Department of Business & Industry | 1,000 | 1,000,173 | ||||||
Tahoe-Douglas Visitors Authority | 1,200 | 1,351,074 | ||||||
5.00%, 07/01/2029-07/01/2035 | 5,465 | 6,532,975 | ||||||
|
| |||||||
9,354,426 | ||||||||
|
| |||||||
New Hampshire – 0.1% |
| |||||||
New Hampshire Business Finance Authority | 1,529 | 1,802,062 | ||||||
|
|
24 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New Jersey – 8.8% |
| |||||||
Federal Home Loan Mortgage Corp. Enhanced Receipt | $ | 12,363 | $ | 13,232,698 | ||||
New Jersey Economic Development Authority | 1,150 | 1,300,018 | ||||||
New Jersey Economic Development Authority | 3,810 | 4,555,407 | ||||||
New Jersey Economic Development Authority | 1,365 | 1,448,364 | ||||||
New Jersey Transportation Trust Fund Authority | 4,390 | 5,235,388 | ||||||
Series 2018A | 21,670 | 25,871,746 | ||||||
New Jersey Transportation Trust Fund Authority | 10,000 | 10,054,027 | ||||||
Series 2014C | 2,960 | 3,415,252 | ||||||
Series 2020A | 1,140 | 1,453,435 | ||||||
New Jersey Turnpike Authority | 1,600 | 1,729,592 | ||||||
5.00%, 01/01/2023 | 200 | 215,537 | ||||||
Series 2014A | 4,785 | 5,455,803 | ||||||
Series 2014C | 1,590 | 1,713,521 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2017A | $ | 7,300 | $ | 8,840,583 | ||||
Series 2020D | 4,375 | 5,325,617 | ||||||
Series 2021B | 1,000 | 999,584 | ||||||
1.713%, 01/01/2029 | 1,350 | 1,325,055 | ||||||
State of New Jersey | 10,000 | 13,023,138 | ||||||
Tobacco Settlement Financing Corp./NJ | 4,750 | 5,934,243 | ||||||
|
| |||||||
111,129,008 | ||||||||
|
| |||||||
New York – 9.1% |
| |||||||
City of New York NY | 1,030 | 1,042,242 | ||||||
5.00%, 08/01/2023 | 3,220 | 3,258,198 | ||||||
Series 2014J | 6,100 | 6,172,198 | ||||||
Series 2020B | 3,000 | 3,784,474 | ||||||
Series 2020C | 3,645 | 4,769,137 | ||||||
Series 2021D | 3,150 | 3,113,532 | ||||||
1.623%, 08/01/2028 | 2,500 | 2,462,992 | ||||||
Series 2021F | 2,500 | 2,942,082 | ||||||
Metropolitan Transportation Authority | 1,000 | 1,174,758 | ||||||
5.00%, 11/15/2028 | 4,000 | 5,101,318 | ||||||
Series 2012C | 4,065 | 4,369,553 | ||||||
5.00%, 11/15/2025 (Pre-refunded/ETM) | 5,000 | 5,374,604 | ||||||
Series 2012F | 3,635 | 3,872,731 | ||||||
Series 2013A | 2,300 | 2,527,563 | ||||||
Series 2013E | 8,510 | 9,558,997 | ||||||
Series 2016A | 1,130 | 1,311,201 | ||||||
Series 2016B | 1,370 | 1,670,654 | ||||||
Series 2017B | 3,600 | 4,239,498 |
26 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2017C | $ | 4,020 | $ | 5,015,784 | ||||
New York City Municipal Water Finance Authority | 3,875 | 3,896,704 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 6,830 | 7,320,414 | ||||||
Series 2021 | 1,000 | 1,350,030 | ||||||
New York State Dormitory Authority | 6,565 | 7,400,874 | ||||||
New York State Environmental Facilities Corp. | 3,000 | 3,016,666 | ||||||
New York Transportation Development Corp. | 1,500 | 1,772,180 | ||||||
Series 2018 | 9,255 | 11,328,357 | ||||||
New York Transportation Development Corp. | 345 | 388,412 | ||||||
Triborough Bridge & Tunnel Authority | 2,945 | 3,150,769 | ||||||
2.591%, 05/15/2036(b) | 2,000 | 1,983,561 | ||||||
2.917%, 05/15/2040(b) | 1,000 | 997,327 | ||||||
|
| |||||||
114,366,810 | ||||||||
|
| |||||||
North Carolina – 0.6% |
| |||||||
State of North Carolina | 6,710 | 7,831,939 | ||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
North Dakota – 0.1% |
| |||||||
County of Grand Forks ND | $ | 1,000 | $ | 913,643 | ||||
|
| |||||||
Ohio – 2.9% |
| |||||||
American Municipal Power, Inc. | 5,000 | 5,928,774 | ||||||
Buckeye Tobacco Settlement Financing Authority | 2,955 | 2,953,547 | ||||||
Series 2020A | 1,000 | 1,166,120 | ||||||
City of Chillicothe OH | 3,385 | 4,093,059 | ||||||
City of Cleveland OH Airport System Revenue | 2,585 | 2,831,889 | ||||||
City of Cleveland OH Income Tax Revenue | 7,585 | 9,464,713 | ||||||
Series 2017B-2 | 1,485 | 1,855,836 | ||||||
County of Cuyahoga OH | 5,600 | 6,545,257 | ||||||
Ohio Air Quality Development Authority | 235 | 241,857 | ||||||
Ohio Water Development Authority Water Pollution Control Loan Fund | 420 | 432,255 | ||||||
Series 2016B | 825 | 849,072 | ||||||
|
| |||||||
36,362,379 | ||||||||
|
| |||||||
Oklahoma – 0.0% |
| |||||||
Oklahoma Development Finance Authority | 500 | 502,536 | ||||||
|
|
28 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Oregon – 0.6% |
| |||||||
Deschutes County Hospital Facilities Authority | $ | 1,000 | $ | 1,100,307 | ||||
Tri-County Metropolitan Transportation District of Oregon | 4,605 | 4,696,322 | ||||||
Series 2018A | 1,910 | 2,386,967 | ||||||
|
| |||||||
8,183,596 | ||||||||
|
| |||||||
Other – 0.3% |
| |||||||
Federal Home Loan Mortgage Corp. Multifamily VRD Certificates | 3,845 | 4,109,352 | ||||||
|
| |||||||
Pennsylvania – 4.8% |
| |||||||
Bucks County Industrial Development Authority | 4,500 | 5,581,147 | ||||||
City of Philadelphia PA | 12,990 | 16,263,789 | ||||||
City of Philadelphia PA Water & Wastewater Revenue | 2,135 | 2,664,534 | ||||||
Montgomery County Higher Education and Health Authority | 1,500 | 1,877,189 | ||||||
Moon Industrial Development Authority | 2,060 | 2,215,658 | ||||||
Pennsylvania Higher Educational Facilities Authority | 2,000 | 2,272,059 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Pennsylvania Turnpike Commission | $ | 7,580 | $ | 9,218,936 | ||||
Series 2017S | 3,005 | 3,784,688 | ||||||
Series 2019 | 4,250 | 4,782,582 | ||||||
School District of Philadelphia (The) | 5,000 | 6,021,803 | ||||||
State Public School Building Authority | 2,400 | 2,506,743 | ||||||
5.00%, 04/01/2026 (Pre-refunded/ETM) | 2,750 | 2,872,309 | ||||||
|
| |||||||
60,061,437 | ||||||||
|
| |||||||
Puerto Rico – 0.5% |
| |||||||
Puerto Rico Electric Power Authority | 970 | 1,158,222 | ||||||
NATL Series 2007V | 320 | 356,649 | ||||||
Puerto Rico Highway & Transportation Authority | 2,105 | 2,578,235 | ||||||
AGC Series 2005L | 790 | 980,247 | ||||||
AGM Series 2007C | 100 | 122,894 | ||||||
NATL Series 2007N | 205 | 228,928 | ||||||
Puerto Rico Public Buildings Authority | 100 | 112,372 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 1,144 | 1,083,700 | ||||||
|
| |||||||
6,621,247 | ||||||||
|
| |||||||
South Carolina – 1.0% |
| |||||||
Renewable Water Resources | 2,570 | 2,653,026 |
30 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
South Carolina Public Service Authority | $ | 2,535 | $ | 3,031,337 | ||||
Series 2016B | 5,040 | 6,102,533 | ||||||
Series 2016C | 930 | 1,129,507 | ||||||
|
| |||||||
12,916,403 | ||||||||
|
| |||||||
Tennessee – 0.3% |
| |||||||
Bristol Industrial Development Board | 1,410 | 1,414,024 | ||||||
Metropolitan Government of Nashville & Davidson County TN | 2,385 | 2,519,692 | ||||||
|
| |||||||
3,933,716 | ||||||||
|
| |||||||
Texas – 6.0% |
| |||||||
Birdville Independent School District | 3,825 | 3,971,813 | ||||||
Central Texas Regional Mobility Authority | 7,400 | 9,612,426 | ||||||
Series 2021C | 5,000 | 5,936,641 | ||||||
City of Houston TX Airport System Revenue | 2,465 | 2,693,233 | ||||||
City of Houston TX Combined Utility System Revenue | 1,100 | 1,257,530 | ||||||
Series 2020C | 4,330 | 4,653,712 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue | 6,220 | 8,124,435 | ||||||
Dallas Area Rapid Transit | 6,425 | 7,045,566 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Lewisville Independent School District | $ | 4,725 | $ | 5,349,614 | ||||
New Hope Cultural Education Facilities Finance Corp. | 1,000 | 1,129,897 | ||||||
North Texas Tollway Authority | 3,625 | 3,685,160 | ||||||
North Texas Tollway Authority | 3,000 | 3,201,768 | ||||||
Port Beaumont Navigation District | 240 | 248,356 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | 900 | 407,250 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | 13,405 | 16,950,591 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | 1,105 | 1,117,894 | ||||||
|
| |||||||
75,385,886 | ||||||||
|
| |||||||
Virginia – 0.1% |
| |||||||
Fairfax County Economic Development Authority | 1,255 | 1,563,269 | ||||||
|
| |||||||
Washington – 4.7% |
| |||||||
Central Puget Sound Regional Transit Authority | 7,815 | 8,093,214 |
32 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Chelan County Public Utility District No. 1 | $ | 3,305 | $ | 3,331,744 | ||||
City of Seattle WA Water System Revenue | 4,020 | 4,453,576 | ||||||
Port of Seattle WA | 3,000 | 3,763,496 | ||||||
Series 2013 | 4,820 | 5,283,918 | ||||||
State of Washington | 13,325 | 15,564,480 | ||||||
Series 2021R | 15,880 | 16,847,357 | ||||||
Washington State Convention Center Public Facilities District | 1,600 | 1,822,659 | ||||||
|
| |||||||
59,160,444 | ||||||||
|
| |||||||
West Virginia – 0.2% |
| |||||||
Tobacco Settlement Finance Authority/WV | 2,600 | 2,691,040 | ||||||
West Virginia Economic Development Authority | 265 | 271,822 | ||||||
|
| |||||||
2,962,862 | ||||||||
|
| |||||||
Wisconsin – 2.7% |
| |||||||
State of Wisconsin | 11,850 | 15,048,731 | ||||||
UMA Education, Inc. | 2,535 | 2,975,933 | ||||||
Wisconsin Department of Transportation | 5,500 | 6,072,053 | ||||||
5.00%, 07/01/2024 (Pre-refunded/ETM) | 2,480 | 2,737,376 | ||||||
5.00%, 07/01/2024 | 4,020 | 4,434,434 | ||||||
Wisconsin Public Finance Authority | 1,975 | 2,506,628 | ||||||
|
| |||||||
33,775,155 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds | 1,174,979,713 | |||||||
|
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Short-Term Municipal Notes – 3.5% |
| |||||||
Colorado – 0.3% |
| |||||||
State of Colorado | $ | 4,320 | $ | 4,344,387 | ||||
|
| |||||||
Pennsylvania – 0.9% |
| |||||||
School District of Philadelphia (The) | 11,335 | 11,404,593 | ||||||
|
| |||||||
South Carolina – 1.4% |
| |||||||
Beaufort County School District/SC | 6,565 | 6,595,024 | ||||||
Series 2021A | 7,355 | 7,649,496 | ||||||
South Carolina Association of Governmental Organizations | 2,960 | 3,028,383 | ||||||
|
| |||||||
17,272,903 | ||||||||
|
| |||||||
Texas – 0.9% |
| |||||||
City of Houston TX | 1,500 | 1,506,739 | ||||||
State of Texas | 9,295 | 9,409,324 | ||||||
|
| |||||||
10,916,063 | ||||||||
|
| |||||||
Total Short-Term Municipal Notes | 43,937,946 | |||||||
|
| |||||||
Total Municipal Obligations | 1,218,917,659 | |||||||
|
| |||||||
GOVERNMENTS - TREASURIES – 0.4% |
| |||||||
United States – 0.4% |
| |||||||
U.S. Treasury Notes | 5,000 | 5,443,750 | ||||||
|
| |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.2% | ||||||||
Risk Share Floating Rate – 0.2% |
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 160 | 162,998 |
34 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2014-DN3, Class M3 | $ | 79 | $ | 81,090 | ||||
Series 2014-HQ2, Class M3 | 196 | 201,702 | ||||||
Series 2016-DNA4, Class M3 | 236 | 245,574 | ||||||
Series 2017-DNA3, Class M2 | 270 | 276,122 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | 136 | 137,540 | ||||||
Series 2015-C02, Class 1M2 | 120 | 121,896 | ||||||
Series 2016-C03, Class 2M2 | 176 | 186,578 | ||||||
Series 2017-C01, Class 1M2 | 311 | 321,087 | ||||||
Series 2017-C02, Class 2M2 | 148 | 153,532 | ||||||
Series 2017-C03, Class 1M2 | 449 | 461,185 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 2,349,304 | |||||||
|
| |||||||
CORPORATES - NON-INVESTMENT GRADE – 0.2% | ||||||||
Industrial – 0.2% | ||||||||
Transportation - Airlines – 0.2% |
| |||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. | 650 | 682,519 | ||||||
5.75%, 04/20/2029(a) | 575 | 616,337 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
United Airlines, Inc. | $ | 600 | $ | 622,518 | ||||
4.625%, 04/15/2029(a) | 275 | 285,621 | ||||||
|
| |||||||
Total Corporates - Non-Investment Grade | 2,206,995 | |||||||
|
| |||||||
CORPORATES - INVESTMENT GRADE – 0.2% | ||||||||
Industrial – 0.2% |
| |||||||
Consumer Non-Cyclical – 0.2% |
| |||||||
Baylor Scott & White Holdings | 1,000 | 978,200 | ||||||
1.777%, 11/15/2030 | 1,000 | 961,130 | ||||||
|
| |||||||
Total Corporates – Investment Grade | 1,939,330 | |||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS – 6.8% | ||||||||
Investment Companies – 4.4% |
| |||||||
AB Fixed Income Shares, Inc. – | 55,581,028 | 55,581,028 | ||||||
|
| |||||||
Principal Amount (000) | ||||||||
U.S. Treasury Bills – 2.0% |
| |||||||
U.S. Treasury Bill | $ | 25,000 | 24,999,688 | |||||
|
| |||||||
Commercial Paper – 0.4% | ||||||||
City of San Antonio TX | 5,600 | 5,600,000 | ||||||
|
| |||||||
Total Short-Term Investments | 86,180,716 | |||||||
|
| |||||||
Total Investments – 104.4% | 1,317,037,754 | |||||||
Other assets less liabilities – (4.4)% | (55,108,336 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,261,929,418 | ||||||
|
|
36 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||
Notional | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
USD | 15,000 | 04/29/2024 | 2.765% | CPI# | Maturity | $ | (6,824 | ) | $ | – 0 | – | $ | (6,824 | ) | ||||||||||||
USD | 5,345 | 01/15/2025 | �� | 2.565% | CPI# | Maturity | 56,642 | – 0 | – | 56,642 | ||||||||||||||||
USD | 2,673 | 01/15/2025 | 2.585% | CPI# | Maturity | 26,058 | – 0 | – | 26,058 | |||||||||||||||||
USD | 2,672 | 01/15/2025 | 2.613% | CPI# | Maturity | 22,929 | – 0 | – | 22,929 | |||||||||||||||||
USD | 10,000 | 04/01/2026 | 2.508% | CPI# | Maturity | 101,148 | – 0 | – | 101,148 | |||||||||||||||||
USD | 19,310 | 01/15/2028 | 1.230% | CPI# | Maturity | 2,043,987 | – 0 | – | 2,043,987 | |||||||||||||||||
USD | 14,770 | 01/15/2028 | 0.735% | CPI# | Maturity | 2,146,726 | – 0 | – | 2,146,726 | |||||||||||||||||
USD | 12,000 | 08/29/2029 | 1.748% | CPI# | Maturity | 943,695 | – 0 | – | 943,695 | |||||||||||||||||
USD | 15,000 | 12/23/2029 | 1.979% | CPI# | Maturity | 826,499 | – 0 | – | 826,499 | |||||||||||||||||
USD | 4,825 | 01/15/2030 | 1.572% | CPI# | Maturity | 467,195 | – 0 | – | 467,195 | |||||||||||||||||
USD | 4,825 | 01/15/2030 | 1.587% | CPI# | Maturity | 459,758 | – 0 | – | 459,758 | |||||||||||||||||
USD | 1,670 | 01/15/2030 | 1.714% | CPI# | Maturity | 137,198 | – 0 | – | 137,198 | |||||||||||||||||
USD | 1,670 | 01/15/2030 | 1.731% | CPI# | Maturity | 134,244 | – 0 | – | 134,244 | |||||||||||||||||
USD | 15,000 | 12/02/2035 | 2.074% | CPI# | Maturity | 1,110,185 | – 0 | – | 1,110,185 | |||||||||||||||||
USD | 25,000 | 04/01/2036 | 2.438% | CPI# | Maturity | 307,952 | – 0 | – | 307,952 | |||||||||||||||||
USD | 32,000 | 04/29/2036 | 2.503% | CPI# | Maturity | – 0 | – | – 0 | – | – 0 | – | |||||||||||||||
USD | 4,088 | 02/15/2041 | CPI# | 2.500% | Maturity | 10,710 | – 0 | – | 10,710 | |||||||||||||||||
USD | 4,022 | 02/15/2041 | CPI# | 2.505% | Maturity | 15,054 | – 0 | – | 15,054 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 8,803,156 | $ | – 0 | – | $ | 8,803,156 | ||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
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 | 45,150 | 06/17/2021 | 3 Month LIBOR | 1.907% | Quarterly/ Semi-Annual | $ | 415,982 | $ | – 0 | – | $ | 415,982 | ||||||||||||||
USD | 32,000 | 09/10/2024 | 3 Month LIBOR | 1.341% | Quarterly/ Semi-Annual | 886,524 | – 0 | – | 886,524 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 1,302,506 | $ | – 0 | – | $ | 1,302,506 | ||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | 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 | 12.50 | % | USD | 69 | $ | (19,494 | ) | $ | (6,672 | ) | $ | (12,822 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 598 | (168,945 | ) | (74,600 | ) | (94,345 | ) |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 40 | $ | (11,300 | ) | $ | (4,839 | ) | $ | (6,461 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 38 | (10,735 | ) | (3,708 | ) | (7,027 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 471 | (133,026 | ) | (46,020 | ) | (87,006 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 708 | (200,022 | ) | (67,400 | ) | (132,622 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | �� | 12.50 | USD | 1,216 | (343,540 | ) | (146,139 | ) | (197,401 | ) | ||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 231 | (65,262 | ) | (28,697 | ) | (36,565 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 614 | (173,465 | ) | (56,734 | ) | (116,731 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (1,125,789 | ) | $ | (434,809 | ) | $ | (690,980 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
INFLATION (CPI) SWAPS (see Note D)
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) | ||||||||||||||||||||||
Bank of America, NA | USD | 25,000 | 02/02/2032 | 2.403% | CPI# | Maturity | $ | (30,287 | ) | $ | – 0 | – | $ | (30,287 | ) | |||||||||||||||
Barclays Bank PLC | USD | 1,000 | 05/04/2021 | 2.845% | CPI# | Maturity | (135,688 | ) | – 0 | – | (135,688 | ) | ||||||||||||||||||
Barclays Bank PLC | USD | 3,000 | 05/12/2021 | 2.815% | CPI# | Maturity | (397,937 | ) | – 0 | – | (397,937 | ) | ||||||||||||||||||
Barclays Bank PLC | USD | 14,000 | 04/03/2022 | 2.663% | CPI# | Maturity | (1,553,371 | ) | – 0 | – | (1,553,371 | ) | ||||||||||||||||||
Barclays Bank PLC | USD | 16,700 | 10/05/2022 | 2.765% | CPI# | Maturity | (1,907,012 | ) | – 0 | – | (1,907,012 | ) | ||||||||||||||||||
Barclays Bank PLC | USD | 25,000 | 08/07/2024 | 2.573% | CPI# | Maturity | (1,873,996 | ) | – 0 | – | (1,873,996 | ) | ||||||||||||||||||
Barclays Bank PLC | USD | 19,000 | 05/05/2025 | 2.125% | CPI# | Maturity | 247,265 | – 0 | – | 247,265 | ||||||||||||||||||||
Barclays Bank PLC | USD | 5,400 | 03/06/2027 | 2.695% | CPI# | Maturity | (706,641 | ) | – 0 | – | (706,641 | ) | ||||||||||||||||||
Barclays Bank PLC | USD | 20,000 | 06/06/2032 | 2.145% | CPI# | Maturity | 900,539 | – 0 | – | 900,539 | ||||||||||||||||||||
Barclays Bank PLC | USD | 14,000 | 09/01/2032 | 2.128% | CPI# | Maturity | 723,188 | – 0 | – | 723,188 |
38 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
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 | 22,000 | 08/29/2033 | 2.368% | CPI# | Maturity | $ | 100,308 | $ | – 0 | – | $ | 100,308 | |||||||||||||||||
Citibank, NA | USD | 35,000 | 07/03/2021 | 2.283% | CPI# | Maturity | (291,871 | ) | – 0 | – | (291,871 | ) | ||||||||||||||||||
Citibank, NA | USD | 9,000 | 06/29/2022 | 2.398% | CPI# | Maturity | (721,461 | ) | – 0 | – | (721,461 | ) | ||||||||||||||||||
Citibank, NA | USD | 5,400 | 07/19/2022 | 2.400% | CPI# | Maturity | (419,397 | ) | – 0 | – | (419,397 | ) | ||||||||||||||||||
Citibank, NA | USD | 4,000 | 08/10/2022 | 2.550% | CPI# | Maturity | (372,327 | ) | – 0 | – | (372,327 | ) | ||||||||||||||||||
Citibank, NA | USD | 15,500 | 12/07/2022 | 2.748% | CPI# | Maturity | (1,830,235 | ) | – 0 | – | (1,830,235 | ) | ||||||||||||||||||
Citibank, NA | USD | 47,000 | 05/24/2023 | 2.533% | CPI# | Maturity | (3,968,405 | ) | – 0 | – | (3,968,405 | ) | ||||||||||||||||||
Citibank, NA | USD | 30,000 | 10/29/2023 | 2.524% | CPI# | Maturity | (2,218,537 | ) | – 0 | – | (2,218,537 | ) | ||||||||||||||||||
Citibank, NA | USD | 30,000 | 09/19/2024 | 2.070% | CPI# | Maturity | 829,243 | – 0 | – | 829,243 | ||||||||||||||||||||
Citibank, NA | USD | 25,000 | 07/03/2025 | 2.351% | CPI# | Maturity | 48,129 | – 0 | – | 48,129 | ||||||||||||||||||||
Citibank, NA | USD | 15,800 | 02/08/2028 | 2.940% | CPI# | Maturity | (2,718,086 | ) | – 0 | – | (2,718,086 | ) | ||||||||||||||||||
Citibank, NA | USD | 12,000 | 11/05/2033 | 2.273% | CPI# | Maturity | 279,111 | – 0 | – | 279,111 | ||||||||||||||||||||
Deutsche Bank AG | USD | 11,000 | 06/20/2021 | 2.655% | CPI# | Maturity | (1,274,354 | ) | – 0 | – | (1,274,354 | ) | ||||||||||||||||||
Deutsche Bank AG | USD | 9,800 | 09/07/2021 | 2.400% | CPI# | Maturity | (816,476 | ) | – 0 | – | (816,476 | ) | ||||||||||||||||||
Deutsche Bank AG | USD | 25,000 | 09/02/2025 | 1.880% | CPI# | Maturity | 939,045 | – 0 | – | 939,045 | ||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 19,000 | 08/17/2022 | 2.523% | CPI# | Maturity | (1,684,075 | ) | – 0 | – | (1,684,075 | ) | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,400 | 06/30/2026 | 2.890% | CPI# | Maturity | (252,365 | ) | – 0 | – | (252,365 | ) | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 3,300 | 07/21/2026 | 2.935% | CPI# | Maturity | (632,289 | ) | – 0 | – | (632,289 | ) | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,400 | 10/03/2026 | 2.485% | CPI# | Maturity | (224,642 | ) | – 0 | – | (224,642 | ) | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 5,400 | 11/14/2026 | 2.488% | CPI# | Maturity | (512,211 | ) | – 0 | – | (512,211 | ) | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 4,850 | 12/23/2026 | 2.484% | CPI# | Maturity | (442,687 | ) | – 0 | – | (442,687 | ) | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 13,000 | 03/01/2027 | 2.279% | CPI# | Maturity | 134,357 | – 0 | – | 134,357 | ||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 21,350 | 02/20/2028 | 2.899% | CPI# | Maturity | (3,470,671 | ) | – 0 | – | (3,470,671 | ) | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 12,000 | 03/26/2028 | 2.880% | CPI# | Maturity | (1,881,326 | ) | – 0 | – | (1,881,326 | ) | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 10,000 | 07/03/2028 | 2.356% | CPI# | Maturity | 49,602 | – 0 | – | 49,602 | ||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 25,000 | 11/05/2028 | 2.234% | CPI# | Maturity | 508,163 | – 0 | – | 508,163 | ||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 18,000 | 04/17/2030 | 2.378% | CPI# | Maturity | 35,724 | – 0 | – | 35,724 | ||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 24,000 | 11/17/2032 | 2.183% | CPI# | Maturity | 969,680 | – 0 | – | 969,680 |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 39 |
PORTFOLIO OF INVESTMENTS (continued)
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) | ||||||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 13,000 | 05/23/2021 | 2.680% | CPI# | Maturity | $ | (1,511,366 | ) | $ | – 0 | – | $ | (1,511,366 | ) | |||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 10,000 | 04/16/2023 | 2.690% | CPI# | Maturity | (1,037,372 | ) | – 0 | – | (1,037,372 | ) | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 5,000 | 08/15/2026 | 2.885% | CPI# | Maturity | (897,704 | ) | – 0 | – | (897,704 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (28,018,435 | ) | $ | – 0 | – | $ | (28,018,435 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
INTEREST RATE SWAPS (see Note D)
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 | 11,075 | 10/09/2029 | 1.120% | SIFMA* | Quarterly | $ | (63,674 | ) | $ | – 0 | – | $ | (63,674 | ) | |||||||||||||||||||||
Citibank, NA | USD | 11,075 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | (68,674 | ) | – 0 | – | (68,674 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (132,348 | ) | $ | – 0 | – | $ | (132,348 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
* | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the aggregate market value of these securities amounted to $41,243,532 or 3.3% of net assets. |
(b) | When-Issued or delayed delivery security. |
(c) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(d) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2021. |
(e) | An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of April 30, 2021 and the aggregate market value of this security amounted to $72,844 or 0.01% of net assets. |
(f) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(g) | Non-income producing security. |
(h) | Defaulted. |
(i) | Affiliated investments. |
(j) | The rate shown represents the 7-day yield as of period end. |
(k) | 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. |
As of April 30, 2021, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 2.3% and 0.0%, respectively.
40 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Glossary:
AGC – Assured Guaranty Corporation
AGM – Assured Guaranty Municipal
CCRC – Congregate Care Retirement Center
CDX-CMBX. NA – North American Commercial Mortgage-Backed Index
COP – Certificate of Participation
CPI – Consumer Price Index
ETM – Escrowed to Maturity
LIBOR – London Interbank Offered Rate
NATL – National Interstate Corporation
SRF – State Revolving Fund
XLCA – XL Capital Assurance Inc.
See notes to financial statements.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 41 |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2021 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $1,199,921,087) | $ | 1,261,456,726 | ||
Affiliated issuers (cost $55,581,028) | 55,581,028 | |||
Cash | 1,018,672 | |||
Cash collateral due from broker | 10,666,284 | |||
Interest receivable | 15,369,123 | |||
Receivable for capital stock sold | 11,011,431 | |||
Unrealized appreciation on inflation swaps | 5,764,354 | |||
Receivable for investment securities sold | 205,729 | |||
Affiliated dividends receivable | 602 | |||
|
| |||
Total assets | 1,361,073,949 | |||
|
| |||
Liabilities | ||||
Payable for investment securities purchased | 63,068,458 | |||
Unrealized depreciation on inflation swaps | 33,782,789 | |||
Market value on credit default swaps (net premiums received $434,809) | 1,125,789 | |||
Advisory fee payable | 459,984 | |||
Payable for capital stock redeemed | 282,318 | |||
Unrealized depreciation on interest rate swaps | 132,348 | |||
Distribution fee payable | 92,953 | |||
Payable for variation margin on centrally cleared swaps | 42,868 | |||
Administrative fee payable | 26,102 | |||
Transfer Agent fee payable | 10,400 | |||
Directors’ fees payable | 2,336 | |||
Accrued expenses | 118,186 | |||
|
| |||
Total liabilities | 99,144,531 | |||
|
| |||
Net Assets | $ | 1,261,929,418 | ||
|
| |||
Composition of Net Assets | ||||
Capital stock, at par | $ | 116,796 | ||
Additional paid-in capital | 1,240,398,373 | |||
Distributable earnings | 21,414,249 | |||
|
| |||
Net Assets | $ | 1,261,929,418 | ||
|
|
Net Asset Value Per Share—30 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 206,533,733 | 19,063,829 | $ | 10.83 | * | ||||||
| ||||||||||||
C | $ | 10,946,844 | 1,011,567 | $ | 10.82 | |||||||
| ||||||||||||
Advisor | $ | 356,476,706 | 32,884,056 | $ | 10.84 | |||||||
| ||||||||||||
1 | $ | 472,289,857 | 43,832,617 | $ | 10.77 | |||||||
| ||||||||||||
2 | $ | 215,682,278 | 20,003,839 | $ | 10.78 | |||||||
|
* | The maximum offering price per share for Class A shares was $11.16 which reflects a sales charge of 3.00%. |
See notes to financial statements.
42 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2021 (unaudited)
Investment Income | ||||||||
Interest | $ | 14,408,524 | ||||||
Dividends—Affiliated issuers | 3,355 | $ | 14,411,879 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 2,731,748 | |||||||
Distribution fee—Class A | 208,046 | |||||||
Distribution fee—Class C | 42,485 | |||||||
Distribution fee—Class 1 | 229,001 | |||||||
Transfer agency—Class A | 21,833 | |||||||
Transfer agency—Class C | 1,142 | |||||||
Transfer agency—Advisor Class | 31,424 | |||||||
Transfer agency—Class 1 | 10,841 | |||||||
Transfer agency—Class 2 | 5,124 | |||||||
Custody and accounting | 95,175 | |||||||
Registration fees | 55,855 | |||||||
Audit and tax | 43,028 | |||||||
Administrative | 40,608 | |||||||
Legal | 19,060 | |||||||
Printing | 18,461 | |||||||
Directors’ fees | 16,066 | |||||||
Miscellaneous | 18,960 | |||||||
|
| |||||||
Total expenses | 3,588,857 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (391,439 | ) | ||||||
|
| |||||||
Net expenses | 3,197,418 | |||||||
|
| |||||||
Net investment income | 11,214,461 | |||||||
|
| |||||||
Realized and Unrealized Gain on Investment Transactions | ||||||||
Net realized gain on: | ||||||||
Investment transactions | 487,848 | |||||||
Swaps | 1,680,784 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | 14,369,723 | |||||||
Swaps | 37,666,416 | |||||||
|
| |||||||
Net gain on investment transactions | 54,204,771 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 65,419,232 | ||||||
|
|
See notes to financial statements.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 43 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 11,214,461 | $ | 23,188,235 | ||||
Net realized gain (loss) on investment transactions | 2,168,632 | (7,961,649 | ) | |||||
Net change in unrealized appreciation/depreciation of investments | 52,036,139 | 3,188,257 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 65,419,232 | 18,414,843 | ||||||
Distributions to Shareholders |
| |||||||
Class A | (1,598,406 | ) | (2,027,901 | ) | ||||
Class C | (52,592 | ) | (102,182 | ) | ||||
Advisor Class | (2,590,978 | ) | (4,764,682 | ) | ||||
Class 1 | (4,911,751 | ) | (11,346,428 | ) | ||||
Class 2 | (2,439,727 | ) | (5,676,606 | ) | ||||
Capital Stock Transactions |
| |||||||
Net increase (decrease) | 216,847,512 | (7,977,474 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | 270,673,290 | (13,480,430 | ) | |||||
Net Assets |
| |||||||
Beginning of period | 991,256,128 | 1,004,736,558 | ||||||
|
|
|
| |||||
End of period | $ | 1,261,929,418 | $ | 991,256,128 | ||||
|
|
|
|
See notes to financial statements.
44 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS
April 30, 2021 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 9 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Municipal Bond Inflation Strategy (the “Fund”), a diversified portfolio. The Fund offers Class A, Class C, Advisor Class, Class 1 and Class 2 shares. Class 1 shares are sold only to the private clients of Sanford C. Bernstein & Co. LLC by its registered representatives. Class B, Class R, Class K, Class I and Class T shares have been authorized but currently are not offered. Class A shares are sold with a front-end sales charge of up to 3.0% for purchases not exceeding $500,000. With respect to purchases of $500,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Advisor Class and Class 2 shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. Class 1 shares are sold without an initial or contingent deferred sales charge, but are subject to ongoing distribution expenses. All ten classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Directors (the “Board”).
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 45 |
NOTES TO FINANCIAL STATEMENTS (continued)
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by
46 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rates, coupon 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
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 47 |
NOTES TO FINANCIAL STATEMENTS (continued)
discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be 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.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2021:
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Long-Term Municipal Bonds | $ | – 0 | – | $ | 1,161,747,015 | $ | 13,232,698 | $ | 1,174,979,713 | |||||||
Short-Term Municipal Notes | – 0 | – | 43,937,946 | – 0 | – | 43,937,946 | ||||||||||
Governments – Treasuries | – 0 | – | 5,443,750 | – 0 | – | 5,443,750 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 2,349,304 | – 0 | – | 2,349,304 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 2,206,995 | – 0 | – | 2,206,995 | ||||||||||
Corporates – Investment Grade | – 0 | – | 1,939,330 | – 0 | – | 1,939,330 | ||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 55,581,028 | – 0 | – | – 0 | – | 55,581,028 | ||||||||||
U.S. Treasury Bills | – 0 | – | 24,999,688 | – 0 | – | 24,999,688 | ||||||||||
Commercial Paper | – 0 | – | 5,600,000 | – 0 | – | 5,600,000 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 55,581,028 | 1,248,224,028 | 13,232,698 | 1,317,037,754 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | 8,809,980 | – 0 | – | 8,809,980 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 1,302,506 | – 0 | – | 1,302,506 | (b) | |||||||||
Inflation (CPI) Swaps | – 0 | – | 5,764,354 | – 0 | – | 5,764,354 | ||||||||||
Liabilities: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | (6,824 | ) | – 0 | – | (6,824 | )(b) | ||||||||
Credit Default Swaps | – 0 | – | (1,125,789 | ) | – 0 | – | (1,125,789 | ) | ||||||||
Inflation (CPI) Swaps | – 0 | – | (33,782,789 | ) | – 0 | – | (33,782,789 | ) | ||||||||
Interest Rate Swaps | – 0 | – | (132,348 | ) | – 0 | – | (132,348 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 55,581,028 | $ | 1,229,053,118 | $ | 13,232,698 | $ | 1,297,866,844 | ||||||||
|
|
|
|
|
|
|
|
48 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value.
Long-Term Municipal Bonds | Total | |||||||
Balance as of 10/31/2020 | $ | – 0 | – | $ | – 0 | – | ||
Accrued discounts/(premiums) | (56,515 | ) | (56,515 | ) | ||||
Realized gain (loss) | (1,875 | ) | (1,875 | ) | ||||
Change in unrealized appreciation/depreciation | (1,109,586 | ) | (1,109,586 | ) | ||||
Purchases | – 0 | – | – 0 | – | ||||
Sales/Paydowns | (11,416 | ) | (11,416 | ) | ||||
Transfers in to Level 3 | 14,412,090 | 14,412,090 | ||||||
Transfers out of Level 3 | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Balance as of 04/30/2021 | $ | 13,232,698 | $ | 13,232,698 | ||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation from investments held as of 04/30/2021 | $ | (1,109,587 | ) | $ | (1,109,587 | ) | ||
|
|
|
|
As of April 30, 2021, all Level 3 securities were priced by brokers.
3. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
4. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes original
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 49 |
NOTES TO FINANCIAL STATEMENTS (continued)
issue and market discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
5. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
6. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .50% of the first $2.5 billion, .45% of the next $2.5 billion and .40% in excess of $5 billion, of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding extraordinary expenses, interest expense, and acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest) on an annual basis (the “Expense Caps”) to .75%, 1.50%, .50%, .60% and .50% of the daily average net assets for the Class A, Class C, Advisor Class, Class 1 and Class 2 shares, respectively. This fee waiver and/or expense reimbursement agreement will remain in effect until January 31, 2022 and then may be extended by the Adviser for additional one-year terms. For the six months ended April 30, 2021, such reimbursements/waivers amounted to $376,475.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund
50 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
by the Adviser. For the six months ended April 30, 2021, the reimbursement for such services amounted to $40,608.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $27,639 for the six months ended April 30, 2021.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $206 from the sale of Class A shares and received $23,028 and $0 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2021.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2021, such waiver amounted to $14,964.
A summary of the Fund’s transactions in AB mutual funds for the six months ended April 30, 2021 is as follows:
Fund | Market Value 10/31/20 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 4/30/21 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 4,637 | $ | 218,752 | $ | 167,808 | $ | 55,581 | $ | 3 |
During the second quarter of 2018, AXA S.A. (“AXA”), a French holding company for the AXA Group, completed the sale of a minority stake in its subsidiary, AXA Equitable Holdings, Inc. (now named Equitable Holdings, Inc.)(“Equitable”), through an initial public offering. Equitable is the holding
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 51 |
NOTES TO FINANCIAL STATEMENTS (continued)
company for a diverse group of financial services companies, including an approximate 65% economic interest in the Adviser and a 100% interest in AllianceBernstein Corporation, the general partner of the Adviser. Since the initial sale, AXA has completed additional offerings (and related transactions). As a result, as of May 20, 2021, AXA no longer owns shares of Equitable.
Sales that were completed on November 13, 2019 resulted in the indirect transfer of a “controlling block” of voting securities of the Adviser (a “Change of Control Event”) and may have been deemed to have been an “assignment” causing a termination of the Fund’s investment advisory and administration agreements. In order to ensure that investment advisory and administration services could continue uninterrupted in the event of a Change of Control Event, the Board previously approved new investment advisory and administration agreements with the Adviser, and shareholders of the Fund subsequently approved the new investment advisory agreement. These agreements became effective on November 13, 2019.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to Class C shares and .10% of the Fund’s average daily net assets attributable to Class 1 shares. There are no distribution and servicing fees on the Advisor Class and Class 2 shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of ..25% of Class A shares’ average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amount of $462,914 and $1,794,384 for Class C and Class 1 shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
52 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2021 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 194,935,368 | $ | 41,908,100 | ||||
U.S. government securities | – 0 | – | 26,755 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation | $ | 79,785,985 | ||
Gross unrealized depreciation | (36,986,447 | ) | ||
|
| |||
Net unrealized appreciation | $ | 42,799,538 | ||
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal type of derivative utilized by the Fund, as well as the methods in which they may be used are:
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates or credit risk. A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the
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NOTES TO FINANCIAL STATEMENTS (continued)
Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for OTC swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
54 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2021, the Fund held interest rate swaps for hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended April 30, 2021, the Fund held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale
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NOTES TO FINANCIAL STATEMENTS (continued)
Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2021, the Fund held credit default swaps for non-hedging purposes.
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NOTES TO FINANCIAL STATEMENTS (continued)
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2021, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | $ | 10,112,486 | * | Receivable/Payable for variation margin on centrally cleared swaps | $ | 6,824 | * | ||||
Interest rate contracts | Unrealized depreciation on interest rate swaps |
| 132,348 |
| ||||||||
Interest rate contracts | Unrealized appreciation on inflation swaps |
| 5,764,354 |
| Unrealized depreciation on inflation swaps |
| 33,782,789 |
| ||||
Credit contracts | Market value on credit default swaps |
| 1,125,789 |
| ||||||||
|
|
|
| |||||||||
Total | $ | 15,876,840 | $ | 35,047,750 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
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NOTES TO FINANCIAL STATEMENTS (continued)
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | 1,615,823 | $ | 37,507,883 | |||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 64,961 | 158,533 | |||||||
|
|
|
| |||||||
Total | $ | 1,680,784 | $ | 37,666,416 | ||||||
|
|
|
|
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended April 30, 2021:
Interest Rate Swaps: | ||||
Average notional amount | $ | 22,150,000 | ||
Inflation Swaps: | ||||
Average notional amount | $ | 632,042,857 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 106,735,714 | ||
Centrally Cleared Inflation Swaps: | ||||
Average notional amount | $ | 107,854,286 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 3,985,000 |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of April 30, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Barclays Bank PLC | $ | 1,971,300 | $ | (1,971,300 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Citibank, NA/Citigroup Global Markets, Inc. | 1,156,483 | (1,156,483 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Deutsche Bank AG | 939,045 | (939,045 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 1,697,526 | (1,697,526 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 5,764,354 | $ | (5,764,354 | ) | $ | – 0 | – | $ | – 0 | – | $ | 0 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
58 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Bank of America, NA | $ | 30,287 | $ | – 0 | – | $ | (30,287 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Barclays Bank PLC | 6,574,645 | (1,971,300 | ) | – 0 | – | (4,603,345 | ) | – 0 | – | |||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 12,861,106 | (1,156,483 | ) | – 0 | – | (11,704,623 | ) | – 0 | – | |||||||||||
Credit Suisse International | 698,623 | – 0 | – | – 0 | – | (657,605 | ) | 41,018 | ||||||||||||
Deutsche Bank AG | 2,090,830 | (939,045 | ) | – 0 | – | (1,151,785 | ) | – 0 | – | |||||||||||
Goldman Sachs International | 238,727 | – 0 | – | – 0 | – | (238,727 | ) | – 0 | – | |||||||||||
JPMorgan Chase Bank, NA | 9,100,266 | (1,697,526 | ) | (161,000 | ) | (7,241,740 | ) | – 0 | – | |||||||||||
Morgan Stanley Capital Services LLC | 3,446,442 | – 0 | – | (3,446,442 | ) | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 35,040,926 | $ | (5,764,354 | ) | $ | (3,637,729 | ) | $ | (25,597,825 | ) | $ | 41,018 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for Class A, Class C, Advisor Class, Class 1 and Class 2 were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Shares sold | 8,507,526 | 11,006,167 | $ | 90,710,671 | $ | 112,859,024 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 103,507 | 137,840 | 1,097,356 | 1,399,084 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 29,159 | 103,132 | 305,705 | 1,038,373 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (3,016,551 | ) | (3,113,475 | ) | (32,107,765 | ) | (30,512,727 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 5,623,641 | 8,133,664 | $ | 60,005,967 | $ | 84,783,754 | ||||||||||||||||||
|
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 59 |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class C |
| |||||||||||||||||||||||
Shares sold | 426,072 | 124,879 | $ | 4,531,859 | $ | 1,270,546 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 3,992 | 8,149 | 42,328 | 82,474 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (29,186 | ) | (103,270 | ) | (305,705 | ) | (1,038,373 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (41,194 | ) | (132,691 | ) | (436,338 | ) | (1,341,016 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 359,684 | (102,933 | ) | $ | 3,832,144 | $ | (1,026,369 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Shares sold | 17,090,892 | 10,882,277 | $ | 182,977,220 | $ | 111,180,666 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 179,357 | 347,975 | 1,904,663 | 3,533,343 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,413,686 | ) | (13,275,084 | ) | (25,807,484 | ) | (129,905,882 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 14,856,563 | (2,044,832 | ) | $ | 159,074,399 | $ | (15,191,873 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class 1 |
| |||||||||||||||||||||||
Shares sold | 3,487,606 | 5,864,797 | $ | 36,959,521 | $ | 59,213,283 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 338,676 | 844,734 | 3,569,419 | 8,522,724 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (3,370,979 | ) | (12,308,849 | ) | (35,646,136 | ) | (121,433,030 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 455,303 | (5,599,318 | ) | $ | 4,882,804 | $ | (53,697,023 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Class 2 |
| |||||||||||||||||||||||
Shares sold | 713,727 | 2,839,197 | $ | 7,553,245 | $ | 28,434,563 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 173,171 | 411,526 | 1,825,566 | 4,153,907 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,924,337 | ) | (5,591,380 | ) | (20,326,613 | ) | (55,434,433 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (1,037,439 | ) | (2,340,657 | ) | $ | (10,947,802 | ) | $ | (22,845,963 | ) | ||||||||||||||
|
NOTE F
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of the Fund’s investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
60 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security. Investments in fixed-income securities with lower ratings tend to have a higher probability that an issuer will default or fail to meet its payment obligations.
Municipal Market Risk—This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Fund’s investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular state’s municipal securities, the Fund is vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of municipal securities, which could impair any such issuer’s ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may continue or worsen, adversely affecting the performance of the Fund. The Fund’s investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.
Congress has previously considered making changes to the municipal securities provisions of the Internal Revenue Code that could change the U.S. federal income tax treatment of certain types of municipal securities.
Interest Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 61 |
NOTES TO FINANCIAL STATEMENTS (continued)
decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk—Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected on the statement of assets and liabilities.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally go down.
62 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
LIBOR Transition and Associated Risk—A Fund may invest in debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. The United Kingdom Financial Conduct Authority, which regulates LIBOR, will cease publishing certain LIBOR benchmarks at the end of 2021. Although certain LIBOR rates are intended to be published until June 2023, banks are strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and the Secured Overnight Financing Rate, global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition away from LIBOR is underway but remains incomplete. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Fund is subject to management risk because it is an actively-managed investment Fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 63 |
NOTES TO FINANCIAL STATEMENTS (continued)
Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2021.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2021 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2020 and October 31, 2019 were as follows:
2020 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 1,229,449 | $ | 927,242 | ||||
|
|
|
| |||||
Total taxable distributions | 1,229,449 | 927,242 | ||||||
Tax-exempt distributions | 22,688,350 | 24,743,871 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 23,917,799 | $ | 25,671,113 | ||||
|
|
|
|
As of October 31, 2020, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Accumulated capital and other losses | $ | (23,591,743 | )(a) | |
Unrealized appreciation/(depreciation) | (8,819,786 | )(b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | (32,411,529 | ) | |
|
|
(a) | As of October 31, 2020, the Fund had a net capital loss carryforward of $23,591,743. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax treatment of swaps. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2020, the Fund had a net short-term capital loss carryforward of $8,055,266 and a net long-term capital loss carryforward of $15,536,477, which may be carried forward for an indefinite period.
64 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE I
Subsequent Events
As of April 30, 2021, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Effective May 31, 2021, Class C shares will automatically convert to Class A shares after eight years instead of ten years.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Fund’s financial statements through this date.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 65 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.30 | $ 10.24 | $ 10.02 | $ 10.28 | $ 10.29 | $ 10.14 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .10 | .22 | .24 | .22 | .19 | .18 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .54 | .07 | (c) | .21 | (.26 | ) | (.01 | ) | .16 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .64 | .29 | .45 | (.04 | ) | .18 | .34 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.23 | ) | (.23 | ) | (.22 | ) | (.19 | ) | (.19 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 10.83 | $ 10.30 | $ 10.24 | $ 10.02 | $ 10.28 | $ 10.29 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 6.19 | % | 2.85 | % | 4.58 | % | (.42 | )% | 1.75 | % | 3.38 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $206,534 | $138,454 | $54,316 | $75,127 | $58,270 | $37,345 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .75 | %^ | .75 | % | .75 | % | .75 | % | .75 | % | .75 | % | ||||||||||||
Expenses, before waivers/reimbursements | .83 | %^ | .85 | % | .86 | % | .86 | % | .86 | % | .86 | % | ||||||||||||
Net investment income(b) | 1.89 | %^ | 2.14 | % | 2.32 | % | 2.13 | % | 1.90 | % | 1.78 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 29 | % | 12 | % | 15 | % | 9 | % | 9 | % |
See footnote summary on page 70.
66 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.29 | $ 10.22 | $ 10.01 | $ 10.26 | $ 10.27 | $ 10.12 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .06 | .14 | .16 | .14 | .12 | .10 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .54 | .08 | (c) | .20 | (.25 | ) | (.02 | ) | .16 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .60 | .22 | .36 | (.11 | ) | .10 | .26 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.07 | ) | (.15 | ) | (.15 | ) | (.14 | ) | (.11 | ) | (.11 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 10.82 | $ 10.29 | $ 10.22 | $ 10.01 | $ 10.26 | $ 10.27 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 5.82 | % | 2.16 | % | 3.63 | % | (1.09 | )% | .99 | % | 2.61 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $10,947 | $6,710 | $7,717 | $10,681 | $12,693 | $10,805 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | 1.50 | %^ | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||
Expenses, before waivers/reimbursements | 1.58 | %^ | 1.61 | % | 1.61 | % | 1.61 | % | 1.61 | % | 1.61 | % | ||||||||||||
Net investment income(b) | 1.14 | %^ | 1.43 | % | 1.57 | % | 1.37 | % | 1.15 | % | 1.03 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 29 | % | 12 | % | 15 | % | 9 | % | 9 | % |
See footnote summary on page 70.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 67 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.31 | $ 10.24 | $ 10.03 | $ 10.29 | $ 10.30 | $ 10.14 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .11 | .25 | .26 | .24 | .22 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .54 | .07 | (c) | .21 | (.26 | ) | (.02 | ) | .17 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .65 | .32 | .47 | (.02 | ) | .20 | .38 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.25 | ) | (.26 | ) | (.24 | ) | (.21 | ) | (.22 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 10.84 | $ 10.31 | $ 10.24 | $ 10.03 | $ 10.29 | $ 10.30 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 6.32 | % | 3.19 | % | 4.76 | % | (.17 | )% | 2.00 | % | 3.74 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $356,477 | $185,829 | $205,541 | $226,145 | $199,635 | $152,275 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Expenses, before waivers/reimbursements | .58 | %^ | .60 | % | .61 | % | .61 | % | .61 | % | .61 | % | ||||||||||||
Net investment income(b) | 2.14 | %^ | 2.43 | % | 2.57 | % | 2.37 | % | 2.15 | % | 2.03 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 29 | % | 12 | % | 15 | % | 9 | % | 9 | % |
See footnote summary on page 70.
68 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 1 | ||||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.25 | $ 10.19 | $ 9.98 | $ 10.25 | $ 10.26 | $ 10.11 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .11 | .23 | .25 | .23 | .21 | .20 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .52 | .07 | (c) | .22 | (.26 | ) | (.01 | ) | .16 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .63 | .30 | .47 | (.03 | ) | .20 | .36 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.24 | ) | (.26 | ) | (.24 | ) | (.21 | ) | (.21 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 10.77 | $ 10.25 | $ 10.19 | $ 9.98 | $ 10.25 | $ 10.26 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 6.21 | % | 3.04 | % | 4.72 | % | (.32 | )% | 1.94 | % | 3.58 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $472,289 | $444,500 | $498,857 | $485,386 | $424,291 | $333,311 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .60 | %^ | .60 | % | .60 | % | .60 | % | .60 | % | .60 | % | ||||||||||||
Expenses, before waivers/reimbursements | .66 | %^ | .67 | % | .67 | % | .67 | % | .67 | % | .68 | % | ||||||||||||
Net investment income(b) | 2.04 | %^ | 2.33 | % | 2.47 | % | 2.27 | % | 2.05 | % | 1.93 | % | ||||||||||||
Portfolio turnover rate | 4 | % | 29 | % | 12 | % | 15 | % | 9 | % | 9 | % |
See footnote summary on page 70.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 69 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class 2 | ||||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.25 | $ 10.19 | $ 9.99 | $ 10.25 | $ 10.26 | $ 10.12 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .11 | .24 | .26 | .24 | .22 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .54 | .07 | (c) | .21 | (.25 | ) | (.01 | ) | .15 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .65 | .31 | .47 | (.01 | ) | .21 | .36 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.25 | ) | (.27 | ) | (.25 | ) | (.22 | ) | (.22 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 10.78 | $ 10.25 | $ 10.19 | $ 9.99 | $ 10.25 | $ 10.26 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 6.37 | % | 3.14 | % | 4.73 | % | (.12 | )% | 2.04 | % | 3.58 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $215,682 | $215,763 | $238,306 | $231,109 | $213,880 | $170,155 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .50 | %^ | .50 | % | .50 | % | .50 | % | .50 | % | .50 | % | ||||||||||||
Expenses, before waivers/reimbursements | .56 | %^ | .57 | % | .57 | % | .57 | % | .57 | % | .58 | % | ||||||||||||
Net investment income(b) | 2.14 | %^ | 2.43 | % | 2.57 | % | 2.37 | % | 2.14 | % | 2.03 | % | ||||||||||||
Portfolio turnover rate. | 4 | % | 29 | % | 12 | % | 15 | % | 9 | % | 9 | % |
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Fund’s change in net realized and unrealized gain (loss) on investment transactions for the period. |
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
^ | Annualized. |
See notes to financial statements.
70 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Terrance T. Hults(2), Vice President Matthew J. Norton(2), Vice President Andrew D. Potter(2), Vice President Emilie D. Wrapp, Secretary | Michael B. Reyes, Senior Analyst Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672 | Independent Registered Public Accounting Firm Ernst & Young LLP 5 Times Square New York, NY 10036
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Municipal Bond Investment Team. Messrs. Hults, Norton and Potter are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio. |
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 71 |
Operation and Effectiveness of the Fund’s Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Fund’s LRMP is adequately designed, has been implemented as intended,
72 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Fund, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 73 |
Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AB Bond Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Municipal Bond Inflation Strategy (the “Fund”) at a meeting held by video conference on November 3-5, 2020 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
74 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2018 and 2019 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 75 |
expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended July 31, 2020 and (in the case of comparisons with the broad-based securities market index) for the period from inception. In evaluating the Fund’s investment performance, the directors noted that the Fund lagged its peers in the one- year period. The directors took into account their understanding that only one of the funds in the Fund’s peer group is managed with a significant inflation component and that the Fund’s investment portfolio has a longer duration than that of most of its peers. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and noted
76 | AB MUNICIPAL BOND INFLATION STRATEGY | abfunds.com |
that it was above the median. The directors took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The Adviser informed the directors that there were no institutional products managed by the Adviser that utilize investment strategies similar to those of the Fund.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. The directors noted that the Fund’s expense ratio was above the medians. After reviewing and discussing the Adviser’s explanations of the reasons for this, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also previously discussed economies of scale with an independent fee consultant. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
abfunds.com | AB MUNICIPAL BOND INFLATION STRATEGY | 77 |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
1 | Prior to April 30, 2021, High Yield Portfolio was named FlexFee High Yield Portfolio. |
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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AB MUNICIPAL BOND INFLATION STRATEGY
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
MBIS-0152-0421
APR 04.30.21
SEMI-ANNUAL REPORT
AB SHORT DURATION INCOME PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
FROM THE PRESIDENT |
Dear Shareholder,
We’re pleased to provide this report for the AB Short Duration Income Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 1 |
SEMI-ANNUAL REPORT
June 7, 2021
This report provides management’s discussion of fund performance for the AB Short Duration Income Portfolio for the semi-annual reporting period ended April 30, 2021.
The Fund’s investment objective is to seek high current income consistent with preservation of capital.
NAV RETURNS AS OF APRIL 30, 2021 (unaudited)
6 Months | 12 Months | |||||||
AB SHORT DURATION INCOME PORTFOLIO | ||||||||
Class A Shares | 2.41% | 9.80% | ||||||
Class C Shares | 1.90% | 7.22% | ||||||
Advisor Class Shares1 | 2.31% | 8.30% | ||||||
Bloomberg Barclays 1-5 Year US Government/Credit Index | 0.04% | 1.26% |
1 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its benchmark, the Bloomberg Barclays 1-5 Year US Government/Credit Index, for the six- and 12-month periods ended April 30, 2021.
During the six-month period, all share classes of the Fund outperformed the benchmark, before sales charges. Sector allocation was the primary contributor, relative to the benchmark, mostly from off-benchmark exposure to commercial mortgage-backed securities (“CMBS”), high-yield corporate bonds and agency risk-sharing transactions that were partially offset by an underweight to investment-grade corporate bonds. Security selection among investment-grade corporate bonds and quasi-sovereign bonds also contributed. Duration and yield-curve positioning detracted. Currency decisions did not have a meaningful impact on returns.
During the 12-month period, all share classes of the Fund outperformed the benchmark, before sales charges. Sector allocation added to returns, mainly due to off-benchmark exposure to agency risk-sharing transactions, CMBS and US high-yield corporate bonds, as well as credit default swaps in the US and eurozone, while off-benchmark exposure to eurozone treasuries, an underweight to investment-grade corporate bonds and off-benchmark exposure to US agency mortgages detracted. Security selection in investment-grade corporate bonds and quasi-sovereign bonds
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contributed. Duration and yield-curve positioning detracted, while currency decisions did not have a meaningful impact on returns.
During both periods, the Fund utilized derivatives in the form of futures and interest rate swaps to manage and hedge duration risk and to take active yield-curve positioning. Currency forwards were used to hedge foreign currency exposure and to take active currency risk. Credit default swaps, both single name and index, were used to take active exposure and to hedge investment-grade and high-yield credit risk. Total return swaps were used to create synthetic high-yield exposure in the Fund.
MARKET REVIEW AND INVESTMENT STRATEGY
Global fixed-income market returns were mixed over the six-month period ended April 30, 2021, with elevated volatility and dispersion between regions and credit sectors. After the positive impact of massive fiscal stimulus enacted by governments and central bank monetary policies, longer-term treasury yields continued to steadily rise during the period, based on expectations of an economic growth recovery. Developed-market government bond returns fell sharply in all major developed markets except Japan, where treasury returns were slightly positive. Historically low interest rates also set the stage for a sharp rebound in risk assets, which began to significantly rise in November, when positive vaccine news extended the credit rally. Emerging-market high-yield hard-currency sovereign bonds, along with emerging- and developed-market high-yield corporate bonds, led significant gains against developed-market treasuries with strong positive returns, as investors searched for higher yields in a period of historically low interest rates. Emerging-market local-currency bonds and investment-grade corporate bonds in Europe and emerging markets also had positive results. Investment-grade emerging-market sovereign bonds and US corporate bonds had negative returns, yet outperformed developed-market treasuries. Securitized assets outperformed US Treasuries, with slightly negative results. The US dollar fell against all major developed-market currencies except the yen and also fell against most emerging-market currencies during the period. Brent crude oil prices significantly rebounded on the improved global economic outlook and OPEC+ production cuts, and copper advanced near an all-time high partly due to increased demand for infrastructure and green-energy initiatives.
The Fund’s Senior Investment Management Team (the “Team”) continues to pursue high income, while preserving capital by investing primarily in government bonds from both US and non-US issuers as well as corporate bonds, with scope to invest a select amount in below investment-grade bonds. The Team manages the Fund with a core fixed-income strategy through a global, multi-sector approach that seeks an attractive risk/return profile.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 3 |
INVESTMENT POLICIES
The Fund pursues its objective by investing, under normal circumstances, primarily in income-producing securities. The Fund also normally invests at least 65% of its total assets in securities of US and foreign governments and their agencies and instrumentalities (including mortgage-backed securities), derivatives related to such securities, and repurchase agreements relating to US government securities. Under normal circumstances, the Fund will maintain a dollar-weighted average duration of less than three years, although it may invest in securities of any duration or maturity.
The Fund may invest in non-government fixed-income securities, including corporate debt securities, non-government mortgage-backed and other asset-backed securities, certificates of deposit and commercial paper. The Fund may invest up to 35% of its net assets in below investment-grade securities (commonly known as “junk bonds”). The Fund’s investments in foreign securities may include both government and corporate securities, and securities of emerging-market countries or of issuers in emerging markets.
The Adviser selects securities for purchase or sale based on its assessment of the securities’ risks and return characteristics as well as the securities’ impact on the overall risks and return characteristics of the Fund. In making this assessment, the Adviser takes into account various factors, including the credit quality and sensitivity to interest rates of the securities under consideration and of the Fund’s other holdings.
The Fund may utilize derivatives, such as options, futures contracts, forwards and swaps. The Fund may, for example, use interest rate futures contracts and swaps to establish exposure to the fixed-income markets or particular fixed-income securities. Derivatives may provide a more efficient and economical exposure to market segments than direct investments, and may also be a more efficient way to alter the Fund’s exposure. The Fund may also enter into transactions such as reverse repurchase agreements that are similar to borrowings for investment purposes. The Fund’s use of derivatives and these borrowing transactions may create aggregate exposure that is substantially in excess of its net assets, effectively leveraging the Fund.
The Adviser may hedge the foreign currency exposure resulting from the Fund’s security positions, and may take long or short positions in currencies, through the use of currency-related derivatives. The Fund is “non-diversified”.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg Barclays 1-5 Year US Government/Credit Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Barclays 1-5 Year US Government/Credit Index is a broad-based benchmark that measures the nonsecuritized component of the Bloomberg Barclays US Aggregate Index. It includes investment-grade, US dollar-denominated, fixed-rate Treasuries and government-related and corporate securities that have a remaining maturity of greater than or equal to one year and less than five years. An investor cannot invest directly in an index or average, and their results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 5 |
DISCLOSURES AND RISKS (continued)
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Mortgage-Related and/or Other Asset-Backed Securities Risk: Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Derivatives Risk: Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and may be subject to counterparty risk to a greater degree than more traditional investments.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (“NAV”) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
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DISCLOSURES AND RISKS (continued)
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Non-Diversification Risk: The Fund may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Fund’s NAV.
Active Trading Risk: The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Fund’s return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Fund, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 7 |
DISCLOSURES AND RISKS (continued)
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
8 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2021 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | SEC Yields1 | ||||||||||
CLASS A SHARES | 1.43% | |||||||||||
1 Year | 9.80% | 5.12% | ||||||||||
Since Inception2 | 4.46% | 2.59% | ||||||||||
CLASS C SHARES | 0.71% | |||||||||||
1 Year | 7.22% | 6.22% | ||||||||||
Since Inception2 | 3.61% | 3.61% | ||||||||||
ADVISOR CLASS SHARES3 | 1.70% | |||||||||||
1 Year | 8.30% | 8.30% | ||||||||||
Since Inception2 | 4.56% | 4.56% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.77%, 2.57% and 1.68% for Class A, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Fund’s annual operating expense ratios, exclusive of acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses and brokerage commissions and other transaction costs, to 0.65%, 1.45% and 0.45% for Class A, Class C and Advisor Class shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2022. Any fees waived and expenses borne by the Adviser may be reimbursed by the Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne, provided that no reimbursement payment will be made that would cause the Fund’s total operating expenses to exceed the applicable expense limitations. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2021. |
2 | Inception date: 12/12/2018. |
3 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of and certain other persons associated with, the Adviser and its affiliates or the Fund. |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 9 |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2021 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 4.82% | |||
Since Inception1 | 2.31% | |||
CLASS C SHARES | ||||
1 Year | 6.01% | |||
Since Inception1 | 3.39% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 8.08% | |||
Since Inception1 | 4.38% |
1 | Inception date: 12/12/2018. |
2 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,024.10 | $ | 3.31 | 0.66 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.52 | $ | 3.31 | 0.66 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,019.00 | $ | 7.31 | 1.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.55 | $ | 7.30 | 1.46 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,023.10 | $ | 2.31 | 0.46 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.51 | $ | 2.31 | 0.46 | % |
* | Expenses are equal to the Fund’s annualized expense ratio (interest expense incurred) multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The Fund’s operating expenses are borne by the Adviser or its affiliates. |
** | Assumes 5% annual return before expenses. |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 11 |
PORTFOLIO SUMMARY
April 30, 2021 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $50.6
1 | All data are as of April 30, 2021. The Fund’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” security type weightings represent 0.3% or less in the following security types: Emerging Markets–Corporate Bonds, Preferred Stocks and Quasi-Sovereigns. |
12 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS
April 30, 2021 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS - TREASURIES – 53.7% |
| |||||||||||
Colombia – 0.6% |
| |||||||||||
Colombian TES | COP | 1,177,700 | $ | 305,487 | ||||||||
|
| |||||||||||
Mexico – 0.4% |
| |||||||||||
Mexican Bonos | MXN | 3,550 | 185,660 | |||||||||
|
| |||||||||||
Peru – 0.5% |
| |||||||||||
Peru Government Bond | PEN | 880 | 258,921 | |||||||||
|
| |||||||||||
Russia – 0.9% |
| |||||||||||
Russian Federal Bond – OFZ | RUB | 32,513 | 446,927 | |||||||||
|
| |||||||||||
United States – 51.3% |
| |||||||||||
U.S. Treasury Bonds | U.S.$ | 859 | 1,125,165 | |||||||||
U.S. Treasury Notes | 641 | 611,473 | ||||||||||
1.125%, 02/28/2022(b) | 335 | 338,234 | ||||||||||
1.50%, 10/31/2024(a) | 1,118 | 1,157,893 | ||||||||||
1.50%, 08/15/2026(a) | 4,689 | 4,824,862 | ||||||||||
1.625%, 10/31/2026 | 3,191 | 3,300,004 | ||||||||||
1.625%, 08/15/2029(a)(b) | 2,458 | 2,487,593 | ||||||||||
2.00%, 05/31/2024 | 2,060 | 2,163,000 | ||||||||||
2.125%, 05/31/2026 | 3,561 | 3,781,231 | ||||||||||
2.25%, 11/15/2024(a) | 791 | 840,067 | ||||||||||
2.875%, 08/15/2028(a) | 435 | 480,598 | ||||||||||
3.125%, 11/15/2028(a) | 4,298 | 4,834,466 | ||||||||||
|
| |||||||||||
25,944,586 | ||||||||||||
|
| |||||||||||
Total Governments – Treasuries | 27,141,581 | |||||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 15.8% | ||||||||||||
Industrial – 14.8% | ||||||||||||
Basic – 0.6% | ||||||||||||
Arconic Corp. | 6 | 6,380 | ||||||||||
Cleveland-Cliffs, Inc. | 23 | 27,002 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 13 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Graphic Packaging International LLC | U.S.$ | 6 | $ | 6,542 | ||||||||
Hecla Mining Co. | 29 | 31,726 | ||||||||||
Kaiser Aluminum Corp. | 11 | 11,699 | ||||||||||
Kleopatra Finco SARL | EUR | 100 | 118,324 | |||||||||
WR Grace & Co.-Conn | U.S.$ | 72 | 75,054 | |||||||||
|
| |||||||||||
276,727 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.5% |
| |||||||||||
Bombardier, Inc. | 28 | 28,152 | ||||||||||
Cleaver-Brooks, Inc. | 7 | 6,981 | ||||||||||
Energizer Holdings, Inc. | 16 | 16,356 | ||||||||||
Gates Global LLC/Gates Corp. | 61 | 63,865 | ||||||||||
GFL Environmental, Inc. | 10 | 10,173 | ||||||||||
5.125%, 12/15/2026(c) | 2 | 2,100 | ||||||||||
SPX FLOW, Inc. | 35 | 36,383 | ||||||||||
Tervita Corp. | 22 | 24,911 | ||||||||||
TransDigm, Inc. | 35 | 38,023 | ||||||||||
Triumph Group, Inc. | 17 | 18,908 | ||||||||||
Wesco Distribution, Inc. | 16 | 17,320 | ||||||||||
|
| |||||||||||
263,172 | ||||||||||||
|
| |||||||||||
Communications - Media – 1.9% |
| |||||||||||
Altice Financing SA | 200 | 197,250 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 26 | 26,502 | ||||||||||
5.125%, 05/01/2027(c) | 159 | 166,535 | ||||||||||
Clear Channel Worldwide Holdings, Inc. | 161 | 163,463 | ||||||||||
DISH DBS Corp. | 8 | 8,367 | ||||||||||
5.875%, 11/15/2024 | 53 | 57,368 |
14 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Meredith Corp. | U.S.$ | 8 | $ | 8,218 | ||||||||
Netflix, Inc. | 131 | 147,776 | ||||||||||
Scripps Escrow II, Inc. | 21 | 21,300 | ||||||||||
Sinclair Television Group, Inc. | 100 | 102,965 | ||||||||||
TEGNA, Inc. | 25 | 26,639 | ||||||||||
Univision Communications, Inc. | 4 | 4,066 | ||||||||||
9.50%, 05/01/2025(c) | 20 | 22,242 | ||||||||||
|
| |||||||||||
952,691 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.3% | ||||||||||||
Consolidated Communications, Inc. | 35 | 35,541 | ||||||||||
Frontier Communications Corp. | 10 | 10,540 | ||||||||||
T-Mobile USA, Inc. | 109 | 110,874 | ||||||||||
|
| |||||||||||
156,955 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.9% | ||||||||||||
Adient US LLC | 88 | 97,521 | ||||||||||
Clarios Global LP/Clarios US Finance Co. | 50 | 53,068 | ||||||||||
Ford Motor Co. | 90 | 100,802 | ||||||||||
9.00%, 04/22/2025 | 27 | 32,983 | ||||||||||
Jaguar Land Rover Automotive PLC | EUR | 116 | 151,337 | |||||||||
Meritor, Inc. | U.S.$ | 5 | 5,357 | |||||||||
Tenneco, Inc. | 26 | 29,285 | ||||||||||
|
| |||||||||||
470,353 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 2.6% | ||||||||||||
Boyne USA, Inc. | 16 | 16,444 | ||||||||||
Carnival Corp. | 42 | 44,329 | ||||||||||
10.50%, 02/01/2026(c) | 107 | 126,294 | ||||||||||
11.50%, 04/01/2023(c) | 66 | 75,802 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op | U.S.$ | 159 | $ | 166,909 | ||||||||
Mattel, Inc. | 144 | 147,537 | ||||||||||
5.875%, 12/15/2027(c) | 102 | 112,038 | ||||||||||
NCL Corp., Ltd. | 33 | 34,568 | ||||||||||
Royal Caribbean Cruises Ltd. | 108 | 111,246 | ||||||||||
10.875%, 06/01/2023(c) | 47 | 53,948 | ||||||||||
11.50%, 06/01/2025(c) | 78 | 90,386 | ||||||||||
SeaWorld Parks & Entertainment, Inc. | 20 | 21,750 | ||||||||||
9.50%, 08/01/2025(c) | 32 | 34,738 | ||||||||||
Silversea Cruise Finance Ltd. | 132 | 136,568 | ||||||||||
Six Flags Theme Parks, Inc. | 58 | 62,555 | ||||||||||
Vail Resorts, Inc. | 11 | 11,692 | ||||||||||
Viking Cruises Ltd. | 12 | 11,761 | ||||||||||
13.00%, 05/15/2025(c) | 16 | 18,707 | ||||||||||
Viking Ocean Cruises Ship VII Ltd. | 14 | 14,229 | ||||||||||
|
| |||||||||||
1,291,501 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 1.2% |
| |||||||||||
Adams Homes, Inc. | 13 | 13,721 | ||||||||||
Boyd Gaming Corp. | 6 | 6,644 | ||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. | 125 | 132,395 | ||||||||||
Caesars Entertainment, Inc. | 18 | 19,142 | ||||||||||
Churchill Downs, Inc. | 29 | 30,145 | ||||||||||
Empire Communities Corp. | 143 | 152,907 | ||||||||||
Five Point Operating Co. LP/Five Point Capital Corp. | 85 | 89,887 | ||||||||||
Forestar Group, Inc. | 41 | 41,519 |
16 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Forterra Finance LLC/FRTA Finance Corp. | U.S.$ | 11 | $ | 11,877 | ||||||||
Hilton Domestic Operating Co., Inc. | 7 | 7,365 | ||||||||||
Marriott Ownership Resorts, Inc. | 24 | 25,474 | ||||||||||
Shea Homes LP/Shea Homes Funding Corp. | 11 | 11,226 | ||||||||||
Taylor Morrison Communities, Inc. | 15 | 17,022 | ||||||||||
Travel + Leisure Co. | 20 | 22,919 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 33 | 35,153 | ||||||||||
|
| |||||||||||
617,396 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Restaurants – 0.2% |
| |||||||||||
1011778 BC ULC/New Red Finance, Inc. | 25 | 26,535 | ||||||||||
IRB Holding Corp. | 26 | 28,014 | ||||||||||
Yum! Brands, Inc. | 41 | 44,801 | ||||||||||
|
| |||||||||||
99,350 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.6% |
| |||||||||||
Burlington Coat Factory Warehouse Corp. | 6 | 6,386 | ||||||||||
Dufry One BV | EUR | 100 | 118,781 | |||||||||
L Brands, Inc. | U.S.$ | 10 | 12,676 | |||||||||
Magic Mergeco, Inc. | 73 | 73,969 | ||||||||||
Penske Automotive Group, Inc. | 20 | 20,500 | ||||||||||
Rite Aid Corp. | 12 | 12,432 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp. | 30 | 31,610 | ||||||||||
Staples, Inc. | 15 | 15,535 | ||||||||||
William Carter Co. (The) | 22 | 23,275 | ||||||||||
|
| |||||||||||
315,164 | ||||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Non-Cyclical – 1.0% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | U.S.$ | 154 | $ | 158,503 | ||||||||
CD&R Smokey Buyer, Inc. | 29 | 30,984 | ||||||||||
CHS/Community Health Systems, Inc. | 11 | 11,609 | ||||||||||
Legacy LifePoint Health LLC | 23 | 23,030 | ||||||||||
6.75%, 04/15/2025(c) | 48 | 51,196 | ||||||||||
ModivCare, Inc. | 9 | 9,565 | ||||||||||
Newell Brands, Inc. | 26 | 28,962 | ||||||||||
4.875%, 06/01/2025 | 7 | 7,754 | ||||||||||
Par Pharmaceutical, Inc. | 24 | 25,248 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. | 7 | 7,580 | ||||||||||
RP Escrow Issuer LLC | 39 | 40,569 | ||||||||||
Tenet Healthcare Corp. | 9 | 9,349 | ||||||||||
6.25%, 02/01/2027(c) | 24 | 25,164 | ||||||||||
7.50%, 04/01/2025(c) | 29 | 31,250 | ||||||||||
US Acute Care Solutions LLC | 7 | 7,304 | ||||||||||
WASH Multifamily Acquisition, Inc. | 15 | 15,579 | ||||||||||
|
| |||||||||||
483,646 | ||||||||||||
|
| |||||||||||
Energy – 2.4% |
| |||||||||||
Antero Resources Corp. | 22 | 24,699 | ||||||||||
Apache Corp. | 6 | 6,336 | ||||||||||
4.875%, 11/15/2027 | 12 | 12,656 | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp. | 177 | 191,234 | ||||||||||
CITGO Petroleum Corp. | 33 | 34,033 | ||||||||||
CNX Resources Corp. | 33 | 35,147 | ||||||||||
EnLink Midstream LLC | 48 | 49,609 |
18 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
EnLink Midstream Partners LP | U.S.$ | 134 | $ | 137,484 | ||||||||
4.85%, 07/15/2026 | 31 | 31,184 | ||||||||||
EQT Corp. | 31 | 39,642 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 15 | 15,144 | ||||||||||
8.00%, 01/15/2027 | 29 | 29,879 | ||||||||||
Independence Energy Finance Ll | 51 | 51,049 | ||||||||||
Nabors Industries Ltd. | 15 | 13,393 | ||||||||||
New Fortress Energy, Inc. | 122 | 126,325 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. | 58 | 60,968 | ||||||||||
Occidental Petroleum Corp. | 40 | 40,233 | ||||||||||
2.90%, 08/15/2024 | 4 | 3,991 | ||||||||||
3.20%, 08/15/2026 | 75 | 73,246 | ||||||||||
5.875%, 09/01/2025 | 10 | 10,920 | ||||||||||
8.00%, 07/15/2025 | 18 | 21,010 | ||||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 40 | 41,895 | ||||||||||
Range Resources Corp. | 3 | 3,067 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 46 | 45,187 | ||||||||||
Transocean, Inc. | 23 | 16,154 | ||||||||||
Western Midstream Operating LP | 5 | 5,219 | ||||||||||
4.35%, 02/01/2025 | 49 | 51,818 | ||||||||||
4.75%, 08/15/2028 | 24 | 25,845 | ||||||||||
5.30%, 02/01/2030 | 20 | 21,813 | ||||||||||
|
| |||||||||||
1,219,180 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.0% |
| |||||||||||
Avient Corp. | 16 | 16,907 | ||||||||||
IAA, Inc. | 5 | 5,257 | ||||||||||
|
| |||||||||||
22,164 | ||||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Services – 0.8% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. | U.S.$ | 57 | $ | 60,363 | ||||||||
APX Group, Inc. | 53 | 57,076 | ||||||||||
Aramark Services, Inc. | 42 | 44,674 | ||||||||||
Gartner, Inc. | 63 | 66,239 | ||||||||||
MPH Acquisition Holdings LLC | 78 | 76,863 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 82 | 86,048 | ||||||||||
Sabre GLBL, Inc. | 18 | 21,573 | ||||||||||
TripAdvisor, Inc. | 12 | 12,965 | ||||||||||
|
| |||||||||||
425,801 | ||||||||||||
|
| |||||||||||
Technology – 1.4% |
| |||||||||||
Austin BidCo, Inc. | 10 | 10,179 | ||||||||||
Avaya, Inc. | 81 | 86,172 | ||||||||||
Boxer Parent Co., Inc. | 39 | 41,933 | ||||||||||
CDK Global, Inc. | 29 | 30,690 | ||||||||||
CDW LLC/CDW Finance Corp. | 100 | 104,287 | ||||||||||
CommScope, Inc. | 20 | 20,619 | ||||||||||
Dell International LLC/EMC Corp. | 36 | 37,005 | ||||||||||
Microchip Technology, Inc. | 91 | 95,390 | ||||||||||
NCR Corp. | 105 | 108,355 | ||||||||||
8.125%, 04/15/2025(c) | 18 | 19,701 | ||||||||||
Presidio Holdings, Inc. | 56 | 57,772 | ||||||||||
8.25%, 02/01/2028(c) | 2 | 2,186 | ||||||||||
Science Applications International Corp. | 4 | 4,124 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd. | 60 | 62,286 | ||||||||||
|
| |||||||||||
680,699 | ||||||||||||
|
|
20 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Transportation - Airlines – 0.4% | ||||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd. | U.S.$ | 24 | $ | 25,160 | ||||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd. | 68 | 76,427 | ||||||||||
United Airlines, Inc. | 91 | 94,415 | ||||||||||
|
| |||||||||||
196,002 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.0% |
| |||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. | 2 | 2,116 | ||||||||||
XPO Logistics, Inc. | 10 | 10,490 | ||||||||||
|
| |||||||||||
12,606 | ||||||||||||
|
| |||||||||||
7,483,407 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.7% |
| |||||||||||
Banking – 0.1% |
| |||||||||||
Alliance Data Systems Corp. | 35 | 35,945 | ||||||||||
7.00%, 01/15/2026(c) | 7 | 7,528 | ||||||||||
|
| |||||||||||
43,473 | ||||||||||||
|
| |||||||||||
Brokerage – 0.0% |
| |||||||||||
NFP Corp. | 18 | 19,405 | ||||||||||
|
| |||||||||||
Finance – 0.4% |
| |||||||||||
goeasy Ltd. | 76 | 76,879 | ||||||||||
Navient Corp. | 14 | 14,698 | ||||||||||
SLM Corp. | 103 | 108,396 | ||||||||||
|
| |||||||||||
199,973 | ||||||||||||
|
| |||||||||||
Other Finance – 0.0% |
| |||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | 8 | 8,146 | ||||||||||
|
| |||||||||||
REITS – 0.2% |
| |||||||||||
Diversified Healthcare Trust | 36 | 40,411 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | U.S.$ | 31 | $ | 33,020 | ||||||||
|
| |||||||||||
73,431 | ||||||||||||
|
| |||||||||||
344,428 | ||||||||||||
|
| |||||||||||
Utility – 0.3% |
| |||||||||||
Electric – 0.2% |
| |||||||||||
Calpine Corp. | 8 | 8,130 | ||||||||||
Talen Energy Supply LLC | 5 | 5,138 | ||||||||||
Vistra Operations Co. LLC | 68 | 70,796 | ||||||||||
|
| |||||||||||
84,064 | ||||||||||||
|
| |||||||||||
Other Utility – 0.1% |
| |||||||||||
Solaris Midstream Holdings LLC | 72 | 75,375 | ||||||||||
|
| |||||||||||
159,439 | ||||||||||||
|
| |||||||||||
Total Corporates – Non-Investment Grade | 7,987,274 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 15.6% |
| |||||||||||
Agency Fixed Rate 30-Year – 15.6% |
| |||||||||||
Federal National Mortgage Association | 1,417 | 1,477,529 | ||||||||||
Government National Mortgage Association | 652 | 682,500 | ||||||||||
Uniform Mortgage-Backed Security | 5,405 | 5,752,276 | ||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 7,912,305 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 13.6% | ||||||||||||
Risk Share Floating Rate – 12.8% | ||||||||||||
Bellemeade Re Ltd. | 150 | 150,000 | ||||||||||
Series 2019-1A, Class M2 | 152 | 152,582 |
22 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2019-3A, Class M1B | U.S.$ | 150 | $ | 150,184 | ||||||||
Series 2019-4A, Class M2 | 150 | 150,529 | ||||||||||
Series 2020-2A, Class M1C | 150 | 152,802 | ||||||||||
Connecticut Avenue Securities Trust | 12 | 11,993 | ||||||||||
Series 2019-R03, Class 1M2 | 17 | 17,483 | ||||||||||
Series 2019-R05, Class 1M2 | 11 | 10,779 | ||||||||||
Series 2019-R06, Class 2M2 | 26 | 26,576 | ||||||||||
Series 2020-R02, Class 2M1 | 4 | 4,220 | ||||||||||
Eagle Re Ltd. | 150 | 151,289 | ||||||||||
Series 2021-1, Class M1A | 150 | 150,732 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 103 | 105,134 | ||||||||||
Series 2015-DNA3, Class M3 | 230 | 238,145 | ||||||||||
Series 2015-HQA1, Class M3 | 180 | 186,393 | ||||||||||
Series 2016-DNA4, Class M3 | ||||||||||||
3.906% (LIBOR 1 Month + 3.80%), 03/25/2029(d) | 236 | 245,574 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2017-DNA1, Class M2 | U.S.$ | 237 | $ | 246,141 | ||||||
Series 2017-DNA2, Class M2 | 396 | 411,397 | ||||||||
Series 2018-DNA1, Class M2 | 75 | 75,303 | ||||||||
Series 2018-HQA1, Class M2 | 110 | 111,232 | ||||||||
Series 2019-DNA3, Class M2 | 10 | 10,587 | ||||||||
Series 2019-DNA4, Class M2 | 21 | 20,881 | ||||||||
Series 2019-HQA1, Class M2 | 14 | 14,326 | ||||||||
Series 2020-DNA1, Class M2 | 128 | 128,451 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 165 | 170,602 | ||||||||
Series 2015-C02, Class 1M2 | 39 | 39,311 | ||||||||
Series 2015-C02, Class 2M2 | 18 | 18,570 | ||||||||
Series 2015-C03, Class 1M2 | 47 | 48,185 | ||||||||
Series 2015-C04, Class 2M2 | 4 | 3,781 | ||||||||
Series 2016-C01, Class 1M2 | 115 | 122,103 | ||||||||
Series 2016-C01, Class 2M2 | 15 | 15,976 |
24 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2016-C05, Class 2M2 | U.S.$ | 113 | $ | 117,618 | ||||||
Series 2017-C02, Class 2B1 | 24 | 26,102 | ||||||||
Series 2017-C02, Class 2M2 | 349 | 361,568 | ||||||||
Series 2017-C04, Class 2M2 | 62 | 63,754 | ||||||||
Series 2017-C05, Class 1M2 | 54 | 54,676 | ||||||||
Series 2017-C07, Class 2M2 | 106 | 107,046 | ||||||||
Series 2018-C01, Class 1B1 | 180 | 183,615 | ||||||||
Series 2018-C04, Class 2M2 | 105 | 106,808 | ||||||||
Home Re Ltd. | 44 | 44,500 | ||||||||
Series 2020-1, Class M2 | 150 | 153,621 | ||||||||
Series 2021-1, Class M1B | 250 | 249,563 | ||||||||
Mortgage Insurance-Linked Notes | 139 | 139,181 | ||||||||
Series 2019-1, Class M2 | 150 | 147,670 | ||||||||
Oaktown Re II Ltd. | 31 | 30,993 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Oaktown Re III Ltd. | U.S.$ | 150 | $ | 150,000 | ||||||||
Oaktown Re VI Ltd. | 150 | 150,782 | ||||||||||
PMT Credit Risk Transfer Trust | 38 | 37,962 | ||||||||||
Radnor Re Ltd. | 96 | 96,193 | ||||||||||
Series 2019-2, Class M1B | 305 | 305,380 | ||||||||||
Series 2020-1, Class M1A | 150 | 149,361 | ||||||||||
Series 2020-1, Class M1B | 150 | 148,088 | ||||||||||
Series 2020-1, Class M1C | 150 | 146,399 | ||||||||||
Triangle Re Ltd. | 150 | 151,086 | ||||||||||
|
| |||||||||||
6,463,227 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.5% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs | 111 | 26,148 | ||||||||||
Series 5080, Class IJ | 825 | 127,723 | ||||||||||
Federal National Mortgage Association REMICs | 282 | 14,844 | ||||||||||
Series 2016-26, Class IO | 247 | 41,657 | ||||||||||
Series 2016-31, Class IO | 313 | 50,949 |
26 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2016-64, Class BI | U.S.$ | 42 | $ | 6,821 | ||||||||
|
| |||||||||||
268,142 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.3% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs | 143 | 29,759 | ||||||||||
Series 4906, Class SA | 142 | 30,019 | ||||||||||
Federal National Mortgage Association REMICs | 123 | 16,158 | ||||||||||
Series 2012-17, Class SE | 85 | 21,098 | ||||||||||
Series 2019-25, Class SA | 70 | 15,297 | ||||||||||
Series 2019-42, Class SQ | 72 | 13,478 | ||||||||||
|
| |||||||||||
125,809 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 6,857,178 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN AGENCIES – 8.6% | ||||||||||||
Canada – 8.6% | ||||||||||||
Canada Housing Trust No. 1 | CAD | 4,430 | 3,745,542 | |||||||||
2.65%, 12/15/2028(c) | 690 | 602,579 | ||||||||||
|
| |||||||||||
Total Governments – Sovereign Agencies | 4,348,121 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 8.0% | ||||||||||||
Financial Institutions – 4.7% | ||||||||||||
Banking – 3.6% | ||||||||||||
AIB Group PLC | U.S.$ | 200 | 218,012 | |||||||||
Banco de Credito del Peru | 39 | 38,366 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | U.S.$ | 150 | $ | 168,802 | ||||||||
Banco Santander SA | 200 | 228,634 | ||||||||||
Capital One Financial Corp. | 36 | 36,025 | ||||||||||
CIT Group, Inc. | 15 | 15,875 | ||||||||||
Citigroup, Inc. | 64 | 64,026 | ||||||||||
Danske Bank A/S | 200 | 222,804 | ||||||||||
ING Groep NV | 200 | 208,780 | ||||||||||
Morgan Stanley | 125 | 139,410 | ||||||||||
Series H | 7 | 7,029 | ||||||||||
Nationwide Building Society | 200 | 205,984 | ||||||||||
PNC Financial Services Group, Inc. (The) | 12 | 12,153 | ||||||||||
Santander Holdings USA, Inc. | 108 | 120,384 | ||||||||||
Truist Financial Corp. | 107 | 117,773 | ||||||||||
|
| |||||||||||
1,804,057 | ||||||||||||
|
| |||||||||||
Finance – 0.9% | ||||||||||||
Aircastle Ltd. | 5 | 4,908 | ||||||||||
4.125%, 05/01/2024 | 8 | 8,491 | ||||||||||
4.25%, 06/15/2026 | 2 | 2,160 | ||||||||||
4.40%, 09/25/2023 | 16 | 17,132 | ||||||||||
5.00%, 04/01/2023 | 3 | 3,214 | ||||||||||
5.25%, 08/11/2025(c) | 52 | 57,610 | ||||||||||
Aviation Capital Group LLC | 4 | 3,928 |
28 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
3.50%, 11/01/2027(c) | U.S.$ | 8 | $ | 8,281 | ||||||||
3.875%, 05/01/2023(c) | 11 | 11,497 | ||||||||||
4.125%, 08/01/2025(c) | 16 | 17,128 | ||||||||||
4.375%, 01/30/2024(c) | 26 | 27,709 | ||||||||||
5.50%, 12/15/2024(c) | 77 | 86,513 | ||||||||||
Huarong Finance II Co., Ltd. | 200 | 147,938 | ||||||||||
Synchrony Financial | 23 | 23,565 | ||||||||||
4.375%, 03/19/2024 | 15 | 16,379 | ||||||||||
4.50%, 07/23/2025 | 21 | 23,437 | ||||||||||
|
| |||||||||||
459,890 | ||||||||||||
|
| |||||||||||
Insurance – 0.2% | ||||||||||||
Voya Financial, Inc. | 101 | 108,089 | ||||||||||
|
| |||||||||||
REITS – 0.0% | ||||||||||||
Sabra Health Care LP | 11 | 12,061 | ||||||||||
|
| |||||||||||
2,384,097 | ||||||||||||
|
| |||||||||||
Industrial – 3.3% | ||||||||||||
Basic – 0.0% | ||||||||||||
Arconic Corp. | 15 | 16,041 | ||||||||||
Vale Overseas Ltd. | 2 | 2,095 | ||||||||||
|
| |||||||||||
18,136 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.3% | ||||||||||||
General Electric Co. | 133 | 145,324 | ||||||||||
Westinghouse Air Brake Technologies Corp. | 7 | 7,465 | ||||||||||
4.40%, 03/15/2024 | 8 | 8,724 | ||||||||||
|
| |||||||||||
161,513 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.3% | ||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 130 | 135,288 | ||||||||||
ViacomCBS, Inc. | 26 | 28,223 | ||||||||||
|
| |||||||||||
163,511 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.7% | ||||||||||||
General Motors Financial Co., Inc. | 75 | 78,043 | ||||||||||
3.70%, 05/09/2023 | 84 | 88,445 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Harley-Davidson Financial Services, Inc. | U.S.$ | 18 | $ | 19,119 | ||||||||
Hyundai Capital America | 121 | 139,881 | ||||||||||
Nissan Motor Acceptance Corp. | 7 | 7,170 | ||||||||||
2.80%, 01/13/2022(c) | 4 | 4,055 | ||||||||||
3.45%, 03/15/2023(c) | 6 | 6,276 | ||||||||||
|
| |||||||||||
342,989 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
Marriott International, Inc./MD | 14 | 16,123 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.1% | ||||||||||||
Ross Stores, Inc. | 26 | 29,940 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||||
BAT Capital Corp. | 32 | 36,085 | ||||||||||
Cigna Corp. | 60 | 63,037 | ||||||||||
|
| |||||||||||
99,122 | ||||||||||||
|
| |||||||||||
Energy – 0.8% | ||||||||||||
Cenovus Energy, Inc. | 28 | 31,817 | ||||||||||
Continental Resources, Inc./OK | 41 | 47,564 | ||||||||||
Ecopetrol SA | 4 | 4,256 | ||||||||||
6.875%, 04/29/2030 | 45 | 54,448 | ||||||||||
Energy Transfer LP | 8 | 8,654 | ||||||||||
Energy Transfer Operating LP | 80 | 92,995 | ||||||||||
ONEOK, Inc. | 17 | 17,464 | ||||||||||
5.85%, 01/15/2026 | 73 | 86,122 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 16 | 17,705 | ||||||||||
4.65%, 10/15/2025 | 41 | 45,452 | ||||||||||
|
| |||||||||||
406,477 | ||||||||||||
|
|
30 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Services – 0.0% | ||||||||||||
Expedia Group, Inc. | U.S.$ | 4 | $ | 4,655 | ||||||||
|
| |||||||||||
Technology – 0.5% | ||||||||||||
Broadcom, Inc. | 100 | 110,282 | ||||||||||
NXP BV/NXP Funding LLC | 110 | 133,190 | ||||||||||
|
| |||||||||||
243,472 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.4% | ||||||||||||
Delta Air Lines, Inc. | 42 | 48,861 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 24 | 25,747 | ||||||||||
Southwest Airlines Co. | 92 | 105,398 | ||||||||||
|
| |||||||||||
180,006 | ||||||||||||
|
| |||||||||||
1,665,944 | ||||||||||||
|
| |||||||||||
Total Corporates – Investment Grade | 4,050,041 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 7.6% | ||||||||||||
Non-Agency Fixed Rate CMBS – 6.8% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 100 | 90,606 | ||||||||||
Barclays Commercial Mortgage Trust | 995 | 89,176 | ||||||||||
Bbcms Mortgage Trust | 1,485 | 98,109 | ||||||||||
CD Mortgage Trust | 1,628 | 95,705 | ||||||||||
CFCRE Commercial Mortgage Trust | 91 | 5,980 | ||||||||||
Series 2017-C8, Class XA | 340 | 22,771 | ||||||||||
Citigroup Commercial Mortgage Trust | 2,482 | 87,565 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2016-P3, Class XA | U.S.$ | 1,091 | $ | 66,718 | ||||||
Series 2017-P7, Class XA | 979 | 48,742 | ||||||||
Series 2018-C6, Class XA | 989 | 50,750 | ||||||||
Commercial Mortgage Trust | 100 | 99,796 | ||||||||
Series 2014-CR16, Class D | 100 | 93,975 | ||||||||
Series 2015-CR27, Class XA | 1,293 | 45,502 | ||||||||
Series 2016-DC2, Class XA | 2,691 | 100,569 | ||||||||
CSAIL Commercial Mortgage Trust | 100 | 71,934 | ||||||||
GS Mortgage Securities Trust | 100 | 66,398 | ||||||||
Series 2016-GS3, Class XA | 1,356 | 72,120 | ||||||||
Series 2017-GS5, Class XA | 1,533 | 64,054 | ||||||||
Series 2017-GS7, Class XA | 3,415 | 180,137 | ||||||||
Series 2019-GC39, Class XA | 4,681 | 316,548 | ||||||||
JPMBB Commercial Mortgage Securities Trust | 75 | 56,670 | ||||||||
Series 2014-C21, Class D | 100 | 96,438 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 141 | 140,912 | ||||||||
Series 2012-C8, Class E | 100 | 82,937 | ||||||||
Series 2012-LC9, Class G | 100 | 72,765 | ||||||||
Series 2013-LC11, Class B | 110 | 110,036 |
32 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | U.S.$ | 110 | $ | 114,592 | ||||||||
UBS Commercial Mortgage Trust | 125 | 110,019 | ||||||||||
Series 2017-C1, Class XA | 1,249 | 87,069 | ||||||||||
Series 2017-C2, Class XA | 2,610 | 130,908 | ||||||||||
Series 2018-C14, Class XA | 981 | 59,290 | ||||||||||
Series 2018-C15, Class XA | 922 | 51,760 | ||||||||||
Series 2019-C18, Class XA | 1,286 | 85,071 | ||||||||||
UBS-Barclays Commercial Mortgage Trust | 81 | 61,419 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 866 | 41,775 | ||||||||||
Series 2016-C35, Class XA | 1,214 | 90,582 | ||||||||||
Series 2016-LC24, Class XA | 898 | 60,876 | ||||||||||
Series 2018-C48, Class XA | 867 | 51,442 | ||||||||||
Series 2019-C52, Class XA | 989 | 101,546 | ||||||||||
WF-RBS Commercial Mortgage Trust | 60 | 53,697 | ||||||||||
Series 2011-C4, Class E | 25 | 15,250 | ||||||||||
|
| |||||||||||
3,442,209 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 0.8% |
| |||||||||||
BFLD | 59 | 58,722 | ||||||||||
Series 2019-DPLO, Class E | 10 | 9,925 | ||||||||||
CLNY Trust | 120 | 117,452 |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Great Wolf Trust | U.S.$ | 45 | $ | 44,465 | ||||||||
Morgan Stanley Capital I Trust | 133 | 92,419 | ||||||||||
Starwood Retail Property Trust | 89 | 65,368 | ||||||||||
|
| |||||||||||
388,351 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 3,830,560 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - SOVEREIGNS – 1.8% | ||||||||||||
Egypt – 0.5% | ||||||||||||
Egypt Government International Bond | 212 | 224,296 | ||||||||||
|
| |||||||||||
Ghana – 0.4% |
| |||||||||||
Ghana Government International Bond | 200 | 198,475 | ||||||||||
|
| |||||||||||
Lebanon – 0.0% |
| |||||||||||
Lebanon Government International Bond | 16 | 1,993 | ||||||||||
|
| |||||||||||
Nigeria – 0.1% |
| |||||||||||
Nigeria Government International Bond | 40 | 41,295 | ||||||||||
|
| |||||||||||
Oman – 0.4% |
| |||||||||||
Oman Government International Bond | 200 | 209,475 | ||||||||||
|
| |||||||||||
South Africa – 0.4% |
| |||||||||||
Republic of South Africa Government International Bond | 200 | 222,600 | ||||||||||
|
| |||||||||||
Total Emerging Markets – Sovereigns | 898,134 | |||||||||||
|
|
34 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 1.8% | ||||||||||||
CLO - Floating Rate – 1.8% |
| |||||||||||
Ballyrock CLO 15 Ltd. | U.S.$ | 250 | $ | 249,975 | ||||||||
Signal Peak CLO 2 LLC | 390 | 389,150 | ||||||||||
Sixth Street CLO XVII Ltd. | 250 | 250,171 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 889,296 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - TREASURIES – 1.6% | ||||||||||||
Brazil – 1.6% |
| |||||||||||
Brazil Notas do Tesouro Nacional | BRL | 4,146 | 804,307 | |||||||||
|
| |||||||||||
BANK LOANS – 1.4% |
| |||||||||||
Industrial – 1.2% |
| |||||||||||
Capital Goods – 0.0% |
| |||||||||||
Garrett Motion SARL (fka Garrett Motion Inc.) | U.S.$ | 23 | 22,807 | |||||||||
|
| |||||||||||
Communications - Media – 0.0% |
| |||||||||||
Nielsen Finance LLC | 8 | 7,835 | ||||||||||
Univision Communications Inc. | 9 | 8,650 | ||||||||||
|
| |||||||||||
16,485 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.2% | ||||||||||||
Crown Subsea Communications Holding, Inc. | 50 | 49,896 | ||||||||||
Zacapa SARL | 44 | 43,839 | ||||||||||
|
| |||||||||||
93,735 | ||||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Cyclical - Automotive – 0.0% | ||||||||||||
Navistar, Inc. | U.S.$ | 23 | $ | 22,621 | ||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||||
Froneri International Limited | 8 | 7,863 | ||||||||||
Kronos Acquisition Holdings Inc. | 40 | 39,316 | ||||||||||
U.S. Renal Care, Inc. | 28 | 26,951 | ||||||||||
|
| |||||||||||
74,130 | ||||||||||||
|
| |||||||||||
Energy – 0.2% |
| |||||||||||
Enviva Holdings, LP | 120 | 120,600 | ||||||||||
|
| |||||||||||
Other Industrial – 0.1% |
| |||||||||||
Rockwood Service Corporation | 3 | 3,056 | ||||||||||
RS IVY Holdco., Inc. | 30 | 30,074 | ||||||||||
|
| |||||||||||
33,130 | ||||||||||||
|
| |||||||||||
Services – 0.1% |
| |||||||||||
Amentum Government Services Holdings LLC | 3 | 2,954 | ||||||||||
Parexel International Corporation | 12 | 12,050 | ||||||||||
Sabre GLBL, Inc. | 10 | 10,051 | ||||||||||
Team Health Holdings, Inc. | 20 | 18,214 | ||||||||||
|
| |||||||||||
43,269 | ||||||||||||
|
| |||||||||||
Technology – 0.4% |
| |||||||||||
athenahealth, Inc. | 19 | 18,804 |
36 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Boxer Parent Company Inc. (fka BMC Software, Inc.) | U.S.$ | 27 | $ | 27,205 | ||||||||
Endurance International Group Holdings, Inc. | 89 | 88,295 | ||||||||||
Peraton Corp. | 10 | 9,987 | ||||||||||
4.500% (LIBOR 1 Month + 3.75%), 02/01/2028(j) | 10 | 9,987 | ||||||||||
Presidio Holdings Inc. | 1 | 535 | ||||||||||
3.690% (LIBOR 3 Month + 3.50%), 01/22/2027(j) | 9 | 8,855 | ||||||||||
Solera, LLC (Solera Finance, Inc.) | 23 | 22,507 | ||||||||||
|
| |||||||||||
186,175 | ||||||||||||
|
| |||||||||||
612,952 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.1% |
| |||||||||||
Insurance – 0.1% |
| |||||||||||
Cross Financial Corp. | 50 | 49,937 | ||||||||||
Sedgwick Claims Management Services, Inc. (Lightning Cayman Merger Sub, Ltd.) | 11 | 10,725 | ||||||||||
|
| |||||||||||
60,662 | ||||||||||||
|
| |||||||||||
Other Finance – 0.0% |
| |||||||||||
HighTower Holding, LLC | 30 | 29,963 | ||||||||||
|
| |||||||||||
90,625 | ||||||||||||
|
| |||||||||||
Utility – 0.1% |
| |||||||||||
Electric – 0.1% |
| |||||||||||
Granite Generation LLC | 22 | 21,886 | ||||||||||
4.75% (LIBOR 3 Month + 3.75%), 11/09/2026(j) | 4 | 4,185 | ||||||||||
|
| |||||||||||
26,071 | ||||||||||||
|
| |||||||||||
Total Bank Loans | 729,648 | |||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
ASSET-BACKED SECURITIES – 1.2% | ||||||||||||
Other ABS - Fixed Rate – 0.8% |
| |||||||||||
Consumer Loan Underlying Bond Certificate Issuer Trust I | U.S.$ | 6 | $ | 5,917 | ||||||||
Series 2019-HP1, Class B | 100 | 102,996 | ||||||||||
Consumer Loan Underlying Bond CLUB Credit Trust | 100 | 101,683 | ||||||||||
Marlette Funding Trust | 91 | 91,742 | ||||||||||
SoFi Consumer Loan Program Trust | 100 | 101,428 | ||||||||||
|
| |||||||||||
403,766 | ||||||||||||
|
| |||||||||||
Autos - Fixed Rate – 0.4% | ||||||||||||
Exeter Automobile Receivables Trust | 115 | 121,682 | ||||||||||
Series 2019-1A, Class E | 40 | 42,508 | ||||||||||
Series 2019-2A, Class E | 15 | 15,928 | ||||||||||
Westlake Automobile Receivables Trust | 14 | 14,616 | ||||||||||
|
| |||||||||||
194,734 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 598,500 | |||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.4% | ||||||||||||
United Arab Emirates – 0.4% | ||||||||||||
Abu Dhabi Government International Bond | 200 | 211,250 | ||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.3% | ||||||||||||
Quasi-Sovereign Bonds – 0.3% | ||||||||||||
Mexico – 0.3% | ||||||||||||
Petroleos Mexicanos | 101 | 98,854 |
38 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Company | Principal Amount (000) | U.S. $ Value | ||||||||||
| ||||||||||||
5.95%, 01/28/2031 | U.S.$ | 53 | $ | 51,166 | ||||||||
6.49%, 01/23/2027 | 22 | 23,265 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 173,285 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.3% | ||||||||||||
Industrial – 0.3% | ||||||||||||
Basic – 0.0% | ||||||||||||
Eldorado Gold Corp. | 14 | 15,260 | ||||||||||
Volcan Cia Minera SAA | 5 | 4,920 | ||||||||||
|
| |||||||||||
20,180 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.2% |
| |||||||||||
Embraer Netherlands Finance BV | 91 | 95,493 | ||||||||||
|
| |||||||||||
Energy – 0.1% |
| |||||||||||
Leviathan Bond Ltd. | 23 | 25,159 | ||||||||||
|
| |||||||||||
Total Emerging Markets – Corporate Bonds | 140,832 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
PREFERRED STOCKS – 0.2% | ||||||||||||
Financial Institutions – 0.2% | ||||||||||||
Banking – 0.2% | ||||||||||||
US Bancorp | 4,450 | 115,789 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 0.8% | ||||||||||||
Investment Companies – 0.8% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(n)(o)(p) | 422,085 | 422,085 | ||||||||||
|
| |||||||||||
Total Investments – 132.7% | 67,110,186 | |||||||||||
Other assets less liabilities – (32.7)% | (16,542,288 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 50,567,898 | ||||||||||
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 39 |
PORTFOLIO OF INVESTMENTS (continued)
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts | ||||||||||||||||
U.S. 10 Yr Ultra Futures | 2 | June 2021 | $ | 291,094 | $ | (6,394 | ) | |||||||||
Sold Contracts | ||||||||||||||||
10 Yr Mini Japan Government Bond Futures | 3 | June 2021 | 415,290 | (1,141 | ) | |||||||||||
Canadian 10 Yr Bond Futures | 12 | June 2021 | 1,360,550 | 9,516 | ||||||||||||
Euro-BOBL Futures | 5 | June 2021 | 809,896 | 1,678 | ||||||||||||
Euro-Schatz Futures | 3 | June 2021 | 404,244 | 15 | ||||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 25 | June 2021 | 5,518,945 | 4,461 | ||||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 1 | June 2021 | 123,938 | (40 | ) | |||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 73 | June 2021 | 9,638,281 | 123,750 | ||||||||||||
|
| |||||||||||||||
$ | 131,845 | |||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Citibank, NA | CAD | 5,491 | USD | 4,386 | 07/16/2021 | $ | (81,450 | ) | ||||||||||||
Deutsche Bank AG | COP | 1,305,902 | USD | 365 | 05/20/2021 | 17,439 | ||||||||||||||
Deutsche Bank AG | PEN | 1,109 | USD | 300 | 05/20/2021 | 7,150 | ||||||||||||||
Goldman Sachs Bank USA | BRL | 4,591 | USD | 850 | 05/04/2021 | 4,450 | ||||||||||||||
Goldman Sachs Bank USA | USD | 856 | BRL | 4,591 | 05/04/2021 | (11,201 | ) | |||||||||||||
Goldman Sachs Bank USA | BRL | 4,591 | USD | 854 | 06/02/2021 | 11,525 | ||||||||||||||
HSBC Bank USA | USD | 11 | IDR | 163,286 | 07/15/2021 | 143 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | RUB | 34,655 | USD | 464 | 05/25/2021 | 4,593 | ||||||||||||||
State Street Bank & Trust Co. | JPY | 2,145 | USD | 20 | 05/20/2021 | 628 | ||||||||||||||
State Street Bank & Trust Co. | EUR | 443 | USD | 529 | 05/27/2021 | (3,908 | ) | |||||||||||||
State Street Bank & Trust Co. | MXN | 3,430 | USD | 170 | 06/18/2021 | 1,412 | ||||||||||||||
UBS AG | BRL | 4,591 | USD | 800 | 05/04/2021 | (45,650 | ) | |||||||||||||
UBS AG | USD | 850 | BRL | 4,591 | 05/04/2021 | (4,450 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (99,319 | ) | ||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||
CDX-NAHY Series 36, | (5.00 | )% | Quarterly | 2.87 | % | USD 93 | $ | (9,680 | ) | $ | (9,114 | ) | $ | (566 | ) |
40 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||
CDX-NAHY Series 35, | 5.00 | % | Quarterly | 2.67 | % | USD 668 | $ | 70,030 | $ | 33,457 | $ | 36,573 | ||||||||||||||||
Ford Motor Company 4.346% 12/08/2026, 06/20/2024* | 5.00 | Quarterly | 1.76 | USD 40 | 4,186 | 3,523 | 663 | |||||||||||||||||||||
iTraxx-Xover Series 35, | 5.00 | Quarterly | 2.49 | EUR 1,260 | 188,665 | 163,016 | 25,649 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 253,201 | $ | 190,882 | $ | 62,319 | |||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
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 | 670 | 05/24/2021 | 2.288% | | 3 Month LIBOR | | Semi-Annual/ Quarterly | $ | (7,472 | ) | $ | – 0 | – | $ | (7,472 | ) | ||||||||||||||
CAD | 680 | 05/22/2024 | | 3 Month CDOR | | 1.985% | Semi-Annual | 20,735 | – 0 | – | 20,735 | |||||||||||||||||||
USD | 260 | 05/24/2024 | 2.206% | | 3 Month LIBOR | | Semi-Annual/ Quarterly | (16,024 | ) | – 0 | – | (16,024 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (2,761 | ) | $ | – 0 | – | $ | (2,761 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 500 | $ | (141,258 | ) | $ | (182,720 | ) | $ | 41,462 | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 10 | (2,826 | ) | (2,634 | ) | (192 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 18 | (5,087 | ) | (4,391 | ) | (696 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 19 | (5,369 | ) | (4,588 | ) | (781 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 26 | (7,348 | ) | (6,279 | ) | (1,069 | ) |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 24 | $ | (6,779 | ) | $ | (2,025 | ) | $ | (4,754 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 36 | (10,168 | ) | (3,022 | ) | (7,146 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 53 | (14,969 | ) | (3,251 | ) | (11,718 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 79 | (22,312 | ) | (4,810 | ) | (17,502 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 360 | (30,476 | ) | (11,272 | ) | (19,204 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 555 | (156,750 | ) | (75,552 | ) | (81,198 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 24 | (6,778 | ) | (2,015 | ) | (4,763 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 156 | (44,060 | ) | (33,436 | ) | (10,624 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 400 | (112,974 | ) | (49,207 | ) | (63,767 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BB Series 6, 05/11/2063* | 5.00 | Monthly | 12.50 | USD | 196 | (93,097 | ) | (37,849 | ) | (55,248 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 12 | (3,389 | ) | (1,007 | ) | (2,382 | ) | |||||||||||||||||||||
Morgan Stanley & Co. International PLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 3 | (847 | ) | (180 | ) | (667 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (664,487 | ) | $ | (424,238 | ) | $ | (240,249 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Receive Total Return on Reference Obligation | ||||||||||||||||||||||||
Goldman Sachs International | 3 Month LIBOR | Maturity | USD | 153 | 06/20/2021 | $ | 3,165 |
42 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
REVERSE REPURCHASE AGREEMENTS (see Note D)
Broker | Interest Rate | Maturity | U.S. $ Value at April 30, 2021 | |||||||||
HSBC Bank USA† | 0.04 | % | — | $ | 429,007 | |||||||
HSBC Bank USA† | 0.04 | % | — | 2,478,000 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 624,893 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 4,348,509 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 1,258,754 | ||||||||
HSBC Bank USA† | 0.04 | % | — | 841,398 | ||||||||
|
| |||||||||||
$ | 9,980,561 | |||||||||||
|
|
† | The reverse repurchase agreement matures on demand. Interest rate resets daily and the rate shown is the rate in effect on April 30, 2021. |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements on the statements of assets and liabilities is as follows:
Overnight and Continuous | Up to 30 Days | 31-90 Days | Greater than 90 Days | Total | ||||||||||||||||
Governments – Treasuries | $ | 9,980,561 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 9,980,561 |
(a) | Position, or a portion thereof, has been segregated to collateralize reverse repurchase agreements. |
(b) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(c) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the aggregate market value of these securities amounted to $19,852,199 or 39.3% of net assets. |
(d) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2021. |
(e) | IO – Interest Only. |
(f) | Inverse interest only security. |
(g) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(h) | Non-income producing security. |
(i) | Defaulted. |
(j) | The stated coupon rate represents the greater of the LIBOR or the LIBOR floor rate plus a spread at April 30, 2021. |
(k) | This position or a portion of this position represents an unsettled loan purchase. The coupon rate will be determined at the time of settlement and will be based upon the London-Interbank Offered Rate (“LIBOR”) plus a premium which was determined at the time of purchase. |
(l) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(m) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.01% of net assets as of April 30, 2021, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Consumer Loan Underlying Bond | 10/09/2019 | $ | 6,003 | $ | 5,917 | 0.01 | % |
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 43 |
PORTFOLIO OF INVESTMENTS (continued)
(n) | Affiliated investments. |
(o) | 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. |
(p) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
BRL – Brazilian Real
CAD – Canadian Dollar
COP – Colombian Peso
EUR – Euro
IDR – Indonesian Rupiah
JPY – Japanese Yen
MXN – Mexican Peso
PEN – Peruvian Sol
RUB – Russian Ruble
USD – United States Dollar
Glossary:
ABS – Asset-Backed Securities
BOBL – Bundesobligationen
CBT – Chicago Board of Trade
CDOR – Canadian Dealer Offered Rate
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
LIBOR – London Interbank Offered Rate
REIT – Real Estate Investment Trust
REMICs – Real Estate Mortgage Investment Conduits
TBA – To Be Announced
See notes to financial statements.
44 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2021 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $65,985,547) | $ | 66,688,101 | ||
Affiliated issuers (cost $422,085) | 422,085 | |||
Cash | 14,818 | |||
Cash collateral due from broker | 361,135 | |||
Foreign currencies, at value (cost $30,148) | 29,752 | |||
Receivable for investment securities sold | 4,732,348 | |||
Unaffiliated interest and dividends receivable | 520,808 | |||
Unrealized appreciation on forward currency exchange contracts | 47,340 | |||
Receivable for capital stock sold | 34,228 | |||
Receivable due from Adviser | 10,636 | |||
Unrealized appreciation on total return swaps | 3,165 | |||
Affiliated dividends receivable | 7 | |||
|
| |||
Total assets | 72,864,423 | |||
|
| |||
Liabilities | ||||
Payable for investment securities purchased | 11,318,410 | |||
Payable for reverse repurchase agreements | 9,980,561 | |||
Market value on credit default swaps (net premiums received $424,238) | 664,487 | |||
Unrealized depreciation on forward currency exchange contracts | 146,659 | |||
Dividends payable | 70,460 | |||
Payable for capital stock redeemed | 37,555 | |||
Payable for variation margin on futures | 13,893 | |||
Transfer Agent fee payable | 1,478 | |||
Directors’ fees payable | 1,060 | |||
Distribution fee payable | 789 | |||
Payable for variation margin on centrally cleared swaps | 574 | |||
Accrued expenses and other liabilities | 60,599 | |||
|
| |||
Total liabilities | 22,296,525 | |||
|
| |||
Net Assets | $ | 50,567,898 | ||
|
| |||
Composition of Net Assets | ||||
Capital stock, at par | $ | 5,045 | ||
Additional paid-in capital | 50,102,964 | |||
Distributable earnings | 459,889 | |||
|
| |||
Net Assets | $ | 50,567,898 | ||
|
|
Net Asset Value Per Share—33 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 746,387 | 74,372 | $ | 10.04 | * | ||||||
| ||||||||||||
C | $ | 753,503 | 75,155 | $ | 10.03 | |||||||
| ||||||||||||
Advisor | $ | 49,068,008 | 4,894,983 | $ | 10.02 | |||||||
|
* | The maximum offering price per share for Class A shares was $10.49 which reflects a sales charge of 4.25%. |
See notes to financial statements.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 45 |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2021 (unaudited)
Investment Income | ||||||||
Interest (net of foreign taxes withheld of $838) | $ | 708,143 | ||||||
Dividends | ||||||||
Unaffiliated issuers | 1,808 | |||||||
Affiliated issuers | 74 | $ | 710,025 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 80,724 | |||||||
Distribution fee—Class A | 918 | |||||||
Distribution fee—Class C | 3,531 | |||||||
Transfer agency—Class A | 254 | |||||||
Transfer agency—Class C | 208 | |||||||
Transfer agency—Advisor Class | 12,393 | |||||||
Custody and accounting | 56,203 | |||||||
Administrative | 38,815 | |||||||
Audit and tax | 30,927 | |||||||
Registration fees | 28,155 | |||||||
Legal | 17,681 | |||||||
Printing | 10,065 | |||||||
Directors’ fees | 8,928 | |||||||
Miscellaneous | 4,848 | |||||||
|
| |||||||
Total expenses before interest expense | 293,650 | |||||||
Interest expense | 3,433 | |||||||
|
| |||||||
Total expenses | 297,083 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (185,703 | ) | ||||||
|
| |||||||
Net expenses | 111,380 | |||||||
|
| |||||||
Net investment income | 598,645 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions(a) | (237,876 | ) | ||||||
Forward currency exchange contracts | 70,056 | |||||||
Futures | 436,602 | |||||||
Swaps | 465,996 | |||||||
Foreign currency transactions | (243,870 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments(b) | 23,156 | |||||||
Forward currency exchange contracts | (112,059 | ) | ||||||
Futures | 17,468 | |||||||
Swaps | 34,289 | |||||||
Foreign currency denominated assets and liabilities | 1,561 | |||||||
|
| |||||||
Net gain on investment and foreign currency transactions | 455,323 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 1,053,968 | ||||||
|
|
(a) | Net of foreign capital gains taxes of $2,162. |
(b) | Net of decrease in accrued foreign capital gains taxes of $587. |
See notes to financial statements.
46 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 598,645 | $ | 679,615 | ||||
Net realized gain (loss) on investment and foreign currency transactions | 490,908 | (75,216 | ) | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (35,585 | ) | 248,938 | |||||
|
|
|
| |||||
Net increase in net assets from operations | 1,053,968 | 853,337 | ||||||
Distributions to Shareholders | ||||||||
Class A | (13,822 | ) | (7,576 | ) | ||||
Class C | (7,734 | ) | (8,867 | ) | ||||
Advisor Class | (711,643 | ) | (1,417,004 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase | 7,465,418 | 27,840,328 | ||||||
Capital Contributions | ||||||||
Proceeds from third party vendor (see Note E) | – 0 | – | 3,413 | |||||
|
|
|
| |||||
Total increase | 7,786,187 | 27,263,631 | ||||||
Net Assets | ||||||||
Beginning of period | 42,781,711 | 15,518,080 | ||||||
|
|
|
| |||||
End of period | $ | 50,567,898 | $ | 42,781,711 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 47 |
STATEMENT OF CASH FLOWS
For the Six Months Ended April 30, 2021 (unaudited)
Cash flows from operating activities | ||||||||
Net increase in net assets from operations | $ | 1,053,968 | ||||||
Reconciliation of net increase in net assets from operations to net decrease in cash from operating activities | ||||||||
Purchases of long-term investments | $ | (86,838,107 | ) | |||||
Purchases of short-term investments | (12,275,458 | ) | ||||||
Proceeds from disposition of long-term investments | 75,383,084 | |||||||
Proceeds from disposition of short-term investments | 12,307,467 | |||||||
Net realized gain on investment transactions and foreign currency transactions | (490,908 | ) | ||||||
Net realized gain on forward currency exchange contracts | 70,056 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | 35,585 | |||||||
Net accretion of bond discount and amortization of bond premium | 345,085 | |||||||
Increase in receivable for investments sold | (4,694,703 | ) | ||||||
Increase in interest receivable | (167,870 | ) | ||||||
Decrease in affiliated dividends receivable | 5 | |||||||
Decrease in receivable due from Adviser | 5,398 | |||||||
Decrease in cash collateral due from broker | 150,311 | |||||||
Increase in payable for investments purchased | 879,330 | |||||||
Increase in Transfer Agent fee payable | 26 | |||||||
Increase in distribution fee payable | 255 | |||||||
Decrease in Directors’ fee payable | (452 | ) | ||||||
Decrease in accrued expenses | (23,107 | ) | ||||||
Proceeds on swaps, net | 103,020 | |||||||
Proceeds for exchange-traded derivatives settlements, net | 930,934 | |||||||
|
| |||||||
Total adjustments | (14,280,049 | ) | ||||||
|
| |||||||
Net cash provided by (used in) operating activities | (13,226,081 | ) | ||||||
Cash flows from financing activities | ||||||||
Subscriptions of capital stock, net | 7,347,121 | |||||||
Cash dividends paid (net of dividend reinvestments)† | (521,817 | ) | ||||||
Increase in reverse repurchase agreements | 6,630,283 | |||||||
|
| |||||||
Net cash provided by (used in) financing activities | 13,455,587 | |||||||
Effect of exchange rate on cash | (242,309 | ) | ||||||
|
| |||||||
Net decrease in cash | (12,803 | ) | ||||||
Cash at beginning of period | 57,373 | |||||||
|
| |||||||
Cash at end of period | $ | 44,570 | ||||||
|
| |||||||
Supplemental disclosure of cash flow information | ||||||||
† Reinvestment of dividends | $ | 197,316 | ||||||
Interest expense paid during the period | $ | 2,494 |
In accordance with U.S. GAAP, the Fund has included a Statement of Cash Flows as a result of its significant investments in reverse repurchase agreements throughout the period.
See notes to financial statements.
48 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS
April 30, 2021 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of nine portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Short Duration Income Portfolio (the “Fund”), a non-diversified portfolio. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares. Class B, Class R, Class K, Class I, Class Z, Class T, Class 1 and Class 2 shares have not been issued. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Advisor Class shares are sold without any initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All eleven classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 49 |
NOTES TO FINANCIAL STATEMENTS (continued)
Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most
50 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which are 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.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 51 |
NOTES TO FINANCIAL STATEMENTS (continued)
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, 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.
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.
Bank loan prices are provided by third party pricing services and consist of a composite of the quotes received by the vendor into a consensus price. Certain bank loans are classified as Level 3, as a significant input used in the fair value measurement of these instruments is the market quotes that are received by the vendor and these inputs are not observable.
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.
52 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2021:
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 27,141,581 | $ | – 0 | – | $ | 27,141,581 | ||||||
Corporates – Non-Investment Grade | – 0 | – | 7,987,274 | – 0 | – | 7,987,274 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 7,912,305 | – 0 | – | 7,912,305 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 6,857,178 | – 0 | – | 6,857,178 | ||||||||||
Governments – Sovereign Agencies | – 0 | – | 4,348,121 | – 0 | – | 4,348,121 | ||||||||||
Corporates – Investment Grade | – 0 | – | 4,050,041 | – 0 | – | 4,050,041 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 3,830,560 | – 0 | – | 3,830,560 | ||||||||||
Emerging Markets – Sovereigns | – 0 | – | 898,134 | – 0 | – | 898,134 | ||||||||||
Collateralized Loan Obligations | – 0 | – | 889,296 | – 0 | – | 889,296 | ||||||||||
Emerging Markets – Treasuries | – 0 | – | 804,307 | – 0 | – | 804,307 | ||||||||||
Bank Loans | – 0 | – | 488,155 | 241,493 | 729,648 | |||||||||||
Asset-Backed Securities | – 0 | – | 598,500 | – 0 | – | 598,500 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 211,250 | – 0 | – | 211,250 | ||||||||||
Quasi-Sovereigns | – 0 | – | 173,285 | – 0 | – | 173,285 | ||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 140,832 | – 0 | – | 140,832 | ||||||||||
Preferred Stocks | 115,789 | – 0 | – | – 0 | – | 115,789 | ||||||||||
Short-Term Investments | 422,085 | – 0 | – | – 0 | – | 422,085 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 537,874 | 66,330,819 | 241,493 | 67,110,186 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 139,420 | – 0 | – | – 0 | – | 139,420 | (b) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 47,340 | – 0 | – | 47,340 | ||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 262,881 | – 0 | – | 262,881 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 20,735 | – 0 | – | 20,735 | (b) | |||||||||
Total Return Swaps | – 0 | – | 3,165 | – 0 | – | 3,165 | ||||||||||
Liabilities: |
| |||||||||||||||
Futures | (7,575 | ) | – 0 | – | – 0 | – | (7,575 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (146,659 | ) | – 0 | – | (146,659 | ) | ||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (9,680 | ) | – 0 | – | (9,680 | )(b) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (23,496 | ) | – 0 | – | (23,496 | )(b) | ||||||||
Credit Default Swaps | – 0 | – | (664,487 | ) | – 0 | – | (664,487 | ) | ||||||||
Reverse Repurchase Agreements | (9,980,561 | ) | – 0 | – | – 0 | – | (9,980,561 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (9,310,842 | ) | $ | 65,820,618 | $ | 241,493 | $ | 56,751,269 | |||||||
|
|
|
|
|
|
|
|
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 53 |
NOTES TO FINANCIAL STATEMENTS (continued)
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for the current tax year and has concluded that no provision for income tax is required in the Fund’s financial statements.
54 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
8. Repurchase Agreements
It is the Fund’s policy that its custodian or designated subcustodian take control of securities as collateral under repurchase agreements and to determine on a daily basis that the value of such securities are sufficient to cover the value of the repurchase agreements. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of collateral by the Fund may be delayed or limited.
9. Offering Expenses
Offering expenses of $61,122 were deferred and amortized on a straight line basis over a one year period starting from December 12, 2018 (commencement of operations).
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 55 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .35% of the first $2.5 billion of the Fund’s average daily net assets and .30% of the excess over $2.5 billion of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs), on an annual basis (the “Expense Caps”) to .65%, 1.45% and .45% of daily average net assets for Class A, Class C, and Advisor Class shares, respectively. For the six months ended April 30, 2021, such reimbursement/waivers amounted to $146,596. The Expense Caps may not be terminated by the Adviser before January 31, 2022. Any fees waived and expenses borne by the Adviser through January 20, 2021 may be reimbursed by Fund until the end of the third fiscal year after the fiscal period in which the fee was waived or the expense was borne; such waivers that are subject to repayment amounted to $265,740, $306,046 and $63,883 for the years ended October 31, 2019 and October 31, 2020, and the period ended April 30, 2021, respectively. In any case, no reimbursement payment will be made that would cause the Fund’s total annual operating expenses to exceed the Expense Caps’ net fee percentage set forth above.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2021, the Adviser voluntarily agreed to waive such fees in the amount of $38,815.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $9,000 for the six months ended April 30, 2021.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $0 from the sale of Class A shares and received $0 and $0 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2021.
56 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of ..20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2021, such waiver amounted to $292.
A summary of the Fund’s transactions in AB mutual funds for the six months ended April 30, 2021 is as follows:
Fund | Market Value 10/31/20 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 4/30/21 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 430 | $ | 12,175 | $ | 12,183 | $ | 422 | $ | 0 | * |
* | Amount is less than $500. |
During the second quarter of 2018, AXA S.A. (“AXA”), a French holding company for the AXA Group, completed the sale of a minority stake in its subsidiary, AXA Equitable Holdings, Inc. (now named Equitable Holdings, Inc.)(“Equitable”), through an initial public offering. Equitable is the holding company for a diverse group of financial services companies, including an approximate 65% economic interest in the Adviser and a 100% interest in AllianceBernstein Corporation, the general partner of the Adviser. Since the initial sale, AXA has completed additional offerings (and related transactions). As a result, as of May 20, 2021, AXA no longer owns shares of Equitable.
Sales that were completed on November 13, 2019 resulted in the indirect transfer of a “controlling block” of voting securities of the Adviser (a “Change of Control Event”) and may have been deemed to have been an “assignment” causing a termination of the Fund’s investment advisory and administration agreements. In order to ensure that investment advisory and administration services could continue uninterrupted in the event of a Change of Control Event, the Board previously approved new investment advisory and administration agreements with the Adviser, and shareholders of the Fund subsequently approved the new investment advisory agreement. These agreements became effective on November 13, 2019.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 57 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .25% of the Fund’s average daily net assets attributable to Class A shares and 1% of the Fund’s average daily net assets attributable to Class C shares. There are no distribution and servicing fees on the Advisor Class shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .20% of Class A shares’ average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amount of $1,515 for Class C shares. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2021 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 14,266,307 | $ | 2,656,601 | ||||
U.S. government securities | 72,576,460 | 72,694,400 |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation | $ | 1,784,998 | ||
Gross unrealized depreciation | (1,227,444 | ) | ||
|
| |||
Net unrealized appreciation | $ | 557,554 | ||
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure
58 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
• | Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2021, the Fund held futures for hedging and non-hedging purposes.
abfunds.com | AB SHORT DURATION INCOME PORTFOLIO | 59 |
NOTES TO FINANCIAL STATEMENTS (continued)
• | Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2021, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the
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Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for OTC swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
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NOTES TO FINANCIAL STATEMENTS (continued)
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2021, the Fund held interest rate swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront
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premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2021, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended April 30, 2021, the Fund held total return swaps for non-hedging purposes.
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NOTES TO FINANCIAL STATEMENTS (continued)
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2021, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 139,420 | * | Receivable/Payable for variation margin on futures | $ | 7,575 | * | ||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | 62,885 | * | Receivable/Payable for variation margin on centrally cleared swaps | 566 | * | ||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps |
| 20,735 | * | Receivable/Payable for variation margin on centrally cleared swaps |
| 23,496 | * | ||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts |
| 47,340 |
| Unrealized depreciation on forward currency exchange contracts |
| 146,659 |
|
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NOTES TO FINANCIAL STATEMENTS (continued)
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Credit contracts | Market value on credit default swaps | $ | 664,487 | |||||||||
Credit contracts | Unrealized appreciation on total return swaps | $ | 3,165 | |||||||||
|
|
|
| |||||||||
Total | $ | 273,545 | $ | 842,783 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | 436,602 | $ | 17,468 | |||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 70,056 | (112,059 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (6,860 | ) | 3,882 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 472,856 | 30,407 | |||||||
|
|
|
| |||||||
Total | $ | 972,654 | $ | (60,302 | ) | |||||
|
|
|
|
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NOTES TO FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended April 30, 2021:
Futures: | ||||
Average notional amount of buy contracts | $ | 2,181,678 | ||
Average notional amount of sale contracts | $ | 18,390,957 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 1,089,373 | ||
Average principal amount of sale contracts | $ | 6,739,606 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 1,462,664 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 2,496,711 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 201,029 | ||
Average notional amount of sale contracts | $ | 4,282,368 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 150,000 |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of April 30, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Deutsche Bank AG | $ | 24,589 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 24,589 | |||||||
Goldman Sachs Bank USA/Goldman Sachs International | 19,140 | (19,140 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
HSBC Bank USA | 143 | – 0 | – | – 0 | – | – 0 | – | 143 | ||||||||||||
Morgan Stanley Capital Services, Inc. | 4,593 | – 0 | – | – 0 | – | – 0 | – | 4,593 | ||||||||||||
State Street Bank & Trust Co. | 2,040 | (2,040 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
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| |||||||||||
Total | $ | 50,505 | $ | (21,180 | ) | $ | – 0 | – | $ | – 0 | – | $ | 29,325 | ^ | ||||||
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NOTES TO FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 297,566 | $ | – 0 | – | $ | – 0 | – | $ | (267,135 | ) | $ | 30,431 | |||||||
Credit Suisse International | 187,226 | – 0 | – | – 0 | – | (187,226 | ) | – 0 | – | |||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 175,013 | (19,140 | ) | – 0 | – | – 0 | – | 155,873 | ||||||||||||
JPMorgan Securities, LLC | 96,486 | – 0 | – | – 0 | – | – 0 | – | 96,486 | ||||||||||||
Morgan Stanley & Co. International PLC | 847 | – 0 | – | – 0 | – | – 0 | – | 847 | ||||||||||||
State Street Bank & Trust Co. | 3,908 | (2,040 | ) | – 0 | – | – 0 | – | 1,868 | ||||||||||||
UBS AG | 50,100 | – 0 | – | – 0 | – | – 0 | – | 50,100 | ||||||||||||
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| |||||||||||
Total | $ | 811,146 | $ | (21,180 | ) | $ | – 0 | – | $ | (454,361 | ) | $ | 335,605 | ^ | ||||||
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* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. TBA and Dollar Rolls
The Fund may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.
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NOTES TO FINANCIAL STATEMENTS (continued)
The Fund may enter into certain TBA transactions known as dollar rolls. Dollar rolls involve sales by the Fund of securities for delivery in the current month and the Fund’s simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the “drop”) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the six months ended April 30, 2021, the Fund earned drop income of $8,589 which is included in interest income in the accompanying statement of operations.
4. Reverse Repurchase Agreements
The Fund may enter into reverse repurchase transactions (“RVP”) in accordance with the terms of a Master Repurchase Agreement (“MRA”), under which the Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the Fund enters into a reverse repurchase agreement, it will establish a segregated account with the custodian containing liquid assets having a value comparable to the repurchase price. Under the MRA and other Master Agreements, the Fund is permitted to offset payables and/or receivables with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund in the event of a default. In the event of a default by a MRA counterparty, the Fund may be considered an unsecured creditor with respect to any excess collateral (collateral with a market value in excess of the repurchase price) held by and/or posted to the counterparty, and as such the return of such excess collateral may be delayed or denied. For the six months ended April 30, 2021, the average amount of reverse repurchase agreements outstanding was $6,180,780 and the daily weighted average interest rate was 0.12%. At April 30, 2021, the Fund had reverse repurchase agreements outstanding in the amount of $9,980,561 as reported on the statement of assets and liabilities.
The following table presents the Fund’s RVP liabilities by counterparty net of the related collateral pledged by the Fund as of April 30, 2021:
Counterparty | RVP Liabilities Subject to a MRA | Securities Collateral Pledged†* | Net Amount of RVP Liabilities | |||||||||
HSBC Bank USA | $ | 9,980,561 | $ | (9,774,787 | ) | $ | 205,774 | |||||
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† | Including accrued interest. |
* | The actual collateral pledged may be more than the amount reported due to overcollateralization. |
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 114,281 | 73,345 | $ | 1,153,825 | $ | 720,666 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 932 | 271 | 9,381 | 2,684 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (78,136 | ) | (37,321 | ) | (779,812 | ) | (372,260 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 37,077 | 36,295 | $ | 383,394 | $ | 351,090 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 18,536 | 74,937 | $ | 186,332 | $ | 734,576 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 734 | 845 | 7,386 | 8,352 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (17,491 | ) | (3,406 | ) | (176,374 | ) | (34,020 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 1,779 | 72,376 | $ | 17,344 | $ | 708,908 | ||||||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 825,964 | 3,398,430 | $ | 8,280,355 | $ | 33,761,871 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 17,971 | 13,829 | 180,549 | 136,589 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (138,774 | ) | (720,437 | ) | (1,396,224 | ) | (7,118,130 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 705,161 | 2,691,822 | $ | 7,064,680 | $ | 26,780,330 | ||||||||||||||||||
|
At April 30, 2021, the Adviser owns approximately 49% of the Fund’s outstanding shares. Significant transactions by such shareholder, if any, may impact the Fund’s performance.
During the year ended October 31, 2020, a third party vendor reimbursed the Fund $3,413 for losses incurred due to a pricing error. This amount is presented in the Fund’s statement of changes in net assets.
NOTE F
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
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NOTES TO FINANCIAL STATEMENTS (continued)
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment Grade Securities Risk—Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Interest Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk—Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to the full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Mortgage-Related and/or Other Asset-Backed Securities Risk—Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal
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NOTES TO FINANCIAL STATEMENTS (continued)
sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected on the statement of assets and liabilities.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
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NOTES TO FINANCIAL STATEMENTS (continued)
Non-Diversification Risk—The Fund may have more risk because it is “non-diversified”, meaning that it can invest more of its assets in a smaller number of issuers. Accordingly, changes in the value of a single security may have a more significant effect, either negative or positive, on the Fund’s net asset value, or NAV.
Active Trading Risk—The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Fund’s return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
LIBOR Transition and Associated Risk—A Fund may invest in debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. The United Kingdom Financial Conduct Authority, which regulates LIBOR, will cease publishing certain LIBOR benchmarks at the end of 2021. Although certain LIBOR rates are intended to be published until June 2023, banks are strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and the Secured Overnight Financing Rate, global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition away from LIBOR is underway but remains incomplete. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
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NOTES TO FINANCIAL STATEMENTS (continued)
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Fund, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2021.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2021 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2020 and October 31, 2019 were as follows:
2020 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 1,419,417 | $ | 547,042 | ||||
Net long-term capital gains | 14,030 | – 0 | – | |||||
|
|
|
| |||||
Total taxable distributions paid | $ | 1,433,447 | $ | 547,042 | ||||
|
|
|
|
As of October 31, 2020, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Accumulated capital and other losses | $ | (538,834 | )(a) | |
Unrealized appreciation/(depreciation) | 738,836 | (b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 200,002 | (c) | |
|
|
(a) | As of October 31, 2020, the cumulative deferred loss on straddles was $538,834. |
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NOTES TO FINANCIAL STATEMENTS (continued)
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of swaps, the tax deferral of losses on wash sales, and the amortization on callable bonds. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax, the tax treatment of defaulted securities, and dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2020, the Fund had no short-term capital loss carryforward.
NOTE J
Subsequent Events
As of April 30, 2021, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Effective May 31, 2021, Class C shares will automatically convert to Class A shares after eight years instead of ten years.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Fund’s financial statements through this date.
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FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||
Six Months Ended April 30, 2021 | Year Ended October 31, 2020 | December 12, 2018(a) to October 31, 2019 | ||||||||||
|
| |||||||||||
Net asset value, beginning of period | $ 9.95 | $ 10.35 | $ 10.00 | |||||||||
|
| |||||||||||
Income From Investment Operations | ||||||||||||
Net investment income(b)(c) | .12 | .23 | .28 | |||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .12 | (.28 | )(d) | .42 | ||||||||
Capital contributions | – 0 | – | .16 | – 0 | – | |||||||
|
| |||||||||||
Net increase in net asset value from operations | .24 | .11 | .70 | |||||||||
|
| |||||||||||
Less: Dividends and Distributions | ||||||||||||
Dividends from net investment income | (.15 | ) | (.38 | ) | (.35 | ) | ||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.13 | ) | – 0 | – | ||||||
|
| |||||||||||
Total dividends and distributions | (.15 | ) | (.51 | ) | (.35 | ) | ||||||
|
| |||||||||||
Net asset value, end of period | $ 10.04 | $ 9.95 | $ 10.35 | |||||||||
|
| |||||||||||
Total Return | ||||||||||||
Total investment return based on net asset value(e) | 2.41 | % | 1.17 | % | 7.09 | % | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (000’s omitted) | $746 | $371 | $10 | |||||||||
Ratio to average net assets of: | ||||||||||||
Expenses, net of waivers/reimbursements(f) | .66 | %^ | .68 | % | .70 | %^ | ||||||
Expenses, before waivers/reimbursements(f) | 1.47 | %^ | 1.77 | % | 3.18 | %^ | ||||||
Net investment income(c) | 2.41 | %^ | 2.28 | % | 3.14 | %^ | ||||||
Portfolio turnover rate** | 125 | % | 336 | % | 178 | % | ||||||
Portfolio turnover rate (including securities sold short)** | N/A | 336 | % | 181 | % |
See footnote summary on page 78.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||
Six Months Ended April 30, 2021 | Year Ended October 31, 2020 | December 12, 2018(a) to October 31, 2019 | ||||||||||
|
| |||||||||||
Net asset value, beginning of period | $ 9.95 | $ 10.34 | $ 10.00 | |||||||||
|
| |||||||||||
Income From Investment Operations | ||||||||||||
Net investment income(b)(c) | .08 | .09 | .21 | |||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .11 | (.04 | )(d) | .41 | ||||||||
|
| |||||||||||
Net increase in net asset value from operations | .19 | .05 | .62 | |||||||||
|
| |||||||||||
Less: Dividends and Distributions | ||||||||||||
Dividends from net investment income | (.11 | ) | (.31 | ) | (.28 | ) | ||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.13 | ) | – 0 | – | ||||||
|
| |||||||||||
Total dividends and distributions | (.11 | ) | (.44 | ) | (.28 | ) | ||||||
|
| |||||||||||
Net asset value, end of period | $ 10.03 | $ 9.95 | $ 10.34 | |||||||||
|
| |||||||||||
Total Return | ||||||||||||
Total investment return based on net asset value(e) | 1.90 | % | .51 | % | 6.23 | % | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (000’s omitted) | $754 | $730 | $10 | |||||||||
Ratio to average net assets of: | ||||||||||||
Expenses, net of waivers/reimbursements(f) | 1.46 | %^ | 1.48 | % | 1.49 | %^ | ||||||
Expenses, before waivers/reimbursements(f) | 2.27 | %^ | 2.57 | % | 4.02 | %^ | ||||||
Net investment income(c) | 1.61 | %^ | .93 | % | 2.34 | %^ | ||||||
Portfolio turnover rate** | 125 | % | 336 | % | 178 | % | ||||||
Portfolio turnover rate (including securities sold short)** | N/A | 336 | % | 181 | % |
See footnote summary on page 78.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||
Six Months Ended April 30, 2021 | Year Ended October 31, 2020 | December 12, 2018(a) to October 31, 2019 | ||||||||||
|
| |||||||||||
Net asset value, beginning of period | $ 9.95 | $ 10.35 | $ 10.00 | |||||||||
|
| |||||||||||
Income From Investment Operations | ||||||||||||
Net investment income(b)(c) | .13 | .21 | .30 | |||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | .10 | (.08 | )(d) | .41 | ||||||||
|
| |||||||||||
Net increase in net asset value from operations | .23 | .13 | .71 | |||||||||
|
| |||||||||||
Less: Dividends and Distributions | ||||||||||||
Dividends from net investment income | (.16 | ) | (.40 | ) | (.36 | ) | ||||||
Distributions from net realized gain on investment transactions | – 0 | – | (.13 | ) | – 0 | – | ||||||
|
| |||||||||||
Total dividends and distributions | (.16 | ) | (.53 | ) | (.36 | ) | ||||||
|
| |||||||||||
Net asset value, end of period | $ 10.02 | $ 9.95 | $ 10.35 | |||||||||
|
| |||||||||||
Total Return | ||||||||||||
Total investment return based on net asset value(e) | 2.31 | % | 1.34 | % | 7.25 | % | ||||||
Ratios/Supplemental Data | ||||||||||||
Net assets, end of period (000’s omitted) | $49,068 | $41,681 | $15,498 | |||||||||
Ratio to average net assets of: | ||||||||||||
Expenses, net of waivers/reimbursements(f) | .46 | %^ | .48 | % | .49 | %^ | ||||||
Expenses, before waivers/reimbursements(f) | 1.27 | %^ | 1.68 | % | 2.99 | %^ | ||||||
Net investment income(c) | 2.62 | %^ | 2.13 | % | 3.31 | %^ | ||||||
Portfolio turnover rate** | 125 | % | 336 | % | 178 | % | ||||||
Portfolio turnover rate (including securities sold short)** | N/A | 336 | % | 181 | % |
See footnote summary on page 78.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Commencement of operations. |
(b) | Based on average shares outstanding. |
(c) | Net of expenses waived/reimbursed by the Adviser. |
(d) | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Fund’s change in net realized and unrealized gain (loss) on investment transactions for the period. |
(e) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(f) | The expense ratios presented below exclude interest expense: |
Six Months Ended April 30, 2021 | Year Ended October 31, 2020 | December 12, 2018(a) to October 31, 2019 | ||||||||||
Class A | ||||||||||||
Net of waivers/reimbursements | .65 | %^ | .65 | % | .65 | %^ | ||||||
Before waivers/reimbursements | 1.46 | %^ | 1.73 | % | 3.13 | %^ | ||||||
Class C | ||||||||||||
Net of waivers/reimbursements | 1.45 | %^ | 1.45 | % | 1.45 | %^ | ||||||
Before waivers/reimbursements | 2.26 | %^ | 2.54 | % | 3.97 | %^ | ||||||
Advisor Class | ||||||||||||
Net of waivers/reimbursements | .45 | %^ | .45 | % | .45 | %^ | ||||||
Before waivers/reimbursements | 1.25 | %^ | 1.64 | % | 2.95 | %^ |
^ | Annualized. |
** | The Fund accounts for dollar roll transactions as purchases and sales. |
See notes to financial statements.
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BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Scott A. DiMaggio(2), Vice President Gershon M. Distenfeld(2), Matthew S. Sheridan(2), Vice President Emilie D. Wrapp, Secretary | Michael B. Reyes, Senior Analyst Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672 | Independent Registered Public Ernst & Young LLP 5 Times Square New York, NY 10036
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund’s portfolio are made by the Adviser’s Short Duration Income Investment team. Messrs. DiMaggio, Distenfeld and Sheridan are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio. |
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Operation and Effectiveness of the Fund’s Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Fund’s LRMP is adequately designed, has been implemented as intended,
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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Fund, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
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Information Regarding the Review and Approval of the Fund’s Advisory Agreement and New Advisory Agreements
The disinterested directors (the “directors”) of AB Bond Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Short Duration Income Portfolio (the “Fund”) at a meeting held by video conference on November 3-5, 2020 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business
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judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. The Adviser had not requested any reimbursements from the Fund since the Fund’s inception. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for the fiscal period ended December 31, 2018 and calendar year 2019 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.
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Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s unprofitability to the Adviser would be exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-year period ended July 31, 2020 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose, they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the
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Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors previously discussed these matters with an independent fee consultant. The directors also compared the advisory fee rate for the Fund with that for another fund advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
The directors noted that the Fund may invest in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures for a fund, in some cases pending purchases of underlying securities, that the advisory fee for the Fund would be for services in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were
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lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains a breakpoint that reduces the fee rate on assets above a specified level. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also discussed economies of scale with an independent fee consultant. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed the breakpoint in the future.
86 | AB SHORT DURATION INCOME PORTFOLIO | abfunds.com |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
1 | Prior to April 30, 2021, High Yield Portfolio was named FlexFee High Yield Portfolio. |
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NOTES
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NOTES
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NOTES
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NOTES
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NOTES
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AB SHORT DURATION INCOME PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
SDI-0152-0421
APR 04.30.21
SEMI-ANNUAL REPORT
AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
FROM THE PRESIDENT |
Dear Shareholder,
We’re pleased to provide this report for the AB Tax-Aware Fixed Income Opportunities Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 1 |
SEMI-ANNUAL REPORT
June 9, 2021
This report provides management’s discussion of fund performance for the AB Tax-Aware Fixed Income Opportunities Portfolio for the semi-annual reporting period ended April 30, 2021.
The investment objective of the Fund is to seek to maximize after-tax return and income.
NAV RETURNS AS OF APRIL 30, 2021 (unaudited)
6 Months | 12 Months | |||||||
AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | ||||||||
Class A Shares | 8.03% | 20.82% | ||||||
Class C Shares | 7.64% | 19.93% | ||||||
Advisor Class Shares1 | 8.07% | 21.12% | ||||||
Bloomberg Barclays Municipal Bond Index | 2.62% | 7.75% |
1 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
Please keep in mind that high, double-digit returns are highly unusual and cannot be sustained. Investors should also be aware that these returns were primarily achieved during favorable market conditions.
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its benchmark, the Bloomberg Barclays Municipal Bond Index, for the six- and 12-month periods ended April 30, 2021.
All share classes of the Fund outperformed the benchmark during both periods, before sales changes. During the six-month period, overweights to municipal credit contributed, relative to the benchmark. Security selection within the state general obligation (“GO”) sector contributed, while selection in multi-family housing detracted. An overweight to Consumer Price Index (“CPI”) swaps contributed.
For the 12-month period, overweights to municipal credit contributed. Security selection within the state GO sector contributed, while selection in multi-family housing detracted. An overweight to CPI swaps contributed, as inflation expectations increased during the period.
The Fund utilized derivatives in the form of credit default swaps for hedging and investment purposes, which detracted from absolute performance for both periods. Interest rate swaps and CPI swaps were utilized for hedging purposes and added over both periods.
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MARKET REVIEW AND INVESTMENT STRATEGY
During the six-month period ended April 30, 2021, the US economy moved closer to a full reopening and equity markets continued to rally, while interest rates and inflation expectations rose in anticipation of stronger growth ahead. The yield on the 10-year US Treasury rose 72 basis points (“b.p.”) in 2021, to 1.64% as of April 30, 2021. On the bright side for muni investors is that the 10-year AAA municipal bond yield rose just 28 b.p. to 0.99% in the same period—less than half as much as the 10-year Treasury. Through April, municipals posted positive absolute returns of 0.48%, and higher returns, relative to other fixed-income asset classes, such as US Treasuries and US investment-grade corporates, which both posted negative returns. The two main catalysts behind the municipal market’s outperformance were strong investor demand and generally improving fundamentals among municipal issuers. During the first four months of 2021, investors poured $42 billion into the market, on pace for a new calendar-year record, and marked 12 consecutive months of inflows following the dramatic sell-off in municipals associated with the 2020 pandemic.
Demand for income was very apparent during the quarter, as BBB-rated and high-yield credit spreads compressed—53 b.p. and 71 b.p., respectively—leading to outperformance by those credit indices versus high-grade counterparts. Investor concerns around issuer credit fundamentals were calmed by a combination of much better-than-expected tax revenue collections, as well as a bevy of stimulus for municipal issuers from the federal government. Municipalities benefited from three separate stimulus packages. First, the CARES Act supplied a much needed $347 billion to issuers, and this has since been supplemented by a package passed in late December 2020, which had $167 billion appropriated for various municipal sectors. Finally, the American Rescue Plan Act of 2021 supplied $649 billion for issuers. Public rating agencies reacted to the positive credit trends, evidenced by S&P 500’s removal of several noteworthy negative outlooks on large sectors, including state and local government, school districts, mass transit, airports, toll roads and specific issuers such as the state of Illinois.
The Fund’s Senior Investment Management Team (the “Team”) continues to seek investments in attractive after-tax returns such as municipal and taxable fixed-income and selective below investment-grade bonds. The Team seeks to manage interest-rate exposure by focusing on lower-rated municipal and corporate bonds.
The Fund may purchase municipal securities that are insured under policies issued by certain insurance companies. Historically, insured municipal securities typically received a higher credit rating, which meant that the issuer of the securities paid a lower interest rate. As a result of declines in the credit quality and associated downgrades of most bond insurers, insurance has less value than it did in the past. The market now values
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insured municipal securities primarily based on the credit quality of the issuer of the security with little value given to the insurance feature. In purchasing such insured securities, the Adviser evaluates the risk and return of municipal securities through its own research. If an insurance company’s rating is downgraded or the company becomes insolvent, the prices of municipal securities insured by the insurance company may decline. As of April 30, 2021, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity were 2.10% and 0.00%, respectively.
INVESTMENT POLICIES
The Fund pursues its objective by investing principally in a national portfolio of both municipal and taxable fixed-income securities. The Fund invests, under normal circumstances, at least 80% of its net assets in fixed-income securities. The Fund also invests, under normal circumstances, at least 65% of its total assets in municipal securities that pay interest that is exempt from federal income tax. These securities may pay interest that is subject to the federal alternative minimum tax for certain taxpayers. The income earned and distributed to shareholders on non-municipal securities would not be exempt from federal income tax. The Fund may invest in fixed-income securities rated below investment grade (commonly known as “junk bonds”), although such securities are not expected to be the Fund’s primary focus.
The Adviser selects securities for the Fund based on a variety of factors, including credit quality, maturity, diversification benefits, and the relative expected after-tax returns of taxable and municipal securities (considering federal tax rates and without regard to state and local income taxes). As the objective is to increase the after-tax return of the Fund, an investor in the Fund may incur a tax liability that will generally be greater than the same investor would have in a fund investing exclusively in municipal securities, and that will be higher if the investor is in a higher tax bracket. In addition, the tax implications of the Fund’s trading activity, such as realizing taxable gains, are considered in making purchase and sale decisions for the Fund. The Fund may invest in fixed-income securities of any maturity from short- to long-term.
The Fund may also invest in forward commitments; zero-coupon municipal securities; and variable-, floating- and inverse-floating-rate municipal securities.
The Fund may use derivatives, such as swaps, options, futures contracts and forwards, to achieve its investment strategies. For example,
(continued on next page)
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the Fund may enter into tender option bonds and credit default and interest rate swaps relating to municipal and taxable fixed-income securities or securities indices. Derivatives may provide more efficient and economical exposure to fixed-income securities markets than direct investments.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg Barclays Municipal Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Barclays Municipal Bond Index represents the performance of the long-term tax-exempt bond market consisting of investment-grade bonds. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events that, including public health crises (including the occurrence of a contagious disease or illness), affect large portions of the market.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific municipal or corporate developments and negative performance of the junk bond market generally and may be more difficult to trade than other types of securities.
Municipal Market Risk: This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Fund’s investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular state’s municipal securities, the Fund may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of
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DISCLOSURES AND RISKS (continued)
municipal securities, which could impair any such issuer’s ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may continue or worsen, adversely affecting the performance of the Fund. The Fund’s investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.
Congress has previously considered making changes to the municipal securities provisions of the Internal Revenue Code that could change the US federal income tax treatment of certain types of municipal securities.
The Fund invests, from time to time, in the municipal securities of Puerto Rico or other US territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other US issuers of municipal securities. Like many US states and municipalities, Puerto Rico experienced a significant downturn during the 2007-2009 recession. Puerto Rico’s downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment, including as a result of the COVID-19 pandemic. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican municipal securities could continue to be adversely affected, and the market for such securities may experience continued volatility.
Tax Risk: From time to time, the US government and the US Congress consider changes in federal tax law that could limit or eliminate the federal tax exemption for municipal bond income, which would in effect reduce the income received by shareholders from the Fund by increasing taxes on that income. In such event, the Fund’s net asset value (“NAV”) could also decline as yields on municipal bonds, which are typically lower than those on taxable bonds, would be expected to increase to approximately the yield of comparable taxable bonds. Actions or anticipated actions affecting the tax-exempt status of municipal bonds could also result in significant shareholder redemptions of Fund shares as investors anticipate adverse effects on the Fund or seek higher yields to offset the potential loss of the tax deduction. As a result, the Fund would be required to maintain higher levels of cash to meet the redemptions, which would negatively affect the Fund’s yield.
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DISCLOSURES AND RISKS (continued)
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Illiquid Investments Risk: Illiquid investments risk exists when certain investments become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Municipal securities may have more illiquid investments risk than other fixed-income securities because they trade less frequently and the market for municipal securities is generally smaller than many other markets.
Leverage Risk: To the extent the Fund uses leveraging techniques, its NAV may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
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DISCLOSURES AND RISKS (continued)
These and other risks are more fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns and the Fund’s returns shown in the line graphs reflect the applicable sales charges for each share class: a 3% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to their different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
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HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2021 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | |||||||
CLASS A SHARES | ||||||||
1 Year | 20.82% | 17.25% | ||||||
5 Years | 3.74% | 3.11% | ||||||
Since Inception1 | 4.30% | 3.87% | ||||||
CLASS C SHARES | ||||||||
1 Year | 19.93% | 18.93% | ||||||
5 Years | 2.97% | 2.97% | ||||||
Since Inception1 | 3.53% | 3.53% | ||||||
ADVISOR CLASS SHARES2 | ||||||||
1 Year | 21.12% | 21.12% | ||||||
5 Years | 4.00% | 4.00% | ||||||
Since Inception1 | 4.57% | 4.57% |
The Fund’s current prospectus fee table shows the Fund’s total annual operating expense ratios as 1.26%, 2.00% and 0.99% for Class A, Class C and Advisor Class shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Fund’s annual operating expense ratios, exclusive of expenses associated with securities sold short, acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, brokerage commissions and other transaction costs, to 0.75%, 1.50% and 0.50% for Class A, Class C and Advisor Class shares, respectively. These waivers/reimbursements may not be terminated prior to January 31, 2022, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
1 | Inception date: 12/11/2013. |
2 | This share class is offered at NAV to eligible investors and the SEC returns are the same as the NAV returns. Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
MARCH 31, 2021 (unaudited)
SEC Returns (reflects applicable | ||||
CLASS A SHARES | ||||
1 Year | 12.80% | |||
5 Years | 3.09% | |||
Since Inception1 | 3.77% | |||
CLASS C SHARES | ||||
1 Year | 14.38% | |||
5 Years | 2.94% | |||
Since Inception1 | 3.43% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 16.54% | |||
5 Years | 3.97% | |||
Since Inception1 | 4.47% |
1 | Inception date: 12/11/2013. |
2 | Please note that this share class is for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
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EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,080.30 | $ | 3.97 | 0.77 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.98 | $ | 3.86 | 0.77 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,076.40 | $ | 7.83 | 1.52 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.26 | $ | 7.60 | 1.52 | % | ||||||||
Advisor Class |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,080.70 | $ | 2.68 | 0.52 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.22 | $ | 2.61 | 0.52 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 13 |
PORTFOLIO SUMMARY
April 30, 2021 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $115.2
1 | All data are as of April 30, 2021. The Fund’s quality rating and state breakdowns are expressed as a percentage of the Fund’s total investments in municipal securities and may vary over time. The quality ratings are determined by using the S&P Global Ratings (“S&P”), Moody’s Investors Services, Inc. (“Moody’s”) and Fitch Ratings, Ltd. (“Fitch”). The Fund considers the credit ratings issued by S&P, Moody’s and Fitch and uses the highest rating issued by the agencies. These ratings are a measure of the quality and safety of a bond or portfolio, based on the issuer’s financial condition. AAA is the highest (best) and D is the lowest (worst). If applicable, the Pre-refunded category includes bonds which are secured by U.S. Government securities and therefore are deemed high-quality investment-grade by the Adviser. If applicable, Not Applicable (N/A) includes non-creditworthy investments, such as equities, currency contracts, futures and options. If applicable, the Not Rated category includes bonds that are not rated by a nationally recognized statistical rating organization. The Adviser evaluates the creditworthiness of non-rated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment. |
2 | “Other” represents less than 1.7% in 24 different states, American Samoa, District of Columbia and Guam. |
14 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS
April 30, 2021 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
MUNICIPAL OBLIGATIONS – 79.5% |
| |||||||
Long-Term Municipal Bonds – 79.5% |
| |||||||
Alabama – 0.7% |
| |||||||
County of Jefferson AL Sewer Revenue | $ | 110 | $ | 128,393 | ||||
Tuscaloosa County Industrial Development Authority | 595 | 691,337 | ||||||
|
| |||||||
819,730 | ||||||||
|
| |||||||
American Samoa – 0.1% |
| |||||||
American Samoa Economic Development Authority | 135 | 167,274 | ||||||
|
| |||||||
Arizona – 0.6% |
| |||||||
Arizona Industrial Development Authority | 200 | 229,223 | ||||||
Arizona Industrial Development Authority | 200 | 221,397 | ||||||
Arizona Industrial Development Authority | 100 | 105,234 | ||||||
Industrial Development Authority of the City of Phoenix (The) | 100 | 107,472 | ||||||
|
| |||||||
663,326 | ||||||||
|
| |||||||
California – 6.5% |
| |||||||
Alameda Corridor Transportation Authority | 175 | 205,947 | ||||||
California Community Housing Agency | 100 | 110,429 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
California Community Housing Agency | $ | 250 | $ | 277,013 | ||||
California Health Facilities Financing Authority | 1,500 | 1,686,401 | ||||||
California Housing Finance | 157 | 183,685 | ||||||
California Municipal Finance Authority | 250 | 303,956 | ||||||
California Pollution Control Financing Authority | 250 | 264,860 | ||||||
California Statewide Communities Development Authority | 250 | 296,200 | ||||||
City of Los Angeles Department of Airports | 1,000 | 1,276,852 | ||||||
CSCDA Community Improvement Authority | 200 | 213,790 | ||||||
Golden State Tobacco Securitization Corp. | 1,305 | 1,348,252 | ||||||
University of California | 1,000 | 1,301,595 | ||||||
|
| |||||||
7,468,980 | ||||||||
|
| |||||||
Colorado – 2.1% |
| |||||||
City & County of Denver CO | 615 | 656,629 |
16 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Colorado Health Facilities Authority | $ | 200 | $ | 230,556 | ||||
Copper Ridge Metropolitan District | 500 | 530,852 | ||||||
Douglas County Housing Partnership | 250 | 245,959 | ||||||
Pueblo Urban Renewal Authority | 260 | 220,941 | ||||||
Vauxmont Metropolitan District | 480 | 570,586 | ||||||
|
| |||||||
2,455,523 | ||||||||
|
| |||||||
Connecticut – 0.7% |
| |||||||
City of New Haven CT | 615 | 756,844 | ||||||
|
| |||||||
District of Columbia – 0.3% |
| |||||||
District of Columbia | 100 | 114,122 | ||||||
District of Columbia Tobacco Settlement Financing Corp. | 2,500 | 225,886 | ||||||
|
| |||||||
340,008 | ||||||||
|
| |||||||
Florida – 5.2% |
| |||||||
Bexley Community Development District | 100 | 107,480 | ||||||
Capital Trust Agency, Inc. | 100 | 112,525 | ||||||
Citizens Property Insurance, Inc. | 310 | 318,711 | ||||||
City of Tampa FL | 1,000 | 298,395 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
County of Lake FL | $ | 100 | $ | 100,523 | ||||
County of Miami-Dade FL | 780 | 916,551 | ||||||
County of Miami-Dade FL Aviation Revenue | 265 | 308,759 | ||||||
County of Osceola FL Transportation Revenue | 230 | 147,523 | ||||||
Florida Municipal Power Agency | 1,000 | 1,002,204 | ||||||
North Broward Hospital District | 270 | 316,539 | ||||||
Pinellas County Industrial Development Authority | 505 | 598,455 | ||||||
State Board of Administration Finance Corp. | 175 | 176,629 | ||||||
1.705%, 07/01/2027 | 120 | 121,069 | ||||||
Town of Davie FL | 655 | 760,220 | ||||||
Village Community Development District No. 13 | 630 | 675,773 | ||||||
|
| |||||||
5,961,356 | ||||||||
|
| |||||||
Georgia – 0.4% |
| |||||||
City of Atlanta GA Department of Aviation | 310 | 319,492 | ||||||
Municipal Electric Authority of Georgia | 100 | 121,889 | ||||||
|
| |||||||
441,381 | ||||||||
|
| |||||||
Guam – 0.2% |
| |||||||
Territory of Guam | 225 | 251,241 | ||||||
|
|
18 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Illinois – 7.1% |
| |||||||
Chicago Board of Education | $ | 240 | $ | 250,284 | ||||
Series 2019A | 200 | 247,851 | ||||||
Series 2019B | 100 | 122,246 | ||||||
Chicago O’Hare International Airport | 335 | 382,619 | ||||||
Series 2017B | 725 | 876,702 | ||||||
Illinois Finance Authority | 100 | 113,867 | ||||||
Illinois Finance Authority | 77 | 76,521 | ||||||
Illinois Finance Authority | 100 | 118,754 | ||||||
Illinois Finance Authority | 250 | 284,045 | ||||||
Metropolitan Pier & Exposition Authority | 640 | 768,239 | ||||||
Series 2015B | 600 | 680,185 | ||||||
State of Illinois | 270 | 297,649 | ||||||
Series 2016 | 375 | 419,185 | ||||||
Series 2017D | 930 | 1,124,859 | ||||||
Series 2018A | 1,000 | 1,222,785 | ||||||
Series 2019B | 1,000 | 1,244,831 | ||||||
|
| |||||||
8,230,622 | ||||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Indiana – 0.7% |
| |||||||
Indiana Finance Authority | $ | 190 | $ | 209,849 | ||||
Indiana Finance Authority | 100 | 108,782 | ||||||
Indiana Finance Authority | 350 | 329,403 | ||||||
Indiana Housing & Community Development Authority | 100 | 100,543 | ||||||
|
| |||||||
748,577 | ||||||||
|
| |||||||
Iowa – 0.3% |
| |||||||
Iowa Finance Authority | 325 | 369,829 | ||||||
|
| |||||||
Kentucky – 2.0% |
| |||||||
City of Ashland KY | 385 | 423,138 | ||||||
Kentucky Economic Development Finance Authority | 175 | 209,705 | ||||||
Kentucky Economic Development Finance Authority | 160 | 183,703 | ||||||
Kentucky Economic Development Finance Authority | 65 | 65,458 |
20 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Kentucky Economic Development Finance Authority | $ | 425 | $ | 480,340 | ||||
Kentucky Public Energy Authority | 600 | 692,918 | ||||||
Louisville/Jefferson County Metropolitan Government | 225 | 269,463 | ||||||
|
| |||||||
2,324,725 | ||||||||
|
| |||||||
Louisiana – 2.5% |
| |||||||
City of New Orleans LA Water System Revenue | 100 | 116,156 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Auth | 675 | 808,074 | ||||||
Louisiana Public Facilities Authority | 250 | 3 | ||||||
Louisiana Public Facilities Authority | 1,335 | 1,610,512 | ||||||
New Orleans Aviation Board | 215 | 253,656 | ||||||
Parish of St. James LA | 100 | 128,922 | ||||||
|
| |||||||
2,917,323 | ||||||||
|
| |||||||
Maine – 0.2% |
| |||||||
Finance Authority of Maine | 100 | 111,820 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Maine Health & Higher Educational Facilities Authority | $ | 165 | $ | 166,927 | ||||
|
| |||||||
278,747 | ||||||||
|
| |||||||
Maryland – 2.3% |
| |||||||
City of Baltimore MD | 150 | 163,459 | ||||||
Maryland Economic Development Corp. | 600 | 682,992 | ||||||
Maryland Economic Development Corp. | 1,000 | 1,181,565 | ||||||
Maryland Health & Higher Educational Facilities Authority | 500 | 608,003 | ||||||
|
| |||||||
2,636,019 | ||||||||
|
| |||||||
Massachusetts – 1.0% |
| |||||||
Massachusetts Development Finance Agency | 620 | 681,597 | ||||||
Massachusetts Development Finance Agency | 325 | 312,862 | ||||||
Series 2017A | 140 | 136,580 | ||||||
|
| |||||||
1,131,039 | ||||||||
|
| |||||||
Michigan – 1.3% |
| |||||||
City of Detroit MI | 75 | 87,325 | ||||||
Series 2021B | 200 | 199,328 | ||||||
City of Detroit MI Sewage Disposal System Revenue | 115 | 121,328 |
22 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Michigan Finance Authority | $ | 1,000 | $ | 1,050,944 | ||||
Series 2020B | 100 | 12,869 | ||||||
Michigan Tobacco Settlement Finance Authority | 1,450 | 73,315 | ||||||
|
| |||||||
1,545,109 | ||||||||
|
| |||||||
Minnesota – 0.4% |
| |||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority | 400 | 388,500 | ||||||
City of Wayzata MN | 105 | 111,125 | ||||||
|
| |||||||
499,625 | ||||||||
|
| |||||||
Mississippi – 0.3% |
| |||||||
Mississippi Hospital Equipment & Facilities Authority | 250 | 287,534 | ||||||
|
| |||||||
Missouri – 0.3% |
| |||||||
Kansas City Industrial Development Authority | 190 | 193,958 | ||||||
Lee’s Summit Industrial Development Authority | 105 | 110,602 | ||||||
|
| |||||||
304,560 | ||||||||
|
| |||||||
Nebraska – 0.1% |
| |||||||
Central Plains Energy Project | 100 | 106,279 | ||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New Hampshire – 0.3% |
| |||||||
New Hampshire Business Finance Authority | $ | 211 | $ | 249,160 | ||||
New Hampshire Health and Education Facilities Authority Act | 115 | 118,676 | ||||||
|
| |||||||
367,836 | ||||||||
|
| |||||||
New Jersey – 7.8% |
| |||||||
New Jersey Economic Development Authority | 1,000 | 1,207,157 | ||||||
Series 2014P | 200 | 226,090 | ||||||
New Jersey Economic Development Authority | 210 | 222,825 | ||||||
New Jersey Educational Facilities Authority | 100 | 122,715 | ||||||
New Jersey Health Care Facilities Financing Authority | 280 | 339,918 | ||||||
New Jersey Transportation Trust Fund Authority | 550 | 655,914 | ||||||
New Jersey Transportation Trust Fund Authority | 340 | 421,165 | ||||||
Series 2022A | 1,000 | 1,238,650 | ||||||
New Jersey Turnpike Authority | 540 | 666,701 |
24 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2020D | $ | 1,350 | $ | 1,643,333 | ||||
Series 2021B | 1,000 | 981,522 | ||||||
Tobacco Settlement Financing Corp./NJ | 1,045 | 1,223,774 | ||||||
|
| |||||||
8,949,764 | ||||||||
|
| |||||||
New York – 7.0% |
| |||||||
Metropolitan Transportation Authority | 1,155 | 1,356,845 | ||||||
Series 2020C | 1,000 | 1,223,505 | ||||||
Monroe County Industrial Development Corp./NY | 550 | 602,951 | ||||||
New York City Transitional Finance Authority Building Aid Revenue | 865 | 1,095,406 | ||||||
New York Counties Tobacco Trust V | 350 | 55,450 | ||||||
New York State Dormitory Authority | 200 | 231,244 | ||||||
New York State Dormitory Authority | 425 | 479,112 | ||||||
New York State Thruway Authority | 365 | 380,653 | ||||||
New York Transportation Development Corp. | 575 | 664,136 | ||||||
New York Transportation Development Corp. | 150 | 169,115 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Triborough Bridge & Tunnel Authority | $ | 500 | $ | 498,663 | ||||
4.00%, 05/15/2046(b) | 1,000 | 1,192,460 | ||||||
Ulster County Capital Resource Corp. | 120 | 118,410 | ||||||
|
| |||||||
8,067,950 | ||||||||
|
| |||||||
North Carolina – 0.5% |
| |||||||
North Carolina Turnpike Authority | 500 | 596,124 | ||||||
|
| |||||||
North Dakota – 0.1% |
| |||||||
County of Grand Forks ND | 100 | 91,364 | ||||||
|
| |||||||
Ohio – 4.6% |
| |||||||
Buckeye Tobacco Settlement Financing Authority | 295 | 294,855 | ||||||
Series 2020B | 2,045 | 2,297,244 | ||||||
City of Akron OH | 445 | 465,393 | ||||||
City of Chillicothe/OH | 175 | 208,696 | ||||||
County of Cuyahoga OH | 365 | 403,960 | ||||||
County of Cuyahoga OH | 205 | 237,544 | ||||||
County of Marion OH | 100 | 106,748 |
26 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
County of Montgomery OH | $ | 100 | $ | 47,748 | ||||
Ohio Air Quality Development Authority | 145 | 147,224 | ||||||
Ohio Air Quality Development Authority | 100 | 102,918 | ||||||
Ohio Air Quality Development Authority | 580 | 621,073 | ||||||
Ohio Air Quality Development Authority | 185 | 207,757 | ||||||
Ohio Water Development Authority Water Pollution Control Loan Fund | 140 | 144,085 | ||||||
|
| |||||||
5,285,245 | ||||||||
|
| |||||||
Oklahoma – 1.6% |
| |||||||
Norman Regional Hospital Authority | 505 | 541,546 | ||||||
Oklahoma Development Finance Authority | 1,180 | 1,354,016 | ||||||
|
| |||||||
1,895,562 | ||||||||
|
| |||||||
Other – 0.4% |
| |||||||
Federal Home Loan Mortgage Corp. Multifamily VRD Certificates | 375 | 400,782 | ||||||
|
| |||||||
Pennsylvania – 3.9% |
| |||||||
Beaver County Industrial Development Authority | 130 | 133,819 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Bucks County Industrial Development Authority | $ | 250 | $ | 297,531 | ||||
Lancaster County Hospital Authority/PA | 100 | 109,750 | ||||||
Moon Industrial Development Authority | 100 | 106,953 | ||||||
Pennsylvania Economic Development Financing Authority | 510 | 519,432 | ||||||
Pennsylvania Economic Development Financing Authority | 100 | 116,490 | ||||||
Pennsylvania Higher Educational Facilities Authority | 1,050 | 1,343,975 | ||||||
Pennsylvania Turnpike Commission | 200 | 242,551 | ||||||
School District of Philadelphia (The) | 1,350 | 1,647,771 | ||||||
|
| |||||||
4,518,272 | ||||||||
|
| |||||||
Puerto Rico – 5.7% | ||||||||
Children’s Trust Fund | 2,000 | 126,481 | ||||||
Series 2008B | 5,000 | 247,533 | ||||||
Commonwealth of Puerto Rico | 30 | 26,513 | ||||||
Series 2011A | 40 | 34,700 |
28 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2012A | $ | 100 | $ | 84,875 | ||||
Series 2014A | 135 | 108,000 | ||||||
GDB Debt Recovery Authority of Puerto Rico | 149 | 127,746 | ||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | 120 | 131,921 | ||||||
Series 2012A | 215 | 226,371 | ||||||
5.125%, 07/01/2037 | 25 | 26,359 | ||||||
5.25%, 07/01/2029-07/01/2042 | 200 | 211,172 | ||||||
5.50%, 07/01/2028 | 75 | 79,412 | ||||||
5.75%, 07/01/2037 | 50 | 53,090 | ||||||
6.00%, 07/01/2047 | 50 | 53,237 | ||||||
Puerto Rico Electric Power Authority | 85 | 78,625 | ||||||
5.00%, 07/01/2037(c)(h) | 245 | 226,625 | ||||||
Series 2008W | 245 | 226,625 | ||||||
5.375%, 07/01/2024 | 125 | 116,094 | ||||||
Series 2010A | 100 | 92,750 | ||||||
5.25%, 07/01/2030 | 15 | 13,913 | ||||||
Series 2010C | 25 | 23,125 | ||||||
5.25%, 07/01/2028 | 175 | 162,313 | ||||||
Series 2010D | 15 | 13,875 | ||||||
Series 2010X | 340 | 315,350 | ||||||
5.75%, 07/01/2036(c)(h) | 125 | 116,563 | ||||||
Series 2010Z | 40 | 37,100 | ||||||
Series 2012A | 50 | 46,250 | ||||||
5.00%, 07/01/2042(c)(h) | 10 | 9,250 | ||||||
AGM Series 2007V | 375 | 447,766 | ||||||
NATL Series 2007V | 100 | 111,615 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Puerto Rico Highway & Transportation Authority | $ | 125 | $ | 155,102 | ||||
AGC Series 2007N | 110 | 135,149 | ||||||
NATL Series 2007N | 100 | 111,672 | ||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth | 390 | 402,675 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 2,154 | 705,141 | ||||||
Series 2019A | 440 | 480,963 | ||||||
5.00%, 07/01/2058 | 867 | 976,728 | ||||||
|
| |||||||
6,542,679 | ||||||||
|
| |||||||
South Carolina – 0.8% |
| |||||||
South Carolina Public Service Authority | 220 | 247,052 | ||||||
Series 2014C | 325 | 371,381 | ||||||
Series 2016A | 265 | 316,556 | ||||||
|
| |||||||
934,989 | ||||||||
|
| |||||||
Tennessee – 0.7% |
| |||||||
Bristol Industrial Development Board | 370 | 371,056 | ||||||
Chattanooga Health Educational & Housing Facility Board | 130 | 149,955 |
30 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board | $ | 135 | $ | 64,460 | ||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board | 215 | 258,692 | ||||||
|
| |||||||
844,163 | ||||||||
|
| |||||||
Texas – 6.3% | ||||||||
Austin Convention Enterprises, Inc. | 500 | 552,627 | ||||||
Central Texas Regional Mobility Authority | 100 | 108,099 | ||||||
Series 2021C | 1,000 | 1,187,328 | ||||||
City of Houston TX | 160 | 174,271 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue | 1,000 | 1,287,775 | ||||||
Dallas Area Rapid Transit | 580 | 673,481 | ||||||
Dallas County Flood Control District No. 1 | 100 | 104,013 | ||||||
Love Field Airport Modernization Corp. | 500 | 585,543 | ||||||
Mission Economic Development Corp. | 450 | 477,514 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New Hope Cultural Education Facilities Finance Corp. | $ | 100 | $ | 106,535 | ||||
North Texas Tollway Authority | 250 | 288,069 | ||||||
Port Beaumont Navigation District | 100 | 103,626 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | 675 | 682,876 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | 456 | 486,037 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | 100 | 108,561 | ||||||
Texas Private Activity Bond Surface Transportation Corp. | 235 | 282,318 | ||||||
|
| |||||||
7,208,673 | ||||||||
|
| |||||||
Utah – 1.1% | ||||||||
Salt Lake City Corp. Airport Revenue | 1,000 | 1,208,700 | ||||||
|
| |||||||
Virginia – 0.1% | ||||||||
Tobacco Settlement Financing Corp./VA | 165 | 165,917 | ||||||
|
| |||||||
Washington – 1.2% | ||||||||
Pend Oreille County Public Utility District No. 1 Box Canyon | 280 | 312,180 |
32 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Port of Seattle WA | $ | 510 | $ | 576,360 | ||||
Washington State Convention Center Public Facilities District | 235 | 267,703 | ||||||
Washington State Housing Finance Commission | 100 | 109,033 | ||||||
Washington State Housing Finance Commission | 100 | 106,938 | ||||||
|
| |||||||
1,372,214 | ||||||||
|
| |||||||
West Virginia – 0.9% | ||||||||
Tobacco Settlement Finance Authority/WV | 1,000 | 1,017,656 | ||||||
|
| |||||||
Wisconsin – 1.2% | ||||||||
UMA Education, Inc. | 330 | 394,891 | ||||||
Wisconsin Health & Educational Facilities Authority | 100 | 104,646 | ||||||
Wisconsin Public Finance Authority | 350 | 360,594 | ||||||
Wisconsin Public Finance Authority | 100 | 111,227 | ||||||
Wisconsin Public Finance Authority | 130 | 139,671 | ||||||
Wisconsin Public Finance Authority | 260 | 313,543 | ||||||
|
| |||||||
1,424,572 | ||||||||
|
| |||||||
Total Municipal Obligations | 91,598,113 | |||||||
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
CORPORATES - INVESTMENT GRADE – 8.0% | ||||||||
Industrial – 6.3% | ||||||||
Communications - Media – 0.9% | ||||||||
Comcast Corp. | $ | 450 | $ | 487,670 | ||||
TWDC Enterprises 18 Corp. | 475 | 490,209 | ||||||
|
| |||||||
977,879 | ||||||||
|
| |||||||
Consumer Cyclical - Other – 1.0% | ||||||||
Las Vegas Sands Corp. | 600 | 629,154 | ||||||
DR Horton, Inc. | 225 | 237,056 | ||||||
Lennar Corp. | 215 | 235,044 | ||||||
|
| |||||||
1,101,254 | ||||||||
|
| |||||||
Consumer Cyclical - Retailers – 0.6% | ||||||||
NIKE, Inc. | 470 | 497,669 | ||||||
VF Corp. | 230 | 241,576 | ||||||
|
| |||||||
739,245 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 0.4% | ||||||||
PayPal Holdings, Inc. | 235 | 239,385 | ||||||
Abbott Laboratories | 215 | 240,123 | ||||||
|
| |||||||
479,508 | ||||||||
|
| |||||||
Energy – 0.8% | ||||||||
Chevron Corp. | 445 | 480,844 | ||||||
Exxon Mobil Corp. | 445 | 479,323 | ||||||
|
| |||||||
960,167 | ||||||||
|
| |||||||
Services – 1.1% | ||||||||
Amazon.com, Inc. | 235 | 235,287 | ||||||
Mastercard, Inc. | 225 | 235,456 | ||||||
Booking Holdings, Inc. | 440 | 485,896 | ||||||
Mastercard, Inc. | 275 | 303,682 | ||||||
|
| |||||||
1,260,321 | ||||||||
|
|
34 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Technology – 1.5% |
| |||||||
Microsoft Corp. | $ | 460 | $ | 489,610 | ||||
Apple, Inc. | 445 | 486,897 | ||||||
Oracle Corp. | 225 | 236,905 | ||||||
Intel Corp. | 460 | 503,608 | ||||||
|
| |||||||
1,717,020 | ||||||||
|
| |||||||
7,235,394 | ||||||||
|
| |||||||
Financial Institutions – 1.7% |
| |||||||
Banking – 0.7% |
| |||||||
Bank of America Corp. | 100 | 107,657 | ||||||
Bank of New York Mellon Corp. (The) | 100 | 104,829 | ||||||
Comerica, Inc. | 100 | 112,078 | ||||||
Fifth Third Bancorp | 100 | 109,431 | ||||||
Huntington Bancshares, Inc./OH | 100 | 116,502 | ||||||
JPMorgan Chase & Co. | 50 | 51,980 | ||||||
Truist Financial Corp. | 100 | 111,546 | ||||||
Wells Fargo & Co. | 100 | 102,336 | ||||||
|
| |||||||
816,359 | ||||||||
|
| |||||||
Brokerage – 0.4% |
| |||||||
Charles Schwab Corp. (The) | 500 | 503,435 | ||||||
|
| |||||||
Finance – 0.1% |
| |||||||
Aviation Capital Group LLC | 55 | 56,932 | ||||||
|
| |||||||
Insurance – 0.5% |
| |||||||
Centene Corp. | 232 | 243,289 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
MetLife, Inc. | $ | 100 | $ | 100,066 | ||||
Prudential Financial, Inc. | 215 | 232,675 | ||||||
|
| |||||||
576,030 | ||||||||
|
| |||||||
1,952,756 | ||||||||
|
| |||||||
Total Corporates - Investment Grade | 9,188,150 | |||||||
|
| |||||||
ASSET-BACKED SECURITIES – 5.1% |
| |||||||
Autos - Fixed Rate – 4.6% |
| |||||||
Carvana Auto Receivables Trust | 1,000 | 999,717 | ||||||
CPS Auto Receivables Trust | 1,000 | 999,333 | ||||||
Series 2021-B, Class C 1.23%, 03/15/2027(a) | 250 | 249,979 | ||||||
DT Auto Owner Trust | 1,000 | 998,564 | ||||||
JPMorgan Chase Bank NA – CACLN | 1,000 | 1,000,060 | ||||||
Westlake Automobile Receivables Trust | 1,000 | 1,000,210 | ||||||
|
| |||||||
5,247,863 | ||||||||
|
| |||||||
Other ABS - Fixed Rate – 0.5% |
| |||||||
Affirm Asset Securitization Trust | 400 | 399,986 | ||||||
Domino’s Pizza Master Issuer LLC | 200 | 207,349 | ||||||
SoFi Consumer Loan Program Trust | 3 | 2,843 | ||||||
|
| |||||||
610,178 | ||||||||
|
| |||||||
Total Asset-Backed Securities | 5,858,041 | |||||||
|
| |||||||
36 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 1.8% | ||||||||
Risk Share Floating Rate – 1.8% | ||||||||
Bellemeade Re Ltd. | $ | 252 | $ | 251,808 | ||||
Federal Home Loan Mortgage Corp. | 36 | 36,253 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 254 | 265,220 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | 141 | 143,622 | ||||||
Series 2014-C03, Class 2M2 | 83 | 83,662 | ||||||
Series 2015-C01, Class 2M2 | 9 | 9,469 | ||||||
Series 2015-C02, Class 1M2 | 75 | 76,185 | ||||||
Series 2016-C01, Class 1M2 | 167 | 178,176 | ||||||
Series 2016-C02, Class 1M2 | 229 | 241,532 | ||||||
Series 2016-C04, Class 1M2 | 117 | 122,182 | ||||||
Series 2017-C01, Class 1M2 | 173 | 178,382 | ||||||
Series 2017-C02, Class 2M2 | 185 | 191,915 |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2017-C04, Class 2M2 | $ | 239 | $ | 244,536 | ||||
|
| |||||||
Total Collateralized Mortgage Obligations | 2,022,942 | |||||||
|
| |||||||
CORPORATES - NON-INVESTMENT GRADE – 1.1% | ||||||||
Industrial – 1.1% |
| |||||||
Communications - Telecommunications – 0.5% | ||||||||
Intelsat Jackson Holdings SA | 275 | 168,663 | ||||||
T-Mobile USA, Inc. | 115 | 116,977 | ||||||
3.375%, 04/15/2029 | 108 | 109,899 | ||||||
3.50%, 04/15/2031 | 106 | 107,470 | ||||||
|
| |||||||
503,009 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 0.2% |
| |||||||
Newell Brands, Inc. | 173 | 192,710 | ||||||
4.875%, 06/01/2025 | 18 | 19,939 | ||||||
|
| |||||||
212,649 | ||||||||
|
| |||||||
Transportation - Airlines – 0.4% |
| |||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. | 155 | 162,755 | ||||||
5.75%, 04/20/2029(a) | 165 | 176,862 | ||||||
United Airlines, Inc. | 150 | 155,629 | ||||||
|
| |||||||
495,246 | ||||||||
|
| |||||||
Total Corporates - Non-Investment Grade | 1,210,904 | |||||||
|
| |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.4% | ||||||||
Non-Agency Floating Rate CMBS – 0.4% | ||||||||
BAMLL Commercial Mortgage Securities Trust | 250 | 244,339 |
38 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
DBWF Mortgage Trust | $ | 275 | $ | 275,013 | ||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 519,352 | |||||||
|
| |||||||
COLLATERALIZED LOAN | ||||||||
CLO - Floating Rate – 0.2% |
| |||||||
THL Credit Wind River CLO Ltd. | 250 | 250,007 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS – 10.2% | ||||||||
Investment Companies – 10.2% |
| |||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, | 11,768,484 | 11,768,484 | ||||||
|
| |||||||
Total Investments – 106.3% | 122,415,993 | |||||||
Other assets less liabilities – (6.3)% | (7,219,532 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 115,196,461 | ||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||
Morgan Stanley & Co., LLC | ||||||||||||||||||||||||||||
CDX-NAHY | (5.00 | )% | Quarterly | 2.87 | % | USD | 2,000 | $ | (208,165 | ) | $ | (166,872 | ) | $ | (41,293 | ) | ||||||||||||
CDX-NAIG | (1.00 | ) | Quarterly | 0.50 | USD | 3,000 | (78,019 | ) | (63,623 | ) | (14,396 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (286,184 | ) | $ | (230,495 | ) | $ | (55,689 | ) | ||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 39 |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||
Notional | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
USD | 650 | 01/15/2028 | 0.735% | CPI# | Maturity | $ | 94,473 | $ | – 0 | – | $ | 94,473 | ||||||||||||||
USD | 1,110 | 01/15/2028 | 1.230% | CPI# | Maturity | 117,495 | – 0 | – | 117,495 | |||||||||||||||||
USD | 525 | 01/15/2030 | 1.572% | CPI# | Maturity | 50,835 | – 0 | – | 50,835 | |||||||||||||||||
USD | 525 | 01/15/2030 | 1.587% | CPI# | Maturity | 50,025 | – 0 | – | 50,025 | |||||||||||||||||
USD | 1,600 | 01/15/2030 | 1.585% | CPI# | Maturity | 152,788 | – 0 | – | 152,788 | |||||||||||||||||
USD | 1,680 | 01/15/2030 | 1.714% | CPI# | Maturity | 138,020 | – 0 | – | 138,020 | |||||||||||||||||
USD | 1,680 | 01/15/2030 | 1.731% | CPI# | Maturity | 135,047 | – 0 | – | 135,047 | |||||||||||||||||
USD | 900 | 02/15/2051 | CPI# | 2.295% | Maturity | (51,768 | ) | – 0 | – | (51,768 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 686,915 | $ | – 0 | – | $ | 686,915 | ||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
USD | 2,000 | 01/15/2028 | 1.232% | | 3 Month LIBOR | | Semi-Annual/Quarterly | $ | 6,464 | $ | – 0 | – | $ | 6,464 | ||||||||||||||||
USD | 2,650 | 01/15/2028 | 1.044% | | 3 Month LIBOR | | Semi-Annual/Quarterly | 34,052 | – 0 | – | 34,052 | |||||||||||||||||||
USD | 1,000 | 04/01/2039 | 0.774% | | 3 Month LIBOR | | Semi-Annual/Quarterly | 191,572 | – 0 | – | 191,572 | |||||||||||||||||||
USD | 1,100 | 04/01/2039 | 0.932% | | 3 Month LIBOR | | Semi-Annual/Quarterly | 183,173 | – 0 | – | 183,173 | |||||||||||||||||||
USD | 1,200 | 04/01/2039 | 0.780% | | 3 Month LIBOR | | Semi-Annual/Quarterly | 228,650 | (46 | ) | 228,696 | |||||||||||||||||||
USD | 5,000 | 04/01/2044 | | 3 Month LIBOR | | 2.013% | Quarterly/Semi-Annual | (28,409 | ) | – 0 | – | (28,409 | ) | |||||||||||||||||
USD | 3,150 | 04/01/2054 | 1.583% | | 3 Month LIBOR | | Semi-Annual/Quarterly | 380,447 | – 0 | – | 380,447 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 995,949 | $ | (46 | ) | $ | 995,995 | ||||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA. | 3.00 | % | Monthly | 12.50 | % | USD | 515 | $ | (145,454 | ) | $ | (59,543 | ) | $ | (85,911 | ) |
40 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA. | 3.00 | % | Monthly | 12.50 | % | USD | 1,000 | $ | (282,517 | ) | $ | (127,011 | ) | $ | (155,506 | ) | ||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA. | 3.00 | Monthly | 12.50 | USD | 1,000 | (282,516 | ) | (129,223 | ) | (153,293 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 2,750 | (233,108 | ) | 44,211 | (277,319 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (943,595 | ) | $ | (271,566 | ) | $ | (672,029 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
INTEREST RATE SWAPS (see Note D)
Rate Type | ||||||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Citibank, NA | USD | 2,220 | 10/09/2029 | 1.120% | SIFMA* | Quarterly | $ | (12,745 | ) | $ | – 0 | – | $ | (12,745 | ) | |||||||||||||||||||||
Citibank, NA | USD | 2,220 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | (13,747 | ) | – 0 | – | (13,747 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (26,492 | ) | $ | – 0 | – | $ | (26,492 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
* | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the aggregate market value of these securities amounted to $14,111,286 or 12.2% of net assets. |
(b) | When-Issued or delayed delivery security. |
(c) | Defaulted. |
(d) | Restricted and illiquid security. |
Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Louisiana Public Facilities Authority | 07/31/2014 | $ | 173,772 | $ | 3 | 0.00 | % |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 41 |
PORTFOLIO OF INVESTMENTS (continued)
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 0.39% of net assets as of April 30, 2021, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Massachusetts Development Finance Agency | 12/07/2017 | $ | 303,538 | $ | 312,862 | 0.27 | % | |||||||||
Massachusetts Development Finance Agency | 12/07/2017 | 140,000 | 136,580 | 0.12 | % |
(f) | An auction rate security whose interest rate resets at each auction date. Auctions are typically held every week or month. The rate shown is as of April 30, 2021 and the aggregate market value of this security amounted to $388,500 or 0.34% of net assets. |
(g) | Security represents the underlying municipal obligation of an inverse floating rate obligation held by the Fund (see Note I). |
(h) | Non-income producing security. |
(i) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(j) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2021. |
(k) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(l) | Affiliated investments. |
(m) | The rate shown represents the 7-day yield as of period end. |
(n) | 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. |
As of April 30, 2021, the Fund’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 2.1% and 0.0%, respectively.
Glossary:
ABS – Asset-Backed Securities
AGC – Assured Guaranty Corporation
AGM – Assured Guaranty Municipal
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CDX-NAIG – North American Investment Grade Credit Default Swap Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
CPI – Consumer Price Index
ETM – Escrowed to Maturity
LIBOR – London Interbank Offered Rate
NATL – National Interstate Corporation
See notes to financial statements.
42 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2021 (unaudited)
Assets | ||||
Investments in securities, at value | ||||
Unaffiliated issuers (cost $105,599,339) | $ | 110,647,509 | ||
Affiliated issuers (cost $11,768,484) | 11,768,484 | |||
Cash | 172 | |||
Cash collateral due from broker | 1,872,924 | |||
Interest receivable | 1,117,664 | |||
Receivable for capital stock sold | 798,807 | |||
Receivable for variation margin on centrally cleared swaps | 10,777 | |||
Receivable for investment securities sold | 5,000 | |||
Affiliated dividends receivable | 68 | |||
|
| |||
Total assets | 126,221,405 | |||
|
| |||
Liabilities | ||||
Payable for investment securities purchased | 8,183,685 | |||
Payable for floating rate notes issued | 1,600,000 | |||
Market value on credit default swaps (net premiums received $271,566) | 943,595 | |||
Payable for capital stock redeemed | 144,342 | |||
Unrealized depreciation on interest rate swaps | 26,492 | |||
Advisory fee payable | 18,315 | |||
Distribution fee payable | 6,537 | |||
Transfer Agent fee payable | 1,601 | |||
Directors’ fees payable | 1,127 | |||
Other liabilities | 7,502 | |||
Accrued expenses | 91,748 | |||
|
| |||
Total liabilities | 11,024,944 | |||
|
| |||
Net Assets | $ | 115,196,461 | ||
|
| |||
Composition of Net Assets | ||||
Capital stock, at par | $ | 9,985 | ||
Additional paid-in capital | 109,504,261 | |||
Distributable earnings | 5,682,215 | |||
|
| |||
Net Assets | $ | 115,196,461 | ||
|
|
Net Asset Value Per Share—21 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 21,281,832 | 1,844,617 | $ | 11.54 | * | ||||||
| ||||||||||||
C | $ | 2,735,233 | 237,094 | $ | 11.54 | |||||||
| ||||||||||||
Advisor | $ | 91,179,396 | 7,903,085 | $ | 11.54 | |||||||
|
* | The maximum offering price per share for Class A shares was $11.90 which reflects a sales charge of 3.00%. |
See notes to financial statements.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 43 |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2021 (unaudited)
Investment Income | ||||||||
Interest | $ | 1,392,338 | ||||||
Dividends—Affiliated issuers | 323 | $ | 1,392,661 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 199,714 | |||||||
Distribution fee—Class A | 22,296 | |||||||
Distribution fee—Class C | 9,484 | |||||||
Transfer agency—Class A | 4,050 | |||||||
Transfer agency—Class C | 436 | |||||||
Transfer agency—Advisor Class | 15,509 | |||||||
Custody and accounting | 49,380 | |||||||
Administrative | 38,247 | |||||||
Registration fees | 31,759 | |||||||
Audit and tax | 28,344 | |||||||
Legal | 13,958 | |||||||
Printing | 11,136 | |||||||
Directors’ fees | 9,200 | |||||||
Miscellaneous | 4,755 | |||||||
|
| |||||||
Total expenses before interest expense | 438,268 | |||||||
Interest expense | 8,700 | |||||||
|
| |||||||
Total expenses | 446,968 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (186,054 | ) | ||||||
|
| |||||||
Net expenses | 260,914 | |||||||
|
| |||||||
Net investment income | 1,131,747 | |||||||
|
| |||||||
Realized and Unrealized Gain on Investment Transactions | ||||||||
Net realized gain on: | ||||||||
Investment transactions | 241,506 | |||||||
Swaps | 191,448 | |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments | 4,091,921 | |||||||
Swaps | 694,285 | |||||||
|
| |||||||
Net gain on investment transactions | 5,219,160 | |||||||
|
| |||||||
Net Increase in Net Assets from Operations | $ | 6,350,907 | ||||||
|
|
See notes to financial statements.
44 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 1,131,747 | $ | 2,368,847 | ||||
Net realized gain (loss) on investment transactions | 432,954 | (479,678 | ) | |||||
Net change in unrealized appreciation/depreciation of investments | 4,786,206 | (3,162,385 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 6,350,907 | (1,273,216 | ) | |||||
Distributions to Shareholders | ||||||||
Class A | (228,860 | ) | (516,141 | ) | ||||
Class C | (17,200 | ) | (38,826 | ) | ||||
Advisor Class | (962,908 | ) | (2,154,981 | ) | ||||
Capital Stock Transactions |
| |||||||
Net increase (decrease) | 34,687,896 | (1,296,763 | ) | |||||
|
|
|
| |||||
Total increase (decrease) | 39,829,835 | (5,279,927 | ) | |||||
Net Assets | ||||||||
Beginning of period | 75,366,626 | 80,646,553 | ||||||
|
|
|
| |||||
End of period | $ | 115,196,461 | $ | 75,366,626 | ||||
|
|
|
|
See notes to financial statements.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 45 |
NOTES TO FINANCIAL STATEMENTS
April 30, 2021 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of nine portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Tax-Aware Fixed Income Opportunities Portfolio (the “Fund”) (formerly known as AB Tax-Aware Fixed Income Portfolio), a diversified portfolio. The Fund has authorized the issuance of Class A, Class B, Class C, Advisor Class, Class T, Class 1 and Class 2 shares. Class B, Class T, Class 1 and Class 2 shares have not been issued. Class A shares are sold with a front-end sales charge of up to 3.0% for purchases not exceeding $500,000. With respect to purchases of $500,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Advisor Class shares are sold without any initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All seven classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Directors (the “Board”).
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national
46 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 47 |
NOTES TO FINANCIAL STATEMENTS (continued)
or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows
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NOTES TO FINANCIAL STATEMENTS (continued)
which are 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.
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.
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.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2021:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Long-Term Municipal Bonds | $ | – 0 | – | $ | 91,598,113 | $ | – 0 | – | $ | 91,598,113 | ||||||
Corporates—Investment Grade | – 0 | – | 9,188,150 | – 0 | – | 9,188,150 | ||||||||||
Asset-Backed Securities | – 0 | – | 5,458,055 | 399,986 | 5,858,041 | |||||||||||
Collateralized Mortgage Obligations | – 0 | – | 2,022,942 | – 0 | – | 2,022,942 | ||||||||||
Corporates—Non-Investment Grade | – 0 | – | 1,210,904 | – 0 | – | 1,210,904 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 519,352 | – 0 | – | 519,352 | ||||||||||
Collateralized Loan Obligations | – 0 | – | 250,007 | – 0 | – | 250,007 | ||||||||||
Short-Term Investments | 11,768,484 | – 0 | – | – 0 | – | 11,768,484 | ||||||||||
Liabilities: | ||||||||||||||||
Floating Rate Notes(a) | (1,600,000 | ) | – 0 | – | – 0 | – | (1,600,000 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 10,168,484 | 110,247,523 | 399,986 | 120,815,993 |
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NOTES TO FINANCIAL STATEMENTS (continued)
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | $ | – 0 | – | $ | 738,683 | $ | – 0 | – | $ | 738,683 | (c) | |||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 1,024,358 | – 0 | – | 1,024,358 | (c) | |||||||||
Liabilities: | ||||||||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (286,184 | ) | – 0 | – | (286,184 | )(c) | ||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | (51,768 | ) | – 0 | – | (51,768 | )(c) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (28,409 | ) | – 0 | – | (28,409 | )(c) | ||||||||
Credit Default Swaps | – 0 | – | (943,595 | ) | – 0 | – | (943,595 | ) | ||||||||
Interest Rate Swaps | – 0 | – | (26,492 | ) | – 0 | – | (26,492 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 10,168,484 | $ | 110,674,116 | $ | 399,986 | $ | 121,242,586 | ||||||||
|
|
|
|
|
|
|
|
(a) | The Fund may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(c) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
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NOTES TO FINANCIAL STATEMENTS (continued)
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
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NOTES TO FINANCIAL STATEMENTS (continued)
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .45% of the first $2.5 billion, .40% of the excess over $2.5 billion up to $5 billion and .35% in excess of $5 billion of the Fund’s average daily net assets. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding expenses associated with securities sold short, acquired fund fees and expenses other than the advisory fees of any AB mutual funds in which the Fund may invest, interest expense, taxes, extraordinary expenses, and brokerage commissions and other transaction costs), on an annual basis (the “Expense Caps”) to .75%, 1.50% and .50%, of average daily net assets for Class A, Class C and Advisor Class shares, respectively. For the six months ended April 30, 2021, such reimbursements/waivers amounted to $146,336. The Expense Caps may not be terminated before January 31, 2022.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2021, the Adviser voluntarily agreed to waive such fees in the amount of $38,247.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $9,000 for the six months ended April 30, 2021.
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $133 from the sale of Class A shares and received $0 and $221 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2021.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the
52 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2021, such waiver amounted to $1,471.
A summary of the Fund’s transactions in AB mutual funds for the six months ended April 30, 2021 is as follows:
Fund | Market Value 10/31/20 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 4/30/21 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 456 | $ | 32,154 | $ | 20,842 | $ | 11,768 | $ | 0 | * |
* | Amount is less than $500. |
During the second quarter of 2018, AXA S.A. (“AXA”), a French holding company for the AXA Group, completed the sale of a minority stake in its subsidiary, AXA Equitable Holdings, Inc. (now named Equitable Holdings, Inc.)(“Equitable”), through an initial public offering. Equitable is the holding company for a diverse group of financial services companies, including an approximate 65% economic interest in the Adviser and a 100% interest in AllianceBernstein Corporation, the general partner of the Adviser. Since the initial sale, AXA has completed additional offerings (and related transactions). As a result, as of May 20, 2021, AXA no longer owns shares of Equitable.
Sales that were completed on November 13, 2019 resulted in the indirect transfer of a “controlling block” of voting securities of the Adviser (a “Change of Control Event”) and may have been deemed to have been an “assignment” causing a termination of the Fund’s investment advisory and administration agreements. In order to ensure that investment advisory and administration services could continue uninterrupted in the event of a Change of Control Event, the Board previously approved new investment advisory and administration agreements with the Adviser, and shareholders of the Fund subsequently approved the new investment advisory agreement. These agreements became effective on November 13, 2019.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to 0.30% of the Fund’s average daily net assets attributable to Class A shares and 1% of the Fund’s
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NOTES TO FINANCIAL STATEMENTS (continued)
average daily net assets attributable to Class C shares. The fees are accrued daily and paid monthly. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares’ average daily net assets. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amount of $25,712 for Class C shares. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2021 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 36,845,998 | $ | 6,179,895 | ||||
U.S. government securities. | –��0 | – | – 0 | – |
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation | $ | 7,359,582 | ||
Gross unrealized depreciation | (1,382,712 | ) | ||
|
| |||
Net unrealized appreciation | $ | 5,976,870 | ||
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates or credit risk. A swap is an agreement that obligates two parties to
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NOTES TO FINANCIAL STATEMENTS (continued)
exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for OTC swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
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NOTES TO FINANCIAL STATEMENTS (continued)
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2021, the Fund held interest rate swaps for hedging purposes.
Inflation (CPI) Swaps:
Inflation swap agreements are contracts in which one party agrees to pay the cumulative percentage increase in a price index (the Consumer
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NOTES TO FINANCIAL STATEMENTS (continued)
Price Index with respect to CPI swaps) over the term of the swap (with some lag on the inflation index), and the other pays a compounded fixed rate. Inflation swaps may be used to protect the net asset value, or NAV, of a Fund against an unexpected change in the rate of inflation measured by an inflation index since the value of these agreements is expected to increase if there are unexpected inflation increases.
During the six months ended April 30, 2021, the Fund held inflation (CPI) swaps for hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
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NOTES TO FINANCIAL STATEMENTS (continued)
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2021, the Fund held credit default swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
58 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
During the six months ended April 30, 2021, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | $ | 55,689 | * | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | $ | 1,763,087 | * | Receivable/Payable for variation margin on centrally cleared swaps | | 80,177 | * | ||||
Interest rate contracts | Unrealized depreciation on interest rate swaps | | 26,492 | |||||||||
Credit contracts | Market value on credit default swaps | 943,595 | ||||||||||
|
|
|
| |||||||||
Total | $ | 1,763,087 | $ | 1,105,953 | ||||||||
|
|
|
|
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
Derivative Type | Location of | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | 467,852 | $ | 249,619 | |||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (276,404 | ) | 444,666 | ||||||
|
|
|
| |||||||
Total | $ | 191,448 | $ | 694,285 | ||||||
|
|
|
|
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 59 |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended April 30, 2021:
Interest Rate Swaps: | ||||
Average notional amount | $ | 4,440,000 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 21,586,429 | ||
Centrally Cleared Inflation Swaps: | ||||
Average notional amount | $ | 9,557,143 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 5,956,429 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 4,021,429 |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of April 30, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 454,463 | $ | – 0 | – | $ | (454,463 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Credit Suisse International | 282,516 | – 0 | – | (256,000 | ) | – 0 | – | 26,516 | ||||||||||||
JPMorgan Chase Bank | 233,108 | – 0 | – | (233,108 | ) | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 970,087 | $ | – 0 | – | $ | (943,571 | ) | $ | – 0 | – | $ | 26,516 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
60 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Shares sold | 485,976 | 1,063,656 | $ | 5,556,904 | $ | 11,231,752 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 10,128 | 20,938 | 115,422 | 223,947 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 23,523 | 16,357 | 269,345 | 166,789 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (195,857 | ) | (656,125 | ) | (2,201,720 | ) | (6,848,767 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 323,770 | 444,826 | $ | 3,739,951 | $ | 4,773,721 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||
Shares sold | 114,833 | 63,704 | $ | 1,315,434 | $ | 708,055 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 1,086 | 2,452 | 12,340 | 26,233 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (23,523 | ) | (16,357 | ) | (269,345 | ) | (166,789 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (21,020 | ) | (27,959 | ) | (238,305 | ) | (286,256 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 71,376 | 21,840 | $ | 820,124 | $ | 281,243 | ||||||||||||||||||
| ||||||||||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Shares sold | 3,464,491 | 6,370,236 | $ | 39,584,763 | $ | 68,728,672 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends | 41,025 | 83,044 | 468,050 | 891,901 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (877,798 | ) | (7,230,083 | ) | (9,924,992 | ) | (75,972,300 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 2,627,718 | (776,803 | ) | $ | 30,127,821 | $ | (6,351,727 | ) | ||||||||||||||||
|
NOTE F
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 61 |
NOTES TO FINANCIAL STATEMENTS (continued)
to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment Grade Securities Risk—Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific municipal or corporate developments and negative performance of the junk bond market generally and may be more difficult to trade than other types of securities.
Municipal Market Risk—This is the risk that special factors may adversely affect the value of municipal securities and have a significant effect on the yield or value of the Fund’s investments in municipal securities. These factors include economic conditions, political or legislative changes, public health crises, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. To the extent that the Fund invests more of its assets in a particular state’s municipal securities, the Fund may be vulnerable to events adversely affecting that state, including economic, political and regulatory occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, fires or earthquakes. For example, the novel coronavirus (COVID-19) pandemic has significantly stressed the financial resources of many issuers of municipal securities, which could impair any such issuer’s ability to meet its financial obligations when due and adversely impact the value of its securities held by the Fund. As the full effects of the COVID-19 pandemic on state and local economies and on issuers of municipal securities are still uncertain, the financial difficulties of issuers of municipal securities may continue or worsen, adversely affecting the performance of the Fund. The Fund’s investments in certain municipal securities with principal and interest payments that are made from the revenues of a specific project or facility, and not general tax revenues, may have increased risks. Factors affecting the project or facility, such as local business or economic conditions, could have a significant effect on the project’s ability to make payments of principal and interest on these securities.
Congress has previously considered making changes to the municipal securities provisions of the Internal Revenue Code that could change the U.S. federal income tax treatment of certain types of municipal securities.
62 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
The Fund invests, from time to time, in the municipal securities of Puerto Rico or other U.S. territories and their governmental agencies and municipalities, which are exempt from federal, state, and, where applicable, local income taxes. These municipal securities may have more risks than those of other U.S. issuers of municipal securities. Like many U.S. states and municipalities, Puerto Rico experienced a significant downturn during the 2007-2009 recession. Puerto Rico’s downturn was particularly severe, and Puerto Rico continues to face a very challenging economic and fiscal environment, including as a result of the COVID-19 pandemic. If the general economic situation in Puerto Rico continues to persist or worsens, the volatility and credit quality of Puerto Rican municipal securities could continue to be adversely affected, and the market for such securities may experience continued volatility.
Tax Risk—From time to time, the U.S. Government and the U.S. Congress consider changes in federal tax law that could limit or eliminate the federal tax exemption for municipal bond income, which would in effect reduce the income received by shareholders from the Fund by increasing taxes on that income. In such event, the Fund’s NAV could also decline as yields on municipal bonds, which are typically lower than those on taxable bonds, would be expected to increase to approximately the yield of comparable taxable bonds. Actions or anticipated actions affecting the tax exempt status of municipal bonds could also result in significant shareholder redemptions of Fund shares as investors anticipate adverse effects on the Fund or seek higher yields to offset the potential loss of the tax deduction. As a result, the Fund would be required to maintain higher levels of cash to meet the redemptions, which would negatively affect the Fund’s yield.
Interest Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Duration Risk—Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 63 |
NOTES TO FINANCIAL STATEMENTS (continued)
money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities.
Illiquid Investments Risk—Illiquid investments risk exists when certain investments become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes and large positions. Municipal securities may have more illiquid investments risk than other fixed-income securities because they trade less frequently and the market for municipal securities is generally smaller than many other markets.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected on the statement of assets and liabilities.
LIBOR Transition and Associated Risk—A Fund may invest in debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. The United Kingdom Financial Conduct Authority, which regulates LIBOR, will cease publishing certain LIBOR benchmarks at the end of 2021. Although certain LIBOR rates are intended to be published until June 2023, banks are strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and the Secured Overnight Financing Rate, global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition
64 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
away from LIBOR is underway but remains incomplete. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2021.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 65 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2021 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2020 and October 31, 2019 were as follows:
2020 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 526,813 | $ | 563,591 | ||||
|
|
|
| |||||
Total taxable distributions | 526,813 | 563,591 | ||||||
Tax-exempt distributions | 2,183,135 | 1,536,089 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 2,709,948 | $ | 2,099,680 | ||||
|
|
|
|
As of October 31, 2020, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Accumulated capital and other losses | $ | (1,779,558 | )(a) | |
Unrealized appreciation/(depreciation) | 2,324,382 | (b) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 544,824 | (c) | |
|
|
(a) | As of October 31, 2020, the Fund had a net capital loss carryforward of $1,779,558. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax treatment of swaps, the tax deferral of losses on wash sales, and the tax treatment of tender option bonds. |
(c) | The difference between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2020, the Fund had a net short-term capital loss carryforward of $1,631,007 and a net long-term capital loss carryforward of $148,551, which may be carried forward for an indefinite period.
NOTE I
Floating Rate Notes Issued in Connection with Securities Held
The Fund may engage in tender option bond (“TOB”) transactions in which the Fund transfers a fixed rate bond (“Fixed Rate Bond”) into a Special Purpose Vehicle (the “SPV”, which is generally organized as a trust). The Fund buys a residual interest in the assets and cash flows of the SPV, often referred to as an inverse floating rate obligation (“Inverse Floater”). The SPV also issues floating rate notes (“Floating Rate Notes”) which are sold to third parties. The Floating Rate Notes pay interest at rates that generally reset weekly and their holders have the option to tender their notes to a liquidity provider for redemption at par. The Inverse Floater held
66 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
by the Fund gives the Fund the right (1) to cause the holders of the Floating Rate Notes to tender their notes at par, and (2) to have the trustee transfer the Fixed Rate Bond held by the SPV to the Fund, thereby collapsing the SPV. The SPV may also be collapsed in certain other circumstances. In accordance with U.S. GAAP requirements regarding accounting for transfers and servicing of financial assets and extinguishments of liabilities, the Fund accounts for the transaction described above as a secured borrowing by including the Fixed Rate Bond in its portfolio of investments and the Floating Rate Notes as a liability under the caption “Payable for floating rate notes issued” in its statement of assets and liabilities. Interest expense related to the Fund’s liability with respect to Floating Rate Notes is recorded as incurred. The interest expense is also included in the Fund’s expense ratio. At April 30, 2021, the amount of the Fund’s Floating Rate Notes outstanding was $1,600,000 and the related interest rate was 0.09% to 0.22%. For the six months ended April 30, 2021, the average amount of Floating Rate Notes outstanding and the daily weighted average interest rate were $1,600,000 and 0.97%, respectively.
The Fund may also purchase Inverse Floaters in the secondary market without first owning the underlying bond. Such an Inverse Floater is included in the Fund’s portfolio of investments but is not required to be treated as a secured borrowing and reflected in the Fund’s financial statements as a secured borrowing.
NOTE J
Subsequent Events
As of April 30, 2021, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Effective May 31, 2021, Class C shares will automatically convert to Class A shares after eight years instead of ten years.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Fund’s financial statements through this date.
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 67 |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.82 | $ 11.09 | $ 10.46 | $ 10.77 | $ 10.87 | $ 10.59 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .14 | .29 | .30 | .24 | .21 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .73 | (.23 | ) | .65 | (.30 | ) | (.10 | )(c) | .28 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .87 | .06 | .95 | (.06 | ) | .11 | .50 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.15 | ) | (.33 | ) | (.32 | ) | (.25 | ) | (.21 | ) | (.22 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.54 | $ 10.82 | $ 11.09 | $ 10.46 | $ 10.77 | $ 10.87 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 8.03 | % | .63 | % | 9.15 | % | (.55 | )% | 1.09 | % | 4.69 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $21,282 | $16,463 | $11,932 | $5,666 | $8,065 | $6,385 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) | .77 | %^ | .77 | % | .76 | % | .75 | % | .75 | % | .80 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) | 1.19 | %^ | 1.26 | % | 1.30 | % | 1.27 | % | 1.40 | % | 1.72 | % | ||||||||||||
Net investment income(b) | 2.38 | %^ | 2.68 | % | 2.78 | % | 2.26 | % | 2.01 | % | 1.98 | % | ||||||||||||
Portfolio turnover rate | 7 | % | 63 | % | 52 | % | 68 | % | 34 | % | 36 | % |
See footnote summary on page 71.
68 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.83 | $ 11.09 | $ 10.46 | $ 10.77 | $ 10.87 | $ 10.59 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .09 | .20 | .22 | .16 | .13 | .13 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .72 | (.21 | ) | .65 | (.30 | ) | (.10 | )(c) | .28 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .81 | (.01 | ) | .87 | (.14 | ) | .03 | .41 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.10 | ) | (.25 | ) | (.24 | ) | (.17 | ) | (.13 | ) | (.13 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.54 | $ 10.83 | $ 11.09 | $ 10.46 | $ 10.77 | $ 10.87 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 7.64 | % | (.03 | )%+ | 8.33 | % | (1.29 | )% | .33 | % | 3.91 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,735 | $1,794 | $1,596 | $769 | $1,056 | $2,022 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) | 1.52 | %^ | 1.52 | % | 1.51 | % | 1.50 | % | 1.50 | % | 1.55 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) | 1.94 | %^ | 2.00 | % | 2.06 | % | 2.02 | % | 2.18 | % | 2.47 | % | ||||||||||||
Net investment income(b) | 1.63 | %^ | 1.91 | % | 2.05 | % | 1.52 | % | 1.25 | % | 1.23 | % | ||||||||||||
Portfolio turnover rate | 7 | % | 63 | % | 52 | % | 68 | % | 34 | % | 36 | % |
See footnote summary on page 71.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 10.83 | $ 11.09 | $ 10.46 | $ 10.77 | $ 10.87 | $ 10.59 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .15 | .31 | .33 | .27 | .24 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | .72 | (.21 | ) | .64 | (.30 | ) | (.10 | )(c) | .28 | |||||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | .87 | .10 | .97 | (.03 | ) | .14 | .52 | |||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends | ||||||||||||||||||||||||
Dividends from net investment income | (.16 | ) | (.36 | ) | (.34 | ) | (.28 | ) | (.24 | ) | (.24 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.54 | $ 10.83 | $ 11.09 | $ 10.46 | $ 10.77 | $ 10.87 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | 8.07 | % | .97 | % | 9.42 | % | (.30 | )% | 1.34 | % | 4.96 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $91,179 | $57,110 | $67,119 | $57,432 | $59,782 | $33,667 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements(e)(f) | .52 | %^ | .52 | % | .51 | % | .50 | % | .50 | % | .55 | % | ||||||||||||
Expenses, before waivers/reimbursements(e)(f) | .93 | %^ | .99 | % | 1.05 | % | 1.02 | % | 1.15 | % | 1.47 | % | ||||||||||||
Net investment income(b) | 2.62 | %^ | 2.87 | % | 3.04 | % | 2.52 | % | 2.26 | % | 2.24 | % | ||||||||||||
Portfolio turnover rate | 7 | % | 63 | % | 52 | % | 68 | % | 34 | % | 36 | % |
See footnote summary on page 71.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Due to timing of sales and repurchase of capital shares, the net realized and unrealized gain (loss) per share is not in accordance with the Fund’s change in net realized and unrealized gain (loss) on investment transactions for the period. |
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Total investment return calculated for a period of less than one year is not annualized. |
(e) | In connection with the Fund’s investments in affiliated underlying portfolios, the Fund incurs no direct expenses, but bears proportionate shares of the fees and expenses (i.e., operating, administrative and investment advisory fees) of the affiliated underlying portfolios. The Adviser has contractually agreed to waive its fees from the Fund in an amount equal to the Fund’s pro rata share of certain acquired fund fees and expenses, and for the year ended October 31, 2017, such waiver amounted to .01%. |
(f) | The expense ratios presented below exclude interest/bank overdraft: |
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Net of waivers/reimbursements | .75 | %^ | .75% | .75% | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | 1.17 | %^ | 1.23% | 1.29% | N/A | N/A | N/A | |||||||||||||||||
Class C | ||||||||||||||||||||||||
Net of waivers/reimbursements | 1.50 | %^ | 1.50% | 1.50% | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | 1.92 | %^ | 1.98% | 2.04% | N/A | N/A | N/A | |||||||||||||||||
Advisor Class | ||||||||||||||||||||||||
Net of waivers/reimbursements | .50 | %^ | .50% | .50% | N/A | N/A | N/A | |||||||||||||||||
Before waivers/reimbursements | .91 | %^ | .96% | 1.04% | N/A | N/A | N/A |
+ | The net asset value and total return include adjustments in accordance with accounting principles generally accepted in the United States of America for financial reporting purposes. As such, the net asset value and total return for shareholder transactions may differ from financial statements. |
^ | Annualized. |
See notes to financial statements.
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BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Terrance T. Hults(2), Vice President Shawn E. Keegan(2), Vice President Matthew J. Norton(2), Vice President Andrew D. Potter(2), Vice President Emilie D. Wrapp, Secretary | Michael B. Reyes, Senior Analyst Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672 | Independent Registered Public Accounting Firm Ernst & Young LLP 5 Times Square New York, NY 10036
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 | The day-to-day management of, and investment decisions for, the Fund are made by its Tax-Aware Investment Team. Messrs. Hults, Keegan, Norton and Potter are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s portfolio. |
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Operation and Effectiveness of the Fund’s Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Fund’s LRMP is adequately designed, has been implemented as intended,
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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Fund, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
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Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AB Bond Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Tax-Aware Fixed Income Opportunities Portfolio (formerly AB Tax-Aware Fixed Income Portfolio) (the “Fund”) at a meeting held by video conference on November 3-5, 2020 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment. The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment
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research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. The Adviser had not requested any reimbursements from the Fund in the Fund’s latest fiscal year. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2018 and 2019 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant retained at the request of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution expenses. The directors noted that the Fund was not profitable to the Adviser in the periods reviewed.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Fund’s unprofitability to the Adviser would be
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exacerbated without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3- and 5-year periods ended July 31, 2020 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median.
The Adviser informed the directors that there were no institutional products managed by the Adviser that utilize investment strategies similar to those of the Fund.
The directors noted that the Fund invests in shares of exchange-traded funds (“ETFs”), subject to the restrictions and limitations of the Investment Company Act of 1940 as these may be varied as a result of exemptive orders issued by the SEC. The directors also noted that ETFs pay advisory fees pursuant to their advisory contracts, and that the Adviser had provided, and they had reviewed, information about the expense ratios of the relevant ETFs. The directors concluded, based on the Adviser’s explanation of how it uses ETFs when they are the most cost-effective way to obtain desired exposures, in some cases pending purchases of underlying securities, that the advisory fee for the Fund is for services that are in addition to, rather than duplicative of, the services provided under the advisory contracts of the ETFs.
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In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also previously discussed economies of scale with an independent fee consultant. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
78 | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | abfunds.com |
This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
1 | Prior to April 30, 2021, High Yield Portfolio was named FlexFee High Yield Portfolio. |
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 79 |
NOTES
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NOTES
abfunds.com | AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO | 81 |
NOTES
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NOTES
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NOTES
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AB TAX-AWARE FIXED INCOME OPPORTUNITIES PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
TAFIO-0152-0421
APR 04.30.21
SEMI-ANNUAL REPORT
AB TOTAL RETURN BOND PORTFOLIO
As of January 1, 2021, as permitted by new regulations adopted by the Securities and Exchange Commission, the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on a website, and you will be notified by mail each time a report is posted and provided with a website address to access the report.
You may elect to receive all future reports in paper form free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports; if you invest directly with the Fund, you can call the Fund at (800) 221 5672. Your election to receive reports in paper form will apply to all funds held in your account with your financial intermediary or, if you invest directly, to all AB Mutual Funds you hold.
Investment Products Offered | • Are Not FDIC Insured • May Lose Value • Are Not Bank Guaranteed |
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
This shareholder report must be preceded or accompanied by the Fund’s prospectus for individuals who are not current shareholders of the Fund.
You may obtain a description of the Fund’s proxy voting policies and procedures, and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge. Simply visit AB’s website at www.abfunds.com, or go to the Securities and Exchange Commission’s (the “Commission”) website at www.sec.gov, or call AB at (800) 227 4618.
The Fund files its complete schedule of portfolio holdings with the Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the Commission’s website at www.sec.gov. The Fund’s Forms N-PORT may also be reviewed and copied at the Commission’s Public Reference Room in Washington, DC; information on the operation of the Public Reference Room may be obtained by calling (800) SEC 0330. AB publishes full portfolio holdings for the Fund monthly at www.abfunds.com.
AllianceBernstein Investments, Inc. (ABI) is the distributor of the AB family of mutual funds. ABI is a member of FINRA and is an affiliate of AllianceBernstein L.P., the Adviser of the funds.
The [A/B] logo is a registered service mark of AllianceBernstein and AllianceBernstein® is a registered service mark used by permission of the owner, AllianceBernstein L.P.
FROM THE PRESIDENT |
Dear Shareholder,
We’re pleased to provide this report for the AB Total Return Bond Portfolio (the “Fund”). Please review the discussion of Fund performance, the market conditions during the reporting period and the Fund’s investment strategy.
At AB, we’re striving to help our clients achieve better outcomes by:
+ | Fostering diverse perspectives that give us a distinctive approach to navigating global capital markets |
+ | Applying differentiated investment insights through a connected global research network |
+ | Embracing innovation to design better ways to invest and leading-edge mutual-fund solutions |
Whether you’re an individual investor or a multibillion-dollar institution, we’re putting our knowledge and experience to work for you every day.
For more information about AB’s comprehensive range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in AB mutual funds—and for placing your trust in our firm.
Sincerely,
Onur Erzan
President and Chief Executive Officer, AB Mutual Funds
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 1 |
SEMI-ANNUAL REPORT
June 11, 2021
This report provides management’s discussion of fund performance for the AB Total Return Bond Portfolio for the semi-annual reporting period ended April 30, 2021.
The Fund’s investment objective is to maximize long-term total return without assuming what the Adviser considers undue risk.
NAV RETURNS AS OF APRIL 30, 2021 (unaudited)
6 Months | 12 Months | |||||||
AB TOTAL RETURN BOND PORTFOLIO | ||||||||
Class A Shares | -0.24 | % | 7.08 | % | ||||
Class C Shares | -0.52 | % | 6.29 | % | ||||
Advisor Class Shares1 | -0.03 | % | 7.34 | % | ||||
Class R Shares1 | -0.28 | % | 6.80 | % | ||||
Class K Shares1 | -0.24 | % | 7.07 | % | ||||
Class I Shares1 | -0.12 | % | 7.33 | % | ||||
Class Z Shares1 | -0.11 | % | 7.32 | % | ||||
Bloomberg Barclays US Aggregate Bond Index | -1.52 | % | -0.27 | % |
1 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
INVESTMENT RESULTS
The table above shows the Fund’s performance compared to its benchmark, the Bloomberg Barclays US Aggregate Bond Index, for the six- and 12-month periods ended April 30, 2021.
During the six-month period, all share classes of the Fund outperformed the benchmark, before sales charges. Sector allocation was the primary contributor, relative to the benchmark, mostly from an underweight to US Treasuries and off-benchmark exposure to agency risk-sharing transactions. Security selection also contributed, as selection among investment-grade corporate bonds more than offset a loss in high-yield corporate bonds. The Fund’s longer-than-benchmark duration detracted from performance. Currency decisions also detracted, due to losses in the Australian dollar, New Zealand dollar and Canadian dollar, which were partially offset by gains in the euro and Russian ruble.
2 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
During the 12-month period, all share classes of the Fund outperformed the benchmark, before sales charges. Sector allocation was the main contributor to outperformance, mostly from off-benchmark exposure to agency risk-sharing transactions and high-yield corporate bonds, underweights to US Treasuries and US agency mortgages, and an overweight to commercial mortgage-backed securities (“CMBS”). Security selection also contributed, as selection within investment-grade corporate bonds, asset-backed securities and CMBS partially offset a loss among high-yield corporate bonds. The Fund’s longer-than-benchmark duration detracted from performance. Currency decisions also detracted, as losses in the New Zealand dollar, Canadian dollar and Australian dollar were greater than gains in the euro and Russian ruble.
During both periods, the Fund utilized currency forwards to hedge currency risk and actively manage currency positions. Credit default swaps were utilized in the corporate and CMBS sectors for hedging and investment purposes. Total return swaps and written options were utilized in the corporate sectors for hedging and investment purposes. Treasury futures and interest rate swaps were utilized to manage duration, country exposure and yield-curve positioning. Written swaptions were used for duration management.
MARKET REVIEW AND INVESTMENT STRATEGY
Global fixed-income market returns were mixed over the six-month period ended April 30, 2021, with elevated volatility and dispersion between regions and credit sectors. After the positive impact of massive fiscal stimulus enacted by governments and central bank monetary policies, longer-term treasury yields continued to steadily rise during the period, based on expectations of an economic growth recovery. Developed-market government bond returns fell sharply in all major developed markets except Japan, where treasury returns were slightly positive. Historically low interest rates also set the stage for a sharp rebound in risk assets, which began to significantly rise in November, when positive vaccine news extended the credit rally. Emerging-market high-yield hard-currency sovereign bonds, along with emerging- and developed-market high-yield corporate bonds, led significant gains against developed-market treasuries with strong positive returns, as investors searched for higher yields in a period of historically low interest rates. Emerging-market local-currency bonds and investment-grade corporate bonds in Europe and emerging markets also had positive results. Investment-grade emerging-market sovereign bonds and US corporate bonds had negative returns, yet outperformed developed-market treasuries. Securitized assets outperformed US Treasuries, with slightly negative results. The US dollar fell against all major developed-market currencies except the yen and also fell against most emerging-market currencies during the period. Brent crude oil prices significantly rebounded on the improved global economic outlook and
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 3 |
OPEC+ production cuts, and copper advanced near an all-time high partly due to increased demand for infrastructure and green-energy initiatives.
INVESTMENT POLICIES
The Fund invests, under normal circumstances, at least 80% of its net assets in fixed-income securities. The Fund expects to invest in readily marketable fixed-income securities with a range of maturities from short- to long-term and relatively attractive yields that do not involve undue risk of loss of capital. The Fund may invest up to 25% of its net assets in below investment-grade bonds. The Fund may use leverage for investment purposes.
The Fund may invest without limit in US dollar-denominated foreign fixed-income securities and may invest up to 25% of its assets in non-US dollar-denominated foreign fixed-income securities. These investments may include, in each case, developed- and emerging-market debt securities.
The Adviser selects securities for purchase or sale based on its assessment of the securities’ risk and return characteristics as well as the securities’ impact on the overall risk and return characteristics of the Fund. In making this assessment, the Adviser takes into account various factors, including the credit quality and sensitivity to interest rates of the securities under consideration and of the Fund’s other holdings.
The Fund may invest in mortgage-related and other asset-backed securities; loan participations and assignments; inflation-indexed securities; variable-, floating- and inverse-floating-rate instruments; and preferred stock, and may use other investment techniques. The Fund intends, among other things, to enter into transactions such as reverse repurchase agreements and dollar rolls. The Fund may invest, without limit, in derivatives, such as options, futures contracts, forwards or swaps.
4 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg Barclays US Aggregate Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg Barclays US Aggregate Bond Index represents the performance of securities within the US investment-grade fixed-rate bond market, with index components for government and corporate securities, mortgage pass-through securities, asset-backed securities and CMBS. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Fund.
A Word About Risk
Market Risk: The value of the Fund’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Interest-Rate Risk: Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest-rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk: An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment-Grade Securities Risk: Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Duration Risk: Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 5 |
DISCLOSURES AND RISKS (continued)
fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk: This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities. The Fund invests in inflation-indexed securities, the value of which may be vulnerable to changes in expectations of inflation or interest rates.
Foreign (Non-US) Risk: Investments in securities of non-US issuers may involve more risk than those of US issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging-Market Risk: Investments in emerging-market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Currency Risk: Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities Risk: Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage Risk: To the extent the Fund uses leveraging techniques, its net asset value (“NAV”) may be more volatile because leverage tends to exaggerate the effect of changes in interest rates and any increase or decrease in the value of the Fund’s investments.
Derivatives Risk: Derivatives may be difficult to price or unwind and leveraged so that small changes may produce disproportionate losses for the Fund. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk.
6 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
DISCLOSURES AND RISKS (continued)
Illiquid Investments Risk: Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest-rate environment, when the value and liquidity of fixed-income securities generally decline.
Active Trading Risk: The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Fund’s return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
Management Risk: The Fund is subject to management risk because it is an actively managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
These risks are fully discussed in the Fund’s prospectus. As with all investments, you may lose money by investing in the Fund.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Fund will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance shown in this report represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by visiting www.abfunds.com. Class B shares are no longer being offered. Effective November 7, 2019, all outstanding Class B shares were converted to Class A shares. Please see Note A for more information.
On July 12, 2019, the Fund implemented its current investment policies (the change eliminated the guidelines for the average duration and maturity of the Fund and addressed certain related matters) and also changed its name from AB Intermediate Bond Portfolio to AB Total Return Bond Portfolio. Accordingly, the performance shown for periods prior to July 12, 2019, is based on the Fund’s
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 7 |
DISCLOSURES AND RISKS (continued)
prior investment strategies and may not be representative of the Fund’s performance under its current investment policies.
All fees and expenses related to the operation of the Fund have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Fund’s quoted performance would be lower. SEC returns reflect the applicable sales charges for each share class: a 4.25% maximum front-end sales charge for Class A shares and a 1% 1-year contingent deferred sales charge for Class C shares. Returns for the different share classes will vary due to different expenses associated with each class. Performance assumes reinvestment of distributions and does not account for taxes.
8 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
HISTORICAL PERFORMANCE
AVERAGE ANNUAL RETURNS AS OF APRIL 30, 2021 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | SEC Yields1 | ||||||||||
CLASS A SHARES | 1.45% | |||||||||||
1 Year | 7.08% | 2.56% | ||||||||||
5 Years | 3.31% | 2.43% | ||||||||||
10 Years | 3.42% | 2.98% | ||||||||||
CLASS C SHARES | 0.76% | |||||||||||
1 Year | 6.29% | 5.29% | ||||||||||
5 Years | 2.55% | 2.55% | ||||||||||
10 Years2 | 2.68% | 2.68% | ||||||||||
ADVISOR CLASS SHARES3 | 1.76% | |||||||||||
1 Year | 7.34% | 7.34% | ||||||||||
5 Years | 3.59% | 3.59% | ||||||||||
10 Years | 3.71% | 3.71% | ||||||||||
CLASS R SHARES3 | 1.14% | |||||||||||
1 Year | 6.80% | 6.80% | ||||||||||
5 Years | 3.06% | 3.06% | ||||||||||
10 Years | 3.18% | 3.18% | ||||||||||
CLASS K SHARES3 | 1.44% | |||||||||||
1 Year | 7.07% | 7.07% | ||||||||||
5 Years | 3.31% | 3.31% | ||||||||||
10 Years | 3.44% | 3.44% | ||||||||||
CLASS I SHARES3 | 1.80% | |||||||||||
1 Year | 7.33% | 7.33% | ||||||||||
5 Years | 3.59% | 3.59% | ||||||||||
10 Years | 3.71% | 3.71% | ||||||||||
CLASS Z SHARES3 | 1.87% | |||||||||||
1 Year | 7.32% | 7.32% | ||||||||||
5 Years | 3.56% | 3.56% | ||||||||||
Since Inception4 | 3.53% | 3.53% |
The Fund’s prospectus fee table shows the Fund’s total annual operating expense ratios as 0.99%, 1.75%, 0.74%, 1.37%, 1.07%, 0.70% and 0.64% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively, gross of any fee waivers or expense reimbursements. Contractual fee waivers and/or expense reimbursements limit the Fund’s annual operating expense ratios, exclusive of interest expense, to 0.77%, 1.52%, 0.52%, 1.02%, 0.77%, 0.52% and 0.52% for Class A, Class C, Advisor Class, Class R, Class K, Class I and Class Z shares, respectively. These waivers/reimbursements may not be terminated before January 31, 2022, and may be extended by the Adviser for additional one-year terms. Absent reimbursements or waivers, performance would have been lower. The Financial Highlights section of this report sets forth expense ratio data for the current reporting period; the expense ratios shown above may differ from the expense ratios in the Financial Highlights section since they are based on different time periods.
(footnotes continued on next page)
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 9 |
HISTORICAL PERFORMANCE (continued)
1 | SEC yields are calculated based on SEC guidelines for the 30-day period ended April 30, 2021. |
2 | Assumes conversion of Class C shares into Class A shares after 10 years. |
3 | These share classes are offered at NAV to eligible investors and their SEC returns are the same as their NAV returns. Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
4 | Inception date: 4/25/2014. |
10 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
HISTORICAL PERFORMANCE (continued)
SEC AVERAGE ANNUAL RETURNS AS OF THE MOST RECENT CALENDAR QUARTER-END MARCH 31, 2021 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | 4.23% | |||
5 Years | 2.42% | |||
10 Years | 3.04% | |||
CLASS C SHARES | ||||
1 Year | 7.03% | |||
5 Years | 2.55% | |||
10 Years1 | 2.75% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | 9.08% | |||
5 Years | 3.58% | |||
10 Years | 3.78% | |||
CLASS R SHARES2 | ||||
1 Year | 8.53% | |||
5 Years | 3.05% | |||
10 Years | 3.25% | |||
CLASS K SHARES2 | ||||
1 Year | 8.81% | |||
5 Years | 3.31% | |||
10 Years | 3.52% | |||
CLASS I SHARES2 | ||||
1 Year | 9.07% | |||
5 Years | 3.58% | |||
10 Years | 3.78% | |||
CLASS Z SHARES2 | ||||
1 Year | 9.06% | |||
5 Years | 3.58% | |||
Since Inception3 | 3.47% |
1 | Assumes conversion of Class C shares into Class A shares after 10 years. |
2 | Please note that these share classes are for investors purchasing shares through accounts established under certain fee-based programs sponsored and maintained by certain broker-dealers and financial intermediaries, institutional pension plans and/or investment advisory clients of, and certain other persons associated with, the Adviser and its affiliates or the Fund. |
3 | Inception date: 4/25/2014. |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 11 |
EXPENSE EXAMPLE
(unaudited)
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
12 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
EXPENSE EXAMPLE (continued)
Beginning Account Value November 1, 2020 | Ending Account Value April 30, 2021 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 997.60 | $ | 3.81 | 0.77 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.98 | $ | 3.86 | 0.77 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 994.80 | $ | 7.52 | 1.52 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.26 | $ | 7.60 | 1.52 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 999.70 | $ | 2.58 | 0.52 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.22 | $ | 2.61 | 0.52 | % | ||||||||
Class R | ||||||||||||||||
Actual | $ | 1,000 | $ | 997.20 | $ | 5.05 | 1.02 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.74 | $ | 5.11 | 1.02 | % | ||||||||
Class K | ||||||||||||||||
Actual | $ | 1,000 | $ | 997.60 | $ | 3.81 | 0.77 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.98 | $ | 3.86 | 0.77 | % | ||||||||
Class I | ||||||||||||||||
Actual | $ | 1,000 | $ | 998.80 | $ | 2.58 | 0.52 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.22 | $ | 2.61 | 0.52 | % | ||||||||
Class Z | ||||||||||||||||
Actual | $ | 1,000 | $ | 998.90 | $ | 2.58 | 0.52 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.22 | $ | 2.61 | 0.52 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 13 |
PORTFOLIO SUMMARY
April 30, 2021 (unaudited)
PORTFOLIO STATISTICS
Net Assets ($mil): $356.2
TOP TEN SECTORS (including derivatives)1
Governments–Treasuries2 | 43.90 | % | ||
Corporates–Investment Grade | 25.29 | |||
Collateralized Mortgage Obligations | 15.70 | |||
Commercial Mortgage-Backed Securities3 | 15.60 | |||
Mortgage Pass-Throughs | 10.30 | |||
U.S. Treasury Bills | 8.52 | |||
Investment Companies | 7.77 | |||
Inflation-Linked Securities | 7.52 | |||
Corporates–Non-Investment Grade3 | 5.09 | |||
Asset-Backed Securities | 4.54 |
SECTOR BREAKDOWN (excluding derivatives)4
Corporates–Investment Grade | 23.4 | % | ||
Commercial Mortgage-Backed Securities | 14.6 | |||
Collateralized Mortgage Obligations | 14.5 | |||
Mortgage Pass-Throughs | 9.5 | |||
Inflation-Linked Securities | 7.0 | |||
Asset-Backed Securities | 4.2 | |||
Corporates–Non-Investment Grade | 3.9 | |||
Governments–Treasuries | 3.2 | |||
Collateralized Loan Obligations | 1.2 | |||
Emerging Markets–Corporate Bonds | 1.0 | |||
Quasi-Sovereigns | 0.7 | |||
Emerging Markets–Sovereigns | 0.6 | |||
Local Governments–US Municipal Bonds | 0.5 | |||
Other | 0.6 | |||
Short-Term | 15.1 | |||
100.0 | % |
1 | All data are as of April 30, 2021. The Fund’s sectors include derivative exposure and are expressed as approximate percentages of the Fund’s total net assets, based on the Adviser’s internal classification. The percentages will vary over time. |
2 | Includes Treasury Futures. |
3 | Includes Credit Default Swaps. |
4 | All data are as of April 30, 2021. The Fund’s sector breakdown is expressed as a percentage of total investments and may vary over time. The Fund also enters into derivative transactions, which may be used for hedging or investment purposes (see “Portfolio of Investments” section of the report for additional details). “Other” sector breakdown weightings represent 0.4% or less in the following: Common Stocks and Governments–Sovereign Bonds. |
14 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS
April 30, 2021 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
CORPORATES - INVESTMENT | ||||||||||||
Industrial – 14.2% |
| |||||||||||
Basic – 1.3% |
| |||||||||||
Alpek SAB de CV | U.S.$ | 273 | $ | 270,953 | ||||||||
4.25%, 09/18/2029(a) | 203 | 214,612 | ||||||||||
Fresnillo PLC | 926 | 907,075 | ||||||||||
Glencore Funding LLC | 516 | 550,128 | ||||||||||
GUSAP III LP | 535 | 562,352 | ||||||||||
Industrias Penoles SAB de CV | 268 | 275,370 | ||||||||||
Inversiones CMPC SA | 490 | 541,903 | ||||||||||
Inversiones CMPC SA/Cayman Islands Branch | 225 | 237,839 | ||||||||||
Nutrition & Biosciences, Inc. | 196 | 193,728 | ||||||||||
Orbia Advance Corp. SAB de CV | 350 | 380,581 | ||||||||||
4.875%, 09/19/2022(a) | 225 | 236,081 | ||||||||||
Suzano Austria GmbH | 145 | 147,900 | ||||||||||
|
| |||||||||||
4,518,522 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.0% |
| |||||||||||
Westinghouse Air Brake Technologies Corp. | 117 | 124,778 | ||||||||||
|
| |||||||||||
Communications - Media – 1.3% |
| |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 48 | 53,207 | ||||||||||
4.80%, 03/01/2050 | 129 | 141,768 | ||||||||||
5.125%, 07/01/2049 | 198 | 226,336 | ||||||||||
Prosus NV | 545 | 570,479 | ||||||||||
Tencent Holdings Ltd. | 533 | 536,763 | ||||||||||
2.39%, 06/03/2030(a) | 460 | 448,693 | ||||||||||
3.24%, 06/03/2050(a) | 328 | 300,379 | ||||||||||
TWDC Enterprises 18 Corp. | 648 | 749,503 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 15 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
ViacomCBS, Inc. | U.S.$ | 189 | $ | 222,427 | ||||||||
Weibo Corp. | 1,312 | 1,306,096 | ||||||||||
|
| |||||||||||
4,555,651 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.6% | ||||||||||||
AT&T, Inc. | 203 | 202,872 | ||||||||||
3.50%, 09/15/2053(a) | 590 | 544,470 | ||||||||||
3.65%, 09/15/2059(a) | 457 | 422,026 | ||||||||||
Verizon Communications, Inc. | 460 | 412,298 | ||||||||||
4.862%, 08/21/2046 | 355 | 439,454 | ||||||||||
5.012%, 04/15/2049 | 44 | 55,655 | ||||||||||
|
| |||||||||||
2,076,775 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 1.3% |
| |||||||||||
General Motors Co. | 196 | 232,589 | ||||||||||
6.80%, 10/01/2027 | 279 | 350,455 | ||||||||||
General Motors Financial Co., Inc. | 135 | 149,480 | ||||||||||
5.10%, 01/17/2024 | 665 | 735,437 | ||||||||||
5.25%, 03/01/2026 | 165 | 189,930 | ||||||||||
Harley-Davidson Financial Services, Inc. | 1,078 | 1,144,998 | ||||||||||
Lear Corp. | 314 | 332,623 | ||||||||||
3.80%, 09/15/2027 | 97 | 106,525 | ||||||||||
Nissan Motor Co., Ltd. | 1,120 | 1,226,557 | ||||||||||
|
| |||||||||||
4,468,594 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.3% |
| |||||||||||
Las Vegas Sands Corp. | 507 | 526,038 | ||||||||||
3.20%, 08/08/2024 | 97 | 101,713 | ||||||||||
3.90%, 08/08/2029 | 324 | 338,127 | ||||||||||
Marriott International, Inc./MD | 93 | 107,104 | ||||||||||
|
| |||||||||||
1,072,982 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.7% |
| |||||||||||
Advance Auto Parts, Inc. | 811 | 888,102 |
16 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Falabella SA | U.S.$ | 340 | $ | 365,882 | ||||||||
InRetail Consumer | 289 | 275,027 | ||||||||||
Ross Stores, Inc. | 893 | 1,028,325 | ||||||||||
|
| |||||||||||
2,557,336 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 1.9% |
| |||||||||||
Altria Group, Inc. | 750 | 780,435 | ||||||||||
4.80%, 02/14/2029 | 209 | 237,832 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. | 945 | 1,221,526 | ||||||||||
BAT Capital Corp. | 1,125 | 1,102,680 | ||||||||||
2.726%, 03/25/2031 | 220 | 211,220 | ||||||||||
4.70%, 04/02/2027 | 480 | 541,277 | ||||||||||
Cencosud SA | 683 | 762,527 | ||||||||||
Cigna Corp. | 91 | 97,198 | ||||||||||
4.125%, 11/15/2025 | 299 | 335,699 | ||||||||||
4.375%, 10/15/2028 | 399 | 456,835 | ||||||||||
CVS Health Corp. | 70 | 79,659 | ||||||||||
5.05%, 03/25/2048 | 433 | 532,884 | ||||||||||
Kimberly-Clark de Mexico SAB de CV | 270 | 264,516 | ||||||||||
Zimmer Biomet Holdings, Inc. | 208 | 224,852 | ||||||||||
|
| |||||||||||
6,849,140 | ||||||||||||
|
| |||||||||||
Energy – 3.5% |
| |||||||||||
Boardwalk Pipelines LP | 399 | 413,524 | ||||||||||
BP Capital Markets America, Inc. | 1,201 | 1,094,471 | ||||||||||
Cenovus Energy, Inc. | 42 | 46,127 | ||||||||||
4.40%, 04/15/2029 | 1,193 | 1,300,811 | ||||||||||
5.375%, 07/15/2025 | 221 | 251,127 | ||||||||||
Chevron USA, Inc. | 553 | 726,465 | ||||||||||
Devon Energy Corp. | 457 | 541,211 | ||||||||||
Enbridge Energy Partners LP | 634 | 942,828 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 17 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Energy Transfer LP | U.S.$ | 1,138 | $ | 1,270,429 | ||||||||
6.25%, 04/15/2049 | 156 | 186,609 | ||||||||||
Eni SpA | 850 | 953,148 | ||||||||||
Marathon Oil Corp. | 111 | 120,259 | ||||||||||
6.80%, 03/15/2032 | 650 | 821,431 | ||||||||||
Marathon Petroleum Corp. | 255 | 300,589 | ||||||||||
6.50%, 03/01/2041 | 161 | 214,178 | ||||||||||
Oleoducto Central SA | 429 | 454,204 | ||||||||||
ONEOK, Inc. | 425 | 468,830 | ||||||||||
5.20%, 07/15/2048 | 48 | 54,873 | ||||||||||
6.35%, 01/15/2031 | 217 | 273,980 | ||||||||||
Suncor Energy, Inc. | 534 | 738,768 | ||||||||||
Tengizchevroil Finance Co. International Ltd. | 237 | 241,740 | ||||||||||
TransCanada PipeLines Ltd. | 845 | 1,118,205 | ||||||||||
|
| |||||||||||
12,533,807 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.2% |
| |||||||||||
Alfa SAB de CV | 530 | 580,747 | ||||||||||
|
| |||||||||||
Services – 0.8% |
| |||||||||||
Alibaba Group Holding Ltd. | 1,149 | 1,104,741 | ||||||||||
Booking Holdings, Inc. | 925 | 1,083,813 | ||||||||||
Expedia Group, Inc. | 33 | 38,401 | ||||||||||
Mastercard, Inc. | 417 | 460,493 | ||||||||||
|
| |||||||||||
2,687,448 | ||||||||||||
|
| |||||||||||
Technology – 1.7% |
| |||||||||||
Baidu, Inc. | 202 | 212,817 | ||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 151 | 161,680 | ||||||||||
Broadcom, Inc. | 555 | 612,065 |
18 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
4.15%, 11/15/2030 | U.S.$ | 1,073 | $ | 1,172,435 | ||||||||
5.00%, 04/15/2030 | 205 | 235,951 | ||||||||||
Dell International LLC/EMC Corp. | 469 | 559,869 | ||||||||||
Infor, Inc. | 279 | 284,298 | ||||||||||
Micron Technology, Inc. | 992 | 1,114,324 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. | 132 | 139,413 | ||||||||||
Oracle Corp. | 525 | 534,744 | ||||||||||
3.95%, 03/25/2051 | 630 | 656,057 | ||||||||||
SK Hynix, Inc. | 280 | 268,018 | ||||||||||
|
| |||||||||||
5,951,671 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.4% |
| |||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 345 | 369,948 | ||||||||||
4.75%, 10/20/2028(a) | 401 | 440,045 | ||||||||||
Southwest Airlines Co. | 639 | 732,058 | ||||||||||
|
| |||||||||||
1,542,051 | ||||||||||||
|
| |||||||||||
Transportation - Railroads – 0.1% |
| |||||||||||
Lima Metro Line 2 Finance Ltd. | 216 | 222,953 | ||||||||||
5.875%, 07/05/2034(a) | 180 | 205,506 | ||||||||||
|
| |||||||||||
428,459 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.1% |
| |||||||||||
ENA Master Trust | 457 | 459,799 | ||||||||||
|
| |||||||||||
50,407,760 | ||||||||||||
|
| |||||||||||
Financial Institutions – 10.6% |
| |||||||||||
Banking – 7.1% |
| |||||||||||
ABN AMRO Bank NV | 200 | 224,834 | ||||||||||
American Express Co. | 62 | 62,050 | ||||||||||
Series C | 613 | 609,953 | ||||||||||
Banco de Credito del Peru | 635 | 624,681 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 19 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Banco Santander SA | U.S.$ | 1,000 | $ | 1,143,170 | ||||||
Bank of America Corp. | 626 | 632,880 | ||||||||
Series DD | 185 | 216,110 | ||||||||
Series L | 1,131 | 1,244,021 | ||||||||
Series Z | 289 | 332,047 | ||||||||
Bank of New York Mellon Corp. (The) | 166 | 183,221 | ||||||||
Barclays Bank PLC | 129 | 177,590 | ||||||||
BNP Paribas SA | 722 | 727,531 | ||||||||
Capital One Financial Corp. | 462 | 462,319 | ||||||||
CIT Group, Inc. | 383 | 432,066 | ||||||||
CITIC Ltd. | 317 | 315,177 | ||||||||
Citigroup, Inc. | 721 | 819,813 | ||||||||
5.95%, 01/30/2023(b) | 216 | 228,638 | ||||||||
Series Q | 575 | 575,236 | ||||||||
Series R | 240 | 240,274 | ||||||||
Series W | 329 | 333,715 | ||||||||
Credit Suisse Group AG | 1,165 | 1,287,395 | ||||||||
Deutsche Bank AG/New York NY | 265 | 287,286 | ||||||||
Discover Bank | 250 | 266,250 | ||||||||
Fifth Third Bancorp | 205 | 224,334 | ||||||||
Goldman Sachs Group, Inc. (The) | 715 | 718,217 |
20 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
HSBC Holdings PLC | U.S.$ | 462 | $ | 510,140 | ||||||
4.292%, 09/12/2026 | 536 | 595,030 | ||||||||
6.375%, 03/30/2025(b) | 547 | 605,923 | ||||||||
ING Groep NV | 720 | 728,381 | ||||||||
6.875%, 04/16/2022(a)(b) | 425 | 443,657 | ||||||||
JPMorgan Chase & Co. | 465 | 480,773 | ||||||||
2.58%, 04/22/2032 | 715 | 718,053 | ||||||||
Series I | 328 | 329,404 | ||||||||
Series V | 161 | 160,984 | ||||||||
Series Z | 470 | 471,856 | ||||||||
Morgan Stanley | 79 | 79,324 | ||||||||
Natwest Group PLC | 320 | 326,461 | ||||||||
Series U | 700 | 695,247 | ||||||||
Santander Holdings USA, Inc. | 315 | 351,121 | ||||||||
Standard Chartered PLC | 400 | 383,352 | ||||||||
4.30%, 02/19/2027(a) | 446 | 487,259 | ||||||||
5.20%, 01/26/2024(a) | 350 | 384,594 | ||||||||
7.50%, 04/02/2022(a)(b) | 363 | 380,696 | ||||||||
Truist Financial Corp. | 692 | 771,898 | ||||||||
UBS AG/Stamford CT | 620 | 674,262 | ||||||||
UBS Group AG | 312 | 359,655 | ||||||||
7.125%, 08/10/2021(a)(b) | 578 | 586,867 | ||||||||
UniCredit SpA | 1,125 | 1,133,955 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 21 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
US Bancorp | U.S.$ | 380 | $ | 427,671 | ||||||||
Wells Fargo & Co. | 542 | 562,021 | ||||||||||
3.90%, 03/15/2026(b) | 273 | 279,377 | ||||||||||
|
| |||||||||||
25,296,769 | ||||||||||||
|
| |||||||||||
Brokerage – 0.3% |
| |||||||||||
Charles Schwab Corp. (The) | 568 | 634,995 | ||||||||||
Series I | 469 | 483,741 | ||||||||||
|
| |||||||||||
1,118,736 | ||||||||||||
|
| |||||||||||
Finance – 2.2% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 179 | 210,146 | ||||||||||
Air Lease Corp. | 145 | 151,015 | ||||||||||
3.625%, 04/01/2027 | 34 | 36,241 | ||||||||||
3.875%, 07/03/2023 | 62 | 65,946 | ||||||||||
4.25%, 02/01/2024 | 174 | 188,726 | ||||||||||
Aircastle Ltd. | 835 | 819,561 | ||||||||||
4.125%, 05/01/2024 | 152 | 161,321 | ||||||||||
4.25%, 06/15/2026 | 53 | 57,248 | ||||||||||
4.40%, 09/25/2023 | 380 | 406,885 | ||||||||||
5.00%, 04/01/2023 | 31 | 33,207 | ||||||||||
5.25%, 08/11/2025(a) | 384 | 425,430 | ||||||||||
Aviation Capital Group LLC | 415 | 407,571 | ||||||||||
2.875%, 01/20/2022(a) | 64 | 64,794 | ||||||||||
3.50%, 11/01/2027(a) | 136 | 140,776 | ||||||||||
3.875%, 05/01/2023(a) | 328 | 342,819 | ||||||||||
4.125%, 08/01/2025(a) | 5 | 5,353 | ||||||||||
4.375%, 01/30/2024(a) | 135 | 143,874 | ||||||||||
4.875%, 10/01/2025(a) | 153 | 168,162 | ||||||||||
5.50%, 12/15/2024(a) | 381 | 428,073 | ||||||||||
CDBL Funding 1 | 580 | 613,096 | ||||||||||
GE Capital European Funding Unlimited Co. | EUR | 150 | 224,044 | |||||||||
GE Capital Funding LLC | U.S.$ | 1,218 | 1,386,973 |
22 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Huarong Finance 2017 Co., Ltd. | U.S.$ | 587 | $ | 376,414 | ||||||||
Synchrony Financial | 1,008 | 1,124,958 | ||||||||||
|
| |||||||||||
7,982,633 | ||||||||||||
|
| |||||||||||
Insurance – 0.9% |
| |||||||||||
Alleghany Corp. | 777 | 845,881 | ||||||||||
Centene Corp. | 116 | 121,645 | ||||||||||
4.625%, 12/15/2029 | 132 | 143,254 | ||||||||||
Guardian Life Insurance Co. of America (The) | 294 | 357,533 | ||||||||||
MetLife Capital Trust IV | 699 | 971,037 | ||||||||||
Nationwide Mutual Insurance Co. | 246 | 412,151 | ||||||||||
Voya Financial, Inc. | 180 | 192,634 | ||||||||||
|
| |||||||||||
3,044,135 | ||||||||||||
|
| |||||||||||
Other Finance – 0.1% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 271 | 296,940 | ||||||||||
|
| |||||||||||
37,739,213 | ||||||||||||
|
| |||||||||||
Utility – 0.5% |
| |||||||||||
Electric – 0.5% |
| |||||||||||
AES Panama Generation Holdings SRL | 274 | 283,131 | ||||||||||
Chile Electricity Pec SpA | 679 | 550,839 | ||||||||||
Enel Chile SA | 401 | 462,854 | ||||||||||
Israel Electric Corp., Ltd. | 361 | 404,749 | ||||||||||
NextEra Energy Capital Holdings, Inc. | 211 | 225,023 | ||||||||||
|
| |||||||||||
1,926,596 | ||||||||||||
|
| |||||||||||
Total Corporates – Investment Grade | 90,073,569 | |||||||||||
|
| |||||||||||
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 23 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 15.8% | ||||||||||||
Non-Agency Fixed Rate CMBS – 11.8% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | U.S.$ | 960 | $ | 869,822 | ||||||||
Banc of America Commercial Mortgage Trust | 860 | 942,211 | ||||||||||
CFCRE Commercial Mortgage Trust | 735 | 792,956 | ||||||||||
Series 2016-C4, Class AM | 375 | 403,060 | ||||||||||
CGRBS Commercial Mortgage Trust | 1,305 | 1,358,270 | ||||||||||
Citigroup Commercial Mortgage Trust | 500 | 522,340 | ||||||||||
Series 2013-GC17, Class D | 565 | 512,284 | ||||||||||
Series 2015-GC27, Class A5 | 1,223 | 1,307,817 | ||||||||||
Series 2015-GC35, Class A4 | 340 | 376,022 | ||||||||||
Series 2016-GC36, Class A5 | 425 | 466,834 | ||||||||||
Series 2018-B2, Class A4 | 1,050 | 1,184,455 | ||||||||||
COMM Mortgage Trust | 1,580 | 1,638,150 | ||||||||||
Commercial Mortgage Trust | 151 | 151,454 | ||||||||||
Series 2014-LC17, Class B | 800 | 876,563 | ||||||||||
Series 2014-UBS6, Class AM | 375 | 407,650 | ||||||||||
Series 2015-3BP, Class A | 170 | 180,686 | ||||||||||
Series 2015-CR24, Class A5 | 430 | 473,192 | ||||||||||
Series 2015-CR25, Class A4 | 1,045 | 1,150,603 |
24 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2015-DC1, Class A5 | U.S.$ | 765 | $ | 824,461 | ||||||
Series 2015-PC1, Class A5 | 685 | 754,721 | ||||||||
CSAIL Commercial Mortgage Trust | 332 | 360,095 | ||||||||
Series 2015-C3, Class A4 | 573 | 627,531 | ||||||||
Series 2015-C4, Class A4 | 1,450 | 1,597,890 | ||||||||
GS Mortgage Securities Trust | 252 | 153,411 | ||||||||
Series 2012-GC6, Class B | 600 | 609,639 | ||||||||
Series 2012-GCJ9, Class AS | 762 | 784,256 | ||||||||
Series 2013-G1, Class A2 | 766 | 745,602 | ||||||||
Series 2014-GC22, Class A5 | 658 | 712,997 | ||||||||
Series 2018-GS9, Class A4 | 1,125 | 1,268,306 | ||||||||
GSF | 47 | 47,000 | ||||||||
Series 2021-1, Class A2 | 93 | 95,790 | ||||||||
Series 2021-1, Class AS | 25 | 25,750 | ||||||||
JPMBB Commercial Mortgage Securities Trust | 735 | 796,783 | ||||||||
Series 2014-C24, Class C | 890 | 868,128 | ||||||||
Series 2015-C30, Class A5 | 425 | 468,441 | ||||||||
Series 2015-C31, Class A3 | 1,009 | 1,108,000 | ||||||||
Series 2015-C33, Class A4 | 1,050 | 1,160,751 | ||||||||
JPMCC Commercial Mortgage Securities Trust | 4,668 | 225,148 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 25 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | U.S.$ | 127 | $ | 108,652 | ||||||
Series 2012-C6, Class D | 690 | 647,895 | ||||||||
Series 2012-C6, Class E | 389 | 230,110 | ||||||||
Series 2012-C8, Class AS | 850 | 873,943 | ||||||||
LB-UBS Commercial Mortgage Trust | 130 | 75,277 | ||||||||
LSTAR Commercial Mortgage Trust | 538 | 546,382 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 730 | 787,026 | ||||||||
Morgan Stanley Capital I Trust | 660 | 721,421 | ||||||||
UBS Commercial Mortgage Trust | 720 | 808,695 | ||||||||
Series 2018-C9, Class A4 | 1,300 | 1,462,259 | ||||||||
Series 2018-C10, Class A4 | 750 | 853,006 | ||||||||
UBS-Barclays Commercial Mortgage Trust | 1,098 | 1,129,426 | ||||||||
Wells Fargo Commercial Mortgage Trust | 1,040 | 1,121,120 | ||||||||
Series 2015-SG1, Class A4 | 723 | 783,312 | ||||||||
Series 2015-SG1, Class C | 284 | 270,881 | ||||||||
Series 2016-C35, Class XA | 3,737 | 278,713 | ||||||||
Series 2016-LC24, Class XA | 8,530 | 578,325 | ||||||||
Series 2016-LC25, Class C | 545 | 579,704 |
26 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2016-NXS6, Class C | U.S.$ | 600 | $ | 633,273 | ||||||||
Series 2018-C43, Class A4 | 900 | 1,014,966 | ||||||||||
Series 2018-C48, Class A5 | 89 | 102,562 | ||||||||||
WF-RBS Commercial Mortgage Trust | 480 | 497,457 | ||||||||||
Series 2013-C11, Class XA | 6,143 | 97,649 | ||||||||||
Series 2014-C24, Class AS | 945 | 1,001,767 | ||||||||||
|
| |||||||||||
42,052,890 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate CMBS – 4.0% |
| |||||||||||
Ashford Hospitality Trust | 568 | 568,071 | ||||||||||
Series 2018-KEYS, Class A | 1,000 | 999,980 | ||||||||||
Atrium Hotel Portfolio Trust | 750 | 749,764 | ||||||||||
BAMLL Commercial Mortgage Securities Trust | 1,330 | 1,299,881 | ||||||||||
BBCMS Mortgage Trust | 627 | 630,142 | ||||||||||
BHMS | 547 | 546,916 | ||||||||||
Braemar Hotels & Resorts Trust | 700 | 696,523 | ||||||||||
BX Trust | 780 | 759,869 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 27 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
CLNY Trust | U.S.$ | 540 | $ | 528,537 | ||||||
DBWF Mortgage Trust | 541 | 540,979 | ||||||||
Federal Home Loan Mortgage Corp. | 142 | 142,987 | ||||||||
Great Wolf Trust | 1,019 | 1,018,688 | ||||||||
GS Mortgage Securities Corp. Trust | 725 | 725,475 | ||||||||
Series 2019-SMP, Class A | 700 | 699,783 | ||||||||
HFX Funding | 710 | 736,984 | ||||||||
Invitation Homes Trust | 206 | 206,658 | ||||||||
Series 2018-SFR3, Class C | 390 | 390,784 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 617 | 615,847 | ||||||||
Morgan Stanley Capital I Trust | 173 | 146,989 | ||||||||
Series 2019-BPR, Class C | 520 | 443,948 | ||||||||
Natixis Commercial Mortgage Securities Trust | 540 | 537,300 |
28 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2019-MILE, Class A | U.S.$ | 379 | $ | 380,317 | ||||||||
Starwood Retail Property Trust | 1,045 | 770,817 | ||||||||||
|
| |||||||||||
14,137,239 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.0% |
| |||||||||||
Government National Mortgage Association | 723 | 7 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 56,190,136 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 15.7% | ||||||||||||
Risk Share Floating Rate – 13.6% | ||||||||||||
Bellemeade Re Ltd. | 445 | 445,934 | ||||||||||
Series 2018-3A, Class M2 | 325 | 327,242 | ||||||||||
Series 2019-1A, Class M1B | 1,000 | 1,000,000 | ||||||||||
Series 2019-2A, Class M1C | 487 | 489,983 | ||||||||||
Series 2019-2A, Class M2 | 325 | 328,279 | ||||||||||
Series 2019-3A, Class M1B | 359 | 359,464 | ||||||||||
Series 2019-3A, Class M1C | 263 | 263,000 | ||||||||||
Series 2019-4A, Class M1B | 885 | 885,000 | ||||||||||
Series 2019-4A, Class M1C | 750 | 751,452 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 29 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2019-4A, Class M2 | U.S.$ | 540 | $ | 541,905 | ||||||
Series 2020-2A, Class M1B | 335 | 338,974 | ||||||||
Series 2020-3A, Class M1B | 220 | 223,300 | ||||||||
Series 2020-4A, Class M2A | 310 | 311,508 | ||||||||
Series 2021-1A, Class M1C | 398 | 396,844 | ||||||||
Connecticut Avenue Securities Trust | 156 | 156,725 | ||||||||
Series 2019-HRP1, Class M2 | 611 | 607,860 | ||||||||
Series 2019-R01, Class 2M2 | 464 | 466,986 | ||||||||
Series 2019-R02, Class 1M2 | 133 | 133,921 | ||||||||
Series 2019-R06, Class 2M2 | 471 | 473,050 | ||||||||
Series 2020-R01, Class 1B1 | 500 | 500,000 | ||||||||
Series 2020-SBT1, Class 1M2 | 1,000 | 1,025,685 | ||||||||
Series 2020-SBT1, Class 2M2 | 300 | 309,956 | ||||||||
Eagle Re Ltd. | 325 | 327,437 | ||||||||
Series 2019-1, Class M2 | 325 | 326,622 |
30 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2020-1, Class M1A | U.S.$ | 950 | $ | 944,606 | ||||||
Series 2020-2, Class M1B | 1,579 | 1,592,543 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 387 | 402,086 | ||||||||
Series 2016-DNA4, Class M3 | 942 | 982,298 | ||||||||
Series 2016-HQA3, Class M3 | 1,162 | 1,208,799 | ||||||||
Series 2017-DNA2, Class B1 | 750 | 816,514 | ||||||||
Series 2017-DNA3, Class M2 | 250 | 255,669 | ||||||||
Series 2017-HQA1, Class M2 | 842 | 869,582 | ||||||||
Series 2017-HQA2, Class B1 | 800 | 857,102 | ||||||||
Series 2017-HQA2, Class M2 | 229 | 234,343 | ||||||||
Series 2017-HQA2, Class M2B | 560 | 567,774 | ||||||||
Series 2017-HQA3, Class B1 | 750 | 788,504 | ||||||||
Series 2017-HQA3, Class M2 | 570 | 579,268 | ||||||||
Series 2018-HQA2, Class B1 | 1,250 | 1,290,203 | ||||||||
Series 2019-DNA1, Class B2 | 750 | 854,795 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 31 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2019-DNA1, Class M2 | U.S.$ | 931 | $ | 950,313 | ||||||
Series 2019-DNA3, Class B1 | 600 | 606,727 | ||||||||
Series 2019-FTR2, Class B1 | 750 | 722,456 | ||||||||
Series 2019-FTR2, Class M2 | 895 | 892,197 | ||||||||
Series 2019-FTR3, Class B2 | 700 | 686,639 | ||||||||
Series 2019-HQA2, Class B1 | 750 | 774,847 | ||||||||
Series 2019-HQA3, Class B1 | 500 | 504,611 | ||||||||
Series 2019-HQA4, Class B1 | 750 | 752,814 | ||||||||
Series 2020-DNA5, Class M2 | 620 | 630,244 | ||||||||
Series 2021-DNA3, Class B1 | 651 | 659,808 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 238 | 243,635 | ||||||||
Series 2015-C01, Class 2M2 | 32 | 32,607 | ||||||||
Series 2015-C02, Class 1M2 | 220 | 222,627 | ||||||||
Series 2015-C02, Class 2M2 | 61 | 61,425 | ||||||||
Series 2015-C03, Class 1M2 | 224 | 229,206 |
32 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2015-C03, Class 2M2 | U.S.$ | 110 | $ | 112,327 | ||||||
Series 2015-C04, Class 1M2 | 401 | 424,628 | ||||||||
Series 2016-C02, Class 1B | 149 | 185,124 | ||||||||
Series 2016-C03, Class 1B | 99 | 121,475 | ||||||||
Series 2016-C05, Class 2M2 | 593 | 618,651 | ||||||||
Series 2016-C06, Class 1B | 378 | 423,346 | ||||||||
Series 2016-C06, Class 1M2 | 276 | 287,481 | ||||||||
Series 2016-C07, Class 2B | 379 | 431,829 | ||||||||
Series 2017-C01, Class 1B1 | 750 | 824,069 | ||||||||
Series 2017-C01, Class 1M2 | 321 | 331,790 | ||||||||
Series 2017-C02, Class 2B1 | 750 | 815,700 | ||||||||
Series 2017-C02, Class 2M2C | 618 | 639,738 | ||||||||
Series 2017-C03, Class 1M2 | 660 | 677,942 | ||||||||
Series 2017-C04, Class 2M2 | 273 | 279,470 | ||||||||
Series 2017-C06, Class 2B1 | 750 | 781,556 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 33 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2017-C07, Class 1B1 | U.S.$ | 305 | $ | 314,149 | ||||||
Series 2017-C07, Class 2B1 | 750 | 778,055 | ||||||||
Home Re Ltd. | 500 | 516,229 | ||||||||
Series 2020-1, Class M1B | 510 | 516,548 | ||||||||
JPMorgan Madison Avenue Securities Trust | 37 | 36,381 | ||||||||
Mortgage Insurance-Linked Notes | 900 | 886,022 | ||||||||
Oaktown Re V Ltd. | 934 | 940,863 | ||||||||
PMT Credit Risk Transfer Trust | 276 | 263,586 | ||||||||
Series 2019-2R, Class A | 394 | 391,389 | ||||||||
Series 2019-3R, Class A | 259 | 260,039 | ||||||||
Series 2020-1R, Class A | 418 | 416,960 | ||||||||
Radnor Re Ltd. | 162 | 165,567 | ||||||||
Series 2019-1, Class M1B | 635 | 638,081 |
34 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2019-2, Class M1B | U.S.$ | 351 | $ | 351,803 | ||||||||
Series 2020-1, Class M1A | 900 | 896,164 | ||||||||||
Series 2020-1, Class M2A | 850 | 824,421 | ||||||||||
Series 2020-2, Class M1C | 376 | 383,274 | ||||||||||
Triangle Re Ltd. | 1,075 | 1,084,934 | ||||||||||
Series 2021-1, Class M1B | 401 | 401,938 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 240 | 234,946 | ||||||||||
Series 2015-WF1, Class 2M2 | 56 | 55,448 | ||||||||||
|
| |||||||||||
48,517,292 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.8% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs | 1,088 | 209,929 | ||||||||||
Series 4981, Class HS | 3,462 | 603,417 | ||||||||||
Federal National Mortgage Association REMICs | 643 | 142,109 | ||||||||||
Series 2015-90, Class SL | 1,298 | 266,961 | ||||||||||
Series 2016-77, Class DS | 1,077 | 231,440 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 35 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2017-26, Class TS | U.S.$ | 1,278 | $ | 309,179 | ||||||||
Series 2017-62, Class AS | 1,233 | 258,127 | ||||||||||
Series 2017-81, Class SA | 1,348 | 318,602 | ||||||||||
Series 2017-97, Class LS | 1,247 | 312,813 | ||||||||||
Government National Mortgage Association | 1,227 | 270,145 | ||||||||||
|
| |||||||||||
2,922,722 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.7% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs | 2,532 | 450,281 | ||||||||||
Series 5015, Class BI | 1,969 | 355,249 | ||||||||||
Series 5049, Class CI | 2,159 | 314,720 | ||||||||||
Federal National Mortgage Association Grantor Trust | 65 | 62,788 | ||||||||||
Federal National Mortgage Association REMICs | 3,791 | 616,107 | ||||||||||
Series 2020-89, Class KI | 4,207 | 685,984 | ||||||||||
|
| |||||||||||
2,485,129 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.4% |
| |||||||||||
Alternative Loan Trust | 229 | 178,916 | ||||||||||
Series 2006-28CB, Class A14 | 166 | 123,155 | ||||||||||
Series 2006-J1, Class 1A13 | 108 | 97,910 |
36 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | U.S.$ | 55 | $ | 37,178 | ||||||||
First Horizon Alternative Mortgage Securities Trust | 190 | 130,115 | ||||||||||
JPMorgan Alternative Loan Trust | 466 | 402,980 | ||||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates | 452 | 243,060 | ||||||||||
|
| |||||||||||
1,213,314 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.2% |
| |||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust | 507 | 248,280 | ||||||||||
HomeBanc Mortgage Trust | 120 | 109,436 | ||||||||||
Impac Secured Assets Corp. | 214 | 191,706 | ||||||||||
JPMorgan Chase Bank, NA | 137 | 138,611 | ||||||||||
Residential Accredit Loans, Inc. Trust | 547 | 104,429 | ||||||||||
|
| |||||||||||
792,462 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 55,930,919 | |||||||||||
|
| |||||||||||
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 37 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
MORTGAGE PASS-THROUGHS – 10.3% | ||||||||||||
Agency Fixed Rate 30-Year – 9.4% | ||||||||||||
Federal Home Loan Mortgage Corp. | U.S.$ | 789 | $ | 851,181 | ||||||||
Series 2020 | 1,024 | 1,113,417 | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 117 | 135,486 | ||||||||||
Series 2007 | 18 | 21,044 | ||||||||||
Series 2016 | 755 | 835,051 | ||||||||||
Series 2017 | 569 | 628,906 | ||||||||||
Series 2018 | 1,638 | 1,806,372 | ||||||||||
5.00%, 11/01/2048 | 337 | 378,368 | ||||||||||
Federal National Mortgage Association | 114 | 130,971 | ||||||||||
Series 2004 | 387 | 446,938 | ||||||||||
Series 2005 | 47 | 54,477 | ||||||||||
Series 2007 | 228 | 262,721 | ||||||||||
Series 2010 | 343 | 377,602 | ||||||||||
Series 2012 | 2,685 | 2,926,695 | ||||||||||
Series 2013 | 1,315 | 1,434,901 | ||||||||||
4.00%, 10/01/2043 | 814 | 898,139 | ||||||||||
Series 2016 | 677 | 729,862 | ||||||||||
Series 2018 | 1,713 | 1,889,356 | ||||||||||
Series 2019 | 2,319 | 2,500,206 | ||||||||||
Series 2020 | 984 | 1,065,696 | ||||||||||
Government National Mortgage Association | 468 | 494,809 |
38 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
�� | Principal Amount (000) | U.S. $ Value | ||||||||||
| ||||||||||||
Uniform Mortgage-Backed Security | U.S.$ | 7,110 | $ | 7,373,848 | ||||||||
Series 2020 | 3,455 | 3,574,845 | ||||||||||
Series 2021 | 3,645 | 3,680,596 | ||||||||||
|
| |||||||||||
33,611,487 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year – 0.9% |
| |||||||||||
Federal National Mortgage Association | 2,124 | 2,228,544 | ||||||||||
Series 2017 | 769 | 806,895 | ||||||||||
|
| |||||||||||
3,035,439 | ||||||||||||
|
| |||||||||||
Agency ARMs – 0.0% |
| |||||||||||
Federal Home Loan Mortgage Corp. | 18 | 18,778 | ||||||||||
|
| |||||||||||
Other Agency Fixed Rate | ||||||||||||
Federal Home Loan Mortgage Corp. | 16 | 16,088 | ||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 36,681,792 | |||||||||||
|
| |||||||||||
INFLATION-LINKED SECURITIES – 7.5% | ||||||||||||
Canada – 0.7% |
| |||||||||||
Canadian Government Real Return Bond | CAD | 2,620 | 2,628,575 | |||||||||
|
| |||||||||||
United States – 6.8% |
| |||||||||||
U.S. Treasury Inflation Index | U.S.$ | 728 | 794,020 | |||||||||
0.25%, 01/15/2025 (TIPS) | 16,738 | 18,294,383 | ||||||||||
0.375%, 07/15/2025 (TIPS) | 4,573 | 5,072,025 | ||||||||||
|
| |||||||||||
24,160,428 | ||||||||||||
|
| |||||||||||
Total Inflation-Linked Securities | 26,789,003 | |||||||||||
|
| |||||||||||
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 39 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
ASSET-BACKED SECURITIES – 4.5% | ||||||||||||
Autos - Fixed Rate – 2.4% | ||||||||||||
Avis Budget Rental Car Funding AESOP LLC | U.S.$ | 139 | $ | 139,665 | ||||||||
Series 2018-1A, Class A | 920 | 980,831 | ||||||||||
Series 2018-2A, Class A | 755 | 818,155 | ||||||||||
CPS Auto Trust | 550 | 568,303 | ||||||||||
Exeter Automobile Receivables Trust | 332 | 333,990 | ||||||||||
Series 2017-1A, Class D | 525 | 535,594 | ||||||||||
Series 2017-3A, Class C | 308 | 313,233 | ||||||||||
First Investors Auto Owner Trust | 1,000 | 1,043,455 | ||||||||||
Series 2020-1A, Class A | 233 | 234,601 | ||||||||||
Flagship Credit Auto Trust | 565 | 575,959 | ||||||||||
Series 2019-3, Class E | 960 | 1,007,904 | ||||||||||
Series 2020-1, Class E | 1,000 | 1,029,782 | ||||||||||
Ford Credit Auto Owner Trust | 542 | 543,211 | ||||||||||
Hertz Vehicle Financing II LP | 22 | 21,997 | ||||||||||
Series 2017-1A, Class A | 130 | 130,314 | ||||||||||
Series 2019-1A, Class A | 93 | 93,603 | ||||||||||
Series 2019-2A, Class A | 68 | 68,596 | ||||||||||
Hertz Vehicle Financing LLC | 142 | 142,615 | ||||||||||
|
| |||||||||||
8,581,808 | ||||||||||||
|
|
40 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Other ABS - Fixed Rate – 1.3% |
| |||||||||||
Affirm Asset Securitization Trust | U.S.$ | 467 | $ | 472,871 | ||||||||
Series 2021-Z1, Class A | 388 | 387,987 | ||||||||||
Domino’s Pizza Master Issuer LLC | 416 | 431,287 | ||||||||||
Hardee’s Funding LLC | 332 | 371,016 | ||||||||||
Series 2020-1A, Class A2 | 998 | 1,045,260 | ||||||||||
Marlette Funding Trust | 101 | 101,037 | ||||||||||
Series 2020-1A, Class A | 331 | 331,664 | ||||||||||
Neighborly Issuer LLC | 304 | 308,035 | ||||||||||
SoFi Consumer Loan Program LLC | 808 | 816,736 | ||||||||||
SoFi Consumer Loan Program Trust | 6 | 5,636 | ||||||||||
Upstart Securitization Trust | 313 | 315,265 | ||||||||||
|
| |||||||||||
4,586,794 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.8% |
| |||||||||||
Brex Commercial Charge Card Master Trust | 397 | 397,135 | ||||||||||
World Financial Network Credit Card Master Trust | 330 | 333,923 | ||||||||||
Series 2018-B, Class M | 825 | 834,697 | ||||||||||
Series 2019-A, Class M | 780 | 795,369 | ||||||||||
Series 2019-B, Class M | 600 | 614,617 | ||||||||||
|
| |||||||||||
2,975,741 | ||||||||||||
|
|
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 41 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Home Equity Loans - Floating | ||||||||||||
ABFC Trust | U.S.$ | 16 | $ | 15,839 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities | 16,160,182 | |||||||||||
|
| |||||||||||
CORPORATES - NON-INVESTMENT GRADE – 4.2% | ||||||||||||
Industrial – 3.3% |
| |||||||||||
Basic – 0.5% |
| |||||||||||
Axalta Coating Systems LLC | 557 | 540,735 | ||||||||||
INEOS Quattro Finance 2 PLC | EUR | 313 | 377,693 | |||||||||
Ingevity Corp. | U.S.$ | 453 | 451,324 | |||||||||
Sealed Air Corp. | 379 | 398,329 | ||||||||||
|
| |||||||||||
1,768,081 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.4% |
| |||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC | 485 | 478,705 | ||||||||||
GFL Environmental, Inc. | 558 | 538,319 | ||||||||||
TransDigm, Inc. | 362 | 383,300 | ||||||||||
|
| |||||||||||
1,400,324 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.6% |
| |||||||||||
Cable One, Inc. | 326 | 322,368 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 619 | 625,111 | ||||||||||
CSC Holdings LLC | 120 | 123,300 | ||||||||||
Netflix, Inc. | 766 | 932,467 | ||||||||||
|
| |||||||||||
2,003,246 | ||||||||||||
|
|
42 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Communications - Telecommunications – 0.3% | ||||||||||||
Lumen Technologies, Inc. | U.S.$ | 545 | $ | 536,656 | ||||||||
T-Mobile USA, Inc. | 169 | 171,905 | ||||||||||
2.875%, 02/15/2031 | 353 | 344,200 | ||||||||||
3.375%, 04/15/2029 | 178 | 181,129 | ||||||||||
|
| |||||||||||
1,233,890 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||||
Allison Transmission, Inc. | 554 | 534,638 | ||||||||||
Clarios Global LP/Clarios US Finance Co. | EUR | 130 | 161,599 | |||||||||
|
| |||||||||||
696,237 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - | ||||||||||||
Carnival Corp. | U.S.$ | 401 | 460,557 | |||||||||
Mattel, Inc. | 311 | 322,006 | ||||||||||
3.75%, 04/01/2029(a) | 310 | 317,186 | ||||||||||
Royal Caribbean Cruises Ltd. | 364 | 417,814 | ||||||||||
11.50%, 06/01/2025(a) | 655 | 759,007 | ||||||||||
|
| |||||||||||
2,276,570 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Restaurants – 0.2% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. | 685 | 671,355 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.1% |
| |||||||||||
Levi Strauss & Co. | 382 | 380,396 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.3% |
| |||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 373 | 359,277 | ||||||||||
Jazz Securities DAC | 252 | 257,640 | ||||||||||
Newell Brands, Inc. | 261 | 290,736 | ||||||||||
4.875%, 06/01/2025 | 65 | 72,004 | ||||||||||
Spectrum Brands, Inc. | 31 | 31,903 | ||||||||||
|
| |||||||||||
1,011,560 | ||||||||||||
|
|
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 43 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Energy – 0.1% |
| |||||||||||
Transocean Poseidon Ltd. | U.S.$ | 225 | $ | 212,906 | ||||||||
|
| |||||||||||
11,654,565 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.9% | ||||||||||||
Banking – 0.7% |
| |||||||||||
Credit Suisse Group AG | 1,020 | 1,092,400 | ||||||||||
Discover Financial Services | 1,087 | 1,224,788 | ||||||||||
Intesa Sanpaolo SpA | 288 | 312,693 | ||||||||||
|
| |||||||||||
2,629,881 | ||||||||||||
|
| |||||||||||
Finance – 0.2% |
| |||||||||||
Navient Corp. | 99 | 102,839 | ||||||||||
SLM Corp. | 587 | 617,753 | ||||||||||
|
| |||||||||||
720,592 | ||||||||||||
|
| |||||||||||
3,350,473 | ||||||||||||
|
| |||||||||||
Total Corporates – Non-Investment Grade | 15,005,038 | |||||||||||
|
| |||||||||||
GOVERNMENTS - TREASURIES – 3.5% |
| |||||||||||
Malaysia – 0.3% |
| |||||||||||
Malaysia Government Bond | MYR | 3,708 | 920,615 | |||||||||
|
| |||||||||||
United States – 3.2% |
| |||||||||||
U.S. Treasury Bonds | U.S.$ | 670 | 608,590 | |||||||||
3.00%, 05/15/2045 | 80 | 91,000 | ||||||||||
3.125%, 08/15/2044(i) | 3,139 | 3,642,363 | ||||||||||
U.S. Treasury Notes | 2,704 | 2,704,845 | ||||||||||
1.625%, 05/15/2026 | 4,217 | 4,374,235 | ||||||||||
|
| |||||||||||
11,421,033 | ||||||||||||
|
| |||||||||||
Total Governments – Treasuries | 12,341,648 | |||||||||||
|
| |||||||||||
44 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 1.2% | ||||||||||||
CLO - Floating Rate – 1.2% |
| |||||||||||
Dryden CLO Ltd. | U.S.$ | 440 | $ | 440,309 | ||||||||
Elevation CLO Ltd. | 1,000 | 995,717 | ||||||||||
Goldentree Loan Management US CLO 7 Ltd. | 581 | 581,448 | ||||||||||
Magnetite XXVI Ltd. | 808 | 808,792 | ||||||||||
OCP CLO Ltd. | 632 | 632,320 | ||||||||||
Series 2020-18A, Class AR | 761 | 760,394 | ||||||||||
Voya CLO Ltd. | 210 | 209,357 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 4,428,337 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 1.0% | ||||||||||||
Industrial – 1.0% |
| |||||||||||
Basic – 0.1% |
| |||||||||||
Vedanta Resources Finance II PLC | 377 | 413,475 | ||||||||||
Volcan Cia Minera SAA | 160 | 157,440 | ||||||||||
|
| |||||||||||
570,915 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.4% |
| |||||||||||
Cemex SAB de CV | 572 | 563,963 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 45 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Embraer Netherlands Finance BV | U.S.$ | 540 | $ | 566,663 | ||||||||
6.95%, 01/17/2028(a) | 219 | 245,280 | ||||||||||
Odebrecht Holdco Finance Ltd. | 477 | 12,644 | ||||||||||
|
| |||||||||||
1,388,550 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.1% |
| |||||||||||
Globo Comunicacao e Participacoes SA | 417 | 421,921 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% |
| |||||||||||
Wynn Macau Ltd. | 330 | 346,087 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% |
| |||||||||||
BRF GmbH | 349 | 359,470 | ||||||||||
Natura Cosmeticos SA | 283 | 287,112 | ||||||||||
Virgolino de Oliveira Finance SA | 660 | 6,250 | ||||||||||
|
| |||||||||||
652,832 | ||||||||||||
|
| |||||||||||
Services – 0.1% |
| |||||||||||
MercadoLibre, Inc. | 200 | 198,670 | ||||||||||
|
| |||||||||||
3,578,975 | ||||||||||||
|
| |||||||||||
Utility – 0.0% |
| |||||||||||
Electric – 0.0% |
| |||||||||||
Terraform Global Operating LLC | 60 | 61,628 | ||||||||||
|
| |||||||||||
Financial Institutions – 0.0% |
| |||||||||||
Other Finance – 0.0% |
| |||||||||||
OEC Finance Ltd. | 177 | 26,487 | ||||||||||
7.125%, 12/26/2046(a)(l) | 213 | 30,137 | ||||||||||
|
| |||||||||||
56,624 | ||||||||||||
|
| |||||||||||
Total Emerging Markets – Corporate Bonds | 3,697,227 | |||||||||||
|
| |||||||||||
QUASI-SOVEREIGNS – 0.8% | ||||||||||||
Quasi-Sovereign Bonds – 0.8% | ||||||||||||
Indonesia – 0.3% |
| |||||||||||
Indonesia Asahan Aluminium Persero PT | 407 | 443,121 |
46 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Pertamina Persero PT | U.S.$ | 348 | $ | 444,418 | ||||||||
|
| |||||||||||
887,539 | ||||||||||||
|
| |||||||||||
Mexico – 0.3% |
| |||||||||||
Comision Federal de Electricidad | 653 | 626,676 | ||||||||||
Petroleos Mexicanos | 392 | 346,920 | ||||||||||
6.84%, 01/23/2030 | 143 | 146,932 | ||||||||||
|
| |||||||||||
1,120,528 | ||||||||||||
|
| |||||||||||
Peru – 0.2% |
| |||||||||||
Corp. Financiera de Desarrollo SA | 808 | 767,752 | ||||||||||
|
| |||||||||||
Total Quasi-Sovereigns | 2,775,819 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - | ||||||||||||
Dominican Republic – 0.2% |
| |||||||||||
Dominican Republic International Bond | 763 | 798,289 | ||||||||||
|
| |||||||||||
Egypt – 0.2% |
| |||||||||||
Egypt Government International Bond | 765 | 735,356 | ||||||||||
|
| |||||||||||
Oman – 0.2% |
| |||||||||||
Oman Government International Bond | 380 | 398,002 | ||||||||||
6.25%, 01/25/2031(a) | 245 | 263,069 | ||||||||||
|
| |||||||||||
661,071 | ||||||||||||
|
| |||||||||||
Total Emerging Markets – Sovereigns | 2,194,716 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.6% | ||||||||||||
United States – 0.6% |
| |||||||||||
State of California | 970 | 1,585,334 | ||||||||||
Tobacco Settlement Finance Authority/WV | 500 | 508,828 | ||||||||||
|
| |||||||||||
Total Local Governments – US Municipal Bonds | 2,094,162 | |||||||||||
|
|
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 47 |
PORTFOLIO OF INVESTMENTS (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS - SOVEREIGN | ||||||||||||
Colombia – 0.1% |
| |||||||||||
Colombia Government International Bond | U.S.$ | 375 | $ | 366,516 | ||||||||
|
| |||||||||||
Israel – 0.1% |
| |||||||||||
Israel Government International Bond | 430 | 478,187 | ||||||||||
|
| |||||||||||
Qatar – 0.1% |
| |||||||||||
Qatar Government International Bond | 252 | 274,412 | ||||||||||
|
| |||||||||||
Saudi Arabia – 0.2% |
| |||||||||||
Saudi Government International Bond | 453 | 480,491 | ||||||||||
|
| |||||||||||
Total Governments – Sovereign Bonds | 1,599,606 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCKS – 0.3% |
| |||||||||||
Financials – 0.3% |
| |||||||||||
Insurance – 0.3% |
| |||||||||||
Mt Logan Re Ltd. (Preference Shares)(d)(f)(j)(m) |
| 944 | 937,827 | |||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
SHORT-TERM INVESTMENTS – 16.3% |
| |||||||||||
U.S. Treasury Bills – 8.5% |
| |||||||||||
U.S. Treasury Bill | U.S.$ | 30,355 | 30,352,044 | |||||||||
|
|
48 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Shares | U.S. $ Value | |||||||||||
| ||||||||||||
Investment Companies – 7.8% | ||||||||||||
AB Fixed Income Shares, Inc. – Government Money Market Portfolio – Class AB, 0.01%(n)(o)(p) | 27,664,674 | $ | 27,664,674 | |||||||||
|
| |||||||||||
Total Short-Term Investments | 58,016,718 | |||||||||||
|
| |||||||||||
Total Investments – 108.1% | 384,916,699 | |||||||||||
Other assets less liabilities – (8.1)% | (28,720,392 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 356,196,307 | ||||||||||
|
|
FUTURES (see Note D)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts |
| |||||||||||||||
Euro Buxl 30 Yr Bond Futures | 31 | June 2021 | $ | 7,524,760 | $ | (205,765 | ) | |||||||||
Euro-Bund Futures | 20 | June 2021 | 4,087,649 | (26,473 | ) | |||||||||||
U.S. 10 Yr Ultra Futures | 137 | June 2021 | 19,939,922 | (68,595 | ) | |||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 361 | June 2021 | 79,693,570 | (5,475 | ) | |||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 191 | June 2021 | 23,672,062 | 21,334 | ||||||||||||
U.S. Ultra Bond (CBT) Futures | 162 | June 2021 | 30,116,812 | (202,372 | ) | |||||||||||
Sold Contracts |
| |||||||||||||||
Canadian 10 Yr Bond Futures | 61 | June 2021 | 6,916,129 | (66,803 | ) | |||||||||||
Long Gilt Future | 89 | June 2021 | 15,692,354 | 188,342 | ||||||||||||
|
| |||||||||||||||
$ | (365,807) | |||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note D)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Barclays Bank PLC | AUD | 9,333 | USD | 7,118 | 06/04/2021 | $ | (72,460 | ) | ||||||||||||
Citibank, NA | BRL | 872 | USD | 161 | 05/04/2021 | 846 | ||||||||||||||
Citibank, NA | USD | 154 | BRL | 872 | 05/04/2021 | 6,887 | ||||||||||||||
Citibank, NA | JPY | 391,570 | USD | 3,695 | 05/20/2021 | 111,762 | ||||||||||||||
Citibank, NA | CAD | 12,620 | USD | 10,081 | 07/16/2021 | (187,201 | ) | |||||||||||||
Goldman Sachs Bank USA | USD | 3,679 | RUB | 274,617 | 05/25/2021 | (35,984 | ) | |||||||||||||
HSBC Bank USA | USD | 7,651 | CHF | 6,892 | 05/06/2021 | (103,961 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | BRL | 28,333 | USD | 5,243 | 05/04/2021 | 27,462 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 5,015 | BRL | 28,333 | 05/04/2021 | 200,497 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | NZD | 9,860 | USD | 7,147 | 05/27/2021 | 91,311 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 4,764 | BRL | 26,114 | 06/02/2021 | 30,289 |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 49 |
PORTFOLIO OF INVESTMENTS (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | MYR | 4,032 | USD | 975 | 09/23/2021 | $ | (4,687 | ) | ||||||||||||||||
Natwest Markets PLC | BRL | 25,683 | USD | 4,753 | 05/04/2021 | 24,892 | ||||||||||||||||||
Natwest Markets PLC | USD | 4,750 | BRL | 25,683 | 05/04/2021 | (22,344 | ) | |||||||||||||||||
Natwest Markets PLC | BRL | 25,683 | USD | 4,740 | 06/02/2021 | 24,733 | ||||||||||||||||||
State Street Bank & Trust Co. | CHF | 237 | USD | 266 | 05/06/2021 | 6,616 | ||||||||||||||||||
State Street Bank & Trust Co. | CHF | 187 | USD | 203 | 05/06/2021 | (1,398 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 161 | CHF | 150 | 05/06/2021 | 3,967 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 3,495 | JPY | 382,959 | 05/20/2021 | 9,671 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 2 | JPY | 187 | 05/20/2021 | (11 | ) | |||||||||||||||||
State Street Bank & Trust Co. | EUR | 7,781 | USD | 9,291 | 05/27/2021 | (68,323 | ) | |||||||||||||||||
State Street Bank & Trust Co. | NZD | 264 | USD | 192 | 05/27/2021 | 2,812 | ||||||||||||||||||
State Street Bank & Trust Co. | NZD | 239 | USD | 166 | 05/27/2021 | (4,744 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 479 | EUR | 401 | 05/27/2021 | 3,112 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 322 | EUR | 268 | 05/27/2021 | (126 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 248 | NZD | 346 | 05/27/2021 | 395 | ||||||||||||||||||
State Street Bank & Trust Co. | AUD | 160 | USD | 121 | 06/04/2021 | (1,888 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 180 | AUD | 233 | 06/04/2021 | (677 | ) | |||||||||||||||||
State Street Bank & Trust Co. | GBP | 409 | USD | 564 | 06/17/2021 | (1,827 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 207 | GBP | 150 | 06/17/2021 | (337 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 5 | SEK | 42 | 07/15/2021 | 36 | ||||||||||||||||||
State Street Bank & Trust Co. | CHF | 122 | USD | 134 | 08/05/2021 | 52 | ||||||||||||||||||
UBS AG | BRL | 54,889 | USD | 9,559 | 05/04/2021 | (545,775 | ) | |||||||||||||||||
UBS AG | USD | 10,158 | BRL | 54,889 | 05/04/2021 | (53,201 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (559,604 | ) | ||||||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note D)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 34, 5 Year Index, 06/20/2025* | 5.00 | % | Quarterly | 2.45 | % | USD | 1,257 | $ | 131,332 | $ | 58,281 | $ | 73,051 | |||||||||||||||||||
CDX-NAHY Series 36, 5 Year Index, 06/20/2026* | 5.00 | Quarterly | 2.87 | USD | 1,603 | 166,845 | 152,052 | 14,793 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 298,177 | $ | 210,333 | $ | 87,844 | |||||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
50 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note D)
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) | |||||||||||||||||||
SEK | 121,200 | 08/30/2024 | 3 Month STIBOR | (0.165)% | Quarterly/Annual | $ | (166,480 | ) | $ | – 0 | – | $ | (166,480 | ) | ||||||||||||
CAD | 42,660 | 08/10/2025 | 0.698% | 3 Month CDOR | Semi-Annual | 804,087 | 746,693 | 57,394 | ||||||||||||||||||
CAD | 42,660 | 08/10/2025 | 3 Month CDOR | 0.698% | Semi-Annual | (804,094 | ) | – 0 | – | (804,094 | ) | |||||||||||||||
USD | 2,000 | 12/13/2029 | 1.764% | 3 Month LIBOR | Semi-Annual/Quarterly | (51,757 | ) | – 0 | – | (51,757 | ) | |||||||||||||||
CAD | 2,100 | 03/04/2051 | 2.333% | 3 Month CDOR | Semi-Annual | 63,153 | – 0 | – | 63,153 | |||||||||||||||||
CAD | 2,095 | 03/03/2051 | 2.297% | 3 Month CDOR | Semi-Annual | 76,409 | 84 | 76,325 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (78,682 | ) | $ | 746,777 | $ | (825,459 | ) | |||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note D)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | )% | Monthly | 5.60 | % | USD | 58 | $ | 5,835 | $ | 11,636 | $ | (5,801 | ) | ||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 58 | 5,835 | 11,645 | (5,810 | ) | ||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 697 | 70,176 | 137,003 | (66,827 | ) | ||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 692 | 69,500 | 140,730 | (71,230 | ) | ||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 1,743 | 175,491 | 345,718 | (170,227 | ) | ||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 3,486 | 350,691 | 704,478 | (353,787 | ) | ||||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 433 | 43,560 | 74,928 | (31,368 | ) | ||||||||||||||||||||||
JPMorgan Securities, LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 368 | 36,960 | 74,068 | (37,108 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 231 | 23,238 | 44,714 | (21,476 | ) | ||||||||||||||||||||||
CDX-CMBX.NA.BBB-. Series 9, 09/17/2058* | (3.00 | ) | Monthly | 5.60 | USD | 462 | 46,477 | 94,084 | (47,607 | ) |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 51 |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | 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 | 12.50 | % | USD | 5 | $ | (1,412 | ) | $ | (780 | ) | $ | (632 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 5 | (1,413 | ) | (624 | ) | (789 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 11 | (3,107 | ) | (1,447 | ) | (1,660 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 13 | (3,674 | ) | (1,519 | ) | (2,155 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 14 | (3,954 | ) | (1,379 | ) | (2,575 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 19 | (5,368 | ) | (2,335 | ) | (3,033 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 23 | (6,498 | ) | (2,920 | ) | (3,578 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 23 | (6,498 | ) | (2,827 | ) | (3,671 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 25 | (7,061 | ) | (3,212 | ) | (3,849 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 34 | (9,602 | ) | (4,908 | ) | (4,694 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 32 | (9,041 | ) | (3,933 | ) | (5,108 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 32 | (9,041 | ) | (3,549 | ) | (5,492 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 45 | (12,717 | ) | (5,257 | ) | (7,460 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 46 | (12,996 | ) | (5,101 | ) | (7,895 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 155 | (43,777 | ) | (10,381 | ) | (33,396 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 291 | (82,189 | ) | (41,819 | ) | (40,370 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 1,882 | (531,487 | ) | (74,530 | ) | (456,957 | ) | |||||||||||||||||||||
Deutsche Bank AG | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.A Series 6, 05/11/2063* | 2.00 | Monthly | 9.08 | USD | 850 | (71,958 | ) | (16,107 | ) | (55,851 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 4 | (1,130 | ) | (443 | ) | (687 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 52 | (14,687 | ) | (5,905 | ) | (8,782 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 46 | (12,992 | ) | (2,558 | ) | (10,434 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 181 | (51,120 | ) | (20,047 | ) | (31,073 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 322 | (90,943 | ) | (39,304 | ) | (51,639 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 745 | (210,413 | ) | (50,578 | ) | (159,835 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 20 | (5,648 | ) | (2,942 | ) | (2,706 | ) |
52 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at April 30, 2021 | Notional Amount (000) | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 12.50 | % | USD | 26 | $ | (7,343 | ) | $ | (2,257 | ) | $ | (5,086 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 52 | (14,686 | ) | (4,975 | ) | (9,711 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 52 | (14,687 | ) | (4,598 | ) | (10,089 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 90 | (25,427 | ) | (11,181 | ) | (14,246 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 104 | (29,373 | ) | (10,876 | ) | (18,497 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 224 | (63,265 | ) | (35,465 | ) | (27,800 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 313 | (88,402 | ) | (50,269 | ) | (38,133 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 260 | (73,433 | ) | (34,277 | ) | (39,156 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 219 | (61,853 | ) | (14,064 | ) | (47,789 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 311 | (87,837 | ) | (26,032 | ) | (61,805 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 356 | (100,546 | ) | (36,740 | ) | (63,806 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 760 | (214,650 | ) | (58,609 | ) | (156,041 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 30 | (8,473 | ) | (2,835 | ) | (5,638 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 32 | (9,038 | ) | (3,025 | ) | (6,013 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 61 | (17,228 | ) | (7,540 | ) | (9,688 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 130 | (36,717 | ) | (15,580 | ) | (21,137 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 131 | (36,997 | ) | (12,346 | ) | (24,651 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 374 | (105,630 | ) | (44,430 | ) | (61,200 | ) | |||||||||||||||||||||
Morgan Stanley & Co. International PLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 12.50 | USD | 800 | (225,947 | ) | (114,527 | ) | (111,420 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (1,602,495 | ) | $ | 844,973 | $ | (2,447,468 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 53 |
PORTFOLIO OF INVESTMENTS (continued)
TOTAL RETURN SWAPS (see Note D)
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Pay Total Return on Reference Obligation |
| |||||||||||||||||||||||
Barclays Bank PLC iBoxx $ Liquid High Yield Index | | 3 Month LIBOR | | Quarterly | USD | 13,359 | 06/20/2021 | $ | (256,279 | ) |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At April 30, 2021, the aggregate market value of these securities amounted to $118,665,934 or 33.3% of net assets. |
(b) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(c) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at April 30, 2021. |
(d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities, which represent 1.16% of net assets as of April 30, 2021, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2019-DNA1, Class B2 | 02/11/2020 | $ | 1,031,722 | $ | 854,795 | 0.24 | % | |||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2019-FTR3, Class B2 | 10/07/2020 | 733,012 | 686,639 | 0.19 | % | |||||||||||
GSF | 02/25/2021 | 47,000 | 47,000 | 0.01 | % | |||||||||||
GSF | 02/25/2021 | 95,713 | 95,790 | 0.03 | % | |||||||||||
GSF | 02/25/2021 | 25,729 | 25,750 | 0.01 | % | |||||||||||
HFX Funding | 11/19/2020 | 760,542 | 736,984 | 0.21 | % | |||||||||||
Home Re Ltd. | 12/12/2019 | 515,598 | 516,229 | 0.14 | % |
54 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
PORTFOLIO OF INVESTMENTS (continued)
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
JPMorgan Madison Avenue Securities Trust | 11/06/2015 | $ | 36,696 | $ | 36,381 | 0.01 | % | |||||||||
Morgan Stanley Capital I Trust | 11/16/2015 | 172,259 | 146,989 | 0.04 | % | |||||||||||
PMT Credit Risk Transfer Trust | 02/11/2000 | 417,979 | 416,960 | 0.12 | % | |||||||||||
Radnor Re Ltd. | 01/10/2000 | 167,601 | 165,567 | 0.05 | % | |||||||||||
Terraform Global Operating LLC | 02/08/2018 | 60,000 | 61,628 | 0.02 | % | |||||||||||
Virgolino de Oliveira Finance SA | 01/24/2014 | 365,927 | 6,250 | 0.00 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/28/2015 | 244,606 | 234,946 | 0.07 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/28/2015 | 56,702 | 55,448 | 0.02 | % |
(f) | Fair valued by the Adviser. |
(g) | IO – Interest Only. |
(h) | Inverse interest only security. |
(i) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(j) | Non-income producing security. |
(k) | Defaulted matured security. |
(l) | Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at April 30, 2021. |
(m) | Restricted and illiquid security. |
Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Mt Logan Re Ltd. (Preference Shares) | 12/30/2014 | $ | 945,040 | $ | 937,827 | 0.26 | % |
(n) | Affiliated investments. |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 55 |
PORTFOLIO OF INVESTMENTS (continued)
(o) | 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. |
(p) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CHF – Swiss Franc
EUR – Euro
GBP – Great British Pound
JPY – Japanese Yen
MYR – Malaysian Ringgit
NZD – New Zealand Dollar
RUB – Russian Ruble
SEK – Swedish Krona
USD – United States Dollar
Glossary:
ABS – Asset-Backed Securities
ARMs – Adjustable Rate Mortgages
CBT – Chicago Board of Trade
CDOR – Canadian Dealer Offered Rate
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
LIBOR – London Interbank Offered Rate
REMICs – Real Estate Mortgage Investment Conduits
SOFR – Secured Overnight Financing Rate
STIBOR – Stockholm Interbank Offered Rate
TBA – To Be Announced
TIPS – Treasury Inflation Protected Security
See notes to financial statements.
56 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
STATEMENT OF ASSETS & LIABILITIES
April 30, 2021 (unaudited)
Assets |
| |||
Investments in securities, at value |
| |||
Unaffiliated issuers (cost $351,393,545) | $ | 357,252,025 | ||
Affiliated issuers (cost $27,664,674) | 27,664,674 | |||
Cash | 7,171 | |||
Cash collateral due from broker | 3,645,428 | |||
Foreign currencies, at value (cost $69,974) | 70,612 | |||
Receivable for investment securities sold | 9,724,866 | |||
Interest receivable | 1,649,861 | |||
Market value on credit default swaps (net premiums paid $1,639,004) | 827,763 | |||
Unrealized appreciation on forward currency exchange contracts | 545,340 | |||
Receivable for capital stock sold | 233,687 | |||
Affiliated dividends receivable | 74 | |||
|
| |||
Total assets | 401,621,501 | |||
|
| |||
Liabilities |
| |||
Payable for investment securities purchased | 39,346,794 | |||
Market value on credit default swaps (net premiums received $794,031) | 2,430,258 | |||
Unrealized depreciation on forward currency exchange contracts | 1,104,944 | |||
Cash collateral due to broker | 1,056,000 | |||
Payable for capital stock redeemed | 526,950 | |||
Unrealized depreciation on total return swaps | 256,279 | |||
Dividends payable | 245,080 | |||
Advisory fee payable | 66,943 | |||
Distribution fee payable | 55,999 | |||
Transfer Agent fee payable | 37,701 | |||
Administrative fee payable | 26,617 | |||
Payable for variation margin on futures | 22,855 | |||
Payable for variation margin on centrally cleared swaps | 8,968 | |||
Directors’ fees payable | 1,921 | |||
Accrued expenses and other liabilities | 237,885 | |||
|
| |||
Total liabilities | 45,425,194 | |||
|
| |||
Net Assets | $ | 356,196,307 | ||
|
| |||
Composition of Net Assets |
| |||
Capital stock, at par | $ | 31,764 | ||
Additional paid-in capital | 355,105,554 | |||
Distributable earnings | 1,058,989 | |||
|
| |||
Net Assets | $ | 356,196,307 | ||
|
|
See notes to financial statements.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 57 |
STATEMENT OF ASSETS & LIABILITIES (continued)
Net Asset Value Per Share—27 billion shares of capital stock authorized, $.001 par value
Class | Net Assets | Shares Outstanding | Net Asset Value | |||||||||
| ||||||||||||
A | $ | 212,605,784 | 18,962,203 | $ | 11.21 | * | ||||||
| ||||||||||||
C | $ | 8,248,207 | 737,263 | $ | 11.19 | |||||||
| ||||||||||||
Advisor | $ | 120,390,377 | 10,732,653 | $ | 11.22 | |||||||
| ||||||||||||
R | $ | 1,249,141 | 111,443 | $ | 11.21 | |||||||
| ||||||||||||
K | $ | 5,981,146 | 532,993 | $ | 11.22 | |||||||
| ||||||||||||
I | $ | 2,108,055 | 187,702 | $ | 11.23 | |||||||
| ||||||||||||
Z | $ | 5,613,597 | 499,660 | $ | 11.23 | |||||||
|
* | The maximum offering price per share for Class A shares was $11.71 which reflects a sales charge of 4.25%. |
See notes to financial statements.
58 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
STATEMENT OF OPERATIONS
Six Months Ended April 30, 2021 (unaudited)
Investment Income | ||||||||
Interest | $ | 5,998,051 | ||||||
Dividends | ||||||||
Unaffiliated issuers | 19,039 | |||||||
Affiliated issuers | 628 | |||||||
Other income | 377 | $ | 6,018,095 | |||||
|
| |||||||
Expenses | ||||||||
Advisory fee (see Note B) | 838,967 | |||||||
Distribution fee—Class A | 275,853 | |||||||
Distribution fee—Class C | 46,151 | |||||||
Distribution fee—Class R | 3,679 | |||||||
Distribution fee—Class K | 8,429 | |||||||
Transfer agency—Class A | 141,421 | |||||||
Transfer agency—Class C | 6,032 | |||||||
Transfer agency—Advisor Class | 80,992 | |||||||
Transfer agency—Class R | 1,912 | |||||||
Transfer agency—Class K | 6,744 | |||||||
Transfer agency—Class I | 784 | |||||||
Transfer agency—Class Z | 572 | |||||||
Custody and accounting | 95,045 | |||||||
Registration fees | 52,915 | |||||||
Audit and tax | 50,918 | |||||||
Administrative | 40,136 | |||||||
Printing | 31,785 | |||||||
Legal | 16,780 | |||||||
Directors’ fees | 11,734 | |||||||
Miscellaneous | 11,251 | |||||||
|
| |||||||
Total expenses | 1,722,100 | |||||||
Less: expenses waived and reimbursed by the Adviser (see Note B) | (420,018 | ) | ||||||
|
| |||||||
Net expenses | 1,302,082 | |||||||
|
| |||||||
Net investment income | 4,716,013 | |||||||
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions(a) | 2,420,386 | |||||||
Forward currency exchange contracts | 620,069 | |||||||
Futures | (4,003,589 | ) | ||||||
Options written | 223,716 | |||||||
Swaps | (1,291,918 | ) | ||||||
Swaptions written | 419,616 | |||||||
Foreign currency transactions | (1,056,460 | ) | ||||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments(b) | (2,042,809 | ) | ||||||
Forward currency exchange contracts | (799,466 | ) | ||||||
Futures | 860,291 | |||||||
Options written | (117,383 | ) | ||||||
Swaps | (374,640 | ) | ||||||
Swaptions written | (34,052 | ) | ||||||
Foreign currency denominated assets and liabilities | 12,793 | |||||||
|
| |||||||
Net loss on investment and foreign currency transactions | (5,163,446 | ) | ||||||
|
| |||||||
Net Decrease in Net Assets from Operations | $ | (447,433 | ) | |||||
|
|
(a) | Net of foreign capital gains taxes of $1,003. |
(b) | Net of increase in accrued foreign capital gains taxes of $4,271. |
See notes to financial statements.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 59 |
STATEMENT OF CHANGES IN NET ASSETS
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||
Increase (Decrease) in Net Assets from Operations | ||||||||
Net investment income | $ | 4,716,013 | $ | 9,720,991 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (2,668,180 | ) | 12,753,070 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (2,495,266 | ) | (7,028,658 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (447,433 | ) | 15,445,403 | |||||
Distributions to Shareholders | ||||||||
Class A | (5,762,128 | ) | (6,405,787 | ) | ||||
Class B | – 0 | – | (201 | ) | ||||
Class C | (212,196 | ) | (231,596 | ) | ||||
Advisor Class | (3,428,489 | ) | (3,763,633 | ) | ||||
Class R | (36,424 | ) | (68,726 | ) | ||||
Class K | (175,062 | ) | (197,901 | ) | ||||
Class I | (69,501 | ) | (89,863 | ) | ||||
Class Z | (152,181 | ) | (250,502 | ) | ||||
Capital Stock Transactions | ||||||||
Net increase (decrease) | (7,189,061 | ) | 9,467,968 | |||||
|
|
|
| |||||
Total increase (decrease) | (17,472,475 | ) | 13,905,162 | |||||
Net Assets | ||||||||
Beginning of period | 373,668,782 | 359,763,620 | ||||||
|
|
|
| |||||
End of period | $ | 356,196,307 | $ | 373,668,782 | ||||
|
|
|
|
See notes to financial statements.
60 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS
April 30, 2021 (unaudited)
NOTE A
Significant Accounting Policies
AB Bond Fund, Inc. (the “Company”) is registered under the Investment Company Act of 1940 as an open-end management investment company. The Company, which is a Maryland corporation, operates as a series company comprised of 9 portfolios currently in operation. Each portfolio is considered to be a separate entity for financial reporting and tax purposes. This report relates only to the AB Total Return Bond Portfolio (the “Fund”) (formerly AB Intermediate Bond Portfolio), a diversified portfolio. The Fund offers Class A, Class C, Advisor Class, Class R, Class K, Class I, Class T and Class Z shares. Class B and Class T shares have been authorized but currently are not offered. Effective August 2, 2019, sales of Class B shares were suspended. On November 7, 2019, all remaining outstanding Class B Shares of the Fund were converted to Class A shares. Class A shares are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. With respect to purchases of $1,000,000 or more, Class A shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Class C shares are subject to a contingent deferred sales charge of 1% on redemptions made within the first year after purchase, and 0% after the first year of purchase. Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Class R and Class K shares are sold without an initial or contingent deferred sales charge. Advisor Class, Class I and Class Z shares are sold without an initial or contingent deferred sales charge and are not subject to ongoing distribution expenses. All nine classes of shares have identical voting, dividend, liquidation and other rights, except that the classes bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan. The financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), which require management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Fund.
1. Security Valuation
Portfolio securities are valued at their current market value determined on the basis of market quotations or, if market quotations are not readily available or are deemed unreliable, at “fair value” as determined in accordance with procedures established by and under the general supervision of the Company’s Board of Directors (the “Board”).
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 61 |
NOTES TO FINANCIAL STATEMENTS (continued)
In general, the market values of securities which are readily available and deemed reliable are determined as follows: securities listed on a national securities exchange (other than securities listed on the NASDAQ Stock Market, Inc. (“NASDAQ”)) or on a foreign securities exchange are valued at the last sale price at the close of the exchange or foreign securities exchange. If there has been no sale on such day, the securities are valued at the last traded price from the previous day. Securities listed on more than one exchange are valued by reference to the principal exchange on which the securities are traded; securities listed only on NASDAQ are valued in accordance with the NASDAQ Official Closing Price; listed or over the counter (“OTC”) market put or call options are valued at the mid level between the current bid and ask prices. If either a current bid or current ask price is unavailable, AllianceBernstein L.P. (the “Adviser”) will have discretion to determine the best valuation (e.g., last trade price in the case of listed options); open futures are valued using the closing settlement price or, in the absence of such a price, the most recent quoted bid price. If there are no quotations available for the day of valuation, the last available closing settlement price is used; U.S. Government securities and any other debt instruments having 60 days or less remaining until maturity are generally valued at market by an independent pricing vendor, if a market price is available. If a market price is not available, the securities are valued at amortized cost. This methodology is commonly used for short term securities that have an original maturity of 60 days or less, as well as short term securities that had an original term to maturity that exceeded 60 days. In instances when amortized cost is utilized, the Valuation Committee (the “Committee”) must reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will consider include, but are not limited to, an impairment of the creditworthiness of the issuer or material changes in interest rates. Fixed-income securities, including mortgage-backed and asset-backed securities, may be valued on the basis of prices provided by a pricing service or at a price obtained from one or more of the major broker-dealers. In cases where broker-dealer quotes are obtained, the Adviser may establish procedures whereby changes in market yields or spreads are used to adjust, on a daily basis, a recently obtained quoted price on a security. Swaps and other derivatives are valued daily, primarily using independent pricing services, independent pricing models using market inputs, as well as third party broker-dealers or counterparties. Open-end mutual funds are valued at the closing net asset value per share, while exchange traded funds are valued at the closing market price per share.
Securities for which market quotations are not readily available (including restricted securities) or are deemed unreliable are valued at fair value as deemed appropriate by the Adviser. Factors considered in making this
62 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
determination may include, but are not limited to, information obtained by contacting the issuer, analysts, analysis of the issuer’s financial statements or other available documents. In addition, the Fund may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Fund values its securities at 4:00 p.m., Eastern Time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim and may materially affect the value of those securities. To account for this, the Fund generally values many of its foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
2. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values as described in Note A.1 above). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for identical investments |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 63 |
NOTES TO FINANCIAL STATEMENTS (continued)
other unique security features in order to estimate the relevant cash flows which are 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.
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.
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.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2021:
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Corporates – Investment Grade | $ | – 0 | – | $ | 90,073,569 | $ | – 0 | – | $ | 90,073,569 | ||||||
Commercial Mortgage-Backed Securities | – 0 | – | 56,021,596 | 168,540 | 56,190,136 | |||||||||||
Collateralized Mortgage Obligations | – 0 | – | 55,930,919 | – 0 | – | 55,930,919 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 36,681,792 | – 0 | – | 36,681,792 | ||||||||||
Inflation-Linked Securities | – 0 | – | 26,789,003 | – 0 | – | 26,789,003 | ||||||||||
Asset-Backed Securities | – 0 | – | 15,772,195 | 387,987 | 16,160,182 | |||||||||||
Corporates – Non-Investment Grade | – 0 | – | 15,005,038 | – 0 | – | 15,005,038 | ||||||||||
Governments – Treasuries | – 0 | – | 12,341,648 | – 0 | – | 12,341,648 | ||||||||||
Collateralized Loan Obligations | – 0 | – | 4,428,337 | – 0 | – | 4,428,337 |
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NOTES TO FINANCIAL STATEMENTS (continued)
Investments in | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Emerging Markets – Corporate Bonds | $ | – 0 | – | $ | 3,697,227 | $ | – 0 | – | $ | 3,697,227 | ||||||
Quasi-Sovereigns | – 0 | – | 2,775,819 | – 0 | – | 2,775,819 | ||||||||||
Emerging Markets – Sovereigns | – 0 | – | 2,194,716 | – 0 | – | 2,194,716 | ||||||||||
Local Governments – US Municipal Bonds | – 0 | – | 2,094,162 | – 0 | – | 2,094,162 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 1,599,606 | – 0 | – | 1,599,606 | ||||||||||
Common Stocks | – 0 | – | – 0 | – | 937,827 | 937,827 | ||||||||||
Short-Term Investments: | ||||||||||||||||
U.S. Treasury Bills | – 0 | – | 30,352,044 | – 0 | – | 30,352,044 | ||||||||||
Investment Companies | 27,664,674 | – 0 | – | – 0 | – | 27,664,674 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 27,664,674 | 355,757,671 | 1,494,354 | 384,916,699 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 209,676 | – 0 | – | – 0 | – | 209,676 | (b) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 545,340 | – 0 | – | 545,340 | ||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 298,177 | – 0 | – | 298,177 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 943,649 | – 0 | – | 943,649 | (b) | |||||||||
Credit Default Swaps | – 0 | – | 827,763 | – 0 | – | 827,763 | ||||||||||
Liabilities: |
| |||||||||||||||
Futures | (575,483 | ) | – 0 | – | – 0 | – | (575,483 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (1,104,944 | ) | – 0 | – | (1,104,944 | ) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (1,022,331 | ) | – 0 | – | (1,022,331 | ) | ||||||||
Credit Default Swaps | – 0 | – | (2,430,258 | ) | – 0 | – | (2,430,258 | ) | ||||||||
Total Return Swaps | – 0 | – | (256,279 | ) | – 0 | – | (256,279 | )(b) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 27,298,867 | $ | 353,558,788 | $ | 1,494,354 | $ | 382,352,009 | ||||||||
|
|
|
|
|
|
|
|
(a) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, options written and swaptions written which are valued at market value. |
(b) | Only variation margin receivable/(payable) at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
3. Currency Translation
Assets and liabilities denominated in foreign currencies and commitments under forward currency exchange contracts are translated into U.S. dollars at the mean of the quoted bid and ask prices of such currencies against the U.S. dollar. Purchases and sales of portfolio securities are translated into U.S. dollars at the rates of exchange prevailing when such securities were acquired or sold. Income and expenses are translated into U.S. dollars at rates of exchange prevailing when accrued.
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NOTES TO FINANCIAL STATEMENTS (continued)
Net realized gain or loss on foreign currency transactions represents foreign exchange gains and losses from sales and maturities of foreign fixed income investments, holding of foreign currencies, currency gains or losses realized between the trade and settlement dates on foreign investment transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains and losses from valuing foreign currency denominated assets and liabilities at period end exchange rates are reflected as a component of net unrealized appreciation or depreciation of foreign currency denominated assets and liabilities.
4. Taxes
It is the Fund’s policy to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its investment company taxable income and net realized gains, if any, to shareholders. Therefore, no provisions for federal income or excise taxes are required. The Fund may be subject to taxes imposed by countries in which it invests. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and net unrealized appreciation/depreciation as such income and/or gains are earned.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Fund’s tax positions taken or expected to be taken on federal and state income tax returns for all open tax years (the current and the prior three tax years) and has concluded that no provision for income tax is required in the Fund’s financial statements.
5. Investment Income and Investment Transactions
Dividend income is recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Interest income is accrued daily. Investment transactions are accounted for on the date the securities are purchased or sold. Investment gains or losses are determined on the identified cost basis. The Fund amortizes premiums and accretes discounts as adjustments to interest income. The Fund accounts for distributions received from REIT investments or from regulated investment companies as dividend income, realized gain, or return of capital based on information provided by the REIT or the investment company.
6. Class Allocations
All income earned and expenses incurred by the Fund are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Fund represented by the net assets of such class,
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NOTES TO FINANCIAL STATEMENTS (continued)
except for class specific expenses which are allocated to the respective class. Expenses of the Company are charged proportionately to each fund or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
7. Dividends and Distributions
Dividends and distributions to shareholders, if any, are recorded on the ex-dividend date. Income dividends and capital gains distributions are determined in accordance with federal tax regulations and may differ from those determined in accordance with U.S. GAAP. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on their federal tax basis treatment; temporary differences do not require such reclassification.
NOTE B
Advisory Fee and Other Transactions with Affiliates
Under the terms of the investment advisory agreement, the Fund pays the Adviser an advisory fee at an annual rate of .45% of the first $2.5 billion, .40% of the next $2.5 billion up to $5 billion, .35% of the excess over $5 billion up to $8 billion and .30% in excess of $8 billion, of the Fund’s average daily net assets. The fee is accrued daily and paid monthly. The Adviser has agreed to waive its fees and bear certain expenses to the extent necessary to limit total operating expenses (excluding interest expense) on an annual basis (the “Expense Caps”) to ..77%, 1.52%, .52%, 1.02%, .77%, .52%, and .52% of the daily average net assets for the Class A, Class C, Advisor Class, Class R, Class K, Class I, and Class Z shares, respectively. This waiver extends through January 31, 2022 and then may be extended by the Adviser for additional one year terms. For the six months ended April 30, 2021, such reimbursements/waivers amounted to $418,014.
Pursuant to the investment advisory agreement, the Fund may reimburse the Adviser for certain legal and accounting services provided to the Fund by the Adviser. For the six months ended April 30, 2021, the reimbursement for such services amounted to $40,136.
The Fund compensates AllianceBernstein Investor Services, Inc. (“ABIS”), a wholly-owned subsidiary of the Adviser, under a Transfer Agency Agreement for providing personnel and facilities to perform transfer agency services for the Fund. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. Such compensation retained by ABIS amounted to $85,013 for the six months ended April 30, 2021.
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NOTES TO FINANCIAL STATEMENTS (continued)
AllianceBernstein Investments, Inc. (the “Distributor”), a wholly-owned subsidiary of the Adviser, serves as the distributor of the Fund’s shares. The Distributor has advised the Fund that it has retained front-end sales charges of $1,746 from the sale of Class A shares and received $928 and $51 in contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares, respectively, for the six months ended April 30, 2021.
The Fund may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”) which has a contractual annual advisory fee rate of .20% of the portfolio’s average daily net assets and bears its own expenses. The Adviser has contractually agreed to waive .10% of the advisory fee of Government Money Market Portfolio (resulting in a net advisory fee of .10%) until August 31, 2022. In connection with the investment by the Fund in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Fund in an amount equal to the Fund’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Fund as an acquired fund fee and expense. For the six months ended April 30, 2021, such waiver amounted to $2,004.
Fund | Market Value 10/31/20 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 4/30/21 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 3,612 | $ | 106,644 | $ | 82,591 | $ | 27,665 | $ | 1 |
During the second quarter of 2018, AXA S.A. (“AXA”), a French holding company for the AXA Group, completed the sale of a minority stake in its subsidiary, AXA Equitable Holdings, Inc. (now named Equitable Holdings, Inc.)(“Equitable”), through an initial public offering. Equitable is the holding company for a diverse group of financial services companies, including an approximate 65% economic interest in the Adviser and a 100% interest in AllianceBernstein Corporation, the general partner of the Adviser. Since the initial sale, AXA has completed additional offerings (and related transactions). As a result, as of May 20, 2021, AXA no longer owns shares of Equitable.
Sales that were completed on November 13, 2019 resulted in the indirect transfer of a “controlling block” of voting securities of the Adviser (a “Change of Control Event”) and may have been deemed to have been an “assignment” causing a termination of the Fund’s investment advisory and administration agreements. In order to ensure that investment advisory and administration services could continue uninterrupted in the event of a Change of Control Event, the Board previously approved new investment
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NOTES TO FINANCIAL STATEMENTS (continued)
advisory and administration agreements with the Adviser, and shareholders of the Fund subsequently approved the new investment advisory agreement. These agreements became effective on November 13, 2019.
NOTE C
Distribution Services Agreement
The Fund has adopted a Distribution Services Agreement (the “Agreement”) pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, the Fund pays distribution and servicing fees to the Distributor at an annual rate of up to .30% of the Fund’s average daily net assets attributable to Class A shares, 1% of the Fund’s average daily net assets attributable to Class C shares, .50% of the Fund’s average daily net assets attributable to Class R shares and .25% of the Fund’s average daily net assets attributable to Class K shares. There are no distribution and servicing fees on the Advisor Class, Class I and Class Z shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25% of Class A shares’ average daily net assets. The fees are accrued daily and paid monthly. The Agreement provides that the Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Fund’s operations, the Distributor has incurred expenses in excess of the distribution costs reimbursed by the Fund in the amounts of $1,207,503, $147,582 and $65,846 for Class C, Class R and Class K shares, respectively. While such costs may be recovered from the Fund in future periods so long as the Agreement is in effect, the rate of the distribution and servicing fees payable under the Agreement may not be increased without a shareholder vote. In accordance with the Agreement, there is no provision for recovery of unreimbursed distribution costs incurred by the Distributor beyond the current fiscal year for Class A shares. The Agreement also provides that the Adviser may use its own resources to finance the distribution of the Fund’s shares.
NOTE D
Investment Transactions
Purchases and sales of investment securities (excluding short-term investments) for the six months ended April 30, 2021 were as follows:
Purchases | Sales | |||||||
Investment securities (excluding U.S. government securities) | $ | 68,912,372 | $ | 84,687,287 | ||||
U.S. government securities | 175,215,116 | 193,204,540 |
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NOTES TO FINANCIAL STATEMENTS (continued)
The cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes. Accordingly, gross unrealized appreciation and unrealized depreciation are as follows:
Gross unrealized appreciation | $ | 11,535,097 | ||
Gross unrealized depreciation | (10,043,390 | ) | ||
|
| |||
Net unrealized appreciation | $ | 1,491,707 | ||
|
|
1. Derivative Financial Instruments
The Fund may use derivatives in an effort to earn income and enhance returns, to replace more traditional direct investments, to obtain exposure to otherwise inaccessible markets (collectively, “investment purposes”), or to hedge or adjust the risk profile of its portfolio.
The principal types of derivatives utilized by the Fund, as well as the methods in which they may be used are:
• | Futures |
The Fund may buy or sell futures for investment purposes or for the purpose of hedging its portfolio against adverse effects of potential movements in the market. The Fund bears the market risk that arises from changes in the value of these instruments and the imperfect correlation between movements in the price of the futures and movements in the price of the assets, reference rates or indices which they are designed to track. Among other things, the Fund may purchase or sell futures for foreign currencies or options thereon for non-hedging purposes as a means of making direct investment in foreign currencies, as described below under “Currency Transactions”.
At the time the Fund enters into futures, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the exchange on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for exchange-traded futures is generally less than privately negotiated futures, since the clearinghouse, which is the issuer or counterparty to each exchange-traded future, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
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NOTES TO FINANCIAL STATEMENTS (continued)
Use of long futures subjects the Fund to risk of loss in excess of the amounts shown on the statement of assets and liabilities, up to the notional value of the futures. Use of short futures subjects the Fund to unlimited risk of loss. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of futures can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
During the six months ended April 30, 2021, the Fund held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
The Fund may enter into forward currency exchange contracts in order to hedge its exposure to changes in foreign currency exchange rates on its foreign portfolio holdings, to hedge certain firm purchase and sale commitments denominated in foreign currencies and for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions”.
A forward currency exchange contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. The gain or loss arising from the difference between the original contract and the closing of such contract would be included in net realized gain or loss on forward currency exchange contracts. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Fund. Risks may arise from the potential inability of a counterparty to meet the terms of a contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.
During the six months ended April 30, 2021, the Fund held forward currency exchange contracts for hedging and non-hedging purposes.
• | Option Transactions |
For hedging and investment purposes, the Fund may purchase and write (sell) put and call options on U.S. and foreign securities, including government securities, and foreign currencies that are traded on U.S. and foreign securities exchanges and over-the-counter markets. Among other things, the Fund may use options transactions for non-hedging purposes as a means of making direct investments in foreign currencies, as described below under “Currency Transactions” and may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, for hedging and investment purposes.
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NOTES TO FINANCIAL STATEMENTS (continued)
The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract. If a put or call option purchased by the Fund were permitted to expire without being sold or exercised, its premium would represent a loss to the Fund. Put and call options purchased are accounted for in the same manner as portfolio securities. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Fund’s maximum payment for written put options equates to the number of shares multiplied by the strike price. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract. Premiums received from written options which expire unexercised are recorded by the Fund on the expiration date as realized gains from options written. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium received is less than the amount paid for the closing purchase transaction, as a realized loss. If a call option is exercised, the premium received is added to the proceeds from the sale of the underlying security or currency in determining whether the Fund has realized a gain or loss. If a put option is exercised, the premium received reduces the cost basis of the security or currency purchased by the Fund. In writing an option, the Fund bears the market risk of an unfavorable change in the price of the security or currency underlying the written option. Exercise of an option written by the Fund could result in the Fund selling or buying a security or currency at a price different from the current market value.
The Fund may also invest in options on swap agreements, also called “swaptions”. A swaption is an option that gives the buyer the right, but not the obligation, to enter into a swap on a future date in exchange for paying a market-based “premium”. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return on a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. The Fund’s maximum payment for written put swaptions equates to the notional
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NOTES TO FINANCIAL STATEMENTS (continued)
amount of the underlying swap. In certain circumstances maximum payout amounts may be partially offset by recovery values of the respective referenced assets and upfront premium received upon entering into the contract.
During the six months ended April 30, 2021, the Fund held written options for hedging and non-hedging purposes. During the six months ended April 30, 2021, the Fund held written swaptions for hedging and non-hedging purposes.
• | Swaps |
The Fund may enter into swaps to hedge its exposure to interest rates, credit risk or currencies. The Fund may also enter into swaps for non-hedging purposes as a means of gaining market exposures, making direct investments in foreign currencies, as described below under “Currency Transactions.” A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. The payment flows are usually netted against each other, with the difference being paid by one party to the other. In addition, collateral may be pledged or received by the Fund in accordance with the terms of the respective swaps to provide value and recourse to the Fund or its counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
Risks may arise as a result of the failure of the counterparty to the swap to comply with the terms of the swap. The loss incurred by the failure of a counterparty is generally limited to the net interim payment to be received by the Fund, and/or the termination value at the end of the contract. Therefore, the Fund considers the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Fund accrues for the interim payments on swaps on a daily basis, with the net amount recorded within unrealized appreciation/depreciation of swaps on the statement of assets and liabilities, where applicable. Once the interim payments are settled in cash, the net amount is recorded as realized gain/(loss) on swaps on the statement of operations, in addition to any realized gain/(loss) recorded upon the termination of swaps. Upfront premiums paid or received for OTC swaps are recognized as cost or proceeds on the statement of assets and liabilities and are amortized on a straight line basis over the life of
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NOTES TO FINANCIAL STATEMENTS (continued)
the contract. Amortized upfront premiums are included in net realized gain/(loss) from swaps on the statement of operations. Fluctuations in the value of swaps are recorded as a component of net change in unrealized appreciation/depreciation of swaps on the statement of operations.
Certain standardized swaps, including certain interest rate swaps and credit default swaps, are (or soon will be) subject to mandatory central clearing. Cleared swaps are transacted through futures commission merchants (“FCMs”) that are members of central clearinghouses, with the clearinghouse serving as central counterparty, similar to transactions in futures contracts. Centralized clearing will be required for additional categories of swaps on a phased-in basis based on requirements published by the Securities and Exchange Commission and Commodity Futures Trading Commission.
At the time the Fund enters into a centrally cleared swap, the Fund deposits and maintains as collateral an initial margin with the broker, as required by the clearinghouse on which the transaction is effected. Such amount is shown as cash collateral due from broker on the statement of assets and liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in the value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the contract. The credit/counterparty risk for centrally cleared swaps is generally less than non-centrally cleared swaps, since the clearinghouse, which is the issuer or counterparty to each centrally cleared swap, has robust risk mitigation standards, including the requirement to provide initial and variation margin. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed.
Interest Rate Swaps:
The Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Fund holds fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, the Fund may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional amount.
In addition, the Fund may also enter into interest rate swap transactions to preserve a return or spread on a particular investment
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NOTES TO FINANCIAL STATEMENTS (continued)
or portion of its portfolio, or protecting against an increase in the price of securities the Fund anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) computed based on a contractually-based principal (or “notional”) amount. Interest rate swaps are entered into on a net basis (i.e., the two payment streams are netted out, with the Fund receiving or paying, as the case may be, only the net amount of the two payments).
During the six months ended April 30, 2021, the Fund held interest rate swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fund may enter into credit default swaps, including to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults by corporate and sovereign issuers held by the Fund, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Fund may purchase credit protection (“Buy Contract”) or provide credit protection (“Sale Contract”) on the referenced obligation of the credit default swap. During the term of the swap, the Fund receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Fund is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Fund will either (i) receive from the seller/(pay to the buyer) of protection an amount equal to the notional amount of the swap (the “Maximum Payout Amount”) and deliver/(take delivery of) the referenced obligation or (ii) receive/(pay) a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. In certain circumstances Maximum Payout Amounts may be partially offset by recovery values of the respective referenced obligations, upfront premium received upon entering into the agreement, or net amounts received from settlement of buy protection credit default swaps entered into by the Fund for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Fund is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Fund coupled with the
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NOTES TO FINANCIAL STATEMENTS (continued)
periodic payments previously received, may be less than the Maximum Payout Amount it pays to the buyer, resulting in a net loss to the Fund.
Implied credit spreads over U.S. Treasuries of comparable maturity utilized in determining the market value of credit default swaps on issuers as of period end are disclosed in the portfolio of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference obligation also reflects the cost of buying/selling protection and may reflect upfront payments required to be made to enter into the agreement. Widening credit spreads typically represent a deterioration of the referenced obligation’s credit soundness and greater likelihood of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced obligation.
During the six months ended April 30, 2021, the Fund held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
The Fund may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. The Fund is subject to market price volatility of the underlying referenced asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Fund will receive a payment from or make a payment to the counterparty.
During the six months ended April 30, 2021, the Fund held total return swaps for hedging and non-hedging purposes.
The Fund typically enters into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) with its OTC derivative contract counterparties in order to, among other things, reduce its credit risk to OTC counterparties. ISDA Master Agreements include provisions for general obligations, representations, collateral and events of default or termination. Under an ISDA Master Agreement, the Fund typically may offset with the OTC counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by an OTC counterparty, the return of collateral with market value in excess of the Fund’s net liability, held by the defaulting party, may be delayed or denied.
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NOTES TO FINANCIAL STATEMENTS (continued)
The Fund’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Fund decline below specific levels (“net asset contingent features”). If these levels are triggered, the Fund’s OTC counterparty has the right to terminate such transaction and require the Fund to pay or receive a settlement amount in connection with the terminated transaction. If OTC derivatives were held at period end, please refer to netting arrangements by the OTC counterparty table below for additional details.
During the six months ended April 30, 2021, the Fund had entered into the following derivatives:
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 209,676 | * | Receivable/Payable for variation margin on futures | $ | 575,483 | * | ||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | | 87,844 | * | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | | 196,872 | * | Receivable/Payable for variation margin on centrally cleared swaps | | 1,022,331 | * | ||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts |
| 545,340 |
| Unrealized depreciation on forward currency exchange contracts |
| 1,104,944 |
| ||||
Credit contracts | Market value on credit default swaps | | 827,763 | Market value on credit default swaps | | 2,430,258 | ||||||
Credit contracts | Unrealized depreciation on total return swaps | | 256,279 | |||||||||
|
|
|
| |||||||||
Total | $ | 1,867,495 | $ | 5,389,295 | ||||||||
|
|
|
|
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 77 |
NOTES TO FINANCIAL STATEMENTS (continued)
* | Only variation margin receivable/payable at period end is reported within the statement of assets and liabilities. This amount reflects cumulative unrealized appreciation/(depreciation) on futures and centrally cleared swaps as reported in the portfolio of investments. |
Derivative Type | Location of Gain or | Realized Gain or (Loss) on Derivatives | Change in Unrealized Appreciation or (Depreciation) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (4,003,589 | ) | $ | 860,291 | ||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 620,069 | (799,466 | ) | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 223,716 | (117,383 | ) | ||||||
Credit contracts | Net realized gain (loss) on swaptions written; Net change in unrealized appreciation/depreciation of swaptions written | 419,616 | (34,052 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 234,392 | (704,870 | ) | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (1,526,310 | ) | 330,230 | ||||||
|
|
|
| |||||||
Total | $ | (4,032,106 | ) | $ | (465,250 | ) | ||||
|
|
|
|
78 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
The following table represents the average monthly volume of the Fund’s derivative transactions during the six months ended April 30, 2021:
Futures: | ||||
Average notional amount of buy contracts | $ | 169,081,716 | ||
Average notional amount of sale contracts | $ | 20,210,871 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 42,903,764 | ||
Average principal amount of sale contracts | $ | 60,008,106 | ||
Options Written: | ||||
Average notional amount | $ | 29,911,200 | (a) | |
Swaptions Written: | ||||
Average notional amount | $ | 18,800,000 | (b) | |
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 75,710,298 | ||
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 8,805,143 | ||
Average notional amount of sale contracts | $ | 10,992,528 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 4,183,843 | ||
Total Return Swaps: | ||||
Average notional amount | $ | 13,100,000 |
(a) | Positions were open for less than one month during the period. |
(b) | Positions were open for one month during the period. |
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
All OTC derivatives held at period end were subject to netting arrangements. The following table presents the Fund’s derivative assets and liabilities by OTC counterparty net of amounts available for offset under ISDA Master Agreements (“MA”) and net of the related collateral received/pledged by the Fund as of April 30, 2021. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the table.
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 797,023 | $ | (279,583 | ) | $ | (517,440 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Goldman Sachs Bank USA/Goldman Sachs International | 43,560 | (43,560 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
JPMorgan Securities, LLC | 36,960 | (36,960 | ) | – 0 | – | – 0 | – | – 0 | – |
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 79 |
NOTES TO FINANCIAL STATEMENTS (continued)
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services, Inc. | $ | 419,274 | $ | (230,634 | ) | $ | (188,640 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
Natwest Markets PLC | 49,625 | (22,344 | ) | – 0 | – | – 0 | – | 27,281 | ||||||||||||
State Street Bank & Trust Co. | 26,661 | (26,661 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,373,103 | $ | (639,742 | ) | $ | (706,080 | ) | $ | – 0 | – | $ | 27,281 | ^ | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | Derivative Liabilities Subject to a MA | Derivatives Available for Offset | Cash Collateral Pledged* | Security Collateral Pledged* | Net Amount of Derivative Liabilities | |||||||||||||||
Barclays Bank PLC | $ | 328,739 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 328,739 | |||||||
Citibank, NA/Citigroup Global Markets, Inc. | 279,583 | (279,583 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 657,453 | – 0 | – | – 0 | – | (657,453 | ) | – 0 | – | |||||||||||
Deutsche Bank AG | 453,243 | – 0 | – | (160,000 | ) | (278,087 | ) | 15,156 | ||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 823,134 | (43,560 | ) | – 0 | – | (760,455 | ) | 19,119 | ||||||||||||
HSBC Bank USA | 103,961 | – 0 | – | – 0 | – | – 0 | – | 103,961 | ||||||||||||
JPMorgan Securities, LLC | 214,083 | (36,960 | ) | – 0 | – | (177,123 | ) | – 0 | – | |||||||||||
Morgan Stanley & Co. International PLC/Morgan Stanley Capital Services, Inc. | 230,634 | (230,634 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Natwest Markets PLC | 22,344 | (22,344 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
State Street Bank & Trust Co. | 79,331 | (26,661 | ) | – 0 | – | – 0 | – | 52,670 | ||||||||||||
UBS AG | 598,976 | – 0 | – | – 0 | – | – 0 | – | 598,976 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,791,481 | $ | (639,742 | ) | $ | (160,000 | ) | $ | (1,873,118 | ) | $ | 1,118,621 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
^ | Net amount represents the net receivable/payable that would be due from/to the counterparty in the event of default or termination. The net amount from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same counterparty. |
80 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
2. Currency Transactions
The Fund may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Fund may seek investment opportunities by taking long or short positions in currencies through the use of currency-related derivatives, including forward currency exchange contracts, futures and options on futures, swaps, and other options. The Fund may enter into transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value but securities denominated in that currency are not held by the Fund and do not present attractive investment opportunities. Such transactions may also be used when the Adviser believes that it may be more efficient than a direct investment in a foreign currency-denominated security. The Fund may also conduct currency exchange contracts on a spot basis (i.e., for cash at the spot rate prevailing in the currency exchange market for buying or selling currencies).
3. TBA and Dollar Rolls
The Fund may invest in TBA mortgage-backed securities. A TBA, or “To Be Announced”, trade represents a contract for the purchase or sale of mortgage-backed securities to be delivered at a future agree-upon date; however, the specific mortgage pool numbers or the number of pools that will be delivered to fulfill the trade obligation or terms of the contract are unknown at the time of the trade. Mortgage pools (including fixed-rate or variable-rate mortgages) guaranteed by the Government National Mortgage Association, or GNMA, the Federal National Mortgage Association, or FNMA, or the Federal Home Loan Mortgage Corporation, or FHLMC, are subsequently allocated to the TBA transactions.
The Fund may enter into certain TBA transactions known as dollar rolls. Dollar rolls involve sales by the Fund of securities for delivery in the current month and the Fund’s simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund is compensated by the difference between the current sales price and the lower forward price for the future purchase (often referred to as the “drop”) as well as by the interest earned on the cash proceeds of the initial sale. Dollar rolls involve the risk that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the six months ended April 30, 2021, the Fund earned drop income of $148,203 which is included in interest income in the accompanying statement of operations.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 81 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE E
Capital Stock
Each class consists of 3,000,000,000 authorized shares. Transactions in capital shares for each class were as follows:
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||
Shares sold | 462,811 | 1,888,650 | $ | 5,276,463 | $ | 21,407,368 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 401,595 | 438,046 | 4,593,249 | 4,969,924 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class B | – 0 | – | 35,898 | – 0 | – | 403,846 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 60,895 | 182,964 | 697,479 | 2,082,073 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,438,093 | ) | (2,549,088 | ) | (16,407,626 | ) | (28,719,237 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (512,792 | ) | (3,530 | ) | $ | (5,840,435 | ) | $ | 143,974 | |||||||||||||||
| ||||||||||||||||||||||||
Class B |
| |||||||||||||||||||||||
Shares sold | – 0 | – | 2 | $ | – 0 | – | $ | 30 | ||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | – 0 | – | (35,898 | ) | – 0 | – | (403,846 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | – 0 | – | (132 | ) | – 0 | – | (1,602 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | – 0 | – | (36,028 | ) | $ | – 0 | – | $ | (405,418 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class C |
| |||||||||||||||||||||||
Shares sold | 40,987 | 432,800 | $ | 470,713 | $ | 4,849,702 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 14,491 | 14,549 | 165,562 | 164,668 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (61,024 | ) | (183,382 | ) | (697,479 | ) | (2,082,073 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (137,720 | ) | (316,423 | ) | (1,570,940 | ) | (3,542,669 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (143,266 | ) | (52,456 | ) | $ | (1,632,144 | ) | $ | (610,372 | ) | ||||||||||||||
| ||||||||||||||||||||||||
82 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Shares | Amount | |||||||||||||||||||||||
Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | Six Months Ended April 30, 2021 (unaudited) | Year Ended October 31, 2020 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Advisor Class |
| |||||||||||||||||||||||
Shares sold | 2,385,599 | 5,154,674 | $ | 27,335,316 | $ | 58,200,348 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 139,396 | 155,888 | 1,594,953 | 1,769,237 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,380,870 | ) | (3,956,933 | ) | (27,095,531 | ) | (43,675,272 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 144,125 | 1,353,629 | $ | 1,834,738 | $ | 16,294,313 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class R |
| |||||||||||||||||||||||
Shares sold | 54,860 | 42,105 | $ | 629,750 | $ | 468,652 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 3,131 | 6,020 | 35,839 | 68,154 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (102,943 | ) | (182,460 | ) | (1,183,075 | ) | (1,990,251 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (44,952 | ) | (134,335 | ) | $ | (517,486 | ) | $ | (1,453,445 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class K |
| |||||||||||||||||||||||
Shares sold | 84,415 | 328,822 | $ | 972,154 | $ | 3,745,267 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 15,207 | 17,425 | 174,057 | 197,903 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (136,940 | ) | (431,270 | ) | (1,554,407 | ) | (4,696,457 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (37,318 | ) | (85,023 | ) | $ | (408,196 | ) | $ | (753,287 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class I |
| |||||||||||||||||||||||
Shares sold | 23,035 | 107,909 | $ | 264,558 | $ | 1,239,855 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 5,511 | 7,118 | 63,155 | 81,001 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (78,399 | ) | (238,893 | ) | (899,174 | ) | (2,743,592 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (49,853 | ) | (123,866 | ) | $ | (571,461 | ) | $ | (1,422,736 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class Z |
| |||||||||||||||||||||||
Shares sold | 187,007 | 342,251 | $ | 2,146,780 | $ | 3,852,305 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued in reinvestment of dividends and distributions | 13,218 | 22,034 | 151,339 | 250,023 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (204,780 | ) | (568,822 | ) | (2,352,196 | ) | (6,427,389 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (4,555 | ) | (204,537 | ) | $ | (54,077 | ) | $ | (2,325,061 | ) | ||||||||||||||
|
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 83 |
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE F
Risks Involved in Investing in the Fund
Market Risk—The value of the Fund’s assets will fluctuate as the stock or bond market fluctuates. The value of its investments may decline, sometimes rapidly and unpredictably, simply because of economic changes or other events, including public health crises (including the occurrence of a contagious disease or illness), that affect large portions of the market.
Interest Rate Risk—Changes in interest rates will affect the value of investments in fixed-income securities. When interest rates rise, the value of existing investments in fixed-income securities tends to fall and this decrease in value may not be offset by higher income from new investments. Interest rate risk is generally greater for fixed-income securities with longer maturities or durations. The current historically low interest rate environment heightens the risks associated with rising interest rates.
Credit Risk—An issuer or guarantor of a fixed-income security, or the counterparty to a derivatives or other contract, may be unable or unwilling to make timely payments of interest or principal, or to otherwise honor its obligations. The issuer or guarantor may default, causing a loss of the full principal amount of a security and accrued interest. The degree of risk for a particular security may be reflected in its credit rating. There is the possibility that the credit rating of a fixed-income security may be downgraded after purchase, which may adversely affect the value of the security.
Below Investment Grade Securities Risk—Investments in fixed-income securities with lower ratings (commonly known as “junk bonds”) are subject to a higher probability that an issuer will default or fail to meet its payment obligations. These securities may be subject to greater price volatility due to such factors as specific corporate developments and negative perceptions of the junk bond market generally and may be more difficult to trade than other types of securities.
Duration Risk—Duration is a measure that relates the expected price volatility of a fixed-income security to changes in interest rates. The duration of a fixed-income security may be shorter than or equal to full maturity of a fixed-income security. Fixed-income securities with longer durations have more risk and will decrease in price as interest rates rise.
Inflation Risk—This is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the value of the Fund’s assets can decline as can the value of the Fund’s distributions. This risk is significantly greater for fixed-income securities with longer maturities. The Fund invests in inflation-indexed securities, the value of which may be vulnerable to changes in expectations of inflation or interest rates.
84 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
Foreign (Non-U.S.) Risk—Investments in securities of non-U.S. issuers may involve more risk than those of U.S. issuers. These securities may fluctuate more widely in price and may be more difficult to trade due to adverse market, economic, political, regulatory or other factors.
Emerging Market Risk—Investments in emerging market countries may have more risk because the markets are less developed and less liquid as well as being subject to increased economic, political, regulatory or other uncertainties.
Currency Risk—Fluctuations in currency exchange rates may negatively affect the value of the Fund’s investments or reduce its returns.
Mortgage-Related and/or Other Asset-Backed Securities Risk—Investments in mortgage-related and other asset-backed securities are subject to certain additional risks. The value of these securities may be particularly sensitive to changes in interest rates. These risks include “extension risk”, which is the risk that, in periods of rising interest rates, issuers may delay the payment of principal, and “prepayment risk”, which is the risk that in periods of falling interest rates, issuers may pay principal sooner than expected, exposing the Fund to a lower rate of return upon reinvestment of principal. Mortgage-backed securities offered by non-governmental issuers and other asset-backed securities may be subject to other risks, such as higher rates of default in the mortgages or assets backing the securities or risks associated with the nature and servicing of mortgages or assets backing the securities.
Leverage Risk—When the Fund borrows money or otherwise leverages its investments, its performance may be volatile because leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s investments. The Fund may create leverage through the use of reverse repurchase arrangements, forward currency exchange contracts, forward commitments, dollar rolls or futures or by borrowing money. The use of other types of derivative instruments by the Fund, such as options and swaps, may also result in a form of leverage. Leverage may result in higher returns to the Fund than if the Fund were not leveraged, but may also adversely affect returns, particularly if the market is declining.
Derivatives Risk—The Fund may enter into derivative transactions such as forwards, options, futures and swaps. Derivatives may be illiquid, difficult to price, and leveraged so that small changes may produce disproportionate losses for the Fund, and subject to counterparty risk to a greater degree than more traditional investments. Derivatives may result in significant losses, including losses that are far greater than the value of the derivatives reflected on the statement of assets and liabilities.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 85 |
NOTES TO FINANCIAL STATEMENTS (continued)
Illiquid Investments Risk—Illiquid investments risk exists when certain investments are or become difficult to purchase or sell. Difficulty in selling such investments may result in sales at disadvantageous prices affecting the value of your investment in the Fund. Causes of illiquid investments risk may include low trading volumes, large positions and heavy redemptions of Fund shares. Illiquid investments risk may be higher in a rising interest rate environment, when the value and liquidity of fixed-income securities generally decline.
Active Trading Risk—The Fund expects to engage in active and frequent trading of its portfolio securities and its portfolio turnover rate may greatly exceed 100%. A higher rate of portfolio turnover increases transaction costs, which may negatively affect the Fund’s return. In addition, a high rate of portfolio turnover may result in substantial short-term gains, which may have adverse tax consequences for Fund shareholders.
LIBOR Transition and Associated Risk—A Fund may invest in debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various interest rate calculations. The United Kingdom Financial Conduct Authority, which regulates LIBOR, will cease publishing certain LIBOR benchmarks at the end of 2021. Although certain LIBOR rates are intended to be published until June 2023, banks are strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and the Secured Overnight Financing Rate, global consensus on alternative rates is lacking and the process for amending existing contracts or instruments to transition away from LIBOR is underway but remains incomplete. The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect a Fund’s performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting a Fund’s performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is
86 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
NOTES TO FINANCIAL STATEMENTS (continued)
not completed in a timely manner. Because the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.
Indemnification Risk—In the ordinary course of business, the Fund enters into contracts that contain a variety of indemnifications. The Fund’s maximum exposure under these arrangements is unknown. However, the Fund has not had prior claims or losses pursuant to these indemnification provisions and expects the risk of loss thereunder to be remote. Therefore, the Fund has not accrued any liability in connection with these indemnification provisions.
Management Risk—The Fund is subject to management risk because it is an actively-managed investment fund. The Adviser will apply its investment techniques and risk analyses in making investment decisions, but there is no guarantee that its techniques will produce the intended results. Some of these techniques may incorporate, or rely upon, quantitative models, but there is no guarantee that these models will generate accurate forecasts, reduce risk or otherwise perform as expected.
NOTE G
Joint Credit Facility
A number of open-end mutual funds managed by the Adviser, including the Fund, participate in a $325 million revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with abnormal redemption activity. Commitment fees related to the Facility are paid by the participating funds and are included in miscellaneous expenses in the statement of operations. The Fund did not utilize the Facility during the six months ended April 30, 2021.
NOTE H
Distributions to Shareholders
The tax character of distributions to be paid for the year ending October 31, 2021 will be determined at the end of the current fiscal year. The tax character of distributions paid during the fiscal years ended October 31, 2020 and October 31, 2019 were as follows:
2020 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 10,898,767 | $ | 11,729,904 | ||||
Net long-term capital gains | 109,442 | – 0 | – | |||||
|
|
|
| |||||
Total taxable distributions paid | $ | 11,008,209 | $ | 11,729,904 | ||||
|
|
|
|
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 87 |
NOTES TO FINANCIAL STATEMENTS (continued)
As of October 31, 2020, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed capital gains | $ | 4,818,070 | (a) | |
Other losses | (184,605 | )(b) | ||
Unrealized appreciation/(depreciation) | 7,418,451 | (c) | ||
|
| |||
Total accumulated earnings/(deficit) | $ | 12,051,916 | (d) | |
|
|
(a) | During the fiscal year, the Fund utilized $3,757,123 of capital loss carry forwards to offset current year net realized gains. |
(b) | As of October 31, 2020, the cumulative deferred loss on straddles was $184,605. |
(c) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the recognition for tax purposes of unrealized gains/losses on certain derivative instruments, the tax treatment of passive foreign investment companies (PFICs), the tax treatment of Treasury inflation-protected securities, the tax treatment of swaps, the tax deferral of losses on wash sales, and the amortization on callable bonds. |
(d) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the accrual of foreign capital gains tax, the tax treatment of defaulted securities, and dividends payable. |
For tax purposes, net realized capital losses may be carried over to offset future capital gains, if any. Funds are permitted to carry forward capital losses for an indefinite period, and such losses will retain their character as either short-term or long-term capital losses. As of October 31, 2020, the Fund did not have any capital loss carryforwards.
NOTE I
Subsequent Events
As of April 30, 2021, Class C shares will automatically convert to Class A shares ten years after the end of the calendar month of purchase. Effective May 31, 2021, Class C shares will automatically convert to Class A shares after eight years instead of ten years.
Management has evaluated subsequent events for possible recognition or disclosure in the financial statements through the date the financial statements are issued. Management has determined that there are no other material events that would require disclosure in the Fund’s financial statements through this date.
88 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class A | Class A | |||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.53 | $ 11.35 | $ 10.65 | $ 11.11 | $ 11.23 | $ 11.06 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .14 | .29 | .33 | .25 | .24 | † | .26 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.17 | ) | .22 | .74 | (.44 | ) | (.06 | ) | .27 | |||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.03 | ) | .51 | 1.07 | (.19 | ) | .18 | .53 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.15 | ) | (.33 | ) | (.37 | ) | (.27 | ) | (.23 | ) | (.36 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.14 | ) | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.03 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.29 | ) | (.33 | ) | (.37 | ) | (.27 | ) | (.30 | ) | (.36 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.21 | $ 11.53 | $ 11.35 | $ 10.65 | $ 11.11 | $ 11.23 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d) | (.24 | )% | 4.60 | % | 10.23 | % | (1.75 | )% | 1.68 | %† | 4.93 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $212,606 | $224,484 | $221,033 | $216,950 | $240,386 | $245,683 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .77 | %^ | .77 | % | .77 | % | .77 | % | .79 | % | .85 | % | ||||||||||||
Expenses, before waivers/reimbursements | 1.00 | %^ | .99 | % | 1.04 | % | 1.01 | % | 1.03 | % | 1.03 | % | ||||||||||||
Net investment income(b) | 2.46 | %^ | 2.58 | % | 2.98 | % | 2.29 | % | 2.16 | %† | 2.35 | % | ||||||||||||
Portfolio turnover rate** | 66 | % | 83 | % | 74 | % | 195 | % | 209 | % | 128 | % |
See footnote summary on page 96.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 89 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class C | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.50 | $ 11.32 | $ 10.63 | $ 11.08 | $ 11.21 | $ 11.04 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .10 | .21 | .25 | .17 | .15 | † | .18 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.16 | ) | .22 | .73 | (.43 | ) | (.06 | ) | .27 | |||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.06 | ) | .43 | .98 | (.26 | ) | .09 | .45 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.25 | ) | (.29 | ) | (.19 | ) | (.16 | ) | (.28 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.14 | ) | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.02 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.25 | ) | (.25 | ) | (.29 | ) | (.19 | ) | �� | (.22 | ) | (.28 | ) | |||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.19 | $ 11.50 | $ 11.32 | $ 10.63 | $ 11.08 | $ 11.21 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d) | (.52 | )% | 3.83 | % | 9.33 | % | (2.40 | )% | .83 | %† | 4.16 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $8,248 | $10,128 | $10,564 | $11,334 | $15,676 | $41,886 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | 1.52 | %^ | 1.52 | % | 1.52 | % | 1.52 | % | 1.55 | % | 1.60 | % | ||||||||||||
Expenses, before waivers/reimbursements | 1.75 | %^ | 1.75 | % | 1.79 | % | 1.76 | % | 1.78 | % | 1.78 | % | ||||||||||||
Net investment income(b) | 1.71 | %^ | 1.84 | % | 2.24 | % | 1.54 | % | 1.38 | %† | 1.60 | % | ||||||||||||
Portfolio turnover rate** | 66 | % | 83 | % | 74 | % | 195 | % | 209 | % | 128 | % |
See footnote summary on page 96.
90 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Advisor Class | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.53 | $ 11.35 | $ 10.65 | $ 11.11 | $ 11.24 | $ 11.06 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .15 | .32 | .35 | .28 | .27 | † | .29 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.15 | ) | .22 | .75 | (.44 | ) | (.07 | ) | .28 | |||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | – 0 | – | .54 | 1.10 | (.16 | ) | .20 | .57 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.17 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.25 | ) | (.39 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.14 | ) | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.31 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.33 | ) | (.39 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.22 | $ 11.53 | $ 11.35 | $ 10.65 | $ 11.11 | $ 11.24 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d) | (.03 | )% | 4.86 | % | 10.50 | % | (1.50 | )% | 1.84 | %† | 5.29 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $120,390 | $122,108 | $104,850 | $76,406 | $67,357 | $56,068 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .52 | %^ | .52 | % | .52 | % | .52 | % | .54 | % | .60 | % | ||||||||||||
Expenses, before waivers/reimbursements | .74 | %^ | .74 | % | .79 | % | .76 | % | .78 | % | .78 | % | ||||||||||||
Net investment income(b) | 2.71 | %^ | 2.82 | % | 3.21 | % | 2.55 | % | 2.41 | %† | 2.60 | % | ||||||||||||
Portfolio turnover rate** | 66 | % | 83 | % | 74 | % | 195 | % | 209 | % | 128 | % |
See footnote summary on page 96.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 91 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class R | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.52 | $ 11.34 | $ 10.65 | $ 11.10 | $ 11.23 | $ 11.06 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .12 | .26 | .30 | .23 | .21 | † | .23 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.15 | ) | .22 | .74 | (.44 | ) | (.06 | ) | .28 | |||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.03 | ) | .48 | 1.04 | (.21 | ) | .15 | .51 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.14 | ) | (.30 | ) | (.35 | ) | (.24 | ) | (.21 | ) | (.34 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.14 | ) | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.03 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.28 | ) | (.30 | ) | (.35 | ) | (.24 | ) | (.28 | ) | (.34 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.21 | $ 11.52 | $ 11.34 | $ 10.65 | $ 11.10 | $ 11.23 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d) | (.28 | )% | 4.33 | % | 9.86 | % | (1.90 | )% | 1.34 | %† | 4.67 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $1,249 | $1,802 | $3,298 | $2,814 | $2,699 | $3,023 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | 1.02 | %^ | 1.02 | % | 1.02 | % | 1.02 | % | 1.04 | % | 1.10 | % | ||||||||||||
Expenses, before waivers/reimbursements | 1.37 | %^ | 1.37 | % | 1.42 | % | 1.35 | % | 1.39 | % | 1.38 | % | ||||||||||||
Net investment income(b) | 2.17 | %^ | 2.34 | % | 2.73 | % | 2.07 | % | 1.91 | %† | 2.10 | % | ||||||||||||
Portfolio turnover rate** | 66 | % | 83 | % | 74 | % | 195 | % | 209 | % | 128 | % |
See footnote summary on page 96.
92 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class K | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.54 | $ 11.36 | $ 10.66 | $ 11.11 | $ 11.24 | $ 11.07 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .14 | .29 | .33 | .25 | .24 | † | .26 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.17 | ) | .22 | .74 | (.43 | ) | (.07 | ) | .27 | |||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.03 | ) | .51 | 1.07 | (.18 | ) | .17 | .53 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.15 | ) | (.33 | ) | (.37 | ) | (.27 | ) | (.23 | ) | (.36 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.14 | ) | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.03 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.29 | ) | (.33 | ) | (.37 | ) | (.27 | ) | (.30 | ) | (.36 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.22 | $ 11.54 | $ 11.36 | $ 10.66 | $ 11.11 | $ 11.24 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return |
| |||||||||||||||||||||||
Total investment return based on net asset value(d) | (.24 | )% | 4.59 | % | 10.22 | % | (1.66 | )% | 1.59 | %† | 4.93 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $5,981 | $6,580 | $7,444 | $7,863 | $5,876 | $5,706 | ||||||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .77 | %^ | .77 | % | .77 | % | .77 | % | .79 | % | .85 | % | ||||||||||||
Expenses, before waivers/reimbursements | 1.07 | %^ | 1.07 | % | 1.10 | % | 1.08 | % | 1.09 | % | 1.09 | % | ||||||||||||
Net investment income(b) | 2.46 | %^ | 2.59 | % | 2.98 | % | 2.32 | % | 2.15 | %† | 2.34 | % | ||||||||||||
Portfolio turnover rate** | 66 | % | 83 | % | 74 | % | 195 | % | 209 | % | 128 | % |
See footnote summary on page 96.
abfunds.com | AB TOTAL RETURN BOND PORTFOLIO | 93 |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class I | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.55 | $ 11.36 | $ 10.66 | $ 11.12 | $ 11.24 | $ 11.07 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .15 | .32 | .36 | .28 | .27 | † | .28 | |||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.16 | ) | .23 | .74 | (.44 | ) | (.06 | ) | .28 | |||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.01 | ) | .55 | 1.10 | (.16 | ) | .21 | .56 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.17 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.25 | ) | (.39 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.14 | ) | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.31 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.33 | ) | (.39 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.23 | $ 11.55 | $ 11.36 | $ 10.66 | $ 11.12 | $ 11.24 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | (.12 | )% | 4.93 | % | 10.50 | % | (1.50 | )% | 1.93 | %† | 5.20 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $2,108 | $2,743 | $4,107 | $2,894 | $2,729 | $2,613 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .52 | %^ | .52 | % | .52 | % | .52 | % | .54 | % | .60 | % | ||||||||||||
Expenses, before waivers/reimbursements | .68 | %^ | .70 | % | .75 | % | .72 | % | .75 | % | .76 | % | ||||||||||||
Net investment income(b) | 2.68 | %^ | 2.85 | % | 3.22 | % | 2.57 | % | 2.41 | %† | 2.56 | % | ||||||||||||
Portfolio turnover rate** | 66 | % | 83 | % | 74 | % | 195 | % | 209 | % | 128 | % |
See footnote summary on page 96.
94 | AB TOTAL RETURN BOND PORTFOLIO | abfunds.com |
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Class Z | ||||||||||||||||||||||||
Six Months (unaudited) | Year Ended October 31, | |||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Net asset value, beginning of period | $ 11.55 | $ 11.37 | $ 10.67 | $ 11.13 | $ 11.26 | $ 11.08 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||||||
Net investment income(a)(b) | .16 | .32 | .36 | .27 | .27† | .28 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.17 | ) | .22 | .74 | (.43 | ) | (.07 | ) | .29 | |||||||||||||||
Contributions from Affiliates | – 0 | – | – 0 | – | .00 | (c) | – 0 | – | .00 | (c) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Net increase (decrease) in net asset value from operations | (.01 | ) | .54 | 1.10 | (.16 | ) | .20 | .57 | ||||||||||||||||
|
| |||||||||||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||||||||||
Dividends from net investment income | (.17 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.25 | ) | (.39 | ) | ||||||||||||
Distributions from net realized gain on investment transactions | (.14 | ) | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
Return of capital | – 0 | – | – 0 | – | – 0 | – | – 0 | – | (.04 | ) | – 0 | – | ||||||||||||
|
| |||||||||||||||||||||||
Total dividends and distributions | (.31 | ) | (.36 | ) | (.40 | ) | (.30 | ) | (.33 | ) | (.39 | ) | ||||||||||||
|
| |||||||||||||||||||||||
Net asset value, end of period | $ 11.23 | $ 11.55 | $ 11.37 | $ 10.67 | $ 11.13 | $ 11.26 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Return | ||||||||||||||||||||||||
Total investment return based on net asset value(d) | (.11 | )% | 4.84 | % | 10.48 | % | (1.49 | )% | 1.84 | %† | 5.28 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $5,614 | $5,824 | $8,059 | $7,274 | $24,653 | $18,134 | ||||||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||||||
Expenses, net of waivers/reimbursements | .52 | %^ | .52 | % | .52 | % | .52 | % | .54 | % | .60 | % | ||||||||||||
Expenses, before waivers/reimbursements | .64 | %^ | .64 | % | .68 | % | .64 | % | .66 | % | .66 | % | ||||||||||||
Net investment income(b) | 2.72 | %^ | 2.82 | % | 3.22 | % | 2.48 | % | 2.42 | % | 2.52 | % | ||||||||||||
Portfolio turnover rate** | 66 | % | 83 | % | 74 | % | 195 | % | 209 | % | 128 | % |
See footnote summary on page 96.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived/reimbursed by the Adviser. |
(c) | Amount is less than $.005. |
(d) | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption on the last day of the period. Initial sales charges or contingent deferred sales charges are not reflected in the calculation of total investment return. Total return does not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Total investment return calculated for a period of less than one year is not annualized. |
† | For the year ended October 31, 2017, the amount includes a refund for overbilling of prior years’ custody out of pocket fees as follows: |
Net Investment Income Per Share | Net Investment Income Ratio | Total Return | ||
$.002 | .02% | .02% |
^ | Annualized. |
** | The Fund accounts for dollar roll transactions as purchases and sales. |
See notes to financial statements.
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BOARD OF DIRECTORS
Marshall C. Turner, Jr.(1), Chairman Jorge A. Bermudez(1) Michael J. Downey(1) Onur Erzan, President and Chief Executive Officer | Nancy P. Jacklin(1) Jeanette W. Loeb(1) Carol C. McMullen(1) Garry L. Moody(1) Earl D. Weiner(1) |
OFFICERS
Michael Canter(2), Vice President Shawn E. Keegan(2), Vice President Janaki Rao(2), Vice President Emilie D. Wrapp, Secretary | Michael B. Reyes, Senior Analyst Joseph J. Mantineo, Treasurer and Chief Financial Officer Phyllis J. Clarke, Controller Vincent S. Noto, Chief Compliance Officer |
Custodian and Accounting Agent State Street Bank and Trust Company State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
Principal Underwriter AllianceBernstein Investments, Inc. 1345 Avenue of the Americas New York, NY 10105
Transfer Agent AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278-6003 Toll-Free (800) 221-5672 | Independent Registered Public Ernst & Young LLP 5 Times Square New York, NY 10036
Legal Counsel Seward & Kissel LLP One Battery Park Plaza New York, NY 10004 |
1 | Member of the Audit Committee, the Governance and Nominating Committee, and the Independent Directors Committee. |
2 |
|
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Operation and Effectiveness of the Fund’s Liquidity Risk Management Program:
In October 2016, the Securities and Exchange Commission (“SEC”) adopted the open-end fund liquidity rule (the “Liquidity Rule”). In June 2018 the SEC adopted a requirement that funds disclose information about the operation and effectiveness of their Liquidity Risk Management Program (“LRMP”) in their reports to shareholders.
One of the requirements of the Liquidity Rule is for the Fund to designate an Administrator of the Fund’s Liquidity Risk Management Program. The Administrator of the Fund’s LRMP is AllianceBernstein L.P., the Fund’s investment adviser (the “Adviser”). The Adviser has delegated the responsibility to its Liquidity Risk Management Committee (the “Committee”).
Another requirement of the Liquidity Rule is for the Fund’s Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Fund’s LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2021, which covered the period January 1, 2020 through December 31, 2020 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Fund’s compliance with limits on investments in illiquid assets and mitigating the risk that the Fund will be unable to meet its redemption obligations in a timely manner.
Pursuant to the LRMP, the Fund classifies the liquidity of its portfolio investments into one of the four categories defined by the SEC: Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid. These classifications are reported to the SEC on Form N-PORT.
During the Program Reporting Period, the Committee reviewed whether the Fund’s strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Fund participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Fund is required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Fund’s reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Fund’s concentration in an issuer, shareholder concentration, investment performance, total net assets, and distribution channels.
The Adviser informed the Fund Board that the Committee believes the Fund’s LRMP is adequately designed, has been implemented as intended,
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and has operated effectively since its inception. No material exceptions have been noted since the implementation of the LRMP. During the Program Reporting Period, beginning in March 2020, all financial markets experienced extreme levels of price volatility and relative illiquidity resulting from the COVID-19 impacts on the global economy. This extreme relative illiquidity resulted in significantly wider bid-ask spreads to transact in securities, including many of those securities held by the Fund, and in a diminished depth of liquidity in most markets, to varying degrees. Nonetheless, there were no liquidity events that impacted the Fund or its ability to timely meet redemptions during the Program Reporting Period.
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Information Regarding the Review and Approval of the Fund’s Advisory Agreement
The disinterested directors (the “directors”) of AB Bond Fund, Inc. (the “Company”) unanimously approved the continuance of the Company’s Advisory Agreement with the Adviser in respect of AB Total Return Bond Portfolio (formerly AB Intermediate Bond Portfolio) (the “Fund”) at a meeting held by video conference on November 3-5, 2020 (the “Meeting”).
Prior to approval of the continuance of the Advisory Agreement, the directors had requested from the Adviser, and received and evaluated, extensive materials. They reviewed the proposed continuance of the Advisory Agreement with the Adviser and with experienced counsel who are independent of the Adviser, who advised on the relevant legal standards. The directors also reviewed additional materials, including comparative analytical data prepared by the Senior Analyst for the Fund. The directors also discussed the proposed continuance in private sessions with counsel.
The directors considered their knowledge of the nature and quality of the services provided by the Adviser to the Fund gained from their experience as directors or trustees of most of the registered investment companies advised by the Adviser, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, the Adviser’s initiative in identifying and raising potential issues with the directors and its responsiveness, frankness and attention to concerns raised by the directors in the past, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the AB Funds. The directors noted that they have four regular meetings each year, at each of which they review extensive materials and information from the Adviser, including information on the investment performance of the Fund and the money market fund advised by the Adviser in which the Fund invests a portion of its assets.
The directors also considered all factors they believed relevant, including the specific matters discussed below. During the course of their deliberations, the directors evaluated, among other things, the reasonableness of the advisory fee. The directors did not identify any particular information that was all-important or controlling, and different directors may have attributed different weights to the various factors. The directors determined that the selection of the Adviser to manage the Fund and the overall arrangements between the Fund and the Adviser, as provided in the Advisory Agreement, including the advisory fee, were fair and reasonable in light of the services performed, expenses incurred and such other matters as the directors considered relevant in the exercise of their business judgment.
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The material factors and conclusions that formed the basis for the directors’ determinations included the following:
Nature, Extent and Quality of Services Provided
The directors considered the scope and quality of services provided by the Adviser under the Advisory Agreement, including the quality of the investment research capabilities of the Adviser and the other resources it has dedicated to performing services for the Fund. The directors noted that the Adviser from time to time reviews the Fund’s investment strategies and from time to time proposes changes intended to improve the Fund’s relative or absolute performance for the directors’ consideration. They also noted the professional experience and qualifications of the Fund’s portfolio management team and other senior personnel of the Adviser. The directors also considered that the Advisory Agreement provides that the Fund will reimburse the Adviser for the cost to it of providing certain clerical, accounting, administrative and other services to the Fund by employees of the Adviser or its affiliates. Requests for these reimbursements are made on a quarterly basis and subject to approval by the directors. Reimbursements, to the extent requested and paid, result in a higher rate of total compensation from the Fund to the Adviser than the fee rate stated in the Advisory Agreement. The directors noted that the methodology used to determine the reimbursement amounts had been reviewed by an independent consultant at the request of the directors. The quality of administrative and other services, including the Adviser’s role in coordinating the activities of the Fund’s other service providers, also was considered. The directors concluded that, overall, they were satisfied with the nature, extent and quality of services provided to the Fund under the Advisory Agreement.
Costs of Services Provided and Profitability
The directors reviewed a schedule of the revenues and expenses and related notes indicating the profitability of the Fund to the Adviser for calendar years 2018 and 2019 that had been prepared with an expense allocation methodology arrived at in consultation with an independent consultant at the requests of the directors. The directors noted the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data and understood that there are a number of potentially acceptable allocation methodologies for information of this type. The directors noted that the profitability information reflected all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to its subsidiaries that provide transfer agency and distribution services to the Fund. The directors recognized that it is difficult to make comparisons of the profitability of the Advisory Agreement with the profitability of fund advisory contracts for unaffiliated funds because comparative information is not generally publicly available and is affected by numerous factors. The directors focused on the profitability of the Adviser’s relationship with the Fund before taxes and distribution
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expenses. The directors concluded that the Adviser’s level of profitability from its relationship with the Fund was not unreasonable.
Fall-Out Benefits
The directors considered the other benefits to the Adviser and its affiliates from their relationships with the Fund and the money market fund advised by the Adviser in which the Fund invests, including, but not limited to, benefits relating to 12b-1 fees and sales charges received by the Fund’s principal underwriter (which is a wholly owned subsidiary of the Adviser) in respect of certain classes of the Fund’s shares; and transfer agency fees paid by the Fund to a wholly owned subsidiary of the Adviser. The directors recognized that the Adviser’s profitability would be somewhat lower without these benefits. The directors understood that the Adviser also might derive reputational and other benefits from its association with the Fund.
Investment Results
In addition to the information reviewed by the directors in connection with the Meeting, the directors receive detailed performance information for the Fund at each regular Board meeting during the year.
At the Meeting, the directors reviewed performance information prepared by an independent service provider (the “15(c) service provider”), showing the performance of the Class A Shares of the Fund against a group of similar funds (“peer group”) and a larger group of similar funds (“peer universe”), each selected by the 15(c) service provider, and information prepared by the Adviser showing performance of the Class A Shares against a broad-based securities market index, in each case for the 1-, 3-, 5- and 10-year periods ended July 31, 2020 and (in the case of comparisons with the broad-based securities market index) for the period from inception. Based on their review, the directors concluded that the Fund’s investment performance was acceptable.
Advisory Fees and Other Expenses
The directors considered the advisory fee rate payable by the Fund to the Adviser and information prepared by the 15(c) service provider concerning advisory fee rates payable by other funds in the same category as the Fund. The directors recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees payable by other funds. The directors compared the Fund’s contractual effective advisory fee rate with a peer group median and noted that it was close to the median. The directors took into account the impact on the advisory fee rate of the administrative expense reimbursement paid to the Adviser in the latest fiscal year.
The directors also considered the Adviser’s fee schedule for other clients utilizing investment strategies similar to those of the Fund. For this purpose,
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they reviewed the relevant advisory fee information from the Adviser’s Form ADV and in a report from the Fund’s Senior Analyst and noted the differences between the Fund’s fee schedule, on the one hand, and the Adviser’s institutional fee schedule and the schedule of fees charged by the Adviser to any offshore funds and for services to any sub-advised funds utilizing investment strategies similar to those of the Fund, on the other. The directors noted that the Adviser may, in some cases, agree to fee rates with large institutional clients that are lower than those reviewed by the directors and that they had previously discussed with the Adviser its policies in respect of such arrangements. The directors previously discussed these matters with an independent fee consultant. The directors also compared the advisory fee rate for the Fund with that for another fund advised by the Adviser utilizing similar investment strategies.
The Adviser reviewed with the directors the significantly greater scope of the services it provides to the Fund relative to institutional, offshore fund and sub-advised fund clients. In this regard, the Adviser noted, among other things, that, compared to institutional and offshore or sub-advisory accounts, the Fund (i) demands considerably more portfolio management, research and trading resources due to significantly higher daily cash flows; (ii) has more tax and regulatory restrictions and compliance obligations; (iii) must prepare and file or distribute regulatory and other communications about fund operations; and (iv) must provide shareholder servicing to retail investors. The Adviser also reviewed the greater legal risks presented by the large and changing population of Fund shareholders who may assert claims against the Adviser in individual or class actions, and the greater entrepreneurial risk in offering new fund products, which require substantial investment to launch, may not succeed, and generally must be priced to compete with larger, more established funds resulting in lack of profitability to the Adviser until a new fund achieves scale. In light of the substantial differences in services rendered by the Adviser to institutional, offshore fund and sub-advised fund clients as compared to the Fund, and the different risk profile, the directors considered these fee comparisons inapt and did not place significant weight on them in their deliberations.
In connection with their review of the Fund’s advisory fee, the directors also considered the total expense ratio of the Class A shares of the Fund in comparison to a peer group and a peer universe selected by the 15(c) service provider. The Class A expense ratio of the Fund was based on the Fund’s latest fiscal year and the directors considered the Adviser’s expense cap for the Fund. The directors noted that it was likely that the expense ratios of some of the other funds in the Fund’s category were lowered by waivers or reimbursements by those funds’ investment advisers, which in some cases might be voluntary or temporary. The directors view expense ratio information as relevant to their evaluation of the Adviser’s services because the Adviser is responsible for coordinating services provided to the Fund by others. Based on their review, the directors concluded that the Fund’s expense ratio was acceptable.
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Economies of Scale
The directors noted that the advisory fee schedule for the Fund contains breakpoints that reduce the fee rates on assets above specified levels. The directors took into consideration prior presentations by an independent consultant on economies of scale in the mutual fund industry and for the AB Funds, and presentations from time to time by the Adviser concerning certain of its views on economies of scale. The directors also previously discussed economies of scale with an independent fee consultant. The directors also had requested and received from the Adviser certain updates on economies of scale in advance of the Meeting. The directors believe that economies of scale may be realized (if at all) by the Adviser across a variety of products and services, and not only in respect of a single fund. The directors noted that there is no established methodology for setting breakpoints that give effect to the fund-specific services provided by a fund’s adviser and to the economies of scale that an adviser may realize in its overall mutual fund business or those components of it which directly or indirectly affect a fund’s operations. The directors observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. The directors also noted that the advisory agreements for many funds do not have breakpoints at all. Having taken these factors into account, the directors concluded that the Fund’s shareholders would benefit from a sharing of economies of scale in the event the Fund’s net assets exceed a breakpoint in the future.
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This page is not part of the Shareholder Report or the Financial Statements.
AB FAMILY OF FUNDS
US EQUITY
CORE
Core Opportunities Fund
FlexFee™ US Thematic Portfolio
Select US Equity Portfolio
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
FlexFee™ Large Cap Growth Portfolio
Growth Fund
Large Cap Growth Fund
Small Cap Growth Portfolio
VALUE
Discovery Value Fund
Equity Income Fund
Relative Value Fund
Small Cap Value Portfolio
Value Fund
INTERNATIONAL/ GLOBAL EQUITY
CORE
Global Core Equity Portfolio
International Strategic Core Portfolio
Sustainable Global Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
Sustainable International Thematic Fund
VALUE
All China Equity Portfolio
International Value Fund
FIXED INCOME
MUNICIPAL
High Income Municipal Portfolio
Intermediate California Municipal Portfolio
Intermediate Diversified Municipal Portfolio
Intermediate New York Municipal Portfolio
Municipal Bond Inflation Strategy
Tax-Aware Fixed Income Opportunities Portfolio
National Portfolio
Arizona Portfolio
California Portfolio
Massachusetts Portfolio
Minnesota Portfolio
New Jersey Portfolio
New York Portfolio
Ohio Portfolio
Pennsylvania Portfolio
Virginia Portfolio
TAXABLE
Bond Inflation Strategy
Global Bond Fund
High Income Fund
High Yield Portfolio1
Income Fund
Intermediate Duration Portfolio
Limited Duration High Income Portfolio
Short Duration Income Portfolio
Short Duration Portfolio
Sustainable Thematic Credit Portfolio
Total Return Bond Portfolio
ALTERNATIVES
All Market Real Return Portfolio
Global Real Estate Investment Fund
Select US Long/Short Portfolio
MULTI-ASSET
All Market Income Portfolio
All Market Total Return Portfolio
Conservative Wealth Strategy
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
We also offer Government Money Market Portfolio, which serves as the money market fund exchange vehicle for the AB mutual funds. You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
Investors should consider the investment objectives, risks, charges and expenses of the Fund carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit us online at www.abfunds.com or contact your AB representative. Please read the prospectus and/or summary prospectus carefully before investing.
1 | Prior to April 30, 2021, High Yield Portfolio was named FlexFee High Yield Portfolio. |
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NOTES
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NOTES
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NOTES
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AB TOTAL RETURN BOND PORTFOLIO
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
TRB-0152-0421
ITEM 2. CODE OF ETHICS.
Not applicable when filing a semi-annual report to shareholders.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable when filing a semi-annual report to shareholders.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable when filing a semi-annual report to shareholders.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to the registrant.
ITEM 6. INVESTMENTS.
Please see Schedule of Investments contained in the Report to Shareholders included under Item 1 of this Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable to the registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors since the Fund last provided disclosure in response to this item.
ITEM | 11. CONTROLS AND PROCEDURES. |
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940, as amended) are effective at the reasonable assurance level based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document.
(b) There were no changes in the registrant’s internal controls over financial reporting that occurred during the second fiscal quarter of the period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to the registrant.
ITEM 13. | EXHIBITS. |
The following exhibits are attached to this Form N-CSR:
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): AB Bond Fund, Inc.
By: | /s/ Onur Erzan | |
Onur Erzan | ||
President | ||
Date: | June 25, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Onur Erzan | |
Onur Erzan | ||
President | ||
Date: | June 25, 2021 |
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer | ||
Date: | June 25, 2021 |