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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: 811-05555
SANFORD C. BERNSTEIN 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: September 30, 2022
Date of reporting period: September 30, 2022
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ITEM 1. REPORTS TO STOCKHOLDERS.
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SANFORD C. BERNSTEIN FUND, INC.
Emerging Markets Portfolio
Short Duration Diversified Municipal Portfolio
California Municipal Portfolio
Diversified Municipal Portfolio
New York Municipal Portfolio
Intermediate Duration Portfolio
Short Duration Plus Portfolio
ANNUAL REPORT
SEPTEMBER 30, 2022
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Before investing in any portfolio of the Sanford C. Bernstein Fund, Inc., a prospective investor should consider carefully the portfolio’s investment objectives and policies, charges, expenses and risks. These and other matters of importance to prospective investors are contained in the portfolio’s prospectus, an additional copy of which may be obtained by visiting our website at www.Bernstein.com and clicking on “Investments”, found in the footer, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports” or by calling your financial advisor or by calling Bernstein’s mutual fund shareholder help line at 212.756.4097. Please read the prospectus carefully before investing.
For performance information current to the most recent month-end, please visit our website at www.Bernstein.com and click on “Investments”, found in the footer, then “Mutual Fund Information—Mutual Fund Performance at a Glance”.
Sanford C. Bernstein Fund, Inc. (the “Fund”) operates as a series company currently comprised of 13 portfolios (hereafter collectively referred to as the “Portfolios” and each individually a “Portfolio”). This report relates only to the Emerging Markets Portfolio, Fixed Income Municipal Portfolios and Fixed Income Taxable Portfolios (together the “SCB Portfolios”). The financial statements of the Overlay Portfolios and the financial highlights of Class A, Class C, Advisor Class and Class Z Shares (collectively “Retail Classes”) of California Municipal, Diversified Municipal, New York Municipal, Intermediate Duration and Short Duration Plus Portfolios are presented in separate financial reports.
This shareholder report must be preceded or accompanied by the Sanford C. Bernstein Fund, Inc. prospectus for individuals who are not 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 www.AllianceBernstein.com, or go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at 800.227.4618.
The Fund will file 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 Report of Independent Registered Public Accounting Firm can be found with the applicable Portfolio’s Schedules of Investments. The Schedules of Investments, an integral part of the financial statements for each Portfolio, are included as inserts to this Report.
Investment Products Offered: · Are Not FDIC Insured · May Lose Value · Are Not Bank Guaranteed
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Portfolio Manager Commentary (Unaudited)
To Our Shareholders—November 15, 2022
On the following pages, you will find the 2022 annual report for the Portfolios1 (collectively, the “Portfolios”, and individually, a “Portfolio”) of the Sanford C. Bernstein Fund, Inc. (the “SCB Fund”). The annual report covers the six- and 12-month periods ended September 30, 2022, and includes financial statements as well as notes to the financial statements, information about the recent performance of the Portfolios and a listing of each Portfolio’s holdings as of the period end.
Global equity markets have been challenged over the 12-month period ended September 30, 2022, with most stock indices down more than 20%, the conventional threshold defining a bear market. In addition, volatility has been elevated throughout most of 2022, marking a turbulent period for investors. Significant economic and geopolitical stress created a tough macroeconomic backdrop, with both inflation and central banks’ interest-rate policies coming in higher than the markets anticipated.
One of the greatest surprises for markets has been the outperformance of the US dollar, which has negatively impacted US companies’ earnings coming from overseas, while geopolitical forces continue to put pressure on international earnings and economic growth. In contrast to most of the past decade, value stocks have outperformed growth stocks, but stock selection overall has been challenging. Our equity funds seek to find balanced exposure across factors and the portfolio teams have been pivoting to companies with strong balance sheets, pricing power and defensive characteristics, while also seeking to capture opportunities due to valuation dislocations.
The pressure on inflation and interest rates has also made the past year one of the worst on record for fixed-income markets. While this has been very painful for investors, the portfolio teams are leaning into higher yielding issues, with yields notably higher than they were even at the beginning of this calendar year.
Looking ahead, we are carefully minding the odds of recessions in the US and around the world. In this environment, we are confident in our portfolio teams’ ability to find the right balance to position for the eventual rebound and the opportunities that are being created today. Thank you for your continued confidence in our approach.
If you have any questions about your investments in the Portfolios, please contact your Bernstein Advisor by calling 212.756.4097, or visit www.Bernstein.com. As always, we are firmly dedicated to your investment success.
Sincerely,
Beata D. Kirr
President
Sanford C. Bernstein Fund, Inc.
1 | Please note that the information for the Overlay Portfolios of the SCB Fund may be found in a separate report. |
Emerging Markets Portfolio
Investment Objective and Strategy
The Portfolio seeks to provide long-term capital growth through investments in equity securities of companies in emerging-market countries. The Portfolio invests, under normal circumstances, at least 80% of its net assets in securities of companies in emerging markets. AllianceBernstein L.P., the Portfolio’s investment adviser (the “Adviser”) invests the Portfolio’s assets using multiple disciplines. The Portfolio may own stocks selected using the Adviser’s bottom-up research in value, growth, core and other investment style disciplines. The Adviser may allocate assets to companies in different targeted ranges of market capitalization. Within each investment discipline, the Adviser draws on the capabilities of separate investment teams. The Adviser relies on both fundamental and quantitative research to manage risk and return for the Portfolio.
The Portfolio may invest in companies of any size. The Portfolio invests primarily in common stocks, but may also invest in preferred stocks, warrants and convertible securities of foreign issuers, including sponsored or unsponsored American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”). Under most conditions, the Portfolio intends to have its assets invested among multiple emerging-market countries, although the Portfolio may also invest in more developed-country markets. In allocating the Portfolio’s assets among emerging-market countries, the Adviser considers such factors as the geographical distribution
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of the Portfolio, the sizes of the stock markets represented and the various key economic characteristics of the countries. However, the Portfolio may not necessarily be diversified on a geographical basis. The Adviser also considers the transaction costs and volatility of each individual market.
The Portfolio may enter into foreign currency transactions for hedging and non-hedging purposes on a spot (i.e., cash) basis or through the use of derivatives transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio. The Portfolio generally invests in foreign-currency futures contracts or foreign-currency forward contracts with terms of up to one year. The Portfolio also purchases foreign currency for immediate settlement in order to purchase foreign securities. In addition, the Portfolio may invest a portion of its uncommitted cash balances in futures contracts on securities or baskets of securities to expose that portion of the Portfolio to the equity markets. The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may use options strategies involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices, futures contracts (including futures contracts on individual securities and stock indices) or shares of exchange-traded funds (“ETFs”). These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolio from a decline in value, sometimes within certain ranges.
Investment Results
The table on page 14 shows the Portfolio’s performance compared to its benchmark, the Morgan Stanley Capital International Emerging Markets (“MSCI EM”) Index (net), for the six- and 12-month periods ended September 30, 2022. The table also includes the Portfolio’s peer group, as represented by the Lipper Emerging Markets Funds Average (the “Lipper Average”). Funds in the Lipper Average have generally similar investment objectives to the Portfolio, although some of the funds may have different investment policies and sales and management fees and fund expenses.
Over the 12-month period, both share classes of the Portfolio underperformed the benchmark, but outperformed the Lipper Average. Stock selection detracted, relative to the benchmark, while country and sector selection contributed. In this period, the start of the Russian invasion of the Ukraine caused a spike in energy prices. While an overweight to utilities benefited from the defensive nature of the sector, weak stock selection within the sector more than offset the benefit. In China, the continued impact of the worries in the real estate sector caused negative stock selection, which was offset by an underweight to the country. Finally, an underweight to Russia added to returns, as the country was delisted, and stocks were written down to zero value by the index after global sanctions were implemented following the invasion.
Over the six-month period, both share classes of the Portfolio underperformed the benchmark and Lipper Average. Weak country and security selection, particularly in China, drove the underperformance. Security selection within Chinese industrials and real estate stocks were the major detractors, due to continued pressure on the property sector. An overweight to the Chinese consumer-discretionary sector also detracted amid a delayed re-opening from the country’s COVID-19 lockdown. Stock selection within travel-related companies, Indonesian banking exposure and Brazil helped to offset some of these losses. Positive sector selection from an overweight to consumer discretionary and an underweight to communication services also helped.
The Portfolio utilized derivatives for hedging purposes in the form of currency forwards, which had no material impact on absolute returns for either period.
Short Duration Diversified Municipal Portfolio
Investment Objective and Strategy
The Portfolio seeks to provide safety of principal and a moderate rate of return after taking account of federal taxes. As a matter of fundamental policy, the Portfolio, under normal circumstances, invests at least 80% of its net assets in municipal securities. The Portfolio invests no more than 25% of its total assets in municipal securities of issuers located in any one state.
The Portfolio invests at least 80% of its total assets in municipal securities rated A or better by any nationally recognized statistical rating organization (“NRSRO”) (or, if unrated, determined by the Adviser to be of comparable
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Portfolio Manager Commentary (continued)
quality) and comparably rated municipal notes. The Portfolio may invest up to 20% of its total assets in below investment-grade fixed-income securities (commonly known as “junk bonds”).
The Portfolio may invest, without limit, in revenue bonds, which generally do not have the pledge of the credit of the issuer. The Portfolio may invest, without limit, in securities or obligations that are related in such a way that business or political developments or changes affecting one such security could also affect the others (for example, securities with interest that is paid from projects of a similar type).
The Portfolio may also invest up to 20% of its net assets in fixed-income securities of US issuers that are not municipal securities if, in the Adviser’s opinion, these securities will enhance the after-tax return for investors.
The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio seeks to maintain an effective duration of one-half year to two and one-half years under normal market conditions. Duration is a measure that relates the expected price volatility of a security to changes in interest rates. The duration of a debt security is the weighted average term to maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. Within the range described above, the Adviser may moderately shorten the average duration of the Portfolio when it expects interest rates to rise and moderately lengthen average duration when it anticipates that interest rates will fall. 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 Portfolio. 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 Portfolio’s other holdings.
Investment Results
The table on page 14 shows the Portfolio’s performance compared to its benchmark, the Bloomberg 1-Year Municipal Bond Index, for the six- and 12-month periods ended September 30, 2022. The table also includes the Portfolio’s peer group, as represented by the Lipper Short-Term Municipal Debt Funds Average. Funds in the Lipper Average have generally similar investment objectives to the Portfolio, although some of the funds may have different investment policies and sales and management fees and fund expenses.
The Portfolio underperformed the benchmark and Lipper Average during both periods. During both periods, the Portfolio’s underperformance, relative to the benchmark, was largely attributable to an overweight to duration, as yields rose significantly toward the end of the reporting period. In addition, the Portfolio’s overweight to credit detracted as credit spreads widened. However, sector selection contributed to returns.
The Portfolio utilized derivatives for hedging purposes in the form of interest rate swaps and inflation swaps, which had no material impact on absolute returns for either period.
The Portfolio 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 currently 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 September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and insured municipal bonds that have been pre-refunded or escrowed to maturity were 1.51% and 0.00%, respectively.
California Municipal Portfolio
Diversified Municipal Portfolio
New York Municipal Portfolio
Investment Objective and Strategy
Each of the Portfolios seeks to provide safety of principal and maximize total return after taking account of federal taxes (and, in the case of the California Municipal Portfolio, California state taxes, and, in the case of the New York Municipal Portfolio, New York state and local taxes). As a matter of fundamental policy, each of the Portfolios, under normal circumstances, invests at least 80% of its net assets in municipal securities (and, in the case of the California Municipal and New York Municipal Portfolios, municipal securities issued by the State of California or the State of New York, or their political subdivisions, or otherwise exempt
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from California or New York state income tax, respectively). The Diversified Municipal Portfolio will invest no more than 25% of its total assets in municipal securities of issuers located in any one state.
Each of the Portfolios invests at least 80% of its total assets in municipal securities rated A or better by NRSROs (or, if unrated, determined by the Adviser to be of comparable quality) and comparably rated municipal notes. Each of the Portfolios may invest up to 20% of their total assets in below investment-grade fixed-income securities (commonly known as “junk bonds”).
Each of the Portfolios may invest, without limit, in revenue bonds, which generally do not have the pledge of the credit of the issuer. Each of the Portfolios may invest, without limit, in securities or obligations that are related in such a way that business or political developments or changes affecting one such security could also affect the others (for example, securities with interest that is paid from projects of a similar type).
Each of the Portfolios may also invest up to 20% of its net assets in fixed-income securities of US issuers that are not municipal securities if, in the Adviser’s opinion, these securities will enhance the after-tax return for investors (and, in the case of the California Municipal and New York Municipal Portfolios, California investors and New York investors, respectively).
The Portfolios may use derivatives, such as options, futures contracts, forward contracts and swaps. Each Portfolio seeks to maintain an effective duration of three and one-half years to seven years under normal market conditions.
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 each of the Portfolios. 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 Portfolios’ other holdings.
The California Municipal and New York Municipal Portfolios are “non-diversified,” which means that they may concentrate their assets in a smaller number of issuers than a diversified fund.
Investment Results
The table on page 14 shows each Portfolio’s performance compared to its benchmark, the Bloomberg 5-Year General Obligation (“GO”) Municipal Bond Index, for the six- and 12-month periods ended September 30, 2022. The table also includes performance for each Portfolio’s peer group, as represented by the Lipper California Intermediate Municipal Debt Funds Average for the California Municipal Portfolio, the Lipper Intermediate Municipal Debt Funds Average for the Diversified Municipal Portfolio and the Lipper New York Intermediate Municipal Debt Funds for the New York Municipal Portfolio. Funds in the applicable Lipper Average have generally similar investment objectives to the corresponding Portfolio, although some of the funds have different investment policies, sales and management fees and fund expenses. Effective November 1, 2022, the Portfolios’ primary benchmark will be changing to the Bloomberg 1-10 Year Blend Index.
During the 12-month period, the Diversified Municipal and New York Municipal Portfolios underperformed the benchmark and outperformed their respective Lipper Averages. The California Municipal Portfolio outperformed both the benchmark and Lipper Average. During the six-month period, the Portfolios outperformed their respective Lipper Averages, but underperformed the benchmark.
In the 12-month period, the Portfolios’ overweight to credit detracted, relative to the benchmark. However, yield-curve positioning was beneficial—particularly the Portfolios’ underweight to intermediate maturities. An overweight to municipal credit detracted for the six-month period, but was partially offset by beneficial yield-curve positioning.
During both periods, the Portfolios used credit default swaps for hedging and investment purposes, as well as inflation swaps for hedging purposes, which had no material impact on absolute returns; interest rate swaps were used for hedging purposes, which detracted.
The Portfolios 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 currently 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
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company’s rating is downgraded or the company becomes insolvent, the prices of municipal securities insured by the insurance company may decline. As of September 30, 2022, the Portfolios’ percentages of investments in municipal bonds that are insured and insured municipal bonds that have been pre-refunded or escrowed to maturity were 1.97% and 0.00%, respectively, for the California Municipal Portfolio; 4.79% and 0.00%, respectively, for the Diversified Municipal Portfolio; and 2.93% and 0.00%, respectively, for the New York Municipal Portfolio.
Intermediate Duration Portfolio
Investment Objective and Strategy
The Portfolio seeks to provide safety of principal and a moderate to high rate of income that is subject to taxes. The Portfolio seeks to maintain an average portfolio quality minimum of A, based on ratings given to the Portfolio’s securities by NRSROs (or, if unrated, determined by the Adviser, to be of comparable quality). Many types of securities may be purchased by the Portfolio, including corporate bonds, notes, US government and agency securities, asset-backed securities, mortgage-related securities, bank loan debt, preferred stock and inflation-protected securities, as well as others. The Portfolio may also invest up to 25% of its total assets in fixed-income, non-US dollar denominated foreign securities, and may invest without limit in fixed-income, US dollar denominated foreign securities, in each case in developed- or emerging-market countries.
The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may invest up to 25% of its total assets in fixed-income securities rated below investment-grade by NRSROs (commonly known as “junk bonds”). No more than 5% of the Portfolio’s total assets may be invested in fixed-income securities rated CCC by NRSROs. The Portfolio seeks to maintain an effective duration of three to seven years under normal market conditions. Duration is a measure that relates the expected price volatility of a security to changes in interest rates. The duration of a debt security is the weighted average term to maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. Within the range described above, the Adviser may moderately shorten the average duration of the Portfolio when it expects interest rates to rise and moderately lengthen average duration when it anticipates that interest rates will fall. 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 Portfolio. 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 Portfolio’s other holdings.
The Portfolio may enter into foreign currency transactions on a spot (i.e., cash) basis or through the use of derivatives transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio.
Investment Results
The table on page 14 shows the Portfolio’s performance compared to its benchmark, the Bloomberg US Aggregate Bond Index, for the six- and 12-month periods ended September 30, 2022. The table also includes the Portfolio’s peer group, as represented by the Lipper Core Bond Funds Average. Funds in the Lipper Average have generally similar investment objectives to the Portfolio, although some of the funds may have different investment policies and sales and management fees and fund expenses.
During the 12-month period, the Portfolio underperformed its benchmark and the Lipper Average. Yield-curve positioning was the largest detractor, relative to the benchmark, mostly from overweights on the five- and 10-year parts of the yield curve that were partially offset by gains from an overweight on the six-month part of the curve and an underweight on the 20-year part of the yield curve. Security selection also detracted, primarily due to losses from selection within investment-grade corporate bonds, asset-backed securities and US agency mortgages that were greater than gains from selection within commercial mortgage-backed securities (“CMBS”). Sector allocation was the largest contributor, as gains from an underweight to US agency mortgages, an overweight to asset-backed securities and exposure to US inflation-linked bonds were greater than losses from exposure to collateralized mortgage obligations and agency risk-sharing transactions. Country allocation was a minor contributor to performance during the period.
During the six-month period, the Portfolio underperformed its benchmark and outperformed the Lipper Average. Security selection was the primary detractor. Selection among
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investment-grade corporate bonds, asset-backed securities and eurozone high-yield corporate bonds had losses that were greater than gains from selection within CMBS. Country allocation to Japan and the UK also detracted, mostly offset by exposure to the eurozone. Yield-curve positioning was a minor detractor to performance results. Currency decisions added the most, due to short positions in the offshore Chinese renminbi, Australian dollar and Canadian dollar. Sector allocation also contributed, due to the positive impact from an underweight to US agency mortgages and an overweight to asset-backed securities, which exceeded losses from exposure to collateralized loan obligations and eurozone high-yield corporate bonds.
During both periods, the Portfolio utilized derivatives in the form of interest rate swaps and futures 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. Inflation swaps were used to hedge inflation and for investment purposes to incorporate the Portfolio’s Investment Management Team’s view on future inflation in the Portfolio. Credit default swaps were utilized to hedge credit risk and as a tool to effectively gain exposure to specific sectors. The utilization of government-agency-related To Be Announced mortgage positions was a significant contributor to the Portfolio’s turnover rate of 122%.
Short Duration Plus Portfolio
Investment Objective and Strategy
The Portfolio seeks to provide safety of principal and a moderate rate of income that is subject to taxes. The Portfolio invests at least 80% of its total assets in securities rated A or better by NRSROs (or, if unrated, determined by the Adviser, to be of comparable quality) and comparably rated commercial paper and notes. Many types of securities may be purchased by the Portfolio, including corporate bonds, notes, US government and agency securities, asset-backed securities, mortgage-related securities, inflation-protected securities, bank loan debt and preferred stock, as well as others. The Portfolio may also invest up to 20% of its total assets in fixed-income foreign securities in developed or emerging-market countries.
The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may invest up to 20% of its total assets in fixed-income securities rated BB or B by NRSROs, which are not investment-grade (commonly known as “junk bonds”). The Portfolio seeks to maintain an effective duration of one to three years under normal market conditions. Duration is a measure that relates the expected price volatility of a security to changes in interest rates. The duration of a debt security is the weighted average term to maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. Within the range described above, the Adviser may moderately shorten the average duration of the Portfolio when it expects interest rates to rise and moderately lengthen average duration when it anticipates that interest rates will fall. 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 Portfolio. 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 Portfolio’s other holdings.
The Portfolio may enter into foreign currency transactions on a spot (i.e., cash) basis or through the use of derivatives transactions, such as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio.
Investment Results
The table on page 14 shows the Portfolio’s performance compared to its benchmark, the Intercontinental Exchange Bank of America (“ICE BofA”) 1-3 Year US Treasury Index, for the six- and 12-month periods ended September 30, 2022. The table also includes the Portfolio’s peer group, as represented by the Lipper Short-Term Investment Grade Debt Funds Average. Funds in the Lipper Average have generally similar investment objectives to the Portfolio, although some of the funds may have different investment policies and sales and management fees and fund expenses.
During both periods, the Portfolio underperformed its benchmark and outperformed the Lipper Average. In the 12-month period, security selection within investment-grade corporate bonds detracted the most, relative to the benchmark. Country allocation to Japan and the UK also detracted, offset partially by exposure to the eurozone. Yield-curve positioning contributed, mostly from an underweight to the two-year and six-month parts of the curve, offset by an underweight to the
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five-year part of the yield curve. Sector allocation also contributed, primarily from exposure to US inflation-linked bonds and CMBS that contributed more than losses from exposure to collateralized loan obligations and investment-grade corporate bonds. Currency decisions overall did not materially impact returns during the period.
During the six-month period, sector allocation to collateralized loan obligations was the primary detractor from performance. Country allocation also detracted, as losses from exposure to Japan and the UK were greater than a gain from exposure to the eurozone. Security selection among investment-grade corporate bonds also hampered results. Yield-curve positioning from underweights to the two- to 10-year parts of the yield curve contributed. Currency decisions did not have a material impact on performance during the period.
During both periods, the Portfolio utilized derivatives in the form of interest rate swaps and futures 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. Inflation swaps were used to hedge inflation and for investment purposes to incorporate the Portfolio’s Investment Management Team’s view on future inflation in the Portfolio. Credit default swaps were utilized to hedge credit risk and as a tool to effectively gain exposure to specific sectors.
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Disclosures and Risks (Unaudited)
Benchmark Disclosures
None of the following indices or averages reflects fees and expenses associated with the active management of a mutual fund portfolio. The MSCI EM Index (net, free float-adjusted, market capitalization weighted) represents the equity market performance of emerging markets. The Bloomberg 1-Year Municipal Bond Index is a total-return performance benchmark for the short-term municipal bond market with maturities of up to 1.99 years. The Bloomberg 5-Year GO Municipal Bond Index represents the performance of long-term, investment-grade tax-exempt bonds with maturities ranging from four to six years. The Bloomberg 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. The ICE BofA® 1-3 Year US Treasury Index represents the performance of US dollar-denominated sovereign debt publicly issued by the US government in its domestic market with a remaining term to final maturity of one to three years. 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. Lipper Averages are the equal-weighted average returns of the funds in the relevant Lipper Inc. categories; the average fund in a category may differ in composition from the Portfolios. Investors cannot invest directly in indices, and their results are not indicative of the performance for any specific investment, including the Portfolios.
A Word About Risk
All Portfolios: The share price of the Portfolios will fluctuate and you may lose money. There is no guarantee that the Portfolios will achieve their investment objectives.
Cybersecurity Risk: As the use of the internet and other technologies has become more prevalent in the course of business, the Portfolios have become more susceptible to operational and financial risks associated with cybersecurity. Cybersecurity incidents can result from deliberate attacks such as gaining unauthorized access to digital systems (e.g., through “hacking” or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption, or from unintentional events, such as the inadvertent release of confidential information. Cybersecurity failures or breaches of the Portfolios or their service providers or the issuers of securities in which the Portfolios invest have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability of Portfolio shareholders to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. While measures have been developed which are designed to reduce the risks associated with cybersecurity, there is no guarantee that those measures will be effective, particularly since the Portfolios do not control the cybersecurity defenses or plans of their service providers, financial intermediaries and companies in which they invest or with which they do business.
Cybersecurity incidents, both intentional and unintentional, may allow an unauthorized party to gain access to Portfolio or shareholder assets, Portfolio or customer data (including private shareholder information), or proprietary information, or cause a Portfolio, the Adviser, and/or the Portfolios’ service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality, or prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
Derivatives Risk: The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may
(Disclosures and Risks continued on next page)
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Disclosures and Risks (continued)
limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolios. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying asset or index, and such differences may affect the amount, timing and character of income distributed to shareholders. The US government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives as well as additional regulations governing, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Illiquid Investments Risk: Illiquid investments risk exists when particular investments are difficult or impossible to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an advantageous price. The municipal Portfolios are subject to greater risk because the market for municipal securities is generally smaller and may not be as liquid as many other fixed-income markets, which may make municipal securities more difficult to trade or dispose of than other types of securities. Illiquid securities may also be difficult to value. If the Portfolios are forced to sell an illiquid asset to meet redemption requests or other cash needs, or to try to limit losses, the Portfolios may be forced to sell at a substantial loss or may not be able to sell at all.
Management Risk: The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives and other investment techniques may be unavailable, or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. 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. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.
Market Risk: The Portfolios are subject to market risk, which is the risk that stock or bond prices in general or in particular countries or sectors may decline over short or extended periods. Stock or bond prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest-rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; public health crises (including the occurrence of a contagious disease or illness); policy and legislative changes; cybersecurity events; and other factors.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, sanctions, regional and global conflicts, terrorism, natural disasters (including the spread of infectious illness) and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value, or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
Emerging Markets, Intermediate Duration and Short Duration Plus Portfolios:
Foreign Currency Risk: This is the risk that changes in foreign (non-US) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the US dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the US dollar).
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Actions by a Few Major Investors Risk: In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.
Emerging-Markets Securities Risk: The risks of investing in foreign (non-US) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. Emerging markets typically have fewer medical and economic resources than more developed countries, and thus they may be less able to control or mitigate the effects of a pandemic. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.
Emerging Markets Portfolio:
Country Concentration Risk: The Portfolio may not always be diversified among countries or regions and the effect on the share price of the Portfolio of specific risks such as political, regulatory and currency may be magnified due to concentration of the Portfolio’s investments in a particular country or region.
Capitalization Risk: Investments in small-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources. The prices of securities of small-capitalization companies generally are more volatile than those of large-capitalization companies and are more likely to be adversely affected than large-capitalization companies by changes in earnings results and investor expectations or poor economic or market conditions, including those experienced during a recession. Securities of small-capitalization companies may underperform large-capitalization companies, may be harder to sell at times or at prices the portfolio managers believe appropriate and may have greater potential for losses.
Allocation Risk: The allocation of investments among investment disciplines may have a significant effect on the Portfolio’s performance when the investment disciplines in which the Portfolio has greater exposure perform worse than the investment disciplines with less exposure. Different investment styles tend to shift in and out of favor depending on market conditions and investor sentiment. The Portfolio may allocate a significant portion of its assets to securities of companies in broadly related industries within an economic sector. Companies in the same sector may be similarly affected by economic or market events, making the Portfolio more vulnerable to unfavorable developments in that sector than funds that invest more broadly.
Short Duration Diversified Municipal, California Municipal, Diversified Municipal, New York Municipal, Intermediate Duration and Short Duration Plus Portfolios:
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 Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities. Rates of inflation have recently risen, which could adversely affect economies and markets.
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 Portfolios may be subject to greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential government fiscal and monetary policy initiatives and resulting market reaction to those initiatives.
Credit Risk: This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially 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. 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
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Disclosures and Risks (continued)
obligations, making credit risk greater for medium-quality and lower-rated debt securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative credit risks. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell.
Duration Risk: The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest-rate risk and will decrease in price as interest rates rise. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.
Lower-rated Securities Risk: Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.
Prepayment and Extension Risk: Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.
Short Duration Diversified Municipal and Short Duration Plus Portfolios:
Riskier than a Money-Market Fund: Although the Portfolios maintain a short overall duration, they invest in securities with longer maturities and in some cases lower quality than the assets of the type of mutual fund known as a money-market fund. The risk of a decline in the market value of the Portfolios is greater than for a money-market fund since the credit quality of the Portfolios’ securities may be lower and the effective duration of the Portfolios will be longer.
Short Duration Diversified Municipal, California Municipal, Diversified Municipal and New York Municipal Portfolios:
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 Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. There have been some municipal issuers that have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may get worse, particularly in light of the economic impact of the recent spread of an infectious coronavirus (COVID-19). To the extent the Portfolios invest in a particular state’s municipal securities, they 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, wildfires, flooding and earthquakes. The Portfolios’ 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, are subject to the risk that 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.
In addition, changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.
The Portfolios may invest in municipal securities of issuers in 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. Puerto Rico continues to
(Disclosures and Risks continued on next page)
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Disclosures and Risks (continued)
face a very challenging economic and fiscal environment, worsened by the spread of COVID-19 and the adverse effect that related governmental and public responses have had on Puerto Rico’s economy. 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 deteriorate further.
Tax Risk: There is no guarantee that the income on the Portfolios’ municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. From time to time, the US government and the US Congress consider changes in federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.
California Municipal and New York Municipal Portfolios:
Non-Diversification Risk: Concentration of investments in a small number of securities tends to increase risk. The Portfolios may have more risk because they are “non-diversified”, meaning that they can invest more of their assets in a relatively small number of issuers with greater concentration of risk. Matters affecting these issuers can have a more significant effect on the Portfolios’ net asset value.
Intermediate Duration and Short Duration Plus Portfolios:
Inflation-Protected Securities Risk: The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, there can be no assurance that the relevant inflation index will accurately measure the rate of inflation, in which case the securities may not work as intended. These securities may be more difficult to trade or dispose of than other types of securities.
Foreign (Non-US) Securities Risk: Investments in foreign securities entail significant risks in addition to those customarily associated with investing in US securities, such as less liquid, less transparent, less regulated and more volatile markets. These risks include risks related to unfavorable or unsuccessful government actions, reduction of government or central bank support, inadequate accounting standards and auditing and financial recordkeeping requirements, lack of information, and adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.
Mortgage-Related and Asset-Related Securities Risk: Mortgage- and asset-related securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-related securities are subject to credit, interest-rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities. Asset-related securities entail certain risks not presented by mortgage-backed securities, including the risk that it may be difficult to perfect the liens securing any collateral backing certain asset-backed securities.
Subordination Risk: The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.
These risks are discussed in further detail in the Portfolios’ prospectus.
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Disclosures and Risks (continued)
An Important Note About Historical
Performance
Except as noted, returns do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. Certain Emerging Markets Portfolio performance data presented herein does not reflect the deduction of historical purchase and redemption fees, which, if reflected, would reduce the level of performance quoted. All fees and expenses related to the operation of the Portfolios have been deducted, except as noted for the Emerging Markets Portfolio. Emerging Markets Portfolio returns throughout this report include dividends net of withholding taxes.
The performance shown in this report represents past performance and does not guarantee future results. Performance information is as of the dates shown. 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 calling 212.756.4097. The investment return and principal value of an investment in the Portfolios will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolios carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit www.Bernstein.com, click on “Investments”, found in the footer, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports”, or call Bernstein’s mutual fund shareholder help line at 212.756.4097 or contact your Bernstein Advisor. Please read the prospectus and/or summary prospectus carefully before investing.
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Historical Performance (Unaudited)
Sanford C. Bernstein Fund Portfolios vs. Their Benchmarks and Lipper Averages
TOTAL RETURNS | AVERAGE ANNUAL TOTAL RETURNS | |||||||||||||||||||||
THROUGH SEPTEMBER 30, 2022 | PAST SIX MONTHS | PAST 12 MONTHS | PAST FIVE YEARS | PAST 10 YEARS | SINCE INCEPTION | INCEPTION DATE | ||||||||||||||||
Emerging Markets Portfolio1,2 | -24.04 | % | -28.60 | % | -3.00 | % | 0.96 | % | 5.23 | % | 12/15/1995 | |||||||||||
Emerging Markets Portfolio Class Z2 | -23.95 | % | -28.43 | % | -2.75 | % | — | 4.93 | % | 1/15/2016 | ||||||||||||
MSCI EM Index (net) | -21.70 | % | -28.11 | % | -1.81 | % | 1.05 | % | 4.95 | % | ||||||||||||
Lipper Emerging Markets Funds Average | -21.29 | % | -30.32 | % | -1.93 | % | 1.24 | % | — | |||||||||||||
Short Duration Diversified Municipal Portfolio | -1.71 | % | -4.27 | % | 0.26 | % | 0.31 | % | 2.08 | % | 10/3/1994 | |||||||||||
Bloomberg 1-Year Municipal Bond Index | -0.74 | % | -2.34 | % | 0.70 | % | 0.72 | % | — | |||||||||||||
Lipper Short-Term Municipal Debt Funds Average | -1.31 | % | -3.47 | % | 0.42 | % | 0.52 | % | — | |||||||||||||
California Municipal Portfolio | -3.58 | % | -7.46 | % | 0.44 | % | 0.95 | % | 3.68 | % | 8/6/1990 | |||||||||||
Bloomberg 5-Year GO Municipal Bond Index | -2.98 | % | -7.76 | % | 0.50 | % | 1.12 | % | — | |||||||||||||
Lipper California Intermediate Municipal Debt Funds Average | -4.59 | % | -9.33 | % | 0.20 | % | 1.16 | % | — | |||||||||||||
Diversified Municipal Portfolio | -3.94 | % | -7.89 | % | 0.61 | % | 1.09 | % | 3.92 | % | 1/9/1989 | |||||||||||
Bloomberg 5-Year GO Municipal Bond Index | -2.98 | % | -7.76 | % | 0.50 | % | 1.12 | % | — | |||||||||||||
Lipper Intermediate Municipal Debt Funds Average | -5.35 | % | -10.06 | % | 0.38 | % | 1.17 | % | — | |||||||||||||
New York Municipal Portfolio | -4.09 | % | -7.89 | % | 0.32 | % | 0.95 | % | 3.89 | % | 1/9/1989 | |||||||||||
Bloomberg 5-Year GO Municipal Bond Index | -2.98 | % | -7.76 | % | 0.50 | % | 1.12 | % | — | |||||||||||||
Lipper New York Intermediate Municipal Debt Funds Average | -4.60 | % | -9.43 | % | 0.13 | % | 0.87 | % | — | |||||||||||||
Intermediate Duration Portfolio | -9.62 | % | -15.25 | % | -0.50 | % | 0.99 | % | 5.07 | % | 1/17/1989 | |||||||||||
Bloomberg US Aggregate Bond Index | -9.22 | % | -14.60 | % | -0.27 | % | 0.89 | % | 5.32 | % | ||||||||||||
Lipper Core Bond Funds Average | -9.67 | % | -15.18 | % | -0.34 | % | 0.83 | % | — | |||||||||||||
Short Duration Plus Portfolio | -2.11 | % | -5.02 | % | 0.17 | % | 0.31 | % | 3.41 | % | 12/12/1988 | |||||||||||
ICE BofA 1-3 Year US Treasury Index | -2.06 | % | -4.86 | % | 0.57 | % | 0.60 | % | — | |||||||||||||
Lipper Short-Term Investment Grade Debt Funds Average | -2.87 | % | -5.92 | % | 0.69 | % | 0.90 | % | — |
Past performance is no guarantee of future results and an investment in the portfolios described could lose value. The current prospectus fee table shows the total annual operating expense ratios as 1.28% and 1.03%, for Bernstein Class and Class Z shares, respectively, for Emerging Markets Portfolio; and for the Bernstein Classes, as 0.48% for Short Duration Diversified Municipal Portfolio; 0.54% for California Municipal Portfolio; 0.47% for Diversified Municipal Portfolio; 0.53% for New York Municipal Portfolio; 0.56% for Intermediate Duration Portfolio and 0.55% for Short Duration Plus Portfolio. 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. |
There are no sales charges associated with an investment in the Bernstein Classes of the Portfolios. Total returns and average annual returns are therefore the same. |
1 | Prior to May 2, 2005, the Portfolio imposed a 2% fee on purchases and redemptions. Effective May 2, 2005, the fees were reduced from 2% to 1%. This fee was eliminated effective February 2, 2015. |
2 | Includes the impact of proceeds received and credited to the Portfolio resulting from class-action settlements, which enhanced the performance of all share classes of the Portfolio for the six- and 12-month periods ended September 30, 2022, by 0.07% and 0.07%, respectively. |
See Disclosures, Risks and Note About Historical Performance on pages 8-13.
(Historical Performance continued on next page)
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Historical Performance (continued from previous page)
Emerging Markets—Bernstein Class Shares | Diversified Municipal | |||
Growth of a $25,000 Investment in the Portfolio | Growth of a $25,000 Investment in the Portfolio | |||
Short Duration Diversified Municipal | New York Municipal | |||
Growth of a $25,000 Investment in the Portfolio | Growth of a $25,000 Investment in the Portfolio | |||
California Municipal | ||||
Growth of a $25,000 Investment in the Portfolio | ||||
Past performance is no guarantee of future results and an investment in the portfolios described could lose value. Except as noted, returns do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. All fees and expenses related to the operation of the Portfolios have been deducted. Emerging Markets Portfolio returns throughout this report include dividends net of withholding taxes. |
Each chart illustrates the total value of an assumed $25,000 investment as compared to the performance of each Portfolio’s respective benchmark and Lipper Average for the 10-year period ended September 30, 2022. |
See Disclosures, Risks and Note About Historical Performance on pages 8-13.
(Historical Performance continued on next page)
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Historical Performance (continued from previous page)
Intermediate Duration | ||||
Growth of a $25,000 Investment in the Portfolio | ||||
Short Duration Plus | ||||
Growth of a $25,000 Investment in the Portfolio | ||||
Past performance is no guarantee of future results and an investment in the portfolios described could lose value. Except as noted, returns do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. All fees and expenses related to the operation of the Portfolios have been deducted. Portfolio returns throughout this report include dividends net of withholding taxes. |
Each chart illustrates the total value of an assumed $25,000 investment as compared to the performance of each Portfolio’s respective benchmark and Lipper Average for the 10-year period ended September 30, 2022. |
See Disclosures, Risks and Note About Historical Performance on pages 8-13.
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Expense Example—September 30, 2022 (Unaudited)
As a shareholder of a Portfolio, you incur various ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio 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 a Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’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 Portfolio 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 second line of the table 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.
BEGINNING ACCOUNT VALUE APRIL 1, 2022 | ENDING ACCOUNT VALUE SEPTEMBER 30, 2022 | EXPENSES PAID DURING PERIOD* | ANNUALIZED EXPENSE RATIO* | |||||||||||||
Emerging Markets Class Shares | ||||||||||||||||
Actual | $ | 1,000 | $ | 759.60 | $ | 5.69 | 1.29 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.60 | $ | 6.53 | 1.29 | % | ||||||||
Class Z | ||||||||||||||||
Actual | $ | 1,000 | $ | 760.50 | $ | 4.59 | 1.04 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,019.85 | $ | 5.27 | 1.04 | % | ||||||||
Short Duration Diversified Municipal Class Shares | ||||||||||||||||
Actual | $ | 1,000 | $ | 982.90 | $ | 1.79 | 0.36 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023.26 | $ | 1.83 | 0.36 | % | ||||||||
California Municipal Class Shares | ||||||||||||||||
Actual | $ | 1,000 | $ | 964.20 | $ | 2.71 | 0.55 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.31 | $ | 2.79 | 0.55 | % | ||||||||
Diversified Municipal Class Shares | ||||||||||||||||
Actual | $ | 1,000 | $ | 960.60 | $ | 2.36 | 0.48 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.66 | $ | 2.43 | 0.48 | % | ||||||||
New York Municipal Class Shares | ||||||||||||||||
Actual | $ | 1,000 | $ | 959.10 | $ | 2.65 | 0.54 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.36 | $ | 2.74 | 0.54 | % | ||||||||
Intermediate Duration Class Shares | ||||||||||||||||
Actual | $ | 1,000 | $ | 903.80 | $ | 2.72 | 0.57 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.21 | $ | 2.89 | 0.57 | % | ||||||||
Short Duration Plus Class Shares | ||||||||||||||||
Actual | $ | 1,000 | $ | 978.90 | $ | 2.13 | 0.43 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.91 | $ | 2.18 | 0.43 | % | ||||||||
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
2022 Annual Report | 17 |
Table of Contents
Portfolio Summary—September 30, 2022 (Unaudited)
Emerging Markets Portfolio | ||||||
Sector Breakdown1 |
| Country Breakdown1 | ||||
Financials | 24.6 | % | ||||
Consumer Discretionary | 21.8 | |||||
Information Technology | 21.0 | |||||
Industrials | 7.1 | |||||
Materials | 6.3 | |||||
Utilities | 5.3 | |||||
Real Estate | 5.0 | |||||
Communication Services | 2.5 | |||||
Energy | 2.4 | |||||
Consumer Staples | 2.0 | |||||
Health Care | 2.0 |
1 | All data are as of September 30, 2022. The Portfolio’s country and sector breakdowns are expressed as a percentage of the Portfolio’s long-term investments and may vary over time. The Portfolio may also invest in other financial instruments, including derivative instruments, which provide investment exposure to a variety of asset classes (see “Schedule of Investments” section of the report for additional details). |
2 | “Other” represents 5.4% in MSCI EM Index and 1.9% in other emerging-market countries. |
Please note: The sector classifications presented herein are based on the Global Industry Classification Standard (GICS) which was developed by Morgan Stanley Capital International and Standard & Poor’s. The components are divided into sector, industry group, and industry sub-indices as classified by the GICS for each of the market capitalization indices in the broad market. These sector classifications are broadly defined. The “Schedule of Investments” section of the report reflects more specific industry information and is consistent with the investment restrictions discussed in the Portfolio’s prospectus. |
18 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Portfolio Summary—September 30, 2022 (Unaudited) (continued)
Short Duration Diversified Municipal Portfolio | ||||
Quality Rating Breakdown1 Highest of S&P, Moody’s and Fitch | State Breakdown1
| |||
California Municipal Portfolio | ||||
Quality Rating Breakdown1 Highest of S&P, Moody’s and Fitch | State Breakdown1 | |||
Diversified Municipal Portfolio | ||||
Quality Rating Breakdown1 Highest of S&P, Moody’s and Fitch | State Breakdown1 | |||
2022 Annual Report | 19 |
Table of Contents
Portfolio Summary—September 30, 2022 (Unaudited) (continued)
New York Municipal Portfolio | ||||
Quality Rating Breakdown1 Highest of S&P, Moody’s and Fitch | State Breakdown1 | |||
1 | All data are as of September 30, 2022. The Portfolio’s quality rating and state breakdowns are expressed as a percentage of the Portfolio’s total investments in municipal securities and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Schedule 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 Portfolio 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 nonrated securities based on a number of factors including, but not limited to, cash flows, enterprise value and economic environment. |
2 | “Other” represents less than 2.3% in 24 different states, Guam and Puerto Rico. |
3 | “Other” represents less than 0.2% in seven different states and American Samoa. |
4 | “Other” represents less than 2.2% in 34 different states, American Samoa, District of Columbia, Guam and Puerto Rico. |
5 | “Other” represents less than 0.3% in eight different states and American Samoa. |
20 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Portfolio Summary—September 30, 2022 (Unaudited) (continued)
Intermediate Duration Portfolio | ||||
Security Type Breakdown1 | ||||
Short Duration Plus Portfolio | ||||
Security Type Breakdown1 | ||||
1 | All data are as of September 30, 2022. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio also enters into derivative transactions, which may be used for hedging or investment purposes (see “Schedule of Investments” section of the report for additional details). |
2 | “Other” represents less than 0.2% in Agencies and Governments—Sovereign Bonds. |
2022 Annual Report | 21 |
Table of Contents
Statement of Assets and Liabilities—September 30, 2022
EMERGING MARKETS PORTFOLIO | SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO | CALIFORNIA MUNICIPAL PORTFOLIO | ||||||||||
ASSETS |
| |||||||||||
Investments in securities at value |
| |||||||||||
Unaffiliated issuers | $ | 996,778,761 | $ | 234,856,469 | $ | 1,098,401,858 | ||||||
Affiliated issuers | 20,028,458 | 0 | 0 | |||||||||
Foreign currencies, at value (a) | 3,561,151 | 0 | 0 | |||||||||
Cash | 461,164 | 0 | 21,428,128 | |||||||||
Cash collateral due from broker | 811,000 | 33,526 | 3,839,305 | |||||||||
Receivables: |
| |||||||||||
Unaffiliated interest and dividends | 2,204,813 | 2,720,672 | 13,680,757 | |||||||||
Affiliated dividends | 48,651 | 258 | 0 | |||||||||
Foreign withholding tax reclaims | 39,454 | 0 | 0 | |||||||||
Investment securities sold and foreign currency transactions | 11,784,210 | 2,455,050 | 3,845,896 | |||||||||
Capital shares sold | 265,429 | 342,812 | 633,301 | |||||||||
Variation margin on centrally cleared swaps | 0 | 164 | 12,721 | |||||||||
Unrealized appreciation of forward currency exchange contracts | 3,126,768 | 0 | 0 | |||||||||
Unrealized appreciation of interest rate swaps | 0 | 66,649 | 1,424,335 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 1,039,109,859 | 240,475,600 | 1,143,266,301 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Due to custodian | 0 | 961,329 | 0 | |||||||||
Cash collateral due to broker | 1,390,000 | 0 | 1,800,000 | |||||||||
Payables: | ||||||||||||
Dividends to shareholders | 0 | 55,342 | 715,487 | |||||||||
Investment securities purchased and foreign currency transactions | 3,073,096 | 13,092,430 | 32,664,128 | |||||||||
Capital shares redeemed | 660,708 | 199,937 | 4,769,061 | |||||||||
Management fee | 873,132 | 38,547 | 390,249 | |||||||||
Shareholder servicing fee | 196,191 | 19,279 | 79,625 | |||||||||
Transfer Agent fee | 34,596 | 3,055 | 10,860 | |||||||||
Distribution fee | 0 | 0 | 14,980 | |||||||||
Accrued expenses | 376,106 | 58,467 | 163,671 | |||||||||
Unrealized depreciation of forward currency exchange contracts | 8,483,398 | 0 | 0 | |||||||||
Market value on credit default swaps (b) | 0 | 0 | 761,453 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 15,087,227 | 14,428,386 | 41,369,514 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,024,022,632 | $ | 226,047,214 | $ | 1,101,896,787 | ||||||
|
|
|
|
|
| |||||||
Cost of investments |
| |||||||||||
Unaffiliated issuers | $ | 1,184,015,173 | $ | 244,889,287 | $ | 1,174,374,436 | ||||||
Affiliated issuers | 20,028,458 | 0 | 0 | |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Capital stock, at par | $ | 47,032 | $ | 18,637 | $ | 82,957 | ||||||
Additional paid-in capital | 1,228,551,567 | 237,398,148 | 1,170,965,728 | |||||||||
Accumulated loss | (204,575,967 | ) | (11,369,571 | ) | (69,151,898 | ) | ||||||
|
|
|
|
|
| |||||||
$ | 1,024,022,632 | $ | 226,047,214 | $ | 1,101,896,787 | |||||||
|
|
|
|
|
|
(a) Cost: $3,638,085, $0 and $0, respectively. (Note 1)
(b) Net premiums received of $0, $0 and $342,811, respectively.
See Notes to Financial Statements. The Schedules of Investments, an integral part of the financial statements for each Portfolio, are included as inserts to this Report.
22 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
EMERGING MARKETS PORTFOLIO | SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO | CALIFORNIA MUNICIPAL PORTFOLIO | ||||||||||
CALCULATION OF MAXIMUM OFFERING PRICE |
| |||||||||||
Emerging Markets Class/Short Duration Diversified Municipal Class/Municipal Class Shares | ||||||||||||
Net Assets | $ | 871,486,100 | $ | 226,047,214 | $ | 938,637,948 | ||||||
Shares of capital stock outstanding | 40,039,064 | 18,636,819 | 70,665,993 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 21.77 | $ | 12.13 | $ | 13.28 | ||||||
|
|
|
|
|
| |||||||
Class A Shares |
| |||||||||||
Net Assets | $ | 57,140,867 | ||||||||||
Shares of capital stock outstanding | 4,301,574 | |||||||||||
|
| |||||||||||
Net asset value and redemption price per share | $ | 13.28 | ||||||||||
Sales charge—3.00% of public offering price | 0.41 | |||||||||||
|
| |||||||||||
Maximum offering price | $ | 13.69 | ||||||||||
|
| |||||||||||
Class C Shares |
| |||||||||||
Net Assets | $ | 3,651,515 | ||||||||||
Shares of capital stock outstanding | 274,928 | |||||||||||
|
| |||||||||||
Net asset value and offering price per share | $ | 13.28 | ||||||||||
|
| |||||||||||
Advisor Class Shares |
| |||||||||||
Net Assets | $ | 102,466,457 | ||||||||||
Shares of capital stock outstanding | 7,714,162 | |||||||||||
|
| |||||||||||
Net asset value and offering price per share | $ | 13.28 | ||||||||||
|
| |||||||||||
Class Z Shares |
| |||||||||||
Net Assets | $ | 152,536,532 | ||||||||||
Shares of capital stock outstanding | 6,992,932 | |||||||||||
|
| |||||||||||
Net asset value and offering price per share | $ | 21.81 | ||||||||||
|
|
See Notes to Financial Statements.
2022 Annual Report | 23 |
Table of Contents
Statement of Assets and Liabilities—September 30, 2022 (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO | NEW YORK MUNICIPAL PORTFOLIO | INTERMEDIATE DURATION PORTFOLIO | ||||||||||
ASSETS |
| |||||||||||
Investments in securities, at value | $ | 5,500,554,886 | $ | 1,371,357,949 | $ | 3,240,729,482 | ||||||
Cash | 0 | 55,910,667 | 35,117,540 | |||||||||
Cash collateral due from broker | 17,553,664 | 3,796,659 | 14,537,252 | |||||||||
Receivables: |
| |||||||||||
Interest | 66,958,506 | 16,494,865 | 18,761,132 | |||||||||
Foreign withholding tax reclaims | 0 | 0 | 18,474 | |||||||||
Investment securities sold | 4,725,069 | 6,715,020 | 0 | |||||||||
Capital shares sold | 6,999,863 | 2,287,083 | 627,427 | |||||||||
Variation margin on centrally cleared swaps | 41,820 | 1,073 | 150,250 | |||||||||
Unrealized appreciation of interest rate swaps | 6,568,374 | 1,951,207 | 0 | |||||||||
Unrealized appreciation of forward currency exchange contracts | 0 | 0 | 1,182,204 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 5,603,402,182 | 1,458,514,523 | 3,311,123,761 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Due to custodian | 803,205 | 0 | 0 | |||||||||
Cash collateral due to broker | 6,840,000 | 1,910,000 | 0 | |||||||||
Payables: | ||||||||||||
Dividends to shareholders | 3,379,781 | 587,646 | 1,271,114 | |||||||||
Investment securities purchased | 51,429,335 | 11,920,919 | 202,624,346 | |||||||||
Capital shares redeemed | 15,622,775 | 1,760,528 | 5,625,752 | |||||||||
Variation margin on futures | 0 | 0 | 3,766,092 | |||||||||
Management fee | 1,652,632 | 496,607 | 1,152,405 | |||||||||
Shareholder servicing fee | 363,745 | 107,872 | 262,904 | |||||||||
Foreign capital gains taxes | 0 | 0 | 167,436 | |||||||||
Transfer Agent fee | 59,896 | 12,303 | 26,543 | |||||||||
Distribution fee | 66,306 | 24,772 | 123 | |||||||||
Accrued expenses | 449,685 | 186,487 | 330,637 | |||||||||
Market value on credit default swaps (a) | 3,183,456 | 1,063,299 | 4,996,454 | |||||||||
Unrealized depreciation of forward currency exchange contracts | 0 | 0 | 348,530 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 83,850,816 | 18,070,433 | 220,572,336 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 5,519,551,366 | $ | 1,440,444,090 | $ | 3,090,551,425 | ||||||
|
|
|
|
|
| |||||||
Cost of investments | $ | 5,876,876,446 | $ | 1,473,406,574 | $ | 3,672,940,300 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Capital stock, at par | $ | 412,911 | $ | 111,814 | $ | 277,771 | ||||||
Additional paid-in capital | 5,854,416,719 | 1,545,765,916 | 3,670,193,312 | |||||||||
Accumulated loss | (335,278,264 | ) | (105,433,640 | ) | (579,919,658 | ) | ||||||
|
|
|
|
|
| |||||||
$ | 5,519,551,366 | $ | 1,440,444,090 | $ | 3,090,551,425 | |||||||
|
|
|
|
|
| |||||||
(a) Net premiums received of $1,412,638, $471,848 and $2,087,586, respectively.
See Notes to Financial Statements. The Schedules of Investments, an integral part of the financial statements for each Portfolio, are included as inserts to this Report.
24 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
DIVERSIFIED MUNICIPAL PORTFOLIO | NEW YORK MUNICIPAL PORTFOLIO | INTERMEDIATE DURATION PORTFOLIO | ||||||||||
CALCULATION OF MAXIMUM OFFERING PRICE |
| |||||||||||
Municipal Class/Intermediate Duration Class Shares |
| |||||||||||
Net Assets | $ | 4,296,195,793 | $ | 1,277,131,941 | $ | 3,089,962,053 | ||||||
Shares of capital stock outstanding | 321,405,994 | 99,131,980 | 277,717,642 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 13.37 | $ | 12.88 | $ | 11.13 | ||||||
|
|
|
|
|
| |||||||
Class A Shares |
| |||||||||||
Net Assets | $ | 261,935,519 | $ | 96,285,930 | $ | 571,536 | ||||||
Shares of capital stock outstanding | 19,581,758 | 7,476,338 | 51,304 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 13.38 | $ | 12.88 | $ | 11.14 | ||||||
Sales charge—3.00% for Diversified Municipal Portfolio and New York Municipal Portfolio, 4.25% for Intermediate Duration Portfolio of public offering price | 0.41 | 0.40 | 0.49 | |||||||||
|
|
|
|
|
| |||||||
Maximum offering price | $ | 13.79 | $ | 13.28 | $ | 11.63 | ||||||
|
|
|
|
|
| |||||||
Class C Shares |
| |||||||||||
Net Assets | $ | 13,575,819 | $ | 5,514,666 | ||||||||
Shares of capital stock outstanding | 1,015,258 | 428,190 | ||||||||||
|
|
|
| |||||||||
Net asset value and offering price per share | $ | 13.37 | $ | 12.88 | ||||||||
|
|
|
| |||||||||
Advisor Class Shares |
| |||||||||||
Net Assets | $ | 477,015,038 | $ | 61,511,553 | $ | 9,486 | ||||||
Shares of capital stock outstanding | 35,710,448 | 4,777,232 | 852 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 13.36 | $ | 12.88 | $ | 11.13 | ||||||
|
|
|
|
|
| |||||||
Class Z Shares |
| |||||||||||
Net Assets | $ | 470,829,197 | $ | 8,350 | ||||||||
Shares of capital stock outstanding | 35,197,259 | 750 | ||||||||||
|
|
|
| |||||||||
Net asset value and offering price per share | $ | 13.38 | $ | 11.13 | ||||||||
|
|
|
|
See Notes to Financial Statements.
2022 Annual Report | 25 |
Table of Contents
Statement of Assets and Liabilities—September 30, 2022 (continued)
SHORT DURATION PORTFOLIO | ||||
ASSETS |
| |||
Investments in securities, at value | $ | 334,736,180 | ||
Cash | 3,131,562 | |||
Cash collateral due from broker | 1,442,382 | |||
Receivables: |
| |||
Interest | 1,306,203 | |||
Foreign withholding tax reclaims | 1,539 | |||
Capital shares sold | 369,198 | |||
Variation margin on centrally cleared swaps | 1,292 | |||
Unrealized appreciation of forward currency exchange contracts | 41,484 | |||
|
| |||
Total assets | 341,029,840 | |||
|
| |||
LIABILITIES |
| |||
Payables: | ||||
Dividends to shareholders | 205,167 | |||
Capital shares redeemed | 559,256 | |||
Variation margin on futures | 252,397 | |||
Management fee | 70,989 | |||
Shareholder servicing fee | 26,818 | |||
Transfer Agent fee | 5,955 | |||
Distribution fee | 3,819 | |||
Accrued expenses | 89,593 | |||
Market value on credit default swaps(a) | 404,231 | |||
|
| |||
Total liabilities | 1,618,225 | |||
|
| |||
NET ASSETS | $ | 339,411,615 | ||
|
| |||
Cost of investments | $ | 345,415,554 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Capital stock, at par | $ | 30,839 | ||
Additional paid-in capital | 366,668,538 | |||
Accumulated loss | (27,287,762 | ) | ||
|
| |||
$ | 339,411,615 | |||
|
|
(a) Net premiums received of $153,155.
See Notes to Financial Statements. The Schedules of Investments, an integral part of the financial statements for each Portfolio, are included as inserts to this Report.
26 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
SHORT DURATION PORTFOLIO | ||||
CALCULATION OF MAXIMUM OFFERING PRICE |
| |||
Short Duration Plus Class Shares |
| |||
Net Assets | $ | 323,935,864 | ||
Shares of capital stock outstanding | 29,433,563 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 11.01 | ||
|
| |||
Class A Shares |
| |||
Net Assets | $ | 14,182,408 | ||
Shares of capital stock outstanding | 1,287,886 | |||
|
| |||
Net asset value and redemption price per share | $ | 11.01 | ||
Sales charge—2.25% of public offering price | 0.25 | |||
|
| |||
Maximum offering price | $ | 11.26 | ||
|
| |||
Class C Shares |
| |||
Net Assets | $ | 1,293,343 | ||
Shares of capital stock outstanding | 117,682 | |||
|
| |||
Net asset value and offering price per share | $ | 10.99 | ||
|
|
See Notes to Financial Statements.
2022 Annual Report | 27 |
Table of Contents
Statement of Operations—for the year ended September 30, 2022
EMERGING MARKETS PORTFOLIO | SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO | CALIFORNIA MUNICIPAL PORTFOLIO | ||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 0 | $ | 2,678,258 | $ | 29,375,097 | ||||||
Dividends |
| |||||||||||
Unaffiliated issuers (a) | 34,406,234 | 0 | 0 | |||||||||
Affiliated issuers | 159,211 | 70,571 | 0 | |||||||||
|
|
|
|
|
| |||||||
Total income | 34,565,445 | 2,748,829 | 29,375,097 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fee (see Note 2A) | 12,527,961 | 735,355 | 5,266,658 | |||||||||
Shareholder servicing fee (see Note 2B) | 2,801,277 | 245,118 | 1,116,698 | |||||||||
Custody and accounting fees | 537,955 | 50,838 | 112,628 | |||||||||
Transfer Agent fee—Non-Retail Class | 246,279 | 20,070 | 27,534 | |||||||||
Transfer Agent fee—Class A | 0 | 0 | 19,429 | |||||||||
Transfer Agent fee—Class C | 0 | 0 | 1,340 | |||||||||
Transfer Agent fee—Advisor Class | 0 | 0 | 25,865 | |||||||||
Transfer Agent fee—Class Z | 39,687 | 0 | 0 | |||||||||
Distribution fees—Class A | 0 | 0 | 161,324 | |||||||||
Distribution fees—Class C | 0 | 0 | 43,755 | |||||||||
Directors’ fees and expenses | 57,233 | 10,313 | 54,505 | |||||||||
Auditing and tax fees | 70,409 | 11,003 | 47,825 | |||||||||
Legal fees | 46,760 | 9,395 | 44,068 | |||||||||
Registration fees | 45,657 | 33,541 | 27,581 | |||||||||
Printing fees | 25,497 | 21,528 | 54,806 | |||||||||
Miscellaneous | 65,765 | 10,535 | 48,160 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 16,464,480 | 1,147,696 | 7,052,176 | |||||||||
Less: expenses waived and reimbursed by the Adviser (see Note 2A, 2B and 2E) | (18,514 | ) | (253,121 | ) | 0 | |||||||
|
|
|
|
|
| |||||||
Net expenses | 16,445,966 | 894,575 | 7,052,176 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 18,119,479 | 1,854,254 | 22,322,921 | |||||||||
|
|
|
|
|
| |||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions (b) | (15,261,128 | ) | (464,117 | ) | (4,524,663 | ) | ||||||
Forward currency exchange contracts | 4,895,727 | 0 | 0 | |||||||||
Futures | 0 | 0 | 0 | |||||||||
Swaps | 0 | (10,075 | ) | 2,501,824 | ||||||||
Foreign currency transactions | (4,577,546 | ) | 0 | 0 | ||||||||
|
|
|
|
|
| |||||||
Net realized loss on investment and foreign currency transactions | (14,942,947 | ) | (474,192 | ) | (2,022,839 | ) | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments (c) | (410,019,251 | ) | (12,351,777 | ) | (124,960,252 | ) | ||||||
Forward currency exchange contracts | (5,072,692 | ) | 0 | 0 | ||||||||
Futures | 0 | 0 | 0 | |||||||||
Swaps | 0 | 159,138 | 8,220,541 | |||||||||
Foreign currency denominated assets and liabilities | (85,959 | ) | 0 | 0 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (415,177,902 | ) | (12,192,639 | ) | (116,739,711 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized and unrealized loss on investment and foreign currency transactions | (430,120,849 | ) | (12,666,831 | ) | (118,762,550 | ) | ||||||
|
|
|
|
|
| |||||||
Net decrease in net assets resulting from operations | $ | (412,001,370 | ) | $ | (10,812,577 | ) | $ | (96,439,629 | ) | |||
|
|
|
|
|
|
(a) Net of foreign withholding taxes of $4,493,828, $0, $0, $0, $0 and $0 for the Emerging Markets Portfolio, Short Duration Diversified Municipal Portfolio,
California Municipal Portfolio, Diversified Municipal Portfolio, New York Municipal Portfolio and Intermediate Duration Portfolio, respectively.
(b) Net of foreign realized capital gains taxes of $128,697, $0, $0, $0, $0 and $0 for the Emerging Markets Portfolio, Short Duration Diversified Municipal Portfolio, California Municipal Portfolio, Diversified Municipal Portfolio, New York Municipal Portfolio and Intermediate Duration Portfolio, respectively.
(c) Net of increase in accrued foreign capital gains taxes on unrealized gains of $1,397,101, $0, $0, $0, $0 and $2,884 for the Emerging Markets Portfolio, Short Duration Diversified Municipal Portfolio, California Municipal Portfolio, Diversified Municipal Portfolio, New York Municipal Portfolio and Intermediate Duration Portfolio, respectively.
See Notes to Financial Statements.
28 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
DIVERSIFIED | NEW YORK MUNICIPAL PORTFOLIO | INTERMEDIATE DURATION PORTFOLIO | ||||||||
$ | 153,222,611 | $ | 40,817,884 | $ | 78,561,467 | |||||
0 | 0 | 0 | ||||||||
0 | 0 | 0 | ||||||||
|
|
|
|
|
| |||||
153,222,611 | 40,817,884 | 78,561,467 | ||||||||
|
|
|
|
|
| |||||
21,822,225 | 6,778,018 | 15,421,685 | ||||||||
5,011,517 | 1,497,091 | 3,542,155 | ||||||||
274,172 | 138,772 | 225,262 | ||||||||
126,292 | 38,728 | 195,083 | ||||||||
99,032 | 39,017 | 19,352 | ||||||||
5,217 | 2,850 | 0 | ||||||||
154,439 | 23,679 | 290 | ||||||||
103,633 | 0 | 21 | ||||||||
758,203 | 263,321 | 1,866 | ||||||||
157,720 | 73,928 | 0 | ||||||||
270,245 | 72,046 | 153,018 | ||||||||
209,676 | 60,062 | 128,390 | ||||||||
212,112 | 58,027 | 124,669 | ||||||||
191,043 | 50,872 | 75,278 | ||||||||
33,709 | 38,705 | 38,856 | ||||||||
202,709 | 59,680 | 127,705 | ||||||||
|
|
|
|
|
| |||||
29,631,944 | 9,194,796 | 20,053,630 | ||||||||
0 | 0 | (35,166 | ) | |||||||
|
|
|
|
|
| |||||
29,631,944 | 9,194,796 | 20,018,464 | ||||||||
|
|
|
|
|
| |||||
123,590,667 | 31,623,088 | 58,543,003 | ||||||||
|
|
|
|
|
| |||||
(23,119,188 | ) | (6,766,299 | ) | (72,194,840 | ) | |||||
0 | 0 | 4,042,569 | ||||||||
0 | 0 | (63,109,506 | ) | |||||||
9,952,392 | 598,566 | (4,326,286 | ) | |||||||
0 | 0 | 3,760,585 | ||||||||
|
|
|
|
|
| |||||
(13,166,796 | ) | (6,167,733 | ) | (131,827,478 | ) | |||||
|
|
|
|
|
| |||||
(663,346,572 | ) | (171,846,996 | ) | (511,298,527 | ) | |||||
0 | 0 | 929,448 | ||||||||
0 | 0 | (9,164,905 | ) | |||||||
37,941,871 | 10,986,550 | 18,168,953 | ||||||||
0 | 0 | (84,711 | ) | |||||||
|
|
|
|
|
| |||||
(625,404,701 | ) | (160,860,446 | ) | (501,449,742 | ) | |||||
|
|
|
|
|
| |||||
(638,571,497 | ) | (167,028,179 | ) | (633,277,220 | ) | |||||
|
|
|
|
|
| |||||
$ | (514,980,830 | ) | $ | (135,405,091 | ) | $ | (574,734,217 | ) | ||
|
|
|
|
|
|
2022 Annual Report | 29 |
Table of Contents
Statement of Operations—for the year ended September 30, 2022 (continued)
SHORT DURATION PLUS PORTFOLIO | ||||
INVESTMENT INCOME | ||||
Income: | ||||
Interest | $ | 3,066,037 | ||
|
| |||
Total income | 3,066,037 | |||
|
| |||
Expenses: | ||||
Management fee (see Note 2A) | 913,674 | |||
Shareholder servicing fee (see Note 2B) | 244,478 | |||
Custody and accounting fees | 57,828 | |||
Transfer Agent fee—Non-Retail Class | 20,575 | |||
Transfer Agent fee—Class A | 32,510 | |||
Transfer Agent fee—Class C | 2,103 | |||
Distribution fees—Class A | 38,992 | |||
Distribution fees—Class C | 9,750 | |||
Registration fees | 72,903 | |||
Printing fees | 35,755 | |||
Auditing and tax fees | 22,069 | |||
Directors’ fees and expenses | 11,088 | |||
Legal fees | 9,802 | |||
Miscellaneous | 13,313 | |||
|
| |||
Total expenses | 1,484,840 | |||
Less: expenses waived and reimbursed by the Adviser (see Note 2B and 2D) | (269,409 | ) | ||
|
| |||
Net expenses | 1,215,431 | |||
|
| |||
Net investment income | 1,850,606 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||
Net realized gain (loss) on: | ||||
Investment transactions | (1,042,617 | ) | ||
Forward currency exchange contracts | (18,611 | ) | ||
Futures | (4,006,559 | ) | ||
Swaps | (282,365 | ) | ||
Foreign currency transactions | 54,357 | |||
|
| |||
Net realized loss on investment and foreign currency transactions | (5,295,795 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation of: | ||||
Investments | (10,679,088 | ) | ||
Forward currency exchange contracts | 41,484 | |||
Futures | (1,178,470 | ) | ||
Swaps | 1,194,433 | |||
Foreign currency denominated assets and liabilities | (7,186 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (10,628,827 | ) | ||
|
| |||
Net realized and unrealized loss on investment and foreign currency transactions | (15,924,622 | ) | ||
|
| |||
Net decrease in net assets resulting from operations | $ | (14,074,016 | ) | |
|
|
See Notes to Financial Statements.
30 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
This page intentionally left blank.
2022 Annual Report | 31 |
Table of Contents
Statement of Changes in Net Assets
EMERGING MARKETS PORTFOLIO | SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 18,119,479 | $ | 22,729,835 | $ | 1,854,254 | $ | 1,936,455 | ||||||||||||
Net realized gain (loss) on investment and foreign currency transactions | (14,942,947 | ) | 161,549,002 | (474,192 | ) | 141,350 | ||||||||||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (415,177,902 | ) | 125,486,963 | (12,192,639 | ) | (137,483 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (412,001,370 | ) | 309,765,800 | (10,812,577 | ) | 1,940,322 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (a) | (127,708,313 | ) | (25,337,814 | ) | (1,847,857 | ) | (1,934,942 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Capital-share transactions: | ||||||||||||||||||||
Net proceeds from sales of shares | 104,232,917 | 82,969,030 | 198,031,690 | 192,716,676 | ||||||||||||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions | 120,829,789 | 21,480,145 | 1,578,267 | 1,743,346 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total proceeds from shares sold | 225,062,706 | 104,449,175 | 199,609,957 | 194,460,022 | ||||||||||||||||
Cost of shares redeemed | (106,519,109 | ) | (181,847,829 | ) | (243,044,047 | ) | (122,468,926 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets from capital-share transactions | 118,543,597 | (77,398,654 | ) | (43,434,090 | ) | 71,991,096 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (421,166,086 | ) | 207,029,332 | (56,094,524 | ) | 71,996,476 | ||||||||||||||
NET ASSETS: | ||||||||||||||||||||
Beginning of period | 1,445,188,718 | 1,238,159,386 | 282,141,738 | 210,145,262 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 1,024,022,632 | $ | 1,445,188,718 | $ | 226,047,214 | $ | 282,141,738 | ||||||||||||
|
|
|
|
|
|
|
|
(a) See page 35 for share class information on dividend distributions for the Emerging Markets, California Municipal, Diversified Municipal and New York Municipal Portfolios.
See Notes to Financial Statements.
32 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
CALIFORNIA MUNICIPAL PORTFOLIO | DIVERSIFIED MUNICIPAL PORTFOLIO | NEW YORK MUNICIPAL PORTFOLIO | ||||||||||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED | YEAR ENDED | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||||||||||
$ | 22,322,921 | $ | 23,243,006 | $ | 123,590,667 | $ | 122,937,403 | $ | 31,623,088 | $ | 33,473,749 | |||||||||||||||||||
| (2,022,839 | ) | 10,017,390 | (13,166,796 | ) | 25,532,577 | (6,167,733 | ) | 3,330,397 | |||||||||||||||||||||
| (116,739,711 | ) | (3,211,963 | ) | (625,404,701 | ) | 26,639,009 | (160,860,446 | ) | 23,923,283 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(96,439,629 | ) | 30,048,433 | (514,980,830 | ) | 175,108,989 | (135,405,091 | ) | 60,727,429 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(21,456,217 | ) | (23,005,036 | ) | (120,398,406 | ) | (121,690,545 | ) | (31,131,616 | ) | (33,128,293 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
| 307,949,541 |
| 351,799,964 | 1,334,029,727 | 1,559,834,308 | 205,642,206 | 305,015,834 | |||||||||||||||||||||||
| 15,729,268 |
| 17,652,625 | 89,555,226 | 93,318,204 | 23,893,460 | 25,604,257 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
323,678,809 | 369,452,589 | 1,423,584,953 | 1,653,152,512 | 229,535,666 | 330,620,091 | |||||||||||||||||||||||||
(496,377,732 | ) | (376,795,028 | ) | (1,989,402,821 | ) | (1,214,382,457 | ) | (422,401,671 | ) | (346,489,408 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(172,698,923 | ) | (7,342,439 | ) | (565,817,868 | ) | 438,770,055 | (192,866,005 | ) | (15,869,317 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(290,594,769 | ) | (299,042 | ) | (1,201,197,104 | ) | 492,188,499 | (359,402,712 | ) | 11,729,819 | |||||||||||||||||||||
| 1,392,491,556 |
| 1,392,790,598 | 6,720,748,470 | 6,228,559,971 | 1,799,846,802 | 1,788,116,983 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 1,101,896,787 | $ | 1,392,491,556 | $ | 5,519,551,366 | $ | 6,720,748,470 | $ | 1,440,444,090 | $ | 1,799,846,802 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
2022 Annual Report | 33 |
Table of Contents
Statement of Changes in Net Assets (continued)
INTERMEDIATE DURATION PORTFOLIO | SHORT DURATION PLUS PORTFOLIO | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||||||||||||||
Net investment income | $ | 58,543,003 | $ | 68,989,470 | $ | 1,850,606 | $ | 2,314,228 | ||||||||||||
Net realized gain (loss) on investment and foreign currency transactions | (131,827,478 | ) | 28,777,985 | (5,295,795 | ) | (990,257 | ) | |||||||||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities and other assets and liabilities | (501,449,742 | ) | (106,481,497 | ) | (10,628,827 | ) | (1,490,852 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets resulting from operations | (574,734,217 | ) | (8,714,042 | ) | (14,074,016 | ) | (166,881 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (a) | (96,525,241 | ) | (136,409,405 | ) | (1,831,719 | ) | (2,361,508 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Capital-share transactions: |
| |||||||||||||||||||
Net proceeds from sales of shares | 395,517,888 | 767,794,097 | 191,978,729 | 94,214,859 | ||||||||||||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions | 80,772,362 | 120,165,390 | 1,347,261 | 2,099,953 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total proceeds from shares sold | 476,290,250 | 887,959,487 | 193,325,990 | 96,314,812 | ||||||||||||||||
Cost of shares redeemed | (561,976,742 | ) | (592,989,249 | ) | (100,109,377 | ) | (77,580,243 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets from capital-share transactions | (85,686,492 | ) | 294,970,238 | 93,216,613 | 18,734,569 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (756,945,950 | ) | 149,846,791 | 77,310,878 | 16,206,180 | |||||||||||||||
NET ASSETS: |
| |||||||||||||||||||
Beginning of period | 3,847,497,375 | 3,697,650,584 | 262,100,737 | 245,894,557 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 3,090,551,425 | $ | 3,847,497,375 | $ | 339,411,615 | $ | 262,100,737 | ||||||||||||
|
|
|
|
|
|
|
|
(a) See page 36 for share class information on dividend distributions for the Intermediate Duration and Short Duration Plus Portfolios.
See Notes to Financial Statements.
34 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
EMERGING PORTFOLIO | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||
Emerging Markets Class | $ | (107,857,795 | ) | $ | (21,155,097 | ) | ||||||||||||||
Class Z | (19,850,518 | ) | (4,182,717 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
$ | (127,708,313 | ) | $ | (25,337,814 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||
CALIFORNIA PORTFOLIO | DIVERSIFIED PORTFOLIO | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED | |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||
Municipal Class | $ | (18,916,809 | ) | $ | (20,551,446 | ) | $ | (95,675,758 | ) | $ | (98,560,802 | ) | ||||||||
Class A | (971,204 | ) | (1,218,820 | ) | (5,215,911 | ) | (5,318,015 | ) | ||||||||||||
Class C | (32,897 | ) | (42,371 | ) | (153,564 | ) | (267,652 | ) | ||||||||||||
Advisor Class | (1,535,307 | ) | (1,192,399 | ) | (9,328,332 | ) | (8,070,840 | ) | ||||||||||||
Class Z | 0 | 0 | (10,024,841 | ) | (9,473,236 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | (21,456,217 | ) | $ | (23,005,036 | ) | $ | (120,398,406 | ) | $ | (121,690,545 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||||||
NEW YORK PORTFOLIO | ||||||||||||||||||||
| YEAR ENDED 9/30/22 | | YEAR ENDED 9/30/21 | |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||
Municipal Class | $ | (28,049,433 | ) | $ | (29,883,364 | ) | ||||||||||||||
Class A | (1,772,845 | ) | (1,927,269 | ) | ||||||||||||||||
Class C | (67,861 | ) | (137,544 | ) | ||||||||||||||||
Advisor Class | (1,241,477 | ) | (1,180,116 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
$ | (31,131,616 | ) | $ | (33,128,293 | ) | |||||||||||||||
|
|
|
|
See Notes to Financial Statements.
2022 Annual Report | 35 |
Table of Contents
Statement of Changes in Net Assets (continued)
INTERMEDIATE PORTFOLIO | ||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||
Distributions to shareholders: | ||||||||
Intermediate Duration Portfolio | $ | (96,507,904 | ) | $ | (136,374,393 | ) | ||
Class A | (16,803 | ) | (34,295 | ) | ||||
Advisor Class | (279 | ) | (353 | ) | ||||
Class Z | (255 | ) | (364 | ) | ||||
|
|
|
| |||||
$ | (96,525,241 | ) | $ | (136,409,405 | ) | |||
|
|
|
| |||||
SHORT DURATION PORTFOLIO | ||||||||
YEAR ENDED | YEAR ENDED 9/30/21 | |||||||
Distributions to shareholders: | ||||||||
Short Duration Plus Class | $ | (1,792,732 | ) | $ | (2,283,865 | ) | ||
Class A | (36,975 | ) | (71,620 | ) | ||||
Class C | (2,012 | ) | (6,023 | ) | ||||
|
|
|
| |||||
$ | (1,831,719 | ) | $ | (2,361,508 | ) | |||
|
|
|
|
See Notes to Financial Statements.
36 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
EMERGING MARKETS PORTFOLIO EMERGING MARKETS CLASS | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 33.43 | $ | 27.17 | $ | 26.03 | $ | 28.39 | $ | 31.25 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: |
| |||||||||||||||||||
Investment income, net (a)(b) | 0.38 | 0.50 | 0.32 | 0.51 | 0.28 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (9.10 | ) | 6.32 | 1.26 | (0.95 | ) | (2.90 | ) | ||||||||||||
Contributions from affiliates | 0 | 0 | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (8.72 | ) | 6.82 | 1.58 | (0.44 | ) | (2.62 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
Dividends from net investment income | (0.66 | ) | (0.56 | ) | (0.44 | ) | (0.33 | ) | (0.17 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (2.28 | ) | 0 | 0 | (1.59 | ) | (0.07 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (2.94 | ) | (0.56 | ) | (0.44 | ) | (1.92 | ) | (0.24 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 21.77 | $ | 33.43 | $ | 27.17 | $ | 26.03 | $ | 28.39 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d)(e) | (28.60)% | 25.20% | 6.04% | (0.91)% | (8.46)% | (f) | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA |
| |||||||||||||||||||
Net assets, end of period (000 omitted) | $871,486 | $1,225,396 | $1,056,249 | $1,120,427 | $1,174,312 | |||||||||||||||
Average net assets (000 omitted) | $1,120,511 | $1,252,078 | $1,085,654 | $1,123,274 | $1,316,137 | |||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||
Expenses, net of waivers/reimbursements | 1.28% | 1.28% | 1.29% | 1.30% | 1.33% | |||||||||||||||
Expenses, before waivers/reimbursements | 1.29% | 1.28% | 1.30% | 1.30% | 1.33% | |||||||||||||||
Net investment income (b) | 1.34% | 1.50% | 1.22% | 1.96% | 0.86% | |||||||||||||||
Portfolio turnover rate | 57% | 68% | 85% | 92% | 65% |
See Footnote Summary on page 45.
See Notes to Financial Statements.
2022 Annual Report | 37 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
EMERGING MARKETS PORTFOLIO CLASS Z | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 33.50 | $ | 27.22 | $ | 26.08 | $ | 28.43 | $ | 31.32 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income From Investment Operations |
| |||||||||||||||||||
Net investment income (a)(b) | 0.45 | 0.59 | 0.39 | 0.57 | 0.37 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (9.11 | ) | 6.32 | 1.26 | (.93 | ) | (2.92 | ) | ||||||||||||
Contributions from affiliates | 0 | 0 | 0.00 | (c) | 0.00 | (c) | 0.00 | (c) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (8.66 | ) | 6.91 | 1.65 | (.36 | ) | (2.55 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
Dividends from net investment income | (0.75 | ) | (0.63 | ) | (0.51 | ) | (0.40 | ) | (0.27 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (2.28 | ) | 0 | 0 | (1.59 | ) | (.07 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (3.03 | ) | (0.63 | ) | (0.51 | ) | (1.99 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 21.81 | $ | 33.50 | $ | 27.22 | $ | 26.08 | $ | 28.43 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return (d)(e) | (28.43)% | 25.56% | 6.33% | (0.66)% | (8.26)% | (f) | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA |
| |||||||||||||||||||
Net assets, end of period (000 omitted) | $152,537 | $219,793 | $181,910 | $176,887 | $177,907 | |||||||||||||||
Average net assets (000 omitted) | $198,222 | $220,989 | $178,143 | $175,583 | $189,542 | |||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||
Expenses, net of waivers/reimbursements | 1.03% | 1.03% | 1.04% | 1.04% | 1.07% | |||||||||||||||
Expenses, before waivers/reimbursements | 1.04% | 1.03% | 1.04% | 1.04% | 1.08% | |||||||||||||||
Net investment income (b) | 1.57% | 1.76% | 1.50% | 2.21% | 1.16% | |||||||||||||||
Portfolio turnover rate | 57% | 68% | 85% | 92% | 65% |
See Footnote Summary on page 45.
See Notes to Financial Statements.
38 | Sanford C. Bernstein Fund, Inc |
Table of Contents
SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO SHORT DURATION DIVERSIFIED MUNICIPAL CLASS | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 12.77 | $ | 12.76 | $ | 12.63 | $ | 12.50 | $ | 12.60 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations |
| |||||||||||||||||||
Investment income, net (a)(b) | 0.09 | 0.10 | 0.14 | 0.17 | 0.12 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (0.64 | ) | 0.02 | 0.14 | 0.13 | (0.10 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.55 | ) | 0.12 | 0.28 | 0.30 | 0.02 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less: Dividends |
| |||||||||||||||||||
Dividends from net investment income | (0.09 | ) | (0.11 | ) | (0.15 | ) | (0.17 | ) | (0.12 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 12.13 | $ | 12.77 | $ | 12.76 | $ | 12.63 | $ | 12.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (4.27)% | 0.91% | 2.20% | 2.41% | 0.18% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA |
| |||||||||||||||||||
Net assets, end of period (000 omitted) | $226,047 | $282,142 | $210,145 | $191,091 | $188,148 | |||||||||||||||
Average net assets (000 omitted) | $245,118 | $238,495 | $205,125 | $186,888 | $199,804 | |||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||
Expenses, net of waivers/reimbursements (g) | 0.36% | 0.39% | 0.48% | 0.50% | 0.52% | |||||||||||||||
Expenses, before waivers/reimbursements (g) | 0.47% | 0.48% | 0.49% | 0.50% | 0.52% | |||||||||||||||
Net investment income (b) | 0.76% | 0.81% | 1.13% | 1.34% | 0.97% | |||||||||||||||
Portfolio turnover rate | 40% | 35% | 45% | 57% | 58% |
See Footnote Summary on page 45.
See Notes to Financial Statements.
2022 Annual Report | 39 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
CALIFORNIA MUNICIPAL PORTFOLIO MUNICIPAL CLASS | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 14.60 | $ | 14.52 | $ | 14.44 | $ | 13.99 | $ | 14.32 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: |
| |||||||||||||||||||
Investment income, net (a) | 0.25 | 0.24 | 0.29 | 0.31 | 0.31 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.33 | ) | 0.08 | 0.08 | 0.45 | (0.33 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.08 | ) | 0.32 | 0.37 | 0.76 | (0.02 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends: |
| |||||||||||||||||||
Dividends from net investment income | (0.24 | ) | (0.24 | ) | (0.29 | ) | (0.31 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.28 | $ | 14.60 | $ | 14.52 | $ | 14.44 | $ | 13.99 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (7.46)% | 2.21% | 2.59% | 5.50% | (0.13)% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA |
| |||||||||||||||||||
Net assets, end of period (000 omitted) | $938,638 | $1,228,752 | $1,243,747 | $1,212,947 | $1,189,754 | |||||||||||||||
Average net assets (000 omitted) | $1,116,698 | $1,252,402 | $1,222,654 | $1,181,680 | $1,177,686 | |||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||
Expenses | 0.55% | 0.54% | 0.55% | 0.55% | 0.55% | |||||||||||||||
Net investment income | 1.76% | 1.66% | 1.98% | 2.17% | 2.19% | |||||||||||||||
Portfolio turnover rate | 23% | 27% | 16% | 24% | 38% |
See Footnote Summary on page 45.
See Notes to Financial Statements.
40 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
DIVERSIFIED MUNICIPAL PORTFOLIO MUNICIPAL CLASS | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 14.80 | $ | 14.67 | $ | 14.57 | $ | 14.05 | $ | 14.43 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: |
| |||||||||||||||||||
Investment income, net (a) | 0.28 | 0.28 | 0.33 | 0.34 | 0.31 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.44 | ) | 0.13 | 0.10 | 0.52 | (0.38 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.16 | ) | 0.41 | 0.43 | 0.86 | (0.07 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends: |
| |||||||||||||||||||
Dividends from net investment income | (0.27 | ) | (0.28 | ) | (0.33 | ) | (0.34 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.37 | $ | 14.80 | $ | 14.67 | $ | 14.57 | $ | 14.05 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (7.89)% | 2.79% | 2.99% | 6.21% | (0.45)% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA |
| |||||||||||||||||||
Net assets, end of period (000 omitted) | $4,296,196 | $5,390,502 | $5,035,751 | $4,989,558 | $5,479,314 | |||||||||||||||
Average net assets (000 omitted) | $5,011,517 | $5,276,753 | $5,013,687 | $5,238,466 | $5,511,547 | |||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||
Expenses | 0.47% | 0.47% | 0.47% | 0.47% | 0.46% | |||||||||||||||
Net investment income | 1.96% | 1.89% | 2.26% | 2.38% | 2.20% | |||||||||||||||
Portfolio turnover rate | 15% | 22% | 20% | 22% | 23% |
See Footnote Summary on page 45.
See Notes to Financial Statements.
2022 Annual Report | 41 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
NEW YORK MUNICIPAL PORTFOLIO MUNICIPAL CLASS | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 14.25 | $ | 14.04 | $ | 14.18 | $ | 13.68 | $ | 14.07 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: |
| |||||||||||||||||||
Investment income, net (a) | 0.26 | 0.27 | 0.30 | 0.32 | 0.31 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.37 | ) | 0.20 | (0.13 | ) | 0.50 | (0.39 | ) | ||||||||||||
Contributions from affiliates | 0 | 0 | 0 | 0 | 0.00 | (c) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.11 | ) | 0.47 | 0.17 | 0.82 | (0.08 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends: | ||||||||||||||||||||
Dividends from net investment income | (0.26 | ) | (0.26 | ) | (0.31 | ) | (0.32 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 12.88 | $ | 14.25 | $ | 14.04 | $ | 14.18 | $ | 13.68 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (7.89)% | 3.38% | 1.22% | 6.03% | (0.57)% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $1,277,132 | $1,606,925 | $1,585,884 | $1,629,139 | $1,631,011 | |||||||||||||||
Average net assets (000 omitted) | $1,497,091 | $1,623,786 | $1,599,889 | $1,619,580 | $1,621,380 | |||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||
Expenses | 0.54% | 0.53% | 0.54% | 0.53% | 0.53% | |||||||||||||||
Net investment income | 1.90% | 1.86% | 2.17% | 2.27% | 2.23% | |||||||||||||||
Portfolio turnover rate | 14% | 18% | 18% | 18% | 23% |
See Footnote Summary on page 45.
See Notes to Financial Statements.
42 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
INTERMEDIATE DURATION PORTFOLIO INTERMEDIATE DURATION CLASS | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 13.49 | $ | 14.02 | $ | 13.54 | $ | 12.76 | $ | 13.23 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: |
| |||||||||||||||||||
Investment income, net (a) | 0.21 | 0.25 | 0.35 | 0.38 | 0.30 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (2.23 | ) | (0.28 | ) | 0.51 | 0.83 | (0.45 | ) | ||||||||||||
Contributions from affiliates | 0 | 0 | 0 | 0.00 | (c) | 0 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (2.02 | ) | (0.03 | ) | 0.86 | 1.21 | (0.15 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: |
| |||||||||||||||||||
Dividends from net investment income | (0.21 | ) | (0.26 | ) | (0.38 | ) | (0.43 | ) | (0.32 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (0.13 | ) | (0.24 | ) | 0 | 0 | 0 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.34 | ) | (0.50 | ) | (0.38 | ) | (0.43 | ) | (0.32 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 11.13 | $ | 13.49 | $ | 14.02 | $ | 13.54 | $ | 12.76 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (15.25)% | (0.23)% | 6.35% | 9.70% | (1.14)% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA |
| |||||||||||||||||||
Net assets, end of period (000 omitted) | $3,089,962 | $3,845,735 | $3,696,937 | $3,416,459 | $3,291,645 | |||||||||||||||
Average net assets (000 omitted) | $3,542,155 | $3,818,467 | $3,503,078 | $3,289,133 | $3,339,472 | |||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||
Expenses | 0.56% | 0.56% | 0.57% | 0.57% | 0.57% | |||||||||||||||
Net investment income | 1.65% | 1.81% | 2.54% | 2.95% | 2.34% | |||||||||||||||
Portfolio turnover rate (h) | 122% | 123% | 72% | 62% | 201% |
See Footnote Summary on page 45.
See Notes to Financial Statements.
2022 Annual Report | 43 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
SHORT DURATION PLUS PORTFOLIO SHORT DURATION PLUS CLASS | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 11.67 | $ | 11.78 | $ | 11.74 | $ | 11.53 | $ | 11.68 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.08 | 0.11 | 0.17 | 0.22 | 0.15 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (0.67 | ) | (0.11 | ) | 0.06 | 0.23 | (0.13 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.59 | ) | 0 | 0.23 | 0.45 | 0.02 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends: |
| |||||||||||||||||||
Dividends from net investment income | (0.07 | ) | (0.11 | ) | (0.19 | ) | (0.24 | ) | (0.17 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 11.01 | $ | 11.67 | $ | 11.78 | $ | 11.74 | $ | 11.53 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (5.02)% | 0.01% | 1.97% | 3.96% | 0.18% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA |
| |||||||||||||||||||
Net assets, end of period (000 omitted) | $323,936 | $245,285 | $225,045 | $229,120 | $188,523 | |||||||||||||||
Average net assets (000 omitted) | $244,478 | $245,228 | $223,901 | $213,653 | $207,677 | |||||||||||||||
Ratio to average net assets of: |
| |||||||||||||||||||
Expenses, net of waivers/reimbursements | 0.44% | 0.46% | 0.56% | 0.56% | 0.60% | |||||||||||||||
Expenses, before waivers/reimbursements | 0.54% | 0.55% | 0.56% | 0.56% | 0.60% | |||||||||||||||
Net investment income (b) | 0.74% | 0.91% | 1.48% | 1.93% | 1.30% | |||||||||||||||
Portfolio turnover rate | 48% | 75% | 50% | 39% | 85% | (h) |
See Footnote Summary on page 45.
See Notes to Financial Statements.
44 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
(a) | Based on average shares outstanding. |
(b) | Net of expenses waived 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. 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) | Includes the impact of proceeds received and credited to the Portfolio resulting from the class action settlements, which enhanced the performance for the Emerging Markets Portfolio for the years ended September 30, 2022, September 30, 2020, and September 30, 2018 by 0.07%, 0.32% and 0.03%, respectively, |
(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. |
(g) | In connection with the Portfolio’s investments in affiliated underlying portfolios, the Portfolio 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 Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses, and for the period shown below, such waiver amounted to: |
Acquired Fund Fees and Expenses:
YEAR ENDED 09/30/20 | ||||
Short Duration Diversified Municipal | 0.01% |
Waiver:
YEAR ENDED 09/30/20 | ||||
Short Duration Diversified Municipal | 0.01% |
(h) | The Portfolio accounts for dollar roll transactions as purchases and sales. |
See Notes to Financial Statements.
2022 Annual Report | 45 |
Table of Contents
NOTE 1. | Organization and Significant Accounting Policies |
Sanford C. Bernstein Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940 as an open-end registered investment company. The Fund, which is a Maryland corporation, operates as a series company currently comprised of 13 portfolios (hereafter collectively referred to as the “Portfolios” and each individually a “Portfolio”) with the following share classes offered:
EMERGING MARKETS PORTFOLIO | SHARE CLASSES OFFERED | |
Emerging Markets | Emerging Markets Class* and Class Z | |
FIXED INCOME MUNICIPAL PORTFOLIOS | ||
Short Duration Diversified Municipal | Short Duration Diversified Municipal Class* | |
California Municipal | Municipal Class*, Class A, Class C and Advisor Class | |
Diversified Municipal | Municipal Class*, Class A, Class C, Advisor Class and Class Z | |
New York Municipal | Municipal Class*, Class A, Class C and Advisor Class | |
FIXED INCOME TAXABLE PORTFOLIOS | ||
Intermediate Duration | Intermediate Duration Class*, Class A, Advisor Class and Class Z | |
Short Duration Plus | Short Duration Plus Class*, Class A and Class C |
* Bernstein Class |
OVERLAY PORTFOLIOS | ||
Overlay A | Class 1 and Class 2 | |
Tax-Aware Overlay A | Class 1 and Class 2 | |
Overlay B | Class 1 and Class 2 | |
Tax-Aware Overlay B | Class 1 and Class 2 | |
Tax-Aware Overlay C | Class 1 and Class 2 | |
Tax-Aware Overlay N | Class 1 and Class 2 |
Each Portfolio has its own investment objectives. This report relates only to the Emerging Markets Portfolio, Fixed Income Municipal Portfolios and Fixed Income Taxable Portfolios (together the “SCB Portfolios”). The financial statements of the Overlay Portfolios and the financial highlights of Class A, Class C, Advisor Class and Class Z Shares (collectively “Retail Classes”) of California Municipal, Diversified Municipal, New York Municipal, Intermediate Duration and Short Duration Plus Portfolios are presented in separate financial reports. Each class of shares has 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, as applicable. 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. Each Portfolio 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 Portfolios.
A. | Portfolio Valuation |
Portfolio securities are valued at market value determined on the basis of market quotations or, if market quotations are not readily available or are unreliable, at “fair value” as determined in accordance with procedures approved by and under the oversight of the Portfolios’ Board of Directors (the “Board”). Pursuant to these procedures, AllianceBernstein L.P. (the “Adviser”) serves as the Portfolios’ valuation designee pursuant to Rule 2a-5 of the 1940 Act. In this capacity, the Adviser is responsible, among other things, for making all fair value determinations relating to the Portfolios’ portfolio investments, subject to the Board’s oversight.
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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 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 Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their 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 Portfolios generally value many of their foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
B. | Fair Value Measurements |
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolios 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 1.A 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 Portfolios. Unobservable inputs reflect the Portfolios’ 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 Portfolios’ own assumptions in determining the fair value of investments) |
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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.
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: the value of 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 tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of September 30, 2022:
EMERGING MARKETS PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks: | ||||||||||||||||
Financials | $ | 29,471,414 | $ | 214,567,878 | $ | 0 | (a) | $ | 244,039,292 | |||||||
Consumer Discretionary | 43,965,696 | 171,092,109 | 0 | 215,057,805 | ||||||||||||
Information Technology | 13,031,476 | 180,507,356 | 0 | 193,538,832 | ||||||||||||
Industrials | 17,506,539 | 53,324,420 | 1 | 70,830,960 | ||||||||||||
Materials | 42,324,529 | 20,160,001 | 0 | 62,484,530 | ||||||||||||
Utilities | 22,055,236 | 30,685,662 | 0 | 52,740,898 | ||||||||||||
Real Estate | 0 | 43,867,155 | 0 | 43,867,155 | ||||||||||||
Communication Services | 0 | 25,224,149 | 0 | 25,224,149 | ||||||||||||
Energy | 5,051,283 | 18,975,855 | 0 | (a) | 24,027,138 | |||||||||||
Consumer Staples | 8,228,247 | 12,046,667 | 0 | (a) | 20,274,914 | |||||||||||
Health Care | 10,004,284 | 9,326,503 | 0 | 19,330,787 | ||||||||||||
Equity Linked Notes | 0 | 25,362,301 | 0 | 25,362,301 | ||||||||||||
Short-Term Investments | 20,028,458 | 0 | 0 | 20,028,458 | ||||||||||||
Total Investments in Securities | 211,667,162 | 805,140,056 | (b) | 1 | (a) | 1,016,807,219 |
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EMERGING MARKETS PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Other Financial Instruments (c): | ||||||||||||||||
Assets: |
| |||||||||||||||
Forward Currency Exchange Contracts | $ | 0 | $ | 3,126,768 | $ | 0 | $ | 3,126,768 | ||||||||
Liabilities: |
| |||||||||||||||
Forward Currency Exchange Contracts | 0 | (8,483,398 | ) | 0 | (8,483,398 | ) | ||||||||||
Total | $ | 211,667,162 | $ | 799,783,426 | $ | 1 | (a) | $ | 1,011,450,589 | |||||||
SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | 0 | $ | 221,403,260 | $ | 0 | $ | 221,403,260 | ||||||||
Short-Term Municipal Notes | 0 | 9,345,000 | 0 | 9,345,000 | ||||||||||||
Corporates—Investment Grade | 0 | 3,840,540 | 0 | 3,840,540 | ||||||||||||
Corporates—Non-Investment Grade | 0 | 267,669 | 0 | 267,669 | ||||||||||||
Total Investments in Securities | 0 | 234,856,469 | 0 | 234,856,469 | ||||||||||||
Other Financial Instruments (c): | ||||||||||||||||
Assets: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | 0 | 536,916 | 0 | 536,916 | (d) | |||||||||||
Interest Rate Swaps | 0 | 66,649 | 0 | 66,649 | ||||||||||||
Liabilities: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | 0 | (139,179 | ) | 0 | (139,179 | )(d) | ||||||||||
Total | $ | 0 | $ | 235,320,855 | $ | 0 | $ | 235,320,855 | ||||||||
CALIFORNIA MUNICIPAL PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: | ||||||||||||||||
Long-Term Municipal Bonds | $ | 0 | $ | 986,498,644 | $ | 0 | (a) | $ | 986,498,644 | |||||||
Short-Term Municipal Notes | 0 | 37,535,092 | 0 | 37,535,092 | ||||||||||||
Commercial Mortgage-Backed Securities | 0 | 11,255,740 | 0 | 11,255,740 | ||||||||||||
Governments—Treasuries | 0 | 2,161,986 | 0 | 2,161,986 | ||||||||||||
Corporates—Investment Grade | 0 | 1,957,540 | 0 | 1,957,540 | ||||||||||||
Collateralized Mortgage Obligations | 0 | 565,234 | 0 | 565,234 | ||||||||||||
Short-Term Investments | 0 | 58,427,622 | 0 | 58,427,622 | ||||||||||||
Total Investments in Securities | 0 | 1,098,401,858 | 0 | (a) | 1,098,401,858 | |||||||||||
Other Financial Instruments (c): | ||||||||||||||||
Assets: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | 0 | 9,922,661 | 0 | 9,922,661 | (d) | |||||||||||
Centrally Cleared Interest Rate Swaps | 0 | 5,977,878 | 0 | 5,977,878 | (d) | |||||||||||
Interest Rate Swaps | 0 | 1,424,335 | 0 | 1,424,335 | ||||||||||||
Liabilities: | ||||||||||||||||
Centrally Cleared Credit Default Swaps | 0 | (328,585 | ) | 0 | (328,585 | )(d) | ||||||||||
Centrally Cleared Inflation (CPI) Swaps | 0 | (1,746,727 | ) | 0 | (1,746,727 | )(d) | ||||||||||
Credit Default Swaps | 0 | (761,453 | ) | 0 | (761,453 | ) | ||||||||||
Total | $ | 0 | $ | 1,112,889,967 | $ | 0 | (a) | $ | 1,112,889,967 |
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Notes to Financial Statements (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: | ||||||||||||||||
Long-Term Municipal Bonds | $ | 0 | $ | 4,963,212,545 | $ | 0 | $ | 4,963,212,545 | ||||||||
Short-Term Municipal Notes | 0 | 444,322,000 | 0 | 444,322,000 | ||||||||||||
Corporates—Investment Grade | 0 | 51,966,820 | 0 | 51,966,820 | ||||||||||||
Commercial Mortgage-Backed Securities | 0 | 20,755,734 | 0 | 20,755,734 | ||||||||||||
Corporates—Non-Investment Grade | 0 | 17,172,663 | 0 | 17,172,663 | ||||||||||||
Collateralized Mortgage Obligations | 0 | 3,125,124 | 0 | 3,125,124 | ||||||||||||
Total Investments in Securities | 0 | 5,500,554,886 | 0 | 5,500,554,886 | ||||||||||||
Other Financial Instruments (c): | ||||||||||||||||
Assets: | ||||||||||||||||
Centrally Cleared Credit Default Swaps | 0 | 1,525,557 | 0 | 1,525,557 | (d) | |||||||||||
Centrally Cleared Inflation (CPI) Swaps | 0 | 45,693,030 | 0 | 45,693,030 | (d) | |||||||||||
Centrally Cleared Interest Rate Swaps | 0 | 30,907,994 | 0 | 30,907,994 | (d) | |||||||||||
Interest Rate Swaps | 0 | 6,568,374 | 0 | 6,568,374 | ||||||||||||
Liabilities: | ||||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | 0 | (8,010,489 | ) | 0 | (8,010,489 | )(d) | ||||||||||
Centrally Cleared Interest Rate Swaps | 0 | (2,297,125 | ) | 0 | (2,297,125 | )(d) | ||||||||||
Credit Default Swaps | 0 | (3,183,456 | ) | 0 | (3,183,456 | ) | ||||||||||
Total | $ | 0 | $ | 5,571,758,771 | $ | 0 | $ | 5,571,758,771 | ||||||||
NEW YORK MUNICIPAL PORTFOLIO INVESTMENTIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | 0 | $ | 1,291,725,278 | $ | 250,000 | $ | 1,291,975,278 | ||||||||
Short-Term Municipal Notes | 0 | 74,285,000 | 0 | 74,285,000 | ||||||||||||
Governments—Treasuries | 0 | 2,190,554 | 0 | 2,190,554 | ||||||||||||
Corporates—Investment Grade | 0 | 1,957,540 | 0 | 1,957,540 | ||||||||||||
Collateralized Mortgage Obligations | 0 | 949,577 | 0 | 949,577 | ||||||||||||
Total Investments in Securities | 0 | 1,371,107,949 | 250,000 | 1,371,357,949 | ||||||||||||
Other Financial Instruments (c): | ||||||||||||||||
Assets: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | 0 | 12,968,479 | 0 | 12,968,479 | (d) | |||||||||||
Centrally Cleared Interest Rate Swaps | 0 | 8,041,619 | 0 | 8,041,619 | (d) | |||||||||||
Interest Rate Swaps | 0 | 1,951,207 | 0 | 1,951,207 | ||||||||||||
Liabilities: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | 0 | (2,262,208 | ) | 0 | (2,262,208 | )(d) | ||||||||||
Centrally Cleared Interest Rate Swaps | 0 | (1,126,042 | ) | 0 | (1,126,042 | )(d) | ||||||||||
Credit Default Swaps | 0 | (1,063,299 | ) | 0 | (1,063,299 | ) | ||||||||||
Total | $ | 0 | $ | 1,389,617,705 | $ | 250,000 | $ | 1,389,867,705 |
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INTERMEDIATE DURATION PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Governments—Treasuries | $ | 0 | $ | 1,236,707,238 | $ | 0 | $ | 1,236,707,238 | ||||||||
Corporates—Investment Grade | 0 | 693,778,472 | 0 | 693,778,472 | ||||||||||||
Mortgage Pass-Throughs | 0 | 519,260,321 | 0 | 519,260,321 | ||||||||||||
Collateralized Mortgage Obligations | 0 | 238,878,783 | 0 | 238,878,783 | ||||||||||||
Asset-Backed Securities | 0 | 157,349,601 | 0 | 157,349,601 | ||||||||||||
Commercial Mortgage-Backed Securities | 0 | 99,335,649 | 12,375,548 | 111,711,197 | ||||||||||||
Collateralized Loan Obligations | 0 | 84,321,764 | 0 | 84,321,764 | ||||||||||||
Corporates—Non-Investment Grade | 0 | 59,087,252 | 0 | 59,087,252 | ||||||||||||
Local Governments—US Municipal Bonds | 0 | 27,798,967 | 0 | 27,798,967 | ||||||||||||
Emerging Markets—Corporate Bonds | 0 | 13,087,972 | 0 | 13,087,972 | ||||||||||||
Common Stocks | 0 | 0 | 9,135,974 | 9,135,974 | ||||||||||||
Quasi-Sovereigns | 0 | 8,731,334 | 0 | 8,731,334 | ||||||||||||
Emerging Markets—Sovereigns | 0 | 8,662,214 | 0 | 8,662,214 | ||||||||||||
Agencies | 0 | 6,019,761 | 0 | 6,019,761 | ||||||||||||
Governments—Sovereign Bonds | 0 | 1,727,904 | 0 | 1,727,904 | ||||||||||||
Short-Term Investments | 0 | 64,470,728 | 0 | 64,470,728 | ||||||||||||
Total Investments in Securities | 0 | 3,219,217,960 | 21,511,522 | 3,240,729,482 | ||||||||||||
Other Financial Instruments (c): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 924,469 | 0 | 0 | 924,469 | (d) | |||||||||||
Forward Currency Exchange Contracts | 0 | 1,182,204 | 0 | 1,182,204 | ||||||||||||
Centrally Cleared Credit Default Swaps | 0 | 774,860 | 0 | 774,860 | (d) | |||||||||||
Centrally Cleared Interest Rate Swaps | 0 | 2,464,228 | 0 | 2,464,228 | (d) | |||||||||||
Liabilities: |
| |||||||||||||||
Futures | (13,990,539 | ) | 0 | 0 | (13,990,539 | )(d) | ||||||||||
Forward Currency Exchange Contracts | 0 | (348,530 | ) | 0 | (348,530 | ) | ||||||||||
Credit Default Swaps | 0 | (4,996,454 | ) | 0 | (4,996,454 | ) | ||||||||||
Total | $ | (13,066,070 | ) | $ | 3,218,294,268 | $ | 21,511,522 | $ | 3,226,739,720 | |||||||
SHORT DURATION PLUS PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Governments—Treasuries | $ | 0 | $ | 232,493,720 | $ | 0 | $ | 232,493,720 | ||||||||
Corporates—Investment Grade | 0 | 27,080,280 | 0 | 27,080,280 | ||||||||||||
Asset-Backed Securities | 0 | 18,366,340 | 0 | 18,366,340 | ||||||||||||
Collateralized Mortgage Obligations | 0 | 14,129,884 | 0 | 14,129,884 | ||||||||||||
Commercial Mortgage-Backed Securities | 0 | 6,695,729 | 876,837 | 7,572,566 | ||||||||||||
Collateralized Loan Obligations | 0 | 4,780,166 | 0 | 4,780,166 | ||||||||||||
Agencies | 0 | 3,898,491 | 0 | 3,898,491 | ||||||||||||
Mortgage Pass-Throughs | 0 | 1,606,371 | 0 | 1,606,371 | ||||||||||||
Local Governments—US Municipal Bonds | 0 | 863,281 | 0 | 863,281 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
U.S. Treasury Bills | 0 | 17,165,600 | 0 | 17,165,600 | ||||||||||||
Governments—Treasuries | 0 | 6,779,481 | 0 | 6,779,481 | ||||||||||||
Total Investments in Securities | 0 | 333,859,343 | 876,837 | 334,736,180 |
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Notes to Financial Statements (continued)
SHORT DURATION PLUS PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Other Financial Instruments (c): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | $ | 93,719 | $ | 0 | $ | 0 | $ | 93,719 | (d) | |||||||
Forward Currency Exchange Contracts | 0 | 41,484 | 0 | 41,484 | ||||||||||||
Centrally Cleared Interest Rate Swaps | 0 | 449,586 | 0 | 449,586 | (d) | |||||||||||
Liabilities: |
| |||||||||||||||
Futures | (1,314,713 | ) | 0 | 0 | (1,314,713 | )(d) | ||||||||||
Credit Default Swaps | 0 | (404,231 | ) | 0 | (404,231 | ) | ||||||||||
Total | $ | (1,220,994 | ) | $ | 333,946,182 | $ | 876,837 | $ | 333,602,025 |
(a) | The Portfolio held securities with zero market value at period end. |
(b) | A significant portion of the Portfolio’s foreign equity investments are categorized as Level 2 investments since they are valued using fair value prices based on third party vendor modeling tools to the extent available, see Note 1.A. |
(c) | 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. |
(d) | 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 schedule of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
C. | Foreign Currency Translation |
The accounting records of the Portfolios are maintained in U.S. dollars. Prices of securities and other assets and liabilities denominated in non-U.S. currencies are translated into U.S. dollars using the exchange rate at 4:00 p.m., Eastern Time. Amounts related to the purchases and sales of securities, investment income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Net realized gain or loss on foreign currency transactions represents net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amount actually received or paid. Net unrealized currency gains and losses arising from valuing foreign currency denominated assets and liabilities, other than security investments, at the current exchange rate are reflected as part of unrealized appreciation/depreciation on foreign currencies.
The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at period end. The Portfolios do isolate the effect of changes in foreign exchange rates from changes in market prices of securities sold during the year, as required by the Internal Revenue Code.
The Emerging Markets Portfolio, Intermediate Duration Portfolio and Short Duration Plus Portfolio may invest in foreign securities and foreign currency transactions that may involve risks not associated with domestic investments as a result of the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability, among others.
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D. | Taxes |
Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, each Portfolio will not be subject to federal and state income taxes to the extent that all of its income is distributed. The Portfolios may be subject to taxes imposed by countries in which they invest. 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 based on management’s understanding of applicable local tax law.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolios’ 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 Portfolios’ financial statements. As of September 30, 2022, the Portfolios did not have any unrecognized tax benefits.
E. | Security Transactions and Related Investment Income |
Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as the Portfolios are informed of the dividend. Non-cash dividends, if any, are recorded on the ex-dividend date at the fair value of the securities received. The Portfolios amortize premiums and accrete discounts as adjustments to interest income. The Portfolio 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.
F. | Securities Transactions on a When-Issued or Delayed-Delivery Basis |
Each Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time a Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time a Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.
G. | Class Allocations |
All income earned and expenses incurred by the Portfolios are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the shares of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each Portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
H. | Distribution of Income and Gains |
Net investment income of each Portfolio except the Emerging Markets Portfolio is declared and recorded as a dividend to shareholders daily and is payable to shareholders monthly. Dividends from net investment income, if any, of the Emerging Markets Portfolio will be paid to shareholders at least once a year.
Distributions of net realized gains, less any available loss carryforwards, if any, for all the Portfolios will be paid to shareholders at least once a year, and recorded on the ex-dividend date.
Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.
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Notes to Financial Statements (continued)
Permanent differences have no effect on net assets. The effects of such permanent differences on each Portfolio, due to the utilization of earnings and profits distributed to shareholders on redemption of shares and distribution in excess of income which are reflected as adjustments to the components of net assets as of September 30, 2022, as shown below:
PORTFOLIO | INCREASE (DECREASE) TO ADDITIONAL PAID-IN CAPITAL | INCREASE (DECREASE) TO DISTRIBUTABLE EARNINGS/ ACCUMULATED LOSS | ||||||
Emerging Markets Portfolio | $ | 3,687,875 | $ | (3,687,875 | ) | |||
Short Duration Diversified Municipal Portfolio | 0 | 0 | ||||||
California Municipal Portfolio | (267,148 | ) | 267,148 | |||||
Diversified Municipal Portfolio | (979,682 | ) | 979,682 | |||||
New York Municipal Portfolio | (711,060 | ) | 711,060 | |||||
Intermediate Duration Portfolio | (421,249 | ) | 421,249 | |||||
Short Duration Plus Portfolio | 0 | 0 |
NOTE 2. | Investment Management and Transactions with Affiliated Persons |
A. | Management Fee |
Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of each Portfolio’s assets, places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.
The Portfolios pay the Adviser an investment management fee, based on an annual rate, for such services as follows:
ANNUAL PERCENTAGEOF AVERAGE DAILY NET ASSETSOF EACH PORTFOLIO | ||||||||||||||||||||
PORTFOLIO | FIRST $2.5 BILLION | NEXT $2.5 BILLION | THEREAFTER | |||||||||||||||||
Emerging Markets | 0.950 | % |
| 0.900
| %
| 0.850 | % | |||||||||||||
FIRST $750 MILLION | THEREAFTER | |||||||||||||||||||
Short Duration Diversified Municipal |
| 0.300
| %
| 0.250 | % | |||||||||||||||
FIRST $1 BILLION | NEXT $2 BILLION | NEXT $2 BILLION | THEREAFTER | |||||||||||||||||
California Municipal and New York Municipal
| 0.425 | % | 0.375 | % | 0.325 | % | 0.275 | % | ||||||||||||
FIRST $1 BILLION | NEXT $2 BILLION | NEXT $2 BILLION | NEXT $2 BILLION | THEREAFTER | ||||||||||||||||
Diversified Municipal | 0.425 | % |
| 0.375
| %
| 0.325 | % | 0.275 | % | 0.225 | % | |||||||||
FIRST $2.5 BILLION | NEXT $2.5 BILLION | NEXT $3 BILLION | THEREAFTER | |||||||||||||||||
Intermediate Duration | 0.450 | % | 0.400 | % |
| 0.350
| %
| 0.300 | % | |||||||||||
FIRST $750 MILLION | THEREAFTER | |||||||||||||||||||
Short Duration Plus | 0.350 | % | 0.300 | % |
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Effective January 28, 2021, the Adviser has agreed to waive its fees and bear certain expenses of the Intermediate Duration Portfolio to the extent necessary to limit the total other expenses (exclusive of advisory fees, distribution and/or service (Rule 12b-1) fees, extraordinary expenses, interest expense, acquired fund fees and expenses other than the advisory fees of any affiliated funds in which the Portfolio may invest, expenses associated with securities sold short, and brokerage commission and other transaction costs) to 0.22%, 0.22% and 0.13% for Class A, Advisor Class and Class Z shares, respectively. For the year ended September 30, 2022, such reimbursements/waivers amounted to $35,166. The Expense Caps may not be terminated by the Adviser before January 28, 2023.
B. | Shareholder Servicing Fee; Transfer Agency Fee |
Under the Shareholder Servicing Agreement between the Fund and the Adviser, the Adviser pays expenses it incurs in providing shareholder servicing to the Fund, the Portfolios and individual shareholders. The Shareholder Servicing Agreement does not apply to the Retail Classes. Such services include, but are not limited to, providing information to shareholders concerning their fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. Under the agreement, the fee paid by each Portfolio, except the Emerging Markets Portfolio, to the Adviser for services is 0.10 of 1%, annualized, of the average daily net assets attributable to the Bernstein Class during the month, and the fee paid by the Emerging Markets Portfolio for services is 0.25 of 1%, annualized, of the average daily net assets attributable to the Bernstein Class during the month. Effective November 13, 2020, the Adviser voluntarily agreed to waive the shareholder servicing fee of 0.10 of 1%, annualized, of the average daily net assets attributable to the Bernstein Class of the Short Duration Diversified Municipal Portfolio and the Short Duration Plus Portfolio. For the year ended September 30, 2022, such waiver amounted to:
PORTFOLIO | AMOUNT | |||
Short Duration Diversified Municipal | $ | 245,118 | ||
Short Duration Plus | 244,478 |
Under a Transfer Agency Agreement between the Fund on behalf of the Retail Classes, and AllianceBernstein Investor Services, Inc. (“ABIS”), the Retail Classes compensate ABIS, a wholly owned subsidiary of the Adviser, for providing personnel and facilities to perform transfer agency services. ABIS may make payments to intermediaries that provide omnibus account services, sub accounting services and/or networking services. For the year ended September 30, 2022, the compensation retained by ABIS amounted to: Emerging Markets Portfolio, $39,644; California Municipal Portfolio, $18,043; Diversified Municipal Portfolio, $161,109; New York Municipal Portfolio, $19,121; Intermediate Duration Portfolio $17,985 and Short Duration Plus Portfolio, $17,723. With respect to the Short Duration Plus Portfolio, for the year ended September 30, 2022, ABIS has voluntarily agreed to waive a portion of transfer agency fees in the amounts of $976 and $85 for Class A Shares and Class C Shares, respectively.
C. | Distribution Arrangements—the Portfolios Except the Retail Classes |
Under the Distribution Agreement between the Fund, on behalf of each Portfolio, and Sanford C. Bernstein & Co., LLC (the “Distributor”), the Distributor agrees to act as agent to sell SCB Class shares of the Portfolios. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.
D. | Distribution Arrangements—the Retail Classes Only |
The Retail Classes of the Intermediate Municipal Portfolios and the Fixed Income Taxable Portfolios and Class Z Shares of the Emerging Markets Portfolio have adopted a Distribution Services Agreement (the “Agreement”), including a distribution plan pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, each of the Retail Classes pays distribution services fees to AllianceBernstein Investments, Inc., (the “Retail Distributor”), a wholly owned subsidiary of the Adviser, at an annual rate of up to 0.30 of 1% of the Class A Shares, and 1% of the Class C Shares of the respective average daily net assets attributable to the Retail Classes. Payments under the Agreement in
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Notes to Financial Statements (continued)
respect of Class A shares are currently limited to an annual rate of 0.25 of 1% of Class A shares’ average daily net assets. With respect to the Short Duration Plus Portfolio, the Retail Distributor voluntarily agreed to waive 0.55 of 1% to limit distribution service fees for Short Duration Plus Portfolio to 0.45 of 1% of the average daily net assets attributable to the Class C Shares. The fees are accrued daily and paid monthly. For the year ended September 30, 2022, such waiver amounted to $5,364. With respect to the Short Duration Plus Portfolio, for the year ended September 30, 2022, the Retail Distributor voluntarily agreed to waive additional distribution service fees in the amounts of $16,186 and $2,320 for Class A Shares and C Shares, respectively. The Agreement provides that the Retail Distributor will use such payments in their entirety for distribution assistance and promotional activities. The Retail Distributor has advised the Fund, that it has incurred expenses in excess of the distribution costs reimbursed by each of the Retail Classes as follows:
PORTFOLIO | ||||||||||||||||
CALIFORNIA MUNICIPAL | DIVERSIFIED MUNICIPAL | NEW YORK MUNICIPAL | SHORT DURATION PLUS | |||||||||||||
Class C | $ | 1,333,599 | $ | 3,271,259 | $ | 2,418,480 | $ | 1,035,786 |
There are no distribution and servicing fees on the Advisor Class and Class Z Shares.
While such costs may be recovered from each Portfolio 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 Retail 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 each Portfolio’s shares.
E. | Investments in Affiliated Issuers |
The Emerging Markets Portfolio and the Short Duration Diversified Municipal Portfolio may invest in AB Government Money Market Portfolio (the “Government Money Market Portfolio”), advised by the Adviser, 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, 2023. In connection with the investment by the Portfolios in Government Money Market Portfolio, the Adviser has contractually agreed to waive its advisory fee from the Portfolios in an amount equal to each Portfolio’s pro rata share of the effective advisory fee of Government Money Market Portfolio, as borne indirectly by the Portfolios as an acquired fund fee and expense. For the year ended September 30, 2022, such waivers amounted to:
PORTFOLIO | AMOUNT | |||
Emerging Markets | $ | 18,514 | ||
Short Duration Diversified Municipal | 8,003 |
A summary of the Portfolios’ transactions in shares of the Government Money Market Portfolio for the year ended September 30, 2022 is as follows:
PORTFOLIO | MARKET VALUE 9/30/21 (000) | PURCHASES AT COST | SALES PROCEEDS (000) | MARKET VALUE 9/30/22 (000) | DIVIDEND INCOME (000) | |||||||||||||||
Emerging Markets | $ | 23,229 | $ | 338,713 | $ | 341,914 | $ | 20,028 | $ | 159 | ||||||||||
Short Duration Diversified Municipal | 0 | 199,814 | 199,814 | $ | 0 | 71 |
F. | Other Transactions with Affiliates |
Class A Shares of the Retail Classes are sold with a front-end sales charge of up to 4.25% for purchases not exceeding $1,000,000. The Intermediate Municipal Portfolio’s Class A shares are sold with a reduced front-end sales charge of up to 3.00% for purchases up to $500,000; purchases of $500,000 or more will not be subject to a sales charge. With respect to
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purchases of $1,000,000 or more ($500,000 or more with respect to the Intermediate Municipal Portfolios), Class A Shares redeemed within one year of purchase may be subject to a contingent deferred sales charge of 1%. Effective March 7, 2022, the maximum sales charge for purchases of the Short Duration Plus Portfolio’s Class A shares is reduced from 4.25% to 2.25% and purchases in amounts of $500,000 or more, or by certain group retirement plans, may be subject to a 1%, 18-month contingent deferred sales charge, which may be subject to waiver in certain circumstances. Prior to March 7, 2022, purchases of the Short Duration Plus Portfolio’s Class A shares in amounts of $1,000,000 or more, or by certain group retirement plans, may be subject to a 1%, 1-year contingent deferred sales charge, which may be subject to waiver in certain circumstances.
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. Effective May 31, 2021, Class C shares automatically converted to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted to Class A shares ten years after the end of the calendar month of purchase.
AllianceBernstein Investments, Inc. has advised the Fund, that it has retained front-end sales charges from sales of Class A Shares and received contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C Shares for the year ended September 30, 2022, as follows:
FRONT-END CLASS A | CONTINGENT DEFERRED SALES CHARGES | |||||||||||
PORTFOLIO | CLASS A | CLASS C | ||||||||||
California Municipal | $ | 0 | $ | 3,971 | $ | 5,757 | ||||||
Diversified Municipal | 0 | 190,377 | 4,324 | |||||||||
New York Municipal | 0 | 0 | 177 | |||||||||
Intermediate Duration | 20 | 0 | N/A | |||||||||
Short Duration Plus | 486 | 4,364 | 122 |
NOTE 3. | Investment Security Transactions |
A. | Purchases and Sales |
For the year ended September 30, 2022, the Portfolios had purchases and sales transactions, excluding transactions in short-term instruments, as follows:
PORTFOLIO | PURCHASES EXCLUDING U.S. GOVERNMENT SECURITIES | PURCHASES OF U.S. GOVERNMENT SECURITIES | SALES EXCLUDING U.S. GOVERNMENT SECURITIES | SALESOF U.S. GOVERNMENT SECURITIES | ||||||||||||
Emerging Markets | $ | 735,734,322 | $ | 0 | $ | 756,666,236 | $ | 0 | ||||||||
Short Duration Diversified Municipal | 87,411,586 | 0 | 104,466,462 | 0 | ||||||||||||
California Municipal | 270,595,900 | 0 | 421,806,844 | 1,847,719 | ||||||||||||
Diversified Municipal | 865,718,235 | 7,799,858 | 1,038,004,187 | 10,120,192 | ||||||||||||
New York Municipal | 213,165,721 | 0 | 396,473,428 | 3,263,190 | ||||||||||||
Intermediate Duration | 613,060,255 | 3,965,910,259 | 782,410,252 | 3,540,230,958 | ||||||||||||
Short Duration Plus | 39,090,097 | 181,713,533 | 25,124,668 | 92,580,188 |
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Notes to Financial Statements (continued)
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
| GROSS UNREALIZED | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||
PORTFOLIO | COST | APPRECIATION | (DEPRECIATION) | |||||||||||||
Emerging Markets Portfolio | $1,208,023,005 | $67,065,690 | $ | (258,576,142 | ) | $ | (191,510,452 | ) | ||||||||
Short Duration Diversified Municipal Portfolio | 244,889,287 | 619,046 | (10,186,701 | ) | (9,567,655 | ) | ||||||||||
California Municipal Portfolio | 1,174,379,850 | 18,527,221 | (78,542,232 | ) | (60,015,011 | ) | ||||||||||
Diversified Municipal Portfolio | 5,876,832,465 | 90,604,078 | (391,953,068 | ) | (301,348,990 | ) | ||||||||||
New York Municipal Portfolio | 1,473,370,418 | 24,478,301 | (106,269,821 | ) | (81,791,520 | ) | ||||||||||
Intermediate Duration Portfolio | 3,675,642,378 | 12,204,774 | (441,948,401 | ) | (429,743,627 | ) | ||||||||||
Short Duration Plus Portfolio | 345,417,082 | 912,439 | (10,938,177 | ) | (10,025,738 | ) |
B. | Derivative Financial Instruments |
Each Portfolio 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 Portfolios, as well as the methods in which they may be used are:
• | Futures |
Each Portfolio 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 Portfolios bear 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 Portfolios 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 a Portfolio enters into futures, a Portfolio 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 Portfolios agree 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 Portfolios 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 Portfolios record 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 Portfolios 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 Portfolios to unlimited risk of loss. Each Portfolio may enter into futures only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transactions; therefore, the Portfolios’ credit risk is subject to failure of the exchange or board of trade. 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 year ended September 30, 2022, the Intermediate Duration Portfolio and Short Duration Plus Portfolio held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
The Emerging Markets Portfolio, Intermediate Duration Portfolio and Short Duration Plus Portfolio may enter into forward currency exchange contracts on either a spot (i.e., cash) or forward basis. Spot contracts are entered into at the
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rate then prevailing in the currency-exchange market. Forward currency exchange contracts obligate the contracting parties to purchase or sell a specific currency at a specified future date at a specified price. The Portfolios will generally not enter into a forward currency exchange contract with a term greater than one year. 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 foreign currency transactions. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. 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.
Forward currency exchange contracts used to protect the Portfolios from adverse currency movements involve the risk that the Adviser may not accurately predict currency movements. As a result, total return could be adversely affected. The Adviser 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 Adviser may enter into foreign currency transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value.
Under certain circumstances, Emerging Markets Portfolio may commit a substantial portion or the entire value of the Portfolios to the consummation of these contracts. The Adviser will consider the effect that a substantial commitment of assets to forward currency exchange contracts would have on the investment program of the Portfolios and the flexibility of the Portfolios to purchase additional securities.
During the year ended September 30, 2022, Intermediate Duration Portfolio and Short Duration Plus Portfolio held forward currency exchange contracts for hedging and non-hedging purposes, Emerging Markets Portfolio held forward currency exchange contracts for hedging purposes.
• | Swaps |
The Portfolios may enter into swaps to hedge their exposure to interest rates, credit risk, or currencies. Certain Portfolios may also enter into swaps for non-hedging purposes as a means of gaining market exposures, including by 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 Portfolios in accordance with the terms of the respective swaps to provide value and recourse to the Portfolios or their 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 Portfolios, and/or the termination value at the end of the contract. Therefore, the Portfolios consider the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolios and the counterparty and by the posting of collateral by the counterparty to the Portfolios to cover the Portfolios’ exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolios accrue 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 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 Portfolios enter into a centrally cleared swap, the Portfolios deposit and maintain 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 Portfolios agree 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 Portfolios 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 Portfolios record 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 Portfolios are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Portfolios hold 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 Portfolios may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Portfolios 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, a Portfolio 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 Portfolio anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Portfolio 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 Portfolio receiving or paying, as the case may be, only the net amount of the two payments).
During the year ended September 30, 2022, the Short Duration Diversified Municipal Portfolio, California Municipal Portfolio, Diversified Municipal Portfolio and New York Municipal Portfolio held interest rate swaps for hedging purposes, Intermediate Duration Portfolio and Short Duration Plus Portfolio 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 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 Portfolio 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 year ended September 30, 2022, the Short Duration Diversified Municipal Portfolio, California Municipal Portfolio, Diversified Municipal Portfolio and New York Municipal Portfolio held inflation (CPI) swaps for hedging purposes, Intermediate Duration Portfolio and Short Duration Plus Portfolio held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Fixed-Income Portfolios may enter into credit default swaps for multiple reasons, including to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults by corporate and sovereign issuers held by the Portfolios, or to create exposure to corporate or sovereign issuers to which they are not otherwise exposed. The Portfolios 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 Portfolios receive/(pay) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolios will either
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(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 Portfolios for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If a Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If a Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio 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 Portfolio.
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 schedule of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the market’s assessment of 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 include 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 year ended September 30, 2022, the California Municipal Portfolio, Diversified Municipal Portfolio, New York Municipal Portfolio, Intermediate Duration Portfolio and Short Duration Plus Portfolio held credit default swaps for hedging and non-hedging purposes.
A Portfolio 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, a Portfolio 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 a Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
A Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of a Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, a Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio 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 tables below for additional details.
During the year ended September 30, 2022, the Portfolios had entered into the following derivatives:
EMERGING MARKETS PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | $ | 3,126,768 | Unrealized depreciation on forward currency exchange contracts | $ | 8,483,398 | ||||||
Total | $ | 3,126,768 | $ | 8,483,398 |
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Notes to Financial Statements (continued)
DERIVATIVE TYPE | LOCATION OF GAIN OR (LOSS) ON OF OPERATIONS | REALIZED GAIN OR (LOSS)ON DERIVATIVES | CHANGE IN UNREALIZED APPRECIATIONOR (DEPRECIATION) | |||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | $ | 4,895,727 | $ | (5,072,692 | ) | ||||
Total | $ | 4,895,727 | $ | (5,072,692 | ) |
SHORT DURATION DIVERSIFIED | ||||||||||||
MUNICIPAL PORTFOLIO | 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 centrally cleared swaps | $ | 536,916 | * | Receivable/Payable for variation margin on centrally cleared swaps | $ | 138,186 | * | ||||
Interest rate contracts | Unrealized appreciation on interest rate swaps | 66,649 | ||||||||||
Total | $ | 603,565 | $ | 138,186 |
* | 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 schedule of investments. |
DERIVATIVE TYPE | LOCATION OF GAIN OR (LOSS) ON OF OPERATIONS | REALIZED GAIN OR (LOSS)ON | CHANGE IN UNREALIZED APPRECIATIONOR (DEPRECIATION) | |||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $(10,075) | $ | 159,138 | ||||
Total | $(10,075) | $ | 159,138 |
CALIFORNIA MUNICIPAL PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | $ | 10,722 | * | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | $ | 15,909,344 | * | Receivable/Payable for variation margin on centrally cleared swaps | 1,737,145 | * | |||||
Interest rate contracts | Unrealized appreciation on interest rate swaps | 1,424,335 | ||||||||||
Credit contracts | Market value on credit default swaps | 761,453 | ||||||||||
Total | $ | 17,333,679 | $ | 2,509,320 |
* | 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 schedule of investments. |
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DERIVATIVE TYPE | LOCATION OF GAIN OR (LOSS) ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | REALIZED GAIN OR (LOSS)ON DERIVATIVES | CHANGE IN UNREALIZED APPRECIATIONOR (DEPRECIATION) | |||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | 1,131,168 | $ | 7,795,940 | |||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 1,370,656 | 424,601 | |||||||
Total | $ | 2,501,824 | $ | 8,220,541 |
DIVERSIFIED MUNICIPAL PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | $ | 12,345 | * | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | $ | 76,601,024 | * | Receivable/Payable for variation margin on centrally cleared swaps | 10,261,455 | * | |||||
Interest rate contracts | Unrealized appreciation on interest rate swaps | 6,568,374 | ||||||||||
Credit contracts | Market value on credit default swaps | 3,183,456 | ||||||||||
Total | $ | 83,169,398 | $ | 13,457,256 |
* | 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 schedule of investments. |
DERIVATIVE TYPE | LOCATION OF GAIN OR (LOSS) ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | REALIZED GAIN OR (LOSS)ON DERIVATIVES | CHANGE IN UNREALIZED APPRECIATIONOR (DEPRECIATION) | |||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | 6,251,197 | $ | 36,125,444 | |||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 3,701,195 | 1,816,427 | |||||||
Total | $ | 9,952,392 | $ | 37,941,871 |
2022 Annual Report | 63 |
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Notes to Financial Statements (continued)
NEW YORK MUNICIPAL PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | $ | 21,010,098 | * | Receivable/Payable for variation margin on centrally cleared swaps | $ | 3,375,748 | * | ||||
Interest rate contracts | Unrealized appreciation on interest rate swaps | 1,951,207 | ||||||||||
Credit contracts | Market value on credit default swaps | 1,063,299 | ||||||||||
Total | $22,961,305 | $ | 4,439,047 |
* | 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 schedule of investments. |
DERIVATIVE TYPE | LOCATIONOF GAINOR (LOSS)ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | REALIZED GAIN OR (LOSS)ON DERIVATIVES | CHANGE IN UNREALIZED APPRECIATIONOR (DEPRECIATION) | |||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | $ | 163,615 | $ | 10,375,733 | |||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 434,951 | 610,817 | |||||||
Total | $ | 598,566 | $ | 10,986,550 |
INTERMEDIATE DURATION PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 924,469 | * | Receivable/Payable for variation margin on futures | $ | 13,990,539 | * | ||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | 1,098 | * | |||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | 2,464,228 | * | |||||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 1,182,204 | Unrealized depreciation on forward currency exchange contracts | 348,530 | ||||||||
Credit contracts | Market value on credit default swaps | 4,996,454 | ||||||||||
Total | $4,570,901 | $ | 19,336,621 |
* | 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 schedule of investments. |
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DERIVATIVE TYPE | LOCATIONOF GAINOR (LOSS)ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | 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 | $ | (63,109,506 | ) | $ | (9,164,905 | ) | |||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 4,042,569 | 929,448 | |||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (1,054,349 | ) | 4,243,757 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (3,271,937 | ) | 13,925,196 | ||||||
Total | $ | (63,393,223 | ) | $ | 9,933,496 |
SHORT DURATION PLUS PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 93,719 | * | Receivable/Payable for variation margin on futures | $ | 1,314,713 | * | ||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | 449,586 | * | |||||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 41,484 | ||||||||||
Credit contracts | Market value on credit default swaps | 404,231 | ||||||||||
Total | $ | 584,789 | $ | 1,718,944 |
* | 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 schedule of investments. |
2022 Annual Report | 65 |
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Notes to Financial Statements (continued)
DERIVATIVE TYPE | LOCATION OF GAINOR (LOSS) ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | REALIZED GAIN OR (LOSS)ON DERIVATIVES | CHANGE IN UNREALIZED APPRECIATIONOR (DEPRECIATION) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (4,006,559 | ) | $ | (1,178,470 | ) | |||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (18,611 | ) | 41,484 | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (43,907 | ) | 490,129 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (238,458 | ) | 704,304 | ||||||
Total | $ | (4,307,535 | ) | $ | 57,447 |
EMERGING MARKETS PORTFOLIO | ||||||||
Forward Currency Exchange Contracts: | ||||||||
Average principal amount of buy contracts | $ | 257,121,960 | ||||||
Average principal amount of sale contracts | $ | 223,765,753 |
SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO | ||||||||
Interest Rate Swaps: | ||||||||
Average notional amount | $ | 803,077 | ||||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 170,000 | (a) | |||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 9,833,077 |
(a) | Positions were open for eight months during the year. |
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CALIFORNIA MUNICIPAL PORTFOLIO | ||||||||
Interest Rate Swaps: | ||||||||
Average notional amount | $ | 17,162,308 | ||||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 126,618,462 | ||||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 136,637,692 | ||||||
Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 4,358,378 | ||||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of buy contracts | $ | 22,824,911 | (a) | |||||
Average notional amount of sale contracts | $ | 8,300,000 | (b) |
(a) | Positions were open for nine months during the year. |
(b) | Positions were open for one month during the year. |
DIVERSIFIED MUNICIPAL PORTFOLIO | ||||||||
Interest Rate Swaps: | ||||||||
Average notional amount | $ | 79,144,615 | ||||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 555,922,308 | ||||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 626,600,000 | ||||||
Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 18,221,337 | ||||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of buy contracts | $ | 48,082,380 | (a) |
(a) | Positions were open for ten months during the year. |
NEW YORK MUNICIPAL PORTFOLIO | ||||||||
Interest Rate Swaps: | ||||||||
Average notional amount | $ | 23,510,769 | ||||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 180,478,462 | ||||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 176,825,385 | ||||||
Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 6,086,065 | ||||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of buy contracts | $ | 18,300,000 | (a) |
(a) | Positions were open for one month during the year. |
2022 Annual Report | 67 |
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Notes to Financial Statements (continued)
INTERMEDIATE DURATION PORTFOLIO | ||||||||
Futures: | ||||||||
Average notional amount of buy contracts | $ | 586,231,048 | ||||||
Average notional amount of sale contracts | $ | 189,101,072 | (a) | |||||
Forward Currency Exchange Contracts: | ||||||||
Average principal amount of buy contracts | $ | 74,841,295 | (b) | |||||
Average principal amount of sale contracts | $ | 199,432,974 | ||||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 74,383,188 | ||||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 105,735,000 | (a) | |||||
Credit Default Swaps: | ||||||||
Average notional amount of buy contracts | $ | 83,709,167 | (a) | |||||
Average notional amount of sale contracts | $ | 48,810,916 | ||||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of buy contracts | $ | 46,346,414 | (c) |
(a) | Positions were open for five months during the year. |
(b) | Positions were open for ten months during the year. |
(c) | Positions were open for nine months during the year. |
SHORT DURATION PLUS PORTFOLIO | ||||||||
Futures: | ||||||||
Average notional amount of buy contracts | $ | 98,051,677 | ||||||
Average notional amount of sale contracts | $ | 13,136,221 | ||||||
Forward Currency Exchange Contracts: | ||||||||
Average principal amount of buy contracts | $ | 5,678,729 | (a) | |||||
Average principal amount of sale contracts | $ | 6,157,895 | (b) | |||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 2,830,000 | ||||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 10,890,000 | (c) | |||||
Credit Default Swaps: | ||||||||
Average notional amount of buy contracts | $ | 5,098,833 | (d) | |||||
Average notional amount of sale contracts | $ | 2,443,287 | ||||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of buy contracts | $ | 1,196,430 | (d) |
(a) | Positions were open for one month during the year. |
(b) | Positions were open for seven months during the year. |
(c) | Positions were open for two months during the year. |
(d) | Positions were open for five months during the year. |
For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
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All OTC derivatives held at period end were subject to netting arrangements. The following tables present the Portfolios’ 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 Portfolios as of September 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.
EMERGING MARKETS PORTFOLIO | ||||||||||||||||||||
COUNTERPARTY | DERIVATIVE TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNT OF DERIVATIVE ASSETS | |||||||||||||||
Barclays Bank PLC | $ | 281,098 | $ | (281,098 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
BNP Paribas SA | 132,301 | (30,426 | ) | 0 | 0 | 101,875 | ||||||||||||||
Citibank, NA | 459,758 | (459,758 | ) | 0 | 0 | 0 | ||||||||||||||
Goldman Sachs Bank USA | 15,665 | (15,665 | ) | 0 | 0 | 0 | ||||||||||||||
HSBC Bank USA | 494,135 | (494,135 | ) | 0 | 0 | 0 | ||||||||||||||
JPMorgan Chase Bank, NA | 344,085 | 0 | (270,000 | ) | 0 | 74,085 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | 1,004,840 | (114,113 | ) | (580,000 | ) | 0 | 310,727 | |||||||||||||
State Street Bank & Trust Co. | 394,886 | (394,886 | ) | 0 | 0 | 0 | ||||||||||||||
Total | $ | 3,126,768 | $ | (1,790,081 | ) | $ | (850,000 | ) | $ | 0 | $ | 486,687 | ^ | |||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLEFOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNTOF DERIVATIVE LIABILITIES | |||||||||||||||
Bank of America, NA | $ | 2,865,325 | $ | 0 | $ | 0 | $ | 0 | $ | 2,865,325 | ||||||||||
Barclays Bank PLC | 852,711 | (281,098 | ) | (521,000 | ) | 0 | 50,613 | |||||||||||||
BNP Paribas SA | 30,426 | (30,426 | ) | 0 | 0 | 0 | ||||||||||||||
Citibank, NA | 2,359,917 | (459,758 | ) | 0 | 0 | 1,900,159 | ||||||||||||||
Deutsche Bank AG | 476,675 | 0 | 0 | 0 | 476,675 | |||||||||||||||
Goldman Sachs Bank USA | 315,954 | (15,665 | ) | (290,000 | ) | 0 | 10,289 | |||||||||||||
HSBC Bank USA | 583,427 | (494,135 | ) | 0 | 0 | 89,292 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | 114,113 | (114,113 | ) | 0 | 0 | 0 | ||||||||||||||
State Street Bank & Trust Co. | 624,755 | (394,886 | ) | 0 | 0 | 229,869 | ||||||||||||||
UBS AG | 260,095 | 0 | 0 | 0 | 260,095 | |||||||||||||||
Total | $ | 8,483,398 | $ | (1,790,081 | ) | $ | (811,000 | ) | $ | 0 | $ | 5,882,317 | ^ |
* | 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. |
2022 Annual Report | 69 |
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Notes to Financial Statements (continued)
SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO | ||||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNTOF DERIVATIVE ASSETS | |||||||||||||||
Citibank, NA | $ | 66,649 | $ | 0 | $ | 0 | $ | 0 | $ | 66,649 | ||||||||||
Total | $ | 66,649 | $ | 0 | $ | 0 | $ | 0 | $ | 66,649 | ^ |
* | 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. |
CALIFORNIA MUNICIPAL PORTFOLIO | ||||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TOA MA | DERIVATIVES AVAILABLEFOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNTOF DERIVATIVE ASSETS | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 1,424,335 | $ | (244,695 | ) | $ | (1,179,640 | ) | $ | 0 | $ | 0 | ||||||||
Total | $ | 1,424,335 | $ | (244,695 | ) | $ | (1,179,640 | ) | $ | 0 | $ | 0 | ^ | |||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLEFOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNTOF DERIVATIVE LIABILITIES | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 244,695 | $ | (244,695 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
Credit Suisse International | 343,539 | 0 | (343,539 | ) | 0 | 0 | ||||||||||||||
Goldman Sachs International | 173,219 | 0 | 0 | (173,219 | ) | 0 | ||||||||||||||
Total | $ | 761,453 | $ | (244,695 | ) | $ | (343,539 | ) | $ | (173,219 | ) | $ | 0 | ^ |
* | 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. |
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DIVERSIFIED MUNICIPAL PORTFOLIO | ||||||||||||||||||||
COUNTERPARTY | DERIVATIVE TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNTOF DERIVATIVE ASSETS | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 6,568,374 | $ | (351,267 | ) | $ | (6,217,107 | ) | $ | 0 | $ | 0 | ||||||||
Total | $ | 6,568,374 | $ | (351,267 | ) | $ | (6,217,107 | ) | $ | 0 | $ | 0 | ^ | |||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNTOF DERIVATIVE LIABILITIES | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 351,267 | $ | (351,267 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
Credit Suisse International | 2,003,605 | 0 | (2,003,605 | ) | 0 | 0 | ||||||||||||||
Goldman Sachs International | 828,584 | 0 | (828,584 | ) | 0 | 0 | ||||||||||||||
Total | $ | 3,183,456 | $ | (351,267 | ) | $ | (2,832,189 | ) | $ | 0 | $ | 0 | ^ |
* | 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. |
NEW YORK MUNICIPAL PORTFOLIO | ||||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNTOF DERIVATIVE ASSETS | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 1,951,207 | $ | (117,357 | ) | $ | (1,833,850 | ) | $ | 0 | $ | 0 | ||||||||
Total | $ | 1,951,207 | $ | (117,357 | ) | $ | (1,833,850 | ) | $ | 0 | $ | 0 | ^ | |||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNTOF DERIVATIVE LIABILITIES | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 117,357 | $ | (117,357 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
Credit Suisse International | 669,210 | 0 | (669,210 | ) | 0 | 0 | ||||||||||||||
Goldman Sachs International | 276,732 | 0 | 0 | (276,732 | ) | 0 | ||||||||||||||
Total | $ | 1,063,299 | $ | (117,357 | ) | $ | (669,210 | ) | $ | (276,732 | ) | $ | 0 | ^ |
* | 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. |
2022 Annual Report | 71 |
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Notes to Financial Statements (continued)
INTERMEDIATE DURATION PORTFOLIO | ||||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNT OF DERIVATIVE ASSETS | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 1,182,022 | $ | (840,013 | ) | $ | 0 | $ | 0 | $ | 342,009 | |||||||||
State Street Bank & Trust Co. | 182 | 0 | 0 | 0 | 182 | |||||||||||||||
Total | $ | 1,182,204 | $ | (840,013 | ) | $ | 0 | $ | 0 | $ | 342,191 | ^ | ||||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNTOF DERIVATIVE LIABILITIES | |||||||||||||||
Bank of America, NA | $ | 348,530 | $ | 0 | $ | 0 | $ | 0 | $ | 348,530 | ||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 840,013 | (840,013 | ) | 0 | 0 | 0 | ||||||||||||||
Credit Suisse International | 855,145 | 0 | 0 | (829,653 | ) | 25,492 | ||||||||||||||
Goldman Sachs International | 2,675,391 | 0 | 0 | (2,632,950 | ) | 42,441 | ||||||||||||||
JPMorgan Securities, LLC | 304,421 | 0 | (304,421 | ) | 0 | 0 | ||||||||||||||
Morgan Stanley Capital Services LLC | 321,484 | 0 | 0 | (321,484 | ) | 0 | ||||||||||||||
Total | $ | 5,344,984 | $ | (840,013 | ) | $ | (304,421 | ) | $ | (3,784,087 | ) | $ | 416,463 | ^ |
* | 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. |
SHORT DURATION PLUS PORTFOLIO | ||||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNTOF DERIVATIVE ASSETS | |||||||||||||||
Bank of America, NA | $ | 41,164 | $ | 0 | $ | 0 | $ | 0 | $ | 41,164 | ||||||||||
State Street Bank & Trust Co. | 320 | 0 | 0 | 0 | 320 | |||||||||||||||
Total | $ | 41,484 | $ | 0 | $ | 0 | $ | 0 | $ | 41,484 | ^ | |||||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNT OF DERIVATIVE LIABILITIES | |||||||||||||||
Citigroup Global Markets, Inc. | $ | 22,699 | $ | 0 | $ | 0 | $ | 0 | $ | 22,699 | ||||||||||
Credit Suisse International | 220,386 | 0 | 0 | (220,386 | ) | 0 | ||||||||||||||
Deutsche Bank AG | 71,638 | 0 | (71,638 | ) | 0 | 0 | ||||||||||||||
Goldman Sachs International | 60,691 | 0 | 0 | 0 | 60,691 | |||||||||||||||
JPMorgan Securities, LLC | 28,817 | 0 | 0 | 0 | 28,817 | |||||||||||||||
Total | $ | 404,231 | $ | 0 | $ | (71,638 | ) | $ | (220,386 | ) | $ | 112,207 | ^ |
* | 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. |
72 | Sanford C. Bernstein Fund, Inc. |
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C. | Currency Transactions |
The Emerging Markets, Intermediate Duration and Short Duration Plus Portfolios may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolios 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 Portfolios 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 Portfolios 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 Portfolios 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).
D. | TBA and Dollar Rolls |
The Portfolios 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 agreed-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 Intermediate Duration Portfolio may enter into certain TBA transactions known as dollar rolls. Dollar rolls involve sales by the Portfolios of securities for delivery in the current month and the Portfolios simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are 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 Portfolios are obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the year ended September 30, 2022, Intermediate Duration Portfolio earned drop income of $3,305,460, which is included in interest income in the accompanying statement of operations.
NOTE 4. | Distributions to Shareholders |
The tax character of distributions paid during the fiscal years ended September 30, 2022 and September 30, 2021 were as follows:
PORTFOLIO | 2022 | 2021 | ||||||
Emerging Markets | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 31,590,201 | $ | 25,337,814 | ||||
Long-term capital gains | 96,118,112 | 0 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 127,708,313 | $ | 25,337,814 | ||||
|
|
|
| |||||
Short Duration Diversified Municipal | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 125,273 | $ | 23,327 | ||||
Long-term capital gains | 0 | 0 | ||||||
|
|
|
| |||||
Total taxable distributions | 125,273 | 23,327 | ||||||
Tax exempt distributions | 1,722,584 | 1,911,615 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 1,847,857 | $ | 1,934,942 | ||||
|
|
|
| |||||
2022 Annual Report | 73 |
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Notes to Financial Statements (continued)
PORTFOLIO | 2022 | 2021 | ||||||
California Municipal | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 577,641 | $ | 412,224 | ||||
Long-term capital gains | 0 | 0 | ||||||
|
|
|
| |||||
Total taxable distributions | 577,641 | 412,224 | ||||||
Tax exempt distributions | 20,878,576 | 22,592,812 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 21,456,217 | $ | 23,005,036 | ||||
|
|
|
| |||||
Diversified Municipal | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 3,126,374 | $ | 3,286,540 | ||||
Long-term capital gains | 0 | 0 | ||||||
|
|
|
| |||||
Total taxable distributions | 3,126,374 | 3,286,540 | ||||||
Tax exempt distributions | 117,272,032 | 118,404,005 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 120,398,406 | $ | 121,690,545 | ||||
|
|
|
| |||||
New York Municipal | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 938,188 | $ | 965,122 | ||||
Long-term capital gains | 0 | 0 | ||||||
|
|
|
| |||||
Total taxable distributions | 938,188 | 965,122 | ||||||
Tax exempt distributions | 30,193,428 | 32,163,171 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 31,131,616 | $ | 33,128,293 | ||||
|
|
|
| |||||
Intermediate Duration | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 59,305,742 | $ | 90,958,859 | ||||
Long-term capital gains | 37,219,499 | 45,450,546 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 96,525,241 | $ | 136,409,405 | ||||
|
|
|
| |||||
Short Duration Plus | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 1,831,719 | $ | 2,361,508 | ||||
Long-term capital gains | 0 | 0 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 1,831,719 | $ | 2,361,508 | ||||
|
|
|
| |||||
74 | Sanford C. Bernstein Fund, Inc. |
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As of September 30, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:
PORTFOLIO | UNDISTRIBUTED ORDINARY INCOME(a) | UNDISTRIBUTED LONG-TERM CAPITAL GAINS | ACCUMULATED CAPITAL AND OTHER LOSSES(b) | UNREALIZED APPRECIATION/ (DEPRECIATION)(c) | TOTAL ACCUMULATED EARNINGS/ (DEFICIT)(d) | |||||||||||||||
Emerging Markets | $16,525,771 | $ | 0 | $ | (29,474,161 | ) | $ | (191,627,577 | ) | $ | (204,575,967 | ) | ||||||||
Short Duration Diversified Municipal | 51,225 | 0 | (1,797,799 | ) | (9,567,655 | ) | (11,314,229 | ) | ||||||||||||
California Municipal | 0 | 0 | (8,421,400 | ) | (60,015,011 | ) | (68,436,411 | ) | ||||||||||||
Diversified Municipal | 0 | 0 | (30,424,611 | ) | (301,473,873 | ) | (331,898,484 | ) | ||||||||||||
New York Municipal | 0 | 0 | (22,914,638 | ) | (81,931,357 | ) | (104,845,995 | ) | ||||||||||||
Intermediate Duration | 0 | 0 | (148,662,338 | ) | (429,818,769 | ) | (578,481,107 | ) | ||||||||||||
Short Duration Plus | 141,322 | 0 | (17,190,991 | ) | (10,032,924 | ) | (27,082,593 | ) |
(a) | Includes tax exempt income as shown below: |
Short Duration Diversified Municipal | $ | 51,225 |
(b) | As of September 30, 2022 certain Portfolios had capital loss carryforwards for federal income tax purposes. As of September 30, 2022 Emerging Markets Portfolio, and Intermediate Duration Portfolio deferred $29,474,161, and $148,662,338, respectively, in post-October losses. These losses will be treated as arising on October 1, 2022. As of September 30, 2022 Short Duration Plus Portfolio deferred $1,192 in straddle losses. |
(c) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps and passive foreign investment companies (PFICs), the tax treatment of callable bonds, and the realization for tax purposes of gains/losses on certain derivative instruments. |
(d) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the tax treatment of the accrual of foreign capital gains tax, and dividends payable to shareholders. |
Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
For tax purposes, net 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.
2022 Annual Report | 75 |
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Notes to Financial Statements (continued)
As of September 30, 2022, the following Portfolios had net capital loss carryforwards as follows:
PORTFOLIO | SHORT-TERM AMOUNT | LONG-TERM AMOUNT | ||||||
Emerging Markets | $ | 0 | $ | 0 | ||||
Short Duration Diversified Municipal | 785,259 | 1,012,540 | ||||||
California Municipal | 8,421,400 | 0 | ||||||
Diversified Municipal | 30,424,611 | 0 | ||||||
New York Municipal | 22,914,638 | 0 | ||||||
Intermediate Duration Portfolio | 0 | 0 | ||||||
Short Duration Plus | 5,479,273 | 11,710,526 |
NOTE 5. | Risks Involved in Investing in the Portfolios |
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 Portfolios may be subject to greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential government fiscal and monetary policy initiatives and resulting market reaction to those initiatives.
Credit Risk—This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially 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. 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, making credit risk greater for medium-quality and lower-rated debt securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative credit risks. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell.
Duration Risk—The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest rate risk and will decrease in price as interest rates rise. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.
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 Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. There have been some municipal issuers that have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may get worse, particularly in light of the economic impact of the recent spread of an infectious coronavirus (COVID-19). To the extent the Portfolios invest in a particular state’s municipal securities, it 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, wildfires, flooding and earthquakes. The Portfolios’ 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, are subject to the risk that 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.
76 | Sanford C. Bernstein Fund, Inc. |
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In addition, changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.
The Portfolios may invest in municipal securities of issuers in 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. Puerto Rico continues to face a very challenging economic and fiscal environment, worsened by the spread of COVID-19 and the adverse effect that related governmental and public responses have had on Puerto Rico’s economy. 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 deteriorate further.
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 Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities. Rates of inflation have recently risen, which could adversely affect economies and markets.
Non-diversification Risk—Concentration of investments in a small number of securities tends to increase risk. The New York Municipal and California Municipal Portfolios are “non-diversified”, meaning they can invest more of their assets in a relatively small number of issuers with greater concentration of risk. Matters affecting these issuers can have a more significant effect on the Portfolios’ net asset value.
Inflation-Protected Securities Risk—The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, there can be no assurance that the relevant inflation index will accurately measure the rate of inflation, in which case the securities may not work as intended. These securities may be more difficult to trade or dispose of than other types of securities.
Foreign (Non-U.S.) Securities Risk—Investments in foreign securities entail significant risks in addition to those customarily associated with investing in U.S. securities, such as less liquid, less transparent, less regulated and more volatile markets. These risks include risks related to unfavorable or unsuccessful government actions, reduction of government or central bank support, inadequate accounting standards and auditing and financial recordkeeping requirements, lack of information, and adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.
Country Concentration Risk—The Portfolios may not always be diversified among countries or regions and the effect on the share price of the Portfolios of specific risks such as political, regulatory and currency may be magnified due to concentration of the Portfolios’ investments in a particular country or region.
Emerging-Markets Securities Risk—The risks of investing in foreign (non-U.S.) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. Emerging markets typically have fewer medical and economic resources than more developed countries, and thus they may be less able to control or mitigate the effects of a pandemic. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.
Derivatives Risk—The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some
2022 Annual Report | 77 |
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Notes to Financial Statements (continued)
derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolios. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying asset or index, and such differences may affect the amount, timing and character of income distributed to shareholders, including the proportion of income consisting of exempt-interest dividends. The U.S. government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives, and may impose additional regulations governing margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Mortgage-Related and Asset-Related Securities Risk—Mortgage- and asset-related securities represent interests in “pools” of mortgages, or other assets including consumer loans or receivables held in trust. Mortgage- and asset-related securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities. Asset-related securities entail certain risks not presented by mortgage-backed securities, including the risk that it may be difficult to perfect the liens securing any collateral backing certain asset-backed securities.
Prepayment and Extension Risk—Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.
Subordination Risk—The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.
Management Risk—The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives and other investment techniques may be unavailable, or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. 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. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could also have an adverse effect on the value or performance of the Portfolios.
Illiquid Investments Risk—Illiquid investments risk exists when particular investments are difficult or impossible to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an advantageous price. The municipal Portfolios are subject to greater risk because the market for municipal securities is generally smaller and may not be as liquid as many other fixed income markets, which may make municipal securities more difficult to trade or dispose of than other types of securities. Illiquid securities may also be difficult to value. If the Portfolios are forced to sell an illiquid asset to meet redemption requests or other cash needs, or to try to limit losses, the Portfolios may be forced to sell at a substantial loss or may not be able to sell at all.
Redemption Risk—The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value, or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
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Foreign Currency Risk—This is the risk that changes in foreign (non-U.S.) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the U.S. Dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the U.S. Dollar).
Actions by a Few Major Investors—In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local securities prices and, therefore, share prices of the Portfolios.
Market Risk—The Portfolios are subject to market risk, which is the risk that stock or bond prices in general or in particular countries or sectors may decline over short or extended periods. Stock or bond prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest-rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; public health crises (including the occurrence of a contagious disease or illness); policy and legislative changes; cybersecurity events; and other factors.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, sanctions, regional and global conflicts, terrorism, natural disasters (including the spread of infectious illness) and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
Tax Risk—There is no guarantee that the income on the Portfolios’ municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. From time to time, the U.S. Government and the U.S Congress consider changes in U.S. federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.
Capitalization Risk—Investments in small-capitalization companies may be more volatile than investments in large-capitalization companies. Investments in small-capitalization companies may have additional risks because these companies have limited product lines, markets or financial resources. The prices of securities of small-capitalization companies generally are more volatile than those of large-capitalization companies and are more likely to be adversely affected than large capitalization companies by changes in earnings results and investor expectations or poor economic or market conditions, including those experienced during a recession. Securities of small-capitalization companies may underperform large capitalization companies, may be harder to sell at times or at prices the portfolio managers believe appropriate and may have greater potential for losses.
Allocation Risk—The allocation of investments among investment disciplines may have a significant effect on the Portfolios’ performance when the investment disciplines in which the Portfolios have greater exposure perform worse than the investment disciplines with less exposure. Different investment styles tend to shift in and out of favor depending on market conditions and investor sentiment. The Portfolios may allocate a significant portion of its assets to securities of companies in broadly related industries within an economic sector. Companies in the same sector may be similarly affected by economic or market events, making the Portfolios more vulnerable to unfavorable developments in that sector than funds that invest more broadly.
Lower-rated Securities Risk—Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.
2022 Annual Report | 79 |
Table of Contents
Notes to Financial Statements (continued)
Riskier than a Money-Market Fund—Although the Short Duration Portfolios maintain a short overall duration, they invest in securities with longer maturities and in some cases lower quality than the assets of the type of mutual fund known as a money-market fund. The risk of a decline in the market value of the Portfolios is greater than for a money-market fund since the credit quality of the Portfolios’ securities may be lower and the effective duration of the Portfolios will be longer.
LIBOR Transition and Associated Risk—The Portfolios may be exposed to 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. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. Dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. Since 2018 the Federal Reserve Bank of New York has published the secured overnight funding rate (referred to as SOFR), which is intended to replace U.S. Dollar LIBOR. SOFR is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the repurchase agreement (repo) market and has been used increasingly on a voluntary basis in new instruments and transactions. In addition, on March 15, 2022, the Adjustable Interest Rate Act was signed into law. This law provides a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on SOFR for certain contracts that reference LIBOR without adequate fallback provisions.
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 the Portfolios’ 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 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 the Portfolios’ 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. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known.
Cybersecurity Risk—As the use of the internet and other technologies has become more prevalent in the course of business, the Portfolios have become more susceptible to operational and financial risks associated with cybersecurity. Cybersecurity incidents can result from deliberate attacks such as gaining unauthorized access to digital systems (e.g., through “hacking” or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption, or from unintentional events, such as the inadvertent release of confidential information. Cybersecurity failures or breaches of the Portfolios or their service providers or the issuers of securities in which the Portfolios invest have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability of Portfolio shareholders to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. While measures have been developed which are designed to reduce the risks associated with cybersecurity, there is no guarantee that those measures will be effective, particularly since the Portfolios do not control the cybersecurity defenses or plans of their service providers, financial intermediaries and companies in which they invest or with which they do business.
Cybersecurity incidents, both intentional and unintentional, may allow an unauthorized party to gain access to Portfolio assets, customer data (including private shareholder information), or proprietary information, or cause the Portfolios, the Adviser, and/or its service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality, or prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the
80 | Sanford C. Bernstein Fund, Inc. |
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Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.
NOTE 6. | Capital-Share Transactions |
The Fund has authorized 17.5 billion shares of common stock, par value $0.001 per share, of which 10.0 billion shares are allocated to the SCB Portfolios. The allocation is as follows:
ALLOCATIONOF SHARES (IN MILLIONS) | ||||||||||||||||||||||||||||||||||||
PORTFOLIO | BERNSTEIN CLASS SHARES | CLASS A SHARES | CLASS B SHARES | CLASS C SHARES | ADVISOR CLASS SHARES | CLASS R SHARES | CLASS Z SHARES | CLASS T SHARES | TOTAL | |||||||||||||||||||||||||||
Emerging Markets | 200 | 0 | 0 | 0 | 0 | 0 | 300 | 0 | 500 | |||||||||||||||||||||||||||
Short Duration Diversified Municipal | 100 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 100 | |||||||||||||||||||||||||||
California Municipal | 200 | 200 | 200 | 200 | 200 | 0 | 200 | 300 | 1,500 | |||||||||||||||||||||||||||
Diversified Municipal | 800 | 400 | 400 | 400 | 400 | 0 | 600 | 300 | 3,300 | |||||||||||||||||||||||||||
New York Municipal | 400 | 200 | 200 | 200 | 200 | 0 | 200 | 300 | 1,700 | |||||||||||||||||||||||||||
Intermediate Duration | 600 | 300 | 0 | 0 | 300 | 0 | 400 | 0 | 1,600 | |||||||||||||||||||||||||||
Short Duration Plus | 200 | 200 | 200 | 200 | 0 | 200 | 0 | 300 | 1,300 |
Share transactions for each Portfolio for the years ended September 30, 2022 and September 30, 2021, were as follows:
EMERGING MARKETS PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Emerging Markets Class Shares |
| |||||||||||||||||||
Shares sold | 3,685,661 | 2,461,861 | $ | 104,232,916 | $ | 82,805,399 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends and distributions | 3,307,543 | 546,878 | 100,979,276 | 17,297,744 | ||||||||||||||||
Shares redeemed | (3,607,740 | ) | (5,227,186 | ) | (100,444,166 | ) | (173,177,064 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 3,385,464 | (2,218,447 | ) | $ | 104,768,026 | $ | (73,073,921 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class Z Shares |
| |||||||||||||||||||
Shares sold | 0 | 4,681 | $ | 0 | $ | 163,631 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends and distributions | 649,984 | 132,229 |
| 19,850,514 |
| 4,182,401 | ||||||||||||||
Shares redeemed | (217,209 | ) | (258,591 | ) | (6,074,943 | ) | (8,670,765 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 432,775 | (121,681 | ) | $ | 13,775,571 | $ | (4,324,733 | ) | ||||||||||||
|
|
|
|
|
|
|
|
2022 Annual Report | 81 |
Table of Contents
Notes to Financial Statements (continued)
SHORT DURATION DIVERSIFIED MUNICIPAL PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Shares sold | 15,864,467 | 15,056,765 | $ | 198,031,690 | $ | 192,716,676 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 126,694 | 136,252 | 1,578,267 | 1,743,346 | ||||||||||||||||
Shares redeemed | (19,443,823 | ) | (9,571,835 | ) | (243,044,047 | ) | (122,468,926 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (3,452,662 | ) | 5,621,182 | $ | (43,434,090 | ) | $ | 71,991,096 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
CALIFORNIA MUNICIPAL PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Municipal Class Shares |
| |||||||||||||||||||
Shares sold | 12,311,797 | 19,982,069 | $ | 174,656,807 | $ | 293,044,170 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 1,009,552 | 1,090,793 | 14,102,842 | 15,982,582 | ||||||||||||||||
Shares redeemed | (26,842,110 | ) | (22,550,649 | ) | (375,193,360 | ) | (330,321,867 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (13,520,761 | ) | (1,477,787 | ) | $ | (186,433,711 | ) | $ | (21,295,115 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class A Shares |
| |||||||||||||||||||
Shares sold | 1,171,581 | 940,394 | $ | 16,109,805 | $ | 13,771,691 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 42,872 | 55,191 | 599,060 | 808,608 | ||||||||||||||||
Shares converted from Class C | 25,586 | 131,264 | 355,254 | 1,921,098 | ||||||||||||||||
Shares redeemed | (2,160,119 | ) | (1,574,539 | ) | (30,181,052 | ) | (23,093,266 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (920,080 | ) | (447,690 | ) | $ | (13,116,933 | ) | $ | (6,591,869 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class C Shares |
| |||||||||||||||||||
Shares sold | 48,267 | 141,129 | $ | 703,388 | $ | 2,063,877 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 1,270 | 1,942 | 17,673 | 28,429 | ||||||||||||||||
Shares converted to Class A | (25,591 | ) | (131,267 | ) | (355,254 | ) | (1,921,098 | ) | ||||||||||||
Shares redeemed | (79,832 | ) | (134,690 | ) | (1,134,319 | ) | (1,971,831 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (55,886 | ) | (122,886 | ) | $ | (768,512 | ) | $ | (1,800,623 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
82 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
CALIFORNIA MUNICIPAL PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Advisor Class Shares |
| |||||||||||||||||||
Shares sold | 8,408,826 | 2,797,559 | $ | 116,124,287 | $ | 40,999,128 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 72,507 | 56,837 | 1,009,693 | 833,006 | ||||||||||||||||
Shares redeemed | (6,432,742 | ) | (1,330,980 | ) | (89,513,747 | ) | (19,486,966 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase | 2,048,591 | 1,523,416 | $ | 27,620,233 | $ | 22,345,168 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
DIVERSIFIED MUNICIPAL PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Municipal Class Shares |
| |||||||||||||||||||
Shares sold | 50,300,036 | 73,607,966 | $ | 719,443,646 | $ | 1,093,125,452 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 5,053,908 | 5,111,537 | 71,413,394 | 75,879,414 | ||||||||||||||||
Shares redeemed | (98,087,052 | ) | (57,770,058 | ) | (1,380,384,877 | ) | (857,673,588 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (42,733,108 | ) | 20,949,445 | $ | (589,527,837 | ) | $ | 311,331,278 | ||||||||||||
|
|
|
|
|
| �� |
| |||||||||||||
Class A Shares |
| |||||||||||||||||||
Shares sold | 5,709,516 | 8,229,620 | $ | 80,501,672 | $ | 122,336,323 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 219,371 | 220,597 | 3,102,384 | 3,277,635 | ||||||||||||||||
Shares converted from Class C | 177,812 | 1,023,362 | 2,519,088 | 15,211,937 | ||||||||||||||||
Shares redeemed | (10,147,772 | ) | (4,311,216 | ) | (143,973,903 | ) | (64,037,021 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (4,041,073 | ) | 5,162,363 | $ | (57,850,759 | ) | $ | 76,788,874 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class C Shares |
| |||||||||||||||||||
Shares sold | 252,296 | 301,438 | $ | 3,523,929 | $ | 4,464,752 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 8,337 | 13,520 | 117,462 | 200,537 | ||||||||||||||||
Shares converted to Class A | (177,882 | ) | (1,023,988 | ) | (2,519,088 | ) | (15,211,937 | ) | ||||||||||||
Shares redeemed | (319,560 | ) | (405,947 | ) | (4,525,288 | ) | (6,032,366 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (236,809 | ) | (1,114,977 | ) | $ | (3,402,985 | ) | $ | (16,579,014 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
2022 Annual Report | 83 |
Table of Contents
Notes to Financial Statements (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Advisor Class Shares |
| |||||||||||||||||||
Shares sold | 24,470,151 | 13,792,657 | $ | 343,696,163 | $ | 204,707,508 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 444,293 | 356,998 | 6,259,866 | 5,297,134 | ||||||||||||||||
Shares redeemed | (20,054,547 | ) | (9,015,014 | ) | (280,936,037 | ) | (133,843,446 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase | 4,859,897 | 5,134,641 | $ | 69,019,992 | $ | 76,161,196 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class Z Shares |
| |||||||||||||||||||
Shares sold | 13,103,740 | 8,059,482 | $ | 184,345,229 | $ | 119,988,336 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 613,484 | 583,322 | 8,662,120 | 8,663,484 | ||||||||||||||||
Shares redeemed | (12,632,970 | ) | (9,253,954 | ) | (177,063,628 | ) | (137,584,099 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,084,254 | (611,150 | ) | $ | 15,943,721 | $ | (8,932,279 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
NEW YORK MUNICIPAL PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Municipal Class Shares |
| |||||||||||||||||||
Shares sold | 12,059,783 | 18,171,016 | $ | 165,908,471 | $ | 259,243,369 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 1,603,025 | 1,644,557 | 21,850,536 | 23,484,985 | ||||||||||||||||
Shares redeemed | (27,280,993 | ) | (20,055,429 | ) | (368,640,545 | ) | (286,380,791 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (13,618,185 | ) | (239,856 | ) | $ | (180,881,538 | ) | $ | (3,652,437 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class A Shares |
| |||||||||||||||||||
Shares sold | 471,554 | 1,142,049 | $ | 6,366,675 | $ | 16,280,053 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 85,207 | 85,477 | 1,160,365 | 1,219,720 | ||||||||||||||||
Shares converted from Class C | 113,133 | 675,324 | 1,531,169 | 9,671,456 | ||||||||||||||||
Shares redeemed | (1,374,303 | ) | (2,123,188 | ) | (18,878,182 | ) | (30,214,231 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (704,409 | ) | (220,338 | ) | $ | (9,819,973 | ) | $ | (3,043,002 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
84 | Sanford C. Bernstein Fund, Inc. |
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NEW YORK MUNICIPAL PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Class C Shares |
| |||||||||||||||||||
Shares sold | 36,928 | 38,046 | $ | 511,114 | $ | 544,495 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 3,839 | 7,441 | 52,286 | 105,971 | ||||||||||||||||
Shares converted to Class A | (113,130 | ) | (675,309 | ) | (1,531,169 | ) | (9,671,456 | ) | ||||||||||||
Shares redeemed | (129,865 | ) | (151,700 | ) | (1,788,068 | ) | (2,152,932 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (202,228 | ) | (781,522 | ) | $ | (2,755,837 | ) | $ | (11,173,922 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Advisor Class Shares |
| |||||||||||||||||||
Shares sold | 2,313,427 | 1,349,204 | $ | 31,324,777 | $ | 19,276,461 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 60,903 | 55,610 | 830,273 | 793,581 | ||||||||||||||||
Shares redeemed | (2,328,084 | ) | (1,275,182 | ) | (31,563,707 | ) | (18,069,998 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase | 46,246 | 129,632 | $ | 591,343 | $ | 2,000,044 | ||||||||||||||
|
|
|
|
|
|
|
|
INTERMEDIATE DURATION PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED | YEAR ENDED | |||||||||||||||||
Intermediate Duration Class Shares |
| |||||||||||||||||||
Shares sold | 31,316,820 | 56,202,237 | $ | 395,481,316 | $ | 766,539,667 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends and distributions | 6,326,514 | 8,742,347 | 80,755,796 | 120,132,573 | ||||||||||||||||
Shares redeemed | (45,054,689 | ) | (43,516,801 | ) | (560,890,334 | ) | (592,800,321 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (7,411,355 | ) | 21,427,783 | $ | (84,653,222 | ) | $ | 293,871,919 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class A Shares |
| |||||||||||||||||||
Shares sold | 2,869 | 91,115 | $ | 36,572 | $ | 1,253,106 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends and distributions | 1,293 | 2,397 | 16,533 | 32,805 | ||||||||||||||||
Shares redeemed | (81,780 | ) | (13,955 | ) | (1,086,408 | ) | (188,928 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (77,618 | ) | 79,557 | $ | (1,033,303 | ) | $ | 1,096,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Advisor Class Shares |
| |||||||||||||||||||
Shares sold | 0 | 99 | $ | 0 | $ | 1,324 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends and distributions | 2 | 1 | 33 | 12 | ||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Net increase | 2 | 100 | $ | 33 | $ | 1,336 | ||||||||||||||
|
|
|
|
|
|
|
|
There were no transactions in capital shares of Class Z shares for the year ended September 30, 2022 and the year ended September 30, 2021.
2022 Annual Report | 85 |
Table of Contents
Notes to Financial Statements (continued)
SHORT DURATION PLUS PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED | YEAR ENDED 9/30/21 | |||||||||||||||||
Short Duration Plus Class Shares |
| |||||||||||||||||||
Shares sold | 16,273,311 | 7,565,938 | $ | 183,646,854 | $ | 88,810,032 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 117,287 | 173,295 | 1,321,157 | 2,032,240 | ||||||||||||||||
Shares redeemed | (7,977,343 | ) | (5,820,632 | ) | (91,363,133 | ) | (68,260,080 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase | 8,413,255 | 1,918,601 | $ | 93,604,878 | $ | 22,582,192 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class A Shares |
| |||||||||||||||||||
Shares sold | 659,486 | 369,544 | $ | 7,508,658 | $ | 4,346,934 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 2,223 | 5,309 | 24,860 | 62,373 | ||||||||||||||||
Shares converted from Class C | 7,817 | 42,791 | 88,635 | 501,872 | ||||||||||||||||
Shares redeemed | (733,314 | ) | (582,041 | ) | (8,329,493 | ) | (6,835,781 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (63,788 | ) | (164,397 | ) | $ | (707,340 | ) | $ | (1,924,602 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class C Shares |
| |||||||||||||||||||
Shares sold | 65,930 | 47,374 | $ | 734,582 | $ | 556,021 | ||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 111 | 455 | 1,244 | 5,340 | ||||||||||||||||
Shares converted to Class A | (7,835 | ) | (42,872 | ) | (88,635 | ) | (501,872 | ) | ||||||||||||
Shares redeemed | (29,129 | ) | (169,283 | ) | (328,116 | ) | (1,982,510 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 29,077 | (164,326 | ) | $ | 319,075 | $ | (1,923,021 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
At September 30, 2022, certain AllianceBernstein mutual funds owned 15% of Emerging Markets Portfolio in aggregate of the Portfolio’s shares outstanding. At September 30, 2022, a shareholder of the Short Duration Plus Portfolio owned 22% of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolios’ performance.
NOTE 7. | Recent Accounting Pronouncements |
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE 8. | Subsequent Events |
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 material events that would require disclosure in the Portfolios’ financial statements through this date.
86 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
2022 Federal Tax Information (Unaudited)
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by each applicable Portfolio during the taxable year ended September 30, 2022. For foreign shareholders, the following percentages of dividends paid by each Portfolio may be considered to be qualifying to be taxed as interest-related dividends:
PORTFOLIO | % OF QUALIFIED INTEREST INCOME (FOREIGN SHAREHOLDERS) | |||||||
Short Duration Plus | 88.56 | % | ||||||
Intermediate Duration | 99.00 | % |
For the taxable year ended September 30, 2022, each Portfolio designates the following amounts as the maximum amount that may be considered qualified dividend income for individual shareholders:
PORTFOLIO | QUALIFIED DIVIDEND INCOME | |||||||
Emerging Markets | $ | 27,074,558 |
Certain Portfolios intend to make an election to pass through foreign taxes paid by the Portfolios to their shareholders. For the taxable year ended September 30, 2022, the maximum amounts of foreign taxes that may be passed through and the foreign source income for information reporting purposes is as follows:
PORTFOLIO | FOREIGN TAXES TO PASS THROUGH | FOREIGN SOURCE INCOME | ||||||
Emerging Markets | $ | 4,622,525 | $ | 21,677,613 |
For the taxable year ended September 30, 2022, the long-term capital gain designation is as follows:
PORTFOLIO | LONG-TERM | |||||||
Emerging Markets | $ | 96,118,112 | ||||||
Intermediate Duration | 37,219,499 |
Shareholders should not use the above information to prepare their income tax returns. The information necessary to complete your income tax returns will be included with your Form 1099-DIV which will be sent to you separately in January 2023.
2022 Annual Report | 87 |
Table of Contents
Sanford C. Bernstein Fund, Inc.
BOARDOF DIRECTORS
Debra Perry*^
Chair
Beata D. Kirr
President
R. Jay Gerken*^
Director
Jeffrey R. Holland*
Director
William Kristol*
Director
Michelle McCloskey*
Director
Donald K. Peterson*
Director
OFFICERS
Henry S. Mallari-D’Auria(1)
Vice President
Sergey Davalchenko(1)
Vice President
Nelson Yu(1)
Vice President
Daryl Clements(1)
Vice President
Terrance T. Hults(1)
Vice President
Matthew J. Norton(1)
Vice President
Andrew Potter(1)
Vice President
Michael Canter(1)
Vice President
Janaki Rao(1)
Vice President
Emilie D. Wrapp
Secretary
Michael B. Reyes
Senior Vice President
Joseph J. Mantineo
Treasurer and Chief Financial Officer
Phyllis J. Clarke
Controller
Vincent S. Noto
Chief Compliance Officer
INDEPENDENT REGISTEREDPUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
300 Madison Avenue New York, NY 10017
LEGAL COUNSEL
Willkie Farr & Gallagher LLP
787 Seventh Avenue New York, NY 10019
CUSTODIANAND ACCOUNTING AGENT
State Street Bank and Trust Company
State Street Corporation CCB/5 1 Iron Street Boston, MA 02210
DISTRIBUTORS+
Sanford C. Bernstein & Co., LLC
1345 Avenue of the Americas
New York, NY 10105
AllianceBernstein Investments, Inc.
501 Commerce Street
Nashville, TN 37203
TRANSFER AGENTS
AllianceBernstein Investor Services, Inc.
P.O. Box 786003
San Antonio, TX 78278
DST Asset Manager Solutions
2000 Crown Colony Drive Quincy, MA 02169
INVESTMENT ADVISER
AllianceBernstein L.P.
501 Commerce Street
Nashville, TN 37203
* Member of the Audit Committee, the Governance, Nominating and Compensation Committee, and the Independent Directors Committee.
^ Member of the Pricing Committee.
(1) The day-to-day management of, and investment decisions for, the Emerging Markets Portfolio are made by the Emerging Markets Team; Messrs. Mallari-D’Auria, Davalchenko and Yu are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s Portfolio. The day-to-day management of, and investment decisions for, the Short Duration Plus Portfolio are made by the U.S. Investment Grade: Liquid Markets Structured Products Investment Team; Messrs. Canter and Rao are the professionals with the most significant responsibility for the day-to-day management of the Fund’s Portfolio. The day-to-day management of, and investment decisions for, the Intermediate Duration Portfolio are made by the U.S. Investment Grade: Core Fixed Income Team; Messrs. Canter and Rao are the investment professionals with the most significant responsibility for the day-to-day management of the Fund’s Portfolio. The day-to-day management of, and investment decisions for, the Fixed Income Municipal Portfolios are made by the Municipal Bond Investment Team; Messrs. Clements, Hults, Norton and Potter are the investment professionals with the most significant responsibility for the day-to-day management of the Funds’ Portfolios.
+ Sanford C. Bernstein & Co., LLC acts as distributor to sell SCB Class shares of the Portfolios. AllianceBernstein Investments, Inc. acts as the principal underwriter and distributor of the Portfolios’ Class A, Class C, Class Z and Advisor Class shares. Advisor Class shares and Class Z shares are not subject to the Rule 12b-1 asset based sales charges.
88 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
DIRECTORS’ INFORMATION |
| |||||||
Name, Address+, Age, (Year of Election*) | Principal Occupation(s) During Past Five (5) Years and Other Information | Portfolios in Fund Complex Overseen By Director | Other Directorships Currently Held by Director | |||||
INTERESTED DIRECTOR | ||||||||
Beata D. Kirr,** c/o AllianceBernstein L.P. 1345 Avenue of the Americas New York, NY 10105 48 (2019) | Senior Vice President of the Investment Adviser with which she has been associated since prior to 2017. She is the Co-Head of Investment Strategies since April 2020 and a National Managing Director since 2017. She was previously the Head of Private Client Core Asset Strategies. She joined the firm in 2007 as a Senior Portfolio Manager. Prior to joining AB, she was a director at Harris Alternatives, a global fund of hedge funds, and was with Goldman Sachs, where she advised clients in the Equities, M&A and Equity Capital Markets divisions, from their New York, London and Chicago offices. | 17 | Women Employed | |||||
DISINTERESTED DIRECTORS | ||||||||
Debra Perry,#^ Chair of the Board 71 (2011) | Formerly, Senior Managing Director of Global Ratings and Research, Moody’s Investors Service, Inc. from 2001 to 2004; Chief Administrative Officer, Moody’s, from 1999 to 2001; Chief Credit Officer, Moody’s, from 2000 to 2001; Group Managing Director for the Finance, Securities and Insurance Ratings Groups, Moody’s Corp., from 1996 to 1999; earlier she held executive positions with First Boston Corporation and Chemical Bank. | 17 | Assurant, Inc., since 2017; Korn/Ferry International since 2008; Genworth Financial, Inc., from 2016-2022; PartnerRe, from 2013- 2016; Bank of America Funds Series Trust, from 2011-2016 | |||||
R. Jay Gerken,#^ 71 (2013) | Formerly, President and Chief Executive Officer of Legg Mason Partners Fund Advisor, LLC, and President & Board Member of The Legg Mason and Western Asset mutual funds from 2005 until June 2013. Previously, he was the President and Chair of the boards of the Citigroup Asset Management mutual funds from 2002 to 2005; Portfolio Manager and Managing Director, Smith Barney Asset Management from 1993 to 2001 and President & CEO, Directions Management of Shearson Lehman, Inc. from 1988 to 1993. | 17 | Cedar Lawn Corporation; New Jersey Chapter of The Nature Conservancy; and Associated Banc-Corp | |||||
Jeffrey R. Holland,# 56 (2019) | Formerly, Limited Partner of Brown Brothers Harriman from 2014 to 2018. Prior thereto, General Partner of Brown Brothers Harriman from 2006 to 2013. | 17 | Director of various non-profit organizations |
2022 Annual Report | 89 |
Table of Contents
Sanford C. Bernstein Fund, Inc. (continued)
DIRECTORS’ INFORMATION (continued) |
| |||||||
Name, Address+, Age, (Year of Election*) | Principal Occupation(s) During Past Five (5) Years and Other Information | Portfolios in Fund Complex Overseen By Director | Other Directorships Currently Held by Director | |||||
William Kristol,# 69 (1994) | Founder and Editor, The Weekly Standard from 1995 to 2018. He is a regular contributor on leading political commentary shows. He has served as the inaugural Vann Professor of Ethics and Society at Davidson College since 2019. | 17 | Manhattan Institute; John M. Ashbrook Center for Public Affairs at Ashland University; The Salvatori Center at Claremont McKenna College; The Institute for the Study of War; Foundation for Constitutional Government; and Defending Democracy Together, a non-profit educational corporation | |||||
Michelle McCloskey,# 60 (2019) | Formerly, President of Americas, Man Group from 2017 to August 2019 and President of Man FRM from 2015 to August 2019. Prior thereto, she was a Senior Managing Director of Man FRM from 2012 to 2015. While at the Man Group, she served on the Executive Committee of Man Group plc from 2012 to 2019, as Chief Executive Officer, Board of Managers of Man Alternative Multi Strategy Fund from 2016 to 2019 and as President and Chair of the Board of the Pine Grove Institutional Funds from 2016 to 2019. She currently serves on the Investment Advisory Committee of Texas Tech University Endowment. | 17 | Assured Guaranty Ltd. since May 2021 | |||||
Donald K. Peterson,# 73 (2007) | Formerly, Chairman and Chief Executive Officer, Avaya Inc. (telecommunications equipment and services) from 2002 to 2006; President and Chief Executive Officer, Avaya Inc. from 2000 to 2001; President, Enterprise Systems Group in 2000; Chief Financial Officer, Lucent Technologies (telecommunications equipment and services) from 1996 to 2000; Chief Financial Officer, AT&T, Communications Services Group from 1995 to 1996; President, Nortel Communications Systems, Inc. (telecommunications and networking equipment) from 1994 to 1995; Prior thereto he was at Nortel from 1976 to 1995. | 17 | Worcester Polytechnic Institute, (Emeritus); Member of the Board of TIAA-Bank, FSB |
+ The address for each of the Fund’s Disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal and Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105.
* There is no stated term of office for the Directors.
* * Ms. Kirr is an “interested person” as defined in the Investment Company Act of 1940, because of her affiliation with AB.
# Member of the Audit Committee, the Governance, Nominating and Compensation Committee, and the Independent Directors Committee.
^ Member of the Pricing Committee.
90 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
OFFICERS’ INFORMATION | ||||
Name, Address* and Age | Position(s) Held with Fund | Principal Occupation During Past Five (5) Years | ||
Beata D. Kirr, 48 | President | See biography above. | ||
Henry S. Mallari-D’Auria, 61 | Vice President | Senior Vice President of the Adviser†, with which he has been associated since prior to 2017. He is also Chief Investment Officer of Emerging Markets Value Equities. | ||
Sergey Davalchenko, 47 | Vice President | Senior Vice President of the Adviser†, with which he has been associated since prior to 2017. He is also Chief Investment Officer of Emerging Markets Growth as of February 2022. | ||
Nelson Yu, 51 | Vice President | Senior Vice President of the Adviser†, with which he has been associated since prior to 2017. Chief Investment Officer - Investment Sciences and Insights since 2021. | ||
Daryl Clements, 55 | Vice President | Senior Vice President of the Adviser†, with which he has been associated since prior to 2017. | ||
Terrance T. Hults, 56 | Vice President | Senior Vice President of the Adviser†, with which he has been associated since prior to 2017. | ||
Matthew Norton, 39 | Vice President | Senior Vice President of the Adviser†, with which he has been associated since prior to 2017. He is also Chief Investment Officer - Municipal Bonds. | ||
Andrew D. Potter, 37 | Vice President | Vice President of the Adviser†, with which he has been associated since prior to 2017. | ||
Michael Canter, 53 | Vice President | Senior Vice President of the Adviser†, with which he has been associated since prior to 2017. He is also Director and Chief Investment Officer - Securitized Assets. | ||
Janaki Rao, 52 | Vice President | Senior Vice President of the Adviser†, with which he has been associated since prior to 2017. He is also Director of US Multi-Sector Fixed-Income Portfolios. | ||
Emilie D. Wrapp, 66 | Secretary | Senior Vice President, Assistant General Counsel and Assistant Secretary of AllianceBernstein Investments, Inc. (“ABI”)†, with which she has been associated since prior to 2017. |
2022 Annual Report | 91 |
Table of Contents
Sanford C. Bernstein Fund, Inc. (continued)
OFFICERS’ INFORMATION (continued) | ||||
Name, Address* and Age | Position(s) Held with Fund | Principal Occupation During Past Five (5) Years | ||
Michael B. Reyes, 46 | Senior Vice President | Vice President of the Adviser†, with which he has been associated since prior to 2017. | ||
Joseph J. Mantineo, 63 | Treasurer and Chief Financial Officer | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)†, with which he has been associated since prior to 2017. | ||
Phyllis J. Clarke, 61 | Controller | Vice President of ABIS†, with which she has been associated since prior to 2017. | ||
Vincent S. Noto, 57 | Chief Compliance Officer | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser†, since prior to 2017. |
* The address for each of the Fund’s Officers is 1345 Avenue of the Americas New York, NY 10105.
† The Adviser, ABI and ABIS are affiliates of the Fund.
The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or AB at (800) 227-4618, or visit www.bernstein.com, for a free prospectus or SAI.
92 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Operation and Effectiveness of the Portfolios’ 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 Portfolios to designate an Administrator of the Portfolios’ Liquidity Risk Management Program. The Administrator of the Portfolios’ LRMP is AllianceBernstein L.P., the Portfolios’ 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 Portfolios’ Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolios’ LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolios’ compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolios will be unable to meet their redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolios classify the liquidity of their 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 Portfolios’ strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolios participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolios are required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolios’ reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’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 Portfolios’ 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, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID-19 impacts. As such, the program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Portfolios or their ability to timely meet redemptions during the Program Reporting Period.
2022 Annual Report | 93 |
Table of Contents
Board Consideration of Investment Management Arrangement
Sanford C. Bernstein Fund, Inc. (the “Fund”) is subject to Section 15 of the Investment Company Act of 1940, as amended. Section 15 provides that any investment advisory agreement with a registered investment company such as the Fund may continue in effect for a period of more than two years from the date of its execution, only so long as such continuance is specifically approved at least annually by the board of directors (or by vote of a majority of the outstanding voting securities of the investment company). Pursuant to this requirement, the Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Fund, on behalf of the Emerging Markets, Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus, Intermediate Duration, Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios (each, a “Portfolio” and collectively, the “Portfolios”) of the Fund, and AllianceBernstein L.P. (the “Adviser”)( the “Investment Management Agreement”) at a meeting held on October 26-27, 2022.
The following discussion describes the considerations in connection with the Board’s review of the Investment Management Agreement.
In connection with the annual review of the continuation of the Investment Management Agreement between the Fund and the Adviser, counsel to the Independent Directors sent a letter to the Adviser dated August 10, 2022, that contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met by video conference and received and evaluated extensive materials relating to the continuation of the Investment Management Agreement from the Adviser. In addition, the Board received materials from the Senior Vice president of the Fund and an independent fee consultant as described below. On September 29, 2022, the Board of Directors held a video conference meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. At that meeting, the Independent Directors met separately with their independent counsel and the Senior Vice President and the independent fee consultant in executive sessions. Following the September 29, 2022 meeting, the Independent Directors, through counsel, requested certain additional information by means of an email from their independent counsel dated October 6, 2022, and the Adviser provided certain additional information by means of a memorandum dated October 19, 2022. On October 26-27, 2022, the Board of Directors held a meeting to continue their review of the Investment Management Agreement. During this meeting, the Adviser provided further information requested by the Independent Directors relating to contract renewal, and the Independent Directors also met separately with counsel to the Independent Directors as well as the Senior Vice President to review the contract renewal materials provided by the Adviser and the materials prepared by the Senior Vice President. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.
In approving the Investment Management Agreement, the Board, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Investment Management Agreement and considered whether the Agreement would be in the best interests of the Fund. In particular, the Board considered the information that was provided to them by the Adviser in response to their requests, as well as information prepared by the Senior Vice President and the independent fee consultant at the request of the Board. The Fund’s Senior Vice President assists the Board (as well as the boards of other funds sponsored by the Adviser) in evaluating investment management agreements and certain other plans and agreements pursuant to which the Adviser or its affiliates provide services to the Funds. The Board also considered other information provided to the Board in connection with the September 29, 2022 and October 26-27, 2022 meetings and throughout the past year.
The information considered by the Board included information with respect to the nature, extent and quality of services provided, investment performance, fees and expenses, profitability, economies of scale, and fall-out benefits and other revenue.
In the Board’s consideration of the factors discussed below, no single factor was considered in isolation or to be determinative to the decision of the Board to approve the Investment Management Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered and in the exercise of the Directors’ business judgment, that it was in the best interests of the Fund to approve the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.
94 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Fees and Expenses
The Board, including the Independent Directors, compared the fees and expense ratios of each Portfolio (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”). Both the peer group and the funds within the peer group, with respect to the fee and expense data, were available from Strategic Insight, an independent provider of investment company data. The Senior Vice President also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups. In addition, the Board received and considered information from an independent fee consultant regarding the fees and expenses of the Portfolios as well as their investment performance.
The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about any recent advisory fee changes with respect to other investment companies advised by the Adviser. The Board noted the differences between the services provided to the Portfolios in comparison to those provided to other types of clients, including institutional clients and other investment companies for which the Adviser acted as investment adviser or subadviser, and the differences in the entrepreneurial and other risks borne by the Adviser in serving the Portfolios compared to other types of clients.
The Board noted that the Adviser had elected to discontinue its voluntary waiver of the 0.10% shareholder servicing fee for the private client class of the Short Duration Plus Portfolio and the Short Duration Diversified Municipal Portfolio, during the next term of the shareholder servicing agreement. In that regard, the Board considered that the increasing interest rate environment had increased yields available in the marketplace on short-term investments, and that the Adviser indicated that the waivers were no longer necessary to maintain positive performance. The Board further considered that the total expense ratios of the Portfolios remained below the median of the peer group after removal of the waiver, and the Board reviewed materials estimating the impact of the removal of the waiver on the performance of the Portfolios.
The Board also noted that the Adviser had recently modified the advisory fee schedule of the Overlay A and Tax-Aware Overlay Portfolios by reducing the level where each Portfolio reaches its first breakpoint, and adding a new breakpoint on assets over $5 billion. With respect to the advisory fees charged to the Overlay Portfolios, the Directors noted that the Portfolios are intended to have an impact on a private client’s entire account, rather than just an impact at the Portfolio level.
On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, and in light of the Adviser’s implementation of certain fee waivers and/or expense caps for certain Portfolios, the Board concluded that the contractual advisory fees as proposed were reasonable.
Nature, Extent and Quality of Services Provided
The Board, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as Directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational and other changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios.
In considering the nature and quality of the services provided by the Adviser, the Board, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. The Board was provided with performance data versus each Portfolio’s peer group, for the 1-year, 3-year, 5-year and 10-year periods, as applicable,
2022 Annual Report | 95 |
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ended July 31, 2022 and versus each Portfolio’s benchmark index, for the relevant periods, as well as the most recently available Morningstar rating for those Portfolios with an available rating. The Board also received certain updated performance information as of September 30, 2022. In addition, the Directors considered information showing performance compared to peer groups and benchmarks for rolling calendar year periods and the year to date. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year. The Board recognized that the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios. The Directors also considered how peer groups have changed over time and how comparisons may differ depending upon the selection of the peer groups or benchmark indices.
The Directors noted the complexity of the Overlay Portfolios, in particular the complexity of managing the globally diversified set of asset classes and derivatives in which the Overlay Portfolios can invest as well as the complexity of dynamically allocating assets through the Overlay Portfolios among various asset classes as economic and market conditions change in seeking to provide the desired risk/return trade-off for their investors in light of their overall portfolios (and not just their investment in the Overlay Portfolios themselves). In considering the performance of the Overlay Portfolios, the Board reviewed the performance of the Overlay Portfolios’ dynamic asset allocation component and the impact of that component in the recent volatile market environment. The Board considered the Adviser’s continued research efforts to enhance the dynamic asset allocation component utilized by the Overlay Portfolios. The Board further acknowledged the difficulty in selecting relevant peer groups for the Overlay Portfolios because of their unique structure and noted that the Overlay A Portfolio and Tax-Aware Overlay A Portfolio held higher percentages of equities and international equities than the funds in their relevant peer groups.
In evaluating the performance of the Portfolios that invest primarily in fixed-income securities, the Directors considered whether those Portfolios may have incurred less credit risk or interest rate risk, or both, in relation to their peer groups and benchmark indices. The Directors also noted the Adviser’s explanation that certain Portfolios are designed to maintain higher credit quality and a more conservative approach versus the funds in their relevant peer groups, and that as a result of a lower risk profile, those Portfolios have underperformed the peer group during periods when riskier assets have outperformed.
Where the Portfolios had underperformed their peer groups or benchmark indices, the Directors considered the Adviser’s explanations for performance and, as applicable, measures the Adviser had taken or proposed to take to improve performance, including enhancements to portfolio management models. The Directors noted generally the Adviser’s continued efforts to enhance the services provided to the Portfolios. The Directors also noted that they would continue to monitor investment performance closely.
The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.
Profitability
The Board, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the respective Portfolios. The materials provided to the Independent Directors included information indicating the profitability of the Portfolios to the Adviser for calendar years 2020 and 2021, which had been reviewed by an independent consultant. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data, noting that the methodology was consistent with the Adviser’s internal financial reporting. The Directors acknowledged that there are many potentially acceptable allocation methodologies for cost allocation, and that in certain cases the selected allocation methodology may not capture all costs borne by the Adviser with respect to a Portfolio. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency and distribution services to the Fund, and that they had focused on profitability before taxes and distribution expenses. The Board further considered materials provided by the Adviser estimating the profitability of the Short Duration Plus Portfolio and the Short Duration Diversified Municipal Portfolio to the Adviser after the termination of the voluntary waiver in effect for the Portfolios. The Directors reviewed comparative information regarding profitability for other publicly-traded advisers, recognizing that it is difficult to make comparisons of profitability among different investment advisers because only limited comparative information is publicly available and the comparisons are affected by numerous factors including different business mixes.
96 | Sanford C. Bernstein Fund, Inc. |
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After reviewing all relevant factors, the Directors, including the Independent Directors, concluded that the levels of the Adviser’s profits in respect of its management of the Portfolios were not excessive.
Economies of Scale
The Board, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Directors discussed possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.
The Directors also considered the Senior Vice President materials which they received in connection with the review of the Investment Management Agreement, which included information reflecting changes in asset levels of the Portfolios and in the profitability of the Adviser over various periods.
After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things and as applicable, establishing advisory fees at levels that contemplated future achievement of scale, 2018 fee reductions for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, and Emerging Markets Portfolios, breakpoint arrangements including the lowering of the first breakpoint and the addition of a new breakpoint in the advisory fee schedule for the Overlay A and Tax-Aware Overlay A Portfolios as well as other recently adopted or modified breakpoints for certain Portfolios, expense caps and waivers applying to select Portfolios, and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements. The Directors also noted that they would continue to monitor the growth of the Portfolios.
Fall-Out Benefits and Other Revenue
The Board, including the Independent Directors, also took into account so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to the retail share classes of certain Portfolios, and transfer agency fees paid by the retail share classes of certain Portfolios to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.
Advisory Fee Rate Schedule
On the basis of the information considered, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, without change to the Portfolios’ contractual fee schedules, as set forth below.
PORTFOLIO | ANNUAL PERCENTAGE OF AVERAGE DAILY NET ASSETS OF EACH PORTFOLIO | |
Short Duration Diversified Municipal | 0.30% of the first $750 million; 0.25% of assets in excess of $750 million. | |
Short Duration Plus | 0.35% of the first $750 million; 0.30% of assets in excess of $750 million. | |
New York Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% of assets in excess of $5 billion. | |
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PORTFOLIO | ANNUAL PERCENTAGE OF AVERAGE DAILY NET ASSETS OF EACH PORTFOLIO | |
California Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% of assets in excess of $5 billion. | |
Diversified Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion up to, but not exceeding $7 billion; 0.225% of assets in excess of $7 billion. | |
Intermediate Duration | 0.45% on the first $2.5 billion; 0.40% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.35% in excess of $5 billion up to, but not exceeding $8 billion; 0.30% of assets in excess of $8 billion. | |
Emerging Markets | 0.95% of the first $2.5 billion; 0.90% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Overlay A | 0.90% of the first $2.5 billion; 0.875% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Tax-Aware Overlay A | 0.90% of the first $2.5 billion; 0.875% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Overlay B | 0.65% of assets. | |
Tax-Aware Overlay B | 0.65% of assets. | |
Tax-Aware Overlay C | 0.65% of assets. | |
Tax-Aware Overlay N | 0.65% of assets. |
98 | Sanford C. Bernstein Fund, Inc. |
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Distributor
SANFORD C. BERNSTEIN FUND, INC.
1345 AVENUEOFTHE AMERICAS, NEW YORK, NY 10105
(212) 756-4097
SCBI-1947-0922
Table of Contents
Sanford C. Bernstein Fund, Inc.
September 30, 2022
Schedule of Investments
To the Annual Report
For the Emerging Markets Portfolio
Table of Contents
Sanford C. Bernstein Fund, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Sanford C. Bernstein Fund, Inc. and Shareholders of Emerging Markets Portfolio
Opinion on the Financial Statements
We have audited the accompanying schedule of investments to the annual report for the Emerging Markets Portfolio (one of the thirteen portfolios constituting Sanford C. Bernstein Fund, Inc., hereafter referred to as the “Portfolio”), and the related statement of assets and liabilities as of September 30, 2022, the statement of operations for the year ended September 30, 2022, the statement of changes in net assets for each of the two years in the period ended September 30, 2022, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2022 (collectively referred to as the “financial statements”), which appear in the Sanford C. Bernstein Fund, Inc. September 30, 2022 annual report for the Emerging Markets Portfolio. In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of September 30, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended September 30, 2022 and the financial highlights for each of the five years in the period ended September 30, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
November 23, 2022
We have served as the auditor of one or more of the investment companies in the AB Group of Mutual Funds since at least 1985. We have not been able to determine the specific year we began serving as auditor.
Table of Contents
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Emerging Markets Portfolio
September 30, 2022
Company | Shares | U.S. $ Value | ||||||
COMMON STOCKS–94.9% |
| |||||||
Financials–23.8% |
| |||||||
Banks–16.0% |
| |||||||
Agricultural Bank of China Ltd.–Class H | 6,570,000 | $ | 1,966,370 | |||||
Al Rajhi Bank(a) | 397,184 | 8,502,991 | ||||||
AU Small Finance Bank Ltd.(b) | 310,526 | 2,337,636 | ||||||
Bandhan Bank Ltd.(a)(b) | 579,117 | 1,879,769 | ||||||
Bank BTPN Syariah Tbk PT | 12,211,200 | 2,189,235 | ||||||
Bank for Foreign Trade of Vietnam JSC | 2,342,201 | 7,143,670 | ||||||
Bank Mandiri Persero Tbk PT | 32,979,000 | 20,250,432 | ||||||
Bank Negara Indonesia Persero Tbk PT | 10,792,700 | 6,312,625 | ||||||
Bank of the Philippine Islands | 3,759,360 | 5,726,019 | ||||||
Bank Polska Kasa Opieki SA | 419,263 | 5,091,881 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 9,531,000 | 2,789,462 | ||||||
China Construction Bank Corp.–Class H | 8,608,000 | 4,968,550 | ||||||
Emirates NBD Bank PJSC | 1,943,938 | 6,797,361 | ||||||
Grupo Financiero Banorte SAB de CV–Class O | 1,370,190 | 8,777,190 | ||||||
Hana Financial Group, Inc. | 620,090 | 15,226,297 | ||||||
HDFC Bank Ltd. | 1,052,640 | 18,246,488 | ||||||
Industrial Bank Co., Ltd.–Class A | 1,323,793 | 3,095,403 | ||||||
KB Financial Group, Inc. | 615,323 | 18,581,839 | ||||||
Metropolitan Bank & Trust Co. | 7,834,830 | 6,461,859 | ||||||
Military Commercial Joint Stock Bank(a) | 3,127,416 | 2,595,075 | ||||||
Ping An Bank Co., Ltd.–Class A | 2,228,560 | 3,713,261 | ||||||
Regional SAB de CV | 539,276 | 3,039,728 | ||||||
Sberbank of Russia PJSC(a)(c)(d) | 951,472 | 0 | ||||||
State Bank of India | 1,254,023 | 8,135,657 | ||||||
|
| |||||||
163,828,798 | ||||||||
|
| |||||||
Capital Markets–1.3% |
| |||||||
B3 SA–Brasil Bolsa Balcao | 2,870,200 | 6,943,582 | ||||||
Banco BTG Pactual SA | 1,410,000 | 6,484,952 | ||||||
|
| |||||||
13,428,534 | ||||||||
|
| |||||||
Consumer Finance–0.5% |
| |||||||
Kaspi.KZ JSC (GDR) | 44,000 | 2,528,180 | ||||||
Muangthai Capital PCL | 1,058,300 | 1,017,057 | ||||||
Transaction Capital Ltd. | 1,002,850 | 2,036,727 | ||||||
|
| |||||||
5,581,964 | ||||||||
|
| |||||||
Diversified Financial Services–1.9% |
| |||||||
Housing Development Finance Corp. Ltd. | 660,153 | 18,424,795 | ||||||
Company | Shares | U.S. $ Value | ||||||
Metro Pacific Investments Corp. | 17,351,000 | $ | 985,218 | |||||
|
| |||||||
19,410,013 | ||||||||
|
| |||||||
Insurance–4.1% |
| |||||||
AIA Group Ltd. | 1,744,600 | 14,525,370 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 9,190 | 187,100 | ||||||
Max Financial Services Ltd.(a) | 728,288 | 6,820,067 | ||||||
PICC Property & Casualty Co., Ltd.–Class H | 6,136,000 | 6,345,134 | ||||||
Ping An Insurance Group Co. of China Ltd.–Class H | 2,566,000 | 12,801,246 | ||||||
TQM Alpha PCL | 1,074,600 | 1,111,066 | ||||||
|
| |||||||
41,789,983 | ||||||||
|
| |||||||
244,039,292 | ||||||||
|
| |||||||
Consumer Discretionary–21.0% |
| |||||||
Auto Components–0.2% |
| |||||||
Balkrishna Industries Ltd. | 85,148 | 1,958,189 | ||||||
|
| |||||||
Automobiles–4.7% |
| |||||||
Great Wall Motor Co., Ltd.–Class H | 10,656,000 | 12,148,263 | ||||||
Guangzhou Automobile Group Co., Ltd.–Class H | 8,972,000 | 6,374,968 | ||||||
Kia Corp. | 325,029 | 16,177,333 | ||||||
Maruti Suzuki India Ltd. | 51,102 | 5,521,192 | ||||||
NIO, Inc.–Class A(a) | 536,160 | 8,385,734 | ||||||
|
| |||||||
48,607,490 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure–4.2% |
| |||||||
Despegar.com Corp.(a) | 1,026,618 | 5,851,723 | ||||||
Galaxy Entertainment Group Ltd. | 1,079,000 | 6,342,242 | ||||||
MakeMyTrip Ltd.(a) | 428,410 | 13,152,187 | ||||||
OPAP SA | 520,358 | 6,240,372 | ||||||
Sands China Ltd.(a) | 1,940,000 | 4,831,038 | ||||||
Tongcheng Travel Holdings Ltd.(a) | 3,134,400 | 6,116,795 | ||||||
|
| |||||||
42,534,357 | ||||||||
|
| |||||||
Household Durables–0.8% |
| |||||||
Midea Group Co., Ltd.–Class A | 1,201,600 | 8,329,918 | ||||||
|
| |||||||
Internet & Direct Marketing Retail–5.2% |
| |||||||
Alibaba Group Holding Ltd.(a) | 1,147,080 | 11,447,096 | ||||||
JD.com, Inc.–Class A | 702,313 | 17,718,080 | ||||||
Meituan Dianping–Class B(a)(b) | 786,900 | 16,537,838 | ||||||
MercadoLibre, Inc.(a) | 8,660 | 7,168,575 | ||||||
momo.com, Inc. | 30,080 | 501,978 | ||||||
|
| |||||||
53,373,567 | ||||||||
|
| |||||||
Multiline Retail–0.1% |
| |||||||
Matahari Department Store Tbk PT | 3,932,500 | 991,190 | ||||||
|
| |||||||
Specialty Retail–3.7% |
| |||||||
China Meidong Auto Holdings Ltd. | 439,280 | 695,134 | ||||||
China Tourism Group Duty Free Corp. Ltd.–Class A | 321,200 | 8,874,784 | ||||||
JUMBO SA | 44,930 | 598,212 | ||||||
Lojas Renner SA | 2,676,317 | 13,817,314 |
Schedule of Investments—Emerging Markets Portfolio | 1 |
Table of Contents
Company | Shares | U.S. $ Value | ||||||
Pet Center Comercio e Participacoes SA | 1,103,400 | $ | 2,080,247 | |||||
Trent Ltd. | 142,308 | 2,466,857 | ||||||
Vibra Energia SA | 592,800 | 1,895,650 | ||||||
Wilcon Depot, Inc. | 5,168,200 | 2,810,423 | ||||||
Zhongsheng Group Holdings Ltd. | 1,162,500 | 4,609,699 | ||||||
|
| |||||||
37,848,320 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods–2.1% |
| |||||||
ANTA Sports Products Ltd. | 420,200 | 4,410,751 | ||||||
F&F Co., Ltd./New | 17,590 | 1,668,297 | ||||||
Li Ning Co., Ltd. | 892,000 | 6,768,391 | ||||||
Samsonite International SA(a)(b) | 3,572,100 | 8,567,335 | ||||||
|
| |||||||
21,414,774 | ||||||||
|
| |||||||
215,057,805 | ||||||||
|
| |||||||
Information Technology–18.9% |
| |||||||
Electronic Equipment, Instruments & Components–3.6% |
| |||||||
BOE Technology Group Co., Ltd.–Class A | 13,877,600 | 6,383,299 | ||||||
Lotes Co., Ltd. | 91,000 | 2,179,868 | ||||||
Samsung SDI Co., Ltd. | 36,190 | 13,612,634 | ||||||
Sinbon Electronics Co., Ltd. | 1,788,000 | 14,851,210 | ||||||
|
| |||||||
37,027,011 | ||||||||
|
| |||||||
IT Services–2.1% |
| |||||||
Chinasoft International Ltd.(a) | 1,344,000 | 820,967 | ||||||
Dlocal Ltd.(a) | 56,280 | 1,154,866 | ||||||
FPT Corp. | 375,780 | 1,261,407 | ||||||
GDS Holdings Ltd.–Class A(a) | 2,685,340 | 5,908,177 | ||||||
Larsen & Toubro Infotech Ltd.(b) | 140,539 | 7,617,974 | ||||||
Locaweb Servicos de Internet SA(a)(b) | 960,700 | 1,602,844 | ||||||
My EG Services Bhd | 6,756,500 | 1,228,625 | ||||||
NHN KCP Corp.(a) | 72,948 | 558,875 | ||||||
Persistent Systems Ltd. | 39,163 | 1,545,174 | ||||||
|
| |||||||
21,698,909 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment–11.6% |
| |||||||
ASPEED Technology, Inc. | 153,400 | 8,442,767 | ||||||
Broadcom, Inc. | 17,590 | 7,810,136 | ||||||
eMemory Technology, Inc. | 28,000 | 991,095 | ||||||
King Yuan Electronics Co., Ltd. | 5,798,000 | 5,603,444 | ||||||
Koh Young Technology, Inc. | 153,610 | 1,345,359 | ||||||
LEENO Industrial, Inc. | 18,000 | 1,548,544 | ||||||
MediaTek, Inc. | 454,000 | 7,834,408 | ||||||
Nanya Technology Corp. | 1,930,000 | 2,957,655 | ||||||
Novatek Microelectronics Corp. | 609,000 | 4,168,070 | ||||||
Parade Technologies Ltd. | 36,000 | 661,519 | ||||||
Realtek Semiconductor Corp. | 140,000 | 1,181,891 | ||||||
Silergy Corp. | 84,000 | 1,095,523 | ||||||
SK Hynix, Inc. | 280,543 | 16,047,110 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3,268,706 | 43,327,976 | ||||||
United Microelectronics Corp.(a) | 13,594,000 | 15,213,004 | ||||||
Company | Shares | U.S. $ Value | ||||||
WONIK IPS Co., Ltd. | 54,580 | $ | 836,598 | |||||
|
| |||||||
119,065,099 | ||||||||
|
| |||||||
Software–0.3% |
| |||||||
TOTVS SA | 452,800 | 2,463,630 | ||||||
Weimob, Inc.(a)(b) | 1,221,140 | 427,308 | ||||||
|
| |||||||
2,890,938 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals–1.3% |
| |||||||
Samsung Electronics Co., Ltd. | 350,140 | 12,856,875 | ||||||
|
| |||||||
193,538,832 | ||||||||
|
| |||||||
Industrials–6.9% |
| |||||||
Building Products–0.4% |
| |||||||
Astral Ltd. | 91,223 | 2,472,944 | ||||||
Kajaria Ceramics Ltd. | 83,263 | 1,222,470 | ||||||
|
| |||||||
3,695,414 | ||||||||
|
| |||||||
Commercial Services & Supplies–0.5% |
| |||||||
Sunny Friend Environmental Technology Co., Ltd. | 1,079,000 | 5,132,383 | ||||||
|
| |||||||
Construction & Engineering–1.2% |
| |||||||
Sinopec Engineering Group Co., Ltd.–Class H | 24,801,000 | 9,910,944 | ||||||
Voltas Ltd. | 162,463 | 1,803,803 | ||||||
|
| |||||||
11,714,747 | ||||||||
|
| |||||||
Electrical Equipment–2.0% |
| |||||||
Bizlink Holding, Inc. | 218,000 | 1,914,981 | ||||||
Contemporary Amperex Technology Co., Ltd.–Class A | 193,400 | 10,889,343 | ||||||
Ecopro BM Co., Ltd. | 86,500 | 5,232,947 | ||||||
Voltronic Power Technology Corp. | 55,158 | 2,425,879 | ||||||
|
| |||||||
20,463,150 | ||||||||
|
| |||||||
Industrial Conglomerates–0.6% |
| |||||||
Ayala Corp. | 159,650 | 1,668,114 | ||||||
Bidvest Group Ltd. (The) | 377,220 | 4,096,067 | ||||||
|
| |||||||
5,764,181 | ||||||||
|
| |||||||
Machinery–0.7% |
| |||||||
Airtac International Group | 83,000 | 1,898,979 | ||||||
Escorts Ltd. | 20,473 | 530,892 | ||||||
Estun Automation Co., Ltd.–Class A | 1,805,500 | 4,773,524 | ||||||
|
| |||||||
7,203,395 | ||||||||
|
| |||||||
Professional Services–0.3% |
| |||||||
Centre Testing International Group Co., Ltd.–Class A | 544,656 | 1,559,840 | ||||||
NICE Information Service Co., Ltd. | 70,020 | 650,125 | ||||||
Sporton International, Inc. | 167,415 | 1,237,252 | ||||||
|
| |||||||
3,447,217 | ||||||||
|
| |||||||
Road & Rail–0.2% |
| |||||||
Globaltrans Investment PLC (Sponsored GDR)(a)(c)(d)(e) | 658,169 | 1 |
2 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Company | Shares | U.S. $ Value | ||||||
Rumo SA | 710,800 | $ | 2,435,063 | |||||
|
| |||||||
2,435,064 | ||||||||
|
| |||||||
Trading Companies & Distributors–0.3% |
| |||||||
Barloworld Ltd. | 665,550 | 3,392,834 | ||||||
|
| |||||||
Transportation Infrastructure–0.7% |
| |||||||
Grupo Aeroportuario del Centro Norte SAB de CV | 980,368 | 6,167,125 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV–Class B | 111,790 | 1,415,450 | ||||||
|
| |||||||
7,582,575 | ||||||||
|
| |||||||
70,830,960 | ||||||||
|
| |||||||
Materials–6.1% |
| |||||||
Chemicals–2.0% |
| |||||||
Atul Ltd. | 20,576 | 2,259,661 | ||||||
Chunbo Co., Ltd. | 11,130 | 1,365,525 | ||||||
Hansol Chemical Co., Ltd. | 10,250 | 1,198,152 | ||||||
PI Advanced Materials Co., Ltd. | 36,140 | 745,189 | ||||||
PI Industries Ltd. | 58,985 | 2,162,548 | ||||||
Sociedad Quimica y Minera de Chile SA (Sponsored ADR) | 120,140 | 10,902,705 | ||||||
SRF Ltd. | 76,964 | 2,354,002 | ||||||
|
| |||||||
20,987,782 | ||||||||
|
| |||||||
Construction Materials–0.5% |
| |||||||
GCC SAB de CV | 807,122 | 4,783,939 | ||||||
|
| |||||||
Metals & Mining–3.6% |
| |||||||
First Quantum Minerals Ltd. | 509,063 | 8,641,928 | ||||||
Freeport-McMoRan, Inc. | 303,010 | 8,281,263 | ||||||
Hoa Phat Group JSC | 1,543,042 | 1,360,020 | ||||||
Ivanhoe Mines Ltd.–Class A(a) | 1,509,493 | 9,714,694 | ||||||
KGHM Polska Miedz SA | 219,828 | 3,838,984 | ||||||
POSCO Holdings, Inc. | 33,427 | 4,875,920 | ||||||
|
| |||||||
36,712,809 | ||||||||
|
| |||||||
62,484,530 | ||||||||
|
| |||||||
Utilities–5.2% |
| |||||||
Electric Utilities–3.3% |
| |||||||
Centrais Eletricas Brasileiras SA | 417,249 | 3,323,698 | ||||||
Equatorial Energia SA | 3,756,300 | 18,731,538 | ||||||
Power Grid Corp. of India Ltd. | 4,588,685 | 11,931,402 | ||||||
|
| |||||||
33,986,638 | ||||||||
|
| |||||||
Gas Utilities–1.1% |
| |||||||
GAIL India Ltd. | 2,810,199 | 2,990,030 | ||||||
Kunlun Energy Co., Ltd. | 11,296,000 | 8,130,012 | ||||||
|
| |||||||
11,120,042 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers–0.8% |
| |||||||
ACEN Corp. | 478,950 | 45,588 | ||||||
China Datang Corp. Renewable Power Co., Ltd.–Class H | 11,898,000 | 2,756,441 | ||||||
Company | Shares | U.S. $ Value | ||||||
China Longyuan Power Group Corp. Ltd.–Class H | 3,867,000 | $ | 4,832,189 | |||||
|
| |||||||
7,634,218 | ||||||||
|
| |||||||
52,740,898 | ||||||||
|
| |||||||
Real Estate–4.3% |
| |||||||
Real Estate Management & Development–4.3% |
| |||||||
Ayala Land, Inc. | 10,141,100 | 3,937,203 | ||||||
China Overseas Land & Investment Ltd. | 3,316,000 | 8,626,649 | ||||||
China Resources Land Ltd. | 1,566,000 | 6,133,842 | ||||||
CIFI Holdings Group Co., Ltd. | 10,548,720 | 1,065,890 | ||||||
Country Garden Holdings Co., Ltd. | 3,933,000 | 908,525 | ||||||
Emaar Properties PJSC | 6,057,255 | 9,504,605 | ||||||
Longfor Group Holdings Ltd.(b) | 2,333,500 | 6,689,091 | ||||||
Megaworld Corp. | 52,878,000 | 1,833,638 | ||||||
Midea Real Estate Holding Ltd.(b) | 1,475,400 | 1,382,754 | ||||||
Times China Holdings Ltd.(a) | 5,092,000 | 540,719 | ||||||
Vincom Retail JSC(a) | 1,326,300 | 1,546,980 | ||||||
Vinhomes JSC(b) | 802,500 | 1,697,259 | ||||||
|
| |||||||
43,867,155 | ||||||||
|
| |||||||
Communication Services–2.5% |
| |||||||
Entertainment–0.5% |
| |||||||
International Games System Co., Ltd. | 386,000 | 4,351,708 | ||||||
|
| |||||||
Interactive Media & Services–1.9% |
| |||||||
Tencent Holdings Ltd. | 583,100 | 19,694,965 | ||||||
|
| |||||||
Media–0.1% |
| |||||||
Media Nusantara Citra Tbk PT(a) | 21,674,000 | 1,177,476 | ||||||
|
| |||||||
25,224,149 | ||||||||
|
| |||||||
Energy–2.3% |
| |||||||
Energy Equipment & Services–1.1% |
| |||||||
China Oilfield Services Ltd.–Class H | 11,186,000 | 11,077,817 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels–1.2% |
| |||||||
Gazprom PJSC (Sponsored ADR)(a)(c)(d) | 436,750 | 0 | ||||||
LUKOIL PJSC(c)(d) | 80,321 | 0 | ||||||
Parex Resources, Inc. | 345,939 | 5,051,283 | ||||||
PetroChina Co., Ltd.–Class H | 10,332,000 | 4,223,618 | ||||||
Reliance Industries Ltd. | 126,693 | 3,674,420 | ||||||
|
| |||||||
12,949,321 | ||||||||
|
| |||||||
24,027,138 | ||||||||
|
| |||||||
Consumer Staples–2.0% |
| |||||||
Food & Staples Retailing–1.4% |
| |||||||
Atacadao SA | 2,117,500 | 7,587,805 | ||||||
BGF retail Co., Ltd. | 14,050 | 1,616,623 | ||||||
Dino Polska SA(a)(b) | 90,530 | 5,483,483 |
Schedule of Investments—Emerging Markets Portfolio | 3 |
Table of Contents
Company | Shares | U.S. $ Value | ||||||
X5 Retail Group NV (GDR)(b)(c)(d) | 226,094 | $ | 0 | |||||
|
| |||||||
14,687,911 | ||||||||
|
| |||||||
Food Products–0.1% |
| |||||||
Minerva SA/Brazil | 275,500 | 640,442 | ||||||
|
| |||||||
Tobacco–0.5% |
| |||||||
ITC Ltd. | 1,217,096 | 4,946,561 | ||||||
|
| |||||||
20,274,914 | ||||||||
|
| |||||||
Health Care–1.9% |
| |||||||
Health Care Providers & Services–1.4% |
| |||||||
Dr Lal PathLabs Ltd.(b) | 52,957 | 1,624,358 | ||||||
Hapvida Participacoes e Investimentos SA(b) | 3,183,200 | 4,467,049 | ||||||
Universal Vision Biotechnology Co., Ltd. | 870,450 | 7,702,145 | ||||||
|
| |||||||
13,793,552 | ||||||||
|
| |||||||
Pharmaceuticals–0.5% |
| |||||||
Genomma Lab Internacional SAB de CV–Class B | 8,022,817 | 5,537,235 | ||||||
|
| |||||||
19,330,787 | ||||||||
|
| |||||||
Total Common Stocks (cost $1,169,428,984) | 971,416,460 | |||||||
|
| |||||||
EQUITY LINKED NOTES–2.5% |
| |||||||
Information Technology–1.6% |
| |||||||
IT Services–1.6% |
| |||||||
FPT Corp. Macquarie Bank Ltd., expiring 03/31/2023(a) | 4,720,355 | 15,922,423 | ||||||
|
| |||||||
Real Estate–0.6% | ||||||||
Real Estate Management & Development–0.6% |
| |||||||
Vincom Retail JSC Macquarie Bank Ltd., expiring 03/31/2023(a) | 5,053,410 | $ | 5,931,481 | |||||
|
| |||||||
Consumer Discretionary–0.2% |
| |||||||
Specialty Retail–0.2% |
| |||||||
Mobile World Investment Corp. Macquarie Bank Ltd., expiring 03/31/2023(a) | 750,000 | 2,011,314 | ||||||
|
| |||||||
Financials–0.1% | ||||||||
Banks–0.1% |
| |||||||
Qatar National Bank (HSPLC) HSBC Bank PLC, expiring 06/14/2023(a) | 273,970 | 1,497,083 | ||||||
|
| |||||||
Total Equity Linked Notes (cost $14,586,189) | 25,362,301 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS–1.9% |
| |||||||
Investment Companies–1.9% |
| |||||||
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 2.58%(f)(g)(h) | 20,028,458 | 20,028,458 | ||||||
|
| |||||||
Total Investments—99.3% (cost $1,204,043,631) | 1,016,807,219 | |||||||
Other assets less liabilities—0.7% | 7,215,413 | |||||||
|
| |||||||
Net Assets—100.0% | $ | 1,024,022,632 | ||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | USD | 28,191 | ZAR | 466,034 | 10/13/2022 | $ | (2,463,932 | ) | ||||||||||||||||
Bank of America, NA | USD | 2,991 | CNH | 20,669 | 10/20/2022 | (95,158 | ) | |||||||||||||||||
Bank of America, NA | USD | 2,393 | IDR | 36,326,097 | 10/27/2022 | (22,072 | ) | |||||||||||||||||
Bank of America, NA | USD | 2,090 | PHP | 122,523 | 10/27/2022 | (7,706 | ) | |||||||||||||||||
Bank of America, NA | MXN | 73,724 | USD | 3,579 | 11/18/2022 | (51,340 | ) | |||||||||||||||||
Bank of America, NA | EUR | 10,482 | USD | 10,126 | 12/08/2022 | (194,867 | ) | |||||||||||||||||
Bank of America, NA | INR | 626,737 | USD | 7,596 | 12/21/2022 | (30,250 | ) | |||||||||||||||||
Barclays Bank PLC | IDR | 137,096,000 | USD | 9,030 | 10/27/2022 | 83,181 | ||||||||||||||||||
Barclays Bank PLC | PHP | 166,017 | USD | 2,956 | 10/27/2022 | 134,405 | ||||||||||||||||||
Barclays Bank PLC | MYR | 5,360 | USD | 1,211 | 12/15/2022 | 63,512 | ||||||||||||||||||
Barclays Bank PLC | USD | 15,625 | MYR | 69,005 | 12/15/2022 | (851,897 | ) | |||||||||||||||||
Barclays Bank PLC | HKD | 32,474 | USD | 4,143 | 01/12/2023 | (814 | ) | |||||||||||||||||
BNP Paribas SA | IDR | 42,926,455 | USD | 2,880 | 10/27/2022 | 78,735 | ||||||||||||||||||
BNP Paribas SA | KRW | 8,283,821 | USD | 5,808 | 10/27/2022 | 53,566 | ||||||||||||||||||
BNP Paribas SA | CLP | 1,565,459 | USD | 1,573 | 11/22/2022 | (30,426 | ) | |||||||||||||||||
Citibank, NA | USD | 42,616 | CNH | 287,367 | 10/20/2022 | (2,359,917 | ) |
4 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Citibank, NA | PHP | 799,138 | USD | 14,040 | 10/27/2022 | $ | 459,758 | |||||||||||||||||
Deutsche Bank AG | USD | 10,341 | CNH | 70,418 | 10/20/2022 | (476,675 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 33,581 | USD | 6,211 | 10/04/2022 | (14,105 | ) | |||||||||||||||||
Goldman Sachs Bank USA | USD | 6,240 | BRL | 33,581 | 10/04/2022 | (14,285 | ) | |||||||||||||||||
Goldman Sachs Bank USA | BRL | 33,581 | USD | 6,196 | 11/03/2022 | 15,665 | ||||||||||||||||||
Goldman Sachs Bank USA | USD | 29,079 | INR | 2,366,145 | 12/21/2022 | (287,564 | ) | |||||||||||||||||
HSBC Bank USA | USD | 10,116 | CNH | 68,051 | 10/20/2022 | (583,427 | ) | |||||||||||||||||
HSBC Bank USA | PLN | 60,898 | USD | 12,671 | 11/30/2022 | 494,135 | ||||||||||||||||||
JPMorgan Chase Bank, NA | BRL | 10,088 | USD | 1,925 | 10/04/2022 | 55,325 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,866 | BRL | 10,088 | 10/04/2022 | 4,237 | ||||||||||||||||||
JPMorgan Chase Bank, NA | CLP | 2,450,319 | USD | 2,755 | 11/22/2022 | 245,078 | ||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,219 | EUR | 2,294 | 12/08/2022 | 39,445 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | BRL | 23,493 | USD | 4,636 | 10/04/2022 | 281,176 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 4,345 | BRL | 23,493 | 10/04/2022 | 9,867 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | ZAR | 36,144 | USD | 2,012 | 10/13/2022 | 16,418 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | CNH | 78,325 | USD | 11,237 | 10/20/2022 | 265,149 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | CNH | 19,749 | USD | 2,742 | 10/20/2022 | (24,393 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 2,296 | CNH | 16,017 | 10/20/2022 | (52,348 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 3,288 | EUR | 3,341 | 12/08/2022 | 1,871 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | MYR | 45,681 | USD | 10,206 | 12/15/2022 | 425,990 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 5,637 | MYR | 26,156 | 12/15/2022 | (37,372 | ) | |||||||||||||||||
Morgan Stanley Capital Services, Inc. | HKD | 200,423 | USD | 25,576 | 01/12/2023 | 4,369 | ||||||||||||||||||
State Street Bank & Trust Co. | CNH | 97,971 | USD | 14,090 | 10/20/2022 | 365,646 | ||||||||||||||||||
State Street Bank & Trust Co. | USD | 9,641 | THB | 339,448 | 11/10/2022 | (624,755 | ) | |||||||||||||||||
State Street Bank & Trust Co. | USD | 3,731 | PLN | 18,806 | 11/30/2022 | 29,240 | ||||||||||||||||||
UBS AG | USD | 5,188 | CNH | 35,179 | 10/20/2022 | (260,095 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (5,356,630 | ) | ||||||||||||||||||||||
|
|
(a) | Non-income producing security. |
(b) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $60,314,698 or 5.9% of net assets. |
(c) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(d) | Fair valued by the Adviser. |
(e) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.00% of net assets as of September 30, 2022, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Globaltrans Investment PLC (Sponsored GDR) | | 12/14/2009– 08/01/2017 | $ | 4,775,195 | $ | 1 | 0.00 | % |
(f) | Affiliated investments. |
(g) | The rate shown represents the 7-day yield as of period end. |
(h) | 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. |
Currency Abbreviations:
BRL—Brazilian Real
CLP—Chilean Peso
CNH—Chinese Yuan Renminbi (Offshore)
EUR—Euro
HKD—Hong Kong Dollar
IDR—Indonesian Rupiah
INR—Indian Rupee
KRW—South Korean Won
MXN—Mexican Peso
MYR—Malaysian Ringgit
PHP—Philippine Peso
PLN—Polish Zloty
THB—Thailand Baht
USD—United States Dollar
ZAR—South African Rand
Glossary:
ADR—American Depositary Receipt
GDR—Global Depositary Receipt
JSC—Joint Stock Company
PJSC—Public Joint Stock Company
See notes to financial statements.
Schedule of Investments—Emerging Markets Portfolio | 5 |
Table of Contents
SCB–ST–1946–0922
Table of Contents
Sanford C. Bernstein Fund, Inc.
September 30, 2022
Schedule of Investments To the Annual
Report For the Fixed Income Taxable Portfolios
Intermediate Duration
Short Duration Plus
Table of Contents
Sanford C. Bernstein Fund, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Sanford C. Bernstein Fund, Inc. and Intermediate Duration Class Shareholders of Intermediate Duration Portfolio and Short Duration Plus Class Shareholders of Short Duration Plus Portfolio
Opinions on the Financial Statements
We have audited the accompanying schedules of investments to the annual report for the Fixed Income Taxable Portfolios of Intermediate Duration Portfolio and Short Duration Plus Portfolio (two of the thirteen portfolios constituting Sanford C. Bernstein Fund, Inc., hereafter collectively referred to as the “Portfolios”), and the related statements of assets and liabilities as of September 30, 2022, the statements of operations for the year ended September 30, 2022, the statements of changes in net assets for each of the two years in the period ended September 30, 2022, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2022 (collectively referred to as the “financial statements”), which appear in the Sanford C. Bernstein Fund, Inc. September 30, 2022 annual report for the Fixed Income Taxable Portfolios. In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of September 30, 2022 the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2022 and each of the financial highlights for each of the five years in the period ended September 30, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
November 23, 2022
We have served as the auditor of one or more of the investment companies in the AB Group of Mutual Funds since at least 1985. We have not been able to determine the specific year we began serving as auditor
Table of Contents
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Intermediate Duration Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS-TREASURIES–40.0% |
| |||||||||||
United States–40.0% |
| |||||||||||
U.S. Treasury Bonds |
| |||||||||||
1.75%, 08/15/2041 | U.S.$ | 73,211 | $ | 50,035,279 | ||||||||
1.875%, 02/15/2051 | 61,991 | 41,029,962 | ||||||||||
2.00%, 11/15/2041 | 26,116 | 18,680,744 | ||||||||||
2.00%, 02/15/2050 | 2,460 | 1,690,481 | ||||||||||
2.00%, 08/15/2051 | 36,371 | 24,834,232 | ||||||||||
2.25%, 08/15/2046 | 12,530 | 9,029,431 | ||||||||||
2.375%, 02/15/2042 | 11,433 | 8,758,826 | ||||||||||
2.375%, 11/15/2049 | 2,885 | 2,172,766 | ||||||||||
2.50%, 02/15/2045 | 1,916 | 1,460,651 | ||||||||||
2.50%, 05/15/2046 | 23,956 | 18,169,129 | ||||||||||
2.875%, 05/15/2052 | 3,770 | 3,161,834 | ||||||||||
3.00%, 05/15/2045 | 23,139 | 19,321,065 | ||||||||||
3.00%, 08/15/2048 | 28,274 | 23,935,539 | ||||||||||
3.00%, 02/15/2049 | 26,971 | 23,030,962 | ||||||||||
3.25%, 05/15/2042 | 11,593 | 10,284,987 | ||||||||||
3.375%, 08/15/2042 | 4,723 | 4,277,914 | ||||||||||
3.375%, 05/15/2044 | 5,710 | 5,092,160 | ||||||||||
3.50%, 02/15/2039 | 4,254 | 4,046,618 | ||||||||||
3.75%, 11/15/2043 | 10,205 | 9,691,561 | ||||||||||
4.375%, 02/15/2038 | 1,920 | 2,041,800 | ||||||||||
4.375%, 11/15/2039 | 47,210 | 49,791,797 | ||||||||||
4.50%, 02/15/2036 | 4,048 | 4,372,040 | ||||||||||
4.75%, 02/15/2037 | 4,156 | 4,602,770 | ||||||||||
5.375%, 02/15/2031 | 14,221 | 15,698,209 | ||||||||||
U.S. Treasury Notes |
| |||||||||||
0.125%, 10/31/2022 | 145,224 | 144,860,541 | ||||||||||
0.125%, 02/28/2023 | 56,178 | 55,335,330 | ||||||||||
0.875%, 09/30/2026 | 17,403 | 15,320,431 | ||||||||||
1.25%, 11/30/2026 | 48,088 | 42,806,190 | ||||||||||
1.25%, 08/15/2031(a) | 85,632 | 69,187,899 | ||||||||||
1.375%, 11/15/2031 | 50,234 | 40,799,427 | ||||||||||
1.50%, 02/29/2024 | 75,200 | 72,320,769 | ||||||||||
1.50%, 02/15/2030(a) | 11,115 | 9,433,856 | ||||||||||
1.625%, 05/15/2026(a) | 236,708 | 216,402,709 | ||||||||||
1.75%, 11/15/2029 | 11,550 | 10,034,062 | ||||||||||
2.25%, 02/15/2027 | 3,147 | 2,910,576 | ||||||||||
2.625%, 02/15/2029 | 30,853 | 28,433,152 | ||||||||||
2.75%, 07/31/2027 | 43,406 | 40,896,591 | ||||||||||
2.75%, 08/15/2032 | 19,801 | 18,095,983 | ||||||||||
2.875%, 05/15/2032 | 35,123 | 32,460,873 | ||||||||||
3.00%, 07/31/2024 | 69,982 | 68,439,916 | ||||||||||
3.125%, 08/31/2027 | 14,336 | 13,758,176 | ||||||||||
|
| |||||||||||
Total Governments–Treasuries (cost $1,408,654,617) |
| 1,236,707,238 | ||||||||||
|
| |||||||||||
CORPORATES-INVESTMENT GRADE–22.5% |
| |||||||||||
Industrial–11.7% |
| |||||||||||
Basic–0.7% |
| |||||||||||
Anglo American Capital PLC | U.S.$ | 1,189 | $ | 1,018,676 | ||||||||
Braskem Netherlands Finance BV | 3,420 | 2,748,996 | ||||||||||
Celanese US Holdings LLC | 6,569 | 6,481,041 | ||||||||||
Freeport Indonesia PT | 904 | 818,120 | ||||||||||
Inversiones CMPC SA | 2,742 | 2,212,965 | ||||||||||
Inversiones CMPC SA/Cayman Islands Branch | 1,151 | 1,139,734 | ||||||||||
Suzano Austria GmbH | 1,419 | 1,106,820 | ||||||||||
WRKCo., Inc. | 6,569 | 6,063,713 | ||||||||||
|
| |||||||||||
21,590,065 | ||||||||||||
|
| |||||||||||
Capital Goods–0.8% |
| |||||||||||
Flowserve Corp. | 4,669 | 3,343,704 | ||||||||||
Parker-Hannifin Corp. |
| |||||||||||
3.25%, 06/14/2029 | 2,817 | 2,484,059 | ||||||||||
4.50%, 09/15/2029 | 4,439 | 4,201,602 | ||||||||||
Raytheon Technologies Corp. | 8,502 | 7,955,322 | ||||||||||
Westinghouse Air Brake Technologies Corp. |
| |||||||||||
3.20%, 06/15/2025 | 1,117 | 1,043,758 | ||||||||||
4.40%, 03/15/2024 | 4,344 | 4,265,895 | ||||||||||
|
| |||||||||||
23,294,340 | ||||||||||||
|
| |||||||||||
Communications-Media–1.2% |
| |||||||||||
Discovery Communications LLC | ||||||||||||
5.20%, 09/20/2047 | 1,999 | 1,478,500 | ||||||||||
5.30%, 05/15/2049 | 857 | 641,482 | ||||||||||
Fox Corp. |
| |||||||||||
4.709%, 01/25/2029 | 2,656 | 2,496,906 | ||||||||||
5.576%, 01/25/2049 | 4,396 | 3,771,988 | ||||||||||
Interpublic Group of Cos., Inc. (The) | 1,966 | 1,821,656 | ||||||||||
Prosus NV |
| |||||||||||
3.257%, 01/19/2027(b) | 1,724 | 1,443,850 | ||||||||||
3.68%, 01/21/2030(b) | 550 | 416,405 | ||||||||||
4.027%, 08/03/2050(b) | 1,993 | 1,121,062 | ||||||||||
Tencent Holdings Ltd. |
| |||||||||||
1.81%, 01/26/2026(b) | 5,470 | 4,896,676 | ||||||||||
3.24%, 06/03/2050(b) | 4,830 | 2,883,812 |
Schedule of Investments—Intermediate Duration Portfolio | 1 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Time Warner Cable LLC | U.S.$ | 2,370 | $ | 1,643,121 | ||||||||
Warnermedia Holdings, Inc. | 7,614 | 6,269,063 | ||||||||||
Weibo Corp. | 11,908 | 8,776,940 | ||||||||||
|
| |||||||||||
37,661,461 | ||||||||||||
|
| |||||||||||
Consumer Cyclical–Automotive–0.5% |
| |||||||||||
General Motors Co. | 1,152 | 1,154,580 | ||||||||||
General Motors Financial Co., Inc. | 710 | 618,659 | ||||||||||
Harley-Davidson Financial Services, Inc. | ||||||||||||
3.05%, 02/14/2027(b) | 3,858 | 3,309,933 | ||||||||||
3.35%, 06/08/2025(b) | 3,759 | 3,529,024 | ||||||||||
Nissan Motor Co., Ltd. | 8,330 | 7,176,961 | ||||||||||
|
| |||||||||||
15,789,157 | ||||||||||||
|
| |||||||||||
Consumer Cyclical–Other–0.3% |
| |||||||||||
Las Vegas Sands Corp. | 8,755 | 7,255,181 | ||||||||||
MDC Holdings, Inc. | 3,776 | 2,876,972 | ||||||||||
|
| |||||||||||
10,132,153 | ||||||||||||
|
| |||||||||||
Consumer Cyclical–Retailers–0.6% |
| |||||||||||
Advance Auto Parts, Inc. |
| |||||||||||
3.50%, 03/15/2032 | 73 | 58,340 | ||||||||||
3.90%, 04/15/2030 | 8,625 | 7,421,295 | ||||||||||
Lowe’s Cos., Inc. | 4,887 | 4,493,499 | ||||||||||
Ross Stores, Inc. | 7,988 | 7,800,681 | ||||||||||
|
| |||||||||||
19,773,815 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical–1.1% |
| |||||||||||
Altria Group, Inc. | 7,300 | 5,923,001 | ||||||||||
BAT Capital Corp. |
| |||||||||||
2.259%, 03/25/2028 | 11,104 | 8,844,225 | ||||||||||
4.906%, 04/02/2030 | 3,799 | 3,346,767 | ||||||||||
Cigna Corp. | 3,600 | 3,399,732 | ||||||||||
CVS Health Corp. | 179 | 169,302 | ||||||||||
Ochsner LSU Health System of North Louisiana | 5,660 | 4,328,598 | ||||||||||
Takeda Pharmaceutical Co., Ltd. | 6,627 | 6,627,000 | ||||||||||
|
| |||||||||||
32,638,625 | ||||||||||||
|
| |||||||||||
Energy–2.7% | ||||||||||||
BP Capital Markets America, Inc. | U.S.$ | 12,047 | $ | 7,649,243 | ||||||||
Continental Resources, Inc./OK | ||||||||||||
2.875%, 04/01/2032(b) | 5,368 | 3,921,700 | ||||||||||
5.75%, 01/15/2031(b) | 3,997 | 3,612,369 | ||||||||||
Devon Energy Corp. | 4,914 | 4,410,954 | ||||||||||
Enbridge Energy Partners LP | 6,968 | 7,538,958 | ||||||||||
Energy Transfer LP | 3,278 | 2,927,942 | ||||||||||
EQT Corp. | 1,958 | 1,922,795 | ||||||||||
Marathon Petroleum Corp. |
| |||||||||||
5.125%, 12/15/2026 | 9,518 | 9,368,663 | ||||||||||
6.50%, 03/01/2041 | 1,683 | 1,666,439 | ||||||||||
MPLX LP | 10,984 | 9,051,365 | ||||||||||
Oleoducto Central SA | 631 | 488,355 | ||||||||||
ONEOK Partners LP | 294 | 260,966 | ||||||||||
ONEOK, Inc. |
| |||||||||||
4.00%, 07/13/2027 | 4,900 | 4,501,728 | ||||||||||
4.35%, 03/15/2029 | 4,164 | 3,717,078 | ||||||||||
6.35%, 01/15/2031 | 1,081 | 1,060,699 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 3,754 | 3,131,549 | ||||||||||
Suncor Energy, Inc. | 5,543 | 5,612,509 | ||||||||||
Tengizchevroil Finance Co. International Ltd. | 1,397 | 993,005 | ||||||||||
TransCanada PipeLines Ltd. |
| |||||||||||
6.10%, 06/01/2040 | 5,470 | 5,282,652 | ||||||||||
6.20%, 10/15/2037 | 3,397 | 3,366,359 | ||||||||||
Transcontinental Gas Pipe Line Co., LLC | 2,203 | 1,860,456 | ||||||||||
|
| |||||||||||
82,345,784 | ||||||||||||
|
| |||||||||||
Other Industrial–0.1% |
| |||||||||||
Alfa SAB de CV | 3,311 | 3,282,873 | ||||||||||
|
| |||||||||||
Services–0.7% |
| |||||||||||
Booking Holdings, Inc. | 9,010 | 8,483,366 | ||||||||||
Expedia Group, Inc. | 211 | 212,289 | ||||||||||
Global Payments, Inc. |
| |||||||||||
3.20%, 08/15/2029 | 3,208 | 2,676,017 | ||||||||||
5.40%, 08/15/2032 | 4,124 | 3,823,195 |
2 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Moody’s Corp. | U.S.$ | 4,376 | $ | 4,136,151 | ||||||||
S&P Global, Inc. |
| |||||||||||
4.25%, 05/01/2029(b) | 1,574 | 1,480,017 | ||||||||||
4.75%, 08/01/2028(b) | 307 | 300,111 | ||||||||||
|
| |||||||||||
21,111,146 | ||||||||||||
|
| |||||||||||
Technology–2.7% |
| |||||||||||
Apple, Inc. | 5,020 | 4,115,798 | ||||||||||
Baidu, Inc. | 217 | 187,154 | ||||||||||
Broadcom, Inc. |
| |||||||||||
3.137%, 11/15/2035(b) | 1,202 | 842,758 | ||||||||||
3.187%, 11/15/2036(b) | 8,430 | 5,772,274 | ||||||||||
4.15%, 11/15/2030 | 1,542 | 1,332,781 | ||||||||||
4.15%, 04/15/2032(b) | 2,002 | 1,684,443 | ||||||||||
4.926%, 05/15/2037(b) | 4,241 | 3,508,452 | ||||||||||
Entegris Escrow Corp. | 5,311 | 4,711,441 | ||||||||||
Fiserv, Inc. | 9,632 | 8,393,325 | ||||||||||
HP, Inc. | 8,393 | 7,443,836 | ||||||||||
Infor, Inc. | 2,719 | 2,448,133 | ||||||||||
Intel Corp. | 6,717 | 5,830,893 | ||||||||||
International Business Machines Corp. | 6,550 | 5,740,878 | ||||||||||
KLA Corp. | 1,349 | 1,280,916 | ||||||||||
Kyndryl Holdings, Inc. | 9,627 | 7,732,298 | ||||||||||
NXP BV/NXP Funding LLC | 4,119 | 4,031,471 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. | 3,313 | 2,773,909 | ||||||||||
Oracle Corp. |
| |||||||||||
2.875%, 03/25/2031 | 5,648 | 4,449,212 | ||||||||||
3.60%, 04/01/2040 | 3,456 | 2,343,617 | ||||||||||
3.65%, 03/25/2041 | 1,857 | 1,260,532 | ||||||||||
5.375%, 07/15/2040 | 1,114 | 927,650 | ||||||||||
SK Hynix, Inc. | 1,818 | 1,338,843 | ||||||||||
TSMC Arizona Corp. | 2,710 | 2,581,844 | ||||||||||
Western Digital Corp. |
| |||||||||||
2.85%, 02/01/2029 | 1,194 | 928,013 | ||||||||||
3.10%, 02/01/2032 | 589 | 402,146 | ||||||||||
Workday, Inc. | 2,673 | 2,325,296 | ||||||||||
|
| |||||||||||
84,387,913 | ||||||||||||
|
| |||||||||||
Transportation-Airlines–0.2% |
| |||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | ||||||||||||
4.50%, 10/20/2025(b) | U.S.$ | 3,393 | 3,297,151 | |||||||||
4.75%, 10/20/2028(b) | 3,940 | 3,671,213 | ||||||||||
|
| |||||||||||
6,968,364 | ||||||||||||
|
| |||||||||||
Transportation-Railroads–0.0% |
| |||||||||||
Lima Metro Line 2 Finance Ltd. |
| |||||||||||
4.35%, 04/05/2036(b) | 442 | 387,056 | ||||||||||
5.875%, 07/05/2034(b) | 1,072 | 1,013,019 | ||||||||||
|
| |||||||||||
1,400,075 | ||||||||||||
|
| |||||||||||
Transportation-Services–0.1% |
| |||||||||||
Ashtead Capital, Inc. | 1,037 | 961,091 | ||||||||||
ENA Master Trust | 1,235 | 908,497 | ||||||||||
|
| |||||||||||
1,869,588 | ||||||||||||
|
| |||||||||||
362,245,359 | ||||||||||||
|
| |||||||||||
Financial Institutions–10.2% |
| |||||||||||
Banking–6.9% |
| |||||||||||
ABN AMRO Bank NV | 1,171 | 1,124,851 | ||||||||||
Banco de Credito del Peru S.A. | 5,996 | 5,256,993 | ||||||||||
Banco Santander SA | 3,200 | 2,895,328 | ||||||||||
Bank of America Corp. |
| |||||||||||
2.299%, 07/21/2032 | 1,555 | 1,163,560 | ||||||||||
2.687%, 04/22/2032 | 9,685 | 7,546,939 | ||||||||||
4.376%, 04/27/2028 | 6,858 | 6,428,895 | ||||||||||
Bank of Ireland Group PLC | 2,285 | 2,236,946 | ||||||||||
Barclays PLC | 4,935 | 4,743,522 | ||||||||||
BNP Paribas SA |
| |||||||||||
2.591%, 01/20/2028(b) | 2,660 | 2,275,284 | ||||||||||
7.75%, 08/16/2029(b)(c) | 4,780 | 4,428,383 | ||||||||||
Citigroup, Inc. |
| |||||||||||
3.98%, 03/20/2030 | 3,617 | 3,211,064 | ||||||||||
4.075%, 04/23/2029 | 5,373 | 4,865,950 | ||||||||||
5.95%, 01/30/2023(c) | 2,569 | 2,539,534 | ||||||||||
Series W | 3,243 | 2,736,443 | ||||||||||
Citizens Financial Group, Inc. | 10,581 | 10,177,758 | ||||||||||
Credit Suisse Group AG |
| |||||||||||
3.091%, 05/14/2032(b) | 8,899 | 6,256,976 | ||||||||||
4.194%, 04/01/2031(b) | 2,852 | 2,257,101 | ||||||||||
6.373%, 07/15/2026(b) | 6,080 | 5,877,110 | ||||||||||
Danske Bank A/S | 5,462 | 4,876,638 |
Schedule of Investments—Intermediate Duration Portfolio | 3 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Deutsche Bank AG/New York NY | ||||||||||||
2.129%, 11/24/2026 | U.S.$ | 4,221 | $ | 3,588,568 | ||||||||
2.552%, 01/07/2028 | 604 | 491,934 | ||||||||||
3.961%, 11/26/2025 | 1,336 | 1,246,729 | ||||||||||
6.119%, 07/14/2026 | 4,828 | 4,691,512 | ||||||||||
Discover Bank | 2,264 | 2,174,844 | ||||||||||
Federation des Caisses Desjardins du Quebec | 6,672 | 6,302,571 | ||||||||||
Goldman Sachs Group, Inc. (The) | ||||||||||||
2.383%, 07/21/2032 | 2,288 | 1,728,332 | ||||||||||
2.615%, 04/22/2032 | 7,696 | 5,966,170 | ||||||||||
3.102%, 02/24/2033 | 1,157 | 919,132 | ||||||||||
Series V | 3,016 | 2,396,664 | ||||||||||
HSBC Holdings PLC |
| |||||||||||
4.762%, 03/29/2033 | 3,381 | 2,791,117 | ||||||||||
5.402%, 08/11/2033 | 2,559 | 2,265,406 | ||||||||||
6.375%, 03/30/2025(c) | 9,669 | 8,678,894 | ||||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.58%, 04/22/2032 | 9,618 | 7,443,370 | ||||||||||
4.851%, 07/25/2028 | 6,901 | 6,621,372 | ||||||||||
Series I |
| 2,456 | 2,444,948 | |||||||||
Series V |
| 107 | 107,000 | |||||||||
Mizuho Financial Group, Inc. | 6,462 | 6,318,350 | ||||||||||
Morgan Stanley |
| |||||||||||
3.772%, 01/24/2029 | 5,695 | 5,131,935 | ||||||||||
4.21%, 04/20/2028 | 4,283 | 4,006,147 | ||||||||||
4.679%, 07/17/2026 | 1,880 | 1,830,274 | ||||||||||
Nationwide Building Society | 5,154 | 4,436,976 | ||||||||||
Santander Holdings USA, Inc. |
| |||||||||||
2.49%, 01/06/2028 | 3,137 | 2,612,243 | ||||||||||
4.26%, 06/09/2025 | 2,048 | 1,968,415 | ||||||||||
4.40%, 07/13/2027 | 3,049 | 2,806,330 | ||||||||||
Societe Generale SA | 9,487 | 8,000,103 | ||||||||||
Standard Chartered PLC |
| |||||||||||
3.971%, 03/30/2026(b) | 3,723 | 3,499,397 | ||||||||||
4.316% (LIBOR 3 Month + 1.51%), 01/30/2027(b)(c)(d) | 300 | 227,055 | ||||||||||
7.75%, 04/02/2023(b)(c) | 822 | 805,568 | ||||||||||
Swedbank AB |
| 400 | 370,076 | |||||||||
Truist Financial Corp. | 6,656 | 5,969,500 | ||||||||||
UBS Group AG |
| |||||||||||
7.00%, 01/31/2024(b)(c) | 3,018 | 2,867,040 | ||||||||||
7.00%, 02/19/2025(b)(c) | U.S.$ | 408 | 387,396 | |||||||||
UniCredit SpA |
| |||||||||||
1.982%, 06/03/2027(b) | 271 | 223,656 | ||||||||||
2.569%, 09/22/2026(b) | 6,253 | 5,355,257 | ||||||||||
3.127%, 06/03/2032(b) | 1,858 | 1,323,398 | ||||||||||
US Bancorp | 3,485 | 2,975,667 | ||||||||||
Wells Fargo & Co. |
| |||||||||||
3.35%, 03/02/2033 | 8,799 | 7,151,387 | ||||||||||
3.584%, 05/22/2028 | 2,117 | 1,914,869 | ||||||||||
Series BB | 2,664 | 2,256,168 | ||||||||||
|
| |||||||||||
213,195,045 | ||||||||||||
|
| |||||||||||
Brokerage–0.5% |
| |||||||||||
Charles Schwab Corp. (The) |
| |||||||||||
Series G | 3,154 | 3,080,701 | ||||||||||
Series I | 7,570 | 6,241,162 | ||||||||||
Nomura Holdings, Inc. | 7,689 | 5,818,959 | ||||||||||
|
| |||||||||||
15,140,822 | ||||||||||||
|
| |||||||||||
Finance–1.2% |
| |||||||||||
Air Lease Corp. |
| |||||||||||
2.10%, 09/01/2028 | 2,650 | 2,065,622 | ||||||||||
3.625%, 04/01/2027 | 303 | 268,434 | ||||||||||
Aircastle Ltd. |
| |||||||||||
2.85%, 01/26/2028(b) | 8,390 | 6,426,321 | ||||||||||
4.125%, 05/01/2024 | 1,481 | 1,426,040 | ||||||||||
4.25%, 06/15/2026 | 530 | 475,288 | ||||||||||
5.25%, 08/11/2025(b) | 3,730 | 3,513,623 | ||||||||||
Aviation Capital Group LLC |
| |||||||||||
1.95%, 01/30/2026(b) | 4,547 | 3,818,070 | ||||||||||
1.95%, 09/20/2026(b) | 1,485 | 1,202,746 | ||||||||||
3.50%, 11/01/2027(b) | 1,314 | 1,091,540 | ||||||||||
4.125%, 08/01/2025(b) | 35 | 32,069 | ||||||||||
4.375%, 01/30/2024(b) | 1,300 | 1,256,580 | ||||||||||
4.875%, 10/01/2025(b) | 1,447 | 1,351,585 | ||||||||||
5.50%, 12/15/2024(b) | 3,623 | 3,506,339 | ||||||||||
CDBL Funding 1 | 5,770 | 5,268,702 | ||||||||||
Synchrony Financial |
| |||||||||||
2.875%, 10/28/2031 | 4,872 | 3,461,166 | ||||||||||
3.95%, 12/01/2027 | 707 | 616,207 | ||||||||||
4.50%, 07/23/2025 | 869 | 828,661 | ||||||||||
4.875%, 06/13/2025 | 969 | 935,947 | ||||||||||
|
| |||||||||||
37,544,940 | ||||||||||||
|
| |||||||||||
Insurance–0.7% |
| |||||||||||
Guardian Life Insurance Co. of America (The) | 2,851 | 2,336,822 | ||||||||||
MetLife Capital Trust IV | 5,200 | 5,570,292 |
4 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Nationwide Mutual Insurance Co. | U.S.$ | 2,058 | $ | 2,640,352 | ||||||||
Prudential Financial, Inc. |
| |||||||||||
5.20%, 03/15/2044 | 1,970 | 1,882,946 | ||||||||||
5.375%, 05/15/2045 | 615 | 584,189 | ||||||||||
5.625%, 06/15/2043 | 1,099 | 1,080,592 | ||||||||||
Swiss Re Finance Luxembourg SA | 5,000 | 4,401,800 | ||||||||||
Voya Financial, Inc. | 3,089 | 3,033,892 | ||||||||||
|
| |||||||||||
21,530,885 | ||||||||||||
|
| |||||||||||
REITs–0.9% |
| |||||||||||
American Tower Corp. |
| |||||||||||
3.65%, 03/15/2027 | 3,517 | 3,223,436 | ||||||||||
4.05%, 03/15/2032 | 1,717 | 1,478,234 | ||||||||||
Digital Realty Trust LP | 6,738 | 5,902,016 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. | 4,731 | 3,549,669 | ||||||||||
Host Hotels & Resorts LP |
| |||||||||||
Series E | 3,958 | 3,762,040 | ||||||||||
Series I | 1,343 | 1,072,802 | ||||||||||
Series J | 2,126 | 1,560,293 | ||||||||||
Vornado Realty LP | 7,733 | 5,909,481 | ||||||||||
|
| |||||||||||
26,457,971 | ||||||||||||
|
| |||||||||||
313,869,663 | ||||||||||||
|
| |||||||||||
Utility–0.6% |
| |||||||||||
Electric–0.5% |
| |||||||||||
AES Panama Generation Holdings SRL | 1,670 | 1,315,125 | ||||||||||
Chile Electricity Pec SpA | 3,081 | 2,175,956 | ||||||||||
Duke Energy Carolinas NC Storm Funding LLC | 3,641 | 2,672,239 | ||||||||||
Engie Energia Chile SA | 3,834 | 2,894,670 | ||||||||||
Entergy Corp. | 8,687 | 7,132,722 | ||||||||||
|
| |||||||||||
16,190,712 | ||||||||||||
|
| |||||||||||
Other Utility–0.1% |
| |||||||||||
American Water Capital Corp. | U.S.$ | 1,654 | 1,472,738 | |||||||||
|
| |||||||||||
17,663,450 | ||||||||||||
|
| |||||||||||
Total Corporates–Investment Grade (cost $831,969,867) |
| 693,778,472 | ||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS–16.8% |
| |||||||||||
Agency Fixed Rate 30-Year–16.2% |
| |||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
Series 2019 | 6,299 | 5,741,548 | ||||||||||
3.50%, 10/01/2049 | 6,314 | 5,749,446 | ||||||||||
3.50%, 11/01/2049 | 2,465 | 2,244,123 | ||||||||||
Series 2020 | 5,243 | 4,785,650 | ||||||||||
Series 2022 | 27,140 | 22,054,742 | ||||||||||
2.50%, 04/01/2052 | 32,499 | 27,388,567 | ||||||||||
3.00%, 03/01/2052 | 17,590 | 15,380,407 | ||||||||||
Federal Home Loan Mortgage Corp. Gold | ||||||||||||
Series 2003 | 1 | 601 | ||||||||||
Series 2007 | 591 | 603,849 | ||||||||||
Series 2016 | 4,840 | 4,674,820 | ||||||||||
Series 2017 | 3,364 | 3,243,380 | ||||||||||
Series 2018 | 2,503 | 2,359,943 | ||||||||||
4.50%, 10/01/2048 | 4,128 | 3,998,107 | ||||||||||
4.50%, 11/01/2048 | 4,528 | 4,385,141 | ||||||||||
5.00%, 09/01/2048 | 1,387 | 1,372,893 | ||||||||||
5.00%, 11/01/2048 | 1,668 | 1,649,890 | ||||||||||
Federal National Mortgage Association | ||||||||||||
Series 2001 | 1 | 1,301 | ||||||||||
Series 2003 | 486 | 495,830 | ||||||||||
5.50%, 07/01/2033 | 1,066 | 1,086,258 | ||||||||||
5.50%, 11/01/2033 | 0 | ** | 108 | |||||||||
Series 2004 | 245 | 250,008 | ||||||||||
5.50%, 05/01/2034 | 229 | 233,900 | ||||||||||
5.50%, 11/01/2034 | 866 | 885,584 | ||||||||||
6.50%, 08/01/2034 | 1 | 1,160 | ||||||||||
Series 2005 | 1,196 | 1,221,952 | ||||||||||
Series 2006 | 214 | 219,372 |
Schedule of Investments—Intermediate Duration Portfolio | 5 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2007 | U.S.$ | 423 | $ | 432,336 | ||||||||
Series 2008 | 3 | 3,098 | ||||||||||
Series 2010 | 2,223 | 2,145,279 | ||||||||||
Series 2012 | 1,402 | 1,315,968 | ||||||||||
3.50%, 11/01/2042 | 14,846 | 13,693,539 | ||||||||||
3.50%, 01/01/2043 | 2,506 | 2,311,420 | ||||||||||
Series 2013 | 8,548 | 7,884,292 | ||||||||||
4.00%, 10/01/2043 | 6,838 | 6,478,336 | ||||||||||
Series 2015 | 2,729 | 2,426,910 | ||||||||||
3.00%, 08/01/2045 | 5,003 | 4,449,664 | ||||||||||
Series 2018 | 3,303 | 3,018,234 | ||||||||||
3.50%, 05/01/2048 | 1,296 | 1,188,520 | ||||||||||
4.50%, 09/01/2048 | 6,702 | 6,483,997 | ||||||||||
Series 2019 |
| |||||||||||
3.50%, 08/01/2049 | 2,125 | 1,935,290 | ||||||||||
3.50%, 09/01/2049 | 2,527 | 2,303,058 | ||||||||||
3.50%, 10/01/2049 | 6,641 | 6,044,513 | ||||||||||
3.50%, 11/01/2049 | 5,066 | 4,609,505 | ||||||||||
Series 2020 |
| |||||||||||
3.50%, 01/01/2050 | 4,967 | 4,525,618 | ||||||||||
Series 2021 |
| |||||||||||
2.00%, 07/01/2051 | 28,133 | 22,817,413 | ||||||||||
2.50%, 01/01/2052 | 9,038 | 7,626,547 | ||||||||||
Series 2022 |
| |||||||||||
2.50%, 03/01/2052 | 19,709 | 16,595,115 | ||||||||||
2.50%, 04/01/2052 | 21,163 | 17,821,686 | ||||||||||
2.50%, 05/01/2052 | 26,412 | 22,243,578 | ||||||||||
3.00%, 02/01/2052 | 20,934 | 18,311,016 | ||||||||||
3.00%, 03/01/2052 | 26,825 | 23,456,218 | ||||||||||
Government National Mortgage Association |
| |||||||||||
Series 2016 |
| |||||||||||
3.00%, 04/20/2046 | 1,396 | 1,254,025 | ||||||||||
3.00%, 05/20/2046 | 1,304 | 1,171,573 | ||||||||||
3.00%, 12/20/2046 | 374 | 335,765 | ||||||||||
Series 2022 |
| |||||||||||
3.00%, 10/01/2052, TBA | 4,175 | 3,685,162 | ||||||||||
4.00%, 10/01/2052, TBA | 13,580 | 12,668,090 | ||||||||||
4.50%, 10/01/2052, TBA | 32,691 | 31,250,749 | ||||||||||
Uniform Mortgage-Backed Security | ||||||||||||
Series 2022 |
| |||||||||||
2.00%, 10/01/2052, TBA | 54,968 | 44,477,703 | ||||||||||
2.50%, 10/01/2052, TBA | 73,165 | 61,395,722 | ||||||||||
3.00%, 10/01/2052, TBA | 17,133 | 14,895,150 | ||||||||||
4.00%, 10/01/2052, TBA | 20,528 | 19,026,448 | ||||||||||
|
| |||||||||||
500,310,117 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year–0.6% |
| |||||||||||
Federal National Mortgage Association | ||||||||||||
Series 2012 |
| |||||||||||
2.50%, 04/01/2027 | U.S.$ | 9 | 7,895 | |||||||||
Series 2016 |
| |||||||||||
2.50%, 02/01/2031 | 15 | 13,638 | ||||||||||
2.50%, 04/01/2031 | 10 | 8,869 | ||||||||||
2.50%, 05/01/2031 | 41 | 37,644 | ||||||||||
2.50%, 07/01/2031 | 1,398 | 1,281,828 | ||||||||||
2.50%, 08/01/2031 | 469 | 430,130 | ||||||||||
2.50%, 09/01/2031 | 252 | 230,937 | ||||||||||
2.50%, 10/01/2031 | 1,473 | 1,350,442 | ||||||||||
2.50%, 11/01/2031 | 10,007 | 9,173,599 | ||||||||||
2.50%, 12/01/2031 | 3,705 | 3,392,775 | ||||||||||
2.50%, 01/01/2032 | 482 | 441,682 | ||||||||||
Series 2017 |
| |||||||||||
2.50%, 01/01/2032 | 2,385 | 2,184,327 | ||||||||||
2.50%, 02/01/2032 | 134 | 122,656 | ||||||||||
|
| |||||||||||
18,676,422 | ||||||||||||
|
| |||||||||||
Other Agency Fixed Rate Programs–0.0% |
| |||||||||||
Federal National Mortgage Association | ||||||||||||
Series 2009 |
| |||||||||||
4.50%, 07/01/2029 | 206 | 203,888 | ||||||||||
4.50%, 08/01/2029 | 59 | 58,597 | ||||||||||
4.50%, 10/01/2029 | 11 | 10,777 | ||||||||||
|
| |||||||||||
273,262 | ||||||||||||
|
| |||||||||||
Agency ARMs–0.0% |
| |||||||||||
Federal Home Loan Mortgage Corp. Gold | ||||||||||||
Series 2006 |
| |||||||||||
2.595% (LIBOR 12 Month + 2.18%), 12/01/2036(d) | 0 | ** | 150 | |||||||||
Series 2007 |
| |||||||||||
2.60% (LIBOR 12 Month + 2.10%), 03/01/2037(d) | 0 | ** | 370 | |||||||||
|
| |||||||||||
520 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs (cost $565,668,442) |
| 519,260,321 | ||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS–7.7% |
| |||||||||||
Risk Share Floating Rate–6.7% |
| |||||||||||
Bellemeade Re Ltd. |
| |||||||||||
Series 2019-3A, Class M1B |
| |||||||||||
4.684% (LIBOR 1 Month + 1.60%), 07/25/2029(b)(d) |
| 867 | 865,950 | |||||||||
Series 2019-3A, Class M1C |
| |||||||||||
5.034% (LIBOR 1 Month + 1.95%), 07/25/2029(b)(d) |
| 575 | 568,025 | |||||||||
Series 2020-3A, Class M1B |
| |||||||||||
5.934% (LIBOR 1 Month + 2.85%), 10/25/2030(b)(d) |
| 502 | 502,938 |
6 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2021-1A, Class M1C |
| |||||||||||
5.231% (SOFR + 2.95%), 03/25/2031(b)(d) | U.S.$ | 4,197 | $ | 4,057,930 | ||||||||
Series 2021-2A, Class M1B |
| |||||||||||
3.781% (SOFR + 1.50%), 06/25/2031(b)(d) | 7,664 | 7,407,204 | ||||||||||
Series 2021-3A, Class A2 |
| |||||||||||
3.281% (SOFR + 1.00%), 09/25/2031(b)(d) | 7,199 | 6,767,218 | ||||||||||
Series 2022-1, Class M1B |
| |||||||||||
4.431% (SOFR + 2.15%), 01/26/2032(b)(d) | 3,969 | 3,881,295 | ||||||||||
Series 2022-2, Class M1A |
| |||||||||||
6.285% (SOFR + 4.00%), 09/27/2032(b)(d) | 7,387 | 7,386,044 | ||||||||||
Connecticut Avenue Securities Trust | ||||||||||||
Series 2022-R06, Class 1M1 |
| |||||||||||
5.031% (SOFR + 2.75%), 05/25/2042(b)(d) | 6,818 | 6,812,097 | ||||||||||
Series 2022-R07, Class 1M1 |
| |||||||||||
5.255% (SOFR + 2.95%), 06/25/2042(b)(d) | 9,211 | 9,211,425 | ||||||||||
Series 2021-R03, Class 1M2 |
| |||||||||||
3.931% (SOFR + 1.65%), 12/25/2041(b)(d) | 3,513 | 3,199,776 | ||||||||||
Series 2022-R01, Class 1M2 |
| |||||||||||
4.181% (SOFR + 1.90%), 12/25/2041(b)(d) | 9,352 | 8,516,533 | ||||||||||
Series 2022-R02, Class 2M1 |
| |||||||||||
3.481% (SOFR + 1.20%), 01/25/2042(b)(d) | 7,817 | 7,653,415 | ||||||||||
Series 2022-R03, Class 1M2 |
| |||||||||||
5.781% (SOFR + 3.50%), 03/25/2042(b)(d) | 6,435 | 6,113,618 | ||||||||||
Series 2022-R04, Class 1M2 |
| |||||||||||
5.381% (SOFR + 3.10%), 03/25/2042(b)(d) | 1,747 | 1,635,615 | ||||||||||
Series 2022-R05, Class 2M2 |
| |||||||||||
5.281% (SOFR + 3.00%), 04/25/2042(b)(d) | 5,001 | 4,613,292 | ||||||||||
Series 2022-R08, Class 1M1 |
| |||||||||||
4.855% (SOFR + 2.55%), 07/25/2042(b)(d) | 6,873 | 6,838,321 | ||||||||||
Eagle Re Ltd. |
| |||||||||||
Series 2018-1, Class M2 |
| |||||||||||
6.084% (LIBOR 1 Month + 3.00%), 11/25/2028(b)(d) |
| 617 | 611,950 | |||||||||
Series 2020-1, Class M1A |
| |||||||||||
3.984% (LIBOR 1 Month + 0.90%), 01/25/2030(b)(d) |
| 66 | 65,605 | |||||||||
Series 2021-2, Class M1B |
| |||||||||||
4.331% (SOFR + 2.05%), 04/25/2034(b)(d) | 2,360 | 2,294,371 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes |
| 5,585 | 5,305,458 | |||||||||
Series 2013-DN2, Class M2 |
| |||||||||||
7.334% (LIBOR 1 Month + 4.25%), 11/25/2023(d) | U.S.$ | 413 | 417,387 | |||||||||
Series 2014-DN3, Class M3 |
| |||||||||||
7.084% (LIBOR 1 Month + 4.00%), 08/25/2024(d) | 396 | 399,654 | ||||||||||
Series 2015-DNA1, Class M3 |
| |||||||||||
6.384% (LIBOR 1 Month + 3.30%), 10/25/2027(d) | 1,262 | 1,273,769 | ||||||||||
Series 2016-HQA3, Class M3 |
| |||||||||||
6.934% (LIBOR 1 Month + 3.85%), 03/25/2029(d) | 1,255 | 1,271,220 | ||||||||||
Series 2020-DNA5, Class M2 |
| |||||||||||
5.081% (SOFR + 2.80%), 10/25/2050(b)(d) | 2,822 | 2,821,115 | ||||||||||
Series 2021-DNA3, Class M2 |
| |||||||||||
4.381% (SOFR + 2.10%), 10/25/2033(b)(d) | 3,221 | 3,068,281 | ||||||||||
Series 2021-DNA5, Class M2 |
| |||||||||||
3.931% (SOFR + 1.65%), 01/25/2034(b)(d) | 2,493 | 2,430,842 | ||||||||||
Series 2021-DNA6, Class M2 |
| |||||||||||
3.781% (SOFR + 1.50%), 10/25/2041(b)(d) | 9,778 | 8,873,967 | ||||||||||
Series 2021-DNA7, Class M2 |
| |||||||||||
4.081% (SOFR + 1.80%), 11/25/2041(b)(d) | 9,563 | 8,571,275 | ||||||||||
Series 2021-HQA3, Class M1 |
| |||||||||||
3.131% (SOFR + 0.85%), 09/25/2041(b)(d) | 3,249 | 3,132,657 | ||||||||||
Series 2021-HQA4, Class M2 |
| |||||||||||
4.631% (SOFR + 2.35%), 12/25/2041(b)(d) | 6,126 | 5,207,411 | ||||||||||
Series 2022-DNA1, Class M1A |
| |||||||||||
3.281% (SOFR + 1.00%), 01/25/2042(b)(d) | 3,942 | 3,829,206 | ||||||||||
Series 2022-DNA1, Class M1B |
| |||||||||||
4.131% (SOFR + 1.85%), 01/25/2042(b)(d) | 4,940 | 4,483,165 | ||||||||||
Series 2022-DNA2, Class M1B |
| |||||||||||
4.681% (SOFR + 2.40%), 02/25/2042(b)(d) | 7,072 | 6,568,400 | ||||||||||
Series 2022-DNA3, Class M1B |
| |||||||||||
5.181% (SOFR + 2.90%), 04/25/2042(b)(d) | 2,957 | 2,790,980 | ||||||||||
Series 2022-DNA5, Class M1B |
| |||||||||||
6.781% (SOFR + 4.50%), 06/25/2042(b)(d) | 9,989 | 10,010,624 | ||||||||||
Series 2022-DNA6, Class M1A |
| |||||||||||
4.435% (SOFR + 2.15%), 09/25/2042(b)(d) | 3,516 | 3,495,409 | ||||||||||
Series 2022-DNA7, Class M1A |
| |||||||||||
4.876% (SOFR + 2.50%), 09/25/2042(b)(d) | 9,358 | 9,360,764 | ||||||||||
Series 2022-HQA1, Class M1B |
| |||||||||||
5.781% (SOFR + 3.50%), 03/25/2042(b)(d) | 1,664 | 1,592,564 |
Schedule of Investments—Intermediate Duration Portfolio | 7 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||||||
Series 2015-C04, Class 1M2 |
| |||||||||||
8.784% (LIBOR 1 Month + 5.70%), 04/25/2028(d) | U.S.$ | 1,029 | $ | 1,065,242 | ||||||||
Series 2016-C02, Class 1M2 |
| |||||||||||
9.084% (LIBOR 1 Month + 6.00%), 09/25/2028(d) | 360 | 372,767 | ||||||||||
Series 2016-C03, Class 1M2 |
| |||||||||||
8.384% (LIBOR 1 Month + 5.30%), 10/25/2028(d) | 1,302 | 1,338,560 | ||||||||||
Series 2021-R02, Class 2M2 |
| |||||||||||
4.281% (SOFR + 2.00%), 11/25/2041(b)(d) | 4,242 | 3,791,888 | ||||||||||
Home Re Ltd. |
| 4,253 | 4,158,231 | |||||||||
JPMorgan Madison Avenue Securities Trust |
| 217 | 208,198 | |||||||||
Oaktown Re VII Ltd. |
| 6,767 | 6,643,815 | |||||||||
PMT Credit Risk Transfer Trust |
| |||||||||||
Series 2019-2R, Class A |
| |||||||||||
5.863% (LIBOR 1 Month + 2.75%), 05/27/2023(b)(d) |
| 2,843 | 2,728,158 | |||||||||
Series 2019-3R, Class A |
| |||||||||||
5.813% (LIBOR 1 Month + 2.70%), 10/27/2022(b)(d) |
| 222 | 213,692 | |||||||||
Series 2020-1R, Class A |
| |||||||||||
5.463% (LIBOR 1 Month + 2.35%), 02/27/2023(d)(e) |
| 929 | 881,159 | |||||||||
Radnor Re Ltd. |
| |||||||||||
Series 2019-1, Class M1B |
| |||||||||||
5.034% (LIBOR 1 Month + 1.95%), 02/25/2029(b)(d) |
| 2,657 | 2,624,946 | |||||||||
Series 2019-2, Class M1B |
| |||||||||||
4.834% (LIBOR 1 Month + 1.75%), 06/25/2029(b)(d) |
| 930 | 927,785 | |||||||||
Series 2020-1, Class M1A |
| |||||||||||
4.034% (LIBOR 1 Month + 0.95%), 01/25/2030(b)(d) |
| 969 | 966,067 | |||||||||
Traingle Re Ltd. |
| 4,786 | 4,748,635 | |||||||||
Wells Fargo Credit Risk Transfer Securities Trust | ||||||||||||
Series 2015-WF1, Class 1M2 |
| |||||||||||
8.334% (LIBOR 1 Month + 5.25%), 11/25/2025(d)(e) |
| 1,020 | 938,647 | |||||||||
Series 2015-WF1, Class 2M2 |
| |||||||||||
8.584% (LIBOR 1 Month + | U.S.$ | 266 | 249,867 | |||||||||
|
| |||||||||||
205,764,427 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate–0.5% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs | ||||||||||||
Series 5008, Class AI |
| |||||||||||
3.50%, 09/25/2050(f) | 10,311 | 1,699,884 | ||||||||||
Series 5015, Class BI |
| |||||||||||
4.00%, 09/25/2050(f) | 13,937 | 2,643,618 | ||||||||||
Series 5040, Class AI |
| |||||||||||
3.50%, 11/25/2050(f) | 7,629 | 1,276,438 | ||||||||||
Series 5043, Class IO |
| |||||||||||
5.00%, 11/25/2050(f) | 15,872 | 3,500,206 | ||||||||||
Federal National Mortgage Association Grantor Trust |
| 1,445 | 1,298,821 | |||||||||
Federal National Mortgage Association REMICs | ||||||||||||
Series 2015-30, Class EI |
| |||||||||||
5.00%, 05/25/2045(f) | 7,352 | 1,288,807 | ||||||||||
Series 2020-89, Class KI |
| |||||||||||
4.00%, 12/25/2050(f) | 28,886 | 5,461,316 | ||||||||||
|
| |||||||||||
17,169,090 | ||||||||||||
|
| |||||||||||
Agency Floating Rate–0.3% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs | ||||||||||||
Series 4416, Class BS |
| |||||||||||
3.282% (6.10%–LIBOR 1 Month), 12/15/2044(d)(g) | 7,515 | 714,372 | ||||||||||
Series 4585, Class DS |
| |||||||||||
3.182% (6.00%–LIBOR 1 Month), 05/15/2046(d)(g) | 4,999 | 513,250 | ||||||||||
Series 4693, Class SL |
| |||||||||||
3.332% (6.15%–LIBOR 1 Month), 06/15/2047(d)(g) | 3,139 | 340,022 | ||||||||||
Series 4954, Class SL |
| |||||||||||
2.966% (6.05%–LIBOR 1 Month), 02/25/2050(d)(g) | 2,307 | 230,820 | ||||||||||
Series 4981, Class HS |
| |||||||||||
3.016% (6.10%–LIBOR 1 Month), 06/25/2050(d)(g) | 19,138 | 1,883,426 | ||||||||||
Federal National Mortgage Association REMICs | ||||||||||||
Series 2011-131, Class ST |
| |||||||||||
3.456% (6.54%–LIBOR 1 Month), 12/25/2041(d)(g) | 4,565 | 533,086 | ||||||||||
Series 2014-17, Class SA |
| |||||||||||
2.966% (6.05%–LIBOR 1 Month), 04/25/2044(d)(g) | 8,444 | 937,283 | ||||||||||
Series 2015-26, Class SH |
| |||||||||||
3.366% (6.45%–LIBOR 1 Month), 05/25/2045(d)(g) | 5,928 | 744,880 |
8 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2016-106, Class ES |
| |||||||||||
2.916% (6.00%–LIBOR 1 Month), 01/25/2047(d)(g) | U.S.$ | 3,450 | $ | 353,104 | ||||||||
Series 2017-62, Class AS |
| |||||||||||
3.066% (6.15%–LIBOR 1 Month), 08/25/2047(d)(g) | 4,387 | 495,451 | ||||||||||
Series 2017-81, Class SA |
| |||||||||||
3.116% (6.20%–LIBOR 1 Month), 10/25/2047(d)(g) | 7,638 | 838,187 | ||||||||||
Series 2017-97, Class SW |
| |||||||||||
3.116% (6.20%–LIBOR 1 Month), 12/25/2047(d)(g) | 6,351 | 672,900 | ||||||||||
Government National Mortgage Association | ||||||||||||
Series 2017-43, Class ST |
| |||||||||||
3.086% (6.10%–LIBOR 1 Month), 03/20/2047(d)(g) | 7,243 | 784,323 | ||||||||||
Series 2017-122, Class SA |
| |||||||||||
3.186% (6.20%–LIBOR 1 Month), 08/20/2047(d)(g) | 5,260 | 600,930 | ||||||||||
Series 2017-134, Class MS |
| |||||||||||
3.186% (6.20%–LIBOR 1 Month), 09/20/2047(d)(g) | 6,001 | 697,636 | ||||||||||
|
| |||||||||||
10,339,670 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate–0.1% |
| |||||||||||
Alternative Loan Trust |
| |||||||||||
Series 2005-20CB, Class 3A6 |
| |||||||||||
5.50%, 07/25/2035 | 291 | 209,226 | ||||||||||
Series 2006-24CB, Class A16 |
| |||||||||||
5.75%, 08/25/2036 | 2,061 | 1,190,085 | ||||||||||
Series 2006-28CB, Class A14 |
| |||||||||||
6.25%, 10/25/2036 | 1,419 | 806,916 | ||||||||||
Series 2006-J1, Class 1A13 |
| |||||||||||
5.50%, 02/25/2036 | 513 | 373,514 | ||||||||||
CHL Mortgage Pass-Through Trust |
| 606 | 286,714 | |||||||||
|
| |||||||||||
2,866,455 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate–0.1% |
| |||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust |
| 3,871 | 1,434,831 | |||||||||
HomeBanc Mortgage Trust | 678 | 571,246 | ||||||||||
JPMorgan Chase Bank, NA |
| 749 | 733,064 | |||||||||
|
| |||||||||||
2,739,141 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations (cost $250,144,088) |
| 238,878,783 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES–5.1% |
| |||||||||||
Autos–Fixed Rate–2.5% |
| |||||||||||
ACM Auto Trust | U.S.$ | 4,911 | $ | 4,895,329 | ||||||||
Avis Budget Rental Car Funding AESOP LLC |
| |||||||||||
Series 2017-2A, Class D |
| |||||||||||
4.56%, 03/20/2024(b) | 6,721 | 6,691,636 | ||||||||||
Series 2018-2A, Class A |
| |||||||||||
4.00%, 03/20/2025(b) | 6,700 | 6,582,678 | ||||||||||
Carvana Auto Receivables Trust |
| |||||||||||
Series 2021-N3, Class C |
| |||||||||||
1.02%, 06/12/2028 | 3,439 | 3,305,007 | ||||||||||
Series 2021-N4, Class D |
| |||||||||||
2.30%, 09/11/2028 | 3,177 | 2,917,951 | ||||||||||
Series 2021-P4, Class D |
| |||||||||||
2.61%, 09/11/2028 | 4,063 | 3,334,686 | ||||||||||
CPS Auto Receivables Trust |
| |||||||||||
Series 2021-C, Class D |
| |||||||||||
1.69%, 06/15/2027(b) | 5,050 | 4,565,028 | ||||||||||
Series 2022-A, Class C |
| |||||||||||
2.17%, 04/16/2029(b) | 5,564 | 5,152,523 | ||||||||||
FHF Trust | 2,277 | 2,163,084 | ||||||||||
Ford Credit Auto Owner Trust | 5,650 | 4,869,364 | ||||||||||
LAD Auto Receivables Trust |
| |||||||||||
Series 2021-1A, Class A |
| |||||||||||
1.30%, 08/17/2026(b) | 3,380 | 3,257,976 | ||||||||||
Series 2022-1A, Class A |
| |||||||||||
5.21%, 06/15/2027(b) | 6,103 | 6,025,324 | ||||||||||
Research-Driven Pagaya Motor Asset Trust VII | 6,505 | 6,418,304 | ||||||||||
Santander Bank Auto Credit-Linked Notes | 6,465 | 6,344,174 | ||||||||||
Santander Bank NA–SBCLN | 3,125 | 3,012,855 | ||||||||||
United Auto Credit Securitization Trust | 5,941 | 5,913,029 | ||||||||||
|
| |||||||||||
75,448,948 | ||||||||||||
|
| |||||||||||
Other ABS–Fixed Rate–2.2% |
| |||||||||||
AB Issuer LLC | 8,404 | 6,893,775 |
Schedule of Investments—Intermediate Duration Portfolio | 9 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Affirm Asset Securitization Trust |
| |||||||||||
Series 2021-Z1, Class A |
| |||||||||||
1.07%, 08/15/2025(b) | U.S.$ | 1,832 | $ | 1,775,906 | ||||||||
Series 2021-Z2, Class A |
| |||||||||||
1.17%, 11/16/2026(b) | 1,765 | 1,700,061 | ||||||||||
Series 2022-X1, Class A |
| |||||||||||
1.75%, 02/15/2027(b) | 4,821 | 4,700,273 | ||||||||||
Amur Equipment Finance Receivables XI LLC |
| 2,643 | 2,627,023 | |||||||||
Atalaya Equipment Leasing Trust | 1,762 | 1,643,202 | ||||||||||
BHG Securitization Trust | 1,618 | 1,513,926 | ||||||||||
Cajun Global LLC | 1,751 | 1,488,707 | ||||||||||
College Ave Student Loans LLC | 2,202 | 1,865,571 | ||||||||||
Conn’s Receivables Funding LLC | 1,849 | 1,840,281 | ||||||||||
Dext ABS LLC | 493 | 447,491 | ||||||||||
Diamond Infrastructure Funding LLC | 3,651 | 2,975,061 | ||||||||||
Diamond Issuer | 7,711 | 6,514,824 | ||||||||||
Domino’s Pizza Master Issuer LLC |
| 4,376 | 3,603,247 | |||||||||
GCI Funding I LLC | 2,426 | 2,070,335 | ||||||||||
Hardee’s Funding LLC |
| |||||||||||
Series 2018-1A, Class A23 |
| |||||||||||
5.71%, 06/20/2048(b) | 3,216 | 2,944,798 | ||||||||||
Series 2020-1A, Class A2 |
| |||||||||||
3.981%, 12/20/2050(b) | 2,605 | 2,235,609 | ||||||||||
MVW LLC | 3,497 | 3,117,649 | ||||||||||
Neighborly Issuer |
| 5,495 | 4,420,960 | |||||||||
Neighborly Issuer LLC | U.S.$ | 3,216 | 2,657,829 | |||||||||
Nelnet Student Loan Trust |
| |||||||||||
Series 2021-BA, Class B |
| |||||||||||
2.68%, 04/20/2062(b) | 2,008 | 1,597,138 | ||||||||||
Series 2021-CA, Class B |
| |||||||||||
2.53%, 04/20/2062(b) | 3,421 | 2,666,399 | ||||||||||
Series 2021-DA, Class B |
| |||||||||||
2.90%, 04/20/2062(b) | 3,096 | 2,495,429 | ||||||||||
Upstart Securitization Trust |
| |||||||||||
Series 2020-3, Class A |
| |||||||||||
1.702%, 11/20/2030(b) | 127 | 126,789 | ||||||||||
Series 2021-3, Class B |
| |||||||||||
1.66%, 07/20/2031(b) | 5,220 | 4,807,582 | ||||||||||
|
| |||||||||||
68,729,865 | ||||||||||||
|
| |||||||||||
Credit Cards–Fixed Rate–0.4% |
| |||||||||||
Brex Commercial Charge Card Master Trust |
| |||||||||||
Series 2021-1, Class A |
| |||||||||||
2.09%, 07/15/2024(b) | 4,282 | 4,199,987 | ||||||||||
Series 2022-1, Class A |
| |||||||||||
4.63%, 07/15/2025(b) | 7,665 | 7,423,491 | ||||||||||
Mission Lane Credit Card Master Trust | 1,601 | 1,544,693 | ||||||||||
|
| |||||||||||
13,168,171 | ||||||||||||
|
| |||||||||||
Home Equity Loans–Floating Rate–0.0% |
| |||||||||||
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates |
| 3 | 2,617 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities (cost $172,087,269) |
| 157,349,601 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES–3.6% |
| |||||||||||
Non-Agency Floating Rate CMBS–2.0% |
| |||||||||||
AREIT Trust |
| 12,432 | 11,951,509 | |||||||||
Ashford Hospitality Trust |
| 3,799 | 3,679,899 | |||||||||
BAMLL Commercial Mortgage Securities Trust |
| 10,570 | 9,956,110 |
10 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
BBCMS Mortgage Trust | U.S.$ | 7,708 | $ | 7,591,780 | ||||||||
BFLD Trust |
| 11,683 | 11,266,697 | |||||||||
BX Commercial Mortgage Trust |
| |||||||||||
Series 2019-IMC, Class D |
| |||||||||||
4.718% (LIBOR 1 Month + 1.90%), 04/15/2034(b)(d) |
| 1,772 | 1,680,230 | |||||||||
Series 2019-IMC, Class E |
| |||||||||||
4.968% (LIBOR 1 Month + 2.15%), 04/15/2034(b)(d) |
| 6,595 | 6,219,864 | |||||||||
CLNY Trust |
| 5,360 | 4,997,393 | |||||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk |
| 788 | 757,271 | |||||||||
Natixis Commercial Mortgage Securities Trust |
| 2,750 | 2,705,452 | |||||||||
|
| |||||||||||
60,806,205 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS–1.6% |
| |||||||||||
BAMLL Commercial Mortgage Securities Trust |
| 2,805 | 2,380,500 | |||||||||
Banc of America Commercial Mortgage Trust |
| 871 | 816,305 | |||||||||
Barclays Commercial Mortgage Trust | 3,523 | 3,069,612 | ||||||||||
Commercial Mortgage Trust |
| |||||||||||
Series 2012-CR3, Class E |
| |||||||||||
4.894%, 10/15/2045(b) | 3,938 | 2,359,985 | ||||||||||
Series 2013-SFS, Class A1 |
| 391 | 386,369 | |||||||||
GS Mortgage Securities Trust |
| |||||||||||
Series 2011-GC5, Class D |
| 333 | 141,753 | |||||||||
Series 2013-G1, Class A2 3.557%, 04/10/2031(b) | 3,622 | 3,592,866 | ||||||||||
GSF |
| |||||||||||
Series 2021-1, Class A1 1.433%, 08/15/2026(e)(h) | U.S.$ | 3,575 | 3,312,816 | |||||||||
Series 2021-1, Class A2 2.435%, 08/15/2026(e)(h) | 9,371 | 8,833,052 | ||||||||||
Series 2021-1, Class AS 2.638%, 08/15/2026(e)(h) | 249 | 229,680 | ||||||||||
HFX Funding Issuer |
| 6,860 | 6,297,907 | |||||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||||||
Series 2013-C14, Class D 4.699%, 08/15/2046(b) | 2,527 | 1,412,812 | ||||||||||
Series 2014-C21, Class B 4.341%, 08/15/2047 | 1,857 | 1,727,598 | ||||||||||
Series 2015-C27, Class AS 3.634%, 02/15/2048 |
| 3,415 | 3,227,916 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||||||
Series 2012-C6, Class E 5.129%, 05/15/2045(b) | 3,967 | 3,074,061 | ||||||||||
Series 2016-JP3, Class B 3.397%, 08/15/2049 | 3,000 | 2,618,770 | ||||||||||
LB-UBS Commercial Mortgage Trust |
| 817 | 360,710 | |||||||||
LSTAR Commercial Mortgage Trust | 1,836 | 1,821,892 | ||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||
Series 2015-SG1, Class AS | 2,906 | 2,735,702 | ||||||||||
Series 2019-C51, Class B 3.836%, 06/15/2052 | 1,269 | 1,082,237 | ||||||||||
WF-RBS Commercial Mortgage Trust | ||||||||||||
Series 2013-C11, Class XA |
| 44,918 | 19,378 | |||||||||
Series 2014-C24, Class AS |
| 1,471 | 1,403,071 | |||||||||
|
| |||||||||||
50,904,992 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities (cost $122,235,281) |
| 111,711,197 | ||||||||||
|
| |||||||||||
Schedule of Investments—Intermediate Duration Portfolio | 11 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 2.7% |
| |||||||||||
CLO-Floating Rate–2.7% |
| |||||||||||
AGL CLO 10 Ltd. | U.S.$ | 450 | $ | 428,508 | ||||||||
Balboa Bay Loan Funding Ltd. |
| 6,496 | 6,220,544 | |||||||||
Dryden 78 CLO Ltd. |
| 4,670 | 4,273,732 | |||||||||
Elevation CLO Ltd. |
| 4,500 | 3,869,379 | |||||||||
Elmwood CLO IX Ltd. |
| 5,900 | 5,645,905 | |||||||||
Elmwood CLO XII Ltd. |
| 2,100 | 1,868,200 | |||||||||
Flatiron CLO 21 Ltd. |
| 4,290 | 4,095,860 | |||||||||
Goldentree Loan Management US CLO 7 Ltd. |
| 6,463 | 6,133,298 | |||||||||
Golub Capital Partners 48 LP |
| 644 | 619,598 | |||||||||
Neuberger Berman Loan Advisers CLO 43 Ltd. |
| 6,910 | 6,621,476 | |||||||||
OCP CLO Ltd. |
| 8,088 | 7,816,130 | |||||||||
Palmer Square CLO Ltd. |
| 730 | 696,249 | |||||||||
Pikes Peak CLO 8 | U.S.$ | 7,300 | 6,987,684 | |||||||||
Rad CLO 7 Ltd. |
| 2,090 | 1,921,713 | |||||||||
Rad CLO 11 Ltd. |
| 3,800 | 3,334,800 | |||||||||
Rad CLO 14 Ltd |
| 829 | 784,909 | |||||||||
Regatta XX Funding Ltd. |
| 11,084 | 10,501,072 | |||||||||
Rockford Tower CLO Ltd. |
| |||||||||||
Series 2021-2A, Class A1 |
| |||||||||||
3.87% (LIBOR 3 Month + 1.16%), 07/20/2034(b)(d) |
| 5,449 | 5,176,680 | |||||||||
Series 2021-3A, Class D |
| |||||||||||
5.96% (LIBOR 3 Month + 3.25%), 10/20/2034(b)(d) |
| 3,200 | 2,766,784 | |||||||||
Sixth Street CLO XVII Ltd. |
| 1,089 | 1,048,574 | |||||||||
Sixth Street CLO XX Ltd. |
| 1,900 | 1,686,926 | |||||||||
TICP CLO XV Ltd. |
| 250 | 242,319 | |||||||||
Voya CLO Ltd. |
| 1,850 | 1,581,424 | |||||||||
|
| |||||||||||
Total Collateralized Loan Obligations |
| 84,321,764 | ||||||||||
|
| |||||||||||
CORPORATES-NON-INVESTMENT GRADE–1.9% |
| |||||||||||
Industrial–1.4% |
| |||||||||||
Capital Goods–0.0% |
| |||||||||||
TK Elevator Midco GmbH | EUR | 1,444 | 1,189,342 | |||||||||
|
|
12 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Communications-Media–0.4% |
| |||||||||||
Altice Financing SA | U.S.$ | 2,174 | $ | 1,603,682 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||||||
4.50%, 08/15/2030(b) | 1,424 | 1,126,441 | ||||||||||
4.50%, 06/01/2033(b) | 5,124 | 3,800,573 | ||||||||||
4.75%, 02/01/2032(b) | 1,041 | 812,355 | ||||||||||
DISH DBS Corp. | 3,890 | 2,932,827 | ||||||||||
Summer BC Holdco B SARL | EUR | 2,174 | 1,818,811 | |||||||||
VZ Vendor Financing II BV | 2,093 | 1,460,753 | ||||||||||
|
| |||||||||||
13,555,442 | ||||||||||||
|
| |||||||||||
Communications-Telecommunications–0.1% |
| |||||||||||
Altice France SA/France | 1,024 | 762,674 | ||||||||||
Lorca Telecom Bondco SA | 2,174 | 1,853,946 | ||||||||||
|
| |||||||||||
2,616,620 | ||||||||||||
|
| |||||||||||
Consumer Cyclical-Automotive–0.2% |
| |||||||||||
Adient Global Holdings Ltd. | 2,174 | 1,967,891 | ||||||||||
Ford Motor Co. | U.S.$ | 3,333 | 2,938,140 | |||||||||
ZF Finance GmbH | EUR | 1,400 | 1,067,580 | |||||||||
|
| |||||||||||
5,973,611 | ||||||||||||
| �� | |||||||||||
Consumer Cyclical-Entertainment–0.3% |
| |||||||||||
Carnival Corp. | U.S.$ | 5,633 | 4,546,732 | |||||||||
Royal Caribbean Cruises Ltd. | 4,339 | 4,220,849 | ||||||||||
|
| |||||||||||
8,767,581 | ||||||||||||
|
| |||||||||||
Consumer Cyclical-Other–0.0% |
| |||||||||||
NH Hotel Group SA | EUR | 694 | 592,082 | |||||||||
|
| |||||||||||
Consumer Non-Cyclical–0.2% |
| |||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | U.S.$ | 3,900 | 3,149,250 | |||||||||
IQVIA, Inc. | EUR | 1,420 | 1,066,911 | |||||||||
Nobel Bidco BV | 2,174 | 1,429,652 | ||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV | 1,420 | 1,112,557 | ||||||||||
|
| |||||||||||
6,758,370 | ||||||||||||
|
| |||||||||||
Services–0.1% |
| |||||||||||
APCOA Parking Holdings GmbH | EUR | 2,174 | 1,689,844 | |||||||||
|
| |||||||||||
Technology–0.1% |
| |||||||||||
Playtech PLC | 1,420 | 1,260,924 | ||||||||||
|
| |||||||||||
Transportation-Airlines–0.0% |
| |||||||||||
Deutsche Lufthansa AG | 800 | 657,794 | ||||||||||
|
| |||||||||||
43,061,610 | ||||||||||||
|
| |||||||||||
Financial Institutions–0.4% |
| |||||||||||
Banking–0.4% |
| |||||||||||
Credit Suisse Group AG |
| |||||||||||
6.375%, 08/21/2026(b)(c) | 611 | 447,325 | ||||||||||
7.50%, 12/11/2023(b)(c) | 2,634 | 2,423,148 | ||||||||||
7.50%, 07/17/2023(b)(c) | 5,931 | 5,100,601 | ||||||||||
Intesa Sanpaolo SpA | 6,204 | 5,790,876 | ||||||||||
|
| |||||||||||
13,761,950 | ||||||||||||
|
| |||||||||||
Utility–0.1% |
| |||||||||||
Electric–0.1% |
| |||||||||||
Vistra Corp. | 2,589 | 2,263,692 | ||||||||||
|
| |||||||||||
Total Corporates–Non-Investment Grade (cost $74,858,174) |
| 59,087,252 | ||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS-US MUNICIPAL BONDS–0.9% |
| |||||||||||
United States–0.9% |
| |||||||||||
Port Authority of New York & New Jersey | ||||||||||||
Series 2020-A |
| |||||||||||
1.086%, 07/01/2023 | 4,170 | 4,065,085 | ||||||||||
State Board of Administration Finance Corp. | ||||||||||||
Series 2020-A |
| |||||||||||
1.705%, 07/01/2027 | 6,821 | 5,833,178 | ||||||||||
State of California |
| |||||||||||
Series 2010 |
| |||||||||||
7.625%, 03/01/2040 | 8,520 | 10,569,156 | ||||||||||
Tobacco Settlement Finance Authority/WV | ||||||||||||
Series 2020 |
| |||||||||||
3.00%, 06/01/2035 | 2,133 | 2,024,055 | ||||||||||
University of California |
| |||||||||||
Series 2021-B |
| |||||||||||
3.071%, 05/15/2051 | 7,960 | 5,307,493 | ||||||||||
|
| |||||||||||
Total Local Governments–US Municipal Bonds (cost $29,649,597) |
| 27,798,967 | ||||||||||
|
|
Schedule of Investments—Intermediate Duration Portfolio | 13 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
EMERGING MARKETS-CORPORATE BONDS–0.4% |
| |||||||||||
Industrial–0.4% |
| |||||||||||
Basic–0.1% |
| |||||||||||
CSN Resources SA | U.S.$ | 1,862 | $ | 1,266,532 | ||||||||
Volcan Cia Minera SAA | 761 | 623,212 | ||||||||||
|
| |||||||||||
1,889,744 | ||||||||||||
|
| |||||||||||
Capital Goods–0.1% |
| |||||||||||
Embraer Netherlands Finance BV | ||||||||||||
5.40%, 02/01/2027 | 4,960 | 4,520,792 | ||||||||||
6.95%, 01/17/2028(b) | 1,797 | 1,686,709 | ||||||||||
Odebrecht Holdco Finance Ltd. |
| 3,418 | 6,837 | |||||||||
|
| |||||||||||
6,214,338 | ||||||||||||
|
| |||||||||||
Communications-Media–0.0% |
| |||||||||||
Globo Comunicacao e Participacoes SA | 825 | 620,813 | ||||||||||
|
| |||||||||||
Consumer Cyclical-Other–0.1% |
| |||||||||||
Wynn Macau Ltd. | 2,862 | 1,917,540 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical–0.1% |
| |||||||||||
Natura & Co. Luxembourg Holdings SARL | 2,258 | 1,840,834 | ||||||||||
|
| |||||||||||
12,483,269 | ||||||||||||
|
| |||||||||||
Utility–0.0% |
| |||||||||||
Electric–0.0% |
| |||||||||||
Terraform Global Operating LP | 565 | 532,100 | ||||||||||
|
| |||||||||||
Financial Institutions–0.0% |
| |||||||||||
Other Finance–0.0% |
| |||||||||||
OEC Finance Ltd. |
| |||||||||||
5.25%, 12/27/2033(b)(i) | 2,445 | 53,960 | ||||||||||
7.125%, 12/26/2046(b)(i) | 707 | 18,643 | ||||||||||
|
| |||||||||||
72,603 | ||||||||||||
|
| |||||||||||
Total Emerging Markets–Corporate Bonds (cost $20,972,830) |
| 13,087,972 | ||||||||||
|
| |||||||||||
COMMON STOCKS–0.3% |
| |||||||||||
Financials–0.3% |
| |||||||||||
Insurance–0.3% |
| |||||||||||
Mt Logan Re Ltd. |
| 9,249 | 7,908,780 | |||||||||
Mt Logan Re Ltd. |
| 1,463 | 1,227,194 | |||||||||
|
| |||||||||||
Total Common Stocks (cost $9,248,550) |
| 9,135,974 | ||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
QUASI-SOVEREIGNS–0.3% |
| |||||||||||
Quasi-Sovereign Bonds–0.3% |
| |||||||||||
Indonesia–0.1% |
| |||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | U.S.$ | 2,363 | 2,252,719 | |||||||||
|
| |||||||||||
Mexico–0.2% |
| |||||||||||
Comision Federal de Electricidad |
| |||||||||||
3.348%, 02/09/2031(b) | 6,919 | 4,978,653 | ||||||||||
4.688%, 05/15/2029(b) | 1,800 | 1,499,962 | ||||||||||
|
| |||||||||||
6,478,615 | ||||||||||||
|
| |||||||||||
Total Quasi-Sovereigns (cost $11,075,998) |
| 8,731,334 | ||||||||||
|
| |||||||||||
EMERGING MARKETS-SOVEREIGNS–0.3% |
| |||||||||||
Dominican Republic–0.2% |
| |||||||||||
Dominican Republic International Bond | 8,182 | 6,104,795 | ||||||||||
|
| |||||||||||
Egypt–0.1% |
| |||||||||||
Egypt Government International Bond | 4,439 | 2,557,419 | ||||||||||
|
| |||||||||||
Total Emerging Markets–Sovereigns (cost $12,449,747) |
| 8,662,214 | ||||||||||
|
| |||||||||||
AGENCIES–0.2% |
| |||||||||||
Agency Debentures–0.2% |
| |||||||||||
Federal Home Loan Banks | 6,170 | 6,019,761 | ||||||||||
|
| |||||||||||
14 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS-SOVEREIGN BONDS–0.1% |
| |||||||||||
Colombia–0.1% |
| |||||||||||
Colombia Government International Bond | U.S.$ | 2,490 | $ | 1,727,904 | ||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS–2.1% |
| |||||||||||
Governments-Treasuries–2.1% |
| |||||||||||
Japan–2.1% |
| |||||||||||
Japan Treasury Discount Bill | JPY | 9,328,050 | $ | 64,470,728 | ||||||||
|
| |||||||||||
Total Investments—104.9% (cost $3,672,940,300) |
| 3,240,729,482 | ||||||||||
Other assets less liabilities—(4.9)% |
| (150,178,057 | ) | |||||||||
|
| |||||||||||
Net Assets—100.0% |
| $ | 3,090,551,425 | |||||||||
|
|
FUTURES (see Note 3)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts |
| |||||||||||||||
U.S. Long Bond (CBT) Futures | 152 | December 2022 | $ | 19,213,750 | $ | 44,906 | ||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 725 | December 2022 | 148,908,204 | (2,408,991 | ) | |||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 1,808 | December 2022 | 194,374,126 | (5,520,542 | ) | |||||||||||
U.S. Ultra Bond (CBT) Futures | 378 | December 2022 | 51,786,000 | (4,973,860 | ) | |||||||||||
Sold Contracts | ||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 100 | December 2022 | 102,466,662 | 277,506 | ||||||||||||
Long Gilt Futures | 812 | December 2022 | 87,399,957 | (1,087,146 | ) | |||||||||||
U.S. 10 Yr Ultra Futures | 77 | December 2022 | 9,123,297 | 602,057 | ||||||||||||
|
| |||||||||||||||
$ | (13,066,070 | ) | ||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | EUR | 18,748 | USD | 18,110 | 12/08/2022 | $ | (348,530 | ) | ||||||||||||||||
Citibank, NA | JPY | 9,330,876 | USD | 66,040 | 12/02/2022 | 1,182,022 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 1,617 | USD | 11 | 12/02/2022 | 182 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 833,674 | |||||||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note 3)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY Series 39, 5 Year Index, 12/20/2027* | 5.00 | % | Quarterly | 6.06 | % | USD | 19,575 | $ | 774,860 | $ | 775,958 | $ | (1,098 | ) |
* Termination date
Schedule of Investments—Intermediate Duration Portfolio | 15 |
Table of Contents
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
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 | 19,060 | 12/13/2029 | 1.764% | 3 Month LIBOR | Semi-Annual/Quarterly | $ | 2,464,228 | $ | — | $ | 2,464,228 |
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 28 | $ | (6,278 | ) | $ | (4,221 | ) | $ | (2,057 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 93 | (20,767 | ) | (10,452 | ) | (10,315 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 115 | (25,757 | ) | (14,096 | ) | (11,661 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 99 | (22,216 | ) | (9,431 | ) | (12,785 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 139 | (31,231 | ) | (16,539 | ) | (14,692 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 164 | (36,865 | ) | (20,165 | ) | (16,700 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 162 | (36,221 | ) | (19,181 | ) | (17,040 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 171 | (38,314 | ) | (21,209 | ) | (17,105 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 178 | (39,925 | ) | (22,625 | ) | (17,300 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 310 | (69,545 | ) | (35,003 | ) | (34,542 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 460 | (103,191 | ) | (47,272 | ) | (55,919 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,827 | (409,703 | ) | (135,431 | ) | (274,272 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1 | (161 | ) | (84 | ) | (77 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 987 | (221,352 | ) | (74,921 | ) | (146,431 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,275 | (285,907 | ) | (98,828 | ) | (187,079 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,551 | (347,725 | ) | (86,436 | ) | (261,289 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 106 | (23,826 | ) | (15,104 | ) | (8,722 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 248 | (55,539 | ) | (27,173 | ) | (28,366 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,211 | (271,580 | ) | (185,268 | ) | (86,312 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,074 | (240,832 | ) | (126,664 | ) | (114,168 | ) |
16 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 1,240 | $ | (278,019 | ) | $ | (146,223 | ) | $ | (131,796 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2,380 | (533,661 | ) | (254,780 | ) | (278,881 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2,380 | (533,662 | ) | (254,681 | ) | (278,981 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 3,293 | (738,272 | ) | (221,068 | ) | (517,204 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 221 | (49,583 | ) | (20,189 | ) | (29,394 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 232 | (51,998 | ) | (21,179 | ) | (30,819 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 905 | (202,840 | ) | (104,743 | ) | (98,097 | ) | |||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,434 | (321,484 | ) | (94,620 | ) | (226,864 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (4,996,454 | ) | $ | (2,087,586 | ) | $ | (2,908,868 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
** | Principal amount less than 500. |
(a) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(b) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $788,777,420 or 25.5% of net assets. |
(c) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(d) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(e) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.71% of net assets as of September 30, 2022, 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 | $ | 3,487,656 | $ | 3,312,816 | 0.11 | % | |||||||||
GSF | 02/25/2021 | 9,612,067 | 8,833,052 | 0.29 | % | |||||||||||
GSF | 02/25/2021 | 254,398 | 229,680 | 0.01 | % | |||||||||||
HFX Funding Issuer | 11/19/2020 | $ | 7,307,523 | $ | 6,297,907 | 0.20 | % | |||||||||
JPMorgan Madison Avenue Securities Trust | 11/06/2015 | 216,712 | 208,198 | 0.01 | % | |||||||||||
PMT Credit Risk Transfer Trust Series 2020-1R, Class A | 02/11/2020 | 928,788 | 881,159 | 0.03 | % | |||||||||||
Terraform Global Operating LP | 02/08/2018 | 565,000 | 532,100 | 0.02 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/28/2015 | 1,024,041 | 938,647 | 0.03 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2 | 09/28/2015 | 265,653 | 249,867 | 0.01 | % |
(f) | IO—Interest Only. |
(g) | Inverse interest only security. |
(h) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
Schedule of Investments—Intermediate Duration Portfolio | 17 |
Table of Contents
(i) | 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 September 30, 2022. |
(j) | Fair valued by the Adviser. |
(k) | Non-income producing security. |
Currency Abbreviations:
EUR–Euro
JPY—Japanese Yen
USD—United States Dollar
Glossary:
ABS—Asset-Backed Securities
ARMs—Adjustable Rate Mortgages
CBT—Chicago Board of Trade
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
OSE—Osaka Securities Exchange
REIT—Real Estate Investment Trust
REMICs—Real Estate Mortgage Investment Conduits
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced
See notes to financial statements.
18 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Short Duration Plus Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS–TREASURIES–68.5% |
| |||||||||||
United States–68.5% |
| |||||||||||
U.S. Treasury Notes |
| |||||||||||
0.125%, 08/31/2023 | U.S.$ | 3,984 | $ | 3,836,660 | ||||||||
0.375%, 11/30/2025 | 96 | 84,667 | ||||||||||
0.75%, 08/31/2026 | 1,749 | 1,534,650 | ||||||||||
0.875%, 01/31/2024(a) | 2,481 | 2,369,456 | ||||||||||
1.50%, 02/29/2024 | 7,196 | 6,920,624 | ||||||||||
2.50%, 04/30/2024 | 13,883 | 13,496,879 | ||||||||||
2.50%, 05/31/2024 | 19,339 | 18,783,004 | ||||||||||
2.875%, 09/30/2023 | 65,215 | 64,369,243 | ||||||||||
3.00%, 06/30/2024 | 62,073 | 60,734,942 | ||||||||||
3.125%, 08/31/2027 | 1,534 | 1,471,777 | ||||||||||
3.25%, 08/31/2024 | 57,972 | 56,939,275 | ||||||||||
3.25%, 06/30/2027 | 2,025 | 1,952,543 | ||||||||||
|
| |||||||||||
Total Governments–Treasuries (cost $238,901,986) |
| 232,493,720 | ||||||||||
|
| |||||||||||
CORPORATES–INVESTMENT GRADE–8.0% |
| |||||||||||
Financial Institutions–4.8% |
| |||||||||||
Banking–3.4% |
| |||||||||||
Banco Bilbao Vizcaya Argentaria SA | 600 | 586,650 | ||||||||||
Banco Santander SA | 200 | 180,958 | ||||||||||
Bank of America Corp. |
| |||||||||||
1.734%, 07/22/2027 | 790 | 677,725 | ||||||||||
4.376%, 04/27/2028 | 466 | 436,842 | ||||||||||
Bank of Ireland Group PLC | 343 | 335,787 | ||||||||||
Barclays PLC | 319 | 306,623 | ||||||||||
BNP Paribas SA | 490 | 419,131 | ||||||||||
Capital One Financial Corp. |
| |||||||||||
2.636%, 03/03/2026 | 456 | 423,483 | ||||||||||
4.927%, 05/10/2028 | 165 | 157,057 | ||||||||||
Citigroup, Inc. |
| |||||||||||
3.106%, 04/08/2026 | 346 | 324,513 | ||||||||||
4.14%, 05/24/2025 | 488 | 477,083 | ||||||||||
Cooperatieve Rabobank UA | 282 | 260,452 | ||||||||||
Credit Suisse AG | 302 | 298,817 | ||||||||||
Credit Suisse Group AG | 479 | 463,016 | ||||||||||
Danske Bank A/S | 353 | 339,671 | ||||||||||
Deutsche Bank AG/New York NY |
| |||||||||||
3.95%, 02/27/2023 | U.S.$ | 234 | 233,041 | |||||||||
6.119%, 07/14/2026 | 267 | 259,452 | ||||||||||
Federation des Caisses Desjardins du Quebec |
| 333 | 322,038 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.64%, 02/24/2028 | 239 | 207,607 | ||||||||||
3.75%, 05/22/2025 | 222 | 213,025 | ||||||||||
HSBC Holdings PLC |
| |||||||||||
2.999%, 03/10/2026 | 595 | 550,119 | ||||||||||
5.21%, 08/11/2028 | 790 | 739,843 | ||||||||||
ING Groep NV | 355 | 322,620 | ||||||||||
JPMorgan Chase & Co. | 533 | 511,403 | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 267 | 263,409 | ||||||||||
Morgan Stanley |
| |||||||||||
2.475%, 01/21/2028 | 303 | 265,122 | ||||||||||
4.21%, 04/20/2028 | 175 | 163,688 | ||||||||||
4.679%, 07/17/2026 | 153 | 148,953 | ||||||||||
Nationwide Building Society | 310 | 266,873 | ||||||||||
Santander Holdings USA, Inc. |
| |||||||||||
2.49%, 01/06/2028 | 185 | 154,053 | ||||||||||
4.26%, 06/09/2025 | 183 | 175,889 | ||||||||||
Societe Generale SA | 367 | 309,480 | ||||||||||
Standard Chartered PLC | 621 | 579,244 | ||||||||||
UBS Group AG | 233 | 224,402 | ||||||||||
|
| |||||||||||
11,598,069 | ||||||||||||
|
| |||||||||||
Brokerage–0.1% |
| |||||||||||
Charles Schwab Corp., (The) | 346 | 311,282 | ||||||||||
|
| |||||||||||
Finance–0.6% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 595 | 503,043 | ||||||||||
Aviation Capital Group LLC |
| |||||||||||
1.95%, 01/30/2026(b) | 298 | 250,228 | ||||||||||
1.95%, 09/20/2026(b) | 99 | 80,183 | ||||||||||
5.50%, 12/15/2024(b) | 65 | 62,907 | ||||||||||
Azure Orbit IV International Finance Ltd. | 900 | 896,166 | ||||||||||
Synchrony Financial |
| |||||||||||
3.95%, 12/01/2027 | 167 | 145,554 | ||||||||||
4.875%, 06/13/2025 | 233 | 225,052 | ||||||||||
|
| |||||||||||
2,163,133 | ||||||||||||
|
|
Schedule of Investments—Short Duration Plus Portfolio | 19 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
REITs–0.7% |
| |||||||||||
American Tower Corp. | U.S.$ | 235 | $ | 215,385 | ||||||||
Simon Property Group LP | 653 | 591,971 | ||||||||||
Vornado Realty LP | 426 | 360,353 | ||||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC | 1,072 | 1,009,234 | ||||||||||
|
| |||||||||||
2,176,943 | ||||||||||||
|
| |||||||||||
16,249,427 | ||||||||||||
|
| |||||||||||
Industrial–3.2% |
| |||||||||||
Basic–0.2% |
| |||||||||||
Glencore Funding LLC | 623 | 616,078 | ||||||||||
|
| |||||||||||
Capital Goods–0.2% |
| |||||||||||
CNH Industrial Capital LLC | 376 | 362,637 | ||||||||||
Parker-Hannifin Corp. | 389 | 380,489 | ||||||||||
|
| |||||||||||
743,126 | ||||||||||||
|
| |||||||||||
Communications-Media–0.3% |
| |||||||||||
Prosus NV | 367 | 307,362 | ||||||||||
Walt Disney Co., (The) | 561 | 541,494 | ||||||||||
Warnermedia Holdings, Inc. | 359 | 339,284 | ||||||||||
|
| |||||||||||
1,188,140 | ||||||||||||
|
| |||||||||||
Consumer Cyclical-Automotive–0.4% |
| |||||||||||
Harley-Davidson Financial Services, Inc. |
| |||||||||||
3.05%, 02/14/2027(b) | 289 | 247,945 | ||||||||||
3.35%, 06/08/2025(b) | 202 | 189,642 | ||||||||||
Hyundai Capital America | 1,010 | 889,769 | ||||||||||
|
| |||||||||||
1,327,356 | ||||||||||||
|
| |||||||||||
Consumer Cyclical-Other–0.2% |
| |||||||||||
Las Vegas Sands Corp. |
| |||||||||||
2.90%, 06/25/2025 | 393 | 353,024 | ||||||||||
3.20%, 08/08/2024 | 227 | 213,428 | ||||||||||
|
| |||||||||||
566,452 | ||||||||||||
|
| |||||||||||
Consumer Cyclical-Retailers–0.3% |
| |||||||||||
AutoNation, Inc. | 950 | 919,002 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical–0.2% |
| |||||||||||
BAT International Finance PLC | 740 | 639,219 | ||||||||||
|
| |||||||||||
Energy–0.4% |
| |||||||||||
Canadian Natural Resources Ltd. 2.05%, 07/15/2025 | U.S.$ | 663 | 606,048 | |||||||||
Continental Resources, Inc./OK 2.268%, 11/15/2026(b) | 618 | 528,149 | ||||||||||
Marathon Oil Corp. | 352 | 328,796 | ||||||||||
|
| |||||||||||
1,462,993 | ||||||||||||
|
| |||||||||||
Services–0.0% |
| |||||||||||
Expedia Group, Inc. | 168 | 157,752 | ||||||||||
|
| |||||||||||
Technology–0.6% |
| |||||||||||
HP, Inc. | 316 | 296,917 | ||||||||||
Kyndryl Holdings, Inc. | 641 | 514,844 | ||||||||||
Oracle Corp. | 740 | 665,889 | ||||||||||
TSMC Arizona Corp. | 227 | 216,265 | ||||||||||
Workday, Inc. | 235 | 217,608 | ||||||||||
|
| |||||||||||
1,911,523 | ||||||||||||
|
| |||||||||||
Transportation-Airlines–0.4% |
| |||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 1,050 | 1,020,421 | ||||||||||
Southwest Airlines Co. | 279 | 278,791 | ||||||||||
|
| |||||||||||
1,299,212 | ||||||||||||
|
| |||||||||||
10,830,853 | ||||||||||||
|
| |||||||||||
Total Corporates–Investment Grade (cost $29,128,683) |
| 27,080,280 | ||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES–5.4% |
| |||||||||||
Autos-Fixed Rate–3.6% |
| |||||||||||
ACM Auto Trust | 334 | 332,952 | ||||||||||
American Credit Acceptance Receivables Trust | 905 | 900,722 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC | 492 | 489,851 | ||||||||||
Carmax Auto Owner Trust | 190 | 169,405 | ||||||||||
Carvana Auto Receivables Trust | 275 | 260,931 |
20 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
CPS Auto Receivables Trust |
| |||||||||||
Series 2021-A, Class C | U.S.$ | 635 | $ | 623,639 | ||||||||
Series 2021-B, Class C | ||||||||||||
1.23%, 03/15/2027(b) | 389 | 373,409 | ||||||||||
Donlen Fleet Lease Funding 2 LLC | 371 | 345,223 | ||||||||||
Drive Auto Receivables Trust | 220 | 213,033 | ||||||||||
DT Auto Owner Trust | 185 | 176,284 | ||||||||||
Exeter Automobile Receivables Trust | 540 | 529,457 | ||||||||||
Exeter Automobile Receivables Trust | 365 | 360,541 | ||||||||||
First Investors Auto Owner Trust | 351 | 329,977 | ||||||||||
Flagship Credit Auto Trust |
| |||||||||||
Series 2019-4, Class B | 184 | 184,107 | ||||||||||
Series 2020-4, Class C 1.28%, 02/16/2027(b) | 615 | 586,605 | ||||||||||
Ford Credit Auto Owner Trust | 202 | 174,930 | ||||||||||
Foursight Capital Automobile Receivables Trust | 229 | 220,347 | ||||||||||
Hertz Vehicle Financing III LLC | 562 | 512,467 | ||||||||||
JPMorgan Chase Bank NA–CACLN |
| |||||||||||
Series 2020-1, Class C | 159 | 156,281 | ||||||||||
Series 2020-2, Class D | 76 | 74,122 | ||||||||||
Series 2021-1, Class B | 363 | 350,608 | ||||||||||
Series 2021-2, Class B | 293 | 282,302 | ||||||||||
LAD Auto Receivables Trust | 604 | 596,284 | ||||||||||
Research-Driven Pagaya Motor Asset Trust VII | 650 | 641,737 | ||||||||||
Santander Bank Auto Credit-Linked Notes | ||||||||||||
Series 2022-A, Class B | U.S.$ | 473 | 464,154 | |||||||||
Series 2022-B, Class B | ||||||||||||
5.721%, 08/16/2032(b) | 742 | 743,051 | ||||||||||
Santander Consumer Auto Receivables Trust |
| 727 | 661,348 | |||||||||
Santander Drive Auto Receivables Trust |
| 424 | 407,571 | |||||||||
United Auto Credit Securitization Trust |
| 482 | 479,391 | |||||||||
Westlake Automobile Receivables Trust |
| 657 | 639,230 | |||||||||
|
| |||||||||||
12,279,958 | ||||||||||||
|
| |||||||||||
Other ABS-Fixed Rate–1.6% |
| |||||||||||
Affirm Asset Securitization Trust |
| |||||||||||
Series 2021-A, Class A | 339 | 336,973 | ||||||||||
Series 2021-B, Class B | 198 | 181,501 | ||||||||||
Series 2021-Z1, Class A | 119 | 115,713 | ||||||||||
Amur Equipment Finance Receivables XI LLC |
| 281 | 279,301 | |||||||||
Atalaya Equipment Leasing Trust | 416 | 403,699 | ||||||||||
Avant Loans Funding Trust | 811 | 761,355 | ||||||||||
Cajun Global LLC | 102 | 86,582 | ||||||||||
College Ave Student Loans LLC | 446 | 380,704 | ||||||||||
Conn’s Receivables Funding LLC Series 2021-A, Class A | 106 | 105,409 | ||||||||||
Crossroads Asset Trust | 172 | 166,519 | ||||||||||
Dext ABS LLC | 523 | 499,978 | ||||||||||
Hardee’s Funding LLC | 861 | 788,005 |
Schedule of Investments—Short Duration Plus Portfolio | 21 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
MVW LLC | U.S.$ | 450 | $ | 395,349 | ||||||||
Neighborly Issuer LLC | 223 | 184,510 | ||||||||||
Nelnet Student Loan Trust |
| |||||||||||
Series 2021-CA, Class AFX | 393 | 350,555 | ||||||||||
Series 2021-DA, Class AFX | 126 | 113,580 | ||||||||||
Upstart Securitization Trust |
| |||||||||||
Series 2020-3, Class A | 23 | 22,523 | ||||||||||
Series 2021-1, Class A | 28 | 28,187 | ||||||||||
Series 2021-3, Class A | 211 | 204,627 | ||||||||||
|
| |||||||||||
5,405,070 | ||||||||||||
|
| |||||||||||
Credit Cards-Fixed Rate–0.2% |
| |||||||||||
Brex Commercial Charge Card Master Trust |
| 555 | 544,370 | |||||||||
Mission Lane Credit Card Master Trust |
| 142 | 136,942 | |||||||||
|
| |||||||||||
681,312 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities (cost $19,292,341) |
| 18,366,340 | ||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS–4.2% |
| |||||||||||
Risk Share Floating Rate–3.8% |
| |||||||||||
Bellemeade Re Ltd. |
| |||||||||||
Series 2019-1A, Class M1B | 63 | 63,375 | ||||||||||
Series 2019-3A, Class M1B | 64 | 64,428 | ||||||||||
Series 2021-1A, Class M1B | 684 | 676,133 | ||||||||||
Series 2021-2A, Class M1A | 281 | 277,029 | ||||||||||
Series 2021-3A, Class A2 | 480 | 451,188 | ||||||||||
Series 2022-2, Class M1A | ||||||||||||
6.285% (SOFR + 4.00%), 09/27/2032(b)(c) | 858 | 857,870 | ||||||||||
Connecticut Avenue Securities Trust |
| |||||||||||
Series 2021-R01, Class 1M1 | U.S.$ | 93 | 92,258 | |||||||||
Series 2021-R03, Class 1M1 | 519 | 507,822 | ||||||||||
Series 2022-R01, Class 1M1 | 1,149 | 1,127,659 | ||||||||||
Series 2022-R02, Class 2M1 | 391 | 382,757 | ||||||||||
Series 2022-R05, Class 2M1 | 152 | 149,283 | ||||||||||
Series 2022-R08, Class 1M1 | 772 | 767,897 | ||||||||||
Eagle Re Ltd. | 4 | 3,844 | ||||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||||||
Series 2015-DNA1, Class M3 | 84 | 85,226 | ||||||||||
Series 2021-DNA5, Class M2 | 173 | 168,483 | ||||||||||
Series 2021-DNA6, Class M1 | 399 | 390,835 | ||||||||||
Series 2021-DNA7, Class M1 | 754 | 734,641 | ||||||||||
Series 2021-HQA4, Class M1 | 474 | 451,527 | ||||||||||
Series 2022-DNA1, Class M1A |
| 374 | 363,753 | |||||||||
Series 2022-DNA2, Class M1A |
| 403 | 395,855 | |||||||||
Series 2022-DNA4, Class M1A |
| 340 | 336,832 | |||||||||
Series 2022-DNA5, Class M1A |
| 470 | 470,468 | |||||||||
Series 2022-DNA6, Class M1A |
| 390 | 387,968 |
22 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2022-DNA7, Class M1A | U.S.$ | 1,012 | $ | 1,012,293 | ||||||||
Series 2022-HQA1, Class M1A | 518 | 514,667 | ||||||||||
Series 2022-HQA2, Class M1A | 765 | 761,201 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||||||
Series 2014-C04, Class 1M2 | 186 | 192,256 | ||||||||||
Series 2015-C01, Class 1M2 | 38 | 39,047 | ||||||||||
Series 2015-C02, Class 1M2 | 11 | 10,811 | ||||||||||
Series 2021-R02, Class 2M1 | 448 | 438,953 | ||||||||||
PMT Credit Risk Transfer Trust |
| |||||||||||
Series 2019-2R, Class A | 71 | 67,670 | ||||||||||
Series 2019-3R, Class A | 23 | 22,325 | ||||||||||
Radnor Re Ltd. |
| |||||||||||
Series 2019-1, Class M1B | 192 | 189,256 | ||||||||||
Series 2019-2, Class M1B | 47 | 47,195 | ||||||||||
Series 2020-1, Class M1A | 93 | 92,744 | ||||||||||
Traingle Re Ltd. | 284 | 281,884 | ||||||||||
|
| |||||||||||
12,877,433 | ||||||||||||
|
| |||||||||||
Agency Floating Rate–0.3% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs |
| |||||||||||
Series 4248, Class QF | 270 | 267,714 | ||||||||||
Series 4286, Class VF | U.S.$ | 229 | 226,148 | |||||||||
Federal National Mortgage Association REMICs | ||||||||||||
Series 2013-57, Class FN | 170 | 167,911 | ||||||||||
Series 2014-49, Class AF | 309 | 304,288 | ||||||||||
|
| |||||||||||
966,061 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate–0.1% |
| |||||||||||
Federal Home Loan Mortgage Corp. REMICs |
| 246 | 233,446 | |||||||||
|
| |||||||||||
Non-Agency Floating Rate–0.0% |
| |||||||||||
JPMorgan Chase Bank, NA | 54 | 52,944 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations (cost $14,350,797) |
| 14,129,884 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES–2.2% |
| |||||||||||
Non-Agency Floating Rate CMBS–1.2% |
| |||||||||||
AREIT Trust | 784 | 754,028 | ||||||||||
Ashford Hospitality Trust | 113 | 109,740 | ||||||||||
BBCMS Mortgage Trust | 546 | 537,768 | ||||||||||
BFLD Trust | 795 | 766,672 | ||||||||||
CLNY Trust | 180 | 167,823 | ||||||||||
GCT Commercial Mortgage Trust Series 2021-GCT, Class B | 469 | 450,435 | ||||||||||
Morgan Stanley Capital I Trust Series 2019-BPR, Class C | 365 | 346,068 |
Schedule of Investments—Short Duration Plus Portfolio | 23 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Natixis Commercial Mortgage Securities Trust | U.S.$ | 166 | $ | 162,935 | ||||||||
VASA Trust | 830 | 790,108 | ||||||||||
|
| |||||||||||
4,085,577 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS–1.0% |
| |||||||||||
BAMLL Commercial Mortgage Securities Trust | 185 | 157,003 | ||||||||||
Citigroup Commercial Mortgage Trust | ||||||||||||
Series 2013-GC11, Class B |
| |||||||||||
3.732%, 04/10/2046 | 350 | 344,633 | ||||||||||
Series 2013-GC15, Class C |
| |||||||||||
5.335%, 09/10/2046 | 516 | 505,003 | ||||||||||
GS Mortgage Securities Trust | 495 | 492,335 | ||||||||||
GSF |
| |||||||||||
Series 2021-1, Class A1 |
| |||||||||||
1.433%, 08/15/2026(d)(e) | 381 | 353,118 | ||||||||||
Series 2021-1, Class A2 |
| |||||||||||
2.435%, 08/15/2026(d)(e) | 538 | 507,116 | ||||||||||
Series 2021-1, Class AS |
| |||||||||||
2.638%, 08/15/2026(d)(e) | 18 | 16,603 | ||||||||||
HFX Funding Issuer | 470 | 431,489 | ||||||||||
LSTAR Commercial Mortgage Trust | 171 | 169,867 | ||||||||||
Morgan Stanley Capital I Trust Series 2011-C3, Class C | 45 | 43,936 | ||||||||||
UBS-Barclays Commercial Mortgage Trust | 505 | 459,389 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 6 | 5,994 | ||||||||||
|
| |||||||||||
3,486,486 | ||||||||||||
|
| |||||||||||
Agency CMBS–0.0% |
| |||||||||||
Government National Mortgage Association | U.S.$ | 259 | 503 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities (cost $8,043,218) |
| 7,572,566 | ||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS–1.4% |
| |||||||||||
CLO–Floating Rate–1.4% |
| |||||||||||
AGL CLO 12 Ltd. | 686 | 655,664 | ||||||||||
Dryden 78 CLO Ltd. | 320 | 292,847 | ||||||||||
Elevation CLO Ltd. | 250 | 222,140 | ||||||||||
Goldentree Loan Management US CLO 7 Ltd. | 453 | 429,751 | ||||||||||
Magnetite XXVI Ltd. | 739 | 708,850 | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd. | 799 | 764,520 | ||||||||||
OCP CLO Ltd. | 590 | 570,168 | ||||||||||
Rad CLO 2 Ltd. | 614 | 596,019 | ||||||||||
Rad CLO 7 Ltd. | 444 | 429,080 | ||||||||||
Voya CLO Ltd. | 130 | 111,127 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations (cost $5,015,715) |
| 4,780,166 | ||||||||||
|
|
24 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
AGENCIES–1.1% |
| |||||||||||
Agency Debentures–1.1% |
| |||||||||||
Federal Home Loan Banks |
| |||||||||||
1.375%, 02/17/2023 | U.S.$ | 750 | $ | 743,370 | ||||||||
2.50%, 02/13/2024 | 445 | 434,164 | ||||||||||
Federal Home Loan Mortgage Corp. | 2,000 | 1,930,614 | ||||||||||
Federal National Mortgage Association | 810 | 790,343 | ||||||||||
|
| |||||||||||
Total Agencies (cost $4,002,915) |
| 3,898,491 | ||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS–0.5% |
| |||||||||||
Agency Fixed Rate 30-Year–0.5% |
| |||||||||||
Federal Home Loan Mortgage Corp. |
| |||||||||||
Series 2019 |
| |||||||||||
3.50%, 10/01/2049 | 138 | 125,843 | ||||||||||
3.50%, 11/01/2049 | 633 | 576,413 | ||||||||||
Federal National Mortgage Association | 599 | 601,322 | ||||||||||
Government National Mortgage Association | ||||||||||||
Series 2002 |
| |||||||||||
7.50%, 03/15/2032 | 30 | 31,714 | ||||||||||
Series 2009 |
| |||||||||||
5.00%, 10/15/2039 | 233 | 233,427 | ||||||||||
|
| |||||||||||
1,568,719 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year–0.0% |
| |||||||||||
Federal Home Loan Mortgage Corp. Gold | ||||||||||||
Series 2011 |
| |||||||||||
5.00%, 07/01/2025 | 13 | 12,572 | ||||||||||
6.50%, 03/01/2026 | 24 | 24,557 | ||||||||||
|
| |||||||||||
37,129 | ||||||||||||
|
| |||||||||||
Agency ARMs–0.0% |
| |||||||||||
Federal National Mortgage Association | 1 | 523 | ||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs (cost $1,773,048) |
| 1,606,371 | ||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS–US MUNICIPAL BONDS–0.2% |
| |||||||||||
United States–0.2% |
| |||||||||||
City of New York NY |
| |||||||||||
Series 2021 |
| |||||||||||
0.982%, 08/01/2025 | U.S.$ | 265 | 239,523 | |||||||||
New Jersey Turnpike Authority |
| |||||||||||
Series 2021-B |
| |||||||||||
1.047%, 01/01/2026 | 125 | 110,708 | ||||||||||
Port Authority of New York & New Jersey |
| |||||||||||
Series 2020-A |
| |||||||||||
1.086%, 07/01/2023 | 280 | 272,955 | ||||||||||
Tobacco Settlement Finance Authority/WV |
| |||||||||||
Series 2020 |
| |||||||||||
3.00%, 06/01/2035 | 253 | 240,095 | ||||||||||
|
| |||||||||||
Total Local Governments–US Municipal Bonds (cost $923,007) |
| 863,281 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS–7.1% |
| |||||||||||
U.S. Treasury Bills–5.1% |
| |||||||||||
U.S. Treasury Bill |
| |||||||||||
Zero Coupon, 12/01/2022 | 10,345 | 10,295,110 | ||||||||||
Zero Coupon, 03/09/2023 | 6,984 | 6,870,490 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Bills (cost $17,171,983) |
| 17,165,600 | ||||||||||
|
| |||||||||||
Governments–Treasuries–2.0% |
| |||||||||||
Japan–2.0% |
| |||||||||||
Japan Treasury Discount Bill | JPY | 980,900 | 6,779,481 | |||||||||
|
| |||||||||||
Total Short-Term Investments (cost $23,983,844) |
| 23,945,081 | ||||||||||
|
| |||||||||||
Total Investments—98.6% (cost $345,415,554) |
| 334,736,180 | ||||||||||
Other assets less liabilities—1.4% |
| 4,675,435 | ||||||||||
|
| |||||||||||
Net Assets—100.0% |
| $ | 339,411,615 | |||||||||
|
|
FUTURES (see Note 3)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased Contracts | ||||||||||||||
U.S. 10 Yr Ultra Futures | 6 | December 2022 | $ | 710,906 | $ | 601 | ||||||||
U.S. T-Note 2 Yr (CBT) Futures | 360 | December 2022 | 73,940,626 | (1,196,317 | ) |
Schedule of Investments—Short Duration Plus Portfolio | 25 |
Table of Contents
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Sold Contracts | ||||||||||||||
10 Yr Japan Bond (OSE) Futures | 11 | December 2022 | $ | 11,271,333 | $ | 30,490 | ||||||||
Long Gilt Futures | 89 | December 2022 | 9,579,552 | (118,396 | ) | |||||||||
U.S. T-Note 5 Yr (CBT) Futures | 16 | December 2022 | 1,720,125 | 62,628 | ||||||||||
|
| |||||||||||||
$ | (1,220,994 | ) | ||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | JPY | 981,175 | USD | 6,861 | 12/02/2022 | $ | 41,164 | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 2,834 | USD | 20 | 12/02/2022 | 320 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 41,484 | |||||||||||||||||||||||
|
|
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
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 | 2,830 | 05/21/2031 | 1.617 | % | 3 Month LIBOR | Semi-Annual/Quarterly | $ | 449,586 | $ | — | $ | 449,586 |
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 2 | $ | (483 | ) | $ | (325 | ) | $ | (158 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2 | (483 | ) | (260 | ) | (223 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 9 | (2,093 | ) | (1,108 | ) | (985 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 11 | (2,415 | ) | (1,321 | ) | (1,094 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 10 | (2,253 | ) | (1,134 | ) | (1,119 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 11 | (2,415 | ) | (1,279 | ) | (1,136 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 15 | (3,380 | ) | (1,790 | ) | (1,590 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 14 | (3,059 | ) | (1,462 | ) | (1,597 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 27 | (6,118 | ) | (2,859 | ) | (3,259 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 95 | (21,249 | ) | (7,192 | ) | (14,057 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 121 | (27,046 | ) | (9,349 | ) | (17,697 | ) |
26 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | % | USD | 150 | $ | (33,645 | ) | $ | (8,363 | ) | $ | (25,282 | ) | |||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 618 | (138,446 | ) | (39,952 | ) | (98,494 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 42 | (9,337 | ) | (4,998 | ) | (4,339 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 95 | (21,411 | ) | (14,606 | ) | (6,805 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 134 | (29,943 | ) | (20,721 | ) | (9,222 | ) | |||||||||||||||||||||
Deutsche Bank AG London | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 320 | (71,638 | ) | (21,451 | ) | (50,187 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 29 | (6,440 | ) | (3,430 | ) | (3,010 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 100 | (22,377 | ) | (11,555 | ) | (10,822 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (404,231 | ) | $ | (153,155 | ) | $ | (251,076 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
(a) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(b) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $49,212,539 or 14.5% of net assets. |
(c) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(e) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.38% of net assets as of September 30, 2022, 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 | $ | 371,455 | $ | 353,118 | 0.10 | % | |||||||||
GSF | 02/25/2021 | 551,788 | 507,116 | 0.15 | % | |||||||||||
GSF | 02/25/2021 | 18,390 | 16,603 | 0.00 | % | |||||||||||
HFX Funding Issuer | 11/19/2022 | 500,661 | 431,489 | 0.13 | % |
(f) | IO—Interest Only. |
Currency Abbreviations:
JPY—Japanese Yen
USD—United States Dollar
Glossary:
ABS—Asset-Backed Securities
ARMs—Adjustable Rate Mortgages
CBT—Chicago Board of Trade
CDX-CMBX.NA—North American Commercial Mortgage-Backed Index
CLO—Collateralized Loan Obligations
CMBS—Commercial Mortgage-Backed Securities
LIBOR—London Interbank Offered Rate
OSE—Osaka Securities Exchange
REIT—Real Estate Investment Trust
REMICs—Real Estate Mortgage Investment Conduits
SOFR—Secured Overnight Financing Rate
See notes to financial statements.
Schedule of Investments—Short Duration Plus Portfolio | 27 |
Table of Contents
SCB–TAX–1944–0922
Table of Contents
Sanford C. Bernstein Fund, Inc.
September 30, 2022
Schedule of Investments To the Annual Report For the Fixed Income Municipal Portfolios
Short Duration Diversified Municipal
California Municipal
Diversified Municipal
New York Municipal
Table of Contents
Sanford C. Bernstein Fund, Inc.
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Sanford C. Bernstein Fund, Inc. and Short Duration Diversified Municipal Class Shareholders of Short Duration Diversified Municipal Portfolio and Municipal Class Shareholders of California Municipal Portfolio, Diversified Municipal Portfolio, and New York Municipal Portfolio
Opinions on the Financial Statements
We have audited the accompanying schedules of investments to the annual report for the Fixed Income Municipal Portfolios of Short Duration Diversified Municipal Portfolio, California Municipal Portfolio, Diversified Municipal Portfolio and New York Municipal Portfolio (four of the thirteen portfolios constituting Sanford C. Bernstein Fund, Inc., hereafter collectively referred to as the “Portfolios”), and the related statements of assets and liabilities as of September 30, 2022, the statements of operations for the year ended September 30, 2022, the statements of changes in net assets for each of the two years in the period ended September 30, 2022, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2022 (collectively referred to as the “financial statements”), which appear in the Sanford C. Bernstein Fund, Inc. September 30, 2022 annual report for the Fixed Income Municipal Portfolios. In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of September 30, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2022 and each of the financial highlights for each of the five years in the period ended September 30, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
November 23, 2022
We have served as the auditor of one or more of the investment companies in the AB Group of Mutual Funds since at least 1985. We have not been able to determine the specific year we began serving as auditor.
Table of Contents
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Short Duration Diversified Municipal Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS–102.1% |
| |||||||
Long-Term Municipal Bonds–98.0% |
| |||||||
Alabama–2.2% |
| |||||||
Lower Alabama Gas District (The) | $ | 5,000 | $ | 4,933,219 | ||||
|
| |||||||
Alaska–0.1% |
| |||||||
Northern Tobacco Securitization Corp. | 120 | 117,959 | ||||||
|
| |||||||
Arizona–2.8% |
| |||||||
Arizona Industrial Development Authority | 1,950 | 1,960,114 | ||||||
5.00%, 02/01/2024 | 1,300 | 1,325,067 | ||||||
5.00%, 02/01/2025 | 1,100 | 1,134,946 | ||||||
City of Glendale AZ | 2,000 | 1,871,029 | ||||||
|
| |||||||
6,291,156 | ||||||||
|
| |||||||
Arkansas–0.2% |
| |||||||
City of Fayetteville AR | 395 | 391,203 | ||||||
|
| |||||||
California–6.7% |
| |||||||
California State University | 2,000 | 1,682,027 | ||||||
Golden State Tobacco Securitization Corp. | 240 | 235,037 | ||||||
Los Angeles Unified School District/CA | 1,915 | 1,942,815 | ||||||
Orange County Transportation Authority | 2,000 | 2,075,938 | ||||||
San Francisco Intl Airport | 1,890 | 1,931,788 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
State of California | 1,120 | 1,120,000 | ||||||
Series 2021 | 4,520 | 4,589,876 | ||||||
University of California | 1,500 | 1,544,627 | ||||||
|
| |||||||
15,122,108 | ||||||||
|
| |||||||
Colorado–3.5% |
| |||||||
City & County of Denver Co. | 4,000 | 4,216,091 | ||||||
Colorado Health Facilities Authority | 1,885 | 1,965,822 | ||||||
E-470 Public Highway Authority | 1,500 | 1,484,765 | ||||||
Vauxmont Metropolitan District | 210 | 210,640 | ||||||
|
| |||||||
7,877,318 | ||||||||
|
| |||||||
Connecticut–0.4% |
| |||||||
State of Connecticut | 1,000 | 1,026,953 | ||||||
|
| |||||||
Delaware–0.4% |
| |||||||
Delaware River & Bay Authority | 820 | 836,829 | ||||||
|
| |||||||
District of Columbia–5.3% |
| |||||||
District of Columbia | 2,200 | 2,244,867 | ||||||
5.00%, 12/01/2024 | 855 | 885,747 | ||||||
District of Columbia | 1,390 | 1,390,000 | ||||||
Metropolitan Washington Airports Authority Aviation Revenue | 7,230 | 7,409,413 | ||||||
|
| |||||||
11,930,027 | ||||||||
|
|
Schedule of Investments—Short Duration Diversified Municipal Portfolio | 1 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Florida–5.3% | ||||||||
Brevard County Health Facilities Authority | $ | 2,110 | $ | 2,147,468 | ||||
Capital Projects Finance Authority/FL | 1,000 | 1,013,008 | ||||||
Capital Trust Agency, Inc. | 365 | 363,002 | ||||||
County of Broward FL Airport System Revenue | 1,000 | 914,908 | ||||||
County of Osceola FL Transportation Revenue | 260 | 260,000 | ||||||
Florida Development Finance Corp. | 3,000 | 2,975,801 | ||||||
Florida Development Finance Corp. | 1,025 | 911,373 | ||||||
Florida Municipal Power Agency | 1,000 | 881,078 | ||||||
Florida State Board of Education | 1,165 | 1,200,365 | ||||||
State of Florida Department of Transportation Turnpike System Revenue | 1,070 | 1,102,913 | ||||||
Village Community Development District No. 13 | 250 | 242,253 | ||||||
|
| |||||||
12,012,169 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Georgia–4.0% | ||||||||
Augusta Development Authority | $ | 1,000 | $ | 950,443 | ||||
City of Atlanta GA Department of Aviation | 1,000 | 1,023,582 | ||||||
Cobb County Kennestone Hospital Authority | 1,200 | 1,208,704 | ||||||
Development Authority of Monroe County (The) | 2,150 | 1,984,021 | ||||||
Main Street Natural Gas, Inc. | 4,000 | 3,951,849 | ||||||
|
| |||||||
9,118,599 | ||||||||
|
| |||||||
Guam–1.2% |
| |||||||
Antonio B Won Pat International Airport Authority | 875 | 875,000 | ||||||
Series 2021-A | 610 | 546,886 | ||||||
Guam Department of Education | 1,365 | 1,272,188 | ||||||
|
| |||||||
2,694,074 | ||||||||
|
| |||||||
Hawaii–2.3% |
| |||||||
City & County of Honolulu HI | 2,360 | 2,407,341 | ||||||
5.00%, 11/01/2024 | 2,660 | 2,755,461 | ||||||
|
| |||||||
5,162,802 | ||||||||
|
| |||||||
Illinois–7.9% |
| |||||||
Chicago O’Hare International Airport | 300 | 301,123 | ||||||
5.00%, 01/01/2024(b) | 2,000 | 2,035,020 | ||||||
5.00%, 01/01/2025(b) | 2,000 | 2,047,083 | ||||||
City of Chicago IL | 1,000 | 1,017,537 |
2 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
County of Cook IL | $ | 5,000 | $ | 5,010,694 | ||||
Illinois Finance Authority | 2,025 | 2,103,169 | ||||||
Metropolitan Pier & Exposition Authority | 1,000 | 978,372 | ||||||
Sales Tax Securitization Corp. | 2,740 | 2,836,030 | ||||||
State of Illinois | 1,500 | 1,521,152 | ||||||
|
| |||||||
17,850,180 | ||||||||
|
| |||||||
Indiana–1.2% |
| |||||||
Indiana Finance Authority | 2,000 | 1,990,897 | ||||||
Indiana Finance Authority | 650 | 653,767 | ||||||
|
| |||||||
2,644,664 | ||||||||
|
| |||||||
Kansas–0.6% |
| |||||||
Kansas Development Finance Authority | 1,500 | 1,408,605 | ||||||
|
| |||||||
Kentucky–3.1% |
| |||||||
Kentucky Asset Liability Commission | 1,000 | 1,014,833 | ||||||
Kentucky Economic Development Finance Authority | 1,000 | 1,018,976 | ||||||
Kentucky Public Energy Authority | 5,000 | 4,989,277 | ||||||
|
| |||||||
7,023,086 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Louisiana–1.4% |
| |||||||
Louisiana Stadium & Exposition District | $ | 2,000 | $ | 1,999,895 | ||||
Parish of St. James LA | 100 | 102,584 | ||||||
6.10%, 06/01/2038(c) | 105 | 111,716 | ||||||
6.10%, 12/01/2040(c) | 100 | 106,397 | ||||||
State of Louisiana Gasoline & Fuels Tax Revenue | 995 | 957,251 | ||||||
|
| |||||||
3,277,843 | ||||||||
|
| |||||||
Maryland–2.2% |
| |||||||
County of Montgomery MD | 2,000 | 2,000,000 | ||||||
State of Maryland | 2,930 | 3,027,355 | ||||||
|
| |||||||
5,027,355 | ||||||||
|
| |||||||
Massachusetts–2.0% |
| |||||||
Commonwealth of Massachusetts | 2,000 | 2,000,000 | ||||||
Commonwealth of Massachusetts | 1,000 | 959,345 | ||||||
Massachusetts Development Finance Agency | 220 | 218,862 | ||||||
4.00%, 07/01/2026 | 240 | 231,966 | ||||||
Massachusetts Development Finance Agency | 365 | 367,724 | ||||||
Massachusetts Development Finance Agency | 300 | 300,000 | ||||||
5.00%, 10/01/2023 | 300 | 304,103 | ||||||
5.00%, 10/01/2025 | 195 | 201,873 | ||||||
|
| |||||||
4,583,873 | ||||||||
|
|
Schedule of Investments—Short Duration Diversified Municipal Portfolio | 3 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Michigan–2.4% |
| |||||||
Bloomfield Hills School District | $ | 705 | $ | 717,765 | ||||
5.00%, 05/01/2025(b) | 775 | 798,779 | ||||||
5.00%, 05/01/2026(b) | 600 | 624,883 | ||||||
City of Detroit MI | 770 | 773,715 | ||||||
City of Detroit MI Sewage Disposal System Revenue | 2,530 | 2,464,630 | ||||||
|
| |||||||
5,379,772 | ||||||||
|
| |||||||
Minnesota–0.9% |
| |||||||
State of Minnesota | 2,000 | 2,000,000 | ||||||
|
| |||||||
Missouri–0.4% |
| |||||||
Health & Educational Facilities Authority of the State of Missouri | 940 | 946,282 | ||||||
|
| |||||||
Nebraska–1.3% |
| |||||||
Central Plains Energy Project | 2,095 | 2,096,978 | ||||||
Central Plains Energy Project | 810 | 806,153 | ||||||
|
| |||||||
2,903,131 | ||||||||
|
| |||||||
Nevada–1.0% |
| |||||||
City of Sparks NV | 100 | 96,182 | ||||||
Clark County School District | 2,150 | 2,292,227 | ||||||
|
| |||||||
2,388,409 | ||||||||
|
| |||||||
New Jersey–3.6% |
| |||||||
New Jersey Economic Development Authority | 4,000 | 3,932,875 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
New Jersey Transportation Trust Fund Authority | $ | 490 | $ | 501,533 | ||||
New Jersey Turnpike Authority | 1,125 | 1,073,189 | ||||||
State of New Jersey | 2,370 | 2,541,917 | ||||||
|
| |||||||
8,049,514 | ||||||||
|
| |||||||
New York–10.4% |
| |||||||
Metropolitan Transportation Authority | 940 | 959,825 | ||||||
Series 2020-A | 925 | 930,115 | ||||||
Series 2021-D | 1,900 | 1,840,459 | ||||||
New York State Dormitory Authority | 915 | 920,695 | ||||||
New York State Dormitory Authority | 420 | 422,995 | ||||||
Series 2021 | 4,880 | 4,798,124 | ||||||
New York Transportation Development Corp. | 280 | 280,439 | ||||||
5.00%, 12/01/2023 | 1,600 | 1,614,978 | ||||||
Suffolk Tobacco Asset Securitization Corp. | 2,250 | 2,312,106 | ||||||
5.00%, 06/01/2026 | 2,200 | 2,270,423 | ||||||
Triborough Bridge & Tunnel Authority | 6,925 | 7,157,193 | ||||||
|
| |||||||
23,507,352 | ||||||||
|
| |||||||
North Carolina–1.7% |
| |||||||
City of Charlotte NC Airport Revenue | 875 | 894,593 | ||||||
5.00%, 07/01/2025 | 1,005 | 1,036,878 |
4 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
County of Mecklenburg NC | $ | 1,805 | $ | 1,867,572 | ||||
|
| |||||||
3,799,043 | ||||||||
|
| |||||||
Ohio–2.1% |
| |||||||
County of Allen OH Hospital Facilities Revenue | 110 | 110,280 | ||||||
County of Franklin OH | 2,000 | 2,018,678 | ||||||
County of Washington OH | 200 | 189,713 | ||||||
Ohio Air Quality Development Authority | 2,000 | 1,810,478 | ||||||
State of Ohio | 680 | 682,551 | ||||||
|
| |||||||
4,811,700 | ||||||||
|
| |||||||
Oklahoma–0.0% |
| |||||||
Oklahoma Development Finance Authority | 100 | 97,373 | ||||||
|
| |||||||
Pennsylvania–2.5% |
| |||||||
Allentown Neighborhood Improvement Zone Development Authority | 175 | 175,709 | ||||||
Monroe County Hospital Authority/PA | 1,025 | 1,036,491 | ||||||
Pennsylvania Economic Development Financing Authority | 1,000 | 968,141 | ||||||
Philadelphia Authority for Industrial Development | 800 | 807,143 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Philadelphia Authority for Industrial Development | $ | 250 | $ | 250,163 | ||||
4.00%, 11/01/2024 | 500 | 502,288 | ||||||
5.00%, 11/01/2025 | 1,000 | 1,032,288 | ||||||
5.00%, 11/01/2026 | 850 | 881,898 | ||||||
|
| |||||||
5,654,121 | ||||||||
|
| |||||||
Puerto Rico–0.3% |
| |||||||
Commonwealth of Puerto Rico | 62 | 62,778 | ||||||
5.375%, 07/01/2025 | 125 | 126,209 | ||||||
5.625%, 07/01/2027 | 400 | 408,306 | ||||||
|
| |||||||
597,293 | ||||||||
|
| |||||||
South Carolina–1.2% |
| |||||||
Piedmont Municipal Power Agency | 1,525 | 1,530,588 | ||||||
4.00%, 01/01/2025 | 1,240 | 1,248,663 | ||||||
|
| |||||||
2,779,251 | ||||||||
|
| |||||||
Tennessee–0.2% |
| |||||||
Bristol Industrial Development Board | 500 | 448,125 | ||||||
|
| |||||||
Texas–9.2% |
| |||||||
Arlington Higher Education Finance Corp. (BASIS Texas Charter Schools, Inc.) | 500 | 474,625 | ||||||
Board of Regents of the University of Texas System | 1,565 | 1,618,337 | ||||||
City of Dallas TX Hotel Occupancy Tax Revenue | 1,940 | 1,959,368 | ||||||
4.00%, 08/15/2028 | 1,025 | 1,034,329 | ||||||
Dallas Fort Worth International Airport | 1,295 | 1,387,330 | ||||||
Harris County Cultural Education Facilities Finance Corp. | 1,000 | 1,025,947 | ||||||
5.00%, 06/01/2032 | 4,355 | 4,514,162 |
Schedule of Investments—Short Duration Diversified Municipal Portfolio | 5 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Houston Independent School District | $ | 2,030 | $ | 2,035,114 | ||||
Metropolitan Transit Authority of Harris County Sales & Use Tax Revenue | 1,080 | 1,101,550 | ||||||
North Texas Tollway Authority | 2,260 | 2,305,225 | ||||||
State of Texas | 1,000 | 1,066,975 | ||||||
Texas Transportation Commission State Highway Fund | 2,150 | 2,189,724 | ||||||
|
| |||||||
20,712,686 | ||||||||
|
| |||||||
Virginia–1.4% |
| |||||||
Virginia College Building Authority | 1,695 | 1,706,005 | ||||||
Virginia Small Business Financing Authority | 900 | 901,966 | ||||||
5.00%, 01/01/2025 | 505 | 515,582 | ||||||
|
| |||||||
3,123,553 | ||||||||
|
| |||||||
Washington–3.5% |
| |||||||
King County School District No. 414 Lake Washington | 1,040 | 1,043,284 | ||||||
State of Washington | 2,000 | 2,059,404 | ||||||
5.00%, 06/01/2025 | 2,500 | 2,615,153 | ||||||
Tobacco Settlement Authority/WA | 855 | 866,087 | ||||||
Washington Health Care Facilities Authority | 230 | 230,545 | ||||||
5.00%, 12/01/2023(c) | 250 | 253,956 | ||||||
5.00%, 12/01/2024(c) | 195 | 200,044 | ||||||
5.00%, 12/01/2025(c) | 275 | 285,082 | ||||||
5.00%, 12/01/2026(c) | 285 | 297,209 | ||||||
|
| |||||||
7,850,764 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
West Virginia–0.1% |
| |||||||
Tobacco Settlement Finance Authority/WV | $ | 237 | $ | 224,740 | ||||
West Virginia Economic Development Authority | 100 | 96,833 | ||||||
|
| |||||||
321,573 | ||||||||
|
| |||||||
Wisconsin–3.0% |
| |||||||
State of Wisconsin | 3,275 | 3,311,352 | ||||||
Series 2023-1 | 1,000 | 1,020,615 | ||||||
UMA Education, Inc. | 350 | 350,000 | ||||||
5.00%, 10/01/2023(c) | 360 | 360,239 | ||||||
Wisconsin Center District | 500 | 501,208 | ||||||
Wisconsin Health & Educational Facilities Authority | 1,000 | 973,600 | ||||||
Wisconsin Health & Educational Facilities Authority | 10 | 9,507 | ||||||
Wisconsin Public Finance Authority | 200 | 176,775 | ||||||
|
| |||||||
6,703,296 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds (cost $231,244,287) |
| 221,403,260 | ||||||
|
| |||||||
Short-Term Municipal Notes–4.1% |
| |||||||
Florida–1.7% |
| |||||||
County of Palm Beach FL | 2,000 | 2,000,000 |
6 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Florida Keys Aqueduct Authority | $ | 1,905 | $ | 1,905,000 | ||||
|
| |||||||
3,905,000 | ||||||||
|
| |||||||
Indiana–0.4% |
| |||||||
City of Indianapolis IN | 1,000 | 1,000,000 | ||||||
|
| |||||||
Kentucky–0.8% |
| |||||||
Louisville/Jefferson County Metropolitan Government | 1,855 | 1,855,000 | ||||||
|
| |||||||
Minnesota–0.8% |
| |||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority | 1,785 | 1,785,000 | ||||||
|
| |||||||
Mississippi–0.4% |
| |||||||
Mississippi Development Bank | 800 | 800,000 | ||||||
|
| |||||||
Total Short-Term Municipal Notes (cost $9,345,000) |
| 9,345,000 | ||||||
|
| |||||||
Total Municipal Obligations (cost $240,589,287) |
| 230,748,260 | ||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
CORPORATES–INVESTMENT GRADE–1.7% |
| |||||||
Industrial–1.7% |
| |||||||
Capital Goods–0.9% |
| |||||||
Caterpillar Financial Services Corp. | $ | 1,000 | $ | 991,060 | ||||
John Deere Capital Corp. | 1,000 | 996,170 | ||||||
|
| |||||||
1,987,230 | ||||||||
|
| |||||||
Consumer Cyclical–Automotive–0.4% |
| |||||||
General Motors Financial Co., Inc. | 1,000 | 978,770 | ||||||
|
| |||||||
Consumer Cyclical–Entertainment–0.4% |
| |||||||
YMCA of Greater New York | 1,000 | 874,540 | ||||||
|
| |||||||
Total Corporates–Investment Grade (cost $4,000,000) |
| 3,840,540 | ||||||
|
| |||||||
CORPORATES–NON-INVESTMENT GRADE–0.1% |
| |||||||
Industrial–0.1% |
| |||||||
Transportation–Airlines–0.1% |
| |||||||
United Airlines, Inc. | 300 | 267,669 | ||||||
|
| �� | ||||||
Total Investments—103.9% (cost $244,889,287) |
| 234,856,469 | ||||||
Other assets less liabilities—(3.9)% |
| (8,809,255 | ) | |||||
|
| |||||||
Net Assets—100.0% |
| $ | 226,047,214 | |||||
|
|
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note 3)
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 | 700 | 01/15/2025 | 4.028% | CPI# | Maturity | $ | 19,227 | $ | — | $ | 19,227 | |||||||||||||
USD | 450 | 01/15/2025 | 2.565% | CPI# | Maturity | 38,792 | — | 38,792 | ||||||||||||||||
USD | 225 | 01/15/2025 | 2.585% | CPI# | Maturity | 19,219 | — | 19,219 | ||||||||||||||||
USD | 225 | 01/15/2025 | 2.613% | CPI# | Maturity | 18,976 | — | 18,976 | ||||||||||||||||
USD | 850 | 01/15/2027 | CPI# | 3.466% | Maturity | (24,516 | ) | (993 | ) | (23,523 | ) | |||||||||||||
USD | 800 | 01/15/2027 | CPI# | 3.320% | Maturity | (30,115 | ) | — | (30,115 | ) | ||||||||||||||
USD | 670 | 01/15/2027 | CPI# | 3.323% | Maturity | (25,101 | ) | — | (25,101 | ) | ||||||||||||||
USD | 1,310 | 01/15/2029 | CPI# | 3.290% | Maturity | (26,242 | ) | — | (26,242 | ) | ||||||||||||||
USD | 560 | 01/15/2029 | CPI# | 3.735% | Maturity | 8,995 | — | 8,995 | ||||||||||||||||
USD | 875 | 01/15/2030 | 1.714% | CPI# | Maturity | 122,903 | — | 122,903 | ||||||||||||||||
USD | 875 | 01/15/2030 | 1.731% | CPI# | Maturity | 121,565 | — | 121,565 | ||||||||||||||||
USD | 425 | 01/15/2030 | 1.572% | CPI# | Maturity | 65,083 | — | 65,083 | ||||||||||||||||
USD | 425 | 01/15/2030 | 1.587% | CPI# | Maturity | 64,517 | — | 64,517 |
Schedule of Investments—Short Duration Diversified Municipal Portfolio | 7 |
Table of Contents
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 | 500 | 01/15/2031 | 2.782% | CPI# | Maturity | $ | 25,239 | $ | — | $ | 25,239 | |||||||||||||
USD | 430 | 01/15/2031 | 2.989% | CPI# | Maturity | 13,141 | — | 13,141 | ||||||||||||||||
USD | 320 | 01/15/2031 | 2.680% | CPI# | Maturity | 19,259 | — | 19,259 | ||||||||||||||||
USD | 560 | 01/15/2032 | CPI# | 3.064% | Maturity | (8,921 | ) | — | (8,921 | ) | ||||||||||||||
USD | 380 | 04/15/2032 | CPI# | 2.909% | Maturity | (10,755 | ) | — | (10,755 | ) | ||||||||||||||
USD | 300 | 04/15/2032 | CPI# | 2.748% | Maturity | (13,529 | ) | — | (13,529 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 397,737 | $ | (993 | ) | $ | 398,730 | ||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
INTEREST RATE SWAPS (see Note 3)
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 | 580 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 66,649 | $ | — | $ | 66,649 |
* Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index.
(a) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(b) | When-Issued or delayed delivery security. |
(c) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $6,512,440 or 2.9% of net assets. |
(d) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 1.5% and 0.0%, respectively.
Glossary:
AGM—Assured Guaranty Municipal
COP—Certificate of Participation
CPI—Consumer Price Index
ETM—Escrowed to Maturity
LIBOR—London Interbank Offered Rate
MUNIPSA—SIFMA Municipal Swap Index.
OSF—Order of St. Francis
SOFR—Secured Overnight Financing Rate
UPMC—University of Pittsburgh Medical Center
See notes to financial statements.
8 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
California Municipal Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS–92.9% | ||||||||
Long-Term Municipal Bonds–89.5% | ||||||||
California–75.4% | ||||||||
Anaheim Housing & Public Improvements Authority | $ | 3,850 | $ | 3,149,739 | ||||
Bay Area Toll Authority | 5,000 | 4,975,538 | ||||||
2.76% (MUNIPSA + 0.30%), 04/01/2056(a) | 5,000 | 4,849,187 | ||||||
2.87% (MUNIPSA + 0.41%), 04/01/2056(a) | 9,215 | 8,925,199 | ||||||
Bay Area Water Supply & Conservation Agency | 4,710 | 4,752,209 | ||||||
Series 2023 | 1,750 | 1,913,303 | ||||||
5.00%, 10/01/2030(b) | 1,800 | 1,983,147 | ||||||
5.00%, 10/01/2031(b) | 2,500 | 2,758,599 | ||||||
5.00%, 10/01/2032(b) | 2,500 | 2,771,220 | ||||||
5.00%, 10/01/2033(b) | 2,500 | 2,768,020 | ||||||
5.00%, 10/01/2034(b) | 2,000 | 2,204,378 | ||||||
California Community Housing Agency | 950 | 724,347 | ||||||
California Community Housing Agency | 5,000 | 3,487,593 | ||||||
California Community Housing Agency | 2,500 | 1,792,920 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
California Community Housing Agency | $ | 4,000 | $ | 2,775,790 | ||||
California County Tobacco Securitization Agency | 510 | 460,147 | ||||||
4.00%, 06/01/2038 | 1,000 | 892,807 | ||||||
5.00%, 06/01/2027 | 800 | 830,970 | ||||||
5.00%, 06/01/2028 | 700 | 728,430 | ||||||
5.00%, 06/01/2030 | 500 | 522,546 | ||||||
5.00%, 06/01/2031 | 400 | 415,536 | ||||||
5.00%, 06/01/2032 | 300 | 310,136 | ||||||
California Educational Facilities Authority | 1,545 | 1,606,194 | ||||||
California Enterprise Development Authority | 1,125 | 1,080,055 | ||||||
4.00%, 06/01/2031(c) | 2,000 | 1,809,547 | ||||||
California Health Facilities Financing Authority | 6,500 | 6,832,864 | ||||||
5.00%, 11/15/2028 | 6,000 | 6,301,715 | ||||||
5.00%, 11/15/2029 | 7,000 | 7,350,755 | ||||||
California Health Facilities Financing Authority | 1,215 | 1,242,402 | ||||||
California Health Facilities Financing Authority | 2,900 | 3,005,031 | ||||||
5.00%, 04/01/2033 | 2,000 | 2,064,617 | ||||||
5.00%, 04/01/2034 | 750 | 771,313 | ||||||
California Health Facilities Financing Authority | 9,245 | 9,259,695 | ||||||
California Health Facilities Financing Authority | 4,250 | 4,324,140 |
Schedule of Investments—California Municipal Portfolio | 9 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 11/15/2025 | $ | 2,535 | $ | 2,645,731 | ||||
5.00%, 11/15/2026 | 2,300 | 2,421,770 | ||||||
5.00%, 11/15/2027 | 1,000 | 1,063,087 | ||||||
5.00%, 11/15/2029 | 1,280 | 1,357,292 | ||||||
California Housing Finance Agency | 11,044 | 10,505,281 | ||||||
Series 2021-1, Class A | 9,782 | 8,450,721 | ||||||
Series 2021-2 | 4,000 | 225,091 | ||||||
Series 2021-3, Class A | 1,975 | 1,690,597 | ||||||
California Infrastructure & Economic Development Bank | 10,000 | 9,889,615 | ||||||
California Infrastructure & Economic Development Bank | 8,700 | 8,606,106 | ||||||
California Infrastructure & Economic Development Bank | 5,000 | 5,187,408 | ||||||
Series 2018 | 13,965 | 15,181,641 | ||||||
California Infrastructure & Economic Development Bank | 2,370 | 2,472,672 | ||||||
Series 2016-B | 12,760 | 12,917,114 | ||||||
California Municipal Finance Authority | 1,000 | 1,019,822 | ||||||
California Municipal Finance Authority | 800 | 811,571 | ||||||
5.00%, 12/31/2024 | 250 | 254,970 | ||||||
5.00%, 12/31/2026 | 2,200 | 2,258,603 | ||||||
5.00%, 06/30/2027 | 2,250 | 2,305,930 | ||||||
5.00%, 12/31/2027 | 3,000 | 3,080,782 | ||||||
5.00%, 06/30/2029 | 1,050 | 1,076,047 | ||||||
5.00%, 12/31/2029 | 1,150 | 1,177,612 | ||||||
5.00%, 06/30/2031 | 3,100 | 3,159,999 | ||||||
5.00%, 12/31/2031 | 1,930 | 1,964,265 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
California Municipal Finance Authority | $ | 8,250 | $ | 7,578,847 | ||||
California Pollution Control Financing Authority | 3,195 | 3,198,762 | ||||||
California Pollution Control Financing Authority | 1,335 | 1,351,551 | ||||||
5.00%, 07/01/2029(c) | 3,400 | 3,455,804 | ||||||
California Public Finance Authority | 1,500 | 1,605,107 | ||||||
California School Finance Authority | 800 | 672,552 | ||||||
California School Finance Authority | 1,120 | 1,085,734 | ||||||
Series 2016-A | 1,000 | 995,768 | ||||||
California State Public Works Board | 11,220 | 11,543,773 | ||||||
Series 2014-B | 4,445 | 4,579,448 | ||||||
Series 2017-H | 2,000 | 2,144,150 | ||||||
5.00%, 04/01/2031 | 2,000 | 2,140,584 | ||||||
5.00%, 04/01/2032 | 1,270 | 1,355,800 | ||||||
California State University | 280 | 290,563 | ||||||
Series 2017-A | 5,620 | 5,999,181 | ||||||
Series 2020-A | 600 | 662,938 | ||||||
5.00%, 11/01/2031 | 400 | 440,113 | ||||||
Series 2020-D | 1,500 | 1,235,869 |
10 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Series 2021-B | $ | 7,000 | $ | 5,163,381 | ||||
California Statewide Communities Development Authority | 1,210 | 1,238,439 | ||||||
California Statewide Communities Development Authority | 720 | 752,103 | ||||||
5.00%, 04/01/2028 | 535 | 560,604 | ||||||
California Statewide Communities Development Authority | 675 | 624,557 | ||||||
California Statewide Communities Development Authority | 4,500 | 4,544,355 | ||||||
Series 2016-A | 2,000 | 1,857,238 | ||||||
Series 2018-A | 250 | 251,376 | ||||||
5.00%, 12/01/2033(c) | 1,000 | 974,954 | ||||||
California Statewide Communities Development Authority | 180 | 178,833 | ||||||
5.00%, 07/01/2029(c) | 685 | 653,248 | ||||||
City & County of San Francisco CA | 3,095 | 3,136,376 | ||||||
5.00%, 06/15/2025 | 4,235 | 4,364,967 | ||||||
Series 2018-E | 1,490 | 1,509,919 | ||||||
City & County of San Francisco CA | 3,970 | 4,033,241 | ||||||
City of Hayward CA | 3,000 | 3,060,179 | ||||||
City of Los Angeles Department of Airports | 1,440 | 1,495,674 | ||||||
5.00%, 05/15/2029 | 2,575 | 2,667,913 | ||||||
Series 2018 | 3,000 | 3,131,587 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 05/15/2035 | $ | 1,190 | $ | 1,210,098 | ||||
Series 2018-C | 2,955 | 3,044,781 | ||||||
Series 2019 | 4,205 | 3,653,238 | ||||||
5.00%, 05/15/2030 | 8,020 | 8,401,806 | ||||||
Series 2019-A | 4,315 | 4,371,338 | ||||||
Series 2020-C | 5,000 | 5,247,526 | ||||||
5.00%, 05/15/2033 | 4,000 | 4,152,239 | ||||||
5.00%, 05/15/2039 | 2,655 | 2,707,911 | ||||||
Series 2021 | 2,020 | 2,128,567 | ||||||
5.00%, 05/15/2035 | 1,685 | 1,725,946 | ||||||
Series 2021-D | 2,165 | 1,935,090 | ||||||
Series 2022 | 1,300 | 1,205,641 | ||||||
4.00%, 05/15/2041 | 1,100 | 974,457 | ||||||
Series 2022-A | 6,160 | 5,456,957 | ||||||
City of Riverside CA Sewer Revenue | 2,000 | 2,096,826 | ||||||
5.00%, 08/01/2030 | 3,320 | 3,491,152 | ||||||
Series 2018-A | 2,785 | 3,028,247 | ||||||
City of Roseville CA | 1,010 | 1,057,578 | ||||||
5.00%, 09/01/2030 | 1,295 | 1,345,518 | ||||||
City of Roseville CA | 995 | 1,025,089 | ||||||
City of San Jose CA Airport Revenue | 3,600 | 3,654,949 | ||||||
CMFA Special Finance Agency VII | 3,990 | 2,712,483 | ||||||
CMFA Special Finance Agency VIII Elan Huntington Beach | 1,000 | 750,000 | ||||||
Contra Costa Transportation Authority Sales Tax Revenue | 1,250 | 1,342,985 |
Schedule of Investments—California Municipal Portfolio | 11 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Coronado Community Development Agency Successor Agency | $ | 3,625 | $ | 3,771,501 | ||||
CSCDA Community Improvement Authority | 4,000 | 2,977,158 | ||||||
CSCDA Community Improvement Authority | 1,500 | 1,136,615 | ||||||
CSCDA Community Improvement Authority | 4,000 | 2,800,600 | ||||||
CSCDA Community Improvement Authority | 5,000 | 3,592,171 | ||||||
CSCDA Community Improvement Authority | 3,805 | 3,028,325 | ||||||
CSCDA Community Improvement Authority | 1,000 | 737,959 | ||||||
CSCDA Community Improvement | 5,000 | 3,506,363 | ||||||
CSCDA Community Improvement Authority | 2,490 | 1,777,491 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
CSCDA Community Improvement Authority | $ | 2,000 | $ | 1,552,157 | ||||
CSCDA Community Improvement Authority | 3,000 | 2,184,697 | ||||||
CSCDA Community Improvement Authority | 4,000 | 2,760,906 | ||||||
CSCDA Community Improvement Authority | 1,500 | 931,290 | ||||||
Fontana Redevelopment Agency Successor Agency | 1,750 | 1,871,863 | ||||||
Fremont Community Facilities District No. 1 | 1,000 | 1,028,723 | ||||||
Golden State Tobacco Securitization Corp. | 1,205 | 1,180,084 | ||||||
3.115%, 06/01/2038 | 2,500 | 1,876,837 | ||||||
3.85%, 06/01/2050 | 5,000 | 4,336,146 | ||||||
Golden State Tobacco Securitization Corp. | 2,900 | 2,632,657 | ||||||
Lake Elsinore Public Financing Authority | 630 | 636,524 | ||||||
Long Beach Unified School District | 1,000 | 1,001,391 | ||||||
Los Angeles Department of Water & Power | 14,750 | 14,965,326 |
12 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Los Angeles Department of Water & Power Power System Revenue | $ | 2,500 | $ | 2,511,832 | ||||
Series 2014-B | 1,600 | 1,638,218 | ||||||
5.00%, 07/01/2027 | 2,190 | 2,242,311 | ||||||
Series 2014-C | 9,945 | 10,278,271 | ||||||
5.00%, 07/01/2026 | 11,725 | 12,115,901 | ||||||
Series 2015-E | 820 | 847,479 | ||||||
Series 2022 | 3,000 | 3,178,548 | ||||||
Series 2022-B | 3,000 | 3,274,908 | ||||||
5.00%, 07/01/2040 | 2,800 | 3,003,547 | ||||||
Los Angeles Department of Water & Power System Revenue | 4,800 | 5,090,738 | ||||||
Los Angeles Department of Water & Power Water System Revenue | 1,345 | 1,460,852 | ||||||
Los Angeles Unified School District/CA | 3,860 | 3,916,065 | ||||||
5.00%, 07/01/2027 | 10,365 | 10,694,507 | ||||||
Series 2016-A | 18,645 | 19,532,644 | ||||||
Series 2017-A | 6,905 | 7,005,292 | ||||||
5.00%, 07/01/2024 | 1,470 | 1,517,996 | ||||||
Series 2018-B | 9,020 | 9,791,322 | ||||||
Series 2018-M | 1,550 | 1,549,971 | ||||||
Series 2020-R | 4,500 | 4,135,046 | ||||||
5.00%, 07/01/2032 | 3,945 | 4,371,084 | ||||||
Metropolitan Water District of Southern California | 2,900 | 2,885,062 | ||||||
Middle Fork Project Finance Authority | 1,650 | 1,708,618 | ||||||
5.00%, 04/01/2034 | 1,100 | 1,134,783 | ||||||
5.00%, 04/01/2035 | 1,150 | 1,182,527 | ||||||
Natomas Unified School District | 1,930 | 1,958,048 | ||||||
Newport Mesa Unified School District | 1,600 | 1,653,163 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Oakland Unified School District/Alameda County | $ | 1,575 | $ | 1,598,921 | ||||
Series 2016 | 1,420 | 1,496,660 | ||||||
Palm Desert Redevelopment Agency Successor Agency | 1,000 | | 1,033,172 | |||||
Peralta Community College District | 1,820 | 1,869,376 | ||||||
Pittsburg Successor Agency Redevelopment Agency | 2,785 | 2,921,357 | ||||||
Port of Los Angeles | 1,000 | 1,024,677 | ||||||
5.00%, 08/01/2027 | 1,565 | 1,603,218 | ||||||
Port of Oakland | 255 | 255,347 | ||||||
5.00%, 11/01/2022 | 960 | 961,225 | ||||||
Series 2021 | 4,800 | 4,948,666 | ||||||
Regents of the University of California Medical Center Pooled Revenue | 10,000 | 10,532,249 | ||||||
River Islands Public Financing Authority | 2,905 | 2,644,949 | ||||||
5.00%, 09/01/2042 | 2,510 | 2,305,290 | ||||||
Riverside County Public Financing Authority | 3,395 | 3,580,175 | ||||||
Romoland School District | 955 | 964,463 | ||||||
Sacramento County Water Financing Authority | 5,700 | 4,890,233 |
Schedule of Investments—California Municipal Portfolio | 13 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
San Diego Association of Governments | $ | 3,200 | $ | 2,838,220 | ||||
San Francisco City & County Public Utilities Commission Wastewater Revenue | 4,000 | 4,000,000 | ||||||
San Francisco City & County Redevelopment Agency Successor Agency | 1,500 | 1,501,163 | ||||||
San Francisco City & County Redevelopment Agency Successor Agency | 1,070 | 1,130,944 | ||||||
San Francisco Intl Airport | 11,015 | 11,254,174 | ||||||
Series 2019-E | 3,450 | 3,524,912 | ||||||
5.00%, 05/01/2035 | 3,275 | 3,338,713 | ||||||
5.00%, 05/01/2036 | 3,385 | 3,442,169 | ||||||
Series 2019-H | 5,500 | 5,695,346 | ||||||
Series 2020-E | 3,815 | 3,882,152 | ||||||
Series 2021-A | 1,950 | 1,991,132 | ||||||
Series 2022-C | 1,625 | 1,366,015 | ||||||
San Mateo Joint Powers Financing Authority | 4,000 | 4,055,282 | ||||||
5.00%, 07/15/2024 | 3,660 | 3,769,172 | ||||||
5.00%, 07/15/2025 | 5,790 | 6,068,062 | ||||||
5.00%, 07/15/2026 | 3,310 | 3,520,730 | ||||||
Saugus/Hart School Facilities Financing Authority | 1,000 | 1,031,369 | ||||||
5.00%, 09/01/2030 | 1,365 | 1,401,764 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Southern California Public Power Authority | $ | 1,030 | $ | 1,059,210 | ||||
Southwestern Community College District | 3,250 | 3,300,693 | ||||||
5.00%, 08/01/2024 | 3,550 | 3,664,762 | ||||||
5.00%, 08/01/2025 | 3,870 | 4,058,632 | ||||||
State of California | 8,890 | 9,035,464 | ||||||
Series 2014 | 11,085 | 11,120,571 | ||||||
5.00%, 12/01/2028 | 2,285 | 2,332,386 | ||||||
5.00%, 05/01/2029 | 5,295 | 5,445,765 | ||||||
Series 2015-B | 3,330 | 3,446,686 | ||||||
Series 2017 | 5,540 | 5,726,078 | ||||||
Series 2018 | 5,000 | 5,000,000 | ||||||
Series 2019 | 1,935 | 2,118,332 | ||||||
5.00%, 11/01/2031 | 1,310 | 1,427,643 | ||||||
5.00%, 04/01/2037 | 615 | 654,180 | ||||||
Series 2022 | 6,380 | 5,927,414 | ||||||
5.00%, 09/01/2036 | 7,780 | 8,480,491 | ||||||
5.00%, 04/01/2042 | 4,630 | 4,833,496 | ||||||
Stockton Unified School District | ||||||||
Series 2016 | 7,770 | 8,168,986 | ||||||
Sweetwater Union High School District | 3,205 | 3,373,138 | ||||||
BAM Series 2014 | 5,760 | 5,905,991 | ||||||
5.00%, 08/01/2029 | 2,220 | 2,273,895 | ||||||
Tobacco Securitization Authority of Northern California | 1,000 | 940,523 | ||||||
4.00%, 06/01/2036 | 1,015 | 937,710 | ||||||
4.00%, 06/01/2038 | 1,210 | 1,097,003 | ||||||
4.00%, 06/01/2040 | 1,150 | 1,024,427 | ||||||
5.00%, 06/01/2026 | 1,360 | 1,422,988 | ||||||
5.00%, 06/01/2027 | 1,500 | 1,566,033 | ||||||
5.00%, 06/01/2028 | 1,220 | 1,277,154 | ||||||
5.00%, 06/01/2030 | 1,500 | 1,578,947 | ||||||
5.00%, 06/01/2032 | 1,300 | 1,356,464 |
14 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Transbay Joint Powers Authority | $ | 500 | $ | 543,602 | ||||
5.00%, 10/01/2032 | 450 | 485,994 | ||||||
5.00%, 10/01/2034 | 600 | 641,070 | ||||||
5.00%, 10/01/2035 | 600 | 637,940 | ||||||
5.00%, 10/01/2036 | 800 | 844,059 | ||||||
5.00%, 10/01/2037 | 700 | 732,452 | ||||||
5.00%, 10/01/2038 | 1,000 | 1,037,511 | ||||||
University of California | 9,785 | 9,903,243 | ||||||
Series 2014-A | 1,000 | 1,029,751 | ||||||
Series 2015-A | 2,280 | 2,347,833 | ||||||
Series 2017-A | 1,000 | 1,082,796 | ||||||
5.00%, 05/15/2029 | 3,000 | 3,246,964 | ||||||
5.00%, 05/15/2031 | 2,465 | 2,656,918 | ||||||
Series 2017-M | 4,000 | 4,304,310 | ||||||
Series 2018-O | 8,320 | 8,510,229 | ||||||
Series 2020-B | 7,000 | 7,674,171 | ||||||
5.00%, 05/15/2035 | 10,000 | 10,887,459 | ||||||
Series 2021-Q | 7,750 | 7,167,426 | ||||||
Series 2022-S | 2,000 | 2,245,576 | ||||||
Series 2023-B | 3,000 | 3,217,478 | ||||||
5.00%, 05/15/2032(b) | 5,000 | 5,506,723 | ||||||
5.00%, 05/15/2033(b) | 3,180 | 3,513,445 | ||||||
5.00%, 05/15/2037(b) | 2,000 | 2,154,199 | ||||||
|
| |||||||
830,952,751 | ||||||||
|
| |||||||
Alabama–2.2% |
| |||||||
Southeast Alabama Gas Supply District (The) | 24,615 | 24,552,114 | ||||||
|
| |||||||
American Samoa–0.1% |
| |||||||
American Samoa Economic Development Authority | 735 | 793,344 | ||||||
|
| |||||||
Colorado–0.3% |
| |||||||
City & County of Denver CO | 3,000 | 2,855,121 | ||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Florida–0.1% |
| |||||||
Capital Trust Agency, Inc. | $ | 100 | $ | 100,814 | ||||
City of Tampa FL | 175 | 102,280 | ||||||
County of Osceola FL Transportation Revenue | 150 | 99,969 | ||||||
Zero Coupon, 10/01/2031 | 185 | 116,293 | ||||||
Zero Coupon, 10/01/2032 | 100 | 59,305 | ||||||
Zero Coupon, 10/01/2033 | 250 | 139,420 | ||||||
Zero Coupon, 10/01/2034 | 270 | 141,697 | ||||||
New River Community Development District | 405 | 0 | ||||||
|
| |||||||
759,778 | ||||||||
|
| |||||||
Georgia–0.2% |
| |||||||
Municipal Electric Authority of Georgia | 460 | 476,848 | ||||||
5.00%, 01/01/2035 | 250 | 255,445 | ||||||
5.00%, 01/01/2036 | 1,590 | 1,616,042 | ||||||
|
| |||||||
2,348,335 | ||||||||
|
| |||||||
Guam–1.8% |
| |||||||
Antonio B Won Pat International Airport Authority | 625 | 548,765 | ||||||
3.489%, 10/01/2031 | 500 | 414,412 | ||||||
Series 2023 | 1,080 | 1,054,274 | ||||||
5.125%, 10/01/2034(b) | 140 | 127,831 | ||||||
5.375%, 10/01/2040(b) | 275 | 248,099 | ||||||
Guam Department of Education | 1,500 | 1,381,664 | ||||||
5.00%, 02/01/2040 | 1,090 | 992,226 | ||||||
Guam Power Authority | 2,000 | 2,022,095 | ||||||
5.00%, 10/01/2028 | 3,000 | 3,126,721 | ||||||
Territory of Guam | 540 | 509,877 |
Schedule of Investments—California Municipal Portfolio | 15 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Territory of Guam | $ | 455 | $ | 454,302 | ||||
5.00%, 12/01/2030 | 730 | 724,672 | ||||||
5.00%, 12/01/2032 | 675 | 660,469 | ||||||
Territory of Guam | 1,365 | 1,370,243 | ||||||
5.00%, 11/15/2025 | 1,140 | 1,143,987 | ||||||
5.00%, 11/15/2031 | 2,735 | 2,692,501 | ||||||
Series 2021-F | 1,000 | 990,253 | ||||||
Territory of Guam | 350 | 349,588 | ||||||
5.00%, 11/01/2028 | 455 | 453,894 | ||||||
5.00%, 11/01/2029 | 500 | 499,086 | ||||||
5.00%, 11/01/2030 | 320 | 317,607 | ||||||
|
| |||||||
20,082,566 | ||||||||
|
| |||||||
Illinois–2.6% |
| |||||||
Chicago Board of Education | 6,000 | 6,104,842 | ||||||
Illinois Finance Authority | 100 | 100,679 | ||||||
5.00%, 09/01/2026 | 100 | 101,987 | ||||||
5.00%, 09/01/2027 | 100 | 102,116 | ||||||
5.00%, 09/01/2029 | 100 | 102,370 | ||||||
5.00%, 09/01/2032 | 100 | 100,517 | ||||||
5.00%, 09/01/2033 | 200 | 199,915 | ||||||
5.00%, 09/01/2034 | 100 | 98,747 | ||||||
Metropolitan Pier & Exposition Authority | 3,250 | 3,330,718 | ||||||
State of Illinois | 1,200 | 1,219,826 | ||||||
Series 2017-D | 9,530 | 9,642,940 | ||||||
5.00%, 11/01/2024 | 3,935 | 4,000,013 | ||||||
Village of Bolingbrook IL Sales Tax Revenue | 4,450 | 4,096,133 | ||||||
|
| |||||||
29,200,803 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Kentucky–0.4% |
| |||||||
City of Ashland KY | $ | 230 | $ | 236,005 | ||||
5.00%, 02/01/2027 | 260 | 268,490 | ||||||
5.00%, 02/01/2030 | 160 | 166,931 | ||||||
5.00%, 02/01/2031 | 200 | 204,399 | ||||||
Kentucky Economic Development Finance Authority | 3,500 | 3,597,413 | ||||||
|
| |||||||
4,473,238 | ||||||||
|
| |||||||
Louisiana–0.1% |
| |||||||
Parish of St. James LA | 185 | 189,780 | ||||||
6.10%, 06/01/2038(c) | 270 | 287,271 | ||||||
6.10%, 12/01/2040(c) | 355 | 377,709 | ||||||
|
| |||||||
854,760 | ||||||||
|
| |||||||
Michigan–0.2% |
| |||||||
City of Detroit MI | 1,745 | 1,771,494 | ||||||
|
| |||||||
Missouri–0.0% |
| |||||||
Howard Bend Levee District | 175 | 177,132 | ||||||
5.75%, 03/01/2027 | 150 | 152,053 | ||||||
|
| |||||||
329,185 | ||||||||
|
| |||||||
Nevada–0.1% |
| |||||||
City of Sparks NV | 295 | 283,736 | ||||||
2.75%, 06/15/2028(c) | 525 | 460,121 | ||||||
|
| |||||||
743,857 | ||||||||
|
| |||||||
New Jersey–1.8% |
| |||||||
New Jersey Transportation Trust Fund Authority | 1,410 | 1,474,171 | ||||||
5.00%, 06/15/2029 | 6,660 | 6,895,010 | ||||||
Series 2018-A | 2,710 | 2,822,724 | ||||||
5.00%, 06/15/2029 | 1,290 | 1,335,520 |
16 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
New Jersey Transportation Trust Fund Authority | $ | 3,225 | $ | 3,349,569 | ||||
Tobacco Settlement Financing Corp./NJ | 1,000 | 1,010,996 | ||||||
5.00%, 06/01/2025 | 1,000 | 1,027,849 | ||||||
5.00%, 06/01/2026 | 1,000 | 1,034,958 | ||||||
5.00%, 06/01/2028 | 1,000 | 1,038,136 | ||||||
|
| |||||||
19,988,933 | ||||||||
|
| |||||||
New York–1.2% |
| |||||||
Metropolitan Transportation Authority | 2,065 | 2,140,942 | ||||||
Series 2017-C | 2,960 | 3,069,765 | ||||||
Series 2020-E | 3,750 | 3,882,849 | ||||||
5.00%, 11/15/2028 | 3,500 | 3,629,073 | ||||||
New York Transportation Development Corp. | 1,000 | 881,715 | ||||||
New York Transportation Development Corp. | 220 | 208,732 | ||||||
|
| |||||||
13,813,076 | ||||||||
|
| |||||||
Ohio–0.1% |
| |||||||
Buckeye Tobacco Settlement Financing Authority | 1,175 | 1,202,350 | ||||||
|
| |||||||
Pennsylvania–0.4% |
| |||||||
Allentown Neighborhood Improvement Zone Development Authority | 1,250 | 1,250,208 | ||||||
5.00%, 05/01/2033(c) | 1,000 | 968,040 | ||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) | 1,815 | 1,843,362 | ||||||
|
| |||||||
4,061,610 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Puerto Rico–0.8% |
| |||||||
Commonwealth of Puerto Rico | $ | 800 | $ | 734,843 | ||||
Zero Coupon, 07/01/2033 | 1,680 | 926,005 | ||||||
4.00%, 07/01/2033 | 500 | 439,701 | ||||||
5.25%, 07/01/2023 | 350 | 351,557 | ||||||
5.375%, 07/01/2025 | 655 | 661,333 | ||||||
5.625%, 07/01/2027 | 2,515 | 2,567,227 | ||||||
5.625%, 07/01/2029 | 725 | 741,525 | ||||||
5.75%, 07/01/2031 | 220 | 224,291 | ||||||
Puerto Rico Highway & Transportation Authority | 740 | 719,486 | ||||||
AGC Series 2007-C | 150 | 151,166 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 982 | 907,289 | ||||||
|
| |||||||
8,424,423 | ||||||||
|
| |||||||
South Carolina–0.4% |
| |||||||
Patriots Energy Group Financing Agency | 5,000 | 5,010,695 | ||||||
|
| |||||||
Texas–0.4% |
| |||||||
Mission Economic Development Corp. | 3,205 | 3,155,227 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. I | 1,190 | 1,236,398 | ||||||
|
| |||||||
4,391,625 | ||||||||
|
| |||||||
Washington–0.1% |
| |||||||
Washington Health Care Facilities Authority | 825 | 846,676 | ||||||
|
| |||||||
Wisconsin–0.8% |
| |||||||
UMA Education, Inc. | 175 | 175,000 | ||||||
5.00%, 10/01/2023(c) | 195 | 195,130 | ||||||
5.00%, 10/01/2025(c) | 730 | 727,395 | ||||||
5.00%, 10/01/2026(c) | 770 | 764,782 | ||||||
5.00%, 10/01/2027(c) | 805 | 795,911 | ||||||
5.00%, 10/01/2028(c) | 700 | 687,928 | ||||||
5.00%, 10/01/2029(c) | 320 | 313,214 |
Schedule of Investments—California Municipal Portfolio | 17 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Wisconsin Public Finance Authority | ||||||||
5.00%, 01/01/2024 | $ | 5,335 | $ | 5,382,550 | ||||
|
| |||||||
9,041,910 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds (cost $1,058,612,594) |
| 986,498,644 | ||||||
|
| |||||||
Short-Term Municipal Notes–3.4% |
| |||||||
California–3.4% |
| |||||||
City of Los Angeles CA | 35,990 | 36,235,092 | ||||||
Southern California Public Power Authority | 1,300 | 1,300,000 | ||||||
|
| |||||||
Total Short-Term Municipal Notes (cost $37,667,433) |
| 37,535,092 | ||||||
|
| |||||||
Total Municipal Obligations (cost $1,096,280,027) |
| 1,024,033,736 | ||||||
|
| |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES–1.0% |
| |||||||
Agency CMBS–1.0% |
| |||||||
California Housing Finance Agency | 7,904 | 7,251,982 | ||||||
Series 2021-3, Class X | 3,357 | 202,690 | ||||||
Federal Home Loan Mortgage Corp. | 4,937 | 3,801,068 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (cost $14,679,917) |
| 11,255,740 | ||||||
|
| |||||||
GOVERNMENTS–TREASURIES–0.2% |
| |||||||
United States–0.2% |
| |||||||
U.S. Treasury Notes | 2,346 | 2,161,986 | ||||||
|
| |||||||
CORPORATES–INVESTMENT GRADE–0.2% |
| |||||||
Industrial–0.2% |
| |||||||
Consumer Cyclical–Automotive–0.2% |
| |||||||
General Motors Financial Co., Inc. 3.443% (SOFR + 1.30%), 04/07/2025(a) | 2,000 | 1,957,540 | ||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS–0.1% |
| |||||||
Risk Share Floating Rate–0.1% |
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | $ | 90 | $ | 91,004 | ||||
Federal National Mortgage Association Connecticut Avenue Securities | 71 | 71,489 | ||||||
Series 2014-C04, Class 1M2 | 56 | 58,259 | ||||||
Series 2015-C02, Class 1M2 | 35 | 36,016 | ||||||
Series 2015-C03, Class 1M2 | 35 | 35,429 | ||||||
Series 2016-C01, Class 1M2 | 111 | 117,513 | ||||||
Series 2016-C02, Class 1M2 9.084% (LIBOR 1 Month + 6.00%), 09/25/2028(a) | 56 | 58,245 | ||||||
Series 2016-C03, Class 1M2 | 95 | 97,279 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (cost $552,308) |
| 565,234 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS–5.3% |
| |||||||
U.S. Treasury Bills–5.3% |
| |||||||
United States—5.3% |
| |||||||
U.S. Treasury Bill | 58,500 | 58,427,622 | ||||||
|
| |||||||
Total Investments—99.7% (cost $1,174,374,436) |
| 1,098,401,858 | ||||||
Other assets less liabilities—0.3% |
| 3,494,929 | ||||||
|
| |||||||
Net Assets—100.0% |
| $ | 1,101,896,787 | |||||
|
|
18 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note 3)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY Series 39, 5 Year Index, 12/20/2027* | 5.00 | % | Quarterly | 6.06 | % | USD | 8,300 | $ | (328,585 | ) | $ | (317,863 | ) | $ | (10,722 | ) |
* Termination date
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
USD | 5,605 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 483,175 | $ | — | $ | 483,175 | |||||||||||||||||||
USD | 3,100 | 01/15/2025 | 4.028% | CPI# | Maturity | 85,148 | — | 85,148 | ||||||||||||||||||||||
USD | 2,803 | 01/15/2025 | 2.613% | CPI# | Maturity | 236,393 | — | 236,393 | ||||||||||||||||||||||
USD | 2,802 | 01/15/2025 | 2.585% | CPI# | Maturity | 239,341 | — | 239,341 | ||||||||||||||||||||||
USD | 12,110 | 01/15/2026 | CPI# | 3.720% | Maturity | (329,976 | ) | — | (329,976 | ) | ||||||||||||||||||||
USD | 8,400 | 01/15/2027 | CPI# | 3.320% | Maturity | (316,213 | ) | — | (316,213 | ) | ||||||||||||||||||||
USD | 8,200 | 01/15/2027 | CPI# | 3.466% | Maturity | (236,510 | ) | (9,582 | ) | (226,928 | ) | |||||||||||||||||||
USD | 6,420 | 01/15/2027 | CPI# | 3.323% | Maturity | (240,520 | ) | — | (240,520 | ) | ||||||||||||||||||||
USD | 21,750 | 01/15/2028 | 1.230% | CPI# | Maturity | 3,629,212 | — | 3,629,212 | ||||||||||||||||||||||
USD | 15,980 | 01/15/2028 | 0.735% | CPI# | Maturity | 3,223,789 | — | 3,223,789 | ||||||||||||||||||||||
USD | 21,800 | 01/15/2029 | CPI# | 3.290% | Maturity | (436,702 | ) | — | (436,702 | ) | ||||||||||||||||||||
USD | 8,210 | 01/15/2029 | CPI# | 3.735% | Maturity | 131,878 | — | 131,878 | ||||||||||||||||||||||
USD | 4,115 | 01/15/2030 | 1.572% | CPI# | Maturity | 630,159 | — | 630,159 | ||||||||||||||||||||||
USD | 4,115 | 01/15/2030 | 1.587% | CPI# | Maturity | 624,679 | — | 624,679 | ||||||||||||||||||||||
USD | 4,900 | 01/15/2031 | 2.782% | CPI# | Maturity | 247,343 | — | 247,343 | ||||||||||||||||||||||
USD | 4,500 | 01/15/2031 | 2.680% | CPI# | Maturity | 270,830 | — | 270,830 | ||||||||||||||||||||||
USD | 3,950 | 01/15/2031 | 2.989% | CPI# | Maturity | 120,714 | — | 120,714 | ||||||||||||||||||||||
USD | 4,300 | 01/15/2032 | CPI# | 3.064% | Maturity | (68,505 | ) | — | (68,505 | ) | ||||||||||||||||||||
USD | 4,180 | 04/15/2032 | CPI# | 2.909% | Maturity | (118,301 | ) | — | (118,301 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 8,175,934 | $ | (9,582 | ) | $ | 8,185,516 | ||||||||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
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 | 13,000 | 01/15/2029 | 1.363% | 3 Month LIBOR | Semi-Annual/Quarterly | $ | 1,894,135 | $ | (8,805 | ) | $ | 1,902,940 | ||||||||||||||||||
USD | 34,000 | 04/15/2032 | 2.525% | 1 Day SOFR | Annual | 2,638,093 | — | 2,638,093 | ||||||||||||||||||||||
USD | 8,000 | 04/15/2032 | 1.280% | 1 Day SOFR | Annual | 1,445,650 | — | 1,445,650 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 5,977,878 | $ | (8,805 | ) | $ | 5,986,683 | ||||||||||||||||||||||||
|
|
|
|
|
|
Schedule of Investments—California Municipal Portfolio | 19 |
Table of Contents
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 87 | $ | (19,479 | ) | $ | (8,116 | ) | $ | (11,363 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,005 | (225,216 | ) | (123,252 | ) | (101,964 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1 | (161 | ) | (84 | ) | (77 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 47 | (10,625 | ) | (4,468 | ) | (6,157 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 592 | (132,811 | ) | (55,913 | ) | (76,898 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 892 | (199,942 | ) | (82,013 | ) | (117,929 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 773 | (173,219 | ) | (68,965 | ) | (104,254 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (761,453 | ) | $ | (342,811 | ) | $ | (418,642 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
INTEREST RATE SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Citibank, NA | USD | 12,395 | 10/09/2029 | 1.125 | % | SIFMA | * | Quarterly | $ | 1,424,335 | $ | — | $ | 1,424,335 |
* Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index.
(a) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(b) | When-Issued or delayed delivery security. |
(c) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $80,439,176 or 7.3% of net assets. |
(d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(e) | Fair valued by the Adviser. |
(f) | Non-income producing security. |
(g) | Defaulted matured security. |
(h) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
(i) | IO—Interest Only. |
(j) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 2.0% and 0.0%, respectively.
20 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Glossary:
AGC—Assured Guaranty Corporation
AGM—Assured Guaranty Municipal
BAM—Build American Mutual
CDX-CMBX.NA—North American Commercial Mortgage-Backed Index
CDX-NAHY—North American High Yield Credit Default Swap
CMBS—Commercial Mortgage-Backed Securities
COP—Certificate of Participation
DOT—Department of Transportation
ETM—Escrowed to Maturity
LIBOR—London Interbank Offered Rate
MUNIPSA—SIFMA Municipal Swap Index
NATL—National Interstate Corporation
SOFR—Secured Overnight Financing Rate
SRF—State Revolving Fund
XLCA—XL Capital Assurance Inc.
See notes to financial statements.
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Diversified Municipal Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS–98.0% |
| |||||||
Long-Term Municipal Bonds–89.9% |
| |||||||
Alabama–2.0% |
| |||||||
Alabama Federal Aid Highway Finance Authority | $ | 1,390 | $ | 1,435,835 | ||||
Black Belt Energy Gas District | 5,000 | 4,870,082 | ||||||
Infirmary Health System Special Care Facilities Financing Authority of Mobile | 1,000 | 888,732 | ||||||
4.00%, 02/01/2040 | 2,680 | 2,361,988 | ||||||
Southeast Alabama Gas Supply District (The) | 23,985 | 23,906,588 | ||||||
Southeast Alabama Gas Supply District (The) | 69,310 | 69,132,927 | ||||||
Sumter County Industrial Development Authority/AL | 6,480 | 5,948,392 | ||||||
|
| |||||||
108,544,544 | ||||||||
|
| |||||||
Alaska–0.2% |
| |||||||
Municipality of Anchorage AK | 4,375 | 4,522,551 | ||||||
Series 2015-C | 1,890 | 1,921,436 | ||||||
5.00%, 09/01/2024 | 2,730 | 2,822,072 | ||||||
|
| |||||||
9,266,059 | ||||||||
|
|
Schedule of Investments—Diversified Municipal Portfolio | 21 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
American Samoa–0.0% |
| |||||||
American Samoa Economic Development Authority | $ | 1,920 | $ | 2,072,408 | ||||
|
| |||||||
Arizona–1.8% |
| |||||||
Arizona Health Facilities Authority | 1,270 | 1,292,993 | ||||||
5.00%, 12/01/2024 | 1,500 | 1,546,033 | ||||||
Arizona Industrial Development Authority | 1,000 | 1,048,104 | ||||||
Arizona Industrial Development Authority | 2,000 | 1,948,136 | ||||||
City of Glendale AZ | 2,900 | 2,387,668 | ||||||
2.542%, 07/01/2033 | 5,000 | 3,850,239 | ||||||
2.642%, 07/01/2034 | 10,000 | 7,602,041 | ||||||
City of Glendale AZ | 7,945 | 8,052,776 | ||||||
5.00%, 07/01/2024 | 9,010 | 9,284,051 | ||||||
City of Phoenix Civic Improvement Corp. | 600 | 667,217 | ||||||
5.00%, 07/01/2031 | 850 | 941,180 | ||||||
5.00%, 07/01/2032 | 825 | 909,971 | ||||||
5.00%, 07/01/2033 | 1,000 | 1,098,505 | ||||||
5.00%, 07/01/2035 | 1,250 | 1,353,447 | ||||||
5.00%, 07/01/2036 | 2,000 | 2,162,103 | ||||||
5.00%, 07/01/2037 | 1,500 | 1,612,335 | ||||||
5.00%, 07/01/2038 | 2,000 | 2,144,763 | ||||||
5.00%, 07/01/2039 | 2,000 | 2,140,847 | ||||||
Series 2020-A | 500 | 556,014 | ||||||
5.00%, 07/01/2031 | 650 | 719,726 | ||||||
5.00%, 07/01/2032 | 400 | 441,198 | ||||||
5.00%, 07/01/2033 | 490 | 538,267 | ||||||
5.00%, 07/01/2034 | 1,000 | 1,092,244 | ||||||
5.00%, 07/01/2035 | 1,135 | 1,228,930 | ||||||
5.00%, 07/01/2036 | 1,670 | 1,805,356 | ||||||
5.00%, 07/01/2037 | 1,500 | 1,612,335 | ||||||
5.00%, 07/01/2038 | 1,550 | 1,662,192 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
City of Tempe AZ | $ | 5,000 | $ | 3,899,742 | ||||
2.171%, 07/01/2033 | 5,000 | 3,831,932 | ||||||
Gilbert Water Resource Municipal Property Corp. | 1,805 | 1,985,054 | ||||||
5.00%, 07/15/2038 | 5,500 | 6,031,528 | ||||||
Maricopa County Special Health Care District | 6,000 | 6,489,233 | ||||||
State of Arizona Lottery Revenue | 4,000 | 4,052,492 | ||||||
5.00%, 07/01/2024 | 2,000 | 2,058,775 | ||||||
5.00%, 07/01/2025 | 5,000 | 5,224,944 | ||||||
5.00%, 07/01/2027 | 5,500 | 5,904,185 | ||||||
|
| |||||||
99,176,556 | ||||||||
|
| |||||||
Arkansas–0.1% |
| |||||||
City of Fayetteville AR Sales & Use Tax Revenue | 3,000 | 2,737,688 | ||||||
|
| |||||||
California–6.3% |
| |||||||
California Community Housing Agency | 18,035 | 12,579,748 | ||||||
California Housing Finance Agency | 10,545 | 10,030,291 | ||||||
Series 2021-1, Class A | 3,424 | 2,957,752 | ||||||
Series 2021-2 | 10,000 | 562,728 | ||||||
Series 2021-3, Class A | 3,950 | 3,381,233 | ||||||
California State Public Works Board | 1,225 | 1,262,053 | ||||||
Series 2021-A | 12,040 | 12,890,429 |
22 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
California State University | $ | 5,000 | $ | 3,643,788 | ||||
City of Los Angeles Department of Airports | 5,840 | 5,918,866 | ||||||
Series 2019 | 5,215 | 5,257,074 | ||||||
City of Riverside CA Electric Revenue | 5,230 | 5,685,195 | ||||||
CMFA Special Finance Agency VII | 1,995 | 1,356,241 | ||||||
CMFA Special Finance Agency VIII Elan Huntington Beach | 2,505 | 1,878,750 | ||||||
CSCDA Community Improvement Authority | 13,250 | 10,040,097 | ||||||
CSCDA Community Improvement Authority | 5,500 | 3,850,825 | ||||||
CSCDA Community Improvement Authority | 13,000 | 9,339,646 | ||||||
CSCDA Community Improvement Authority | 7,000 | 5,165,710 | ||||||
CSCDA Community Improvement Authority | 3,000 | 2,184,697 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
CSCDA Community Improvement Authority | $ | 6,545 | $ | 4,517,532 | ||||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue | 10,000 | 9,708,444 | ||||||
Los Angeles Unified School District/CA | 2,780 | 3,059,775 | ||||||
Regents of the University of California Medical Center Pooled Revenue | 5,000 | 5,314,884 | ||||||
Sacramento County Water Financing Authority | 15,000 | 12,869,035 | ||||||
San Francisco Intl Airport | 9,645 | 9,814,771 | ||||||
State of California | 20,000 | 20,407,592 | ||||||
5.00%, 11/01/2025 | 23,465 | 23,938,205 | ||||||
Series 2014 | 30,965 | 31,860,663 | ||||||
5.00%, 05/01/2026 | 50,000 | 51,438,475 | ||||||
Series 2019 | 16,185 | 17,638,479 | ||||||
5.00%, 04/01/2036 | 26,190 | 27,927,340 | ||||||
Series 2020 | 19,000 | 21,267,694 | ||||||
5.00%, 03/01/2035 | 460 | 496,328 | ||||||
University of California | 5,000 | 5,570,880 | ||||||
5.00%, 05/15/2035 | 5,000 | 5,520,086 | ||||||
|
| |||||||
349,335,306 | ||||||||
|
| |||||||
Colorado–2.1% |
| |||||||
Centerra Metropolitan District No. 1 | 3,680 | 3,620,076 | ||||||
City & County of Denver Co. Airport System Revenue | 1,025 | 1,026,866 |
Schedule of Investments—Diversified Municipal Portfolio | 23 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
City & County of Denver CO. Airport System Revenue | $ | 5,605 | $ | 5,614,119 | ||||
City & County of Denver Co. Airport System Revenue | 4,085 | 4,159,856 | ||||||
Series 2018-A | 10,000 | 10,351,534 | ||||||
City & County of Denver CO. Airport System Revenue | 16,080 | 16,637,632 | ||||||
City & County of Denver Co. Airport System Revenue | 19,215 | 19,950,433 | ||||||
City & County of Denver CO. Airport System Revenue | 24,320 | 25,395,562 | ||||||
City & County of Denver Co. Airport System Revenue | 1,620 | 1,665,193 | ||||||
Colorado Health Facilities Authority | 2,175 | 2,232,145 | ||||||
5.00%, 08/01/2033 | 1,095 | 1,106,329 | ||||||
5.00%, 08/01/2035 | 1,995 | 1,999,485 | ||||||
Colorado Health Facilities Authority | 2,280 | 2,392,722 | ||||||
5.00%, 11/01/2028 | 3,620 | 3,808,196 | ||||||
Johnstown Plaza Metropolitan District | 2,369 | 1,876,748 | ||||||
State of Colorado | 11,000 | 12,682,461 | ||||||
Vauxmont Metropolitan District | 959 | 680,109 | ||||||
5.00%, 12/15/2026 | 270 | 286,764 | ||||||
AGM Series 2020 | 485 | 500,292 | ||||||
5.00%, 12/01/2027 | 305 | 326,161 | ||||||
5.00%, 12/01/2030 | 385 | 418,742 | ||||||
5.00%, 12/01/2033 | 285 | 305,518 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 12/01/2050 | $ | 300 | $ | 312,309 | ||||
|
| |||||||
117,349,252 | ||||||||
|
| |||||||
Connecticut–3.0% |
| |||||||
City of Bridgeport CT | 1,420 | 1,445,463 | ||||||
5.00%, 11/01/2028 | 1,000 | 1,064,565 | ||||||
Series 2017-B | 1,085 | 1,131,005 | ||||||
5.00%, 08/15/2026 | 4,500 | 4,750,308 | ||||||
5.00%, 08/15/2027 | 755 | 813,530 | ||||||
5.00%, 08/15/2027 | 6,610 | 7,045,657 | ||||||
Series 2017-C | 2,245 | 2,310,814 | ||||||
5.00%, 08/15/2026 | 2,480 | 2,617,947 | ||||||
5.00%, 08/15/2027 | 2,605 | 2,776,692 | ||||||
5.00%, 08/15/2028 | 1,620 | 1,720,748 | ||||||
Connecticut State Health & Educational Facilities Authority | 5,425 | 5,577,478 | ||||||
Connecticut State Health & Educational Facilities Authority | 1,000 | 1,001,049 | ||||||
5.00%, 07/01/2027 | 1,100 | 1,100,772 | ||||||
5.00%, 07/01/2028 | 1,100 | 1,098,685 | ||||||
5.00%, 07/01/2029 | 1,200 | 1,197,648 | ||||||
State of Connecticut | 6,360 | 6,503,948 | ||||||
Series 2015-B | 7,345 | 7,626,176 | ||||||
Series 2015-F | 1,570 | 1,645,652 | ||||||
Series 2016-A | 2,805 | 2,876,668 | ||||||
5.00%, 03/15/2029 | 14,500 | 15,267,627 | ||||||
Series 2016-E | 17,000 | 17,597,919 | ||||||
5.00%, 10/15/2025 | 3,025 | 3,169,962 | ||||||
Series 2017-B | 2,515 | 2,713,602 | ||||||
Series 2018-C | 5,500 | 5,809,721 | ||||||
Series 2018-D | 16,655 | 17,555,311 | ||||||
Series 2020-A | 2,565 | 2,691,247 | ||||||
State of Connecticut Special Tax Revenue | 4,650 | 4,670,387 |
24 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Series 2020 | $ | 1,000 | $ | 954,796 | ||||
5.00%, 05/01/2028 | 1,030 | 1,110,806 | ||||||
5.00%, 05/01/2031 | 3,565 | 3,905,845 | ||||||
5.00%, 05/01/2033 | 2,525 | 2,730,901 | ||||||
5.00%, 05/01/2037 | 2,645 | 2,807,371 | ||||||
5.00%, 05/01/2038 | 2,015 | 2,125,746 | ||||||
Series 2021-A | 3,835 | 3,573,957 | ||||||
Series 2021-D | 1,060 | 991,751 | ||||||
Town of Stratford CT | 3,890 | 4,088,893 | ||||||
BAM Series 2019 | 2,035 | 2,146,940 | ||||||
5.00%, 01/01/2032 | 3,890 | 4,078,423 | ||||||
5.00%, 01/01/2033 | 3,555 | 3,718,902 | ||||||
University of Connecticut | 7,065 | 7,451,237 | ||||||
|
| |||||||
163,466,149 | ||||||||
|
| |||||||
Delaware–0.1% |
| |||||||
Delaware River & Bay Authority | 3,250 | 3,314,856 | ||||||
5.00%, 01/01/2027 | 2,220 | 2,264,029 | ||||||
Delaware State Economic Development Authority | 575 | 548,528 | ||||||
5.00%, 09/01/2050 | 1,000 | 975,503 | ||||||
|
| |||||||
7,102,916 | ||||||||
|
| |||||||
District of Columbia–1.9% |
| |||||||
District of Columbia | 20,860 | 21,106,794 | ||||||
5.00%, 06/01/2026 | 19,580 | 19,810,368 | ||||||
5.00%, 06/01/2027 | 18,675 | 18,893,499 | ||||||
District of Columbia | 5,585 | 5,602,009 | ||||||
Metropolitan Washington Airports Authority Aviation Revenue | 1,155 | 1,206,851 | ||||||
Series 2019-A | 3,840 | 4,024,998 | ||||||
5.00%, 10/01/2032 | 5,000 | 5,189,623 | ||||||
Series 2020-A | 2,540 | 2,670,476 | ||||||
5.00%, 10/01/2030 | 5,500 | 5,796,965 | ||||||
5.00%, 10/01/2031 | 5,000 | 5,231,626 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 10/01/2032 | $ | 5,500 | $ | 5,733,601 | ||||
5.00%, 10/01/2033 | 5,000 | 5,173,029 | ||||||
5.00%, 10/01/2034 | 2,870 | 2,954,539 | ||||||
Washington Metropolitan Area Transit Authority | 3,205 | 3,432,213 | ||||||
|
| |||||||
106,826,591 | ||||||||
|
| |||||||
Florida–4.3% |
| |||||||
Capital Trust Agency, Inc. | 510 | 504,563 | ||||||
Central Florida Expressway Authority | 11,335 | 12,078,535 | ||||||
AGM Series 2021 | 4,500 | 4,989,707 | ||||||
5.00%, 07/01/2032 | 2,855 | 3,134,223 | ||||||
5.00%, 07/01/2033 | 2,650 | 2,889,918 | ||||||
City of South Miami Health Facilities Authority, Inc. | 5,000 | 5,275,380 | ||||||
City of Tampa FL | 650 | 357,185 | ||||||
Zero Coupon, 09/01/2035 | 650 | 336,249 | ||||||
County of Broward FL Airport System Revenue | 1,070 | 1,109,671 | ||||||
Series 2019-C | 1,250 | 1,143,635 | ||||||
County of Broward FL Airport System Revenue | 5,000 | 5,006,887 | ||||||
County of Broward FL Convention Center Hotel Revenue | 2,685 | 2,872,775 | ||||||
County of Miami-Dade FL Aviation Revenue | 1,640 | 1,640,000 | ||||||
5.00%, 10/01/2023 | 1,725 | 1,747,583 | ||||||
5.00%, 10/01/2024 | 1,610 | 1,644,052 |
Schedule of Investments—Diversified Municipal Portfolio | 25 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
County of Miami-Dade FL Water & Sewer System Revenue | $ | 2,490 | $ | 2,396,938 | ||||
County of Miami-Dade Seaport Department | 1,955 | 1,752,378 | ||||||
County of Osceola FL Transportation Revenue | 735 | 489,847 | ||||||
Zero Coupon, 10/01/2031 | 905 | 568,892 | ||||||
Zero Coupon, 10/01/2032 | 500 | 296,522 | ||||||
Zero Coupon, 10/01/2033 | 1,210 | 674,793 | ||||||
Zero Coupon, 10/01/2034 | 1,260 | 661,254 | ||||||
Duval County School Board | 4,280 | 4,456,560 | ||||||
Florida Development Finance Corp. | 3,765 | 3,470,549 | ||||||
Florida Municipal Power Agency | 1,000 | 1,032,586 | ||||||
5.00%, 10/01/2026 | 1,750 | 1,826,799 | ||||||
5.00%, 10/01/2028 | 1,015 | 1,056,026 | ||||||
Series 2021 | 3,000 | 2,643,234 | ||||||
Florida State Board of Education | 5,150 | 5,756,304 | ||||||
5.00%, 06/01/2031 | 10,760 | 12,114,487 | ||||||
Greater Orlando Aviation Authority | 3,000 | 3,202,360 | ||||||
5.00%, 10/01/2030 | 6,250 | 6,671,582 | ||||||
5.00%, 10/01/2031 | 4,085 | 4,173,820 | ||||||
Series 2019-A | 7,975 | 8,221,551 | ||||||
Hillsborough County School Board | 1,480 | 1,534,371 | ||||||
Hillsborough County School Board | 2,650 | 2,694,539 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Hollywood Community Redevelopment Agency | $ | 1,145 | $ | 1,152,498 | ||||
JEA Electric System Revenue | 1,185 | 1,256,972 | ||||||
JEA Water & Sewer System Revenue | 1,565 | 1,604,797 | ||||||
5.00%, 10/01/2025 | 1,495 | 1,533,676 | ||||||
Series 2017-A | 22,290 | 23,686,812 | ||||||
Manatee County School District | 7,795 | 8,202,247 | ||||||
5.00%, 07/01/2029 | 6,215 | 6,548,626 | ||||||
North Broward Hospital District | 3,000 | 3,079,294 | ||||||
5.00%, 01/01/2030 | 3,180 | 3,253,448 | ||||||
Orange County Health Facilities Authority | 6,955 | 6,955,000 | ||||||
5.00%, 10/01/2023 | 5,000 | 5,068,385 | ||||||
5.00%, 10/01/2024 | 6,560 | 6,732,944 | ||||||
Orange County Health Facilities Authority | 1,000 | 863,240 | ||||||
Orange County School Board | 25,075 | 25,890,115 | ||||||
5.00%, 08/01/2029 | 21,280 | 21,971,751 | ||||||
Polk County Industrial Development Authority | 2,000 | 1,977,851 | ||||||
South Broward Hospital District | 3,350 | 3,471,860 |
26 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
St. Lucie County School Board | $ | 3,150 | $ | 3,150,000 | ||||
|
| |||||||
236,825,271 | ||||||||
|
| |||||||
Georgia–2.2% |
| |||||||
City of Atlanta GA Department of Aviation | 12,250 | 12,483,084 | ||||||
Series 2021-C | 1,000 | 893,302 | ||||||
4.00%, 07/01/2041 | 1,000 | 885,373 | ||||||
4.00%, 07/01/2042 | 1,250 | 1,100,049 | ||||||
5.00%, 07/01/2029 | 1,250 | 1,312,351 | ||||||
5.00%, 07/01/2030 | 1,315 | 1,385,189 | ||||||
5.00%, 07/01/2031 | 1,725 | 1,813,271 | ||||||
5.00%, 07/01/2032 | 1,000 | 1,046,734 | ||||||
5.00%, 07/01/2033 | 1,400 | 1,453,759 | ||||||
5.00%, 07/01/2034 | 3,000 | 3,093,627 | ||||||
5.00%, 07/01/2036 | 2,400 | 2,450,670 | ||||||
5.00%, 07/01/2037 | 2,500 | 2,549,427 | ||||||
Series 2022-B | 1,565 | 1,607,754 | ||||||
5.00%, 07/01/2036 | 2,845 | 2,910,527 | ||||||
5.00%, 07/01/2037 | 2,535 | 2,589,673 | ||||||
5.00%, 07/01/2039 | 2,765 | 2,795,626 | ||||||
5.00%, 07/01/2040 | 7,105 | 7,153,506 | ||||||
5.00%, 07/01/2041 | 7,460 | 7,510,929 | ||||||
Cobb County Kennestone Hospital Authority | 1,000 | 1,040,143 | ||||||
5.00%, 04/01/2027 | 250 | 261,147 | ||||||
5.00%, 04/01/2028 | 250 | 261,964 | ||||||
5.00%, 04/01/2029 | 300 | 314,718 | ||||||
5.00%, 04/01/2030 | 225 | 235,556 | ||||||
5.00%, 04/01/2031 | 250 | 260,730 | ||||||
Main Street Natural Gas, Inc. | 9,350 | 8,797,596 | ||||||
Main Street Natural Gas, Inc. | 34,735 | 34,789,468 | ||||||
Series 2018-C | 18,000 | 18,035,734 | ||||||
Private Colleges & Universities Authority | 1,280 | 1,245,359 | ||||||
|
| |||||||
120,277,266 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Guam–0.0% |
| |||||||
Territory of Guam | $ | 930 | $ | 878,122 | ||||
|
| |||||||
Hawaii–0.0% |
| |||||||
State of Hawaii Harbor System Revenue | 2,765 | 2,596,840 | ||||||
|
| |||||||
Idaho–0.0% |
| |||||||
Idaho Housing & Finance Association | 1,320 | 1,337,527 | ||||||
|
| |||||||
Illinois–5.0% |
| |||||||
Chicago Board of Education | 7,000 | 7,075,344 | ||||||
Series 2018-A | 5,500 | 5,501,473 | ||||||
5.00%, 12/01/2026 | 1,000 | 1,023,186 | ||||||
Series 2022-B | 11,000 | 9,132,829 | ||||||
Chicago O’Hare International Airport | 3,020 | 3,162,768 | ||||||
Series 2018-A | 6,000 | 6,042,712 | ||||||
Series 2022 | 3,160 | 2,811,927 | ||||||
5.00%, 01/01/2029(c) | 500 | 520,673 | ||||||
5.00%, 01/01/2030(c) | 800 | 836,051 | ||||||
5.00%, 01/01/2033(c) | 890 | 921,170 | ||||||
5.00%, 01/01/2040(c) | 1,850 | 1,862,111 | ||||||
5.00%, 01/01/2041(c) | 2,000 | 2,013,093 | ||||||
5.00%, 01/01/2042(c) | 2,200 | 2,206,399 | ||||||
Illinois Finance Authority | 470 | 473,194 | ||||||
5.00%, 09/01/2025 | 600 | 609,834 | ||||||
5.00%, 09/01/2026 | 300 | 305,960 | ||||||
5.00%, 09/01/2027 | 455 | 464,627 | ||||||
5.00%, 09/01/2029 | 575 | 588,625 | ||||||
5.00%, 09/01/2031 | 1,000 | 1,010,853 | ||||||
5.00%, 09/01/2034 | 625 | 617,170 | ||||||
Illinois Finance Authority | 1,000 | 1,082,243 | ||||||
5.00%, 08/15/2030 | 4,000 | 4,328,816 | ||||||
5.00%, 08/15/2034 | 2,785 | 2,908,283 |
Schedule of Investments—Diversified Municipal Portfolio | 27 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Illinois Finance Authority | $ | 1,000 | $ | 1,031,443 | ||||
5.00%, 11/15/2028 | 1,250 | 1,285,221 | ||||||
Illinois Finance Authority | 5,290 | 5,051,964 | ||||||
Illinois Finance Authority | 4,000 | 4,443,589 | ||||||
5.00%, 10/01/2032 | 3,750 | 4,155,861 | ||||||
5.00%, 10/01/2033 | 2,250 | 2,492,884 | ||||||
5.00%, 10/01/2037 | 1,350 | 1,450,478 | ||||||
5.00%, 10/01/2038 | 1,700 | 1,825,030 | ||||||
Illinois Municipal Electric Agency | 16,370 | 17,041,887 | ||||||
5.00%, 02/01/2028 | 13,565 | 14,095,800 | ||||||
5.00%, 02/01/2029 | 12,885 | 13,371,611 | ||||||
Illinois State Toll Highway Authority | 1,185 | 1,190,272 | ||||||
Metropolitan Pier & Exposition Authority | 2,745 | 2,237,053 | ||||||
Metropolitan Water Reclamation District of Greater Chicago | 7,075 | 8,102,676 | ||||||
Railsplitter Tobacco Settlement Authority | 10,020 | 10,237,683 | ||||||
5.00%, 06/01/2025 | 12,450 | 12,853,141 | ||||||
State of Illinois | 5,415 | 5,474,517 | ||||||
Series 2013-A | 4,415 | 4,444,683 | ||||||
Series 2014 | 3,500 | 3,547,531 | ||||||
5.00%, 05/01/2025 | 18,120 | 18,341,615 | ||||||
5.00%, 05/01/2027 | 5,000 | 5,047,045 | ||||||
Series 2016 | 1,100 | 1,117,785 | ||||||
Series 2017-A | 8,590 | 8,733,389 | ||||||
Series 2017-D | 55,520 | 56,437,279 | ||||||
5.00%, 11/01/2028 | 1,675 | 1,707,221 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Series 2019-B | $ | 9,000 | $ | 8,169,565 | ||||
Series 2020 | 1,500 | 1,526,873 | ||||||
Series 2022-B | 4,000 | 4,031,597 | ||||||
|
| |||||||
274,945,034 | ||||||||
|
| |||||||
Indiana–0.7% |
| |||||||
City of Whiting IN | 9,670 | 9,923,372 | ||||||
Indiana Finance Authority | 12,000 | 11,945,385 | ||||||
Indiana Finance Authority | 715 | 726,291 | ||||||
5.00%, 04/01/2025 | 750 | 767,353 | ||||||
5.00%, 04/01/2026 | 790 | 813,628 | ||||||
5.00%, 04/01/2027 | 830 | 856,649 | ||||||
5.00%, 04/01/2028 | 875 | 903,376 | ||||||
Indiana Finance Authority | 11,690 | 10,699,841 | ||||||
Indiana Finance Authority | 1,895 | 1,602,199 | ||||||
|
| |||||||
38,238,094 | ||||||||
|
| |||||||
Iowa–0.5% |
| |||||||
Iowa Finance Authority | 5,450 | 4,942,638 | ||||||
Iowa Finance Authority | 5,460 | 5,922,945 | ||||||
PEFA, Inc. | 14,000 | 14,213,550 | ||||||
|
| |||||||
25,079,133 | ||||||||
|
| |||||||
Kansas–0.1% |
| |||||||
City of Junction City KS | 3,805 | 3,863,150 | ||||||
|
|
28 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Kentucky–2.4% |
| |||||||
County of Carroll KY | $ | 3,835 | $ | 3,378,579 | ||||
Kentucky Economic Development Finance Authority | 1,000 | 1,042,651 | ||||||
5.00%, 08/15/2041 | 1,260 | 1,253,121 | ||||||
Kentucky Economic Development Finance Authority | 8,780 | 9,047,001 | ||||||
5.00%, 06/01/2030 | 5,870 | 6,023,902 | ||||||
Kentucky Public Energy Authority | 24,850 | 24,760,135 | ||||||
Kentucky Public Energy Authority | 18,590 | 18,550,132 | ||||||
Series 2018-C | 36,475 | 36,238,959 | ||||||
Series 2019-A | 10,895 | 10,851,553 | ||||||
Series 2022-A | 10,000 | 9,511,694 | ||||||
Kentucky Turnpike Authority | 2,365 | 2,394,991 | ||||||
5.00%, 07/01/2024 | 3,420 | 3,516,990 | ||||||
5.00%, 07/01/2025 | 2,515 | 2,622,101 | ||||||
5.00%, 07/01/2027 | 5,075 | 5,340,141 | ||||||
|
| |||||||
134,531,950 | ||||||||
|
| |||||||
Louisiana–0.5% |
| |||||||
Consolidated Govt of the City of Baton Rouge & Parish of E Baton Rouge Sales Tax | 6,450 | 6,688,315 | ||||||
5.00%, 08/01/2028 | 2,535 | 2,622,458 | ||||||
Parish of St. James LA | 2,250 | 2,308,139 | ||||||
6.10%, 06/01/2038(a) | 3,030 | 3,223,820 | ||||||
6.10%, 12/01/2040(a) | 2,595 | 2,760,995 | ||||||
St. Tammany Parish Finance Authority | 1,200 | 1,191,504 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
State of Louisiana Gasoline & Fuels Tax Revenue | $ | 10,420 | $ | 10,024,675 | ||||
|
| |||||||
28,819,906 | ||||||||
|
| |||||||
Maine–0.0% |
| |||||||
Maine Municipal Bond Bank | 1,000 | 1,029,604 | ||||||
|
| |||||||
Maryland–0.9% |
| |||||||
County of Baltimore MD | 5,000 | 4,765,294 | ||||||
County of Frederick MD | 165 | 178,078 | ||||||
County of Howard MD | 4,825 | 5,385,451 | ||||||
5.00%, 08/15/2032 | 3,640 | 4,039,419 | ||||||
Maryland Economic Development Corp. | 15,000 | 15,404,949 | ||||||
Maryland Health & Higher Educational Facilities Authority | 1,420 | 1,488,342 | ||||||
5.00%, 04/15/2029 | 1,500 | 1,569,549 | ||||||
5.00%, 04/15/2031 | 1,365 | 1,428,029 | ||||||
State of Maryland | 8,940 | 9,916,641 | ||||||
State of Maryland Department of Transportation | 1,500 | 1,548,432 | ||||||
5.00%, 08/01/2028 | 1,050 | 1,094,403 | ||||||
5.00%, 08/01/2029 | 700 | 733,561 | ||||||
5.00%, 08/01/2033 | 1,000 | 1,030,942 | ||||||
5.00%, 08/01/2034 | 1,000 | 1,026,727 | ||||||
|
| |||||||
49,609,817 | ||||||||
|
| |||||||
Massachusetts–2.2% |
| |||||||
Commonwealth of Massachusetts | 3,965 | 4,022,590 | ||||||
Series 2017-D | 4,435 | 4,626,844 |
Schedule of Investments—Diversified Municipal Portfolio | 29 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Series 2017C | $ | 2,350 | $ | 2,350,000 | ||||
Series 2018-B | 3,685 | 3,964,715 | ||||||
Series 2022-B | 13,000 | 12,258,121 | ||||||
AGC Series 2007-A | 15,250 | 14,361,932 | ||||||
Commonwealth of Massachusetts | 7,250 | 6,955,251 | ||||||
Commonwealth of Massachusetts Transportation Fund Revenue | 10,340 | 11,031,619 | ||||||
Massachusetts Bay Transportation Authority Assessment Revenue | 2,270 | 2,134,209 | ||||||
Massachusetts Development Finance Agency | 2,670 | 2,787,947 | ||||||
5.00%, 10/01/2026 | 2,535 | 2,675,406 | ||||||
5.00%, 10/01/2027 | 2,140 | 2,279,307 | ||||||
5.00%, 10/01/2028 | 2,340 | 2,511,846 | ||||||
5.00%, 10/01/2029 | 1,000 | 1,073,452 | ||||||
5.00%, 10/01/2030 | 1,000 | 1,068,005 | ||||||
5.00%, 10/01/2031 | 1,010 | 1,072,662 | ||||||
5.00%, 10/01/2032 | 1,055 | 1,116,975 | ||||||
5.00%, 10/01/2033 | 1,625 | 1,712,347 | ||||||
Massachusetts Development Finance Agency | 7,565 | 7,873,046 | ||||||
5.00%, 07/01/2028 | 7,500 | 8,025,696 | ||||||
5.00%, 07/01/2029 | 9,000 | 9,626,115 | ||||||
Massachusetts Development Finance Agency | 950 | 1,031,072 | ||||||
Massachusetts Development Finance Agency | 1,425 | 1,474,986 | ||||||
5.00%, 07/01/2030 | 2,100 | 2,150,161 | ||||||
5.00%, 07/01/2032 | 2,000 | 2,023,289 | ||||||
5.00%, 07/01/2033 | 2,000 | 2,010,099 | ||||||
AGM Series 2020-C | 325 | 339,550 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 10/01/2027 | $ | 440 | $ | 463,498 | ||||
5.00%, 10/01/2028 | 500 | 530,634 | ||||||
5.00%, 10/01/2029 | 295 | 315,508 | ||||||
5.00%, 10/01/2030 | 315 | 338,423 | ||||||
5.00%, 10/01/2031 | 375 | 395,745 | ||||||
5.00%, 10/01/2032 | 245 | 255,910 | ||||||
Massachusetts Port Authority | 8,615 | 8,890,413 | ||||||
|
| |||||||
123,747,373 | ||||||||
|
| |||||||
Michigan–5.3% |
| |||||||
Bloomfield Hills School District | 600 | 627,280 | ||||||
5.00%, 05/01/2028(c) | 635 | 669,348 | ||||||
5.00%, 05/01/2029(c) | 700 | 743,440 | ||||||
5.00%, 05/01/2030(c) | 635 | 678,865 | ||||||
5.00%, 05/01/2032(c) | 1,100 | 1,188,589 | ||||||
City of Detroit MI Sewage Disposal System Revenue | 14,000 | 13,638,271 | ||||||
Great Lakes Water Authority Water Supply System Revenue | 2,700 | 2,781,198 | ||||||
5.00%, 07/01/2025 | 9,805 | 10,235,630 | ||||||
Kalamazoo Economic Development Corp. | 1,150 | 1,084,352 | ||||||
Lake Orion Community School District | 2,915 | 2,992,072 | ||||||
Michigan Finance Authority | 48,585 | 49,208,807 | ||||||
Michigan Finance Authority | 500 | 500,000 | ||||||
3.875%, 10/01/2023 | 2,000 | 1,987,935 | ||||||
4.00%, 10/01/2024 | 3,000 | 2,969,696 | ||||||
4.50%, 10/01/2029 | 12,065 | 11,989,197 |
30 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Michigan Finance Authority | $ | 22,045 | $ | 22,696,622 | ||||
5.00%, 07/01/2027 | 17,895 | 18,384,129 | ||||||
Michigan Finance Authority | 7,770 | 7,999,671 | ||||||
5.00%, 07/01/2025 | 16,525 | 17,013,457 | ||||||
5.00%, 07/01/2026 | 25,000 | 25,730,397 | ||||||
5.00%, 07/01/2027 | 5,060 | 5,198,306 | ||||||
Michigan Finance Authority | 15,000 | 14,687,868 | ||||||
Michigan Finance Authority | 2,000 | 1,867,282 | ||||||
4.00%, 06/01/2035 | 1,000 | 926,226 | ||||||
4.00%, 06/01/2036 | 1,000 | 919,187 | ||||||
4.00%, 06/01/2037 | 1,000 | 910,836 | ||||||
4.00%, 06/01/2038 | 1,000 | 901,626 | ||||||
4.00%, 06/01/2039 | 2,000 | 1,788,341 | ||||||
5.00%, 06/01/2025 | 610 | 624,629 | ||||||
5.00%, 06/01/2026 | 1,290 | 1,326,589 | ||||||
5.00%, 06/01/2028 | 1,000 | 1,036,997 | ||||||
5.00%, 06/01/2029 | 2,000 | 2,085,461 | ||||||
5.00%, 06/01/2031 | 745 | 774,760 | ||||||
Michigan Finance Authority | 1,600 | 1,618,905 | ||||||
Series 2014-B | 4,990 | 5,058,452 | ||||||
5.00%, 07/01/2031 | 2,460 | 2,485,519 | ||||||
Michigan Finance Authority | 5,595 | 5,098,483 | ||||||
Series 2015 | 5,675 | 5,782,936 | ||||||
5.00%, 12/01/2024 | 4,400 | 4,548,005 | ||||||
5.00%, 12/01/2025 | 3,000 | 3,114,193 | ||||||
5.50%, 12/01/2026 | 4,500 | 4,714,286 | ||||||
5.50%, 12/01/2027 | 2,720 | 2,841,568 | ||||||
Michigan Strategic Fund | 3,210 | 3,235,442 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 12/31/2025 | $ | 2,200 | $ | 2,221,587 | ||||
5.00%, 06/30/2026 | 2,400 | 2,423,706 | ||||||
5.00%, 12/31/2026 | 5,770 | 5,832,252 | ||||||
5.00%, 06/30/2027 | 7,635 | 7,714,152 | ||||||
5.00%, 12/31/2027 | 5,770 | 5,833,842 | ||||||
5.00%, 06/30/2028 | 4,645 | 4,692,481 | ||||||
|
| |||||||
293,382,873 | ||||||||
|
| |||||||
Missouri–0.4% |
| |||||||
Cape Girardeau County Industrial Development Authority | 1,445 | 1,466,421 | ||||||
5.00%, 03/01/2028 | 1,375 | 1,403,306 | ||||||
City of Kansas City MO | 4,000 | 4,246,934 | ||||||
Health & Educational Facilities Authority of the State of Missouri | 4,000 | 3,854,797 | ||||||
4.00%, 07/01/2034 | 2,000 | 1,910,011 | ||||||
4.00%, 07/01/2035 | 1,500 | 1,422,845 | ||||||
4.00%, 07/01/2039 | 5,000 | 4,614,561 | ||||||
4.00%, 07/01/2040 | 1,500 | 1,374,401 | ||||||
Howard Bend Levee District | 845 | 855,297 | ||||||
5.75%, 03/01/2027 | 775 | 785,606 | ||||||
Missouri Joint Municipal Electric Utility Commission | 2,630 | 2,718,780 | ||||||
|
| |||||||
24,652,959 | ||||||||
|
| |||||||
Montana–0.3% |
| |||||||
Montana Facility Finance Authority | 2,500 | 2,556,722 | ||||||
5.00%, 02/15/2026 | 3,190 | 3,288,291 | ||||||
5.00%, 02/15/2027 | 6,950 | 7,218,037 | ||||||
5.00%, 02/15/2028 | 2,375 | 2,465,391 | ||||||
|
| |||||||
15,528,441 | ||||||||
|
| |||||||
Nebraska–1.1% |
| |||||||
Central Plains Energy Project | 57,480 | 58,008,684 | ||||||
|
|
Schedule of Investments—Diversified Municipal Portfolio | 31 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Nevada–0.9% |
| |||||||
City of Las Vegas NV | $ | 5,675 | $ | 5,766,835 | ||||
5.00%, 09/01/2026 | 2,930 | 3,088,194 | ||||||
Clark County School District | 26,915 | 27,570,364 | ||||||
County of Clark NV | 6,530 | 6,719,680 | ||||||
Las Vegas Valley Water District | 4,590 | 4,859,036 | ||||||
|
| |||||||
48,004,109 | ||||||||
|
| |||||||
New Hampshire–0.8% |
| |||||||
New Hampshire Business Finance Authority | 9,177 | 8,503,150 | ||||||
Series 2022-1, Class A | 24,923 | 22,693,575 | ||||||
Series 2022-2 | 20,000 | 473,952 | ||||||
New Hampshire Business Finance Authority | 2,250 | 2,136,616 | ||||||
New Hampshire Business Finance Authority | 10,000 | 520,125 | ||||||
4.00%, 10/20/2036 | 10,000 | 8,742,673 | ||||||
|
| |||||||
43,070,091 | ||||||||
|
| |||||||
New Jersey–5.8% |
| |||||||
New Jersey Economic Development Authority | 4,930 | 5,126,953 | ||||||
New Jersey Economic Development Authority | 1,000 | 1,013,784 | ||||||
5.50%, 01/01/2027 | 1,000 | 1,013,081 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
New Jersey Economic Development Authority | $ | 1,755 | $ | 1,755,000 | ||||
5.00%, 10/01/2023 | 1,500 | 1,513,709 | ||||||
5.00%, 10/01/2024 | 2,000 | 2,030,258 | ||||||
5.00%, 10/01/2025 | 2,750 | 2,807,360 | ||||||
New Jersey Economic Development Authority | 1,000 | 1,009,977 | ||||||
5.00%, 06/15/2026 | 3,500 | 3,533,472 | ||||||
New Jersey Economic Development Authority | 3,920 | 3,877,256 | ||||||
New Jersey Transportation Trust Fund Authority | 12,830 | 13,413,911 | ||||||
5.00%, 06/15/2028 | 975 | 1,012,145 | ||||||
Series 2018-A | 3,050 | 3,157,624 | ||||||
New Jersey Transportation Trust Fund Authority | 3,195 | 3,303,951 | ||||||
Series 2018-A | 8,605 | 8,944,509 | ||||||
5.00%, 12/15/2029 | 38,555 | 40,141,858 | ||||||
5.00%, 12/15/2030 | 5,885 | 6,102,655 | ||||||
5.00%, 12/15/2032 | 5,230 | 5,353,179 | ||||||
5.00%, 12/15/2033 | 7,230 | 7,352,094 | ||||||
Series 2019 | 4,000 | 4,168,892 | ||||||
5.00%, 06/15/2029 | 1,525 | 1,588,939 | ||||||
Series 2019-B | 3,885 | 3,957,019 | ||||||
Series 2020-A | 1,810 | 1,833,429 | ||||||
Series 2022-A | 11,635 | 11,795,115 | ||||||
New Jersey Turnpike Authority | 5,040 | 5,176,329 | ||||||
5.00%, 01/01/2028 | 40,000 | 41,073,132 | ||||||
5.00%, 01/01/2029 | 30,900 | 31,723,436 | ||||||
Series 2014-C | 14,720 | 15,022,767 |
32 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Series 2017-A | $ | 7,235 | $ | 7,636,185 | ||||
Series 2017-B | 10,000 | 10,673,645 | ||||||
5.00%, 01/01/2030 | 14,830 | 15,813,683 | ||||||
5.00%, 01/01/2031 | 15,220 | 16,187,322 | ||||||
Series 2021-B | 6,625 | 5,438,574 | ||||||
AGM Series 2005-D3 | 14,770 | 15,581,818 | ||||||
South Jersey Transportation Authority | 450 | 472,882 | ||||||
5.00%, 11/01/2037 | 400 | 419,007 | ||||||
Tobacco Settlement Financing Corp./NJ | 1,500 | 1,516,494 | ||||||
5.00%, 06/01/2025 | 4,125 | 4,239,876 | ||||||
5.00%, 06/01/2026 | 3,000 | 3,104,875 | ||||||
5.00%, 06/01/2027 | 4,000 | 4,146,780 | ||||||
5.00%, 06/01/2028 | 2,140 | 2,221,612 | ||||||
5.00%, 06/01/2035 | 2,620 | 2,655,387 | ||||||
|
| |||||||
318,909,974 | ||||||||
|
| |||||||
New York–12.6% |
| |||||||
City of New York NY | 1,130 | 1,161,263 | ||||||
Series 2015-A | 2,040 | 2,070,482 | ||||||
Series 2018-D | 2,435 | 2,517,574 | ||||||
Series 2020-A | 1,260 | 1,300,053 | ||||||
Series 2020-C | 3,150 | 3,409,102 | ||||||
Series 2021 | 18,750 | 15,968,569 | ||||||
Series 2021-A | 1,000 | 938,752 | ||||||
5.00%, 08/01/2033 | 2,025 | 2,196,297 | ||||||
Series 2021-F | 5,000 | 5,064,474 | ||||||
Series 2021-L | 4,000 | 4,304,062 | ||||||
County of Nassau NY | 8,840 | 9,332,994 | ||||||
Dutchess County Local Development Corp. | 4,875 | 4,703,175 | ||||||
Metropolitan Transportation Authority | 2,535 | 2,540,716 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Series 2012-D | $ | 6,890 | $ | 6,902,342 | ||||
Series 2012-F | 1,170 | 1,172,261 | ||||||
5.00%, 11/15/2024 | 26,915 | 26,961,929 | ||||||
5.00%, 11/15/2025 | 15,275 | 15,301,343 | ||||||
5.00%, 11/15/2026 | 12,270 | 12,294,822 | ||||||
Series 2012-H | 195 | 195,417 | ||||||
Series 2013-B | 9,505 | 9,698,172 | ||||||
Series 2014-A | 4,205 | 4,290,459 | ||||||
5.00%, 11/15/2027 | 4,040 | 4,122,106 | ||||||
Series 2014-C | 5,000 | 5,186,798 | ||||||
Series 2017-C | 1,610 | 1,657,740 | ||||||
5.00%, 11/15/2030 | 56,065 | 57,462,773 | ||||||
5.00%, 11/15/2031 | 5,455 | 5,545,043 | ||||||
5.00%, 11/15/2033 | 8,500 | 8,485,906 | ||||||
Series 2021-D | 9,500 | 9,202,295 | ||||||
Metropolitan Transportation Authority | 4,505 | 4,513,858 | ||||||
New York City Transitional Finance Authority Building Aid Revenue | 28,000 | 30,264,945 | ||||||
5.00%, 07/15/2032 | 25,945 | 27,819,936 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 12,345 | 12,346,922 | ||||||
Series 2012-B | 20,000 | 20,028,116 | ||||||
Series 2017-A | 4,860 | 5,086,461 | ||||||
Series 2019-B | 17,960 | 18,880,164 | ||||||
5.00%, 11/01/2036 | 41,825 | 43,774,564 | ||||||
Series 2021-B | 9,200 | 8,791,910 | ||||||
4.00%, 08/01/2038 | 6,030 | 5,699,771 | ||||||
Series 2021-E | 4,335 | 4,052,547 |
Schedule of Investments—Diversified Municipal Portfolio | 33 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
New York Liberty Development Corp. | $ | 4,250 | $ | 3,767,005 | ||||
2.80%, 09/15/2069 | 11,555 | 9,481,240 | ||||||
New York State Dormitory Authority | 2,015 | 2,067,673 | ||||||
New York State Dormitory Authority | 8,455 | 9,182,970 | ||||||
5.00%, 02/15/2034 | 17,525 | 18,688,639 | ||||||
Series 2022-A | 22,190 | 20,536,051 | ||||||
4.00%, 03/15/2042 | 10,090 | 9,232,855 | ||||||
New York State Thruway Authority | 5,000 | 4,835,590 | ||||||
Series 2022-A | 4,000 | 4,226,250 | ||||||
New York State Urban Development Corp. | 25,165 | 25,378,487 | ||||||
5.00%, 03/15/2026 | 38,460 | 38,786,275 | ||||||
New York State Urban Development Corp. | 4,010 | 4,112,456 | ||||||
New York Transportation Development Corp. | 25,115 | 25,220,430 | ||||||
5.00%, 01/01/2028 | 22,110 | 22,105,543 | ||||||
5.00%, 01/01/2029 | 27,145 | 27,049,490 | ||||||
New York Transportation Development Corp. | 7,000 | 6,738,068 | ||||||
New York Transportation Development Corp. | 2,095 | 1,987,699 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Port Authority of New York & New Jersey | $ | 3,385 | $ | 3,423,190 | ||||
Series 2019 | 2,915 | 2,639,398 | ||||||
Series 2020-2 | 5,910 | 6,130,726 | ||||||
Series 2021-2 | 2,980 | 2,703,674 | ||||||
Suffolk Tobacco Asset Securitization Corp. | 1,045 | 1,083,212 | ||||||
5.00%, 06/01/2029 | 2,080 | 2,170,384 | ||||||
5.00%, 06/01/2033 | 2,395 | 2,461,742 | ||||||
Triborough Bridge & Tunnel Authority | 14,725 | 11,319,308 | ||||||
2.591%, 05/15/2036 | 2,000 | 1,507,206 | ||||||
Series 2022 | 7,000 | 7,706,938 | ||||||
Series 2022-A | 16,500 | 17,053,240 | ||||||
|
| |||||||
696,841,852 | ||||||||
|
| |||||||
North Carolina–0.2% |
| |||||||
County of Wake NC | 1,525 | 1,451,415 | ||||||
Greater Asheville Regional Airport Authority | 1,740 | 1,784,790 | ||||||
5.00%, 07/01/2036 | 1,500 | 1,534,548 | ||||||
5.00%, 07/01/2037 | 1,250 | 1,275,979 | ||||||
5.25%, 07/01/2038 | 1,200 | 1,250,396 | ||||||
5.25%, 07/01/2039 | 1,300 | 1,351,669 | ||||||
5.25%, 07/01/2040 | 3,220 | 3,339,806 | ||||||
5.25%, 07/01/2042 | 1,140 | 1,176,829 | ||||||
|
| |||||||
13,165,432 | ||||||||
|
| |||||||
North Dakota–0.1% |
| |||||||
County of Ward ND | 2,000 | 1,980,297 | ||||||
5.00%, 06/01/2030 | 3,000 | 2,879,587 | ||||||
|
| |||||||
4,859,884 | ||||||||
|
| |||||||
Ohio–1.2% |
| |||||||
American Municipal Power, Inc. | 1,000 | 935,427 |
34 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Buckeye Tobacco Settlement Financing Authority | $ | 2,000 | $ | 1,832,518 | ||||
4.00%, 06/01/2038 | 1,000 | 907,359 | ||||||
County of Allen OH Hospital Facilities Revenue | 10,000 | 10,478,067 | ||||||
5.00%, 08/01/2027 | 8,465 | 8,961,153 | ||||||
5.00%, 08/01/2028 | 1,955 | 2,079,290 | ||||||
Series 2020 | 5,400 | 5,790,232 | ||||||
5.00%, 12/01/2029 | 1,565 | 1,689,327 | ||||||
County of Cuyahoga OH | 2,745 | 2,840,066 | ||||||
5.00%, 02/15/2027 | 2,710 | 2,804,642 | ||||||
County of Franklin OH | 1,000 | 1,058,992 | ||||||
County of Hamilton OH Sewer System Revenue | 9,375 | 10,202,027 | ||||||
County of Washington OH | 800 | 758,852 | ||||||
6.375%, 12/01/2037 | 5,000 | 4,592,553 | ||||||
Hamilton County Convention Facilities Authority | 2,240 | 2,245,670 | ||||||
5.00%, 12/01/2023 | 1,230 | 1,250,865 | ||||||
Ohio Water Development Authority Water Pollution Control Loan Fund | 4,970 | 5,457,845 | ||||||
|
| |||||||
63,884,885 | ||||||||
|
| |||||||
Oklahoma–0.2% |
| |||||||
Comanche County Memorial Hospital | 1,235 | 1,255,781 | ||||||
5.00%, 07/01/2028 | 1,280 | 1,300,977 | ||||||
McGee Creek Authority | 510 | 512,596 | ||||||
Oklahoma Development Finance Authority | 4,000 | 3,655,007 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Oklahoma Development Finance Authority | $ | 3,005 | $ | 2,926,066 | ||||
Oklahoma Development Finance Authority | 4,245 | 3,769,677 | ||||||
|
| |||||||
13,420,104 | ||||||||
|
| |||||||
Oregon–0.6% |
| |||||||
Hospital Facilities Authority of Multnomah County Oregon | 430 | 430,972 | ||||||
Medford Hospital Facilities Authority | 415 | 434,722 | ||||||
5.00%, 08/15/2031 | 1,245 | 1,298,372 | ||||||
5.00%, 08/15/2033 | 500 | 517,322 | ||||||
5.00%, 08/15/2034 | 875 | 901,962 | ||||||
5.00%, 08/15/2035 | 755 | 774,162 | ||||||
5.00%, 08/15/2036 | 1,300 | 1,335,253 | ||||||
Port of Portland OR Airport Revenue | 4,290 | 4,378,771 | ||||||
Series 2022-2 | 11,255 | 10,248,227 | ||||||
4.00%, 07/01/2040 | 7,170 | 6,404,978 | ||||||
Salem Hospital Facility Authority | 2,205 | 2,216,396 | ||||||
State of Oregon Department of Administrative Services | 35 | 35,051 | ||||||
5.00%, 11/01/2023 | 10 | 10,015 | ||||||
Tri-County Metropolitan Transportation District of Oregon | 2,335 | 2,495,936 | ||||||
|
| |||||||
31,482,139 | ||||||||
|
| |||||||
Other–1.1% |
| |||||||
Federal Home Loan Mortgage Corp. | 7,448 | 5,894,203 |
Schedule of Investments—Diversified Municipal Portfolio | 35 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Federal Home Loan Mortgage Corp. Enhanced Receipt | $ | 23,651 | $ | 21,743,392 | ||||
Series 2019-C, Class 1 | 5,517 | 5,071,660 | ||||||
Series 2019-D, Class 1 | 5,037 | 4,631,037 | ||||||
Series 2019-E, Class 1 | 3,384 | 3,111,337 | ||||||
Federal Home Loan Mortgage Corp. Multifamily VRD Certificates | 9,570 | 8,014,286 | ||||||
2.625%, 06/15/2035(a) | 9,625 | 8,020,836 | ||||||
2.65%, 06/15/2035(a) | 4,820 | 4,002,475 | ||||||
|
| |||||||
60,489,226 | ||||||||
|
| |||||||
Pennsylvania–6.4% |
| |||||||
Allegheny County Airport Authority | 5,000 | 4,467,527 | ||||||
4.00%, 01/01/2039 | 2,235 | 1,987,151 | ||||||
Allegheny County Hospital Development Authority | 5,290 | 5,528,623 | ||||||
5.00%, 07/15/2032 | 6,500 | 6,728,812 | ||||||
5.00%, 07/15/2033 | 7,600 | 7,839,009 | ||||||
Allegheny County Sanitary Authority | 3,500 | 3,571,378 | ||||||
Chester County Industrial Development Authority | 1,025 | 994,317 | ||||||
City of Philadelphia PA | 12,000 | 12,725,147 | ||||||
5.00%, 08/01/2028 | 12,310 | 13,053,302 | ||||||
5.00%, 08/01/2029 | 9,970 | 10,608,052 | ||||||
5.00%, 08/01/2030 | 4,000 | 4,242,350 | ||||||
5.00%, 08/01/2032 | 8,010 | 8,424,169 | ||||||
Series 2019-A | 1,420 | 1,492,548 | ||||||
Series 2019-B | 1,005 | 1,079,775 | ||||||
City of Philadelphia PA Water & Wastewater Revenue | 7,000 | 7,239,047 | ||||||
5.00%, 10/01/2025 | 7,750 | 8,114,828 | ||||||
5.00%, 10/01/2026 | 2,675 | 2,838,518 | ||||||
Commonwealth of Pennsylvania | 9,575 | 9,891,342 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Series 2017 | $ | 6,065 | $ | 6,385,342 | ||||
5.00%, 01/01/2027 | 14,415 | 15,385,994 | ||||||
Geisinger Authority | 2,500 | 2,637,735 | ||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) | 6,000 | 6,135,323 | ||||||
AGM Series 2022 | 10,000 | 8,906,081 | ||||||
4.00%, 07/01/2039 | 10,000 | 8,848,250 | ||||||
Montgomery County Higher Education and Health Authority | 2,250 | 2,278,825 | ||||||
5.00%, 12/01/2032 | 2,750 | 2,759,735 | ||||||
Montgomery County Higher Education and Health Authority | 1,400 | 1,460,975 | ||||||
5.00%, 09/01/2027 | 1,750 | 1,828,524 | ||||||
5.00%, 09/01/2028 | 1,500 | 1,574,608 | ||||||
5.00%, 09/01/2029 | 3,000 | 3,134,679 | ||||||
5.00%, 09/01/2030 | 3,000 | 3,111,071 | ||||||
Series 2019 | 1,710 | 1,782,553 | ||||||
5.00%, 09/01/2032 | 1,200 | 1,241,723 | ||||||
Pennsylvania Economic Development Financing Authority | 8,540 | 8,679,955 | ||||||
5.00%, 12/31/2026 | 4,500 | 4,569,444 | ||||||
5.00%, 06/30/2027 | 12,450 | 12,626,363 | ||||||
5.00%, 12/31/2027 | 6,000 | 6,077,577 | ||||||
5.00%, 06/30/2028 | 10,790 | 10,920,181 | ||||||
5.00%, 12/31/2028 | 8,910 | 9,009,792 | ||||||
5.00%, 06/30/2042 | 1,000 | 961,183 | ||||||
Pennsylvania Economic Development Financing Authority | 3,000 | 3,144,384 | ||||||
5.00%, 04/15/2029 | 3,000 | 3,139,099 | ||||||
5.00%, 04/15/2030 | 1,395 | 1,465,107 | ||||||
5.00%, 04/15/2031 | 1,635 | 1,710,496 |
36 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Series 2022-C | $ | 10,500 | $ | 10,165,485 | ||||
Pennsylvania Higher Educational Facilities Authority | 2,720 | 2,440,784 | ||||||
Series 2022 | 1,065 | 980,948 | ||||||
4.00%, 08/15/2040 | 1,345 | 1,226,613 | ||||||
5.00%, 08/15/2029 | 825 | 898,077 | ||||||
5.00%, 08/15/2030 | 750 | 822,342 | ||||||
Pennsylvania Turnpike Commission | 7,025 | 7,402,380 | ||||||
5.00%, 06/01/2030 | 6,255 | 6,569,544 | ||||||
Series 2019 | 5,250 | 5,265,398 | ||||||
5.00%, 12/01/2029 | 8,000 | 8,694,049 | ||||||
5.00%, 12/01/2030 | 5,890 | 6,382,334 | ||||||
Series 2022-A | 1,000 | 1,066,147 | ||||||
Philadelphia Authority for Industrial Development | 1,060 | 1,068,629 | ||||||
5.00%, 08/01/2040 | 3,445 | 3,285,578 | ||||||
Philadelphia Authority for Industrial Development | 1,700 | 1,539,700 | ||||||
4.00%, 11/01/2036 | 1,510 | 1,357,367 | ||||||
4.00%, 11/01/2037 | 1,350 | 1,203,538 | ||||||
4.00%, 11/01/2038 | 1,000 | 883,415 | ||||||
5.00%, 11/01/2027 | 835 | 870,815 | ||||||
5.00%, 11/01/2028 | 1,000 | 1,049,789 | ||||||
5.00%, 11/01/2029 | 1,000 | 1,055,992 | ||||||
5.00%, 11/01/2030 | 1,750 | 1,838,849 | ||||||
5.00%, 11/01/2031 | 1,685 | 1,756,944 | ||||||
5.00%, 11/01/2032 | 1,810 | 1,879,797 | ||||||
5.00%, 11/01/2033 | 1,750 | 1,810,531 | ||||||
5.00%, 11/01/2034 | 2,110 | 2,176,035 | ||||||
School District of Philadelphia (The) | 8,360 | 8,598,122 | ||||||
Series 2016-F | 5,000 | 5,070,572 | ||||||
5.00%, 09/01/2024 | 24,200 | 24,889,301 | ||||||
|
| |||||||
352,849,969 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Puerto Rico–0.7% |
| |||||||
Commonwealth of Puerto Rico | $ | 32 | $ | 28,971 | ||||
Zero Coupon, 07/01/2033 | 1,346 | 742,082 | ||||||
4.00%, 07/01/2033 | 1,674 | 1,472,356 | ||||||
4.00%, 07/01/2035 | 85 | 72,436 | ||||||
4.00%, 07/01/2037 | 73 | 59,678 | ||||||
4.00%, 07/01/2041 | 99 | 77,173 | ||||||
4.00%, 07/01/2046 | 103 | 76,972 | ||||||
5.25%, 07/01/2023 | 1,803 | 1,810,659 | ||||||
5.375%, 07/01/2025 | 2,270 | 2,291,941 | ||||||
5.625%, 07/01/2027 | 4,709 | 4,806,830 | ||||||
5.625%, 07/01/2029 | 1,882 | 1,925,258 | ||||||
5.75%, 07/01/2031 | 624 | 636,593 | ||||||
Series 2022-C | 655 | 327,533 | ||||||
PR Custodial Trust | 77 | 77,860 | ||||||
Puerto Rico Electric Power Authority | 5,150 | 5,101,093 | ||||||
Puerto Rico Highway & Transportation Authority | 4,260 | 4,141,903 | ||||||
AGC Series 2007-C | 510 | 513,965 | ||||||
AGC Series 2007-N | 5,100 | 4,992,470 | ||||||
5.25%, 07/01/2036 | 5,425 | 5,298,755 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 5,190 | 4,795,144 | ||||||
|
| |||||||
39,249,672 | ||||||||
|
| |||||||
Rhode Island–0.6% |
| |||||||
Providence Public Building Authority | 3,900 | 4,238,869 | ||||||
5.00%, 09/15/2029 | 4,625 | 5,083,718 | ||||||
5.00%, 09/15/2030 | 1,670 | 1,821,604 | ||||||
5.00%, 09/15/2032 | 2,195 | 2,358,296 | ||||||
Rhode Island Commerce Corp. | 10,565 | 11,182,573 | ||||||
Tobacco Settlement Financing Corp./RI | 6,635 | 6,700,386 | ||||||
|
| |||||||
31,385,446 | ||||||||
|
|
Schedule of Investments—Diversified Municipal Portfolio | 37 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
South Carolina–1.8% |
| |||||||
County of Charleston SC | $ | 10,335 | $ | 11,656,875 | ||||
Patriots Energy Group Financing Agency | 48,725 | 48,829,228 | ||||||
SCAGO Educational Facilities Corp. for Pickens School District | 1,500 | 1,504,038 | ||||||
5.00%, 12/01/2026 | 3,000 | 3,109,025 | ||||||
5.00%, 12/01/2027 | 2,500 | 2,590,005 | ||||||
South Carolina Association of Governmental Organizations | 8,935 | 8,967,468 | ||||||
South Carolina Public Service Authority | 1,435 | 1,478,409 | ||||||
5.00%, 12/01/2034 | 1,000 | 1,010,223 | ||||||
Series 2020-A | 1,690 | 1,504,081 | ||||||
Series 2021-A | 5,475 | 4,949,476 | ||||||
4.00%, 12/01/2036 | 10,000 | 8,971,041 | ||||||
Series 2021-B | 3,000 | 2,986,660 | ||||||
|
| |||||||
97,556,529 | ||||||||
|
| |||||||
South Dakota–0.1% |
| |||||||
South Dakota Health & Educational Facilities Authority | 3,400 | 3,546,184 | ||||||
5.00%, 09/01/2030 | 3,625 | 3,759,886 | ||||||
|
| |||||||
7,306,070 | ||||||||
|
| |||||||
Tennessee–0.8% |
| |||||||
Tennergy Corp./TN | 5,445 | 5,560,117 | ||||||
Tennessee Energy Acquisition Corp. | 39,715 | 39,689,499 | ||||||
|
| |||||||
45,249,616 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Texas–6.1% |
| |||||||
Board of Regents of the University of Texas System | $ | 1,895 | $ | 1,729,458 | ||||
Central Texas Turnpike System | 1,000 | 1,010,013 | ||||||
City of Austin TX Airport System Revenue | 3,200 | 3,311,097 | ||||||
City of Austin TX Water & Wastewater System Revenue | 4,730 | 4,900,745 | ||||||
City of El Paso TX Water & Sewer Revenue | 4,275 | 4,580,607 | ||||||
5.00%, 03/01/2039 | 3,880 | 4,136,055 | ||||||
City of Houston TX | 16,370 | 17,030,588 | ||||||
City of Houston TX | 1,800 | 1,825,891 | ||||||
5.00%, 09/01/2025 | 2,000 | 2,051,006 | ||||||
City of Houston TX Airport System Revenue | 6,160 | 6,595,251 | ||||||
City of Houston TX Airport System Revenue | 9,135 | 9,129,768 | ||||||
City of Houston TX Combined Utility System Revenue | 8,000 | 8,087,875 | ||||||
5.00%, 05/15/2027 | 10,785 | 11,064,701 | ||||||
5.00%, 05/15/2028 | 6,065 | 6,212,679 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue | 1,330 | 1,461,713 | ||||||
5.00%, 02/01/2032 | 1,210 | 1,321,101 | ||||||
5.00%, 02/01/2033 | 1,410 | 1,522,769 | ||||||
5.00%, 02/01/2034 | 1,700 | 1,823,169 | ||||||
5.00%, 02/01/2035 | 2,200 | 2,350,266 | ||||||
5.00%, 02/01/2036 | 1,875 | 1,998,077 | ||||||
Dallas Fort Worth International Airport | 11,585 | 11,714,057 |
38 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Denton Independent School District | $ | 1,220 | $ | 1,285,469 | ||||
Grand Parkway Transportation Corp. | 84,825 | 85,223,525 | ||||||
Harris County Cultural Education Facilities Finance Corp. | 5,000 | 4,485,462 | ||||||
Harris County Hospital District | 2,465 | 2,549,103 | ||||||
Hidalgo County Regional Mobility Authority | 1,850 | 1,622,495 | ||||||
4.00%, 12/01/2039 | 1,000 | 868,832 | ||||||
5.00%, 12/01/2028 | 200 | 205,496 | ||||||
5.00%, 12/01/2029 | 500 | 514,376 | ||||||
5.00%, 12/01/2030 | 500 | 513,072 | ||||||
5.00%, 12/01/2031 | 500 | 511,274 | ||||||
5.00%, 12/01/2032 | 350 | 356,025 | ||||||
5.00%, 12/01/2034 | 750 | 755,652 | ||||||
5.00%, 12/01/2035 | 595 | 597,739 | ||||||
5.00%, 12/01/2036 | 1,000 | 1,001,973 | ||||||
Irving Hospital Authority | 600 | 623,322 | ||||||
5.00%, 10/15/2029 | 600 | 617,706 | ||||||
5.00%, 10/15/2030 | 1,000 | 1,024,203 | ||||||
5.00%, 10/15/2031 | 1,020 | 1,042,200 | ||||||
Legacy Denton Public Facility Corp. | 15,000 | 15,302,891 | ||||||
Lower Colorado River Authority | 8,635 | 9,050,069 | ||||||
5.00%, 05/15/2040 | 12,345 | 12,864,341 | ||||||
5.00%, 05/15/2041 | 6,570 | 6,795,149 | ||||||
Mission Economic Development Corp. | 10,680 | 10,514,142 | ||||||
New Hope Cultural Education Facilities Finance Corp. | 1,130 | 1,209,198 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
New Hope Cultural Education Facilities Finance Corp. | $ | 2,500 | $ | 2,606,003 | ||||
5.00%, 08/15/2026 | 2,000 | 2,107,545 | ||||||
5.00%, 08/15/2028 | 2,750 | 2,914,723 | ||||||
New Hope Cultural Education Facilities Finance Corp. | 875 | 799,809 | ||||||
Series 2022 | 840 | 715,648 | ||||||
4.00%, 01/01/2037(c) | 1,155 | 910,329 | ||||||
North Texas Tollway Authority | 3,015 | 3,028,562 | ||||||
5.00%, 01/01/2024 | 900 | 920,279 | ||||||
5.00%, 01/01/2024 | 1,845 | 1,882,496 | ||||||
North Texas Tollway Authority | 1,000 | 1,004,498 | ||||||
5.00%, 01/01/2026 | 3,200 | 3,304,696 | ||||||
5.00%, 01/01/2027 | 2,100 | 2,167,030 | ||||||
5.00%, 01/01/2028 | 5,975 | 6,164,029 | ||||||
Series 2019-B | 2,000 | 2,116,835 | ||||||
5.00%, 01/01/2028 | 19,510 | 20,882,571 | ||||||
Port Beaumont Navigation District | 1,360 | 1,094,916 | ||||||
San Antonio Water System | 3,000 | 3,032,221 | ||||||
State of Texas | 2,335 | 2,383,841 | ||||||
Texas Water Development Board | 10,210 | 10,018,997 | ||||||
5.00%, 08/01/2034 | 4,000 | 4,408,292 | ||||||
University of Houston | 1,750 | 1,853,613 | ||||||
|
| |||||||
337,707,533 | ||||||||
|
|
Schedule of Investments—Diversified Municipal Portfolio | 39 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Utah–0.4% |
| |||||||
City of Salt Lake City UT Airport Revenue | $ | 7,000 | $ | 6,112,060 | ||||
5.00%, 07/01/2035 | 5,000 | 5,107,162 | ||||||
5.00%, 07/01/2036 | 5,000 | 5,084,042 | ||||||
Utah Transit Authority | 2,000 | 2,093,934 | ||||||
5.00%, 06/15/2028 | 2,150 | 2,250,979 | ||||||
Utah Transit Authority | 1,305 | 1,360,082 | ||||||
|
| |||||||
22,008,259 | ||||||||
|
| |||||||
Virginia–0.9% |
| |||||||
County of Loudoun VA | 3,300 | 3,427,066 | ||||||
Fairfax County Economic Development Authority | 2,590 | 2,843,513 | ||||||
5.00%, 08/01/2033 | 2,590 | 2,831,701 | ||||||
Hampton Roads Transportation Accountability Commission | 4,745 | 5,056,332 | ||||||
Virginia College Building Authority | 4,435 | 4,463,794 | ||||||
Virginia Public Building Authority | 4,540 | 4,472,788 | ||||||
Virginia Small Business Financing Authority | 2,000 | 1,923,132 | ||||||
4.00%, 01/01/2032 | 5,030 | 4,749,212 | ||||||
4.00%, 01/01/2037 | 7,250 | 6,476,010 | ||||||
Virginia Small Business Financing Authority | 1,400 | 1,463,352 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 01/01/2030 | $ | 1,650 | $ | 1,734,850 | ||||
5.00%, 01/01/2031 | 1,250 | 1,312,445 | ||||||
5.00%, 01/01/2032 | 1,500 | 1,565,149 | ||||||
5.00%, 01/01/2033 | 1,750 | 1,814,536 | ||||||
5.00%, 01/01/2034 | 1,600 | 1,649,164 | ||||||
5.00%, 01/01/2035 | 1,570 | 1,613,175 | ||||||
|
| |||||||
47,396,219 | ||||||||
|
| |||||||
Washington–2.3% |
| |||||||
City of Seattle WA Municipal Light & Power Revenue | 4,300 | 4,540,335 | ||||||
Series 2021-A | 2,500 | 2,522,947 | ||||||
4.00%, 07/01/2034 | 3,740 | 3,732,558 | ||||||
4.00%, 07/01/2035 | 4,900 | 4,823,533 | ||||||
Energy Northwest | 12,825 | 11,711,474 | ||||||
Port of Seattle WA | 1,750 | 1,762,694 | ||||||
Series 2018-A | 8,320 | 8,588,015 | ||||||
Series 2018-B | 4,695 | 4,846,241 | ||||||
Series 2019 | 1,500 | 1,568,722 | ||||||
5.00%, 04/01/2033 | 1,000 | 1,036,567 | ||||||
Series 2021 | 5,750 | 5,019,730 | ||||||
Spokane County School District No. 81 Spokane | 10,000 | 9,026,633 | ||||||
State of Washington | 2,600 | 2,611,758 | ||||||
Washington Health Care Facilities Authority | 8,590 | 8,932,165 | ||||||
5.00%, 08/15/2029 | 16,560 | 17,214,758 | ||||||
5.00%, 08/15/2030 | 6,400 | 6,637,751 | ||||||
Washington Health Care Facilities Authority | 2,000 | 2,040,955 | ||||||
5.00%, 08/15/2027 | 2,175 | 2,244,628 | ||||||
5.00%, 08/15/2028 | 3,700 | 3,816,661 | ||||||
5.00%, 08/15/2030 | 8,005 | 8,219,495 |
40 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Washington State Convention Center Public Facilities District | $ | 10,600 | $ | 9,378,198 | ||||
Washington State Housing Finance Commission | 4,904 | 4,162,094 | ||||||
Series 2021-1, Class X | 3,237 | 164,758 | ||||||
|
| |||||||
124,602,670 | ||||||||
|
| |||||||
West Virginia–0.2% |
| |||||||
Tobacco Settlement Finance Authority/WV | 16,125 | 13,659,696 | ||||||
|
| |||||||
Wisconsin–2.7% |
| |||||||
State of Wisconsin | 9,000 | 9,384,420 | ||||||
5.00%, 05/01/2027 | 12,500 | 13,384,747 | ||||||
5.00%, 05/01/2028 | 12,000 | 12,885,284 | ||||||
5.00%, 05/01/2029 | 11,500 | 12,343,041 | ||||||
Series 2021-1 | 3,000 | 3,314,086 | ||||||
Series 2021-2 | 12,000 | 12,518,599 | ||||||
Series 2023-1 | 3,170 | 3,235,349 | ||||||
5.00%, 05/01/2027(c) | 8,500 | 8,978,966 | ||||||
UMA Education, Inc. | 820 | 820,000 | ||||||
5.00%, 10/01/2023(a) | 895 | 895,595 | ||||||
5.00%, 10/01/2025(a) | 3,360 | 3,348,010 | ||||||
5.00%, 10/01/2026(a) | 3,605 | 3,580,570 | ||||||
5.00%, 10/01/2027(a) | 3,720 | 3,678,000 | ||||||
5.00%, 10/01/2028(a) | 3,525 | 3,464,211 | ||||||
5.00%, 10/01/2029(a) | 835 | 817,292 | ||||||
Wisconsin Center District | 1,075 | 836,577 | ||||||
Zero Coupon, 12/15/2030 | 2,140 | 1,510,853 | ||||||
Zero Coupon, 12/15/2032 | 2,800 | 1,775,381 | ||||||
Zero Coupon, 12/15/2034 | 2,500 | 1,413,196 | ||||||
Wisconsin Center District | 1,000 | 1,002,415 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Wisconsin Health & Educational Facilities Authority | $ | 4,000 | $ | 3,894,402 | ||||
Wisconsin Health & Educational Facilities Authority | 2,500 | 2,364,825 | ||||||
4.00%, 10/15/2035 | 1,000 | 939,957 | ||||||
Wisconsin Health & Educational Facilities Authority | 190 | 180,634 | ||||||
Wisconsin Public Finance Authority | 2,000 | 1,843,873 | ||||||
5.50%, 02/01/2042(a) | 6,955 | 6,167,663 | ||||||
Wisconsin Public Finance Authority | 3,750 | 3,677,536 | ||||||
Wisconsin Public Finance Authority | 1,000 | 1,008,913 | ||||||
Wisconsin Public Finance Authority | 5,315 | 5,203,725 | ||||||
Wisconsin Public Finance Authority | 6,000 | 5,699,063 | ||||||
Wisconsin Public Finance Authority | 275 | 263,131 | ||||||
Wisconsin Public Finance Authority | 2,510 | 2,376,817 | ||||||
Series 2021-B | 1,420 | 1,255,106 | ||||||
Wisconsin Public Finance Authority | 615 | 537,937 |
Schedule of Investments—Diversified Municipal Portfolio | 41 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
4.00%, 02/01/2036 | $ | 3,335 | $ | 2,857,865 | ||||
4.00%, 02/01/2038 | 3,575 | 3,014,734 | ||||||
4.00%, 02/01/2040 | 3,945 | 3,283,967 | ||||||
Series 2022 | 3,375 | 3,509,587 | ||||||
5.00%, 02/01/2032 | 2,545 | 2,599,173 | ||||||
WPPI Energy | 1,000 | 1,018,157 | ||||||
|
| |||||||
150,883,657 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds (cost $5,315,964,454) |
| 4,963,212,545 | ||||||
|
| |||||||
Short-Term Municipal Notes–8.1% |
| |||||||
Colorado–0.2% |
| |||||||
Colorado Health Facilities Authority | 12,790 | 12,790,000 | ||||||
|
| |||||||
District of Columbia–0.2% |
| |||||||
District of Columbia | 6,405 | 6,405,000 | ||||||
District of Columbia | 3,530 | 3,530,000 | ||||||
District of Columbia | 2,145 | 2,145,000 | ||||||
|
| |||||||
12,080,000 | ||||||||
|
| |||||||
Florida–0.4% |
| |||||||
County of Palm Beach FL | 1,795 | 1,795,000 | ||||||
County of Palm Beach FL | 1,725 | 1,725,000 | ||||||
Florida Gulf Coast University Financing Corp. | 1,650 | 1,650,000 | ||||||
Florida Keys Aqueduct Authority | 1,045 | 1,045,000 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Halifax Hospital Medical Center | $ | 7,250 | $ | 7,250,000 | ||||
Orange County Health Facilities Authority | 8,120 | 8,120,000 | ||||||
Orange County Health Facilities Authority | 2,240 | 2,240,000 | ||||||
|
| |||||||
23,825,000 | ||||||||
|
| |||||||
Hawaii–0.1% |
| |||||||
Hawaii Housing Finance & Development Corp. | 3,640 | 3,640,000 | ||||||
|
| |||||||
Illinois–0.4% |
| |||||||
Illinois Development Finance Authority | 672 | 672,000 | ||||||
Illinois Educational Facilities Authority | 100 | 100,000 | ||||||
Illinois Finance Authority | 955 | 955,000 | ||||||
Illinois Housing Development Authority | 14,500 | 14,500,000 | ||||||
Village of Brookfield IL | 6,165 | 6,165,000 | ||||||
|
| |||||||
22,392,000 | ||||||||
|
| |||||||
Indiana–0.1% |
| |||||||
City of Indianapolis IN | 4,550 | 4,550,000 | ||||||
|
|
42 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Iowa–0.6% |
| |||||||
Iowa Finance Authority | $ | 8,960 | $ | 8,960,000 | ||||
2.30%, 12/01/2041(e) | 25,795 | 25,795,000 | ||||||
|
| |||||||
34,755,000 | ||||||||
|
| |||||||
Kentucky–0.2% |
| |||||||
Louisville/Jefferson County Metropolitan Government | 12,485 | 12,485,000 | ||||||
|
| |||||||
Louisiana–0.6% |
| |||||||
Louisiana Offshore Terminal Authority | 18,450 | 18,450,000 | ||||||
Louisiana Public Facilities Authority | 12,975 | 12,975,000 | ||||||
Louisiana Public Facilities Authority | 2,265 | 2,265,000 | ||||||
|
| |||||||
33,690,000 | ||||||||
|
| |||||||
Maryland–0.1% |
| |||||||
Maryland Health & Higher Educational Facilities Authority | 1,000 | 1,000,000 | ||||||
Montgomery County Housing Opportunities Commission | 1,840 | 1,840,000 | ||||||
|
| |||||||
2,840,000 | ||||||||
|
| |||||||
Michigan–0.5% |
| |||||||
Grand Valley State University | 17,625 | 17,625,000 | ||||||
Lakeview School District/MI | 5,230 | 5,230,000 | ||||||
Michigan Strategic Fund | 1,650 | 1,650,000 | ||||||
|
| |||||||
24,505,000 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Minnesota–0.6% |
| |||||||
City of Minneapolis MN | $ | 4,805 | $ | 4,805,000 | ||||
City of Minneapolis MN | 9,270 | 9,270,000 | ||||||
City of Minneapolis MN | 1,330 | 1,330,000 | ||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority | 11,825 | 11,825,000 | ||||||
2.47%, 11/15/2034(e) | 3,675 | 3,675,000 | ||||||
Housing & Redevelopment Authority of The City of St. Paul Minnesota | 2,400 | 2,400,000 | ||||||
|
| |||||||
33,305,000 | ||||||||
|
| |||||||
Nevada–0.7% |
| |||||||
County of Clark Department of Aviation | 26,945 | 26,945,000 | ||||||
Series 2014-D | 11,010 | 11,010,000 | ||||||
|
| |||||||
37,955,000 | ||||||||
|
| |||||||
New Jersey–0.4% |
| |||||||
New Jersey Health Care Facilities Financing Authority | 2,995 | 2,995,000 | ||||||
New Jersey Health Care Facilities Financing Authority | 3,675 | 3,675,000 | ||||||
Series 2008-C | 16,630 | 16,630,000 | ||||||
|
| |||||||
23,300,000 | ||||||||
|
| |||||||
New York–1.3% |
| |||||||
City of New York NY | 10,375 | 10,375,000 | ||||||
Series 2019-I | 5,950 | 5,950,000 |
Schedule of Investments—Diversified Municipal Portfolio | 43 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
New York City Housing Development Corp. | $ | 300 | $ | 300,000 | ||||
New York City Housing Development Corp. | 32,500 | 32,500,000 | ||||||
New York State Housing Finance Agency | 21,910 | 21,910,000 | ||||||
|
| |||||||
71,035,000 | ||||||||
|
| |||||||
Ohio–0.1% |
| |||||||
Columbus Regional Airport Authority | 6,880 | 6,880,000 | ||||||
|
| |||||||
Pennsylvania–0.3% |
| |||||||
Emmaus General Authority | 700 | 700,000 | ||||||
Series 2008-E | 1,000 | 1,000,000 | ||||||
Series 2008-E20 | 500 | 500,000 | ||||||
Haverford Township School District | 2,310 | 2,310,000 | ||||||
Pennsylvania Turnpike Commission | 700 | 700,000 | ||||||
Philadelphia Gas Works Co. | 10,950 | 10,950,000 | ||||||
|
| |||||||
16,160,000 | ||||||||
|
| |||||||
Rhode Island–0.0% |
| |||||||
Rhode Island Health and Educational Building Corp. | 2,430 | 2,430,000 | ||||||
|
| |||||||
Tennessee–0.1% |
| |||||||
Greeneville Health & Educational Facilities Board | 3,150 | 3,150,000 | ||||||
|
| |||||||
Texas–0.1% |
| |||||||
Dallas Performing Arts Cultural Facilities Corp. | 3,350 | 3,350,000 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Tarrant County Housing Finance Corp. | $ | 270 | $ | 270,000 | ||||
|
| |||||||
3,620,000 | ||||||||
|
| |||||||
Vermont–0.1% |
| |||||||
Vermont Educational & Health Buildings Financing Agency | 4,330 | 4,330,000 | ||||||
|
| |||||||
Virginia–0.3% |
| |||||||
Loudoun County Economic Development Authority | 3,000 | 3,000,000 | ||||||
Roanoke Economic Development Authority | 11,680 | 11,680,000 | ||||||
|
| |||||||
14,680,000 | ||||||||
|
| |||||||
Washington–0.7% |
| |||||||
Washington State Housing Finance Commission | 3,025 | 3,025,000 | ||||||
Washington State Housing Finance Commission | 1,175 | 1,175,000 | ||||||
Washington State Housing Finance Commission | 4,050 | 4,050,000 | ||||||
Washington State Housing Finance Commission | 9,440 | 9,440,000 | ||||||
Washington State Housing Finance Commission | 6,140 | 6,140,000 |
44 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Washington State Housing Finance Commission | $ | 15,460 | $ | 15,460,000 | ||||
|
| |||||||
39,290,000 | ||||||||
|
| |||||||
West Virginia–0.0% |
| |||||||
West Virginia Hospital Finance Authority | 635 | 635,000 | ||||||
|
| |||||||
Total Short-Term Municipal Notes (cost $444,322,000) |
| 444,322,000 | ||||||
|
| |||||||
Total Municipal Obligations (cost $5,760,286,454) |
| 5,407,534,545 | ||||||
|
| |||||||
CORPORATES–INVESTMENT GRADE–0.9% |
| |||||||
Industrial–0.9% |
| |||||||
Consumer Cyclical–Automotive–0.2% |
| |||||||
General Motors Financial Co., Inc. 3.443%, 04/07/2025 | 10,000 | 9,787,700 | ||||||
|
| |||||||
Consumer Non-Cyclical–0.4% |
| |||||||
Baylor Scott & White Holdings | 5,835 | 5,181,130 | ||||||
1.777%, 11/15/2030 | 5,000 | 3,839,550 | ||||||
CommonSpirit Health | 4,513 | 4,006,100 | ||||||
Ochsner LSU Health System of North Louisiana | 10,000 | 7,647,700 | ||||||
Sutter Health | 4,000 | 2,867,400 | ||||||
|
| |||||||
23,541,880 | ||||||||
|
| |||||||
Services–0.3% |
| |||||||
Hackensack Meridian Health, Inc. | 7,000 | 4,730,530 | ||||||
Novant Health, Inc. | 19,100 | 13,906,710 | ||||||
|
| |||||||
18,637,240 | ||||||||
|
| |||||||
Total Corporates–Investment Grade (cost $65,330,586) |
| 51,966,820 | ||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES–0.4% |
| |||||||
Agency CMBS–0.4% |
| |||||||
California Housing Finance Agency | $ | 16,301 | $ | 14,957,212 | ||||
Series 2021-3, Class X | 8,073 | 487,350 | ||||||
Federal Home Loan Mortgage Corp. | 1,975 | 1,510,104 | ||||||
Series 2021-ML10, Class AUS | 4,937 | 3,801,068 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities (cost $26,968,206) |
| 20,755,734 | ||||||
|
| |||||||
CORPORATES–NON-INVESTMENT GRADE–0.3% |
| |||||||
Industrial–0.3% |
| |||||||
Communications–Media–0.1% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 7,730 | 5,581,833 | ||||||
|
| |||||||
Consumer Non-Cyclical–0.1% |
| |||||||
Medline Borrower LP | 6,500 | 5,219,760 | ||||||
|
| |||||||
Transportation–Airlines–0.1% |
| |||||||
United Airlines, Inc. | 5,000 | 4,461,150 | ||||||
4.625%, 04/15/2029(a) | 2,300 | 1,909,920 | ||||||
|
| |||||||
6,371,070 | ||||||||
|
| |||||||
Total Corporates–Non-Investment Grade (cost $21,527,850) |
| 17,172,663 | ||||||
|
| |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS–0.1% |
| |||||||
Risk Share Floating Rate–0.1% |
| |||||||
Connecticut Avenue Securities Trust | 813 | 804,005 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 460 | 453,419 | ||||||
Series 2013-DN2, Class M2 | 235 | 237,337 | ||||||
Series 2014-DN3, Class M3 | 50 | 50,699 | ||||||
Series 2015-DNA1, Class M3 | 209 | 211,323 |
Schedule of Investments—Diversified Municipal Portfolio | 45 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Federal National Mortgage Association Connecticut Avenue Securities | $ | 338 | $ | 338,917 | ||||
Series 2014-C04, Class 1M2 | 158 | 163,126 | ||||||
Series 2015-C02, Class 1M2 | 277 | 280,925 | ||||||
Series 2016-C01, Class 1M2 | 396 | 418,053 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Series 2016-C03, Class 1M2 | $ | 163 | $ | 167,320 | ||||
|
| |||||||
Total Collateralized Mortgage Obligations (cost $2,763,350) |
| 3,125,124 | ||||||
|
| |||||||
Total Investments—99.7% (cost $5,876,876,446) |
| 5,500,554,886 | ||||||
Other assets less liabilities—0.3% | 18,996,480 | |||||||
|
| |||||||
Net Assets—100.0% | $ | 5,519,551,366 | ||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note 3)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY Series 39, 5 Year Index, 12/20/2027* | 5.00 | % | Quarterly | 6.06 | % | USD | 38,450 | $ | 1,525,557 | $ | 1,537,902 | $ | (12,345 | ) |
* Termination date
CLEARED CENTRALLY INFLATION (CPI) SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
USD | 25,420 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 2,191,313 | $ | — | $ | 2,191,313 | |||||||||||||
USD | 15,240 | 01/15/2025 | 4.028% | CPI# | Maturity | 418,597 | — | 418,597 | ||||||||||||||||
USD | 12,710 | 01/15/2025 | 2.585% | CPI# | Maturity | 1,085,660 | — | 1,085,660 | ||||||||||||||||
USD | 12,710 | 01/15/2025 | 2.613% | CPI# | Maturity | 1,071,906 | — | 1,071,906 | ||||||||||||||||
USD | 52,790 | 01/15/2026 | CPI# | 3.720% | Maturity | (1,438,432 | ) | — | (1,438,432 | ) | ||||||||||||||
USD | 40,000 | 01/15/2027 | CPI# | 3.320% | Maturity | (1,505,777 | ) | — | (1,505,777 | ) | ||||||||||||||
USD | 39,500 | 01/15/2027 | CPI# | 3.466% | Maturity | (1,139,285 | ) | (46,159 | ) | (1,093,126 | ) | |||||||||||||
USD | 31,450 | 01/15/2027 | CPI# | 3.323% | Maturity | (1,178,249 | ) | — | (1,178,249 | ) | ||||||||||||||
USD | 87,590 | 01/15/2028 | 1.230% | CPI# | Maturity | 14,615,294 | — | 14,615,294 | ||||||||||||||||
USD | 87,240 | 01/15/2028 | 0.735% | CPI# | Maturity | 17,599,712 | — | 17,599,712 | ||||||||||||||||
USD | 94,820 | 01/15/2029 | CPI# | 3.290% | Maturity | (1,899,453 | ) | — | (1,899,453 | ) | ||||||||||||||
USD | 40,500 | 01/15/2029 | CPI# | 3.735% | Maturity | 650,555 | — | 650,555 | ||||||||||||||||
USD | 16,275 | 01/15/2030 | 1.572% | CPI# | Maturity | 2,492,305 | — | 2,492,305 | ||||||||||||||||
USD | 16,275 | 01/15/2030 | 1.587% | CPI# | Maturity | 2,470,633 | — | 2,470,633 | ||||||||||||||||
USD | 23,500 | 01/15/2031 | 2.782% | CPI# | Maturity | 1,186,237 | — | 1,186,237 | ||||||||||||||||
USD | 22,000 | 01/15/2031 | 2.680% | CPI# | Maturity | 1,324,056 | — | 1,324,056 | ||||||||||||||||
USD | 19,200 | 01/15/2031 | 2.989% | CPI# | Maturity | 586,762 | — | 586,762 | ||||||||||||||||
USD | 20,800 | 01/15/2032 | CPI# | 3.064% | Maturity | (331,372 | ) | — | (331,372 | ) | ||||||||||||||
USD | 18,300 | 04/15/2032 | CPI# | 2.909% | Maturity | (517,921 | ) | — | �� | (517,921 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 37,682,541 | $ | (46,159 | ) | $ | 37,728,700 | ||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
46 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
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 | 51,000 | 01/15/2027 | 1 Day SOFR | 2.540% | Annual | $ | (2,297,125 | ) | $ | — | $ | (2,297,125 | ) | |||||||||||||||
USD | 45,000 | 01/15/2031 | 1.323% | 3 Month LIBOR | Semi-Annual/Quarterly | 8,129,133 | — | 8,129,133 | ||||||||||||||||||||
USD | 136,500 | 04/15/2032 | 2.569% | 1 Day SOFR | Annual | 9,777,474 | — | 9,777,474 | ||||||||||||||||||||
USD | 54,900 | 04/15/2032 | 1.280% | 1 Day SOFR | Annual | 9,920,772 | — | 9,920,772 | ||||||||||||||||||||
USD | 38,200 | 04/15/2032 | 2.632% | 1 Day SOFR | Annual | 2,532,283 | — | 2,532,283 | ||||||||||||||||||||
USD | 11,000 | 04/15/2032 | 3.082% | 1 Day SOFR | Annual | 350,764 | — | 350,764 | ||||||||||||||||||||
USD | 6,000 | 04/15/2032 | 3.069% | 1 Day SOFR | Annual | 197,568 | — | 197,568 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 28,610,869 | $ | — | $ | 28,610,869 | |||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 363 | $ | (81,297 | ) | $ | (33,872 | ) | $ | (47,425 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,204 | (269,970 | ) | (145,114 | ) | (124,856 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 80 | (18,030 | ) | (9,399 | ) | (8,631 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 199 | (44,592 | ) | (18,750 | ) | (25,842 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2,451 | (549,599 | ) | (284,598 | ) | (265,001 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2,478 | (555,556 | ) | (233,888 | ) | (321,668 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 3,728 | (835,828 | ) | (342,844 | ) | (492,984 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 465 | (104,157 | ) | (55,752 | ) | (48,405 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 3,231 | (724,427 | ) | (288,421 | ) | (436,006 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (3,183,456 | ) | $ | (1,412,638 | ) | $ | (1,770,818 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
INTEREST RATE SWAPS (see Note 3)
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 | 57,160 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 6,568,374 | $ | — | $ | 6,568,374 |
* Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index.
Schedule of Investments—Diversified Municipal Portfolio | 47 |
Table of Contents
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $207,628,668 or 3.8% of net assets. |
(b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(c) | When-Issued or delayed delivery security. |
(d) | IO—Interest Only. |
(e) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 4.8% and 0.0%, respectively.
Glossary:
AGC—Assured Guaranty Corporation
AGM—Assured Guaranty Municipal
BAM—Build American Mutual
CMBS—Commercial Mortgage-Backed Securities
COP—Certificate of Participation
CPI—Consumer Price Index
DOT—Department of Transportation
ETM—Escrowed to Maturity
LIBOR—London Interbank Offered Rate
MUNIPSA—SIFMA Municipal Swap Index
NATL—National Interstate Corporation
OSF—Order of St. Francis
SOFR—Secured Overnight Financing Rate
UPMC—University of Pittsburgh Medical Center
XLCA—XL Capital Assurance Inc.
See notes to financial statements.
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
New York Municipal Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||
MUNICIPAL OBLIGATIONS–94.9% |
| |||||||
Long-Term Municipal Bonds–89.7% |
| |||||||
New York–73.1% |
| |||||||
Albany County Airport Authority | $ | 785 | $ | 787,271 | ||||
5.00%, 12/15/2023 | 1,050 | 1,066,770 | ||||||
5.00%, 12/15/2024 | 855 | 874,761 | ||||||
5.00%, 12/15/2025 | 855 | 880,705 | ||||||
5.00%, 12/15/2026 | 855 | 882,550 | ||||||
Battery Park City Authority | 4,345 | 4,351,541 | ||||||
Broome County Local Development Corp. | 2,220 | 1,771,093 | ||||||
3.00%, 04/01/2036 | 2,000 | 1,567,902 | ||||||
3.00%, 04/01/2037 | 1,500 | 1,157,203 | ||||||
4.00%, 04/01/2034 | 725 | 677,502 | ||||||
4.00%, 04/01/2038 | 1,400 | 1,263,374 | ||||||
4.00%, 04/01/2039 | 1,400 | 1,253,865 | ||||||
4.00%, 04/01/2040 | 1,500 | 1,332,585 | ||||||
5.00%, 04/01/2032 | 2,000 | 2,110,260 | ||||||
5.00%, 04/01/2033 | 1,000 | 1,048,515 | ||||||
Buffalo & Erie County Industrial Land Development Corp. | 1,000 | 990,556 | ||||||
Build NYC Resource Corp. | 550 | 524,770 | ||||||
Build NYC Resource Corp. | 1,050 | 997,061 | ||||||
5.00%, 06/01/2041(a) | 800 | 742,189 | ||||||
Build NYC Resource Corp. | 1,585 | 1,584,282 | ||||||
5.00%, 11/01/2025 | 1,750 | 1,740,099 | ||||||
5.25%, 11/01/2029 | 1,900 | 1,888,846 |
48 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Build NYC Resource Corp. | $ | 525 | $ | 422,095 | ||||
City of New York NY | 1,365 | 1,428,521 | ||||||
Series 2017-C | 1,075 | 1,091,063 | ||||||
5.00%, 08/01/2024 | 1,260 | 1,300,053 | ||||||
Series 2018-A | 7,690 | 8,156,346 | ||||||
Series 2018-D | 9,665 | 10,018,308 | ||||||
Series 2019-B | 4,205 | 4,521,704 | ||||||
Series 2019-H | 5,615 | 6,010,892 | ||||||
Series 2020-C | 5,000 | 5,347,817 | ||||||
5.00%, 08/01/2035 | 3,750 | 3,989,369 | ||||||
5.00%, 08/01/2038 | 4,960 | 5,213,038 | ||||||
Series 2021 | 4,950 | 4,215,702 | ||||||
Series 2021-D | 6,000 | 5,268,848 | ||||||
1.623%, 08/01/2028 | 4,000 | 3,318,936 | ||||||
County of Albany NY | 1,915 | 1,917,795 | ||||||
5.00%, 11/01/2023 | 1,515 | 1,544,422 | ||||||
County of Nassau NY | 10,190 | 10,456,615 | ||||||
Series 2017-C | 8,920 | 9,417,455 | ||||||
5.00%, 10/01/2027 | 13,200 | 14,090,380 | ||||||
County of Suffolk NY | 1,770 | 1,905,165 | ||||||
Dutchess County Local Development Corp. | 1,900 | 1,768,634 | ||||||
Series 2020-B | 4,940 | 4,765,884 | ||||||
Dutchess County Local Development Corp. | 4,945 | 5,003,351 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Hudson Yards Infrastructure Corp. | $ | 17,060 | $ | 18,012,676 | ||||
5.00%, 02/15/2032 | 5,590 | 5,880,195 | ||||||
Series 2021 | 5,000 | 4,566,943 | ||||||
Jefferson County Industrial Development Agency | 1,250 | 250,000 | ||||||
Long Island Power Authority | 9,535 | 9,113,058 | ||||||
Metropolitan Transportation Authority | 1,210 | 1,243,285 | ||||||
Series 2017-B | 5,000 | 5,177,132 | ||||||
5.00%, 11/15/2028 | 4,020 | 4,168,250 | ||||||
Series 2017-C | 9,140 | 9,463,796 | ||||||
5.00%, 11/15/2028 | 7,400 | 7,619,424 | ||||||
5.00%, 11/15/2029 | 1,705 | 1,754,095 | ||||||
5.00%, 11/15/2031 | 39,900 | 40,558,609 | ||||||
Series 2019-F | 3,230 | 3,235,899 | ||||||
Series 2021 | 2,085 | 2,002,421 | ||||||
AGM Series 2021 | 3,000 | 2,928,279 | ||||||
2.797% (SOFR + 0.80%), 11/01/2032(d) | 3,715 | 3,512,722 | ||||||
Metropolitan Transportation Authority | 14,130 | 14,158,112 | ||||||
Series 2017-A | 2,060 | 2,190,198 | ||||||
Series 2022-A | 11,605 | 10,885,279 | ||||||
Monroe County Industrial Development Corp./NY | 510 | 518,951 | ||||||
5.00%, 12/01/2028 | 1,210 | 1,262,178 | ||||||
Monroe County Industrial Development Corp./NY | 2,645 | 2,310,810 |
Schedule of Investments—New York Municipal Portfolio | 49 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Monroe County Industrial Development Corp/NY | $ | 250 | $ | 240,831 | ||||
5.625%, 07/01/2042(a) | 2,000 | 1,888,325 | ||||||
Nassau County Local Economic Assistance Corp. | 4,550 | 4,638,767 | ||||||
New York City Housing Development Corp. | 2,000 | 2,027,183 | ||||||
New York City Municipal Water Finance Authority | 3,000 | 3,082,538 | ||||||
Series 2015-F | 1,845 | 1,929,185 | ||||||
Series 2015-G | 11,465 | 11,988,131 | ||||||
Series 2017 | 3,725 | 3,870,475 | ||||||
Series 2017-E | 1,795 | 1,867,926 | ||||||
Series 2018-AA | 8,280 | 8,536,877 | ||||||
Series 2019-D | 1,005 | 1,008,638 | ||||||
Series 2019-F | 6,190 | 6,444,161 | ||||||
Series 2021-B | 2,000 | 1,893,513 | ||||||
New York City Transitional Finance Authority Building Aid Revenue | 2,025 | 2,188,804 | ||||||
5.00%, 07/15/2032 | 16,040 | 17,199,143 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 2,100 | 2,102,952 | ||||||
5.00%, 11/01/2024 | 8,705 | 8,717,238 | ||||||
Series 2012-D | 11,025 | 11,040,499 | ||||||
Series 2014-A | 1,655 | 1,699,309 | ||||||
5.00%, 08/01/2029 | 5,000 | 5,128,511 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Series 2014-C | $ | 6,345 | $ | 6,496,061 | ||||
Series 2014-D1 | 7,110 | 7,248,021 | ||||||
5.00%, 02/01/2029 | 2,425 | 2,471,127 | ||||||
Series 2015-C | 20,000 | 20,788,986 | ||||||
Series 2016-B | 2,200 | 2,306,777 | ||||||
Series 2017-F | 1,220 | 1,279,801 | ||||||
Series 2020 | 3,065 | 2,930,748 | ||||||
5.00%, 11/01/2027 | 2,580 | 2,776,389 | ||||||
Series 2021-A | 6,770 | 6,905,083 | ||||||
Series 2022 | 2,220 | 2,075,353 | ||||||
4.00%, 02/01/2041 | 14,250 | 13,240,603 | ||||||
Series 2022-F | 1,000 | 946,441 | ||||||
New York Liberty Development Corp. | 20,000 | 17,727,082 | ||||||
2.625%, 09/15/2069 | 22,240 | 18,321,474 | ||||||
2.80%, 09/15/2069 | 6,470 | 5,308,838 | ||||||
New York Liberty Development Corp. | 20,000 | 14,882,818 | ||||||
New York State Dormitory Authority | 40 | 40,933 | ||||||
Series 2015-E | 4,380 | 4,419,112 | ||||||
Series 2017 | 2,775 | 2,886,985 | ||||||
Series 2020-A | 6,475 | 6,649,817 | ||||||
New York State Dormitory Authority | 5 | 5,327 | ||||||
5.00%, 10/01/2029 (Pre-refunded/ETM) | 5 | 5,452 | ||||||
Series 2021 | 5,500 | 4,908,003 | ||||||
New York State Dormitory Authority | 1,400 | 1,410,739 |
50 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 12/01/2024(a) | $ | 1,700 | $ | 1,723,171 | ||||
5.00%, 12/01/2026(a) | 1,500 | 1,530,156 | ||||||
New York State Dormitory Authority | 3,745 | 3,866,006 | ||||||
New York State Dormitory Authority | 555 | 564,140 | ||||||
5.00%, 07/01/2026 | 620 | 638,123 | ||||||
5.00%, 07/01/2027 | 325 | 335,892 | ||||||
5.00%, 07/01/2029 | 500 | 519,276 | ||||||
5.00%, 07/01/2030 | 300 | 311,189 | ||||||
5.00%, 07/01/2031 | 320 | 330,481 | ||||||
5.00%, 07/01/2032 | 280 | 287,573 | ||||||
New York State Dormitory Authority | 3,045 | 3,227,630 | ||||||
5.00%, 10/01/2029 | 2,130 | 2,311,401 | ||||||
New York State Dormitory Authority | 2,215 | 2,234,294 | ||||||
New York State Dormitory Authority | 2,040 | 2,068,877 | ||||||
Series 2019-A | 2,975 | 3,233,202 | ||||||
New York State Dormitory Authority | 2,500 | 2,263,763 | ||||||
4.00%, 05/01/2040 | 6,000 | 5,389,989 | ||||||
New York State Dormitory Authority | 1,000 | 1,012,313 | ||||||
5.00%, 07/01/2026 | 1,000 | 1,056,560 | ||||||
New York State Dormitory Authority | 1,130 | 1,155,303 | ||||||
Series 2021-A | 1,400 | 1,375,506 | ||||||
New York State Dormitory Authority | 11,385 | 11,618,323 | ||||||
Series 2014-A | 2,400 | 2,450,473 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Series 2014-C | $ | 12,485 | $ | 12,763,060 | ||||
5.00%, 03/15/2029 | 2,010 | 2,053,623 | ||||||
Series 2015-B | 1,160 | 1,168,271 | ||||||
Series 2020-D | 9,425 | 10,050,809 | ||||||
Series 2021-A | 3,775 | 4,014,079 | ||||||
Series 2022-A | 10,000 | 9,150,500 | ||||||
AMBAC INS Series 2005-B | 5,000 | 5,054,567 | ||||||
New York State Dormitory Authority | 1,000 | 969,461 | ||||||
5.00%, 07/01/2039 | 1,500 | 1,439,890 | ||||||
5.00%, 07/01/2042 | 1,630 | 1,541,958 | ||||||
New York State Environmental Facilities Corp. | 445 | 480,043 | ||||||
New York State Thruway Authority | 18,900 | 19,224,014 | ||||||
5.00%, 01/01/2027 | 15,000 | 15,248,006 | ||||||
Series 2014-K | 1,310 | 1,351,074 | ||||||
5.00%, 01/01/2028 | 3,035 | 3,120,253 | ||||||
Series 2019-M | 8,775 | 7,177,256 | ||||||
New York State Thruway Authority | 7,250 | 7,660,079 | ||||||
New York State Urban Development Corp. | 6,800 | 7,437,112 | ||||||
New York State Urban Development Corp. | 5,010 | 5,256,680 | ||||||
Series 2020-A | 4,350 | 4,042,318 | ||||||
Series 2020-E | 4,650 | 4,195,579 |
Schedule of Investments—New York Municipal Portfolio | 51 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
New York State Urban Development Corp. | $ | 4,000 | $ | 4,265,775 | ||||
New York Transportation Development Corp. | 1,395 | 1,395,000 | ||||||
5.00%, 08/01/2031 | 2,985 | 2,986,357 | ||||||
Series 2021 | 1,625 | 1,497,990 | ||||||
New York Transportation Development Corp. | 2,165 | 2,174,088 | ||||||
5.00%, 01/01/2030 | 24,445 | 24,265,605 | ||||||
5.00%, 01/01/2032 | 2,355 | 2,307,601 | ||||||
5.00%, 01/01/2036 | 2,000 | 1,913,720 | ||||||
New York Transportation Development Corp. | 500 | 442,618 | ||||||
4.00%, 10/31/2041 | 2,075 | 1,709,049 | ||||||
New York Transportation Development Corp. | 2,210 | 2,257,525 | ||||||
5.00%, 12/01/2030 | 1,010 | 1,029,622 | ||||||
5.00%, 12/01/2031 | 400 | 404,570 | ||||||
5.00%, 12/01/2032 | 1,035 | 1,043,516 | ||||||
5.00%, 12/01/2036 | 1,050 | 1,022,606 | ||||||
Series 2022 | 1,000 | 809,181 | ||||||
5.00%, 12/01/2031 | 2,005 | 2,030,164 | ||||||
5.00%, 12/01/2040 | 5,400 | 5,189,611 | ||||||
5.00%, 12/01/2041 | 3,670 | 3,514,971 | ||||||
New York Transportation Development Corp. | 2,535 | 2,457,518 | ||||||
New York Transportation Development Corp. | 965 | 967,155 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Niagara Area Development Corp. | $ | 1,000 | $ | 871,013 | ||||
Series 2018-B | 3,400 | 3,314,249 | ||||||
Niagara Falls City School District | 4,055 | 4,144,319 | ||||||
5.00%, 06/15/2025 | 3,660 | 3,781,979 | ||||||
Onondaga Civic Development Corp. | 300 | 270,059 | ||||||
4.00%, 07/01/2036 | 350 | 309,048 | ||||||
4.00%, 07/01/2039 | 450 | 385,347 | ||||||
Port Authority of New York & New Jersey | 10,480 | 10,643,441 | ||||||
Series 2014 | 5,080 | 5,143,048 | ||||||
5.00%, 09/01/2027 | 7,500 | 7,626,095 | ||||||
Series 2014-1 | 3,455 | 3,503,296 | ||||||
Series 2014-186 | 5,000 | 5,002,889 | ||||||
Series 2015 | 2,135 | 2,136,233 | ||||||
5.00%, 10/15/2023 | 5,850 | 5,931,775 | ||||||
5.00%, 10/15/2026 | 8,405 | 8,653,610 | ||||||
Series 2017 | 6,925 | 7,166,982 | ||||||
Series 2018-2 | 3,040 | 3,137,078 | ||||||
5.00%, 09/15/2027 | 9,340 | 9,744,940 | ||||||
Series 2019 | 3,135 | 3,195,441 | ||||||
5.00%, 11/01/2036 | 5,365 | 5,454,198 | ||||||
Series 2020-2 | 3,000 | 3,112,043 | ||||||
5.00%, 07/15/2034 | 13,030 | 13,423,179 | ||||||
5.00%, 07/15/2035 | 2,260 | 2,308,274 | ||||||
Series 2021-2 | 3,000 | 3,001,733 | ||||||
5.00%, 10/15/2023 | 2,750 | 2,788,441 | ||||||
Sales Tax Asset Receivable Corp. | 6,075 | 6,287,542 | ||||||
5.00%, 10/15/2026 (Pre-refunded/ETM) | 7,065 | 7,312,179 | ||||||
Suffolk County Economic Development Corp. | 500 | 512,196 | ||||||
5.00%, 12/01/2034 | 1,000 | 1,010,724 |
52 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Suffolk Tobacco Asset Securitization Corp. | $ | 410 | $ | 406,337 | ||||
4.00%, 06/01/2035 | 2,300 | 2,109,787 | ||||||
4.00%, 06/01/2036 | 2,425 | 2,204,313 | ||||||
4.00%, 06/01/2037 | 1,170 | 1,051,708 | ||||||
4.00%, 06/01/2050 | 2,500 | 2,117,501 | ||||||
5.00%, 06/01/2034 | 2,275 | 2,326,030 | ||||||
Town of Oyster Bay NY | 2,185 | 2,198,428 | ||||||
Triborough Bridge & Tunnel Authority | 18,000 | 18,037,850 | ||||||
Series 2013-A | 5,000 | 5,050,653 | ||||||
Series 2013-B | 7,525 | 7,542,189 | ||||||
Series 2021-A | ||||||||
5.00%, 11/01/2025 | 2,505 | 2,622,888 | ||||||
Series 2021-B | 5,095 | 5,053,835 | ||||||
Triborough Bridge & Tunnel Authority | 15,035 | 15,713,495 | ||||||
Series 2021-A | 9,185 | 8,926,473 | ||||||
2.511%, 05/15/2035 | 10,000 | 7,620,617 | ||||||
Series 2021-C | 5,000 | 5,247,924 | ||||||
Series 2022 | 2,500 | 2,752,478 | ||||||
5.00%, 05/15/2032 | 5,000 | 5,554,311 | ||||||
5.00%, 05/15/2033 | 1,000 | 1,095,389 | ||||||
5.00%, 05/15/2034 | 1,590 | 1,727,046 | ||||||
5.00%, 05/15/2035 | 1,000 | 1,074,687 | ||||||
5.00%, 05/15/2036 | 1,000 | 1,070,978 | ||||||
5.00%, 05/15/2041 | 1,750 | 1,825,276 | ||||||
Series 2022-A | 20,000 | 20,670,594 | ||||||
Troy Capital Resource Corp. | 2,570 | 2,706,559 | ||||||
5.00%, 09/01/2032 | 3,460 | 3,630,252 | ||||||
5.00%, 09/01/2033 | 2,365 | 2,467,717 | ||||||
Trust for Cultural Resources of The City of New York (The) | 7,175 | 7,626,851 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Series 2020 | $ | 1,800 | $ | 1,967,655 | ||||
5.00%, 12/01/2032 | 2,000 | 2,170,475 | ||||||
Trust for Cultural Resources of The City of New York (The) | 1,140 | 1,090,433 | ||||||
TSASC, Inc./NY | 1,000 | 1,011,315 | ||||||
Utility Debt Securitization Authority | 2,800 | 2,853,632 | ||||||
Westchester County Local Development Corp. | 520 | 531,856 | ||||||
5.00%, 01/01/2032(e) | 520 | 525,389 | ||||||
5.00%, 01/01/2037(e) | 530 | 523,647 | ||||||
5.00%, 01/01/2041(e) | 720 | 697,841 | ||||||
|
| |||||||
1,053,565,656 | ||||||||
|
| |||||||
Alabama–0.7% | ||||||||
Southeast Alabama Gas Supply District (The) | 10,000 | 9,967,308 | ||||||
|
| |||||||
American Samoa–0.1% |
| |||||||
American Samoa Economic Development Authority | 1,055 | 1,138,745 | ||||||
|
| |||||||
Colorado–1.2% | ||||||||
City & County of Denver CO | 2,425 | 2,307,889 | ||||||
Colorado Health Facilities Authority | 5,265 | 5,403,330 | ||||||
5.00%, 08/01/2033 | 6,030 | 6,092,389 | ||||||
5.00%, 08/01/2034 | 4,000 | 4,016,528 | ||||||
Vauxmont Metropolitan District | 160 | 166,565 | ||||||
|
| |||||||
17,986,701 | ||||||||
|
|
Schedule of Investments—New York Municipal Portfolio | 53 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Connecticut–1.7% | ||||||||
State of Connecticut | $ | 14,565 | $ | 15,155,688 | ||||
Series 2018-C | 4,690 | 5,017,050 | ||||||
Series 2018-F | 4,025 | 4,318,893 | ||||||
|
| |||||||
24,491,631 | ||||||||
|
| |||||||
Florida–0.1% | ||||||||
County of Osceola FL Transportation Revenue | ||||||||
Zero Coupon, 10/01/2030 | 100 | 66,646 | ||||||
Zero Coupon, 10/01/2032 | 100 | 59,304 | ||||||
Zero Coupon, 10/01/2033 | 100 | 55,768 | ||||||
Zero Coupon, 10/01/2034 | 110 | 57,729 | ||||||
Volusia County School Board | 1,000 | 1,026,773 | ||||||
|
| |||||||
1,266,220 | ||||||||
|
| |||||||
Georgia–0.2% | ||||||||
Municipal Electric Authority of Georgia | 905 | 945,983 | ||||||
5.00%, 01/01/2032 | 565 | 585,693 | ||||||
5.00%, 01/01/2035 | 1,185 | 1,187,658 | ||||||
|
| |||||||
2,719,334 | ||||||||
|
| |||||||
Guam–1.8% | ||||||||
Antonio B Won Pat International Airport Authority | 665 | 575,293 | ||||||
3.189%, 10/01/2029 | 550 | 465,824 | ||||||
3.339%, 10/01/2030 | 450 | 376,532 | ||||||
Series 2023 | 250 | 228,269 | ||||||
5.25%, 10/01/2031(e) | 1,025 | 981,342 | ||||||
5.25%, 10/01/2035(e) | 265 | 242,171 | ||||||
5.375%, 10/01/2033(e) | 525 | 495,006 | ||||||
Guam Government Waterworks Authority | 1,250 | 1,291,279 | ||||||
5.00%, 07/01/2030 | 1,000 | 1,030,334 | ||||||
5.00%, 07/01/2031 | 2,000 | 2,054,951 | ||||||
Guam Power Authority | 2,980 | 3,062,933 | ||||||
5.00%, 10/01/2026 | 1,225 | 1,266,533 | ||||||
5.00%, 10/01/2027 | 1,230 | 1,277,552 | ||||||
Series 2022-A | 1,250 | 1,263,809 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
Territory of Guam | $ | 270 | $ | 254,939 | ||||
Territory of Guam | 620 | 619,049 | ||||||
5.00%, 12/01/2030 | 1,000 | 992,701 | ||||||
5.00%, 12/01/2032 | 925 | 905,087 | ||||||
Territory of Guam | 1,865 | 1,872,163 | ||||||
5.00%, 11/15/2025 | 1,555 | 1,560,439 | ||||||
5.00%, 11/15/2031 | 3,730 | 3,672,040 | ||||||
Series 2021-F | 1,000 | 996,984 | ||||||
|
| |||||||
25,485,230 | ||||||||
|
| |||||||
Illinois–2.9% | ||||||||
Chicago Board of Education | 8,160 | 8,247,829 | ||||||
Illinois Finance Authority | 130 | 130,883 | ||||||
5.00%, 09/01/2026 | 150 | 152,980 | ||||||
5.00%, 09/01/2027 | 145 | 148,068 | ||||||
5.00%, 09/01/2029 | 225 | 230,332 | ||||||
5.00%, 09/01/2032 | 365 | 366,889 | ||||||
5.00%, 09/01/2033 | 200 | 199,914 | ||||||
5.00%, 09/01/2034 | 225 | 222,181 | ||||||
Metropolitan Pier & Exposition Authority | 2,000 | 2,038,769 | ||||||
State of Illinois | 3,370 | 3,403,635 | ||||||
Series 2013 | 7,435 | 7,512,669 | ||||||
Series 2017-A | 2,105 | 2,140,138 | ||||||
Series 2017-D | 7,505 | 7,593,942 | ||||||
5.00%, 11/01/2024 | 5,580 | 5,672,190 | ||||||
Series 2018-A | 2,910 | 2,957,495 | ||||||
Series 2018-B | 1,405 | 1,426,057 | ||||||
|
| |||||||
42,443,971 | ||||||||
|
| |||||||
Kentucky–0.3% | ||||||||
City of Ashland KY | 350 | 359,138 |
54 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
5.00%, 02/01/2027 | $ | 375 | $ | 387,245 | ||||
5.00%, 02/01/2030 | 210 | 219,097 | ||||||
5.00%, 02/01/2031 | 275 | 281,048 | ||||||
Kentucky Economic Development Finance Authority | 1,000 | 1,010,347 | ||||||
5.00%, 08/01/2034 | 1,635 | 1,641,756 | ||||||
5.00%, 08/01/2035 | 555 | 556,248 | ||||||
|
| |||||||
4,454,879 | ||||||||
|
| |||||||
Louisiana–0.1% | ||||||||
Parish of St. James LA | 240 | 246,201 | ||||||
6.10%, 06/01/2038(a) | 345 | 367,069 | ||||||
6.10%, 12/01/2040(a) | 460 | 489,425 | ||||||
|
| |||||||
1,102,695 | ||||||||
|
| |||||||
Michigan–1.1% | ||||||||
City of Detroit MI | 250 | 256,136 | ||||||
5.00%, 04/01/2032 | 1,005 | 1,017,180 | ||||||
Michigan Strategic Fund | ||||||||
Series 2018 | 8,600 | 8,627,254 | ||||||
5.00%, 12/31/2030 | 4,000 | 3,987,565 | ||||||
5.00%, 06/30/2032 | 1,690 | 1,660,414 | ||||||
|
| |||||||
15,548,549 | ||||||||
|
| |||||||
Missouri–0.0% | ||||||||
Howard Bend Levee District | ||||||||
XLCA INS Series 2005 | 120 | 121,462 | ||||||
5.75%, 03/01/2027 | 275 | 278,764 | ||||||
|
| |||||||
400,226 | ||||||||
|
| |||||||
Nevada–0.1% | ||||||||
City of Sparks NV | 385 | 370,299 | ||||||
2.75%, 06/15/2028(a) | 715 | 626,641 | ||||||
|
| |||||||
996,940 | ||||||||
|
| |||||||
New Jersey–2.7% | ||||||||
New Jersey Economic Development Authority | 1,445 | 1,455,876 | ||||||
Principal Amount (000) | U.S. $ Value | |||||||
New Jersey Transportation Trust Fund Authority | $ | 5,030 | $ | 5,136,631 | ||||
5.00%, 06/15/2027 | 5,000 | 5,227,557 | ||||||
Series 2018-A | 11,680 | 12,165,838 | ||||||
New Jersey Transportation Trust Fund Authority | 3,360 | 3,484,269 | ||||||
Series 2019-B | 1,500 | 1,557,939 | ||||||
5.00%, 06/15/2034 | 2,360 | 2,387,431 | ||||||
Series 2019-BB1 | 2,900 | 2,933,707 | ||||||
AMBAC INS Series 2005-B | 4,700 | 4,801,465 | ||||||
|
| |||||||
39,150,713 | ||||||||
|
| |||||||
Pennsylvania–0.3% | ||||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) | 1,690 | 1,701,771 | ||||||
5.00%, 07/01/2024 | 2,085 | 2,117,581 | ||||||
|
| |||||||
3,819,352 | ||||||||
|
| |||||||
Puerto Rico–1.1% | ||||||||
Commonwealth of Puerto Rico | ||||||||
Zero Coupon, 07/01/2024 | 959 | 881,214 | ||||||
Zero Coupon, 07/01/2033 | 2,420 | 1,333,889 | ||||||
4.00%, 07/01/2033 | 675 | 593,596 | ||||||
5.25%, 07/01/2023 | 465 | 467,068 | ||||||
5.375%, 07/01/2025 | 870 | 878,412 | ||||||
5.625%, 07/01/2027 | 3,150 | 3,215,413 | ||||||
5.625%, 07/01/2029 | 1,070 | 1,094,389 | ||||||
5.75%, 07/01/2031 | 285 | 290,558 | ||||||
Puerto Rico Electric Power Authority | 1,390 | 1,376,800 | ||||||
Puerto Rico Highway & Transportation Authority | 1,580 | 1,546,687 | ||||||
5.25%, 07/01/2036 | 1,515 | 1,479,745 | ||||||
AGM Series 2007-C | 1,000 | 1,007,774 |
Schedule of Investments—New York Municipal Portfolio | 55 |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | ||||||||
Zero Coupon, 07/01/2024 | $ | 1,406 | $ | 1,299,031 | ||||
|
| |||||||
15,464,576 | ||||||||
|
| |||||||
South Carolina–0.3% | ||||||||
South Carolina Public Service Authority | 2,125 | 1,873,992 | ||||||
5.00%, 12/01/2040 | 2,500 | 2,488,883 | ||||||
|
| |||||||
4,362,875 | ||||||||
|
| |||||||
Tennessee–0.6% | ||||||||
Chattanooga Health Educational & Housing Facility Board | 1,500 | 1,539,410 | ||||||
5.00%, 08/01/2033 | 1,000 | 1,010,347 | ||||||
5.00%, 08/01/2034 | 1,000 | 1,004,132 | ||||||
Tennergy Corp./TN | 4,735 | 4,835,106 | ||||||
|
| |||||||
8,388,995 | ||||||||
|
| |||||||
Texas–0.4% | ||||||||
City of Houston TX Airport System Revenue | 1,750 | 1,748,998 | ||||||
Mission Economic Development Corp. | 4,540 | 4,469,494 | ||||||
|
| |||||||
6,218,492 | ||||||||
|
| |||||||
Washington–0.6% | ||||||||
Washington Health Care Facilities Authority | 2,165 | 2,201,734 | ||||||
5.00%, 08/01/2033 | 2,595 | 2,621,849 | ||||||
5.00%, 08/01/2034 | 2,520 | 2,530,413 | ||||||
Washington State Housing Finance Commission | 981 | 832,419 | ||||||
Washington State Housing Finance Commission | 981 | 49,927 | ||||||
|
| |||||||
8,236,342 | ||||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
Wisconsin–0.3% | ||||||||
UMA Education, Inc. | $ | 240 | $ | 240,000 | ||||
5.00%, 10/01/2023(a) | 260 | 260,173 | ||||||
5.00%, 10/01/2025(a) | 995 | 991,449 | ||||||
5.00%, 10/01/2026(a) | 1,050 | 1,042,885 | ||||||
5.00%, 10/01/2027(a) | 1,090 | 1,077,693 | ||||||
5.00%, 10/01/2028(a) | 900 | 884,480 | ||||||
5.00%, 10/01/2029(a) | 275 | 269,168 | ||||||
|
| |||||||
4,765,848 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds (cost $1,393,722,616) |
| 1,291,975,278 | ||||||
|
| |||||||
Short-Term Municipal Notes–5.2% |
| |||||||
New York–5.0% |
| |||||||
Build NYC Resource Corp. | 1,745 | 1,745,000 | ||||||
City of New York NY | 530 | 530,000 | ||||||
Series 2009-B | 5,850 | 5,850,000 | ||||||
Series 2016 | 8,995 | 8,995,000 | ||||||
Dutchess County Industrial Development Agency | 1,230 | 1,230,000 | ||||||
New York City Health and Hospitals Corp. | 10,000 | 10,000,000 | ||||||
Series 2008-E | 2,520 | 2,520,000 | ||||||
New York City Health and Hospitals Corp. | 2,000 | 2,000,000 | ||||||
New York City Housing Development Corp. | 4,100 | 4,100,000 | ||||||
New York City Housing Development Corp. | 8,800 | 8,800,000 | ||||||
New York City Housing Development Corp. | 1,300 | 1,300,000 |
56 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||
New York State Dormitory Authority | $ | 2,290 | $ | 2,290,000 | ||||
New York State Housing Finance Agency | 6,400 | 6,400,000 | ||||||
New York State Housing Finance Agency | 3,140 | 3,140,000 | ||||||
New York State Housing Finance Agency | 2,100 | 2,100,000 | ||||||
Triborough Bridge & Tunnel Authority | 7,570 | 7,570,000 | ||||||
Trust for Cultural Resources of The City of New York (The) | 2,695 | 2,695,000 | ||||||
|
| |||||||
71,265,000 | ||||||||
|
| |||||||
Ohio–0.2% |
| |||||||
State of Ohio | 3,020 | 3,020,000 | ||||||
|
| |||||||
Total Short-Term Municipal Notes (cost $74,285,000) |
| 74,285,000 | ||||||
|
| |||||||
Total Municipal Obligations (cost $1,468,007,616) |
| 1,366,260,278 | ||||||
|
| |||||||
GOVERNMENTS–TREASURIES–0.1% |
| |||||||
United States–0.1% |
| |||||||
U.S. Treasury Notes | 2,377 | 2,190,554 | ||||||
|
| |||||||
CORPORATES–INVESTMENT GRADE–0.1% |
| |||||||
Industrial–0.1% |
| |||||||
Consumer Cyclical–Automotive–0.1% |
| |||||||
General Motors Financial Co., Inc. | 2,000 | 1,957,540 | ||||||
|
| |||||||
Principal Amount (000) | U.S. $ Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS–0.1% |
| |||||||
Risk Share Floating Rate–0.1% |
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | $ | 132 | $ | 133,593 | ||||
Series 2014-DN3, Class M3 | 100 | 100,674 | ||||||
Series 2019-DNA3, Class M2 | 106 | 104,187 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | 97 | 97,694 | ||||||
Series 2015-C02, Class 1M2 | 99 | 100,845 | ||||||
Series 2016-C01, Class 1M2 | 243 | 257,060 | ||||||
Series 2016-C02, Class 1M2 | 56 | 58,245 | ||||||
Series 2016-C03, Class 1M2 | 95 | 97,279 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (cost $914,303) |
| 949,577 | ||||||
|
| |||||||
Total Investments—95.2% (cost $1,473,406,574) | 1,371,357,949 | |||||||
Other assets less liabilities—4.8% | 69,086,141 | |||||||
|
| |||||||
Net Assets—100.0% | $ | 1,440,444,090 | ||||||
|
|
Schedule of Investments—New York Municipal Portfolio | 57 |
Table of Contents
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note 3)
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 | 7,130 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 614,637 | $ | — | $ | 614,637 | |||||||||||||
USD | 4,070 | 01/15/2025 | 4.028% | CPI# | Maturity | 111,791 | — | 111,791 | ||||||||||||||||
USD | 3,565 | 01/15/2025 | 2.585% | CPI# | Maturity | 304,514 | — | 304,514 | ||||||||||||||||
USD | 3,565 | 01/15/2025 | 2.613% | CPI# | Maturity | 300,656 | — | 300,656 | ||||||||||||||||
USD | 16,830 | 01/15/2026 | CPI# | 3.720% | Maturity | (458,587 | ) | — | (458,587 | ) | ||||||||||||||
USD | 10,700 | 01/15/2027 | CPI# | 3.466% | Maturity | (308,616 | ) | (12,502 | ) | (296,114 | ) | |||||||||||||
USD | 10,500 | 01/15/2027 | CPI# | 3.320% | Maturity | (395,266 | ) | — | (395,266 | ) | ||||||||||||||
USD | 8,430 | 01/15/2027 | CPI# | 3.323% | Maturity | (315,823 | ) | — | (315,823 | ) | ||||||||||||||
USD | 27,600 | 01/15/2028 | 1.230% | CPI# | Maturity | 4,605,344 | — | 4,605,344 | ||||||||||||||||
USD | 23,260 | 01/15/2028 | 0.735% | CPI# | Maturity | 4,692,450 | — | 4,692,450 | ||||||||||||||||
USD | 27,050 | 01/15/2029 | CPI# | 3.290% | Maturity | (541,871 | ) | — | (541,871 | ) | ||||||||||||||
USD | 10,810 | 01/15/2029 | CPI# | 3.735% | Maturity | 173,642 | — | 173,642 | ||||||||||||||||
USD | 4,375 | 01/15/2030 | 1.572% | CPI# | Maturity | 669,974 | — | 669,974 | ||||||||||||||||
USD | 4,375 | 01/15/2030 | 1.587% | CPI# | Maturity | 664,149 | — | 664,149 | ||||||||||||||||
USD | 6,400 | 01/15/2031 | 2.782% | CPI# | Maturity | 323,060 | — | 323,060 | ||||||||||||||||
USD | 5,830 | 01/15/2031 | 2.680% | CPI# | Maturity | 350,875 | — | 350,875 | ||||||||||||||||
USD | 5,150 | 01/15/2031 | 2.989% | CPI# | Maturity | 157,387 | — | 157,387 | ||||||||||||||||
USD | 5,600 | 01/15/2032 | CPI# | 3.064% | Maturity | (89,216 | ) | — | (89,216 | ) | ||||||||||||||
USD | 5,400 | 04/15/2032 | CPI# | 2.909% | Maturity | (152,829 | ) | — | (152,829 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 10,706,271 | $ | (12,502 | ) | $ | 10,718,773 | ||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
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 | 25,000 | 01/15/2027 | 1 Day SOFR | 2.540% | Annual | $ | (1,126,042 | ) | $ | — | $ | (1,126,042 | ) | |||||||||||
USD | 8,000 | 01/15/2031 | 1.323% | 3 Month LIBOR | Semi-Annual/ Quarterly | 1,445,179 | — | 1,445,179 | ||||||||||||||||
USD | 43,200 | 04/15/2032 | 2.569% | 1 Day SOFR | Annual | 3,094,409 | — | 3,094,409 | ||||||||||||||||
USD | 13,400 | 04/15/2032 | 1.280% | 1 Day SOFR | Annual | 2,421,464 | — | 2,421,464 | ||||||||||||||||
USD | 13,200 | 04/15/2032 | 2.632% | 1 Day SOFR | Annual | 875,030 | — | 875,030 | ||||||||||||||||
USD | 5,000 | 04/15/2032 | 3.082% | 1 Day SOFR | Annual | 159,438 | — | 159,438 | ||||||||||||||||
USD | 1,400 | 04/15/2032 | 3.069% | 1 Day SOFR | Annual | 46,099 | — | 46,099 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 6,915,577 | $ | — | $ | 6,915,577 | |||||||||||||||||||
|
|
|
|
|
|
58 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 121 | $ | (27,206 | ) | $ | (11,335 | ) | $ | (15,871 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 402 | (90,151 | ) | (48,458 | ) | (41,693 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 27 | (5,956 | ) | (3,105 | ) | (2,851 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 67 | (14,971 | ) | (6,295 | ) | (8,676 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 820 | (183,844 | ) | (95,200 | ) | (88,644 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 826 | (185,293 | ) | (78,008 | ) | (107,285 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,245 | (279,146 | ) | (114,501 | ) | (164,645 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 155 | (34,773 | ) | (18,613 | ) | (16,160 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,079 | (241,959 | ) | (96,333 | ) | (145,626 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (1,063,299 | ) | $ | (471,848 | ) | $ | (591,451 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
INTEREST RATE SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Citibank, NA | USD | 16,980 | 10/09/2029 | 1.125 | % | SIFMA | * | Quarterly | $ | 1,951,207 | $ | — | $ | 1,951,207 |
* Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index.
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $31,830,161 or 2.2% of net assets. |
(b) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(c) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.02% of net assets as of September 30, 2022, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Jefferson County Industrial Development Agency | 11/13/2014 | $ | 1,250,438 | $ | 250,000 | 0.02 | % |
Schedule of Investments—New York Municipal Portfolio | 59 |
Table of Contents
(d) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(e) | When-Issued or delayed delivery security. |
(f) | IO—Interest Only. |
(g) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
(h) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 2.9% and 0.0%, respectively.
Glossary:
AGC—Assured Guaranty Corporation
AGM—Assured Guaranty Municipal
AMBAC—Ambac Assurance Corporation
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
SOFR—Secured Overnight Financing Rate
XLCA—XL Capital Assurance Inc.
See notes to financial statements.
60 | Sanford C. Bernstein Fund, Inc.—2022 Annual Report |
Table of Contents
SCB–MU–1945–0922
Table of Contents
SEP 09.30.22
ANNUAL REPORT
AB BOND FUNDS
+ | AB INTERMEDIATE DURATION PORTFOLIO |
+ | AB SHORT DURATION PORTFOLIO |
Table of Contents
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. 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.
Table of Contents
FROM THE ADVISER |
Dear Shareholder,
We’re pleased to provide this report for the AB Bond Funds: Intermediate Duration and Short Duration Portfolios (each a “Portfolio,” and collectively, the “Portfolios”). Please review the discussion of Portfolio performance, the market conditions during the reporting period and the Portfolios’ investment strategies.
As always, AB strives to keep clients ahead of what’s next by:
+ | Transforming uncommon insights into uncommon knowledge with a global research scope |
+ | Navigating markets with seasoned investment experience and sophisticated solutions |
+ | Providing thoughtful investment insights and actionable ideas |
Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.
AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.
For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in the AB Mutual Funds.
Sincerely,
Onur Erzan
Senior Vice President of the Adviser
abfunds.com | AB BOND FUNDS | 1 |
Table of Contents
ANNUAL REPORT
November 14, 2022
This report provides management’s discussion of fund performance for the AB Bond Funds: Intermediate Duration and Short Duration Portfolios for the annual reporting period ended September 30, 2022.
The investment objective of the Intermediate Duration Portfolio is to provide safety of principal and a moderate to high rate of income that is subject to taxes. The investment objective of the Short Duration Portfolio is to provide safety of principal and a moderate rate of income that is subject to taxes.
NAV RETURNS AS OF SEPTEMBER 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB INTERMEDIATE DURATION PORTFOLIO | ||||||||
Class A Shares | -9.84% | -15.54% | ||||||
Advisor Class Shares1 | -9.74% | -15.33% | ||||||
Class Z Shares1,2 | -9.61% | -15.17% | ||||||
Bloomberg US Aggregate Bond Index | -9.22% | -14.60% |
AB SHORT DURATION PORTFOLIO | ||||||||
Class A Shares | -2.41% | -5.49% | ||||||
Class C Shares | -2.48% | -5.49% | ||||||
ICE BofA 1-3 Year US Treasury Index | -2.06% | -4.86% |
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 Portfolio. |
2 | The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the Financial Highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
INVESTMENT RESULTS
The preceding tables show performance for each Portfolio compared to their benchmarks, the Bloomberg US Aggregate Bond Index for the Intermediate Duration Portfolio, and the Intercontinental Exchange Bank of America (“ICE BofA”) 1-3 Year US Treasury Index for the Short Duration Portfolio, for the six- and 12-month periods ended September 30, 2022.
During both periods, all share classes of the Intermediate Duration Portfolio underperformed the benchmark, before sales charges. In the 12-month period, overweights to the five- and 10-year parts of the yield curve were the primary detractor, relative to the benchmark, partially offset by an
2 | AB BOND FUNDS | abfunds.com |
Table of Contents
overweight to the six-month part of the curve and an underweight to the 20-year part of the yield curve. Security selection also detracted, mostly due to losses from selection within investment-grade corporate bonds, asset-backed securities and US agency mortgages that were partially offset by gains from selection within commercial mortgage-backed securities (“CMBS”) and the utilization of high-yield credit default swaps. Sector allocation contributed, due to underweights to US agency mortgages and investment-grade corporate bonds, an overweight to asset-backed securities and exposure to investment-grade credit default swaps that exceeded a loss from exposure to agency risk-sharing securities. Currency decisions also contributed, mostly from short positions in the Swedish krona and offshore Chinese renminbi. Country allocation did not have a material impact on returns during the period.
During the six-month period, security selection detracted the most from performance, as selection within investment-grade corporate bonds and asset-backed securities detracted more than a gain from selection within CMBS. Country allocation also detracted due to exposure to Japan and the UK that outweighed exposure to the eurozone. Yield-curve positioning was a minor detractor. Currency decisions contributed, from short positions in the offshore Chinese renminbi, Australian dollar and Canadian dollar. Sector allocation also contributed, from an underweight to US agency mortgages, an overweight to asset-backed securities and exposure to high-yield credit default swaps, which offset losses from exposure to collateralized loan obligations and high-yield corporate bonds in the US and eurozone.
During both periods, all share classes of the Short Duration Portfolio underperformed the benchmark, before sales charges. Over the 12-month period, security selection within investment-grade corporate bonds was the largest detractor, relative to the benchmark. Country allocation also detracted, as exposure to Japan and the UK was mostly offset by a gain from exposure to the eurozone. Yield-curve positioning on the two-year part of the yield curve contributed, along with sector exposure to inflation-linked securities in the US and CMBS that exceeded a sector loss from exposure to investment-grade corporate bonds. Currency decisions did not materially impact performance during the period.
During the six-month period, sector allocation was the greatest detractor, as allocation to collateralized loan obligations and investment-grade corporate bonds were partially offset by a gain from the utilization of high-yield credit default swaps. Country allocation also detracted, as exposure to Japan and the UK was partially offset by a gain from an allocation to the eurozone. Security selection within investment-grade corporate bonds was a minor detractor. Yield-curve positioning on the two- to 10-year parts of the curve contributed to returns. Currency decisions had no material impact on performance during the period.
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During both periods, the Intermediate Duration Portfolio utilized derivatives in the form of interest rate swaps and futures 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. Inflation swaps were used to hedge inflation and for investment purposes to incorporate the Portfolio’s Senior Investment Management Team’s (the “Team’s”) view on future inflation in the Portfolio. Credit default swaps were utilized to hedge credit risk and as a tool to effectively gain exposure to specific sectors. The utilization of government-agency-related To Be Announced mortgage positions was a significant contributor to the Portfolio’s turnover rate of 122%.
During both periods, the Short Duration Portfolio utilized derivatives in the form of interest rate swaps and futures 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. Inflation swaps were used to hedge inflation and for investment purposes to incorporate the Team’s view on future inflation in the Portfolio. Credit default swaps were utilized to hedge credit risk and as a tool to effectively gain exposure to specific sectors.
MARKET REVIEW AND INVESTMENT STRATEGY
During the 12-month period ended September 30, 2022, fixed-income government bond market yields increased rapidly, and bond prices fell in all developed markets. Most major central banks aggressively tightened monetary policy by raising short-term interest rates and ending bond purchases to combat high and persistent inflation. Developed-market government bonds fell the most in the UK and eurozone, and by the least in Japan. In credit risk sectors, securitized assets generally outperformed corporate bonds. Investment-grade corporate bonds trailed treasuries, underperforming in the US against US Treasuries, while outperforming in the eurozone relative to eurozone treasuries. High-yield corporate bonds trailed in the US versus US Treasuries while eurozone high yield outperformed eurozone treasuries. Investment-grade emerging-market corporate bonds slightly trailed developed-market corporates. Longer-maturity emerging-market sovereign bonds underperformed developed-market treasuries. Emerging-market local-currency bonds lagged as the US dollar advanced against almost all developed- and emerging-market currencies. Brent crude oil prices ended the period higher, even as prices fell sharply in the final quarter on global growth concerns and reduced demand.
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INVESTMENT POLICIES
INTERMEDIATE DURATION PORTFOLIO
The Portfolio seeks to maintain an average portfolio quality minimum of A, based on ratings given to the Portfolio’s securities by nationally recognized statistical rating organizations (“NRSROs”) (or, if unrated, determined by the Adviser to be of comparable quality). Many types of securities may be purchased by the Portfolio, including corporate bonds, notes, US government and agency securities, asset-backed securities, mortgage-related securities, bank loan debt, preferred stock and inflation-protected securities, as well as others. The Portfolio may also invest up to 25% of its total assets in fixed-income, non-US dollar-denominated foreign securities, and may invest without limit in fixed-income, US dollar-denominated foreign securities, in each case in developed- or emerging-market countries. The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may invest up to 25% of its total assets in fixed-income securities rated below investment-grade (BB or below) by NRSROs (commonly known as “junk bonds”). No more than 5% of the Portfolio’s total assets may be invested in fixed-income securities rated CCC by NRSROs.
In managing the Portfolio, the Adviser may use interest-rate forecasting to estimate an appropriate level of interest-rate risk at a given time. The Portfolio seeks to maintain an effective duration of three to seven years under normal market conditions. Duration is a measure that relates the expected price volatility of a security to changes in interest rates. The duration of a debt security is the weighted average term to maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. Within the range described above, the Adviser may moderately shorten the average duration of the Portfolio when it expects interest rates to rise and moderately lengthen average duration when it anticipates that interest rates will fall.
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 Portfolio. 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 Portfolio’s other holdings.
The Portfolio may enter into foreign currency transactions on a spot (i.e., cash) basis or through the use of derivatives transactions, such
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as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio.
SHORT DURATION PORTFOLIO
The Portfolio invests at least 80% of its total assets in securities rated A or better by NRSROs (or, if unrated, determined by the Adviser to be of comparable quality) and comparably rated commercial paper and notes. Many types of securities may be purchased by the Portfolio, including corporate bonds, notes, US government and agency securities, asset-backed securities, mortgage-related securities, inflation-protected securities, bank loan debt and preferred stock, as well as others. The Portfolio may also invest up to 20% of its total assets in fixed-income foreign securities in developed- or emerging-market countries. The Portfolio may use derivatives, such as options, futures contracts, forward contracts and swaps. The Portfolio may invest up to 20% of its total assets in below investment-grade fixed-income securities (commonly known as “junk bonds”).
In managing the Portfolio, the Adviser may use interest-rate forecasting to estimate an appropriate level of interest-rate risk at a given time. The Portfolio seeks to maintain an effective duration of one to three years under normal market conditions. Duration is a measure that relates the expected price volatility of a security to changes in interest rates. The duration of a debt security is the weighted average term to maturity, expressed in years, of the present value of all future cash flows, including coupon payments and principal repayments. Within the range described above, the Adviser may moderately shorten the average duration of the Portfolio when it expects interest rates to rise and moderately lengthen average duration when it anticipates that interest rates will fall.
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 Portfolio. 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 Portfolio’s other holdings.
The Portfolio may enter into foreign currency transactions on a spot (i.e., cash) basis or through the use of derivatives transactions, such
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as forward currency exchange contracts, currency futures and options thereon, and options on currencies. An appropriate hedge of currency exposure resulting from the Portfolio’s securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolio.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg US Aggregate Bond Index and ICE BofA® 1-3 Year US Treasury Index are unmanaged and do not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg 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. The ICE BofA 1-3 Year US Treasury Index represents the performance of US dollar-denominated sovereign debt publicly issued by the US government in its domestic market with a remaining term to final maturity of one to three years. An investor cannot invest directly in an index, and its results are not indicative of the performance for any specific investment, including the Portfolio.
A Word About Risk
Cybersecurity Risk: As the use of the internet and other technologies has become more prevalent in the course of business, the Portfolios have become more susceptible to operational and financial risks associated with cybersecurity. Cybersecurity incidents can result from deliberate attacks such as gaining unauthorized access to digital systems (e.g., through “hacking” or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption, or from unintentional events, such as the inadvertent release of confidential information. Cybersecurity failures or breaches of the Portfolios or their service providers or the issuers of securities in which the Portfolios invest have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability of Portfolio shareholders to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. While measures have been developed which are designed to reduce the risks associated with cybersecurity, there is no guarantee that those measures will be effective, particularly since the Portfolios do not control the cybersecurity defenses or plans of their service providers, financial intermediaries and companies in which they invest or with which they do business.
Cybersecurity incidents, both intentional and unintentional, may allow an unauthorized party to gain access to Portfolio or shareholder assets, Portfolio or customer data (including private shareholder information), or proprietary information, or cause a Portfolio, the Adviser, and/or the Portfolios’ service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality, or
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prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
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 Portfolios may be subject to greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential government fiscal and monetary policy initiatives and resulting market reaction to those initiatives.
Credit Risk: This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially 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. 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, making credit risk greater for medium-quality and lower-rated debt securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative credit risks. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell.
Duration Risk: The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest-rate risk and will decrease in price as interest rates rise. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.
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DISCLOSURES AND RISKS (continued)
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 Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities. Rates of inflation have recently risen, which could adversely affect economies and markets.
Inflation-Protected Securities Risk: The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, there can be no assurance that the relevant inflation index will accurately measure the rate of inflation, in which case the securities may not work as intended. These securities may be more difficult to trade or dispose of than other types of securities.
Foreign (Non-US) Securities Risk: Investments in foreign securities entail significant risks in addition to those customarily associated with investing in US securities, such as less liquid, less transparent, less regulated and more volatile markets. These risks include risks related to unfavorable or unsuccessful government actions, reduction of government or central bank support, inadequate accounting standards and auditing and financial recordkeeping requirements, lack of information, and adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.
Emerging-Markets Securities Risk: The risks of investing in foreign (non-US) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. Emerging markets typically have fewer medical and economic resources than more developed countries, and thus they may be less able to control or mitigate the effects of a pandemic. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.
Derivatives Risk: The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In
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DISCLOSURES AND RISKS (continued)
addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolios. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying asset or index, and such differences may affect the amount, timing and character of income distributed to shareholders. The US government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives as well as additional regulations governing, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Mortgage-Related and Asset-Related Securities Risk: Mortgage- and asset-related securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-related securities are subject to credit, interest-rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities. Asset-related securities entail certain risks not presented by mortgage-backed securities, including the risk that it may be difficult to perfect the liens securing any collateral backing certain asset-backed securities.
Prepayment and Extension Risk: Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely,
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DISCLOSURES AND RISKS (continued)
extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.
Subordination Risk: The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.
Management Risk: The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives and other investment techniques may be unavailable, or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. 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. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.
Illiquid Investments Risk: Illiquid investments risk exists when particular investments are difficult or impossible to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Illiquid investments risk may be magnified in a rising interest-rate environment, where the value and liquidity of fixed-income securities generally go down. Illiquid securities may also be difficult to value. If the Portfolios are forced to sell an illiquid asset to meet redemption requests or other cash needs, or to try to limit losses, the Portfolios may be forced to sell at a substantial loss or may not be able to sell at all.
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DISCLOSURES AND RISKS (continued)
Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value (“NAV”), or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
Foreign Currency Risk: This is the risk that changes in foreign (non-US) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the US dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the US dollar).
Actions by a Few Major Investors: In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local securities prices and, therefore, share prices of the Portfolios.
Market Risk: The Portfolios are subject to market risk, which is the risk that stock or bond prices in general or in particular countries or sectors may decline over short or extended periods. Stock or bond prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest-rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; public health crises (including the occurrence of a contagious disease or illness); policy and legislative changes; cybersecurity events; and other factors.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, sanctions, regional and global conflicts, terrorism, natural disasters (including the spread of infectious illness) and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
Lower-rated Securities Risk: Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is
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DISCLOSURES AND RISKS (continued)
more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.
Riskier than a Money-Market Fund: Although the Short Duration Portfolio maintains a short overall duration, it invests in securities with longer maturities and in some cases lower quality than the assets of the type of mutual fund known as a money-market fund. The risk of a decline in the market value of the Portfolio is greater than for a money-market fund since the credit quality of the Portfolio’s securities may be lower and the effective duration of the Portfolio will be longer.
These risks are fully discussed in the Portfolios’ prospectus. As with all investments, you may lose money by investing in the Portfolios.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolios 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 Portfolios have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Portfolios’ 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 of Intermediate Duration Portfolio, a 2.25% maximum front-end sales charge for Class A shares of Short Duration Portfolio, and a 1% 1-year contingent deferred sales charge for Class C shares. Effective on March 7, 2022, the maximum sales charge for purchases of Class A shares of the Short Duration Portfolio is reduced from 4.25% to 2.25%. 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
INTERMEDIATE DURATION PORTFOLIO
GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO (unaudited)
7/22/20191 TO 9/30/2022
This chart illustrates the total value of an assumed $10,000 investment in AB Intermediate Duration Portfolio Class A shares (from 7/22/20191 to 9/30/2022) as compared to the performance of the Portfolio’s benchmark. The chart reflects the deduction of the maximum 4.25% sales charge from the initial $10,000 investment in the Portfolio and assumes the reinvestment of dividends and capital gains distributions.
1 | Inception date: 7/22/2019. |
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HISTORICAL PERFORMANCE (continued)
INTERMEDIATE DURATION PORTFOLIO
AVERAGE ANNUAL RETURNS AS OF SEPTEMBER 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable | SEC Yields1 | ||||||||||
CLASS A SHARES | -1.62% | |||||||||||
1 Year | -15.54% | -19.13% | ||||||||||
Since Inception2 | -3.42% | -4.72% | ||||||||||
ADVISOR CLASS SHARES3 | -1.43% | |||||||||||
1 Year | -15.33% | -15.33% | ||||||||||
Since Inception2 | -3.20% | -3.20% | ||||||||||
CLASS Z SHARES3 | 1.45% | |||||||||||
1 Year | -15.17% | -15.17% | ||||||||||
Since Inception2 | -2.77% | -2.77% |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 3.95%, 3.36% and 1.87% for Class A, Advisor Class and Class Z shares, respectively. Contractual fee waivers and/or expense reimbursements limited the Portfolio’s total other expenses (excluding advisory fees, distribution and/or service fees, extraordinary expenses, interest expense, acquired fund fees and expenses other than the advisory fees of any affiliated funds in which the Portfolio may invest, expenses associated with securities sold short, and brokerage commission and other transaction costs) to 0.22%, 0.22% and 0.13% for Class A, Advisor Class and Class Z shares, respectively. The Portfolio’s net annual operating expenses (after application of contractual fee waivers and/or expense reimbursements) were: 0.90%, 0.65% and 0.56% for Class A, Advisor Class and Class Z shares, respectively. These waivers/reimbursements may not be terminated before January 28, 2023. 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 September 30, 2022. |
2 | Inception date: 7/22/2019. |
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 Portfolio. |
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HISTORICAL PERFORMANCE (continued)
INTERMEDIATE DURATION PORTFOLIO
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
SEPTEMBER 30, 2022 (unaudited)
SEC Returns (reflects applicable | ||||
CLASS A SHARES | ||||
1 Year | -19.13% | |||
Since Inception1 | -4.72% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -15.33% | |||
Since Inception1 | -3.20% | |||
CLASS Z SHARES2 | ||||
1 Year | -15.17% | |||
Since Inception1 | -2.77% |
1 | Inception date: 7/22/2019. |
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 Portfolio. |
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HISTORICAL PERFORMANCE
SHORT DURATION PORTFOLIO
GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO (unaudited)
9/30/2012 TO 9/30/2022
This chart illustrates the total value of an assumed $10,000 investment in AB Short Duration Portfolio Class A shares (from 9/30/2012 to 9/30/2022) as compared to the performance of the Portfolio’s benchmark. The chart reflects the deduction of the maximum 2.25% sales charge from the initial $10,000 investment in the Portfolio and assumes the reinvestment of dividends and capital gains distributions.
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HISTORICAL PERFORMANCE (continued)
SHORT DURATION PORTFOLIO
AVERAGE ANNUAL RETURNS AS OF SEPTEMBER 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable | SEC Yields1 | ||||||||||
CLASS A SHARES | 2.98% | |||||||||||
1 Year | -5.49% | -7.63% | ||||||||||
5 Years | -0.30% | -0.76% | ||||||||||
10 Years | -0.09% | -0.31% | ||||||||||
CLASS C SHARES | 2.42% | |||||||||||
1 Year | -5.49% | -6.43% | ||||||||||
5 Years | -0.47% | -0.47% | ||||||||||
10 Years2 | -0.28% | -0.28% |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 1.00% and 1.76% for Class A and Class C shares, respectively. 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 September 30, 2022. |
2 | Assumes conversion of Class C shares into Class A shares after eight years. |
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HISTORICAL PERFORMANCE (continued)
SHORT DURATION PORTFOLIO
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
SEPTEMBER 30, 2022 (unaudited)
SEC Returns (reflects applicable | ||||
CLASS A SHARES | ||||
1 Year | -7.63% | |||
5 Years | -0.76% | |||
10 Years | -0.31% | |||
CLASS C SHARES | ||||
1 Year | -6.43% | |||
5 Years | -0.47% | |||
10 Years1 | -0.28% |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of a Portfolio, 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 Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio 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 a Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’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 Portfolio 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 second line of the table 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 FUNDS | 21 |
Table of Contents
EXPENSE EXAMPLE (continued)
(unaudited)
Intermediate Duration Portfolio
Beginning Account Value April 1, 2022 | Ending Account Value September 30, 2022 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 901.60 | $ | 4.34 | 0.91 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.51 | $ | 4.61 | 0.91 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 902.60 | $ | 3.10 | 0.65 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.81 | $ | 3.29 | 0.65 | % | ||||||||
Class Z | ||||||||||||||||
Actual | $ | 1,000 | $ | 903.90 | $ | 2.67 | 0.56 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.26 | $ | 2.84 | 0.56 | % |
Short Duration Plus Portfolio
Beginning Account Value April 1, 2022 | Ending Account Value September 30, 2022 | Expenses Paid During Period* | Annualized Expense Ratio* | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,000.00 | $ | 4.41 | 0.88 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.66 | $ | 4.46 | 0.88 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 1,000.00 | $ | 5.01 | 1.00 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.05 | $ | 5.06 | 1.00 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
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Table of Contents
PORTFOLIO SUMMARY
INTERMEDIATE DURATION PORTFOLIO
September 30, 2022 (unaudited)
1 | All data are as of September 30, 2022. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio 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). |
2 | “Other” represents less than 0.2% in Agencies and Governments–Sovereign Bonds. |
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Table of Contents
PORTFOLIO SUMMARY
SHORT DURATION PORTFOLIO
September 30, 2022 (unaudited)
1 | All data are as of September 30, 2022. The Portfolio’s security type breakdown is expressed as a percentage of total investments and may vary over time. The Portfolio 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). |
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Table of Contents
PORTFOLIO OF INVESTMENTS
INTERMEDIATE DURATION PORTFOLIO
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS - TREASURIES – 40.0% | ||||||||||||
United States – 40.0% | ||||||||||||
U.S. Treasury Bonds | U.S.$ | 73,211 | $ | 50,035,279 | ||||||||
1.875%, 02/15/2051 | 61,991 | 41,029,962 | ||||||||||
2.00%, 11/15/2041 | 26,116 | 18,680,744 | ||||||||||
2.00%, 02/15/2050 | 2,460 | 1,690,481 | ||||||||||
2.00%, 08/15/2051 | 36,371 | 24,834,232 | ||||||||||
2.25%, 08/15/2046 | 12,530 | 9,029,431 | ||||||||||
2.375%, 02/15/2042 | 11,433 | 8,758,826 | ||||||||||
2.375%, 11/15/2049 | 2,885 | 2,172,766 | ||||||||||
2.50%, 02/15/2045 | 1,916 | 1,460,651 | ||||||||||
2.50%, 05/15/2046 | 23,956 | 18,169,129 | ||||||||||
2.875%, 05/15/2052 | 3,770 | 3,161,834 | ||||||||||
3.00%, 05/15/2045 | 23,139 | 19,321,065 | ||||||||||
3.00%, 08/15/2048 | 28,274 | 23,935,539 | ||||||||||
3.00%, 02/15/2049 | 26,971 | 23,030,962 | ||||||||||
3.25%, 05/15/2042 | 11,593 | 10,284,987 | ||||||||||
3.375%, 08/15/2042 | 4,723 | 4,277,914 | ||||||||||
3.375%, 05/15/2044 | 5,710 | 5,092,160 | ||||||||||
3.50%, 02/15/2039 | 4,254 | 4,046,618 | ||||||||||
3.75%, 11/15/2043 | 10,205 | 9,691,561 | ||||||||||
4.375%, 02/15/2038 | 1,920 | 2,041,800 | ||||||||||
4.375%, 11/15/2039 | 47,210 | 49,791,797 | ||||||||||
4.50%, 02/15/2036 | 4,048 | 4,372,040 | ||||||||||
4.75%, 02/15/2037 | 4,156 | 4,602,770 | ||||||||||
5.375%, 02/15/2031 | 14,221 | 15,698,209 | ||||||||||
U.S. Treasury Notes | 145,224 | 144,860,541 | ||||||||||
0.125%, 02/28/2023 | 56,178 | 55,335,330 | ||||||||||
0.875%, 09/30/2026 | 17,403 | 15,320,431 | ||||||||||
1.25%, 11/30/2026 | 48,088 | 42,806,190 | ||||||||||
1.25%, 08/15/2031(a) | 85,632 | 69,187,899 | ||||||||||
1.375%, 11/15/2031 | 50,234 | 40,799,427 | ||||||||||
1.50%, 02/29/2024 | 75,200 | 72,320,769 | ||||||||||
1.50%, 02/15/2030(a) | 11,115 | 9,433,856 | ||||||||||
1.625%, 05/15/2026(a) | 236,708 | 216,402,709 | ||||||||||
1.75%, 11/15/2029 | 11,550 | 10,034,062 | ||||||||||
2.25%, 02/15/2027 | 3,147 | 2,910,576 | ||||||||||
2.625%, 02/15/2029 | 30,853 | 28,433,152 | ||||||||||
2.75%, 07/31/2027 | 43,406 | 40,896,591 | ||||||||||
2.75%, 08/15/2032 | 19,801 | 18,095,983 | ||||||||||
2.875%, 05/15/2032 | 35,123 | 32,460,873 | ||||||||||
3.00%, 07/31/2024 | 69,982 | 68,439,916 | ||||||||||
3.125%, 08/31/2027 | 14,336 | 13,758,176 | ||||||||||
|
| |||||||||||
Total Governments – Treasuries | 1,236,707,238 | |||||||||||
|
|
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
CORPORATES - INVESTMENT GRADE – 22.5% | ||||||||||||
Industrial – 11.7% | ||||||||||||
Basic – 0.7% | ||||||||||||
Anglo American Capital PLC | U.S.$ | 1,189 | $ | 1,018,676 | ||||||||
Braskem Netherlands Finance BV | 3,420 | 2,748,996 | ||||||||||
Celanese US Holdings LLC | 6,569 | 6,481,041 | ||||||||||
Freeport Indonesia PT | 904 | 818,120 | ||||||||||
Inversiones CMPC SA | 2,742 | 2,212,965 | ||||||||||
Inversiones CMPC SA/Cayman Islands Branch | 1,151 | 1,139,734 | ||||||||||
Suzano Austria GmbH | 1,419 | 1,106,820 | ||||||||||
WRKCo., Inc. | 6,569 | 6,063,713 | ||||||||||
|
| |||||||||||
21,590,065 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.8% | ||||||||||||
Flowserve Corp. | 4,669 | 3,343,704 | ||||||||||
Parker-Hannifin Corp. | ||||||||||||
3.25%, 06/14/2029 | 2,817 | 2,484,059 | ||||||||||
4.50%, 09/15/2029 | 4,439 | 4,201,602 | ||||||||||
Raytheon Technologies Corp. | 8,502 | 7,955,322 | ||||||||||
Westinghouse Air Brake Technologies Corp. | ||||||||||||
3.20%, 06/15/2025 | 1,117 | 1,043,758 | ||||||||||
4.40%, 03/15/2024 | 4,344 | 4,265,895 | ||||||||||
|
| |||||||||||
23,294,340 | ||||||||||||
|
| |||||||||||
Communications - Media – 1.2% | ||||||||||||
Discovery Communications LLC | ||||||||||||
5.20%, 09/20/2047 | 1,999 | 1,478,500 | ||||||||||
5.30%, 05/15/2049 | 857 | 641,482 | ||||||||||
Fox Corp. | ||||||||||||
4.709%, 01/25/2029 | 2,656 | 2,496,906 | ||||||||||
5.576%, 01/25/2049 | 4,396 | 3,771,988 | ||||||||||
Interpublic Group of Cos., Inc. (The) | 1,966 | 1,821,656 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Prosus NV | ||||||||||||
3.257%, 01/19/2027(b) | U.S.$ | 1,724 | $ | 1,443,850 | ||||||||
3.68%, 01/21/2030(b) | 550 | 416,405 | ||||||||||
4.027%, 08/03/2050(b) | 1,993 | 1,121,062 | ||||||||||
Tencent Holdings Ltd. | ||||||||||||
1.81%, 01/26/2026(b) | 5,470 | 4,896,676 | ||||||||||
3.24%, 06/03/2050(b) | 4,830 | 2,883,812 | ||||||||||
Time Warner Cable LLC | 2,370 | 1,643,121 | ||||||||||
Warnermedia Holdings, Inc. | 7,614 | 6,269,063 | ||||||||||
Weibo Corp. | 11,908 | 8,776,940 | ||||||||||
|
| |||||||||||
37,661,461 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.5% | ||||||||||||
General Motors Co. | 1,152 | 1,154,580 | ||||||||||
General Motors Financial Co., Inc. | 710 | 618,659 | ||||||||||
Harley-Davidson Financial Services, Inc. | ||||||||||||
3.05%, 02/14/2027(b) | 3,858 | 3,309,933 | ||||||||||
3.35%, 06/08/2025(b) | 3,759 | 3,529,024 | ||||||||||
Nissan Motor Co., Ltd. | 8,330 | 7,176,961 | ||||||||||
|
| |||||||||||
15,789,157 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.3% | ||||||||||||
Las Vegas Sands Corp. | 8,755 | 7,255,181 | ||||||||||
MDC Holdings, Inc. | 3,776 | 2,876,972 | ||||||||||
|
| |||||||||||
10,132,153 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.6% | ||||||||||||
Advance Auto Parts, Inc. | ||||||||||||
3.50%, 03/15/2032 | 73 | 58,340 | ||||||||||
3.90%, 04/15/2030 | 8,625 | 7,421,295 | ||||||||||
Lowe’s Cos., Inc. | 4,887 | 4,493,499 | ||||||||||
Ross Stores, Inc. | 7,988 | 7,800,681 | ||||||||||
|
| |||||||||||
19,773,815 | ||||||||||||
|
|
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Non-Cyclical – 1.1% | ||||||||||||
Altria Group, Inc. | U.S.$ | 7,300 | $ | 5,923,001 | ||||||||
BAT Capital Corp. | ||||||||||||
2.259%, 03/25/2028 | 11,104 | 8,844,225 | ||||||||||
4.906%, 04/02/2030 | 3,799 | 3,346,767 | ||||||||||
Cigna Corp. | 3,600 | 3,399,732 | ||||||||||
CVS Health Corp. | 179 | 169,302 | ||||||||||
Ochsner LSU Health System of North Louisiana | 5,660 | 4,328,598 | ||||||||||
Takeda Pharmaceutical Co., Ltd. | 6,627 | 6,627,000 | ||||||||||
|
| |||||||||||
32,638,625 | ||||||||||||
|
| |||||||||||
Energy – 2.7% | ||||||||||||
BP Capital Markets America, Inc. | 12,047 | 7,649,243 | ||||||||||
Continental Resources, Inc./OK | ||||||||||||
2.875%, 04/01/2032(b) | 5,368 | 3,921,700 | ||||||||||
5.75%, 01/15/2031(b) | 3,997 | 3,612,369 | ||||||||||
Devon Energy Corp. | 4,914 | 4,410,954 | ||||||||||
Enbridge Energy Partners LP | 6,968 | 7,538,958 | ||||||||||
Energy Transfer LP | 3,278 | 2,927,942 | ||||||||||
EQT Corp. | 1,958 | 1,922,795 | ||||||||||
Marathon Petroleum Corp. | ||||||||||||
5.125%, 12/15/2026 | 9,518 | 9,368,663 | ||||||||||
6.50%, 03/01/2041 | 1,683 | 1,666,439 | ||||||||||
MPLX LP | 10,984 | 9,051,365 | ||||||||||
Oleoducto Central SA | 631 | 488,355 | ||||||||||
ONEOK Partners LP | 294 | 260,966 | ||||||||||
ONEOK, Inc. | ||||||||||||
4.00%, 07/13/2027 | 4,900 | 4,501,728 | ||||||||||
4.35%, 03/15/2029 | 4,164 | 3,717,078 | ||||||||||
6.35%, 01/15/2031 | 1,081 | 1,060,699 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 3,754 | 3,131,549 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Suncor Energy, Inc. | U.S.$ | 5,543 | $ | 5,612,509 | ||||||||
Tengizchevroil Finance Co. International Ltd. | 1,397 | 993,005 | ||||||||||
TransCanada PipeLines Ltd. | ||||||||||||
6.10%, 06/01/2040 | 5,470 | 5,282,652 | ||||||||||
6.20%, 10/15/2037 | 3,397 | 3,366,359 | ||||||||||
Transcontinental Gas Pipe Line Co., LLC | 2,203 | 1,860,456 | ||||||||||
|
| |||||||||||
82,345,784 | ||||||||||||
|
| |||||||||||
Other Industrial – 0.1% | ||||||||||||
Alfa SAB de CV | 3,311 | 3,282,873 | ||||||||||
|
| |||||||||||
Services – 0.7% | ||||||||||||
Booking Holdings, Inc. | 9,010 | 8,483,366 | ||||||||||
Expedia Group, Inc. | 211 | 212,289 | ||||||||||
Global Payments, Inc. | ||||||||||||
3.20%, 08/15/2029 | 3,208 | 2,676,017 | ||||||||||
5.40%, 08/15/2032 | 4,124 | 3,823,195 | ||||||||||
Moody’s Corp. | 4,376 | 4,136,151 | ||||||||||
S&P Global, Inc. | ||||||||||||
4.25%, 05/01/2029(b) | 1,574 | 1,480,017 | ||||||||||
4.75%, 08/01/2028(b) | 307 | 300,111 | ||||||||||
|
| |||||||||||
21,111,146 | ||||||||||||
|
| |||||||||||
Technology – 2.7% |
| |||||||||||
Apple, Inc. | 5,020 | 4,115,798 | ||||||||||
Baidu, Inc. | 217 | 187,154 | ||||||||||
Broadcom, Inc. | ||||||||||||
3.137%, 11/15/2035(b) | 1,202 | 842,758 | ||||||||||
3.187%, 11/15/2036(b) | 8,430 | 5,772,274 | ||||||||||
4.15%, 11/15/2030 | 1,542 | 1,332,781 | ||||||||||
4.15%, 04/15/2032(b) | 2,002 | 1,684,443 | ||||||||||
4.926%, 05/15/2037(b) | 4,241 | 3,508,452 | ||||||||||
Entegris Escrow Corp. | 5,311 | 4,711,441 | ||||||||||
Fiserv, Inc. | 9,632 | 8,393,325 | ||||||||||
HP, Inc. | 8,393 | 7,443,836 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Infor, Inc. | U.S.$ | 2,719 | $ | 2,448,133 | ||||||||
Intel Corp. | 6,717 | 5,830,893 | ||||||||||
International Business Machines Corp. | 6,550 | 5,740,878 | ||||||||||
KLA Corp. | 1,349 | 1,280,916 | ||||||||||
Kyndryl Holdings, Inc. | 9,627 | 7,732,298 | ||||||||||
NXP BV/NXP Funding LLC | 4,119 | 4,031,471 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. | 3,313 | 2,773,909 | ||||||||||
Oracle Corp. |
| |||||||||||
2.875%, 03/25/2031 | 5,648 | 4,449,212 | ||||||||||
3.60%, 04/01/2040 | 3,456 | 2,343,617 | ||||||||||
3.65%, 03/25/2041 | 1,857 | 1,260,532 | ||||||||||
5.375%, 07/15/2040 | 1,114 | 927,650 | ||||||||||
SK Hynix, Inc. | 1,818 | 1,338,843 | ||||||||||
TSMC Arizona Corp. | 2,710 | 2,581,844 | ||||||||||
Western Digital Corp. |
| |||||||||||
2.85%, 02/01/2029 | 1,194 | 928,013 | ||||||||||
3.10%, 02/01/2032 | 589 | 402,146 | ||||||||||
Workday, Inc. | 2,673 | 2,325,296 | ||||||||||
|
| |||||||||||
84,387,913 | ||||||||||||
|
| |||||||||||
Transportation - Airlines – 0.2% |
| |||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | ||||||||||||
4.50%, 10/20/2025(b) | 3,393 | 3,297,151 | ||||||||||
4.75%, 10/20/2028(b) | 3,940 | 3,671,213 | ||||||||||
|
| |||||||||||
6,968,364 | ||||||||||||
|
| |||||||||||
Transportation - Railroads – 0.0% |
| |||||||||||
Lima Metro Line 2 Finance Ltd. |
| |||||||||||
4.35%, 04/05/2036(b) | 442 | 387,056 | ||||||||||
5.875%, 07/05/2034(b) | 1,072 | 1,013,019 | ||||||||||
|
| |||||||||||
1,400,075 | ||||||||||||
|
| |||||||||||
Transportation - Services – 0.1% |
| |||||||||||
Ashtead Capital, Inc. | 1,037 | 961,091 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
ENA Master Trust | U.S.$ | 1,235 | $ | 908,497 | ||||||||
|
| |||||||||||
1,869,588 | ||||||||||||
|
| |||||||||||
362,245,359 | ||||||||||||
|
| |||||||||||
Financial Institutions – 10.2% |
| |||||||||||
Banking – 6.9% |
| |||||||||||
ABN AMRO Bank NV | 1,171 | 1,124,851 | ||||||||||
Banco de Credito del Peru S.A. | 5,996 | 5,256,993 | ||||||||||
Banco Santander SA | 3,200 | 2,895,328 | ||||||||||
Bank of America Corp. | ||||||||||||
2.299%, 07/21/2032 | 1,555 | 1,163,560 | ||||||||||
2.687%, 04/22/2032 | 9,685 | 7,546,939 | ||||||||||
4.376%, 04/27/2028 | 6,858 | 6,428,895 | ||||||||||
Bank of Ireland Group PLC | 2,285 | 2,236,946 | ||||||||||
Barclays PLC | 4,935 | 4,743,522 | ||||||||||
BNP Paribas SA | ||||||||||||
2.591%, 01/20/2028(b) | 2,660 | 2,275,284 | ||||||||||
7.75%, 08/16/2029(b)(c) | 4,780 | 4,428,383 | ||||||||||
Citigroup, Inc. | ||||||||||||
3.98%, 03/20/2030 | 3,617 | 3,211,064 | ||||||||||
4.075%, 04/23/2029 | 5,373 | 4,865,950 | ||||||||||
5.95%, 01/30/2023(c) | 2,569 | 2,539,534 | ||||||||||
Series W | 3,243 | 2,736,443 | ||||||||||
Citizens Financial Group, Inc. | 10,581 | 10,177,758 | ||||||||||
Credit Suisse Group AG | ||||||||||||
3.091%, 05/14/2032(b) | 8,899 | 6,256,976 | ||||||||||
4.194%, 04/01/2031(b) | 2,852 | 2,257,101 | ||||||||||
6.373%, 07/15/2026(b) | 6,080 | 5,877,110 | ||||||||||
Danske Bank A/S | 5,462 | 4,876,638 | ||||||||||
Deutsche Bank AG/New York NY | ||||||||||||
2.129%, 11/24/2026 | 4,221 | 3,588,568 | ||||||||||
2.552%, 01/07/2028 | 604 | 491,934 | ||||||||||
3.961%, 11/26/2025 | 1,336 | 1,246,729 | ||||||||||
6.119%, 07/14/2026 | 4,828 | 4,691,512 | ||||||||||
Discover Bank | 2,264 | 2,174,844 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Federation des Caisses Desjardins du Quebec | U.S.$ | 6,672 | $ | 6,302,571 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||||
2.383%, 07/21/2032 | 2,288 | 1,728,332 | ||||||||
2.615%, 04/22/2032 | 7,696 | 5,966,170 | ||||||||
3.102%, 02/24/2033 | 1,157 | 919,132 | ||||||||
Series V | 3,016 | 2,396,664 | ||||||||
HSBC Holdings PLC | ||||||||||
4.762%, 03/29/2033 | 3,381 | 2,791,117 | ||||||||
5.402%, 08/11/2033 | 2,559 | 2,265,406 | ||||||||
6.375%, 03/30/2025(c) | 9,669 | 8,678,894 | ||||||||
JPMorgan Chase & Co. | ||||||||||
2.58%, 04/22/2032 | 9,618 | 7,443,370 | ||||||||
4.851%, 07/25/2028 | 6,901 | 6,621,372 | ||||||||
Series I | 2,456 | 2,444,948 | ||||||||
Series V | 107 | 107,000 | ||||||||
Mizuho Financial Group, Inc. | 6,462 | 6,318,350 | ||||||||
Morgan Stanley | ||||||||||
3.772%, 01/24/2029 | 5,695 | 5,131,935 | ||||||||
4.21%, 04/20/2028 | 4,283 | 4,006,147 | ||||||||
4.679%, 07/17/2026 | 1,880 | 1,830,274 | ||||||||
Nationwide Building Society | 5,154 | 4,436,976 | ||||||||
Santander Holdings USA, Inc. | ||||||||||
2.49%, 01/06/2028 | 3,137 | 2,612,243 | ||||||||
4.26%, 06/09/2025 | 2,048 | 1,968,415 | ||||||||
4.40%, 07/13/2027 | 3,049 | 2,806,330 | ||||||||
Societe Generale SA | 9,487 | 8,000,103 | ||||||||
Standard Chartered PLC | ||||||||||
3.971%, 03/30/2026(b) | 3,723 | 3,499,397 | ||||||||
4.316% (LIBOR 3 Month + 1.51%), 01/30/2027(b)(c)(d) | 300 | 227,055 | ||||||||
7.75%, 04/02/2023(b)(c) | 822 | 805,568 | ||||||||
Swedbank AB | 400 | 370,076 |
32 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Truist Financial Corp. | U.S.$ | 6,656 | $ | 5,969,500 | ||||||
UBS Group AG |
| |||||||||
7.00%, 01/31/2024(b)(c) | 3,018 | 2,867,040 | ||||||||
7.00%, 02/19/2025(b)(c) | 408 | 387,396 | ||||||||
UniCredit SpA |
| |||||||||
1.982%, 06/03/2027(b) | 271 | 223,656 | ||||||||
2.569%, 09/22/2026(b) | 6,253 | 5,355,257 | ||||||||
3.127%, 06/03/2032(b) | 1,858 | 1,323,398 | ||||||||
US Bancorp | 3,485 | 2,975,667 | ||||||||
Wells Fargo & Co. | ||||||||||
3.35%, 03/02/2033 | 8,799 | 7,151,387 | ||||||||
3.584%, 05/22/2028 | 2,117 | 1,914,869 | ||||||||
Series BB | 2,664 | 2,256,168 | ||||||||
|
| |||||||||
213,195,045 | ||||||||||
|
| |||||||||
Brokerage – 0.5% |
| |||||||||
Charles Schwab Corp. (The) |
| |||||||||
Series G | 3,154 | 3,080,701 | ||||||||
Series I | 7,570 | 6,241,162 | ||||||||
Nomura Holdings, Inc. | 7,689 | 5,818,959 | ||||||||
|
| |||||||||
15,140,822 | ||||||||||
|
| |||||||||
Finance – 1.2% |
| |||||||||
Air Lease Corp. |
| |||||||||
2.10%, 09/01/2028 | 2,650 | 2,065,622 | ||||||||
3.625%, 04/01/2027 | 303 | 268,434 | ||||||||
Aircastle Ltd. |
| |||||||||
2.85%, 01/26/2028(b) | 8,390 | 6,426,321 | ||||||||
4.125%, 05/01/2024 | 1,481 | 1,426,040 | ||||||||
4.25%, 06/15/2026 | 530 | 475,288 | ||||||||
5.25%, 08/11/2025(b) | 3,730 | 3,513,623 | ||||||||
Aviation Capital Group LLC |
| |||||||||
1.95%, 01/30/2026(b) | 4,547 | 3,818,070 | ||||||||
1.95%, 09/20/2026(b) | 1,485 | 1,202,746 | ||||||||
3.50%, 11/01/2027(b) | 1,314 | 1,091,540 | ||||||||
4.125%, 08/01/2025(b) | 35 | 32,069 | ||||||||
4.375%, 01/30/2024(b) | 1,300 | 1,256,580 | ||||||||
4.875%, 10/01/2025(b) | 1,447 | 1,351,585 | ||||||||
5.50%, 12/15/2024(b) | 3,623 | 3,506,339 |
abfunds.com | AB BOND FUNDS | 33 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
CDBL Funding 1 | U.S.$ | 5,770 | $ | 5,268,702 | ||||||||
Synchrony Financial | ||||||||||||
2.875%, 10/28/2031 | 4,872 | 3,461,166 | ||||||||||
3.95%, 12/01/2027 | 707 | 616,207 | ||||||||||
4.50%, 07/23/2025 | 869 | 828,661 | ||||||||||
4.875%, 06/13/2025 | 969 | 935,947 | ||||||||||
|
| |||||||||||
37,544,940 | ||||||||||||
|
| |||||||||||
Insurance – 0.7% |
| |||||||||||
Guardian Life Insurance Co. of America (The) | 2,851 | 2,336,822 | ||||||||||
MetLife Capital Trust IV | 5,200 | 5,570,292 | ||||||||||
Nationwide Mutual Insurance Co. | 2,058 | 2,640,352 | ||||||||||
Prudential Financial, Inc. | 1,970 | 1,882,946 | ||||||||||
5.375%, 05/15/2045 | 615 | 584,189 | ||||||||||
5.625%, 06/15/2043 | 1,099 | 1,080,592 | ||||||||||
Swiss Re Finance Luxembourg SA | 5,000 | 4,401,800 | ||||||||||
Voya Financial, Inc. | 3,089 | 3,033,892 | ||||||||||
|
| |||||||||||
21,530,885 | ||||||||||||
|
| |||||||||||
REITs – 0.9% | ||||||||||||
American Tower Corp. | 3,517 | 3,223,436 | ||||||||||
4.05%, 03/15/2032 | 1,717 | 1,478,234 | ||||||||||
Digital Realty Trust LP | 6,738 | 5,902,016 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. | 4,731 | 3,549,669 | ||||||||||
Host Hotels & Resorts LP | 3,958 | 3,762,040 | ||||||||||
Series I | 1,343 | 1,072,802 | ||||||||||
Series J | 2,126 | 1,560,293 | ||||||||||
Vornado Realty LP | 7,733 | 5,909,481 | ||||||||||
|
| |||||||||||
26,457,971 | ||||||||||||
|
| |||||||||||
313,869,663 | ||||||||||||
|
|
34 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Utility – 0.6% | ||||||||||||
Electric – 0.5% | ||||||||||||
AES Panama Generation Holdings SRL | U.S.$ | 1,670 | $ | 1,315,125 | ||||||||
Chile Electricity Pec SpA | 3,081 | 2,175,956 | ||||||||||
Duke Energy Carolinas NC Storm Funding LLC | 3,641 | 2,672,239 | ||||||||||
Engie Energia Chile SA | 3,834 | 2,894,670 | ||||||||||
Entergy Corp. | 8,687 | 7,132,722 | ||||||||||
|
| |||||||||||
16,190,712 | ||||||||||||
|
| |||||||||||
Other Utility – 0.1% |
| |||||||||||
American Water Capital Corp. | 1,654 | 1,472,738 | ||||||||||
|
| |||||||||||
17,663,450 | ||||||||||||
|
| |||||||||||
Total Corporates – Investment Grade | 693,778,472 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 16.8% |
| |||||||||||
Agency Fixed Rate 30-Year – 16.2% |
| |||||||||||
Federal Home Loan Mortgage Corp. | 6,299 | 5,741,548 | ||||||||||
3.50%, 10/01/2049 | 6,314 | 5,749,446 | ||||||||||
3.50%, 11/01/2049 | 2,465 | 2,244,123 | ||||||||||
Series 2020 | 5,243 | 4,785,650 | ||||||||||
Series 2022 | 27,140 | 22,054,742 | ||||||||||
2.50%, 04/01/2052 | 32,499 | 27,388,567 | ||||||||||
3.00%, 03/01/2052 | 17,590 | 15,380,407 | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 1 | 601 | ||||||||||
Series 2007 | 591 | 603,849 | ||||||||||
Series 2016 | 4,840 | 4,674,820 | ||||||||||
Series 2017 | 3,364 | 3,243,380 | ||||||||||
Series 2018 | 2,503 | 2,359,943 |
abfunds.com | AB BOND FUNDS | 35 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
4.50%, 10/01/2048 | U.S.$ | 4,128 | $ | 3,998,107 | ||||||
4.50%, 11/01/2048 | 4,528 | 4,385,141 | ||||||||
5.00%, 09/01/2048 | 1,387 | 1,372,893 | ||||||||
5.00%, 11/01/2048 | 1,668 | 1,649,890 | ||||||||
Federal National Mortgage Association | 1 | 1,301 | ||||||||
Series 2003 | 486 | 495,830 | ||||||||
5.50%, 07/01/2033 | 1,066 | 1,086,258 | ||||||||
5.50%, 11/01/2033 | 0 | ** | 108 | |||||||
Series 2004 | 245 | 250,008 | ||||||||
5.50%, 05/01/2034 | 229 | 233,900 | ||||||||
5.50%, 11/01/2034 | 866 | 885,584 | ||||||||
6.50%, 08/01/2034 | 1 | 1,160 | ||||||||
Series 2005 | 1,196 | 1,221,952 | ||||||||
Series 2006 | 214 | 219,372 | ||||||||
Series 2007 | 423 | 432,336 | ||||||||
Series 2008 | 3 | 3,098 | ||||||||
Series 2010 | 2,223 | 2,145,279 | ||||||||
Series 2012 | 1,402 | 1,315,968 | ||||||||
3.50%, 11/01/2042 | 14,846 | 13,693,539 | ||||||||
3.50%, 01/01/2043 | 2,506 | 2,311,420 | ||||||||
Series 2013 | 8,548 | 7,884,292 | ||||||||
4.00%, 10/01/2043 | 6,838 | 6,478,336 | ||||||||
Series 2015 | 2,729 | 2,426,910 | ||||||||
3.00%, 08/01/2045 | 5,003 | 4,449,664 | ||||||||
Series 2018 | 3,303 | 3,018,234 | ||||||||
3.50%, 05/01/2048 | 1,296 | 1,188,520 | ||||||||
4.50%, 09/01/2048 | 6,702 | 6,483,997 | ||||||||
Series 2019 | 2,125 | 1,935,290 | ||||||||
3.50%, 09/01/2049 | 2,527 | 2,303,058 | ||||||||
3.50%, 10/01/2049 | 6,641 | 6,044,513 | ||||||||
3.50%, 11/01/2049 | 5,066 | 4,609,505 | ||||||||
Series 2020 | 4,967 | 4,525,618 |
36 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2021 | U.S.$ | 28,133 | $ | 22,817,413 | ||||||||
2.50%, 01/01/2052 | 9,038 | 7,626,547 | ||||||||||
Series 2022 | 19,709 | 16,595,115 | ||||||||||
2.50%, 04/01/2052 | 21,163 | 17,821,686 | ||||||||||
2.50%, 05/01/2052 | 26,412 | 22,243,578 | ||||||||||
3.00%, 02/01/2052 | 20,934 | 18,311,016 | ||||||||||
3.00%, 03/01/2052 | 26,825 | 23,456,218 | ||||||||||
Government National Mortgage Association | 1,396 | 1,254,025 | ||||||||||
3.00%, 05/20/2046 | 1,304 | 1,171,573 | ||||||||||
3.00%, 12/20/2046 | 374 | 335,765 | ||||||||||
Series 2022 | 4,175 | 3,685,162 | ||||||||||
4.00%, 10/01/2052, TBA | 13,580 | 12,668,090 | ||||||||||
4.50%, 10/01/2052, TBA | 32,691 | 31,250,749 | ||||||||||
Uniform Mortgage-Backed Security | 54,968 | 44,477,703 | �� | |||||||||
2.50%, 10/01/2052, TBA | 73,165 | 61,395,722 | ||||||||||
3.00%, 10/01/2052, TBA | 17,133 | 14,895,150 | ||||||||||
4.00%, 10/01/2052, TBA | 20,528 | 19,026,448 | ||||||||||
|
| |||||||||||
500,310,117 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year – 0.6% | ||||||||||||
Federal National Mortgage Association | 9 | 7,895 | ||||||||||
Series 2016 | 15 | 13,638 | ||||||||||
2.50%, 04/01/2031 | 10 | 8,869 | ||||||||||
2.50%, 05/01/2031 | 41 | 37,644 | ||||||||||
2.50%, 07/01/2031 | 1,398 | 1,281,828 | ||||||||||
2.50%, 08/01/2031 | 469 | 430,130 | ||||||||||
2.50%, 09/01/2031 | 252 | 230,937 | ||||||||||
2.50%, 10/01/2031 | 1,473 | 1,350,442 | ||||||||||
2.50%, 11/01/2031 | 10,007 | 9,173,599 | ||||||||||
2.50%, 12/01/2031 | 3,705 | 3,392,775 | ||||||||||
2.50%, 01/01/2032 | 482 | 441,682 | ||||||||||
Series 2017 | 2,385 | 2,184,327 | ||||||||||
2.50%, 02/01/2032 | 134 | 122,656 | ||||||||||
|
| |||||||||||
18,676,422 | ||||||||||||
|
|
abfunds.com | AB BOND FUNDS | 37 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Other Agency Fixed Rate Programs – 0.0% | ||||||||||||
Federal National Mortgage Association | U.S.$ | 206 | $ | 203,888 | ||||||||
4.50%, 08/01/2029 | 59 | 58,597 | ||||||||||
4.50%, 10/01/2029 | 11 | 10,777 | ||||||||||
|
| |||||||||||
273,262 | ||||||||||||
|
| |||||||||||
Agency ARMs – 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp. Gold | 0 | ** | 150 | |||||||||
Series 2007 | 0 | ** | 370 | |||||||||
|
| |||||||||||
520 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 519,260,321 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 7.7% | ||||||||||||
Risk Share Floating Rate – 6.7% | ||||||||||||
Bellemeade Re Ltd. | 867 | 865,950 | ||||||||||
Series 2019-3A, Class M1C | 575 | 568,025 | ||||||||||
Series 2020-3A, Class M1B | 502 | 502,938 | ||||||||||
Series 2021-1A, Class M1C | 4,197 | 4,057,930 | ||||||||||
Series 2021-2A, Class M1B | 7,664 | 7,407,204 | ||||||||||
Series 2021-3A, Class A2 | 7,199 | 6,767,218 | ||||||||||
Series 2022-1, Class M1B | 3,969 | 3,881,295 |
38 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2022-2, Class M1A | U.S.$ | 7,387 | $ | 7,386,044 | ||||||
Connecticut Avenue Securities Trust | 6,818 | 6,812,097 | ||||||||
Series 2022-R07, Class 1M1 | 9,211 | 9,211,425 | ||||||||
Series 2021-R03, Class 1M2 | 3,513 | 3,199,776 | ||||||||
Series 2022-R01, Class 1M2 | 9,352 | 8,516,533 | ||||||||
Series 2022-R02, Class 2M1 | 7,817 | 7,653,415 | ||||||||
Series 2022-R03, Class 1M2 | 6,435 | 6,113,618 | ||||||||
Series 2022-R04, Class 1M2 | 1,747 | 1,635,615 | ||||||||
Series 2022-R05, Class 2M2 | 5,001 | 4,613,292 | ||||||||
Series 2022-R08, Class 1M1 | 6,873 | 6,838,321 | ||||||||
Eagle Re Ltd. | 617 | 611,950 | ||||||||
Series 2020-1, Class M1A | 66 | 65,605 | ||||||||
Series 2021-2, Class M1B | 2,360 | 2,294,371 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2022-DNA4, Class M1B | 5,585 | 5,305,458 |
abfunds.com | AB BOND FUNDS | 39 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2013-DN2, Class M2 | U.S.$ | 413 | $ | 417,387 | ||||||
Series 2014-DN3, Class M3 | 396 | 399,654 | ||||||||
Series 2015-DNA1, Class M3 | 1,262 | 1,273,769 | ||||||||
Series 2016-HQA3, Class M3 | 1,255 | 1,271,220 | ||||||||
Series 2020-DNA5, Class M2 | 2,822 | 2,821,115 | ||||||||
Series 2021-DNA3, Class M2 | 3,221 | 3,068,281 | ||||||||
Series 2021-DNA5, Class M2 | 2,493 | 2,430,842 | ||||||||
Series 2021-DNA6, Class M2 | 9,778 | 8,873,967 | ||||||||
Series 2021-DNA7, Class M2 | 9,563 | 8,571,275 | ||||||||
Series 2021-HQA3, Class M1 | 3,249 | 3,132,657 | ||||||||
Series 2021-HQA4, Class M2 | 6,126 | 5,207,411 | ||||||||
Series 2022-DNA1, Class M1A | 3,942 | 3,829,206 | ||||||||
Series 2022-DNA1, Class M1B | 4,940 | 4,483,165 | ||||||||
Series 2022-DNA2, Class M1B | 7,072 | 6,568,400 | ||||||||
Series 2022-DNA3, Class M1B | 2,957 | 2,790,980 |
40 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Series 2022-DNA5, Class M1B | U.S.$ | 9,989 | $ | 10,010,624 | ||||||
Series 2022-DNA6, Class M1A | 3,516 | 3,495,409 | ||||||||
Series 2022-DNA7, Class M1A | 9,358 | 9,360,764 | ||||||||
Series 2022-HQA1, Class M1B | 1,664 | 1,592,564 | ||||||||
Federal National Mortgage Association Connecticut Avenue Securities | 1,029 | 1,065,242 | ||||||||
Series 2016-C02, Class 1M2 | 360 | 372,767 | ||||||||
Series 2016-C03, Class 1M2 | 1,302 | 1,338,560 | ||||||||
Series 2021-R02, Class 2M2 | 4,242 | 3,791,888 | ||||||||
Home Re Ltd. | 4,253 | 4,158,231 | ||||||||
JPMorgan Madison Avenue Securities Trust | 217 | 208,198 | ||||||||
Oaktown Re VII Ltd. | 6,767 | 6,643,815 | ||||||||
PMT Credit Risk Transfer Trust | 2,843 | 2,728,158 | ||||||||
Series 2019-3R, Class A | 222 | 213,692 |
abfunds.com | AB BOND FUNDS | 41 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2020-1R, Class A | U.S.$ | 929 | $ | 881,159 | ||||||||
Radnor Re Ltd. | 2,657 | 2,624,946 | ||||||||||
Series 2019-2, Class M1B | 930 | 927,785 | ||||||||||
Series 2020-1, Class M1A | 969 | 966,067 | ||||||||||
Traingle Re Ltd. | 4,786 | 4,748,635 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 1,020 | 938,647 | ||||||||||
Series 2015-WF1, Class 2M2 | 266 | 249,867 | ||||||||||
|
| |||||||||||
205,764,427 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.5% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | ||||||||||||
Series 5008, Class AI | 10,311 | 1,699,884 | ||||||||||
Series 5015, Class BI | 13,937 | 2,643,618 | ||||||||||
Series 5040, Class AI | 7,629 | 1,276,438 | ||||||||||
Series 5043, Class IO | 15,872 | 3,500,206 | ||||||||||
Federal National Mortgage Association Grantor Trust | 1,445 | 1,298,821 | ||||||||||
Federal National Mortgage Association REMICs | 7,352 | 1,288,807 |
42 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Series 2020-89, Class KI | U.S.$ | 28,886 | $ | 5,461,316 | ||||||||
|
| |||||||||||
17,169,090 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.3% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 7,515 | 714,372 | ||||||||||
Series 4585, Class DS | 4,999 | 513,250 | ||||||||||
Series 4693, Class SL | 3,139 | 340,022 | ||||||||||
Series 4954, Class SL | 2,307 | 230,820 | ||||||||||
Series 4981, Class HS | 19,138 | 1,883,426 | ||||||||||
Federal National Mortgage Association REMICs | 4,565 | 533,086 | ||||||||||
Series 2014-17, Class SA | 8,444 | 937,283 | ||||||||||
Series 2015-26, Class SH | 5,928 | 744,880 | ||||||||||
Series 2016-106, Class ES | ||||||||||||
2.916% (6.00%-LIBOR 1 Month), 01/25/2047(d)(g) | 3,450 | 353,104 | ||||||||||
Series 2017-62, Class AS | ||||||||||||
3.066% (6.15%-LIBOR 1 Month), 08/25/2047(d)(g) | 4,387 | 495,451 | ||||||||||
Series 2017-81, Class SA | ||||||||||||
3.116% (6.20%-LIBOR 1 Month), 10/25/2047(d)(g) | 7,638 | 838,187 | ||||||||||
Series 2017-97, Class SW | ||||||||||||
3.116% (6.20%-LIBOR 1 Month), 12/25/2047(d)(g) | 6,351 | 672,900 |
abfunds.com | AB BOND FUNDS | 43 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Government National Mortgage Association | ||||||||||||
Series 2017-43, Class ST | U.S.$ | 7,243 | $ | 784,323 | ||||||||
Series 2017-122, Class SA | ||||||||||||
3.186% (6.20%-LIBOR 1 Month), 08/20/2047(d)(g) | 5,260 | 600,930 | ||||||||||
Series 2017-134, Class MS | ||||||||||||
3.186% (6.20%-LIBOR 1 Month), 09/20/2047(d)(g) | 6,001 | 697,636 | ||||||||||
|
| |||||||||||
10,339,670 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate – 0.1% | ||||||||||||
Alternative Loan Trust | ||||||||||||
Series 2005-20CB, Class 3A6 | ||||||||||||
5.50%, 07/25/2035 | 291 | 209,226 | ||||||||||
Series 2006-24CB, Class A16 | ||||||||||||
5.75%, 08/25/2036 | 2,061 | 1,190,085 | ||||||||||
Series 2006-28CB, Class A14 | ||||||||||||
6.25%, 10/25/2036 | 1,419 | 806,916 | ||||||||||
Series 2006-J1, Class 1A13 | ||||||||||||
5.50%, 02/25/2036 | 513 | 373,514 | ||||||||||
CHL Mortgage Pass-Through Trust | 606 | 286,714 | ||||||||||
|
| |||||||||||
2,866,455 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.1% | ||||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust | 3,871 | 1,434,831 | ||||||||||
HomeBanc Mortgage Trust | 678 | 571,246 | ||||||||||
JPMorgan Chase Bank, NA | 749 | 733,064 | ||||||||||
|
| |||||||||||
2,739,141 | ||||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 238,878,783 | |||||||||||
|
|
44 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
ASSET-BACKED SECURITIES – 5.1% | ||||||||||||
Autos - Fixed Rate – 2.5% | ||||||||||||
ACM Auto Trust | U.S.$ | 4,911 | $ | 4,895,329 | ||||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||||||
Series 2017-2A, Class D | ||||||||||||
4.56%, 03/20/2024(b) | 6,721 | 6,691,636 | ||||||||||
Series 2018-2A, Class A | ||||||||||||
4.00%, 03/20/2025(b) | 6,700 | 6,582,678 | ||||||||||
Carvana Auto Receivables Trust | ||||||||||||
Series 2021-N3, Class C | ||||||||||||
1.02%, 06/12/2028 | 3,439 | 3,305,007 | ||||||||||
Series 2021-N4, Class D | ||||||||||||
2.30%, 09/11/2028 | 3,177 | 2,917,951 | ||||||||||
Series 2021-P4, Class D | ||||||||||||
2.61%, 09/11/2028 | 4,063 | 3,334,686 | ||||||||||
CPS Auto Receivables Trust | ||||||||||||
Series 2021-C, Class D | ||||||||||||
1.69%, 06/15/2027(b) | 5,050 | 4,565,028 | ||||||||||
Series 2022-A, Class C | ||||||||||||
2.17%, 04/16/2029(b) | 5,564 | 5,152,523 | ||||||||||
FHF Trust | 2,277 | 2,163,084 | ||||||||||
Ford Credit Auto Owner Trust | 5,650 | 4,869,364 | ||||||||||
LAD Auto Receivables Trust | ||||||||||||
Series 2021-1A, Class A | ||||||||||||
1.30%, 08/17/2026(b) | 3,380 | 3,257,976 | ||||||||||
Series 2022-1A, Class A | ||||||||||||
5.21%, 06/15/2027(b) | 6,103 | 6,025,324 | ||||||||||
Research-Driven Pagaya Motor Asset Trust VII | 6,505 | 6,418,304 | ||||||||||
Santander Bank Auto Credit-Linked Notes | 6,465 | 6,344,174 | ||||||||||
Santander Bank NA–SBCLN | 3,125 | 3,012,855 |
abfunds.com | AB BOND FUNDS | 45 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
United Auto Credit Securitization Trust | U.S.$ | 5,941 | $ | 5,913,029 | ||||||||
|
| |||||||||||
75,448,948 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 2.2% | ||||||||||||
AB Issuer LLC | 8,404 | 6,893,775 | ||||||||||
Affirm Asset Securitization Trust | ||||||||||||
Series 2021-Z1, Class A | 1,832 | 1,775,906 | ||||||||||
Series 2021-Z2, Class A | 1,765 | 1,700,061 | ||||||||||
Series 2022-X1, Class A | 4,821 | 4,700,273 | ||||||||||
Amur Equipment Finance Receivables XI LLC | 2,643 | 2,627,023 | ||||||||||
Atalaya Equipment Leasing Trust | 1,762 | 1,643,202 | ||||||||||
BHG Securitization Trust | 1,618 | 1,513,926 | ||||||||||
Cajun Global LLC | 1,751 | 1,488,707 | ||||||||||
College Ave Student Loans LLC | 2,202 | 1,865,571 | ||||||||||
Conn’s Receivables Funding LLC | 1,849 | 1,840,281 | ||||||||||
Dext ABS LLC | 493 | 447,491 | ||||||||||
Diamond Infrastructure Funding LLC | 3,651 | 2,975,061 | ||||||||||
Diamond Issuer | 7,711 | 6,514,824 | ||||||||||
Domino’s Pizza Master Issuer LLC | 4,376 | 3,603,247 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GCI Funding I LLC | U.S.$ | 2,426 | $ | 2,070,335 | ||||||||
Hardee’s Funding LLC | ||||||||||||
Series 2018-1A, Class A23 | 3,216 | 2,944,798 | ||||||||||
Series 2020-1A, Class A2 | 2,605 | 2,235,609 | ||||||||||
MVW LLC | 3,497 | 3,117,649 | ||||||||||
Neighborly Issuer | 5,495 | 4,420,960 | ||||||||||
Neighborly Issuer LLC | 3,216 | 2,657,829 | ||||||||||
Nelnet Student Loan Trust | ||||||||||||
Series 2021-BA, Class B | 2,008 | 1,597,138 | ||||||||||
Series 2021-CA, Class B | 3,421 | 2,666,399 | ||||||||||
Series 2021-DA, Class B | 3,096 | 2,495,429 | ||||||||||
Upstart Securitization Trust | ||||||||||||
Series 2020-3, Class A | 127 | 126,789 | ||||||||||
Series 2021-3, Class B | 5,220 | 4,807,582 | ||||||||||
|
| |||||||||||
68,729,865 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.4% | ||||||||||||
Brex Commercial Charge Card Master Trust | ||||||||||||
Series 2021-1, Class A | 4,282 | 4,199,987 | ||||||||||
Series 2022-1, Class A | 7,665 | 7,423,491 | ||||||||||
Mission Lane Credit Card Master Trust | 1,601 | 1,544,693 | ||||||||||
|
| |||||||||||
13,168,171 | ||||||||||||
|
|
abfunds.com | AB BOND FUNDS | 47 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Home Equity Loans - Floating Rate – 0.0% | ||||||||||||
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates | U.S.$ | 3 | $ | 2,617 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities | 157,349,601 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 3.6% | ||||||||||||
Non-Agency Floating Rate CMBS – 2.0% | ||||||||||||
AREIT Trust | 12,432 | 11,951,509 | ||||||||||
Ashford Hospitality Trust | 3,799 | 3,679,899 | ||||||||||
BAMLL Commercial Mortgage Securities Trust | 10,570 | 9,956,110 | ||||||||||
BBCMS Mortgage Trust | 7,708 | 7,591,780 | ||||||||||
BFLD Trust | 11,683 | 11,266,697 | ||||||||||
BX Commercial Mortgage Trust | ||||||||||||
Series 2019-IMC, Class D | 1,772 | 1,680,230 | ||||||||||
Series 2019-IMC, Class E | 6,595 | 6,219,864 | ||||||||||
CLNY Trust | 5,360 | 4,997,393 |
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PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Federal Home Loan Mortgage Corp. | U.S.$ | 788 | $ | 757,271 | ||||||||
Natixis Commercial Mortgage Securities Trust | 2,750 | 2,705,452 | ||||||||||
|
| |||||||||||
60,806,205 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS – 1.6% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 2,805 | 2,380,500 | ||||||||||
Banc of America Commercial Mortgage Trust | 871 | 816,305 | ||||||||||
Barclays Commercial Mortgage Trust | 3,523 | 3,069,612 | ||||||||||
Commercial Mortgage Trust | ||||||||||||
Series 2012-CR3, Class E | 3,938 | 2,359,985 | ||||||||||
Series 2013-SFS, Class A1 | 391 | 386,369 | ||||||||||
GS Mortgage Securities Trust | ||||||||||||
Series 2011-GC5, Class D | 333 | 141,753 | ||||||||||
Series 2013-G1, Class A2 | 3,622 | 3,592,866 | ||||||||||
GSF | ||||||||||||
Series 2021-1, Class A1 | 3,575 | 3,312,816 | ||||||||||
Series 2021-1, Class A2 | 9,371 | 8,833,052 | ||||||||||
Series 2021-1, Class AS | 249 | 229,680 | ||||||||||
HFX Funding Issuer | 6,860 | 6,297,907 |
abfunds.com | AB BOND FUNDS | 49 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||||||
Series 2013-C14, Class D | U.S.$ | 2,527 | $ | 1,412,812 | ||||||||
Series 2014-C21, Class B | 1,857 | 1,727,598 | ||||||||||
Series 2015-C27, Class AS 3.634%, 02/15/2048 | 3,415 | 3,227,916 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||||||
Series 2012-C6, Class E | 3,967 | 3,074,061 | ||||||||||
Series 2016-JP3, Class B | 3,000 | 2,618,770 | ||||||||||
LB-UBS Commercial Mortgage Trust | 817 | 360,710 | ||||||||||
LSTAR Commercial Mortgage Trust | 1,836 | 1,821,892 | ||||||||||
Wells Fargo Commercial Mortgage Trust | ||||||||||||
Series 2015-SG1, Class AS | 2,906 | 2,735,702 | ||||||||||
Series 2019-C51, Class B | 1,269 | 1,082,237 | ||||||||||
WF-RBS Commercial Mortgage Trust | ||||||||||||
Series 2013-C11, Class XA | 44,918 | 19,378 | ||||||||||
Series 2014-C24, Class AS | 1,471 | 1,403,071 | ||||||||||
|
| |||||||||||
50,904,992 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities (cost $122,235,281) | 111,711,197 | |||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 2.7% | ||||||||||||
CLO-Floating Rate – 2.7% | ||||||||||||
AGL CLO 10 Ltd. | 450 | 428,508 | ||||||||||
Balboa Bay Loan Funding Ltd. | 6,496 | 6,220,544 |
50 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Dryden 78 CLO Ltd. | U.S.$ | 4,670 | $ | 4,273,732 | ||||||
Elevation CLO Ltd. | 4,500 | 3,869,379 | ||||||||
Elmwood CLO IX Ltd. | 5,900 | 5,645,905 | ||||||||
Elmwood CLO XII Ltd. | 2,100 | 1,868,200 | ||||||||
Flatiron CLO 21 Ltd. | 4,290 | 4,095,860 | ||||||||
Goldentree Loan Management US CLO 7 Ltd. | 6,463 | 6,133,298 | ||||||||
Golub Capital Partners 48 LP | 644 | 619,598 | ||||||||
Neuberger Berman Loan Advisers CLO 43 Ltd. | 6,910 | 6,621,476 | ||||||||
OCP CLO Ltd. | 8,088 | 7,816,130 | ||||||||
Palmer Square CLO Ltd. | 730 | 696,249 | ||||||||
Pikes Peak CLO 8 | 7,300 | 6,987,684 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Rad CLO 7 Ltd. | U.S.$ | 2,090 | $ | 1,921,713 | ||||||
Rad CLO 11 Ltd. | 3,800 | 3,334,800 | ||||||||
Rad CLO 14 Ltd | 829 | 784,909 | ||||||||
Regatta XX Funding Ltd. | 11,084 | 10,501,072 | ||||||||
Rockford Tower CLO Ltd. | ||||||||||
Series 2021-2A, Class A1 | 5,449 | 5,176,680 | ||||||||
Series 2021-3A, Class D | 3,200 | 2,766,784 | ||||||||
Sixth Street CLO XVII Ltd. | 1,089 | 1,048,574 | ||||||||
Sixth Street CLO XX Ltd. | 1,900 | 1,686,926 | ||||||||
TICP CLO XV Ltd. | 250 | 242,319 | ||||||||
Voya CLO Ltd. | 1,850 | 1,581,424 | ||||||||
|
| |||||||||
Total Collateralized Loan Obligations | 84,321,764 | |||||||||
|
| |||||||||
52 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
CORPORATES - NON-INVESTMENT GRADE – 1.9% | ||||||||||||
Industrial – 1.4% | ||||||||||||
Capital Goods – 0.0% | ||||||||||||
TK Elevator Midco GmbH | EUR | 1,444 | $ | 1,189,342 | ||||||||
|
| |||||||||||
Communications - Media – 0.4% | ||||||||||||
Altice Financing SA | U.S.$ | 2,174 | 1,603,682 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 1,424 | 1,126,441 | ||||||||||
4.50%, 06/01/2033(b) | 5,124 | 3,800,573 | ||||||||||
4.75%, 02/01/2032(b) | 1,041 | 812,355 | ||||||||||
DISH DBS Corp. | 3,890 | 2,932,827 | ||||||||||
Summer BC Holdco B SARL | EUR | 2,174 | 1,818,811 | |||||||||
VZ Vendor Financing II BV | 2,093 | 1,460,753 | ||||||||||
|
| |||||||||||
13,555,442 | ||||||||||||
|
| |||||||||||
Communications - Telecommunications – 0.1% | ||||||||||||
Altice France SA/France | 1,024 | 762,674 | ||||||||||
Lorca Telecom Bondco SA | 2,174 | 1,853,946 | ||||||||||
|
| |||||||||||
2,616,620 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||||||
Adient Global Holdings Ltd. | 2,174 | 1,967,891 | ||||||||||
Ford Motor Co. | U.S.$ | 3,333 | 2,938,140 | |||||||||
ZF Finance GmbH | EUR | 1,400 | 1,067,580 | |||||||||
|
| |||||||||||
5,973,611 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Entertainment – 0.3% | ||||||||||||
Carnival Corp. | U.S.$ | 5,633 | 4,546,732 | |||||||||
Royal Caribbean Cruises Ltd. | 4,339 | 4,220,849 | ||||||||||
|
| |||||||||||
8,767,581 | ||||||||||||
|
|
abfunds.com | AB BOND FUNDS | 53 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Cyclical - Other – 0.0% | ||||||||||||
NH Hotel Group SA | EUR | 694 | $ | 592,082 | ||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | U.S.$ | 3,900 | 3,149,250 | |||||||||
IQVIA, Inc. | EUR | 1,420 | 1,066,911 | |||||||||
Nobel Bidco BV | 2,174 | 1,429,652 | ||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV | 1,420 | 1,112,557 | ||||||||||
|
| |||||||||||
6,758,370 | ||||||||||||
|
| |||||||||||
Services – 0.1% | ||||||||||||
APCOA Parking Holdings GmbH | 2,174 | 1,689,844 | ||||||||||
|
| |||||||||||
Technology – 0.1% | ||||||||||||
Playtech PLC | 1,420 | 1,260,924 | ||||||||||
|
| |||||||||||
Transportation - Airlines – 0.0% | ||||||||||||
Deutsche Lufthansa AG | 800 | 657,794 | ||||||||||
|
| |||||||||||
43,061,610 | ||||||||||||
|
| |||||||||||
Financial Institutions – 0.4% | ||||||||||||
Banking – 0.4% | ||||||||||||
Credit Suisse Group AG | 611 | 447,325 | ||||||||||
7.50%, 12/11/2023(b)(c) | 2,634 | 2,423,148 | ||||||||||
7.50%, 07/17/2023(b)(c) | 5,931 | 5,100,601 | ||||||||||
Intesa Sanpaolo SpA | 6,204 | 5,790,876 | ||||||||||
|
| |||||||||||
13,761,950 | ||||||||||||
|
| |||||||||||
Utility – 0.1% | ||||||||||||
Electric – 0.1% | ||||||||||||
Vistra Corp. | 2,589 | 2,263,692 | ||||||||||
|
| |||||||||||
Total Corporates – Non-Investment Grade | 59,087,252 | |||||||||||
|
| |||||||||||
54 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.9% | ||||||||||||
United States – 0.9% | ||||||||||||
Port Authority of New York & New Jersey | ||||||||||||
1.086%, 07/01/2023 | EUR | 4,170 | $ | 4,065,085 | ||||||||
State Board of Administration Finance Corp. Series 2020-A | ||||||||||||
1.705%, 07/01/2027 | 6,821 | 5,833,178 | ||||||||||
State of California Series 2010 | ||||||||||||
7.625%, 03/01/2040 | 8,520 | 10,569,156 | ||||||||||
Tobacco Settlement Finance Authority/WV | ||||||||||||
3.00%, 06/01/2035 | 2,133 | 2,024,055 | ||||||||||
University of California Series 2021-B | ||||||||||||
3.071%, 05/15/2051 | 7,960 | 5,307,493 | ||||||||||
|
| |||||||||||
Total Local Governments – US Municipal Bonds | 27,798,967 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - CORPORATE BONDS – 0.4% | ||||||||||||
Industrial – 0.4% | ||||||||||||
Basic – 0.1% | ||||||||||||
CSN Resources SA | U.S.$ | 1,862 | 1,266,532 | |||||||||
Volcan Cia Minera SAA | 761 | 623,212 | ||||||||||
|
| |||||||||||
1,889,744 | ||||||||||||
|
| |||||||||||
Capital Goods – 0.1% | ||||||||||||
Embraer Netherlands Finance BV | 4,960 | 4,520,792 | ||||||||||
6.95%, 01/17/2028(b) | 1,797 | 1,686,709 | ||||||||||
Odebrecht Holdco Finance Ltd. | 3,418 | 6,837 | ||||||||||
|
| |||||||||||
6,214,338 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.0% | ||||||||||||
Globo Comunicacao e Participacoes SA | 825 | 620,813 | ||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.1% | ||||||||||||
Wynn Macau Ltd. | 2,862 | 1,917,540 | ||||||||||
|
|
abfunds.com | AB BOND FUNDS | 55 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Non-Cyclical – 0.1% | ||||||||||||
Natura & Co. Luxembourg Holdings SARL | U.S.$ | 2,258 | $ | 1,840,834 | ||||||||
|
| |||||||||||
12,483,269 | ||||||||||||
|
| |||||||||||
Utility – 0.0% | ||||||||||||
Electric – 0.0% | ||||||||||||
Terraform Global Operating LP | 565 | 532,100 | ||||||||||
|
| |||||||||||
Financial Institutions – 0.0% | ||||||||||||
Other Finance – 0.0% | ||||||||||||
OEC Finance Ltd. | 2,445 | 53,960 | ||||||||||
7.125%, 12/26/2046(b)(i) | 707 | 18,643 | ||||||||||
|
| |||||||||||
72,603 | ||||||||||||
|
| |||||||||||
Total Emerging Markets – Corporate Bonds | 13,087,972 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
COMMON STOCKS – 0.3% | ||||||||||||
Financials – 0.3% | ||||||||||||
Insurance – 0.3% | ||||||||||||
Mt Logan Re Ltd. | 9,249 | 7,908,780 | ||||||||||
Mt Logan Re Ltd. | 1,463 | 1,227,194 | ||||||||||
|
| |||||||||||
Total Common Stocks | 9,135,974 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
QUASI - SOVEREIGNS – 0.3% | ||||||||||||
Quasi - Sovereign Bonds – 0.3% | ||||||||||||
Indonesia – 0.1% | ||||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | U.S.$ | 2,363 | 2,252,719 | |||||||||
|
|
56 | AB BOND FUNDS | abfunds.com |
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PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Mexico – 0.2% | ||||||||||||
Comision Federal de Electricidad | U.S.$ | 6,919 | $ | 4,978,653 | ||||||||
4.688%, 05/15/2029(b) | 1,800 | 1,499,962 | ||||||||||
|
| |||||||||||
6,478,615 | ||||||||||||
|
| |||||||||||
Total Quasi – Sovereigns | 8,731,334 | |||||||||||
|
| |||||||||||
EMERGING MARKETS - SOVEREIGNS – 0.3% | ||||||||||||
Dominican Republic – 0.2% | ||||||||||||
Dominican Republic International Bond | 8,182 | 6,104,795 | ||||||||||
|
| |||||||||||
Egypt – 0.1% | ||||||||||||
Egypt Government International Bond | 4,439 | 2,557,419 | ||||||||||
|
| |||||||||||
Total Emerging Markets – Sovereigns | 8,662,214 | |||||||||||
|
| |||||||||||
AGENCIES – 0.2% | ||||||||||||
Agency Debentures – 0.2% | ||||||||||||
Federal Home Loan Banks | 6,170 | 6,019,761 | ||||||||||
|
| |||||||||||
GOVERNMENTS - SOVEREIGN BONDS – 0.1% | ||||||||||||
Colombia – 0.1% | ||||||||||||
Colombia Government International Bond | U.S.$ | 2,490 | 1,727,904 | |||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 2.1% | ||||||||||||
Governments - Treasuries – 2.1% | ||||||||||||
Japan – 2.1% | ||||||||||||
Japan Treasury Discount Bill | JPY | 9,328,050 | 64,470,728 | |||||||||
|
| |||||||||||
Total Investments – 104.9% | 3,240,729,482 | |||||||||||
Other assets less liabilities – (4.9)% | (150,178,057 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 3,090,551,425 | ||||||||||
|
|
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
FUTURES (see Note 3)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts | ||||||||||||||||
U.S. Long Bond (CBT) Futures | 152 | December 2022 | $ | 19,213,750 | $ | 44,906 | ||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 725 | December 2022 | 148,908,204 | (2,408,991 | ) | |||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 1,808 | December 2022 | 194,374,126 | (5,520,542 | ) | |||||||||||
U.S. Ultra Bond (CBT) Futures | 378 | December 2022 | 51,786,000 | (4,973,860 | ) | |||||||||||
Sold Contracts | ||||||||||||||||
10 Yr Japan Bond (OSE) Futures | 100 | December 2022 | 102,466,662 | 277,506 | ||||||||||||
Long Gilt Futures | 812 | December 2022 | 87,399,957 | (1,087,146 | ) | |||||||||||
U.S. 10 Yr Ultra Futures | 77 | December 2022 | 9,123,297 | 602,057 | ||||||||||||
|
| |||||||||||||||
$ | (13,066,070 | ) | ||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | EUR | 18,748 | USD | 18,110 | 12/08/2022 | $ | (348,530 | ) | ||||||||||||||||
Citibank, NA | JPY | 9,330,876 | USD | 66,040 | 12/02/2022 | 1,182,022 | ||||||||||||||||||
State Street Bank & Trust Co. | JPY | 1,617 | USD | 11 | 12/02/2022 | 182 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 833,674 | |||||||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note 3)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 39, 5 Year Index, 12/20/2027* | 5.00 | % | Quarterly | 6.06 | % | USD | 19,575 | $ | 774,860 | $ | 775,958 | $ | (1,098 | ) |
* | Termination date |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
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 | 19,060 | 12/13/2029 | 1.764% | 3 Month LIBOR | Semi- Annual/ Quarterly | $ | 2,464,228 | $ | – 0 | – | $ | 2,464,228 |
58 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 28 | $ | (6,278 | ) | $ | (4,221 | ) | $ | (2,057 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 93 | (20,767 | ) | (10,452 | ) | (10,315 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 115 | (25,757 | ) | (14,096 | ) | (11,661 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 99 | (22,216 | ) | (9,431 | ) | (12,785 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 139 | (31,231 | ) | (16,539 | ) | (14,692 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 164 | (36,865 | ) | (20,165 | ) | (16,700 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 162 | (36,221 | ) | (19,181 | ) | (17,040 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 171 | (38,314 | ) | (21,209 | ) | (17,105 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 178 | (39,925 | ) | (22,625 | ) | (17,300 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 310 | (69,545 | ) | (35,003 | ) | (34,542 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 460 | (103,191 | ) | (47,272 | ) | (55,919 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,827 | (409,703 | ) | (135,431 | ) | (274,272 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1 | (161 | ) | (84 | ) | (77 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 987 | (221,352 | ) | (74,921 | ) | (146,431 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,275 | (285,907 | ) | (98,828 | ) | (187,079 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,551 | (347,725 | ) | (86,436 | ) | (261,289 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 106 | (23,826 | ) | (15,104 | ) | (8,722 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 248 | (55,539 | ) | (27,173 | ) | (28,366 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,211 | (271,580 | ) | (185,268 | ) | (86,312 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,074 | (240,832 | ) | (126,664 | ) | (114,168 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,240 | (278,019 | ) | (146,223 | ) | (131,796 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2,380 | (533,661 | ) | (254,780 | ) | (278,881 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | �� | 2,380 | (533,662 | ) | (254,681 | ) | (278,981 | ) |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 3,293 | $ | (738,272 | ) | $ | (221,068 | ) | $ | (517,204 | ) | ||||||||||||||||
JPMorgan Securities, LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 221 | (49,583 | ) | (20,189 | ) | (29,394 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 232 | (51,998 | ) | (21,179 | ) | (30,819 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 905 | (202,840 | ) | (104,743 | ) | (98,097 | ) | |||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,434 | (321,484 | ) | (94,620 | ) | (226,864 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (4,996,454 | ) | $ | (2,087,586 | ) | $ | (2,908,868 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
** | Principal amount less than 500. |
(a) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(b) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $788,777,420 or 25.5% of net assets. |
(c) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(d) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(e) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.71% of net assets as of September 30, 2022, 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 | $ | 3,487,656 | $ | 3,312,816 | 0.11 | % | |||||||||
GSF | 02/25/2021 | 9,612,067 | 8,833,052 | 0.29 | % | |||||||||||
GSF | 02/25/2021 | 254,398 | 229,680 | 0.01 | % | |||||||||||
HFX Funding Issuer | 11/19/2020 | 7,307,523 | 6,297,907 | 0.20 | % | |||||||||||
JPMorgan Madison Avenue Securities Trust | 11/06/2015 | 216,712 | 208,198 | 0.01 | % |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
INTERMEDIATE DURATION PORTFOLIO
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
PMT Credit Risk Transfer Trust Series 2020-1R, Class A | 02/11/2020 | $ | 928,788 | $ | 881,159 | 0.03 | % | |||||||||
Terraform Global Operating LP | 02/08/2018 | 565,000 | 532,100 | 0.02 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/28/2015 | 1,024,041 | 938,647 | 0.03 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust Series 2015-WF1, Class 2M2 | 09/28/2015 | 265,653 | 249,867 | 0.01 | % |
(f) | IO – Interest Only. |
(g) | Inverse interest only security. |
(h) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(i) | 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 September 30, 2022. |
(j) | Fair valued by the Adviser. |
(k) | Non-income producing security. |
Currency Abbreviations:
EUR – Euro
JPY – Japanese Yen
USD – United States Dollar
Glossary:
ABS – Asset-Backed Securities
ARMs – Adjustable Rate Mortgages
CBT – Chicago Board of Trade
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
OSE – Osaka Securities Exchange
REIT – Real Estate Investment Trust
REMICs – Real Estate Mortgage Investment Conduits
SOFR – Secured Overnight Financing Rate
TBA – To Be Announced
See notes to financial statements.
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Table of Contents
PORTFOLIO OF INVESTMENTS
SHORT DURATION PLUS PORTFOLIO
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GOVERNMENTS - TREASURIES – 68.5% | ||||||||||||
United States – 68.5% | ||||||||||||
U.S. Treasury Notes | U.S.$ | 3,984 | $ | 3,836,660 | ||||||||
0.375%, 11/30/2025 | 96 | 84,667 | ||||||||||
0.75%, 08/31/2026 | 1,749 | 1,534,650 | ||||||||||
0.875%, 01/31/2024(a) | 2,481 | 2,369,456 | ||||||||||
1.50%, 02/29/2024 | 7,196 | 6,920,624 | ||||||||||
2.50%, 04/30/2024 | 13,883 | 13,496,879 | ||||||||||
2.50%, 05/31/2024 | 19,339 | 18,783,004 | ||||||||||
2.875%, 09/30/2023 | 65,215 | 64,369,243 | ||||||||||
3.00%, 06/30/2024 | 62,073 | 60,734,942 | ||||||||||
3.125%, 08/31/2027 | 1,534 | 1,471,777 | ||||||||||
3.25%, 08/31/2024 | 57,972 | 56,939,275 | ||||||||||
3.25%, 06/30/2027 | 2,025 | 1,952,543 | ||||||||||
|
| |||||||||||
Total Governments - Treasuries | 232,493,720 | |||||||||||
|
| |||||||||||
CORPORATES - INVESTMENT GRADE – 8.0% | ||||||||||||
Financial Institutions – 4.8% | ||||||||||||
Banking – 3.4% |
| |||||||||||
Banco Bilbao Vizcaya Argentaria SA | 600 | 586,650 | ||||||||||
Banco Santander SA | 200 | 180,958 | ||||||||||
Bank of America Corp. | 790 | 677,725 | ||||||||||
4.376%, 04/27/2028 | 466 | 436,842 | ||||||||||
Bank of Ireland Group PLC | 343 | 335,787 | ||||||||||
Barclays PLC | 319 | 306,623 | ||||||||||
BNP Paribas SA | 490 | 419,131 | ||||||||||
Capital One Financial Corp. | 456 | 423,483 | ||||||||||
4.927%, 05/10/2028 | 165 | 157,057 | ||||||||||
Citigroup, Inc. | 346 | 324,513 | ||||||||||
4.14%, 05/24/2025 | 488 | 477,083 | ||||||||||
Cooperatieve Rabobank UA | 282 | 260,452 | ||||||||||
Credit Suisse AG | 302 | 298,817 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Credit Suisse Group AG | U.S.$ | 479 | $ | 463,016 | ||||||||
Danske Bank A/S | 353 | 339,671 | ||||||||||
Deutsche Bank AG/New York NY | 234 | 233,041 | ||||||||||
6.119%, 07/14/2026 | 267 | 259,452 | ||||||||||
Federation des Caisses Desjardins du Quebec | 333 | 322,038 | ||||||||||
Goldman Sachs Group, Inc. (The) | 239 | 207,607 | ||||||||||
3.75%, 05/22/2025 | 222 | 213,025 | ||||||||||
HSBC Holdings PLC | 595 | 550,119 | ||||||||||
5.21%, 08/11/2028 | 790 | 739,843 | ||||||||||
ING Groep NV | 355 | 322,620 | ||||||||||
JPMorgan Chase & Co. | 533 | 511,403 | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 267 | 263,409 | ||||||||||
Morgan Stanley | 303 | 265,122 | ||||||||||
4.21%, 04/20/2028 | 175 | 163,688 | ||||||||||
4.679%, 07/17/2026 | 153 | 148,953 | ||||||||||
Nationwide Building Society | 310 | 266,873 | ||||||||||
Santander Holdings USA, Inc. | 185 | 154,053 | ||||||||||
4.26%, 06/09/2025 | 183 | 175,889 | ||||||||||
Societe Generale SA | 367 | 309,480 | ||||||||||
Standard Chartered PLC | 621 | 579,244 | ||||||||||
UBS Group AG | 233 | 224,402 | ||||||||||
|
| |||||||||||
11,598,069 | ||||||||||||
|
| |||||||||||
Brokerage – 0.1% | ||||||||||||
Charles Schwab Corp., (The) | 346 | 311,282 | ||||||||||
|
| |||||||||||
Finance – 0.6% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 595 | 503,043 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Aviation Capital Group LLC | U.S.$ | 298 | $ | 250,228 | ||||||||
1.95%, 09/20/2026(b) | 99 | 80,183 | ||||||||||
5.50%, 12/15/2024(b) | 65 | 62,907 | ||||||||||
Azure Orbit IV International Finance Ltd. | 900 | 896,166 | ||||||||||
Synchrony Financial | 167 | 145,554 | ||||||||||
4.875%, 06/13/2025 | 233 | 225,052 | ||||||||||
|
| |||||||||||
2,163,133 | ||||||||||||
|
| |||||||||||
REITs – 0.7% | ||||||||||||
American Tower Corp. | 235 | 215,385 | ||||||||||
Simon Property Group LP | 653 | 591,971 | ||||||||||
Vornado Realty LP | 426 | 360,353 | ||||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC | 1,072 | 1,009,234 | ||||||||||
|
| |||||||||||
2,176,943 | ||||||||||||
|
| |||||||||||
16,249,427 | ||||||||||||
|
| |||||||||||
Industrial – 3.2% | ||||||||||||
Basic – 0.2% | ||||||||||||
Glencore Funding LLC | 623 | 616,078 | ||||||||||
|
| |||||||||||
Capital Goods – 0.2% | ||||||||||||
CNH Industrial Capital LLC | 376 | 362,637 | ||||||||||
Parker-Hannifin Corp. | 389 | 380,489 | ||||||||||
|
| |||||||||||
743,126 | ||||||||||||
|
| |||||||||||
Communications - Media – 0.3% | ||||||||||||
Prosus NV | 367 | 307,362 | ||||||||||
Walt Disney Co., (The) | 561 | 541,494 | ||||||||||
Warnermedia Holdings, Inc. | 359 | 339,284 | ||||||||||
|
| |||||||||||
1,188,140 | ||||||||||||
|
|
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Consumer Cyclical - Automotive – 0.4% | ||||||||||||
Harley-Davidson Financial Services, Inc. | U.S.$ | 289 | $ | 247,945 | ||||||||
3.35%, 06/08/2025(b) | 202 | 189,642 | ||||||||||
Hyundai Capital America | 1,010 | 889,769 | ||||||||||
|
| |||||||||||
1,327,356 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Other – 0.2% | ||||||||||||
Las Vegas Sands Corp. | 393 | 353,024 | ||||||||||
3.20%, 08/08/2024 | 227 | 213,428 | ||||||||||
|
| |||||||||||
566,452 | ||||||||||||
|
| |||||||||||
Consumer Cyclical - Retailers – 0.3% | ||||||||||||
AutoNation, Inc. | 950 | 919,002 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical – 0.2% | ||||||||||||
BAT International Finance PLC | 740 | 639,219 | ||||||||||
|
| |||||||||||
Energy – 0.4% | ||||||||||||
Canadian Natural Resources Ltd. | 663 | 606,048 | ||||||||||
Continental Resources, Inc./OK | 618 | 528,149 | ||||||||||
Marathon Oil Corp. | 352 | 328,796 | ||||||||||
|
| |||||||||||
1,462,993 | ||||||||||||
|
| |||||||||||
Services – 0.0% | ||||||||||||
Expedia Group, Inc. | 168 | 157,752 | ||||||||||
|
| |||||||||||
Technology – 0.6% | ||||||||||||
HP, Inc. | 316 | 296,917 | ||||||||||
Kyndryl Holdings, Inc. | 641 | 514,844 | ||||||||||
Oracle Corp. | 740 | 665,889 | ||||||||||
TSMC Arizona Corp. | 227 | 216,265 | ||||||||||
Workday, Inc. | 235 | 217,608 | ||||||||||
|
| |||||||||||
1,911,523 | ||||||||||||
|
|
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Transportation - Airlines – 0.4% | ||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | U.S.$ | 1,050 | $ | 1,020,421 | ||||||||
Southwest Airlines Co. | 279 | 278,791 | ||||||||||
|
| |||||||||||
1,299,212 | ||||||||||||
|
| |||||||||||
10,830,853 | ||||||||||||
|
| |||||||||||
Total Corporates - Investment Grade | 27,080,280 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 5.4% | ||||||||||||
Autos - Fixed Rate – 3.6% | ||||||||||||
ACM Auto Trust | 334 | 332,952 | ||||||||||
American Credit Acceptance Receivables Trust | 905 | 900,722 | ||||||||||
Avis Budget Rental Car Funding AESOP LLC | 492 | 489,851 | ||||||||||
Carmax Auto Owner Trust | 190 | 169,405 | ||||||||||
Carvana Auto Receivables Trust | 275 | 260,931 | ||||||||||
CPS Auto Receivables Trust | ||||||||||||
Series 2021-A, Class C | 635 | 623,639 | ||||||||||
Series 2021-B, Class C | 389 | 373,409 | ||||||||||
Donlen Fleet Lease Funding 2 LLC | 371 | 345,223 | ||||||||||
Drive Auto Receivables Trust | 220 | 213,033 | ||||||||||
DT Auto Owner Trust | 185 | 176,284 | ||||||||||
Exeter Automobile Receivables Trust | 540 | 529,457 |
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PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Exeter Automobile Receivables Trust | U.S.$ | 365 | $ | 360,541 | ||||||
First Investors Auto Owner Trust | 351 | 329,977 | ||||||||
Flagship Credit Auto Trust | ||||||||||
Series 2019-4, Class B | 184 | 184,107 | ||||||||
Series 2020-4, Class C | 615 | 586,605 | ||||||||
Ford Credit Auto Owner Trust | 202 | 174,930 | ||||||||
Foursight Capital Automobile Receivables Trust | 229 | 220,347 | ||||||||
Hertz Vehicle Financing III LLC | 562 | 512,467 | ||||||||
JPMorgan Chase Bank NA-CACLN | ||||||||||
Series 2020-1, Class C | 159 | 156,281 | ||||||||
Series 2020-2, Class D | 76 | 74,122 | ||||||||
Series 2021-1, Class B | 363 | 350,608 | ||||||||
Series 2021-2, Class B | 293 | 282,302 | ||||||||
LAD Auto Receivables Trust | 604 | 596,284 | ||||||||
Research-Driven Pagaya Motor Asset Trust VII Series 2022-3A, Class A | 650 | 641,737 | ||||||||
Santander Bank Auto Credit-Linked Notes | ||||||||||
Series 2022-A, Class B | 473 | 464,154 | ||||||||
Series 2022-B, Class B | 742 | 743,051 | ||||||||
Santander Consumer Auto Receivables Trust | 727 | 661,348 | ||||||||
Santander Drive Auto Receivables Trust | 424 | 407,571 |
abfunds.com | AB BOND FUNDS | 67 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
United Auto Credit Securitization Trust | U.S.$ | 482 | $ | 479,391 | ||||||||
Westlake Automobile Receivables Trust | 657 | 639,230 | ||||||||||
|
| |||||||||||
12,279,958 | ||||||||||||
|
| |||||||||||
Other ABS - Fixed Rate – 1.6% | ||||||||||||
Affirm Asset Securitization Trust | ||||||||||||
Series 2021-A, Class A | 339 | 336,973 | ||||||||||
Series 2021-B, Class B | 198 | 181,501 | ||||||||||
Series 2021-Z1, Class A | 119 | 115,713 | ||||||||||
Amur Equipment Finance Receivables XI LLC | 281 | 279,301 | ||||||||||
Atalaya Equipment Leasing Trust | 416 | 403,699 | ||||||||||
Avant Loans Funding Trust | 811 | 761,355 | ||||||||||
Cajun Global LLC | 102 | 86,582 | ||||||||||
College Ave Student Loans LLC | 446 | 380,704 | ||||||||||
Conn’s Receivables Funding LLC Series 2021-A, Class A | 106 | 105,409 | ||||||||||
Crossroads Asset Trust | 172 | 166,519 | ||||||||||
Dext ABS LLC | 523 | 499,978 | ||||||||||
Hardee’s Funding LLC | 861 | 788,005 | ||||||||||
MVW LLC | 450 | 395,349 |
68 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Neighborly Issuer LLC | U.S.$ | 223 | $ | 184,510 | ||||||||
Nelnet Student Loan Trust | ||||||||||||
Series 2021-CA, Class AFX | 393 | 350,555 | ||||||||||
Series 2021-DA, Class AFX | 126 | 113,580 | ||||||||||
Upstart Securitization Trust | ||||||||||||
Series 2020-3, Class A | 23 | 22,523 | ||||||||||
Series 2021-1, Class A | 28 | 28,187 | ||||||||||
Series 2021-3, Class A | 211 | 204,627 | ||||||||||
|
| |||||||||||
5,405,070 | ||||||||||||
|
| |||||||||||
Credit Cards - Fixed Rate – 0.2% | ||||||||||||
Brex Commercial Charge Card Master Trust | 555 | 544,370 | ||||||||||
Mission Lane Credit Card Master Trust | 142 | 136,942 | ||||||||||
|
| |||||||||||
681,312 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 18,366,340 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 4.2% | ||||||||||||
Risk Share Floating Rate – 3.8% |
| |||||||||||
Bellemeade Re Ltd. | ||||||||||||
Series 2019-1A, Class M1B | 63 | 63,375 | ||||||||||
Series 2019-3A, Class M1B | 64 | 64,428 | ||||||||||
Series 2021-1A, Class M1B | 684 | 676,133 | ||||||||||
Series 2021-2A, Class M1A | 281 | 277,029 | ||||||||||
Series 2021-3A, Class A2 | 480 | 451,188 | ||||||||||
Series 2022-2, Class M1A | ||||||||||||
6.285% (SOFR + 4.00%), 09/27/2032(b)(c) | 858 | 857,870 |
abfunds.com | AB BOND FUNDS | 69 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||
| ||||||||||
Connecticut Avenue Securities Trust | ||||||||||
Series 2021-R01, Class 1M1 | U.S.$ | 93 | $ | 92,258 | ||||||
Series 2021-R03, Class 1M1 | 519 | 507,822 | ||||||||
Series 2022-R01, Class 1M1 | 1,149 | 1,127,659 | ||||||||
Series 2022-R02, Class 2M1 | 391 | 382,757 | ||||||||
Series 2022-R05, Class 2M1 | 152 | 149,283 | ||||||||
Series 2022-R08, Class 1M1 | 772 | 767,897 | ||||||||
Eagle Re Ltd. | 4 | 3,844 | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | ||||||||||
Series 2015-DNA1, Class M3 | 84 | 85,226 | ||||||||
Series 2021-DNA5, Class M2 | 173 | 168,483 | ||||||||
Series 2021-DNA6, Class M1 | 399 | 390,835 | ||||||||
Series 2021-DNA7, Class M1 | 754 | 734,641 | ||||||||
Series 2021-HQA4, Class M1 | 474 | 451,527 | ||||||||
Series 2022-DNA1, Class M1A | 374 | 363,753 | ||||||||
Series 2022-DNA2, Class M1A | 403 | 395,855 | ||||||||
Series 2022-DNA4, Class M1A | 340 | 336,832 | ||||||||
Series 2022-DNA5, Class M1A | 470 | 470,468 | ||||||||
Series 2022-DNA6, Class M1A | 390 | 387,968 | ||||||||
Series 2022-DNA7, Class M1A | 1,012 | 1,012,293 | ||||||||
Series 2022-HQA1, Class M1A | 518 | 514,667 | ||||||||
Series 2022-HQA2, Class M1A | 765 | 761,201 |
70 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||||||
Series 2014-C04, Class 1M2 | U.S.$ | 186 | $ | 192,256 | ||||||||
Series 2015-C01, Class 1M2 | 38 | 39,047 | ||||||||||
Series 2015-C02, Class 1M2 | 11 | 10,811 | ||||||||||
Series 2021-R02, Class 2M1 | 448 | 438,953 | ||||||||||
PMT Credit Risk Transfer Trust | ||||||||||||
Series 2019-2R, Class A | 71 | 67,670 | ||||||||||
Series 2019-3R, Class A | 23 | 22,325 | ||||||||||
Radnor Re Ltd. | ||||||||||||
Series 2019-1, Class M1B | 192 | 189,256 | ||||||||||
Series 2019-2, Class M1B | 47 | 47,195 | ||||||||||
Series 2020-1, Class M1A | 93 | 92,744 | ||||||||||
Traingle Re Ltd. | 284 | 281,884 | ||||||||||
|
| |||||||||||
12,877,433 | ||||||||||||
|
| |||||||||||
Agency Floating Rate – 0.3% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | ||||||||||||
Series 4248, Class QF | 270 | 267,714 | ||||||||||
Series 4286, Class VF | 229 | 226,148 |
abfunds.com | AB BOND FUNDS | 71 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Federal National Mortgage Association REMICs | ||||||||||||
Series 2013-57, Class FN | U.S.$ | 170 | $ | 167,911 | ||||||||
Series 2014-49, Class AF | 309 | 304,288 | ||||||||||
|
| |||||||||||
966,061 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate – 0.1% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 246 | 233,446 | ||||||||||
|
| |||||||||||
Non-Agency Floating Rate – 0.0% | ||||||||||||
JPMorgan Chase Bank, NA | 54 | 52,944 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations | 14,129,884 | |||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.2% | ||||||||||||
Non-Agency Floating Rate CMBS – 1.2% | ||||||||||||
AREIT Trust | 784 | 754,028 | ||||||||||
Ashford Hospitality Trust | 113 | 109,740 | ||||||||||
BBCMS Mortgage Trust | 546 | 537,768 | ||||||||||
BFLD Trust | 795 | 766,672 | ||||||||||
CLNY Trust | 180 | 167,823 |
72 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
GCT Commercial Mortgage Trust Series 2021-GCT, Class B | U.S.$ | 469 | $ | 450,435 | ||||||||
Morgan Stanley Capital I Trust Series 2019-BPR, Class C | 365 | 346,068 | ||||||||||
Natixis Commercial Mortgage Securities Trust | 166 | 162,935 | ||||||||||
VASA Trust | 830 | 790,108 | ||||||||||
|
| |||||||||||
4,085,577 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS – 1.0% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust Series 2013-WBRK, Class D | 185 | 157,003 | ||||||||||
Citigroup Commercial Mortgage Trust | ||||||||||||
Series 2013-GC11, Class B 3.732%, 04/10/2046 | 350 | 344,633 | ||||||||||
Series 2013-GC15, Class C 5.335%, 09/10/2046 | 516 | 505,003 | ||||||||||
GS Mortgage Securities Trust | 495 | 492,335 | ||||||||||
GSF | ||||||||||||
Series 2021-1, Class A1 1.433%, 08/15/2026(d)(e) | 381 | 353,118 | ||||||||||
Series 2021-1, Class A2 2.435%, 08/15/2026(d)(e) | 538 | 507,116 | ||||||||||
Series 2021-1, Class AS 2.638%, 08/15/2026(d)(e) | 18 | 16,603 | ||||||||||
HFX Funding Issuer | 470 | 431,489 | ||||||||||
LSTAR Commercial Mortgage Trust | 171 | 169,867 | ||||||||||
Morgan Stanley Capital I Trust Series 2011-C3, Class C | 45 | 43,936 |
abfunds.com | AB BOND FUNDS | 73 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
UBS-Barclays Commercial Mortgage Trust | U.S.$ | 505 | $ | 459,389 | ||||||||
Wells Fargo Commercial Mortgage Trust | 6 | 5,994 | ||||||||||
|
| |||||||||||
3,486,486 | ||||||||||||
|
| |||||||||||
Agency CMBS – 0.0% | ||||||||||||
Government National Mortgage Association | 259 | 503 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities | 7,572,566 | |||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS – 1.4% | ||||||||||||
CLO - Floating Rate – 1.4% | ||||||||||||
AGL CLO 12 Ltd. | 686 | 655,664 | ||||||||||
Dryden 78 CLO Ltd. | 320 | 292,847 | ||||||||||
Elevation CLO Ltd. | 250 | 222,140 | ||||||||||
Goldentree Loan Management US CLO 7 Ltd. Series 2020-7A, Class AR | 453 | 429,751 | ||||||||||
Magnetite XXVI Ltd. | 739 | 708,850 | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd. | 799 | 764,520 | ||||||||||
OCP CLO Ltd. | 590 | 570,168 |
74 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Rad CLO 2 Ltd. | U.S.$ | 614 | $ | 596,019 | ||||||||
Rad CLO 7 Ltd. | 444 | 429,080 | ||||||||||
Voya CLO Ltd. | 130 | 111,127 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations | 4,780,166 | |||||||||||
|
| |||||||||||
AGENCIES – 1.1% | ||||||||||||
Agency Debentures – 1.1% | ||||||||||||
Federal Home Loan Banks | ||||||||||||
1.375%, 02/17/2023 | 750 | 743,370 | ||||||||||
2.50%, 02/13/2024 | 445 | 434,164 | ||||||||||
Federal Home Loan Mortgage Corp. | 2,000 | 1,930,614 | ||||||||||
Federal National Mortgage Association | 810 | 790,343 | ||||||||||
|
| |||||||||||
Total Agencies | 3,898,491 | |||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS – 0.5% | ||||||||||||
Agency Fixed Rate 30-Year – 0.5% | ||||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||
Series 2019 | ||||||||||||
3.50%, 10/01/2049 | 138 | 125,843 | ||||||||||
3.50%, 11/01/2049 | 633 | 576,413 | ||||||||||
Federal National Mortgage Association | 599 | 601,322 | ||||||||||
Government National Mortgage Association | ||||||||||||
Series 2002 | 30 | 31,714 | ||||||||||
Series 2009 | 233 | 233,427 | ||||||||||
|
| |||||||||||
1,568,719 | ||||||||||||
|
|
abfunds.com | AB BOND FUNDS | 75 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Agency Fixed Rate 15-Year – 0.0% | ||||||||||||
Federal Home Loan Mortgage Corp. Gold | ||||||||||||
Series 2011 | ||||||||||||
5.00%, 07/01/2025 | U.S.$ | 13 | $ | 12,572 | ||||||||
6.50%, 03/01/2026 | 24 | 24,557 | ||||||||||
|
| |||||||||||
37,129 | ||||||||||||
|
| |||||||||||
Agency ARMs – 0.0% | ||||||||||||
Federal National Mortgage Association | 1 | 523 | ||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs | 1,606,371 | |||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.2% | ||||||||||||
United States – 0.2% | ||||||||||||
City of New York NY | ||||||||||||
Series 2021 | ||||||||||||
0.982%, 08/01/2025 | 265 | 239,523 | ||||||||||
New Jersey Turnpike Authority | ||||||||||||
Series 2021-B | ||||||||||||
1.047%, 01/01/2026 | 125 | 110,708 | ||||||||||
Port Authority of New York & New Jersey | ||||||||||||
Series 2020-A | ||||||||||||
1.086%, 07/01/2023 | 280 | 272,955 | ||||||||||
Tobacco Settlement Finance Authority/WV | ||||||||||||
Series 2020 | ||||||||||||
3.00%, 06/01/2035 | 253 | 240,095 | ||||||||||
|
| |||||||||||
Total Local Governments - US Municipal Bonds | 863,281 | |||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS – 7.1% | ||||||||||||
U.S. Treasury Bills – 5.1% | ||||||||||||
U.S. Treasury Bill | ||||||||||||
Zero Coupon, 12/01/2022 | 10,345 | 10,295,110 | ||||||||||
Zero Coupon, 03/09/2023 | 6,984 | 6,870,490 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Bills | 17,165,600 | |||||||||||
|
| |||||||||||
76 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||||||
| ||||||||||||
Governments - Treasuries – 2.0% | ||||||||||||
Japan – 2.0% | ||||||||||||
Japan Treasury Discount Bill | JPY | 980,900 | $ | 6,779,481 | ||||||||
|
| |||||||||||
Total Short-Term Investments | 23,945,081 | |||||||||||
|
| |||||||||||
Total Investments – 98.6% | 334,736,180 | |||||||||||
Other assets less liabilities – 1.4% | 4,675,435 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 339,411,615 | ||||||||||
|
|
FUTURES (see Note 3)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Purchased Contracts |
| |||||||||||||||
U.S. 10 Yr Ultra Futures | 6 | December 2022 | $ | 710,906 | $ | 601 | ||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 360 | December 2022 | 73,940,626 | (1,196,317 | ) | |||||||||||
Sold Contracts |
| |||||||||||||||
10 Yr Japan Bond (OSE) Futures | 11 | December 2022 | 11,271,333 | 30,490 | ||||||||||||
Long Gilt Futures | 89 | December 2022 | 9,579,552 | (118,396 | ) | |||||||||||
U.S. T-Note 5 Yr (CBT) Futures | 16 | December 2022 | 1,720,125 | 62,628 | ||||||||||||
|
| |||||||||||||||
$ | (1,220,994 | ) | ||||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank of America, NA | JPY | 981,175 | USD | 6,861 | 12/02/2022 | $ | 41,164 | |||||||||||||||||
State Street Bank & Trust Co. | JPY | 2,834 | USD | 20 | 12/02/2022 | 320 | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 41,484 | |||||||||||||||||||||||
|
|
abfunds.com | AB BOND FUNDS | 77 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
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 | 2,830 | 05/21/2031 | 1.617 | % | 3 Month LIBOR | Semi- Annual/ Quarterly | $ 449,586 | $ | – 0 | – | $ | 449,586 |
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 2 | $ | (483 | ) | $ | (325 | ) | $ | (158 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2 | (483 | ) | (260 | ) | (223 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 9 | (2,093 | ) | (1,108 | ) | (985 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 11 | (2,415 | ) | (1,321 | ) | (1,094 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 10 | (2,253 | ) | (1,134 | ) | (1,119 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 11 | (2,415 | ) | (1,279 | ) | (1,136 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 15 | (3,380 | ) | (1,790 | ) | (1,590 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 14 | (3,059 | ) | (1,462 | ) | (1,597 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 27 | (6,118 | ) | (2,859 | ) | (3,259 | ) | |||||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 95 | (21,249 | ) | (7,192 | ) | (14,057 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 121 | (27,046 | ) | (9,349 | ) | (17,697 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 150 | (33,645 | ) | (8,363 | ) | (25,282 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 618 | (138,446 | ) | (39,952 | ) | (98,494 | ) | |||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 42 | (9,337 | ) | (4,998 | ) | (4,339 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 95 | (21,411 | ) | (14,606 | ) | (6,805 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 134 | (29,943 | ) | (20,721 | ) | (9,222 | ) | |||||||||||||||||||||
Deutsche Bank AG London |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 320 | (71,638 | ) | (21,451 | ) | (50,187 | ) | |||||||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 29 | (6,440 | ) | (3,430 | ) | (3,010 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 100 | (22,377 | ) | (11,555 | ) | (10,822 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (404,231 | ) | $ | (153,155 | ) | $ | (251,076 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
78 | AB BOND FUNDS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
SHORT DURATION PLUS PORTFOLIO
* | Termination date |
(a) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(b) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $49,212,539 or 14.5% of net assets. |
(c) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(e) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.38% of net assets as of September 30, 2022, 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 | $ | 371,455 | $ | 353,118 | 0.10 | % | |||||||||
GSF | 02/25/2021 | 551,788 | 507,116 | 0.15 | % | |||||||||||
GSF | 02/25/2021 | 18,390 | 16,603 | 0.00 | % | |||||||||||
HFX Funding Issuer | 11/19/2022 | 500,661 | 431,489 | 0.13 | % |
(f) IO – Interest Only.
Currency Abbreviations:
JPY – Japanese Yen
USD – United States Dollar
Glossary:
ABS – Asset-Backed Securities
ARMs – Adjustable Rate Mortgages
CBT – Chicago Board of Trade
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CLO – Collateralized Loan Obligations
CMBS – Commercial Mortgage-Backed Securities
LIBOR – London Interbank Offered Rate
OSE – Osaka Securities Exchange
REIT – Real Estate Investment Trust
REMICs – Real Estate Mortgage Investment Conduits
SOFR – Secured Overnight Financing Rate
See notes to financial statements.
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Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2022
Intermediate Duration Portfolio | Short Duration Plus Portfolio | |||||||
ASSETS |
| |||||||
Investments in securities, at value | $ | 3,240,729,482 | $ | 334,736,180 | ||||
Cash | 35,117,540 | 3,131,562 | ||||||
Cash collateral due from broker | 14,537,252 | 1,442,382 | ||||||
Receivables: |
| |||||||
Interest | 18,761,132 | 1,306,203 | ||||||
Foreign withholding tax reclaims | 18,474 | 1,539 | ||||||
Capital shares sold | 627,427 | 369,198 | ||||||
Variation margin on centrally cleared swaps | 150,250 | 1,292 | ||||||
Unrealized appreciation of forward currency exchange contracts | 1,182,204 | 41,484 | ||||||
|
|
|
| |||||
Total assets | 3,311,123,761 | 341,029,840 | ||||||
|
|
|
| |||||
LIABILITIES |
| |||||||
Payables: |
| |||||||
Dividends to shareholders | 1,271,114 | 205,167 | ||||||
Investment securities purchased | 202,624,346 | – 0 | – | |||||
Capital shares redeemed | 5,625,752 | 559,256 | ||||||
Variation margin on futures | 3,766,092 | 252,397 | ||||||
Management fee | 1,152,405 | 70,989 | ||||||
Shareholder servicing fee | 262,904 | 26,818 | ||||||
Foreign capital gains taxes | 167,436 | 0 | ||||||
Transfer Agent fee | 26,543 | 5,955 | ||||||
Distribution fee | 123 | 3,819 | ||||||
Accrued expenses | 330,637 | 89,593 | ||||||
Market value on credit default swaps(a) | 4,996,454 | 404,231 | ||||||
Unrealized depreciation of forward currency exchange contracts | 348,530 | – 0 | – | |||||
|
|
|
| |||||
Total liabilities | 220,572,336 | 1,618,225 | ||||||
|
|
|
| |||||
Net Assets | $ | 3,090,551,425 | $ | 339,411,615 | ||||
|
|
|
| |||||
Cost of investments | $ | 3,672,940,300 | $ | 345,415,554 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Capital stock, at par | $ | 277,771 | $ | 30,839 | ||||
Additional paid-in capital | 3,670,193,312 | 366,668,538 | ||||||
Accumulated loss | (579,919,658 | ) | (27,287,762 | ) | ||||
|
|
|
| |||||
$ | 3,090,551,425 | $ | 339,411,615 | |||||
|
|
|
|
(a) | Net premiums received of $2,087,586 and $153,155, respectively. |
See Notes to Financial Statements.
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STATEMENT OF ASSETS AND LIABILITIES (continued)
Intermediate Duration Portfolio | Short Duration Plus Portfolio | |||||||
CALCULATION OF MAXIMUM OFFERING PRICE | ||||||||
Intermediate Duration/ Short Duration Plus Class Shares | ||||||||
Net Assets | $ | 3,089,962,053 | $ | 323,935,864 | ||||
Shares of capital stock outstanding | 277,717,642 | 29,433,563 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 11.13 | $ | 11.01 | ||||
|
|
|
| |||||
Class A Shares | ||||||||
Net Assets | $ | 571,536 | $ | 14,182,408 | ||||
Shares of capital stock outstanding | 51,304 | 1,287,886 | ||||||
|
|
|
| |||||
Net asset value and redemption price per share | $ | 11.14 | $ | 11.01 | ||||
Sales charge—4.25% for Intermediate Duration Portfolio and 2.25% for Short Duration Plus Portfolio of public offering price | 0.49 | 0.25 | ||||||
|
|
|
| |||||
Maximum offering price | $ | 11.63 | $ | 11.26 | ||||
|
|
|
| |||||
Class C Shares | ||||||||
Net Assets | $ | 1,293,343 | ||||||
Shares of capital stock outstanding | 117,682 | |||||||
|
| |||||||
Net asset value and offering price per share | $ | 10.99 | ||||||
|
| |||||||
Advisor Class Shares | ||||||||
Net Assets | $ | 9,486 | ||||||
Shares of capital stock outstanding | 852 | |||||||
|
| |||||||
Net asset value and offering price per share | $ | 11.13 | ||||||
|
| |||||||
Class Z Shares | ||||||||
Net Assets | $ | 8,350 | ||||||
Shares of capital stock outstanding | 750 | |||||||
|
| |||||||
Net asset value and offering price per share | $ | 11.13 | ||||||
|
|
See Notes to Financial Statements.
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Table of Contents
STATEMENT OF OPERATIONS
For the year ended September 30, 2022
Intermediate Duration Portfolio | Short Duration Plus Portfolio | |||||||
Investment Income | ||||||||
Interest | $ | 78,561,467 | $ | 3,066,037 | ||||
|
|
|
| |||||
Total income | 78,561,467 | 3,066,037 | ||||||
|
|
|
| |||||
Expenses: | ||||||||
Management fee (see Note 2A) | 15,421,685 | 913,674 | ||||||
Shareholder servicing fee (see Note 2B) | 3,542,155 | 244,478 | ||||||
Custody and accounting fees | 225,262 | 57,828 | ||||||
Transfer Agent fee – Non-Retail Class | 195,083 | 20,575 | ||||||
Transfer Agent fee – Class A | 19,352 | 32,510 | ||||||
Transfer Agent fee – Class C | – 0 | – | 2,103 | |||||
Transfer Agent fee – Advisor Class | 290 | – 0 | – | |||||
Transfer Agent fee – Class Z | 21 | – 0 | – | |||||
Distribution fees – Class A | 1,866 | 38,992 | ||||||
Distribution fees – Class C | – 0 | – | 9,750 | |||||
Directors’ fees and expenses | 153,018 | 11,088 | ||||||
Auditing and tax fees | 128,390 | 22,069 | ||||||
Registration fees | 75,278 | 72,903 | ||||||
Legal fees | 124,669 | 9,802 | ||||||
Printing fees | 38,856 | 35,755 | ||||||
Miscellaneous | 127,705 | 13,313 | ||||||
|
|
|
| |||||
Total expenses | 20,053,630 | 1,484,840 | ||||||
Less: expenses waived and reimbursed by the Adviser (see Note 2A, 2B and 2D) | (35,166 | ) | (269,409 | ) | ||||
|
|
|
| |||||
Net expenses | 20,018,464 | 1,215,431 | ||||||
|
|
|
| |||||
Net investment income | 58,543,003 | 1,850,606 | ||||||
|
|
|
|
See Notes to Financial Statements.
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STATEMENT OF OPERATIONS (continued)
Intermediate Duration Portfolio | Short Duration Plus Portfolio | |||||||
Realized and Unrealized Gain (Loss) on Investment and Foreign Currency Transactions | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions | $ | (72,194,840 | ) | $ | (1,042,617 | ) | ||
Forward currency exchange contracts | 4,042,569 | (18,611 | ) | |||||
Futures | (63,109,506 | ) | (4,006,559 | ) | ||||
Swaps | (4,326,286 | ) | (282,365 | ) | ||||
Foreign currency transactions | 3,760,585 | 54,357 | ||||||
|
|
|
| |||||
Net realized loss on investment and foreign currency transactions | (131,827,478 | ) | (5,295,795 | ) | ||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation of: | ||||||||
Investments(a) | (511,298,527 | ) | (10,679,088 | ) | ||||
Forward currency exchange contracts | 929,448 | 41,484 | ||||||
Futures | (9,164,905 | ) | (1,178,470 | ) | ||||
Swaps | 18,168,953 | 1,194,433 | ||||||
Foreign currency denominated assets and liabilities | (84,711 | ) | (7,186 | ) | ||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (501,449,742 | ) | (10,628,827 | ) | ||||
|
|
|
| |||||
Net realized and unrealized loss on investment and foreign currency transactions | (633,277,220 | ) | (15,924,622 | ) | ||||
|
|
|
| |||||
Net Decrease in Net Assets Resulting from Operations | $ | (574,734,217 | ) | $ | (14,074,016 | ) | ||
|
|
|
|
(a) | Net of increase in accrued foreign capital gains taxes on unrealized gains of $2,884 and $0, respectively. |
See Notes to Financial Statements.
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Table of Contents
STATEMENT OF CHANGES IN NET ASSETS
Intermediate Duration Portfolio | ||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 58,543,003 | $ | 68,989,470 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (131,827,478 | ) | 28,777,985 | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities and other assets and liabilities | (501,449,742 | ) | (106,481,497 | ) | ||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | (574,734,217 | ) | (8,714,042 | ) | ||||
|
|
|
| |||||
Distributions to shareholders | ||||||||
Intermediate Duration Portfolio | (96,507,904 | ) | (136,374,393 | ) | ||||
Class A | (16,803 | ) | (34,295 | ) | ||||
Advisor Class | (279 | ) | (353 | ) | ||||
Class Z | (255 | ) | (364 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (96,525,241 | ) | (136,409,405 | ) | ||||
|
|
|
| |||||
Capital-share transactions: |
| |||||||
Net proceeds from sales of shares | 395,517,888 | 767,794,097 | ||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions | 80,772,362 | 120,165,390 | ||||||
|
|
|
| |||||
Total proceeds from shares sold | 476,290,250 | 887,959,487 | ||||||
Cost of shares redeemed | (561,976,742 | ) | (592,989,249 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital-share transactions | (85,686,492 | ) | 294,970,238 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (756,945,950 | ) | 149,846,791 | |||||
Net Assets: |
| |||||||
Beginning of period | 3,847,497,375 | 3,697,650,584 | ||||||
|
|
|
| |||||
End of period | $ | 3,090,551,425 | $ | 3,847,497,375 | ||||
|
|
|
|
See Notes to Financial Statements.
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Table of Contents
STATEMENT OF CHANGES IN NET ASSETS (continued)
Short Duration Plus Portfolio | ||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 1,850,606 | $ | 2,314,228 | ||||
Net realized gain (loss) on investment and foreign currency transactions | (5,295,795 | ) | (990,257 | ) | ||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities and other assets and liabilities | (10,628,827 | ) | (1,490,852 | ) | ||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | (14,074,016 | ) | (166,881 | ) | ||||
|
|
|
| |||||
Distributions to shareholders | ||||||||
Short Duration Plus Class | (1,792,732 | ) | (2,283,865 | ) | ||||
Class A | (36,975 | ) | (71,620 | ) | ||||
Class C | (2,012 | ) | (6,023 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (1,831,719 | ) | (2,361,508 | ) | ||||
|
|
|
| |||||
Capital-share transactions: |
| |||||||
Net proceeds from sales of shares | 191,978,729 | 94,214,859 | ||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends | 1,347,261 | 2,099,953 | ||||||
|
|
|
| |||||
Total proceeds from shares sold | 193,325,990 | 96,314,812 | ||||||
Cost of shares redeemed | (100,109,377 | ) | (77,580,243 | ) | ||||
|
|
|
| |||||
Net increase in net assets from capital-share transactions | 93,216,613 | 18,734,569 | ||||||
|
|
|
| |||||
Net increase in net assets | 77,310,878 | 16,206,180 | ||||||
Net Assets: |
| |||||||
Beginning of period | 262,100,737 | 245,894,557 | ||||||
|
|
|
| |||||
End of period | $ | 339,411,615 | $ | 262,100,737 | ||||
|
|
|
|
See Notes to Financial Statements.
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Table of Contents
NOTES TO FINANCIAL STATEMENTS
September 30, 2022
NOTE 1.
Organization and Significant Accounting Policies
The AB Intermediate Duration Class A, Advisor Class and Class Z shares and the AB Short Duration Plus Class A and C shares are (collectively, the “Bond Fund Retail Classes”) shares of Intermediate Duration Portfolio and Short Duration Plus Portfolio (the “Portfolios”) of the Sanford C. Bernstein Fund, Inc. (the “Fund”). The Fund is registered under the Investment Company Act of 1940 as an open-end registered investment company. The Fund, which is a Maryland corporation, operates as a series company currently comprised of 13 series each with its own investment objective. Class B, Class R and Class T shares of Short Duration Plus Portfolio have been authorized but currently are not offered. 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%. Effective March 7, 2022, the maximum sales charge for purchases of the Short Duration Plus Portfolio’s Class A shares is reduced from 4.25% to 2.25% and purchases in amounts of $500,000 or more, or by certain group retirement plans, may be subject to a 1%, 18-month contingent deferred sales charge, which may be subject to waiver in certain circumstances. Prior to March 7, 2022, purchases of the Short Duration Plus Portfolio’s Class A shares in amounts of $1,000,000 or more, or by certain group retirement plans, may be subject to a 1%, 1-year contingent deferred sales charge, which may be subject to waiver in certain circumstances.
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. Effective May 31, 2021, Class C shares automatically convert to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted to Class A shares 10 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. These financial statements include only the Bond Fund Retail Classes. The financial highlights of the Intermediate Duration Class and Short Duration Plus Class shares are presented in a separate financial report. All 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
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Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
financial statements and amounts of income and expenses during the reporting period. Actual results could differ from those estimates. Each Portfolio 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 Portfolios.
A. Portfolio Valuation
Portfolio securities are valued at market value determined on the basis of market quotations or, if market quotations are not readily available or are unreliable, at “fair value” as determined in accordance with procedures approved by and under the oversight of the Portfolios’ Board of Directors (the “Board”). Pursuant to these procedures, AllianceBernstein L.P. (the “Adviser”) serves as the Portfolios’ valuation designee pursuant to Rule 2a-5 of the 1940 Act. In this capacity, the Adviser is responsible, among other things, for making all fair value determinations relating to the Portfolios’ portfolio investments, subject to the Board’s oversight.
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 reasonably conclude that the utilization of amortized cost is approximately the same as the fair value of the security. Factors the Committee will
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Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
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 Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their 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 Portfolios generally value many of their foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
B. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolios 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 1.A 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 Portfolios. Unobservable inputs reflect the Portfolios’ 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
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NOTES TO FINANCIAL STATEMENTS (continued)
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 Portfolios’ 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.
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: the value of 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
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Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
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 tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of September 30, 2022:
Intermediate Duration Portfolio | ||||||||||||||||
Investments In Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 1,236,707,238 | $ | – 0 | – | $ | 1,236,707,238 | ||||||
Corporates – Investment Grade | – 0 | – | 693,778,472 | – 0 | – | 693,778,472 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 519,260,321 | – 0 | – | 519,260,321 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 238,878,783 | – 0 | – | 238,878,783 | ||||||||||
Asset-Backed Securities | – 0 | – | 157,349,601 | – 0 | – | 157,349,601 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 99,335,649 | 12,375,548 | 111,711,197 | |||||||||||
Collateralized Loan Obligations | – 0 | – | 84,321,764 | – 0 | – | 84,321,764 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 59,087,252 | – 0 | – | 59,087,252 | ||||||||||
Local Governments – US Municipal Bonds | – 0 | – | 27,798,967 | – 0 | – | 27,798,967 | ||||||||||
Emerging Markets – Corporate Bonds | – 0 | – | 13,087,972 | – 0 | – | 13,087,972 | ||||||||||
Common Stocks | – 0 | – | – 0 | – | 9,135,974 | 9,135,974 | ||||||||||
Quasi-Sovereigns | – 0 | – | 8,731,334 | – 0 | – | 8,731,334 | ||||||||||
Emerging Markets – Sovereigns | – 0 | – | 8,662,214 | – 0 | – | 8,662,214 | ||||||||||
Agencies | – 0 | – | 6,019,761 | – 0 | – | 6,019,761 | ||||||||||
Governments – Sovereign Bonds | – 0 | – | 1,727,904 | – 0 | – | 1,727,904 | ||||||||||
Short-Term Investments | – 0 | – | 64,470,728 | – 0 | – | 64,470,728 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 3,219,217,960 | 21,511,522 | 3,240,729,482 | |||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 924,469 | – 0 | – | – 0 | – | 924,469 | (b) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 1,182,204 | – 0 | – | 1,182,204 | ||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | 774,860 | – 0 | – | 774,860 | (b) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 2,464,228 | – 0 | – | 2,464,228 | (b) | |||||||||
Liabilities: | ||||||||||||||||
Futures | (13,990,539 | ) | – 0 | – | – 0 | – | (13,990,539 | )(b) | ||||||||
Forward Currency Exchange Contracts | – 0 | – | (348,530 | ) | – 0 | – | (348,530 | ) | ||||||||
Credit Default Swaps | – 0 | – | (4,996,454 | ) | – 0 | – | (4,996,454 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (13,066,070 | ) | $ | 3,218,294,268 | $ | 21,511,522 | $ | 3,226,739,720 | |||||||
|
|
|
|
|
|
|
|
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Short Duration Plus Portfolio | ||||||||||||||||
Investments In Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Governments – Treasuries | $ | – 0 | – | $ | 232,493,720 | $ | – 0 | – | $ | 232,493,720 | ||||||
Corporates – Investment Grade | – 0 | – | 27,080,280 | – 0 | – | 27,080,280 | ||||||||||
Asset-Backed Securities | – 0 | – | 18,366,340 | – 0 | – | 18,366,340 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 14,129,884 | – 0 | – | 14,129,884 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | ��– | 6,695,729 | 876,837 | 7,572,566 | |||||||||||
Collateralized Loan Obligations | – 0 | – | 4,780,166 | – 0 | – | 4,780,166 | ||||||||||
Agencies | – 0 | – | 3,898,491 | – 0 | – | 3,898,491 | ||||||||||
Mortgage Pass-Throughs | – 0 | – | 1,606,371 | – 0 | – | 1,606,371 | ||||||||||
Local Governments – US Municipal Bonds | – 0 | – | 863,281 | – 0 | – | 863,281 | ||||||||||
Short-Term Investments: | ||||||||||||||||
U.S. Treasury Bills | – 0 | – | 17,165,600 | – 0 | – | 17,165,600 | ||||||||||
Governments – Treasuries | – 0 | – | 6,779,481 | – 0 | – | 6,779,481 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 333,859,343 | 876,837 | 334,736,180 | |||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: | ||||||||||||||||
Futures | 93,719 | – 0 | – | – 0 | – | 93,719 | (b) | |||||||||
Forward Currency Exchange Contracts | – 0 | – | 41,484 | – 0 | – | 41,484 | ||||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 449,586 | – 0 | – | 449,586 | (b) | |||||||||
Liabilities: | ||||||||||||||||
Futures | (1,314,713 | ) | – 0 | – | – 0 | – | (1,314,713 | )(b) | ||||||||
Credit Default Swaps | – 0 | – | (404,231 | ) | – 0 | – | (404,231 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (1,220,994 | ) | $ | 333,946,182 | $ | 876,837 | $ | 333,602,025 | |||||||
|
|
|
|
|
|
|
|
(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 schedule of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
C. Foreign Currency Translation
The accounting records of the Portfolios are maintained in U.S. dollars. Prices of securities and other assets and liabilities denominated in non-U.S. currencies are translated into U.S. dollars using the exchange rate at 4:00 p.m., Eastern Time. Amounts related to the purchases and sales of securities, investment income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
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Net realized gain or loss on foreign currency transactions represents net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amount actually received or paid. Net unrealized currency gains and losses arising from valuing foreign currency denominated assets and liabilities, other than security investments, at the current exchange rate are reflected as part of unrealized appreciation/depreciation on foreign currencies.
The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at period end. The Portfolios do isolate the effect of changes in foreign exchange rates from changes in market prices of securities sold during the year, as required by the Internal Revenue Code.
The Portfolios may invest in foreign securities and foreign currency transactions that may involve risks not associated with domestic investments as a result of the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability, among others.
D. Taxes
Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, each Portfolio will not be subject to federal and state income taxes to the extent that all of its income is distributed. The Portfolios may be subject to taxes imposed by countries in which they invest. 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 based on management’s understanding of applicable local tax law.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolios’ 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 Portfolios’ financial statements. As of September 30, 2022, the Portfolios did not have any unrecognized tax benefits.
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E. Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as the Portfolios are informed of the dividend. Non-cash dividends, if any, are recorded on the ex-dividend date at the fair value of the securities received. The Portfolios amortize premiums and accrete discounts as adjustments to interest income. The Portfolio 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.
F. Securities Transactions on a When-Issued or Delayed-Delivery Basis
Each Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time a Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time a Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.
G. Class Allocations
All income earned and expenses incurred by the Portfolios are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in each Portfolio represented by the shares of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each Portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
H. Distribution of Income and Gains
Net investment income of each Portfolio is declared and recorded as a dividend to shareholders daily and is payable to shareholders monthly. Distributions of net realized gains, less any available loss carryforwards, if any, will be paid to shareholders at least once a year, and recorded on the ex-dividend date.
Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded
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for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.
Permanent differences have no effect on net assets. The effects of such permanent differences on each Portfolio, due to the utilization of earnings and profits distributed to shareholders on redemption of shares and distribution in excess of income which are reflected as adjustments to the components of net assets as of September 30, 2022, as shown below:
Portfolio | Increase (Decrease) to Additional Paid-In Capital | Increase (Decrease) to Distributable Earnings/ Accumulated Loss | ||||||
Intermediate Duration Portfolio | $ | (421,249 | ) | $ | 421,249 | |||
Short Duration Plus Portfolio | – 0 | – | – 0 | – |
NOTE 2.
Investment Management and Transactions with Affiliated Persons
A. Management Fee
Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of each Portfolio’s assets, places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.
The Portfolios pay the Adviser an investment management fee, based on an annual rate, for such services as follows:
Annual Percentage of Average Daily Net Assets of Each Portfolio | ||||||||||||||||
Portfolio | First $2.5 Billion | Next $2.5 Billion | Next $3 Billion | Thereafter | ||||||||||||
Intermediate Duration | 0.450 | % | 0.400 | % | 0.350 | % | 0.300 | % |
First $750 Million | Thereafter | |||||||
Short Duration Plus | 0.350 | % | 0.300 | % |
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Effective January 28, 2021, the Adviser has agreed to waive its fees and bear certain expenses of the Intermediate Duration Portfolio to the extent necessary to limit the total other expenses (exclusive of advisory fees, distribution and/or service (Rule 12b-1) fees, extraordinary expenses, interest expense, acquired fund fees and expenses other than the advisory fees of any affiliated funds in which the Portfolio may invest, expenses associated with securities sold short, and brokerage commission and other transaction costs) to 0.22%, 0.22% and 0.13% for Class A, Advisor Class and Class Z shares, respectively. For the year ended September 30, 2022, such reimbursements/waivers amounted to $35,166. The Expense Caps may not be terminated by the Adviser before January 28, 2023.
B. Transfer Agency Agreement; Shareholder Servicing Fee
Under a Transfer Agency Agreement between the Fund, on behalf of the Bond Fund Retail Classes, and AllianceBernstein Investor Services, Inc. (“ABIS”), the Bond Fund Retail Classes compensate ABIS, a wholly-owned subsidiary of the Adviser, for providing personnel and facilities to perform transfer agency services. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. For the year ended September 30, 2022, the compensation retained by ABIS amounted to: Intermediate Duration Portfolio, $17,985 and Short Duration Plus Portfolio, $17,723. With respect to the Short Duration Plus Portfolio, for the year ended September 30, 2022, ABIS voluntarily agreed to waive a portion of transfer agency fees in the amounts of $976 and $85 for Class A Shares and Class C Shares, respectively.
Under the Shareholder Servicing Agreement between the Fund and the Adviser, the Adviser pays expenses it incurs in providing shareholder services to individual shareholders of the Portfolios (except the Retail Classes). Such services include, but are not limited to, providing information to shareholders concerning their fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. This agreement applies only to the Intermediate Duration and Short Duration Plus Class shares of the Portfolios. Under the agreement, the fee paid by the Intermediate Duration and Short Duration Plus Class shares to the Adviser for services under this agreement is at an annual rate of .10% of the average daily net assets of the Portfolios attributable to the respective class during the month. Effective November 13, 2020, the Adviser voluntarily agreed to waive the
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shareholder servicing fee of 0.10 of 1%, annualized, of the average daily net assets attributable to the Bernstein Class of the Short Duration Plus Portfolio. For the year ended September 30, 2022, such waiver amounted to $244,478.
C. Distribution Arrangements—Intermediate Duration and Short Duration Plus Class Shares
Under the Distribution Agreement between the Fund, on behalf of the Intermediate Duration and Short Duration Plus Class Shares of the Portfolios and Sanford C. Bernstein & Co., LLC (the “Distributor”), the Distributor agrees to act as agent to sell Intermediate Duration and Short Duration Plus Class shares of the Portfolios. This agreement does not apply to the Bond Fund Retail Classes of the Portfolios. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.
D. Distribution Arrangements—Bond Fund Retail Classes
The Retail Classes of the Portfolios have adopted a Distribution Services Agreement (the “Agreement”), including a distribution plan pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, each such class pays distribution services fees to AllianceBernstein Investments, Inc., (the “Retail Distributor”), a wholly owned subsidiary of the Adviser, at an annual rate of up to .30 of 1% of the Class A Shares and 1% of the Class C Shares of the respective average daily net assets attributable to the Bond Fund Retail Classes. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of .25 of 1% of Class A shares’ average daily net assets attributable to the Bond Fund Retail Classes. With respect to the Short Duration Plus Portfolio, the Retail Distributor voluntarily agreed to waive .55 of 1% to limit distribution service fees to .45 of 1% of the average daily net assets attributable to the Class C Shares of Short Duration Plus Portfolio. For the year ended September 30, 2022, such waivers amounted to $5,364. With respect to the Short Duration Plus Portfolio, for the year ended September 30, 2022, the Retail Distributor voluntarily agreed to waive additional distribution service fees in the amounts of $16,186 and $2,320 for Class A Shares and C Shares, respectively. The Agreement provides that the Retail Distributor will use such payments in their entirety for distribution assistance and promotional activities. Since the commencement of the Portfolios’ operations, the Retail Distributor has incurred expenses in excess of the distribution costs reimbursed by as follows:
Portfolio | Class C | |||
Short Duration Plus | $ | 1,035,786 |
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There are no distribution and servicing fees on the Advisor Class and Class Z Shares.
While such costs may be recovered from each Portfolio 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 Retail 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 each Portfolio’s shares.
E. Other Transactions with Affiliates
The Retail Distributor has advised the Fund that it has retained front-end sales charges from sales of Class A shares and received contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares for the year ended September 30, 2022, as follows:
Front-End Sales Charges | Contingent Deferred Sales Charges | |||||||||||
Portfolio | Class A | Class A | Class C | |||||||||
Intermediate Duration | $ | 20 | $ | 0 | N/A | |||||||
Short Duration Plus | 486 | 4,364 | $ | 122 |
NOTE 3.
Investment Security Transactions
A. Purchases and Sales
Purchases and sales of investment securities (excluding short-term investments) for the year ended September 30, 2022, were as follows:
Portfolio | Purchases U.S. Securities | Purchases of U.S. Securities | Sales Excluding U.S. Securities | Sales of U.S. Securities | ||||||||||||
Intermediate Duration | $ | 613,060,255 | $ | 3,965,910,259 | $ | 782,410,252 | $ | 3,540,230,958 | ||||||||
Short Duration Plus | 39,090,097 | 181,713,533 | 25,124,668 | 92,580,188 |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
Gross Unrealized | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | |||||||||||||
Intermediate Duration | $ | 3,675,642,378 | $ | 12,204,774 | $ | (441,948,401 | ) | $ | (429,743,627 | ) | ||||||
Short Duration Plus | 345,417,082 | 912,439 | (10,938,177 | ) | (10,025,738 | ) |
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B. Derivative Financial Instruments
Each Portfolio 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 Portfolios, as well as the methods in which they may be used are:
• | Futures |
Each Portfolio 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 Portfolio 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 Portfolios 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 a Portfolio enters into futures, a Portfolio 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 Portfolio 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 Portfolio 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 Portfolio 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.
During the year ended September 30, 2022, the Portfolios held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
Each Portfolio may enter into forward currency exchange contracts on either a spot (i.e., cash) or forward basis. Spot contracts are entered into at the rate then prevailing in the currency-exchange market.
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Forward currency exchange contracts obligate the contracting parties to purchase or sell a specific currency at a specified future date at a specified price. The Portfolios will generally not enter into a forward currency exchange contract with a term greater than one year. 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 foreign currency transactions. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. 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.
Forward currency exchange contracts used to protect the Portfolios from adverse currency movements involve the risk that the Adviser may not accurately predict currency movements. As a result, total return could be adversely affected. The Adviser 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 Adviser may enter into foreign currency transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value.
During the year ended September 30, 2022, the Portfolios held forward currency exchange contracts for hedging and non-hedging purposes.
• | Swaps |
Each Portfolio may enter into swaps to hedge its exposure to interest rates, credit risk, equity markets or currencies. Each Portfolio 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 Portfolios in accordance with the terms of the respective swaps to provide value and recourse to the Portfolios or their counterparties in the event of default, bankruptcy or insolvency by one of the parties to the swap.
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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 Portfolio, and/or the termination value at the end of the contract. Therefore, the Portfolio 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 Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolios’ exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolio 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 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 Portfolios enter into a centrally cleared swap, the Portfolio 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 Portfolios agree 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 Portfolios as unrealized gains or losses. Risks may arise from the potential inability of a counterparty to meet the terms of the
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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 Portfolios record 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 Portfolios are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Portfolios hold 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 Portfolios may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Portfolios 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, a Portfolio 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 Portfolios anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Portfolio 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 Portfolio receiving or paying, as the case may be, only the net amount of the two payments).
During the year ended September 30, 2022, the Portfolios 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 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 Portfolio 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.
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During the year ended September 30, 2022, the Portfolios held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
Each Portfolio 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 Portfolio, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Portfolio 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 Portfolio receives/(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolio 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 Portfolio for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Portfolio 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 Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio 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 Portfolio.
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 market’s assessment of the likelihood of default by the issuer of the referenced obligation. The implied credit spread of a particular reference
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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 year ended September 30, 2022, the Portfolios held credit default swaps for hedging and non-hedging purposes.
The Portfolios typically enter 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 Portfolios 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 Portfolios’ net liability, held by the defaulting party, may be delayed or denied.
The Portfolios’ ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of the Portfolios decline below specific levels (“net asset contingent features”). If these levels are triggered, the Portfolios’ OTC counterparty has the right to terminate such transaction and require the Portfolios 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 tables below for additional details.
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During the year ended September 30, 2022, the Portfolios had entered into the following derivatives:
Intermediate Duration Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 924,469 | * | Receivable/Payable for variation margin on futures | $ | 13,990,539 | * | ||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | 1,098 | * | |||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | 2,464,228 | * | |||||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 1,182,204 | Unrealized depreciation on forward currency exchange contracts | 348,530 | ||||||||
Credit contracts | Market value on credit default swaps | 4,996,454 | ||||||||||
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|
| |||||||||
Total | $ | 4,570,901 | $ | 19,336,621 | ||||||||
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|
|
* | 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 schedule 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 | $ | (63,109,506 | ) | $ | (9,164,905 | ) | |||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 4,042,569 | 929,448 |
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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 | $ | (1,054,349 | ) | $ | 4,243,757 | ||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (3,271,937 | ) | 13,925,196 | ||||||
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| |||||||
Total | $ | (63,393,223 | ) | $ | 9,933,496 | |||||
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Short Duration Plus Portfolio | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Derivative Type | Statement of | Fair Value | Statement of | Fair Value | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 93,719 | * | Receivable/Payable for variation margin on futures | $ | 1,314,713 | * | ||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | 449,586 | * | |||||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 41,484 | ||||||||||
Credit contracts | Market value on credit default swaps | 404,231 | ||||||||||
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| |||||||||
Total | $ | 584,789 | $ | 1,718,944 | ||||||||
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|
* | 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 schedule of investments. |
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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 | $ | (4,006,559 | ) | $ | (1,178,470 | ) | |||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (18,611 | ) | 41,484 | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (43,907 | ) | 490,129 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (238,458 | ) | 704,304 | ||||||
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Total | $ | (4,307,535 | ) | $ | 57,447 | |||||
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Intermediate Duration Portfolio | ||||
Futures: | ||||
Average notional amount of buy contracts | $ | 586,231,048 | ||
Average notional amount of sale contracts | $ | 189,101,072 | (a) | |
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 74,841,295 | (b) | |
Average principal amount of sale contracts | $ | 199,432,974 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 74,383,188 | ||
Centrally Cleared Inflation Swaps: | ||||
Average notional amount | $ | 105,735,000 | (a) | |
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 83,709,167 | (a) | |
Average notional amount of sale contracts | $ | 48,810,916 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 46,346,414 | (c) |
(a) | Positions were open for five months during the year. |
(b) | Positions were open for ten months during the year. |
(c) | Positions were open for nine months during the year. |
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Short Duration Plus Portfolio | ||||
Futures: | ||||
Average notional amount of buy contracts | $ | 98,051,677 | ||
Average notional amount of sale contracts | $ | 13,136,221 | ||
Forward Currency Exchange Contracts: | ||||
Average principal amount of buy contracts | $ | 5,678,729 | (a) | |
Average principal amount of sale contracts | $ | 6,157,895 | (b) | |
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 2,830,000 | ||
Centrally Cleared Inflation Swaps: | ||||
Average notional amount | $ | 10,890,000 | (c) | |
Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 5,098,833 | (d) | |
Average notional amount of sale contracts | $ | 2,443,287 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 1,196,430 | (d) |
(a) | Positions were open for one month during the year. |
(b) | Positions were open for seven months during the year. |
(c) | Positions were open for two months during the year. |
(d) | Positions were open for five months during the year. |
For financial reporting purposes, the Portfolios do 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 tables present the Portfolios’ 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 Portfolios as of September 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.
Intermediate Duration Portfolio | ||||||||||||||||||||
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. | $ | 1,182,022 | $ | (840,013 | ) | $ | – 0 | – | $ | – 0 | – | $ | 342,009 | |||||||
State Street Bank & Trust Co. | 182 | – 0 | – | – 0 | – | – 0 | – | 182 | ||||||||||||
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Total | $ | 1,182,204 | $ | (840,013 | ) | $ | – 0 | – | $ | – 0 | – | $ | 342,191 | ^ | ||||||
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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 | $ | 348,530 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 348,530 | |||||||
Citibank, NA/Citigroup Global Markets, Inc. | 840,013 | (840,013 | ) | – 0 | – | – 0 | – | – 0 | – | |||||||||||
Credit Suisse International | 855,145 | – 0 | – | – 0 | – | (829,653 | ) | 25,492 | ||||||||||||
Goldman Sachs International | 2,675,391 | – 0 | – | – 0 | – | (2,632,950 | ) | 42,441 | ||||||||||||
JPMorgan Securities, LLC | 304,421 | – 0 | – | (304,421 | ) | – 0 | – | – 0 | – | |||||||||||
Morgan Stanley Capital Services LLC | 321,484 | – 0 | – | – 0 | – | (321,484 | ) | – 0 | – | |||||||||||
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| |||||||||||
Total | $ | 5,344,984 | $ | (840,013 | ) | $ | (304,421 | ) | $ | (3,784,087 | ) | $ | 416,463 | ^ | ||||||
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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. |
Short Duration Plus Portfolio | ||||||||||||||||||||
Counterparty | Derivative Assets Subject to a MA | Derivatives Available for Offset | Cash Collateral Received* | Security Collateral Received* | Net Amount of Derivative Assets | |||||||||||||||
Bank of America, NA | $ | 41,164 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 41,164 | |||||||
State Street Bank & Trust Co. | 320 | – 0 | – | – 0 | – | – 0 | – | 320 | ||||||||||||
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Total | $ | 41,484 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 41,484 | ^ | ||||||
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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 | |||||||||||||||
Citigroup Global Markets, Inc. | $ | 22,699 | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | $ | 22,699 | |||||||
Credit Suisse International | 220,386 | – 0 | – | – 0 | – | (220,386 | ) | – 0 | – | |||||||||||
Deutsche Bank AG | 71,638 | – 0 | – | (71,638 | ) | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs International | 60,691 | – 0 | – | – 0 | – | – 0 | – | 60,691 | ||||||||||||
JPMorgan Securities, LLC | 28,817 | – 0 | – | – 0 | – | – 0 | – | 28,817 | ||||||||||||
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Total | $ | 404,231 | $ | �� 0 | – | $ | (71,638 | ) | $ | (220,386 | ) | $ | 112,207 | ^ | ||||||
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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. |
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C. Currency Transactions
The Portfolios may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolios 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 Portfolios 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 Portfolios 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 Portfolios 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).
D. TBA and Dollar Rolls
The Portfolios 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 Intermediate Duration may enter into certain TBA transactions known as dollar rolls. Dollar rolls involve sales by the Portfolio of securities for delivery in the current month and the Portfolios’ simultaneously contracting to repurchase substantially similar (same type and coupon) securities on a specified future date. During the roll period, the Portfolios forgo principal and interest paid on the securities. The Portfolios are 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 Portfolio is obligated to repurchase under the agreement may decline below the repurchase price. Dollar rolls are speculative techniques. For the year ended September 30, 2022, the Intermediate Duration Portfolio earned drop income of $3,305,460 which is included in interest income in the accompanying statement of operations.
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NOTE 4.
Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended September 30, 2022 and September 30, 2021 were as follows:
Intermediate Duration | 2022 | 2021 | ||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 59,305,742 | $ | 90,958,859 | ||||
Long-term capital gains | 37,219,499 | 45,450,546 | ||||||
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| |||||
Total distributions paid | $ | 96,525,241 | $ | 136,409,405 | ||||
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Short Duration Plus | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 1,831,719 | $ | 2,361,508 | ||||
Long-term capital gains | – 0 | – | – 0 | – | ||||
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| |||||
Total distributions paid | $ | 1,831,719 | $ | 2,361,508 | ||||
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|
|
As of September 30, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term | Accumulated Capital and | Unrealized Appreciation/ (Depreciation)(b) | Total Accumulated Earnings/ (Deficit)(c) | |||||||||||||||
Intermediate Duration | $ | – 0 | – | $ | –0 | – | $ | (148,662,338 | ) | $ | (429,818,769 | ) | $ | (578,481,107 | ) | |||||
Short Duration Plus | 141,322 | – 0 | – | (17,190,991 | ) | (10,032,924 | ) | (27,082,593 | ) |
(a) | As of September 30, 2022, Intermediate Duration Portfolio had capital loss carryforwards for federal income tax purposes. As of September 30, 2022, Intermediate Duration Portfolio deferred $148,662,338 in post-October losses. These losses will be treated as arising on October 1, 2022. As of September 30, 2022 Short Duration Plus Portfolio deferred $1,192 in straddle losses. |
(b) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps and passive foreign investment companies (PFICs), the tax treatment of callable bonds, and the realization for tax purposes of gains/losses on certain derivative instruments. |
(c) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the tax treatment of the accrual of foreign capital gains tax, and dividends payable to shareholders. |
Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
For tax purposes, net 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.
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As of September 30, 2022, the following Portfolios had net capital loss carryforwards as follows:
Portfolio | Short-Term Amount | Long-Term Amount | ||||||
Intermediate Duration | $ | – 0 | – | $ | – 0 | – | ||
Short Duration Plus | 5,479,273 | 11,710,526 |
NOTE 5.
Risks Involved in Investing in the Portfolios
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 Portfolios may be subject to greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential government fiscal and monetary policy initiatives and resulting market reaction to those initiatives.
Credit Risk—This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially 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. 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, making credit risk greater for medium-quality and lower-rated debt securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative credit risks. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell.
Duration Risk—The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest-rate risk and will decrease in price as interest rates rise. Securities that have final maturities
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longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.
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 Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities. Rates of inflation have recently risen, which could adversely affect economies and markets.
Inflation-Protected Securities Risk—The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, there can be no assurance that the relevant inflation index will accurately measure the rate of inflation, in which case the securities may not work as intended. These securities may be more difficult to trade or dispose of than other types of securities.
Foreign (Non-U.S.) Securities Risk—Investments in foreign securities entail significant risks in addition to those customarily associated with investing in U.S. securities , such as less liquid, less transparent, less regulated and more volatile markets. These risks include risks related to unfavorable or unsuccessful government actions, reduction of government or central bank support, inadequate accounting standards and auditing and financial recordkeeping requirements, lack of information, and adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.
Emerging-Markets Securities Risk—The risks of investing in foreign (non-U.S.) securities are heightened with respect to issuers in emerging-market countries because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty, and these risks are even more pronounced in “frontier” markets, which are investable markets with lower total market capitalization and liquidity than the more developed emerging markets. Emerging markets typically have fewer medical and economic resources than more developed countries, and thus they may be less able to control or mitigate the effects of a pandemic. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.
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Derivatives Risk—The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolios. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying asset or index, and such differences may affect the amount, timing and character of income distributed to shareholders. The U.S. government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives as well as additional regulations governing, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Mortgage-Related and Asset-Related Securities Risk—Mortgage- and asset-related securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-related securities are subject to credit, interest-rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities. Asset-related securities entail certain risks not presented by mortgage-backed securities, including the risk that it may be difficult to perfect the liens securing any collateral backing certain asset-backed securities.
Prepayment and Extension Risk—Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not
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benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.
Subordination Risk—The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.
Management Risk—The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives and other investment techniques may be unavailable, or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. 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. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.
Illiquid Investments Risk—Illiquid investments risk exists when particular investments are difficult or impossible to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Illiquid investments risk may be magnified in a rising interest-rate environment, where the value and liquidity of fixed-income securities generally go down. Illiquid securities may also be difficult to value. If the Portfolios are forced to sell an illiquid asset to meet
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redemption requests or other cash needs, or to try to limit losses, the Portfolios may be forced to sell at a substantial loss or may not be able to sell at all.
Redemption Risk—The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value, or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
Foreign Currency Risk—This is the risk that changes in foreign (non-U.S.) currency exchange rates may negatively affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the U.S. Dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the U.S. Dollar).
Actions by a Few Major Investors—In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local securities prices and, therefore, share prices of the Portfolios.
Market Risk—The Portfolios are subject to market risk, which is the risk that stock or bond prices in general or in particular countries or sectors may decline over short or extended periods. Stock or bond prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest-rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; public health crises (including the occurrence of a contagious disease or illness); policy and legislative changes; cybersecurity events; and other factors.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, sanctions, regional and global conflicts, terrorism, natural disasters (including the spread of infectious illness) and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
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Lower-rated Securities Risk—Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.
Riskier than a Money-Market Fund—Although the Short Duration Plus Portfolio maintains a short overall duration, it invests in securities with longer maturities and in some cases lower quality than the assets of the type of mutual fund known as a money-market fund. The risk of a decline in the market value of the Portfolio is greater than for a money-market fund since the credit quality of the Portfolio’s securities may be lower and the effective duration of the Portfolio will be longer.
LIBOR Transition and Associated Risk—The Portfolios may be exposed to 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. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. Dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. Since 2018 the Federal Reserve Bank of New York has published the secured overnight funding rate (referred to as SOFR), which is intended to replace U.S. Dollar LIBOR. SOFR is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the repurchase agreement (repo) market and has been used increasingly on a voluntary basis in new instruments and transactions. In addition, on March 15, 2022, the Adjustable Interest Rate Act was signed into law. This law provides a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on SOFR for certain contracts that reference LIBOR without adequate fallback provisions.
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
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or payments linked to those reference rates, which may adversely affect the Portfolios’ 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 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 the Portfolios’ 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. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known.
Cybersecurity Risk—As the use of the internet and other technologies has become more prevalent in the course of business, the Portfolios have become more susceptible to operational and financial risks associated with cybersecurity. Cybersecurity incidents can result from deliberate attacks such as gaining unauthorized access to digital systems (e.g., through “hacking” or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption, or from unintentional events, such as the inadvertent release of confidential information. Cybersecurity failures or breaches of the Portfolios or their service providers or the issuers of securities in which the Portfolios invest have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability of Portfolio shareholders to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. While measures have been developed which are designed to reduce the risks associated with cybersecurity, there is no guarantee that those measures will be effective, particularly since the Portfolios do not control the cybersecurity defenses or plans of their service providers, financial intermediaries and companies in which they invest or with which they do business.
Cybersecurity incidents, both intentional and unintentional, may allow an unauthorized party to gain access to Portfolio or shareholder assets, Portfolio or customer data (including private shareholder information), or proprietary information, or cause a Portfolio, the Adviser, and/or the Portfolios’ service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality, or
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prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.
NOTE 6.
Capital-Share Transactions
The Fund has authorized 17.5 billion shares of common stock, par value $0.001 per share, of which 2.9 billion are allocated to the Intermediate Duration Portfolio and Short Duration Plus Portfolio. The allocation is as follows:
Allocation of Shares (in Millions) | ||||||||||||||||||||||||||||||||||||
Portfolio | Bernstein Class Shares | Retail Class A Shares | Retail Class B Shares | Retail Class C Shares | Retail Advisor Class Shares | Retail Class R Shares | Retail Class Z Shares | Retail Class T Shares | Total | |||||||||||||||||||||||||||
Intermediate Duration | 600 | 300 | – 0 | – | – 0 | – | 300 | – 0 | – | 400 | – 0 | – | 1,600 | |||||||||||||||||||||||
Short Duration Plus | 200 | 200 | 200 | 200 | – 0 | – | 200 | – 0 | – | 300 | 1,300 |
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Share transactions for each Portfolio for the years ended September 30, 2022 and September 30, 2021, were as follows:
Intermediate Duration Portfolio | ||||||||||||||||||||||||
Shares | Amount | |||||||||||||||||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Intermediate Duration Class Shares | ||||||||||||||||||||||||
Shares sold | 31,316,820 | 56,202,237 | $ | 395,481,316 | $ | 766,539,667 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends and distributions | 6,326,514 | 8,742,347 | 80,755,796 | 120,132,573 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (45,054,689 | ) | (43,516,801 | ) | (560,890,334 | ) | (592,800,321 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (7,411,355 | ) | 21,427,783 | $ | (84,653,222 | ) | $ | 293,871,919 | ||||||||||||||||
| ||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||
Shares sold | 2,869 | 91,115 | $ | 36,572 | $ | 1,253,106 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends and distributions | 1,293 | 2,397 | 16,533 | 32,805 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (81,780 | ) | (13,955 | ) | (1,086,408 | ) | (188,928 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (77,618 | ) | 79,557 | $ | (1,033,303 | ) | $ | 1,096,983 | ||||||||||||||||
| ||||||||||||||||||||||||
Advisor Class Shares |
| |||||||||||||||||||||||
Shares sold | 0 | 99 | $ | 0 | $ | 1,324 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends and distributions | 2 | 1 | 33 | 12 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 2 | 100 | $ | 33 | $ | 1,336 | ||||||||||||||||||
|
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There were no transactions in capital shares of Class Z shares for the year ended September 30, 2022 and the year ended September 30, 2021.
Short Duration Plus Portfolio | ||||||||||||||||||||||||
Shares | Amount | |||||||||||||||||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Short Duration Plus Class Shares | ||||||||||||||||||||||||
Shares sold | 16,273,311 | 7,565,938 | $ | 183,646,854 | $ | 88,810,032 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 117,287 | 173,295 | 1,321,157 | 2,032,240 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (7,977,343 | ) | (5,820,632 | ) | (91,363,133 | ) | (68,260,080 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 8,413,255 | 1,918,601 | $ | 93,604,878 | $ | 22,582,192 | ||||||||||||||||||
| ||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||
Shares sold | 659,486 | 369,544 | $ | 7,508,658 | $ | 4,346,934 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 2,223 | 5,309 | 24,860 | 62,373 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 7,817 | 42,791 | 88,635 | 501,872 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (733,314 | ) | (582,041 | ) | (8,329,493 | ) | (6,835,781 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (63,788 | ) | (164,397 | ) | $ | (707,340 | ) | $ | (1,924,602 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 65,930 | 47,374 | $ | 734,582 | $ | 556,021 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 111 | 455 | 1,244 | 5,340 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (7,835 | ) | (42,872 | ) | (88,635 | ) | (501,872 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (29,129 | ) | (169,283 | ) | (328,116 | ) | (1,982,510 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 29,077 | (164,326 | ) | $ | 319,075 | $ | (1,923,021 | ) | ||||||||||||||||
|
At September 30, 2022, a shareholder of the Short Duration Plus Portfolio owned 22% of the Portfolio’s outstanding shares. Significant transactions by such shareholders, if any, may impact the Portfolio’s performance.
NOTE 7.
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform
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(Topic 848)—Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE 8.
Subsequent Events
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 material events that would require disclosure in the Portfolios’ financial statements through this date.
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FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Intermediate Duration Portfolio | ||||||||||||||||
Class A | ||||||||||||||||
Year Ended September 30, | July 23, 2019 | |||||||||||||||
2022 | 2021 | 2020 | ||||||||||||||
|
| |||||||||||||||
Net asset value, beginning of period | $ 13.50 | $ 14.03 | $ 13.55 | $ 13.36 | ||||||||||||
|
| |||||||||||||||
Income From Investment Operations | ||||||||||||||||
Net investment income(b) | .16 | .18 | (c) | .15 | .04 | |||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (2.22 | ) | (.29 | ) | .52 | .18 | ||||||||||
|
| |||||||||||||||
Total from investment operations | (2.06 | ) | (.11 | ) | .67 | .22 | ||||||||||
|
| |||||||||||||||
Less: Dividends and Distributions | ||||||||||||||||
Dividends from net investment income | (.17 | ) | (.18 | ) | (.19 | ) | (.03 | ) | ||||||||
Distributions from net realized gain on investment transactions | (.13 | ) | (.24 | ) | – 0 | – | – 0 | – | ||||||||
|
| |||||||||||||||
Total dividends and distributions | (.30 | ) | (.42 | ) | (.19 | ) | (.03 | ) | ||||||||
|
| |||||||||||||||
Net asset value, end of period | $ 11.14 | $ 13.50 | $ 14.03 | $ 13.55 | ||||||||||||
|
| |||||||||||||||
Total Return |
| |||||||||||||||
Total investment return based on net asset value(d) | (15.54 | )% | (.86 | )% | 5.08 | % | 1.71 | % | ||||||||
Ratios/Supplemental Data |
| |||||||||||||||
Net assets, end of period (000 omitted) | $572 | $1,741 | $693 | $10 | ||||||||||||
Average net assets (000 omitted) | $746 | $1,438 | $170 | $10 | ||||||||||||
Ratio to average net assets of: |
| |||||||||||||||
Expenses, net of waivers/reimbursements | .90 | % | 1.03 | % | 1.82 | % | 2.00 | %(e) | ||||||||
Expenses, before waivers/reimbursements | 5.51 | % | 3.95 | % | 1.82 | % | 2.00 | %(e) | ||||||||
Net investment income | 1.26 | % | 1.29 | %(c) | 1.11 | % | 1.34 | %(e) | ||||||||
Portfolio turnover rate(f) | 122 | % | 123 | % | 72 | % | 62 | % |
See Footnote Summary on page 127.
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Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Intermediate Duration Portfolio | ||||||||||||||||
Advisor Class | ||||||||||||||||
Year Ended September 30, | July 23, 2019(a) to September 30, 2019 | |||||||||||||||
2022 | 2021 | 2020 | ||||||||||||||
|
| |||||||||||||||
Net asset value, beginning of period | $ 13.49 | $ 14.03 | $ 13.55 | $ 13.36 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Income From Investment Operations | ||||||||||||||||
Net investment income(b) | 0.20 | .21 | (c) | .20 | .04 | |||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (2.23 | ) | (.29 | ) | .51 | .19 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (2.03 | ) | (.08 | ) | .71 | .23 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less: Dividends and Distributions | ||||||||||||||||
Dividends from net investment income | (0.20 | ) | (.22 | ) | (.23 | ) | (.04 | ) | ||||||||
Distributions from net realized gain on investment transactions | (0.13 | ) | (.24 | ) | – 0 | – | – 0 | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total dividends and distributions | (0.33 | ) | (.46 | ) | (.23 | ) | (.04 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, end of period | $ 11.13 | $ 13.49 | $ 14.03 | $ 13.55 | ||||||||||||
|
| |||||||||||||||
Total Return |
| |||||||||||||||
Total investment return based on net asset value(d) | (15.33 | )% | (.62 | )% | 5.28 | % | 1.76 | % | ||||||||
Ratios/Supplemental Data |
| |||||||||||||||
Net assets, end of period (000 omitted) | $9 | $11 | $11 | $10 | ||||||||||||
Average net assets (000 omitted) | $11 | $11 | $10 | $10 | ||||||||||||
Ratio to average net assets of: |
| |||||||||||||||
Expenses, net of waivers/reimbursements | 0.66 | % | .86 | % | 1.64 | % | 1.75 | %(e) | ||||||||
Expenses, before waivers/reimbursements | 5.53 | % | 3.36 | % | 1.64 | % | 1.75 | %(e) | ||||||||
Net investment income | 1.60 | % | 1.51 | %(c) | 1.47 | % | 1.64 | %(e) | ||||||||
Portfolio turnover rate(f) | 122 | % | 123 | % | 72 | % | 62 | % |
See Footnote Summary on page 127.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Intermediate Duration Portfolio | ||||||||||||||||
Class Z | ||||||||||||||||
Year Ended September 30, | July 23, 2019(a) to September 30, | |||||||||||||||
2022 | 2021 | 2020 | ||||||||||||||
|
| |||||||||||||||
Net asset value, beginning of period | $ 13.49 | $ 14.03 | $ 13.55 | $ 13.36 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Income From Investment Operations | ||||||||||||||||
Net investment income(b) | .21 | .24 | (c) | .31 | .07 | |||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (2.23 | ) | (.29 | ) | .51 | .18 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (2.02 | ) | (.05 | ) | .82 | .25 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less: Dividends and Distributions | ||||||||||||||||
Dividends from net investment income | (.21 | ) | (.25 | ) | (.34 | ) | (.06 | ) | ||||||||
Distributions from net realized gain on investment transactions | (.13 | ) | (.24 | ) | – 0 | – | – 0 | – | ||||||||
|
| |||||||||||||||
Total dividends and distributions | (.34 | ) | (.49 | ) | (.34 | ) | (.06 | ) | ||||||||
|
| |||||||||||||||
Net asset value, end of period | $ 11.13 | $ 13.49 | $ 14.03 | $ 13.55 | ||||||||||||
|
| |||||||||||||||
Total Return | ||||||||||||||||
Total investment return based on net asset value(d) | (15.26 | )%(g) | (.40 | )% | 6.16 | % | 1.95 | % | ||||||||
Ratios/Supplemental Data |
| |||||||||||||||
Net assets, end of period (000 omitted) | $8 | $10 | $10 | $10 | ||||||||||||
Average net assets (000 omitted) | $9 | $10 | $10 | $10 | ||||||||||||
Ratio to average net assets of: | ||||||||||||||||
Expenses, net of waivers/reimbursements | .57 | % | .63 | % | .82 | % | .77 | %(e) | ||||||||
Expenses, before waivers/reimbursements | 3.01 | % | 1.87 | % | .82 | % | .77 | %(e) | ||||||||
Net investment income | 1.69 | % | 1.74 | %(c) | 2.30 | % | 2.62 | %(e) | ||||||||
Portfolio turnover rate(f) | 122 | % | 123 | % | 72 | % | 62 | % |
See Footnote Summary on page 127.
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Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Short Duration Plus Portfolio | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 11.68 | $ 11.79 | $ 11.74 | $ 11.54 | $ 11.69 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(b)(c) | .03 | .05 | .11 | .18 | .11 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.68 | ) | (.11 | ) | .07 | .22 | (.14 | ) | ||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (.65 | ) | (.06 | ) | .18 | .40 | (.03 | ) | ||||||||||||
|
| |||||||||||||||||||
Less: Dividends |
| |||||||||||||||||||
Dividends from net investment income | (.02 | ) | (.05 | ) | (.13 | ) | (.20 | ) | (.12 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 11.01 | $ 11.68 | $ 11.79 | $ 11.74 | $11.54 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(d) | (5.49 | )% | (.53 | )% | 1.53 | % | 3.44 | % | (.24 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $14,182 | $15,784 | $17,874 | $20,462 | $25,222 | |||||||||||||||
Average net assets (000 omitted) | $15,597 | $17,123 | $17,732 | $23,973 | $23,170 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .86 | % | 1.00 | % | 1.07 | % | .97 | % | 1.01 | % | ||||||||||
Expenses, before waivers/reimbursements | .97 | % | 1.00 | % | 1.07 | % | .97 | % | 1.01 | % | ||||||||||
Net investment income(c) | .25 | % | .40 | % | .97 | % | 1.50 | % | .93 | % | ||||||||||
Portfolio turnover rate | 48 | % | 75 | % | 50 | % | 39 | % | 85 | % |
See Footnote Summary on page 127.
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Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Short Duration Plus Portfolio | ||||||||||||||||||||
Class C | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 11.65 | $ 11.76 | $ 11.72 | $ 11.52 | $ 11.67 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(b)(c) | .02 | .03 | .09 | .15 | .08 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (.66 | ) | (.11 | ) | .05 | .22 | (.14 | ) | ||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (.64 | ) | (.08 | ) | .14 | .37 | (.06 | ) | ||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.02 | ) | (.03 | ) | (.10 | ) | (.17 | ) | (.09 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 10.99 | $ 11.65 | $ 11.76 | $ 11.72 | $ 11.52 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(d) | (5.49 | )% | (.79 | )% | 1.32 | % | 3.24 | % | (.44 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $1,293 | $1,032 | $2,976 | $2,304 | $2,976 | |||||||||||||||
Average net assets (000 omitted) | $975 | $2,064 | $2,214 | $2,573 | $3,778 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements | .92 | % | 1.21 | % | 1.28 | % | 1.18 | % | 1.22 | % | ||||||||||
Expenses, before waivers/reimbursements | 1.72 | % | 1.76 | % | 1.83 | % | 1.73 | % | 1.77 | % | ||||||||||
Net investment income(c) | .22 | % | .26 | % | .74 | % | 1.29 | % | .67 | % | ||||||||||
Portfolio turnover rate | 48 | % | 75 | % | 50 | % | 39 | % | 85 | % |
See Footnote Summary on page 127.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
(a) | Commencement of distributions. |
(b) | Based on average shares outstanding. |
(c) | Net of expenses waived by the Adviser. |
(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. 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) | Annualized |
(f) | The portfolio accounts for dollar roll transactions as purchases and sales. |
(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. |
See Notes to Financial Statements.
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REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
To the Board of Directors of Sanford C. Bernstein Fund, Inc. and AB Intermediate Duration Class Shareholders of Intermediate Duration Portfolio and AB Short Duration Plus Class Shareholders of Short Duration Plus Portfolio
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Intermediate Duration Portfolio and Short Duration Plus Portfolio (two of the thirteen portfolios constituting Sanford C. Bernstein Fund, Inc., hereafter collectively referred to as the “Portfolios”) as of September 30, 2022, the related statements of operations for the year ended September 30, 2022, the statements of changes in net assets for each of the two years in the period ended September 30, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of September 30, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2022 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating
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REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM (continued)
the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
November 23, 2022
We have served as the auditor of one or more of the investment companies in the AB Group of Mutual Funds since at least 1985. We have not been able to determine the specific year we began serving as auditor.
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2022 FEDERAL TAX INFORMATION
(unaudited)
For federal income tax purposes, the following information is furnished with respect to the distributions paid by the Portfolio during the taxable year ended September 30, 2022. For foreign shareholders, the following percentage of dividends paid by each portfolio may be considered to be qualifying to be taxed as interest-related dividends.
PORTFOLIO | % OF QUALIFIED INTEREST INCOME (FOREIGN SHAREHOLDERS) | |||
SHORT DURATION PLUS | 88.56 | % | ||
INTERMEDIATE DURATION | 99.00 | % |
For the taxable year ended September 30, 2022, the long-term capital gain designation is as follows:
PORTFOLIO | ||||
INTERMEDIATE DURATION | $ | 37,219,499 |
Shareholders should not use the above information to prepare their income tax returns. The information necessary to complete your income tax returns will be included with your Form 1099-DIV which will be sent to you separately in January 2023.
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BOARD OF DIRECTORS
Debra Perry(1),(2), Chair Beata D. Kirr, President R. Jay Gerken(1),(2) Jeffrey R. Holland(1) | William Kristol(1) Michelle McCloskey(1) Donald K. Peterson(1) |
OFFICERS
Michael Canter, Vice President(3) Janaki Rao, Vice President(3) Emilie D. Wrapp, Secretary Michael B. Reyes, Senior Vice President | 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
Distributor† AllianceBernstein Investments, Inc. 501 Commerce Street Nashville, TN 37203
Transfer Agent† AllianceBernstein Investor Services, Inc. P.O. Box 786003 San Antonio, TX 78278 Toll-Free (800) 221-5672 | Legal Counsel Willkie Farr & Gallagher LLP 787 Seventh Avenue New York, NY 10019
Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP 300 Madison Avenue New York, NY 10017 |
1 | Member of the Audit Committee, the Nominating, Governance and Compensation Committee, and the Independent Directors Committee. |
2 | Member of the Pricing Committee. |
3 | The day-to-day management of, and investment decisions for, the AB Short Duration Portfolio are made by the Adviser’s U.S. Investment Grade: Liquid Markets Structured Products Investment Team. Messrs. Canter and Rao are the investment professionals with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
The day-to-day management of, and investment decisions for, the AB Intermediate Duration Portfolio are made by the Adviser’s U.S. Investment Grade: Core Fixed Income Team. Messrs. Canter and Rao are the investment professionals with the most significant responsibility for the day-to-day management of the Portfolio’s portfolio. |
† | For the AB Short Duration Portfolio, Classes A and C shares only. For the AB Intermediate Duration Portfolio, Classes A, Advisor, and Z shares only. |
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MANAGEMENT OF THE FUND
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
NAME, ADDRESS*, AGE, (YEAR OF ELECTION**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE (5) YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY DIRECTOR | OTHER DURING THE LAST FIVE YEARS | |||||
INTERESTED DIRECTOR | ||||||||
Beata D. Kirr,*** c/o AllianceBernstein L.P. 1345 Avenue of the Americas New York, NY 10105 48 (2019) | Senior Vice President of the Investment Adviser with which she has been associated since prior to 2017. She is the Co-Head of Investment Strategies since April 2020 and a National Managing Director since 2017. She was previously the Head of Private Client Core Asset Strategies. She joined the firm in 2007 as a Senior Portfolio Manager. Prior to joining AB, she was a director at Harris Alternatives, a global fund of hedge funds, and was with Goldman Sachs, where she advised clients in the Equities, M&A and Equity Capital Markets divisions, from their New York, London and Chicago offices. | 17 | Women Employed | |||||
DISINTERESTED DIRECTORS | ||||||||
Debra Perry,#,^ 71 | Formerly, Senior Managing Director of Global Ratings and Research, Moody’s Investors Service, Inc. from 2001 to 2004; Chief Administrative Officer, Moody’s, from 1999 to 2001; Chief Credit Officer, Moody’s, from 2000 to 2001; Group Managing Director for the Finance, Securities and Insurance Ratings Groups, Moody’s Corp., from 1996 to 1999; earlier she held executive positions with First Boston Corporation and Chemical Bank. | 17 | Assurant, Inc., since 2017; Korn/Ferry International since 2008; Genworth Financial, Inc., from 2016-2022; PartnerRe, from 2013- 2016; Bank of America Funds Series Trust, from 2011-2016 | |||||
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MANAGEMENT OF THE FUND (continued)
NAME, ADDRESS*, AGE, (YEAR OF ELECTION**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE (5) YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY DIRECTOR | OTHER DURING THE LAST FIVE YEARS | |||||
DISINTERESTED DIRECTORS (continued) | ||||||||
R. Jay Gerken,#,^ 71 (2013) | Formerly, President and Chief Executive Officer of Legg Mason Partners Fund Advisor, LLC, and President & Board Member of The Legg Mason and Western Asset mutual funds from 2005 until June 2013. Previously, he was the President and Chair of the boards of the Citigroup Asset Management mutual funds from 2002 to 2005; Portfolio Manager and Managing Director, Smith Barney Asset Management from 1993 to 2001 and President & CEO, Directions Management of Shearson Lehman, Inc. from 1988 to 1993. | 17 | Cedar Lawn Corporation; New Jersey Chapter of The Nature Conservancy; and Associated Banc-Corp | |||||
Jeffrey R. Holland,# 56 (2019) | Formerly, Limited Partner of Brown Brothers Harriman from 2014 to 2018. Prior thereto, General Partner of Brown Brothers Harriman from 2006 to 2013. | 17 | Director of various non-profit organizations | |||||
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MANAGEMENT OF THE FUND (continued)
NAME, ADDRESS*, AGE, (YEAR OF ELECTION**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE (5) YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY DIRECTOR | OTHER DURING THE LAST FIVE YEARS | |||||
DISINTERESTED DIRECTORS (continued) | ||||||||
William Kristol,# 69 (1994) | Founder and Editor, The Weekly Standard from 1995 to 2018. He is a regular contributor on leading political commentary shows. He has served as the inaugural Vann Professor of Ethics and Society at Davidson College since 2019. | 17 | Manhattan Institute; John M. Ashbrook Center for Public Affairs at Ashland University; The Salvatori Center at Claremont McKenna College; The Institute for the Study of War; Foundation for Constitutional Government; and Defending Democracy Together, a non-profit educational corporation | |||||
Michelle McCloskey,# 60 | Formerly, President of Americas, Man Group from 2017 to August 2019 and President of Man FRM from 2015 to August 2019. Prior thereto, she was a Senior Managing Director of Man FRM from 2012 to 2015. While at the Man Group, she served on the Executive Committee of Man Group plc from 2012 to 2019, as Chief Executive Officer, Board of Managers of Man Alternative Multi Strategy Fund from 2016 to 2019 and as President and Chair of the Board of the Pine Grove Institutional Funds from 2016 to 2019. She currently serves on the Investment Advisory Committee of Texas Tech University Endowment. | 17 | Assured Guaranty Ltd. since May 2021 | |||||
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MANAGEMENT OF THE FUND (continued)
NAME, ADDRESS*, AGE, (YEAR OF ELECTION**) | PRINCIPAL OCCUPATION(S) DURING PAST FIVE (5) YEARS AND OTHER INFORMATION | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY DIRECTOR | OTHER DURING THE LAST FIVE YEARS | |||||
DISINTERESTED DIRECTORS (continued) | ||||||||
Donald K. Peterson,# 73 (2007) | Formerly, Chairman and Chief Executive Officer, Avaya Inc. (telecommunications equipment and services) from 2002 to 2006; President and Chief Executive Officer, Avaya Inc. from 2000 to 2001; President, Enterprise Systems Group in 2000; Chief Financial Officer, Lucent Technologies (telecommunications equipment and services) from 1996 to 2000; Chief Financial Officer, AT&T, Communications Services Group from 1995 to 1996; President, Nortel Communications Systems, Inc. (telecommunications and networking equipment) from 1994 to 1995. Prior thereto, he was at Nortel from 1976 to 1995. | 17 | Worcester Polytechnic Institute, (Emeritus); Member of the Board of TIAA- Bank, FSB |
* | The address for the Fund’s Disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal and Compliance Department—Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
** | There is no stated term of office for the Directors. |
*** | Ms. Kirr is an “interested person”, as defined in the 1940 Act, due to her affiliation with AllianceBernstein. |
# | Member of the Audit Committee, the Governance, Nominating and Compensation Committee, and the Independent Directors Committee. |
^ | Member of the Pricing Committee. |
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MANAGEMENT OF THE FUND (continued)
Officer Information
Certain information concerning the Fund’s Officers is listed below.
NAME, ADDRESS* AND AGE | POSITION(S) HELD WITH FUND | PRINCIPAL OCCUPATION DURING PAST FIVE (5) YEARS | ||
Beata D. Kirr, 48 | President | See biography above. | ||
Michael Canter, 53 | Vice President | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Director and Chief Investment Officer - Securitized Assets. | ||
Janaki Rao, 52 | Vice President | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Director of US Multi-Sector Fixed-Income Portfolios. | ||
Emilie D. Wrapp, 66 | Secretary | Senior Vice President, Assistant General Counsel and Assistant Secretary of AllianceBernstein Investments, Inc. (“ABI”)**, with which she has been associated since prior to 2017. | ||
Michael B. Reyes, 46 | Senior Vice President | Vice President of the Adviser**, with which he has been associated since prior to 2017. | ||
Joseph J. Mantineo, 63 | Treasurer and Chief Financial Officer | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. | ||
Phyllis J. Clarke, 61 | Controller | Vice President of ABIS**, with which she has been associated since prior to 2017. | ||
Vincent S. Noto, 57 | Chief Compliance Officer | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser**, since prior to 2017. | ||
* | The address for the Fund’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
** | The Adviser, ABI and ABIS are affiliates of the Fund. |
The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or AB at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
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OPERATION AND EFFECTIVENESS OF THE PORTFOLIOS’ 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 Portfolios to designate an Administrator of the Portfolios’ Liquidity Risk Management Program. The Administrator of the Portfolios’ LRMP is AllianceBernstein L.P., the Portfolios’ 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 Portfolios’ Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolios’ LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolios’ compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolios will be unable to meet their redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolios classify the liquidity of their 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 Portfolios’ strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolios participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolios are required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolios’ reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’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 Portfolios’ 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, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID-19 impacts. As such, the program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Portfolios or their ability to timely meet redemptions during the Program Reporting Period.
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BOARD CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT
Sanford C. Bernstein Fund, Inc. (the “Fund”) is subject to Section 15 of the Investment Company Act of 1940, as amended. Section 15 provides that any investment advisory agreement with a registered investment company such as the Fund may continue in effect for a period of more than two years from the date of its execution, only so long as such continuance is specifically approved at least annually by the board of directors (or by vote of a majority of the outstanding voting securities of the investment company). Pursuant to this requirement, the Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Fund, on behalf of the Emerging Markets, Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus, Intermediate Duration, Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios (each, a “Portfolio” and collectively, the “Portfolios”) of the Fund, and AllianceBernstein L.P. (the “Adviser”)( the “Investment Management Agreement”) at a meeting held on October 26-27, 2022.
The following discussion describes the considerations in connection with the Board’s review of the Investment Management Agreement.
In connection with the annual review of the continuation of the Investment Management Agreement between the Fund and the Adviser, counsel to the Independent Directors sent a letter to the Adviser dated August 10, 2022, that contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met by video conference and received and evaluated extensive materials relating to the continuation of the Investment Management Agreement from the Adviser. In addition, the Board received materials from the Senior Vice president of the Fund and an independent fee consultant as described below. On September 29, 2022, the Board of Directors held a video conference meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. At that meeting, the Independent Directors met separately with their independent counsel and the Senior Vice President and the independent fee consultant in executive sessions. Following the September 29, 2022 meeting, the Independent Directors, through counsel, requested certain additional information by means of an email from their independent counsel dated October 6, 2022, and the Adviser provided certain additional information by means of a memorandum dated October 19, 2022. On October 26-27, 2022, the Board of Directors held a meeting to continue their review of the Investment Management Agreement. During this meeting, the Adviser provided further information
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BOARD CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)
requested by the Independent Directors relating to contract renewal, and the Independent Directors also met separately with counsel to the Independent Directors as well as the Senior Vice President to review the contract renewal materials provided by the Adviser and the materials prepared by the Senior Vice President. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.
In approving the Investment Management Agreement, the Board, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Investment Management Agreement and considered whether the Agreement would be in the best interests of the Fund. In particular, the Board considered the information that was provided to them by the Adviser in response to their requests, as well as information prepared by the Senior Vice President and the independent fee consultant at the request of the Board. The Fund’s Senior Vice President assists the Board (as well as the boards of other funds sponsored by the Adviser) in evaluating investment management agreements and certain other plans and agreements pursuant to which the Adviser or its affiliates provide services to the Funds. The Board also considered other information provided to the Board in connection with the September 29, 2022 and October 26-27, 2022 meetings and throughout the past year.
The information considered by the Board included information with respect to the nature, extent and quality of services provided, investment performance, fees and expenses, profitability, economies of scale, and fall-out benefits and other revenue.
In the Board’s consideration of the factors discussed below, no single factor was considered in isolation or to be determinative to the decision of the Board to approve the Investment Management Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered and in the exercise of the Directors’ business judgment, that it was in the best interests of the Fund to approve the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.
Fees and Expenses
The Board, including the Independent Directors, compared the fees and expense ratios of each Portfolio (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”). Both the peer group and the funds within the peer group, with respect to the fee and
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BOARD CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)
expense data, were available from Strategic Insight, an independent provider of investment company data. The Senior Vice President also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups. In addition, the Board received and considered information from an independent fee consultant regarding the fees and expenses of the Portfolios as well as their investment performance.
The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about any recent advisory fee changes with respect to other investment companies advised by the Adviser. The Board noted the differences between the services provided to the Portfolios in comparison to those provided to other types of clients, including institutional clients and other investment companies for which the Adviser acted as investment adviser or subadviser, and the differences in the entrepreneurial and other risks borne by the Adviser in serving the Portfolios compared to other types of clients.
The Board noted that the Adviser had elected to discontinue its voluntary waiver of the 0.10% shareholder servicing fee for the private client class of the Short Duration Plus Portfolio and the Short Duration Diversified Municipal Portfolio, during the next term of the shareholder servicing agreement. In that regard, the Board considered that the increasing interest rate environment had increased yields available in the marketplace on short-term investments, and that the Adviser indicated that the waivers were no longer necessary to maintain positive performance. The Board further considered that the total expense ratios of the Portfolios remained below the median of the peer group after removal of the waiver, and the Board reviewed materials estimating the impact of the removal of the waiver on the performance of the Portfolios.
The Board also noted that the Adviser had recently modified the advisory fee schedule of the Overlay A and Tax-Aware Overlay Portfolios by reducing the level where each Portfolio reaches its first breakpoint, and adding a new breakpoint on assets over $5 billion. With respect to the advisory fees charged to the Overlay Portfolios, the Directors noted that the Portfolios are intended to have an impact on a private client’s entire account, rather than just an impact at the Portfolio level.
On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, and in light of the Adviser’s implementation of certain fee waivers and/or expense caps for certain Portfolios, the Board concluded that the contractual advisory fees as proposed were reasonable.
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BOARD CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)
Nature, Extent and Quality of Services Provided
The Board, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as Directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational and other changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios.
In considering the nature and quality of the services provided by the Adviser, the Board, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. The Board was provided with performance data versus each Portfolio’s peer group, for the 1-year, 3-year, 5-year and 10-year periods, as applicable, ended July 31, 2022 and versus each Portfolio’s benchmark index, for the relevant periods, as well as the most recently available Morningstar rating for those Portfolios with an available rating. The Board also received certain updated performance information as of September 30, 2022. In addition, the Directors considered information showing performance compared to peer groups and benchmarks for rolling calendar year periods and the year to date. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year. The Board recognized that the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios. The Directors also considered how peer groups have changed over time and how comparisons may differ depending upon the selection of the peer groups or benchmark indices.
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BOARD CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)
The Directors noted the complexity of the Overlay Portfolios, in particular the complexity of managing the globally diversified set of asset classes and derivatives in which the Overlay Portfolios can invest as well as the complexity of dynamically allocating assets through the Overlay Portfolios among various asset classes as economic and market conditions change in seeking to provide the desired risk/return trade-off for their investors in light of their overall portfolios (and not just their investment in the Overlay Portfolios themselves). In considering the performance of the Overlay Portfolios, the Board reviewed the performance of the Overlay Portfolios’ dynamic asset allocation component and the impact of that component in the recent volatile market environment. The Board considered the Adviser’s continued research efforts to enhance the dynamic asset allocation component utilized by the Overlay Portfolios. The Board further acknowledged the difficulty in selecting relevant peer groups for the Overlay Portfolios because of their unique structure and noted that the Overlay A Portfolio and Tax-Aware Overlay A Portfolio held higher percentages of equities and international equities than the funds in their relevant peer groups.
In evaluating the performance of the Portfolios that invest primarily in fixed-income securities, the Directors considered whether those Portfolios may have incurred less credit risk or interest rate risk, or both, in relation to their peer groups and benchmark indices. The Directors also noted the Adviser’s explanation that certain Portfolios are designed to maintain higher credit quality and a more conservative approach versus the funds in their relevant peer groups, and that as a result of a lower risk profile, those Portfolios have underperformed the peer group during periods when riskier assets have outperformed.
Where the Portfolios had underperformed their peer groups or benchmark indices, the Directors considered the Adviser’s explanations for performance and, as applicable, measures the Adviser had taken or proposed to take to improve performance, including enhancements to portfolio management models. The Directors noted generally the Adviser’s continued efforts to enhance the services provided to the Portfolios. The Directors also noted that they would continue to monitor investment performance closely.
The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.
Profitability
The Board, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the respective Portfolios. The materials provided to the Independent Directors included information
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BOARD CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)
indicating the profitability of the Portfolios to the Adviser for calendar years 2020 and 2021, which had been reviewed by an independent consultant. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data, noting that the methodology was consistent with the Adviser’s internal financial reporting. The Directors acknowledged that there are many potentially acceptable allocation methodologies for cost allocation, and that in certain cases the selected allocation methodology may not capture all costs borne by the Adviser with respect to a Portfolio. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency and distribution services to the Fund, and that they had focused on profitability before taxes and distribution expenses. The Board further considered materials provided by the Adviser estimating the profitability of the Short Duration Plus Portfolio and the Short Duration Diversified Municipal Portfolio to the Adviser after the termination of the voluntary waiver in effect for the Portfolios. The Directors reviewed comparative information regarding profitability for other publicly-traded advisers, recognizing that it is difficult to make comparisons of profitability among different investment advisers because only limited comparative information is publicly available and the comparisons are affected by numerous factors including different business mixes.
After reviewing all relevant factors, the Directors, including the Independent Directors, concluded that the levels of the Adviser’s profits in respect of its management of the Portfolios were not excessive.
Economies of Scale
The Board, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Directors discussed possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.
The Directors also considered the Senior Vice President materials which they received in connection with the review of the Investment Management Agreement, which included information reflecting changes in asset levels of the Portfolios and in the profitability of the Adviser over various periods.
After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things and as applicable, establishing advisory
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BOARD CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)
fees at levels that contemplated future achievement of scale, 2018 fee reductions for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, and Emerging Markets Portfolios, breakpoint arrangements including the lowering of the first breakpoint and the addition of a new breakpoint in the advisory fee schedule for the Overlay A and Tax-Aware Overlay A Portfolios as well as other recently adopted or modified breakpoints for certain Portfolios, expense caps and waivers applying to select Portfolios, and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements. The Directors also noted that they would continue to monitor the growth of the Portfolios.
Fall-Out Benefits and Other Revenue
The Board, including the Independent Directors, also took into account so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to the retail share classes of certain Portfolios, and transfer agency fees paid by the retail share classes of certain Portfolios to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.
Advisory Fee Rate Schedule
On the basis of the information considered, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, without change to the Portfolios’ contractual fee schedules, as set forth below.
Portfolio | Annual Percentage of Average Daily Net Assets of Each Portfolio | |
Short Duration Diversified Municipal | 0.30% of the first $750 million; 0.25% of assets in excess of $750 million. | |
Short Duration Plus | 0.35% of the first $750 million; 0.30% of assets in excess of $750 million. | |
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BOARD CONSIDERATION OF INVESTMENT MANAGEMENT ARRANGEMENT (continued)
Portfolio | Annual Percentage of Average Daily Net Assets of Each Portfolio | |
New York Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% of assets in excess of $5 billion. | |
California Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% of assets in excess of $5 billion. | |
Diversified Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion up to, but not exceeding $7 billion; 0.225% of assets in excess of $7 billion. | |
Intermediate Duration | 0.45% on the first $2.5 billion; 0.40% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.35% in excess of $5 billion up to, but not exceeding $8 billion; 0.30% of assets in excess of $8 billion. | |
Emerging Markets | 0.95% of the first $2.5 billion; 0.90% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Overlay A | 0.90% of the first $2.5 billion; 0.875% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Tax-Aware Overlay A | 0.90% of the first $2.5 billion; 0.875% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Overlay B | 0.65% of assets. | |
Tax-Aware Overlay B | 0.65% of assets. | |
Tax-Aware Overlay C | 0.65% of assets. | |
Tax-Aware Overlay N | 0.65% of assets. |
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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
Select US Equity Portfolio
Sustainable US Thematic Portfolio
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
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
Sustainable International Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
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 Portfolio
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
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Sustainable Thematic Balanced Portfolio1
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
EXCHANGE-TRADED FUNDS
Tax-Aware Short Duration Municipal ETF
Ultra Short Income ETF
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 December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
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NOTES
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NOTES
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AB BOND FUNDS
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
BF-0151-0922
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SEP 09.30.22
ANNUAL REPORT
AB INTERMEDIATE MUNICIPAL PORTFOLIOS
+ | AB INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO |
+ | AB INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO |
+ | AB INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO |
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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. 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.
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FROM THE ADVISER |
Dear Shareholder,
We’re pleased to provide this report for the AB Intermediate Municipal Portfolios: California, Diversified and New York (each a “Portfolio,” and collectively, the “Portfolios”). Please review the discussion of Portfolio performance, the market conditions during the reporting period and the Portfolios’ investment strategies.
As always, AB strives to keep clients ahead of what’s next by:
+ | Transforming uncommon insights into uncommon knowledge with a global research scope |
+ | Navigating markets with seasoned investment experience and sophisticated solutions |
+ | Providing thoughtful investment insights and actionable ideas |
Whether you’re an individual investor or a multi-billion-dollar institution, we put knowledge and experience to work for you.
AB’s global research organization connects and collaborates across platforms and teams to deliver impactful insights and innovative products. Better insights lead to better opportunities—anywhere in the world.
For additional information about AB’s range of products and shareholder resources, please log on to www.abfunds.com.
Thank you for your investment in the AB Mutual Funds.
Sincerely,
Onur Erzan
Senior Vice President of the Adviser
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ANNUAL REPORT
November 15, 2022
This report provides management’s discussion of fund performance for the AB Intermediate Municipal Portfolios: California, Diversified and New York, for the annual reporting period ended September 30, 2022.
Each of the Portfolios seeks to provide safety of principal and maximize total return after taking account of federal taxes (and, in the case of the Intermediate California Municipal Portfolio, California state taxes and, in the case of the Intermediate New York Municipal Portfolio, New York state and local taxes).
NAV RETURNS AS OF SEPTEMBER 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO | ||||||||
Class A Shares | -3.67% | -7.63% | ||||||
Class C Shares | -3.97% | -8.26% | ||||||
Advisor Class Shares1 | -3.55% | -7.40% | ||||||
Bloomberg 5-Year GO Municipal Bond Index | -2.98% | -7.76% | ||||||
Lipper California Intermediate Municipal Debt Funds Average | -4.59% | -9.33% |
6 Months | 12 Months | |||||||
AB INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO | ||||||||
Class A Shares | -4.02% | -8.06% | ||||||
Class C Shares | -4.46% | -8.81% | ||||||
Advisor Class Shares1 | -3.91% | -7.84% | ||||||
Class Z Shares1 | -3.90% | -7.81% | ||||||
Bloomberg 5-Year GO Municipal Bond Index | -2.98% | -7.76% | ||||||
Lipper Intermediate Municipal Debt Funds Average | -5.35% | -10.06% |
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 Portfolio. |
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NAV RETURNS AS OF SEPTEMBER 30, 2022 (unaudited)
6 Months | 12 Months | |||||||
AB INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO | ||||||||
Class A Shares | -4.19% | -8.07% | ||||||
Class C Shares | -4.55% | -8.76% | ||||||
Advisor Class Shares1 | -4.00% | -7.77% | ||||||
Bloomberg 5-Year GO Municipal Bond Index | -2.98% | -7.76% | ||||||
Lipper New York Intermediate Municipal Debt Funds Average | -4.60% | -9.43% |
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 Portfolio. |
INVESTMENT RESULTS
The preceding tables show performance for each Portfolio compared to its benchmark, the Bloomberg 5-Year General Obligation (“GO”) Municipal Bond Index, for the six- and 12-month periods ended September 30, 2022. The tables also include performance for each Portfolio’s peer group, as represented by the Lipper California Intermediate Municipal Debt Funds Average for the Intermediate California Municipal Portfolio, the Lipper Intermediate Municipal Debt Funds Average for the Intermediate Diversified Municipal Portfolio and the Lipper New York Intermediate Municipal Debt Funds Average for the Intermediate New York Municipal Portfolio. Funds in each Lipper Average have generally similar investment objectives to the Portfolios, although some of the funds have different investment policies, sales and management fees, and fund expenses. Effective November 1, 2022, the Portfolios’ primary benchmark will be changing to the Bloomberg 1-10 Year Blend Index.
During the 12-month period, all share classes of the Intermediate Diversified Municipal and Intermediate New York Municipal Portfolios underperformed the benchmark and outperformed the Lipper Average; except for Class C, all share classes of the Intermediate California Municipal Portfolio outperformed the benchmark and all share classes outperformed the Lipper Average, before sales charges. During the six-month period, all share classes of the Portfolios underperformed the benchmark and outperformed the Lipper Average, before sales charges.
Intermediate Municipal California Portfolio: Overall security selection detracted, relative to the benchmark, during both periods. Security selection within the airports and multi-family housing sectors detracted, while selection in miscellaneous revenue and prepay energy contributed. An overweight to BBB-rated bonds versus the benchmark detracted from performance. The Portfolio’s yield-curve positioning largely contributed to performance during both periods as the yield curve flattened.
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Intermediate Diversified Municipal Portfolio: An overweight to special tax and toll roads/transit contributed, relative to the benchmark, during the 12-month period. For the six-month period, an overweight to airports and multi-family housing detracted. During both periods, yield-curve positioning contributed to performance, while credit exposure detracted.
Intermediate Municipal New York Portfolio: Overall security selection detracted, relative to the benchmark, during both periods. Security selection within the special tax and miscellaneous revenue sectors detracted, while selection within electric utility and prepay energy contributed. An overweight to A- and BBB-rated bonds versus the benchmark detracted from performance. The Portfolio’s yield-curve positioning largely contributed during both periods as the yield curve flattened.
During both periods, the Portfolios used credit default swaps for hedging and investment purposes, as well as inflation swaps for hedging purposes, which had no material impact on absolute returns; interest rate swaps were used for hedging purposes, which detracted.
MARKET REVIEW AND INVESTMENT STRATEGY
Yields continued their ascent higher toward the end of the reporting period ended September 30, 2022. During the 12-month period, the yield on a 10-Year AAA municipal bond rose to 3.30% from 1.14% and the yield on the 10-Year US Treasury rose to 3.80% from 1.54%. Demand for income continued to weaken during the six-month period, as investors have pulled approximately $92 billion year to date from mutual funds and exchange- traded funds as of September 30, 2022. In addition to broader fixed-income market volatility, these municipal market outflows contributed to municipal underperformance versus US Treasuries, with 10-Year AAA Muni/Treasury after-tax spreads widening 82 basis points (“b.p.”) during the 12-month period and 25 b.p. during the six-month period. Average BBB credit spreads widened during the 12-month and six-month periods by approximately 55 b.p. and 30 b.p., respectively.
In terms of strategy and positioning in the evolving market environment, the Portfolio’s Senior Investment Management Team (the “Team”) has adjusted the Portfolios’ yield-curve positioning as the curve has flattened over the 12-month period. At the beginning of the 12-month period, the Portfolios were underweight duration, which the Team adjusted to neutral as municipals sold off early in the year. The Team continues to maintain a neutral duration to the benchmark and a selective overweight to credit.
The Portfolios 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
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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 September 30, 2022, the Portfolios’ percentages of investments in municipal bonds that are insured and insured municipal bonds that have been pre-refunded or escrowed to maturity were 1.97% and 0.00%, respectively, for the Intermediate California Municipal Portfolio; 4.79% and 0.00%, respectively, for the Intermediate Diversified Municipal Portfolio; and 2.93% and 0.00%, respectively, for the Intermediate New York Municipal Portfolio.
INVESTMENT POLICIES
As a matter of fundamental policy, the Portfolios, under normal circumstances, invest at least 80% of their net assets in municipal securities (and, in the case of the Intermediate California Municipal and Intermediate New York Municipal Portfolios, municipal securities issued by the State of California or the State of New York, or their political subdivisions, or otherwise exempt from California or New York state income tax, respectively). The Intermediate Diversified Municipal Portfolio invests no more than 25% of its total assets in municipal securities of issuers located in any one state. Each of the Portfolios invests at least 80% of its total assets in municipal securities rated A or better by any nationally recognized statistical rating organization (“NRSRO”) (or, if unrated, determined by the Adviser to be of comparable quality) and comparably rated municipal notes. The Portfolios may invest up to 20% of their total assets in below investment-grade fixed-income securities (commonly known as “junk bonds”).
The Portfolios may invest, without limit, in revenue bonds, which generally do not have the pledge of the credit of the issuer. The Portfolios may invest, without limit, in securities or obligations that are related in such a way that business or political developments or changes affecting one such security could also affect the others (for example, securities with interest that is paid from projects of a similar type). Each of the Portfolios may invest up to 20% of their net assets in fixed-income securities of US issuers that are not municipal securities if, in the Adviser’s opinion, these securities will enhance the after-tax return for investors. The Portfolios may use derivatives, such as options, futures contracts, forward contracts and swaps. In managing the Portfolios, the Adviser may use interest-rate forecasting to estimate an appropriate level of interest-rate risk at a given time.
(continued on next page)
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Each Portfolio seeks to maintain an effective duration of three and one-half years to seven years under normal market conditions. Within the ranges described in the prospectus, the Adviser may moderately shorten the average duration of the Portfolios when it expects interest rates to rise and moderately lengthen average duration when it anticipates that interest rates will fall.
The Intermediate California Municipal and Intermediate New York Municipal Portfolios are “non-diversified,” which means that they may concentrate their assets in a smaller number of issuers than a diversified fund.
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DISCLOSURES AND RISKS
Benchmark Disclosure
The Bloomberg 5-Year GO Municipal Bond Index is unmanaged and does not reflect fees and expenses associated with the active management of a mutual fund portfolio. The Bloomberg 5-Year GO Municipal Bond Index represents the performance of long-term, investment-grade tax-exempt bonds with maturities ranging from four to six 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 Portfolios.
A Word About Risk
Cybersecurity Risk: As the use of the internet and other technologies has become more prevalent in the course of business, the Portfolios have become more susceptible to operational and financial risks associated with cybersecurity. Cybersecurity incidents can result from deliberate attacks such as gaining unauthorized access to digital systems (e.g., through “hacking” or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption, or from unintentional events, such as the inadvertent release of confidential information. Cybersecurity failures or breaches of the Portfolios or their service providers or the issuers of securities in which the Portfolios invest have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability of Portfolio shareholders to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. While measures have been developed which are designed to reduce the risks associated with cybersecurity, there is no guarantee that those measures will be effective, particularly since the Portfolios do not control the cybersecurity defenses or plans of their service providers, financial intermediaries and companies in which they invest or with which they do business.
Cybersecurity incidents, both intentional and unintentional, may allow an unauthorized party to gain access to Portfolio or shareholder assets, Portfolio or customer data (including private shareholder information), or proprietary information, or cause a Portfolio, the Adviser, and/or the Portfolios’ service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality, or prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
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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 Portfolios may be subject to greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential government fiscal and monetary policy initiatives and resulting market reaction to those initiatives.
Credit Risk: This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially 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. 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, making credit risk greater for medium-quality and lower-rated debt securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative credit risks. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell.
Duration Risk: The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest-rate risk and will decrease in price as interest rates rise. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.
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 Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded
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DISCLOSURES AND RISKS (continued)
pension liabilities, and by the phasing out of federal programs providing financial support. There have been some municipal issuers that have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may get worse, particularly in light of the economic impact of the recent spread of an infectious coronavirus (COVID-19). To the extent the Portfolios invest in a particular state’s municipal securities, they 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, wildfires, flooding and earthquakes. The Portfolios’ 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, are subject to the risk that 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.
In addition, changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.
The Portfolios may invest in municipal securities of issuers in 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. Puerto Rico continues to face a very challenging economic and fiscal environment, worsened by the spread of COVID-19 and the adverse effect that related governmental and public responses have had on Puerto Rico’s economy. 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 deteriorate further.
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 Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities. Rates of inflation have recently risen, which could adversely affect economies and markets.
Non-Diversification Risk: Concentration of investments in a small number of securities tends to increase risk. The Intermediate California Municipal and Intermediate New York Municipal Portfolios may have more risk
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DISCLOSURES AND RISKS (continued)
because they are “non-diversified”, meaning that they can invest more of their assets in a relatively small number of issuers with greater concentration of risk. Matters affecting these issuers can have a more significant effect on the Portfolios’ net asset value (“NAV”).
Illiquid Investments Risk: Illiquid investments risk exists when particular investments are difficult or impossible to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Illiquid investments risk may be magnified in a rising interest-rate environment, where the value and liquidity of fixed-income securities generally go down. The Portfolios are subject to greater risk because the market for municipal securities is generally smaller and may not be as liquid as many other fixed-income markets, which may make municipal securities more difficult to trade or dispose of than other types of securities. Illiquid securities may also be difficult to value. If the Portfolios are forced to sell an illiquid asset to meet redemption requests or other cash needs, or to try to limit losses, the Portfolios may be forced to sell at a substantial loss or may not be able to sell at all.
Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value, or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
Derivatives Risk: The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolios. Use of
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DISCLOSURES AND RISKS (continued)
derivatives may have different tax consequences for the Portfolios than an investment in the underlying asset or index, and such differences may affect the amount, timing and character of income distributed to shareholders. The US government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives as well as additional regulations governing, margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Management Risk: The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives and other investment techniques may be unavailable, or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. 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. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.
Market Risk: The Portfolios are subject to market risk, which is the risk that stock or bond prices in general or in particular countries or sectors may decline over short or extended periods. Stock or bond prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest-rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; public health crises (including the occurrence of a contagious disease or illness); policy and legislative changes; cybersecurity events; and other factors.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, sanctions, regional and global conflicts, terrorism, natural disasters (including the spread of infectious illness) and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to
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DISCLOSURES AND RISKS (continued)
countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
Tax Risk: There is no guarantee that the income on the Portfolios’ municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The US Congress has considered changes to US federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.
Lower-rated Securities Risk: Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.
Prepayment and Extension Risk: Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.
These risks are fully discussed in the Portfolios’ prospectus. As with all investments, you may lose money by investing in the Portfolios.
An Important Note About Historical Performance
The investment return and principal value of an investment in the Portfolios will fluctuate, so that shares, when redeemed, may be
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DISCLOSURES AND RISKS (continued)
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 Portfolios have been deducted. NAV returns do not reflect sales charges; if sales charges were reflected, the Portfolios’ 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. 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
INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO
GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO (unaudited)
9/30/2012 TO 9/30/2022
This chart illustrates the total value of an assumed $10,000 investment in AB Intermediate California Municipal Portfolio Class A shares (from 9/30/2012 to 9/30/2022) as compared to the performance of the Portfolio’s benchmark. The chart reflects the deduction of the maximum 3% sales charge from the initial $10,000 investment in the Portfolio and assumes the reinvestment of dividends and capital gains distributions.
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HISTORICAL PERFORMANCE (continued)
INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO
AVERAGE ANNUAL RETURNS AS OF SEPTEMBER 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | SEC Yields1 | Taxable Equivalent Yields2 | |||||||||||||
CLASS A SHARES | 2.44% | 4.33% | ||||||||||||||
1 Year | -7.63% | -10.39% | ||||||||||||||
5 Years | 0.25% | -0.35% | ||||||||||||||
10 Years | 0.75% | 0.44% | ||||||||||||||
CLASS C SHARES | 1.75% | 3.11% | ||||||||||||||
1 Year | -8.26% | -9.17% | ||||||||||||||
5 Years | -0.50% | -0.50% | ||||||||||||||
10 Years3 | 0.01% | 0.01% | ||||||||||||||
ADVISOR CLASS SHARES4 | 2.77% | 4.92% | ||||||||||||||
1 Year | -7.40% | -7.40% | ||||||||||||||
5 Years | 0.50% | 0.50% | ||||||||||||||
Since Inception5 | 0.45% | 0.45% |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.73%, 1.48% and 0.48% for Class A, Class C and Advisor Class shares, respectively. 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 September 30, 2022. |
2 | Taxable equivalent yields are based on SEC yields and a 35% marginal federal income tax rate and maximum state taxes where applicable. |
3 | Assumes conversion of Class C shares into Class A shares after eight 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 Portfolio. |
5 | Inception date: 7/25/2016. |
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HISTORICAL PERFORMANCE (continued)
INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
SEPTEMBER 30, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | -10.39% | |||
5 Years | -0.35% | |||
10 Years | 0.44% | |||
CLASS C SHARES | ||||
1 Year | -9.17% | |||
5 Years | -0.50% | |||
10 Years1 | 0.01% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -7.40% | |||
5 Years | 0.50% | |||
Since Inception3 | 0.45% |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
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 Portfolio. |
3 | Inception date: 7/25/2016. |
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HISTORICAL PERFORMANCE
INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO
GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO (unaudited)
9/30/2012 TO 9/30/2022
This chart illustrates the total value of an assumed $10,000 investment in AB Intermediate Diversified Municipal Portfolio Class A shares (from 9/30/2012 to 9/30/2022) as compared to the performance of the Portfolio’s benchmark. The chart reflects the deduction of the maximum 3% sales charge from the initial $10,000 investment in the Portfolio and assumes the reinvestment of dividends and capital gains distributions.
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HISTORICAL PERFORMANCE (continued)
INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO
AVERAGE ANNUAL RETURNS AS OF SEPTEMBER 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | SEC Yields1 | Taxable Equivalent Yields2 | |||||||||||||
CLASS A SHARES | 2.61% | 4.02% | ||||||||||||||
1 Year | -8.06% | -10.82% | ||||||||||||||
5 Years | 0.40% | -0.22% | ||||||||||||||
10 Years | 0.85% | 0.55% | ||||||||||||||
CLASS C SHARES | 1.93% | 2.97% | ||||||||||||||
1 Year | -8.81% | -9.72% | ||||||||||||||
5 Years | -0.37% | -0.37% | ||||||||||||||
10 Years3 | 0.10% | 0.10% | ||||||||||||||
ADVISOR CLASS SHARES4 | 2.95% | 4.54% | ||||||||||||||
1 Year | -7.84% | -7.84% | ||||||||||||||
5 Years | 0.65% | 0.65% | ||||||||||||||
Since Inception5 | 1.15% | 1.15% | ||||||||||||||
CLASS Z SHARES4 | 2.92% | 4.49% | ||||||||||||||
1 Year | -7.81% | -7.81% | ||||||||||||||
Since Inception5 | 0.89% | 0.89% |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.66%, 1.41%, 0.41% and 0.38% for Class A, Class C, Advisor Class and Class Z shares, respectively. 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 September 30, 2022. |
2 | Taxable equivalent yields are based on SEC yields and a 35% marginal federal income tax rate and maximum state taxes where applicable. |
3 | Assumes conversion of Class C shares into Class A shares after eight 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 Portfolio. |
5 | Inception dates: 6/26/2015 for Advisor Class shares; 7/2/2018 for Class Z shares. |
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HISTORICAL PERFORMANCE (continued)
INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
SEPTEMBER 30, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | -10.82% | |||
5 Years | -0.22% | |||
10 Years | 0.55% | |||
CLASS C SHARES | ||||
1 Year | -9.72% | |||
5 Years | -0.37% | |||
10 Years1 | 0.10% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -7.84% | |||
5 Years | 0.65% | |||
Since Inception3 | 1.15% | |||
CLASS Z SHARES2 | ||||
1 Year | -7.81% | |||
Since Inception3 | 0.89% |
1 | Assumes conversion of Class C shares into Class A shares after eight 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 Portfolio. |
3 | Inception dates: 6/26/2015 for Advisor Class shares; 7/2/2018 for Class Z shares. |
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HISTORICAL PERFORMANCE
INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO
GROWTH OF A $10,000 INVESTMENT IN THE PORTFOLIO (unaudited)
9/30/2012 TO 9/30/2022
This chart illustrates the total value of an assumed $10,000 investment in AB Intermediate New York Municipal Portfolio Class A shares (from 9/30/2012 to 9/30/2022) as compared to the performance of the Portfolio’s benchmark. The chart reflects the deduction of the maximum 3% sales charge from the initial $10,000 investment in the Portfolio and assumes the reinvestment of dividends and capital gains distributions.
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HISTORICAL PERFORMANCE (continued)
INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO
AVERAGE ANNUAL RETURNS AS OF SEPTEMBER 30, 2022 (unaudited)
NAV Returns | SEC Returns (reflects applicable sales charges) | SEC Yields1 | Taxable Equivalent Yields2 | |||||||||||||
CLASS A SHARES | 2.60% | 4.49% | ||||||||||||||
1 Year | -8.07% | -10.82% | ||||||||||||||
5 Years | 0.13% | -0.49% | ||||||||||||||
10 Years | 0.74% | 0.44% | ||||||||||||||
CLASS C SHARES | 1.91% | 3.30% | ||||||||||||||
1 Year | -8.76% | -9.66% | ||||||||||||||
5 Years | -0.63% | -0.63% | ||||||||||||||
10 Years3 | 0.00% | 0.00% | ||||||||||||||
ADVISOR CLASS SHARES4 | 2.93% | 5.06% | ||||||||||||||
1 Year | -7.77% | -7.77% | ||||||||||||||
5 Years | 0.38% | 0.38% | ||||||||||||||
Since Inception5 | 0.38% | 0.38% |
The Portfolio’s current prospectus fee table shows the Portfolio’s total annual operating expense ratios as 0.73%, 1.48% and 0.48% for Class A, Class C and Advisor Class shares, respectively. 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 September 30, 2022. |
2 | Taxable equivalent yields are based on SEC yields and a 35% marginal federal income tax rate and maximum state taxes where applicable. |
3 | Assumes conversion of Class C shares into Class A shares after eight 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 Portfolio. |
5 | Inception date: 7/25/2016. |
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HISTORICAL PERFORMANCE (continued)
INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO
SEC AVERAGE ANNUAL RETURNS
AS OF THE MOST RECENT CALENDAR QUARTER-END
SEPTEMBER 30, 2022 (unaudited)
SEC Returns (reflects applicable sales charges) | ||||
CLASS A SHARES | ||||
1 Year | -10.82% | |||
5 Years | -0.49% | |||
10 Years | 0.44% | |||
CLASS C SHARES | ||||
1 Year | -9.66% | |||
5 Years | -0.63% | |||
10 Years1 | 0.00% | |||
ADVISOR CLASS SHARES2 | ||||
1 Year | -7.77% | |||
5 Years | 0.38% | |||
Since Inception3 | 0.38% |
1 | Assumes conversion of Class C shares into Class A shares after eight years. |
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 Portfolio. |
3 | Inception date: 7/25/2016. |
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EXPENSE EXAMPLE
(unaudited)
As a shareholder of a Portfolio, 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 Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio 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 a Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’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 Portfolio 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 second line of the table 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)
(unaudited)
California Municipal Portfolio
Beginning Account Value April 1, 2022 | Ending Account Value September 30, 2022 | Expenses | Annualized | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 963.30 | $ | 3.64 | 0.74 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.36 | $ | 3.75 | 0.74 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 960.30 | $ | 7.32 | 1.49 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.60 | $ | 7.54 | 1.49 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 964.50 | $ | 2.41 | 0.49 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.61 | $ | 2.48 | 0.49 | % |
Diversified Municipal Portfolio
Beginning Account Value April 1, 2022 | Ending Account Value September 30, 2022 | Expenses | Annualized | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 959.80 | $ | 3.24 | 0.66 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.76 | $ | 3.35 | 0.66 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 955.40 | $ | 6.91 | 1.41 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,018.00 | $ | 7.13 | 1.41 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 960.90 | $ | 2.02 | 0.41 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023.01 | $ | 2.08 | 0.41 | % | ||||||||
Class Z | ||||||||||||||||
Actual | $ | 1,000 | $ | 961.00 | $ | 1.97 | 0.40 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,023.06 | $ | 2.03 | 0.40 | % |
New York Municipal Portfolio
Beginning Account Value April 1, 2022 | Ending Account Value September 30, 2022 | Expenses | Annualized | |||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000 | $ | 958.10 | $ | 3.58 | 0.73 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.41 | $ | 3.70 | 0.73 | % | ||||||||
Class C | ||||||||||||||||
Actual | $ | 1,000 | $ | 954.50 | $ | 7.25 | 1.48 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,017.65 | $ | 7.49 | 1.48 | % | ||||||||
Advisor Class | ||||||||||||||||
Actual | $ | 1,000 | $ | 960.00 | $ | 2.36 | 0.48 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,022.66 | $ | 2.43 | 0.48 | % |
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
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PORTFOLIO SUMMARY
INTERMEDIATE CALIFORNIA MUNICIPAL PORTFOLIO
September 30, 2022 (unaudited)
1 | All data are as of September 30, 2022. The Portfolio’s quality rating and state breakdowns are expressed as a percentage of the Portfolio’s total investments in municipal securities and may vary over time. The Portfolio 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 Portfolio 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 0.2% in seven different states and American Samoa. |
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PORTFOLIO SUMMARY
INTERMEDIATE DIVERSIFIED MUNICIPAL PORTFOLIO
September 30, 2022 (unaudited)
1 | All data are as of September 30, 2022. The Portfolio’s quality rating and state breakdowns are expressed as a percentage of the Portfolio’s total investments in municipal securities and may vary over time. The Portfolio 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 Portfolio 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 2.2% in 34 different states, American Samoa, District of Columbia, Guam and Puerto Rico. |
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Table of Contents
PORTFOLIO SUMMARY
INTERMEDIATE NEW YORK MUNICIPAL PORTFOLIO
September 30, 2022 (unaudited)
1 | All data are as of September 30, 2022. The Portfolio’s quality rating and state breakdowns are expressed as a percentage of the Portfolio’s total investments in municipal securities and may vary over time. The Portfolio 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 Portfolio 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 0.3% in eight different states and American Samoa. |
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PORTFOLIO OF INVESTMENTS
CALIFORNIA MUNICIPAL PORTFOLIO
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
MUNICIPAL OBLIGATIONS – 92.9% |
| |||||||
Long-Term Municipal Bonds – 89.5% |
| |||||||
California – 75.4% | ||||||||
Anaheim Housing & Public Improvements Authority | $ | 3,850 | $ | 3,149,739 | ||||
Bay Area Toll Authority | 5,000 | 4,975,538 | ||||||
2.76% (MUNIPSA + 0.30%), 04/01/2056(a) | 5,000 | 4,849,187 | ||||||
2.87% (MUNIPSA + 0.41%), 04/01/2056(a) | 9,215 | 8,925,199 | ||||||
Bay Area Water Supply & Conservation Agency | 4,710 | 4,752,209 | ||||||
Series 2023 | 1,750 | 1,913,303 | ||||||
5.00%, 10/01/2030(b) | 1,800 | 1,983,147 | ||||||
5.00%, 10/01/2031(b) | 2,500 | 2,758,599 | ||||||
5.00%, 10/01/2032(b) | 2,500 | 2,771,220 | ||||||
5.00%, 10/01/2033(b) | 2,500 | 2,768,020 | ||||||
5.00%, 10/01/2034(b) | 2,000 | 2,204,378 | ||||||
California Community Housing Agency | 950 | 724,347 | ||||||
California Community Housing Agency | 5,000 | 3,487,593 | ||||||
California Community Housing Agency | 2,500 | 1,792,920 | ||||||
California Community Housing Agency | 4,000 | 2,775,790 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
California County Tobacco Securitization Agency | $ | 510 | $ | 460,147 | ||||
4.00%, 06/01/2038 | 1,000 | 892,807 | ||||||
5.00%, 06/01/2027 | 800 | 830,970 | ||||||
5.00%, 06/01/2028 | 700 | 728,430 | ||||||
5.00%, 06/01/2030 | 500 | 522,546 | ||||||
5.00%, 06/01/2031 | 400 | 415,536 | ||||||
5.00%, 06/01/2032 | 300 | 310,136 | ||||||
California Educational Facilities Authority | 1,545 | 1,606,194 | ||||||
California Enterprise Development Authority | 1,125 | 1,080,055 | ||||||
4.00%, 06/01/2031(c) | 2,000 | 1,809,547 | ||||||
California Health Facilities Financing Authority | 6,500 | 6,832,864 | ||||||
5.00%, 11/15/2028 | 6,000 | 6,301,715 | ||||||
5.00%, 11/15/2029 | 7,000 | 7,350,755 | ||||||
California Health Facilities Financing Authority | 1,215 | 1,242,402 | ||||||
California Health Facilities Financing Authority | 2,900 | 3,005,031 | ||||||
5.00%, 04/01/2033 | 2,000 | 2,064,617 | ||||||
5.00%, 04/01/2034 | 750 | 771,313 | ||||||
California Health Facilities Financing Authority | 9,245 | 9,259,695 | ||||||
California Health Facilities Financing Authority | 4,250 | 4,324,140 | ||||||
5.00%, 11/15/2025 | 2,535 | 2,645,731 | ||||||
5.00%, 11/15/2026 | 2,300 | 2,421,770 | ||||||
5.00%, 11/15/2027 | 1,000 | 1,063,087 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 11/15/2029 | $ | 1,280 | $ | 1,357,292 | ||||
California Housing Finance Agency | 11,044 | 10,505,281 | ||||||
Series 2021-1, Class A | 9,782 | 8,450,721 | ||||||
Series 2021-2 | 4,000 | 225,091 | ||||||
Series 2021-3, Class A | 1,975 | 1,690,597 | ||||||
California Infrastructure & Economic Development Bank | 10,000 | 9,889,615 | ||||||
California Infrastructure & Economic Development Bank | 8,700 | 8,606,106 | ||||||
California Infrastructure & Economic Development Bank | 5,000 | 5,187,408 | ||||||
Series 2018 | 13,965 | 15,181,641 | ||||||
California Infrastructure & Economic Development Bank | 2,370 | 2,472,672 | ||||||
Series 2016-B | 12,760 | 12,917,114 | ||||||
California Municipal Finance Authority | 1,000 | 1,019,822 | ||||||
California Municipal Finance Authority | 800 | 811,571 | ||||||
5.00%, 12/31/2024 | 250 | 254,970 | ||||||
5.00%, 12/31/2026 | 2,200 | 2,258,603 | ||||||
5.00%, 06/30/2027 | 2,250 | 2,305,930 | ||||||
5.00%, 12/31/2027 | 3,000 | 3,080,782 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 06/30/2029 | $ | 1,050 | $ | 1,076,047 | ||||
5.00%, 12/31/2029 | 1,150 | 1,177,612 | ||||||
5.00%, 06/30/2031 | 3,100 | 3,159,999 | ||||||
5.00%, 12/31/2031 | 1,930 | 1,964,265 | ||||||
California Municipal Finance Authority | 8,250 | 7,578,847 | ||||||
California Pollution Control Financing Authority | 3,195 | 3,198,762 | ||||||
California Pollution Control Financing Authority | 1,335 | 1,351,551 | ||||||
5.00%, 07/01/2029(c) | 3,400 | 3,455,804 | ||||||
California Public Finance Authority | 1,500 | 1,605,107 | ||||||
California School Finance Authority | 800 | 672,552 | ||||||
California School Finance Authority | 1,120 | 1,085,734 | ||||||
Series 2016-A | 1,000 | 995,768 | ||||||
California State Public Works Board | 11,220 | 11,543,773 | ||||||
Series 2014-B | 4,445 | 4,579,448 | ||||||
Series 2017-H | 2,000 | 2,144,150 | ||||||
5.00%, 04/01/2031 | 2,000 | 2,140,584 | ||||||
5.00%, 04/01/2032 | 1,270 | 1,355,800 | ||||||
California State University | 280 | 290,563 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2017-A | $ | 5,620 | $ | 5,999,181 | ||||
Series 2020-A | 600 | 662,938 | ||||||
5.00%, 11/01/2031 | 400 | 440,113 | ||||||
Series 2020-D | 1,500 | 1,235,869 | ||||||
Series 2021-B | 7,000 | 5,163,381 | ||||||
California Statewide Communities Development Authority | 1,210 | 1,238,439 | ||||||
California Statewide Communities Development Authority | 720 | 752,103 | ||||||
5.00%, 04/01/2028 | 535 | 560,604 | ||||||
California Statewide Communities Development Authority | 675 | 624,557 | ||||||
California Statewide Communities Development Authority | 4,500 | 4,544,355 | ||||||
Series 2016-A | 2,000 | 1,857,238 | ||||||
Series 2018-A | 250 | 251,376 | ||||||
5.00%, 12/01/2033(c) | 1,000 | 974,954 | ||||||
California Statewide Communities Development Authority | 180 | 178,833 | ||||||
5.00%, 07/01/2029(c) | 685 | 653,248 | ||||||
City & County of San Francisco CA | 3,095 | 3,136,376 | ||||||
5.00%, 06/15/2025 | 4,235 | 4,364,967 | ||||||
Series 2018-E | 1,490 | 1,509,919 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
City & County of San Francisco CA | $ | 3,970 | $ | 4,033,241 | ||||
City of Hayward CA | 3,000 | 3,060,179 | ||||||
City of Los Angeles Department of Airports | 1,440 | 1,495,674 | ||||||
5.00%, 05/15/2029 | 2,575 | 2,667,913 | ||||||
Series 2018 | 3,000 | 3,131,587 | ||||||
5.00%, 05/15/2035 | 1,190 | 1,210,098 | ||||||
Series 2018-C | 2,955 | 3,044,781 | ||||||
Series 2019 | 4,205 | 3,653,238 | ||||||
5.00%, 05/15/2030 | 8,020 | 8,401,806 | ||||||
Series 2019-A | 4,315 | 4,371,338 | ||||||
Series 2020-C | 5,000 | 5,247,526 | ||||||
5.00%, 05/15/2033 | 4,000 | 4,152,239 | ||||||
5.00%, 05/15/2039 | 2,655 | 2,707,911 | ||||||
Series 2021 | 2,020 | 2,128,567 | ||||||
5.00%, 05/15/2035 | 1,685 | 1,725,946 | ||||||
Series 2021-D | 2,165 | 1,935,090 | ||||||
Series 2022 | 1,300 | 1,205,641 | ||||||
4.00%, 05/15/2041 | 1,100 | 974,457 | ||||||
Series 2022-A | 6,160 | 5,456,957 | ||||||
City of Riverside CA Sewer Revenue | 2,000 | 2,096,826 | ||||||
5.00%, 08/01/2030 | 3,320 | 3,491,152 | ||||||
Series 2018-A | 2,785 | 3,028,247 | ||||||
City of Roseville CA | 1,010 | 1,057,578 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 09/01/2030 | $ | 1,295 | $ | 1,345,518 | ||||
City of Roseville CA | 995 | 1,025,089 | ||||||
City of San Jose CA Airport Revenue | 3,600 | 3,654,949 | ||||||
CMFA Special Finance Agency VII | 3,990 | 2,712,483 | ||||||
CMFA Special Finance Agency VIII Elan Huntington Beach | 1,000 | 750,000 | ||||||
Contra Costa Transportation Authority Sales Tax Revenue | 1,250 | 1,342,985 | ||||||
Coronado Community Development Agency Successor Agency | 3,625 | 3,771,501 | ||||||
CSCDA Community Improvement Authority | 4,000 | 2,977,158 | ||||||
CSCDA Community Improvement Authority | 1,500 | 1,136,615 | ||||||
CSCDA Community Improvement Authority | 4,000 | 2,800,600 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
CSCDA Community Improvement Authority | $ | 5,000 | $ | 3,592,171 | ||||
CSCDA Community Improvement Authority | 3,805 | 3,028,325 | ||||||
CSCDA Community Improvement Authority | 1,000 | 737,959 | ||||||
CSCDA Community Improvement | 5,000 | 3,506,363 | ||||||
CSCDA Community Improvement Authority | 2,490 | 1,777,491 | ||||||
CSCDA Community Improvement Authority | 2,000 | 1,552,157 | ||||||
CSCDA Community Improvement Authority | 3,000 | 2,184,697 | ||||||
CSCDA Community Improvement Authority | 4,000 | 2,760,906 | ||||||
CSCDA Community Improvement Authority | 1,500 | 931,290 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Fontana Redevelopment Agency Successor Agency | $ | 1,750 | $ | 1,871,863 | ||||
Fremont Community Facilities District No. 1 | 1,000 | 1,028,723 | ||||||
Golden State Tobacco Securitization Corp. | 1,205 | 1,180,084 | ||||||
3.115%, 06/01/2038 | 2,500 | 1,876,837 | ||||||
3.85%, 06/01/2050 | 5,000 | 4,336,146 | ||||||
Golden State Tobacco Securitization Corp. | 2,900 | 2,632,657 | ||||||
Lake Elsinore Public Financing Authority | 630 | 636,524 | ||||||
Long Beach Unified School District | 1,000 | 1,001,391 | ||||||
Los Angeles Department of Water & Power | 14,750 | 14,965,326 | ||||||
Los Angeles Department of Water & Power Power System Revenue | 2,500 | 2,511,832 | ||||||
Series 2014-B | 1,600 | 1,638,218 | ||||||
5.00%, 07/01/2027 | 2,190 | 2,242,311 | ||||||
Series 2014-C | 9,945 | 10,278,271 | ||||||
5.00%, 07/01/2026 | 11,725 | 12,115,901 | ||||||
Series 2015-E | 820 | 847,479 | ||||||
Series 2022 | 3,000 | 3,178,548 | ||||||
Series 2022-B | 3,000 | 3,274,908 | ||||||
5.00%, 07/01/2040 | 2,800 | 3,003,547 | ||||||
Los Angeles Department of Water & Power System Revenue | 4,800 | 5,090,738 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Los Angeles Department of Water & Power Water System Revenue | $ | 1,345 | $ | 1,460,852 | ||||
Los Angeles Unified School District/CA | 3,860 | 3,916,065 | ||||||
5.00%, 07/01/2027 | 10,365 | 10,694,507 | ||||||
Series 2016-A | 18,645 | 19,532,644 | ||||||
Series 2017-A | 6,905 | 7,005,292 | ||||||
5.00%, 07/01/2024 | 1,470 | 1,517,996 | ||||||
Series 2018-B | 9,020 | 9,791,322 | ||||||
Series 2018-M | 1,550 | 1,549,971 | ||||||
Series 2020-R | 4,500 | 4,135,046 | ||||||
5.00%, 07/01/2032 | 3,945 | 4,371,084 | ||||||
Metropolitan Water District of Southern California | 2,900 | 2,885,062 | ||||||
Middle Fork Project Finance Authority | 1,650 | 1,708,618 | ||||||
5.00%, 04/01/2034 | 1,100 | 1,134,783 | ||||||
5.00%, 04/01/2035 | 1,150 | 1,182,527 | ||||||
Natomas Unified School District | 1,930 | 1,958,048 | ||||||
Newport Mesa Unified School District | 1,600 | 1,653,163 | ||||||
Oakland Unified School District/Alameda County | 1,575 | 1,598,921 | ||||||
Series 2016 | 1,420 | 1,496,660 | ||||||
Palm Desert Redevelopment Agency Successor Agency | 1,000 | | 1,033,172 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Peralta Community College District | $ | 1,820 | $ | 1,869,376 | ||||
Pittsburg Successor Agency Redevelopment Agency | 2,785 | 2,921,357 | ||||||
Port of Los Angeles | 1,000 | 1,024,677 | ||||||
5.00%, 08/01/2027 | 1,565 | 1,603,218 | ||||||
Port of Oakland | 255 | 255,347 | ||||||
5.00%, 11/01/2022 | 960 | 961,225 | ||||||
Series 2021 | 4,800 | 4,948,666 | ||||||
Regents of the University of California Medical Center Pooled Revenue | 10,000 | 10,532,249 | ||||||
River Islands Public Financing Authority | 2,905 | 2,644,949 | ||||||
5.00%, 09/01/2042 | 2,510 | 2,305,290 | ||||||
Riverside County Public Financing Authority | 3,395 | 3,580,175 | ||||||
Romoland School District | 955 | 964,463 | ||||||
Sacramento County Water Financing Authority | 5,700 | 4,890,233 | ||||||
San Diego Association of Governments | 3,200 | 2,838,220 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
San Francisco City & County Public Utilities Commission Wastewater Revenue | $ | 4,000 | $ | 4,000,000 | ||||
San Francisco City & County Redevelopment Agency Successor Agency | 1,500 | 1,501,163 | ||||||
San Francisco City & County Redevelopment Agency Successor Agency | 1,070 | 1,130,944 | ||||||
San Francisco Intl Airport | 11,015 | 11,254,174 | ||||||
Series 2019-E | 3,450 | 3,524,912 | ||||||
5.00%, 05/01/2035 | 3,275 | 3,338,713 | ||||||
5.00%, 05/01/2036 | 3,385 | 3,442,169 | ||||||
Series 2019-H | 5,500 | 5,695,346 | ||||||
Series 2020-E | 3,815 | 3,882,152 | ||||||
Series 2021-A | 1,950 | 1,991,132 | ||||||
Series 2022-C | 1,625 | 1,366,015 | ||||||
San Mateo Joint Powers Financing Authority | 4,000 | 4,055,282 | ||||||
5.00%, 07/15/2024 | 3,660 | 3,769,172 | ||||||
5.00%, 07/15/2025 | 5,790 | 6,068,062 | ||||||
5.00%, 07/15/2026 | 3,310 | 3,520,730 | ||||||
Saugus/Hart School Facilities Financing Authority | 1,000 | 1,031,369 | ||||||
5.00%, 09/01/2030 | 1,365 | 1,401,764 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Southern California Public Power Authority | $ | 1,030 | $ | 1,059,210 | ||||
Southwestern Community College District | 3,250 | 3,300,693 | ||||||
5.00%, 08/01/2024 | 3,550 | 3,664,762 | ||||||
5.00%, 08/01/2025 | 3,870 | 4,058,632 | ||||||
State of California | 8,890 | 9,035,464 | ||||||
Series 2014 | 11,085 | 11,120,571 | ||||||
5.00%, 12/01/2028 | 2,285 | 2,332,386 | ||||||
5.00%, 05/01/2029 | 5,295 | 5,445,765 | ||||||
Series 2015-B | 3,330 | 3,446,686 | ||||||
Series 2017 | 5,540 | 5,726,078 | ||||||
Series 2018 | 5,000 | 5,000,000 | ||||||
Series 2019 | 1,935 | 2,118,332 | ||||||
5.00%, 11/01/2031 | 1,310 | 1,427,643 | ||||||
5.00%, 04/01/2037 | 615 | 654,180 | ||||||
Series 2022 | 6,380 | 5,927,414 | ||||||
5.00%, 09/01/2036 | 7,780 | 8,480,491 | ||||||
5.00%, 04/01/2042 | 4,630 | 4,833,496 | ||||||
Stockton Unified School District | 7,770 | 8,168,986 | ||||||
Sweetwater Union High School District | 3,205 | 3,373,138 | ||||||
BAM Series 2014 | 5,760 | 5,905,991 | ||||||
5.00%, 08/01/2029 | 2,220 | 2,273,895 | ||||||
Tobacco Securitization Authority of Northern California | 1,000 | 940,523 |
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PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
4.00%, 06/01/2036 | $ | 1,015 | $ | 937,710 | ||||
4.00%, 06/01/2038 | 1,210 | 1,097,003 | ||||||
4.00%, 06/01/2040 | 1,150 | 1,024,427 | ||||||
5.00%, 06/01/2026 | 1,360 | 1,422,988 | ||||||
5.00%, 06/01/2027 | 1,500 | 1,566,033 | ||||||
5.00%, 06/01/2028 | 1,220 | 1,277,154 | ||||||
5.00%, 06/01/2030 | 1,500 | 1,578,947 | ||||||
5.00%, 06/01/2032 | 1,300 | 1,356,464 | ||||||
Transbay Joint Powers Authority | 500 | 543,602 | ||||||
5.00%, 10/01/2032 | 450 | 485,994 | ||||||
5.00%, 10/01/2034 | 600 | 641,070 | ||||||
5.00%, 10/01/2035 | 600 | 637,940 | ||||||
5.00%, 10/01/2036 | 800 | 844,059 | ||||||
5.00%, 10/01/2037 | 700 | 732,452 | ||||||
5.00%, 10/01/2038 | 1,000 | 1,037,511 | ||||||
University of California | 9,785 | 9,903,243 | ||||||
Series 2014-A | 1,000 | 1,029,751 | ||||||
Series 2015-A | 2,280 | 2,347,833 | ||||||
Series 2017-A | 1,000 | 1,082,796 | ||||||
5.00%, 05/15/2029 | 3,000 | 3,246,964 | ||||||
5.00%, 05/15/2031 | 2,465 | 2,656,918 | ||||||
Series 2017-M | 4,000 | 4,304,310 | ||||||
Series 2018-O | 8,320 | 8,510,229 | ||||||
Series 2020-B | 7,000 | 7,674,171 | ||||||
5.00%, 05/15/2035 | 10,000 | 10,887,459 | ||||||
Series 2021-Q | 7,750 | 7,167,426 | ||||||
Series 2022-S | 2,000 | 2,245,576 | ||||||
Series 2023-B | 3,000 | 3,217,478 | ||||||
5.00%, 05/15/2032(b) | 5,000 | 5,506,723 | ||||||
5.00%, 05/15/2033(b) | 3,180 | 3,513,445 | ||||||
5.00%, 05/15/2037(b) | 2,000 | 2,154,199 | ||||||
|
| |||||||
830,952,751 | ||||||||
|
|
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 41 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Alabama – 2.2% |
| |||||||
Southeast Alabama Gas Supply District (The) | $ | 24,615 | $ | 24,552,114 | ||||
|
| |||||||
American Samoa – 0.1% |
| |||||||
American Samoa Economic Development Authority | 735 | 793,344 | ||||||
|
| |||||||
Colorado – 0.3% |
| |||||||
City & County of Denver CO | 3,000 | 2,855,121 | ||||||
|
| |||||||
Florida – 0.1% |
| |||||||
Capital Trust Agency, Inc. | 100 | 100,814 | ||||||
City of Tampa FL | 175 | 102,280 | ||||||
County of Osceola FL Transportation Revenue | 150 | 99,969 | ||||||
Zero Coupon, 10/01/2031 | 185 | 116,293 | ||||||
Zero Coupon, 10/01/2032 | 100 | 59,305 | ||||||
Zero Coupon, 10/01/2033 | 250 | 139,420 | ||||||
Zero Coupon, 10/01/2034 | 270 | 141,697 | ||||||
New River Community Development District | 405 | – 0 | – | |||||
|
| |||||||
759,778 | ||||||||
|
| |||||||
Georgia – 0.2% |
| |||||||
Municipal Electric Authority of Georgia | 460 | 476,848 | ||||||
5.00%, 01/01/2035 | 250 | 255,445 | ||||||
5.00%, 01/01/2036 | 1,590 | 1,616,042 | ||||||
|
| |||||||
2,348,335 | ||||||||
|
|
42 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Guam – 1.8% |
| |||||||
Antonio B Won Pat International Airport Authority | $ | 625 | $ | 548,765 | ||||
3.489%, 10/01/2031 | 500 | 414,412 | ||||||
Series 2023 | 1,080 | 1,054,274 | ||||||
5.125%, 10/01/2034(b) | 140 | 127,831 | ||||||
5.375%, 10/01/2040(b) | 275 | 248,099 | ||||||
Guam Department of Education | 1,500 | 1,381,664 | ||||||
5.00%, 02/01/2040 | 1,090 | 992,226 | ||||||
Guam Power Authority | 2,000 | 2,022,095 | ||||||
5.00%, 10/01/2028 | 3,000 | 3,126,721 | ||||||
Territory of Guam | 540 | 509,877 | ||||||
Territory of Guam | 455 | 454,302 | ||||||
5.00%, 12/01/2030 | 730 | 724,672 | ||||||
5.00%, 12/01/2032 | 675 | 660,469 | ||||||
Territory of Guam | 1,365 | 1,370,243 | ||||||
5.00%, 11/15/2025 | 1,140 | 1,143,987 | ||||||
5.00%, 11/15/2031 | 2,735 | 2,692,501 | ||||||
Series 2021-F | 1,000 | 990,253 | ||||||
Territory of Guam | 350 | 349,588 | ||||||
5.00%, 11/01/2028 | 455 | 453,894 | ||||||
5.00%, 11/01/2029 | 500 | 499,086 | ||||||
5.00%, 11/01/2030 | 320 | 317,607 | ||||||
|
| |||||||
20,082,566 | ||||||||
|
|
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 43 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Illinois – 2.6% |
| |||||||
Chicago Board of Education | $ | 6,000 | $ | 6,104,842 | ||||
Illinois Finance Authority | 100 | 100,679 | ||||||
5.00%, 09/01/2026 | 100 | 101,987 | ||||||
5.00%, 09/01/2027 | 100 | 102,116 | ||||||
5.00%, 09/01/2029 | 100 | 102,370 | ||||||
5.00%, 09/01/2032 | 100 | 100,517 | ||||||
5.00%, 09/01/2033 | 200 | 199,915 | ||||||
5.00%, 09/01/2034 | 100 | 98,747 | ||||||
Metropolitan Pier & Exposition Authority | 3,250 | 3,330,718 | ||||||
State of Illinois | 1,200 | 1,219,826 | ||||||
Series 2017-D | 9,530 | 9,642,940 | ||||||
5.00%, 11/01/2024 | 3,935 | 4,000,013 | ||||||
Village of Bolingbrook IL Sales Tax Revenue | 4,450 | 4,096,133 | ||||||
|
| |||||||
29,200,803 | ||||||||
|
| |||||||
Kentucky – 0.4% |
| |||||||
City of Ashland KY | 230 | 236,005 | ||||||
5.00%, 02/01/2027 | 260 | 268,490 | ||||||
5.00%, 02/01/2030 | 160 | 166,931 | ||||||
5.00%, 02/01/2031 | 200 | 204,399 | ||||||
Kentucky Economic Development Finance Authority | 3,500 | 3,597,413 | ||||||
|
| |||||||
4,473,238 | ||||||||
|
| |||||||
Louisiana – 0.1% |
| |||||||
Parish of St. James LA | 185 | 189,780 |
44 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
6.10%, 06/01/2038(c) | $ | 270 | $ | 287,271 | ||||
6.10%, 12/01/2040(c) | 355 | 377,709 | ||||||
|
| |||||||
854,760 | ||||||||
|
| |||||||
Michigan – 0.2% |
| |||||||
City of Detroit MI | 1,745 | 1,771,494 | ||||||
|
| |||||||
Missouri – 0.0% |
| |||||||
Howard Bend Levee District | 175 | 177,132 | ||||||
5.75%, 03/01/2027 | 150 | 152,053 | ||||||
|
| |||||||
329,185 | ||||||||
|
| |||||||
Nevada – 0.1% |
| |||||||
City of Sparks NV | 295 | 283,736 | ||||||
2.75%, 06/15/2028(c) | 525 | 460,121 | ||||||
|
| |||||||
743,857 | ||||||||
|
| |||||||
New Jersey – 1.8% |
| |||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Fed Hwy Grant) | 1,410 | 1,474,171 | ||||||
5.00%, 06/15/2029 | 6,660 | 6,895,010 | ||||||
Series 2018-A | 2,710 | 2,822,724 | ||||||
5.00%, 06/15/2029 | 1,290 | 1,335,520 | ||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Trust Fund Authority State Lease) | 3,225 | 3,349,569 | ||||||
Tobacco Settlement Financing Corp./NJ | 1,000 | 1,010,996 | ||||||
5.00%, 06/01/2025 | 1,000 | 1,027,849 | ||||||
5.00%, 06/01/2026 | 1,000 | 1,034,958 | ||||||
5.00%, 06/01/2028 | 1,000 | 1,038,136 | ||||||
|
| |||||||
19,988,933 | ||||||||
|
| |||||||
New York – 1.2% |
| |||||||
Metropolitan Transportation Authority | 2,065 | 2,140,942 |
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 45 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2017-C | $ | 2,960 | $ | 3,069,765 | ||||
Series 2020-E | 3,750 | 3,882,849 | ||||||
5.00%, 11/15/2028 | 3,500 | 3,629,073 | ||||||
New York Transportation Development Corp. | 1,000 | 881,715 | ||||||
New York Transportation Development Corp. | 220 | 208,732 | ||||||
|
| |||||||
13,813,076 | ||||||||
|
| |||||||
Ohio – 0.1% |
| |||||||
Buckeye Tobacco Settlement Financing Authority | 1,175 | 1,202,350 | ||||||
|
| |||||||
Pennsylvania – 0.4% |
| |||||||
Allentown Neighborhood Improvement Zone Development Authority | 1,250 | 1,250,208 | ||||||
5.00%, 05/01/2033(c) | 1,000 | 968,040 | ||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) | 1,815 | 1,843,362 | ||||||
|
| |||||||
4,061,610 | ||||||||
|
| |||||||
Puerto Rico – 0.8% |
| |||||||
Commonwealth of Puerto Rico | 800 | 734,843 | ||||||
Zero Coupon, 07/01/2033 | 1,680 | 926,005 | ||||||
4.00%, 07/01/2033 | 500 | 439,701 | ||||||
5.25%, 07/01/2023 | 350 | 351,557 | ||||||
5.375%, 07/01/2025 | 655 | 661,333 | ||||||
5.625%, 07/01/2027 | 2,515 | 2,567,227 | ||||||
5.625%, 07/01/2029 | 725 | 741,525 | ||||||
5.75%, 07/01/2031 | 220 | 224,291 |
46 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Puerto Rico Highway & Transportation Authority | $ | 740 | $ | 719,486 | ||||
AGC Series 2007-C | 150 | 151,166 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 982 | 907,289 | ||||||
|
| |||||||
8,424,423 | ||||||||
|
| |||||||
South Carolina – 0.4% |
| |||||||
Patriots Energy Group Financing Agency | 5,000 | 5,010,695 | ||||||
|
| |||||||
Texas – 0.4% |
| |||||||
Mission Economic Development Corp. | 3,205 | 3,155,227 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. I | 1,190 | 1,236,398 | ||||||
|
| |||||||
4,391,625 | ||||||||
|
| |||||||
Washington – 0.1% |
| |||||||
Washington Health Care Facilities Authority | 825 | 846,676 | ||||||
|
| |||||||
Wisconsin – 0.8% |
| |||||||
UMA Education, Inc. | 175 | 175,000 | ||||||
5.00%, 10/01/2023(c) | 195 | 195,130 | ||||||
5.00%, 10/01/2025(c) | 730 | 727,395 | ||||||
5.00%, 10/01/2026(c) | 770 | 764,782 | ||||||
5.00%, 10/01/2027(c) | 805 | 795,911 | ||||||
5.00%, 10/01/2028(c) | 700 | 687,928 | ||||||
5.00%, 10/01/2029(c) | 320 | 313,214 |
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 47 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Wisconsin Public Finance Authority | $ | 5,335 | $ | 5,382,550 | ||||
|
| |||||||
9,041,910 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds | 986,498,644 | |||||||
|
| |||||||
Short-Term Municipal Notes – 3.4% |
| |||||||
California – 3.4% |
| |||||||
City of Los Angeles CA | 35,990 | 36,235,092 | ||||||
Southern California Public Power Authority | 1,300 | 1,300,000 | ||||||
|
| |||||||
Total Short-Term Municipal Notes | 37,535,092 | |||||||
|
| |||||||
Total Municipal Obligations | 1,024,033,736 | |||||||
|
| |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.0% | ||||||||
Agency CMBS – 1.0% | ||||||||
California Housing Finance Agency | 7,904 | 7,251,982 | ||||||
Series 2021-3, Class X | 3,357 | 202,690 | ||||||
Federal Home Loan Mortgage Corp. | 4,937 | 3,801,068 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 11,255,740 | |||||||
|
| |||||||
GOVERNMENTS - TREASURIES – 0.2% | ||||||||
United States – 0.2% |
| |||||||
U.S. Treasury Notes | 2,346 | 2,161,986 | ||||||
|
| |||||||
48 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
CORPORATES - INVESTMENT GRADE – 0.2% | ||||||||
Industrial – 0.2% |
| |||||||
Consumer Cyclical - Automotive – 0.2% |
| |||||||
General Motors Financial Co., Inc. | $ | 2,000 | $ | 1,957,540 | ||||
|
| |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.1% | ||||||||
Risk Share Floating Rate – 0.1% |
| |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 90 | 91,004 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | 71 | 71,489 | ||||||
Series 2014-C04, Class 1M2 | 56 | 58,259 | ||||||
Series 2015-C02, Class 1M2 | 35 | 36,016 | ||||||
Series 2015-C03, Class 1M2 | 35 | 35,429 | ||||||
Series 2016-C01, Class 1M2 | 111 | 117,513 | ||||||
Series 2016-C02, Class 1M2 | 56 | 58,245 | ||||||
Series 2016-C03, Class 1M2 | 95 | 97,279 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 565,234 | |||||||
|
| |||||||
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 49 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
SHORT-TERM INVESTMENTS – 5.3% | ||||||||
U.S. Treasury Bills – 5.3% |
| |||||||
United States – 5.3% |
| |||||||
U.S. Treasury Bill | $ | 58,500 | $ | 58,427,622 | ||||
|
| |||||||
Total Investments – 99.7% | 1,098,401,858 | |||||||
Other assets less liabilities – 0.3% | 3,494,929 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,101,896,787 | ||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note 3)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY | 5.00 | % | Quarterly | 6.06 | % | USD | 8,300 | $ | (328,585 | ) | $ | (317,863 | ) | $ | (10,722 | ) |
* | Termination date |
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
USD | 5,605 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 483,175 | $ | – 0 | – | $ | 483,175 | ||||||||||||||
USD | 3,100 | 01/15/2025 | 4.028% | CPI# | Maturity | 85,148 | – 0 | – | 85,148 | |||||||||||||||||
USD | 2,803 | 01/15/2025 | 2.613% | CPI# | Maturity | 236,393 | – 0 | – | 236,393 | |||||||||||||||||
USD | 2,802 | 01/15/2025 | 2.585% | CPI# | Maturity | 239,341 | – 0 | – | 239,341 | |||||||||||||||||
USD | 12,110 | 01/15/2026 | CPI# | 3.720% | Maturity | (329,976 | ) | – 0 | – | (329,976 | ) | |||||||||||||||
USD | 8,400 | 01/15/2027 | CPI# | 3.320% | Maturity | (316,213 | ) | – 0 | – | (316,213 | ) | |||||||||||||||
USD | 8,200 | 01/15/2027 | CPI# | 3.466% | Maturity | (236,510 | ) | (9,582 | ) | (226,928 | ) | |||||||||||||||
USD | 6,420 | 01/15/2027 | CPI# | 3.323% | Maturity | (240,520 | ) | – 0 | – | (240,520 | ) | |||||||||||||||
USD | 21,750 | 01/15/2028 | 1.230% | CPI# | Maturity | 3,629,212 | – 0 | – | 3,629,212 | |||||||||||||||||
USD | 15,980 | 01/15/2028 | 0.735% | CPI# | Maturity | 3,223,789 | – 0 | – | 3,223,789 | |||||||||||||||||
USD | 21,800 | 01/15/2029 | CPI# | 3.290% | Maturity | (436,702 | ) | – 0 | – | (436,702 | ) | |||||||||||||||
USD | 8,210 | 01/15/2029 | CPI# | 3.735% | Maturity | 131,878 | – 0 | – | 131,878 | |||||||||||||||||
USD | 4,115 | 01/15/2030 | 1.572% | CPI# | Maturity | 630,159 | – 0 | – | 630,159 | |||||||||||||||||
USD | 4,115 | 01/15/2030 | 1.587% | CPI# | Maturity | 624,679 | – 0 | – | 624,679 | |||||||||||||||||
USD | 4,900 | 01/15/2031 | 2.782% | CPI# | Maturity | 247,343 | – 0 | – | 247,343 | |||||||||||||||||
USD | 4,500 | 01/15/2031 | 2.680% | CPI# | Maturity | 270,830 | – 0 | – | 270,830 |
50 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
Rate Type | ||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
USD | 3,950 | 01/15/2031 | 2.989% | CPI# | Maturity | $ | 120,714 | $ | – 0 | – | $ | 120,714 | ||||||||||||||
USD | 4,300 | 01/15/2032 | CPI# | 3.064% | Maturity | (68,505 | ) | – 0 | – | (68,505 | ) | |||||||||||||||
USD | 4,180 | 04/15/2032 | CPI# | 2.909% | Maturity | (118,301 | ) | – 0 | – | (118,301 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 8,175,934 | $ | (9,582 | ) | $ | 8,185,516 | ||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
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 | 13,000 | 01/15/2029 | 1.363% | | 3 Month LIBOR | | Semi-Annual/ Quarterly | $ | 1,894,135 | $ | (8,805 | ) | $ | 1,902,940 | ||||||||||||||||
USD | 34,000 | 04/15/2032 | 2.525% | | 1 Day SOFR | | Annual | 2,638,093 | – 0 | – | 2,638,093 | |||||||||||||||||||
USD | 8,000 | 04/15/2032 | 1.280% | | 1 Day SOFR | | Annual | 1,445,650 | – 0 | – | 1,445,650 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 5,977,878 | $ | (8,805 | ) | $ | 5,986,683 | ||||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 87 | $ | (19,479 | ) | $ | (8,116 | ) | $ | (11,363 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,005 | (225,216 | ) | (123,252 | ) | (101,964 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1 | (161 | ) | (84 | ) | (77 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 47 | (10,625 | ) | (4,468 | ) | (6,157 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 592 | (132,811 | ) | (55,913 | ) | (76,898 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 892 | (199,942 | ) | (82,013 | ) | (117,929 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 773 | (173,219 | ) | (68,965 | ) | (104,254 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (761,453 | ) | $ | (342,811 | ) | $ | (418,642 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 51 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
CALIFORNIA MUNICIPAL PORTFOLIO
INTEREST RATE SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Citibank, NA | USD | 12,395 | 10/09/2029 | 1.125 | % | SIFMA | * | Quarterly | $ | 1,424,335 | $ | – 0 | – | $ | 1,424,335 |
* | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
(a) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(b) | When-Issued or delayed delivery security. |
(c) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $80,439,176 or 7.3% of net assets. |
(d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(e) | Fair valued by the Adviser. |
(f) | Non-income producing security. |
(g) | Defaulted matured security. |
(h) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
(i) | IO – Interest Only. |
(j) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 2.0% and 0.0%, respectively.
Glossary:
AGC – Assured Guaranty Corporation
AGM – Assured Guaranty Municipal
BAM – Build American Mutual
CDX-CMBX.NA – North American Commercial Mortgage-Backed Index
CDX-NAHY – North American High Yield Credit Default Swap
CMBS – Commercial Mortgage-Backed Securities
COP – Certificate of Participation
DOT – Department of Transportation
ETM – Escrowed to Maturity
LIBOR – London Interbank Offered Rate
MUNIPSA – SIFMA Municipal Swap Index
NATL – National Interstate Corporation
SOFR – Secured Overnight Financing Rate
SRF – State Revolving Fund
XLCA – XL Capital Assurance Inc.
See notes to financial statements.
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PORTFOLIO OF INVESTMENTS
DIVERSIFIED MUNICIPAL PORTFOLIO
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
MUNICIPAL OBLIGATIONS – 98.0% |
| |||||||
Long-Term Municipal Bonds – 89.9% |
| |||||||
Alabama – 2.0% |
| |||||||
Alabama Federal Aid Highway Finance Authority | $ | 1,390 | $ | 1,435,835 | ||||
Black Belt Energy Gas District | 5,000 | 4,870,082 | ||||||
Infirmary Health System Special Care Facilities Financing Authority of Mobile | 1,000 | 888,732 | ||||||
4.00%, 02/01/2040 | 2,680 | 2,361,988 | ||||||
Southeast Alabama Gas Supply District (The) | 23,985 | 23,906,588 | ||||||
Southeast Alabama Gas Supply District (The) | 69,310 | 69,132,927 | ||||||
Sumter County Industrial Development Authority/AL | 6,480 | 5,948,392 | ||||||
|
| |||||||
108,544,544 | ||||||||
|
| |||||||
Alaska – 0.2% |
| |||||||
Municipality of Anchorage AK | 4,375 | 4,522,551 | ||||||
Series 2015-C | 1,890 | 1,921,436 | ||||||
5.00%, 09/01/2024 | 2,730 | 2,822,072 | ||||||
|
| |||||||
9,266,059 | ||||||||
|
|
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
American Samoa – 0.0% |
| |||||||
American Samoa Economic Development Authority | $ | 1,920 | $ | 2,072,408 | ||||
|
| |||||||
Arizona – 1.8% |
| |||||||
Arizona Health Facilities Authority | 1,270 | 1,292,993 | ||||||
5.00%, 12/01/2024 | 1,500 | 1,546,033 | ||||||
Arizona Industrial Development Authority | 1,000 | 1,048,104 | ||||||
Arizona Industrial Development Authority | 2,000 | 1,948,136 | ||||||
City of Glendale AZ | 2,900 | 2,387,668 | ||||||
2.542%, 07/01/2033 | 5,000 | 3,850,239 | ||||||
2.642%, 07/01/2034 | 10,000 | 7,602,041 | ||||||
City of Glendale AZ | 7,945 | 8,052,776 | ||||||
5.00%, 07/01/2024 | 9,010 | 9,284,051 | ||||||
City of Phoenix Civic Improvement Corp. | 600 | 667,217 | ||||||
5.00%, 07/01/2031 | 850 | 941,180 | ||||||
5.00%, 07/01/2032 | 825 | 909,971 | ||||||
5.00%, 07/01/2033 | 1,000 | 1,098,505 | ||||||
5.00%, 07/01/2035 | 1,250 | 1,353,447 | ||||||
5.00%, 07/01/2036 | 2,000 | 2,162,103 | ||||||
5.00%, 07/01/2037 | 1,500 | 1,612,335 | ||||||
5.00%, 07/01/2038 | 2,000 | 2,144,763 | ||||||
5.00%, 07/01/2039 | 2,000 | 2,140,847 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2020-A | $ | 500 | $ | 556,014 | ||||
5.00%, 07/01/2031 | 650 | 719,726 | ||||||
5.00%, 07/01/2032 | 400 | 441,198 | ||||||
5.00%, 07/01/2033 | 490 | 538,267 | ||||||
5.00%, 07/01/2034 | 1,000 | 1,092,244 | ||||||
5.00%, 07/01/2035 | 1,135 | 1,228,930 | ||||||
5.00%, 07/01/2036 | 1,670 | 1,805,356 | ||||||
5.00%, 07/01/2037 | 1,500 | 1,612,335 | ||||||
5.00%, 07/01/2038 | 1,550 | 1,662,192 | ||||||
City of Tempe AZ | 5,000 | 3,899,742 | ||||||
2.171%, 07/01/2033 | 5,000 | 3,831,932 | ||||||
Gilbert Water Resource Municipal Property Corp. | 1,805 | 1,985,054 | ||||||
5.00%, 07/15/2038 | 5,500 | 6,031,528 | ||||||
Maricopa County Special Health Care District | 6,000 | 6,489,233 | ||||||
State of Arizona Lottery Revenue | 4,000 | 4,052,492 | ||||||
5.00%, 07/01/2024 | 2,000 | 2,058,775 | ||||||
5.00%, 07/01/2025 | 5,000 | 5,224,944 | ||||||
5.00%, 07/01/2027 | 5,500 | 5,904,185 | ||||||
|
| |||||||
99,176,556 | ||||||||
|
| |||||||
Arkansas – 0.1% |
| |||||||
City of Fayetteville AR Sales & Use Tax Revenue | 3,000 | 2,737,688 | ||||||
|
|
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
California – 6.3% |
| |||||||
California Community Housing Agency | $ | 18,035 | $ | 12,579,748 | ||||
California Housing Finance Agency | 10,545 | 10,030,291 | ||||||
Series 2021-1, Class A | 3,424 | 2,957,752 | ||||||
Series 2021-2 | 10,000 | 562,728 | ||||||
Series 2021-3, Class A | 3,950 | 3,381,233 | ||||||
California State Public Works Board | 1,225 | 1,262,053 | ||||||
Series 2021-A | 12,040 | 12,890,429 | ||||||
California State University | 5,000 | 3,643,788 | ||||||
City of Los Angeles Department of Airports | 5,840 | 5,918,866 | ||||||
Series 2019 | 5,215 | 5,257,074 | ||||||
City of Riverside CA Electric Revenue | 5,230 | 5,685,195 | ||||||
CMFA Special Finance Agency VII | 1,995 | 1,356,241 | ||||||
CMFA Special Finance Agency VIII Elan Huntington Beach | 2,505 | 1,878,750 | ||||||
CSCDA Community Improvement Authority | 13,250 | 10,040,097 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
CSCDA Community Improvement Authority | $ | 5,500 | $ | 3,850,825 | ||||
CSCDA Community Improvement Authority | 13,000 | 9,339,646 | ||||||
CSCDA Community Improvement Authority | 7,000 | 5,165,710 | ||||||
CSCDA Community Improvement Authority | 3,000 | 2,184,697 | ||||||
CSCDA Community Improvement Authority | 6,545 | 4,517,532 | ||||||
Los Angeles County Metropolitan Transportation Authority Sales Tax Revenue | 10,000 | 9,708,444 | ||||||
Los Angeles Unified School District/CA | 2,780 | 3,059,775 | ||||||
Regents of the University of California Medical Center Pooled Revenue | 5,000 | 5,314,884 | ||||||
Sacramento County Water Financing Authority | 15,000 | 12,869,035 | ||||||
San Francisco Intl Airport | 9,645 | 9,814,771 | ||||||
State of California | 20,000 | 20,407,592 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 11/01/2025 | $ | 23,465 | $ | 23,938,205 | ||||
Series 2014 | 30,965 | 31,860,663 | ||||||
5.00%, 05/01/2026 | 50,000 | 51,438,475 | ||||||
Series 2019 | 16,185 | 17,638,479 | ||||||
5.00%, 04/01/2036 | 26,190 | 27,927,340 | ||||||
Series 2020 | 19,000 | 21,267,694 | ||||||
5.00%, 03/01/2035 | 460 | 496,328 | ||||||
University of California | 5,000 | 5,570,880 | ||||||
5.00%, 05/15/2035 | 5,000 | 5,520,086 | ||||||
|
| |||||||
349,335,306 | ||||||||
|
| |||||||
Colorado – 2.1% |
| |||||||
Centerra Metropolitan District No. 1 | 3,680 | 3,620,076 | ||||||
City & County of Denver Co. Airport System Revenue | 1,025 | 1,026,866 | ||||||
City & County of Denver CO. Airport System Revenue | 5,605 | 5,614,119 | ||||||
City & County of Denver Co. Airport System Revenue | 4,085 | 4,159,856 | ||||||
Series 2018-A | 10,000 | 10,351,534 | ||||||
City & County of Denver CO. Airport System Revenue | 16,080 | 16,637,632 | ||||||
City & County of Denver Co. Airport System Revenue | 19,215 | 19,950,433 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
City & County of Denver CO. Airport System Revenue | $ | 24,320 | $ | 25,395,562 | ||||
City & County of Denver Co. Airport System Revenue | 1,620 | 1,665,193 | ||||||
Colorado Health Facilities Authority | 2,175 | 2,232,145 | ||||||
5.00%, 08/01/2033 | 1,095 | 1,106,329 | ||||||
5.00%, 08/01/2035 | 1,995 | 1,999,485 | ||||||
Colorado Health Facilities Authority | 2,280 | 2,392,722 | ||||||
5.00%, 11/01/2028 | 3,620 | 3,808,196 | ||||||
Johnstown Plaza Metropolitan District | 2,369 | 1,876,748 | ||||||
State of Colorado | 11,000 | 12,682,461 | ||||||
Vauxmont Metropolitan District | 959 | 680,109 | ||||||
5.00%, 12/15/2026 | 270 | 286,764 | ||||||
AGM Series 2020 | 485 | 500,292 | ||||||
5.00%, 12/01/2027 | 305 | 326,161 | ||||||
5.00%, 12/01/2030 | 385 | 418,742 | ||||||
5.00%, 12/01/2033 | 285 | 305,518 | ||||||
5.00%, 12/01/2050 | 300 | 312,309 | ||||||
|
| |||||||
117,349,252 | ||||||||
|
| |||||||
Connecticut – 3.0% |
| |||||||
City of Bridgeport CT | 1,420 | 1,445,463 | ||||||
5.00%, 11/01/2028 | 1,000 | 1,064,565 | ||||||
Series 2017-B | 1,085 | 1,131,005 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 08/15/2026 | $ | 4,500 | $ | 4,750,308 | ||||
5.00%, 08/15/2027 | 755 | 813,530 | ||||||
5.00%, 08/15/2027 | 6,610 | 7,045,657 | ||||||
Series 2017-C | 2,245 | 2,310,814 | ||||||
5.00%, 08/15/2026 | 2,480 | 2,617,947 | ||||||
5.00%, 08/15/2027 | 2,605 | 2,776,692 | ||||||
5.00%, 08/15/2028 | 1,620 | 1,720,748 | ||||||
Connecticut State Health & Educational Facilities Authority | 5,425 | 5,577,478 | ||||||
Connecticut State Health & Educational Facilities Authority | 1,000 | 1,001,049 | ||||||
5.00%, 07/01/2027 | 1,100 | 1,100,772 | ||||||
5.00%, 07/01/2028 | 1,100 | 1,098,685 | ||||||
5.00%, 07/01/2029 | 1,200 | 1,197,648 | ||||||
State of Connecticut | 6,360 | 6,503,948 | ||||||
Series 2015-B | 7,345 | 7,626,176 | ||||||
Series 2015-F | 1,570 | 1,645,652 | ||||||
Series 2016-A | 2,805 | 2,876,668 | ||||||
5.00%, 03/15/2029 | 14,500 | 15,267,627 | ||||||
Series 2016-E | 17,000 | 17,597,919 | ||||||
5.00%, 10/15/2025 | 3,025 | 3,169,962 | ||||||
Series 2017-B | 2,515 | 2,713,602 | ||||||
Series 2018-C | 5,500 | 5,809,721 | ||||||
Series 2018-D | 16,655 | 17,555,311 | ||||||
Series 2020-A | 2,565 | 2,691,247 | ||||||
State of Connecticut Special Tax Revenue | 4,650 | 4,670,387 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2020 | $ | 1,000 | $ | 954,796 | ||||
5.00%, 05/01/2028 | 1,030 | 1,110,806 | ||||||
5.00%, 05/01/2031 | 3,565 | 3,905,845 | ||||||
5.00%, 05/01/2033 | 2,525 | 2,730,901 | ||||||
5.00%, 05/01/2037 | 2,645 | 2,807,371 | ||||||
5.00%, 05/01/2038 | 2,015 | 2,125,746 | ||||||
Series 2021-A | 3,835 | 3,573,957 | ||||||
Series 2021-D | 1,060 | 991,751 | ||||||
Town of Stratford CT | 3,890 | 4,088,893 | ||||||
BAM Series 2019 | 2,035 | 2,146,940 | ||||||
5.00%, 01/01/2032 | 3,890 | 4,078,423 | ||||||
5.00%, 01/01/2033 | 3,555 | 3,718,902 | ||||||
University of Connecticut | 7,065 | 7,451,237 | ||||||
|
| |||||||
163,466,149 | ||||||||
|
| |||||||
Delaware – 0.1% |
| |||||||
Delaware River & Bay Authority | 3,250 | 3,314,856 | ||||||
5.00%, 01/01/2027 | 2,220 | 2,264,029 | ||||||
Delaware State Economic Development Authority | 575 | 548,528 | ||||||
5.00%, 09/01/2050 | 1,000 | 975,503 | ||||||
|
| |||||||
7,102,916 | ||||||||
|
| |||||||
District of Columbia – 1.9% |
| |||||||
District of Columbia | 20,860 | 21,106,794 | ||||||
5.00%, 06/01/2026 | 19,580 | 19,810,368 | ||||||
5.00%, 06/01/2027 | 18,675 | 18,893,499 | ||||||
District of Columbia | 5,585 | 5,602,009 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Metropolitan Washington Airports Authority Aviation Revenue | $ | 1,155 | $ | 1,206,851 | ||||
Series 2019-A | 3,840 | 4,024,998 | ||||||
5.00%, 10/01/2032 | 5,000 | 5,189,623 | ||||||
Series 2020-A | 2,540 | 2,670,476 | ||||||
5.00%, 10/01/2030 | 5,500 | 5,796,965 | ||||||
5.00%, 10/01/2031 | 5,000 | 5,231,626 | ||||||
5.00%, 10/01/2032 | 5,500 | 5,733,601 | ||||||
5.00%, 10/01/2033 | 5,000 | 5,173,029 | ||||||
5.00%, 10/01/2034 | 2,870 | 2,954,539 | ||||||
Washington Metropolitan Area Transit Authority | 3,205 | 3,432,213 | ||||||
|
| |||||||
106,826,591 | ||||||||
|
| |||||||
Florida – 4.3% |
| |||||||
Capital Trust Agency, Inc. | 510 | 504,563 | ||||||
Central Florida Expressway Authority | 11,335 | 12,078,535 | ||||||
AGM Series 2021 | 4,500 | 4,989,707 | ||||||
5.00%, 07/01/2032 | 2,855 | 3,134,223 | ||||||
5.00%, 07/01/2033 | 2,650 | 2,889,918 | ||||||
City of South Miami Health Facilities Authority, Inc. | 5,000 | 5,275,380 | ||||||
City of Tampa FL | 650 | 357,185 | ||||||
Zero Coupon, 09/01/2035 | 650 | 336,249 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
County of Broward FL Airport System Revenue | $ | 1,070 | $ | 1,109,671 | ||||
Series 2019-C | 1,250 | 1,143,635 | ||||||
County of Broward FL Airport System Revenue | 5,000 | 5,006,887 | ||||||
County of Broward FL Convention Center Hotel Revenue | 2,685 | 2,872,775 | ||||||
County of Miami-Dade FL Aviation Revenue | 1,640 | 1,640,000 | ||||||
5.00%, 10/01/2023 | 1,725 | 1,747,583 | ||||||
5.00%, 10/01/2024 | 1,610 | 1,644,052 | ||||||
County of Miami-Dade FL Water & Sewer System Revenue | 2,490 | 2,396,938 | ||||||
County of Miami-Dade Seaport Department | 1,955 | 1,752,378 | ||||||
County of Osceola FL Transportation Revenue | 735 | 489,847 | ||||||
Zero Coupon, 10/01/2031 | 905 | 568,892 | ||||||
Zero Coupon, 10/01/2032 | 500 | 296,522 | ||||||
Zero Coupon, 10/01/2033 | 1,210 | 674,793 | ||||||
Zero Coupon, 10/01/2034 | 1,260 | 661,254 | ||||||
Duval County School Board | 4,280 | 4,456,560 | ||||||
Florida Development Finance Corp. | 3,765 | 3,470,549 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Florida Municipal Power Agency | $ | 1,000 | $ | 1,032,586 | ||||
5.00%, 10/01/2026 | 1,750 | 1,826,799 | ||||||
5.00%, 10/01/2028 | 1,015 | 1,056,026 | ||||||
Series 2021 | 3,000 | 2,643,234 | ||||||
Florida State Board of Education | 5,150 | 5,756,304 | ||||||
5.00%, 06/01/2031 | 10,760 | 12,114,487 | ||||||
Greater Orlando Aviation Authority | 3,000 | 3,202,360 | ||||||
5.00%, 10/01/2030 | 6,250 | 6,671,582 | ||||||
5.00%, 10/01/2031 | 4,085 | 4,173,820 | ||||||
Series 2019-A | 7,975 | 8,221,551 | ||||||
Hillsborough County School Board | 1,480 | 1,534,371 | ||||||
Hillsborough County School Board | 2,650 | 2,694,539 | ||||||
Hollywood Community Redevelopment Agency | 1,145 | 1,152,498 | ||||||
JEA Electric System Revenue | 1,185 | 1,256,972 | ||||||
JEA Water & Sewer System Revenue | 1,565 | 1,604,797 | ||||||
5.00%, 10/01/2025 | 1,495 | 1,533,676 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2017-A | $ | 22,290 | $ | 23,686,812 | ||||
Manatee County School District | 7,795 | 8,202,247 | ||||||
5.00%, 07/01/2029 | 6,215 | 6,548,626 | ||||||
North Broward Hospital District | 3,000 | 3,079,294 | ||||||
5.00%, 01/01/2030 | 3,180 | 3,253,448 | ||||||
Orange County Health Facilities Authority | 6,955 | 6,955,000 | ||||||
5.00%, 10/01/2023 | 5,000 | 5,068,385 | ||||||
5.00%, 10/01/2024 | 6,560 | 6,732,944 | ||||||
Orange County Health Facilities Authority | 1,000 | 863,240 | ||||||
Orange County School Board | 25,075 | 25,890,115 | ||||||
5.00%, 08/01/2029 | 21,280 | 21,971,751 | ||||||
Polk County Industrial Development Authority | 2,000 | 1,977,851 | ||||||
South Broward Hospital District | 3,350 | 3,471,860 | ||||||
St. Lucie County School Board | 3,150 | 3,150,000 | ||||||
|
| |||||||
236,825,271 | ||||||||
|
| |||||||
Georgia – 2.2% |
| |||||||
City of Atlanta GA Department of Aviation | 12,250 | 12,483,084 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2021-C | $ | 1,000 | $ | 893,302 | ||||
4.00%, 07/01/2041 | 1,000 | 885,373 | ||||||
4.00%, 07/01/2042 | 1,250 | 1,100,049 | ||||||
5.00%, 07/01/2029 | 1,250 | 1,312,351 | ||||||
5.00%, 07/01/2030 | 1,315 | 1,385,189 | ||||||
5.00%, 07/01/2031 | 1,725 | 1,813,271 | ||||||
5.00%, 07/01/2032 | 1,000 | 1,046,734 | ||||||
5.00%, 07/01/2033 | 1,400 | 1,453,759 | ||||||
5.00%, 07/01/2034 | 3,000 | 3,093,627 | ||||||
5.00%, 07/01/2036 | 2,400 | 2,450,670 | ||||||
5.00%, 07/01/2037 | 2,500 | 2,549,427 | ||||||
Series 2022-B | 1,565 | 1,607,754 | ||||||
5.00%, 07/01/2036 | 2,845 | 2,910,527 | ||||||
5.00%, 07/01/2037 | 2,535 | 2,589,673 | ||||||
5.00%, 07/01/2039 | 2,765 | 2,795,626 | ||||||
5.00%, 07/01/2040 | 7,105 | 7,153,506 | ||||||
5.00%, 07/01/2041 | 7,460 | 7,510,929 | ||||||
Cobb County Kennestone Hospital Authority | 1,000 | 1,040,143 | ||||||
5.00%, 04/01/2027 | 250 | 261,147 | ||||||
5.00%, 04/01/2028 | 250 | 261,964 | ||||||
5.00%, 04/01/2029 | 300 | 314,718 | ||||||
5.00%, 04/01/2030 | 225 | 235,556 | ||||||
5.00%, 04/01/2031 | 250 | 260,730 | ||||||
Main Street Natural Gas, Inc. | 9,350 | 8,797,596 | ||||||
Main Street Natural Gas, Inc. | 34,735 | 34,789,468 | ||||||
Series 2018-C | 18,000 | 18,035,734 | ||||||
Private Colleges & Universities Authority | 1,280 | 1,245,359 | ||||||
|
| |||||||
120,277,266 | ||||||||
|
|
66 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Guam – 0.0% |
| |||||||
Territory of Guam | $ | 930 | $ | 878,122 | ||||
|
| |||||||
Hawaii – 0.0% |
| |||||||
State of Hawaii Harbor System Revenue | 2,765 | 2,596,840 | ||||||
|
| |||||||
Idaho – 0.0% |
| |||||||
Idaho Housing & Finance Association | 1,320 | 1,337,527 | ||||||
|
| |||||||
Illinois – 5.0% |
| |||||||
Chicago Board of Education | 7,000 | 7,075,344 | ||||||
Series 2018-A | 5,500 | 5,501,473 | ||||||
5.00%, 12/01/2026 | 1,000 | 1,023,186 | ||||||
Series 2022-B | 11,000 | 9,132,829 | ||||||
Chicago O’Hare International Airport | 3,020 | 3,162,768 | ||||||
Series 2018-A | 6,000 | 6,042,712 | ||||||
Series 2022 | 3,160 | 2,811,927 | ||||||
5.00%, 01/01/2029(c) | 500 | 520,673 | ||||||
5.00%, 01/01/2030(c) | 800 | 836,051 | ||||||
5.00%, 01/01/2033(c) | 890 | 921,170 | ||||||
5.00%, 01/01/2040(c) | 1,850 | 1,862,111 | ||||||
5.00%, 01/01/2041(c) | 2,000 | 2,013,093 | ||||||
5.00%, 01/01/2042(c) | 2,200 | 2,206,399 | ||||||
Illinois Finance Authority | 470 | 473,194 | ||||||
5.00%, 09/01/2025 | 600 | 609,834 | ||||||
5.00%, 09/01/2026 | 300 | 305,960 | ||||||
5.00%, 09/01/2027 | 455 | 464,627 | ||||||
5.00%, 09/01/2029 | 575 | 588,625 |
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 67 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 09/01/2031 | $ | 1,000 | $ | 1,010,853 | ||||
5.00%, 09/01/2034 | 625 | 617,170 | ||||||
Illinois Finance Authority | 1,000 | 1,082,243 | ||||||
5.00%, 08/15/2030 | 4,000 | 4,328,816 | ||||||
5.00%, 08/15/2034 | 2,785 | 2,908,283 | ||||||
Illinois Finance Authority | 1,000 | 1,031,443 | ||||||
5.00%, 11/15/2028 | 1,250 | 1,285,221 | ||||||
Illinois Finance Authority | 5,290 | 5,051,964 | ||||||
Illinois Finance Authority | 4,000 | 4,443,589 | ||||||
5.00%, 10/01/2032 | 3,750 | 4,155,861 | ||||||
5.00%, 10/01/2033 | 2,250 | 2,492,884 | ||||||
5.00%, 10/01/2037 | 1,350 | 1,450,478 | ||||||
5.00%, 10/01/2038 | 1,700 | 1,825,030 | ||||||
Illinois Municipal Electric Agency | 16,370 | 17,041,887 | ||||||
5.00%, 02/01/2028 | 13,565 | 14,095,800 | ||||||
5.00%, 02/01/2029 | 12,885 | 13,371,611 | ||||||
Illinois State Toll Highway Authority | 1,185 | 1,190,272 | ||||||
Metropolitan Pier & Exposition Authority | 2,745 | 2,237,053 | ||||||
Metropolitan Water Reclamation District of Greater Chicago | 7,075 | 8,102,676 | ||||||
Railsplitter Tobacco Settlement Authority | 10,020 | 10,237,683 | ||||||
5.00%, 06/01/2025 | 12,450 | 12,853,141 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
State of Illinois | $ | 5,415 | $ | 5,474,517 | ||||
Series 2013-A | 4,415 | 4,444,683 | ||||||
Series 2014 | 3,500 | 3,547,531 | ||||||
5.00%, 05/01/2025 | 18,120 | 18,341,615 | ||||||
5.00%, 05/01/2027 | 5,000 | 5,047,045 | ||||||
Series 2016 | 1,100 | 1,117,785 | ||||||
Series 2017-A | 8,590 | 8,733,389 | ||||||
Series 2017-D | 55,520 | 56,437,279 | ||||||
5.00%, 11/01/2028 | 1,675 | 1,707,221 | ||||||
Series 2019-B | 9,000 | 8,169,565 | ||||||
Series 2020 | 1,500 | 1,526,873 | ||||||
Series 2022-B | 4,000 | 4,031,597 | ||||||
|
| |||||||
274,945,034 | ||||||||
|
| |||||||
Indiana – 0.7% |
| |||||||
City of Whiting IN | 9,670 | 9,923,372 | ||||||
Indiana Finance Authority | 12,000 | 11,945,385 | ||||||
Indiana Finance Authority | 715 | 726,291 | ||||||
5.00%, 04/01/2025 | 750 | 767,353 | ||||||
5.00%, 04/01/2026 | 790 | 813,628 | ||||||
5.00%, 04/01/2027 | 830 | 856,649 | ||||||
5.00%, 04/01/2028 | 875 | 903,376 | ||||||
Indiana Finance Authority | 11,690 | 10,699,841 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Indiana Finance Authority | $ | 1,895 | $ | 1,602,199 | ||||
|
| |||||||
38,238,094 | ||||||||
|
| |||||||
Iowa – 0.5% |
| |||||||
Iowa Finance Authority | 5,450 | 4,942,638 | ||||||
Iowa Finance Authority | 5,460 | 5,922,945 | ||||||
PEFA, Inc. | 14,000 | 14,213,550 | ||||||
|
| |||||||
25,079,133 | ||||||||
|
| |||||||
Kansas – 0.1% |
| |||||||
City of Junction City KS | 3,805 | 3,863,150 | ||||||
|
| |||||||
Kentucky – 2.4% |
| |||||||
County of Carroll KY | 3,835 | 3,378,579 | ||||||
Kentucky Economic Development Finance Authority | 1,000 | 1,042,651 | ||||||
5.00%, 08/15/2041 | 1,260 | 1,253,121 | ||||||
Kentucky Economic Development Finance Authority | 8,780 | 9,047,001 | ||||||
5.00%, 06/01/2030 | 5,870 | 6,023,902 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Kentucky Public Energy Authority | $ | 24,850 | $ | 24,760,135 | ||||
Kentucky Public Energy Authority | 18,590 | 18,550,132 | ||||||
Series 2018-C | 36,475 | 36,238,959 | ||||||
Series 2019-A | 10,895 | 10,851,553 | ||||||
Series 2022-A | 10,000 | 9,511,694 | ||||||
Kentucky Turnpike Authority | 2,365 | 2,394,991 | ||||||
5.00%, 07/01/2024 | 3,420 | 3,516,990 | ||||||
5.00%, 07/01/2025 | 2,515 | 2,622,101 | ||||||
5.00%, 07/01/2027 | 5,075 | 5,340,141 | ||||||
|
| |||||||
�� | 134,531,950 | |||||||
|
| |||||||
Louisiana – 0.5% |
| |||||||
Consolidated Govt of the City of Baton Rouge & Parish of E Baton Rouge Sales Tax | 6,450 | 6,688,315 | ||||||
5.00%, 08/01/2028 | 2,535 | 2,622,458 | ||||||
Parish of St. James LA | 2,250 | 2,308,139 | ||||||
6.10%, 06/01/2038(a) | 3,030 | 3,223,820 | ||||||
6.10%, 12/01/2040(a) | 2,595 | 2,760,995 | ||||||
St. Tammany Parish Finance Authority | 1,200 | 1,191,504 | ||||||
State of Louisiana Gasoline & Fuels | 10,420 | 10,024,675 | ||||||
|
| |||||||
28,819,906 | ||||||||
|
|
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Maine – 0.0% |
| |||||||
Maine Municipal Bond Bank | $ | 1,000 | $ | 1,029,604 | ||||
|
| |||||||
Maryland – 0.9% |
| |||||||
County of Baltimore MD | 5,000 | 4,765,294 | ||||||
County of Frederick MD | 165 | 178,078 | ||||||
County of Howard MD | 4,825 | 5,385,451 | ||||||
5.00%, 08/15/2032 | 3,640 | 4,039,419 | ||||||
Maryland Economic Development Corp. | 15,000 | 15,404,949 | ||||||
Maryland Health & Higher Educational Facilities Authority | 1,420 | 1,488,342 | ||||||
5.00%, 04/15/2029 | 1,500 | 1,569,549 | ||||||
5.00%, 04/15/2031 | 1,365 | 1,428,029 | ||||||
State of Maryland | 8,940 | 9,916,641 | ||||||
State of Maryland Department of Transportation | 1,500 | 1,548,432 | ||||||
5.00%, 08/01/2028 | 1,050 | 1,094,403 | ||||||
5.00%, 08/01/2029 | 700 | 733,561 | ||||||
5.00%, 08/01/2033 | 1,000 | 1,030,942 | ||||||
5.00%, 08/01/2034 | 1,000 | 1,026,727 | ||||||
|
| |||||||
49,609,817 | ||||||||
|
| |||||||
Massachusetts – 2.2% |
| |||||||
Commonwealth of Massachusetts | 3,965 | 4,022,590 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2017-D | $ | 4,435 | $ | 4,626,844 | ||||
Series 2017C | 2,350 | 2,350,000 | ||||||
Series 2018-B | 3,685 | 3,964,715 | ||||||
Series 2022-B | 13,000 | 12,258,121 | ||||||
AGC Series 2007-A | 15,250 | 14,361,932 | ||||||
Commonwealth of Massachusetts | 7,250 | 6,955,251 | ||||||
Commonwealth of Massachusetts Transportation Fund Revenue | 10,340 | 11,031,619 | ||||||
Massachusetts Bay Transportation Authority Assessment Revenue | 2,270 | 2,134,209 | ||||||
Massachusetts Development Finance Agency | 2,670 | 2,787,947 | ||||||
5.00%, 10/01/2026 | 2,535 | 2,675,406 | ||||||
5.00%, 10/01/2027 | 2,140 | 2,279,307 | ||||||
5.00%, 10/01/2028 | 2,340 | 2,511,846 | ||||||
5.00%, 10/01/2029 | 1,000 | 1,073,452 | ||||||
5.00%, 10/01/2030 | 1,000 | 1,068,005 | ||||||
5.00%, 10/01/2031 | 1,010 | 1,072,662 | ||||||
5.00%, 10/01/2032 | 1,055 | 1,116,975 | ||||||
5.00%, 10/01/2033 | 1,625 | 1,712,347 | ||||||
Massachusetts Development Finance Agency | 7,565 | 7,873,046 | ||||||
5.00%, 07/01/2028 | 7,500 | 8,025,696 | ||||||
5.00%, 07/01/2029 | 9,000 | 9,626,115 | ||||||
Massachusetts Development Finance Agency | 950 | 1,031,072 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Massachusetts Development Finance Agency | $ | 1,425 | $ | 1,474,986 | ||||
5.00%, 07/01/2030 | 2,100 | 2,150,161 | ||||||
5.00%, 07/01/2032 | 2,000 | 2,023,289 | ||||||
5.00%, 07/01/2033 | 2,000 | 2,010,099 | ||||||
AGM Series 2020-C | 325 | 339,550 | ||||||
5.00%, 10/01/2027 | 440 | 463,498 | ||||||
5.00%, 10/01/2028 | 500 | 530,634 | ||||||
5.00%, 10/01/2029 | 295 | 315,508 | ||||||
5.00%, 10/01/2030 | 315 | 338,423 | ||||||
5.00%, 10/01/2031 | 375 | 395,745 | ||||||
5.00%, 10/01/2032 | 245 | 255,910 | ||||||
Massachusetts Port Authority | 8,615 | 8,890,413 | ||||||
|
| |||||||
123,747,373 | ||||||||
|
| |||||||
Michigan – 5.3% |
| |||||||
Bloomfield Hills School District | 600 | 627,280 | ||||||
5.00%, 05/01/2028(c) | 635 | 669,348 | ||||||
5.00%, 05/01/2029(c) | 700 | 743,440 | ||||||
5.00%, 05/01/2030(c) | 635 | 678,865 | ||||||
5.00%, 05/01/2032(c) | 1,100 | 1,188,589 | ||||||
City of Detroit MI Sewage Disposal System Revenue | 14,000 | 13,638,271 | ||||||
Great Lakes Water Authority Water Supply System Revenue | 2,700 | 2,781,198 | ||||||
5.00%, 07/01/2025 | 9,805 | 10,235,630 | ||||||
Kalamazoo Economic Development Corp. | 1,150 | 1,084,352 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Lake Orion Community School District | $ | 2,915 | $ | 2,992,072 | ||||
Michigan Finance Authority | 48,585 | 49,208,807 | ||||||
Michigan Finance Authority | 500 | 500,000 | ||||||
3.875%, 10/01/2023 | 2,000 | 1,987,935 | ||||||
4.00%, 10/01/2024 | 3,000 | 2,969,696 | ||||||
4.50%, 10/01/2029 | 12,065 | 11,989,197 | ||||||
Michigan Finance Authority | 22,045 | 22,696,622 | ||||||
5.00%, 07/01/2027 | 17,895 | 18,384,129 | ||||||
Michigan Finance Authority | 7,770 | 7,999,671 | ||||||
5.00%, 07/01/2025 | 16,525 | 17,013,457 | ||||||
5.00%, 07/01/2026 | 25,000 | 25,730,397 | ||||||
5.00%, 07/01/2027 | 5,060 | 5,198,306 | ||||||
Michigan Finance Authority | 15,000 | 14,687,868 | ||||||
Michigan Finance Authority | 2,000 | 1,867,282 | ||||||
4.00%, 06/01/2035 | 1,000 | 926,226 | ||||||
4.00%, 06/01/2036 | 1,000 | 919,187 | ||||||
4.00%, 06/01/2037 | 1,000 | 910,836 | ||||||
4.00%, 06/01/2038 | 1,000 | 901,626 | ||||||
4.00%, 06/01/2039 | 2,000 | 1,788,341 | ||||||
5.00%, 06/01/2025 | 610 | 624,629 | ||||||
5.00%, 06/01/2026 | 1,290 | 1,326,589 |
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 75 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 06/01/2028 | $ | 1,000 | $ | 1,036,997 | ||||
5.00%, 06/01/2029 | 2,000 | 2,085,461 | ||||||
5.00%, 06/01/2031 | 745 | 774,760 | ||||||
Michigan Finance Authority | 1,600 | 1,618,905 | ||||||
Series 2014-B | 4,990 | 5,058,452 | ||||||
5.00%, 07/01/2031 | 2,460 | 2,485,519 | ||||||
Michigan Finance Authority | 5,595 | 5,098,483 | ||||||
Series 2015 | 5,675 | 5,782,936 | ||||||
5.00%, 12/01/2024 | 4,400 | 4,548,005 | ||||||
5.00%, 12/01/2025 | 3,000 | 3,114,193 | ||||||
5.50%, 12/01/2026 | 4,500 | 4,714,286 | ||||||
5.50%, 12/01/2027 | 2,720 | 2,841,568 | ||||||
Michigan Strategic Fund | 3,210 | 3,235,442 | ||||||
5.00%, 12/31/2025 | 2,200 | 2,221,587 | ||||||
5.00%, 06/30/2026 | 2,400 | 2,423,706 | ||||||
5.00%, 12/31/2026 | 5,770 | 5,832,252 | ||||||
5.00%, 06/30/2027 | 7,635 | 7,714,152 | ||||||
5.00%, 12/31/2027 | 5,770 | 5,833,842 | ||||||
5.00%, 06/30/2028 | 4,645 | 4,692,481 | ||||||
|
| |||||||
293,382,873 | ||||||||
|
| |||||||
Missouri – 0.4% |
| |||||||
Cape Girardeau County Industrial Development Authority | 1,445 | 1,466,421 | ||||||
5.00%, 03/01/2028 | 1,375 | 1,403,306 | ||||||
City of Kansas City MO | 4,000 | 4,246,934 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Health & Educational Facilities Authority of the State of Missouri | $ | 4,000 | $ | 3,854,797 | ||||
4.00%, 07/01/2034 | 2,000 | 1,910,011 | ||||||
4.00%, 07/01/2035 | 1,500 | 1,422,845 | ||||||
4.00%, 07/01/2039 | 5,000 | 4,614,561 | ||||||
4.00%, 07/01/2040 | 1,500 | 1,374,401 | ||||||
Howard Bend Levee District | 845 | 855,297 | ||||||
5.75%, 03/01/2027 | 775 | 785,606 | ||||||
Missouri Joint Municipal Electric Utility Commission | 2,630 | 2,718,780 | ||||||
|
| |||||||
24,652,959 | ||||||||
|
| |||||||
Montana – 0.3% |
| |||||||
Montana Facility Finance Authority | 2,500 | 2,556,722 | ||||||
5.00%, 02/15/2026 | 3,190 | 3,288,291 | ||||||
5.00%, 02/15/2027 | 6,950 | 7,218,037 | ||||||
5.00%, 02/15/2028 | 2,375 | 2,465,391 | ||||||
|
| |||||||
15,528,441 | ||||||||
|
| |||||||
Nebraska – 1.1% |
| |||||||
Central Plains Energy Project | 57,480 | 58,008,684 | ||||||
|
| |||||||
Nevada – 0.9% |
| |||||||
City of Las Vegas NV | 5,675 | 5,766,835 | ||||||
5.00%, 09/01/2026 | 2,930 | 3,088,194 | ||||||
Clark County School District | 26,915 | 27,570,364 | ||||||
County of Clark NV | 6,530 | 6,719,680 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Las Vegas Valley Water District | $ | 4,590 | $ | 4,859,036 | ||||
|
| |||||||
48,004,109 | ||||||||
|
| |||||||
New Hampshire – 0.8% |
| |||||||
New Hampshire Business Finance Authority | 9,177 | 8,503,150 | ||||||
Series 2022-1, Class A | 24,923 | 22,693,575 | ||||||
Series 2022-2 | 20,000 | 473,952 | ||||||
New Hampshire Business Finance Authority | 2,250 | 2,136,616 | ||||||
New Hampshire Business Finance Authority | 10,000 | 520,125 | ||||||
4.00%, 10/20/2036 | 10,000 | 8,742,673 | ||||||
|
| |||||||
43,070,091 | ||||||||
|
| |||||||
New Jersey – 5.8% |
| |||||||
New Jersey Economic Development Authority | 4,930 | 5,126,953 | ||||||
New Jersey Economic Development Authority | 1,000 | 1,013,784 | ||||||
5.50%, 01/01/2027 | 1,000 | 1,013,081 | ||||||
New Jersey Economic Development Authority | 1,755 | 1,755,000 | ||||||
5.00%, 10/01/2023 | 1,500 | 1,513,709 | ||||||
5.00%, 10/01/2024 | 2,000 | 2,030,258 | ||||||
5.00%, 10/01/2025 | 2,750 | 2,807,360 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New Jersey Economic Development Authority | $ | 1,000 | $ | 1,009,977 | ||||
5.00%, 06/15/2026 | 3,500 | 3,533,472 | ||||||
New Jersey Economic Development Authority | 3,920 | 3,877,256 | ||||||
New Jersey Transportation Trust Fund Authority | 12,830 | 13,413,911 | ||||||
5.00%, 06/15/2028 | 975 | 1,012,145 | ||||||
Series 2018-A | 3,050 | 3,157,624 | ||||||
New Jersey Transportation Trust Fund Authority | 3,195 | 3,303,951 | ||||||
Series 2018-A | 8,605 | 8,944,509 | ||||||
5.00%, 12/15/2029 | 38,555 | 40,141,858 | ||||||
5.00%, 12/15/2030 | 5,885 | 6,102,655 | ||||||
5.00%, 12/15/2032 | 5,230 | 5,353,179 | ||||||
5.00%, 12/15/2033 | 7,230 | 7,352,094 | ||||||
Series 2019 | 4,000 | 4,168,892 | ||||||
5.00%, 06/15/2029 | 1,525 | 1,588,939 | ||||||
Series 2019-B | 3,885 | 3,957,019 | ||||||
Series 2020-A | 1,810 | 1,833,429 | ||||||
Series 2022-A | 11,635 | 11,795,115 | ||||||
New Jersey Turnpike Authority | 5,040 | 5,176,329 | ||||||
5.00%, 01/01/2028 | 40,000 | 41,073,132 | ||||||
5.00%, 01/01/2029 | 30,900 | 31,723,436 | ||||||
Series 2014-C | 14,720 | 15,022,767 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2017-A | $ | 7,235 | $ | 7,636,185 | ||||
Series 2017-B | 10,000 | 10,673,645 | ||||||
5.00%, 01/01/2030 | 14,830 | 15,813,683 | ||||||
5.00%, 01/01/2031 | 15,220 | 16,187,322 | ||||||
Series 2021-B | 6,625 | 5,438,574 | ||||||
AGM Series 2005-D3 | 14,770 | 15,581,818 | ||||||
South Jersey Transportation Authority | 450 | 472,882 | ||||||
5.00%, 11/01/2037 | 400 | 419,007 | ||||||
Tobacco Settlement Financing Corp./NJ | 1,500 | 1,516,494 | ||||||
5.00%, 06/01/2025 | 4,125 | 4,239,876 | ||||||
5.00%, 06/01/2026 | 3,000 | 3,104,875 | ||||||
5.00%, 06/01/2027 | 4,000 | 4,146,780 | ||||||
5.00%, 06/01/2028 | 2,140 | 2,221,612 | ||||||
5.00%, 06/01/2035 | 2,620 | 2,655,387 | ||||||
|
| |||||||
318,909,974 | ||||||||
|
| |||||||
New York – 12.6% |
| |||||||
City of New York NY | 1,130 | 1,161,263 | ||||||
Series 2015-A | 2,040 | 2,070,482 | ||||||
Series 2018-D | 2,435 | 2,517,574 | ||||||
Series 2020-A | 1,260 | 1,300,053 | ||||||
Series 2020-C | 3,150 | 3,409,102 | ||||||
Series 2021 | 18,750 | 15,968,569 | ||||||
Series 2021-A | 1,000 | 938,752 | ||||||
5.00%, 08/01/2033 | 2,025 | 2,196,297 | ||||||
Series 2021-F | 5,000 | 5,064,474 | ||||||
Series 2021-L | 4,000 | 4,304,062 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
County of Nassau NY | $ | 8,840 | $ | 9,332,994 | ||||
Dutchess County Local Development Corp. | 4,875 | 4,703,175 | ||||||
Metropolitan Transportation Authority | 2,535 | 2,540,716 | ||||||
Series 2012-D | 6,890 | 6,902,342 | ||||||
Series 2012-F | 1,170 | 1,172,261 | ||||||
5.00%, 11/15/2024 | 26,915 | 26,961,929 | ||||||
5.00%, 11/15/2025 | 15,275 | 15,301,343 | ||||||
5.00%, 11/15/2026 | 12,270 | 12,294,822 | ||||||
Series 2012-H | 195 | 195,417 | ||||||
Series 2013-B | 9,505 | 9,698,172 | ||||||
Series 2014-A | 4,205 | 4,290,459 | ||||||
5.00%, 11/15/2027 | 4,040 | 4,122,106 | ||||||
Series 2014-C | 5,000 | 5,186,798 | ||||||
Series 2017-C | 1,610 | 1,657,740 | ||||||
5.00%, 11/15/2030 | 56,065 | 57,462,773 | ||||||
5.00%, 11/15/2031 | 5,455 | 5,545,043 | ||||||
5.00%, 11/15/2033 | 8,500 | 8,485,906 | ||||||
Series 2021-D | 9,500 | 9,202,295 | ||||||
Metropolitan Transportation Authority | 4,505 | 4,513,858 |
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 81 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New York City Transitional Finance Authority Building Aid Revenue | $ | 28,000 | $ | 30,264,945 | ||||
5.00%, 07/15/2032 | 25,945 | 27,819,936 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 12,345 | 12,346,922 | ||||||
Series 2012-B | 20,000 | 20,028,116 | ||||||
Series 2017-A | 4,860 | 5,086,461 | ||||||
Series 2019-B | 17,960 | 18,880,164 | ||||||
5.00%, 11/01/2036 | 41,825 | 43,774,564 | ||||||
Series 2021-B | 9,200 | 8,791,910 | ||||||
4.00%, 08/01/2038 | 6,030 | 5,699,771 | ||||||
Series 2021-E | 4,335 | 4,052,547 | ||||||
New York Liberty Development Corp. | 4,250 | 3,767,005 | ||||||
2.80%, 09/15/2069 | 11,555 | 9,481,240 | ||||||
New York State Dormitory Authority | 2,015 | 2,067,673 | ||||||
New York State Dormitory Authority | 8,455 | 9,182,970 | ||||||
5.00%, 02/15/2034 | 17,525 | 18,688,639 | ||||||
Series 2022-A | 22,190 | 20,536,051 | ||||||
4.00%, 03/15/2042 | 10,090 | 9,232,855 | ||||||
New York State Thruway Authority | 5,000 | 4,835,590 | ||||||
Series 2022-A | 4,000 | 4,226,250 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New York State Urban Development Corp. | $ | 25,165 | $ | 25,378,487 | ||||
5.00%, 03/15/2026 | 38,460 | 38,786,275 | ||||||
New York State Urban Development Corp. | 4,010 | 4,112,456 | ||||||
New York Transportation Development Corp. | 25,115 | 25,220,430 | ||||||
5.00%, 01/01/2028 | 22,110 | 22,105,543 | ||||||
5.00%, 01/01/2029 | 27,145 | 27,049,490 | ||||||
New York Transportation Development Corp. | 7,000 | 6,738,068 | ||||||
New York Transportation Development Corp. | 2,095 | 1,987,699 | ||||||
Port Authority of New York & New Jersey | 3,385 | 3,423,190 | ||||||
Series 2019 | 2,915 | 2,639,398 | ||||||
Series 2020-2 | 5,910 | 6,130,726 | ||||||
Series 2021-2 | 2,980 | 2,703,674 | ||||||
Suffolk Tobacco Asset Securitization Corp. | 1,045 | 1,083,212 | ||||||
5.00%, 06/01/2029 | 2,080 | 2,170,384 | ||||||
5.00%, 06/01/2033 | 2,395 | 2,461,742 | ||||||
Triborough Bridge & Tunnel Authority | 14,725 | 11,319,308 | ||||||
2.591%, 05/15/2036 | 2,000 | 1,507,206 | ||||||
Series 2022 | 7,000 | 7,706,938 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2022-A | $ | 16,500 | $ | 17,053,240 | ||||
|
| |||||||
696,841,852 | ||||||||
|
| |||||||
North Carolina – 0.2% |
| |||||||
County of Wake NC | 1,525 | 1,451,415 | ||||||
Greater Asheville Regional Airport Authority | 1,740 | 1,784,790 | ||||||
5.00%, 07/01/2036 | 1,500 | 1,534,548 | ||||||
5.00%, 07/01/2037 | 1,250 | 1,275,979 | ||||||
5.25%, 07/01/2038 | 1,200 | 1,250,396 | ||||||
5.25%, 07/01/2039 | 1,300 | 1,351,669 | ||||||
5.25%, 07/01/2040 | 3,220 | 3,339,806 | ||||||
5.25%, 07/01/2042 | 1,140 | 1,176,829 | ||||||
|
| |||||||
13,165,432 | ||||||||
|
| |||||||
North Dakota – 0.1% |
| |||||||
County of Ward ND | 2,000 | 1,980,297 | ||||||
5.00%, 06/01/2030 | 3,000 | 2,879,587 | ||||||
|
| |||||||
4,859,884 | ||||||||
|
| |||||||
Ohio – 1.2% |
| |||||||
American Municipal Power, Inc. | 1,000 | 935,427 | ||||||
Buckeye Tobacco Settlement Financing Authority | 2,000 | 1,832,518 | ||||||
4.00%, 06/01/2038 | 1,000 | 907,359 | ||||||
County of Allen OH Hospital Facilities Revenue | 10,000 | 10,478,067 | ||||||
5.00%, 08/01/2027 | 8,465 | 8,961,153 | ||||||
5.00%, 08/01/2028 | 1,955 | 2,079,290 | ||||||
Series 2020 | 5,400 | 5,790,232 | ||||||
5.00%, 12/01/2029 | 1,565 | 1,689,327 | ||||||
County of Cuyahoga OH | 2,745 | 2,840,066 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 02/15/2027 | $ | 2,710 | $ | 2,804,642 | ||||
County of Franklin OH | 1,000 | 1,058,992 | ||||||
County of Hamilton OH Sewer System Revenue | 9,375 | 10,202,027 | ||||||
County of Washington OH | 800 | 758,852 | ||||||
6.375%, 12/01/2037 | 5,000 | 4,592,553 | ||||||
Hamilton County Convention Facilities Authority | 2,240 | 2,245,670 | ||||||
5.00%, 12/01/2023 | 1,230 | 1,250,865 | ||||||
Ohio Water Development Authority Water Pollution Control Loan Fund | 4,970 | 5,457,845 | ||||||
|
| |||||||
63,884,885 | ||||||||
|
| |||||||
Oklahoma – 0.2% |
| |||||||
Comanche County Memorial Hospital | 1,235 | 1,255,781 | ||||||
5.00%, 07/01/2028 | 1,280 | 1,300,977 | ||||||
McGee Creek Authority | 510 | 512,596 | ||||||
Oklahoma Development Finance Authority | 4,000 | 3,655,007 | ||||||
Oklahoma Development Finance Authority | 3,005 | 2,926,066 | ||||||
Oklahoma Development Finance Authority | 4,245 | 3,769,677 | ||||||
|
| |||||||
13,420,104 | ||||||||
|
|
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Oregon – 0.6% |
| |||||||
Hospital Facilities Authority of Multnomah County Oregon | $ | 430 | $ | 430,972 | ||||
Medford Hospital Facilities Authority | 415 | 434,722 | ||||||
5.00%, 08/15/2031 | 1,245 | 1,298,372 | ||||||
5.00%, 08/15/2033 | 500 | 517,322 | ||||||
5.00%, 08/15/2034 | 875 | 901,962 | ||||||
5.00%, 08/15/2035 | 755 | 774,162 | ||||||
5.00%, 08/15/2036 | 1,300 | 1,335,253 | ||||||
Port of Portland OR Airport Revenue | 4,290 | 4,378,771 | ||||||
Series 2022-2 | 11,255 | 10,248,227 | ||||||
4.00%, 07/01/2040 | 7,170 | 6,404,978 | ||||||
Salem Hospital Facility Authority | 2,205 | 2,216,396 | ||||||
State of Oregon Department of Administrative Services | 35 | 35,051 | ||||||
5.00%, 11/01/2023 | 10 | 10,015 | ||||||
Tri-County Metropolitan Transportation District of Oregon | 2,335 | 2,495,936 | ||||||
|
| |||||||
31,482,139 | ||||||||
|
| |||||||
Other – 1.1% |
| |||||||
Federal Home Loan Mortgage Corp. | 7,448 | 5,894,203 | ||||||
Federal Home Loan Mortgage Corp. | 23,651 | 21,743,392 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2019-C, Class 1 | $ | 5,517 | $ | 5,071,660 | ||||
Series 2019-D, Class 1 | 5,037 | 4,631,037 | ||||||
Series 2019-E, Class 1 | 3,384 | 3,111,337 | ||||||
Federal Home Loan Mortgage Corp. | 9,570 | 8,014,286 | ||||||
2.625%, 06/15/2035(a) | 9,625 | �� | 8,020,836 | |||||
2.65%, 06/15/2035(a) | 4,820 | 4,002,475 | ||||||
|
| |||||||
60,489,226 | ||||||||
|
| |||||||
Pennsylvania – 6.4% |
| |||||||
Allegheny County Airport Authority | 5,000 | 4,467,527 | ||||||
4.00%, 01/01/2039 | 2,235 | 1,987,151 | ||||||
Allegheny County Hospital Development Authority | 5,290 | 5,528,623 | ||||||
5.00%, 07/15/2032 | 6,500 | 6,728,812 | ||||||
5.00%, 07/15/2033 | 7,600 | 7,839,009 | ||||||
Allegheny County Sanitary Authority | 3,500 | 3,571,378 | ||||||
Chester County Industrial Development Authority | 1,025 | 994,317 | ||||||
City of Philadelphia PA | 12,000 | 12,725,147 | ||||||
5.00%, 08/01/2028 | 12,310 | 13,053,302 | ||||||
5.00%, 08/01/2029 | 9,970 | 10,608,052 | ||||||
5.00%, 08/01/2030 | 4,000 | 4,242,350 | ||||||
5.00%, 08/01/2032 | 8,010 | 8,424,169 | ||||||
Series 2019-A | 1,420 | 1,492,548 | ||||||
Series 2019-B | 1,005 | 1,079,775 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
City of Philadelphia PA Water & Wastewater Revenue | $ | 7,000 | $ | 7,239,047 | ||||
5.00%, 10/01/2025 | 7,750 | 8,114,828 | ||||||
5.00%, 10/01/2026 | 2,675 | 2,838,518 | ||||||
Commonwealth of Pennsylvania | 9,575 | 9,891,342 | ||||||
Series 2017 | 6,065 | 6,385,342 | ||||||
5.00%, 01/01/2027 | 14,415 | 15,385,994 | ||||||
Geisinger Authority | 2,500 | 2,637,735 | ||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) | 6,000 | 6,135,323 | ||||||
AGM Series 2022 | 10,000 | 8,906,081 | ||||||
4.00%, 07/01/2039 | 10,000 | 8,848,250 | ||||||
Montgomery County Higher Education and Health Authority | 2,250 | 2,278,825 | ||||||
5.00%, 12/01/2032 | 2,750 | 2,759,735 | ||||||
Montgomery County Higher Education and Health Authority | 1,400 | 1,460,975 | ||||||
5.00%, 09/01/2027 | 1,750 | 1,828,524 | ||||||
5.00%, 09/01/2028 | 1,500 | 1,574,608 | ||||||
5.00%, 09/01/2029 | 3,000 | 3,134,679 | ||||||
5.00%, 09/01/2030 | 3,000 | 3,111,071 | ||||||
Series 2019 | 1,710 | 1,782,553 | ||||||
5.00%, 09/01/2032 | 1,200 | 1,241,723 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Pennsylvania Economic Development Financing Authority | $ | 8,540 | $ | 8,679,955 | ||||
5.00%, 12/31/2026 | 4,500 | 4,569,444 | ||||||
5.00%, 06/30/2027 | 12,450 | 12,626,363 | ||||||
5.00%, 12/31/2027 | 6,000 | 6,077,577 | ||||||
5.00%, 06/30/2028 | 10,790 | 10,920,181 | ||||||
5.00%, 12/31/2028 | 8,910 | 9,009,792 | ||||||
5.00%, 06/30/2042 | 1,000 | 961,183 | ||||||
Pennsylvania Economic Development Financing Authority | 3,000 | 3,144,384 | ||||||
5.00%, 04/15/2029 | 3,000 | 3,139,099 | ||||||
5.00%, 04/15/2030 | 1,395 | 1,465,107 | ||||||
5.00%, 04/15/2031 | 1,635 | 1,710,496 | ||||||
Series 2022-C | 10,500 | 10,165,485 | ||||||
Pennsylvania Higher Educational Facilities Authority | 2,720 | 2,440,784 | ||||||
Series 2022 | 1,065 | 980,948 | ||||||
4.00%, 08/15/2040 | 1,345 | 1,226,613 | ||||||
5.00%, 08/15/2029 | 825 | 898,077 | ||||||
5.00%, 08/15/2030 | 750 | 822,342 | ||||||
Pennsylvania Turnpike Commission | 7,025 | 7,402,380 | ||||||
5.00%, 06/01/2030 | 6,255 | 6,569,544 | ||||||
Series 2019 | 5,250 | 5,265,398 | ||||||
5.00%, 12/01/2029 | 8,000 | 8,694,049 | ||||||
5.00%, 12/01/2030 | 5,890 | 6,382,334 | ||||||
Series 2022-A | 1,000 | 1,066,147 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Philadelphia Authority for Industrial Development | $ | 1,060 | $ | 1,068,629 | ||||
5.00%, 08/01/2040 | 3,445 | 3,285,578 | ||||||
Philadelphia Authority for Industrial Development | 1,700 | 1,539,700 | ||||||
4.00%, 11/01/2036 | 1,510 | 1,357,367 | ||||||
4.00%, 11/01/2037 | 1,350 | 1,203,538 | ||||||
4.00%, 11/01/2038 | 1,000 | 883,415 | ||||||
5.00%, 11/01/2027 | 835 | 870,815 | ||||||
5.00%, 11/01/2028 | 1,000 | 1,049,789 | ||||||
5.00%, 11/01/2029 | 1,000 | 1,055,992 | ||||||
5.00%, 11/01/2030 | 1,750 | 1,838,849 | ||||||
5.00%, 11/01/2031 | 1,685 | 1,756,944 | ||||||
5.00%, 11/01/2032 | 1,810 | 1,879,797 | ||||||
5.00%, 11/01/2033 | 1,750 | 1,810,531 | ||||||
5.00%, 11/01/2034 | 2,110 | 2,176,035 | ||||||
School District of Philadelphia (The) | 8,360 | 8,598,122 | ||||||
Series 2016-F | 5,000 | 5,070,572 | ||||||
5.00%, 09/01/2024 | 24,200 | 24,889,301 | ||||||
|
| |||||||
352,849,969 | ||||||||
|
| |||||||
Puerto Rico – 0.7% |
| |||||||
Commonwealth of Puerto Rico | 32 | 28,971 | ||||||
Zero Coupon, 07/01/2033 | 1,346 | 742,082 | ||||||
4.00%, 07/01/2033 | 1,674 | 1,472,356 | ||||||
4.00%, 07/01/2035 | 85 | 72,436 | ||||||
4.00%, 07/01/2037 | 73 | 59,678 | ||||||
4.00%, 07/01/2041 | 99 | 77,173 | ||||||
4.00%, 07/01/2046 | 103 | 76,972 | ||||||
5.25%, 07/01/2023 | 1,803 | 1,810,659 | ||||||
5.375%, 07/01/2025 | 2,270 | 2,291,941 | ||||||
5.625%, 07/01/2027 | 4,709 | 4,806,830 | ||||||
5.625%, 07/01/2029 | 1,882 | 1,925,258 | ||||||
5.75%, 07/01/2031 | 624 | 636,593 | ||||||
Series 2022-C | 655 | 327,533 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
PR Custodial Trust | $ | 77 | $ | 77,860 | ||||
Puerto Rico Electric Power Authority | 5,150 | 5,101,093 | ||||||
Puerto Rico Highway & Transportation Authority | 4,260 | 4,141,903 | ||||||
AGC Series 2007-C | 510 | 513,965 | ||||||
AGC Series 2007-N | 5,100 | 4,992,470 | ||||||
5.25%, 07/01/2036 | 5,425 | 5,298,755 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 5,190 | 4,795,144 | ||||||
|
| |||||||
39,249,672 | ||||||||
|
| |||||||
Rhode Island – 0.6% |
| |||||||
Providence Public Building Authority | 3,900 | 4,238,869 | ||||||
5.00%, 09/15/2029 | 4,625 | 5,083,718 | ||||||
5.00%, 09/15/2030 | 1,670 | 1,821,604 | ||||||
5.00%, 09/15/2032 | 2,195 | 2,358,296 | ||||||
Rhode Island Commerce Corp. | 10,565 | 11,182,573 | ||||||
Tobacco Settlement Financing Corp./RI | 6,635 | 6,700,386 | ||||||
|
| |||||||
31,385,446 | ||||||||
|
| |||||||
South Carolina – 1.8% |
| |||||||
County of Charleston SC | 10,335 | 11,656,875 | ||||||
Patriots Energy Group Financing Agency | 48,725 | 48,829,228 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
SCAGO Educational Facilities Corp. for Pickens School District | $ | 1,500 | $ | 1,504,038 | ||||
5.00%, 12/01/2026 | 3,000 | 3,109,025 | ||||||
5.00%, 12/01/2027 | 2,500 | 2,590,005 | ||||||
South Carolina Association of Governmental Organizations | 8,935 | 8,967,468 | ||||||
South Carolina Public Service Authority | 1,435 | 1,478,409 | ||||||
5.00%, 12/01/2034 | 1,000 | 1,010,223 | ||||||
Series 2020-A | 1,690 | 1,504,081 | ||||||
Series 2021-A | 5,475 | 4,949,476 | ||||||
4.00%, 12/01/2036 | 10,000 | 8,971,041 | ||||||
Series 2021-B | 3,000 | 2,986,660 | ||||||
|
| |||||||
97,556,529 | ||||||||
|
| |||||||
South Dakota – 0.1% |
| |||||||
South Dakota Health & Educational Facilities Authority | 3,400 | 3,546,184 | ||||||
5.00%, 09/01/2030 | 3,625 | 3,759,886 | ||||||
|
| |||||||
7,306,070 | ||||||||
|
| |||||||
Tennessee – 0.8% |
| |||||||
Tennergy Corp./TN | �� | 5,445 | 5,560,117 | |||||
Tennessee Energy Acquisition Corp. | 39,715 | 39,689,499 | ||||||
|
| |||||||
45,249,616 | ||||||||
|
|
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Texas – 6.1% |
| |||||||
Board of Regents of the University of Texas System | $ | 1,895 | $ | 1,729,458 | ||||
Central Texas Turnpike System | 1,000 | 1,010,013 | ||||||
City of Austin TX Airport System Revenue | 3,200 | 3,311,097 | ||||||
City of Austin TX Water & Wastewater System Revenue | 4,730 | 4,900,745 | ||||||
City of El Paso TX Water & Sewer Revenue | 4,275 | 4,580,607 | ||||||
5.00%, 03/01/2039 | 3,880 | 4,136,055 | ||||||
City of Houston TX | 16,370 | 17,030,588 | ||||||
City of Houston TX | 1,800 | 1,825,891 | ||||||
5.00%, 09/01/2025 | 2,000 | 2,051,006 | ||||||
City of Houston TX Airport System Revenue | 6,160 | 6,595,251 | ||||||
City of Houston TX Airport System Revenue | 9,135 | 9,129,768 | ||||||
City of Houston TX Combined Utility System Revenue | 8,000 | 8,087,875 | ||||||
5.00%, 05/15/2027 | 10,785 | 11,064,701 | ||||||
5.00%, 05/15/2028 | 6,065 | 6,212,679 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue | 1,330 | 1,461,713 | ||||||
5.00%, 02/01/2032 | 1,210 | 1,321,101 | ||||||
5.00%, 02/01/2033 | 1,410 | 1,522,769 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 02/01/2034 | $ | 1,700 | $ | 1,823,169 | ||||
5.00%, 02/01/2035 | 2,200 | 2,350,266 | ||||||
5.00%, 02/01/2036 | 1,875 | 1,998,077 | ||||||
Dallas Fort Worth International Airport | 11,585 | 11,714,057 | ||||||
Denton Independent School District | 1,220 | 1,285,469 | ||||||
Grand Parkway Transportation Corp. | 84,825 | 85,223,525 | ||||||
Harris County Cultural Education Facilities Finance Corp. | 5,000 | 4,485,462 | ||||||
Harris County Hospital District | 2,465 | 2,549,103 | ||||||
Hidalgo County Regional Mobility Authority | 1,850 | 1,622,495 | ||||||
4.00%, 12/01/2039 | 1,000 | 868,832 | ||||||
5.00%, 12/01/2028 | 200 | 205,496 | ||||||
5.00%, 12/01/2029 | 500 | 514,376 | ||||||
5.00%, 12/01/2030 | 500 | 513,072 | ||||||
5.00%, 12/01/2031 | 500 | 511,274 | ||||||
5.00%, 12/01/2032 | 350 | 356,025 | ||||||
5.00%, 12/01/2034 | 750 | 755,652 | ||||||
5.00%, 12/01/2035 | 595 | 597,739 | ||||||
5.00%, 12/01/2036 | 1,000 | 1,001,973 | ||||||
Irving Hospital Authority | 600 | 623,322 | ||||||
5.00%, 10/15/2029 | 600 | 617,706 | ||||||
5.00%, 10/15/2030 | 1,000 | 1,024,203 | ||||||
5.00%, 10/15/2031 | 1,020 | 1,042,200 | ||||||
Legacy Denton Public Facility Corp. | 15,000 | 15,302,891 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Lower Colorado River Authority | $ | 8,635 | $ | 9,050,069 | ||||
5.00%, 05/15/2040 | 12,345 | 12,864,341 | ||||||
5.00%, 05/15/2041 | 6,570 | 6,795,149 | ||||||
Mission Economic Development Corp. | 10,680 | 10,514,142 | ||||||
New Hope Cultural Education Facilities Finance Corp. | 1,130 | 1,209,198 | ||||||
New Hope Cultural Education Facilities Finance Corp. | 2,500 | 2,606,003 | ||||||
5.00%, 08/15/2026 | 2,000 | 2,107,545 | ||||||
5.00%, 08/15/2028 | 2,750 | 2,914,723 | ||||||
New Hope Cultural Education Facilities Finance Corp. | 875 | 799,809 | ||||||
Series 2022 | 840 | 715,648 | ||||||
4.00%, 01/01/2037(c) | 1,155 | 910,329 | ||||||
North Texas Tollway Authority | 3,015 | 3,028,562 | ||||||
5.00%, 01/01/2024 | 900 | 920,279 | ||||||
5.00%, 01/01/2024 | 1,845 | 1,882,496 | ||||||
North Texas Tollway Authority | 1,000 | 1,004,498 | ||||||
5.00%, 01/01/2026 | 3,200 | 3,304,696 | ||||||
5.00%, 01/01/2027 | 2,100 | 2,167,030 | ||||||
5.00%, 01/01/2028 | 5,975 | 6,164,029 | ||||||
Series 2019-B | 2,000 | 2,116,835 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 01/01/2028 | $ | 19,510 | $ | 20,882,571 | ||||
Port Beaumont Navigation District | 1,360 | 1,094,916 | ||||||
San Antonio Water System | 3,000 | 3,032,221 | ||||||
State of Texas | 2,335 | 2,383,841 | ||||||
Texas Water Development Board | 10,210 | 10,018,997 | ||||||
5.00%, 08/01/2034 | 4,000 | 4,408,292 | ||||||
University of Houston | 1,750 | 1,853,613 | ||||||
|
| |||||||
337,707,533 | ||||||||
|
| |||||||
Utah – 0.4% |
| |||||||
City of Salt Lake City UT Airport Revenue | 7,000 | 6,112,060 | ||||||
5.00%, 07/01/2035 | 5,000 | 5,107,162 | ||||||
5.00%, 07/01/2036 | 5,000 | 5,084,042 | ||||||
Utah Transit Authority | 2,000 | 2,093,934 | ||||||
5.00%, 06/15/2028 | 2,150 | 2,250,979 | ||||||
Utah Transit Authority | 1,305 | 1,360,082 | ||||||
|
| |||||||
22,008,259 | ||||||||
|
| |||||||
Virginia – 0.9% |
| |||||||
County of Loudoun VA | 3,300 | 3,427,066 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Fairfax County Economic Development Authority | $ | 2,590 | $ | 2,843,513 | ||||
5.00%, 08/01/2033 | 2,590 | 2,831,701 | ||||||
Hampton Roads Transportation Accountability Commission | 4,745 | 5,056,332 | ||||||
Virginia College Building Authority | 4,435 | 4,463,794 | ||||||
Virginia Public Building Authority | 4,540 | 4,472,788 | ||||||
Virginia Small Business Financing Authority | 2,000 | 1,923,132 | ||||||
4.00%, 01/01/2032 | 5,030 | 4,749,212 | ||||||
4.00%, 01/01/2037 | 7,250 | 6,476,010 | ||||||
Virginia Small Business Financing Authority | 1,400 | 1,463,352 | ||||||
5.00%, 01/01/2030 | 1,650 | 1,734,850 | ||||||
5.00%, 01/01/2031 | 1,250 | 1,312,445 | ||||||
5.00%, 01/01/2032 | 1,500 | 1,565,149 | ||||||
5.00%, 01/01/2033 | 1,750 | 1,814,536 | ||||||
5.00%, 01/01/2034 | 1,600 | 1,649,164 | ||||||
5.00%, 01/01/2035 | 1,570 | 1,613,175 | ||||||
|
| |||||||
47,396,219 | ||||||||
|
| |||||||
Washington – 2.3% |
| |||||||
City of Seattle WA Municipal Light & Power Revenue | 4,300 | 4,540,335 | ||||||
Series 2021-A | 2,500 | 2,522,947 | ||||||
4.00%, 07/01/2034 | 3,740 | 3,732,558 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
4.00%, 07/01/2035 | $ | 4,900 | $ | 4,823,533 | ||||
Energy Northwest | 12,825 | 11,711,474 | ||||||
Port of Seattle WA | 1,750 | 1,762,694 | ||||||
Series 2018-A | 8,320 | 8,588,015 | ||||||
Series 2018-B | 4,695 | 4,846,241 | ||||||
Series 2019 | 1,500 | 1,568,722 | ||||||
5.00%, 04/01/2033 | 1,000 | 1,036,567 | ||||||
Series 2021 | 5,750 | 5,019,730 | ||||||
Spokane County School District No. 81 Spokane | 10,000 | 9,026,633 | ||||||
State of Washington | 2,600 | 2,611,758 | ||||||
Washington Health Care Facilities Authority | 8,590 | 8,932,165 | ||||||
5.00%, 08/15/2029 | 16,560 | 17,214,758 | ||||||
5.00%, 08/15/2030 | 6,400 | 6,637,751 | ||||||
Washington Health Care Facilities Authority | 2,000 | 2,040,955 | ||||||
5.00%, 08/15/2027 | 2,175 | 2,244,628 | ||||||
5.00%, 08/15/2028 | 3,700 | 3,816,661 | ||||||
5.00%, 08/15/2030 | 8,005 | 8,219,495 | ||||||
Washington State Convention Center Public Facilities District | 10,600 | 9,378,198 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Washington State Housing Finance Commission | $ | 4,904 | $ | 4,162,094 | ||||
Series 2021-1, Class X | 3,237 | 164,758 | ||||||
|
| |||||||
124,602,670 | ||||||||
|
| |||||||
West Virginia – 0.2% |
| |||||||
Tobacco Settlement Finance Authority/WV | 16,125 | 13,659,696 | ||||||
|
| |||||||
Wisconsin – 2.7% |
| |||||||
State of Wisconsin | 9,000 | 9,384,420 | ||||||
5.00%, 05/01/2027 | 12,500 | 13,384,747 | ||||||
5.00%, 05/01/2028 | 12,000 | 12,885,284 | ||||||
5.00%, 05/01/2029 | 11,500 | 12,343,041 | ||||||
Series 2021-1 | 3,000 | 3,314,086 | ||||||
Series 2021-2 | 12,000 | 12,518,599 | ||||||
Series 2023-1 | 3,170 | 3,235,349 | ||||||
5.00%, 05/01/2027(c) | 8,500 | 8,978,966 | ||||||
UMA Education, Inc. | 820 | 820,000 | ||||||
5.00%, 10/01/2023(a) | 895 | 895,595 | ||||||
5.00%, 10/01/2025(a) | 3,360 | 3,348,010 | ||||||
5.00%, 10/01/2026(a) | 3,605 | 3,580,570 | ||||||
5.00%, 10/01/2027(a) | 3,720 | 3,678,000 | ||||||
5.00%, 10/01/2028(a) | 3,525 | 3,464,211 | ||||||
5.00%, 10/01/2029(a) | 835 | 817,292 | ||||||
Wisconsin Center District | 1,075 | 836,577 | ||||||
Zero Coupon, 12/15/2030 | 2,140 | 1,510,853 | ||||||
Zero Coupon, 12/15/2032 | 2,800 | 1,775,381 | ||||||
Zero Coupon, 12/15/2034 | 2,500 | 1,413,196 | ||||||
Wisconsin Center District | 1,000 | 1,002,415 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Wisconsin Health & Educational Facilities Authority | $ | 4,000 | $ | 3,894,402 | ||||
Wisconsin Health & Educational Facilities Authority | 2,500 | 2,364,825 | ||||||
4.00%, 10/15/2035 | 1,000 | 939,957 | ||||||
Wisconsin Health & Educational Facilities Authority | 190 | 180,634 | ||||||
Wisconsin Public Finance Authority | 2,000 | 1,843,873 | ||||||
5.50%, 02/01/2042(a) | 6,955 | 6,167,663 | ||||||
Wisconsin Public Finance Authority | 3,750 | 3,677,536 | ||||||
Wisconsin Public Finance Authority | 1,000 | 1,008,913 | ||||||
Wisconsin Public Finance Authority | 5,315 | 5,203,725 | ||||||
Wisconsin Public Finance Authority | 6,000 | 5,699,063 | ||||||
Wisconsin Public Finance Authority | 275 | 263,131 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Wisconsin Public Finance Authority | $ | 2,510 | $ | 2,376,817 | ||||
Series 2021-B | 1,420 | 1,255,106 | ||||||
Wisconsin Public Finance Authority | 615 | 537,937 | ||||||
4.00%, 02/01/2036 | 3,335 | 2,857,865 | ||||||
4.00%, 02/01/2038 | 3,575 | 3,014,734 | ||||||
4.00%, 02/01/2040 | 3,945 | 3,283,967 | ||||||
Series 2022 | 3,375 | 3,509,587 | ||||||
5.00%, 02/01/2032 | 2,545 | 2,599,173 | ||||||
WPPI Energy | 1,000 | 1,018,157 | ||||||
|
| |||||||
150,883,657 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds | 4,963,212,545 | |||||||
|
| |||||||
Short-Term Municipal Notes – 8.1% |
| |||||||
Colorado – 0.2% |
| |||||||
Colorado Health Facilities Authority | 12,790 | 12,790,000 | ||||||
|
| |||||||
District of Columbia – 0.2% |
| |||||||
District of Columbia | 6,405 | 6,405,000 | ||||||
District of Columbia | 3,530 | 3,530,000 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
District of Columbia | $ | 2,145 | $ | 2,145,000 | ||||
|
| |||||||
12,080,000 | ||||||||
|
| |||||||
Florida – 0.4% |
| |||||||
County of Palm Beach FL | 1,795 | 1,795,000 | ||||||
County of Palm Beach FL | 1,725 | 1,725,000 | ||||||
Florida Gulf Coast University Financing Corp. | 1,650 | 1,650,000 | ||||||
Florida Keys Aqueduct Authority | 1,045 | 1,045,000 | ||||||
Halifax Hospital Medical Center | 7,250 | 7,250,000 | ||||||
Orange County Health Facilities Authority | 8,120 | 8,120,000 | ||||||
Orange County Health Facilities Authority | 2,240 | 2,240,000 | ||||||
|
| |||||||
23,825,000 | ||||||||
|
| |||||||
Hawaii – 0.1% |
| |||||||
Hawaii Housing Finance & Development Corp. | 3,640 | 3,640,000 | ||||||
|
|
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Illinois – 0.4% |
| |||||||
Illinois Development Finance Authority | $ | 672 | $ | 672,000 | ||||
Illinois Educational Facilities Authority | 100 | 100,000 | ||||||
Illinois Finance Authority | 955 | 955,000 | ||||||
Illinois Housing Development Authority | 14,500 | 14,500,000 | ||||||
Village of Brookfield IL | 6,165 | 6,165,000 | ||||||
|
| |||||||
22,392,000 | ||||||||
|
| |||||||
Indiana – 0.1% |
| |||||||
City of Indianapolis IN | 4,550 | 4,550,000 | ||||||
|
| |||||||
Iowa – 0.6% |
| |||||||
Iowa Finance Authority | 8,960 | 8,960,000 | ||||||
2.30%, 12/01/2041(e) | 25,795 | 25,795,000 | ||||||
|
| |||||||
34,755,000 | ||||||||
|
| |||||||
Kentucky – 0.2% |
| |||||||
Louisville/Jefferson County Metropolitan Government | 12,485 | 12,485,000 | ||||||
|
|
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Louisiana – 0.6% |
| |||||||
Louisiana Offshore Terminal Authority | $ | 18,450 | $ | 18,450,000 | ||||
Louisiana Public Facilities Authority | 12,975 | 12,975,000 | ||||||
Louisiana Public Facilities Authority | 2,265 | 2,265,000 | ||||||
|
| |||||||
33,690,000 | ||||||||
|
| |||||||
Maryland – 0.1% |
| |||||||
Maryland Health & Higher Educational Facilities Authority | 1,000 | 1,000,000 | ||||||
Montgomery County Housing Opportunities Commission | 1,840 | 1,840,000 | ||||||
|
| |||||||
2,840,000 | ||||||||
|
| |||||||
Michigan – 0.5% |
| |||||||
Grand Valley State University | 17,625 | 17,625,000 | ||||||
Lakeview School District/MI | 5,230 | 5,230,000 | ||||||
Michigan Strategic Fund | 1,650 | 1,650,000 | ||||||
|
| |||||||
24,505,000 | ||||||||
|
| |||||||
Minnesota – 0.6% |
| |||||||
City of Minneapolis MN | 4,805 | 4,805,000 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
City of Minneapolis MN | $ | 9,270 | $ | 9,270,000 | ||||
City of Minneapolis MN | 1,330 | 1,330,000 | ||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority | 11,825 | 11,825,000 | ||||||
2.47%, 11/15/2034(e) | 3,675 | 3,675,000 | ||||||
Housing & Redevelopment Authority of The City of St. Paul Minnesota | 2,400 | 2,400,000 | ||||||
|
| |||||||
33,305,000 | ||||||||
|
| |||||||
Nevada – 0.7% |
| |||||||
County of Clark Department of Aviation | 26,945 | 26,945,000 | ||||||
Series 2014-D | 11,010 | 11,010,000 | ||||||
|
| |||||||
37,955,000 | ||||||||
|
| |||||||
New Jersey – 0.4% |
| |||||||
New Jersey Health Care Facilities Financing Authority | 2,995 | 2,995,000 | ||||||
New Jersey Health Care Facilities Financing Authority | 3,675 | 3,675,000 | ||||||
Series 2008-C | 16,630 | 16,630,000 | ||||||
|
| |||||||
23,300,000 | ||||||||
|
| |||||||
New York – 1.3% |
| |||||||
City of New York NY | 10,375 | 10,375,000 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2019-I | $ | 5,950 | $ | 5,950,000 | ||||
New York City Housing Development Corp. | 300 | 300,000 | ||||||
New York City Housing Development Corp. | 32,500 | 32,500,000 | ||||||
New York State Housing Finance Agency | 21,910 | 21,910,000 | ||||||
|
| |||||||
71,035,000 | ||||||||
|
| |||||||
Ohio – 0.1% |
| |||||||
Columbus Regional Airport Authority | 6,880 | 6,880,000 | ||||||
|
| |||||||
Pennsylvania – 0.3% |
| |||||||
Emmaus General Authority | 700 | 700,000 | ||||||
Series 2008-E | 1,000 | 1,000,000 | ||||||
Series 2008-E20 | 500 | 500,000 | ||||||
Haverford Township School District | 2,310 | 2,310,000 | ||||||
Pennsylvania Turnpike Commission | 700 | 700,000 | ||||||
Philadelphia Gas Works Co. | 10,950 | 10,950,000 | ||||||
|
| |||||||
16,160,000 | ||||||||
|
| |||||||
Rhode Island – 0.0% |
| |||||||
Rhode Island Health and Educational Building Corp. | 2,430 | 2,430,000 | ||||||
|
|
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Tennessee – 0.1% |
| |||||||
Greeneville Health & Educational Facilities Board | $ | 3,150 | $ | 3,150,000 | ||||
|
| |||||||
Texas – 0.1% |
| |||||||
Dallas Performing Arts Cultural Facilities Corp. | 3,350 | 3,350,000 | ||||||
Tarrant County Housing Finance Corp. | 270 | 270,000 | ||||||
|
| |||||||
3,620,000 | ||||||||
|
| |||||||
Vermont – 0.1% |
| |||||||
Vermont Educational & Health Buildings Financing Agency | 4,330 | 4,330,000 | ||||||
|
| |||||||
Virginia – 0.3% |
| |||||||
Loudoun County Economic Development Authority | 3,000 | 3,000,000 | ||||||
Roanoke Economic Development Authority | 11,680 | 11,680,000 | ||||||
|
| |||||||
14,680,000 | ||||||||
|
| |||||||
Washington – 0.7% |
| |||||||
Washington State Housing Finance Commission | 3,025 | 3,025,000 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Washington State Housing Finance Commission | $ | 1,175 | $ | 1,175,000 | ||||
Washington State Housing Finance Commission | 4,050 | 4,050,000 | ||||||
Washington State Housing Finance Commission | 9,440 | 9,440,000 | ||||||
Washington State Housing Finance Commission | 6,140 | 6,140,000 | ||||||
Washington State Housing Finance Commission | 15,460 | 15,460,000 | ||||||
|
| |||||||
39,290,000 | ||||||||
|
| |||||||
West Virginia – 0.0% |
| |||||||
West Virginia Hospital Finance Authority | 635 | 635,000 | ||||||
|
| |||||||
Total Short-Term Municipal Notes | 444,322,000 | |||||||
|
| |||||||
Total Municipal Obligations | 5,407,534,545 | |||||||
|
| |||||||
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
CORPORATES - INVESTMENT GRADE – 0.9% | ||||||||
Industrial – 0.9% |
| |||||||
Consumer Cyclical - Automotive – 0.2% | ||||||||
General Motors Financial Co., Inc. | $ | 10,000 | $ | 9,787,700 | ||||
|
| |||||||
Consumer Non - Cyclical – 0.4% |
| |||||||
Baylor Scott & White Holdings | 5,835 | 5,181,130 | ||||||
1.777%, 11/15/2030 | 5,000 | 3,839,550 | ||||||
CommonSpirit Health | 4,513 | 4,006,100 | ||||||
Ochsner LSU Health System of North Louisiana | 10,000 | 7,647,700 | ||||||
Sutter Health | 4,000 | 2,867,400 | ||||||
|
| |||||||
23,541,880 | ||||||||
|
| |||||||
Services – 0.3% |
| |||||||
Hackensack Meridian Health, Inc. | 7,000 | 4,730,530 | ||||||
Novant Health, Inc. | 19,100 | 13,906,710 | ||||||
|
| |||||||
18,637,240 | ||||||||
|
| |||||||
Total Corporates – Investment Grade | 51,966,820 | |||||||
|
| |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 0.4% | ||||||||
Agency CMBS – 0.4% |
| |||||||
California Housing Finance Agency | 16,301 | 14,957,212 | ||||||
Series 2021-3, Class X | 8,073 | 487,350 | ||||||
Federal Home Loan Mortgage Corp. | 1,975 | 1,510,104 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2021-ML10, Class AUS | $ | 4,937 | $ | 3,801,068 | ||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 20,755,734 | |||||||
|
| |||||||
CORPORATES - NON-INVESTMENT GRADE – 0.3% | ||||||||
Industrial – 0.3% | ||||||||
Communications - Media – 0.1% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 7,730 | 5,581,833 | ||||||
|
| |||||||
Consumer Non-Cyclical – 0.1% | ||||||||
Medline Borrower LP | 6,500 | 5,219,760 | ||||||
|
| |||||||
Transportation - Airlines – 0.1% | ||||||||
United Airlines, Inc. | 5,000 | 4,461,150 | ||||||
4.625%, 04/15/2029(a) | 2,300 | 1,909,920 | ||||||
|
| |||||||
6,371,070 | ||||||||
|
| |||||||
Total Corporates – Non-Investment Grade | 17,172,663 | |||||||
|
| |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.1% | ||||||||
Risk Share Floating Rate – 0.1% | ||||||||
Connecticut Avenue Securities Trust | 813 | 804,005 | ||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 460 | 453,419 | ||||||
Series 2013-DN2, Class M2 | 235 | 237,337 | ||||||
Series 2014-DN3, Class M3 | 50 | 50,699 |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2015-DNA1, Class M3 | $ | 209 | $ | 211,323 | ||||
Federal National Mortgage Association Connecticut Avenue Securities | 338 | 338,917 | ||||||
Series 2014-C04, Class 1M2 | 158 | 163,126 | ||||||
Series 2015-C02, Class 1M2 | 277 | 280,925 | ||||||
Series 2016-C01, Class 1M2 | 396 | 418,053 | ||||||
Series 2016-C03, Class 1M2 | 163 | 167,320 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 3,125,124 | |||||||
|
| |||||||
Total Investments – 99.7% | 5,500,554,886 | |||||||
Other assets less liabilities – 0.3% | 18,996,480 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 5,519,551,366 | ||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note 3)
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 39, 5 Year Index, 12/20/2027* | 5.00 | % | Quarterly | 6.06 | % | USD | 38,450 | $ | 1,525,557 | $ | 1,537,902 | $ | (12,345 | ) |
* | Termination date |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
CLEARED CENTRALLY INFLATION (CPI) SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Paid/ | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
USD | 25,420 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 2,191,313 | $ | – 0 | – | $ | 2,191,313 | ||||||||||||||||||
USD | 15,240 | 01/15/2025 | 4.028% | CPI# | Maturity | 418,597 | – 0 | – | 418,597 | |||||||||||||||||||||
USD | 12,710 | 01/15/2025 | 2.585% | CPI# | Maturity | 1,085,660 | – 0 | – | 1,085,660 | |||||||||||||||||||||
USD | 12,710 | 01/15/2025 | 2.613% | CPI# | Maturity | 1,071,906 | – 0 | – | 1,071,906 | |||||||||||||||||||||
USD | 52,790 | 01/15/2026 | CPI# | 3.720% | Maturity | (1,438,432 | ) | – 0 | – | (1,438,432 | ) | |||||||||||||||||||
USD | 40,000 | 01/15/2027 | CPI# | 3.320% | Maturity | (1,505,777 | ) | – 0 | – | (1,505,777 | ) | |||||||||||||||||||
USD | 39,500 | 01/15/2027 | CPI# | 3.466% | Maturity | (1,139,285 | ) | (46,159 | ) | (1,093,126 | ) | |||||||||||||||||||
USD | 31,450 | 01/15/2027 | CPI# | 3.323% | Maturity | (1,178,249 | ) | – 0 | – | (1,178,249 | ) | |||||||||||||||||||
USD | 87,590 | 01/15/2028 | 1.230% | CPI# | Maturity | 14,615,294 | – 0 | – | 14,615,294 | |||||||||||||||||||||
USD | 87,240 | 01/15/2028 | 0.735% | CPI# | Maturity | 17,599,712 | – 0 | – | 17,599,712 | |||||||||||||||||||||
USD | 94,820 | 01/15/2029 | CPI# | 3.290% | Maturity | (1,899,453 | ) | – 0 | – | (1,899,453 | ) | |||||||||||||||||||
USD | 40,500 | 01/15/2029 | CPI# | 3.735% | Maturity | 650,555 | – 0 | – | 650,555 | |||||||||||||||||||||
USD | 16,275 | 01/15/2030 | 1.572% | CPI# | Maturity | 2,492,305 | – 0 | – | 2,492,305 | |||||||||||||||||||||
USD | 16,275 | 01/15/2030 | 1.587% | CPI# | Maturity | 2,470,633 | – 0 | – | 2,470,633 | |||||||||||||||||||||
USD | 23,500 | 01/15/2031 | 2.782% | CPI# | Maturity | 1,186,237 | – 0 | – | 1,186,237 | |||||||||||||||||||||
USD | 22,000 | 01/15/2031 | 2.680% | CPI# | Maturity | 1,324,056 | – 0 | – | 1,324,056 | |||||||||||||||||||||
USD | 19,200 | 01/15/2031 | 2.989% | CPI# | Maturity | 586,762 | – 0 | – | 586,762 | |||||||||||||||||||||
USD | 20,800 | 01/15/2032 | CPI# | 3.064% | Maturity | (331,372 | ) | – 0 | – | (331,372 | ) | |||||||||||||||||||
USD | 18,300 | 04/15/2032 | CPI# | 2.909% | Maturity | (517,921 | ) | – 0 | – | (517,921 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 37,682,541 | $ | (46,159 | ) | $ | 37,728,700 | ||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments by the | Payments by the | Payment Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
USD | 51,000 | 01/15/2027 | 1 Day SOFR | 2.540% | Annual | $ | (2,297,125 | ) | $ | – 0 | – | $ | (2,297,125 | ) | ||||||||||||
USD | 45,000 | 01/15/2031 | 1.323% | 3 Month LIBOR | Semi-Annual/ Quarterly | 8,129,133 | – 0 | – | 8,129,133 | |||||||||||||||||
USD | 136,500 | 04/15/2032 | 2.569% | 1 Day SOFR | Annual | 9,777,474 | – 0 | – | 9,777,474 | |||||||||||||||||
USD | 54,900 | 04/15/2032 | 1.280% | 1 Day SOFR | Annual | 9,920,772 | – 0 | – | 9,920,772 | |||||||||||||||||
USD | 38,200 | 04/15/2032 | 2.632% | 1 Day SOFR | Annual | 2,532,283 | – 0 | – | 2,532,283 | |||||||||||||||||
USD | 11,000 | 04/15/2032 | 3.082% | 1 Day SOFR | Annual | 350,764 | – 0 | – | 350,764 | |||||||||||||||||
USD | 6,000 | 04/15/2032 | 3.069% | 1 Day SOFR | Annual | 197,568 | – 0 | – | 197,568 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 28,610,869 | $ | – 0 | – | $ | 28,610,869 | ||||||||||||||||||||
|
|
|
|
|
|
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 363 | $ | (81,297 | ) | $ | (33,872 | ) | $ | (47,425 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,204 | (269,970 | ) | (145,114 | ) | (124,856 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 80 | (18,030 | ) | (9,399 | ) | (8,631 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 199 | (44,592 | ) | (18,750 | ) | (25,842 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2,451 | (549,599 | ) | (284,598 | ) | (265,001 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 2,478 | (555,556 | ) | (233,888 | ) | (321,668 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 3,728 | (835,828 | ) | (342,844 | ) | (492,984 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 465 | (104,157 | ) | (55,752 | ) | (48,405 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 3,231 | (724,427 | ) | (288,421 | ) | (436,006 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (3,183,456 | ) | $ | (1,412,638 | ) | $ | (1,770,818 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
INTEREST RATE SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments by the | Payments by the | Payment Frequency | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Citibank, NA | USD | 57,160 | 10/09/2029 | 1.125 | % | SIFMA | * | Quarterly | $ | 6,568,374 | $ | – 0 | – | $ | 6,568,374 |
* | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
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PORTFOLIO OF INVESTMENTS (continued)
DIVERSIFIED MUNICIPAL PORTFOLIO
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $207,628,668 or 3.8% of net assets. |
(b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(c) | When-Issued or delayed delivery security. |
(d) | IO—Interest Only. |
(e) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 4.8% and 0.0%, respectively.
Glossary:
AGC – Assured Guaranty Corporation
AGM – Assured Guaranty Municipal
BAM – Build American Mutual
CMBS – Commercial Mortgage-Backed Securities
COP – Certificate of Participation
CPI – Consumer Price Index
DOT – Department of Transportation
ETM – Escrowed to Maturity
LIBOR – London Interbank Offered Rate
MUNIPSA – SIFMA Municipal Swap Index
NATL – National Interstate Corporation
OSF – Order of St. Francis
SOFR – Secured Overnight Financing Rate
UPMC – University of Pittsburgh Medical Center
XLCA – XL Capital Assurance Inc.
See notes to financial statements.
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Table of Contents
PORTFOLIO OF INVESTMENTS
NEW YORK MUNICIPAL PORTFOLIO
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
MUNICIPAL OBLIGATIONS – 94.9% | ||||||||
Long-Term Municipal Bonds – 89.7% | ||||||||
New York – 73.1% | ||||||||
Albany County Airport Authority | $ | 785 | $ | 787,271 | ||||
5.00%, 12/15/2023 | 1,050 | 1,066,770 | ||||||
5.00%, 12/15/2024 | 855 | 874,761 | ||||||
5.00%, 12/15/2025 | 855 | 880,705 | ||||||
5.00%, 12/15/2026 | 855 | 882,550 | ||||||
Battery Park City Authority | 4,345 | 4,351,541 | ||||||
Broome County Local Development Corp. | 2,220 | 1,771,093 | ||||||
3.00%, 04/01/2036 | 2,000 | 1,567,902 | ||||||
3.00%, 04/01/2037 | 1,500 | 1,157,203 | ||||||
4.00%, 04/01/2034 | 725 | 677,502 | ||||||
4.00%, 04/01/2038 | 1,400 | 1,263,374 | ||||||
4.00%, 04/01/2039 | 1,400 | 1,253,865 | ||||||
4.00%, 04/01/2040 | 1,500 | 1,332,585 | ||||||
5.00%, 04/01/2032 | 2,000 | 2,110,260 | ||||||
5.00%, 04/01/2033 | 1,000 | 1,048,515 | ||||||
Buffalo & Erie County Industrial Land Development Corp. | 1,000 | 990,556 | ||||||
Build NYC Resource Corp. | 550 | 524,770 | ||||||
Build NYC Resource Corp. | 1,050 | 997,061 | ||||||
5.00%, 06/01/2041(a) | 800 | 742,189 | ||||||
Build NYC Resource Corp. | 1,585 | 1,584,282 | ||||||
5.00%, 11/01/2025 | 1,750 | 1,740,099 | ||||||
5.25%, 11/01/2029 | 1,900 | 1,888,846 |
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Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Build NYC Resource Corp. | $ | 525 | $ | 422,095 | ||||
City of New York NY | 1,365 | 1,428,521 | ||||||
Series 2017-C | 1,075 | 1,091,063 | ||||||
5.00%, 08/01/2024 | 1,260 | 1,300,053 | ||||||
Series 2018-A | 7,690 | 8,156,346 | ||||||
Series 2018-D | 9,665 | 10,018,308 | ||||||
Series 2019-B | 4,205 | 4,521,704 | ||||||
Series 2019-H | 5,615 | 6,010,892 | ||||||
Series 2020-C | 5,000 | 5,347,817 | ||||||
5.00%, 08/01/2035 | 3,750 | 3,989,369 | ||||||
5.00%, 08/01/2038 | 4,960 | 5,213,038 | ||||||
Series 2021 | 4,950 | 4,215,702 | ||||||
Series 2021-D | 6,000 | 5,268,848 | ||||||
1.623%, 08/01/2028 | 4,000 | 3,318,936 | ||||||
County of Albany NY | 1,915 | 1,917,795 | ||||||
5.00%, 11/01/2023 | 1,515 | 1,544,422 | ||||||
County of Nassau NY | 10,190 | 10,456,615 | ||||||
Series 2017-C | 8,920 | 9,417,455 | ||||||
5.00%, 10/01/2027 | 13,200 | 14,090,380 | ||||||
County of Suffolk NY | 1,770 | 1,905,165 | ||||||
Dutchess County Local Development Corp. | 1,900 | 1,768,634 | ||||||
Series 2020-B | 4,940 | 4,765,884 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Dutchess County Local Development Corp. | $ | 4,945 | $ | 5,003,351 | ||||
Hudson Yards Infrastructure Corp. | 17,060 | 18,012,676 | ||||||
5.00%, 02/15/2032 | 5,590 | 5,880,195 | ||||||
Series 2021 | 5,000 | 4,566,943 | ||||||
Jefferson County Industrial Development Agency | 1,250 | 250,000 | ||||||
Long Island Power Authority | 9,535 | 9,113,058 | ||||||
Metropolitan Transportation Authority | 1,210 | 1,243,285 | ||||||
Series 2017-B | 5,000 | 5,177,132 | ||||||
5.00%, 11/15/2028 | 4,020 | 4,168,250 | ||||||
Series 2017-C | 9,140 | 9,463,796 | ||||||
5.00%, 11/15/2028 | 7,400 | 7,619,424 | ||||||
5.00%, 11/15/2029 | 1,705 | 1,754,095 | ||||||
5.00%, 11/15/2031 | 39,900 | 40,558,609 | ||||||
Series 2019-F | 3,230 | 3,235,899 | ||||||
Series 2021 | 2,085 | 2,002,421 | ||||||
AGM Series 2021 | 3,000 | 2,928,279 | ||||||
2.797% (SOFR + 0.80%), 11/01/2032(d) | 3,715 | 3,512,722 | ||||||
Metropolitan Transportation Authority | 14,130 | 14,158,112 | ||||||
Series 2017-A | 2,060 | 2,190,198 | ||||||
Series 2022-A | 11,605 | 10,885,279 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Monroe County Industrial Development Corp./NY | $ | 510 | $ | 518,951 | ||||
5.00%, 12/01/2028 | 1,210 | 1,262,178 | ||||||
Monroe County Industrial Development Corp./NY | 2,645 | 2,310,810 | ||||||
Monroe County Industrial Development Corp/NY | 250 | 240,831 | ||||||
5.625%, 07/01/2042(a) | 2,000 | 1,888,325 | ||||||
Nassau County Local Economic Assistance Corp. | 4,550 | 4,638,767 | ||||||
New York City Housing Development Corp. | 2,000 | 2,027,183 | ||||||
New York City Municipal Water Finance Authority | 3,000 | 3,082,538 | ||||||
Series 2015-F | 1,845 | 1,929,185 | ||||||
Series 2015-G | 11,465 | 11,988,131 | ||||||
Series 2017 | 3,725 | 3,870,475 | ||||||
Series 2017-E | 1,795 | 1,867,926 | ||||||
Series 2018-AA | 8,280 | 8,536,877 | ||||||
Series 2019-D | 1,005 | 1,008,638 |
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NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2019-F | $ | 6,190 | $ | 6,444,161 | ||||
Series 2021-B | 2,000 | 1,893,513 | ||||||
New York City Transitional Finance Authority Building Aid Revenue | 2,025 | 2,188,804 | ||||||
5.00%, 07/15/2032 | 16,040 | 17,199,143 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 2,100 | 2,102,952 | ||||||
5.00%, 11/01/2024 | 8,705 | 8,717,238 | ||||||
Series 2012-D | 11,025 | 11,040,499 | ||||||
Series 2014-A | 1,655 | 1,699,309 | ||||||
5.00%, 08/01/2029 | 5,000 | 5,128,511 | ||||||
Series 2014-C | 6,345 | 6,496,061 | ||||||
Series 2014-D1 | 7,110 | 7,248,021 | ||||||
5.00%, 02/01/2029 | 2,425 | 2,471,127 | ||||||
Series 2015-C | 20,000 | 20,788,986 | ||||||
Series 2016-B | 2,200 | 2,306,777 | ||||||
Series 2017-F | 1,220 | 1,279,801 | ||||||
Series 2020 | 3,065 | 2,930,748 | ||||||
5.00%, 11/01/2027 | 2,580 | 2,776,389 | ||||||
Series 2021-A | 6,770 | 6,905,083 | ||||||
Series 2022 | 2,220 | 2,075,353 | ||||||
4.00%, 02/01/2041 | 14,250 | 13,240,603 | ||||||
Series 2022-F | 1,000 | 946,441 | ||||||
New York Liberty Development Corp. | 20,000 | 17,727,082 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
2.625%, 09/15/2069 | $ | 22,240 | $ | 18,321,474 | ||||
2.80%, 09/15/2069 | 6,470 | 5,308,838 | ||||||
New York Liberty Development Corp. | 20,000 | 14,882,818 | ||||||
New York State Dormitory Authority | 40 | 40,933 | ||||||
Series 2015-E | 4,380 | 4,419,112 | ||||||
Series 2017 | 2,775 | 2,886,985 | ||||||
Series 2020-A | 6,475 | 6,649,817 | ||||||
New York State Dormitory Authority | 5 | 5,327 | ||||||
5.00%, 10/01/2029 (Pre-refunded/ETM) | 5 | 5,452 | ||||||
Series 2021 | 5,500 | 4,908,003 | ||||||
New York State Dormitory Authority | 1,400 | 1,410,739 | ||||||
5.00%, 12/01/2024(a) | 1,700 | 1,723,171 | ||||||
5.00%, 12/01/2026(a) | 1,500 | 1,530,156 | ||||||
New York State Dormitory Authority | 3,745 | 3,866,006 | ||||||
New York State Dormitory Authority | 555 | 564,140 | ||||||
5.00%, 07/01/2026 | 620 | 638,123 | ||||||
5.00%, 07/01/2027 | 325 | 335,892 | ||||||
5.00%, 07/01/2029 | 500 | 519,276 | ||||||
5.00%, 07/01/2030 | 300 | 311,189 | ||||||
5.00%, 07/01/2031 | 320 | 330,481 | ||||||
5.00%, 07/01/2032 | 280 | 287,573 | ||||||
New York State Dormitory Authority | 3,045 | 3,227,630 | ||||||
5.00%, 10/01/2029 | 2,130 | 2,311,401 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New York State Dormitory Authority | $ | 2,215 | $ | 2,234,294 | ||||
New York State Dormitory Authority | 2,040 | 2,068,877 | ||||||
Series 2019-A | 2,975 | 3,233,202 | ||||||
New York State Dormitory Authority | 2,500 | 2,263,763 | ||||||
4.00%, 05/01/2040 | 6,000 | 5,389,989 | ||||||
New York State Dormitory Authority | 1,000 | 1,012,313 | ||||||
5.00%, 07/01/2026 | 1,000 | 1,056,560 | ||||||
New York State Dormitory Authority | 1,130 | 1,155,303 | ||||||
Series 2021-A | 1,400 | 1,375,506 | ||||||
New York State Dormitory Authority | 11,385 | 11,618,323 | ||||||
Series 2014-A | 2,400 | 2,450,473 | ||||||
Series 2014-C | 12,485 | 12,763,060 | ||||||
5.00%, 03/15/2029 | 2,010 | 2,053,623 | ||||||
Series 2015-B | 1,160 | 1,168,271 | ||||||
Series 2020-D | 9,425 | 10,050,809 | ||||||
Series 2021-A | 3,775 | 4,014,079 | ||||||
Series 2022-A | 10,000 | 9,150,500 | ||||||
AMBAC INS Series 2005-B | 5,000 | 5,054,567 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New York State Dormitory Authority | $ | 1,000 | $ | 969,461 | ||||
5.00%, 07/01/2039 | 1,500 | 1,439,890 | ||||||
5.00%, 07/01/2042 | 1,630 | 1,541,958 | ||||||
New York State Environmental Facilities Corp. | 445 | 480,043 | ||||||
New York State Thruway Authority | 18,900 | 19,224,014 | ||||||
5.00%, 01/01/2027 | 15,000 | 15,248,006 | ||||||
Series 2014-K | 1,310 | 1,351,074 | ||||||
5.00%, 01/01/2028 | 3,035 | 3,120,253 | ||||||
Series 2019-M | 8,775 | 7,177,256 | ||||||
New York State Thruway Authority | 7,250 | 7,660,079 | ||||||
New York State Urban Development Corp. | 6,800 | 7,437,112 | ||||||
New York State Urban Development Corp. | 5,010 | 5,256,680 | ||||||
Series 2020-A | 4,350 | 4,042,318 | ||||||
Series 2020-E | 4,650 | 4,195,579 | ||||||
New York State Urban Development Corp. | 4,000 | 4,265,775 | ||||||
New York Transportation Development Corp. | 1,395 | 1,395,000 | ||||||
5.00%, 08/01/2031 | 2,985 | 2,986,357 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2021 | $ | 1,625 | $ | 1,497,990 | ||||
New York Transportation Development Corp. | 2,165 | 2,174,088 | ||||||
5.00%, 01/01/2030 | 24,445 | 24,265,605 | ||||||
5.00%, 01/01/2032 | 2,355 | 2,307,601 | ||||||
5.00%, 01/01/2036 | 2,000 | 1,913,720 | ||||||
New York Transportation Development Corp. | 500 | 442,618 | ||||||
4.00%, 10/31/2041 | 2,075 | 1,709,049 | ||||||
New York Transportation Development Corp. | 2,210 | 2,257,525 | ||||||
5.00%, 12/01/2030 | 1,010 | 1,029,622 | ||||||
5.00%, 12/01/2031 | 400 | 404,570 | ||||||
5.00%, 12/01/2032 | 1,035 | 1,043,516 | ||||||
5.00%, 12/01/2036 | 1,050 | 1,022,606 | ||||||
Series 2022 | 1,000 | 809,181 | ||||||
5.00%, 12/01/2031 | 2,005 | 2,030,164 | ||||||
5.00%, 12/01/2040 | 5,400 | 5,189,611 | ||||||
5.00%, 12/01/2041 | 3,670 | 3,514,971 | ||||||
New York Transportation Development Corp. | 2,535 | 2,457,518 | ||||||
New York Transportation Development Corp. | 965 | 967,155 | ||||||
Niagara Area Development Corp. | 1,000 | 871,013 | ||||||
Series 2018-B | 3,400 | 3,314,249 | ||||||
Niagara Falls City School District | 4,055 | 4,144,319 | ||||||
5.00%, 06/15/2025 | 3,660 | 3,781,979 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Onondaga Civic Development Corp. | $ | 300 | $ | 270,059 | ||||
4.00%, 07/01/2036 | 350 | 309,048 | ||||||
4.00%, 07/01/2039 | 450 | 385,347 | ||||||
Port Authority of New York & New Jersey | 10,480 | 10,643,441 | ||||||
Series 2014 | 5,080 | 5,143,048 | ||||||
5.00%, 09/01/2027 | 7,500 | 7,626,095 | ||||||
Series 2014-1 | 3,455 | 3,503,296 | ||||||
Series 2014-186 | 5,000 | 5,002,889 | ||||||
Series 2015 | 2,135 | 2,136,233 | ||||||
5.00%, 10/15/2023 | 5,850 | 5,931,775 | ||||||
5.00%, 10/15/2026 | 8,405 | 8,653,610 | ||||||
Series 2017 | 6,925 | 7,166,982 | ||||||
Series 2018-2 | 3,040 | 3,137,078 | ||||||
5.00%, 09/15/2027 | 9,340 | 9,744,940 | ||||||
Series 2019 | 3,135 | 3,195,441 | ||||||
5.00%, 11/01/2036 | 5,365 | 5,454,198 | ||||||
Series 2020-2 | 3,000 | 3,112,043 | ||||||
5.00%, 07/15/2034 | 13,030 | 13,423,179 | ||||||
5.00%, 07/15/2035 | 2,260 | 2,308,274 | ||||||
Series 2021-2 | 3,000 | 3,001,733 | ||||||
5.00%, 10/15/2023 | 2,750 | 2,788,441 | ||||||
Sales Tax Asset Receivable Corp. | 6,075 | 6,287,542 | ||||||
5.00%, 10/15/2026 (Pre-refunded/ETM) | 7,065 | 7,312,179 | ||||||
Suffolk County Economic Development Corp. | 500 | 512,196 | ||||||
5.00%, 12/01/2034 | 1,000 | 1,010,724 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Suffolk Tobacco Asset Securitization Corp. | $ | 410 | $ | 406,337 | ||||
4.00%, 06/01/2035 | 2,300 | 2,109,787 | ||||||
4.00%, 06/01/2036 | 2,425 | 2,204,313 | ||||||
4.00%, 06/01/2037 | 1,170 | 1,051,708 | ||||||
4.00%, 06/01/2050 | 2,500 | 2,117,501 | ||||||
5.00%, 06/01/2034 | 2,275 | 2,326,030 | ||||||
Town of Oyster Bay NY | 2,185 | 2,198,428 | ||||||
Triborough Bridge & Tunnel Authority | 18,000 | 18,037,850 | ||||||
Series 2013-A | 5,000 | 5,050,653 | ||||||
Series 2013-B | 7,525 | 7,542,189 | ||||||
Series 2021-A | ||||||||
5.00%, 11/01/2025 | 2,505 | 2,622,888 | ||||||
Series 2021-B | 5,095 | 5,053,835 | ||||||
Triborough Bridge & Tunnel Authority | 15,035 | 15,713,495 | ||||||
Series 2021-A | 9,185 | 8,926,473 | ||||||
2.511%, 05/15/2035 | 10,000 | 7,620,617 | ||||||
Series 2021-C | 5,000 | 5,247,924 | ||||||
Series 2022 | 2,500 | 2,752,478 | ||||||
5.00%, 05/15/2032 | 5,000 | 5,554,311 | ||||||
5.00%, 05/15/2033 | 1,000 | 1,095,389 | ||||||
5.00%, 05/15/2034 | 1,590 | 1,727,046 | ||||||
5.00%, 05/15/2035 | 1,000 | 1,074,687 | ||||||
5.00%, 05/15/2036 | 1,000 | 1,070,978 | ||||||
5.00%, 05/15/2041 | 1,750 | 1,825,276 | ||||||
Series 2022-A | 20,000 | 20,670,594 | ||||||
Troy Capital Resource Corp. | 2,570 | 2,706,559 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 09/01/2032 | $ | 3,460 | $ | 3,630,252 | ||||
5.00%, 09/01/2033 | 2,365 | 2,467,717 | ||||||
Trust for Cultural Resources of The City of New York (The) | 7,175 | 7,626,851 | ||||||
Series 2020 | 1,800 | 1,967,655 | ||||||
5.00%, 12/01/2032 | 2,000 | 2,170,475 | ||||||
Trust for Cultural Resources of The City of New York (The) | 1,140 | 1,090,433 | ||||||
TSASC, Inc./NY | 1,000 | 1,011,315 | ||||||
Utility Debt Securitization Authority | 2,800 | 2,853,632 | ||||||
Westchester County Local Development Corp. | 520 | 531,856 | ||||||
5.00%, 01/01/2032(e) | 520 | 525,389 | ||||||
5.00%, 01/01/2037(e) | 530 | 523,647 | ||||||
5.00%, 01/01/2041(e) | 720 | 697,841 | ||||||
|
| |||||||
1,053,565,656 | ||||||||
|
| |||||||
Alabama – 0.7% | ||||||||
Southeast Alabama Gas Supply District (The) | 10,000 | 9,967,308 | ||||||
|
| |||||||
American Samoa – 0.1% | ||||||||
American Samoa Economic Development Authority | 1,055 | 1,138,745 | ||||||
|
| |||||||
Colorado – 1.2% | ||||||||
City & County of Denver CO | 2,425 | 2,307,889 |
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NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Colorado Health Facilities Authority | $ | 5,265 | $ | 5,403,330 | ||||
5.00%, 08/01/2033 | 6,030 | 6,092,389 | ||||||
5.00%, 08/01/2034 | 4,000 | 4,016,528 | ||||||
Vauxmont Metropolitan District | 160 | 166,565 | ||||||
|
| |||||||
17,986,701 | ||||||||
|
| |||||||
Connecticut – 1.7% | ||||||||
State of Connecticut | 14,565 | 15,155,688 | ||||||
Series 2018-C | 4,690 | 5,017,050 | ||||||
Series 2018-F | 4,025 | 4,318,893 | ||||||
|
| |||||||
24,491,631 | ||||||||
|
| |||||||
Florida – 0.1% | ||||||||
County of Osceola FL Transportation Revenue | 100 | 66,646 | ||||||
Zero Coupon, 10/01/2032 | 100 | 59,304 | ||||||
Zero Coupon, 10/01/2033 | 100 | 55,768 | ||||||
Zero Coupon, 10/01/2034 | 110 | 57,729 | ||||||
Volusia County School Board | 1,000 | 1,026,773 | ||||||
|
| |||||||
1,266,220 | ||||||||
|
| |||||||
Georgia – 0.2% | ||||||||
Municipal Electric Authority of Georgia | 905 | 945,983 | ||||||
5.00%, 01/01/2032 | 565 | 585,693 | ||||||
5.00%, 01/01/2035 | 1,185 | 1,187,658 | ||||||
|
| |||||||
2,719,334 | ||||||||
|
| |||||||
Guam – 1.8% | ||||||||
Antonio B Won Pat International Airport Authority | 665 | 575,293 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
3.189%, 10/01/2029 | $ | 550 | $ | 465,824 | ||||
3.339%, 10/01/2030 | 450 | 376,532 | ||||||
Series 2023 | 250 | 228,269 | ||||||
5.25%, 10/01/2031(e) | 1,025 | 981,342 | ||||||
5.25%, 10/01/2035(e) | 265 | 242,171 | ||||||
5.375%, 10/01/2033(e) | 525 | 495,006 | ||||||
Guam Government Waterworks Authority | 1,250 | 1,291,279 | ||||||
5.00%, 07/01/2030 | 1,000 | 1,030,334 | ||||||
5.00%, 07/01/2031 | 2,000 | 2,054,951 | ||||||
Guam Power Authority | 2,980 | 3,062,933 | ||||||
5.00%, 10/01/2026 | 1,225 | 1,266,533 | ||||||
5.00%, 10/01/2027 | 1,230 | 1,277,552 | ||||||
Series 2022-A | 1,250 | 1,263,809 | ||||||
Territory of Guam | 270 | 254,939 | ||||||
Territory of Guam | 620 | 619,049 | ||||||
5.00%, 12/01/2030 | 1,000 | 992,701 | ||||||
5.00%, 12/01/2032 | 925 | 905,087 | ||||||
Territory of Guam | 1,865 | 1,872,163 | ||||||
5.00%, 11/15/2025 | 1,555 | 1,560,439 | ||||||
5.00%, 11/15/2031 | 3,730 | 3,672,040 | ||||||
Series 2021-F | 1,000 | 996,984 | ||||||
|
| |||||||
25,485,230 | ||||||||
|
| |||||||
Illinois – 2.9% | ||||||||
Chicago Board of Education | 8,160 | 8,247,829 | ||||||
Illinois Finance Authority | 130 | 130,883 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
5.00%, 09/01/2026 | $ | 150 | $ | 152,980 | ||||
5.00%, 09/01/2027 | 145 | 148,068 | ||||||
5.00%, 09/01/2029 | 225 | 230,332 | ||||||
5.00%, 09/01/2032 | 365 | 366,889 | ||||||
5.00%, 09/01/2033 | 200 | 199,914 | ||||||
5.00%, 09/01/2034 | 225 | 222,181 | ||||||
Metropolitan Pier & Exposition Authority | 2,000 | 2,038,769 | ||||||
State of Illinois | 3,370 | 3,403,635 | ||||||
Series 2013 | 7,435 | 7,512,669 | ||||||
Series 2017-A | 2,105 | 2,140,138 | ||||||
Series 2017-D | 7,505 | 7,593,942 | ||||||
5.00%, 11/01/2024 | 5,580 | 5,672,190 | ||||||
Series 2018-A | 2,910 | 2,957,495 | ||||||
Series 2018-B | 1,405 | 1,426,057 | ||||||
|
| |||||||
42,443,971 | ||||||||
|
| |||||||
Kentucky – 0.3% | ||||||||
City of Ashland KY | 350 | 359,138 | ||||||
5.00%, 02/01/2027 | 375 | 387,245 | ||||||
5.00%, 02/01/2030 | 210 | 219,097 | ||||||
5.00%, 02/01/2031 | 275 | 281,048 | ||||||
Kentucky Economic Development Finance Authority | 1,000 | 1,010,347 | ||||||
5.00%, 08/01/2034 | 1,635 | 1,641,756 | ||||||
5.00%, 08/01/2035 | 555 | 556,248 | ||||||
|
| |||||||
4,454,879 | ||||||||
|
| |||||||
Louisiana – 0.1% | ||||||||
Parish of St. James LA | 240 | 246,201 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
6.10%, 06/01/2038(a) | $ | 345 | $ | 367,069 | ||||
6.10%, 12/01/2040(a) | 460 | 489,425 | ||||||
|
| |||||||
1,102,695 | ||||||||
|
| |||||||
Michigan – 1.1% | ||||||||
City of Detroit MI | 250 | 256,136 | ||||||
5.00%, 04/01/2032 | 1,005 | 1,017,180 | ||||||
Michigan Strategic Fund | 8,600 | 8,627,254 | ||||||
5.00%, 12/31/2030 | 4,000 | 3,987,565 | ||||||
5.00%, 06/30/2032 | 1,690 | 1,660,414 | ||||||
|
| |||||||
15,548,549 | ||||||||
|
| |||||||
Missouri – 0.0% | ||||||||
Howard Bend Levee District | 120 | 121,462 | ||||||
5.75%, 03/01/2027 | 275 | 278,764 | ||||||
|
| |||||||
400,226 | ||||||||
|
| |||||||
Nevada – 0.1% | ||||||||
City of Sparks NV | 385 | 370,299 | ||||||
2.75%, 06/15/2028(a) | 715 | 626,641 | ||||||
|
| |||||||
996,940 | ||||||||
|
| |||||||
New Jersey – 2.7% | ||||||||
New Jersey Economic Development Authority | 1,445 | 1,455,876 | ||||||
New Jersey Transportation Trust Fund Authority | 5,030 | 5,136,631 | ||||||
5.00%, 06/15/2027 | 5,000 | 5,227,557 | ||||||
Series 2018-A | 11,680 | 12,165,838 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New Jersey Transportation Trust Fund Authority | $ | 3,360 | $ | 3,484,269 | ||||
Series 2019-B | 1,500 | 1,557,939 | ||||||
5.00%, 06/15/2034 | 2,360 | 2,387,431 | ||||||
Series 2019-BB1 | 2,900 | 2,933,707 | ||||||
AMBAC INS Series 2005-B | 4,700 | 4,801,465 | ||||||
|
| |||||||
39,150,713 | ||||||||
|
| |||||||
Pennsylvania – 0.3% | ||||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) | 1,690 | 1,701,771 | ||||||
5.00%, 07/01/2024 | 2,085 | 2,117,581 | ||||||
|
| |||||||
3,819,352 | ||||||||
|
| |||||||
Puerto Rico – 1.1% | ||||||||
Commonwealth of Puerto Rico | 959 | 881,214 | ||||||
Zero Coupon, 07/01/2033 | 2,420 | 1,333,889 | ||||||
4.00%, 07/01/2033 | 675 | 593,596 | ||||||
5.25%, 07/01/2023 | 465 | 467,068 | ||||||
5.375%, 07/01/2025 | 870 | 878,412 | ||||||
5.625%, 07/01/2027 | 3,150 | 3,215,413 | ||||||
5.625%, 07/01/2029 | 1,070 | 1,094,389 | ||||||
5.75%, 07/01/2031 | 285 | 290,558 | ||||||
Puerto Rico Electric Power Authority | 1,390 | 1,376,800 | ||||||
Puerto Rico Highway & Transportation Authority | 1,580 | 1,546,687 | ||||||
5.25%, 07/01/2036 | 1,515 | 1,479,745 | ||||||
AGM Series 2007-C | 1,000 | 1,007,774 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | $ | 1,406 | $ | 1,299,031 | ||||
|
| |||||||
15,464,576 | ||||||||
|
| |||||||
South Carolina – 0.3% | ||||||||
South Carolina Public Service Authority | 2,125 | 1,873,992 | ||||||
5.00%, 12/01/2040 | 2,500 | 2,488,883 | ||||||
|
| |||||||
4,362,875 | ||||||||
|
| |||||||
Tennessee – 0.6% | ||||||||
Chattanooga Health Educational & Housing Facility Board | 1,500 | 1,539,410 | ||||||
5.00%, 08/01/2033 | 1,000 | 1,010,347 | ||||||
5.00%, 08/01/2034 | 1,000 | 1,004,132 | ||||||
Tennergy Corp./TN | 4,735 | 4,835,106 | ||||||
|
| |||||||
8,388,995 | ||||||||
|
| |||||||
Texas – 0.4% | ||||||||
City of Houston TX Airport System Revenue | 1,750 | 1,748,998 | ||||||
Mission Economic Development Corp. | 4,540 | 4,469,494 | ||||||
|
| |||||||
6,218,492 | ||||||||
|
| |||||||
Washington – 0.6% | ||||||||
Washington Health Care Facilities Authority | 2,165 | 2,201,734 | ||||||
5.00%, 08/01/2033 | 2,595 | 2,621,849 | ||||||
5.00%, 08/01/2034 | 2,520 | 2,530,413 | ||||||
Washington State Housing Finance Commission | 981 | 832,419 |
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NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Washington State Housing Finance Commission | $ | 981 | $ | 49,927 | ||||
|
| |||||||
8,236,342 | ||||||||
|
| |||||||
Wisconsin – 0.3% | ||||||||
UMA Education, Inc. | 240 | 240,000 | ||||||
5.00%, 10/01/2023(a) | 260 | 260,173 | ||||||
5.00%, 10/01/2025(a) | 995 | 991,449 | ||||||
5.00%, 10/01/2026(a) | 1,050 | 1,042,885 | ||||||
5.00%, 10/01/2027(a) | 1,090 | 1,077,693 | ||||||
5.00%, 10/01/2028(a) | 900 | 884,480 | ||||||
5.00%, 10/01/2029(a) | 275 | 269,168 | ||||||
|
| |||||||
4,765,848 | ||||||||
|
| |||||||
Total Long-Term Municipal Bonds | 1,291,975,278 | |||||||
|
| |||||||
Short-Term Municipal Notes – 5.2% | ||||||||
New York – 5.0% | ||||||||
Build NYC Resource Corp. | 1,745 | 1,745,000 | ||||||
City of New York NY | 530 | 530,000 | ||||||
Series 2009-B | 5,850 | 5,850,000 | ||||||
Series 2016 | 8,995 | 8,995,000 | ||||||
Dutchess County Industrial Development Agency | 1,230 | 1,230,000 | ||||||
New York City Health and Hospitals Corp. | 10,000 | 10,000,000 | ||||||
Series 2008-E | 2,520 | 2,520,000 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
New York City Health and Hospitals Corp. | $ | 2,000 | $ | 2,000,000 | ||||
New York City Housing Development Corp. | 4,100 | 4,100,000 | ||||||
New York City Housing Development Corp. | 8,800 | 8,800,000 | ||||||
New York City Housing Development Corp. | 1,300 | 1,300,000 | ||||||
New York State Dormitory Authority | 2,290 | 2,290,000 | ||||||
New York State Housing Finance Agency | 6,400 | 6,400,000 | ||||||
New York State Housing Finance Agency | 3,140 | 3,140,000 | ||||||
New York State Housing Finance Agency | 2,100 | 2,100,000 | ||||||
Triborough Bridge & Tunnel Authority | 7,570 | 7,570,000 | ||||||
Trust for Cultural Resources of The City of New York (The) | 2,695 | 2,695,000 | ||||||
|
| |||||||
71,265,000 | ||||||||
|
|
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NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Ohio – 0.2% | ||||||||
State of Ohio | $ | 3,020 | $ | 3,020,000 | ||||
|
| |||||||
Total Short-Term Municipal Notes | 74,285,000 | |||||||
|
| |||||||
Total Municipal Obligations | 1,366,260,278 | |||||||
|
| |||||||
GOVERNMENTS - TREASURIES – 0.1% | ||||||||
United States – 0.1% | ||||||||
U.S. Treasury Notes | 2,377 | 2,190,554 | ||||||
|
| |||||||
CORPORATES - INVESTMENT GRADE – 0.1% | ||||||||
Industrial – 0.1% | ||||||||
Consumer Cyclical – Automotive – 0.1% | ||||||||
General Motors Financial Co., Inc. | 2,000 | 1,957,540 | ||||||
|
| |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.1% | ||||||||
Risk Share Floating Rate – 0.1% | ||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 132 | 133,593 | ||||||
Series 2014-DN3, Class M3 | 100 | 100,674 | ||||||
Series 2019-DNA3, Class M2 | 106 | 104,187 | ||||||
Federal National Mortgage Association Connecticut Avenue Securities | 97 | 97,694 | ||||||
Series 2015-C02, Class 1M2 | 99 | 100,845 |
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PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
Principal Amount (000) | U.S. $ Value | |||||||
| ||||||||
Series 2016-C01, Class 1M2 | $ | 243 | $ | 257,060 | ||||
Series 2016-C02, Class 1M2 | 56 | 58,245 | ||||||
Series 2016-C03, Class 1M2 | 95 | 97,279 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations | 949,577 | |||||||
|
| |||||||
Total Investments – 95.2% | 1,371,357,949 | |||||||
Other assets less liabilities – 4.8% | 69,086,141 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,440,444,090 | ||||||
|
|
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note 3)
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 | 7,130 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 614,637 | $ | – 0 | – | $ | 614,637 | ||||||||||||||||||
USD | 4,070 | 01/15/2025 | 4.028% | CPI# | Maturity | 111,791 | – 0 | – | 111,791 | |||||||||||||||||||||
USD | 3,565 | 01/15/2025 | 2.585% | CPI# | Maturity | 304,514 | – 0 | – | 304,514 | |||||||||||||||||||||
USD | 3,565 | 01/15/2025 | 2.613% | CPI# | Maturity | 300,656 | – 0 | – | 300,656 | |||||||||||||||||||||
USD | 16,830 | 01/15/2026 | CPI# | 3.720% | Maturity | (458,587 | ) | – 0 | – | (458,587 | ) | |||||||||||||||||||
USD | 10,700 | 01/15/2027 | CPI# | 3.466% | Maturity | (308,616 | ) | (12,502 | ) | (296,114 | ) | |||||||||||||||||||
USD | 10,500 | 01/15/2027 | CPI# | 3.320% | Maturity | (395,266 | ) | – 0 | – | (395,266 | ) | |||||||||||||||||||
USD | 8,430 | 01/15/2027 | CPI# | 3.323% | Maturity | (315,823 | ) | – 0 | – | (315,823 | ) | |||||||||||||||||||
USD | 27,600 | 01/15/2028 | 1.230% | CPI# | Maturity | 4,605,344 | – 0 | – | 4,605,344 | |||||||||||||||||||||
USD | 23,260 | 01/15/2028 | 0.735% | CPI# | Maturity | 4,692,450 | – 0 | – | 4,692,450 | |||||||||||||||||||||
USD | 27,050 | 01/15/2029 | CPI# | 3.290% | Maturity | (541,871 | ) | – 0 | – | (541,871 | ) | |||||||||||||||||||
USD | 10,810 | 01/15/2029 | CPI# | 3.735% | Maturity | 173,642 | – 0 | – | 173,642 | |||||||||||||||||||||
USD | 4,375 | 01/15/2030 | 1.572% | CPI# | Maturity | 669,974 | – 0 | – | 669,974 | |||||||||||||||||||||
USD | 4,375 | 01/15/2030 | 1.587% | CPI# | Maturity | 664,149 | – 0 | – | 664,149 | |||||||||||||||||||||
USD | 6,400 | 01/15/2031 | 2.782% | CPI# | Maturity | 323,060 | – 0 | – | 323,060 | |||||||||||||||||||||
USD | 5,830 | 01/15/2031 | 2.680% | CPI# | Maturity | 350,875 | – 0 | – | 350,875 | |||||||||||||||||||||
USD | 5,150 | 01/15/2031 | 2.989% | CPI# | Maturity | 157,387 | – 0 | – | 157,387 | |||||||||||||||||||||
USD | 5,600 | 01/15/2032 | CPI# | 3.064% | Maturity | (89,216 | ) | – 0 | – | (89,216 | ) | |||||||||||||||||||
USD | 5,400 | 04/15/2032 | CPI# | 2.909% | Maturity | (152,829 | ) | – 0 | – | (152,829 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 10,706,271 | $ | (12,502 | ) | $ | 10,718,773 | ||||||||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
136 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3)
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 | 25,000 | 01/15/2027 | 1 Day SOFR | 2.540% | Annual | $ | (1,126,042 | ) | $ | – 0 | – | $ | (1,126,042 | ) | ||||||||||||
USD | 8,000 | 01/15/2031 | 1.323% | 3 Month LIBOR | Semi-Annual/ Quarterly | 1,445,179 | – 0 | – | 1,445,179 | |||||||||||||||||
USD | 43,200 | 04/15/2032 | 2.569% | 1 Day SOFR | Annual | 3,094,409 | – 0 | – | 3,094,409 | |||||||||||||||||
USD | 13,400 | 04/15/2032 | 1.280% | 1 Day SOFR | Annual | 2,421,464 | – 0 | – | 2,421,464 | |||||||||||||||||
USD | 13,200 | 04/15/2032 | 2.632% | 1 Day SOFR | Annual | 875,030 | – 0 | – | 875,030 | |||||||||||||||||
USD | 5,000 | 04/15/2032 | 3.082% | 1 Day SOFR | Annual | 159,438 | – 0 | – | 159,438 | |||||||||||||||||
USD | 1,400 | 04/15/2032 | 3.069% | 1 Day SOFR | Annual | 46,099 | – 0 | – | 46,099 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 6,915,577 | $ | – 0 | – | $ | 6,915,577 | ||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note 3)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | % | Monthly | 7.50 | % | USD | 121 | $ | (27,206 | ) | $ | (11,335 | ) | $ | (15,871 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 402 | (90,151 | ) | (48,458 | ) | (41,693 | ) | |||||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 27 | (5,956 | ) | (3,105 | ) | (2,851 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 67 | (14,971 | ) | (6,295 | ) | (8,676 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 820 | (183,844 | ) | (95,200 | ) | (88,644 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 826 | (185,293 | ) | (78,008 | ) | (107,285 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,245 | (279,146 | ) | (114,501 | ) | (164,645 | ) | |||||||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 155 | (34,773 | ) | (18,613 | ) | (16,160 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- Series 6, 05/11/2063* | 3.00 | Monthly | 7.50 | USD | 1,079 | (241,959 | ) | (96,333 | ) | (145,626 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (1,063,299 | ) | $ | (471,848 | ) | $ | (591,451 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* | Termination date |
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 137 |
Table of Contents
PORTFOLIO OF INVESTMENTS (continued)
NEW YORK MUNICIPAL PORTFOLIO
INTEREST RATE SWAPS (see Note 3)
Rate Type | ||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Citibank, NA | USD | 16,980 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 1,951,207 | $ | – 0 | – | $ | 1,951,207 |
* | Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index. |
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $31,830,161 or 2.2% of net assets. |
(b) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(c) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.02% of net assets as of September 30, 2022, are considered illiquid and restricted. Additional information regarding such securities follows: |
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||
Jefferson County Industrial Development Agency | ||||||||||||||||
5.25%, 01/01/2024 | 11/13/2014 | $ | 1,250,438 | $ | 250,000 | 0.02 | % |
(d) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(e) | When-Issued or delayed delivery security. |
(f) | IO—Interest Only. |
(g) | Variable Rate Demand Notes are instruments whose interest rates change on a specific date (such as coupon date or interest payment date) or whose interest rates vary with changes in a designated base rate (such as the prime interest rate). This instrument is payable on demand and is secured by letters of credit or other credit support agreements from major banks. |
(h) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 2.9% and 0.0%, respectively.
Glossary:
AGC – Assured Guaranty Corporation
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corporation
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
SOFR – Secured Overnight Financing Rate
XLCA – XL Capital Assurance Inc.
See notes to financial statements.
138 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2022
California Municipal Portfolio | Diversified Municipal Portfolio | New York Municipal Portfolio | ||||||||||
Assets |
| |||||||||||
Investments in securities, at value | $ | 1,098,401,858 | $ | 5,500,554,886 | $ | 1,371,357,949 | ||||||
Cash | 21,428,128 | – 0 | – | 55,910,667 | ||||||||
Cash collateral due from broker | 3,839,305 | 17,553,664 | 3,796,659 | |||||||||
Receivables: |
| |||||||||||
Interest | 13,680,757 | 66,958,506 | 16,494,865 | |||||||||
Investment securities sold | 3,845,896 | 4,725,069 | 6,715,020 | |||||||||
Capital shares sold | 633,301 | 6,999,863 | 2,287,083 | |||||||||
Variation margin on centrally cleared swaps | 12,721 | 41,820 | 1,073 | |||||||||
Unrealized appreciation of interest rate swaps | 1,424,335 | 6,568,374 | 1,951,207 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 1,143,266,301 | 5,603,402,182 | 1,458,514,523 | |||||||||
|
|
|
|
|
| |||||||
Liabilities |
| |||||||||||
Due to custodian | – 0 | – | 803,205 | – 0 | – | |||||||
Cash collateral due to broker | 1,800,000 | 6,840,000 | 1,910,000 | |||||||||
Payables: |
| |||||||||||
Dividends to shareholders | 715,487 | 3,379,781 | 587,646 | |||||||||
Investment securities purchased | 32,664,128 | 51,429,335 | 11,920,919 | |||||||||
Capital shares redeemed | 4,769,061 | 15,622,775 | 1,760,528 | |||||||||
Management fee | 390,249 | 1,652,632 | 496,607 | |||||||||
Shareholder servicing fee | 79,625 | 363,745 | 107,872 | |||||||||
Distribution fee | 14,980 | 66,306 | 24,772 | |||||||||
Transfer Agent fee | 10,860 | 59,896 | 12,303 | |||||||||
Accrued expenses | 163,671 | 449,685 | 186,487 | |||||||||
Market value on credit default swaps(a) | 761,453 | 3,183,456 | 1,063,299 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 41,369,514 | 83,850,816 | 18,070,433 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,101,896,787 | $ | 5,519,551,366 | $ | 1,440,444,090 | ||||||
|
|
|
|
|
| |||||||
Cost of investments | $ | 1,174,374,436 | $ | 5,876,876,446 | $ | 1,473,406,574 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: |
| |||||||||||
Capital stock, at par | $ | 82,957 | $ | 412,911 | $ | 111,814 | ||||||
Additional paid-in capital | 1,170,965,728 | 5,854,416,719 | 1,545,765,916 | |||||||||
Accumulated loss | (69,151,898 | ) | (335,278,264 | ) | (105,433,640 | ) | ||||||
|
|
|
|
|
| |||||||
$ | 1,101,896,787 | $ | 5,519,551,366 | $ | 1,440,444,090 | |||||||
|
|
|
|
|
|
(a) | Net premiums received of $342,811, $1,412,638 and $471,848, respectively. |
See notes to financial statements.
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 139 |
Table of Contents
STATEMENT OF ASSETS AND LIABILITIES (continued)
California Municipal Portfolio | Diversified Municipal Portfolio | New York Municipal Portfolio | ||||||||||
CALCULATION OF MAXIMUM OFFERING PRICE | ||||||||||||
Municipal Class Shares | ||||||||||||
Net Assets | $ | 938,637,948 | $ | 4,296,195,793 | $ | 1,277,131,941 | ||||||
Shares of capital stock outstanding | 70,665,993 | 321,405,994 | 99,131,980 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 13.28 | $ | 13.37 | $ | 12.88 | ||||||
|
|
|
|
|
| |||||||
Class A Shares | ||||||||||||
Net Assets | $ | 57,140,867 | $ | 261,935,519 | $ | 96,285,930 | ||||||
Shares of capital stock outstanding | 4,301,574 | 19,581,758 | 7,476,338 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 13.28 | $ | 13.38 | $ | 12.88 | ||||||
Sales charge—3.00% of public offering price | 0.41 | 0.41 | 0.40 | |||||||||
|
|
|
|
|
| |||||||
Maximum offering price | $ | 13.69 | $ | 13.79 | $ | 13.28 | ||||||
|
|
|
|
|
| |||||||
Class C Shares | ||||||||||||
Net Assets | $ | 3,651,515 | $ | 13,575,819 | $ | 5,514,666 | ||||||
Shares of capital stock outstanding | 274,928 | 1,015,258 | 428,190 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 13.28 | $ | 13.37 | $ | 12.88 | ||||||
|
|
|
|
|
| |||||||
Advisor Class Shares | ||||||||||||
Net Assets | $ | 102,466,457 | $ | 477,015,038 | $ | 61,511,553 | ||||||
Shares of capital stock outstanding | 7,714,162 | 35,710,448 | 4,777,232 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and offering price per share | $ | 13.28 | $ | 13.36 | $ | 12.88 | ||||||
|
|
|
|
|
| |||||||
Class Z Shares | ||||||||||||
Net Assets | $ | 470,829,197 | ||||||||||
Shares of capital stock outstanding | 35,197,259 | |||||||||||
|
| |||||||||||
Net asset value and offering price per share | $ | 13.38 | ||||||||||
|
|
See notes to financial statements.
140 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
STATEMENT OF OPERATIONS
For the Year Ended September 30, 2022
California Municipal Portfolio | Diversified Municipal Portfolio | New York Municipal Portfolio | ||||||||||
Investment Income | ||||||||||||
Interest | $ | 29,375,097 | $ | 153,222,611 | $ | 40,817,884 | ||||||
|
|
|
|
|
| |||||||
Total income | 29,375,097 | 153,222,611 | 40,817,884 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fee (see Note 2A) | 5,266,658 | 21,822,225 | 6,778,018 | |||||||||
Shareholder servicing fee | 1,116,698 | 5,011,517 | 1,497,091 | |||||||||
Custody and accounting fees | 112,628 | 274,172 | 138,772 | |||||||||
Transfer Agent fee – Non-Retail Class | 27,534 | 126,292 | 38,728 | |||||||||
Transfer Agent fee – Class A | 19,429 | 99,032 | 39,017 | |||||||||
Transfer Agent fee – Class C | 1,340 | 5,217 | 2,850 | |||||||||
Transfer Agent fee – Advisor Class | 25,865 | 154,439 | 23,679 | |||||||||
Transfer Agent fee – Class Z | – 0 | – | 103,633 | – 0 | – | |||||||
Distribution fees – Class A | 161,324 | 758,203 | 263,321 | |||||||||
Distribution fees – Class C | 43,755 | 157,720 | 73,928 | |||||||||
Directors’ fees and expenses | 54,505 | 270,245 | 72,046 | |||||||||
Auditing and tax fees | 47,825 | 209,676 | 60,062 | |||||||||
Legal fees | 44,068 | 212,112 | 58,027 | |||||||||
Registration fees | 27,581 | 191,043 | 50,872 | |||||||||
Printing fees | 54,806 | 33,709 | 38,705 | |||||||||
Miscellaneous | 48,160 | 202,709 | 59,680 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 7,052,176 | 29,631,944 | 9,194,796 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 22,322,921 | 123,590,667 | 31,623,088 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) on Investment Transactions | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | (4,524,663 | ) | (23,119,188 | ) | (6,766,299 | ) | ||||||
Swaps | 2,501,824 | 9,952,392 | 598,566 | |||||||||
|
|
|
|
|
| |||||||
Net realized loss on investment transactions | (2,022,839 | ) | (13,166,796 | ) | (6,167,733 | ) | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | (124,960,252 | ) | (663,346,572 | ) | (171,846,996 | ) | ||||||
Swaps | 8,220,541 | 37,941,871 | 10,986,550 | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation of investments | (116,739,711 | ) | (625,404,701 | ) | (160,860,446 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized and unrealized loss on investment transactions | (118,762,550 | ) | (638,571,497 | ) | (167,028,179 | ) | ||||||
|
|
|
|
|
| |||||||
Net decrease in net assets resulting from operations | $ | (96,439,629 | ) | $ | (514,980,830 | ) | $ | (135,405,091 | ) | |||
|
|
|
|
|
|
See notes to financial statements.
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 141 |
Table of Contents
STATEMENT OF CHANGES IN NET ASSETS
California Municipal Portfolio | ||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 22,322,921 | $ | 23,243,006 | ||||
Net realized gain (loss) on investment transactions | (2,022,839 | ) | 10,017,390 | |||||
Net change in unrealized appreciation/depreciation of investments | (116,739,711 | ) | (3,211,963 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (96,439,629 | ) | 30,048,433 | |||||
|
|
|
| |||||
Distributions to Shareholders | ||||||||
Municipal Class | (18,916,809 | ) | (20,551,446 | ) | ||||
Class A | (971,204 | ) | (1,218,820 | ) | ||||
Class C | (32,897 | ) | (42,371 | ) | ||||
Advisor Class | (1,535,307 | ) | (1,192,399 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (21,456,217 | ) | (23,005,036 | ) | ||||
|
|
|
| |||||
Capital-Share Transactions: |
| |||||||
Net proceeds from sales of shares | 307,949,541 | 351,799,964 | ||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends | 15,729,268 | 17,652,625 | ||||||
|
|
|
| |||||
Total proceeds from shares sold | 323,678,809 | 369,452,589 | ||||||
Cost of shares redeemed | (496,377,732 | ) | (376,795,028 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital-share transactions | (172,698,923 | ) | (7,342,439 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (290,594,769 | ) | (299,042 | ) | ||||
Net Assets: |
| |||||||
Beginning of period | 1,392,491,556 | 1,392,790,598 | ||||||
|
|
|
| |||||
End of period | $ | 1,101,896,787 | $ | 1,392,491,556 | ||||
|
|
|
|
See notes to financial statements.
142 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
STATEMENT OF CHANGES IN NET ASSETS (continued)
Diversified Municipal Portfolio | ||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 123,590,667 | $ | 122,937,403 | ||||
Net realized gain (loss) on investment transactions | (13,166,796 | ) | 25,532,577 | |||||
Net change in unrealized appreciation/depreciation of investments | (625,404,701 | ) | 26,639,009 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (514,980,830 | ) | 175,108,989 | |||||
|
|
|
| |||||
Distributions to Shareholders | ||||||||
Municipal Class | (95,675,758 | ) | (98,560,802 | ) | ||||
Class A | (5,215,911 | ) | (5,318,015 | ) | ||||
Class C | (153,564 | ) | (267,652 | ) | ||||
Advisor Class | (9,328,332 | ) | (8,070,840 | ) | ||||
Class Z | (10,024,841 | ) | (9,473,236 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (120,398,406 | ) | (121,690,545 | ) | ||||
|
|
|
| |||||
Capital-Share Transactions: | ||||||||
Net proceeds from sales of shares | 1,334,029,727 | 1,559,834,308 | ||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends | 89,555,226 | 93,318,204 | ||||||
|
|
|
| |||||
Total proceeds from shares sold | 1,423,584,953 | 1,653,152,512 | ||||||
Cost of shares redeemed | (1,989,402,821 | ) | (1,214,382,457 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital-share transactions | (565,817,868 | ) | 438,770,055 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (1,201,197,104 | ) | 492,188,499 | |||||
Net Assets: |
| |||||||
Beginning of period | 6,720,748,470 | 6,228,559,971 | ||||||
|
|
|
| |||||
End of period | $ | 5,519,551,366 | $ | 6,720,748,470 | ||||
|
|
|
|
See notes to financial statements.
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STATEMENT OF CHANGES IN NET ASSETS (continued)
New York Municipal Portfolio | ||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 31,623,088 | $ | 33,473,749 | ||||
Net realized gain (loss) on investment transactions | (6,167,733 | ) | 3,330,397 | |||||
Net change in unrealized appreciation/depreciation of investments | (160,860,446 | ) | 23,923,283 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (135,405,091 | ) | 60,727,429 | |||||
|
|
|
| |||||
Distributions to Shareholders | ||||||||
Municipal Class | (28,049,433 | ) | (29,883,364 | ) | ||||
Class A | (1,772,845 | ) | (1,927,269 | ) | ||||
Class C | (67,861 | ) | (137,544 | ) | ||||
Advisor Class | (1,241,477 | ) | (1,180,116 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (31,131,616 | ) | (33,128,293 | ) | ||||
|
|
|
| |||||
Capital-Share Transactions: | ||||||||
Net proceeds from sales of shares | 205,642,206 | 305,015,834 | ||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends | 23,893,460 | 25,604,257 | ||||||
|
|
|
| |||||
Total proceeds from shares sold | 229,535,666 | 330,620,091 | ||||||
Cost of shares redeemed | (422,401,671 | ) | (346,489,408 | ) | ||||
|
|
|
| |||||
Net decrease in net assets from capital-share transactions | (192,866,005 | ) | (15,869,317 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (359,402,712 | ) | 11,729,819 | |||||
Net Assets: |
| |||||||
Beginning of period | 1,799,846,802 | 1,788,116,983 | ||||||
|
|
|
| |||||
End of period | $ | 1,440,444,090 | $ | 1,799,846,802 | ||||
|
|
|
|
See notes to financial statements.
144 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
September 30, 2022
NOTE 1.
Organization and Significant Accounting Policies
The AB Intermediate Municipal Class A, Class C, Advisor Class and Class Z shares are (collectively, the “Intermediate Municipal Retail Classes”) shares of three Portfolios of the Sanford C. Bernstein Fund, Inc. (the “Fund”): California Municipal Portfolio, Diversified Municipal Portfolio and New York Municipal Portfolio (collectively, “Intermediate Municipal Portfolios” or “Portfolios”). The Fund is registered under the Investment Company Act of 1940 as an open-end registered investment company. The Fund, which is a Maryland corporation, operates as a series company currently comprised of 13 portfolios each with its own investment objective. Class B and Class T shares have been authorized but currently are not offered. Class Z shares for California Municipal Portfolio and New York Municipal Portfolio have been authorized but currently are not offered. Class A shares of the Portfolios are sold with a front-end sales charge of up to 3% for purchases up to $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. Effective May 31, 2021, Class C shares automatically convert to Class A shares eight years after the end of the calendar month of purchase. Prior to May 31, 2021, Class C shares automatically converted to Class A shares 10 years after the end of the calendar month of purchase. These financial statements include only the Intermediate Municipal Portfolios. The financial highlights of the Municipal Class shares are presented in a separate financial report. All 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, as applicable. 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. Each Portfolio 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 Portfolios.
A. Portfolio Valuation
Portfolio securities are valued at market value determined on the basis of market quotations or, if market quotations are not readily available or are unreliable, at “fair value” as determined in accordance with procedures
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Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
approved by and under the oversight of the Portfolios’ Board of Directors (the “Board”). Pursuant to these procedures, AllianceBernstein L.P. (the “Adviser”) serves as the Portfolios’ valuation designee pursuant to Rule 2a-5 of the 1940 Act. In this capacity, the Adviser is responsible, among other things, for making all fair value determinations relating to the Portfolios’ portfolio investments, subject to the Board’s oversight.
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 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.
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NOTES TO FINANCIAL STATEMENTS (continued)
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 Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their 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 Portfolios generally value many of their foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
B. Fair Value Measurements
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolios 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 1.A 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 Portfolios. Unobservable inputs reflect the Portfolios’ 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 Portfolios’ 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
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NOTES TO FINANCIAL STATEMENTS (continued)
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.
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: the value of 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 tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of September 30, 2022:
California Municipal Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Long-Term Municipal Bonds | $ | – 0 | – | $ | 986,498,644 | $ | 0 | (a) | $ | 986,498,644 | ||||||
Short-Term Municipal Notes | – 0 | – | 37,535,092 | – 0 | – | 37,535,092 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 11,255,740 | – 0 | – | 11,255,740 |
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NOTES TO FINANCIAL STATEMENTS (continued)
California Municipal Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Governments –Treasuries | $ | – 0 | – | $ | 2,161,986 | $ | – 0 | – | $ | 2,161,986 | ||||||
Corporates – Investment Grade | – 0 | – | 1,957,540 | – 0 | – | 1,957,540 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 565,234 | – 0 | – | 565,234 | ||||||||||
Short-Term Investments | – 0 | – | 58,427,622 | – 0 | – | 58,427,622 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 1,098,401,858 | 0 | (a) | 1,098,401,858 | ||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | 9,922,661 | – 0 | – | 9,922,661 | (c) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 5,977,878 | – 0 | – | 5,977,878 | (c) | |||||||||
Interest Rate Swaps | – 0 | – | 1,424,335 | – 0 | – | 1,424,335 | ||||||||||
Liabilities: |
| |||||||||||||||
Centrally Cleared Credit Default Swaps | – 0 | – | (328,585 | ) | – 0 | – | (328,585 | )(c) | ||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | (1,746,727 | ) | – 0 | – | (1,746,727 | )(c) | ||||||||
Credit Default Swaps | – 0 | – | (761,453 | ) | – 0 | – | (761,453 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – 0 | – | $ | 1,112,889,967 | $ | 0 | (a) | $ | 1,112,889,967 | ||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Municipal Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | – 0 | – | $ | 4,963,212,545 | $ | – 0 | – | $ | 4,963,212,545 | ||||||
Short-Term Municipal Notes | – 0 | – | 444,322,000 | – 0 | – | 444,322,000 | ||||||||||
Corporates – Investment Grade | – 0 | – | 51,966,820 | – 0 | – | 51,966,820 | ||||||||||
Commercial Mortgage-Backed Securities | – 0 | – | 20,755,734 | – 0 | – | 20,755,734 | ||||||||||
Corporates – Non-Investment Grade | – 0 | – | 17,172,663 | – 0 | – | 17,172,663 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 3,125,124 | – 0 | – | 3,125,124 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 5,500,554,886 | – 0 | – | 5,500,554,886 |
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Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
Diversified Municipal Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Centrally Cleared Credit Default Swaps | $ | – 0 | – | $ | 1,525,557 | $ | – 0 | – | $ | 1,525,557 | (c) | |||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | 45,693,030 | – 0 | – | 45,693,030 | (c) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 30,907,994 | – 0 | – | 30,907,994 | (c) | |||||||||
Interest Rate Swaps | – 0 | – | 6,568,374 | – 0 | – | 6,568,374 | ||||||||||
Liabilities: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | (8,010,489 | ) | – 0 | – | (8,010,489 | )(c) | ||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | (2,297,125 | ) | – 0 | – | (2,297,125 | )(c) | ||||||||
Credit Default Swaps | – 0 | – | (3,183,456 | ) | – 0 | – | (3,183,456 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – 0 | – | $ | 5,571,758,771 | $ | – 0 | – | $ | 5,571,758,771 | ||||||
|
|
|
|
|
|
|
| |||||||||
New York Municipal Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | – 0 | – | $ | 1,291,725,278 | $ | 250,000 | $ | 1,291,975,278 | |||||||
Short-Term Municipal Notes | – 0 | – | 74,285,000 | – 0 | – | 74,285,000 | ||||||||||
Governments –Treasuries | – 0 | – | 2,190,554 | – 0 | – | 2,190,554 | ||||||||||
Corporates – Investment Grade | – 0 | – | 1,957,540 | – 0 | – | 1,957,540 | ||||||||||
Collateralized Mortgage Obligations | – 0 | – | 949,577 | – 0 | – | 949,577 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | – 0 | – | 1,371,107,949 | 250,000 | 1,371,357,949 | |||||||||||
Other Financial Instruments(b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | 12,968,479 | – 0 | – | 12,968,479 | (c) | |||||||||
Centrally Cleared Interest Rate Swaps | – 0 | – | 8,041,619 | – 0 | – | 8,041,619 | (c) | |||||||||
Interest Rate Swaps | – 0 | – | 1,951,207 | – 0 | – | 1,951,207 | ||||||||||
Liabilities: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | – 0 | – | (2,262,208 | ) | – 0 | – | (2,262,208 | )(c) |
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Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
New York Municipal Portfolio | ||||||||||||||||
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Interest Rate Swaps | $ | – 0 | – | $ | (1,126,042 | ) | $ | – 0 | – | $ | (1,126,042 | )(c) | ||||
Credit Default Swaps | – 0 | – | (1,063,299 | ) | – 0 | – | (1,063,299 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – 0 | – | $ | 1,389,617,705 | $ | 250,000 | $ | 1,389,867,705 | |||||||
|
|
|
|
|
|
|
|
(a) | The Portfolio held securities with zero market value at period end. |
(b) | Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation/(depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, 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 schedule of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
C. Taxes
Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, each Portfolio will not be subject to federal and state income taxes to the extent that all of its income is distributed. The Portfolios may be subject to taxes imposed by countries in which they invest. 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 based on management’s understanding of applicable local tax law.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolios’ 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 Portfolios’ financial statements. As of September 30, 2022, the Portfolios did not have any unrecognized tax benefits.
D. Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and dividend income is recorded on the ex-dividend date or as soon as the Portfolios are informed of the dividend. Non-cash dividends, if any, are recorded on the ex-dividend date at the fair value of the securities received. The Portfolios amortize premiums and accrete discounts as
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Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
adjustments to interest income. The Portfolio 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.
E. Securities Transactions on a When-Issued or Delayed-Delivery Basis
Each Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time a Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time a Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.
F. Class Allocations
All income earned and expenses incurred by the Portfolios are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in each Portfolio represented by the shares of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each Portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
G. Distribution of Income and Gains
Net investment income of each Portfolio is declared and recorded as a dividend to shareholders daily and is payable to shareholders monthly. Distributions of net realized gains, less any available loss carryforwards, if any, will be paid to shareholders at least once a year, and recorded on the ex-dividend date.
Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.
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Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
Permanent differences have no effect on net assets. The effects of such permanent differences on each Portfolio, due to the utilization of earnings and profits distributed to shareholders on redemption of shares and distribution in excess of income which are reflected as adjustments to the components of net assets as of September 30, 2022, as shown below:
Portfolio | Increase (Decrease) to Additional Paid-in Capital | Increase (Decrease) to Distributable Earnings/ Accumulated Loss | ||||||
California Municipal Portfolio | $ | (267,148 | ) | $ | 267,148 | |||
Diversified Municipal Portfolio | (979,682 | ) | 979,682 | |||||
New York Municipal Portfolio | (711,060 | ) | 711,060 |
NOTE 2.
Investment Management and Transactions with Affiliated Persons
A. Management Fee
Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of each Portfolio’s assets, places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.
The Portfolios pay the Adviser an investment management fee, based on an annual rate, for such services as follows:
Annual Percentage of Average Daily Net Assets of Each Portfolio | ||||||||||||||||
Portfolio | First $1 Billion | Next $2 Billion | Next $2 Billion | Thereafter | ||||||||||||
California Municipal and New York Municipal | 0.425 | % | 0.375 | % | 0.325 | % | 0.275 | % |
First $1 Billion | Next $2 Billion | Next $2 Billion | Next $2 Billion | Thereafter | ||||||||||||||||
Diversified Municipal | 0.425 | % | 0.375 | % | 0.325 | % | 0.275 | % | 0.225 | % |
B. Transfer Agency Agreement; Shareholder Servicing Fee
Under a Transfer Agency Agreement between the Fund, on behalf of the Intermediate Municipal Retail Classes, and AllianceBernstein Investor Services, Inc. (“ABIS”), the Intermediate Municipal Retail Classes compensate ABIS, a wholly-owned subsidiary of the Adviser, for providing personnel and facilities to perform transfer agency services. ABIS may make payments to intermediaries that provide omnibus account services, sub-accounting services and/or networking services. For the year ended
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September 30, 2022, the compensation retained by ABIS amounted to: California Municipal Portfolio, $18,043; Diversified Municipal Portfolio, $161,109; and New York Municipal Portfolio, $19,121.
Under the Shareholder Servicing Agreement between the Fund and the Adviser, the Adviser pays expenses it incurs in providing shareholder services to individual shareholders of the Portfolios (except the Retail Classes). Such services include, but are not limited to, providing information to shareholders concerning their fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. This agreement applies only to the Municipal Class shares of the Portfolios. Under the agreement, the fee paid by each of the Municipal Class shares to the Adviser for services under this agreement is at an annual rate of 0.10% of the average daily net assets of each Portfolio attributable to the respective class during the month.
C. Distribution Arrangements—Municipal Class Shares
Under the Distribution Agreement between the Fund, on behalf of the Municipal Class shares of each Portfolio and Sanford C. Bernstein & Co., LLC (the “Distributor”), the Distributor agrees to act as agent to sell Municipal Class shares of the Portfolios. This agreement does not apply to the Intermediate Municipal Retail Classes of the Portfolios. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.
D. Distribution Arrangements—Intermediate Municipal Retail Classes
The Intermediate Municipal Retail Class shares of the Portfolios have adopted a Distribution Services Agreement (the “Agreement”), including a distribution plan pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Agreement, each of the Retail Classes pays distribution services fees to AllianceBernstein Investments, Inc., (the “Retail Distributor”), a wholly owned subsidiary of the Adviser, at an annual rate of up to 0.30% of each Portfolio’s average daily net assets attributable to the Intermediate Municipal Class A shares and 1% of each Intermediate Municipal Portfolio’s average daily net assets attributable to Class C shares. Payments under the Agreement in respect of Class A shares are currently limited to an annual rate of 0.25% of Class A shares’ average daily net assets. The fees are accrued daily and paid monthly. The Agreement pro
vides that the Retail Distributor will use such payments in their entirety for
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distribution assistance and promotional activities. Since commencement of the Portfolios’ operations, the Retail Distributor has incurred expenses in excess of the distribution costs reimbursed by each Portfolio as follows:
Portfolio | Class C | |||
California Municipal | $ | 1,333,599 | ||
Diversified Municipal | 3,271,259 | |||
New York Municipal | 2,418,480 |
There are no distribution and servicing fees on the Advisor Class and Class Z Shares.
While such costs may be recovered from each Portfolio 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 Retail 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 each Portfolio’s shares.
E. Other Transactions with Affiliates
The Retail Distributor has advised the Fund that it has retained front-end sales charges from sales of Class A shares and received contingent deferred sales charges imposed upon redemptions by shareholders of Class A and Class C shares for the year ended September 30, 2022, as follows:
Front-End Sales Charges | Contingent Deferred Sales Charges | |||||||||||
Portfolio | Class A | Class A | Class C | |||||||||
California Municipal | $ | – 0 | – | $ | 3,971 | $ | 5,757 | |||||
Diversified Municipal | – 0 | – | 190,377 | 4,324 | ||||||||
New York Municipal | – 0 | – | – 0 | – | 177 |
NOTE 3.
Investment Security Transactions
A. Purchases and Sales
Purchases and sales of investment securities (excluding short-term investments) for the year ended September 30, 2022, were as follows:
Portfolio | Purchases U.S. Government Securities | Purchases of U.S. Government Securities | Sales Excluding U.S. Government Securities | Sales of U.S. Government Securities | ||||||||||||
California Municipal | $ | 270,595,900 | $ | – 0 | – | $ | 421,806,844 | $ | 1,847,719 | |||||||
Diversified Municipal | 865,718,235 | 7,799,858 | 1,038,004,187 | 10,120,192 | ||||||||||||
New York Municipal | 213,165,721 | – 0 | – | 396,473,428 | 3,263,190 |
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The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
Gross Unrealized | Net Unrealized Appreciation (Depreciation) | |||||||||||||||
Portfolio | Cost | Appreciation | (Depreciation) | |||||||||||||
California Municipal | $ | 1,174,379,850 | $ | 18,527,221 | $ | (78,542,232 | ) | $ | (60,015,011 | ) | ||||||
Diversified Municipal | 5,876,832,465 | 90,604,078 | (391,953,068 | ) | (301,348,990 | ) | ||||||||||
New York Municipal | 1,473,370,418 | 24,478,301 | (106,269,821 | ) | (81,791,520 | ) |
B. Derivative Financial Instruments
Each Portfolio 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 Portfolios, as well as the methods in which they may be used are:
• | Swaps |
Each Portfolio may enter into swaps to hedge its exposure to interest rates, credit risk, or currencies and for other purposes discussed below. 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 Portfolios in accordance with the terms of the respective swaps to provide value and recourse to the Portfolios or their 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 Portfolio, and/or the termination value at the end of the contract. Therefore, the Portfolio 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 Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolios’ exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolio accrues for the interim payments on swaps on a daily
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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 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 Portfolios enter into a centrally cleared swap, each Portfolio 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 Portfolios agree 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 Portfolios 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 Portfolios record 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:
Each Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Portfolios
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hold 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 Portfolios may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Portfolios 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 Portfolios 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 Portfolios anticipate purchasing at a later date. Interest rate swaps involve the exchange by a Portfolio 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 Portfolios receiving or paying, as the case may be, only the net amount of the two payments).
During the year ended September 30, 2022, the Portfolios 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 Portfolio 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 year ended September 30, 2022, the Portfolios held inflation (CPI) swaps for hedging purposes.
Credit Default Swaps:
Each Portfolio 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 Portfolio, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. The Portfolio 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 Portfolio receives/
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(pays) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If the Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolio 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 Portfolio for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Portfolio 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 Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If the Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio 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 Portfolio.
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 market’s assessment of 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 include 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 year ended September 30, 2022, the Portfolios held credit default swaps for hedging and non-hedging purposes.
A Portfolio 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
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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, a Portfolio 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 a Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
A Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of a Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, a Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio 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 tables below for additional details.
During the year ended September 30, 2022, the Portfolios had entered into the following derivatives:
California Municipal Portfolio | ||||||||||||
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 | $ | 10,722 | * | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | $ | 15,909,344 | * | Receivable/Payable for variation margin on centrally cleared swaps |
| 1,737,145 | * | ||||
Interest rate contracts | Unrealized appreciation on interest rate swaps |
| 1,424,335 |
| ||||||||
Credit contracts | Market value on credit default swaps | 761,453 | ||||||||||
|
|
|
| |||||||||
Total | $ | 17,333,679 | $ | 2,509,320 | ||||||||
|
|
|
|
* | 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 schedule of investments. |
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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 | $ | 1,131,168 | $ | 7,795,940 | |||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 1,370,656 | 424,601 | |||||||
|
|
|
| |||||||
Total | $ | 2,501,824 | $ | 8,220,541 | ||||||
|
|
|
|
Diversified Municipal Portfolio | ||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||
Derivative Type | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | ||||||||||
Credit contracts | | Receivable/Payable for variation margin on centrally cleared swaps | | $ | 12,345 | * | ||||||||
Interest rate contracts | Receivable/Payable | $ | 76,601,024 | * | | Receivable/Payable | |
| 10,261,455 | * | ||||
Interest rate contracts | Unrealized |
| 6,568,374 |
| ||||||||||
Credit contracts | | Market value on credit default swaps | | 3,183,456 | ||||||||||
|
|
|
| |||||||||||
Total | $ | 83,169,398 | $ | 13,457,256 | ||||||||||
|
|
|
|
* | 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 schedule of investments. |
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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 | $ | 6,251,197 | $ | 36,125,444 | |||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 3,701,195 | 1,816,427 | |||||||
|
|
|
| |||||||
Total | $ | 9,952,392 | $ | 37,941,871 | ||||||
|
|
|
|
New York Municipal Portfolio | ||||||||||||
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 | $ | 21,010,098 | * | Receivable/Payable for variation margin on centrally cleared swaps | $ | 3,375,748 | * | ||||
Interest rate contracts | Unrealized appreciation on interest rate swaps |
| 1,951,207 |
| ||||||||
Credit contracts | Market value on credit default swaps | 1,063,299 | ||||||||||
|
|
|
| |||||||||
Total | $ | 22,961,305 | $ | 4,439,047 | ||||||||
|
|
|
|
* | 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 schedule of investments. |
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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 | $ | 163,615 | $ | 10,375,733 | |||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 434,951 | 610,817 | |||||||
|
|
|
| |||||||
Total | $ | 598,566 | $ | 10,986,550 | ||||||
|
|
|
|
California Municipal Portfolio | ||||
Interest Rate Swaps: | ||||
Average notional amount | $ | 17,162,308 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 126,618,462 | ||
Centrally Cleared Inflation Swaps: | ||||
Average notional amount | $ | 136,637,692 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 4,358,378 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 22,824,911 | (a) | |
Average notional amount of sale contracts | $ | 8,300,000 | (b) |
(a) | Positions were open for nine months during the year. |
(b) | Positions were open for one month during the year. |
Diversified Municipal Portfolio | ||||
Interest Rate Swaps: | ||||
Average notional amount | $ | 79,144,615 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 555,922,308 | ||
Centrally Cleared Inflation Swaps: | ||||
Average notional amount | $ | 626,600,000 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 18,221,337 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 48,082,380 | (a) |
(a) | Positions were open for ten months during the year. |
New York Municipal Portfolio | ||||
Interest Rate Swaps: | ||||
Average notional amount | $ | 23,510,769 | ||
Centrally Cleared Interest Rate Swaps: | ||||
Average notional amount | $ | 180,478,462 |
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New York Municipal Portfolio | ||||
Centrally Cleared Inflation Swaps: | ||||
Average notional amount | $ | 176,825,385 | ||
Credit Default Swaps: | ||||
Average notional amount of sale contracts | $ | 6,086,065 | ||
Centrally Cleared Credit Default Swaps: | ||||
Average notional amount of buy contracts | $ | 18,300,000 | (a) |
(a) | Positions were open for one month during the year. |
For financial reporting purposes, the Portfolios do 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 tables present the Portfolios’ 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 Portfolios as of September 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.
California Municipal Portfolio | ||||||||||||||||||||
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. | $ | 1,424,335 | $ | (244,695 | ) | $ | (1,179,640 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,424,335 | $ | (244,695 | ) | $ | (1,179,640 | ) | $ | – 0 | – | $ | 0 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
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. | $ | 244,695 | $ | (244,695 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Credit Suisse International | 343,539 | – 0 | – | (343,539 | ) | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs International | 173,219 | – 0 | – | – 0 | – | (173,219 | ) | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 761,453 | $ | (244,695 | ) | $ | (343,539 | ) | $ | (173,219 | ) | $ | 0 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | 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. |
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Diversified Municipal Portfolio | ||||||||||||||||||||
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. | $ | 6,568,374 | $ | (351,267 | ) | $ | (6,217,107 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 6,568,374 | $ | (351,267 | ) | $ | (6,217,107 | ) | $ | – 0 | – | $ | 0 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
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. | $ | 351,267 | $ | (351,267 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Credit Suisse International | 2,003,605 | – 0 | – | (2,003,605 | ) | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs International | 828,584 | – 0 | – | (828,584 | ) | – 0 | – | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 3,183,456 | $ | (351,267 | ) | $ | (2,832,189 | ) | $ | – 0 | – | $ | 0 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | 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. |
New York Municipal Portfolio | ||||||||||||||||||||
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. | $ | 1,951,207 | $ | (117,357 | ) | $ | (1,833,850 | ) | $ | – 0 | – | $ | – 0 | – | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,951,207 | $ | (117,357 | ) | $ | (1,833,850 | ) | $ | – 0 | – | $ | 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 | |||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | $ | 117,357 | $ | (117,357 | ) | $ | – 0 | – | $ | – 0 | – | $ | – 0 | – | ||||||
Credit Suisse International | 669,210 | – 0 | – | (669,210 | ) | – 0 | – | – 0 | – | |||||||||||
Goldman Sachs International | 276,732 | – 0 | – | – 0 | – | (276,732 | ) | – 0 | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 1,063,299 | $ | (117,357 | ) | $ | (669,210 | ) | $ | (276,732 | ) | $ | 0 | ^ | ||||||
|
|
|
|
|
|
|
|
|
|
* | 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 4.
Distributions to Shareholders
The tax character of distributions paid during the fiscal years ended September 30, 2022 and September 30, 2021 were as follows:
Portfolio | 2022 | 2021 | ||||||
California Municipal | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 577,641 | $ | 412,224 | ||||
Long-term capital gains | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Total taxable distributions paid | 577,641 | 412,224 | ||||||
Tax exempt distributions | 20,878,576 | 22,592,812 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 21,456,217 | $ | 23,005,036 | ||||
|
|
|
| |||||
Diversified Municipal | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 3,126,374 | $ | 3,286,540 | ||||
Long-term capital gains | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Total taxable distributions paid | 3,126,374 | 3,286,540 | ||||||
Tax exempt distributions | 117,272,032 | 118,404,005 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 120,398,406 | $ | 121,690,545 | ||||
|
|
|
| |||||
New York Municipal | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 938,188 | $ | 965,122 | ||||
Long-term capital gains | – 0 | – | – 0 | – | ||||
|
|
|
| |||||
Total taxable distributions paid | 938,188 | 965,122 | ||||||
Tax exempt distributions | 30,193,428 | 32,163,171 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 31,131,616 | $ | 33,128,293 | ||||
|
|
|
|
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NOTES TO FINANCIAL STATEMENTS (continued)
As of September 30, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Portfolio | Undistributed Income | Accumulated Capital and Other Losses | Unrealized Appreciation (Depreciation)(a) | Total Accumulated Earnings/ (Deficit)(b) | ||||||||||||
California Municipal | $ | – 0 | – | $ | (8,421,400 | ) | $ | (60,015,011 | ) | $ | (68,436,411 | ) | ||||
Diversified Municipal | – 0 | – | (30,424,611 | ) | (301,473,873 | ) | (331,898,484 | ) | ||||||||
New York Municipal | – 0 | – | (22,914,638 | ) | (81,931,357 | ) | (104,845,995 | ) |
(a) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps, the tax treatment of callable bonds, and the realization for tax purposes of gains/losses on certain derivative instruments. |
(b) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to dividends payable to shareholders. |
Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
For tax purposes, net 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 September 30, 2022, the following Portfolios had net capital loss carryforwards as follows:
Portfolio | Short-Term Amount | Long-Term Amount | ||||||
California Municipal | $ | 8,421,400 | $ | – 0 | – | |||
Diversified Municipal | 30,424,611 | – 0 | – | |||||
New York Municipal | 22,914,638 | – 0 | – |
NOTE 5.
Risks Involved in Investing in the Portfolios
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 Portfolios may be subject to greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential
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government fiscal and monetary policy initiatives and resulting market reaction to those initiatives.
Credit Risk—This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially 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. 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, making credit risk greater for medium-quality and lower-rated debt securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative credit risks. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell.
Duration Risk—The duration of a fixed-income security may be shorter than or equal to full maturity of the fixed-income security. Fixed-income securities with longer durations have more interest-rate risk and will decrease in price as interest rates rise. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.
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 Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. There have been some municipal issuers that have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may get worse, particularly in light of the economic impact of the recent spread of an infectious coronavirus (COVID-19). To the extent the Portfolios invest in a particular state’s municipal securities, they may be vulnerable to events adversely affecting that state, including economic, political and regulatory
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occurrences, court decisions, terrorism, public health crises (including the occurrence of a contagious disease or illness) and catastrophic natural disasters, such as hurricanes, wildfires, flooding and earthquakes. The Portfolios’ 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, are subject to the risk that 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.
In addition, changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.
The Portfolios may invest in municipal securities of issuers in 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. Puerto Rico continues to face a very challenging economic and fiscal environment, worsened by the spread of COVID-19 and the adverse effect that related governmental and public responses have had on Puerto Rico’s economy. 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 deteriorate further.
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 Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities. Rates of inflation have recently risen, which could adversely affect economies and markets.
Non-diversification Risk—Concentration of investments in a small number of securities tends to increase risk. The Intermediate California Municipal and Intermediate New York Municipal Portfolios may have more risk because they are “non-diversified”, meaning that they can invest more of their assets in a relatively small number of issuers with greater concentration of risk. Matters affecting these issuers can have a more significant effect on the Portfolios’ net asset value (“NAV”).
Illiquid Investment Risk—Illiquid investments risk exists when particular investments are difficult or impossible to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an
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advantageous price. Over recent years, regulatory changes have led to reduced liquidity in the marketplace, and the capacity of dealers to make markets in fixed-income securities has been outpaced by the growth in the size of the fixed-income markets. Illiquid investments risk may be magnified in a rising interest- rate environment, where the value and liquidity of fixed-income securities generally go down. The Portfolios are subject to greater risk because the market for municipal securities is generally smaller and may not be as liquid as many other fixed income markets, which may make municipal securities more difficult to trade or dispose of than other types of securities. Illiquid securities may also be difficult to value. If the Portfolios are forced to sell an illiquid asset to meet redemption requests or other cash needs, or to try to limit losses, the Portfolios may be forced to sell at a substantial loss or may not be able to sell at all.
Redemption Risk—The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value, or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
Derivatives Risk—The Portfolios may use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolios. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying asset or index, and such differences may affect the amount, timing and character of income distributed to shareholders. The U.S. government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives as well as additional regulations governing,
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margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Management Risk—The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives and other investment techniques may be unavailable, or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. 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. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.
Market Risk—The Portfolios are subject to market risk, which is the risk that stock or bond prices in general or in particular countries or sectors may decline over short or extended periods. Stock or bond prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest-rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; public health crises (including the occurrence of a contagious disease or illness); policy and legislative changes; cybersecurity events; and other factors.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, sanctions, regional and global conflicts, terrorism, natural disasters (including the spread of infectious illness) and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
Tax Risk—There is no guarantee that the income on the Portfolios’ municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct
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by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The U.S. Congress has considered changes to U.S. federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.
Lower-rated Securities Risk—Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.
Prepayment and Extension Risk—Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.
LIBOR Transition and Associated Risk—The Portfolio may be exposed to 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. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. Dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a
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subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. Since 2018 the Federal Reserve Bank of New York has published the secured overnight funding rate (referred to as SOFR), which is intended to replace U.S. Dollar LIBOR. SOFR is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the repurchase agreement (repo) market and has been used increasingly on a voluntary basis in new instruments and transactions. In addition, on March 15, 2022, the Adjustable Interest Rate Act was signed into law. This law provides a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on SOFR for certain contracts that reference LIBOR without adequate fallback provisions.
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 the Portfolio’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 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 Portfolio’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. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known.
Cybersecurity Risk—As the use of the internet and other technologies has become more prevalent in the course of business, the Portfolios have become more susceptible to operational and financial risks associated with cybersecurity. Cybersecurity incidents can result from deliberate attacks such as gaining unauthorized access to digital systems (e.g., through “hacking” or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption, or from unintentional events, such as the inadvertent release of confidential information. Cybersecurity failures or breaches of the Portfolios or their service providers or the issuers of securities in which the Portfolios invest have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability of Portfolio shareholders to transact business, violations of applicable privacy and other laws, regulatory fines,
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penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. While measures have been developed which are designed to reduce the risks associated with cybersecurity, there is no guarantee that those measures will be effective, particularly since the Portfolios do not control the cybersecurity defenses or plans of their service providers, financial intermediaries and companies in which they invest or with which they do business.
Cybersecurity incidents, both intentional and unintentional, may allow an unauthorized party to gain access to Portfolio or shareholder assets, Portfolio or customer data (including private shareholder information), or proprietary information, or cause a Portfolio, the Adviser, and/or the Portfolios’ service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality, or prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.
NOTE 6.
Capital-Share Transactions
The Fund has authorized 17.5 billion shares of common stock, par value $0.001 per share, of which of which 6.5 billion shares are allocated to the California Municipal Portfolio, Diversified Municipal Portfolio and New York Municipal Portfolio. The allocation is as follows:
Allocation of Shares (in Millions) | ||||||||||||||||||||||||||||||||
Portfolio | Bernstein Class Shares | Retail Class A Shares | Retail Class B Shares | Retail Class C Shares | Retail Advisor Class Shares | Retail Class Z Shares | Retail Class T Shares | Total | ||||||||||||||||||||||||
California Municipal | 200 | 200 | 200 | 200 | 200 | 200 | 300 | 1,500 | ||||||||||||||||||||||||
Diversified Municipal | 800 | 400 | 400 | 400 | 400 | 600 | 300 | 3,300 | ||||||||||||||||||||||||
New York Municipal | 400 | 200 | 200 | 200 | 200 | 200 | 300 | 1,700 |
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Share transactions for each Portfolio for the years ended September 30, 2022 and September 30, 2021, were as follows:
California Municipal Portfolio | ||||||||||||||||||||||||
Shares | Amount | |||||||||||||||||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Municipal Class Shares | ||||||||||||||||||||||||
Shares sold | 12,311,797 | 19,982,069 | $ | 174,656,807 | $ | 293,044,170 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 1,009,552 | 1,090,793 | 14,102,842 | 15,982,582 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (26,842,110 | ) | (22,550,649 | ) | (375,193,360 | ) | (330,321,867 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (13,520,761 | ) | (1,477,787 | ) | $ | (186,433,711 | ) | $ | (21,295,115 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||
Shares sold | 1,171,581 | 940,394 | $ | 16,109,805 | $ | 13,771,691 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 42,872 | 55,191 | 599,060 | 808,608 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 25,586 | 131,264 | 355,254 | 1,921,098 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,160,119 | ) | (1,574,539 | ) | (30,181,052 | ) | (23,093,266 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (920,080 | ) | (447,690 | ) | $ | (13,116,933 | ) | $ | (6,591,869 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 48,267 | 141,129 | $ | 703,388 | $ | 2,063,877 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 1,270 | 1,942 | 17,673 | 28,429 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (25,591 | ) | (131,267 | ) | (355,254 | ) | (1,921,098 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (79,832 | ) | (134,690 | ) | (1,134,319 | ) | (1,971,831 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (55,886 | ) | (122,886 | ) | $ | (768,512 | ) | $ | (1,800,623 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class Shares | ||||||||||||||||||||||||
Shares sold | 8,408,826 | 2,797,559 | $ | 116,124,287 | $ | 40,999,128 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 72,507 | 56,837 | 1,009,693 | 833,006 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (6,432,742 | ) | (1,330,980 | ) | (89,513,747 | ) | (19,486,966 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 2,048,591 | 1,523,416 | $ | 27,620,233 | $ | 22,345,168 | ||||||||||||||||||
|
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Diversified Municipal Portfolio | ||||||||||||||||||||||||
Shares | Amount | |||||||||||||||||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Municipal Class Shares | ||||||||||||||||||||||||
Shares sold | 50,300,036 | 73,607,966 | $ | 719,443,646 | $ | 1,093,125,452 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 5,053,908 | 5,111,537 | 71,413,394 | 75,879,414 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (98,087,052 | ) | (57,770,058 | ) | (1,380,384,877 | ) | (857,673,588 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (42,733,108 | ) | 20,949,445 | $ | (589,527,837 | ) | $ | 311,331,278 | ||||||||||||||||
| ||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||
Shares sold | 5,709,516 | 8,229,620 | $ | 80,501,672 | $ | 122,336,323 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 219,371 | 220,597 | 3,102,384 | 3,277,635 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 177,812 | 1,023,362 | 2,519,088 | 15,211,937 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (10,147,772 | ) | (4,311,216 | ) | (143,973,903 | ) | (64,037,021 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | (4,041,073 | ) | 5,162,363 | $ | (57,850,759 | ) | $ | 76,788,874 | ||||||||||||||||
| ||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 252,296 | 301,438 | $ | 3,523,929 | $ | 4,464,752 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 8,337 | 13,520 | 117,462 | 200,537 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (177,882 | ) | (1,023,988 | ) | (2,519,088 | ) | (15,211,937 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (319,560 | ) | (405,947 | ) | (4,525,288 | ) | (6,032,366 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (236,809 | ) | (1,114,977 | ) | $ | (3,402,985 | ) | $ | (16,579,014 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Advisor Class Shares | ||||||||||||||||||||||||
Shares sold | 24,470,151 | 13,792,657 | $ | 343,696,163 | $ | 204,707,508 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 444,293 | 356,998 | 6,259,866 | 5,297,134 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (20,054,547 | ) | (9,015,014 | ) | (280,936,037) | (133,843,446 | ) | |||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 4,859,897 | 5,134,641 | $ | 69,019,992 | $ | 76,161,196 | ||||||||||||||||||
|
176 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
Diversified Municipal Portfolio | ||||||||||||||||||||||||
Shares | Amount | |||||||||||||||||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Class Z Shares | ||||||||||||||||||||||||
Shares sold | 13,103,740 | 8,059,482 | $ | 184,345,229 | $ | 119,988,336 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 613,484 | 583,322 | 8,662,120 | 8,663,484 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (12,632,970 | ) | (9,253,954 | ) | (177,063,628 | ) | (137,584,099 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase (decrease) | 1,084,254 | (611,150 | ) | $ | 15,943,721 | $ | (8,932,279 | ) | ||||||||||||||||
|
New York Municipal Portfolio | ||||||||||||||||||||||||
Shares | Amount | |||||||||||||||||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Municipal Class Shares | ||||||||||||||||||||||||
Shares sold | 12,059,783 | 18,171,016 | $ | 165,908,471 | $ | 259,243,369 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 1,603,025 | 1,644,557 | 21,850,536 | 23,484,985 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (27,280,993 | ) | (20,055,429 | ) | (368,640,545 | ) | (286,380,791 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (13,618,185 | ) | (239,856 | ) | $ | (180,881,538 | ) | $ | (3,652,437 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||
Shares sold | 471,554 | 1,142,049 | $ | 6,366,675 | $ | 16,280,053 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 85,207 | 85,477 | 1,160,365 | 1,219,720 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted from Class C | 113,133 | 675,324 | 1,531,169 | 9,671,456 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (1,374,303 | ) | (2,123,188 | ) | (18,878,182 | ) | (30,214,231 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (704,409 | ) | (220,338 | ) | $ | (9,819,973 | ) | $ | (3,043,002 | ) | ||||||||||||||
| ||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||
Shares sold | 36,928 | 38,046 | $ | 511,114 | $ | 544,495 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 3,839 | 7,441 | 52,286 | 105,971 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares converted to Class A | (113,130 | ) | (675,309 | ) | (1,531,169 | ) | (9,671,456 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (129,865 | ) | (151,700 | ) | (1,788,068 | ) | (2,152,932 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net decrease | (202,228 | ) | (781,522 | ) | $ | (2,755,837 | ) | $ | (11,173,922 | ) | ||||||||||||||
|
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 177 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS (continued)
New York Municipal Portfolio | ||||||||||||||||||||||||
Shares | Amount | |||||||||||||||||||||||
Year Ended 9/30/22 | Year Ended 9/30/21 | Year Ended 9/30/22 | Year Ended 9/30/21 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Advisor Class Shares | ||||||||||||||||||||||||
Shares sold | 2,313,427 | 1,349,204 | $ | 31,324,777 | $ | 19,276,461 | ||||||||||||||||||
| ||||||||||||||||||||||||
Shares issued to shareholders on reinvestment of dividends | 60,903 | 55,610 | 830,273 | 793,581 | ||||||||||||||||||||
| ||||||||||||||||||||||||
Shares redeemed | (2,328,084 | ) | (1,275,182 | ) | (31,563,707 | ) | (18,069,998 | ) | ||||||||||||||||
| ||||||||||||||||||||||||
Net increase | 46,246 | 129,632 | $ | 591,343 | $ | 2,000,044 | ||||||||||||||||||
|
NOTE 7.
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
NOTE 8.
Subsequent Events
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 material events that would require disclosure in the Portfolios’ financial statements through this date.
178 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
FINANCIAL HIGHLIGHTS
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
California Municipal Portfolio | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.60 | $ 14.52 | $ 14.44 | $ 13.99 | $ 14.33 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .22 | .22 | .26 | .28 | .28 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.33 | ) | .07 | .08 | .46 | (.34 | ) | |||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.11 | ) | .29 | .34 | .74 | (.06 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.21 | ) | (.21 | ) | (.26 | ) | (.29 | ) | (.28 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 13.28 | $ 14.60 | $ 14.52 | $ 14.44 | $ 13.99 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (7.63 | )% | 2.03 | % | 2.39 | % | 5.30 | % | (.33 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $57,141 | $76,220 | $82,318 | $73,875 | $77,469 | |||||||||||||||
Average net assets (000 omitted) | $64,530 | $83,485 | $79,385 | $66,990 | $85,754 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | .73 | % | .73 | % | .73 | % | .73 | % | .75 | % | ||||||||||
Net investment income | 1.57 | % | 1.48 | % | 1.79 | % | 1.98 | % | 1.98 | % | ||||||||||
Portfolio turnover rate | 23 | % | 27 | % | 16 | % | 24 | % | 38 | % |
See footnote summary on page 188.
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 179 |
Table of Contents
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
California Municipal Portfolio | ||||||||||||||||||||
Class C | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.59 | $ 14.52 | $ 14.44 | $ 13.98 | $ 14.32 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .12 | .11 | .15 | .18 | .17 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.32 | ) | .06 | .08 | .46 | (.33 | ) | |||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.20 | ) | .17 | .23 | .64 | (.16 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.11 | ) | (.10 | ) | (.15 | ) | (.18 | ) | (.18 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 13.28 | $ 14.59 | $ 14.52 | $ 14.44 | $ 13.98 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (8.26 | )% | 1.19 | % | 1.62 | % | 4.59 | % | (1.15 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $3,652 | $4,828 | $6,586 | $10,910 | $11,886 | |||||||||||||||
Average net assets (000 omitted) | $4,376 | $5,934 | $9,405 | $11,297 | $14,022 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | 1.49 | % | 1.48 | % | 1.48 | % | 1.49 | % | 1.50 | % | ||||||||||
Net investment income | .82 | % | .73 | % | 1.05 | % | 1.24 | % | 1.23 | % | ||||||||||
Portfolio turnover rate | 23 | % | 27 | % | 16 | % | 24 | % | 38 | % |
See footnote summary on page 188.
180 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
California Municipal Portfolio | ||||||||||||||||||||
Advisor Class | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.60 | $ 14.52 | $ 14.44 | $ 13.99 | $ 14.32 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .26 | .25 | .29 | .31 | .32 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.33 | ) | .08 | .08 | .46 | (.33 | ) | |||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.07 | ) | .33 | .37 | .77 | (.01 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.25 | ) | (.25 | ) | (.29 | ) | (.32 | ) | (.32 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 13.28 | $ 14.60 | $ 14.52 | $ 14.44 | $ 13.99 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (7.40 | )% | 2.28 | % | 2.65 | % | 5.56 | % | (.08 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $102,466 | $82,692 | $60,140 | $38,534 | $21,792 | |||||||||||||||
Average net assets (000 omitted) | $85,505 | $70,376 | $46,691 | $27,392 | $17,250 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | .48 | % | .48 | % | .49 | % | .48 | % | .50 | % | ||||||||||
Net investment income | 1.86 | % | 1.71 | % | 2.03 | % | 2.21 | % | 2.24 | % | ||||||||||
Portfolio turnover rate | 23 | % | 27 | % | 16 | % | 24 | % | 38 | % |
See footnote summary on page 188.
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 181 |
Table of Contents
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Diversified Municipal Portfolio | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.81 | $ 14.68 | $ 14.58 | $ 14.06 | $ 14.44 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .25 | .25 | .30 | .31 | .27 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.43 | ) | .13 | .10 | .53 | (.38 | ) | |||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.18 | ) | .38 | .40 | .84 | (.11 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.25 | ) | (.25 | ) | (.30 | ) | (.32 | ) | (.27 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 13.38 | $ 14.81 | $ 14.68 | $ 14.58 | $ 14.06 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (8.06 | )% | 2.59 | % | 2.78 | % | 5.99 | % | (.73 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $261,936 | $349,953 | $271,074 | $233,833 | $225,477 | |||||||||||||||
Average net assets (000 omitted) | $303,281 | $319,098 | $248,192 | $221,783 | $286,472 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | .65 | % | .66 | % | .67 | % | .66 | % | .73 | % | ||||||||||
Net investment income | 1.77 | % | 1.69 | % | 2.04 | % | 2.18 | % | 1.92 | % | ||||||||||
Portfolio turnover rate | 15 | % | 22 | % | 20 | % | 22 | % | 23 | % |
See footnote summary on page 188.
182 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Diversified Municipal Portfolio | ||||||||||||||||||||
Class C | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.81 | $ 14.68 | $ 14.57 | $ 14.05 | $ 14.44 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .15 | .14 | .19 | .20 | .17 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.45 | ) | .13 | .11 | .53 | (.39 | ) | |||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.30 | ) | .27 | .30 | .73 | (.22 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.14 | ) | (.14 | ) | (.19 | ) | (.21 | ) | (.17 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 13.37 | $ 14.81 | $ 14.68 | $ 14.57 | $ 14.05 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (8.81 | )% | 1.82 | % | 2.07 | % | 5.20 | % | (1.54 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $13,576 | $18,542 | $34,743 | $42,152 | $56,339 | |||||||||||||||
Average net assets (000 omitted) | $15,772 | $28,338 | $39,529 | $50,386 | $64,699 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | 1.40 | % | 1.41 | % | 1.43 | % | 1.43 | % | 1.48 | % | ||||||||||
Net investment income | 1.02 | % | .96 | % | 1.30 | % | 1.42 | % | 1.17 | % | ||||||||||
Portfolio turnover rate | 15 | % | 22 | % | 20 | % | 22 | % | 23 | % |
See footnote summary on page 188.
abfunds.com | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | 183 |
Table of Contents
FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
Diversified Municipal Portfolio | ||||||||||||||||||||
Advisor Class | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.79 | $ 14.66 | $ 14.55 | $ 14.04 | $ 14.42 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .29 | .29 | .33 | .34 | .31 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.44 | ) | .13 | .11 | .52 | (.38 | ) | |||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.15 | ) | .42 | .44 | .86 | (.07 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.28 | ) | (.29 | ) | (.33 | ) | (.35 | ) | (.31 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 13.36 | $ 14.79 | $ 14.66 | $ 14.55 | $ 14.04 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (7.84 | )% | 2.85 | % | 3.11 | % | 6.20 | % | (.48 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $477,015 | $456,386 | $377,082 | $278,371 | $761,637 | |||||||||||||||
Average net assets (000 omitted) | $467,739 | $419,891 | $332,267 | $306,629 | $1,161,023 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | .40 | % | .41 | % | .43 | % | .43 | % | .48 | % | ||||||||||
Net investment income | 2.04 | % | 1.94 | % | 2.29 | % | 2.40 | % | 2.17 | % | ||||||||||
Portfolio turnover rate | 15 | % | 22 | % | 20 | % | 22 | % | 23 | % |
See footnote summary on page 188.
184 | AB INTERMEDIATE MUNICIPAL PORTFOLIOS | abfunds.com |
Table of Contents
FINANCIAL HIGHLIGHTS (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
Diversified Municipal Portfolio | ||||||||||||||||||||
Class Z | ||||||||||||||||||||
Year Ended September 30, | July 2, 2018(c) to September 30, | |||||||||||||||||||
2022 | 2021 | 2020 | 2019 | |||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.81 | $ 14.68 | $ 14.58 | $ 14.06 | $ 14.15 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .29 | .29 | .34 | .35 | .08 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.44 | ) | .13 | .10 | .53 | (.10 | ) | |||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.15 | ) | .42 | .44 | .88 | (.02 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.28 | ) | (.29 | ) | (.34 | ) | (.36 | ) | (.07 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 13.38 | $ 14.81 | $ 14.68 | $ 14.58 | $ 14.06 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (7.81 | )% | 2.87 | % | 3.08 | % | 6.29 | % | (.06 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $470,829 | $505,365 | $509,910 | $844,127 | $472,528 | |||||||||||||||
Average net assets (000 omitted) | $500,681 | $485,522 | $590,892 | $776,520 | $258,733 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | .39 | % | .38 | % | .39 | % | .38 | % | .40 | %(d)(e) | ||||||||||
Net investment income | 2.05 | % | 1.97 | % | 2.34 | % | 2.47 | % | 2.49 | %(d)(e) | ||||||||||
Portfolio turnover rate | 15 | % | 22 | % | 20 | % | 22 | % | 23 | % |
See footnote summary on page 188.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
New York Municipal Portfolio | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.25 | $ 14.03 | $ 14.17 | $ 13.68 | $ 14.07 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .23 | .24 | .28 | .29 | .28 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.37 | ) | .22 | (.14 | ) | .49 | (.39 | ) | ||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.14 | ) | .46 | .14 | .78 | (.11 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.23 | ) | (.24 | ) | (.28 | ) | (.29 | ) | (.28 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 12.88 | $ 14.25 | $ 14.03 | $ 14.17 | $ 13.68 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (8.07 | )% | 3.26 | % | 1.03 | % | 5.74 | % | (.77 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $96,286 | $116,552 | $117,874 | $119,718 | $121,201 | |||||||||||||||
Average net assets (000 omitted) | $105,328 | $117,041 | $119,315 | $121,023 | $130,420 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | .73 | % | .73 | % | .72 | % | .74 | % | .73 | % | ||||||||||
Net investment income | 1.71 | % | 1.67 | % | 1.98 | % | 2.06 | % | 2.03 | % | ||||||||||
Portfolio turnover rate | 14 | % | 18 | % | 18 | % | 18 | % | 23 | % |
See footnote summary on page 188.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
New York Municipal Portfolio | ||||||||||||||||||||
Class C | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.25 | $ 14.03 | $ 14.17 | $ 13.68 | $ 14.07 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .13 | .13 | .17 | .18 | .18 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.37 | ) | .22 | (.13 | ) | .49 | (.39 | ) | ||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.24 | ) | .35 | .04 | .67 | (.21 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.13 | ) | (.13 | ) | (.18 | ) | (.18 | ) | (.18 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 12.88 | $ 14.25 | $ 14.03 | $ 14.17 | $ 13.68 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (8.76 | )% | 2.47 | % | .27 | % | 4.95 | % | (1.50 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $5,515 | $8,982 | $19,813 | $27,143 | $33,716 | |||||||||||||||
Average net assets (000 omitted) | $7,393 | $15,076 | $23,921 | $29,799 | $38,176 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | 1.48 | % | 1.48 | % | 1.48 | % | 1.49 | % | 1.48 | % | ||||||||||
Net investment income | .95 | % | .93 | % | 1.23 | % | 1.31 | % | 1.28 | % | ||||||||||
Portfolio turnover rate | 14 | % | 18 | % | 18 | % | 18 | % | 23 | % |
See footnote summary on page 188.
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FINANCIAL HIGHLIGHTS (continued)
Selected Data For A Share Of Capital Stock Outstanding Throughout Each Period
New York Municipal Portfolio | ||||||||||||||||||||
Advisor Class | ||||||||||||||||||||
Year Ended September 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
|
| |||||||||||||||||||
Net asset value, beginning of period | $ 14.24 | $ 14.03 | $ 14.17 | $ 13.68 | $ 14.07 | |||||||||||||||
|
| |||||||||||||||||||
Income From Investment Operations | ||||||||||||||||||||
Net investment income(a) | .27 | .27 | .31 | .32 | .32 | |||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | (1.36 | ) | .21 | (.13 | ) | .49 | (.39 | ) | ||||||||||||
|
| |||||||||||||||||||
Total from investment operations | (1.09 | ) | .48 | .18 | .81 | (.07 | ) | |||||||||||||
|
| |||||||||||||||||||
Less: Dividends | ||||||||||||||||||||
Dividends from net investment income | (.27 | ) | (.27 | ) | (.32 | ) | (.32 | ) | (.32 | ) | ||||||||||
|
| |||||||||||||||||||
Net asset value, end of period | $ 12.88 | $ 14.24 | $ 14.03 | $ 14.17 | $ 13.68 | |||||||||||||||
|
| |||||||||||||||||||
Total Return | ||||||||||||||||||||
Total investment return based on net asset value(b) | (7.77 | )% | 3.44 | % | 1.28 | % | 6.00 | % | (.51 | )% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $61,511 | $67,388 | $64,546 | $57,173 | $37,003 | |||||||||||||||
Average net assets (000 omitted) | $64,326 | $62,323 | $63,077 | $45,530 | $32,710 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses | .48 | % | .48 | % | .47 | % | .49 | % | .48 | % | ||||||||||
Net investment income | 1.96 | % | 1.91 | % | 2.22 | % | 2.30 | % | 2.28 | % | ||||||||||
Portfolio turnover rate | 14 | % | 18 | % | 18 | % | 18 | % | 23 | % |
(a) | Based on average shares outstanding. |
(b) | 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. |
(c) | Commencement of distribution. |
(d) | The ratio includes expenses attributable to costs of proxy solicitation. |
(e) | Annualized. |
See notes to financial statements.
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REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
To the Board of Directors of Sanford C. Bernstein Fund, Inc. and AB Intermediate Municipal Class Shareholders of California Municipal Portfolio, Diversified Municipal Portfolio and New York Municipal Portfolio
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of California Municipal Portfolio, Diversified Municipal Portfolio and New York Municipal Portfolio (three of the thirteen portfolios constituting Sanford C. Bernstein Fund, Inc., hereafter collectively referred to as the “Portfolios”) as of September 30, 2022, the related statements of operations for the year ended September 30, 2022, the statements of changes in net assets for each of the two years in the period ended September 30, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of September 30, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2022 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and
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REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM (continued)
disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
November 23, 2022
We have served as the auditor of one or more of the investment companies in the AB Group of Mutual Funds since at least 1985. We have not been able to determine the specific year we began serving as auditor.
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BOARD OF DIRECTORS
Debra Perry(1),(2), Chair Beata D. Kirr, President R. Jay Gerken(1),(2) | Jeffrey R. Holland(1) William Kristol(1) Michelle McCloskey(1) Donald K. Peterson(1) |
OFFICERS
Daryl Clements(3), Vice President Terrance T. Hults(3), Vice President Matthew J. Norton(3), Vice President Andrew D. Potter(3), Vice President Emilie D. Wrapp, Secretary | Michael B. Reyes, Senior Vice President 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 Boston, MA 02210
Distributor† AllianceBernstein Investments, Inc.
Transfer Agent† AllianceBernstein Investor | Legal Counsel Willkie Farr & Gallagher LLP
Independent Registered PricewaterhouseCoopers LLP |
1 | Member of the Audit Committee, the Governance, Nominating and Compensation Committee, and the Independent Directors Committee. |
2 | Member of the Pricing Committee. |
3 | The day-to-day management of, and investment decisions for, the AB Intermediate Municipal Portfolios are made by the Municipal Bond Investment Team. Messrs. Clements, Hults Norton and Potter are the investment professionals with the most significant responsibility for the day-to-day management of the Funds’ portfolios. |
† | For the AB Intermediate Municipal Portfolios, Classes A,C and Advisor Class shares only. |
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MANAGEMENT OF THE FUND
Board of Directors Information
The business and affairs of the Fund are managed under the direction of the Board of Directors. Certain information concerning the Fund’s Directors is set forth below.
NAME, ADDRESS*, AGE, YEAR OF ELECTION** | PRINCIPAL OCCUPATION(S) DURING PAST | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY DIRECTOR | OTHER DIRECTORSHIPS HELD BY DIRECTOR DURING THE PAST FIVE (5) YEARS | |||||
INTERESTED DIRECTOR | ||||||||
Beata D. Kirr,*** New York, NY 10105 48 | Senior Vice President of the Investment Adviser with which she has been associated since prior to 2017. She is the Co-Head of Investment Strategies since April 2020 and a National Managing Director since 2017. She was previously the Head of Private Client Core Asset Strategies. She joined the firm in 2007 as a Senior Portfolio Manager. Prior to joining AB, she was a director at Harris Alternatives, a global fund of hedge funds, and was with Goldman Sachs, where she advised clients in the Equities, M&A and Equity Capital Markets divisions, from their New York, London and Chicago offices. | 17 | Women Employed | |||||
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MANAGEMENT OF THE FUND (continued)
NAME, ADDRESS*, AGE, YEAR OF ELECTION** | PRINCIPAL OCCUPATION(S) DURING PAST | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY DIRECTOR | OTHER DIRECTORSHIPS HELD BY DIRECTOR DURING THE PAST FIVE (5) YEARS | |||||
DISINTERESTED DIRECTORS | ||||||||
Debra Perry,#,^ Chair of the Board 71 | Formerly, Senior Managing Director of Global Ratings and Research, Moody’s Investors Service, Inc. from 2001 to 2004; Chief Administrative Officer, Moody’s, from 1999 to 2001; Chief Credit Officer, Moody’s, from 2000 to 2001; Group Managing Director for the Finance, Securities and Insurance Ratings Groups, Moody’s Corp., from 1996 to 1999; earlier she held executive positions with First Boston Corporation and Chemical Bank. | 17 | Assurant, Inc., since 2017; Korn/Ferry International since 2008; Genworth Financial, Inc., from 2016-2022; PartnerRe, from 2013-2016; Bank of America Funds Series Trust, from 2011-2016 | |||||
R. Jay Gerken,#,^ 71 | Formerly, President and Chief Executive Officer of Legg Mason Partners Fund Advisor, LLC, and President & Board Member of The Legg Mason and Western Asset mutual funds from 2005 until June 2013. Previously, he was the President and Chair of the boards of the Citigroup Asset Management mutual funds from 2002 to 2005; Portfolio Manager and Managing Director, Smith Barney Asset Management from 1993 to 2001 and President & CEO, Directions Management of Shearson Lehman, Inc. from 1988 to 1993. | 17 | Cedar Lawn Corporation; New Jersey Chapter of The Nature Conservancy; and Associated Banc-Corp |
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MANAGEMENT OF THE FUND (continued)
NAME, ADDRESS*, AGE, YEAR OF ELECTION** | PRINCIPAL OCCUPATION(S) DURING PAST | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY DIRECTOR | OTHER DIRECTORSHIPS HELD BY DIRECTOR DURING THE PAST FIVE (5) YEARS | |||||
DISINTERESTED DIRECTORS (continued) |
| |||||||
Jeffrey R. Holland,# 56 (2019) | Formerly, Limited Partner of Brown Brothers Harriman from 2014 to 2018. Prior thereto, General Partner of Brown Brothers Harriman from 2006 to 2013. | 17 | Director of various non-profit organizations | |||||
William Kristol,# 69 (2013) | Founder and Editor, The Weekly Standard from 1995 to 2018. He is a regular contributor on leading political commentary shows. He has served as the inaugural Vann Professor of Ethics and Society at Davidson College since 2019. | 17 | Manhattan Institute; John M. Ashbrook Center for Public Affairs at Ashland University; The Salvatori Center at Claremont McKenna College; The Institute for the Study of War; Foundation for Constitutional Government; and Defending Democracy Together, a non-profit educational corporation | |||||
Michelle McCloskey,# 60 (2019) | Formerly, President of Americas, Man Group from 2017 to August 2019 and President of Man FRM from 2015 to August 2019. Prior thereto, she was a Senior Managing Director of Man FRM from 2012 to 2015. While at the Man Group, she served on the Executive Committee of Man Group plc from 2012 to 2019, as Chief Executive Officer, Board of Managers of Man Alternative Multi Strategy Fund from 2016 to 2019 and as President and Chair of the Board of the Pine Grove Institutional Funds from 2016 to 2019. She currently serves on the Investment Advisory Committee of Texas Tech University Endowment. | 17 | Assured Guaranty Ltd. Since May 2021 |
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MANAGEMENT OF THE FUND (continued)
NAME, ADDRESS*, AGE, YEAR OF ELECTION** | PRINCIPAL OCCUPATION(S) DURING PAST | PORTFOLIOS IN FUND COMPLEX OVERSEEN BY DIRECTOR | OTHER DIRECTORSHIPS HELD BY DIRECTOR DURING THE PAST FIVE (5) YEARS | |||||
DISINTERESTED DIRECTORS (continued) |
| |||||||
Donald K. Peterson,# 73 (2007) | Formerly, Chairman and Chief Executive Officer, Avaya Inc. (telecommunications equipment and services) from 2002 to 2006; President and Chief Executive Officer, Avaya Inc. from 2000 to 2001; President, Enterprise Systems Group in 2000; Chief Financial Officer, Lucent Technologies (telecommunications equipment and services) from 1996 to 2000; Chief Financial Officer, AT&T, Communications Services Group from 1995 to 1996; President, Nortel Communications Systems, Inc. (telecommunications and networking equipment) from 1994 to 1995. Prior thereto, he was at Nortel from 1976 to 1995. | 17 | Worcester Polytechnic Institute, (Emeritus); Member of the Board of TIAA-Bank, FSB |
* | The address for each of the Fund’s Disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal and Compliance Department – Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105. |
** | There is no stated term of office for the Directors. |
*** | Ms. Kirr is an “interested person”, as defined in the 1940 Act, due to her affiliation with AllianceBernstein. |
# | Member of the Audit Committee, the Governance, Nominating and Compensation Committee, and the Independent Directors Committee. |
^ | Member of the Pricing Committee. |
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MANAGEMENT OF THE FUND (continued)
Officer Information
Certain information concerning the Fund’s Officers is listed below.
NAME, ADDRESS* AND AGE | POSITION(S) HELD WITH FUND | PRINCIPAL OCCUPATION DURING PAST FIVE YEARS | ||
Beata D. Kirr, 48 | President | See biography above | ||
Terrance T. Hults, 56 | Vice President | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. | ||
Matthew J. Norton, 39 | Vice President | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer – Municipal Bonds. | ||
Andrew D. Potter, 37 | Vice President | Vice President of the Adviser**, with which he has been associated since prior to 2017. | ||
Emilie D. Wrapp, 66 | Secretary | Senior Vice President, Assistant General Counsel and Assistant Secretary of AllianceBernstein Investments, Inc. (“ABI”)**, with which she has been associated since prior to 2017. | ||
Michael B. Reyes, 46 | Senior Vice President | Vice President of the Adviser**, with which he has been associated since prior to 2017. | ||
Joseph J. Mantineo, 63 | Treasurer and Chief Financial Officer | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. | ||
Phyllis J. Clarke, 61 | Controller | Vice President of ABIS**, with which she has been associated since prior to 2017. | ||
Vincent S. Noto, 57 | Chief Compliance Officer | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser**, since prior to 2017. |
* | The address for each of the Fund’s Officers is 1345 Avenue of the Americas, New York, NY 10105. |
** | The Adviser, ABI and ABIS are affiliates of the Fund. |
The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or AB at (800) 227-4618, or visit www.abfunds.com, for a free prospectus or SAI. |
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Operation and Effectiveness of the Portfolios’ 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 Portfolios to designate an Administrator of the Portfolios’ Liquidity Risk Management Program. The Administrator of the Portfolios’ LRMP is AllianceBernstein L.P., the Portfolios’ 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 Portfolios’ Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolios’ LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolios’ compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolios will be unable to meet their redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolios classify the liquidity of their 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 Portfolios’ strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolios participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolios are required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolios’ reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’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 Portfolios’ LRMP is adequately designed, has been implemented as
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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, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID-19 impacts. As such, the program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Portfolios or their ability to timely meet redemptions during the Program Reporting Period.
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BOARD’S CONSIDERATION OF INVESTMENT
MANAGEMENT ARRANGEMENT
Sanford C. Bernstein Fund, Inc. (the “Fund”) is subject to Section 15 of the Investment Company Act of 1940, as amended. Section 15 provides that any investment advisory agreement with a registered investment company such as the Fund may continue in effect for a period of more than two years from the date of its execution, only so long as such continuance is specifically approved at least annually by the board of directors (or by vote of a majority of the outstanding voting securities of the investment company). Pursuant to this requirement, the Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Fund, on behalf of the Emerging Markets, Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus, Intermediate Duration, Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios (each, a “Portfolio” and collectively, the “Portfolios”) of the Fund, and AllianceBernstein L.P. (the “Adviser”)( the “Investment Management Agreement”) at a meeting held on October 26-27, 2022.
The following discussion describes the considerations in connection with the Board’s review of the Investment Management Agreement.
In connection with the annual review of the continuation of the Investment Management Agreement between the Fund and the Adviser, counsel to the Independent Directors sent a letter to the Adviser dated August 10, 2022, that contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met by video conference and received and evaluated extensive materials relating to the continuation of the Investment Management Agreement from the Adviser. In addition, the Board received materials from the Senior Vice president of the Fund and an independent fee consultant as described below. On September 29, 2022, the Board of Directors held a video conference meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. At that meeting, the Independent Directors met separately with their independent counsel and the Senior Vice President and the independent fee consultant in executive sessions. Following the September 29, 2022 meeting, the Independent Directors, through counsel, requested certain additional information by means of an email from their independent counsel dated October 6, 2022, and the Adviser provided certain additional information by means of a memorandum dated October 19, 2022. On October 26-27, 2022, the Board of Directors held a meeting to continue their review of the Investment Management Agreement. During this meeting, the Adviser provided further information requested by the Independent Directors relating to contract renewal, and
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BOARD’S CONSIDERATION OF INVESTMENT
MANAGEMENT ARRANGEMENT (continued)
the Independent Directors also met separately with counsel to the Independent Directors as well as the Senior Vice President to review the contract renewal materials provided by the Adviser and the materials prepared by the Senior Vice President. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.
In approving the Investment Management Agreement, the Board, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Investment Management Agreement and considered whether the Agreement would be in the best interests of the Fund. In particular, the Board considered the information that was provided to them by the Adviser in response to their requests, as well as information prepared by the Senior Vice President and the independent fee consultant at the request of the Board. The Fund’s Senior Vice President assists the Board (as well as the boards of other funds sponsored by the Adviser) in evaluating investment management agreements and certain other plans and agreements pursuant to which the Adviser or its affiliates provide services to the Funds. The Board also considered other information provided to the Board in connection with the September 29, 2022 and October 26-27, 2022 meetings and throughout the past year.
The information considered by the Board included information with respect to the nature, extent and quality of services provided, investment performance, fees and expenses, profitability, economies of scale, and fall-out benefits and other revenue.
In the Board’s consideration of the factors discussed below, no single factor was considered in isolation or to be determinative to the decision of the Board to approve the Investment Management Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered and in the exercise of the Directors’ business judgment, that it was in the best interests of the Fund to approve the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.
Fees and Expenses
The Board, including the Independent Directors, compared the fees and expense ratios of each Portfolio (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”). Both the peer group and the funds within the peer group, with respect to the fee and expense data, were available from Strategic Insight, an independent
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provider of investment company data. The Senior Vice President also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups. In addition, the Board received and considered information from an independent fee consultant regarding the fees and expenses of the Portfolios as well as their investment performance.
The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about any recent advisory fee changes with respect to other investment companies advised by the Adviser. The Board noted the differences between the services provided to the Portfolios in comparison to those provided to other types of clients, including institutional clients and other investment companies for which the Adviser acted as investment adviser or subadviser, and the differences in the entrepreneurial and other risks borne by the Adviser in serving the Portfolios compared to other types of clients.
The Board noted that the Adviser had elected to discontinue its voluntary waiver of the 0.10% shareholder servicing fee for the private client class of the Short Duration Plus Portfolio and the Short Duration Diversified Municipal Portfolio, during the next term of the shareholder servicing agreement. In that regard, the Board considered that the increasing interest rate environment had increased yields available in the marketplace on short-term investments, and that the Adviser indicated that the waivers were no longer necessary to maintain positive performance. The Board further considered that the total expense ratios of the Portfolios remained below the median of the peer group after removal of the waiver, and the Board reviewed materials estimating the impact of the removal of the waiver on the performance of the Portfolios.
The Board also noted that the Adviser had recently modified the advisory fee schedule of the Overlay A and Tax-Aware Overlay Portfolios by reducing the level where each Portfolio reaches its first breakpoint, and adding a new breakpoint on assets over $5 billion. With respect to the advisory fees charged to the Overlay Portfolios, the Directors noted that the Portfolios are intended to have an impact on a private client’s entire account, rather than just an impact at the Portfolio level.
On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, and in light of the Adviser’s implementation of certain fee waivers and/or expense caps for certain Portfolios, the Board concluded that the contractual advisory fees as proposed were reasonable.
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BOARD’S CONSIDERATION OF INVESTMENT
MANAGEMENT ARRANGEMENT (continued)
Nature, Extent and Quality of Services Provided
The Board, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as Directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational and other changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios.
In considering the nature and quality of the services provided by the Adviser, the Board, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. The Board was provided with performance data versus each Portfolio’s peer group, for the 1-year, 3-year, 5-year and 10-year periods, as applicable, ended July 31, 2022 and versus each Portfolio’s benchmark index, for the relevant periods, as well as the most recently available Morningstar rating for those Portfolios with an available rating. The Board also received certain updated performance information as of September 30, 2022. In addition, the Directors considered information showing performance compared to peer groups and benchmarks for rolling calendar year periods and the year to date. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year. The Board recognized that the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios. The Directors also considered how peer groups have changed over time and how comparisons may differ depending upon the selection of the peer groups or benchmark indices.
The Directors noted the complexity of the Overlay Portfolios, in particular the complexity of managing the globally diversified set of asset classes and
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BOARD’S CONSIDERATION OF INVESTMENT
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derivatives in which the Overlay Portfolios can invest as well as the complexity of dynamically allocating assets through the Overlay Portfolios among various asset classes as economic and market conditions change in seeking to provide the desired risk/return trade-off for their investors in light of their overall portfolios (and not just their investment in the Overlay Portfolios themselves). In considering the performance of the Overlay Portfolios, the Board reviewed the performance of the Overlay Portfolios’ dynamic asset allocation component and the impact of that component in the recent volatile market environment. The Board considered the Adviser’s continued research efforts to enhance the dynamic asset allocation component utilized by the Overlay Portfolios. The Board further acknowledged the difficulty in selecting relevant peer groups for the Overlay Portfolios because of their unique structure and noted that the Overlay A Portfolio and Tax-Aware Overlay A Portfolio held higher percentages of equities and international equities than the funds in their relevant peer groups.
In evaluating the performance of the Portfolios that invest primarily in fixed-income securities, the Directors considered whether those Portfolios may have incurred less credit risk or interest rate risk, or both, in relation to their peer groups and benchmark indices. The Directors also noted the Adviser’s explanation that certain Portfolios are designed to maintain higher credit quality and a more conservative approach versus the funds in their relevant peer groups, and that as a result of a lower risk profile, those Portfolios have underperformed the peer group during periods when riskier assets have outperformed.
Where the Portfolios had underperformed their peer groups or benchmark indices, the Directors considered the Adviser’s explanations for performance and, as applicable, measures the Adviser had taken or proposed to take to improve performance, including enhancements to portfolio management models. The Directors noted generally the Adviser’s continued efforts to enhance the services provided to the Portfolios. The Directors also noted that they would continue to monitor investment performance closely.
The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.
Profitability
The Board, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the respective Portfolios. The materials provided to the Independent Directors included information indicating the profitability of the Portfolios to the Adviser for
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BOARD’S CONSIDERATION OF INVESTMENT
MANAGEMENT ARRANGEMENT (continued)
calendar years 2020 and 2021, which had been reviewed by an independent consultant. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data, noting that the methodology was consistent with the Adviser’s internal financial reporting. The Directors acknowledged that there are many potentially acceptable allocation methodologies for cost allocation, and that in certain cases the selected allocation methodology may not capture all costs borne by the Adviser with respect to a Portfolio. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency and distribution services to the Fund, and that they had focused on profitability before taxes and distribution expenses. The Board further considered materials provided by the Adviser estimating the profitability of the Short Duration Plus Portfolio and the Short Duration Diversified Municipal Portfolio to the Adviser after the termination of the voluntary waiver in effect for the Portfolios. The Directors reviewed comparative information regarding profitability for other publicly-traded advisers, recognizing that it is difficult to make comparisons of profitability among different investment advisers because only limited comparative information is publicly available and the comparisons are affected by numerous factors including different business mixes.
After reviewing all relevant factors, the Directors, including the Independent Directors, concluded that the levels of the Adviser’s profits in respect of its management of the Portfolios were not excessive.
Economies of Scale
The Board, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Directors discussed possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.
The Directors also considered the Senior Vice President materials which they received in connection with the review of the Investment Management Agreement, which included information reflecting changes in asset levels of the Portfolios and in the profitability of the Adviser over various periods.
After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things and as applicable, establishing advisory
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BOARD’S CONSIDERATION OF INVESTMENT
MANAGEMENT ARRANGEMENT (continued)
fees at levels that contemplated future achievement of scale, 2018 fee reductions for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, and Emerging Markets Portfolios, breakpoint arrangements including the lowering of the first breakpoint and the addition of a new breakpoint in the advisory fee schedule for the Overlay A and Tax-Aware Overlay A Portfolios as well as other recently adopted or modified breakpoints for certain Portfolios, expense caps and waivers applying to select Portfolios, and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements. The Directors also noted that they would continue to monitor the growth of the Portfolios.
Fall-Out Benefits and Other Revenue
The Board, including the Independent Directors, also took into account so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to the retail share classes of certain Portfolios, and transfer agency fees paid by the retail share classes of certain Portfolios to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.
Advisory Fee Rate Schedule
On the basis of the information considered, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, without change to the Portfolios’ contractual fee schedules, as set forth below.
Portfolio | Annual Percentage of Average Daily Net Assets of Each Portfolio | |
Short Duration Diversified Municipal | 0.30% of the first $750 million; 0.25% of assets in excess of $750 million. | |
Short Duration Plus | 0.35% of the first $750 million; 0.30% of assets in excess of $750 million. | |
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MANAGEMENT ARRANGEMENT (continued)
Portfolio | Annual Percentage of Average Daily Net Assets of Each Portfolio | |
New York Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% of assets in excess of $5 billion. | |
California Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% of assets in excess of $5 billion. | |
Diversified Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion up to, but not exceeding $7 billion; 0.225% of assets in excess of $7 billion. | |
Intermediate Duration | 0.45% on the first $2.5 billion; 0.40% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.35% in excess of $5 billion up to, but not exceeding $8 billion; 0.30% of assets in excess of $8 billion. | |
Emerging Markets | 0.95% of the first $2.5 billion; 0.90% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Overlay A | 0.90% of the first $2.5 billion; 0.875% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Tax-Aware Overlay A | 0.90% of the first $2.5 billion; 0.875% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Overlay B | 0.65% of assets. | |
Tax-Aware Overlay B | 0.65% of assets. | |
Tax-Aware Overlay C | 0.65% of assets. | |
Tax-Aware Overlay N | 0.65% of assets. | |
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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
Select US Equity Portfolio
Sustainable US Thematic Portfolio
GROWTH
Concentrated Growth Fund
Discovery Growth Fund
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
Sustainable International Thematic Fund
Tax-Managed Wealth Appreciation Strategy
Wealth Appreciation Strategy
GROWTH
Concentrated International Growth Portfolio
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 Portfolio
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
Emerging Markets Multi-Asset Portfolio
Global Risk Allocation Fund
Sustainable Thematic Balanced Portfolio1
Tax-Managed All Market Income Portfolio
CLOSED-END FUNDS
AllianceBernstein Global High Income Fund
AllianceBernstein National Municipal Income Fund
EXCHANGE-TRADED FUNDS
Tax-Aware Short Duration Municipal ETF
Ultra Short Income ETF
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 December 1, 2021, Sustainable Thematic Balanced Portfolio was named Conservative Wealth Strategy. |
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NOTES
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AB INTERMEDIATE MUNICIPAL PORTFOLIOS
1345 Avenue of the Americas
New York, NY 10105
800 221 5672
IM-0151-0922
Table of Contents
SANFORD C. BERNSTEIN FUND, INC.
Overlay Portfolios
Overlay A Portfolio
Tax-Aware Overlay A Portfolio
Overlay B Portfolio
Tax-Aware Overlay B Portfolio
Tax-Aware Overlay C Portfolio
Tax-Aware Overlay N Portfolio
ANNUAL REPORT
SEPTEMBER 30, 2022
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170 |
Before investing in any portfolio of the Sanford C. Bernstein Fund, Inc., a prospective investor should consider carefully the portfolio’s investment objectives and policies, charges, expenses and risks. These and other matters of importance to prospective investors are contained in the portfolios’ prospectus, an additional copy of which may be obtained by visiting our website at www.Bernstein.com and clicking on “Investments”, found in the footer, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports” or by calling your financial advisor or by calling Bernstein’s mutual fund shareholder help line at 212.756.4097. Please read the prospectus carefully before investing.
For performance information current to the most recent month-end, please call (collect) 212.486.5800.
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 www.AllianceBernstein.com or go to the Securities and Exchange Commission’s website at www.sec.gov, or call AllianceBernstein at 800.227.4618.
This shareholder report must be preceded or accompanied by the Sanford C. Bernstein Fund, Inc. prospectus for individuals who are not shareholders of the Fund.
The Fund will file 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.
Investment Products Offered: · Are Not FDIC Insured · May Lose Value · Are Not Bank Guaranteed
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Portfolio Manager Commentary (Unaudited)
To Our Shareholders—November 15, 2022
On the following pages, you will find the 2022 annual report for the Overlay Portfolios1 of the Sanford C. Bernstein Fund, Inc. (collectively, the “Portfolios”, and individually, a “Portfolio”). The annual report covers the six- and 12-month periods ended September 30, 2022, and includes financial statements as well as notes to the financial statements, information about the recent performance of the Portfolios and a listing of each Portfolio’s holdings as of the period end.
Global equity markets have been challenged over the 12-month period ended September 30, 2022, with most stock indices down more than 20%, the conventional threshold defining a bear market. In addition, volatility has been elevated throughout most of 2022, marking a turbulent period for investors. Significant economic and geopolitical stress created a tough macroeconomic backdrop, with both inflation and central banks’ interest-rate policies coming in higher than the markets anticipated.
One of the greatest surprises for markets has been the outperformance of the US dollar, which has negatively impacted US companies’ earnings coming from overseas, while geopolitical forces continue to put pressure on international earnings and economic growth. In contrast to most of the past decade, value stocks have outperformed growth stocks, but stock selection overall has been challenging. Our equity funds seek to find balanced exposure across factors and the portfolio teams have been pivoting to companies with strong balance sheets, pricing power and defensive characteristics, while also seeking to capture opportunities due to valuation dislocations.
The pressure on inflation and interest rates has also made the past year one of the worst on record for fixed-income markets. While this has been very painful for investors, the portfolio teams are leaning into higher yielding issues, with yields notably higher than they were even at the beginning of this calendar year.
Looking ahead, we are carefully minding the odds of recessions in the US and around the world. In this environment, we are confident in our portfolio teams’ ability to find the right balance to position for the eventual rebound and the opportunities that are being created today. Thank you for your continued confidence in our approach.
If you have any questions about your investments in the Portfolios, please contact your Bernstein Advisor by calling 212.756.4097, or visit www.Bernstein.com. As always, we are firmly dedicated to your investment success.
Sincerely,
Beata D. Kirr
President
Sanford C. Bernstein Fund, Inc.
1 | Please note that information for the Emerging Markets, California Municipal, Diversified Municipal, New York Municipal, Short Duration Diversified Municipal, Intermediate Duration and Short Duration Plus Portfolios of the Sanford C. Bernstein Fund, Inc. may be found in a separate report. |
The Portfolios are intended to be used as part of a broader investment program administered directly by Sanford C. Bernstein & Co. LLC. The performance and objectives of the Portfolios should be evaluated only in the context of the investor’s complete investment program. The Portfolios are NOT designed to be used as a standalone investment.
Investment Objectives and Policies
The investment objective of the Overlay A and Tax-Aware Overlay A Portfolios is to manage the volatility of an equity-oriented asset allocation over the long term, as part of a Private Client’s overall asset allocation managed by Sanford C. Bernstein & Co. LLC (“Bernstein”). The investment objective of the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios is to manage the volatility of a fixed-income-oriented asset allocation over the long term, as part of a Private Client’s overall asset allocation managed by Bernstein.
The Portfolios may invest in a diversified portfolio of securities and other financial instruments, including derivative instruments that provide investment exposure to a variety of asset classes. These asset classes may include: equity securities and fixed-income instruments of issuers located within and outside the United States, real estate-related securities, below investment-grade (“high yield”) securities (commonly known as “junk bonds”), currencies and commodities. The Overlay A and Tax-Aware Overlay A Portfolios obtain equity exposure by investing directly in equity securities and through investments in other registered funds, including, but not limited
(Portfolio Manager Commentary continued on next page)
2022 Annual Report | 1 |
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Portfolio Manager Commentary (continued)
to, other funds managed by AllianceBernstein L.P. (the “Adviser”). By adjusting investment exposure among the various asset classes in the Portfolios, the Adviser seeks to manage the volatility of diversified client portfolios managed by Bernstein that reflect a significant allocation to equity securities, in the case of the Overlay A and Tax-Aware Overlay A Portfolios, and a significant allocation to taxable or municipal fixed-income securities in the case of the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios. The Portfolios’ asset class exposures may be implemented and adjusted either through transactions in individual securities or through derivatives.
The Adviser alters asset class exposures as market and economic conditions change. The Adviser employs risk/return tools and fundamental research insights to determine how to adjust the Portfolios’ exposures to various asset classes. These dynamic adjustments to the Portfolios’ asset class exposures are implemented principally through the use of derivatives.
The Adviser also may use exchange-traded funds (“ETFs”), exchange traded notes, structured investments and commodity-linked notes in seeking to carry out the Portfolios’ investment strategies. The Portfolios may enter into foreign currency transactions for hedging and non-hedging purposes on a spot (i.e., cash) basis or through the use of derivatives. An appropriate hedge of currency exposure resulting from the Portfolios’ securities positions may not be available or cost effective, or the Adviser may determine not to hedge the positions, possibly even under market conditions where doing so could benefit the Portfolios. The Portfolios may use options strategies (involving the purchase and/or writing of various combinations of call and/or put options, including on individual securities and stock indices), futures contracts (including futures contracts on individual securities and stock indices), swap agreements (including interest rate swaps and currency swaps) or shares of ETFs. These transactions may be used, for example, in an effort to earn extra income, to adjust exposure to individual securities or markets, or to protect all or a portion of the Portfolios from a decline in value, sometimes within certain ranges.
Exposure to certain other asset classes may also be achieved through investments in other AB mutual funds. The Overlay A and Overlay B Portfolios are managed without regard to potential tax consequences to the shareholder. In the case of the Tax-Aware Portfolios, the Adviser will employ tax management strategies in an attempt to reduce the impact of taxes on shareholders in the Portfolios.
Investment Results
The Portfolios are not designed to be used as standalone investments. The performance and objectives of the Portfolios should be evaluated only in the context of the Private Client’s complete investment program. The Adviser’s Dynamic Asset Allocation (“DAA”) service is intended to reduce a Private Client’s account portfolio volatility during sustained periods of elevated volatility in the markets, not necessarily during periods when market volatility is relatively low. Over both the six- and 12-month periods, all Overlay Portfolios detracted from returns and reduced volatility for a typical Private Client account.
The tables on pages 11-13 show each Portfolio’s performance compared to its respective primary, current and prior composite benchmark, for the six- and 12-month periods ended September 30, 2022. The primary benchmarks are as follows: the Standard and Poor’s (“S&P”) 500 Index for Overlay A and Tax-Aware Overlay A Portfolios; the Bloomberg Global Aggregate Bond Index (USD hedged) for Overlay B Portfolio; and the Bloomberg 5-Year General Obligation (“GO”) Municipal Bond Index for Tax-Aware Overlay B, C and N Portfolios.
Over the 12-month period, each of the Overlay Portfolios underperformed their current composite benchmarks. For the six-month period, Overlay A, Tax-Aware Overlay A, Tax-Aware Overlay C and Class 2 shares of Tax-Aware Overlay B outperformed their current composite benchmarks, whereas Overlay B, Tax-Aware Overlay N and Class 1 shares of Tax-Aware Overlay B trailed their current composite benchmarks.
The Portfolios’ Senior Investment Management Team (the “Team”) employs dynamic allocation shifts based on the relative attractiveness or unattractiveness across multiple, global asset classes. Underperformance, relative to the benchmark, can be attributed to the Overlays’ duration extension, while tactical allocation shifts—an underweight to risk assets in both periods—added to returns. For additional diversification and protection, the Team continues to deploy longer-term hedges. These additional sources of protection consist of an extension in bond duration to hedge against a growth disappointment and long-dated equity put options to provide diversification in the case of a volatility shock. Over both periods, the Portfolios’ underweight to risk assets contributed to account performance. However due to the inflation-led sell-off, the duration extension, which normally benefits from risk-off environments, materially detracted. The
(Portfolio Manager Commentary continued on next page)
2 | Sanford C. Bernstein Fund, Inc. |
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Portfolio Manager Commentary (continued)
Team’s options strategies also were modestly negative for both periods, as the somewhat steady nature of the sell-off did not allow the Portfolios’ options to be as protective as expected. The net effect was underperformance of the Portfolios as the duration underperformance overwhelmed the positive impact of the equity underweight.
The Portfolios entered the fourth quarter of 2021 with a modest overweight to equities. The overweight was motivated by an elevated return potential for return-seeking assets due to ongoing policy support, continued re-openings and medical advancements to combat COVID-19. However, the Team reduced the equity overweight during the quarter as uncertainties around rising COVID-19 cases, higher inflation, fading global stimulus and supply-chain pressures dampened the return outlook for equities. The Portfolios entered 2022 with a modest overweight to equities, as the Team expected a continuation in the global economic expansion. The Team gradually moved to an underweight to equities in January and February, as uncertainties dampened the risk and return outlook for equities. The omicron surge delayed economies’ reopening schedules and extended the period of supply-demand imbalance for longer than expected. The conflict in Ukraine and the resulting sanctions also led to additional supply-chain disruptions and rising commodity prices, which had potential ramifications on the global growth outlook. When combined with the fact that inflation was already well above central bank targets, the Team believed the odds of a “policy mistake” had increased. The Team acknowledged that these risks could persist for some time and would likely sustain ongoing volatility within risk assets. As a result, the Portfolios moved to a modest underweight to equities. During the second quarter of 2022, the Portfolios increased their underweight to return-seeking assets, ending the period with a significant equity underweight. Despite the Team’s constructive, longer-term outlook for equities, near-term uncertainties persisted. The Ukraine conflict had a meaningful impact on commodity prices, creating significant upside tail-risk. With the omicron variant now in China, the zero-COVID policy was expected to extend supply chain stresses as well as weigh on global demand. The Portfolios maintained their underweight to return-seeking assets in the third quarter of 2022, ending the period with a significant equity underweight.
The Portfolios use derivatives (for hedging and investment purposes) largely to make shifts in asset class exposures, as this allows rapid and efficient changes without disrupting the underlying individual stock and bond holdings. All Portfolios used derivatives for hedging and investment purposes. For both periods, futures detracted from absolute returns for all Portfolios, while purchased options added. Written options detracted for all Portfolios for the six-month period and added for the 12-month period. Currency forwards detracted for both periods for all Portfolios except Overlay B. Total return swaps added for both periods for all Portfolios except Overlay B. Credit default swaps added during both periods for Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N. Inflation swaps detracted for the six-month period and added for the 12-month period for Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N. During both periods, interest rate swaps added for Tax-Aware Overlay B and Tax-Aware Overlay N and detracted for Tax-Aware Overlay C.
The Overlay B Portfolio utilizes a range of cash securities and derivatives to efficiently gain exposures to desired investments. Derivatives are excluded from the calculation of the Portfolio’s turnover rate of 115% whereas transactions in cash securities are included. The Portfolio’s historical turnover rates would have been different if the Portfolio had not utilized derivatives.
Market Review and Investment Strategy
US, international and emerging-market stocks declined during the 12-month period ended September 30, 2022. Initially, positive earnings momentum overshadowed concerns surrounding coronavirus variants, supply chain disruptions and rising inflation, but the global economic outlook deteriorated as increasingly hawkish central banks elevated investor concern that rapidly rising borrowing costs would slow economic growth significantly and tip global economies into recession. The US Federal Reserve (the “Fed”) raised interest rates five times during the period, including three consecutive 0.75% increases, setting a course followed by other key central banks. Equity markets rallied briefly as some weaker-than-expected economic data raised optimism that policy rates might peak at lower levels. Stocks fell sharply after the Fed indicated that it would continue to move aggressively and risk recession to lower inflation. Against a backdrop of rising rates, growth stocks came under pressure throughout most of the period. Within large-cap markets, both growth and value stocks declined in absolute terms, but value stocks outperformed growth stocks significantly. Large-cap stocks outperformed small-cap stocks on a relative basis, but both declined in absolute terms.
Fixed-income government bond market yields increased rapidly, and bond prices fell in all developed markets. Most major central banks aggressively tightened monetary policy by
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raising short-term interest rates and ending bond purchases to combat high and persistent inflation. Developed-market government bonds fell the most in the UK and eurozone, and by the least in Japan. In credit risk sectors, securitized assets generally outperformed corporate bonds. Investment-grade corporate bonds trailed treasuries, underperforming in the US against US Treasuries, while outperforming in the eurozone relative to eurozone treasuries. High-yield corporate bonds trailed in the US versus US Treasuries while eurozone high yield outperformed eurozone treasuries. Investment-grade emerging-market corporate bonds slightly trailed developed-market corporates. Longer-maturity emerging-market sovereign bonds underperformed developed-market treasuries. Emerging-market local-currency bonds lagged as the US dollar advanced against almost all developed- and emerging-market currencies. Brent crude oil prices ended the period higher, even as prices fell sharply in the final quarter on global growth concerns and reduced demand.
The Portfolios 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 currently 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 September 30, 2022, the Portfolios’ percentages of investments in municipal bonds that are insured and insured municipal bonds that have been pre-refunded or escrowed to maturity were 4.83% and 0.00%, respectively, for Tax-Aware Overlay B Portfolio; 1.99% and 0.00%, respectively, for Tax-Aware Overlay C Portfolio and 4.74% and 0.00%, respectively, for Tax-Aware Overlay N Portfolio.
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Disclosures and Risks (Unaudited)
Benchmark Disclosures
None of the following indices or averages reflects fees and expenses associated with the active management of a mutual fund portfolio. The S&P 500® Index includes 500 US stocks and is a common representation of the performance of the overall US stock market. The Bloomberg Global Aggregate Bond Index (USD hedged) represents the performance of the global investment-grade developed fixed-income markets, hedged to the US dollar. The Bloomberg 5-Year GO Municipal Bond Index represents the performance of long-term, investment-grade tax-exempt bonds with maturities ranging from four to six years. The Russell 3000® Index measures the performance of the largest 3,000 US public companies representing approximately 98% of the investible US equity market by stock market capitalization. The Morgan Stanley Capital International (“MSCI”) All Country World Index (“ACWI”) ex USA Investable Markets Index (“IMI”) (net) captures large-, mid- and small-cap representation across 22 of 23 developed-market countries (excluding the US) and 23 emerging-market countries. The MSCI ACWI Commodity Producers Index captures the global opportunity set of commodity producers in the energy, metal and agricultural sectors. Constituents are selected from the equity universe of MSCI ACWI, the parent index, which covers mid- and large-cap securities across 23 developed markets and 23 emerging-markets countries. The Financial Times Stock Exchange® European Public Real Estate Association/National Association of Real Estate Investment Trusts (“FTSE EPRA/NAREIT”) Global Index is a free-float adjusted index designed to track the performance of listed real estate companies and real estate investment trusts (���REITs”) worldwide. The Bloomberg 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 Bloomberg 1-10 Year US Treasury Inflation Protected Securities (“TIPS”) Index measures the performance of the US Treasury inflation-protected securities market, with maturities between one and ten years. The Bloomberg 1-10 Year Municipal Bond Index represents the performance of the long-term tax-exempt bond market consisting of investment-grade bonds.
The composite benchmark for a Portfolio is a customized benchmark and uses index returns to represent performance of the asset classes. The Composite Benchmark for Overlay A is 47% Russell 3000, 26.4% MSCI ACWI ex USA IMI (net), 6.6% MSCI ACWI Commodity Producers (net), 10% Bloomberg US Aggregate Bond, 10% Bloomberg Global Aggregate Bond (USD hedged). The Composite Benchmark for Tax-Aware Overlay A is 47.2% Russell 3000, 26.5% MSCI ACWI ex USA IMI (net), 6.3% MSCI ACWI Commodity Producers (net), 20% Bloomberg US Aggregate Bond. The Composite Benchmark for Overlay B is 16.9% Russell 3000, 9.8% MSCI ACWI ex USA IMI (net), 3.3% MSCI ACWI Commodity Producers (net), 24.5% Bloomberg US Aggregate Bond, 24.5% Bloomberg Global Aggregate Bond (USD hedged), 21% Bloomberg 1-10 Year US TIPS. The Composite Benchmark for Tax-Aware Overlay B, C and N is 19% Russell 3000, 11% MSCI ACWI ex USA IMI (net), 42% Bloomberg 1-10 Year Municipal Bond, 28% Bloomberg 1-10 Year US TIPS.
The Russell 3000, MSCI ACWI ex USA IMI (net) and MSCI ACWI Commodity Producers Index (net) represent the allocation to global stocks. The FTSE EPRA/NAREIT Global Index represents the allocation to real estate. The Bloomberg US Aggregate Bond, Bloomberg 1-10 Year US TIPS, Bloomberg 1-10 Year Municipal Bond and Bloomberg Global Aggregate Bond (USD hedged) represent the allocation to bonds.
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. Investors cannot invest directly in an index, and their results are not indicative of the performance for any specific investment, including the Portfolios.
A Word About Risk
All Overlay Portfolios:
The share price of the Portfolios will fluctuate and you may lose money. There is no guarantee that the Portfolios will achieve their investment objective.
The Portfolios are intended to be used as part of a broader investment program administered directly by Bernstein. The performance and objectives of the Portfolios should be evaluated only in the context of the Private Client’s complete investment program. Changes in value of the Portfolios may be particularly pronounced because the Portfolios are managed in
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such a fashion as to affect the investor’s assets subject to that broader investment program. The Portfolios are NOT designed to be used as a standalone investment.
Cybersecurity Risk: As the use of the internet and other technologies has become more prevalent in the course of business, the Portfolios have become more susceptible to operational and financial risks associated with cybersecurity. Cybersecurity incidents can result from deliberate attacks such as gaining unauthorized access to digital systems (e.g., through “hacking” or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption, or from unintentional events, such as the inadvertent release of confidential information. Cybersecurity failures or breaches of the Portfolios or their service providers or the issuers of securities in which the Portfolios invest have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability of Portfolio shareholders to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. While measures have been developed which are designed to reduce the risks associated with cybersecurity, there is no guarantee that those measures will be effective, particularly since the Portfolios do not control the cybersecurity defenses or plans of their service providers, financial intermediaries and companies in which they invest or with which they do business.
Cybersecurity incidents, both intentional and unintentional, may allow an unauthorized party to gain access to Portfolio or shareholder assets, Portfolio or customer data (including private shareholder information), or proprietary information, or cause a Portfolio, the Adviser, and/or the Portfolios’ service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality, or prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
Market Risk: The Portfolios are subject to market risk, which is the risk that stock or bond prices in general or in particular countries or sectors may decline over short or extended periods. Stock or bond prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest-rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; public health crises (including the occurrence of a contagious disease or illness); policy and legislative changes; cybersecurity events; and other factors.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, sanctions, regional and global conflicts, terrorism, natural disasters (including the spread of infectious illness) and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
Management Risk: The Portfolios are subject to management risk because they are actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives and other investment techniques may be unavailable or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. 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. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.
Allocation Risk: The allocation of investments among different global asset classes may have a significant effect on the Portfolios’ net asset value (“NAV”) when one of these asset classes is performing more poorly than others. As direct investments, investments in other funds and derivative positions will be periodically rebalanced to reflect the Adviser’s view of market and economic conditions, there will
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be transaction costs which may be, over time, significant. In addition, there is a risk that certain asset allocation decisions may not achieve the desired results and, as a result, the Portfolios may incur significant losses.
Derivatives Risk: The Portfolios intend to use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolios. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying asset or index, and such differences may affect the amount, timing and character of income distributed to shareholders. The US government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives as well as additional regulations governing margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Leverage Risk: Leverage creates exposure to gains and losses in a greater amount than the dollar amount made in an investment by attempting to enhance return or value without increasing the investment amount. Leverage can magnify the effects of changes in the value of the Portfolios’ investments and make them more volatile. The use of leverage may cause the Portfolios to liquidate portfolio positions when it may not be advantageous to do so.
Illiquid Investments Risk: Illiquid investments risk exists when particular investments are difficult or impossible to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an advantageous price. The Overlay Portfolios that invest in municipal securities are subject to greater risk because the market for municipal securities is generally smaller and may not be as liquid as many other fixed income markets, which may make municipal securities more difficult to trade or dispose of than other types of securities. Illiquid securities may also be difficult to value. If the Portfolios are forced to sell an illiquid asset to meet redemption requests or other cash needs, or to try to limit losses, the Portfolios may be forced to sell at a substantial loss or may not be able to sell at all.
Redemption Risk: The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value, or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
Foreign (Non-US) Securities Risk: Investments in foreign securities entail significant risks in addition to those customarily associated with investing in US securities, such as less liquid, less transparent, less regulated and more volatile markets. These risks include risks related to unfavorable or unsuccessful government actions, reduction of government or central bank support, inadequate accounting standards and auditing and financial recordkeeping requirements, lack of information, and adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.
Emerging-Markets Securities Risk: The risks of investing in foreign (non-US) securities are heightened with respect to issuers in emerging-market countries, because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty. Emerging markets typically have fewer medical and economic resources than more developed countries, and thus they may be less able to control or mitigate the effects of a pandemic. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.
Foreign Currency Risk: This is the risk that changes in foreign (non-US) currency exchange rates may negatively
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affect the value of the Portfolios’ investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the US dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the US dollar).
Actions by a Few Major Investors: In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local stock prices and, therefore, share prices of the Portfolios.
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 Portfolios may be subject to greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential government fiscal and monetary policy initiatives and resulting market reaction to those initiatives.
Credit Risk: This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contracts, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially 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. 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, making credit risk greater for medium-quality and lower-rated debt securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative credit risks. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell.
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 the fixed-income security. Fixed-income securities with longer durations have more interest-rate risk and will decrease in price as interest rates rise. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.
Commodity Risk: The value of commodity-linked derivatives, exchange traded notes and exchange traded funds 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 changes in climate conditions, drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
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 Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities. Rates of inflation have recently risen, which could adversely affect economies and markets.
Inflation-Protected Securities Risk: The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, there can be no assurance that the relevant inflation index will accurately measure the rate of inflation, in which case the securities may not work as intended. These securities may be more difficult to trade or dispose of than other types of securities.
Prepayment and Extension Risk: Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the
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Portfolios. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.
Lower-rated Securities Risk: Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.
Real Estate Related Securities Risk: Investing in real estate related securities includes, among others, the following risks: possible declines in the value of real estate; risks related to general and local economic conditions, including increases in the rate of inflation; possible lack of availability of mortgage funds; overbuilding; extended vacancies of properties; increases in competition, property taxes and operating expenses; changes in zoning laws; costs resulting from the clean-up of, and liability to third parties for damages resulting from, environmental problems; casualty or condemnation losses; uninsured damages from floods, earthquakes or other natural disasters; limitations on and variations in rents; and changes in interest rates. In addition, global climate change may have an adverse effect on property and security values. Investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, are not diversified, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Investing in REITs also involves risks similar to those associated with investing in small-capitalization companies. REITs may have limited financial resources, may trade less frequently and in a limited volume and may be subject to more abrupt or erratic price movements than larger company securities.
Investment in Other Investment Companies Risk: As with other investments, investments in other investment companies, including other AB Mutual Funds and ETFs, are subject to market and management risk. In addition, if the Portfolios acquire shares of investment companies, shareholders bear both their proportionate share of expenses in the Portfolios (including management and advisory fees) and, indirectly, the expenses of the investment companies in which the Portfolios invest.
Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios
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 Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by rising health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. There have been some municipal issuers that have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may get worse, particularly in light of the economic impact of the recent spread of an infectious coronavirus (COVID-19). To the extent the Portfolios invest in a particular state’s municipal securities, they 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, wildfires, flooding and earthquakes. The Portfolios’ 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, are subject to the risk that 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.
In addition, changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.
The Portfolios may invest in municipal securities of issuers in 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. Puerto Rico continues to face a very challenging economic and fiscal environment, worsened by the spread of COVID-19 and the adverse effect
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that related governmental and public responses have had on Puerto Rico’s economy. 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 deteriorate further.
Tax Risk: There is no guarantee that the income on the Portfolios’ municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The US Congress has considered changes to US federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.
Overlay A, Tax-Aware Overlay A, Overlay B and Tax-Aware Overlay B Portfolios
Subordination Risk: The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.
Overlay B and Tax-Aware Overlay B Portfolios:
Mortgage-Related and Asset-Related Securities Risk: Mortgage- and asset-related securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-related securities are subject to credit, interest-rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities. Asset-related securities entail certain risks not presented by mortgage-backed securities, including the risk that it may be difficult to perfect the liens securing any collateral backing certain asset-backed securities.
These risks are discussed in further detail in the Portfolios’ prospectus.
An Important Note About Historical Performance
Except as noted, returns do not reflect the deduction of taxes that a shareholder would pay on portfolio distributions or the redemption of portfolio shares. All fees and expenses related to the operation of the Portfolios have been deducted.
The performance shown in this report represents past performance and does not guarantee future results. Performance information is as of the dates shown. 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 calling 212.756.4097. The investment return and principal value of an investment in the Portfolios will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Performance assumes reinvestment of distributions and does not account for taxes.
Investors should consider the investment objectives, risks, charges and expenses of the Portfolios carefully before investing. For copies of our prospectus or summary prospectus, which contain this and other information, visit www.Bernstein.com, click on “Investments”, found in the footer, then “Mutual Fund Information—Prospectuses, SAIs and Shareholder Reports”, or call Bernstein’s mutual fund shareholder help line at 212.756.4097 or contact your Bernstein Advisor. Please read the prospectus and/or summary prospectus carefully before investing.
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Historical Performance (Unaudited)
Overlay Portfolios vs. Their Benchmarks
TOTAL RETURNS | AVERAGE ANNUAL TOTAL RETURNS | |||||||||||||||||||
THROUGH SEPTEMBER 30, 2022 | PAST SIX MONTHS | PAST 12 MONTHS | PAST FIVE YEARS | PAST 10 YEARS | SINCE INCEPTION1 | |||||||||||||||
Overlay A Portfolio Class 1 | -17.76 | % | -21.17 | % | 0.53 | % | 4.02 | % | 4.38 | % | ||||||||||
Return after taxes on Distributions2 | -17.76 | % | -23.16 | % | -0.32 | % | 3.26 | % | 3.56 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -10.51 | % | -10.30 | % | 0.60 | % | 3.19 | % | 3.45 | % | ||||||||||
Overlay A Portfolio Class 2 | -17.67 | % | -21.02 | % | 0.71 | % | 4.22 | % | 4.58 | % | ||||||||||
Return after taxes on Distributions2 | -17.67 | % | -23.06 | % | -0.19 | % | 3.42 | % | 3.71 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -10.46 | % | -10.18 | % | 0.74 | % | 3.35 | % | 3.61 | % | ||||||||||
Composite Benchmark | -18.22 | % | -17.21 | % | 4.41 | % | 6.71 | % | 7.46 | % | ||||||||||
Prior Composite Benchmark3 | -18.97 | % | -18.32 | % | 3.84 | % | 6.18 | % | 6.99 | % | ||||||||||
S&P 500 Index | -20.20 | % | -15.47 | % | 9.24 | % | 11.70 | % | 12.34 | % | ||||||||||
Tax-Aware Overlay A Portfolio Class 1 | -17.90 | % | -21.15 | % | 0.53 | % | 4.29 | % | 4.27 | % | ||||||||||
Return after taxes on Distributions2 | -17.90 | % | -22.89 | % | -0.28 | % | 3.60 | % | 3.65 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -10.60 | % | -10.53 | % | 0.55 | % | 3.41 | % | 3.44 | % | ||||||||||
Tax-Aware Overlay A Portfolio Class 2 | -17.80 | % | -20.98 | % | 0.73 | % | 4.51 | % | 4.48 | % | ||||||||||
Return after taxes on Distributions2 | -17.80 | % | -22.75 | % | -0.13 | % | 3.76 | % | 3.82 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -10.54 | % | -10.40 | % | 0.70 | % | 3.58 | % | 3.61 | % | ||||||||||
Composite Benchmark | -18.41 | % | -17.55 | % | 4.35 | % | 6.65 | % | 7.44 | % | ||||||||||
Prior Composite Benchmark3 | -18.47 | % | -17.80 | % | 4.07 | % | 6.41 | % | 7.19 | % | ||||||||||
S&P 500 Index | -20.20 | % | -15.47 | % | 9.24 | % | 11.70 | % | 12.34 | % |
The current prospectus fee table shows the total annual operating expense ratios for Class 1 and Class 2 shares as 1.51% and 1.31% for Overlay A, and 1.48% and 1.28% for Tax-Aware Overlay A. 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. |
There are no sales charges associated with an investment in the Bernstein funds. Total returns and average annual returns are therefore the same. The Portfolios are not standalone Portfolios and are used only in conjunction with globally diversified Private Client portfolios. |
1 | Inception date: 2/8/2010. |
2 | After-tax returns are an estimate, which is based on the highest historical individual federal marginal income-tax rates, and do not reflect the impact of state and local taxes; actual after-tax returns depend on an individual investor’s tax situation and are likely to differ from those shown, and are not relevant to investors who hold Portfolio shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. |
3 | Prior to February 28, 2022, the Portfolios’ Composite Benchmarks were as follows: Overlay A, 44% Russell 3000, 29.4% MSCI ACWI ex USA IMI (net), 6.6% MSCI ACWI Commodity Producers (net), 10% Bloomberg US Aggregate Bond, 10% Bloomberg Global Aggregate Bond (USD hedged); Tax-Aware Overlay A, 44.2% Russell 3000, 29.5% MSCI ACWI ex USA IMI (net), 6.3% MSCI ACWI Commodity Producers (net), 20% Bloomberg US Aggregate Bond. |
See Disclosures, Risks and Note About Historical Performance on pages 5-10.
(Historical Performance continued on next page)
2022 Annual Report | 11 |
Table of Contents
Historical Performance (continued from previous page)
TOTAL RETURNS | AVERAGE ANNUAL TOTAL RETURNS | |||||||||||||||||||
THROUGH SEPTEMBER 30, 2022 | PAST SIX MONTHS | PAST 12 MONTHS | PAST FIVE YEARS | PAST 10 YEARS | SINCE INCEPTION1 | |||||||||||||||
Overlay B Portfolio Class 1 | -12.75 | % | -16.10 | % | 0.51 | % | 2.33 | % | 3.12 | % | ||||||||||
Return after taxes on Distributions2 | -12.75 | % | -19.87 | % | -1.33 | % | 0.68 | % | 1.65 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -7.55 | % | -7.89 | % | -0.04 | % | 1.31 | % | 2.01 | % | ||||||||||
Overlay B Portfolio Class 23 | -12.71 | % | -15.91 | % | 0.65 | % | 2.49 | % | 3.27 | % | ||||||||||
Return after taxes on Distributions2 | -12.71 | % | -19.73 | % | -1.24 | % | 0.78 | % | 1.76 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -7.53 | % | -7.78 | % | 0.05 | % | 1.41 | % | 2.11 | % | ||||||||||
Composite Benchmark | -11.81 | % | -13.25 | % | 2.32 | % | 3.35 | % | 4.27 | % | ||||||||||
Prior Composite Benchmark4 | -13.57 | % | -15.46 | % | 1.55 | % | 2.61 | % | 3.69 | % | ||||||||||
Bloomberg Global Aggregate Bond Index (USD hedged) | -7.49 | % | -12.05 | % | 0.32 | % | 1.69 | % | 2.41 | % | ||||||||||
Tax-Aware Overlay B Portfolio Class 1 | -9.87 | % | -12.95 | % | 0.82 | % | 2.48 | % | 3.10 | % | ||||||||||
Return after taxes on Distributions2 | -9.87 | % | -14.61 | % | 0.08 | % | 1.72 | % | 2.43 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -5.85 | % | -6.65 | % | 0.79 | % | 1.97 | % | 2.48 | % | ||||||||||
Tax-Aware Overlay B Portfolio Class 2 | -9.85 | % | -12.78 | % | 0.98 | % | 2.64 | % | 3.25 | % | ||||||||||
Return after taxes on Distributions2 | -9.85 | % | -14.45 | % | 0.23 | % | 1.86 | % | 2.57 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -5.83 | % | -6.51 | % | 0.92 | % | 2.11 | % | 2.62 | % | ||||||||||
Composite Benchmark | -9.86 | % | -11.40 | % | 2.74 | % | 3.59 | % | 4.43 | % | ||||||||||
Prior Composite Benchmark4 | -9.89 | % | -11.51 | % | 2.64 | % | 3.50 | % | 4.34 | % | ||||||||||
Bloomberg 5-Year GO Municipal Bond Index | -2.98 | % | -7.76 | % | 0.50 | % | 1.12 | % | 1.80 | % |
The current prospectus fee table shows the total annual operating expense ratios for Class 1 and Class 2 shares as 0.91% and 0.76% for Overlay B and 0.87% and 0.72% for Tax-Aware Overlay B. 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. |
There are no sales charges associated with an investment in the Bernstein funds. Total returns and average annual returns are therefore the same. The Portfolios are not standalone Portfolios and are used only in conjunction with globally diversified Private Client portfolios. |
1 | Inception date: 2/8/2010. |
2 | After-tax returns are an estimate, which is based on the highest historical individual federal marginal income-tax rates, and do not reflect the impact of state and local taxes; actual after-tax returns depend on an individual investor’s tax situation and are likely to differ from those shown, and are not relevant to investors who hold Portfolio shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. |
3 | The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the Financial Highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
4 | Prior to February 28, 2022, the Portfolios’ Composite Benchmarks were as follows: Overlay B, 15.9% Russell 3000, 10.8% MSCI ACWI ex USA IMI (net), 3.3% MSCI ACWI Commodity Producers (net), 24.5% Bloomberg US Aggregate Bond, 24.5% Bloomberg Global Aggregate Bond (USD hedged), 21% Bloomberg 1-10 Year US TIPS; Tax-Aware Overlay B, 17.9% Russell 3000, 12.1% MSCI ACWI ex USA IMI (net), 42% Bloomberg 1-10 Year Municipal Bond, 28% Bloomberg 1-10 Year US TIPS. |
See Disclosures, Risks and Note About Historical Performance on pages 5-10.
(Historical Performance continued on next page)
12 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Historical Performance (continued from previous page)
TOTAL RETURNS | AVERAGE ANNUAL TOTAL RETURNS | |||||||||||||||||||
THROUGH SEPTEMBER 30, 2022 | PAST SIX MONTHS | PAST 12 MONTHS | PAST FIVE YEARS | PAST 10 YEARS | SINCE INCEPTION1 | |||||||||||||||
Tax-Aware Overlay C Portfolio Class 1 | -9.76 | % | -12.84 | % | 0.66 | % | 2.33 | % | 2.97 | % | ||||||||||
Return after taxes on Distributions2 | -9.76 | % | -14.82 | % | -0.16 | % | 1.52 | % | 2.25 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -5.78 | % | -6.53 | % | 0.61 | % | 1.80 | % | 2.34 | % | ||||||||||
Tax-Aware Overlay C Portfolio Class 23 | -9.74 | % | -12.75 | % | 0.80 | % | 2.48 | % | 3.12 | % | ||||||||||
Return after taxes on Distributions2 | -9.74 | % | -14.75 | % | -0.04 | % | 1.66 | % | 2.39 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -5.77 | % | -6.44 | % | 0.74 | % | 1.94 | % | 2.47 | % | ||||||||||
Composite Benchmark | -9.86 | % | -11.40 | % | 2.74 | % | 3.59 | % | 4.43 | % | ||||||||||
Prior Composite Benchmark4 | -9.85 | % | -11.38 | % | 2.77 | % | 3.61 | % | 4.45 | % | ||||||||||
Bloomberg 5-Year GO Municipal Bond Index | -2.98 | % | -7.76 | % | 0.50 | % | 1.12 | % | 1.80 | % | ||||||||||
Tax-Aware Overlay N Portfolio Class 1 | -10.07 | % | -13.16 | % | 0.56 | % | 2.33 | % | 2.94 | % | ||||||||||
Return after taxes on Distributions2 | -10.07 | % | -14.70 | % | -0.16 | % | 1.57 | % | 2.25 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -5.96 | % | -6.84 | % | 0.57 | % | 1.83 | % | 2.32 | % | ||||||||||
Tax-Aware Overlay N Portfolio Class 2 | -10.05 | % | -13.08 | % | 0.70 | % | 2.48 | % | 3.09 | % | ||||||||||
Return after taxes on Distributions2 | -10.05 | % | -14.63 | % | -0.03 | % | 1.71 | % | 2.39 | % | ||||||||||
Return after taxes on Distributions and sale of shares2 | -5.95 | % | -6.75 | % | 0.70 | % | 1.96 | % | 2.46 | % | ||||||||||
Composite Benchmark | -9.86 | % | -11.40 | % | 2.74 | % | 3.59 | % | 4.43 | % | ||||||||||
Prior Composite Benchmark4 | -9.85 | % | -11.38 | % | 2.77 | % | 3.61 | % | 4.45 | % | ||||||||||
Bloomberg 5-Year GO Municipal Bond Index | -2.98 | % | -7.76 | % | 0.50 | % | 1.12 | % | 1.80 | % |
The current prospectus fee table shows the total annual operating expense ratios for Class 1 and Class 2 shares as 0.91% and 0.76% for Tax-Aware Overlay C and 0.93% and 0.78% for Tax-Aware Overlay N. 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. |
There are no sales charges associated with an investment in the Bernstein funds. Total returns and average annual returns are therefore the same. The Portfolios are not standalone Portfolios and are used only in conjunction with globally diversified Private Client portfolios. |
1 | Inception date: 2/8/2010. |
2 | After-tax returns are an estimate, which is based on the highest historical individual federal marginal income-tax rates, and do not reflect the impact of state and local taxes; actual after-tax returns depend on an individual investor’s tax situation and are likely to differ from those shown, and are not relevant to investors who hold Portfolio shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. |
3 | The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the Financial Highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
4 | Prior to February 28, 2022, the Portfolios’ Composite Benchmark was 19.3% Russell 3000, 10.7% MSCI ACWI ex USA IMI (net), 28% Bloomberg 1-10 Year US TIPS, 42% Bloomberg 1-10 Year Municipal Bond. |
See Disclosures, Risks and Note About Historical Performance on pages 5-10.
(Historical Performance continued on next page)
2022 Annual Report | 13 |
Table of Contents
Historical Performance (continued from previous page)
Overlay A Class 1 Shares | Tax-Aware Overlay B Class 1 Shares | |||
Growth of a $25,000 Investment in the Portfolio | Growth of a $25,000 Investment in the Portfolio | |||
Tax-Aware Overlay A Class 1 Shares | Tax-Aware Overlay C Class 1 Shares | |||
Growth of a $25,000 Investment in the Portfolio | Growth of a $25,000 Investment in the Portfolio | |||
Overlay B Class 1 Shares | Tax-Aware Overlay N Class 1 Shares | |||
Growth of a $25,000 Investment in the Portfolio | Growth of a $25,000 Investment in the Portfolio | |||
Each chart illustrates the total value of an assumed $25,000 investment as compared to the performance of each Portfolio’s respective benchmark, composite benchmark and prior composite benchmark for the 10-year period ended September 30, 2022. |
See Disclosures, Risks and Note About Historical Performance on pages 5-10.
14 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Expense Example—September 30, 2022 (Unaudited)
Fund Expenses—As a shareholder of a Portfolio, you incur various ongoing costs, including management fees and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio 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 a Portfolio’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Portfolio’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 Portfolio 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 second line of the table 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.
BEGINNING ACCOUNT VALUE APRIL 1, 2022 | ENDING ACCOUNT VALUE SEPTEMBER 30, 2022 | EXPENSES PAID DURING PERIOD* | ANNUALIZED EXPENSE RATIO* | TOTAL EXPENSES PAID DURING PERIOD+ | TOTAL ANNUALIZED EXPENSE RATIO+ | |||||||||||||||||||
Overlay A | ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 822.40 | $ | 3.84 | 0.84 | % | $ | 5.35 | 1.17 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.86 | $ | 4.26 | 0.84 | % | $ | 5.92 | 1.17 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 823.30 | $ | 2.93 | 0.64 | % | $ | 4.43 | 0.97 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.86 | $ | 3.24 | 0.64 | % | $ | 4.91 | 0.97 | % | ||||||||||||
Tax-Aware Overlay A | ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 821.00 | $ | 3.79 | 0.83 | % | $ | 5.30 | 1.16 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.91 | $ | 4.20 | 0.83 | % | $ | 5.87 | 1.16 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 822.00 | $ | 2.88 | 0.63 | % | $ | 4.38 | 0.96 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.91 | $ | 3.19 | 0.63 | % | $ | 4.86 | 0.96 | % | ||||||||||||
Overlay B | ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 872.50 | $ | 3.76 | 0.80 | % | $ | 3.99 | 0.85 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.06 | $ | 4.05 | 0.80 | % | $ | 4.31 | 0.85 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 872.90 | $ | 3.05 | 0.65 | % | $ | 3.29 | 0.70 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.81 | $ | 3.29 | 0.65 | % | $ | 3.55 | 0.70 | % | ||||||||||||
Tax-Aware Overlay B | ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 901.30 | $ | 3.96 | 0.83 | % | $ | 4.10 | 0.86 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.91 | $ | 4.20 | 0.83 | % | $ | 4.36 | 0.86 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 901.50 | $ | 3.24 | 0.68 | % | $ | 3.38 | 0.71 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.66 | $ | 3.45 | 0.68 | % | $ | 3.60 | 0.71 | % | ||||||||||||
Tax-Aware Overlay C | ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 902.40 | $ | 4.10 | 0.86 | % | $ | 4.24 | 0.89 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.76 | $ | 4.36 | 0.86 | % | $ | 4.51 | 0.89 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 902.60 | $ | 3.39 | 0.71 | % | $ | 3.53 | 0.74 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.51 | $ | 3.60 | 0.71 | % | $ | 3.75 | 0.74 | % | ||||||||||||
2022 Annual Report | 15 |
Table of Contents
Expense Example—September 30, 2022 (Unaudited) (continued)
BEGINNING ACCOUNT VALUE APRIL 1, 2022 | ENDING ACCOUNT VALUE SEPTEMBER 30, 2022 | EXPENSES PAID DURING PERIOD* | ANNUALIZED EXPENSE RATIO* | TOTAL EXPENSES PAID DURING PERIOD+ | TOTAL ANNUALIZED EXPENSE RATIO+ | |||||||||||||||||||
Tax-Aware Overlay N | ||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 899.30 | $ | 4.19 | 0.88 | % | $ | 4.33 | 0.91 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,020.66 | $ | 4.46 | 0.88 | % | $ | 4.61 | 0.91 | % | ||||||||||||
Class 2 | ||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 899.50 | $ | 3.48 | 0.73 | % | $ | 3.62 | 0.76 | % | ||||||||||||
Hypothetical** | $ | 1,000 | $ | 1,021.41 | $ | 3.70 | 0.73 | % | $ | 3.85 | 0.76 | % | ||||||||||||
* | Expenses are equal to the classes’ annualized expense ratios, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
** | Assumes 5% annual return before expenses. |
+ | In connection with the Portfolio’s investments in affiliated/unaffiliated underlying portfolios, the Portfolio 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 Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses of the affiliated underlying portfolios. The Portfolio’s total expenses are equal to the classes’ annualized expense ratio plus the Portfolio’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 183/365 (to reflect the one-half year period). |
16 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Portfolio Summary—September 30, 2022 (Unaudited)
PORTFOLIO BREAKDOWN1 | OVERLAY A PORTFOLIO | TAX-AWARE OVERLAY A PORTFOLIO | ||||||
Global Equity | ||||||||
US | 20.3 | % | 20.6 | % | ||||
Developed International | 6.1 | % | 6.2 | % | ||||
Emerging Markets | 3.0 | % | 3.0 | % | ||||
Real Assets | 6.7 | % | 6.5 | % | ||||
Global Bond | ||||||||
US | 31.4 | % | 35.9 | % | ||||
Developed International | 11.5 | % | 0.0 | % | ||||
PORTFOLIO BREAKDOWN1 | OVERLAY B PORTFOLIO | TAX-AWARE OVERLAY B PORTFOLIO | ||||||
Global Equity | ||||||||
US | 6.9 | % | 9.0 | % | ||||
Developed International | 2.2 | % | 3.0 | % | ||||
Emerging Markets | 1.0 | % | 1.3 | % | ||||
Global Credit | ||||||||
Investment Grade | 11.0 | % | 0.0 | % | ||||
Real Assets | 3.3 | % | 0.0 | % | ||||
Global Bond | ||||||||
US | 42.9 | % | 89.2 | % | ||||
Developed International | 14.8 | % | 0.0 | % | ||||
Linkers | 26.4 | % | 0.0 | % | ||||
PORTFOLIO BREAKDOWN1 | TAX-AWARE OVERLAY C PORTFOLIO | TAX-AWARE OVERLAY N PORTFOLIO | ||||||
Global Equity | ||||||||
US | 9.0 | % | 9.1 | % | ||||
Developed International | 2.9 | % | 3.0 | % | ||||
Emerging Markets | 1.4 | % | 1.4 | % | ||||
Global Bond | ||||||||
US | 93.5 | % | 94.4 | % |
1 | All data are as of September 30, 2022. The Portfolio’s portfolio breakdown includes derivative exposure and is expressed as approximate percentages of the Portfolio’s total net assets, based on the Adviser’s internal classification. The percentages will vary over time, and the total of the percentages may be less than or greater than 100% in light of the leveraging effect of the derivative transactions. |
2022 Annual Report | 17 |
Table of Contents
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Overlay A Portfolio
September 30, 2022
Company | Shares | U.S. $ Value | ||||||||||
COMMON STOCKS–49.1% |
| |||||||||||
Information Technology–12.7% |
| |||||||||||
Communications Equipment–0.0% |
| |||||||||||
Ciena Corp.(a) | 5,240 | $ | 211,853 | |||||||||
Lumentum Holdings, Inc.(a) | 6,340 | 434,734 | ||||||||||
|
| |||||||||||
646,587 | ||||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components–0.4% |
| |||||||||||
Avnet, Inc. | 10,320 | 372,758 | ||||||||||
Belden, Inc. | 5,853 | 351,297 | ||||||||||
CDW Corp./DE | 29,175 | 4,553,634 | ||||||||||
Littelfuse, Inc. | 1,440 | 286,114 | ||||||||||
Novanta, Inc.(a) | 3,550 | 410,558 | ||||||||||
|
| |||||||||||
5,974,361 | ||||||||||||
|
| |||||||||||
IT Services–2.1% |
| |||||||||||
DigitalOcean Holdings, Inc.(a) | 7,463 | 269,937 | ||||||||||
Flywire Corp.(a) | 14,315 | 328,672 | ||||||||||
Genpact Ltd. | 7,766 | 339,918 | ||||||||||
MongoDB, Inc.(a) | 1,330 | 264,085 | ||||||||||
PayPal Holdings, Inc.(a) | 64,717 | 5,570,192 | ||||||||||
Shift4 Payments, Inc.–Class A(a) | 7,848 | 350,099 | ||||||||||
Visa, Inc.–Class A | 117,118 | 20,806,013 | ||||||||||
|
| |||||||||||
27,928,916 | ||||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment–2.1% |
| |||||||||||
Analog Devices, Inc. | 22,730 | 3,167,198 | ||||||||||
Entegris, Inc. | 5,038 | 418,255 | ||||||||||
KLA Corp. | 12,885 | 3,899,388 | ||||||||||
Kulicke & Soffa Industries, Inc. | 4,916 | 189,413 | ||||||||||
Lattice Semiconductor Corp.(a) | 8,725 | 429,357 | ||||||||||
MACOM Technology Solutions Holdings, Inc.(a) | 7,768 | 402,305 | ||||||||||
Monolithic Power Systems, Inc. | 670 | 243,478 | ||||||||||
NVIDIA Corp. | 55,785 | 6,771,741 | ||||||||||
NXP Semiconductors NV | 42,888 | 6,326,409 | ||||||||||
ON Semiconductor Corp.(a) | 8,606 | 536,412 | ||||||||||
QUALCOMM, Inc. | 50,384 | 5,692,384 | ||||||||||
Synaptics, Inc.(a) | 896 | 88,713 | ||||||||||
|
| |||||||||||
28,165,053 | ||||||||||||
|
| |||||||||||
Software–5.7% |
| |||||||||||
ACI Worldwide, Inc.(a) | 19,710 | 411,939 | ||||||||||
Adobe, Inc.(a) | 19,787 | 5,445,382 | ||||||||||
Autodesk, Inc.(a) | 22,119 | 4,131,829 | ||||||||||
CommVault Systems, Inc.(a) | 7,020 | 372,341 | ||||||||||
Five9, Inc.(a) | 5,440 | 407,891 | ||||||||||
Freshworks, Inc.–Class A(a) | 18,891 | 245,016 | ||||||||||
HubSpot, Inc.(a) | 700 | 189,084 | ||||||||||
Manhattan Associates, Inc.(a) | 4,081 | 542,895 | ||||||||||
Microsoft Corp.(b) | 185,114 | 43,113,051 | ||||||||||
Monday.com Ltd.(a) | 2,519 | 285,504 |
Company | Shares | U.S. $ Value | ||||||||||
NortonLifeLock, Inc. | 337,596 | $ | 6,799,183 | |||||||||
Oracle Corp. | 166,673 | 10,178,720 | ||||||||||
Samsara, Inc.–Class A(a) | 25,327 | 305,697 | ||||||||||
ServiceNow, Inc.(a) | 8,665 | 3,271,991 | ||||||||||
Smartsheet, Inc.–Class A(a) | 10,615 | 364,731 | ||||||||||
Varonis Systems, Inc.(a) | 7,734 | 205,106 | ||||||||||
|
| |||||||||||
76,270,360 | ||||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals–2.4% |
| |||||||||||
Apple, Inc.(b) | 206,043 | 28,475,143 | ||||||||||
Change Healthcare, Inc.(a) | 22,720 | 624,573 | ||||||||||
Western Digital Corp.(a) | 100,861 | 3,283,025 | ||||||||||
|
| |||||||||||
32,382,741 | ||||||||||||
|
| |||||||||||
171,368,018 | ||||||||||||
|
| |||||||||||
Health Care–8.1% |
| |||||||||||
Biotechnology–1.3% |
| |||||||||||
ADC Therapeutics SA(a) | 7,503 | 36,164 | ||||||||||
Arcus Biosciences, Inc.(a) | 5,340 | 139,694 | ||||||||||
Arrowhead Pharmaceuticals, Inc.(a) | 4,820 | 159,301 | ||||||||||
Ascendis Pharma A/S (ADR)(a) | 1,592 | 164,390 | ||||||||||
Blueprint Medicines Corp.(a) | 2,956 | 194,771 | ||||||||||
Coherus Biosciences, Inc.(a) | 14,655 | 140,835 | ||||||||||
Erasca, Inc.(a) | 9,707 | 75,715 | ||||||||||
Intellia Therapeutics, Inc.(a) | 3,020 | 168,999 | ||||||||||
Karuna Therapeutics, Inc.(a) | 1,040 | 233,927 | ||||||||||
Legend Biotech Corp. (ADR)(a) | 3,629 | 148,063 | ||||||||||
Regeneron Pharmaceuticals, Inc.(a) | 6,263 | 4,314,393 | ||||||||||
Ultragenyx Pharmaceutical, Inc.(a) | 3,633 | 150,443 | ||||||||||
Vertex Pharmaceuticals, Inc.(a) | 36,981 | 10,707,479 | ||||||||||
Vir Biotechnology, Inc.(a) | 5,534 | 106,695 | ||||||||||
|
| |||||||||||
16,740,869 | ||||||||||||
|
| |||||||||||
Health Care Equipment & Supplies–1.7% |
| |||||||||||
Align Technology, Inc.(a) | 8,966 | 1,856,948 | ||||||||||
AtriCure, Inc.(a) | 10,560 | 412,896 | ||||||||||
Edwards Lifesciences Corp.(a) | 55,445 | 4,581,420 | ||||||||||
Envista Holdings Corp.(a) | 14,110 | 462,949 | ||||||||||
Insulet Corp.(a) | 885 | 203,019 | ||||||||||
Integra LifeSciences Holdings Corp.(a) | 9,140 | 387,170 | ||||||||||
iRhythm Technologies, Inc.(a) | 3,120 | 390,874 | ||||||||||
Lantheus Holdings, Inc.(a) | 6,350 | 446,596 | ||||||||||
Medtronic PLC | 106,314 | 8,584,855 | ||||||||||
Silk Road Medical, Inc.(a) | 8,605 | 387,225 | ||||||||||
Zimmer Biomet Holdings, Inc. | 45,561 | 4,763,403 | ||||||||||
|
| |||||||||||
22,477,355 | ||||||||||||
|
| |||||||||||
Health Care Providers & Services–2.7% |
| |||||||||||
Acadia Healthcare Co., Inc.(a) | 7,170 | 560,551 | ||||||||||
Elevance Health, Inc. | 21,535 | 9,782,058 | ||||||||||
Guardant Health, Inc.(a) | 4,079 | 219,573 | ||||||||||
Inari Medical, Inc.(a) | 5,278 | 383,394 | ||||||||||
Pediatrix Medical Group, Inc.(a) | 23,820 | 393,268 | ||||||||||
R1 RCM, Inc.(a) | 24,681 | 457,339 | ||||||||||
UnitedHealth Group, Inc. | 49,209 | 24,852,513 | ||||||||||
|
| |||||||||||
36,648,696 | ||||||||||||
|
|
18 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Company | Shares | U.S. $ Value | ||||||||||
Life Sciences Tools & Services–0.5% |
| |||||||||||
ICON PLC(a) | 1,501 | $ | 275,854 | |||||||||
IQVIA Holdings, Inc.(a) | 32,322 | 5,854,807 | ||||||||||
Repligen Corp.(a) | 2,291 | 428,669 | ||||||||||
Syneos Health, Inc.(a) | 7,920 | 373,428 | ||||||||||
|
| |||||||||||
6,932,758 | ||||||||||||
|
| |||||||||||
Pharmaceuticals–1.9% |
| |||||||||||
Intra-Cellular Therapies, Inc.(a) | 4,640 | 215,899 | ||||||||||
Johnson & Johnson | 38,865 | 6,348,987 | ||||||||||
Roche Holding AG (Sponsored ADR) | 305,844 | 12,423,383 | ||||||||||
Zoetis, Inc. | 47,339 | 7,019,900 | ||||||||||
|
| |||||||||||
26,008,169 | ||||||||||||
|
| |||||||||||
108,807,847 | ||||||||||||
|
| |||||||||||
Financials–6.1% |
| |||||||||||
Banks–2.6% |
| |||||||||||
Bank of America Corp. | 337,284 | 10,185,977 | ||||||||||
Comerica, Inc. | 8,690 | 617,859 | ||||||||||
First BanCorp./Puerto Rico | 39,420 | 539,266 | ||||||||||
First Citizens BancShares, Inc./NC–Class A | 925 | 737,623 | ||||||||||
First Hawaiian, Inc. | 22,400 | 551,712 | ||||||||||
Pinnacle Financial Partners, Inc. | 5,040 | 408,744 | ||||||||||
PNC Financial Services Group, Inc. (The) | 39,753 | 5,939,893 | ||||||||||
Synovus Financial Corp. | 12,784 | 479,528 | ||||||||||
Texas Capital Bancshares, Inc.(a) | 8,585 | 506,772 | ||||||||||
Webster Financial Corp. | 9,732 | 439,886 | ||||||||||
Wells Fargo & Co. | 342,498 | 13,775,270 | ||||||||||
Wintrust Financial Corp. | 6,460 | 526,813 | ||||||||||
Zions Bancorp NA | 11,661 | 593,078 | ||||||||||
|
| |||||||||||
35,302,421 | ||||||||||||
|
| |||||||||||
Capital Markets–2.0% |
| |||||||||||
Ares Management Corp.–Class A | 5,913 | 366,310 | ||||||||||
Charles Schwab Corp. (The) | 60,051 | 4,315,865 | ||||||||||
Goldman Sachs Group, Inc. (The) | 43,317 | 12,694,047 | ||||||||||
LPL Financial Holdings, Inc. | 40,610 | 8,872,473 | ||||||||||
Moelis & Co.–Class A | 9,872 | 333,772 | ||||||||||
PJT Partners, Inc.–Class A | 4,670 | 312,050 | ||||||||||
Stifel Financial Corp. | 9,775 | 507,420 | ||||||||||
|
| |||||||||||
27,401,937 | ||||||||||||
|
| |||||||||||
Insurance–1.4% |
| |||||||||||
American Financial Group, Inc./OH | 3,622 | 445,252 | ||||||||||
Hanover Insurance Group, Inc. (The) | 3,570 | 457,460 | ||||||||||
Kemper Corp. | 7,730 | 318,940 | ||||||||||
Kinsale Capital Group, Inc. | 2,144 | 547,620 | ||||||||||
Progressive Corp. (The) | 77,017 | 8,950,146 | ||||||||||
Reinsurance Group of America, Inc. | 1,628 | 204,819 | ||||||||||
Selective Insurance Group, Inc. | 5,284 | 430,118 | ||||||||||
Trupanion, Inc.(a) | 5,030 | 298,933 | ||||||||||
Willis Towers Watson PLC | 35,280 | 7,089,163 | ||||||||||
|
| |||||||||||
18,742,451 | ||||||||||||
|
|
Company | Shares | U.S. $ Value | ||||||||||
Thrifts & Mortgage Finance–0.1% |
| |||||||||||
BankUnited, Inc. | 12,660 | $ | 432,592 | |||||||||
|
| |||||||||||
81,879,401 | ||||||||||||
|
| |||||||||||
Industrials–5.3% |
| |||||||||||
Aerospace & Defense–0.9% |
| |||||||||||
Axon Enterprise, Inc.(a) | 4,672 | 540,784 | ||||||||||
Curtiss-Wright Corp. | 2,900 | 403,564 | ||||||||||
Hexcel Corp. | 5,900 | 305,148 | ||||||||||
Howmet Aerospace, Inc. | 13,200 | 408,276 | ||||||||||
Raytheon Technologies Corp. | 124,825 | 10,218,175 | ||||||||||
Spirit AeroSystems Holdings, Inc.–Class A | 14,750 | 323,320 | ||||||||||
|
| |||||||||||
12,199,267 | ||||||||||||
|
| |||||||||||
Airlines–0.0% |
| |||||||||||
Alaska Air Group, Inc.(a) | 8,460 | 331,209 | ||||||||||
|
| |||||||||||
Building Products–0.5% |
| |||||||||||
Armstrong World Industries, Inc. | 4,120 | 326,427 | ||||||||||
Carlisle Cos., Inc. | 2,170 | 608,490 | ||||||||||
Masonite International Corp.(a) | 5,147 | 366,930 | ||||||||||
Otis Worldwide Corp. | 83,204 | 5,308,415 | ||||||||||
|
| |||||||||||
6,610,262 | ||||||||||||
|
| |||||||||||
Commercial Services & Supplies–0.1% |
| |||||||||||
ADT, Inc. | 55,920 | 418,841 | ||||||||||
MillerKnoll, Inc. | 3,185 | 49,686 | ||||||||||
Tetra Tech, Inc. | 3,580 | 460,137 | ||||||||||
|
| |||||||||||
928,664 | ||||||||||||
|
| |||||||||||
Construction & Engineering–0.7% |
| |||||||||||
AECOM | 130,140 | 8,897,672 | ||||||||||
Arcosa, Inc. | 9,490 | 542,638 | ||||||||||
Dycom Industries, Inc.(a) | 3,630 | 346,774 | ||||||||||
Fluor Corp.(a) | 6,431 | 160,067 | ||||||||||
WillScot Mobile Mini Holdings Corp.(a) | 8,730 | 352,081 | ||||||||||
|
| |||||||||||
10,299,232 | ||||||||||||
|
| |||||||||||
Electrical Equipment–1.1% |
| |||||||||||
AMETEK, Inc. | 3,306 | 374,933 | ||||||||||
Eaton Corp. PLC | 60,738 | 8,100,020 | ||||||||||
Regal Rexnord Corp. | 48,204 | 6,765,913 | ||||||||||
Sensata Technologies Holding PLC | 9,160 | 341,485 | ||||||||||
|
| |||||||||||
15,582,351 | ||||||||||||
|
| |||||||||||
Machinery–0.2% |
| |||||||||||
IDEX Corp. | 1,940 | 387,709 | ||||||||||
Ingersoll Rand, Inc. | 8,590 | 371,603 | ||||||||||
ITT, Inc. | 5,580 | 364,597 | ||||||||||
Middleby Corp. (The)(a) | 3,040 | 389,637 | ||||||||||
Oshkosh Corp. | 4,390 | 308,573 | ||||||||||
Timken Co. (The) | 6,810 | 402,063 | ||||||||||
|
| |||||||||||
2,224,182 | ||||||||||||
|
|
2022 Annual Report | 19 |
Table of Contents
Schedule of Investments (continued)
Company | Shares | U.S. $ Value | ||||||||||
Marine–0.1% |
| |||||||||||
Kirby Corp.(a) | 6,920 | $ | 420,528 | |||||||||
Star Bulk Carriers Corp. | 18,470 | 322,856 | ||||||||||
|
| |||||||||||
743,384 | ||||||||||||
|
| |||||||||||
Professional Services–0.5% |
| |||||||||||
Booz Allen Hamilton Holding Corp. | 49,814 | 4,600,323 | ||||||||||
FTI Consulting, Inc.(a) | 694 | 115,003 | ||||||||||
Korn Ferry | 4,300 | 201,885 | ||||||||||
Robert Half International, Inc. | 27,959 | 2,138,863 | ||||||||||
|
| |||||||||||
7,056,074 | ||||||||||||
|
| |||||||||||
Road & Rail–1.1% |
| |||||||||||
CSX Corp. | 321,391 | 8,561,856 | ||||||||||
Knight-Swift Transportation Holdings, Inc. | 122,624 | 5,999,992 | ||||||||||
TFI International, Inc. | 4,260 | 385,445 | ||||||||||
XPO Logistics, Inc.(a) | 12,220 | 544,035 | ||||||||||
|
| |||||||||||
15,491,328 | ||||||||||||
|
| |||||||||||
Trading Companies & Distributors–0.1% |
| |||||||||||
Herc Holdings, Inc. | 4,230 | 439,413 | ||||||||||
SiteOne Landscape Supply, Inc.(a) | 3,550 | 369,697 | ||||||||||
|
| |||||||||||
809,110 | ||||||||||||
|
| |||||||||||
72,275,063 | ||||||||||||
|
| |||||||||||
Consumer Discretionary–5.2% |
| |||||||||||
Auto Components–0.3% |
| |||||||||||
Dana, Inc. | 21,032 | 240,396 | ||||||||||
Goodyear Tire & Rubber Co. (The)(a) | 291,479 | 2,941,023 | ||||||||||
|
| |||||||||||
3,181,419 | ||||||||||||
|
| |||||||||||
Automobiles–0.2% |
| |||||||||||
Stellantis NV | 263,046 | 3,114,465 | ||||||||||
|
| |||||||||||
Distributors–0.1% |
| |||||||||||
Pool Corp. | 1,630 | 518,682 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure–0.5% |
| |||||||||||
Booking Holdings, Inc.(a) | 3,043 | 5,000,288 | ||||||||||
Dine Brands Global, Inc. | 6,080 | 386,445 | ||||||||||
Hilton Grand Vacations, Inc.(a) | 9,080 | 298,641 | ||||||||||
Papa John’s International, Inc. | 5,140 | 359,851 | ||||||||||
Planet Fitness, Inc.–Class A(a) | 8,414 | 485,151 | ||||||||||
Scientific Games Corp./DE–Class A(a) | 3,469 | 148,751 | ||||||||||
Vail Resorts, Inc. | 2,090 | 450,688 | ||||||||||
|
| |||||||||||
7,129,815 | ||||||||||||
|
| |||||||||||
Household Durables–0.1% |
| |||||||||||
KB Home | 11,670 | 302,487 | ||||||||||
NVR, Inc.(a) | 73 | 291,057 | ||||||||||
PulteGroup, Inc. | 12,750 | 478,125 | ||||||||||
Taylor Morrison Home Corp.(a) | 10,623 | 247,728 | ||||||||||
TopBuild Corp.(a) | 1,927 | 317,531 | ||||||||||
|
| |||||||||||
1,636,928 | ||||||||||||
|
|
Company | Shares | U.S. $ Value | ||||||||||
Internet & Direct Marketing Retail–1.8% |
| |||||||||||
Amazon.com, Inc.(a)(b) | 193,720 | $ | 21,890,360 | |||||||||
Etsy, Inc.(a) | 21,177 | 2,120,453 | ||||||||||
|
| |||||||||||
24,010,813 | ||||||||||||
|
| |||||||||||
Multiline Retail–0.0% | ||||||||||||
Driven Brands Holdings, Inc.(a) | 7,180 | 200,896 | ||||||||||
|
| |||||||||||
Specialty Retail–1.7% | ||||||||||||
AutoZone, Inc.(a) | 3,718 | 7,963,696 | ||||||||||
Dynatrace, Inc.(a) | 12,020 | 418,416 | ||||||||||
Five Below, Inc.(a) | 2,558 | 352,160 | ||||||||||
Floor & Decor Holdings, Inc.–Class A(a) | 4,650 | 326,709 | ||||||||||
Home Depot, Inc. (The) | 45,287 | 12,496,495 | ||||||||||
Lithia Motors, Inc. | 1,645 | 352,935 | ||||||||||
National Vision Holdings, Inc.(a) | 12,336 | 402,770 | ||||||||||
Sally Beauty Holdings, Inc.(a) | 27,175 | 342,405 | ||||||||||
Williams-Sonoma, Inc. | 3,245 | 382,423 | ||||||||||
|
| |||||||||||
23,038,009 | ||||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods–0.5% |
| |||||||||||
Carter’s, Inc. | 5,850 | 383,351 | ||||||||||
NIKE, Inc.–Class B | 69,803 | 5,802,025 | ||||||||||
Ralph Lauren Corp. | 5,480 | 465,416 | ||||||||||
Tapestry, Inc. | 14,120 | 401,432 | ||||||||||
|
| |||||||||||
7,052,224 | ||||||||||||
|
| |||||||||||
69,883,251 | ||||||||||||
|
| |||||||||||
Communication Services–4.7% | ||||||||||||
Diversified Telecommunication Services–0.6% |
| |||||||||||
Comcast Corp.–Class A | 266,392 | 7,813,277 | ||||||||||
|
| |||||||||||
Entertainment–0.5% | ||||||||||||
Walt Disney Co. (The)(a) | 71,726 | 6,765,914 | ||||||||||
|
| |||||||||||
Interactive Media & Services–2.9% | ||||||||||||
Alphabet, Inc.–Class C(a) | 315,163 | 30,302,923 | ||||||||||
Meta Platforms, Inc.–Class A(a) | 65,168 | 8,841,994 | ||||||||||
|
| |||||||||||
39,144,917 | ||||||||||||
|
| |||||||||||
Media–0.0% | ||||||||||||
Criteo SA (Sponsored ADR)(a) | 16,026 | 433,183 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services–0.7% |
| |||||||||||
T-Mobile US, Inc.(a) | 70,344 | 9,438,054 | ||||||||||
|
| |||||||||||
63,595,345 | ||||||||||||
|
| |||||||||||
Consumer Staples–2.6% | ||||||||||||
Beverages–1.0% | ||||||||||||
Coca-Cola Co. (The) | 160,754 | 9,005,439 | ||||||||||
Constellation Brands, Inc.–Class A | 20,264 | 4,654,236 | ||||||||||
|
| |||||||||||
13,659,675 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing–1.2% |
| |||||||||||
Costco Wholesale Corp. | 10,666 | 5,037,232 |
20 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Company | Shares | U.S. $ Value | ||||||||||
Grocery Outlet Holding Corp.(a) | 12,970 | $ | 431,771 | |||||||||
Walmart, Inc. | 89,356 | 11,589,473 | ||||||||||
|
| |||||||||||
17,058,476 | ||||||||||||
|
| |||||||||||
Food Products–0.1% |
| |||||||||||
Hain Celestial Group, Inc. (The)(a) | 18,907 | 319,150 | ||||||||||
Nomad Foods Ltd.(a) | 26,324 | 373,801 | ||||||||||
|
| |||||||||||
692,951 | ||||||||||||
|
| |||||||||||
Household Products–0.3% |
| |||||||||||
Procter & Gamble Co., (The) | 33,197 | 4,191,121 | ||||||||||
|
| |||||||||||
35,602,223 | ||||||||||||
|
| |||||||||||
Energy–1.7% |
| |||||||||||
Energy Equipment & Services–0.4% |
| |||||||||||
Baker Hughes Co. | 196,116 | 4,110,591 | ||||||||||
Cactus, Inc.–Class A | 8,160 | 313,589 | ||||||||||
Helmerich & Payne, Inc. | 9,600 | 354,912 | ||||||||||
Patterson-UTI Energy, Inc. | 27,450 | 320,616 | ||||||||||
|
| |||||||||||
5,099,708 | ||||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels–1.3% |
| |||||||||||
Cameco Corp. | 15,890 | 421,244 | ||||||||||
Chevron Corp. | 37,177 | 5,341,219 | ||||||||||
EOG Resources, Inc. | 85,999 | 9,608,668 | ||||||||||
HF Sinclair Corp. | 8,475 | 456,294 | ||||||||||
Magnolia Oil & Gas Corp.–Class A | 21,080 | 417,595 | ||||||||||
Matador Resources Co. | 9,080 | 444,194 | ||||||||||
Ovintiv, Inc. | 9,890 | 454,940 | ||||||||||
Targa Resources Corp. | 3,340 | 201,536 | ||||||||||
|
| |||||||||||
17,345,690 | ||||||||||||
|
| |||||||||||
22,445,398 | ||||||||||||
|
| |||||||||||
Utilities–1.1% |
| |||||||||||
Electric Utilities–1.1% |
| |||||||||||
American Electric Power Co., Inc. | 76,429 | 6,607,287 | ||||||||||
IDACORP, Inc. | 6,141 | 608,020 | ||||||||||
NextEra Energy, Inc. | 87,401 | 6,853,113 | ||||||||||
|
| |||||||||||
14,068,420 | ||||||||||||
|
| |||||||||||
Gas Utilities–0.0% |
| |||||||||||
Southwest Gas Holdings, Inc.(a) | 4,960 | 345,960 | ||||||||||
|
| |||||||||||
14,414,380 | ||||||||||||
|
| |||||||||||
Real Estate–0.9% |
| |||||||||||
Equity Real Estate Investment Trusts (REITs)–0.9% |
| |||||||||||
American Tower Corp. | 20,542 | 4,410,367 | ||||||||||
Broadstone Net Lease, Inc.–Class A | 18,780 | 291,653 | ||||||||||
Camden Property Trust | 4,178 | 499,062 | ||||||||||
Cousins Properties, Inc. | 12,337 | 288,069 | ||||||||||
CubeSmart | 12,651 | 506,799 | ||||||||||
Mid-America Apartment Communities, Inc. | 17,137 | 2,657,435 | ||||||||||
Physicians Realty Trust | 34,406 | 517,466 |
Company | Shares | U.S. $ Value | ||||||||||
Prologis, Inc. | 32,186 | $ | 3,270,098 | |||||||||
Safehold, Inc. | 7,115 | 188,263 | ||||||||||
STAG Industrial, Inc. | 9,230 | 262,409 | ||||||||||
|
| |||||||||||
12,891,621 | ||||||||||||
|
| |||||||||||
Materials–0.7% |
| |||||||||||
Chemicals–0.6% |
| |||||||||||
FMC Corp. | 3,910 | 413,287 | ||||||||||
Huntsman Corp. | 17,100 | 419,634 | ||||||||||
Innospec, Inc. | 3,150 | 269,860 | ||||||||||
Linde PLC | 27,707 | 7,469,530 | ||||||||||
|
| |||||||||||
8,572,311 | ||||||||||||
|
| |||||||||||
Containers & Packaging–0.0% |
| |||||||||||
Berry Global Group, Inc.(a) | 12,230 | 569,062 | ||||||||||
|
| |||||||||||
Metals & Mining–0.1% |
| |||||||||||
ATI, Inc.(a) | 17,330 | 461,151 | ||||||||||
Reliance Steel & Aluminum Co. | 2,043 | 356,320 | ||||||||||
|
| |||||||||||
817,471 | ||||||||||||
|
| |||||||||||
9,958,844 | ||||||||||||
|
| |||||||||||
Capital Goods–0.0% |
| |||||||||||
Electrical Components & Equipment–0.0% |
| |||||||||||
Vertiv Holdings Co. | 53,390 | 518,951 | ||||||||||
|
| |||||||||||
Total Common Stocks (cost $497,775,998) | 663,640,342 | |||||||||||
|
| |||||||||||
INVESTMENT COMPANIES–36.9% |
| |||||||||||
Funds and Investment Trusts–36.9%(c)(d) |
| |||||||||||
AB All Market Real Return Portfolio–Class Z | 10,497,447 | 90,173,066 | ||||||||||
AB International Small Cap Portfolio–Class Z | 7,466,504 | 66,675,883 | ||||||||||
Bernstein International Strategic Equities Portfolio–Class Z | 29,198,756 | 280,892,036 | ||||||||||
Bernstein Small Cap Core Portfolio–Class Z | 2,102,978 | 24,016,013 | ||||||||||
Sanford C Bernstein Fund, Inc.–Emerging Markets Portfolio–Class Z | 1,689,709 | 36,869,453 | ||||||||||
|
| |||||||||||
Total Investment Companies (cost $528,967,298) | 498,626,451 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED—PUTS–3.3% |
| |||||||||||
Options on Equity Indices–3.3% |
| |||||||||||
Euro STOXX 50 Index | EUR | 42,112,000 | 2,094,040 |
2022 Annual Report | 21 |
Table of Contents
Schedule of Investments (continued)
Company | Notional Amount | U.S. $ Value | ||||||||||
Euro STOXX 50 Index | EUR | 30,324,000 | $ | 1,507,876 | ||||||||
FTSE 100 Index | GBP | 19,020,000 | 840,673 | |||||||||
FTSE 100 Index | GBP | 14,160,000 | 625,864 | |||||||||
Nikkei 225 Index | JPY | 4,048,000,000 | 1,348,885 | |||||||||
Nikkei 225 Index | JPY | 2,970,000,000 | 989,670 | |||||||||
S&P 500 Index | USD | 374,725,000 | 21,596,880 |
Company | Notional Amount | U.S. $ Value | ||||||||||
S&P 500 Index | USD | 257,400,000 | $ | 14,834,977 | ||||||||
|
| |||||||||||
Total Options Purchased—Puts (premiums paid $25,410,803) | 43,838,865 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS–13.2% |
| |||||||||||
Investment Companies–13.2% |
| |||||||||||
AB Fixed Income Shares, Inc.—Government Money Market Portfolio—Class AB, 2.58%(c)(d)(e) | 177,759,322 | 177,759,322 | ||||||||||
|
| |||||||||||
Total Investments—102.5% (cost $1,229,913,421) |
| 1,383,864,980 | ||||||||||
Other assets less liabilities—(2.5)% |
| (33,475,121 | ) | |||||||||
|
| |||||||||||
Net Assets—100.0% | $ | 1,350,389,859 | ||||||||||
|
|
FUTURES (see Note 3) |
| |||||||||||||
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased Contracts |
| |||||||||||||
10 Yr Australian Bond Futures | 464 | December 2022 | $ | 34,759,892 | $ | (638,742 | ) | |||||||
10 Yr Japan Bond (OSE) Futures | 68 | December 2022 | 69,677,330 | (251,663 | ) | |||||||||
Euro Buxl 30 Yr Bond Futures | 49 | December 2022 | 7,042,013 | (575,082 | ) | |||||||||
Euro-BOBL Futures | 183 | December 2022 | 21,477,063 | (654,800 | ) | |||||||||
Euro-Bund Futures | 155 | December 2022 | 21,037,706 | (907,283 | ) | |||||||||
Hang Seng Index Futures | 162 | October 2022 | 17,758,881 | (602,005 | ) | |||||||||
Nikkei 225 (OSE) Futures | 68 | December 2022 | 12,187,660 | (588,673 | ) | |||||||||
OMXS 30 Index Futures | 1,628 | October 2022 | 26,845,684 | (1,582,625 | ) | |||||||||
U.S. T-Note 2 Yr (CBT) Futures | 710 | December 2022 | 145,827,344 | (2,355,140 | ) | |||||||||
U.S. T-Note 10 Yr (CBT) Futures | 1,830 | December 2022 | 205,074,375 | (10,603,545 | ) | |||||||||
U.S. Ultra Bond (CBT) Futures | 502 | December 2022 | 68,774,000 | (6,615,723 | ) | |||||||||
Sold Contracts |
| |||||||||||||
10 Yr Canadian Bond Futures | 58 | December 2022 | 5,189,286 | 3,969 | ||||||||||
E-Mini Russell 2000 Futures | 410 | December 2022 | 34,230,900 | 3,058,895 | ||||||||||
Euro STOXX 50 Index Futures | 428 | December 2022 | 13,905,147 | (66,374 | ) | |||||||||
FTSE 100 Index Futures | 363 | December 2022 | 28,024,996 | 1,576,247 |
22 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Long Gilt Futures | 61 | December 2022 | $ | 6,565,760 | $ | 587,304 | ||||||||
MSCI Emerging Markets Futures | 2,178 | December 2022 | 94,906,350 | 9,466,671 | ||||||||||
MSCI Singapore IX ETS Futures | 589 | October 2022 | 11,509,337 | 58,955 | ||||||||||
S&P 400 E-Mini Futures | 103 | December 2022 | 22,744,460 | 2,158,287 | ||||||||||
S&P 500 E-Mini Futures | 1,010 | December 2022 | 181,875,750 | 15,598,807 | ||||||||||
S&P/TSX 60 Index Futures | 410 | December 2022 | 66,248,235 | 3,083,488 | ||||||||||
SPI 200 Futures | 578 | December 2022 | 59,764,865 | 3,442,843 | ||||||||||
TOPIX Index Futures | 151 | December 2022 | 19,155,393 | (4,718 | ) | |||||||||
|
| |||||||||||||
$ | 13,589,093 | |||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3) |
| |||||||||||||||||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Bank of America, NA | USD | 23,401 | NZD | 38,950 | 11/18/2022 | $ | (1,598,811 | ) | ||||||||||||||
Bank of America, NA | CHF | 53,328 | USD | 54,727 | 12/07/2022 | 347,600 | ||||||||||||||||
Bank of America, NA | CHF | 9,974 | USD | 10,124 | 12/07/2022 | (46,743 | ) | |||||||||||||||
BNP Paribas SA | AUD | 88,064 | USD | 60,749 | 10/20/2022 | 4,410,261 | ||||||||||||||||
BNP Paribas SA | CAD | 16,658 | USD | 12,778 | 10/27/2022 | 719,167 | ||||||||||||||||
BNP Paribas SA | USD | 9,453 | CAD | 12,988 | 10/27/2022 | (51,143 | ) | |||||||||||||||
BNP Paribas SA | USD | 27,414 | NZD | 44,294 | 11/18/2022 | (2,619,966 | ) | |||||||||||||||
BNP Paribas SA | USD | 2,087 | CHF | 1,996 | 12/07/2022 | (52,096 | ) | |||||||||||||||
Citibank, NA | USD | 39,830 | CAD | 52,470 | 10/27/2022 | (1,847,880 | ) | |||||||||||||||
Citibank, NA | GBP | 38,826 | USD | 44,820 | 11/17/2022 | 1,437,568 | ||||||||||||||||
Citibank, NA | USD | 11,786 | GBP | 11,004 | 11/17/2022 | 508,861 | ||||||||||||||||
Citibank, NA | SEK | 286,749 | USD | 26,106 | 12/01/2022 | 191,121 | ||||||||||||||||
Credit Suisse International | USD | 6,478 | CAD | 8,474 | 10/27/2022 | (343,912 | ) | |||||||||||||||
Deutsche Bank AG | CAD | 37,658 | USD | 29,458 | 10/27/2022 | 2,197,339 | ||||||||||||||||
Goldman Sachs Bank USA | USD | 2,460 | CAD | 3,162 | 10/27/2022 | (170,659 | ) | |||||||||||||||
Goldman Sachs Bank USA | USD | 2,858 | SEK | 32,425 | 12/01/2022 | 72,210 | ||||||||||||||||
HSBC Bank USA | USD | 45,452 | CAD | 58,401 | 10/27/2022 | (3,176,616 | ) | |||||||||||||||
HSBC Bank USA | USD | 24,306 | JPY | 3,495,669 | 12/02/2022 | (7,900 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | USD | 22,622 | AUD | 33,498 | 10/20/2022 | (1,191,222 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | CAD | 25,169 | USD | 19,564 | 10/27/2022 | 1,344,455 | ||||||||||||||||
JPMorgan Chase Bank, NA | USD | 12,887 | NOK | 133,197 | 12/01/2022 | (640,768 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | USD | 41,322 | JPY | 5,922,817 | 12/02/2022 | (153,044 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | EUR | 132,051 | USD | 129,150 | 12/08/2022 | (867,787 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | AUD | 4,045 | USD | 2,784 | 10/20/2022 | 196,207 | ||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 81,359 | AUD | 117,069 | 10/20/2022 | (6,463,666 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | CAD | 39,064 | USD | 30,249 | 10/27/2022 | 1,971,158 | ||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 60,276 | CAD | 78,847 | 10/27/2022 | (3,199,857 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | GBP | 45,129 | USD | 52,686 | 11/17/2022 | 2,261,054 | ||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 14,779 | GBP | 12,911 | 11/17/2022 | (352,637 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | NZD | 5,715 | USD | 3,509 | 11/18/2022 | 310,456 | ||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 8,945 | NZD | 15,877 | 11/18/2022 | (58,066 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | USD | 6,097 | JPY | 866,004 | 12/02/2022 | (77,104 | ) |
2022 Annual Report | 23 |
Table of Contents
Schedule of Investments (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Morgan Stanley & Co., Inc. | CHF | 6,687 | USD | 6,838 | 12/07/2022 | $ | 19,070 | |||||||||||||||
UBS AG | GBP | 7,325 | USD | 8,671 | 11/17/2022 | 486,785 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (6,446,565 | ) | ||||||||||||||||||||
|
|
TOTAL RETURN SWAPS (see Note 3) |
| |||||||||||||||||||||
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 205 | 12/16/2022 | $ | (9,722 | ) | ||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 4,001 | 12/16/2022 | (300,525 | ) | |||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 6,566 | 12/16/2022 | (351,121 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (661,368 | ) | ||||||||||||||||||||
|
|
(a) | Non-income producing security. |
(b) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(c) | Affiliated investments. |
(d) | 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. |
(e) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD—Australian Dollar
CAD—Canadian Dollar
CHF—Swiss Franc
EUR—Euro
GBP—Great British Pound
JPY—Japanese Yen
NOK—Norwegian Krone
NZD—New Zealand Dollar
SEK—Swedish Krona
USD—United States Dollar
Glossary:
ADR—American Depositary Receipt
BOBL—Bundesobligationen
CBT—Chicago Board of Trade
ETS—Emission Trading Scheme
FTSE—Financial Times Stock Exchange
MSCI—Morgan Stanley Capital International
OMXS—Stockholm Stock Exchange
OSE—Osaka Securities Exchange
REIT—Real Estate Investment Trust
SPI—Share Price Index
TOPIX—Tokyo Price Index
TSX—Toronto Stock Exchange
See notes to financial statements.
24 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Schedule of Investments
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Tax-Aware Overlay A Portfolio
September 30, 2022
Company | Shares | U.S. $ Value | ||||||||||
COMMON STOCKS–50.4% |
| |||||||||||
Information Technology–12.8% |
| |||||||||||
Communications Equipment–0.0% |
| |||||||||||
Ciena Corp.(a) | 11,500 | $ | 464,945 | |||||||||
Lumentum Holdings, Inc.(a) | 13,890 | 952,437 | ||||||||||
|
| |||||||||||
1,417,382 | ||||||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components–0.4% |
| |||||||||||
Avnet, Inc. | 22,600 | 816,312 | ||||||||||
Belden, Inc. | 12,814 | 769,096 | ||||||||||
CDW Corp./DE | 50,750 | 7,921,060 | ||||||||||
Littelfuse, Inc. | 3,171 | 630,046 | ||||||||||
Novanta, Inc.(a) | 7,790 | 900,914 | ||||||||||
|
| |||||||||||
11,037,428 | ||||||||||||
|
| |||||||||||
IT Services–2.1% |
| |||||||||||
DigitalOcean Holdings, Inc.(a) | 16,368 | 592,031 | ||||||||||
Flywire Corp.(a) | 31,405 | 721,059 | ||||||||||
Genpact Ltd. | 118,346 | 5,180,004 | ||||||||||
MongoDB, Inc.(a) | 2,920 | 579,795 | ||||||||||
PayPal Holdings, Inc.(a) | 143,588 | 12,358,619 | ||||||||||
Shift4 Payments, Inc.–Class A(a) | 17,224 | 768,363 | ||||||||||
Visa, Inc.–Class A | 232,017 | 41,217,820 | ||||||||||
|
| |||||||||||
61,417,691 | ||||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment–2.1% |
| |||||||||||
Analog Devices, Inc. | 47,759 | 6,654,739 | ||||||||||
Entegris, Inc. | 11,034 | 916,043 | ||||||||||
KLA Corp. | 23,848 | 7,217,120 | ||||||||||
Kulicke & Soffa Industries, Inc. | 10,782 | 415,430 | ||||||||||
Lattice Semiconductor Corp.(a) | 19,146 | 942,175 | ||||||||||
MACOM Technology Solutions Holdings, Inc.(a) | 17,040 | 882,502 | ||||||||||
Monolithic Power Systems, Inc. | 1,480 | 537,832 | ||||||||||
NVIDIA Corp. | 115,940 | 14,073,956 | ||||||||||
NXP Semiconductors NV | 81,906 | 12,081,954 | ||||||||||
ON Semiconductor Corp.(a) | 18,853 | 1,175,107 | ||||||||||
QUALCOMM, Inc. | 125,306 | 14,157,072 | ||||||||||
Synaptics, Inc.(a) | 1,974 | 195,446 | ||||||||||
|
| |||||||||||
59,249,376 | ||||||||||||
|
| |||||||||||
Software–5.7% |
| |||||||||||
ACI Worldwide, Inc.(a) | 43,130 | 901,417 | ||||||||||
Adobe, Inc.(a) | 40,152 | 11,049,830 | ||||||||||
Autodesk, Inc.(a) | 50,005 | 9,340,934 | ||||||||||
CommVault Systems, Inc.(a) | 15,372 | 815,331 | ||||||||||
Five9, Inc.(a) | 11,930 | 894,511 | ||||||||||
Freshworks, Inc.–Class A(a) | 41,430 | 537,347 | ||||||||||
HubSpot, Inc.(a) | 1,530 | 413,284 | ||||||||||
Manhattan Associates, Inc.(a) | 8,939 | 1,189,155 | ||||||||||
Microsoft Corp.(b) | 404,673 | 94,248,342 | ||||||||||
Monday.com Ltd.(a) | 5,515 | 625,070 |
Company | Shares | U.S. $ Value | ||||||||||
NortonLifeLock, Inc. | 661,664 | $ | 13,325,913 | |||||||||
Oracle Corp. | 343,917 | 21,003,011 | ||||||||||
Samsara, Inc.–Class A(a) | 55,540 | 670,368 | ||||||||||
ServiceNow, Inc.(a) | 17,583 | 6,639,517 | ||||||||||
Smartsheet, Inc.–Class A(a) | 23,270 | 799,557 | ||||||||||
Varonis Systems, Inc.(a) | 16,975 | 450,177 | ||||||||||
|
| |||||||||||
162,903,764 | ||||||||||||
|
| |||||||||||
Technology Hardware, Storage & Peripherals–2.5% |
| |||||||||||
Apple, Inc.(b) | 470,477 | 65,019,922 | ||||||||||
Western Digital Corp.(a) | 209,775 | 6,828,176 | ||||||||||
|
| |||||||||||
71,848,098 | ||||||||||||
|
| |||||||||||
367,873,739 | ||||||||||||
|
| |||||||||||
Health Care–8.4% |
| |||||||||||
Biotechnology–1.3% |
| |||||||||||
ADC Therapeutics SA(a) | 16,438 | 79,231 | ||||||||||
Arcus Biosciences, Inc.(a) | 11,720 | 306,595 | ||||||||||
Arrowhead Pharmaceuticals, Inc.(a) | 10,580 | 349,669 | ||||||||||
Ascendis Pharma A/S (ADR)(a) | 3,483 | 359,655 | ||||||||||
Blueprint Medicines Corp.(a) | 6,479 | 426,901 | ||||||||||
Coherus Biosciences, Inc.(a) | 32,146 | 308,923 | ||||||||||
Erasca, Inc.(a) | 21,284 | 166,015 | ||||||||||
Intellia Therapeutics, Inc.(a) | 6,620 | 370,455 | ||||||||||
Karuna Therapeutics, Inc.(a) | 2,281 | 513,066 | ||||||||||
Legend Biotech Corp. (ADR)(a) | 7,961 | 324,809 | ||||||||||
Regeneron Pharmaceuticals, Inc.(a) | 18,141 | 12,496,791 | ||||||||||
Ultragenyx Pharmaceutical, Inc.(a) | 7,976 | 330,286 | ||||||||||
Vertex Pharmaceuticals, Inc.(a) | 76,708 | 22,210,034 | ||||||||||
Vir Biotechnology, Inc.(a) | 12,136 | 233,982 | ||||||||||
|
| |||||||||||
38,476,412 | ||||||||||||
|
| |||||||||||
Health Care Equipment & Supplies–1.7% |
| |||||||||||
Align Technology, Inc.(a) | 18,514 | 3,834,434 | ||||||||||
AtriCure, Inc.(a) | 23,160 | 905,556 | ||||||||||
Edwards Lifesciences Corp.(a) | 158,589 | 13,104,209 | ||||||||||
Envista Holdings Corp.(a) | 30,880 | 1,013,173 | ||||||||||
Insulet Corp.(a) | 1,937 | 444,348 | ||||||||||
Integra LifeSciences Holdings Corp.(a) | 20,030 | 848,471 | ||||||||||
iRhythm Technologies, Inc.(a) | 6,840 | 856,915 | ||||||||||
Lantheus Holdings, Inc.(a) | 13,920 | 978,993 | ||||||||||
Medtronic PLC | 284,929 | 23,008,017 | ||||||||||
Silk Road Medical, Inc.(a) | 18,866 | 848,970 | ||||||||||
Zimmer Biomet Holdings, Inc. | 28,009 | 2,928,341 | ||||||||||
|
| |||||||||||
48,771,427 | ||||||||||||
|
| |||||||||||
Health Care Providers & Services–3.0% |
| |||||||||||
Acadia Healthcare Co., Inc.(a) | 15,690 | 1,226,644 | ||||||||||
Elevance Health, Inc. | 41,453 | 18,829,611 | ||||||||||
Guardant Health, Inc.(a) | 8,939 | 481,187 | ||||||||||
Inari Medical, Inc.(a) | 11,574 | 840,735 | ||||||||||
Pediatrix Medical Group, Inc.(a) | 52,120 | 860,501 | ||||||||||
R1 RCM, Inc.(a) | 54,130 | 1,003,029 | ||||||||||
UnitedHealth Group, Inc. | 123,201 | 62,221,433 | ||||||||||
|
| |||||||||||
85,463,140 | ||||||||||||
|
|
2022 Annual Report | 25 |
Table of Contents
Schedule of Investments (continued)
Company | Shares | U.S. $ Value | ||||||||||
Health Care Technology–0.1% |
| |||||||||||
Change Healthcare, Inc.(a) | 49,710 | $ | 1,366,528 | |||||||||
|
| |||||||||||
Life Sciences Tools & Services–0.4% |
| |||||||||||
ICON PLC(a) | 3,284 | 603,534 | ||||||||||
IQVIA Holdings, Inc.(a) | 56,981 | 10,321,538 | ||||||||||
Repligen Corp.(a) | 5,023 | 939,854 | ||||||||||
Syneos Health, Inc.(a) | 17,410 | 820,881 | ||||||||||
|
| |||||||||||
12,685,807 | ||||||||||||
|
| |||||||||||
Pharmaceuticals–1.9% |
| |||||||||||
Intra-Cellular Therapies, Inc.(a) | 10,190 | 474,141 | ||||||||||
Johnson & Johnson | 65,366 | 10,678,190 | ||||||||||
Pfizer, Inc. | 35,952 | 1,573,259 | ||||||||||
Roche Holding AG (Sponsored ADR) | 612,844 | 24,893,723 | ||||||||||
Viatris, Inc. | 23,223 | 197,860 | ||||||||||
Zoetis, Inc. | 105,826 | 15,692,938 | ||||||||||
|
| |||||||||||
53,510,111 | ||||||||||||
|
| |||||||||||
240,273,425 | ||||||||||||
|
| |||||||||||
Financials–6.1% |
| |||||||||||
Banks–2.8% |
| |||||||||||
Bank of America Corp. | 899,292 | 27,158,618 | ||||||||||
Comerica, Inc. | 19,010 | 1,351,611 | ||||||||||
First BanCorp./Puerto Rico | 86,360 | 1,181,405 | ||||||||||
First Citizens BancShares, Inc./NC–Class A | 2,030 | 1,618,783 | ||||||||||
First Hawaiian, Inc. | 49,010 | 1,207,116 | ||||||||||
Pinnacle Financial Partners, Inc. | 11,060 | 896,966 | ||||||||||
PNC Financial Services Group, Inc. (The) | 76,507 | 11,431,676 | ||||||||||
Synovus Financial Corp. | 27,978 | 1,049,455 | ||||||||||
Texas Capital Bancshares, Inc.(a) | 18,803 | 1,109,941 | ||||||||||
Webster Financial Corp. | 21,484 | 971,077 | ||||||||||
Wells Fargo & Co. | 709,243 | 28,525,753 | ||||||||||
Wintrust Financial Corp. | 14,150 | 1,153,933 | ||||||||||
Zions Bancorp NA | 25,526 | 1,298,252 | ||||||||||
|
| |||||||||||
78,954,586 | ||||||||||||
|
| |||||||||||
Capital Markets–2.0% |
| |||||||||||
Ares Management Corp.–Class A | 12,976 | 803,863 | ||||||||||
Charles Schwab Corp. (The) | 110,037 | 7,908,359 | ||||||||||
Goldman Sachs Group, Inc. (The) | 80,038 | 23,455,136 | ||||||||||
LPL Financial Holdings, Inc. | 102,751 | 22,449,039 | ||||||||||
Moelis & Co.–Class A | 21,799 | 737,024 | ||||||||||
PJT Partners, Inc.–Class A | 10,240 | 684,237 | ||||||||||
Stifel Financial Corp. | 21,400 | 1,110,874 | ||||||||||
|
| |||||||||||
57,148,532 | ||||||||||||
|
| |||||||||||
Insurance–1.3% |
| |||||||||||
American Financial Group, Inc./OH | 7,933 | 975,204 | ||||||||||
Hanover Insurance Group, Inc. (The) | 7,810 | 1,000,773 | ||||||||||
Kemper Corp. | 16,920 | 698,119 | ||||||||||
Kinsale Capital Group, Inc. | 4,707 | 1,202,262 | ||||||||||
Progressive Corp. (The) | 154,573 | 17,962,928 | ||||||||||
Reinsurance Group of America, Inc. | 3,539 | 445,242 | ||||||||||
Selective Insurance Group, Inc. | 11,560 | 940,984 | ||||||||||
Trupanion, Inc.(a) | 11,030 | 655,513 | ||||||||||
Willis Towers Watson PLC | 67,350 | 13,533,309 | ||||||||||
|
| |||||||||||
37,414,334 | ||||||||||||
|
|
Company | Shares | U.S. $ Value | ||||||||||
Thrifts & Mortgage Finance–0.0% |
| |||||||||||
BankUnited, Inc. | 27,722 | $ | 947,261 | |||||||||
|
| |||||||||||
174,464,713 | ||||||||||||
|
| |||||||||||
Consumer Discretionary–5.5% |
| |||||||||||
Auto Components–0.3% |
| |||||||||||
Dana, Inc. | 46,055 | 526,409 | ||||||||||
Goodyear Tire & Rubber Co. (The)(a) | 620,054 | 6,256,345 | ||||||||||
Magna International, Inc. | 19,870 | 942,235 | ||||||||||
|
| |||||||||||
7,724,989 | ||||||||||||
|
| |||||||||||
Automobiles–0.2% |
| |||||||||||
Stellantis NV | 500,972 | 5,931,508 | ||||||||||
|
| |||||||||||
Distributors–0.0% |
| |||||||||||
Pool Corp. | 3,580 | 1,139,192 | ||||||||||
|
| |||||||||||
Diversified Consumer Services–0.0% |
| |||||||||||
ADT, Inc. | 122,350 | 916,401 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure–0.5% |
| |||||||||||
Booking Holdings, Inc.(a) | 6,004 | 9,865,833 | ||||||||||
Dine Brands Global, Inc. | 13,310 | 845,984 | ||||||||||
Hilton Grand Vacations, Inc.(a) | 19,960 | 656,484 | ||||||||||
Light & Wonder, Inc.(a) | 7,593 | 325,588 | ||||||||||
Papa John’s International, Inc. | 11,241 | 786,982 | ||||||||||
Planet Fitness, Inc.–Class A(a) | 18,439 | 1,063,193 | ||||||||||
Vail Resorts, Inc. | 4,590 | 989,787 | ||||||||||
|
| |||||||||||
14,533,851 | ||||||||||||
|
| |||||||||||
Household Durables–0.1% |
| |||||||||||
KB Home | 25,740 | 667,181 | ||||||||||
NVR, Inc.(a) | 165 | 657,868 | ||||||||||
Taylor Morrison Home Corp.(a) | 23,436 | 546,528 | ||||||||||
TopBuild Corp.(a) | 4,227 | 696,525 | ||||||||||
|
| |||||||||||
2,568,102 | ||||||||||||
|
| |||||||||||
Internet & Direct Marketing Retail–1.8% |
| |||||||||||
Amazon.com, Inc.(a)(b) | 410,375 | 46,372,375 | ||||||||||
Etsy, Inc.(a) | 48,547 | 4,861,011 | ||||||||||
|
| |||||||||||
51,233,386 | ||||||||||||
|
| |||||||||||
Multiline Retail–0.0% |
| |||||||||||
Driven Brands Holdings, Inc.(a) | 15,750 | 440,685 | ||||||||||
|
| |||||||||||
Specialty Retail–2.0% |
| |||||||||||
AutoZone, Inc.(a) | 9,578 | 20,515,406 | ||||||||||
Dynatrace, Inc.(a) | 26,350 | 917,244 | ||||||||||
Five Below, Inc.(a) | 5,622 | 773,981 | ||||||||||
Floor & Decor Holdings, Inc.–Class A(a) | 10,190 | 715,949 | ||||||||||
Home Depot, Inc. (The) | 111,512 | 30,770,621 | ||||||||||
Lithia Motors, Inc. | 3,611 | 774,740 | ||||||||||
National Vision Holdings, Inc.(a) | 27,057 | 883,411 | ||||||||||
Sally Beauty Holdings, Inc.(a) | 59,730 | 752,598 | ||||||||||
Williams-Sonoma, Inc. | 7,107 | 837,560 | ||||||||||
|
| |||||||||||
56,941,510 | ||||||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods–0.6% |
| |||||||||||
Carter’s, Inc. | 12,810 | 839,439 | ||||||||||
Deckers Outdoor Corp.(a) | 4,015 | 1,255,129 | ||||||||||
NIKE, Inc.–Class B | 168,329 | 13,991,507 |
26 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Company | Shares | U.S. $ Value | ||||||||||
Ralph Lauren Corp. | 12,000 | $ | 1,019,160 | |||||||||
Tapestry, Inc. | 30,910 | 878,771 | ||||||||||
|
| |||||||||||
17,984,006 | ||||||||||||
|
| |||||||||||
159,413,630 | ||||||||||||
|
| |||||||||||
Industrials–5.4% |
| |||||||||||
Aerospace & Defense–0.9% |
| |||||||||||
Axon Enterprise, Inc.(a) | 10,253 | 1,186,785 | ||||||||||
Curtiss-Wright Corp. | 6,360 | 885,058 | ||||||||||
Hexcel Corp. | 12,930 | 668,740 | ||||||||||
Howmet Aerospace, Inc. | 28,950 | 895,423 | ||||||||||
L3Harris Technologies, Inc. | 7,139 | 1,483,698 | ||||||||||
Raytheon Technologies Corp. | 232,490 | 19,031,631 | ||||||||||
Spirit AeroSystems Holdings, Inc.–Class A | 32,290 | 707,797 | ||||||||||
|
| |||||||||||
24,859,132 | ||||||||||||
|
| |||||||||||
Airlines–0.0% |
| |||||||||||
Alaska Air Group, Inc.(a) | 18,510 | 724,667 | ||||||||||
|
| |||||||||||
Building Products–0.4% |
| |||||||||||
Armstrong World Industries, Inc. | 9,040 | 716,239 | ||||||||||
Carlisle Cos., Inc. | 4,770 | 1,337,556 | ||||||||||
Masonite International Corp.(a) | 11,256 | 802,440 | ||||||||||
Otis Worldwide Corp. | 151,760 | 9,682,288 | ||||||||||
|
| |||||||||||
12,538,523 | ||||||||||||
|
| |||||||||||
Commercial Services & Supplies–0.0% |
| |||||||||||
MillerKnoll, Inc. | 6,945 | 108,342 | ||||||||||
Tetra Tech, Inc. | 7,860 | 1,010,246 | ||||||||||
|
| |||||||||||
1,118,588 | ||||||||||||
|
| |||||||||||
Construction & Engineering–0.8% |
| |||||||||||
AECOM | 270,440 | 18,489,983 | ||||||||||
Arcosa, Inc. | 20,770 | 1,187,628 | ||||||||||
Dycom Industries, Inc.(a) | 7,960 | 760,419 | ||||||||||
Fluor Corp.(a) | 13,944 | 347,066 | ||||||||||
WillScot Mobile Mini Holdings Corp.(a) | 19,100 | 770,303 | ||||||||||
|
| |||||||||||
21,555,399 | ||||||||||||
|
| |||||||||||
Electrical Equipment–1.2% |
| |||||||||||
AMETEK, Inc. | 7,249 | 822,109 | ||||||||||
Eaton Corp. PLC | 116,795 | 15,575,781 | ||||||||||
Regal Rexnord Corp. | 109,866 | 15,420,792 | ||||||||||
Sensata Technologies Holding PLC | 20,220 | 753,801 | ||||||||||
Vertiv Holdings Co. | 116,840 | 1,135,685 | ||||||||||
|
| |||||||||||
33,708,168 | ||||||||||||
|
| |||||||||||
Industrial Conglomerates–0.1% |
| |||||||||||
Honeywell International, Inc. | 14,903 | 2,488,354 | ||||||||||
|
| |||||||||||
Machinery–0.2% |
| |||||||||||
IDEX Corp. | 4,250 | 849,362 | ||||||||||
Ingersoll Rand, Inc. | 18,833 | 814,716 | ||||||||||
ITT, Inc. | 12,250 | 800,415 | ||||||||||
Middleby Corp. (The)(a) | 6,660 | 853,612 | ||||||||||
Oshkosh Corp. | 9,640 | 677,596 | ||||||||||
Timken Co. (The) | 14,890 | 879,106 | ||||||||||
|
| |||||||||||
4,874,807 | ||||||||||||
|
|
Company | Shares | U.S. $ Value | ||||||||||
Marine–0.1% |
| |||||||||||
Kirby Corp.(a) | 15,140 | $ | 920,058 | |||||||||
Star Bulk Carriers Corp. | 40,430 | 706,716 | ||||||||||
|
| |||||||||||
1,626,774 | ||||||||||||
|
| |||||||||||
Professional Services–0.5% |
| |||||||||||
Booz Allen Hamilton Holding Corp. | 110,045 | 10,162,656 | ||||||||||
FTI Consulting, Inc.(a) | 1,520 | 251,879 | ||||||||||
Korn Ferry | 9,410 | 441,799 | ||||||||||
Robert Half International, Inc. | 48,716 | 3,726,774 | ||||||||||
|
| |||||||||||
14,583,108 | ||||||||||||
|
| |||||||||||
Road & Rail–1.1% |
| |||||||||||
CSX Corp. | 642,991 | 17,129,280 | ||||||||||
Knight-Swift Transportation Holdings, Inc. | 282,604 | 13,827,814 | ||||||||||
TFI International, Inc. | 9,350 | 845,988 | ||||||||||
XPO Logistics, Inc.(a) | 25,860 | 1,151,287 | ||||||||||
|
| |||||||||||
32,954,369 | ||||||||||||
|
| |||||||||||
Trading Companies & Distributors–0.1% |
| |||||||||||
Herc Holdings, Inc. | 9,260 | 961,929 | ||||||||||
SiteOne Landscape Supply, Inc.(a) | 7,784 | 810,626 | ||||||||||
United Rentals, Inc.(a) | 6,952 | 1,877,874 | ||||||||||
|
| |||||||||||
3,650,429 | ||||||||||||
|
| |||||||||||
154,682,318 | ||||||||||||
|
| |||||||||||
Communication Services–4.9% |
| |||||||||||
Diversified Telecommunication Services–0.6% |
| |||||||||||
Comcast Corp.–Class A | 575,908 | 16,891,382 | ||||||||||
|
| |||||||||||
Entertainment–0.5% |
| |||||||||||
Walt Disney Co. (The)(a) | 150,733 | 14,218,644 | ||||||||||
|
| |||||||||||
Interactive Media & Services–3.1% |
| |||||||||||
Alphabet, Inc.–Class C(a) | 712,760 | 68,531,874 | ||||||||||
Meta Platforms, Inc.–Class A(a)(b) | 141,383 | 19,182,845 | ||||||||||
|
| |||||||||||
87,714,719 | ||||||||||||
|
| |||||||||||
Media–0.0% |
| |||||||||||
Criteo SA (Sponsored ADR)(a) | 33,592 | 907,992 | ||||||||||
|
| |||||||||||
Wireless Telecommunication Services–0.7% |
| |||||||||||
T-Mobile US, Inc.(a) | 155,764 | 20,898,856 | ||||||||||
|
| |||||||||||
140,631,593 | ||||||||||||
|
| |||||||||||
Consumer Staples–2.8% |
| |||||||||||
Beverages–0.9% |
| |||||||||||
Coca-Cola Co. (The) | 290,303 | 16,262,774 | ||||||||||
Constellation Brands, Inc.–Class A | 40,703 | 9,348,665 | ||||||||||
|
| |||||||||||
25,611,439 | ||||||||||||
|
| |||||||||||
Food & Staples Retailing–1.1% |
| |||||||||||
Costco Wholesale Corp. | 20,535 | 9,698,064 | ||||||||||
Grocery Outlet Holding Corp.(a) | 28,450 | 947,101 | ||||||||||
Walmart, Inc. | 175,173 | 22,719,938 | ||||||||||
|
| |||||||||||
33,365,103 | ||||||||||||
|
|
2022 Annual Report | 27 |
Table of Contents
Schedule of Investments (continued)
Company | Shares | U.S. $ Value | ||||||||||
Food Products–0.1% |
| |||||||||||
Hain Celestial Group, Inc. (The)(a) | 41,384 | $ | 698,562 | |||||||||
Nomad Foods Ltd.(a) | 57,651 | 818,644 | ||||||||||
|
| |||||||||||
1,517,206 | ||||||||||||
|
| |||||||||||
Household Products–0.7% |
| |||||||||||
Procter & Gamble Co., (The) | 154,390 | 19,491,738 | ||||||||||
|
| |||||||||||
79,985,486 | ||||||||||||
|
| |||||||||||
Energy–1.8% |
| |||||||||||
Energy Equipment & Services–0.3% |
| |||||||||||
Baker Hughes Co. | 373,291 | 7,824,179 | ||||||||||
Cactus, Inc.–Class A | 17,040 | 654,847 | ||||||||||
Helmerich & Payne, Inc. | 21,040 | 777,849 | ||||||||||
Patterson-UTI Energy, Inc. | 60,200 | 703,136 | ||||||||||
|
| |||||||||||
9,960,011 | ||||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels–1.5% |
| |||||||||||
Cameco Corp. | 34,890 | 924,934 | ||||||||||
Chevron Corp. | 102,193 | 14,682,068 | ||||||||||
ConocoPhillips | 40,009 | 4,094,521 | ||||||||||
EOG Resources, Inc. | 151,386 | 16,914,358 | ||||||||||
HF Sinclair Corp. | 18,541 | 998,248 | ||||||||||
Magnolia Oil & Gas Corp.–Class A | 46,130 | 913,835 | ||||||||||
Matador Resources Co. | 19,920 | 974,486 | ||||||||||
Ovintiv, Inc. | 21,690 | 997,740 | ||||||||||
Targa Resources Corp. | 7,330 | 442,292 | ||||||||||
Valero Energy Corp. | 19,488 | 2,082,293 | ||||||||||
|
| |||||||||||
43,024,775 | ||||||||||||
|
| |||||||||||
52,984,786 | ||||||||||||
|
| |||||||||||
Utilities–1.0% |
| |||||||||||
Electric Utilities–1.0% |
| |||||||||||
American Electric Power Co., Inc. | 212,513 | 18,371,749 | ||||||||||
IDACORP, Inc. | 13,554 | 1,341,982 | ||||||||||
NextEra Energy, Inc. | 116,378 | 9,125,199 | ||||||||||
|
| |||||||||||
28,838,930 | ||||||||||||
|
| |||||||||||
Gas Utilities–0.0% |
| |||||||||||
Southwest Gas Holdings, Inc.(a) | 10,355 | 722,261 | ||||||||||
|
| |||||||||||
29,561,191 | ||||||||||||
|
| |||||||||||
Real Estate–1.0% |
| |||||||||||
Equity Real Estate Investment Trusts (REITs)–1.0% |
| |||||||||||
American Tower Corp. | 31,475 | 6,757,682 | ||||||||||
Broadstone Net Lease, Inc.–Class A | 41,210 | 639,991 | ||||||||||
Camden Property Trust | 9,239 | 1,103,599 | ||||||||||
Cousins Properties, Inc. | 25,999 | 607,077 | ||||||||||
CubeSmart | 27,677 | 1,108,741 | ||||||||||
Mid-America Apartment Communities, Inc. | 54,232 | 8,409,756 | ||||||||||
Physicians Realty Trust | 75,280 | 1,132,211 | ||||||||||
Prologis, Inc. | 79,995 | 8,127,492 | ||||||||||
Safehold, Inc. | 15,596 | 412,670 | ||||||||||
STAG Industrial, Inc. | 20,220 | 574,855 | ||||||||||
|
| |||||||||||
28,874,074 | ||||||||||||
|
|
Company | Shares | U.S. $ Value | ||||||||||
Materials–0.7% |
| |||||||||||
Chemicals–0.6% |
| |||||||||||
FMC Corp. | 8,590 | $ | 907,963 | |||||||||
Huntsman Corp. | 38,080 | 934,483 | ||||||||||
Innospec, Inc. | 6,970 | 597,120 | ||||||||||
Linde PLC | 52,111 | 14,048,604 | ||||||||||
|
| |||||||||||
16,488,170 | ||||||||||||
|
| |||||||||||
Containers & Packaging–0.0% |
| |||||||||||
Berry Global Group, Inc.(a) | 26,760 | 1,245,143 | ||||||||||
|
| |||||||||||
Metals & Mining–0.1% |
| |||||||||||
ATI, Inc.(a) | 37,930 | 1,009,317 | ||||||||||
Reliance Steel & Aluminum Co. | 4,477 | 780,834 | ||||||||||
|
| |||||||||||
1,790,151 | ||||||||||||
|
| |||||||||||
19,523,464 | ||||||||||||
|
| |||||||||||
Consumer Durables & Apparel–0.0% |
| |||||||||||
Homebuilding–0.0% |
| |||||||||||
PulteGroup, Inc. | 28,140 | 1,055,250 | ||||||||||
|
| |||||||||||
Total Common Stocks (cost $951,390,000) | 1,449,323,669 | |||||||||||
|
| |||||||||||
INVESTMENT COMPANIES–37.6% |
| |||||||||||
Funds and Investment Trusts–37.6%(c)(d) |
| |||||||||||
AB All Market Real Return Portfolio–Class Z | 21,708,947 | 186,479,851 | ||||||||||
AB International Small Cap Portfolio–Class Z | 16,944,569 | 151,315,005 | ||||||||||
Bernstein International Strategic Equities Portfolio–Class Z | 63,660,913 | 612,417,983 | ||||||||||
Bernstein Small Cap Core Portfolio–Class Z | 4,598,305 | 52,512,639 | ||||||||||
Sanford C Bernstein Fund, Inc.–Emerging Markets Portfolio–Class Z | 3,522,047 | 76,851,069 | ||||||||||
|
| |||||||||||
Total Investment Companies (cost $1,145,948,379) | 1,079,576,547 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED—PUTS–3.3% |
| |||||||||||
Options on Equity Indices–3.3% |
| |||||||||||
Euro STOXX 50 Index | EUR | 91,308,000 | 4,540,336 | |||||||||
Euro STOXX 50 Index | EUR | 65,380,000 | 3,251,053 |
28 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Notional Amount | U.S. $ Value | |||||||||||
FTSE 100 Index | GBP | 41,100,000 | $ | 1,816,596 | ||||||||
FTSE 100 Index | GBP | 30,600,000 | 1,352,502 | |||||||||
Nikkei 225 Index | JPY | 6,446,000,000 | 2,147,952 | |||||||||
Nikkei 225 Index | JPY | 8,756,000,000 | 2,917,695 | |||||||||
S&P 500 Index | USD | 812,175,000 | 46,808,850 |
Notional Amount | U.S. $ Value | |||||||||||
S&P 500 Index | USD | 555,750,000 | $ | 32,030,065 | ||||||||
|
| |||||||||||
Total Options Purchased—Puts (premiums paid $55,036,279) |
| 94,865,049 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS–10.9% |
| |||||||||||
Investment Companies–10.9% |
| |||||||||||
AB Fixed Income Shares, Inc.— Government Money Market Portfolio—Class AB, 2.58%(c)(d)(e) | 314,374,213 | 314,374,213 | ||||||||||
|
| |||||||||||
Total Investments—102.2% (cost $2,466,748,871) |
| 2,938,139,478 | ||||||||||
Other assets less liabilities—(2.2)% |
| (63,029,054 | ) | |||||||||
|
| |||||||||||
Net Assets—100.0% |
| $ | 2,875,110,424 | |||||||||
|
|
FUTURES (see Note 3) |
| |||||||||||||
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased Contracts |
| |||||||||||||
Euro STOXX 50 Index Futures | 471 | December 2022 | $ | 15,302,159 | $ | (1,424,462 | ) | |||||||
Hang Seng Index Futures | 343 | October 2022 | 37,600,594 | (1,274,615 | ) | |||||||||
Nikkei 225 (OSE) Futures | 147 | December 2022 | 26,346,853 | (1,270,571 | ) | |||||||||
OMXS 30 Index Futures | 3,457 | October 2022 | 57,005,853 | (3,359,150 | ) | |||||||||
S&P 500 E-Mini Futures | 25 | December 2022 | 4,501,875 | (604,582 | ) | |||||||||
U.S. T-Note 2 Yr (CBT) Futures | 1,743 | December 2022 | 357,995,861 | (5,793,125 | ) | |||||||||
U.S. T-Note 10 Yr (CBT) Futures | 4,484 | December 2022 | 502,488,250 | (26,034,225 | ) | |||||||||
U.S. Ultra Bond (CBT) Futures | 1,213 | December 2022 | 166,181,000 | (15,991,153 | ) | |||||||||
Sold Contracts | ||||||||||||||
E-Mini Russell 2000 Futures | 876 | December 2022 | 73,137,240 | 6,487,230 | ||||||||||
Euro STOXX 50 Index Futures | 1,480 | December 2022 | 48,083,218 | (229,518 | ) | |||||||||
FTSE 100 Index Futures | 794 | December 2022 | 61,299,854 | 3,492,767 | ||||||||||
MSCI Emerging Markets Futures | 4,723 | December 2022 | 205,804,725 | 20,547,733 | ||||||||||
MSCI Singapore IX ETS Futures | 1,297 | October 2022 | 25,343,990 | 129,822 | ||||||||||
S&P 500 E-Mini Futures | 2,257 | December 2022 | 406,429,275 | 45,230,572 | ||||||||||
S&P Mid 400 E-Mini Futures | 228 | December 2022 | 50,346,960 | 4,798,177 | ||||||||||
S&P/TSX 60 Index Futures | 886 | December 2022 | 143,160,821 | 6,699,166 | ||||||||||
SPI 200 Futures | 1,249 | December 2022 | 129,145,875 | 7,445,765 | ||||||||||
TOPIX Index Futures | 342 | December 2022 | 43,385,062 | 9,074 | ||||||||||
|
| |||||||||||||
$ | 38,858,905 | |||||||||||||
|
|
2022 Annual Report | 29 |
Table of Contents
Schedule of Investments (continued)
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3) |
| |||||||||||||||||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Bank of America, NA | USD | 49,838 | NZD | 82,952 | 11/18/2022 | $ | (3,404,994 | ) | ||||||||||||||
Bank of America, NA | USD | 27,872 | NOK | 287,850 | 12/01/2022 | (1,406,470 | ) | |||||||||||||||
Bank of America, NA | CHF | 115,450 | USD | 118,479 | 12/07/2022 | 752,522 | ||||||||||||||||
Bank of America, NA | CHF | 21,008 | USD | 21,324 | 12/07/2022 | (98,454 | ) | |||||||||||||||
BNP Paribas SA | AUD | 188,591 | USD | 130,097 | 10/20/2022 | 9,444,992 | ||||||||||||||||
BNP Paribas SA | CAD | 38,367 | USD | 29,430 | 10/27/2022 | 1,656,399 | ||||||||||||||||
BNP Paribas SA | USD | 19,918 | CAD | 27,367 | 10/27/2022 | (107,764 | ) | |||||||||||||||
BNP Paribas SA | USD | 59,283 | NZD | 95,787 | 11/18/2022 | (5,665,732 | ) | |||||||||||||||
BNP Paribas SA | USD | 4,772 | CHF | 4,563 | 12/07/2022 | (119,096 | ) | |||||||||||||||
Citibank, NA | USD | 84,914 | CAD | 111,861 | 10/27/2022 | (3,939,504 | ) | |||||||||||||||
Citibank, NA | GBP | 81,719 | USD | 94,334 | 11/17/2022 | 3,025,720 | ||||||||||||||||
Citibank, NA | USD | 27,005 | GBP | 25,212 | 11/17/2022 | 1,165,885 | ||||||||||||||||
Citibank, NA | SEK | 622,248 | USD | 56,650 | 12/01/2022 | 414,735 | ||||||||||||||||
Credit Suisse International | AUD | 7,018 | USD | 4,511 | 10/20/2022 | 20,795 | ||||||||||||||||
Credit Suisse International | USD | 14,044 | CAD | 18,370 | 10/27/2022 | (745,576 | ) | |||||||||||||||
Deutsche Bank AG | CAD | 80,514 | USD | 62,981 | 10/27/2022 | 4,697,923 | ||||||||||||||||
Goldman Sachs Bank USA | USD | 4,512 | CAD | 5,801 | 10/27/2022 | (313,065 | ) | |||||||||||||||
Goldman Sachs Bank USA | USD | 6,637 | SEK | 75,299 | 12/01/2022 | 167,691 | ||||||||||||||||
HSBC Bank USA | USD | 94,946 | CAD | 121,995 | 10/27/2022 | (6,635,722 | ) | |||||||||||||||
HSBC Bank USA | USD | 49,981 | JPY | 7,188,316 | 12/02/2022 | (16,246 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | USD | 53,220 | AUD | 78,631 | 10/20/2022 | (2,915,242 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | CAD | 51,615 | USD | 40,120 | 10/27/2022 | 2,757,129 | ||||||||||||||||
JPMorgan Chase Bank, NA | USD | 84,440 | JPY | 12,103,088 | 12/02/2022 | (312,741 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | EUR | 289,595 | USD | 283,231 | 12/08/2022 | (1,903,097 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | AUD | 10,508 | USD | 7,232 | 10/20/2022 | 509,702 | ||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 170,192 | AUD | 244,965 | 10/20/2022 | (13,475,195 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | CAD | 86,577 | USD | 67,040 | 10/27/2022 | 4,368,639 | ||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 133,133 | CAD | 174,112 | 10/27/2022 | (7,095,992 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | GBP | 98,301 | USD | 114,762 | 11/17/2022 | 4,925,081 | ||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 30,561 | GBP | 26,699 | 11/17/2022 | (729,228 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | NZD | 12,525 | USD | 7,691 | 11/18/2022 | 680,396 | ||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 18,710 | NZD | 33,209 | 11/18/2022 | (121,453 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | USD | 13,999 | JPY | 1,988,577 | 12/02/2022 | (177,052 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | CHF | 14,306 | USD | 14,629 | 12/07/2022 | 40,797 | ||||||||||||||||
UBS AG | GBP | 14,948 | USD | 17,696 | 11/17/2022 | 993,395 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (13,560,822 | ) | ||||||||||||||||||||
|
|
TOTAL RETURN SWAPS (see Note 3) |
| |||||||||||||||||||||
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ | |||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 410 | 12/16/22 | $ | (19,445 | ) | ||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 7,899 | 12/16/22 | (593,343 | ) | |||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 13,644 | 12/16/22 | (729,673 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (1,342,461 | ) | ||||||||||||||||||||
|
|
30 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
(a) | Non-income producing security. |
(b) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(c) | Affiliated investments. |
(d) | 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. |
(e) | The rate shown represents the 7-day yield as of period end. |
Currency Abbreviations:
AUD—Australian Dollar
CAD—Canadian Dollar
CHF—Swiss Franc
EUR—Euro
GBP—Great British Pound
JPY—Japanese Yen
NOK—Norwegian Krone
NZD—New Zealand Dollar
SEK—Swedish Krona
USD—United States Dollar
Glossary:
ADR—American Depositary Receipt
CBT—Chicago Board of Trade
ETS—Emission Trading Scheme
FTSE—Financial Times Stock Exchange
MSCI—Morgan Stanley Capital International
OMXS—Stockholm Stock Exchange
OSE—Osaka Securities Exchange
REIT—Real Estate Investment Trust
SPI—Share Price Index
TOPIX—Tokyo Price Index
TSX—Toronto Stock Exchange
See notes to financial statements.
2022 Annual Report | 31 |
Table of Contents
Schedule of Investments
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Overlay B Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||||||
GOVERNMENTS—TREASURIES–27.4% |
| |||||||||||
Australia–0.9% |
| |||||||||||
Australia Government Bond | AUD | 9,947 | $ | 6,659,032 | ||||||||
Series 145 | 518 | 290,432 | ||||||||||
Series 148 | 1,590 | 973,992 | ||||||||||
Series 150 | 1,043 | 552,971 | ||||||||||
|
| |||||||||||
8,476,427 | ||||||||||||
|
| |||||||||||
Austria–0.5% |
| |||||||||||
Republic of Austria Government Bond | EUR | 405 | 327,376 | |||||||||
0.90%, 02/20/2032(a) | 5,412 | 4,475,701 | ||||||||||
|
| |||||||||||
4,803,077 | ||||||||||||
|
| |||||||||||
Belgium–0.3% |
| |||||||||||
Kingdom of Belgium Government Bond |
| |||||||||||
Series 84 | 1,242 | 984,465 | ||||||||||
Series 96 | 1,442 | 1,350,307 | ||||||||||
|
| |||||||||||
2,334,772 | ||||||||||||
|
| |||||||||||
Canada–0.4% |
| |||||||||||
Canadian Government Bond | CAD | 2,740 | 1,812,206 | |||||||||
2.00%, 12/01/2051 | 1,763 | 1,006,889 | ||||||||||
2.25%, 12/01/2029 | 808 | 550,623 | ||||||||||
|
| |||||||||||
3,369,718 | ||||||||||||
|
| |||||||||||
China–0.5% |
| |||||||||||
China Government Bond | CNY | 13,960 | 1,974,212 | |||||||||
3.81%, 09/14/2050 | 18,950 | 2,952,162 | ||||||||||
|
| |||||||||||
4,926,374 | ||||||||||||
|
| |||||||||||
Germany–2.2% |
| |||||||||||
Bundesrepublik Deutschland Bundesanleihe | EUR | 11,501 | 9,295,991 | |||||||||
0.00%, 08/15/2050(a) | 1,872 | 1,028,727 | ||||||||||
0.25%, 02/15/2029(a) | 4,642 | 4,085,735 | ||||||||||
3.25%, 07/04/2042(a) | 1,966 | 2,251,807 | ||||||||||
Series 3 | 1,070 | 1,332,105 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Series G | EUR | 1,322 | $ | 1,084,076 | ||||||||
0.00%, 08/15/2050(a) | 838 | 461,741 | ||||||||||
|
| |||||||||||
19,540,182 | ||||||||||||
|
| |||||||||||
Indonesia–0.1% |
| |||||||||||
Indonesia Treasury Bond | IDR | 19,486,000 | 1,209,277 | |||||||||
|
| |||||||||||
Ireland–0.1% |
| |||||||||||
Ireland Government Bond | EUR | 583 | 453,736 | |||||||||
|
| |||||||||||
Italy–0.8% |
| |||||||||||
Italy Buoni Poliennali Del Tesoro | 4,080 | 3,299,048 | ||||||||||
2.80%, 06/15/2029(a) | 3,440 | 3,122,363 | ||||||||||
4.00%, 04/30/2035(a) | 835 | 780,944 | ||||||||||
|
| |||||||||||
7,202,355 | ||||||||||||
|
| |||||||||||
Japan–1.4% |
| |||||||||||
Japan Government Five Year Bond | JPY | 288,900 | 2,001,121 | |||||||||
Japan Government Forty Year Bond | 333,150 | 1,979,426 | ||||||||||
Japan Government Ten Year Bond | 738,250 | 5,144,592 | ||||||||||
Japan Government Thirty Year Bond | 188,950 | 1,033,866 | ||||||||||
Series 68 | 214,900 | 1,231,195 | ||||||||||
Series 74 | 86,000 | 543,595 | ||||||||||
Japan Government Twenty Year Bond | 112,650 | 706,800 | ||||||||||
|
| |||||||||||
12,640,595 | ||||||||||||
|
| |||||||||||
Malaysia–0.1% |
| |||||||||||
Malaysia Government Bond | MYR | 4,736 | 1,024,332 | |||||||||
|
| |||||||||||
South Korea–1.7% |
| |||||||||||
Korea Treasury Bond | KRW | 15,958,420 | 10,850,069 | |||||||||
Series 2703 | 6,846,450 | 4,430,921 | ||||||||||
|
| |||||||||||
15,280,990 | ||||||||||||
|
| |||||||||||
Spain–0.2% |
| |||||||||||
Spain Government Bond | EUR | 2,028 | 1,930,380 | |||||||||
|
|
32 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
United Kingdom–0.4% |
| |||||||||||
United Kingdom Gilt | GBP | 2,173 | $ | 1,310,546 | ||||||||
1.25%, 07/31/2051(a) | 201 | 125,652 | ||||||||||
1.50%, 07/31/2053(a) | 554 | 366,258 | ||||||||||
1.75%, 09/07/2037(a) | 2,663 | 2,180,255 | ||||||||||
|
| |||||||||||
3,982,711 | ||||||||||||
|
| |||||||||||
United States–17.8% |
| |||||||||||
U.S. Treasury Bonds | U.S.$ | 8,875 | 5,491,406 | |||||||||
1.75%, 08/15/2041 | 6,975 | 4,767,113 | ||||||||||
1.875%, 02/15/2051 | 10,463 | 6,924,933 | ||||||||||
2.00%, 11/15/2041 | 3,360 | 2,403,593 | ||||||||||
2.00%, 02/15/2050 | 215 | 147,745 | ||||||||||
2.00%, 08/15/2051 | 6,238 | 4,259,589 | ||||||||||
2.25%, 08/15/2046 | 854 | 615,414 | ||||||||||
2.25%, 08/15/2049 | 590 | 431,806 | ||||||||||
2.25%, 02/15/2052 | 139 | 100,731 | ||||||||||
2.375%, 02/15/2042 | 1,485 | 1,137,343 | ||||||||||
2.375%, 11/15/2049 | 450 | 338,906 | ||||||||||
2.875%, 05/15/2049 | 905 | 754,827 | ||||||||||
2.875%, 05/15/2052 | 1,035 | 867,777 | ||||||||||
3.00%, 11/15/2045 | 169 | 141,062 | ||||||||||
3.00%, 08/15/2052 | 321 | 277,041 | ||||||||||
3.25%, 05/15/2042 | 2,114 | 1,875,692 | ||||||||||
3.375%, 08/15/2042 | 590 | 534,049 | ||||||||||
3.375%, 11/15/2048 | 495 | 451,069 | ||||||||||
3.625%, 08/15/2043 | 1,873 | 1,745,614 | ||||||||||
4.375%, 11/15/2039(b) | 5,290 | 5,579,297 | ||||||||||
U.S. Treasury Notes | 2,525 | 2,271,316 | ||||||||||
0.375%, 04/15/2024(c) | 8,300 | 7,814,969 | ||||||||||
0.375%, 01/31/2026(c) | 5,434 | 4,787,191 | ||||||||||
0.50%, 11/30/2023 | 4,565 | 4,369,561 | ||||||||||
0.625%, 07/31/2026 | 1,865 | 1,632,166 | ||||||||||
0.875%, 09/30/2026 | 6,397 | 5,630,919 | ||||||||||
1.25%, 11/30/2026(c) | 8,434 | 7,507,756 | ||||||||||
1.25%, 08/15/2031 | 5,083 | 4,107,228 | ||||||||||
1.375%, 11/15/2031 | 4,369 | 3,548,366 | ||||||||||
1.50%, 02/15/2030(b) | 3,867 | 3,282,116 | ||||||||||
1.625%, 05/15/2026(c) | 6,600 | 6,033,752 | ||||||||||
1.875%, 08/31/2024 | 2,860 | 2,735,322 | ||||||||||
1.875%, 02/15/2032 | 1,698 | 1,438,259 | ||||||||||
2.125%, 05/31/2026 | 5,545 | 5,156,850 | ||||||||||
2.25%, 02/15/2027(b) | 12,993 | 12,016,495 | ||||||||||
2.50%, 04/30/2024 | 7,142 | 6,943,363 | ||||||||||
2.75%, 07/31/2027 | 7,319 | 6,895,399 | ||||||||||
2.75%, 08/15/2032 | 8,945 | 8,174,892 | ||||||||||
2.875%, 09/30/2023 | 5,987 | 5,909,356 | ||||||||||
2.875%, 05/15/2032 | 3,905 | 3,608,890 | ||||||||||
3.00%, 07/31/2024 | 2,868 | 2,804,912 | ||||||||||
3.125%, 08/31/2027 | 598 | 573,701 | ||||||||||
3.25%, 08/31/2024 | 14,275 | 14,021,120 | ||||||||||
|
| |||||||||||
160,108,906 | ||||||||||||
|
| |||||||||||
Total Governments—Treasuries (cost $283,946,229) |
| 247,283,832 | ||||||||||
|
| |||||||||||
Principal Amount (000) | U.S. $ Value | |||||||||||
INFLATION-LINKED SECURITIES–19.5% |
| |||||||||||
United States–19.5% |
| |||||||||||
U.S. Treasury Inflation Index | U.S.$ | 16,197 | $ | 15,632,206 | ||||||||
0.125%, 10/15/2024 (TIPS) | 5,757 | 5,533,955 | ||||||||||
0.125%, 07/15/2026 (TIPS) | 17,289 | 16,164,829 | ||||||||||
0.125%, 10/15/2026 (TIPS) | 4,857 | 4,524,208 | ||||||||||
0.125%, 01/15/2030 (TIPS) | 8,221 | 7,258,569 | ||||||||||
0.125%, 07/15/2030 (TIPS) | 8,086 | 7,111,572 | ||||||||||
0.125%, 07/15/2031 (TIPS) | 38,932 | 33,864,590 | ||||||||||
0.25%, 01/15/2025 (TIPS) | 14,048 | 13,433,395 | ||||||||||
0.25%, 07/15/2029 (TIPS) | 13,029 | 11,733,959 | ||||||||||
0.375%, 07/15/2023 (TIPS) | 0 | ** | 84 | |||||||||
0.375%, 01/15/2027 (TIPS) | 3,892 | 3,634,034 | ||||||||||
0.375%, 07/15/2027 (TIPS) | 297 | 277,274 | ||||||||||
0.50%, 01/15/2028 (TIPS) | 2,480 | 2,301,284 | ||||||||||
0.625%, 01/15/2024 (TIPS) | 11,216 | 10,946,120 | ||||||||||
0.625%, 07/15/2032 (TIPS) | 3,364 | 3,048,249 | ||||||||||
0.75%, 07/15/2028 (TIPS) | 14,465 | 13,578,736 | ||||||||||
0.875%, 01/15/2029 (TIPS) | 9,308 | 8,745,296 | ||||||||||
1.75%, 01/15/2028 (TIPS) | 6,546 | 6,477,657 | ||||||||||
2.50%, 01/15/2029 (TIPS) | 6,927 | 7,161,199 | ||||||||||
3.875%, 04/15/2029 (TIPS) | 3,415 | 3,818,692 | ||||||||||
|
| |||||||||||
Total Inflation-Linked Securities (cost $196,195,728) |
| 175,245,908 | ||||||||||
|
| |||||||||||
CORPORATES—INVESTMENT GRADE–16.3% |
| |||||||||||
Industrial–8.1% |
| |||||||||||
Basic–0.5% | ||||||||||||
Anglo American Capital PLC | 634 | 543,180 | ||||||||||
Celanese US Holdings LLC | 1,039 | 1,025,088 | ||||||||||
Freeport Indonesia PT | 585 | 529,425 | ||||||||||
Inversiones CMPC SA/Cayman Islands Branch | 467 | 462,429 | ||||||||||
LyondellBasell Industries NV | 277 | 279,144 | ||||||||||
Nexa Resources SA | 405 | 370,334 | ||||||||||
Nucor Corp. | 180 | 172,708 | ||||||||||
Suzano Austria GmbH | 526 | 410,280 | ||||||||||
WRKCo., Inc. | 519 | 479,078 | ||||||||||
|
| |||||||||||
4,271,666 | ||||||||||||
|
| |||||||||||
Capital Goods–0.3% |
| |||||||||||
CNH Industrial Capital LLC | 815 | 786,034 |
2022 Annual Report | 33 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Flowserve Corp. | U.S.$ | 530 | $ | 379,560 | ||||||||
Parker-Hannifin Corp. | 223 | 196,644 | ||||||||||
4.50%, 09/15/2029 | 667 | 631,328 | ||||||||||
Raytheon Technologies Corp. | 671 | 627,855 | ||||||||||
Westinghouse Air Brake Technologies Corp. | 162 | 151,378 | ||||||||||
4.40%, 03/15/2024 | 343 | 336,833 | ||||||||||
|
| |||||||||||
3,109,632 | ||||||||||||
|
| |||||||||||
Communications—Media–1.0% |
| |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 66 | 47,205 | ||||||||||
5.125%, 07/01/2049 | 100 | 73,790 | ||||||||||
5.375%, 05/01/2047 | 140 | 107,806 | ||||||||||
Discovery Communications LLC | 115 | 78,818 | ||||||||||
5.20%, 09/20/2047 | 599 | 443,032 | ||||||||||
5.30%, 05/15/2049 | 262 | 196,112 | ||||||||||
Fox Corp. | 210 | 197,421 | ||||||||||
5.576%, 01/25/2049 | 346 | 296,885 | ||||||||||
Interpublic Group of Cos., Inc. (The) | 725 | 671,770 | ||||||||||
Netflix, Inc. | EUR | 275 | 253,685 | |||||||||
4.625%, 05/15/2029 | 260 | 238,227 | ||||||||||
5.875%, 11/15/2028 | U.S.$ | 898 | 872,218 | |||||||||
Paramount Global | 109 | 88,335 | ||||||||||
Prosus NV | 604 | 505,851 | ||||||||||
3.68%, 01/21/2030(a) | 786 | 595,081 | ||||||||||
Tencent Holdings Ltd. | 930 | 832,524 | ||||||||||
3.24%, 06/03/2050(a) | 525 | 313,458 | ||||||||||
Time Warner Cable LLC | 494 | 342,490 | ||||||||||
Warnermedia Holdings, Inc. | 206 | 184,891 | ||||||||||
4.054%, 03/15/2029(a) | 139 | 120,225 | ||||||||||
4.279%, 03/15/2032(a) | 947 | 779,722 | ||||||||||
Weibo Corp. | 2,373 | 1,749,050 | ||||||||||
|
| |||||||||||
8,988,596 | ||||||||||||
|
| |||||||||||
Communications—Telecommunications–0.2% |
| |||||||||||
AT&T, Inc. | EUR | 400 | 346,640 | |||||||||
British Telecommunications PLC | U.S.$ | 247 | 285,453 |
Principal Amount (000) | U.S. $ Value | |||||||||||
CK Hutchison Group Telecom Finance SA | EUR | 815 | $ | 651,045 | ||||||||
T-Mobile USA, Inc. | U.S.$ | 557 | | 441,250 | ||||||||
2.625%, 02/15/2029 | 76 | 62,738 | ||||||||||
2.875%, 02/15/2031 | 230 | 184,582 | ||||||||||
3.375%, 04/15/2029 | 45 | 38,865 | ||||||||||
Vodafone Group PLC | AUD | 30 | 18,065 | |||||||||
|
| |||||||||||
2,028,638 | ||||||||||||
|
| |||||||||||
Consumer Cyclical—Automotive–0.5% |
| |||||||||||
Aptiv PLC / Aptiv Corp. | U.S.$ | 655 | 519,795 | |||||||||
General Motors Co. | 169 | 169,378 | ||||||||||
6.80%, 10/01/2027 | 100 | 101,076 | ||||||||||
General Motors Financial Co., Inc. | 206 | 200,702 | ||||||||||
Harley-Davidson Financial Services, Inc. | 1,011 | 867,377 | ||||||||||
3.35%, 06/08/2025(a) | 671 | 629,948 | ||||||||||
Lear Corp. | 43 | 35,138 | ||||||||||
Nissan Motor Co., Ltd. | 1,550 | 1,335,449 | ||||||||||
Volkswagen International Finance NV | EUR | 700 | 563,832 | |||||||||
3.50%, 06/17/2025(a)(d) | 300 | 267,554 | ||||||||||
|
| |||||||||||
4,690,249 | ||||||||||||
|
| |||||||||||
Consumer Cyclical—Other–0.3% | ||||||||||||
Las Vegas Sands Corp. | U.S.$ | 313 | 274,792 | |||||||||
3.90%, 08/08/2029 | 1,570 | 1,301,043 | ||||||||||
Marriott International, Inc./MD | 77 | 77,836 | ||||||||||
MDC Holdings, Inc. | 1,027 | 782,482 | ||||||||||
|
| |||||||||||
2,436,153 | ||||||||||||
|
| |||||||||||
Consumer Cyclical—Retailers–0.4% | ||||||||||||
Advance Auto Parts, Inc. | 16 | 12,787 | ||||||||||
3.90%, 04/15/2030 | 1,234 | 1,061,783 | ||||||||||
AutoNation, Inc. | 274 | 242,991 | ||||||||||
3.85%, 03/01/2032 | 22 | 17,488 | ||||||||||
4.50%, 10/01/2025 | 65 | 62,879 | ||||||||||
4.75%, 06/01/2030 | 42 | 36,953 | ||||||||||
Lowe’s Cos., Inc. | 406 | 373,309 | ||||||||||
PVH Corp. | EUR | 385 | 332,294 |
34 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Ross Stores, Inc. | U.S.$ | 1,097 | $ | 1,071,275 | ||||||||
|
| |||||||||||
3,211,759 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical–0.8% | ||||||||||||
Altria Group, Inc. | EUR | 768 | 616,835 | |||||||||
3.40%, 05/06/2030 | U.S.$ | 985 | 799,199 | |||||||||
4.80%, 02/14/2029 | 200 | 184,598 | ||||||||||
Amgen, Inc. | 492 | 420,193 | ||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 431 | 388,564 | ||||||||||
BAT Capital Corp. | 1,614 | 1,285,535 | ||||||||||
4.70%, 04/02/2027 | 245 | 228,820 | ||||||||||
4.906%, 04/02/2030 | 292 | 257,240 | ||||||||||
British American Tobacco PLC | EUR | 528 | 381,595 | |||||||||
Cigna Corp. | U.S.$ | 416 | 392,858 | |||||||||
CVS Health Corp. | 32 | 30,266 | ||||||||||
Imperial Brands Finance Netherlands BV | EUR | 631 | 411,213 | |||||||||
Newell Brands, Inc. | U.S.$ | 552 | 547,424 | |||||||||
Ochsner LSU Health System of North Louisiana | 810 | 619,464 | ||||||||||
Takeda Pharmaceutical Co., Ltd. | 676 | 676,000 | ||||||||||
|
| |||||||||||
7,239,804 | ||||||||||||
|
| |||||||||||
Energy–1.6% | ||||||||||||
BP Capital Markets America, Inc. | 1,736 | 1,102,273 | ||||||||||
BP Capital Markets PLC | EUR | 218 | 189,991 | |||||||||
3.625%, 03/22/2029(a)(d) | 353 | 279,710 | ||||||||||
Chevron USA, Inc. | U.S.$ | 173 | 164,542 | |||||||||
Continental Resources, Inc./OK | 1,225 | 894,949 | ||||||||||
5.75%, 01/15/2031(a) | 905 | 817,912 | ||||||||||
Devon Energy Corp. | 896 | 804,276 | ||||||||||
Enbridge Energy Partners LP | 1,361 | 1,472,520 | ||||||||||
Energy Transfer LP | 407 | 379,328 | ||||||||||
6.25%, 04/15/2049 | 1,155 | 1,031,657 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Eni SpA | U.S.$ | 775 | $ | 704,289 | ||||||||
Series NC9 | EUR | 590 | 436,511 | |||||||||
EQT Corp. | U.S.$ | 388 | 381,024 | |||||||||
Marathon Petroleum Corp. | 269 | 264,779 | ||||||||||
6.50%, 03/01/2041 | 240 | 237,638 | ||||||||||
Oleoducto Central SA | 1,046 | 809,538 | ||||||||||
ONEOK Partners LP | 96 | 85,214 | ||||||||||
ONEOK, Inc. | 263 | 241,623 | ||||||||||
4.35%, 03/15/2029 | 333 | 297,259 | ||||||||||
6.35%, 01/15/2031 | 587 | 575,976 | ||||||||||
Plains All American Pipeline LP/PAA Finance Corp. | 287 | 239,413 | ||||||||||
Suncor Energy, Inc. | 166 | 163,986 | ||||||||||
6.80%, 05/15/2038 | 436 | 441,468 | ||||||||||
6.85%, 06/01/2039 | 281 | 287,182 | ||||||||||
Tengizchevroil Finance Co. International Ltd. | 438 | 311,336 | ||||||||||
TransCanada PipeLines Ltd. | 784 | 757,148 | ||||||||||
6.20%, 10/15/2037 | 711 | 704,588 | ||||||||||
7.625%, 01/15/2039 | 216 | 243,534 | ||||||||||
Valero Energy Corp. | 120 | 120,017 | ||||||||||
|
| |||||||||||
14,439,681 | ||||||||||||
|
| |||||||||||
Other Industrial–0.1% | ||||||||||||
Alfa SAB de CV | 668 | 662,325 | ||||||||||
|
| |||||||||||
Services–0.4% | ||||||||||||
Booking Holdings, Inc. | 1,321 | 1,243,788 | ||||||||||
Expedia Group, Inc. | 159 | 149,301 | ||||||||||
6.25%, 05/01/2025(a) | 33 | 33,202 | ||||||||||
Global Payments, Inc. | 253 | 211,045 | ||||||||||
4.45%, 06/01/2028 | 213 | 195,594 | ||||||||||
5.30%, 08/15/2029 | 281 | 264,539 | ||||||||||
5.40%, 08/15/2032 | 552 | 511,736 | ||||||||||
Moody’s Corp. | 347 | 327,981 | ||||||||||
RELX Capital, Inc. | 123 | 115,360 | ||||||||||
S&P Global, Inc. | 232 | 218,147 | ||||||||||
4.75%, 08/01/2028(a) | 51 | 49,856 | ||||||||||
|
| |||||||||||
3,320,549 | ||||||||||||
|
|
2022 Annual Report | 35 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Technology–1.6% |
| |||||||||||
Apple, Inc. | U.S.$ | 417 | $ | 341,890 | ||||||||
Baidu, Inc. | 401 | 345,846 | ||||||||||
Broadcom, Inc. | 119 | 83,434 | ||||||||||
3.187%, 11/15/2036(a) | 854 | 584,760 | ||||||||||
4.00%, 04/15/2029(a) | 83 | 73,167 | ||||||||||
4.15%, 04/15/2032(a) | 753 | 633,560 | ||||||||||
4.15%, 11/15/2030 | 225 | 194,472 | ||||||||||
4.926%, 05/15/2037(a) | 518 | 428,525 | ||||||||||
Dell International LLC/EMC Corp. | 252 | 253,008 | ||||||||||
8.35%, 07/15/2046 | 93 | 100,702 | ||||||||||
Entegris Escrow Corp. | 1,249 | 1,108,000 | ||||||||||
Fidelity National Information Services, Inc. | EUR | 126 | 101,513 | |||||||||
1.50%, 05/21/2027 | 126 | 110,456 | ||||||||||
Fiserv, Inc. | U.S.$ | 758 | 660,521 | |||||||||
HP, Inc. | 1,631 | 1,446,551 | ||||||||||
Infor, Inc. | 398 | 358,351 | ||||||||||
Intel Corp. | 1,242 | 1,078,155 | ||||||||||
International Business Machines Corp. | 788 | 690,658 | ||||||||||
KLA Corp. | 108 | 102,549 | ||||||||||
Kyndryl Holdings, Inc. | 1,611 | 1,293,937 | ||||||||||
Micron Technology, Inc. | 222 | 207,901 | ||||||||||
5.327%, 02/06/2029 | 107 | 101,549 | ||||||||||
NXP BV/NXP Funding LLC | 445 | 435,544 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. | 261 | 218,530 | ||||||||||
Oracle Corp. | 441 | 347,398 | ||||||||||
3.60%, 04/01/2040 | 771 | 522,838 | ||||||||||
3.65%, 03/25/2041 | 243 | 164,949 | ||||||||||
5.375%, 07/15/2040 | 248 | 206,514 | ||||||||||
SK Hynix, Inc. | 468 | 344,653 | ||||||||||
TSMC Arizona Corp. | 504 | 480,166 | ||||||||||
VeriSign, Inc. | 84 | 65,578 | ||||||||||
Western Digital Corp. | 192 | 149,228 | ||||||||||
3.10%, 02/01/2032 | 970 | 662,278 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Workday, Inc. | U.S.$ | 121 | $ | 108,521 | ||||||||
3.80%, 04/01/2032 | 314 | 273,155 | ||||||||||
|
| |||||||||||
14,278,857 | ||||||||||||
|
| |||||||||||
Transportation—Airlines–0.1% | ||||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. | 488 | 474,509 | ||||||||||
4.75%, 10/20/2028(a) | 563 | 524,592 | ||||||||||
Southwest Airlines Co. | 150 | 120,498 | ||||||||||
|
| |||||||||||
1,119,599 | ||||||||||||
|
| |||||||||||
Transportation—Railroads–0.0% | ||||||||||||
Lima Metro Line 2 Finance Ltd. | 396 | 346,790 | ||||||||||
|
| |||||||||||
Transportation—Services–0.3% | ||||||||||||
Ashtead Capital, Inc. | 476 | 441,157 | ||||||||||
Chicago Parking Meters | 800 | 766,538 | ||||||||||
ENA Master Trust | 1,113 | 818,751 | ||||||||||
FedEx Corp. | EUR | 423 | 319,296 | |||||||||
|
| |||||||||||
2,345,742 | ||||||||||||
|
| |||||||||||
72,490,040 | ||||||||||||
|
| |||||||||||
Financial Institutions–7.6% | ||||||||||||
Banking–5.4% | ||||||||||||
AIB Group PLC | 700 | 573,683 | ||||||||||
Australia & New Zealand Banking Group Ltd. | U.S.$ | 225 | 213,341 | |||||||||
Banco de Credito del Peru S.A. | 1,095 | 960,041 | ||||||||||
Banco Santander SA | 1,600 | 1,447,664 | ||||||||||
Bank of America Corp. | 753 | 563,448 | ||||||||||
2.687%, 04/22/2032 | 914 | 712,225 | ||||||||||
3.419%, 12/20/2028 | 716 | 635,128 | ||||||||||
3.559%, 04/23/2027 | 369 | 340,605 | ||||||||||
4.376%, 04/27/2028 | 1,066 | 999,300 | ||||||||||
Bank of Ireland Group PLC | 497 | 486,549 | ||||||||||
Barclays PLC | 574 | 551,729 | ||||||||||
8.00%, 03/15/2029(d) | 569 | 504,111 | ||||||||||
BNP Paribas SA | 498 | 377,992 | ||||||||||
7.75%, 08/16/2029(a)(d) | 1,626 | 1,506,391 | ||||||||||
CaixaBank SA | EUR | 400 | 343,025 |
36 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
1.50%, 12/03/2026(a) | GBP | 400 | $ | 370,051 | ||||||||
Capital One Financial Corp. | U.S.$ | 1,072 | 899,290 | |||||||||
4.927%, 05/10/2028 | 344 | 327,440 | ||||||||||
Citigroup, Inc. | 92 | 78,321 | ||||||||||
2.014%, 01/25/2026 | 150 | 138,005 | ||||||||||
2.572%, 06/03/2031 | 130 | 102,401 | ||||||||||
2.666%, 01/29/2031 | 129 | 102,994 | ||||||||||
3.98%, 03/20/2030 | 426 | 378,190 | ||||||||||
4.075%, 04/23/2029 | 624 | 565,113 | ||||||||||
4.14%, 05/24/2025 | 508 | 496,636 | ||||||||||
4.658%, 05/24/2028 | 112 | 106,434 | ||||||||||
5.95%, 01/30/2023(d) | 491 | 485,368 | ||||||||||
Series P | 367 | 334,109 | ||||||||||
Series W | 574 | 484,342 | ||||||||||
Series Y | 340 | 271,517 | ||||||||||
Citizens Financial Group, Inc. | 837 | 805,102 | ||||||||||
Commonwealth Bank of Australia | 311 | 248,309 | ||||||||||
Cooperatieve Rabobank UA | EUR | 200 | 149,703 | |||||||||
4.375%, 06/29/2027(a)(d) | 400 | 323,879 | ||||||||||
Credit Suisse Group AG | 228 | 133,564 | ||||||||||
4.194%, 04/01/2031(a) | U.S.$ | 1,262 | 998,759 | |||||||||
6.373%, 07/15/2026(a) | 832 | 804,236 | ||||||||||
Danske Bank A/S | EUR | 640 | 497,094 | |||||||||
3.875%, 09/12/2023(a) | U.S.$ | 542 | 532,623 | |||||||||
4.298%, 04/01/2028(a) | 515 | 459,807 | ||||||||||
Deutsche Bank AG | EUR | 300 | 250,657 | |||||||||
2.625%, 02/12/2026(a) | 400 | 362,634 | ||||||||||
Deutsche Bank AG/New York NY | U.S.$ | 272 | 231,246 | |||||||||
3.961%, 11/26/2025 | 455 | 424,597 | ||||||||||
6.119%, 07/14/2026 | 746 | 724,911 | ||||||||||
Discover Bank | 300 | 288,186 | ||||||||||
Federation Des Caisses Desjard | 810 | 765,151 | ||||||||||
Fifth Third Bancorp | 354 | 328,968 | ||||||||||
Goldman Sachs Group, Inc. (The) | 1,224 | 948,882 | ||||||||||
2.64%, 02/24/2028 | 133 | 115,530 | ||||||||||
3.102%, 02/24/2033 | 92 | 73,086 | ||||||||||
3.615%, 03/15/2028 | 107 | 97,371 | ||||||||||
Series DMTN | 1,046 | 790,138 | ||||||||||
Series V | 676 | 537,183 |
Principal Amount (000) | U.S. $ Value | |||||||||||
HSBC Holdings PLC | U.S.$ | 483 | $ | 452,334 | ||||||||
5.402%, 08/11/2033 | 463 | 409,880 | ||||||||||
ING Groep NV | 201 | 179,519 | ||||||||||
6.75%, 04/16/2024(a)(d) | 281 | 264,182 | ||||||||||
JPMorgan Chase & Co. | EUR | 427 | 378,751 | |||||||||
2.58%, 04/22/2032 | U.S.$ | 1,248 | 965,827 | |||||||||
4.005%, 04/23/2029 | 112 | 101,303 | ||||||||||
4.565%, 06/14/2030 | 779 | 715,208 | ||||||||||
Series I | 447 | 444,990 | ||||||||||
Series V | 38 | 38,000 | ||||||||||
Series X | 360 | 345,708 | ||||||||||
Lloyds Banking Group PLC | 685 | 634,502 | ||||||||||
Mizuho Financial Group, Inc. | 787 | 769,505 | ||||||||||
Morgan Stanley | EUR | 550 | 464,232 | |||||||||
3.772%, 01/24/2029 | U.S.$ | 450 | 405,508 | |||||||||
4.21%, 04/20/2028 | 730 | 682,812 | ||||||||||
4.679%, 07/17/2026 | 696 | 677,591 | ||||||||||
Nationwide Building Society | 1,007 | 866,906 | ||||||||||
Natwest Group PLC | EUR | 750 | 558,959 | |||||||||
PNC Financial Services Group, Inc. (The) | U.S.$ | 56 | 55,838 | |||||||||
Santander Holdings USA, Inc. | 585 | 487,141 | ||||||||||
4.26%, 06/09/2025 | 325 | 312,370 | ||||||||||
4.40%, 07/13/2027 | 358 | 329,507 | ||||||||||
Santander UK Group Holdings PLC | EUR | 151 | 113,477 | |||||||||
2.469%, 01/11/2028 | U.S.$ | 687 | 572,113 | |||||||||
Societe Generale SA | 1,898 | 1,600,526 | ||||||||||
Standard Chartered PLC | 455 | 383,242 | ||||||||||
3.971%, 03/30/2026(a) | 550 | 516,967 | ||||||||||
4.316% (LIBOR 3 Month + | 1,100 | 832,535 | ||||||||||
6.00%, 07/26/2025(a)(d) | 558 | 493,250 | ||||||||||
Svenska Handelsbanken AB | 600 | 488,556 | ||||||||||
Swedbank AB | 1,200 | 1,110,228 |
2022 Annual Report | 37 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Truist Financial Corp. | U.S.$ | 977 | $ | 876,232 | ||||||||
UBS Group AG | 845 | 845,270 | ||||||||||
4.488%, 05/12/2026(a) | 254 | 244,627 | ||||||||||
7.00%, 02/19/2025(a)(d) | 400 | 379,800 | ||||||||||
UniCredit SpA | 202 | 166,711 | ||||||||||
2.569%, 09/22/2026(a) | 860 | 736,530 | ||||||||||
3.127%, 06/03/2032(a) | 996 | 709,420 | ||||||||||
US Bancorp | 423 | 361,179 | ||||||||||
Wells Fargo & Co. | 964 | 783,491 | ||||||||||
3.584%, 05/22/2028 | 168 | 151,959 | ||||||||||
Series BB | 389 | 329,448 | ||||||||||
|
| |||||||||||
48,483,193 | ||||||||||||
|
| |||||||||||
Brokerage–0.3% | ||||||||||||
Charles Schwab Corp. (The) | 3 | 2,478 | ||||||||||
Series G | 460 | 449,310 | ||||||||||
Series I | 1,867 | 1,539,266 | ||||||||||
Nomura Holdings, Inc. | 608 | 460,128 | ||||||||||
|
| |||||||||||
2,451,182 | ||||||||||||
|
| |||||||||||
Finance–0.8% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 333 | 251,182 | ||||||||||
Air Lease Corp. | 459 | 357,781 | ||||||||||
2.875%, 01/15/2026 | 203 | 182,001 | ||||||||||
3.25%, 03/01/2025 | 25 | 23,418 | ||||||||||
3.625%, 04/01/2027 | 96 | 85,048 | ||||||||||
4.625%, 10/01/2028 | 81 | 72,569 | ||||||||||
Aircastle Ltd. | 1,604 | 1,228,584 | ||||||||||
4.125%, 05/01/2024 | 215 | 207,021 | ||||||||||
4.25%, 06/15/2026 | 278 | 249,302 | ||||||||||
5.25%, 08/11/2025(a) | 849 | 799,750 | ||||||||||
Aviation Capital Group LLC | 675 | 566,791 | ||||||||||
1.95%, 09/20/2026(a) | 285 | 230,830 | ||||||||||
3.50%, 11/01/2027(a) | 267 | 221,797 | ||||||||||
4.125%, 08/01/2025(a) | 12 | 10,995 | ||||||||||
4.375%, 01/30/2024(a) | 290 | 280,315 | ||||||||||
4.875%, 10/01/2025(a) | 271 | 253,130 | ||||||||||
5.50%, 12/15/2024(a) | 828 | 801,339 | ||||||||||
CDBL Funding 1 | 850 | 776,152 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Synchrony Financial | U.S.$ | 1,032 | $ | 733,153 | ||||||||
3.95%, 12/01/2027 | 274 | 238,813 | ||||||||||
4.50%, 07/23/2025 | 109 | 103,940 | ||||||||||
4.875%, 06/13/2025 | 130 | 125,566 | ||||||||||
|
| |||||||||||
7,799,477 | ||||||||||||
|
| |||||||||||
Insurance–0.4% | ||||||||||||
Alleghany Corp. | 474 | 423,287 | ||||||||||
Assicurazioni Generali SpA | EUR | 331 | 310,837 | |||||||||
Guardian Life Insurance Co. of America (The) | U.S.$ | 423 | 346,711 | |||||||||
Liberty Mutual Group, Inc. | EUR | 365 | 304,948 | |||||||||
Nationwide Mutual Insurance Co. | U.S.$ | 420 | 538,847 | |||||||||
Swiss Re Finance Luxembourg SA | 800 | 704,288 | ||||||||||
Voya Financial, Inc. | 895 | 879,034 | ||||||||||
|
| |||||||||||
3,507,952 | ||||||||||||
|
| |||||||||||
Other Finance–0.0% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 199 | 185,876 | ||||||||||
|
| |||||||||||
REITs–0.7% | ||||||||||||
American Tower Corp. | EUR | 720 | 571,756 | |||||||||
3.65%, 03/15/2027 | U.S.$ | 413 | 378,527 | |||||||||
4.05%, 03/15/2032 | 208 | 179,075 | ||||||||||
Digital Euro Finco LLC | EUR | 820 | 744,879 | |||||||||
Digital Realty Trust LP | U.S.$ | 474 | 415,191 | |||||||||
Essential Properties LP | 533 | 389,426 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. | 955 | 716,536 | ||||||||||
Host Hotels & Resorts LP | 583 | 554,135 | ||||||||||
Series I | 189 | 150,975 | ||||||||||
Series J | 323 | 237,053 | ||||||||||
Office Properties Income Trust | 633 | 383,674 | ||||||||||
Omega Healthcare Investors, Inc. | 425 | 301,163 | ||||||||||
3.625%, 10/01/2029 | 67 | 54,515 | ||||||||||
SBB Treasury Oyj | EUR | 366 | 223,222 | |||||||||
1.125%, 11/26/2029(a) | 111 | 67,447 |
38 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Vornado Realty LP | U.S.$ | 852 | $ | 651,090 | ||||||||
WPC Eurobond BV | EUR | 277 | 193,279 | |||||||||
1.35%, 04/15/2028 | 138 | 111,223 | ||||||||||
|
| |||||||||||
6,323,166 | ||||||||||||
|
| |||||||||||
68,750,846 | ||||||||||||
|
| |||||||||||
Utility–0.6% |
| |||||||||||
Electric–0.5% | ||||||||||||
Adani Transmission Step-One Ltd. | U.S.$ | 328 | 296,696 | |||||||||
AES Panama Generation Holdings SRL | 731 | 575,664 | ||||||||||
Berkshire Hathaway Energy Co. | 209 | 211,991 | ||||||||||
Chile Electricity Pec SpA | 910 | 642,687 | ||||||||||
Duke Energy Carolinas NC Storm Funding LLC | 542 | 397,790 | ||||||||||
Electricite de France SA | EUR | 400 | 299,872 | |||||||||
Enel Finance International NV | 124 | 89,212 | ||||||||||
2.25%, 07/12/2031(a) | U.S.$ | 730 | 509,934 | |||||||||
Engie Energia Chile SA | 543 | 409,965 | ||||||||||
Entergy Corp. | 686 | 563,261 | ||||||||||
Iberdrola International BV | EUR | 500 | 397,234 | |||||||||
NextEra Energy Capital Holdings, Inc. | U.S.$ | 171 | 141,781 | |||||||||
|
| |||||||||||
4,536,087 | ||||||||||||
|
| |||||||||||
Other Utility–0.1% | ||||||||||||
American Water Capital Corp. | 132 | 117,534 | ||||||||||
Suez SACA | EUR | 600 | 534,972 | |||||||||
|
| |||||||||||
652,506 | ||||||||||||
|
| |||||||||||
5,188,593 | ||||||||||||
|
| |||||||||||
Total Corporates—Investment Grade (cost $177,221,062) |
| 146,429,479 | ||||||||||
|
| |||||||||||
MORTGAGE PASS-THROUGHS–6.8% |
| |||||||||||
Agency Fixed Rate 30-Year–6.6% |
| |||||||||||
Federal Home Loan Mortgage Corp. | U.S.$ | 610 | 555,600 |
Principal Amount (000) | U.S. $ Value | |||||||||||
3.50%, 10/01/2049 | U.S.$ | 179 | $ | 163,296 | ||||||||
3.50%, 11/01/2049 | 236 | 214,668 | ||||||||||
4.00%, 06/01/2049 | 307 | 289,452 | ||||||||||
Series 2020 | 469 | 399,037 | ||||||||||
3.50%, 01/01/2050 | 1,200 | 1,095,169 | ||||||||||
Series 2022 | 2,207 | 1,793,373 | ||||||||||
2.50%, 04/01/2052 | 3,542 | 2,986,045 | ||||||||||
3.00%, 03/01/2052 | 1,421 | 1,242,689 | ||||||||||
Federal Home Loan Mortgage Corp. Gold | 538 | 519,425 | ||||||||||
Series 2017 | 355 | 342,325 | ||||||||||
Series 2018 | 131 | 126,989 | ||||||||||
4.50%, 11/01/2048 | 411 | 398,183 | ||||||||||
5.00%, 11/01/2048 | 153 | 151,122 | ||||||||||
Series 2019 | 331 | 321,697 | ||||||||||
Federal National Mortgage Association | 124 | 127,516 | ||||||||||
Series 2010 | 228 | 220,405 | ||||||||||
Series 2012 | 216 | 202,528 | ||||||||||
3.50%, 11/01/2042 | 2,282 | 2,104,909 | ||||||||||
3.50%, 01/01/2043 | 386 | 355,805 | ||||||||||
Series 2013 | 6 | 5,866 | ||||||||||
3.50%, 04/01/2043 | 1,313 | 1,210,852 | ||||||||||
4.00%, 10/01/2043 | 635 | 601,194 | ||||||||||
Series 2014 | 357 | 366,552 | ||||||||||
Series 2015 | 84 | 74,465 | ||||||||||
3.00%, 08/01/2045 | 635 | 565,154 | ||||||||||
Series 2018 | 1,272 | 1,167,201 | ||||||||||
4.50%, 09/01/2048 | 1,135 | 1,098,535 | ||||||||||
Series 2019 | 479 | 435,593 | ||||||||||
Series 2020 | 2,623 | 2,234,568 | ||||||||||
3.50%, 01/01/2050 | 1,271 | 1,158,558 | ||||||||||
Series 2021 | 2,292 | 1,859,113 | ||||||||||
2.50%, 01/01/2052 | 1,460 | 1,232,043 | ||||||||||
Series 2022 | 1,591 | 1,339,604 | ||||||||||
2.50%, 04/01/2052 | 1,896 | 1,596,839 | ||||||||||
2.50%, 05/01/2052 | 2,148 | 1,808,729 | ||||||||||
3.00%, 02/01/2052 | 3,108 | 2,719,037 | ||||||||||
3.00%, 03/01/2052 | 2,157 | 1,886,217 |
2022 Annual Report | 39 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Government National Mortgage Association | U.S.$ | 70 | $ | 62,701 | ||||||||
3.00%, 05/20/2046 | 186 | 167,368 | ||||||||||
Series 2022 | 309 | 272,671 | ||||||||||
4.00%, 10/01/2052, TBA | 1,107 | 1,032,701 | ||||||||||
4.50%, 10/01/2052, TBA | 1,370 | 1,309,666 | ||||||||||
4.50%, 10/01/2052, TBA | 2,693 | 2,574,356 | ||||||||||
Uniform Mortgage-Backed Security | 5,012 | 4,055,491 | ||||||||||
2.50%, 10/01/2052, TBA | 4,634 | 3,888,578 | ||||||||||
2.50%, 10/01/2052, TBA | 5,697 | 4,780,584 | ||||||||||
3.00%, 10/01/2052, TBA | 1,462 | 1,271,361 | ||||||||||
3.00%, 10/01/2052, TBA | 1,473 | 1,280,589 | ||||||||||
3.00%, 10/01/2052, TBA | 1,056 | 918,336 | ||||||||||
4.00%, 10/01/2052, TBA | 1,113 | 1,031,419 | ||||||||||
4.50%, 10/01/2052, TBA | 1,924 | 1,830,505 | ||||||||||
|
| |||||||||||
59,446,679 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate 15-Year–0.2% | ||||||||||||
Federal National Mortgage Association | 32 | 29,853 | ||||||||||
2.50%, 06/01/2028 | 7 | 5,991 | ||||||||||
Series 2014 | 93 | 85,370 | ||||||||||
Series 2016 | 20 | 18,434 | ||||||||||
2.50%, 12/01/2031 | 1,505 | 1,378,203 | ||||||||||
2.50%, 01/01/2032 | 34 | 31,448 | ||||||||||
Series 2017 | 101 | 92,705 | ||||||||||
|
| |||||||||||
1,642,004 | ||||||||||||
|
| |||||||||||
Total Mortgage Pass-Throughs (cost $66,920,092) |
| 61,088,683 | ||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS–4.0% |
| |||||||||||
Risk Share Floating Rate–3.6% | ||||||||||||
Bellemeade Re Ltd. | 233 | 232,823 | ||||||||||
Series 2019-2A, Class M1C | 298 | 295,869 | ||||||||||
Series 2019-3A, Class M1B | 251 | 250,853 | ||||||||||
Series 2019-3A, Class M1C | 441 | 435,699 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2019-4A, Class M1B | U.S.$ | 18 | $ | 18,346 | ||||||||
Series 2019-4A, Class M1C | 235 | 234,376 | ||||||||||
Series 2019-4A, Class M2 | 330 | 313,100 | ||||||||||
Series 2021-1A, Class M1C | 602 | 582,259 | ||||||||||
Series 2021-2A, Class M1B | 918 | 886,845 | ||||||||||
Series 2021-3A, Class A2 3.281% (SOFR + 1.00%), 09/25/2031(a)(f) | 878 | 825,384 | ||||||||||
Series 2022-1, Class M1B | 335 | 327,100 | ||||||||||
Series 2022-2, Class M1A | 1,387 | 1,386,779 | ||||||||||
Connecticut Avenue Securities Trust | 50 | 49,921 | ||||||||||
Series 2019-R02, Class 1M2 | 38 | 37,886 | ||||||||||
Series 2019-R03, Class 1M2 | 27 | 26,629 | ||||||||||
Series 2019-R06, Class 2M2 | 28 | 28,180 | ||||||||||
Series 2019-R07, Class 1M2 | 122 | 121,698 | ||||||||||
Series 2020-R01, Class 1M2 | 287 | 282,377 | ||||||||||
Series 2020-R02, Class 2M2 | 237 | 232,737 | ||||||||||
Series 2021-R01, Class 1M1 | 20 | 19,790 | ||||||||||
Series 2021-R01, Class 1M2 | 48 | 45,315 | ||||||||||
Series 2021-R03, Class 1M2 | 200 | 182,146 |
40 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2022-R01, Class 1M2 | U.S.$ | 1,987 | $ | 1,809,126 | ||||||||
Series 2022-R02, Class 2M1 | 490 | 479,865 | ||||||||||
Series 2022-R02, Class 2M2 | 602 | 549,615 | ||||||||||
Series 2022-R03, Class 1M2 | 1,602 | 1,521,694 | ||||||||||
Series 2022-R04, Class 1M2 | 130 | 121,287 | ||||||||||
Series 2022-R05, Class 2M2 | 1,234 | 1,138,247 | ||||||||||
Series 2022-R06, Class 1M1 | 559 | 558,798 | ||||||||||
Series 2022-R07, Class 1M1 | 759 | 758,887 | ||||||||||
Eagle Re Ltd. | 208 | 205,990 | ||||||||||
Series 2018-1, Class M2 | 295 | 292,490 | ||||||||||
Series 2020-1, Class M1A | 11 | 10,712 | ||||||||||
Series 2021-2, Class M1B | 216 | 209,909 | ||||||||||
Federal Home Loan Mortgage Corp. | 85 | 83,933 | ||||||||||
Series 2019-DNA4, Class M2 | 97 | 96,339 | ||||||||||
Series 2019-FTR2, Class M2 | 482 | 454,643 | ||||||||||
Series 2020-DNA1, Class M2 | 188 | 185,931 | ||||||||||
Series 2020-DNA5, Class M2 | 699 | 699,150 | ||||||||||
Series 2021-DNA5, Class M2 | 519 | 506,475 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2021-DNA6, Class M2 | U.S.$ | 1,965 | $ | 1,782,917 | ||||||||
Federal Home Loan Mortgage Corp. | 141 | 142,493 | ||||||||||
Series 2015-DNA1, Class M3 | 75 | 75,965 | ||||||||||
Series 2015-HQA2, Class M3 | 93 | 94,310 | ||||||||||
Series 2019-HQA3, Class M2 | 189 | 185,632 | ||||||||||
Series 2021-DNA6, Class M1 | 64 | 62,786 | ||||||||||
Series 2021-DNA7, Class M2 | 2,181 | 1,954,526 | ||||||||||
Series 2021-HQA4, Class M2 | 415 | 352,587 | ||||||||||
Series 2022-DNA1, Class M1B | 731 | 663,190 | ||||||||||
Series 2022-DNA2, Class M1B | 561 | 520,892 | ||||||||||
Series 2022-DNA3, Class M1A | 374 | 370,135 | ||||||||||
Series 2022-DNA3, Class M1B | 239 | 225,961 | ||||||||||
Series 2022-DNA4, Class M1B | 878 | 834,200 | ||||||||||
Series 2022-DNA5, Class M1B | 1,591 | 1,594,166 | ||||||||||
Series 2022-DNA6, Class M1A | 606 | 602,523 | ||||||||||
Series 2022-DNA7, Class M1A | 1,503 | 1,502,997 | ||||||||||
Series 2022-HQA1, Class M1B | 134 | 128,148 |
2022 Annual Report | 41 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | U.S.$ | 214 | $ | 220,994 | ||||||||
Series 2014-C04, Class 2M2 | 37 | 37,604 | ||||||||||
Series 2015-C01, Class 1M2 | 140 | 143,212 | ||||||||||
Series 2015-C02, Class 1M2 | 218 | 221,356 | ||||||||||
Series 2015-C03, Class 1M2 | 242 | 246,478 | ||||||||||
Series 2015-C04, Class 1M2 | 345 | 357,321 | ||||||||||
Series 2015-C04, Class 2M2 | 197 | 201,226 | ||||||||||
Series 2016-C01, Class 2M2 | 61 | 62,830 | ||||||||||
Series 2016-C02, Class 1M2 | 171 | 177,297 | ||||||||||
Series 2017-C04, Class 2M2 | 368 | 370,008 | ||||||||||
Series 2021-R02, Class 2M2 | 630 | 563,607 | ||||||||||
JPMorgan Madison Avenue Securities Trust | 21 | 20,131 | ||||||||||
PMT Credit Risk Transfer Trust | 631 | 605,920 | ||||||||||
Series 2019-3R, Class A | 69 | 66,780 | ||||||||||
Series 2020-1R, Class A | 158 | 149,631 | ||||||||||
Radnor Re Ltd. | 809 | 799,434 | ||||||||||
Series 2019-2, Class M1B | 245 | 244,510 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2020-1, Class M1A | U.S.$ | 210 | $ | 209,339 | ||||||||
Traingle Re Ltd. | 337 | 334,165 | ||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 130 | 119,951 | ||||||||||
Series 2015-WF1, Class 2M2 | 33 | 31,102 | ||||||||||
|
| |||||||||||
32,775,527 | ||||||||||||
|
| |||||||||||
Agency Floating Rate–0.2% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 1,371 | 148,495 | ||||||||||
Series 4719, Class JS | 418 | 43,756 | ||||||||||
Series 4954, Class SL | 1,432 | 143,297 | ||||||||||
Series 4981, Class HS | 3,371 | 331,712 | ||||||||||
Federal National Mortgage Association REMICs | 633 | 73,893 | ||||||||||
Series 2014-17, Class SA | 1,791 | 198,830 | ||||||||||
Series 2014-78, Class SE | 501 | 48,700 | ||||||||||
Series 2016-77, Class DS | 1,121 | 110,961 | ||||||||||
Series 2017-62, Class AS | 533 | 60,177 | ||||||||||
Series 2017-81, Class SA | 537 | 58,918 | ||||||||||
Series 2017-97, Class LS | 1,101 | 121,302 | ||||||||||
Series 2017-97, Class SW | 563 | 59,624 |
42 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Government National Mortgage Association | U.S.$ | 526 | $ | 60,093 | ||||||||
Series 2017-134, Class SE | 383 | 36,355 | ||||||||||
Series 2017-65, Class ST | 669 | 75,451 | ||||||||||
|
| |||||||||||
1,571,564 | ||||||||||||
|
| |||||||||||
Agency Fixed Rate–0.2% | ||||||||||||
Federal Home Loan Mortgage Corp. REMICs | 2,350 | 445,706 | ||||||||||
Federal National Mortgage Association REMICs | 5,099 | 963,977 | ||||||||||
|
| |||||||||||
1,409,683 | ||||||||||||
|
| |||||||||||
Non-Agency Floating Rate–0.0% | ||||||||||||
JPMorgan Chase Bank, NA | 129 | 126,250 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations (cost $37,133,527) |
| 35,883,024 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
INVESTMENT COMPANIES–3.3% |
| |||||||||||
Funds and Investment Trusts–3.3% |
| |||||||||||
AB All Market Real Return Portfolio—Class Z(j)(k) | 3,429,166 | 29,456,532 | ||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
ASSET-BACKED SECURITIES–2.8% |
| |||||||||||
Autos—Fixed Rate–1.5% |
| |||||||||||
ACM Auto Trust | U.S.$ | 764 | 761,099 | |||||||||
Avis Budget Rental Car Funding AESOP LLC | 1,056 | 1,051,386 | ||||||||||
Series 2018-1A, Class A | 1,240 | 1,229,478 | ||||||||||
Series 2018-2A, Class A | 500 | 491,245 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Carvana Auto Receivables Trust | U.S.$ | 502 | $ | 482,441 | ||||||||
Series 2021-N4, Class D | 215 | 197,469 | ||||||||||
Series 2021-P4, Class D | 596 | 489,164 | ||||||||||
CPS Auto Receivables Trust | 740 | 668,934 | ||||||||||
Series 2022-A, Class C | 824 | 763,063 | ||||||||||
FHF Trust | 326 | 309,182 | ||||||||||
Ford Credit Auto Owner Trust | 824 | 710,151 | ||||||||||
Hertz Vehicle Financing III LLC | 380 | 339,621 | ||||||||||
LAD Auto Receivables Trust | 503 | 484,385 | ||||||||||
Series 2022-1A, Class A | 975 | 962,267 | ||||||||||
Research-Driven Pagaya Motor Asset Trust VII | 1,040 | 1,026,259 | ||||||||||
Santander Bank Auto Credit-Linked Notes | 1,012 | 992,564 | ||||||||||
Series 2022-B, Class B | 1,414 | 1,416,133 | ||||||||||
Santander Bank NA—SBCLN | 225 | 217,330 | ||||||||||
United Auto Credit Securitization Trust | 941 | 936,694 | ||||||||||
|
| |||||||||||
13,528,865 | ||||||||||||
|
| |||||||||||
Other ABS—Fixed Rate–1.2% | ||||||||||||
AB Issuer LLC | 1,143 | 937,840 | ||||||||||
Affirm Asset Securitization Trust | 233 | 225,734 | ||||||||||
Series 2021-Z2, Class A | 251 | 241,923 | ||||||||||
Series 2022-X1, Class A | 705 | 687,260 |
2022 Annual Report | 43 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Amur Equipment Finance Receivables XI LLC | U.S.$ | 425 | $ | 422,431 | ||||||||
Atalaya Equipment Leasing Trust | 249 | 232,212 | ||||||||||
BHG Securitization Trust | 86 | 80,628 | ||||||||||
Cajun Global LLC | 241 | 205,107 | ||||||||||
College Ave Student Loans | 311 | 263,682 | ||||||||||
Conn’s Receivables Funding | 272 | 270,297 | ||||||||||
Diamond Issuer | 1,139 | 961,967 | ||||||||||
Domino’s Pizza Master Issuer LLC | 624 | 513,937 | ||||||||||
GCI Funding I LLC | 442 | 376,837 | ||||||||||
Hardee’s Funding LLC | 567 | 519,268 | ||||||||||
Series 2020-1A, Class A2 | 430 | 369,188 | ||||||||||
Marlette Funding Trust | 297 | 293,717 | ||||||||||
MVW LLC | 517 | 460,803 | ||||||||||
Neighborly Issuer | 837 | 673,190 | ||||||||||
Neighborly Issuer LLC | 446 | 368,470 | ||||||||||
Nelnet Student Loan Trust | 140 | 111,354 | ||||||||||
Series 2021-CA, Class B | 859 | 669,605 | ||||||||||
Series 2021-DA, Class B | 457 | 368,350 | ||||||||||
SBA Tower Trust | 774 | 748,493 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Upstart Securitization Trust | U.S.$ | 22 | $ | 21,772 | ||||||||
Series 2021-3, Class B | 750 | 690,745 | ||||||||||
|
| |||||||||||
10,714,810 | ||||||||||||
|
| |||||||||||
Credit Cards—Fixed Rate–0.1% | ||||||||||||
Brex Commercial Charge Card Master Trust | 602 | 590,470 | ||||||||||
Series 2022-1, Class A | 555 | 537,513 | ||||||||||
Mission Lane Credit Card Master Trust | 244 | 235,419 | ||||||||||
|
| |||||||||||
1,363,402 | ||||||||||||
|
| |||||||||||
Total Asset-Backed Securities (cost $27,739,491) | 25,607,077 | |||||||||||
|
| |||||||||||
CORPORATES—NON-INVESTMENT GRADE–2.4% |
| |||||||||||
Industrial–1.6% |
| |||||||||||
Basic–0.1% |
| |||||||||||
INEOS Quattro Finance 2 PLC | EUR | 603 | 485,577 | |||||||||
Rimini Bidco SpA | 410 | 339,241 | ||||||||||
|
| |||||||||||
824,818 | ||||||||||||
|
| |||||||||||
Capital Goods–0.1% | ||||||||||||
Silgan Holdings, Inc. | 122 | 95,698 | ||||||||||
TK Elevator Midco GmbH | 439 | 361,579 | ||||||||||
TransDigm, Inc. | U.S.$ | 468 | 453,881 | |||||||||
|
| |||||||||||
911,158 | ||||||||||||
|
| |||||||||||
Communications—Media–0.4% | ||||||||||||
Altice Financing SA | EUR | 320 | 236,053 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | U.S.$ | 240 | 189,849 | |||||||||
4.50%, 06/01/2033(a) | 846 | 627,495 | ||||||||||
4.75%, 02/01/2032(a) | 655 | 511,136 | ||||||||||
DISH DBS Corp. | 1,260 | 1,039,965 | ||||||||||
5.75%, 12/01/2028(a) | 875 | 659,698 | ||||||||||
Summer BC Holdco B SARL | EUR | 320 | 267,718 | |||||||||
VZ Vendor Financing II BV | 320 | 223,336 | ||||||||||
|
| |||||||||||
3,755,250 | ||||||||||||
|
|
44 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Communications—Telecommunications–0.2% |
| |||||||||||
Altice France SA/France | EUR | 320 | $ | 238,335 | ||||||||
Lorca Telecom Bondco SA | 710 | 605,475 | ||||||||||
Telecom Italia SpA/Milano | 525 | 365,916 | ||||||||||
Telefonica Europe BV | 300 | 278,294 | ||||||||||
|
| |||||||||||
1,488,020 | ||||||||||||
|
| |||||||||||
Consumer Cyclical—Automotive–0.2% |
| |||||||||||
Adient Global Holdings Ltd. | 320 | 289,662 | ||||||||||
Clarios Global LP/Clarios US Finance Co. | 242 | 209,435 | ||||||||||
Ford Motor Co. | U.S.$ | 1,098 | 967,920 | |||||||||
ZF Finance GmbH | EUR | 500 | 378,750 | |||||||||
3.75%, 09/21/2028(a) | 300 | 228,767 | ||||||||||
|
| |||||||||||
2,074,534 | ||||||||||||
|
| |||||||||||
Consumer Cyclical—Entertainment–0.2% |
| |||||||||||
Carnival Corp. | U.S.$ | 1,057 | 853,169 | |||||||||
Carnival PLC | EUR | 490 | 230,282 | |||||||||
Royal Caribbean Cruises Ltd. | U.S.$ | 628 | 610,899 | |||||||||
11.50%, 06/01/2025(a) | 446 | 473,879 | ||||||||||
|
| |||||||||||
2,168,229 | ||||||||||||
|
| |||||||||||
Consumer Cyclical—Other–0.1% | ||||||||||||
Allwyn Entertainment Financing UK PLC | EUR | 199 | 179,812 | |||||||||
NH Hotel Group SA | 320 | 273,006 | ||||||||||
|
| |||||||||||
452,818 | ||||||||||||
|
| |||||||||||
Consumer Cyclical—Restaurants–0.0% |
| |||||||||||
1011778 BC ULC/New Red Finance, Inc. | U.S.$ | 78 | 64,549 | |||||||||
Stonegate Pub Co. Financing 2019 PLC | GBP | 230 | 225,199 | |||||||||
|
| |||||||||||
289,748 | ||||||||||||
|
| |||||||||||
Consumer Non-Cyclical–0.2% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./ | U.S.$ | 236 | 233,900 | |||||||||
3.50%, 03/15/2029(a) | 575 | 464,313 | ||||||||||
Grifols Escrow Issuer SA | EUR | 134 | 97,050 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Grifols SA | EUR | 128 | $ | 111,056 | ||||||||
IQVIA, Inc. | 200 | 150,270 | ||||||||||
Nobel Bidco BV | 320 | 210,436 | ||||||||||
Organon & Co./ | 200 | 156,698 | ||||||||||
|
| |||||||||||
1,423,723 | ||||||||||||
|
| |||||||||||
Services–0.1% | ||||||||||||
APCOA Parking Holdings GmbH | 320 | 248,735 | ||||||||||
Verisure Holding AB | 395 | 314,256 | ||||||||||
|
| |||||||||||
562,991 | ||||||||||||
|
| |||||||||||
Technology–0.0% | ||||||||||||
Cedacri Mergeco SpA | 130 | 118,330 | ||||||||||
Playtech PLC | 200 | 177,595 | ||||||||||
|
| |||||||||||
295,925 | ||||||||||||
|
| |||||||||||
Transportation—Airlines–0.0% | ||||||||||||
Deutsche Lufthansa AG | 200 | 164,449 | ||||||||||
|
| |||||||||||
14,411,663 | ||||||||||||
|
| |||||||||||
Financial Institutions–0.7% |
| |||||||||||
Banking–0.6% |
| |||||||||||
Banco Bilbao Vizcaya Argentaria SA | U.S.$ | 400 | 347,792 | |||||||||
Credit Suisse Group AG | 1,016 | 873,750 | ||||||||||
7.50%, 12/11/2023(a)(d) | 973 | 895,111 | ||||||||||
Discover Financial Services | 1,865 | 1,823,597 | ||||||||||
Intesa Sanpaolo SpA | 400 | 373,364 | ||||||||||
Societe Generale SA | 695 | 663,899 | ||||||||||
8.00%, 09/29/2025(a)(d) | 390 | 370,059 | ||||||||||
|
| |||||||||||
5,347,572 | ||||||||||||
|
| |||||||||||
Finance–0.0% |
| |||||||||||
SLM Corp. | 311 | 278,973 | ||||||||||
|
| |||||||||||
Other Finance–0.0% |
| |||||||||||
Motion Finco Sarl | EUR | 255 | 247,434 | |||||||||
|
|
2022 Annual Report | 45 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
REITs–0.1% |
| |||||||||||
Vivion Investments SARL | EUR | 600 | $ | 533,449 | ||||||||
|
| |||||||||||
6,407,428 | ||||||||||||
|
| |||||||||||
Utility–0.1% |
| |||||||||||
Electric–0.1% |
| |||||||||||
EDP—Energias de Portugal SA | 300 | 229,611 | ||||||||||
Vistra Corp. | U.S.$ | 384 | 335,751 | |||||||||
|
| |||||||||||
565,362 | ||||||||||||
|
| |||||||||||
Total Corporates—Non-Investment Grade (cost $26,820,549) |
| 21,384,453 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES–2.2% |
| |||||||||||
Non-Agency Floating Rate CMBS–1.3% |
| |||||||||||
AREIT Trust | 1,836 | 1,765,417 | ||||||||||
Ashford Hospitality Trust | 600 | 581,113 | ||||||||||
BAMLL Commercial Mortgage Securities Trust | 1,935 | 1,822,619 | ||||||||||
BBCMS Mortgage Trust | 1,089 | 1,072,580 | ||||||||||
BFLD Trust | 1,653 | 1,594,099 | ||||||||||
BHMS | 612 | 590,834 | ||||||||||
BHP Trust | 235 | 223,887 | ||||||||||
BX Commercial Mortgage Trust | 430 | 405,754 | ||||||||||
BX Trust | 65 | 63,741 |
Principal Amount (000) | U.S. $ Value | |||||||||||
CLNY Trust | U.S.$ | 915 | $ | 853,100 | ||||||||
DBWF Mortgage Trust | 766 | 743,926 | ||||||||||
Federal Home Loan Mortgage Corp. | 113 | 108,181 | ||||||||||
GS Mortgage Securities Corp. Trust | 230 | 217,277 | ||||||||||
HFX Funding | 1,230 | 1,129,216 | ||||||||||
Invitation Homes Trust | 820 | 812,569 | ||||||||||
Natixis Commercial Mortgage Securities Trust | 372 | 366,226 | ||||||||||
|
| |||||||||||
12,350,539 | ||||||||||||
|
| |||||||||||
Non-Agency Fixed Rate CMBS–0.9% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust | 500 | 424,332 | ||||||||||
Banc of America Commercial Mortgage Trust | 85 | 79,662 | ||||||||||
Commercial Mortgage Trust | 1,006 | 982,332 | ||||||||||
GS Mortgage Securities Trust | 429 | 426,690 | ||||||||||
Series 2011-GC5, Class D | 114 | 48,671 | ||||||||||
Series 2013-G1, Class A2 | 582 | 577,498 | ||||||||||
Series 2013-GC12, Class B | 465 | 457,058 | ||||||||||
Series 2014-GC18, Class D | 40 | 16,448 | ||||||||||
GSF | 412 | 381,575 |
46 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2021-1, Class A2 | U.S.$ | 1,071 | $ | 1,009,519 | ||||||||
Series 2021-1, Class AS | 39 | 35,974 | ||||||||||
JPMBB Commercial Mortgage Securities Trust | 150 | 139,059 | ||||||||||
Series 2014-C22, Class XA | 13,063 | 148,128 | ||||||||||
Series 2014-C26, Class AS | 770 | 724,267 | ||||||||||
Series 2015-C33, Class AS | 440 | 412,281 | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | 375 | 290,319 | ||||||||||
LB-UBS Commercial Mortgage Trust | 117 | 51,620 | ||||||||||
LSTAR Commercial Mortgage Trust | 387 | 383,976 | ||||||||||
Morgan Stanley Capital I Trust | 68 | 66,783 | ||||||||||
UBS Commercial Mortgage Trust | 364 | 306,235 | ||||||||||
Wells Fargo Commercial Mortgage Trust | 125 | 109,875 | ||||||||||
Series 2016-NXS6, Class C | 750 | 668,347 | ||||||||||
WF-RBS Commercial Mortgage Trust | 143 | 136,233 | ||||||||||
|
| |||||||||||
7,876,882 | ||||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities (cost $21,634,409) | 20,227,421 | |||||||||||
|
| |||||||||||
COLLATERALIZED LOAN OBLIGATIONS–1.9% |
| |||||||||||
CLO—Floating Rate–1.9% | ||||||||||||
AGL CLO 10 Ltd. | 330 | 314,239 | ||||||||||
AGL CLO 12 Ltd. | 350 | 303,794 |
Principal Amount (000) | U.S. $ Value | |||||||||||
AGL CLO 16 Ltd. | U.S.$ | 1,028 | $ | 972,491 | ||||||||
Balboa Bay Loan Funding Ltd. | 700 | 612,061 | ||||||||||
Series 2021-1A, Class A | 816 | 781,604 | ||||||||||
Ballyrock CLO 15 Ltd. | 375 | 323,149 | ||||||||||
Ballyrock CLO 17 Ltd. | 250 | 238,613 | ||||||||||
Dryden 78 CLO Ltd. | 830 | 759,571 | ||||||||||
Series 2020-78A, Class D | 250 | 221,063 | ||||||||||
Elevation CLO Ltd. | 670 | 595,335 | ||||||||||
Elmwood CLO IX Ltd. | 452 | 432,534 | ||||||||||
Series 2021-2A, Class D | 368 | 324,436 | ||||||||||
Flatiron CLO 21 Ltd. | 340 | 324,614 | ||||||||||
Series 2021-1A, Class D | 390 | 347,154 | ||||||||||
Goldentree Loan Management US CLO 7 Ltd. | 883 | 837,839 | ||||||||||
ICG US CLO Ltd. | 387 | 380,866 | ||||||||||
Kings Park CLO Ltd. | 250 | 238,208 |
2022 Annual Report | 47 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Magnetite XXVI Ltd. | U.S.$ | 1,576 | $ | 1,510,288 | ||||||||
Marble Point CLO XI Ltd. | 678 | 653,507 | ||||||||||
Neuberger Berman Loan Advisers CLO 42 Ltd. | 455 | 399,263 | ||||||||||
Neuberger Berman Loan Advisers CLO 43 Ltd. | 965 | 924,539 | ||||||||||
Neuberger Berman Loan Advisers CLO Ltd. | 197 | 188,278 | ||||||||||
OCP CLO Ltd. | 1,156 | 1,117,142 | ||||||||||
Octagon Loan Funding Ltd. | 461 | 446,630 | ||||||||||
OZLM XVIII Ltd. | 745 | 716,745 | ||||||||||
Peace Park CLO Ltd. | 287 | 275,229 | ||||||||||
Pikes Peak CLO 8 | 1,046 | 1,001,222 | ||||||||||
Rad CLO 7 Ltd. | 250 | 229,870 | ||||||||||
Regatta XIX Funding Ltd. | 250 | 237,843 | ||||||||||
Regatta XXIV Funding Ltd. | 250 | 237,430 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Rockford Tower CLO Ltd. | U.S.$ | 600 | $ | 511,704 | ||||||||
Series 2021-2A, Class D | 449 | 385,218 | ||||||||||
Voya CLO Ltd. | 340 | 290,640 | ||||||||||
|
| |||||||||||
Total Collateralized Loan Obligations (cost $18,329,740) | 17,133,119 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED—PUTS–1.2% |
| |||||||||||
Options on Equity Indices–1.2% |
| |||||||||||
Euro STOXX 50 Index | EUR | 10,304,000 | 512,372 | |||||||||
Euro STOXX 50 Index | EUR | 7,280,000 | 362,002 | |||||||||
FTSE 100 Index | GBP | 4,620,000 | 204,201 | |||||||||
FTSE 100 Index | GBP | 3,480,000 | 153,814 | |||||||||
Nikkei 225 Index | JPY | 990,000,000 | 329,890 | |||||||||
Nikkei 225 Index | JPY | 726,000,000 | 241,919 | |||||||||
S&P 500 Index | USD | 91,650,000 | 5,282,151 |
48 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Notional Amount | U.S. $ Value | |||||||||||
S&P 500 Index | USD | 61,750,000 | $ | 3,558,896 | ||||||||
|
| |||||||||||
Total Options Purchased—Puts (premiums paid $6,176,781) | 10,645,245 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
U.S. TREASURY BILLS–0.9% |
| |||||||||||
U.S. Treasury Bill | U.S.$ | 5,423 | 5,391,505 | |||||||||
Zero Coupon, 03/16/2023 | 2,730 | 2,684,207 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Bills (cost $8,071,660) | 8,075,712 | |||||||||||
|
| |||||||||||
COVERED BONDS–0.6% |
| |||||||||||
Bank of Montreal | EUR | 815 | 705,416 | |||||||||
Bank of Nova Scotia (The) | 537 | 462,906 | ||||||||||
Commonwealth Bank of Australia | 850 | 671,940 | ||||||||||
DNB Boligkreditt AS | 336 | 310,678 | ||||||||||
National Australia Bank Ltd. | 850 | 683,412 | ||||||||||
Nationwide Building Society | 1,655 | 1,460,677 | ||||||||||
Royal Bank of Canada | 1,105 | 948,496 | ||||||||||
|
| |||||||||||
Total Covered Bonds (cost $6,424,999) | 5,243,525 | |||||||||||
|
| |||||||||||
EMERGING MARKETS—CORPORATE BONDS–0.6% |
| |||||||||||
Industrial–0.6% |
| |||||||||||
Basic–0.1% |
| |||||||||||
Braskem Idesa SAPI | U.S.$ | 305 | 202,063 | |||||||||
Cia de Minas Buenaventura SAA | 228 | 189,069 | ||||||||||
Vedanta Resources Finance II PLC | 661 | 549,993 | ||||||||||
Volcan Cia Minera SAA | 152 | 124,478 | ||||||||||
|
| |||||||||||
1,065,603 | ||||||||||||
|
| |||||||||||
Capital Goods–0.2% | ||||||||||||
Embraer Netherlands Finance BV | 725 | 660,801 | ||||||||||
6.95%, 01/17/2028(a) | 652 | 611,983 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Odebrecht Holdco Finance Ltd. | U.S.$ | 639 | $ | 1,279 | ||||||||
|
| |||||||||||
1,274,063 | ||||||||||||
|
| |||||||||||
Communications—Media–0.1% | ||||||||||||
Globo Comunicacao e Participacoes SA | 1,127 | 848,068 | ||||||||||
|
| |||||||||||
Consumer Cyclical—Other–0.1% | ||||||||||||
Wynn Macau Ltd. | 587 | 393,290 | ||||||||||
|
| |||||||||||
Consumer Non-Cyclical–0.1% | ||||||||||||
Natura & Co. Luxembourg Holdings SARL | 202 | 164,681 | ||||||||||
Natura Cosmeticos SA | 606 | 471,165 | ||||||||||
|
| |||||||||||
635,846 | ||||||||||||
|
| |||||||||||
Energy–0.0% | ||||||||||||
Greenko Solar Mauritius Ltd. | 200 | 166,250 | ||||||||||
Leviathan Bond Ltd. | 196 | 184,112 | ||||||||||
|
| |||||||||||
350,362 | ||||||||||||
|
| |||||||||||
Services–0.0% | ||||||||||||
MercadoLibre, Inc. | 400 | 339,260 | ||||||||||
|
| |||||||||||
4,906,492 | ||||||||||||
|
| |||||||||||
Utility–0.0% |
| |||||||||||
Electric–0.0% |
| |||||||||||
JSW Hydro Energy Ltd. | 184 | 144,992 | ||||||||||
Terraform Global Operating LP | 133 | 125,255 | ||||||||||
|
| |||||||||||
270,247 | ||||||||||||
|
| |||||||||||
Financial Institutions–0.0% |
| |||||||||||
Other Finance–0.0% |
| |||||||||||
OEC Finance Ltd. | 125 | 2,754 | ||||||||||
7.125%, 12/26/2046(a)(n) | 478 | 12,595 | ||||||||||
|
| |||||||||||
15,349 | ||||||||||||
|
| |||||||||||
Total Emerging Markets—Corporate Bonds (cost $6,919,550) |
| 5,192,088 | ||||||||||
|
| |||||||||||
2022 Annual Report | 49 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
QUASI-SOVEREIGNS–0.6% |
| |||||||||||
Quasi-Sovereign Bonds–0.6% |
| |||||||||||
China–0.3% | ||||||||||||
China Development Bank | CNY | 19,350 | $ | 2,829,311 | ||||||||
|
| |||||||||||
Indonesia–0.1% | ||||||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | U.S.$ | 618 | 589,158 | |||||||||
|
| |||||||||||
Mexico–0.2% | ||||||||||||
Comision Federal de Electricidad | 1,377 | 990,837 | ||||||||||
4.688%, 05/15/2029(a) | 921 | 767,481 | ||||||||||
|
| |||||||||||
1,758,318 | ||||||||||||
|
| |||||||||||
Total Quasi-Sovereigns (cost $5,627,927) | 5,176,787 | |||||||||||
|
| |||||||||||
GOVERNMENTS—SOVEREIGN BONDS–0.3% |
| |||||||||||
Colombia–0.0% |
| |||||||||||
Colombia Government International Bond | 387 | 327,934 | ||||||||||
|
| |||||||||||
France–0.1% | ||||||||||||
Dexia Credit Local SA | EUR | 1,300 | 1,091,122 | |||||||||
0.01%, 01/22/2027(a) | 200 | 173,392 | ||||||||||
|
| |||||||||||
1,264,514 | ||||||||||||
|
| |||||||||||
Germany–0.1% | ||||||||||||
Landwirtschaftliche Rentenbank | 1,199 | 963,272 | ||||||||||
|
| |||||||||||
Indonesia–0.1% | ||||||||||||
Indonesia Government International Bond | 225 | 171,764 | ||||||||||
3.375%, 07/30/2025(a) | 470 | 451,210 | ||||||||||
|
| |||||||||||
622,974 | ||||||||||||
|
| |||||||||||
Total Governments—Sovereign Bonds (cost $3,717,693) |
| 3,178,694 | ||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS—US MUNICIPAL BONDS–0.3% |
| |||||||||||
United States–0.3% |
| |||||||||||
City of New York NY | U.S.$ | 885 | 680,814 | |||||||||
Port Authority of New York & New Jersey | 745 | 726,256 |
Principal Amount (000) | U.S. $ Value | |||||||||||
State Board of Administration Finance Corp. | U.S.$ | 652 | $ | 557,577 | ||||||||
Tobacco Settlement Finance Authority | 304 | 288,951 | ||||||||||
University of California | 1,130 | 753,451 | ||||||||||
|
| |||||||||||
Total Local Governments—US Municipal Bonds (cost $3,705,635) |
| 3,007,049 | ||||||||||
|
| |||||||||||
LOCAL GOVERNMENTS—PROVINCIAL BONDS–0.2% |
| |||||||||||
Canada–0.2% |
| |||||||||||
Province of Ontario Canada | CAD | 1,295 | 875,286 | |||||||||
Province of Quebec Canada | EUR | 988 | 882,644 | |||||||||
3.65%, 05/20/2032 | CAD | 494 | 351,517 | |||||||||
|
| |||||||||||
Total Local Governments—Provincial Bonds (cost $2,408,457) |
| 2,109,447 | ||||||||||
|
| |||||||||||
SUPRANATIONALS–0.2% |
| |||||||||||
European Investment Bank | AUD | 690 | 371,072 | |||||||||
1.80%, 01/19/2027 | 905 | 520,752 | ||||||||||
Inter-American Development Bank | 155 | 90,919 | ||||||||||
International Bank for Reconstruction & Development | EUR | 871 | 759,409 | |||||||||
Series GDIF | 318 | 266,316 | ||||||||||
|
| |||||||||||
Total Supranationals (cost $2,484,942) | 2,008,468 | |||||||||||
|
| |||||||||||
EMERGING MARKETS—SOVEREIGNS–0.2% |
| |||||||||||
Dominican Republic–0.1% |
| |||||||||||
Dominican Republic International Bond 4.875%, 09/23/2032(a) | U.S.$ | 1,307 | 975,185 | |||||||||
|
| |||||||||||
Egypt–0.1% | ||||||||||||
Egypt Government International Bond | 580 | 334,153 | ||||||||||
|
| |||||||||||
Ivory Coast–0.0% | ||||||||||||
Ivory Coast Government International Bond | EUR | 290 | 204,688 | |||||||||
|
| |||||||||||
Total Emerging Markets—Sovereigns (cost $2,179,317) | 1,514,026 | |||||||||||
|
| |||||||||||
50 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
LOCAL GOVERNMENTS—REGIONAL BONDS–0.1% |
| |||||||||||
Japan–0.1% |
| |||||||||||
Japan Finance Organization for Municipalities | EUR | 1,481 | $ | 1,276,525 | ||||||||
|
| |||||||||||
GOVERNMENTS—SOVEREIGN AGENCIES–0.1% |
| |||||||||||
Japan–0.1% | ||||||||||||
Development Bank of Japan, Inc. | 776 | 717,740 | ||||||||||
|
| |||||||||||
Netherlands–0.0% | ||||||||||||
BNG Bank NV | 306 | 263,056 | ||||||||||
|
| |||||||||||
Total Governments—Sovereign Agencies (cost $1,226,666) |
| 980,796 | ||||||||||
|
| |||||||||||
AGENCIES–0.1% | ||||||||||||
Agency Debentures–0.1% | ||||||||||||
Federal Home Loan Banks | U.S.$ | 585 | 570,755 | |||||||||
|
|
Shares | U.S. $ Value | |||||||||||
SHORT-TERM INVESTMENTS–11.7% | ||||||||||||
Investment Companies–11.1% |
| |||||||||||
AB Fixed Income Shares, Inc.—Government Money Market Portfolio—Class AB, 2.58%(j)(k)(o) | 99,713,489 | $ | 99,713,489 | |||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
Governments—Treasuries–0.6% |
| |||||||||||
Japan–0.6% |
| |||||||||||
Japan Treasury Discount Bill | JPY | 766,200 | 5,295,584 | |||||||||
|
| |||||||||||
Total Short-Term Investments (cost $105,034,365) |
| 105,009,073 | ||||||||||
|
| |||||||||||
Total Investments—103.7% (cost $1,043,970,625) |
| 933,727,718 | ||||||||||
Other assets less liabilities—(3.7)% |
| (32,906,545 | ) | |||||||||
|
| |||||||||||
Net Assets—100.0% |
| $ | 900,821,173 | |||||||||
|
|
FUTURES (see Note 3) | ||||||||||||||
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased Contracts |
| |||||||||||||
10 Yr Australian Bond Futures | 98 | December 2022 | $ | 7,341,529 | $ | (134,931 | ) | |||||||
10 Yr Japan Bond (OSE) Futures | 2 | December 2022 | 2,049,333 | (1,218 | ) | |||||||||
Euro STOXX 50 Index Futures | 491 | December 2022 | 15,951,932 | (1,532,940 | ) | |||||||||
Euro-Bund Futures | 13 | December 2022 | 1,764,453 | (64,176 | ) | |||||||||
FTSE 100 Index Futures | 27 | December 2022 | 2,084,504 | (128,234 | ) | |||||||||
Hang Seng Index Futures | 56 | October 2022 | 6,138,872 | (208,100 | ) | |||||||||
MSCI Emerging Markets Futures | 216 | December 2022 | 9,412,200 | (1,208,874 | ) | |||||||||
Nikkei 225 (OSE) Futures | 17 | December 2022 | 3,046,915 | (146,528 | ) | |||||||||
OMXS 30 Index Futures | 523 | October 2022 | 8,624,258 | (514,875 | ) | |||||||||
Russell 2000 E-Mini Futures | 50 | December 2022 | 4,174,500 | (549,810 | ) | |||||||||
S&P 500 E-Mini Futures | 552 | December 2022 | 99,401,400 | (11,776,437 | ) | |||||||||
S&P Mid 400 E-Mini Futures | 13 | December 2022 | 2,870,660 | (386,454 | ) | |||||||||
TOPIX Index Futures | 62 | December 2022 | 7,865,128 | (307,238 | ) | |||||||||
U.S. 10 Yr Ultra Futures | 111 | December 2022 | 13,151,766 | (373,196 | ) | |||||||||
U.S. Long Bond (CBT) Futures | 49 | December 2022 | 6,193,906 | (353,732 | ) | |||||||||
U.S. T-Note 2 Yr (CBT) Futures | 86 | December 2022 | 17,663,594 | (232,712 | ) | |||||||||
U.S. T-Note 5 Yr (CBT) Futures | 401 | December 2022 | 43,110,633 | (1,090,294 | ) | |||||||||
U.S. Ultra Bond (CBT) Futures | 49 | December 2022 | 6,713,000 | (645,539 | ) |
2022 Annual Report | 51 |
Table of Contents
Schedule of Investments (continued)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Sold Contracts |
| |||||||||||||
10 Yr Canadian Bond Futures | 55 | December 2022 | $ | 4,920,875 | $ | 11,868 | ||||||||
10 Yr Japan Bond (OSE) Futures | 24 | December 2022 | 24,591,999 | 66,640 | ||||||||||
Euro-BOBL Futures | 91 | December 2022 | 10,679,851 | 204,694 | ||||||||||
Euro-Bund Futures | 11 | December 2022 | 1,492,998 | (10,301 | ) | |||||||||
Euro-OAT Futures | 16 | December 2022 | 2,071,747 | 101,449 | ||||||||||
Euro-Schatz Futures | 352 | December 2022 | 36,969,528 | 217,091 | ||||||||||
FTSE 100 Index Futures | 6 | December 2022 | 463,223 | 9,056 | ||||||||||
Long Gilt Futures | 275 | December 2022 | 29,599,739 | 528,326 | ||||||||||
MSCI Singapore IX ETS Futures | 100 | October 2022 | 1,954,047 | 10,009 | ||||||||||
S&P/TSX 60 Index Futures | 58 | December 2022 | 9,371,702 | 227,808 | ||||||||||
SPI 200 Futures | 100 | December 2022 | 10,339,942 | 462,932 | ||||||||||
U.S. 10 Yr Ultra Futures | 38 | December 2022 | 4,502,406 | 222,433 | ||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 13 | December 2022 | 2,670,078 | 17,438 | ||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 8 | December 2022 | 896,500 | (8,464 | ) | |||||||||
U.S. Ultra Bond (CBT) Futures | 28 | December 2022 | 3,836,000 | 326,710 | ||||||||||
|
| |||||||||||||
$ | (17,267,599 | ) | ||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3) |
| |||||||||||||||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Bank of America, NA | BRL | 14,363 | USD | 2,746 | 10/04/2022 | $ | 83,270 | |||||||||||||
Bank of America, NA | USD | 2,657 | BRL | 14,363 | 10/04/2022 | 6,033 | ||||||||||||||
Bank of America, NA | BRL | 28,906 | USD | 5,346 | 10/04/2022 | (12,141 | ) | |||||||||||||
Bank of America, NA | USD | 5,403 | BRL | 28,906 | 10/04/2022 | (44,421 | ) | |||||||||||||
Bank of America, NA | BRL | 28,906 | USD | 5,365 | 11/03/2022 | 45,283 | ||||||||||||||
Bank of America, NA | CLP | 2,621,537 | USD | 2,707 | 11/22/2022 | 20,873 | ||||||||||||||
Bank of America, NA | USD | 2,918 | CNH | 20,795 | 10/20/2022 | (5,138 | ) | |||||||||||||
Bank of America, NA | EUR | 42,166 | USD | 40,800 | 12/08/2022 | (716,095 | ) | |||||||||||||
Bank of America, NA | USD | 2,644 | INR | 216,147 | 12/21/2022 | (13,738 | ) | |||||||||||||
Bank of America, NA | JPY | 1,139,251 | USD | 7,970 | 12/02/2022 | 50,871 | ||||||||||||||
Bank of America, NA | MXN | 54,133 | USD | 2,628 | 11/18/2022 | (37,697 | ) | |||||||||||||
Bank of America, NA | USD | 5,842 | NZD | 9,723 | 11/18/2022 | (399,107 | ) | |||||||||||||
Bank of America, NA | USD | 3,657 | NOK | 37,763 | 12/01/2022 | (184,514 | ) | |||||||||||||
Bank of America, NA | USD | 2,868 | ZAR | 47,404 | 10/13/2022 | (250,628 | ) | |||||||||||||
Bank of America, NA | CHF | 6,038 | USD | 6,197 | 12/07/2022 | 39,359 | ||||||||||||||
Bank of America, NA | CHF | 2,039 | USD | 2,070 | 12/07/2022 | (9,556 | ) | |||||||||||||
Barclays Bank PLC | USD | 2,688 | AUD | 4,014 | 10/20/2022 | (120,347 | ) | |||||||||||||
Barclays Bank PLC | USD | 1,824 | CAD | 2,347 | 10/27/2022 | (124,714 | ) | |||||||||||||
Barclays Bank PLC | GBP | 2,466 | USD | 2,872 | 11/17/2022 | 116,790 | ||||||||||||||
Barclays Bank PLC | USD | 643 | GBP | 570 | 11/17/2022 | (6,164 | ) | |||||||||||||
Barclays Bank PLC | IDR | 12,359,207 | USD | 814 | 10/27/2022 | 7,499 | ||||||||||||||
Barclays Bank PLC | MYR | 5,519 | USD | 1,250 | 12/15/2022 | 68,132 | ||||||||||||||
Barclays Bank PLC | USD | 2,645 | NOK | 28,722 | 12/01/2022 | (4,696 | ) |
52 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Barclays Bank PLC | PLN | 7,068 | USD | 1,418 | 11/30/2022 | $ | 4,905 | |||||||||||||
BNP Paribas SA | AUD | 25,885 | USD | 17,920 | 10/20/2022 | 1,359,746 | ||||||||||||||
BNP Paribas SA | BRL | 14,404 | USD | 2,771 | 10/04/2022 | 100,548 | ||||||||||||||
BNP Paribas SA | USD | 2,664 | BRL | 14,404 | 10/04/2022 | 6,050 | ||||||||||||||
BNP Paribas SA | CAD | 7,413 | USD | 5,549 | 10/27/2022 | 182,617 | ||||||||||||||
BNP Paribas SA | USD | 7,878 | CAD | 10,477 | 10/27/2022 | (294,037 | ) | |||||||||||||
BNP Paribas SA | USD | 2,725 | CLP | 2,503,679 | 11/22/2022 | (159,754 | ) | |||||||||||||
BNP Paribas SA | USD | 7,740 | GBP | 6,569 | 11/17/2022 | (400,118 | ) | |||||||||||||
BNP Paribas SA | NZD | 8,962 | USD | 5,293 | 11/18/2022 | 276,313 | ||||||||||||||
BNP Paribas SA | USD | 12,795 | NZD | 20,949 | 11/18/2022 | (1,068,464 | ) | |||||||||||||
BNP Paribas SA | ZAR | 95,178 | USD | 5,465 | 10/13/2022 | 210,452 | ||||||||||||||
BNP Paribas SA | USD | 2,735 | CHF | 2,668 | 12/07/2022 | (14,710 | ) | |||||||||||||
Citibank, NA | AUD | 3,932 | USD | 2,747 | 10/20/2022 | 231,012 | ||||||||||||||
Citibank, NA | CAD | 7,084 | USD | 5,443 | 10/27/2022 | 314,337 | ||||||||||||||
Citibank, NA | USD | 9,890 | CAD | 13,028 | 10/27/2022 | (458,818 | ) | |||||||||||||
Citibank, NA | USD | 2,726 | CLP | 2,550,253 | 11/22/2022 | (113,008 | ) | |||||||||||||
Citibank, NA | USD | 5,927 | EUR | 6,140 | 12/08/2022 | 118,146 | ||||||||||||||
Citibank, NA | GBP | 10,464 | USD | 12,074 | 11/17/2022 | 382,936 | ||||||||||||||
Citibank, NA | USD | 2,541 | GBP | 2,372 | 11/17/2022 | 109,689 | ||||||||||||||
Citibank, NA | USD | 2,804 | GBP | 2,436 | 11/17/2022 | (82,387 | ) | |||||||||||||
Citibank, NA | USD | 5,623 | JPY | 792,296 | 12/02/2022 | (115,497 | ) | |||||||||||||
Citibank, NA | TWD | 252,276 | USD | 8,420 | 10/21/2022 | 494,740 | ||||||||||||||
Citibank, NA | KRW | 14,940,700 | USD | 11,224 | 10/27/2022 | 845,029 | ||||||||||||||
Citibank, NA | USD | 2,691 | KRW | 3,550,215 | 10/27/2022 | (224,894 | ) | |||||||||||||
Citibank, NA | SEK | 52,057 | USD | 4,739 | 12/01/2022 | 34,696 | ||||||||||||||
Credit Suisse International | AUD | 3,795 | USD | 2,620 | 10/20/2022 | 191,796 | ||||||||||||||
Credit Suisse International | USD | 5,303 | AUD | 7,654 | 10/20/2022 | (406,784 | ) | |||||||||||||
Credit Suisse International | USD | 1,613 | CAD | 2,111 | 10/27/2022 | (85,651 | ) | |||||||||||||
Credit Suisse International | USD | 5,431 | ZAR | 95,637 | 10/13/2022 | (151,600 | ) | |||||||||||||
Deutsche Bank AG | CAD | 9,419 | USD | 7,368 | 10/27/2022 | 549,603 | ||||||||||||||
Goldman Sachs Bank USA | CNH | 86,898 | USD | 12,872 | 10/20/2022 | 699,115 | ||||||||||||||
Goldman Sachs Bank USA | USD | 2,727 | NZD | 4,551 | 11/18/2022 | (179,341 | ) | |||||||||||||
Goldman Sachs Bank USA | USD | 862 | SEK | 9,782 | 12/01/2022 | 21,785 | ||||||||||||||
HSBC Bank USA | BRL | 14,407 | USD | 2,665 | 10/04/2022 | (6,051 | ) | |||||||||||||
HSBC Bank USA | USD | 2,827 | BRL | 14,407 | 10/04/2022 | (156,083 | ) | |||||||||||||
HSBC Bank USA | USD | 11,985 | CAD | 15,400 | 10/27/2022 | (837,642 | ) | |||||||||||||
HSBC Bank USA | CLP | 2,477,640 | USD | 2,604 | 11/22/2022 | 65,958 | ||||||||||||||
HSBC Bank USA | USD | 2,565 | CNH | 18,262 | 10/20/2022 | (6,591 | ) | |||||||||||||
HSBC Bank USA | INR | 218,743 | USD | 2,717 | 12/21/2022 | 55,520 | ||||||||||||||
HSBC Bank USA | USD | 2,691 | INR | 221,518 | 12/21/2022 | 4,479 | ||||||||||||||
HSBC Bank USA | IDR | 6,703,573 | USD | 449 | 10/27/2022 | 11,249 | ||||||||||||||
HSBC Bank USA | USD | 6,184 | JPY | 889,443 | 12/02/2022 | (2,010 | ) | |||||||||||||
HSBC Bank USA | USD | 2,808 | TWD | 83,328 | 10/21/2022 | (189,767 | ) | |||||||||||||
HSBC Bank USA | USD | 2,795 | PLN | 13,438 | 11/30/2022 | (108,385 | ) | |||||||||||||
HSBC Bank USA | SGD | 3,868 | USD | 2,692 | 12/07/2022 | (2,994 | ) | |||||||||||||
HSBC Bank USA | KRW | 14,925,450 | USD | 10,959 | 10/27/2022 | 590,822 | ||||||||||||||
HSBC Bank USA | USD | 5,541 | KRW | 7,422,018 | 10/27/2022 | (385,264 | ) |
2022 Annual Report | 53 |
Table of Contents
Schedule of Investments (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
JPMorgan Chase Bank, NA | USD | 18,706 | AUD | 27,264 | 10/20/2022 | $ | (1,264,201 | ) | ||||||||||||
JPMorgan Chase Bank, NA | CAD | 20,914 | USD | 16,231 | 10/27/2022 | 1,091,475 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,814 | CAD | 3,617 | 10/27/2022 | (195,306 | ) | |||||||||||||
JPMorgan Chase Bank, NA | CLP | 2,542,858 | USD | 2,859 | 11/22/2022 | 254,334 | ||||||||||||||
JPMorgan Chase Bank, NA | EUR | 8,463 | USD | 8,277 | 12/08/2022 | (55,614 | ) | |||||||||||||
JPMorgan Chase Bank, NA | GBP | 2,275 | USD | 2,480 | 11/17/2022 | (62,129 | ) | |||||||||||||
JPMorgan Chase Bank, NA | USD | 24,387 | JPY | 3,495,455 | 12/02/2022 | (90,322 | ) | |||||||||||||
JPMorgan Chase Bank, NA | USD | 2,823 | NZD | 4,550 | 11/18/2022 | (276,537 | ) | |||||||||||||
JPMorgan Chase Bank, NA | PLN | 13,110 | USD | 2,695 | 11/30/2022 | 73,232 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,702 | PLN | 12,791 | 11/30/2022 | (144,076 | ) | |||||||||||||
JPMorgan Chase Bank, NA | ZAR | 47,968 | USD | 2,771 | 10/13/2022 | 123,003 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,682 | SEK | 30,041 | 12/01/2022 | 32,869 | ||||||||||||||
JPMorgan Chase Bank, NA | CHF | 2,625 | USD | 2,741 | 12/07/2022 | 63,956 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | AUD | 3,974 | USD | 2,770 | 10/20/2022 | 227,647 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 24,889 | AUD | 35,862 | 10/20/2022 | (1,946,386 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | BRL | 14,546 | USD | 2,871 | 10/04/2022 | 174,093 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 2,690 | BRL | 14,546 | 10/04/2022 | 6,110 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 13,111 | CAD | 17,188 | 10/27/2022 | (668,955 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,519 | EUR | 1,559 | 11/09/2022 | 12,958 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 980 | EUR | 1,002 | 12/08/2022 | 6,643 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | GBP | 12,296 | USD | 14,386 | 11/17/2022 | 646,750 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 3,305 | GBP | 2,887 | 11/17/2022 | (78,852 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 1,295 | JPY | 184,015 | 12/02/2022 | (16,384 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | NZD | 6,485 | USD | 3,967 | 11/18/2022 | 337,483 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 2,340 | NZD | 4,153 | 11/18/2022 | (15,188 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 2,746 | SGD | 3,863 | 12/07/2022 | (54,336 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | USD | 2,678 | ZAR | 48,218 | 10/13/2022 | (15,769 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc. | KRW | 3,771,445 | USD | 2,844 | 10/27/2022 | 224,205 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | CHF | 1,727 | USD | 1,766 | 12/07/2022 | 4,925 | ||||||||||||||
Natwest Markets PLC | USD | 2,823 | CAD | 3,639 | 10/27/2022 | (188,723 | ) | |||||||||||||
Natwest Markets PLC | USD | 5,446 | JPY | 783,021 | 12/02/2022 | (3,799 | ) | |||||||||||||
Standard Chartered Bank | EUR | 2,778 | USD | 2,719 | 12/08/2022 | (16,295 | ) | |||||||||||||
Standard Chartered Bank | USD | 5,672 | TWD | 168,990 | 10/21/2022 | (362,639 | ) | |||||||||||||
Standard Chartered Bank | KRW | 3,209,667 | USD | 2,253 | 10/27/2022 | 23,127 | ||||||||||||||
Standard Chartered Bank | USD | 3,097 | KRW | 4,194,270 | 10/27/2022 | (183,075 | ) | |||||||||||||
State Street Bank & Trust Co. | AUD | 29 | USD | 20 | 10/20/2022 | 1,168 | ||||||||||||||
State Street Bank & Trust Co. | USD | 530 | CAD | 685 | 10/27/2022 | (33,960 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 616 | CNH | 4,392 | 10/11/2022 | (941 | ) | |||||||||||||
State Street Bank & Trust Co. | CNH | 7,303 | USD | 1,048 | 10/20/2022 | 24,967 | ||||||||||||||
State Street Bank & Trust Co. | USD | 254 | EUR | 261 | 11/09/2022 | 2,892 | ||||||||||||||
State Street Bank & Trust Co. | EUR | 224 | USD | 217 | 11/09/2022 | (2,473 | ) | |||||||||||||
State Street Bank & Trust Co. | USD | 39 | GBP | 35 | 11/17/2022 | 993 | ||||||||||||||
State Street Bank & Trust Co. | JPY | 375 | USD | 3 | 12/02/2022 | 42 | ||||||||||||||
State Street Bank & Trust Co. | USD | 1,618 | JPY | 231,595 | 12/02/2022 | (8,384 | ) | |||||||||||||
UBS AG | AUD | 34,599 | USD | 23,902 | 10/20/2022 | 1,766,873 | ||||||||||||||
UBS AG | EUR | 37,685 | USD | 36,314 | 12/01/2022 | (767,886 | ) | |||||||||||||
UBS AG | EUR | 1,356 | USD | 1,308 | 12/08/2022 | (27,687 | ) |
54 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
UBS AG | JPY | 1,787,500 | USD | 12,627 | 12/02/2022 | $ | 202,473 | |||||||||||||
UBS AG | MXN | 55,006 | USD | 2,677 | 11/18/2022 | (31,622 | ) | |||||||||||||
UBS AG | CHF | 8,028 | USD | 8,351 | 12/07/2022 | 164,702 | ||||||||||||||
UBS AG | USD | 5,532 | CHF | 5,387 | 12/07/2022 | (38,454 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (1,162,226) | |||||||||||||||||||
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||||
Description | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional | Market Value | Upfront Paid/ | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Buy Contracts | ||||||||||||||||||||||||||||||||
CDX-NAHY Series 39, | 5.00 | % | Quarterly | 6.06 | % | USD | 1,557 | $ | 61,637 | $ | 59,680 | $ | 1,957 | |||||||||||||||||||
CDX-NAIG Series 39, | 1.00 | Quarterly | 1.08 | USD | 17,330 | 54,240 | (20,729 | ) | 74,969 | |||||||||||||||||||||||
Malaysia, 12/20/2027* | 1.00 | Quarterly | 1.19 | USD | 26,220 | 217,250 | (165,239 | ) | 382,489 | |||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
CDX-NAHY Series 39, | 5.00 | Quarterly | 6.06 | USD | 368 | (14,565 | ) | (14,617 | ) | 52 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 318,562 | $ | (140,905 | ) | $ | 459,467 | ||||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note 3) | ||||||||||||||||||||||||||||
Rate Type | Payment Frequency Paid/ Received | Market | Upfront Premiums Paid/ (Received) | Unrealized | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | |||||||||||||||||||||||||
USD | 28,500 | 02/26/2025 | 1.589% | CPI# | Maturity | $ | 3,441,368 | $ | — | $ | 3,441,368 | |||||||||||||||||
USD | 17,150 | 02/28/2025 | 1.527% | CPI# | Maturity | 2,121,496 | — | 2,121,496 | ||||||||||||||||||||
USD | 12,590 | 05/13/2027 | 3.263% | CPI# | Maturity | (154,199 | ) | — | (154,199 | ) | ||||||||||||||||||
USD | 6,245 | 07/08/2027 | 2.77% | CPI# | Maturity | 15,118 | — | 15,118 | ||||||||||||||||||||
USD | 6,245 | 07/08/2027 | 2.778% | CPI# | Maturity | 12,931 | — | 12,931 | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 5,436,714 | $ | — | $ | 5,436,714 | |||||||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3) | ||||||||||||||||||||||||||||
Rate Type | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | |||||||||||||||||||||||||
NZD | 1,981 | 11/01/2024 | 3 Month BKBM | 2.58% | Quarterly/ Semi-Annual | $ | (39,038 | ) | $ | — | $ | (39,038 | ) | |||||||||||||||
NZD | 5,299 | 11/02/2024 | 3 Month BKBM | 2.503% | Quarterly/ Semi-Annual | (110,315 | ) | — | (110,315 | ) | ||||||||||||||||||
USD | 610 | 04/21/2025 | 1.972% | 3 Month LIBOR | Semi-Annual/ Quarterly | 32,762 | — | 32,762 | ||||||||||||||||||||
USD | 370 | 06/09/2025 | 2.470% | 3 Month LIBOR | Semi-Annual/ Quarterly | 14,984 | — | 14,984 |
2022 Annual Report | 55 |
Table of Contents
Schedule of Investments (continued)
Rate Type | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | |||||||||||||||||||||||||
USD | 484 | 08/04/2025 | 2.285% | 3 Month LIBOR | Semi-Annual/ Quarterly | $ | 26,099 | $ | — | $ | 26,099 | |||||||||||||||||
USD | 1,990 | 04/27/2026 | 1.773% | 3 Month LIBOR | Semi-Annual/ Quarterly | 152,352 | — | 152,352 | ||||||||||||||||||||
USD | 840 | 10/04/2026 | 1.459% | 3 Month LIBOR | Semi-Annual/ Quarterly | 81,075 | 27,110 | 53,965 | ||||||||||||||||||||
USD | 420 | 11/08/2026 | 1.657% | 3 Month LIBOR | Semi-Annual/ Quarterly | 37,724 | — | 37,724 | ||||||||||||||||||||
USD | 420 | 11/09/2026 | 1.672% | 3 Month LIBOR | Semi-Annual/ Quarterly | 37,431 | — | 37,431 | ||||||||||||||||||||
USD | 1,040 | 04/04/2027 | 2.436% | 3 Month LIBOR | Semi-Annual/ Quarterly | 63,267 | (6,500 | ) | 69,767 | |||||||||||||||||||
USD | 580 | 04/26/2027 | 2.287% | 3 Month LIBOR | Semi-Annual/ Quarterly | 40,080 | 13 | 40,067 | ||||||||||||||||||||
EUR | 3,459 | 05/12/2027 | 6 Month EURIBOR | 1.494% | Semi-Annual/Annual | (188,942 | ) | — | (188,942 | ) | ||||||||||||||||||
EUR | 2,641 | 05/13/2027 | 6 Month EURIBOR | 1.464% | Semi-Annual/Annual | (147,954 | ) | — | (147,954 | ) | ||||||||||||||||||
USD | 10,260 | 06/05/2027 | 0.558% | 3 Month LIBOR | Semi-Annual/ Quarterly | 1,522,340 | — | 1,522,340 | ||||||||||||||||||||
USD | 6,030 | 07/20/2027 | 2.227% | 3 Month LIBOR | Semi-Annual/ Quarterly | 482,436 | 18,663 | 463,773 | ||||||||||||||||||||
USD | 1,360 | 09/27/2029 | 1.593% | 3 Month LIBOR | Semi-Annual/ Quarterly | 192,094 | — | 192,094 | ||||||||||||||||||||
USD | 1,830 | 12/13/2029 | 1.764% | 3 Month LIBOR | Semi-Annual/ Quarterly | 236,597 | — | 236,597 | ||||||||||||||||||||
USD | 15,740 | 05/21/2031 | 1.617% | 3 Month LIBOR | Semi-Annual/ Quarterly | 2,500,525 | — | 2,500,525 | ||||||||||||||||||||
EUR | 1,930 | 08/18/2032 | 6 Month EURIBOR | 1.800% | Semi-Annual/Annual | (203,501 | ) | — | (203,501 | ) | ||||||||||||||||||
USD | 1,010 | 11/10/2035 | 2.613% | 3 Month LIBOR | Semi-Annual/ Quarterly | 113,508 | — | 113,508 | ||||||||||||||||||||
EUR | 2,300 | 09/30/2050 | 0.122% | 6 Month EURIBOR | Annual/ Semi-Annual | 1,042,493 | — | 1,042,493 | ||||||||||||||||||||
EUR | 2,300 | 09/30/2050 | 6 Month EURIBOR | (0.017)% | Semi-Annual/Annual | (1,103,151 | ) | — | (1,103,151 | ) | ||||||||||||||||||
EUR | 2,310 | 11/10/2050 | 0.023% | 6 Month EURIBOR | Annual/ Semi-Annual | 1,089,421 | — | 1,089,421 | ||||||||||||||||||||
EUR | 2,310 | 11/10/2050 | 6 Month EURIBOR | (0.043)% | Semi-Annual/Annual | (1,119,978 | ) | — | (1,119,978 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 4,752,309 | $ | 39,286 | $ | 4,713,023 | |||||||||||||||||||||||
|
|
|
|
|
|
CREDIT DEFAULT SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||||
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | % | Monthly | 7.50 | % | USD | 6 | $ | (1,288 | ) | $ | (866 | ) | $ | (422 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 6 | (1,288 | ) | (692 | ) | (596 | ) |
56 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | % | Monthly | 7.50 | % | USD | 13 | $ | (2,898 | ) | $ | (1,534 | ) | $ | (1,364 | ) | ||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 14 | (3,220 | ) | (1,761 | ) | (1,459 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 12 | (2,737 | ) | (1,162 | ) | (1,575 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 18 | (4,025 | ) | (2,281 | ) | (1,744 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 17 | (3,703 | ) | (1,864 | ) | (1,839 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 24 | (5,473 | ) | (3,030 | ) | (2,443 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 29 | (6,600 | ) | (3,321 | ) | (3,279 | ) | |||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 142 | (31,874 | ) | (9,198 | ) | (22,676 | ) | |||||||||||||||||||
Deutsche Bank AG |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 25 | (5,635 | ) | (2,757 | ) | (2,878 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 26 | (5,795 | ) | (1,388 | ) | (4,407 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 157 | (35,095 | ) | (18,458 | ) | (16,637 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 174 | (38,958 | ) | (18,599 | ) | (20,359 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 174 | (39,119 | ) | (18,669 | ) | (20,450 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 185 | (41,373 | ) | (12,103 | ) | (29,270 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 531 | (117,728 | ) | (50,902 | ) | (66,826 | ) | |||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 11 | (2,415 | ) | (1,531 | ) | (884 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 13 | (2,898 | ) | (1,084 | ) | (1,814 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 25 | (5,635 | ) | (2,323 | ) | (3,312 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 25 | (5,635 | ) | (2,147 | ) | (3,488 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 50 | (11,108 | ) | (5,005 | ) | (6,103 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 59 | (13,201 | ) | (7,064 | ) | (6,137 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 172 | (38,475 | ) | (17,109 | ) | (21,366 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 150 | (33,646 | ) | (12,135 | ) | (21,511 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 253 | (56,827 | ) | (32,280 | ) | (24,547 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 183 | (41,051 | ) | (13,627 | ) | (27,424 | ) |
2022 Annual Report | 57 |
Table of Contents
Schedule of Investments (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | % | Monthly | 7.50 | % | USD | 503 | $ | (112,689 | ) | $ | (35,957 | ) | $ | (76,732 | ) | ||||||||||||||||
JPMorgan Securities, LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 28 | (6,278 | ) | (2,556 | ) | (3,722 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 28 | (6,279 | ) | (2,547 | ) | (3,732 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 29 | (6,439 | ) | (2,623 | ) | (3,816 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 40 | (9,015 | ) | (4,800 | ) | (4,215 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 85 | (19,157 | ) | (9,889 | ) | (9,268 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 210 | (47,168 | ) | (24,133 | ) | (23,035 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 748 | (167,685 | ) | (58,796 | ) | (108,889 | ) | |||||||||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 195 | (43,788 | ) | (12,888 | ) | (30,900 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (976,198 | ) | $ | (397,079 | ) | $ | (579,119 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
TOTAL RETURN SWAPS (see Note 3) |
| |||||||||||||||||||
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Pay Total Return on Reference Obligation | ||||||||||||||||||||
JPMorgan Chase Bank, NA | 1 Day SOFR | Maturity | USD | 10,056 | 12/20/2022 | $ | 392,678 | |||||||||||||
Receive Total Return on Reference Obligation | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||
Swiss Market Index Futures | 0.00% | Monthly | CHF | 1,641 | 12/16/2022 | (87,780 | ) | |||||||||||||
Swiss Market Index Futures | 0.00% | Monthly | CHF | 7,592 | 12/16/2022 | (570,226 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (265,328 | ) | ||||||||||||||||||
|
|
** | Principal amount less than 500. |
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $227,222,903 or 25.2% of net assets. |
(b) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(c) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(e) | Fair valued by the Adviser. |
(f) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
58 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
(g) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.32% of net assets as of September 30, 2022, 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 | $ | 400,620 | $ | 381,575 | 0.04 | % | |||||||||
GSF | 02/25/2021 | 1,098,423 | 1,009,519 | 0.11 | % | |||||||||||
GSF | 02/25/2021 | 39,845 | 35,974 | 0.00 | % | |||||||||||
HFX Funding | 11/19/2020 | 1,310,241 | 1,129,216 | 0.13 | % | |||||||||||
JPMorgan Madison Avenue Securities Trust | 11/06/2015 | 20,954 | 20,131 | 0.00 | % | |||||||||||
PMT Credit Risk Transfer Trust | 02/11/2020 | 157,718 | 149,631 | 0.02 | % | |||||||||||
Terraform Global Operating LP | 02/08/2018 | 133,000 | 125,255 | 0.01 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/28/2015 | 130,750 | 119,951 | 0.01 | % | |||||||||||
Wells Fargo Credit Risk Transfer Securities Trust | 09/28/2015 | 33,007 | 31,102 | 0.00 | % |
(h) | Inverse interest only security. |
(i) | IO—Interest Only. |
(j) | Affiliated investments. |
(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. |
(l) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(m) | Non-income producing security. |
(n) | 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 September 30, 2022. |
(o) | 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
CNH—Chinese Yuan Renminbi (Offshore)
CNY—Chinese Yuan Renminbi
EUR—Euro
GBP—Great British Pound
IDR—Indonesian Rupiah
INR—Indian Rupee
JPY—Japanese Yen
KRW—South Korean Won
MXN—Mexican Peso
MYR—Malaysian Ringgit
NOK—Norwegian Krone
NZD—New Zealand Dollar
PLN—Polish Zloty
SEK—Swedish Krona
SGD—Singapore Dollar
TWD—New Taiwan Dollar
USD—United States Dollar
ZAR—South African Rand
Glossary:
ABS—Asset-Backed Securities
BKBM—Bank Bill Benchmark (New Zealand)
BOBL—Bundesobligationen
CBT—Chicago Board of Trade
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
ETS—Emission Trading Scheme
EURIBOR—Euro Interbank Offered Rate
FTSE—Financial Times Stock Exchange
2022 Annual Report | 59 |
Table of Contents
Schedule of Investments (continued)
IBOXHY—iBoxx $ Liquid High Yield Index
LIBOR—London Interbank Offered Rate
MSCI—Morgan Stanley Capital International
OAT—Obligations Assimilables du Trésor
OMXS—Stockholm Stock Exchange
OSE—Osaka Securities Exchange
REIT—Real Estate Investment Trust
REMICs—Real Estate Mortgage Investment Conduits
SOFR—Secured Overnight Financing Rate
SPI—Share Price Index
TBA—To Be Announced
TIPS—Treasury Inflation Protected Security
TOPIX—Tokyo Price Index
TSX—Toronto Stock Exchange
See notes to financial statements.
60 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Schedule of Investments
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Tax-Aware Overlay B Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||||||
MUNICIPAL OBLIGATIONS–72.5% |
| |||||||||||
Long-Term Municipal Bonds–72.5% |
| |||||||||||
Alabama–0.2% |
| |||||||||||
Black Belt Energy Gas District | $ | 1,000 | $ | 974,016 | ||||||||
Infirmary Health System Special Care Facilities Financing Authority of Mobile | 1,000 | 881,339 | ||||||||||
Sumter County Industrial Development Authority/AL | 1,250 | 1,147,452 | ||||||||||
|
| |||||||||||
3,002,807 | ||||||||||||
|
| |||||||||||
American Samoa–0.0% |
| |||||||||||
American Samoa Economic Development Authority | 400 | 431,752 | ||||||||||
|
| |||||||||||
Arizona–1.8% |
| |||||||||||
Arizona Industrial Development Authority | 1,100 | 997,466 | ||||||||||
4.00%, 11/01/2038 | 600 | 538,125 | ||||||||||
4.00%, 11/01/2039 | 750 | 667,301 | ||||||||||
5.00%, 11/01/2035 | 850 | 884,542 | ||||||||||
City of Glendale AZ | 1,000 | 823,334 | ||||||||||
2.442%, 07/01/2032 | 2,250 | 1,761,927 | ||||||||||
City of Tempe AZ | 1,475 | 1,130,420 | ||||||||||
Gilbert Water Resource Municipal Property Corp. | 4,700 | 4,319,198 |
Principal Amount (000) | U.S. $ Value | |||||||||||
5.00%, 07/15/2037 | $ | 5,300 | $ | 5,828,691 | ||||||||
State of Arizona | 7,000 | 7,000,000 | ||||||||||
|
| |||||||||||
23,951,004 | ||||||||||||
|
| |||||||||||
Arkansas–0.1% |
| |||||||||||
City of Fayetteville AR Sales & Use Tax Revenue | 1,000 | 912,563 | ||||||||||
|
| |||||||||||
California–2.6% |
| |||||||||||
California Community Housing Agency | 3,385 | 2,361,100 | ||||||||||
California Housing Finance Agency | 2,176 | 2,070,118 | ||||||||||
Series 2021-1, Class A | 978 | 845,072 | ||||||||||
Series 2021-2 | 2,000 | 112,546 | ||||||||||
California Municipal Finance Authority | 4,710 | 4,177,151 | ||||||||||
California State University | 1,000 | 728,757 | ||||||||||
CSCDA Community Improvement Authority | 2,500 | 1,894,358 | ||||||||||
CSCDA Community Improvement Authority | 1,000 | 700,150 | ||||||||||
CSCDA Community Improvement Authority | 2,000 | 1,436,869 |
2022 Annual Report | 61 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
CSCDA Community Improvement Authority | $ | 1,000 | $ | 737,959 | ||||||||
CSCDA Community Improvement Authority | 1,700 | 1,319,333 | ||||||||||
CSCDA Community Improvement Authority | 1,000 | 728,232 | ||||||||||
Sacramento County Water Financing Authority | 3,675 | 3,152,914 | ||||||||||
San Francisco Intl Airport | 3,755 | 3,838,022 | ||||||||||
State of California | 50 | 51,786 | ||||||||||
Series 2015 | 2,085 | 2,174,672 | ||||||||||
Series 2021 | 6,960 | 7,039,630 | ||||||||||
|
| |||||||||||
33,368,669 | ||||||||||||
|
| |||||||||||
Colorado–1.8% |
| |||||||||||
Centerra Metropolitan District No. 1 | 2,375 | 2,336,326 | ||||||||||
Colorado Health Facilities Authority (CommonSpirit Health) | 845 | 853,743 | ||||||||||
5.00%, 08/01/2034 | 3,000 | 3,012,396 | ||||||||||
5.00%, 08/01/2035 | 4,100 | 4,109,217 | ||||||||||
5.00%, 08/01/2036 | 8,975 | 8,982,809 | ||||||||||
Johnstown Plaza Metropolitan District | 500 | 396,106 |
Principal Amount (000) | U.S. $ Value | |||||||||||
State of Colorado | $ | 3,000 | $ | 3,458,853 | ||||||||
Vauxmont Metropolitan District | 206 | 146,093 | ||||||||||
AGM Series 2020 | 115 | 118,626 | ||||||||||
5.00%, 12/01/2027 | 105 | 112,285 | ||||||||||
5.00%, 12/01/2033 | 110 | 117,919 | ||||||||||
5.00%, 12/01/2050 | 100 | 104,103 | ||||||||||
|
| |||||||||||
23,748,476 | ||||||||||||
|
| |||||||||||
Connecticut–3.7% |
| |||||||||||
City of Bridgeport CT | 1,650 | 1,759,194 | ||||||||||
5.00%, 11/01/2027 | 1,735 | 1,853,702 | ||||||||||
5.00%, 11/01/2029 | 1,890 | 2,008,946 | ||||||||||
5.00%, 11/01/2030 | 2,015 | 2,140,544 | ||||||||||
5.00%, 11/01/2031 | 1,335 | 1,416,926 | ||||||||||
Series 2017-C | 1,000 | 1,042,401 | ||||||||||
State of Connecticut | 24,370 | 24,582,272 | ||||||||||
5.00%, 03/15/2024 | 3,060 | 3,138,183 | ||||||||||
Series 2018-C | 1,415 | 1,513,673 | ||||||||||
State of Connecticut Special Tax Revenue | 2,835 | 3,050,701 | ||||||||||
University of Connecticut | 5,600 | 5,956,121 | ||||||||||
|
| |||||||||||
48,462,663 | ||||||||||||
|
| |||||||||||
District of Columbia–0.5% |
| |||||||||||
Metropolitan Washington Airports Authority Aviation Revenue | 4,270 | 4,461,691 | ||||||||||
5.00%, 10/01/2030 | 1,910 | 1,990,435 | ||||||||||
|
| |||||||||||
6,452,126 | ||||||||||||
|
| |||||||||||
Florida–3.4% |
| |||||||||||
Capital Trust Agency, Inc. | 385 | 380,283 | ||||||||||
City of South Miami Health Facilities Authority, Inc. | 3,550 | 3,748,203 |
62 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
5.00%, 08/15/2028 | $ | 2,625 | $ | 2,796,693 | ||||||||
5.00%, 08/15/2029 | 2,750 | 2,928,523 | ||||||||||
5.00%, 08/15/2030 | 2,000 | 2,125,561 | ||||||||||
County of Osceola FL Transportation Revenue | ||||||||||||
Zero Coupon, 10/01/2030 | 100 | 66,646 | ||||||||||
Zero Coupon, 10/01/2032 | 100 | 59,304 | ||||||||||
Zero Coupon, 10/01/2034 | 100 | 52,480 | ||||||||||
Florida Development Finance Corp. | 4,000 | 3,967,735 | ||||||||||
Florida Development Finance Corp. | 1,520 | 1,522,679 | ||||||||||
Florida Municipal Power Agency | 500 | 440,539 | ||||||||||
Florida State Board of Education | 1,310 | 1,326,614 | ||||||||||
Series 2022-A | 1,000 | 1,117,729 | ||||||||||
5.00%, 06/01/2031 | 2,000 | 2,251,763 | ||||||||||
Lakewood Ranch Stewardship District | 1,830 | 1,474,431 | ||||||||||
North Broward Hospital District | 7,070 | 7,299,841 | ||||||||||
5.00%, 01/01/2031 | 3,590 | 3,658,401 | ||||||||||
5.00%, 01/01/2032 | 2,950 | 2,994,232 | ||||||||||
Palm Beach County Health Facilities Authority | 200 | 177,994 | ||||||||||
Polk County Industrial Development Authority | 1,000 | 988,926 | ||||||||||
St Lucie County School Board | 1,565 | 1,589,464 |
Principal Amount (000) | U.S. $ Value | |||||||||||
State of Florida Department of Transportation Turnpike System Revenue | $ | 3,795 | $ | 3,911,733 | ||||||||
|
| |||||||||||
44,879,774 | ||||||||||||
|
| |||||||||||
Georgia–1.9% |
| |||||||||||
City of Atlanta GA Airport Passenger Facility Charge | 4,000 | 4,168,206 | ||||||||||
City of Atlanta GA Department of Aviation | 640 | 696,642 | ||||||||||
Series 2021-B | 600 | 653,101 | ||||||||||
Series 2021-C | 1,000 | 901,655 | ||||||||||
5.00%, 07/01/2035 | 2,350 | 2,408,838 | ||||||||||
Series 2022-B | 4,000 | 4,044,305 | ||||||||||
Main Street Natural Gas, Inc. | 6,465 | 6,475,138 | ||||||||||
Municipal Electric Authority of Georgia | 180 | 189,578 | ||||||||||
Private Colleges & Universities Authority | 5,000 | 4,774,337 | ||||||||||
|
| |||||||||||
24,311,800 | ||||||||||||
|
| |||||||||||
Guam–0.0% |
| |||||||||||
Territory of Guam | 195 | 184,122 | ||||||||||
|
| |||||||||||
Hawaii–1.6% | ||||||||||||
City & County of Honolulu HI | 1,180 | 1,302,465 | ||||||||||
University of Hawaii | 5,740 | 5,740,000 | ||||||||||
5.00%, 10/01/2023 | 6,035 | 6,143,538 | ||||||||||
5.00%, 10/01/2026 | 7,010 | 7,451,981 | ||||||||||
|
| |||||||||||
20,637,984 | ||||||||||||
|
| |||||||||||
Illinois–6.3% | ||||||||||||
Chicago Board of Education | 1,000 | 945,552 |
2022 Annual Report | 63 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2019-B | $ | 270 | $ | 273,222 | ||||||||
5.00%, 12/01/2031 | 310 | 312,036 | ||||||||||
5.00%, 12/01/2032 | 200 | 200,583 | ||||||||||
5.00%, 12/01/2033 | 160 | 160,118 | ||||||||||
Series 2022-B | 2,000 | 1,660,514 | ||||||||||
Chicago O’Hare International Airport | 11,425 | 11,661,395 | ||||||||||
5.00%, 01/01/2028 | 6,690 | 6,908,950 | ||||||||||
AGM Series 2020-E | 1,275 | 1,169,564 | ||||||||||
Illinois Finance Authority | 100 | 100,679 | ||||||||||
5.00%, 09/01/2026 | 100 | 101,987 | ||||||||||
5.00%, 09/01/2027 | 100 | 102,116 | ||||||||||
5.00%, 09/01/2029 | 100 | 102,370 | ||||||||||
5.00%, 09/01/2032 | 100 | 100,517 | ||||||||||
5.00%, 09/01/2033 | 200 | 199,915 | ||||||||||
5.00%, 09/01/2034 | 100 | 98,747 | ||||||||||
Illinois Finance Authority | 3,020 | 3,221,052 | ||||||||||
5.00%, 04/01/2031 | 2,450 | 2,589,834 | ||||||||||
5.00%, 04/01/2032 | 1,725 | 1,807,026 | ||||||||||
Illinois Finance Authority | 20,130 | 20,777,379 | ||||||||||
5.00%, 05/15/2033 | 6,775 | 6,970,239 | ||||||||||
State of Illinois | 3,810 | 3,874,748 | ||||||||||
Series 2017-D | 12,010 | 12,208,424 | ||||||||||
Series 2019-A | 5,740 | 5,847,283 | ||||||||||
State of Illinois Sales Tax Revenue | 1,340 | 1,352,809 | ||||||||||
|
| |||||||||||
82,747,059 | ||||||||||||
|
| |||||||||||
Indiana–0.2% | ||||||||||||
Indiana Finance Authority | 3,000 | 2,745,896 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Indiana Finance Authority | $ | 330 | $ | 279,011 | ||||||||
|
| |||||||||||
3,024,907 | ||||||||||||
|
| |||||||||||
Iowa–0.1% | ||||||||||||
Iowa Finance Authority | 1,000 | 906,906 | ||||||||||
|
| |||||||||||
Kansas–0.1% | ||||||||||||
Kansas Development Finance Authority | 2,000 | 1,750,419 | ||||||||||
|
| |||||||||||
Kentucky–2.9% | ||||||||||||
City of Ashland KY | 225 | 230,874 | ||||||||||
5.00%, 02/01/2027 | 240 | 247,837 | ||||||||||
5.00%, 02/01/2030 | 155 | 161,715 | ||||||||||
5.00%, 02/01/2031 | 195 | 199,289 | ||||||||||
Kentucky Economic Development Finance Authority | 4,265 | 4,416,639 | ||||||||||
5.00%, 06/01/2031 | 6,195 | 6,327,422 | ||||||||||
Kentucky Public Energy Authority | 6,370 | 6,310,665 | ||||||||||
Kentucky Public Energy Authority | 8,500 | 8,444,994 | ||||||||||
Series 2022-A | 5,500 | 5,231,432 | ||||||||||
Louisville and Jefferson County Metropolitan Sewer District | 6,000 | 5,999,582 | ||||||||||
|
| |||||||||||
37,570,449 | ||||||||||||
|
| |||||||||||
Louisiana–0.7% | ||||||||||||
Louisiana Local Government Environmental Facilities & Community Development Auth | 1,550 | 1,543,985 |
64 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Parish of St. James LA | $ | 435 | $ | 446,240 | ||||||||
6.10%, 06/01/2038(a) | 585 | 622,421 | ||||||||||
6.10%, 12/01/2040(a) | 500 | 531,984 | ||||||||||
Parish of St. John the Baptist LA | 4,885 | 4,849,100 | ||||||||||
2.10%, 06/01/2037 | 1,570 | 1,530,032 | ||||||||||
|
| |||||||||||
9,523,762 | ||||||||||||
|
| |||||||||||
Maryland–0.6% | ||||||||||||
Maryland Economic Development Corp. | 3,000 | 3,080,990 | ||||||||||
State of Maryland Department of Transportation | 4,860 | 5,035,485 | ||||||||||
|
| |||||||||||
8,116,475 | ||||||||||||
|
| |||||||||||
Massachusetts–0.5% | ||||||||||||
Commonwealth of Massachusetts | 2,775 | 2,613,401 | ||||||||||
Commonwealth of Massachusetts | 2,000 | 1,918,690 | ||||||||||
Commonwealth of Massachusetts Transportation Fund Revenue | 2,000 | 2,133,775 | ||||||||||
|
| |||||||||||
6,665,866 | ||||||||||||
|
| |||||||||||
Michigan–2.6% | ||||||||||||
City of Detroit MI | 1,200 | 1,227,653 | ||||||||||
5.00%, 04/01/2028 | 2,475 | 2,543,090 | ||||||||||
Great Lakes Water Authority Water Supply System Revenue | 3,000 | 3,090,220 | ||||||||||
5.00%, 07/01/2025 | 2,500 | 2,615,148 | ||||||||||
5.00%, 07/01/2027 | 1,745 | 1,857,465 | ||||||||||
Michigan Finance Authority | 900 | 894,345 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Michigan Finance Authority | $ | 10,115 | $ | 10,413,986 | ||||||||
Michigan Finance Authority | 5,000 | 4,895,956 | ||||||||||
Michigan Strategic Fund | 1,090 | 1,061,334 | ||||||||||
South Lyon Community Schools | 3,640 | 3,837,698 | ||||||||||
University of Michigan | 1,250 | 1,261,263 | ||||||||||
5.00%, 04/01/2023 | 705 | 711,800 | ||||||||||
|
| |||||||||||
34,409,958 | ||||||||||||
|
| |||||||||||
Minnesota–0.3% | ||||||||||||
Brainerd Independent School District No. 181 | 2,500 | 2,413,236 | ||||||||||
North St Paul-Maplewood-Oakdale Independent School District No. 622 | 2,000 | 1,564,069 | ||||||||||
|
| |||||||||||
3,977,305 | ||||||||||||
|
| |||||||||||
Mississippi–0.5% | ||||||||||||
Mississippi Development Bank | 1,100 | 914,107 | ||||||||||
Mississippi Development Bank | 1,720 | 1,721,998 | ||||||||||
Series 2010-D | 3,695 | 3,699,292 | ||||||||||
|
| |||||||||||
6,335,397 | ||||||||||||
|
| |||||||||||
Missouri–0.2% | ||||||||||||
City of Kansas City MO | 1,500 | 1,576,934 |
2022 Annual Report | 65 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Howard Bend Levee District | $ | 185 | $ | 187,254 | ||||||||
5.75%, 03/01/2027 | 155 | 157,121 | ||||||||||
|
| |||||||||||
1,921,309 | ||||||||||||
|
| |||||||||||
Nebraska–1.3% | ||||||||||||
Central Plains Energy Project | 17,000 | 17,156,361 | ||||||||||
|
| |||||||||||
Nevada–0.1% | ||||||||||||
Clark County School District | 1,155 | 1,222,566 | ||||||||||
|
| |||||||||||
New Hampshire–0.6% | ||||||||||||
New Hampshire Business Finance Authority | 1,727 | 1,599,911 | ||||||||||
Series 2022-1, Class A | 4,985 | 4,538,715 | ||||||||||
Series 2022-2 | 3,750 | 88,866 | ||||||||||
4.00%, 10/20/2036 | 2,000 | 1,748,535 | ||||||||||
|
| |||||||||||
7,976,027 | ||||||||||||
|
| |||||||||||
New Jersey–4.7% | ||||||||||||
New Jersey Economic Development Authority | 1,610 | 1,627,064 | ||||||||||
Series 2017-B | 5,025 | 5,031,410 | ||||||||||
New Jersey Economic Development Authority | 1,185 | 1,172,079 | ||||||||||
New Jersey Health Care Facilities Financing Authority | 1,325 | 1,382,718 | ||||||||||
New Jersey Transportation Trust Fund Authority | 2,750 | 2,808,297 | ||||||||||
5.00%, 06/15/2029 | 1,630 | 1,687,517 |
Principal Amount (000) | U.S. $ Value | |||||||||||
5.00%, 06/15/2030 | $ | 1,675 | $ | 1,727,722 | ||||||||
New Jersey Transportation Trust Fund Authority | 160 | 166,585 | ||||||||||
5.00%, 12/15/2030 | 5,975 | 6,195,984 | ||||||||||
Series 2019 | 3,075 | 3,203,926 | ||||||||||
Series 2019-B | 1,570 | 1,588,249 | ||||||||||
Series 2019-BB1 | 1,250 | 1,264,529 | ||||||||||
Series 2022-A | 1,865 | 1,890,665 | ||||||||||
New Jersey Turnpike Authority | 8,955 | 8,993,968 | ||||||||||
Series 2017-B | 1,565 | 1,668,807 | ||||||||||
Series 2020-D | 4,840 | 5,056,190 | ||||||||||
Series 2021-B | 1,225 | 1,005,623 | ||||||||||
AGM Series 2005-D3 | 11,070 | 11,678,451 | ||||||||||
Tobacco Settlement Financing Corp./NJ | 3,450 | 3,581,570 | ||||||||||
|
| |||||||||||
61,731,354 | ||||||||||||
|
| |||||||||||
New York–10.0% | ||||||||||||
City of New York NY | 2,510 | 2,547,093 | ||||||||||
Series 2015-A | 7,220 | 7,327,883 | ||||||||||
Series 2021 | 3,385 | 2,882,859 | ||||||||||
Series 2021-A | 2,500 | 2,397,548 | ||||||||||
4.00%, 08/01/2041 | 10,000 | 9,216,460 | ||||||||||
Metropolitan Transportation Authority | 3,065 | 3,070,490 | ||||||||||
Series 2012-F | 2,615 | 2,620,054 | ||||||||||
5.00%, 11/15/2023 | 11,220 | 11,242,671 | ||||||||||
Series 2017-C | 4,340 | 4,448,202 |
66 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | $ | 5,275 | $ | 5,379,462 | ||||||||
5.00%, 11/01/2027 | 3,350 | 3,428,204 | ||||||||||
5.00%, 02/01/2028 | 2,000 | 2,038,825 | ||||||||||
5.00%, 11/01/2028 | 6,000 | 6,137,287 | ||||||||||
5.00%, 02/01/2029 | 2,500 | 2,547,554 | ||||||||||
5.00%, 11/01/2029 | 1,155 | 1,180,893 | ||||||||||
Series 2014-C | 10,665 | 10,909,028 | ||||||||||
New York Liberty Development Corp. | 855 | 757,833 | ||||||||||
2.80%, 09/15/2069 | 2,370 | 1,944,659 | ||||||||||
New York State Dormitory Authority | 1,390 | 1,395,283 | ||||||||||
Series 2014-C | 14,000 | 14,365,966 | ||||||||||
New York State Dormitory Authority (State of New York Pers Income Tax) | 8,610 | 8,643,507 | ||||||||||
Series 2014-C | 8,340 | 8,521,001 | ||||||||||
Series 2022-A | 5,000 | 4,575,250 | ||||||||||
New York State Thruway Authority | 1,500 | 1,584,844 | ||||||||||
New York Transportation Development Corp. | 265 | 233,654 | ||||||||||
Series 2020 | 6,500 | 6,092,371 | ||||||||||
4.375%, 10/01/2045 | 1,355 | 1,134,149 | ||||||||||
New York Transportation Development Corp. | 1,000 | 962,581 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Triborough Bridge & Tunnel Authority | $ | 3,000 | $ | 2,306,141 | ||||||||
Series 2022 | 1,000 | 1,100,991 | ||||||||||
|
| |||||||||||
130,992,743 | ||||||||||||
|
| |||||||||||
North Carolina–0.4% | ||||||||||||
State of North Carolina | 3,500 | 3,526,344 | ||||||||||
5.00%, 03/01/2026 | 1,850 | 1,920,406 | ||||||||||
|
| |||||||||||
5,446,750 | ||||||||||||
|
| |||||||||||
Ohio–1.5% | ||||||||||||
American Municipal Power, Inc. | 5,260 | 5,576,312 | ||||||||||
5.00%, 02/15/2036 | 3,085 | 3,265,225 | ||||||||||
County of Cuyahoga OH | 1,500 | 1,537,781 | ||||||||||
5.00%, 02/15/2028 | 4,000 | 4,103,922 | ||||||||||
County of Montgomery OH | 1,150 | 1,217,474 | ||||||||||
County of Washington OH | 1,000 | 918,511 | ||||||||||
Ohio Higher Educational Facility Commission | 360 | 367,074 | ||||||||||
5.25%, 01/01/2035 | 750 | 775,853 | ||||||||||
5.25%, 01/01/2038 | 1,110 | 1,138,793 | ||||||||||
5.25%, 01/01/2039 | 780 | 798,579 | ||||||||||
|
| |||||||||||
19,699,524 | ||||||||||||
|
| |||||||||||
Oklahoma–0.4% | ||||||||||||
Comanche County Memorial Hospital | 1,000 | 1,016,826 | ||||||||||
5.00%, 07/01/2028 | 1,000 | 1,016,388 | ||||||||||
5.00%, 07/01/2029 | 1,000 | 1,016,209 |
2022 Annual Report | 67 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Oklahoma Development Finance Authority | $ | 1,000 | $ | 913,752 | ||||||||
Oklahoma Development Finance Authority | 610 | 593,977 | ||||||||||
Oklahoma Development Finance Authority | 1,000 | 888,028 | ||||||||||
|
| |||||||||||
5,445,180 | ||||||||||||
|
| |||||||||||
Oregon–0.2% | ||||||||||||
Port of Portland OR Airport Revenue | 3,000 | 2,679,907 | ||||||||||
|
| |||||||||||
Other–0.3% | ||||||||||||
Federal Home Loan Mortgage Corp. Multifamily VRD Certificates | 4,825 | 4,006,627 | ||||||||||
|
| |||||||||||
Pennsylvania–4.8% | ||||||||||||
Allegheny County Airport Authority | 2,000 | 1,778,212 | ||||||||||
Allegheny County Sanitary Authority | 3,105 | 3,170,103 | ||||||||||
5.00%, 12/01/2025 | 4,365 | 4,455,020 | ||||||||||
Capital Region Water Water Revenue | 1,500 | 1,631,999 | ||||||||||
City of Philadelphia PA | 2,890 | 3,072,093 | ||||||||||
City of Philadelphia PA Water & Wastewater Revenue | 685 | 728,433 | ||||||||||
5.00%, 11/01/2038 | 1,655 | 1,747,744 | ||||||||||
Coatesville School District | 1,250 | 1,267,245 | ||||||||||
Commonwealth of Pennsylvania | 1,000 | 1,052,818 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Moon Industrial Development Authority | $ | 1,600 | $ | 1,546,557 | ||||||||
Pennsylvania Economic Development Financing Authority | 2,000 | 1,936,283 | ||||||||||
Pennsylvania Turnpike Commission | 2,905 | 3,103,325 | ||||||||||
5.00%, 12/01/2028 | 3,065 | 3,276,976 | ||||||||||
5.00%, 12/01/2029 | 2,500 | 2,684,664 | ||||||||||
5.00%, 12/01/2030 | 2,540 | 2,718,336 | ||||||||||
Series 2017-B | 11,050 | 11,560,254 | ||||||||||
Series 2019 | 4,000 | 4,137,082 | ||||||||||
5.00%, 12/01/2025 | 3,900 | 4,090,397 | ||||||||||
Series 2019-A | 2,650 | 2,817,146 | ||||||||||
5.00%, 12/01/2032 | 1,355 | 1,434,610 | ||||||||||
Philadelphia Authority for Industrial Development | 3,205 | 3,332,568 | ||||||||||
Philadelphia Authority for Industrial Development | 880 | 887,163 | ||||||||||
|
| |||||||||||
62,429,028 | ||||||||||||
|
| |||||||||||
Puerto Rico–0.9% | ||||||||||||
Commonwealth of Puerto Rico | 4 | 3,699 | ||||||||||
Zero Coupon, 07/01/2033 | 325 | 179,409 | ||||||||||
4.00%, 07/01/2033 | 312 | 274,407 | ||||||||||
4.00%, 07/01/2035 | 11 | 9,249 | ||||||||||
4.00%, 07/01/2037 | 9 | 7,621 | ||||||||||
4.00%, 07/01/2041 | 13 | 9,854 | ||||||||||
4.00%, 07/01/2046 | 13 | 9,829 | ||||||||||
5.25%, 07/01/2023 | 322 | 323,152 | ||||||||||
5.375%, 07/01/2025 | 423 | 427,501 | ||||||||||
5.625%, 07/01/2027 | 1,053 | 1,075,158 | ||||||||||
5.625%, 07/01/2029 | 423 | 432,713 | ||||||||||
5.75%, 07/01/2031 | 113 | 114,892 | ||||||||||
Series 2022-C | 84 | 41,824 |
68 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Puerto Rico Electric Power Authority | $ | 1,010 | $ | 1,000,409 | ||||||||
Puerto Rico Highway & Transportation Authority | 905 | 879,911 | ||||||||||
AGC Series 2007-N | 1,005 | 983,810 | ||||||||||
5.25%, 07/01/2036 | 1,110 | 1,084,169 | ||||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth | 3,680 | 3,802,314 | ||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 1,021 | 943,322 | ||||||||||
|
| |||||||||||
11,603,243 | ||||||||||||
|
| |||||||||||
South Carolina–1.6% | ||||||||||||
Patriots Energy Group Financing Agency | 7,390 | 7,405,808 | ||||||||||
Renewable Water Resources | 7,220 | 7,509,691 | ||||||||||
South Carolina Association of Governmental Organizations | 2,000 | 2,007,268 | ||||||||||
South Carolina Public Service Authority | 2,000 | 1,705,591 | ||||||||||
Series 2021-B | 3,000 | 2,645,636 | ||||||||||
|
| |||||||||||
21,273,994 | ||||||||||||
|
| |||||||||||
South Dakota–0.2% | ||||||||||||
South Dakota Health & Educational Facilities Authority | 2,000 | 2,093,305 | ||||||||||
|
| |||||||||||
Tennessee–0.6% | ||||||||||||
Metropolitan Nashville Airport Authority (The) | 1,205 | 1,245,478 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Tennessee Energy Acquisition Corp. | $ | 6,500 | $ | 6,435,326 | ||||||||
|
| |||||||||||
7,680,804 | ||||||||||||
|
| |||||||||||
Texas–4.0% |
| |||||||||||
City of Corpus Christi TX Utility System Revenue | 1,290 | 1,328,027 | ||||||||||
Series 2015-C | 1,030 | 1,074,785 | ||||||||||
City of Houston TX Airport System Revenue | 375 | 367,829 | ||||||||||
City of San Antonio TX Electric & Gas Systems Revenue | 1,750 | 1,857,462 | ||||||||||
Dallas Fort Worth International Airport | 2,500 | 2,650,738 | ||||||||||
5.00%, 11/01/2027 | 1,225 | 1,312,340 | ||||||||||
Irving Hospital Authority | 1,100 | 1,136,789 | ||||||||||
Lower Colorado River Authority | 5,255 | 5,548,718 | ||||||||||
Metropolitan Transit Authority of Harris County | 1,185 | 1,296,386 | ||||||||||
New Hope Cultural Education Facilities Finance Corp. | 1,160 | 1,175,817 | ||||||||||
Port Beaumont Navigation District | 300 | 241,526 | ||||||||||
Texas A&M University | 3,950 | 3,996,042 |
2022 Annual Report | 69 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Texas Private Activity Bond Surface Transportation Corp. | $ | 1,880 | $ | 1,819,304 | ||||||||
Texas Transportation Commission State Highway Fund | 10,035 | 10,035,000 | ||||||||||
Texas Water Development Board | 1,255 | 1,358,706 | ||||||||||
University of Houston | 13,870 | 13,959,280 | ||||||||||
Via Metropolitan Transit | 2,580 | 2,651,093 | ||||||||||
|
| |||||||||||
51,809,842 | ||||||||||||
|
| |||||||||||
Virginia–0.2% |
| |||||||||||
Greater Richmond Convention Center Authority | 2,065 | 2,090,458 | ||||||||||
Virginia Small Business Financing Authority | 1,120 | 1,122,660 | ||||||||||
|
| |||||||||||
3,213,118 | ||||||||||||
|
| |||||||||||
Washington–4.6% |
| |||||||||||
Franklin County School District No. 1 Pasco | 8,615 | 8,941,234 | ||||||||||
Port of Seattle WA | 6,000 | 6,249,854 | ||||||||||
5.00%, 05/01/2027 | 6,500 | 6,808,112 | ||||||||||
5.00%, 05/01/2029 | 1,875 | 1,950,313 | ||||||||||
Series 2018-B | 4,925 | 5,130,089 | ||||||||||
5.00%, 05/01/2027 | 5,340 | 5,593,126 | ||||||||||
5.00%, 05/01/2028 | 5,775 | 6,069,424 | ||||||||||
Series 2021 | 1,000 | 872,997 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Snohomish & Island Counties School District No. 41 Stanwood-Camano | $ | 1,000 | $ | 1,083,668 | ||||||||
Snohomish County Public Utility District No 1 Electric System Revenue | 6,065 | 6,083,959 | ||||||||||
Spokane County School District No. 81 Spokane | 2,000 | 1,805,327 | ||||||||||
State of Washington | 3,755 | 3,871,792 | ||||||||||
Series 2015-R | 3,735 | 3,786,768 | ||||||||||
Washington State Convention Center Public Facilities District | 1,960 | 1,734,082 | ||||||||||
Washington State Housing Finance Commission | 981 | 832,419 | ||||||||||
|
| |||||||||||
60,813,164 | ||||||||||||
|
| |||||||||||
West Virginia–0.2% |
| |||||||||||
Tobacco Settlement Finance Authority/WV | 3,070 | 2,600,637 | ||||||||||
|
| |||||||||||
Wisconsin–3.3% |
| |||||||||||
State of Wisconsin | 3,800 | 4,120,185 | ||||||||||
5.00%, 05/01/2030 | 2,500 | 2,764,010 | ||||||||||
Series 2021-2 | 3,390 | 3,747,998 | ||||||||||
5.00%, 05/01/2031 | 3,500 | 3,866,434 | ||||||||||
5.00%, 05/01/2032 | 1,000 | 1,101,734 | ||||||||||
5.00%, 05/01/2033 | 1,400 | 1,538,365 | ||||||||||
5.00%, 05/01/2035 | 750 | 816,331 | ||||||||||
5.00%, 05/01/2036 | 1,210 | 1,304,947 | ||||||||||
5.00%, 05/01/2037 | 1,300 | 1,397,354 | ||||||||||
5.00%, 05/01/2038 | 1,450 | 1,549,128 | ||||||||||
5.00%, 05/01/2039 | 1,500 | 1,600,686 | ||||||||||
5.00%, 05/01/2040 | 1,500 | 1,597,442 | ||||||||||
UMA Education, Inc. | 175 | 175,000 |
70 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
5.00%, 10/01/2023(a) | $ | 195 | $ | 195,130 | ||||||||
5.00%, 10/01/2025(a) | 730 | 727,395 | ||||||||||
5.00%, 10/01/2026(a) | 770 | 764,782 | ||||||||||
5.00%, 10/01/2027(a) | 805 | 795,911 | ||||||||||
5.00%, 10/01/2028(a) | 440 | 432,412 | ||||||||||
5.00%, 10/01/2029(a) | 200 | 195,759 | ||||||||||
Wausau School District | 2,180 | 2,366,921 | ||||||||||
Wisconsin Health & Educational Facilities Authority | 40 | 38,028 | ||||||||||
Wisconsin Public Finance Authority | 1,400 | 1,241,514 | ||||||||||
Wisconsin Public Finance Authority (Celanese US Holdings LLC) | 3,245 | 3,273,922 | ||||||||||
Series 2016-B | ||||||||||||
5.00%, 12/01/2025 |
| 2,510 | 2,557,517 | |||||||||
Wisconsin Public Finance Authority | ||||||||||||
Series 2022 | 1,000 | 949,844 | ||||||||||
Wisconsin Public Finance Authority | ||||||||||||
Series 2021-B | 1,000 | 883,877 | ||||||||||
Wisconsin Public Finance Authority | ||||||||||||
Series 2021 | 1,000 | 843,282 | ||||||||||
4.00%, 02/01/2040 |
| 1,000 | 832,438 | |||||||||
Series 2022 | 1,000 | 1,021,286 | ||||||||||
|
| |||||||||||
42,699,632 | ||||||||||||
|
| |||||||||||
Total Long-Term Municipal Bonds (cost $1,006,823,295) | 949,867,358 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
INVESTMENT COMPANIES–23.3% |
| |||||||||||
Funds and Investment Trusts–23.3%(c) |
| |||||||||||
iShares Core MSCI EAFE ETF | 1,670,856 | 88,003,985 | ||||||||||
iShares Core MSCI Emerging Markets ETF | 950,834 | 40,866,845 | ||||||||||
SPDR S&P 500 ETF Trust | 459,720 | 164,202,790 |
Shares | U.S. $ Value | |||||||||||
Vanguard Mid-Cap ETF | 68,109 | $ | 12,803,130 | |||||||||
|
| |||||||||||
Total Investment Companies (cost $265,836,378) | 305,876,750 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED—PUTS–1.2% |
| |||||||||||
Options on Equity Indices–1.2% |
| |||||||||||
Euro STOXX 50 Index |
| |||||||||||
Expiration: Jul 2023; |
| |||||||||||
Counterparty: UBS AG(d) | EUR | 14,980,000 | 744,888 | |||||||||
Euro STOXX 50 Index |
| |||||||||||
Expiration: Jul 2023; |
| |||||||||||
Counterparty: UBS AG(d) | EUR | 10,640,000 | 529,079 | |||||||||
FTSE 100 Index |
| |||||||||||
Expiration: Aug 2023; |
| |||||||||||
Counterparty: UBS AG(d) | GBP | 6,840,000 | 302,324 | |||||||||
FTSE 100 Index | ||||||||||||
Expiration: Aug 2023; Exercise Price: GBP 6,000.00; | ||||||||||||
Counterparty: UBS AG(d) | GBP | 4,920,000 | 217,461 | |||||||||
Nikkei 225 Index | ||||||||||||
Expiration: Sep 2023; |
| |||||||||||
Counterparty: UBS AG(d) | JPY | 1,430,000,000 | 476,508 | |||||||||
Nikkei 225 Index |
| |||||||||||
Expiration: Sep 2023; | ||||||||||||
Counterparty: UBS AG(d) | JPY | 1,056,000,000 | 351,883 | |||||||||
S&P 500 Index |
| |||||||||||
Expiration: Jul 2023; |
| |||||||||||
Counterparty: UBS AG(d) | USD | 90,350,000 | 5,207,227 | |||||||||
S&P 500 Index |
| |||||||||||
Expiration: Jul 2023; |
| |||||||||||
Counterparty: UBS AG(d) | USD | 132,925,000 | 7,660,992 | |||||||||
|
| |||||||||||
Total Options Purchased—Puts (premiums paid $8,984,639) | 15,490,362 | |||||||||||
|
| |||||||||||
2022 Annual Report | 71 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
CORPORATES—INVESTMENT GRADE–0.8% |
| |||||||||||
Industrial–0.8% |
| |||||||||||
Capital Goods–0.2% |
| |||||||||||
Caterpillar Financial Services Corp. |
| $ | 1,800 | $ | 1,783,908 | |||||||
John Deere Capital Corp. |
| 1,000 | 996,170 | |||||||||
|
| |||||||||||
2,780,078 | ||||||||||||
|
| |||||||||||
Consumer Cyclical—Automotive–0.2% |
| |||||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.443% (SOFR + 1.30%), 04/07/2025(b) |
| 2,000 | 1,957,540 | |||||||||
|
| |||||||||||
Consumer Non-Cyclical–0.2% |
| |||||||||||
Baylor Scott & White Holdings |
| |||||||||||
Series 2021 |
| 1,075 | 954,535 | |||||||||
1.777%, 11/15/2030 |
| 1,000 | 767,910 | |||||||||
Ochsner LSU Health System of North Louisiana | 2,000 | 1,529,540 | ||||||||||
|
| |||||||||||
3,251,985 | ||||||||||||
|
| |||||||||||
Services–0.2% |
| |||||||||||
Novant Health, Inc. |
| 3,525 | 2,566,553 | |||||||||
|
| |||||||||||
Total Corporates—Investment Grade (cost $12,399,259) |
| 10,556,156 | ||||||||||
|
| |||||||||||
GOVERNMENTS—TREASURIES–0.7% |
| |||||||||||
United States–0.7% |
| |||||||||||
U.S. Treasury Notes |
| 1,698 | 1,656,611 | |||||||||
2.625%, 02/15/2029(e) |
| 7,796 | 7,184,502 | |||||||||
|
| |||||||||||
Total Governments—Treasuries (cost $9,580,021) |
| 8,841,113 | ||||||||||
|
| |||||||||||
CORPORATES—NON-INVESTMENT GRADE–0.3% |
| |||||||||||
Industrial–0.3% | ||||||||||||
Communications—Media–0.1% |
| |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
| 1,546 | 1,116,367 | |||||||||
|
| |||||||||||
Consumer Non-Cyclical–0.1% |
| |||||||||||
Medline Borrower LP |
| 1,150 | 923,496 | |||||||||
|
| |||||||||||
Transportation—Airlines–0.1% |
| |||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. |
| 700 | 657,832 | |||||||||
5.75%, 04/20/2029(a) |
| 620 | 541,080 |
Principal Amount (000) | U.S. $ Value | |||||||||||
United Airlines, Inc. |
| $ | 1,000 | $ | 892,230 | |||||||
4.625%, 04/15/2029(a) |
| 500 | 415,200 | |||||||||
|
| |||||||||||
2,506,342 | ||||||||||||
|
| |||||||||||
Total Corporates—Non-Investment Grade (cost $5,515,619) |
| 4,546,205 | ||||||||||
|
| |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES–0.3% |
| |||||||||||
Agency CMBS–0.3% |
| |||||||||||
California Housing Finance Agency | 2,964 | 2,719,493 | ||||||||||
Federal Home Loan Mortgage Corp. |
| 987 | 755,052 | |||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities (cost $4,517,388) |
| 3,474,545 | ||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS–0.1% |
| |||||||||||
Risk Share Floating Rate–0.1% |
| |||||||||||
Bellemeade Re Ltd. | 126 | 125,505 | ||||||||||
Connecticut Avenue Securities Trust |
| 250 | 247,234 | |||||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes | 106 | 104,187 | ||||||||||
Series 2013-DN2, Class M2 | 90 | 91,004 | ||||||||||
Federal National Mortgage Association Connecticut Avenue Securities | ||||||||||||
Series 2014-C03, Class 2M2 | 64 | 64,111 | ||||||||||
Series 2015-C03, Class 1M2 | 36 | 36,937 | ||||||||||
Series 2016-C01, Class 1M2 | 113 | 118,982 | ||||||||||
Series 2016-C02, Class 1M2 | 56 | 58,245 | ||||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations (cost $727,246) |
| 846,205 | ||||||||||
|
|
72 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Shares | U.S. $ Value | |||||||||
SHORT-TERM INVESTMENTS–0.5% |
| |||||||||
Investment Companies–0.5% |
| |||||||||
AB Fixed Income Shares, Inc.—Government Money Market Portfolio—Class AB, | 7,141,247 | $ | 7,141,247 | |||||||
|
| |||||||||
Total Investments—99.7% (cost $1,321,525,092) | 1,306,639,941 | |||||||||
Other assets less liabilities—0.3% | 4,340,209 | |||||||||
|
| |||||||||
Net Assets—100.0% | $ | 1,310,980,150 | ||||||||
|
|
FUTURES (see Note 3) |
| |||||||||||||
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased Contracts | ||||||||||||||
Euro STOXX 50 Index Futures | 226 | December 2022 | $ | 7,342,437 | $ | (551,998 | ) | |||||||
FTSE 100 Index Futures | 39 | December 2022 | 3,010,950 | (183,682 | ) | |||||||||
Hang Seng Index Futures | 62 | October 2022 | 6,796,609 | (230,397 | ) | |||||||||
Nikkei 225 (OSE) Futures | 24 | December 2022 | 4,301,527 | (208,706 | ) | |||||||||
OMXS 30 Index Futures | 676 | October 2022 | 11,147,225 | (677,728 | ) | |||||||||
Russell 2000 E-Mini Futures | 98 | December 2022 | 8,182,020 | (1,077,628 | ) | |||||||||
S&P 500 E-Mini Futures | 363 | December 2022 | 65,367,225 | (5,984,653 | ) | |||||||||
U.S. T-Note 2 Yr (CBT) Futures | 131 | December 2022 | 26,906,172 | (432,070 | ) | |||||||||
U.S. T-Note 10 Yr (CBT) Futures | 344 | December 2022 | 38,549,500 | (1,997,273 | ) | |||||||||
U.S. Ultra Bond (CBT) Futures | 91 | December 2022 | 12,467,000 | (1,200,600 | ) | |||||||||
Sold Contracts | ||||||||||||||
Euro STOXX 50 Index Futures | 339 | December 2022 | 11,013,656 | (8,600 | ) | |||||||||
FTSE 100 Index Futures | 164 | December 2022 | 12,661,431 | 717,474 | ||||||||||
MSCI Emerging Markets Futures | 535 | December 2022 | 23,312,625 | 2,033,256 | ||||||||||
MSCI Singapore IX ETS Futures | 222 | October 2022 | 4,337,984 | 22,221 | ||||||||||
S&P 500 E-Mini Futures | 332 | December 2022 | 59,784,900 | 3,118,291 | ||||||||||
S&P Mid 400 E-Mini Futures | 33 | December 2022 | 7,287,060 | 625,398 | ||||||||||
S&P/TSX 60 Index Futures | 76 | December 2022 | 12,280,161 | 299,933 | ||||||||||
SPI 200 Futures | 233 | December 2022 | 24,092,065 | 1,202,420 | ||||||||||
TOPIX Index Futures | 49 | December 2022 | 6,215,988 | (3,388 | ) | |||||||||
|
| |||||||||||||
$ | (4,537,730 | ) | ||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3) |
| |||||||||||||||||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Bank of America, NA | USD | 8,576 | NZD | 14,274 | 11/18/2022 | $ | (585,916 | ) | ||||||||||||||
Bank of America, NA | USD | 3,302 | NOK | 34,100 | 12/01/2022 | (166,619 | ) | |||||||||||||||
Bank of America, NA | CHF | 17,772 | USD | 18,238 | 12/07/2022 | 115,837 | ||||||||||||||||
Bank of America, NA | CHF | 2,950 | USD | 2,994 | 12/07/2022 | (13,825 | ) |
2022 Annual Report | 73 |
Table of Contents
Schedule of Investments (continued)
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Barclays Capital | USD | 2,922 | CAD | 3,761 | 10/27/2022 | $ | (199,828 | ) | ||||||||||||
BNP Paribas SA | AUD | 32,011 | USD | 22,084 | 10/20/2022 | 1,604,625 | ||||||||||||||
BNP Paribas SA | CAD | 5,682 | USD | 4,359 | 10/27/2022 | 245,319 | ||||||||||||||
BNP Paribas SA | USD | 3,854 | CAD | 5,295 | 10/27/2022 | (20,850 | ) | |||||||||||||
BNP Paribas SA | USD | 10,368 | NZD | 16,752 | 11/18/2022 | (990,881 | ) | |||||||||||||
Citibank, NA | USD | 14,512 | CAD | 19,117 | 10/27/2022 | (673,260 | ) | |||||||||||||
Citibank, NA | GBP | 13,721 | USD | 15,839 | 11/17/2022 | 508,033 | ||||||||||||||
Citibank, NA | USD | 4,298 | GBP | 4,013 | 11/17/2022 | 185,574 | ||||||||||||||
Citibank, NA | SEK | 108,816 | USD | 9,907 | 12/01/2022 | 72,527 | ||||||||||||||
Credit Suisse International | USD | 2,358 | CAD | 3,084 | 10/27/2022 | (125,171 | ) | |||||||||||||
Deutsche Bank AG | CAD | 13,733 | USD | 10,743 | 10/27/2022 | 801,326 | ||||||||||||||
Goldman Sachs Bank USA | USD | 1,347 | SEK | 15,276 | 12/01/2022 | 34,020 | ||||||||||||||
HSBC Bank USA | USD | 16,964 | CAD | 21,796 | 10/27/2022 | (1,185,572 | ) | |||||||||||||
HSBC Bank USA | USD | 9,250 | JPY | 1,330,342 | 12/02/2022 | (3,007 | ) | |||||||||||||
JPMorgan Chase Bank, NA | USD | 7,846 | AUD | 11,618 | 10/20/2022 | (413,147 | ) | |||||||||||||
JPMorgan Chase Bank, NA | CAD | 8,248 | USD | 6,411 | 10/27/2022 | 440,597 | ||||||||||||||
JPMorgan Chase Bank, NA | USD | 14,402 | JPY | 2,064,248 | 12/02/2022 | (53,340 | ) | |||||||||||||
JPMorgan Chase Bank, NA | EUR | 48,635 | USD | 47,566 | 12/08/2022 | (319,609 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | USD | 29,277 | AUD | 42,143 | 10/20/2022 | (2,316,116 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | USD | 20,968 | CAD | 27,456 | 10/27/2022 | (1,092,953 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | GBP | 16,288 | USD | 19,015 | 11/17/2022 | 816,062 | ||||||||||||||
Morgan Stanley & Co., Inc. | USD | 5,240 | GBP | 4,578 | 11/17/2022 | (125,039 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | NZD | 2,896 | USD | 1,778 | 11/18/2022 | 157,319 | ||||||||||||||
Morgan Stanley & Co., Inc. | USD | 3,504 | NZD | 6,219 | 11/18/2022 | (22,744) | ||||||||||||||
Morgan Stanley & Co., Inc. | USD | 3,296 | JPY | 468,190 | 12/02/2022 | (41,685 | ) | |||||||||||||
Morgan Stanley & Co., Inc. | CHF | 2,467 | USD | 2,523 | 12/07/2022 | 7,035 | ||||||||||||||
UBS AG | GBP | 2,510 | USD | 2,972 | 11/17/2022 | 166,831 | ||||||||||||||
|
| |||||||||||||||||||
$ | (3,194,457 | ) | ||||||||||||||||||
|
|
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note 3) | ||||||||||||||||||||||||||||
Rate Type | Payment Frequency Paid/ Received | Market | Upfront Premiums Paid/ (Received) | Unrealized | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | |||||||||||||||||||||||||
USD | 4,710 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 406,022 | $ | — | $ | 406,022 | |||||||||||||||||
USD | 2,355 | 01/15/2025 | 2.585% | CPI# | Maturity | 201,159 | — | 201,159 | ||||||||||||||||||||
USD | 2,355 | 01/15/2025 | 2.613% | CPI# | Maturity | 198,610 | — | 198,610 | ||||||||||||||||||||
USD | 11,470 | 01/15/2026 | CPI# | 3.720% | Maturity | (312,537 | ) | — | (312,537 | ) | ||||||||||||||||||
USD | 7,300 | 01/15/2027 | CPI# | 3.320% | Maturity | (274,804 | ) | — | (274,804 | ) | ||||||||||||||||||
USD | 7,200 | 01/15/2027 | CPI# | 3.466% | Maturity | (207,667 | ) | (8,413 | ) | (199,254 | ) | |||||||||||||||||
USD | 20,920 | 01/15/2028 | 1.230% | CPI# | Maturity | 3,490,717 | — | 3,490,717 | ||||||||||||||||||||
USD | 16,190 | 01/15/2028 | 0.735% | CPI# | Maturity | 3,266,155 | — | 3,266,155 | ||||||||||||||||||||
USD | 30,110 | 01/15/2029 | CPI# | 3.290% | Maturity | (603,170 | ) | — | (603,170 | ) | ||||||||||||||||||
USD | 5,860 | 01/15/2029 | CPI# | 3.735% | Maturity | 94,130 | — | 94,130 | ||||||||||||||||||||
USD | 5,125 | 01/15/2030 | 1.572% | CPI# | Maturity | 784,827 | — | 784,827 | ||||||||||||||||||||
USD | 5,125 | 01/15/2030 | 1.587% | CPI# | Maturity | 778,003 | — | 778,003 | ||||||||||||||||||||
USD | 1,130 | 01/15/2030 | 1.714% | CPI# | Maturity | 158,720 | — | 158,720 | ||||||||||||||||||||
USD | 1,130 | 01/15/2030 | 1.731% | CPI# | Maturity | 156,993 | — | 156,993 |
74 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Rate Type | Payment Frequency Paid/ Received | Market | Upfront Premiums Paid/ (Received) | Unrealized | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | |||||||||||||||||||||||||
USD | 4,400 | 01/15/2031 | 2.782% | CPI# | Maturity | $ | 222,104 | $ | — | $ | 222,104 | |||||||||||||||||
USD | 4,150 | 01/15/2031 | 2.680% | CPI# | Maturity | 249,765 | — | 249,765 | ||||||||||||||||||||
USD | 3,500 | 01/15/2031 | 2.989% | CPI# | Maturity | 106,962 | — | 106,962 | ||||||||||||||||||||
USD | 3,800 | 04/15/2032 | CPI# | 2.909% | Maturity | (107,547 | ) | — | (107,547 | ) | ||||||||||||||||||
USD | 3,350 | 04/15/2032 | CPI# | 2.748% | Maturity | (151,069 | ) | — | (151,069 | ) | ||||||||||||||||||
USD | 2,000 | 04/15/2032 | CPI# | 2.722% | Maturity | (95,669 | ) | — | (95,669 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 8,361,704 | $ | (8,413 | ) | $ | 8,370,117 | ||||||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||||||
Rate Type | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | ||||||||||||||||||||||||||||||
Citibank, NA | USD | 10,850 | 04/15/2032 | 2.777 | % | 1 Day SOFR | Annual | $ | 605,667 | $ | — | $ | 605,667 |
CREDIT DEFAULT SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Sale Contracts | ||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | % | Monthly | 7.50 | % | USD | 70 | $ | (15,616 | ) | $ | (6,506 | ) | $ | (9,110 | ) | ||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 965 | (216,362 | ) | (118,407 | ) | (97,955 | ) | |||||||||||||||||||
Credit Suisse International | ||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 1 | (161 | ) | (84 | ) | (77 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 38 | (8,533 | ) | (3,588 | ) | (4,945 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 475 | (106,571 | ) | (44,866 | ) | (61,705 | ) | |||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 714 | (160,179 | ) | (65,703 | ) | (94,476 | ) | |||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 620 | (138,929 | ) | (55,313 | ) | (83,616 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (646,351) | $ | (294,467) | $ | (351,884) | |||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
2022 Annual Report | 75 |
Table of Contents
Schedule of Investments (continued)
INFLATION (CPI) SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||||||
| Rate Type | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | ||||||||||||||||||||||||||||||
Barclays Bank PLC | USD | 12,000 | 10/23/2026 | 2.310 | % | CPI | # | Maturity | $ | 620,468 | $ | — | $ | 620,468 | ||||||||||||||||||||
Barclays Bank PLC | USD | 10,000 | 12/04/2027 | 2.170 | % | CPI | # | Maturity | 1,005,510 | — | 1,005,510 | |||||||||||||||||||||||
Barclays Bank PLC | USD | 10,000 | 10/23/2029 | 2.388 | % | CPI | # | Maturity | 387,784 | — | 387,784 | |||||||||||||||||||||||
Barclays Bank PLC | USD | 13,000 | 12/04/2032 | 2.233 | % | CPI | # | Maturity | 1,231,735 | — | 1,231,735 | |||||||||||||||||||||||
Citibank, NA | USD | 22,000 | 11/04/2023 | 1.900 | % | CPI | # | Maturity | 2,528,370 | — | 2,528,370 | |||||||||||||||||||||||
Citibank, NA | USD | 10,000 | 07/20/2027 | 2.104 | % | CPI | # | Maturity | 1,098,022 | — | 1,098,022 | |||||||||||||||||||||||
Deutsche Bank AG | USD | 10,000 | 09/04/2025 | 1.818 | % | CPI | # | Maturity | 1,241,731 | — | 1,241,731 | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 10,000 | 03/02/2024 | 2.175 | % | CPI | # | Maturity | 920,331 | — | 920,331 | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 33,000 | 07/20/2024 | 1.995 | % | CPI | # | Maturity | 3,639,105 | — | 3,639,105 | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 13,000 | 11/04/2026 | 2.015 | % | CPI | # | Maturity | 1,545,613 | — | 1,545,613 | |||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 28,000 | 12/27/2028 | 2.009 | % | CPI | # | Maturity | 3,134,823 | — | 3,134,823 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 17,353,492 | $ | — | $ | 17,353,492 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
INTEREST RATE SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Rate Type | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
Swap Counterparty | Payments made by the Fund | Payments received by the Fund | ||||||||||||||||||||||||||||||||
Citibank, NA | USD | 12,470 | 10/09/2029 | 1.125 | % | SIFMA | * | Quarterly | $ | 1,433,021 | $ | — | $ | 1,433,021 |
* Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index.
TOTAL RETURN SWAPS (see Note 3) |
| |||||||||||||||||||||
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||
Morgan Stanley Capital Services LLC | ||||||||||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 103 | 12/16/2022 | $ | (4,861 | ) | ||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 1,641 | 12/16/2022 | (123,292 | ) | |||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 2,360 | 12/16/2022 | (126,184 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (254,337 | ) | ||||||||||||||||||||
|
|
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $30,513,104 or 2.3% of net assets. |
(b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(c) | 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. |
(d) | Non-income producing security. |
(e) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(f) | Affiliated investments. |
(g) | The rate shown represents the 7-day yield as of period end. |
76 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 4.8% and 0.0%, respectively.
Currency Abbreviations:
AUD—Australian Dollar
CAD—Canadian Dollar
CHF—Swiss Franc
EUR—Euro
GBP—Great British Pound
JPY—Japanese Yen
NOK—Norwegian Krone
NZD—New Zealand Dollar
SEK—Swedish Krona
USD—United States Dollar
Glossary:
AGC—Assured Guaranty Corporation
AGM—Assured Guaranty Municipal
BAM—Build American Mutual
CBT—Chicago Board of Trade
CDX-CMBX.NA—North American Commercial Mortgage-Backed Index
CMBS—Commercial Mortgage-Backed Securities
CCRC—Congregate Care Retirement Center
COP—Certificate of Participation
CPI—Consumer Price Index
EAFE—Europe, Australia, and Far East
ETF—Exchange Traded Fund
ETM—Escrowed to Maturity
ETS—Emission Trading Scheme
FTSE—Financial Times Stock Exchange
LIBOR—London Interbank Offered Rate
MSCI—Morgan Stanley Capital International
MUNIPSA—SIFMA Municipal Swap Index
NATL—National Interstate Corporation
OMXS—Stockholm Stock Exchange
OSE—Osaka Securities Exchange
OSF—Order of St. Francis
SOFR—Secured Overnight Financing Rate
SPDR—Standard & Poor’s Depository Receipt
SPI—Share Price Index
TOPIX—Tokyo Price Index
TSX—Toronto Stock Exchange
UPMC—University of Pittsburgh Medical Center
XLCA—XL Capital Assurance Inc.
See notes to financial statements.
2022 Annual Report | 77 |
Table of Contents
Schedule of Investments
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Tax-Aware Overlay C Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||||||
MUNICIPAL OBLIGATIONS–78.7% |
| |||||||||||
Long-Term Municipal Bonds–76.5% |
| |||||||||||
American Samoa–0.1% |
| |||||||||||
American Samoa Economic Development Authority | $ | 235 | $ | 253,654 | ||||||||
|
| |||||||||||
Arizona–0.6% | ||||||||||||
State of Arizona Lottery Revenue | 2,000 | 2,058,775 | ||||||||||
|
| |||||||||||
California–63.4% | ||||||||||||
Anaheim Housing & Public Improvements Authority | 1,150 | 940,831 | ||||||||||
Antelope Valley-East Kern Water Agency | 1,000 | 1,012,355 | ||||||||||
5.00%, 06/01/2025 | 1,000 | 1,044,761 | ||||||||||
Bay Area Toll Authority | 2,700 | 2,942,971 | ||||||||||
Series 2021 | 2,000 | 1,939,675 | ||||||||||
2.87% (MUNIPSA + 0.41%), 04/01/2056(b) | 2,000 | 1,937,102 | ||||||||||
California Community Housing Agency | 1,265 | 882,361 | ||||||||||
California Community Housing Agency | 500 | 358,584 |
Principal Amount (000) | U.S. $ Value | |||||||||||
California Community Housing Agency | $ | 1,000 | $ | 693,948 | ||||||||
California Educational Facilities Authority | 2,000 | 2,079,836 | ||||||||||
California Enterprise Development Authority | 540 | 488,578 | ||||||||||
California Health Facilities Financing Authority | 1,850 | 1,720,366 | ||||||||||
California Health Facilities Financing Authority | 3,430 | 3,435,452 | ||||||||||
California Health Facilities Financing Authority | 900 | 949,879 | ||||||||||
California Housing Finance Agency | 2,128 | 2,024,621 | ||||||||||
Series 2021-1, Class A | 2,592 | 2,239,441 | ||||||||||
Series 2021-2 | 1,000 | 56,273 | ||||||||||
California Infrastructure & Economic Development Bank | 2,500 | 2,472,404 | ||||||||||
California Infrastructure & Economic Development Bank | 2,000 | 1,978,415 | ||||||||||
California Municipal Finance Authority | 1,000 | 1,052,392 |
78 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
California Municipal Finance Authority | $ | 2,320 | $ | 2,480,388 | ||||||||
California Municipal Finance Authority | 1,325 | 1,359,932 | ||||||||||
5.00%, 12/31/2028 | 1,700 | 1,744,361 | ||||||||||
5.00%, 06/30/2029 | 2,000 | 2,049,613 | ||||||||||
California Municipal Finance Authority | 2,140 | 1,965,907 | ||||||||||
California Pollution Control Financing Authority | 450 | 457,386 | ||||||||||
California Public Finance Authority | 1,000 | 1,070,071 | ||||||||||
California School Finance Authority | 1,000 | 959,790 | ||||||||||
California School Finance Authority | 600 | 551,671 | ||||||||||
California School Finance Authority | 545 | 528,326 | ||||||||||
California State Public Works Board | 4,375 | 4,501,248 | ||||||||||
Series 2022-A | 4,715 | 4,788,544 | ||||||||||
California State University | 1,000 | 1,054,844 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2017-A | $ | 2,160 | $ | 2,278,463 | ||||||||
5.00%, 11/01/2030 | 1,000 | 1,075,859 | ||||||||||
Series 2020-D | 400 | 329,565 | ||||||||||
Series 2021-B | 3,000 | 2,523,041 | ||||||||||
2.274%, 11/01/2034 | 2,000 | 1,475,252 | ||||||||||
California Statewide Communities Development Authority | 2,200 | 2,319,938 | ||||||||||
California Statewide Communities Development Authority | 375 | 359,927 | ||||||||||
California Statewide Communities Development Authority | 1,000 | 928,619 | ||||||||||
Series 2018-A | 500 | 500,526 | ||||||||||
California Statewide Communities Development Authority | 2,915 | 3,003,119 | ||||||||||
5.00%, 01/01/2029 | 2,790 | 2,867,685 | ||||||||||
California Statewide Communities Development Authority | 120 | 119,222 | ||||||||||
5.00%, 07/01/2029(a) | 215 | 205,034 | ||||||||||
City & County of San Francisco CA (City & County of San Francisco CA COP) | 4,175 | 4,242,186 | ||||||||||
City of Hayward CA | 3,365 | 3,369,911 | ||||||||||
City of Los Angeles Department of Airports | 1,795 | 1,861,223 | ||||||||||
Series 2017-A | 3,585 | 3,708,833 | ||||||||||
5.00%, 05/15/2031 | 1,275 | 1,315,599 |
2022 Annual Report | 79 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||
Series 2018 | $ | 4,670 | $ | 4,709,353 | ||||||
Series 2018-D | 2,890 | 2,996,620 | ||||||||
Series 2019 | 1,000 | 868,784 | ||||||||
5.00%, 05/15/2031 | 485 | 506,273 | ||||||||
Series 2020 | 1,000 | 1,080,267 | ||||||||
City of Roseville CA | 1,000 | 1,035,889 | ||||||||
City of Roseville CA | 305 | 314,223 | ||||||||
City of San Jose CA Airport Revenue (Norman Y Mineta San Jose International Airport SJC) | 1,955 | 1,988,233 | ||||||||
Series 2014-B | 2,360 | 2,413,361 | ||||||||
CMFA Special Finance Agency VII | 1,000 | 679,820 | ||||||||
CMFA Special Finance Agency VIII Elan Huntington Beach | 290 | 217,500 | ||||||||
Coronado Community Development Agency Successor Agency | 2,520 | 2,621,844 | ||||||||
County of Los Angeles CA Community Facilities District No 2021-0 | 1,800 | 1,736,273 | ||||||||
County of Monterey CA | 4,870 | 5,251,380 | ||||||||
County of Sacramento CA Airport System Revenue | 1,280 | 1,365,251 | ||||||||
County of San Diego CA | 1,250 | 1,290,728 | ||||||||
5.00%, 10/15/2028 | 1,300 | 1,340,291 |
Principal Amount (000) | U.S. $ Value | |||||||||
CSCDA Community Improvement Authority | $ | 1,000 | $ | 744,289 | ||||||
CSCDA Community Improvement Authority | 1,250 | 947,179 | ||||||||
CSCDA Community Improvement Authority | 1,000 | 700,150 | ||||||||
CSCDA Community Improvement Authority | 1,000 | 718,434 | ||||||||
CSCDA Community Improvement Authority | 955 | 760,066 | ||||||||
CSCDA Community Improvement Authority | 1,000 | 737,959 | ||||||||
CSCDA Community Improvement Authority | 995 | 710,283 | ||||||||
CSCDA Community Improvement Authority | 1,000 | 776,078 |
80 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||
CSCDA Community Improvement Authority | $ | 1,000 | $ | 728,232 | ||||||
CSCDA Community Improvement Authority | 1,000 | 690,227 | ||||||||
Fremont Community Facilities District No. 1 | 1,505 | 1,546,113 | ||||||||
Golden State Tobacco Securitization Corp. | 240 | 235,037 | ||||||||
Golden State Tobacco Securitization Corp. | 1,000 | 907,813 | ||||||||
Irvine Unified School District | 925 | 935,239 | ||||||||
Los Angeles Community College District/CA | 2,585 | 2,671,357 | ||||||||
Los Angeles Department of Water & Power | 1,660 | 1,807,854 | ||||||||
Los Angeles Department of Water & Power Power System Revenue | 365 | 400,344 | ||||||||
5.00%, 07/01/2029 | 455 | 505,359 | ||||||||
Los Angeles Unified School District/CA | 6,815 | 7,031,652 | ||||||||
Series 2021-R | 2,725 | 2,764,580 | ||||||||
Metropolitan Water District of Southern California | 1,000 | 994,849 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Middle Fork Project Finance Authority | $ | 450 | $ | 465,987 | ||||||||
Newport Mesa Unified School District | 510 | 526,946 | ||||||||||
Oakland Unified School District/Alameda County | 1,310 | 1,368,438 | ||||||||||
5.00%, 08/01/2026 | 1,025 | 1,071,076 | ||||||||||
Peralta Community College District | 5,855 | 6,014,892 | ||||||||||
Regents of the University of California Medical Center Pooled Revenue | 4,885 | 4,938,940 | ||||||||||
Series 2022 | 3,000 | 3,179,575 | ||||||||||
River Islands Public Financing Authority | 1,000 | 910,482 | ||||||||||
5.00%, 09/01/2042 | 1,000 | 918,442 | ||||||||||
Riverside County Redevelopment Successor Agency | 1,900 | 2,035,235 | ||||||||||
Romoland School District | 300 | 302,973 | ||||||||||
Sacramento County Sanitation Districts Financing Authority | 2,000 | 2,054,828 | ||||||||||
Sacramento County Water Financing Authority | 1,450 | 1,244,007 | ||||||||||
San Diego Association of Governments | 1,500 | 1,330,416 |
2022 Annual Report | 81 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
San Diego County Regional Transportation Commission | $ | 1,970 | $ | 1,970,000 | ||||||||
San Diego County Water Authority | 780 | 788,747 | ||||||||||
5.00%, 05/01/2024 | 500 | 514,463 | ||||||||||
5.00%, 05/01/2025 | 1,000 | 1,047,760 | ||||||||||
San Francisco Intl Airport | 1,050 | 1,095,377 | ||||||||||
5.00%, 05/01/2026 | 1,680 | 1,772,984 | ||||||||||
Saugus/Hart School Facilities Financing Authority | 750 | 774,043 | ||||||||||
State of California | 5,635 | 5,732,393 | ||||||||||
Series 2015 | 2,135 | 2,191,122 | ||||||||||
Series 2015-B | 5,700 | 5,798,516 | ||||||||||
Series 2016 | 8,760 | 8,911,403 | ||||||||||
Series 2018-B | 7,615 | 8,327,608 | ||||||||||
Series 2020 | 4,900 | 4,999,395 | ||||||||||
Series 2021 | 2,000 | 2,034,567 | ||||||||||
Stockton Redevelopment Agency Successor Agency | 1,900 | 1,976,388 | ||||||||||
Tobacco Securitization Authority of Southern California | 960 | 1,000,449 | ||||||||||
University of California | 6,000 | 6,072,505 | ||||||||||
Series 2015-A | 2,270 | 2,382,844 | ||||||||||
Series 2018-A | 2,120 | 2,149,962 | ||||||||||
Walnut Energy Center Authority | 1,000 | 1,029,730 | ||||||||||
5.00%, 01/01/2028 | 1,800 | 1,849,816 | ||||||||||
|
| |||||||||||
232,757,821 | ||||||||||||
|
|
Principal Amount (000) | U.S. $ Value | |||||||||||
Colorado–0.7% |
| |||||||||||
City & County of Denver CO (United Airlines, Inc.) | $ | 1,000 | $ | 951,707 | ||||||||
Plaza Metropolitan District No. 1 | 690 | 690,634 | ||||||||||
Sterling Ranch Community Authority Board | 1,000 | 979,749 | ||||||||||
Vauxmont Metropolitan District | 100 | 104,103 | ||||||||||
|
| |||||||||||
2,726,193 | ||||||||||||
|
| |||||||||||
Connecticut–0.3% |
| |||||||||||
State of Connecticut | 1,250 | 1,302,623 | ||||||||||
|
| |||||||||||
Florida–0.0% |
| |||||||||||
Capital Trust Agency, Inc. | 100 | 100,814 | ||||||||||
County of Osceola FL Transportation Revenue | 100 | 62,861 | ||||||||||
|
| |||||||||||
163,675 | ||||||||||||
|
| |||||||||||
Guam–1.2% |
| |||||||||||
Antonio B Won Pat International Airport Authority | 200 | 175,605 | ||||||||||
3.489%, 10/01/2031 | 120 | 99,459 | ||||||||||
Guam Power Authority | 1,000 | 1,042,240 | ||||||||||
Territory of Guam | 90 | 84,980 | ||||||||||
Territory of Guam | 140 | 139,785 | ||||||||||
5.00%, 12/01/2030 | 225 | 223,358 | ||||||||||
5.00%, 12/01/2032 | 205 | 200,587 | ||||||||||
Territory of Guam | 420 | 421,613 | ||||||||||
5.00%, 11/15/2025 | 350 | 351,224 |
82 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
5.00%, 11/15/2031 | $ | 840 | $ | 826,947 | ||||||||
Territory of Guam | 1,000 | 921,874 | ||||||||||
|
| |||||||||||
4,487,672 | ||||||||||||
|
| |||||||||||
Illinois–2.5% |
| |||||||||||
Chicago Board of Education | 2,000 | 2,034,947 | ||||||||||
Illinois Finance Authority | 100 | 100,679 | ||||||||||
5.00%, 09/01/2029 | 100 | 102,370 | ||||||||||
5.00%, 09/01/2033 | 100 | 99,957 | ||||||||||
Metropolitan Pier & Exposition Authority | 1,400 | 1,421,252 | ||||||||||
State of Illinois | 2,165 | 2,191,479 | ||||||||||
Series 2017-D | 3,190 | 3,242,704 | ||||||||||
|
| |||||||||||
9,193,388 | ||||||||||||
|
| |||||||||||
Kentucky–0.1% | ||||||||||||
City of Ashland KY | 140 | 144,572 | ||||||||||
5.00%, 02/01/2031 | 100 | 102,199 | ||||||||||
|
| |||||||||||
246,771 | ||||||||||||
|
| |||||||||||
Louisiana–0.1% | ||||||||||||
Parish of St. James LA | 110 | 117,036 | ||||||||||
6.10%, 12/01/2040(a) | 100 | 106,397 | ||||||||||
|
| |||||||||||
223,433 | ||||||||||||
|
| |||||||||||
Michigan–2.5% | ||||||||||||
City of Detroit MI | 2,000 | 2,049,089 | ||||||||||
5.00%, 04/01/2030 | 600 | 612,350 | ||||||||||
Michigan Finance Authority | 2,175 | 2,207,843 | ||||||||||
Michigan Strategic Fund | 3,325 | 3,325,675 |
Principal Amount (000) | U.S. $ Value | |||||||||||
5.00%, 12/31/2030 | $ | 1,000 | $ | 996,891 | ||||||||
|
| |||||||||||
9,191,848 | ||||||||||||
|
| |||||||||||
Missouri–0.0% | ||||||||||||
Howard Bend Levee District XLCA INS | 100 | 101,369 | ||||||||||
|
| |||||||||||
Nebraska–0.6% | ||||||||||||
Central Plains Energy Project (Goldman Sachs Group, Inc. (The)) | 2,290 | 2,311,063 | ||||||||||
|
| |||||||||||
Nevada–0.1% | ||||||||||||
City of Sparks NV | 420 | 368,097 | ||||||||||
|
| |||||||||||
New Jersey–0.6% | ||||||||||||
New Jersey Transportation Trust Fund Authority | 2,000 | 2,082,317 | ||||||||||
|
| |||||||||||
New York–0.1% | ||||||||||||
New York Transportation Development Corp. | 210 | 185,160 | ||||||||||
|
| |||||||||||
Ohio–0.2% | ||||||||||||
Ohio Air Quality Development Authority | 720 | 716,990 | ||||||||||
|
| |||||||||||
Puerto Rico–1.0% | ||||||||||||
Commonwealth of Puerto Rico | 192 | 176,243 | ||||||||||
Zero Coupon, 07/01/2033 | 555 | 305,912 | ||||||||||
4.00%, 07/01/2033 | 130 | 114,322 | ||||||||||
5.25%, 07/01/2023 | 90 | 90,400 | ||||||||||
5.375%, 07/01/2025 | 255 | 257,466 | ||||||||||
5.625%, 07/01/2027 | 750 | 765,575 | ||||||||||
5.625%, 07/01/2029 | 100 | 102,279 | ||||||||||
5.75%, 07/01/2031 | 100 | 101,950 | ||||||||||
Puerto Rico Highway & Transportation Authority | 190 | 184,733 | ||||||||||
AGC Series 2007-C | 110 | 110,855 |
2022 Annual Report | 83 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (AES Puerto Rico LP) | $ | 1,105 | $ | 1,141,728 | ||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 310 | 286,415 | ||||||||||
|
| |||||||||||
3,637,878 | ||||||||||||
|
| |||||||||||
South Carolina–0.5% | ||||||||||||
South Carolina Public Service Authority | 2,000 | 1,749,546 | ||||||||||
|
| |||||||||||
Texas–1.0% | ||||||||||||
Mission Economic Development Corp. |
| 1,010 | 994,315 | |||||||||
Texas Municipal Gas Acquisition & Supply Corp. I | 2,565 | 2,665,010 | ||||||||||
|
| |||||||||||
3,659,325 | ||||||||||||
|
| |||||||||||
Washington–0.3% | ||||||||||||
Kalispel Tribe of Indians | 1,000 | 1,042,790 | ||||||||||
|
| |||||||||||
Wisconsin–0.6% | ||||||||||||
UMA Education, Inc. | 100 | 100,066 | ||||||||||
5.00%, 10/01/2025(a) | 225 | 224,197 | ||||||||||
5.00%, 10/01/2026(a) | 235 | 233,408 | ||||||||||
5.00%, 10/01/2027(a) | 245 | 242,234 | ||||||||||
5.00%, 10/01/2028(a) | 135 | 132,672 | ||||||||||
5.00%, 10/01/2029(a) | 100 | 97,879 | ||||||||||
Wisconsin Public Finance Authority | 1,135 | 1,145,116 | ||||||||||
|
| |||||||||||
2,175,572 | ||||||||||||
|
| |||||||||||
Total Long-Term Municipal Bonds (cost $296,737,139) | 280,635,960 | |||||||||||
|
| |||||||||||
Short-Term Municipal Notes–2.2% | ||||||||||||
City of Los Angeles CA | 8,000 | 8,054,480 | ||||||||||
|
| |||||||||||
Total Municipal Obligations (cost $304,831,646) | 288,690,440 | |||||||||||
|
|
Shares | U.S. $ Value | |||||||||||
INVESTMENT COMPANIES–12.5% | ||||||||||||
Funds and Investment Trusts–12.5%(c) |
| |||||||||||
iShares Core MSCI Emerging Markets ETF | 278,526 | $ | 11,971,047 | |||||||||
SPDR S&P 500 ETF Trust | �� | 84,610 | 30,221,000 | |||||||||
Vanguard Mid-Cap ETF | 19,951 | 3,750,389 | ||||||||||
|
| |||||||||||
Total Investment Companies (cost $34,944,029) | 45,942,436 | |||||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED—PUTS–1.2% |
| |||||||||||
Options on Equity Indices–1.2% | ||||||||||||
Euro STOXX 50 Index | EUR | 4,284,000 | 213,024 | |||||||||
Euro STOXX 50 Index | EUR | 3,052,000 | 151,762 | |||||||||
FTSE 100 Index | GBP | 1,920,000 | 84,863 | |||||||||
FTSE 100 Index | GBP | 1,440,000 | $ | 63,647 | ||||||||
Nikkei 225 Index | JPY | 418,000,000 | 139,287 | |||||||||
Nikkei 225 Index | JPY | 286,000,000 | 95,302 | |||||||||
S&P 500 Index | USD | 38,025,000 | 2,191,531 | |||||||||
S&P 500 Index | USD | 26,000,000 | 1,498,482 | |||||||||
|
| |||||||||||
Total Options Purchased—Puts (premiums paid $2,572,784) | 4,437,898 | |||||||||||
|
| |||||||||||
84 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES–0.8% |
| |||||||||||
Agency CMBS–0.8% |
| |||||||||||
California Housing Finance Agency | $ | 1,976 | $ | 1,812,995 | ||||||||
Federal Home Loan Mortgage Corp. | 1,259 | 969,273 | ||||||||||
|
| |||||||||||
Total Commercial Mortgage-Backed Securities (cost $3,634,596) |
| 2,782,268 | ||||||||||
|
| |||||||||||
GOVERNMENTS—TREASURIES–0.7% |
| |||||||||||
United States–0.7% |
| |||||||||||
U.S. Treasury Notes | 200 | 195,125 | ||||||||||
2.625%, 02/15/2029(e)(f) |
| 2,670 | 2,460,572 | |||||||||
|
| |||||||||||
Total Governments—Treasuries (cost $2,995,159) | 2,655,697 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS–0.0% |
| |||||||||||
Risk Share Floating Rate–0.0% |
| |||||||||||
Federal National Mortgage Association Connecticut Avenue Securities |
| 32 | 31,801 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2015-C02, Class 1M2 7.084% (LIBOR 1 Month + 4.00%), 05/25/2025(b) | $ | 35 | $ | 36,016 | ||||||||
|
| |||||||||||
Total Collateralized Mortgage Obligations (cost $66,545) |
| 67,817 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS – 4.8% |
| |||||||||||
Investment Companies–4.8% |
| |||||||||||
AB Fixed Income Shares, Inc.–Government Money Market Portfolio–Class AB, 2.58%(c)(g)(h) |
| 17,560,057 | 17,560,057 | |||||||||
|
| |||||||||||
Total Investments—98.7% (cost $366,604,816) | 362,136,613 | |||||||||||
Other assets less liabilities—1.3% | 4,943,591 | |||||||||||
|
| |||||||||||
Net Assets—100.0% | $ | 367,080,204 | ||||||||||
|
|
FUTURES (see Note 3) |
| |||||||||||||
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased Contracts |
| |||||||||||||
Euro STOXX 50 Index Futures | 234 | December 2022 | $ | 7,602,347 | $ | (75,056) | ||||||||
FTSE 100 Index Futures | 15 | December 2022 | 1,158,058 | (52,488) | ||||||||||
Hang Seng Index Futures | 25 | October 2022 | 2,740,568 | (64,002) | ||||||||||
Nikkei 225 (OSE) Futures | 7 | December 2022 | 1,254,612 | (62,248) | ||||||||||
OMXS 30 Index Futures | 217 | October 2022 | 3,578,325 | (183,622) | ||||||||||
Russell 2000 E-Mini Futures | 26 | December 2022 | 2,170,740 | (285,901) | ||||||||||
S&P 500 E-Mini Futures | 104 | December 2022 | 18,727,800 | (1,729,129) | ||||||||||
TOPIX Index Futures | 31 | December 2022 | 3,932,564 | (31,200) | ||||||||||
U.S. T-Note 2 Yr (CBT) Futures | 37 | December 2022 | 7,599,453 | (121,536) | ||||||||||
U.S. T-Note 10 Yr (CBT) Futures | 99 | December 2022 | 11,094,188 | (574,797) | ||||||||||
U.S. Ultra Bond (CBT) Futures | 26 | December 2022 | 3,562,000 | (342,912) | ||||||||||
Sold Contracts |
| |||||||||||||
MSCI Emerging Markets Futures | 160 | December 2022 | 6,972,000 | 616,929 | ||||||||||
MSCI Singapore IX ETS Futures | 38 | October 2022 | 742,538 | 3,804 | ||||||||||
S&P 500 E-Mini Futures | 8 | December 2022 | 1,440,600 | 29,660 | ||||||||||
S&P Mid 400 E-Mini Futures | 9 | December 2022 | 1,987,380 | 158,277 |
2022 Annual Report | 85 |
Table of Contents
Schedule of Investments (continued)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
S&P/TSX 60 Index Futures | 21 | December 2022 | $ | 3,393,202 | $ | 62,384 | ||||||||
SPI 200 Futures | 46 | December 2022 | 4,756,373 | 160,469 | ||||||||||
|
| |||||||||||||
$ | (2,491,368 | ) | ||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3) | ||||||||||||||||||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Bank of America, NA | USD | 2,127 | NZD | 3,541 | 11/18/2022 | $ | (145,350 | ) | ||||||||||||||
Bank of America, NA | USD | 1,309 | NOK | 13,514 | 12/01/2022 | (66,030 | ) | |||||||||||||||
Bank of America, NA | CHF | 5,224 | USD | 5,361 | 12/07/2022 | 34,053 | ||||||||||||||||
Bank of America, NA | CHF | 827 | USD | 839 | 12/07/2022 | (3,876 | ) | |||||||||||||||
Barclays Bank | USD | 849 | CAD | 1,093 | 10/27/2022 | (58,072 | ) | |||||||||||||||
Barclays Bank | USD | 1,125 | SEK | 12,610 | 12/01/2022 | 14,773 | ||||||||||||||||
Barclays Bank | USD | 5,672 | JPY | 815,436 | 12/02/2022 | (4,297 | ) | |||||||||||||||
BNP Paribas SA | AUD | 9,132 | USD | 6,301 | 10/20/2022 | 457,942 | ||||||||||||||||
BNP Paribas SA | CAD | 1,632 | USD | 1,252 | 10/27/2022 | 70,438 | ||||||||||||||||
BNP Paribas SA | USD | 1,095 | CAD | 1,505 | 10/27/2022 | (5,926 | ) | |||||||||||||||
BNP Paribas SA | USD | 2,776 | NZD | 4,485 | 11/18/2022 | (265,260 | ) | |||||||||||||||
Citibank, NA | USD | 4,133 | CAD | 5,445 | 10/27/2022 | (191,761 | ) | |||||||||||||||
Citibank, NA | GBP | 3,914 | USD | 4,518 | 11/17/2022 | 144,919 | ||||||||||||||||
Citibank, NA | USD | 1,234 | GBP | 1,152 | 11/17/2022 | 53,272 | ||||||||||||||||
Citibank, NA | SEK | 29,675 | USD | 2,702 | 12/01/2022 | 19,779 | ||||||||||||||||
Credit Suisse International | USD | 672 | CAD | 879 | 10/27/2022 | (35,680 | ) | |||||||||||||||
Deutsche Bank AG | USD | 1,817 | AUD | 2,804 | 10/20/2022 | (23,109 | ) | |||||||||||||||
Deutsche Bank AG | CAD | 3,911 | USD | 3,060 | 10/27/2022 | 228,223 | ||||||||||||||||
Deutsche Bank AG | USD | 4,056 | GBP | 3,714 | 11/17/2022 | 94,328 | ||||||||||||||||
Deutsche Bank AG | USD | 2,895 | CHF | 2,828 | 12/07/2022 | (11,686 | ) | |||||||||||||||
Deutsche Bank AG | USD | 8,230 | EUR | 8,433 | 12/08/2022 | 73,395 | ||||||||||||||||
HSBC Bank USA | USD | 4,846 | CAD | 6,227 | 10/27/2022 | (338,707 | ) | |||||||||||||||
HSBC Bank USA | USD | 2,604 | JPY | 374,528 | 12/02/2022 | (846 | ) | |||||||||||||||
JPMorgan Chase Bank | USD | 2,222 | AUD | 3,290 | 10/20/2022 | (116,996 | ) | |||||||||||||||
JPMorgan Chase Bank | CAD | 2,350 | USD | 1,827 | 10/27/2022 | 125,532 | ||||||||||||||||
JPMorgan Chase Bank | USD | 3,897 | JPY | 558,543 | 12/02/2022 | (14,432 | ) | |||||||||||||||
JPMorgan Chase Bank | EUR | 14,052 | USD | 13,743 | 12/08/2022 | (92,344 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | USD | 8,302 | AUD | 11,949 | 10/20/2022 | (656,977 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | USD | 5,503 | CAD | 7,215 | 10/27/2022 | (280,561 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | GBP | 4,647 | USD | 5,425 | 11/17/2022 | 232,824 | ||||||||||||||||
Morgan Stanley & Co. LLC | USD | 1,497 | GBP | 1,308 | 11/17/2022 | (35,725 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | USD | 984 | NZD | 1,747 | 11/18/2022 | (6,389 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | USD | 966 | JPY | 137,211 | 12/02/2022 | (12,217 | ) | |||||||||||||||
Morgan Stanley & Co. LLC | CHF | 711 | USD | 727 | 12/07/2022 | 2,028 | ||||||||||||||||
State Street Bank & Trust Co. | USD | 456 | CAD | 589 | 10/27/2022 | (29,937 | ) | |||||||||||||||
State Street Bank & Trust Co. | USD | 149 | NOK | 1,598 | 12/01/2022 | (2,035 | ) | |||||||||||||||
UBS AG | GBP | 900 | USD | 1,066 | 11/17/2022 | 59,827 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (786,880 | ) | ||||||||||||||||||||
|
|
86 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note 3) | ||||||||||||||||||||||||||||
Rate Type | Payment Frequency Paid/ Received | Market | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | |||||||||||||||||||||||||
USD | 1,420 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 122,410 | $ | — | $ | 122,410 | |||||||||||||||||
USD | 710 | 01/15/2025 | 2.585% | CPI# | Maturity | 60,647 | — | 60,647 | ||||||||||||||||||||
USD | 710 | 01/15/2025 | 2.613% | CPI# | Maturity | 59,878 | — | 59,878 | ||||||||||||||||||||
USD | 3,780 | 01/15/2026 | CPI# | 3.720% | Maturity | (102,998 | ) | — | (102,998 | ) | ||||||||||||||||||
USD | 2,150 | 01/15/2027 | CPI# | 3.320% | Maturity | (80,936 | ) | — | (80,936 | ) | ||||||||||||||||||
USD | 2,110 | 01/15/2027 | CPI# | 3.466% | Maturity | (60,858 | ) | (2,466 | ) | (58,392 | ) | |||||||||||||||||
USD | 6,470 | 01/15/2028 | 1.230% | CPI# | Maturity | 1,079,586 | — | 1,079,586 | ||||||||||||||||||||
USD | 5,230 | 01/15/2028 | 0.735% | CPI# | Maturity | 1,055,095 | — | 1,055,095 | ||||||||||||||||||||
USD | 9,210 | 01/15/2029 | CPI# | 3.290% | Maturity | (184,497 | ) | — | (184,497 | ) | ||||||||||||||||||
USD | 1,720 | 01/15/2029 | CPI# | 3.735% | Maturity | 27,629 | — | 27,629 | ||||||||||||||||||||
USD | 1,575 | 01/15/2030 | 1.572% | CPI# | Maturity | 241,191 | — | 241,191 | ||||||||||||||||||||
USD | 1,575 | 01/15/2030 | 1.587% | CPI# | Maturity | 239,094 | — | 239,094 | ||||||||||||||||||||
USD | 240 | 01/15/2030 | 1.714% | CPI# | Maturity | 33,710 | — | 33,710 | ||||||||||||||||||||
USD | 240 | 01/15/2030 | 1.731% | CPI# | Maturity | 33,344 | — | 33,344 | ||||||||||||||||||||
USD | 1,300 | 01/15/2031 | 2.782% | CPI# | Maturity | 65,622 | — | 65,622 | ||||||||||||||||||||
USD | 1,180 | 01/15/2031 | 2.680% | CPI# | Maturity | 71,018 | — | 71,018 | ||||||||||||||||||||
USD | 1,030 | 01/15/2031 | 2.989% | CPI# | Maturity | 31,477 | — | 31,477 | ||||||||||||||||||||
USD | 1,110 | 04/15/2032 | CPI# | 2.909% | Maturity | (31,415 | ) | — | (31,415 | ) | ||||||||||||||||||
USD | 1,000 | 04/15/2032 | CPI# | 2.748% | Maturity | (45,095 | ) | — | (45,095 | ) | ||||||||||||||||||
USD | 600 | 04/15/2032 | CPI# | 2.722% | Maturity | (28,701 | ) | — | (28,701 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 2,586,201 | $ | (2,466 | ) | $ | 2,588,667 | ||||||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3) | ||||||||||||||||||||||||||||
Rate Type | Payment | Market | Upfront Premiums Paid/ (Received) | Unrealized | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | |||||||||||||||||||||||||
USD | 10,300 | 01/15/2027 | 1 Day SOFR | 2.728% | Annual | $ | (397,401 | ) | $ | — | $ | (397,401 | ) |
CREDIT DEFAULT SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||||
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | % | Monthly | 7.50 | % | USD | 27 | $ | (5,957 | ) | $ | (2,482 | ) | $ | (3,475 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 88 | (19,800 | ) | (10,643 | ) | (9,157 | ) | |||||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 6 | (1,288 | ) | (671 | ) | (617 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 14 | (3,220 | ) | (1,354 | ) | (1,866 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 180 | (40,407 | ) | (20,924 | ) | (19,483 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 183 | (41,050 | ) | (17,282 | ) | (23,768 | ) |
2022 Annual Report | 87 |
Table of Contents
Schedule of Investments (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | % | Monthly | 7.50 | % | USD | 274 | $ | (61,496 | ) | $ | (25,225 | ) | $ | (36,271 | ) | ||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 34 | (7,727 | ) | (4,136 | ) | (3,591 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 238 | (53,286 | ) | (21,215 | ) | (32,071 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (234,231 | ) | $ | (103,932 | ) | $ | (130,299 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
INFLATION (CPI) SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||
Rate Type | Payment | Market | Upfront Premiums Paid/ (Received) | Unrealized | ||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | ||||||||||||||||||||||||||
Barclays Bank PLC | USD | 5,000 | 10/23/2026 | 2.310% | CPI# | Maturity | $ | 258,528 | $ | — | $ | 258,528 | ||||||||||||||||||
Barclays Bank PLC | USD | 5,000 | 12/04/2027 | 2.170% | CPI# | Maturity | 502,755 | — | 502,755 | |||||||||||||||||||||
Barclays Bank PLC | USD | 1,000 | 10/23/2029 | 2.388% | CPI# | Maturity | 38,778 | — | 38,778 | |||||||||||||||||||||
Citibank, NA | USD | 7,000 | 11/04/2023 | 1.900% | CPI# | Maturity | 804,481 | — | 804,481 | |||||||||||||||||||||
Citibank, NA | USD | 3,000 | 07/20/2027 | 2.104% | CPI# | Maturity | 329,407 | — | 329,407 | |||||||||||||||||||||
Deutsche Bank AG | USD | 4,000 | 09/04/2025 | 1.818% | CPI# | Maturity | 496,692 | — | 496,692 | |||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 3,000 | 03/02/2024 | 2.175% | CPI# | Maturity | 276,099 | — | 276,099 | |||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 5,000 | 07/20/2024 | 1.995% | CPI# | Maturity | 551,380 | — | 551,380 | |||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 4,000 | 11/04/2026 | 2.015% | CPI# | Maturity | 475,573 | — | 475,573 | |||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 7,000 | 12/27/2028 | 2.009% | CPI# | Maturity | 783,706 | — | 783,706 | |||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 5,000 | 07/20/2032 | 2.158% | CPI# | Maturity | 541,742 | — | 541,742 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 5,059,141 | $ | — | $ | 5,059,141 | |||||||||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
INTEREST RATE SWAPS (see Note 3) |
| |||||||||||||||||||||||||||
Rate Type | Payment Paid/ | Market | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Swap Counterparty | Notional Amount | Termination Date | Payments made by the Fund | Payments received by the Fund | ||||||||||||||||||||||||
Citibank, NA | USD | 3,815 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 438,410 | $ | — | $ | 438,410 |
* Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index.
88 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
TOTAL RETURN SWAPS (see Note 3) |
| |||||||||||||||||||||
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 2,667 | 12/16/2022 | $ | 39,244 | |||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 410 | 12/16/2022 | (30,823 | ) | |||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 718 | 12/16/2022 | (38,404 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (29,983 | ) | ||||||||||||||||||||
|
|
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $24,407,847 or 6.6% of net assets. |
(b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(c) | 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. |
(d) | Non-income producing security. |
(e) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(f) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(g) | Affiliated investments. |
(h) | The rate shown represents the 7-day yield as of period end. |
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 2.0% and 0.0%, respectively.
Currency Abbreviations:
AUD—Australian Dollar
CAD—Canadian Dollar
CHF—Swiss Franc
EUR—Euro
GBP—Great British Pound
JPY—Japanese Yen
NOK—Norwegian Krone
NZD—New Zealand Dollar
SEK—Swedish Krona
USD—United States Dollar
Glossary:
AGC—Assured Guaranty Corporation
AGM—Assured Guaranty Municipal
CBT—Chicago Board of Trade
CDX-CMBX.NA—North American Commercial Mortgage-Backed Index
CMBS—Commercial Mortgage-Backed Securities
COP—Certificate of Participation
CPI—Consumer Price Index
DOT—Department of Transportation
ETF—Exchange Traded Fund
ETM—Escrowed to Maturity
ETS—Emission Trading Scheme
FTSE—Financial Times Stock Exchange
LIBOR—London Interbank Offered Rate
MSCI—Morgan Stanley Capital International
MUNIPSA—SIFMA Municipal Swap Index
NATL—National Interstate Corporation
OMXS—Stockholm Stock Exchange
OSE—Osaka Securities Exchange
SOFR—Secured Overnight Financing Rate
SPDR—Standard & Poor’s Depository Receipt
SPI—Share Price Index
TOPIX—Tokyo Price Index
TSX—Toronto Stock Exchange
XLCA—XL Capital Assurance Inc.
See notes to financial statements.
2022 Annual Report | 89 |
Table of Contents
Schedule of Investments
Sanford C. Bernstein Fund, Inc.
Schedule of Investments
Tax-Aware Overlay N Portfolio
September 30, 2022
Principal Amount (000) | U.S. $ Value | |||||||||||
MUNICIPAL OBLIGATIONS–75.5% |
| |||||||||||
Long-Term Municipal Bonds–75.5% |
| |||||||||||
Alabama–0.4% |
| |||||||||||
County of Jefferson AL Sewer Revenue | $ | 1,000 | $ | 1,000,000 | ||||||||
|
| |||||||||||
American Samoa–0.1% | ||||||||||||
American Samoa Economic Development Authority | 180 | 194,288 | ||||||||||
|
| |||||||||||
Arkansas–0.1% | ||||||||||||
City of Fayetteville AR Sales & Use Tax Revenue | 150 | 148,558 | ||||||||||
|
| |||||||||||
Colorado–0.6% | ||||||||||||
City & County of Denver CO | 1,000 | 951,707 | ||||||||||
Plaza Metropolitan District No. 1 | 600 | 600,551 | ||||||||||
Vauxmont Metropolitan District | 100 | 104,103 | ||||||||||
|
| |||||||||||
1,656,361 | ||||||||||||
|
| |||||||||||
Florida–0.1% | ||||||||||||
Capital Trust Agency, Inc. | 100 | 100,814 | ||||||||||
County of Osceola FL Transportation Revenue | 100 | 59,305 | ||||||||||
|
| |||||||||||
160,119 | ||||||||||||
|
| |||||||||||
Guam–1.1% | ||||||||||||
Antonio B Won Pat International Airport Authority | 100 | 86,510 | ||||||||||
3.339%, 10/01/2030 | 150 | 125,511 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Guam Power Authority | $ | 1,000 | $ | 1,042,240 | ||||||||
Territory of Guam | 90 | 84,980 | ||||||||||
Territory of Guam | 105 | 104,839 | ||||||||||
5.00%, 12/01/2030 | 165 | 163,796 | ||||||||||
5.00%, 12/01/2032 | 155 | 151,663 | ||||||||||
Territory of Guam | 315 | 316,210 | ||||||||||
5.00%, 11/15/2025 | 265 | 265,927 | ||||||||||
5.00%, 11/15/2031 | 625 | 615,288 | ||||||||||
|
| |||||||||||
2,956,964 | ||||||||||||
|
| |||||||||||
Illinois–3.2% | ||||||||||||
Chicago Board of Education | 1,465 | 1,480,769 | ||||||||||
Illinois Finance Authority | 100 | 102,116 | ||||||||||
5.00%, 09/01/2033 | 100 | 99,957 | ||||||||||
Metropolitan Pier & Exposition Authority | 1,000 | 1,019,841 | ||||||||||
State of Illinois | 3,990 | 4,020,430 | ||||||||||
Series 2017-D | 2,000 | 2,033,043 | ||||||||||
|
| |||||||||||
8,756,156 | ||||||||||||
|
| |||||||||||
Kentucky–0.1% | ||||||||||||
City of Ashland KY | 100 | 102,611 | ||||||||||
5.00%, 02/01/2030 | 100 | 104,332 | ||||||||||
|
| |||||||||||
206,943 | ||||||||||||
|
| |||||||||||
Louisiana–0.1% | ||||||||||||
Parish of St. James LA | 100 | 102,584 | ||||||||||
6.10%, 06/01/2038(a) | 100 | 106,397 | ||||||||||
|
| |||||||||||
208,981 | ||||||||||||
|
|
90 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
Michigan–2.7% |
| |||||||||||
City of Detroit MI | $ | 1,315 | $ | 1,331,767 | ||||||||
5.00%, 04/01/2025 | 800 | 815,088 | ||||||||||
Michigan Finance Authority | 5,055 | 5,202,686 | ||||||||||
|
| |||||||||||
7,349,541 | ||||||||||||
|
| |||||||||||
Nebraska–1.2% | ||||||||||||
Central Plains Energy Project | 3,290 | 3,320,260 | ||||||||||
|
| |||||||||||
Nevada–0.1% | ||||||||||||
City of Sparks NV | 300 | 262,926 | ||||||||||
|
| |||||||||||
New Jersey–3.6% | ||||||||||||
New Jersey Economic Development Authority | 125 | 123,637 | ||||||||||
New Jersey Transportation Trust Fund Authority | 3,410 | 3,482,289 | ||||||||||
New Jersey Transportation Trust Fund Authority | 3,490 | 3,633,642 | ||||||||||
New Jersey Turnpike Authority | 2,555 | 2,695,433 | ||||||||||
|
| |||||||||||
9,935,001 | ||||||||||||
|
| |||||||||||
New York–57.1% | ||||||||||||
Albany County Airport Authority | 130 | 130,376 | ||||||||||
5.00%, 12/15/2023 | 175 | 177,795 | ||||||||||
5.00%, 12/15/2024 | 145 | 148,351 | ||||||||||
5.00%, 12/15/2025 | 145 | 149,359 | ||||||||||
5.00%, 12/15/2026 | 145 | 149,672 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Build NYC Resource Corp. | $ | 300 | $ | 278,321 | ||||||||
Build NYC Resource Corp. | 1,000 | 994,129 | ||||||||||
City of New York NY | 1,285 | 1,319,862 | ||||||||||
Series 2014-J | 1,085 | 1,115,018 | ||||||||||
Series 2018-E | 1,055 | 1,127,648 | ||||||||||
Series 2020-C | 5,315 | 5,720,908 | ||||||||||
5.00%, 08/01/2034 | 1,000 | 1,069,563 | ||||||||||
Series 2021 | 2,970 | 2,529,421 | ||||||||||
County of Albany NY | 1,595 | 1,655,495 | ||||||||||
County of Nassau NY | 4,775 | 4,899,935 | ||||||||||
Series 2017-C | 1,875 | 1,961,632 | ||||||||||
County of Onondaga NY | 1,145 | 1,059,732 | ||||||||||
County of Westchester NY | 2,435 | 2,446,785 | ||||||||||
Dutchess County Local Development Corp. | 975 | 940,635 | ||||||||||
Long Island Power Authority | 2,000 | 2,147,718 | ||||||||||
Metropolitan Transportation Authority | 1,000 | 889,742 | ||||||||||
Series 2017-C | 2,280 | 2,364,549 | ||||||||||
5.00%, 11/15/2028 | 9,900 | 10,193,554 | ||||||||||
AGM Series 2021 | 1,000 | 976,093 | ||||||||||
Metropolitan Transportation Authority | 2,555 | 2,560,113 |
2022 Annual Report | 91 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
5.00%, 11/15/2026 | $ | 6,285 | $ | 6,297,358 | ||||||||
Series 2016-A | 1,375 | 1,445,668 | ||||||||||
Monroe County Industrial Development Corp./NY | 955 | 999,901 | ||||||||||
Monroe County Industrial Development Corp/NY | 370 | 356,429 | ||||||||||
New York City Municipal Water Finance Authority | 2,885 | 3,020,500 | ||||||||||
New York City Transitional Finance Authority Building Aid Revenue | 1,955 | 2,084,475 | ||||||||||
Series 2018-S | 1,460 | 1,578,101 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | 4,000 | 4,095,232 | ||||||||||
Series 2015-C | 2,145 | 2,218,900 | ||||||||||
Series 2017 | 1,925 | 2,046,344 | ||||||||||
Series 2022 | 2,920 | 2,693,843 | ||||||||||
New York Liberty Development Corp. | 2,900 | 2,570,427 | ||||||||||
2.625%, 09/15/2069 | 320 | 263,618 | ||||||||||
2.80%, 09/15/2069 | 4,250 | 3,487,258 | ||||||||||
New York Liberty Development Corp. | 3,000 | 2,232,423 | ||||||||||
New York State Dormitory Authority | 260 | 260,988 |
Principal Amount (000) | U.S. $ Value | |||||||||||
New York State Dormitory Authority | $ | 1,000 | $ | 892,364 | ||||||||
New York State Dormitory Authority | 700 | 709,541 | ||||||||||
New York State Dormitory Authority | 1,000 | 905,505 | ||||||||||
4.00%, 05/01/2040 | 1,000 | 898,332 | ||||||||||
New York State Dormitory Authority | 1,000 | 1,089,755 | ||||||||||
5.00%, 07/01/2031 | 1,200 | 1,297,401 | ||||||||||
5.00%, 07/01/2032 | 1,040 | 1,116,708 | ||||||||||
New York State Dormitory Authority | 1,105 | 1,065,564 | ||||||||||
New York State Dormitory Authority | 1,605 | 1,611,246 | ||||||||||
Series 2014-A | 2,035 | 2,077,797 | ||||||||||
Series 2014-C | 3,000 | 3,065,108 | ||||||||||
New York State Dormitory Authority | 540 | 523,509 | ||||||||||
New York State Environmental Facilities Corp. | 2,680 | 2,716,572 | ||||||||||
New York State Environmental Facilities Corp. | 1,575 | 1,484,713 | ||||||||||
New York State Thruway Authority | 2,000 | 1,635,842 | ||||||||||
Series 2021-O | 2,810 | 2,647,621 |
92 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Principal Amount (000) | U.S. $ Value | |||||||||||
New York State Thruway Authority | $ | 2,750 | $ | 2,905,547 | ||||||||
New York State Urban Development Corp. | 275 | 300,766 | ||||||||||
New York State Urban Development Corp. | 2,635 | 2,702,324 | ||||||||||
New York Transportation Development Corp. | 455 | 455,207 | ||||||||||
Series 2021 | 1,000 | 873,978 | ||||||||||
New York Transportation Development Corp. | 3,065 | 3,042,507 | ||||||||||
5.00%, 01/01/2032 | 1,495 | 1,464,910 | ||||||||||
New York Transportation Development Corp. | 2,000 | 1,618,361 | ||||||||||
Niagara Area Development Corp. | 600 | 584,867 | ||||||||||
Port Authority of New York & New Jersey | 2,515 | 2,554,223 | ||||||||||
Series 2014 | 2,000 | 2,024,822 | ||||||||||
5.00%, 09/01/2028 | 3,615 | 3,672,456 | ||||||||||
Series 2015 | 1,000 | 1,013,979 | ||||||||||
Series 2019 | 1,455 | 1,521,640 | ||||||||||
Series 2020-2 | 1,500 | 1,336,184 | ||||||||||
Series 2021-2 | 1,365 | 1,224,153 | ||||||||||
Sales Tax Asset Receivable Corp. | 3,750 | 3,881,199 |
Principal Amount (000) | U.S. $ Value | |||||||||||
Suffolk Tobacco Asset Securitization Corp. | $ | 500 | $ | 423,500 | ||||||||
Triborough Bridge & Tunnel Authority | 3,000 | 3,141,183 | ||||||||||
Triborough Bridge & Tunnel Authority | 2,265 | 2,367,214 | ||||||||||
Series 2021-A | 1,500 | 1,143,093 | ||||||||||
Series 2022 | 500 | 543,096 | ||||||||||
5.00%, 05/15/2035 | 1,000 | 1,074,687 | ||||||||||
5.00%, 05/15/2036 | 1,000 | 1,070,978 | ||||||||||
Troy Capital Resource Corp. | 305 | 321,206 | ||||||||||
5.00%, 09/01/2032 | 415 | 435,420 | ||||||||||
5.00%, 09/01/2033 | 395 | 412,156 | ||||||||||
Trust for Cultural Resources of The City of New York (The) | 5,575 | 5,926,090 | ||||||||||
Utility Debt Securitization Authority | 1,500 | 1,505,538 | ||||||||||
|
| |||||||||||
155,936,733 | ||||||||||||
|
| |||||||||||
Ohio–0.2% | ||||||||||||
Ohio Air Quality Development Authority | 715 | 712,011 | ||||||||||
|
| |||||||||||
Pennsylvania–0.4% | ||||||||||||
Hospitals & Higher Education Facilities Authority of Philadelphia (The) | 1,000 | 1,015,626 | ||||||||||
|
| |||||||||||
Puerto Rico–1.2% | ||||||||||||
Commonwealth of Puerto Rico | 98 | 90,507 | ||||||||||
Zero Coupon, 07/01/2033 | 414 | 228,047 | ||||||||||
4.00%, 07/01/2033 | 103 | 90,491 |
2022 Annual Report | 93 |
Table of Contents
Schedule of Investments (continued)
Principal Amount (000) | U.S. $ Value | |||||||||||
4.00%, 07/01/2035 | $ | 3 | $ | 2,229 | ||||||||
4.00%, 07/01/2037 | 2 | 1,837 | ||||||||||
4.00%, 07/01/2041 | 3 | 2,375 | ||||||||||
4.00%, 07/01/2046 | 3 | 2,368 | ||||||||||
5.25%, 07/01/2023 | 69 | 69,426 | ||||||||||
5.375%, 07/01/2025 | 203 | 205,196 | ||||||||||
5.625%, 07/01/2027 | 508 | 518,755 | ||||||||||
5.625%, 07/01/2029 | 103 | 105,500 | ||||||||||
5.75%, 07/01/2031 | 103 | 105,069 | ||||||||||
Series 2022-C | 20 | 10,078 | ||||||||||
Puerto Rico Electric Power Authority | 230 | 227,816 | ||||||||||
Puerto Rico Highway & Transportation Authority | 205 | 199,317 | ||||||||||
AGC Series 2007-N | 165 | 161,521 | ||||||||||
5.25%, 07/01/2036 | 215 | 209,997 | ||||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth | 830 | 857,587 | ||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | 235 | 217,121 | ||||||||||
|
| |||||||||||
3,305,237 | ||||||||||||
|
| |||||||||||
South Carolina–1.3% | ||||||||||||
Patriots Energy Group Financing Agency | 3,000 | 3,006,417 | ||||||||||
South Carolina Public Service Authority | 500 | 437,387 | ||||||||||
|
| |||||||||||
3,443,804 | ||||||||||||
|
| |||||||||||
Tennessee–1.4% | ||||||||||||
Tennessee Energy Acquisition Corp. | 3,880 | 3,841,395 | ||||||||||
|
| |||||||||||
Texas–0.0% | ||||||||||||
City of Houston TX Airport System Revenue | 100 | 98,088 | ||||||||||
|
|
Principal Amount (000) | U.S. $ Value | |||||||||||
Washington–0.3% | ||||||||||||
Kalispel Tribe of Indians | $ | 700 | $ | 729,953 | ||||||||
Washington State Housing Finance Commission | 147 | 124,863 | ||||||||||
|
| |||||||||||
854,816 | ||||||||||||
|
| |||||||||||
Wisconsin–0.2% |
| |||||||||||
UMA Education, Inc. | 165 | 164,411 | ||||||||||
5.00%, 10/01/2026(a) | 180 | 178,780 | ||||||||||
5.00%, 10/01/2027(a) | 155 | 153,250 | ||||||||||
5.00%, 10/01/2028(a) | 105 | 103,189 | ||||||||||
5.00%, 10/01/2029(a) | 100 | 97,880 | ||||||||||
|
| |||||||||||
697,510 | ||||||||||||
|
| |||||||||||
Total Long-Term Municipal Bonds (cost $218,620,801) | 206,061,318 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
INVESTMENT COMPANIES–16.3% |
| |||||||||||
Funds and Investment Trusts–16.3%(c) |
| |||||||||||
iShares Core MSCI EAFE ETF | 368,888 | 19,429,331 | ||||||||||
iShares Core MSCI Emerging Markets ETF | 209,923 | 9,022,491 | ||||||||||
SPDR S&P 500 ETF Trust | 36,569 | 13,061,715 | ||||||||||
Vanguard Mid-Cap ETF | 15,037 | 2,826,655 | ||||||||||
|
| |||||||||||
Total Investment Companies (cost $45,526,055) | 44,340,192 | |||||||||||
|
| |||||||||||
Principal Amount (000) | ||||||||||||
GOVERNMENTS—TREASURIES–1.2% |
| |||||||||||
United States–1.2% |
| |||||||||||
U.S. Treasury Notes | $ | 3,543 | 3,265,096 | |||||||||
|
| |||||||||||
Notional Amount | ||||||||||||
OPTIONS PURCHASED—PUTS–1.2% |
| |||||||||||
Options on Equity Indices–1.2% | ||||||||||||
Euro STOXX 50 Index | EUR | 3,164,000 | 157,331 |
94 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Notional Amount | U.S. $ Value | |||||||||||
Euro STOXX 50 Index | EUR | 2,100,000 | $ | 104,424 | ||||||||
FTSE 100 Index | GBP | 1,380,000 | 60,995 | |||||||||
FTSE 100 Index | GBP | 1,020,000 | 45,083 | |||||||||
Nikkei 225 Index | JPY | 220,000,000 | 73,309 | |||||||||
Nikkei 225 Index | JPY | 286,000,000 | 95,302 | |||||||||
S&P 500 Index | USD | 27,950,000 | 1,610,869 | |||||||||
S&P 500 Index | USD | 17,875,000 | 1,030,207 | |||||||||
|
| |||||||||||
Total Options Purchased—Puts (premiums paid $1,849,282) |
| 3,177,520 | ||||||||||
|
|
Principal Amount (000) | U.S. $ Value | |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS–0.0% |
| |||||||||||
Risk Share Floating Rate–0.0% |
| |||||||||||
Federal National Mortgage Association Connecticut Avenue Securities |
| $ | 70 | $ | 73,446 | |||||||
|
| |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS–3.8% |
| |||||||||||
Investment Companies–3.8% | ||||||||||||
AB Fixed Income Shares, Inc.—Government Money Market Portfolio—Class AB, 2.58%(c)(g)(h) | 10,451,865 | 10,451,865 | ||||||||||
|
| |||||||||||
Total Investments—98.0% (cost $280,235,455) |
| 267,369,437 | ||||||||||
Other assets less liabilities—2.0% |
| 5,442,572 | ||||||||||
|
| |||||||||||
Net Assets—100.0% |
| $ | 272,812,009 | |||||||||
|
|
FUTURES (see Note 3) |
| |||||||||||||
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased Contracts |
| |||||||||||||
Euro STOXX 50 Index Futures | 47 | December 2022 | $ | 1,526,967 | $ | (112,318 | ) | |||||||
FTSE 100 Index Futures | 8 | December 2022 | 617,631 | (36,965 | ) | |||||||||
Hang Seng Index Futures | 12 | October 2022 | 1,315,473 | (44,593 | ) | |||||||||
Nikkei 225 (OSE) Futures | 5 | December 2022 | 896,151 | (42,244 | ) | |||||||||
OMXS 30 Index Futures | 135 | October 2022 | 2,226,147 | (135,150 | ) | |||||||||
Russell 2000 E-Mini Futures | 23 | December 2022 | 1,920,270 | (252,913 | ) | |||||||||
S&P 500 E-Mini Futures | 121 | December 2022 | 21,789,075 | (2,424,062 | ) | |||||||||
U.S. T-Note 2 Yr (CBT) Futures | 27 | December 2022 | 5,545,547 | (89,759 | ) | |||||||||
U.S. T-Note 10 Yr (CBT) Futures | 70 | December 2022 | 7,844,375 | (406,422 | ) | |||||||||
U.S. Ultra Bond (CBT) Futures | 19 | December 2022 | 2,603,000 | (250,808 | ) |
2022 Annual Report | 95 |
Table of Contents
Schedule of Investments (continued)
Description | Number of Contracts | Expiration Month | Current Notional | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||
Sold Contracts |
| |||||||||||||
Euro STOXX 50 Index Futures | 85 | December 2022 | $ | 2,761,536 | $ | 15,579 | ||||||||
FTSE 100 Index Futures | 36 | December 2022 | 2,779,338 | 158,414 | ||||||||||
MSCI Emerging Markets Futures | 119 | December 2022 | 5,185,425 | 468,706 | ||||||||||
MSCI Singapore IX ETS Futures | 47 | October 2022 | 918,402 | 4,705 | ||||||||||
S&P Mid 400 E-Mini Futures | 7 | December 2022 | 1,545,740 | 154,957 | ||||||||||
S&P/TSX 60 Index Futures | 16 | December 2022 | 2,585,297 | 52,268 | ||||||||||
SPI 200 Futures | 49 | December 2022 | 5,066,572 | 252,476 | ||||||||||
TOPIX Index Futures | 13 | December 2022 | 1,649,140 | 2,931 | ||||||||||
|
| |||||||||||||
$ | (2,685,198 | ) | ||||||||||||
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS (see Note 3) | ||||||||||||||||||||||
Counterparty | Contracts to Deliver (000) | In Exchange For (000) | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Bank of America, NA | USD | 1,510 | NZD | 2,513 | 11/18/2022 | $ | (103,153 | ) | ||||||||||||||
Bank of America, NA | USD | 930 | NOK | 9,606 | 12/01/2022 | (46,936 | ) | |||||||||||||||
Bank of America, NA | CHF | 3,856 | USD | 3,957 | 12/07/2022 | 25,132 | ||||||||||||||||
Bank of America, NA | CHF | 623 | USD | 632 | 12/07/2022 | (2,920 | ) | |||||||||||||||
Barclays Bank PLC | USD | 618 | CAD | 795 | 10/27/2022 | (42,258 | ) | |||||||||||||||
BNP Paribas SA | AUD | 6,684 | USD | 4,612 | 10/20/2022 | 335,564 | ||||||||||||||||
BNP Paribas SA | CAD | 1,165 | USD | 894 | 10/27/2022 | 50,293 | ||||||||||||||||
BNP Paribas SA | USD | 867 | CAD | 1,191 | 10/27/2022 | (4,690 | ) | |||||||||||||||
BNP Paribas SA | USD | 1,989 | NZD | 3,213 | 11/18/2022 | (190,071 | ) | |||||||||||||||
Citibank, NA | USD | 2,961 | CAD | 3,901 | 10/27/2022 | (137,384 | ) | |||||||||||||||
Citibank, NA | GBP | 2,792 | USD | 3,223 | 11/17/2022 | 103,376 | ||||||||||||||||
Citibank, NA | USD | 857 | GBP | 800 | 11/17/2022 | 36,995 | ||||||||||||||||
Citibank, NA | SEK | 21,737 | USD | 1,979 | 12/01/2022 | 14,488 | ||||||||||||||||
Credit Suisse International | USD | 483 | CAD | 632 | 10/27/2022 | (25,635 | ) | |||||||||||||||
Deutsche Bank AG | CAD | 2,873 | USD | 2,247 | 10/27/2022 | 167,630 | ||||||||||||||||
HSBC Bank USA | USD | 3,161 | CAD | 4,061 | 10/27/2022 | (220,896 | ) | |||||||||||||||
HSBC Bank USA | USD | 1,961 | JPY | 282,098 | 12/02/2022 | (638 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | USD | 1,571 | AUD | 2,326 | 10/20/2022 | (82,715 | ) | |||||||||||||||
JPMorgan Chase Bank, NA | CAD | 1,263 | USD | 982 | 10/27/2022 | 67,469 | ||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,581 | �� | JPY | 369,900 | 12/02/2022 | (9,558 | ) | ||||||||||||||
JPMorgan Chase Bank, NA | EUR | 10,365 | USD | 10,138 | 12/08/2022 | (68,118 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | USD | 5,958 | AUD | 8,578 | 10/20/2022 | (469,671 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | USD | 3,467 | CAD | 4,541 | 10/27/2022 | (179,465 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | GBP | 3,350 | USD | 3,911 | 11/17/2022 | 167,842 | ||||||||||||||||
Morgan Stanley & Co., Inc. | USD | 1,082 | GBP | 945 | 11/17/2022 | (25,811 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | USD | 744 | NZD | 1,320 | 11/18/2022 | (4,828 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | USD | 652 | JPY | 92,583 | 12/02/2022 | (8,243 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | CHF | 493 | USD | 504 | 12/07/2022 | 1,406 | ||||||||||||||||
State Street Bank & Trust Co. | CAD | 484 | USD | 377 | 10/27/2022 | 26,163 | ||||||||||||||||
State Street Bank & Trust Co. | USD | 1,187 | CAD | 1,541 | 10/27/2022 | (70,970 | ) | |||||||||||||||
UBS AG | GBP | 784 | USD | 928 | 11/17/2022 | 52,094 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | (645,508 | ) | ||||||||||||||||||||
|
|
96 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
CENTRALLY CLEARED INFLATION (CPI) SWAPS (see Note 3) | ||||||||||||||||||||||||||||
Rate Type | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | |||||||||||||||||||||||||
USD | 1,060 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 91,377 | $ | — | $ | 91,377 | |||||||||||||||||
USD | 530 | 01/15/2025 | 2.585% | CPI# | Maturity | 45,271 | — | 45,271 | ||||||||||||||||||||
USD | 530 | 01/15/2025 | 2.613% | CPI# | Maturity | 44,698 | — | 44,698 | ||||||||||||||||||||
USD | 2,740 | 01/15/2026 | CPI# | 3.720% | Maturity | (74,660 | ) | — | (74,660 | ) | ||||||||||||||||||
USD | 1,610 | 01/15/2027 | CPI# | 3.466% | Maturity | (46,437 | ) | (1,881 | ) | (44,556 | ) | |||||||||||||||||
USD | 1,600 | 01/15/2027 | CPI# | 3.320% | Maturity | (60,231 | ) | — | (60,231 | ) | ||||||||||||||||||
USD | 4,950 | 01/15/2028 | 1.230% | CPI# | Maturity | 825,958 | — | 825,958 | ||||||||||||||||||||
USD | 3,410 | 01/15/2028 | 0.735% | CPI# | Maturity | 687,930 | — | 687,930 | ||||||||||||||||||||
USD | 6,440 | 01/15/2029 | CPI# | 3.290% | Maturity | (129,007 | ) | — | (129,007 | ) | ||||||||||||||||||
USD | 1,290 | 01/15/2029 | CPI# | 3.735% | Maturity | 20,721 | — | 20,721 | ||||||||||||||||||||
USD | 1,125 | 01/15/2030 | 1.572% | CPI# | Maturity | 172,279 | — | 172,279 | ||||||||||||||||||||
USD | 1,125 | 01/15/2030 | 1.587% | CPI# | Maturity | 170,781 | — | 170,781 | ||||||||||||||||||||
USD | 180 | 01/15/2030 | 1.714% | CPI# | Maturity | 25,283 | — | 25,283 | ||||||||||||||||||||
USD | 180 | 01/15/2030 | 1.731% | CPI# | Maturity | 25,008 | — | 25,008 | ||||||||||||||||||||
USD | 1,000 | 01/15/2031 | 2.782% | CPI# | Maturity | 50,478 | — | 50,478 | ||||||||||||||||||||
USD | 880 | 01/15/2031 | 2.680% | CPI# | Maturity | 52,962 | — | 52,962 | ||||||||||||||||||||
USD | 770 | 01/15/2031 | 2.989% | CPI# | Maturity | 23,532 | — | 23,532 | ||||||||||||||||||||
USD | 860 | 04/15/2032 | CPI# | 2.909% | Maturity | (24,339 | ) | — | (24,339 | ) | ||||||||||||||||||
USD | 750 | 04/15/2032 | CPI# | 2.748% | Maturity | (33,822 | ) | — | (33,822 | ) | ||||||||||||||||||
USD | 450 | 04/15/2032 | CPI# | 2.722% | Maturity | (21,526 | ) | — | (21,526 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 1,846,256 | $ | (1,881 | ) | $ | 1,848,137 | ||||||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
CENTRALLY CLEARED INTEREST RATE SWAPS (see Note 3) | ||||||||||||||||||||||||||
Rate Type | Payment | Market | Upfront Premiums Paid/ (Received) | Unrealized | ||||||||||||||||||||||
Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | |||||||||||||||||||||||
USD | 2,850 | 04/15/2032 | 2.777% | 1 Day SOFR | Annual | $ | 159,092 | $ | — | $ | 159,092 |
CREDIT DEFAULT SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||||
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
Sale Contracts |
| |||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | % | Monthly | 7.50 | % | USD | 22 | $ | (4,829 | ) | $ | (2,012 | ) | $ | (2,817 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 71 | (15,938 | ) | (8,567 | ) | (7,371 | ) | |||||||||||||||||||||
Credit Suisse International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 5 | (1,126 | ) | (587 | ) | (539 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 12 | (2,737 | ) | (1,151 | ) | (1,586 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 144 | (32,358 | ) | (16,756 | ) | (15,602 | ) |
2022 Annual Report | 97 |
Table of Contents
Schedule of Investments (continued)
Swap Counterparty & Referenced Obligation | Fixed Rate (Pay) Receive | Payment Frequency | Implied Credit Spread at September 30, 2022 | Notional Amount (000) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | % | Monthly | 7.50 | % | USD | 147 | $ | (33,002 | ) | $ | (13,894 | ) | $ | (19,108 | ) | ||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 223 | (49,905 | ) | (20,470 | ) | (29,435 | ) | |||||||||||||||||||||
Goldman Sachs International |
| |||||||||||||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 27 | (6,117 | ) | (3,274 | ) | (2,843 | ) | |||||||||||||||||||||
CDX-CMBX.NA.BBB- | 3.00 | Monthly | 7.50 | USD | 192 | (43,144 | ) | (17,177 | ) | (25,967 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (189,156 | ) | $ | (83,888) | $ | (105,268 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
* Termination date
INFLATION (CPI) SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||||||
Rate Type | ||||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Barclays Bank PLC | USD | 4,000 | 10/23/2026 | 2.310 | % | CPI# | Maturity | $ | 206,823 | $ | — | $ | 206,823 | |||||||||||||||||||||
Barclays Bank PLC | USD | 1,000 | 10/23/2029 | 2.388 | % | CPI# | Maturity | 38,778 | — | 38,778 | ||||||||||||||||||||||||
Barclays Bank PLC | USD | 3,000 | 12/04/2032 | 2.233 | % | CPI# | Maturity | 284,247 | — | 284,247 | ||||||||||||||||||||||||
Citibank, NA | USD | 7,000 | 11/04/2023 | 1.900 | % | CPI# | Maturity | 804,481 | — | 804,481 | ||||||||||||||||||||||||
Citibank, NA | USD | 3,500 | 07/20/2027 | 2.104 | % | CPI# | Maturity | 384,308 | — | 384,308 | ||||||||||||||||||||||||
Deutsche Bank AG | USD | 4,000 | 09/04/2025 | 1.818 | % | CPI# | Maturity | 496,692 | — | 496,692 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 2,500 | 03/02/2024 | 2.175 | % | CPI# | Maturity | 230,083 | — | 230,083 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 7,000 | 07/20/2024 | 1.995 | % | CPI# | Maturity | 771,931 | — | 771,931 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 3,000 | 11/04/2026 | 2.015 | % | CPI# | Maturity | 356,680 | — | 356,680 | ||||||||||||||||||||||||
JPMorgan Chase Bank, NA | USD | 5,000 | 12/27/2028 | 2.009 | % | CPI# | Maturity | 559,790 | — | 559,790 | ||||||||||||||||||||||||
Morgan Stanley Capital Services LLC | USD | 1,800 | 07/20/2032 | 2.158 | % | CPI# | Maturity | 195,027 | — | 195,027 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 4,328,840 | $ | — | $ | 4,328,840 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
# Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).
INTEREST RATE SWAPS (see Note 3) |
| |||||||||||||||||||||||||||||
Rate Type | ||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Citibank, NA | USD | 2,840 | 10/09/2029 | 1.125 | % | SIFMA* | Quarterly | $ | 326,366 | $ | — | $ | 326,366 |
* Variable interest rate based on the Securities Industry & Financial Markets Association (SIFMA) Municipal Swap Index.
98 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
TOTAL RETURN SWAPS (see Note 3) |
| |||||||||||||||||||||
Counterparty & Referenced Obligation | Rate Paid/ Received | Payment Frequency | Current Notional (000) | Maturity Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive Total Return on Reference Obligation |
| |||||||||||||||||||||
Morgan Stanley Capital Services LLC |
| |||||||||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 513 | 12/16/2022 | $ | (27,431 | ) | ||||||||||||||
Swiss Market Index Futures | 0.00% | Maturity | CHF | 410 | 12/16/2022 | (30,823 | ) | |||||||||||||||
|
| |||||||||||||||||||||
$ | (58,254 | ) | ||||||||||||||||||||
|
|
(a) | Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At September 30, 2022, the aggregate market value of these securities amounted to $6,376,827 or 2.3% of net assets. |
(b) | Floating Rate Security. Stated interest/floor/ceiling rate was in effect at September 30, 2022. |
(c) | 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. |
(d) | Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding. |
(e) | Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts. |
(f) | Non-income producing security. |
(g) | Affiliated investments. |
(h) | The rate shown represents the 7-day yield as of period end. |
As of September 30, 2022, the Portfolio’s percentages of investments in municipal bonds that are insured and in insured municipal bonds that have been pre-refunded or escrowed to maturity are 4.7% and 0.0%, respectively.
Currency Abbreviations:
AUD—Australian Dollar
CAD—Canadian Dollar
CHF—Swiss Franc
EUR—Euro
GBP—Great British Pound
JPY—Japanese Yen
NOK—Norwegian Krone
NZD—New Zealand Dollar
SEK—Swedish Krona
USD—United States Dollar
Glossary:
AGC—Assured Guaranty Corporation
AGM—Assured Guaranty Municipal
CBT—Chicago Board of Trade
CDX-CMBX.NA—North American Commercial Mortgage-Backed Index
CPI—Consumer Price Index
EAFE—Europe, Australia, and Far East
ETF—Exchange Traded Fund
ETM—Escrowed to Maturity
ETS—Emission Trading Scheme
FTSE—Financial Times Stock Exchange
LIBOR—London Interbank Offered Rate
MSCI—Morgan Stanley Capital International
OMXS—Stockholm Stock Exchange
OSE—Osaka Securities Exchange
SOFR—Secured Overnight Financing Rate
SPDR—Standard & Poor’s Depository Receipt
SPI—Share Price Index
SRF—State Revolving Fund
TOPIX—Tokyo Price Index
TSX—Toronto Stock Exchange
See notes to financial statements.
2022 Annual Report | 99 |
Table of Contents
Statement of Assets and Liabilities—September 30, 2022
OVERLAY A PORTFOLIO | TAX-AWARE OVERLAY A PORTFOLIO | OVERLAY B PORTFOLIO | ||||||||||
ASSETS |
| |||||||||||
Investments in securities at value |
| |||||||||||
Unaffiliated issuers | $ | 707,479,207 | $ | 1,544,188,718 | $ | 804,557,697 | ||||||
Affiliated issuers | 676,385,773 | 1,393,950,760 | 129,170,021 | |||||||||
Foreign currencies, at value (a) | 12,977,131 | 26,513,602 | 854,602 | |||||||||
Cash | 0 | 14,687,717 | 710,633 | |||||||||
Cash collateral due from broker | 924,012 | 2,195,975 | 4,370,503 | |||||||||
Receivables: |
| |||||||||||
Unaffiliated interest and dividends | 298,046 | 685,854 | 4,208,744 | |||||||||
Affiliated dividends | 287,526 | 547,617 | 228,818 | |||||||||
Foreign withholding tax reclaims | 245,814 | 534,017 | 3,133 | |||||||||
Investment securities sold and foreign currency transactions | 643,067 | 328,109 | 11,711,724 | |||||||||
Capital shares sold | 264,992 | 284,833 | 125,145 | |||||||||
Variation margin on futures | 3,234,027 | 5,436,393 | 0 | |||||||||
Variation margin on centrally cleared swaps | 3,552 | 7,550 | 0 | |||||||||
Unrealized appreciation of forward currency exchange contracts | 16,473,312 | 35,621,801 | 12,766,573 | |||||||||
Unrealized appreciation of total return swaps | 0 | 0 | 392,678 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 1,419,216,459 | 3,024,982,946 | 969,100,271 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Due to custodian | 33,128 | 0 | 0 | |||||||||
Cash collateral due to broker | 41,600,000 | 90,000,000 | 11,967,471 | |||||||||
Payables: | ||||||||||||
Investment securities purchased | 947,413 | 1,586,401 | 36,961,760 | |||||||||
Capital shares redeemed | 1,262,476 | 5,070,285 | 954,752 | |||||||||
Management fee | 691,266 | 1,466,791 | 475,206 | |||||||||
Variation margin on futures | 0 | 0 | 1,504,336 | |||||||||
Shareholder servicing fee | 195,287 | 390,168 | 97,117 | |||||||||
Variation margin on centrally cleared swaps | 0 | 0 | 84,546 | |||||||||
Transfer Agent fee | 8,722 | 13,032 | 9,277 | |||||||||
Foreign capital gains taxes | 0 | 0 | 23,942 | |||||||||
Directors’ fees payable | 169 | 511 | 0 | |||||||||
Terminated total return swaps | 244,209 | 545,040 | 317,959 | |||||||||
Accrued expenses | 262,685 | 275,210 | 319,729 | |||||||||
Unrealized depreciation of forward currency exchange contracts | 22,919,877 | 49,182,623 | 13,928,799 | |||||||||
Unrealized depreciation of total return swaps | 661,368 | 1,342,461 | 658,006 | |||||||||
Market value on credit default swaps (b) | 0 | 0 | 976,198 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 68,826,600 | 149,872,522 | 68,279,098 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,350,389,859 | $ | 2,875,110,424 | $ | 900,821,173 | ||||||
|
|
|
|
|
| |||||||
Cost of investments |
| |||||||||||
Unaffiliated issuers | $ | 523,186,801 | $ | 1,006,426,279 | $ | 912,429,591 | ||||||
Affiliated issuers | 706,726,620 | 1,460,322,592 | 131,541,034 | |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Capital stock, at par | $ | 119,491 | $ | 236,465 | $ | 104,432 | ||||||
Additional paid-in capital | 1,218,717,946 | 2,487,898,404 | 1,087,780,481 | |||||||||
Distributable earnings (accumulated loss) | 131,552,422 | 386,975,555 | (187,063,740 | ) | ||||||||
|
|
|
|
|
| |||||||
$ | 1,350,389,859 | $ | 2,875,110,424 | $ | 900,821,173 | |||||||
|
|
|
|
|
|
(a) Cost: $12,956,941, $26,452,427 and $879,199, respectively. (Note 1)
(b) Net premiums received of $0, $0 and $397,079, respectively.
See Notes to Financial Statements.
100 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
OVERLAY A PORTFOLIO | TAX-AWARE OVERLAY A PORTFOLIO | OVERLAY B PORTFOLIO | ||||||||||
NET ASSET VALUE PER SHARE | ||||||||||||
Class 1 Shares | ||||||||||||
Net Assets | $ | 1,121,709,916 | $ | 2,232,773,688 | $ | 750,137,434 | ||||||
Shares of capital stock outstanding | 99,294,472 | 183,760,843 | 87,014,236 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 11.30 | $ | 12.15 | $ | 8.62 | ||||||
|
|
|
|
|
| |||||||
Class 2 Shares | ||||||||||||
Net Assets | $ | 228,679,943 | $ | 642,336,736 | $ | 150,683,739 | ||||||
Shares of capital stock outstanding | 20,196,995 | 52,704,543 | 17,417,652 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 11.32 | $ | 12.19 | $ | 8.65 | ||||||
|
|
|
|
|
|
See Notes to Financial Statements.
2022 Annual Report | 101 |
Table of Contents
Statement of Assets and Liabilities—September 30, 2022 (continued)
TAX-AWARE OVERLAY B PORTFOLIO | TAX-AWARE OVERLAY C PORTFOLIO | TAX-AWARE OVERLAY N PORTFOLIO | ||||||||||
ASSETS | ||||||||||||
Investments in securities at value |
| |||||||||||
Unaffiliated issuers | $ | 1,299,498,694 | $ | 344,576,556 | $ | 256,917,572 | ||||||
Affiliated issuers | 7,141,247 | 17,560,057 | 10,451,865 | |||||||||
Foreign currencies, at value (a) | 3,033,424 | 1,003,996 | 712,289 | |||||||||
Cash | 0 | 22,776 | 0 | |||||||||
Cash collateral due from broker | 2,729,175 | 678,438 | 267,393 | |||||||||
Receivables: | ||||||||||||
Unaffiliated interest and dividends | 13,904,722 | 3,892,020 | 2,802,900 | |||||||||
Affiliated dividends | 49,228 | 9,360 | 16,425 | |||||||||
Investment securities sold | 884,210 | 1,191,363 | 3,063,994 | |||||||||
Capital shares sold | 1,652,251 | 43,580 | 15,995 | |||||||||
Variation margin on futures | 8,300,869 | 3,385,208 | 1,206,223 | |||||||||
Variation margin on centrally cleared swaps | 13,344 | 50,715 | 2,399 | |||||||||
Unrealized appreciation of inflation swaps | 17,353,492 | 5,059,141 | 4,328,840 | |||||||||
Unrealized appreciation of forward currency exchange contracts | 5,155,105 | 1,611,333 | 1,048,452 | |||||||||
Unrealized appreciation of interest rate swaps | 1,433,021 | 438,410 | 326,366 | |||||||||
Unrealized appreciation of total return swaps | 0 | 39,244 | 0 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 1,361,148,782 | 379,562,197 | 281,160,713 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES |
| |||||||||||
Due to custodian | 31,261 | 0 | 18,393 | |||||||||
Cash collateral due to broker | 24,360,000 | 9,180,000 | 5,300,000 | |||||||||
Payables: | ||||||||||||
Investment securities purchased | 12,140 | 2,142 | 301,399 | |||||||||
Capital shares redeemed | 15,251,030 | 136,423 | 410,238 | |||||||||
Management fee | 737,099 | 210,347 | 150,207 | |||||||||
Shareholder servicing fee | 120,183 | 31,040 | 29,431 | |||||||||
Transfer Agent fee | 7,717 | 3,247 | 3,233 | |||||||||
Directors’ fees payable | 3 | 0 | 67 | |||||||||
Terminated total return swaps | 159,785 | 27,801 | 9,267 | |||||||||
Accrued expenses | 239,164 | 189,322 | 185,099 | |||||||||
Unrealized depreciation of forward currency exchange contracts | 8,349,562 | 2,398,213 | 1,693,960 | |||||||||
Market value on credit default swaps (b) | 646,351 | 234,231 | 189,156 | |||||||||
Unrealized depreciation of total return swaps | 254,337 | 69,227 | 58,254 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 50,168,632 | 12,481,993 | 8,348,704 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 1,310,980,150 | $ | 367,080,204 | $ | 272,812,009 | ||||||
|
|
|
|
|
| |||||||
Cost of investments |
| |||||||||||
Unaffiliated issuers | $ | 1,314,383,845 | $ | 349,044,759 | $ | 269,783,590 | ||||||
Affiliated issuers | 7,141,247 | 17,560,057 | 10,451,865 | |||||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Capital stock, at par | $ | 130,431 | $ | 37,073 | $ | 27,528 | ||||||
Additional paid-in capital | 1,361,631,983 | 386,655,975 | 283,278,148 | |||||||||
Accumulated loss | (50,782,264 | ) | (19,612,844 | ) | (10,493,667 | ) | ||||||
|
|
|
|
|
| |||||||
$ | 1,310,980,150 | $ | 367,080,204 | $ | 272,812,009 | |||||||
|
|
|
|
|
|
(a) Cost: $3,044,572, $1,008,220 and $709,115, respectively. (Note 1)
(b) Net premiums received of $294,467, $103,932 and $83,888, respectively.
See Notes to Financial Statements.
102 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
TAX-AWARE OVERLAY B PORTFOLIO | TAX-AWARE OVERLAY C PORTFOLIO | TAX-AWARE OVERLAY N PORTFOLIO | ||||||||||
NET ASSET VALUE PER SHARE | ||||||||||||
Class 1 Shares | ||||||||||||
Net Assets | $ | 932,107,397 | $ | 240,668,573 | $ | 230,496,038 | ||||||
Shares of capital stock outstanding | 92,808,119 | 24,325,068 | 23,267,675 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.04 | $ | 9.89 | $ | 9.91 | ||||||
|
|
|
|
|
| |||||||
Class 2 Shares | ||||||||||||
Net Assets | $ | 378,872,753 | $ | 126,411,631 | $ | 42,315,971 | ||||||
Shares of capital stock outstanding | 37,622,946 | 12,747,841 | 4,260,426 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.07 | $ | 9.92 | $ | 9.93 | ||||||
|
|
|
|
|
|
See Notes to Financial Statements.
2022 Annual Report | 103 |
Table of Contents
Statement of Operations—for the year ended September 30, 2022
OVERLAY A PORTFOLIO | TAX-AWARE OVERLAY A PORTFOLIO | OVERLAY B PORTFOLIO | ||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest (net of foreign taxes withheld of $0, $0 and $10,124, respectively) | $ | 0 | $ | 0 | $ | 31,898,992 | ||||||
Dividends |
| |||||||||||
Unaffiliated issuers (net of foreign withholding taxes of $132,506, $280,841 and $0, respectively) | 10,789,958 | 22,902,879 | 0 | |||||||||
Affiliated issuers | 32,081,495 | 64,722,627 | 5,816,430 | |||||||||
|
|
|
|
|
| |||||||
Total income | 42,871,453 | 87,625,506 | 37,715,422 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fee (see Note 2A) | 15,496,552 | 33,303,722 | 7,086,130 | |||||||||
Shareholder servicing fee (see Note 2B) | 2,860,595 | 5,760,920 | 1,362,398 | |||||||||
Custody and accounting fees | 151,757 | 218,286 | 207,485 | |||||||||
Transfer Agent fee—Class 1 | 56,070 | 77,665 | 58,178 | |||||||||
Transfer Agent fee—Class 2 | 11,434 | 23,022 | 11,659 | |||||||||
Auditing and tax fees | 124,301 | 111,085 | 132,877 | |||||||||
Directors’ fees and expenses | 74,941 | 162,435 | 47,183 | |||||||||
Legal fees | 52,910 | 123,583 | 36,012 | |||||||||
Registration fees | 40,759 | 42,798 | 37,376 | |||||||||
Printing fees | 17,230 | 11,257 | 9,011 | |||||||||
Miscellaneous | 57,862 | 112,162 | 48,346 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before interest expense | 18,944,411 | 39,946,935 | 9,036,655 | |||||||||
Interest expense | 400,037 | 837,870 | 0 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 19,344,448 | 40,784,805 | 9,036,655 | |||||||||
Less: expenses waived and reimbursed by the Adviser (see Note 2A and 2D) | (5,714,584 | ) | (12,125,204 | ) | (456,868 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 13,629,864 | 28,659,601 | 8,579,787 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 29,241,589 | 58,965,905 | 29,135,635 | |||||||||
|
|
|
|
|
| |||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions (a) | 53,554,547 | 85,610,288 | (24,277,160 | ) | ||||||||
Affiliated Underlying Portfolios | 7,546,388 | 9,860,058 | 946,556 | |||||||||
Forward currency exchange contracts | (2,936,942 | ) | (7,042,288 | ) | 4,486,733 | |||||||
Futures | (99,843,462 | ) | (233,776,853 | ) | (59,367,427 | ) | ||||||
Options written | 772,717 | 1,606,225 | 182,372 | |||||||||
Swaps | 1,482,773 | 3,370,703 | (1,650,158 | ) | ||||||||
Foreign currency transactions | (1,198,390 | ) | (695,568 | ) | (1,775,503 | ) | ||||||
Net realized gain distributions from Affiliated Underlying Portfolios | 22,678,526 | 46,804,986 | 0 | |||||||||
|
|
|
|
|
| |||||||
Net realized loss on investment and foreign currency transactions | (17,943,843 | ) | (94,262,449 | ) | (81,454,587 | ) | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments (b) | (189,897,526 | ) | (380,829,956 | ) | (127,101,479 | ) | ||||||
Affiliated Underlying Portfolios | (221,401,028 | ) | (466,103,407 | ) | (8,044,869 | ) | ||||||
Forward currency exchange contracts | (7,323,027 | ) | (14,929,821 | ) | (2,952,550 | ) | ||||||
Futures | 33,161,216 | 87,225,515 | (1,753,757 | ) | ||||||||
Options written | (198,480 | ) | (415,708 | ) | (46,844 | ) | ||||||
Swaps | (417,408 | ) | (806,499 | ) | 12,368,527 | |||||||
Foreign currency denominated assets and liabilities | 109,989 | 227,533 | (205,522 | ) | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (385,966,264 | ) | (775,632,343 | ) | (127,736,494 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized and unrealized loss on investment and foreign currency transactions | (403,910,107 | ) | (869,894,792 | ) | (209,191,081 | ) | ||||||
|
|
|
|
|
| |||||||
Net decrease in net assets resulting from operations | $ | (374,668,518 | ) | $ | (810,928,887 | ) | $ | (180,055,446 | ) | |||
|
|
|
|
|
|
(a) Net of foreign realized capital gains taxes of $0, $0 and $1,726, respectively.
(b) Net of increase in accrued foreign capital gains taxes on unrealized gains of $0, $0 and $2,562, respectively.
See Notes to Financial Statements.
104 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
TAX-AWARE OVERLAY B PORTFOLIO | TAX-AWARE OVERLAY C PORTFOLIO | TAX-AWARE OVERLAY N PORTFOLIO | ||||||||||
INVESTMENT INCOME | ||||||||||||
Income: | ||||||||||||
Interest | $ | 28,723,517 | $ | 8,096,846 | $ | 6,264,214 | ||||||
Dividends |
| |||||||||||
Unaffiliated issuers | 10,154,242 | 2,929,463 | 2,114,003 | |||||||||
Affiliated issuers | 219,264 | 102,283 | 34,899 | |||||||||
|
|
|
|
|
| |||||||
Total income | 39,097,023 | 11,128,592 | 8,413,116 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Management fee (see Note 2A) | 10,339,987 | 2,974,133 | 2,225,287 | |||||||||
Shareholder servicing fee (see Note 2B) | 1,667,879 | 440,164 | 423,869 | |||||||||
Custody and accounting fees | 147,531 | 83,843 | 78,205 | |||||||||
Transfer Agent fee—Class 1 | 40,168 | 14,279 | 18,020 | |||||||||
Transfer Agent fee—Class 2 | 17,287 | 7,985 | 3,798 | |||||||||
Auditing and tax fees | 110,063 | 109,838 | 110,061 | |||||||||
Registration fees | 37,599 | 34,108 | 33,676 | |||||||||
Directors’ fees and expenses | 68,576 | 19,749 | 14,840 | |||||||||
Legal fees | 49,750 | 14,280 | 11,842 | |||||||||
Printing fees | 11,800 | 14,940 | 14,308 | |||||||||
Miscellaneous | 59,398 | 39,937 | 33,064 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 12,550,038 | 3,753,256 | 2,966,970 | |||||||||
Less: expenses waived and reimbursed by the Adviser (see Note 2A and 2D) | (70,569 | ) | (21,415 | ) | (12,187 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 12,479,469 | 3,731,841 | 2,954,783 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 26,617,554 | 7,396,751 | 5,458,333 | |||||||||
|
|
|
|
|
| |||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENT AND FOREIGN CURRENCY TRANSACTIONS | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions | 25,075,406 | 8,373,105 | 16,704,613 | |||||||||
Affiliated Underlying Portfolios | (1,088,733 | ) | (310,223 | ) | (233,660 | ) | ||||||
Forward currency exchange contracts | (772,858 | ) | (210,001 | ) | (227,601 | ) | ||||||
Futures | (28,161,798 | ) | (8,221,994 | ) | (6,815,790 | ) | ||||||
Options written | 256,671 | 77,002 | 56,738 | |||||||||
Swaps | 2,806,533 | 1,183,467 | 646,943 | |||||||||
Foreign currency transactions | (88,995 | ) | (53,322 | ) | (45,350 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) on investment and foreign currency transactions | (1,973,774 | ) | 838,034 | 10,085,893 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation of: | ||||||||||||
Investments | (239,571,826 | ) | (67,313,285 | ) | (61,146,128 | ) | ||||||
Forward currency exchange contracts | (3,785,604 | ) | (859,361 | ) | (702,079 | ) | ||||||
Futures | 3,710,049 | (113,067 | ) | (891,251 | ) | |||||||
Options written | (65,928 | ) | (19,779 | ) | (14,684 | ) | ||||||
Swaps | 7,655,514 | 1,115,059 | 2,355,993 | |||||||||
Foreign currency denominated assets and liabilities | 58,437 | 10,882 | 10,600 | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (231,999,358 | ) | (67,179,551 | ) | (60,387,549 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized and unrealized loss on investment and foreign currency transactions | (233,973,132 | ) | (66,341,517 | ) | (50,301,656 | ) | ||||||
|
|
|
|
|
| |||||||
Net decrease in net assets resulting from operations | $ | (207,355,578 | ) | $ | (58,944,766 | ) | $ | (44,843,323 | ) | |||
|
|
|
|
|
|
See Notes to Financial Statements.
2022 Annual Report | 105 |
Table of Contents
Statement of Changes in Net Assets
OVERLAY A PORTFOLIO | TAX-AWARE OVERLAY A PORTFOLIO | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 29,241,589 | $ | 9,799,425 | $ | 58,965,905 | $ | 21,734,170 | ||||||||||||
Net realized gain (loss) on investment and foreign currency transactions | (17,943,843 | ) | 201,876,461 | (94,262,449 | ) | 389,979,919 | ||||||||||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (385,966,264 | ) | 226,524,258 | (775,632,343 | ) | 469,232,799 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (374,668,518 | ) | 438,200,144 | (810,928,887 | ) | 880,946,888 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (a) | (207,352,448 | ) | (17,001,108 | ) | (394,503,020 | ) | (36,651,761 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Capital-share transactions | ||||||||||||||||||||
Net proceeds from sales of shares | 119,384,193 | 154,481,040 | 179,133,723 | 192,650,439 | ||||||||||||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions | 198,473,085 | 15,070,832 | 370,050,729 | 27,249,489 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total proceeds from shares sold | 317,857,278 | 169,551,872 | 549,184,452 | 219,899,928 | ||||||||||||||||
Cost of shares redeemed | (302,212,406 | ) | (448,991,029 | ) | (556,152,201 | ) | (536,113,150 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets from capital-share transactions | 15,644,872 | (279,439,157 | ) | (6,967,749 | ) | (316,213,222 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (566,376,094 | ) | 141,759,879 | (1,212,399,656 | ) | 528,081,905 | ||||||||||||||
NET ASSETS: | ||||||||||||||||||||
Beginning of period | 1,916,765,953 | 1,775,006,074 | 4,087,510,080 | 3,559,428,175 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 1,350,389,859 | $ | 1,916,765,953 | $ | 2,875,110,424 | $ | 4,087,510,080 | ||||||||||||
|
|
|
|
|
|
|
|
(a) See page 109 for share class information on dividend distributions for the Overlay A and Tax-Aware Overlay A Portfolios.
See Notes to Financial Statements.
106 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
OVERLAY B PORTFOLIO | TAX-AWARE OVERLAY B PORTFOLIO | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 29,135,635 | $ | 22,096,128 | $ | 26,617,554 | $ | 25,707,435 | ||||||||||||
Net realized gain (loss) on investment and foreign currency transactions | (81,454,587 | ) | 144,311,224 | (1,973,774 | ) | 87,627,990 | ||||||||||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (127,736,494 | ) | (32,128,442 | ) | (231,999,358 | ) | 84,199,150 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (180,055,446 | ) | 134,278,910 | (207,355,578 | ) | 197,534,575 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (a) | (165,424,767 | ) | (31,639,760 | ) | (116,715,476 | ) | (39,933,382 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Capital-share transactions | ||||||||||||||||||||
Net proceeds from sales of shares | 80,744,870 | 104,405,883 | 87,883,986 | 100,538,157 | ||||||||||||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions | 153,087,964 | 27,251,385 | 105,964,711 | 29,470,081 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total proceeds from shares sold | 233,832,834 | 131,657,268 | 193,848,697 | 130,008,238 | ||||||||||||||||
Cost of shares redeemed | (181,956,584 | ) | (234,486,549 | ) | (277,063,943 | ) | (231,922,066 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets from capital-share transactions | 51,876,250 | (102,829,281 | ) | (83,215,246 | ) | (101,913,828 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (293,603,963 | ) | (190,131 | ) | (407,286,300 | ) | 55,687,365 | |||||||||||||
NET ASSETS: | ||||||||||||||||||||
Beginning of period | 1,194,425,136 | 1,194,615,267 | 1,718,266,450 | 1,662,579,085 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 900,821,173 | $ | 1,194,425,136 | $ | 1,310,980,150 | $ | 1,718,266,450 | ||||||||||||
|
|
|
|
|
|
|
|
(a) See page 109 for share class information on dividend distributions for the Overlay B and Tax-Aware Overlay B Portfolios.
See Notes to Financial Statements.
2022 Annual Report | 107 |
Table of Contents
Statement of Changes in Net Assets (continued)
TAX-AWARE OVERLAY C PORTFOLIO | TAX-AWARE OVERLAY N PORTFOLIO | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS FROM | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 7,396,751 | $ | 7,029,390 | $ | 5,458,333 | $ | 5,105,087 | ||||||||||||
Net realized gain on investment and foreign currency transactions | 838,034 | 35,546,480 | 10,085,893 | 23,555,640 | ||||||||||||||||
Net change in unrealized appreciation/depreciation of investments and foreign currency denominated assets and liabilities | (67,179,551 | ) | 14,407,299 | (60,387,549 | ) | 17,696,414 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (58,944,766 | ) | 56,983,169 | (44,843,323 | ) | 46,357,141 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders (a) | (38,805,221 | ) | (11,727,730 | ) | (23,991,831 | ) | (8,250,017 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Capital-share transactions | ||||||||||||||||||||
Net proceeds from sales of shares | 25,287,046 | 23,111,334 | 15,718,881 | 14,948,702 | ||||||||||||||||
Net proceeds from sales of shares issued to shareholders on reinvestment of dividends and distributions | 35,406,411 | 8,192,214 | 22,169,742 | 6,209,530 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total proceeds from shares sold | 60,693,457 | 31,303,548 | 37,888,623 | 21,158,232 | ||||||||||||||||
Cost of shares redeemed | (97,298,985 | ) | (86,704,857 | ) | (74,561,335 | ) | (55,404,943 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease in net assets from capital-share transactions | (36,605,528 | ) | (55,401,309 | ) | (36,672,712 | ) | (34,246,711 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (134,355,515 | ) | (10,145,870 | ) | (105,507,866 | ) | 3,860,413 | |||||||||||||
NET ASSETS: | ||||||||||||||||||||
Beginning of period | 501,435,719 | 511,581,589 | 378,319,875 | 374,459,462 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of period | $ | 367,080,204 | $ | 501,435,719 | $ | 272,812,009 | $ | 378,319,875 | ||||||||||||
|
|
|
|
|
|
|
|
(a) See page 109 for share class information on dividend distributions for the Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios.
See Notes to Financial Statements.
108 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
PORTFOLIO | TAX-AWARE OVERLAY A PORTFOLIO | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||
Class 1 | $ | (172,626,965 | ) | $ | (13,630,356 | ) | $ | (302,970,210 | ) | $ | (26,615,553 | ) | ||||||||
Class 2 | (34,725,483 | ) | (3,370,752 | ) | (91,532,810 | ) | (10,036,208 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | (207,352,448 | ) | $ | (17,001,108 | ) | $ | (394,503,020 | ) | $ | (36,651,761 | ) | |||||||||
|
|
|
|
|
|
|
|
OVERLAY B PORTFOLIO | TAX-AWARE OVERLAY B PORTFOLIO | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||
Class 1 | $ | (138,511,977 | ) | $ | (26,263,774 | ) | $ | (80,780,738 | ) | $ | (26,878,303 | ) | ||||||||
Class 2 | (26,912,790 | ) | (5,375,986 | ) | (35,934,738 | ) | (13,055,079 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | (165,424,767 | ) | $ | (31,639,760 | ) | $ | (116,715,476 | ) | $ | (39,933,382 | ) | |||||||||
|
|
|
|
|
|
|
|
TAX-AWARE OVERLAY C PORTFOLIO | TAX-AWARE OVERLAY N PORTFOLIO | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||
Class 1 | $ | (24,700,468 | ) | $ | (7,015,375 | ) | $ | (19,695,922 | ) | $ | (6,618,995 | ) | ||||||||
Class 2 | (14,104,753 | ) | (4,712,355 | ) | (4,295,909 | ) | (1,631,022 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | (38,805,221 | ) | $ | (11,727,730 | ) | $ | (23,991,831 | ) | $ | (8,250,017 | ) | |||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
2022 Annual Report | 109 |
Table of Contents
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
OVERLAY A PORTFOLIO | ||||||||||||||||||||
CLASS 1 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 16.01 | $ | 12.81 | $ | 13.05 | $ | 13.69 | $ | 13.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.23 | 0.07 | 0.13 | 0.14 | 0.12 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (3.17 | ) | 3.25 | (0.19 | ) | (0.37 | ) | 0.57 | ||||||||||||
Contributions from affiliates | 0 | 0 | 0 | 0.00 | (c) | 0 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (2.94 | ) | 3.32 | (0.06 | ) | (0.23 | ) | 0.69 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.34 | ) | (0.12 | ) | (0.15 | ) | (0.13 | ) | (0.18 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (1.43 | ) | 0 | (0.03 | ) | (0.28 | ) | 0 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (1.77 | ) | (0.12 | ) | (0.18 | ) | (0.41 | ) | (0.18 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 11.30 | $ | 16.01 | $ | 12.81 | $ | 13.05 | $ | 13.69 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d)(e) | (21.17)% | 26.16% | (0.45)% | (1.46)% | 5.21% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $1,121,710 | $1,596,442 | $1,465,081 | $1,653,447 | $1,811,002 | |||||||||||||||
Average net assets (000 omitted) | $1,430,298 | $1,606,920 | $1,539,035 | $1,663,944 | $1,829,185 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f)(g) | 0.83% | 0.80% | 0.81% | 0.80% | 0.78% | |||||||||||||||
Expenses, before waivers/reimbursements (f)(g) | 1.16% | 1.15% | 1.15% | 1.14% | 1.13% | |||||||||||||||
Net investment income (b) | 1.67% | 0.47% | 1.02% | 1.11% | 0.88% | |||||||||||||||
Portfolio turnover rate | 24% | 21% | 22% | 21% | 39% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
110 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
OVERLAY A PORTFOLIO | ||||||||||||||||||||
CLASS 2 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 16.05 | $ | 12.84 | $ | 13.07 | $ | 13.72 | $ | 13.22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.25 | 0.10 | 0.15 | 0.18 | 0.15 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (3.18 | ) | 3.26 | (0.17 | ) | (0.39 | ) | 0.56 | ||||||||||||
Contributions from affiliates | 0 | 0 | 0 | 0.00 | (c) | 0 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (2.93 | ) | 3.36 | (0.02 | ) | (0.21 | ) | 0.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.37 | ) | (0.15 | ) | (0.18 | ) | (0.16 | ) | (0.21 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (1.43 | ) | 0 | (0.03 | ) | (0.28 | ) | 0 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (1.80 | ) | (0.15 | ) | (0.21 | ) | (0.44 | ) | (0.21 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 11.32 | $ | 16.05 | $ | 12.84 | $ | 13.07 | $ | 13.72 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d)(e) | (21.02)% | 26.34% | (0.25)% | (1.23)% | 5.37% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $228,680 | $320,324 | $309,925 | $330,953 | $427,346 | |||||||||||||||
Average net assets (000 omitted) | $291,541 | $323,834 | $319,363 | $367,721 | $420,846 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f)(g) | 0.63% | 0.59% | 0.61% | 0.60% | 0.58% | |||||||||||||||
Expenses, before waivers/reimbursements (f)(g) | 0.96% | 0.95% | 0.95% | 0.94% | 0.93% | |||||||||||||||
Net investment income (b) | 1.81% | 0.69% | 1.17% | 1.37% | 1.09% | |||||||||||||||
Portfolio turnover rate | 24% | 21% | 22% | 21% | 39% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
2022 Annual Report | 111 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
TAX-AWARE OVERLAY A PORTFOLIO | ||||||||||||||||||||
CLASS 1 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 16.98 | $ | 13.65 | $ | 13.78 | $ | 14.29 | $ | 13.95 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.23 | 0.08 | 0.13 | 0.15 | 0.13 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (3.41 | ) | 3.39 | (0.08 | ) | (0.37 | ) | 0.55 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (3.18 | ) | 3.47 | 0.05 | (0.22 | ) | 0.68 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.23 | ) | (0.14 | ) | (0.18 | ) | (0.12 | ) | (0.30 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (1.42 | ) | 0 | (0.00 | ) (c) | (0.17 | ) | (0.04 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (1.65 | ) | (0.14 | ) | (0.18 | ) | (0.29 | ) | (0.34 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 12.15 | $ | 16.98 | $ | 13.65 | $ | 13.78 | $ | 14.29 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d)(e) | (21.15)% | 25.54% | 0.29% | (1.28)% | 4.85% | (h) | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $2,232,773 | $3,144,804 | $2,712,320 | $3,143,494 | $3,464,533 | |||||||||||||||
Average net assets (000 omitted) | $2,880,460 | $3,057,954 | $2,913,890 | $3,181,790 | $3,513,988 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f)(g) | 0.81% | 0.77% | 0.80% | 0.80% | 0.77% | |||||||||||||||
Expenses, before waivers/reimbursements (f)(g) | 1.14% | 1.12% | 1.13% | 1.13% | 1.12% | |||||||||||||||
Net investment income (b) | 1.53% | 0.49% | 0.99% | 1.09% | 0.89% | |||||||||||||||
Portfolio turnover rate | 25% | 20% | 22% | 20% | 42% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
112 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
TAX-AWARE OVERLAY A PORTFOLIO | ||||||||||||||||||||
CLASS 2 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 17.03 | $ | 13.69 | $ | 13.82 | $ | 14.33 | $ | 14.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.26 | 0.11 | 0.16 | 0.17 | 0.16 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (3.42 | ) | 3.40 | (0.08 | ) | (0.36 | ) | 0.54 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (3.16 | ) | 3.51 | 0.08 | (0.19 | ) | 0.70 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.26 | ) | (0.17 | ) | (0.21 | ) | (0.15 | ) | (0.33 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (1.42 | ) | 0 | (0.00 | ) (c) | (0.17 | ) | (0.04 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (1.68 | ) | (0.17 | ) | (0.21 | ) | (0.32 | ) | (0.37 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 12.19 | $ | 17.03 | $ | 13.69 | $ | 13.82 | $ | 14.33 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d)(e) | (20.98)% | 25.78% | 0.56% | (1.12)% | 5.01% | (h) | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $642,337 | $942,706 | $847,108 | $1,041,177 | $1,119,490 | |||||||||||||||
Average net assets (000 omitted) | $854,251 | $937,234 | $935,278 | $1,048,726 | $1,114,328 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f)(g) | 0.61% | 0.57% | 0.60% | 0.60% | 0.57% | |||||||||||||||
Expenses, before waivers/reimbursements (f)(g) | 0.94% | 0.92% | 0.93% | 0.93% | 0.92% | |||||||||||||||
Net investment income (b) | 1.73% | 0.71% | 1.21% | 1.28% | 1.09% | |||||||||||||||
Portfolio turnover rate | 25% | 20% | 22% | 20% | 42% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
2022 Annual Report | 113 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
OVERLAY B PORTFOLIO | ||||||||||||||||||||
CLASS 1 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 11.92 | $ | 10.96 | $ | 10.94 | $ | 10.96 | $ | 11.00 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.27 | 0.21 | 0.16 | 0.21 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.90 | ) | 1.05 | 0.22 | 0.17 | 0.01 | ||||||||||||||
Contributions from affiliates | 0 | 0 | 0 | 0.00 | (c) | 0.00 | (c) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.63 | ) | 1.26 | 0.38 | 0.38 | 0.21 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.40 | ) | (0.25 | ) | (0.32 | ) | (0.26 | ) | (0.23 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (1.27 | ) | (0.05 | ) | (0.04 | ) | (0.14 | ) | (0.02 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (1.67 | ) | (0.30 | ) | (0.36 | ) | (0.40 | ) | (0.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 8.62 | $ | 11.92 | $ | 10.96 | $ | 10.94 | $ | 10.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (16.10)% | 11.61% | 3.56% | 3.75% | 1.93% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $750,137 | $999,357 | $991,266 | $1,024,761 | $1,052,414 | |||||||||||||||
Average net assets (000 omitted) | $908,265 | $1,021,208 | $991,542 | $1,014,279 | $1,055,548 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f) | 0.81% | 0.83% | 0.84% | 0.83% | 0.81% | |||||||||||||||
Expenses, before waivers/reimbursements (f) | 0.85% | 0.87% | 0.87% | 0.86% | 0.86% | |||||||||||||||
Net investment income (b) | 2.65% | 1.78% | 1.51% | 1.95% | 1.78% | |||||||||||||||
Portfolio turnover rate | 115% | 98% | 74% | 67% | 116% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
114 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
OVERLAY B PORTFOLIO | ||||||||||||||||||||
CLASS 2 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 11.96 | $ | 11.00 | $ | 10.97 | $ | 10.98 | $ | 11.03 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.28 | 0.23 | 0.18 | 0.22 | 0.21 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.90 | ) | 1.04 | 0.23 | 0.18 | 0.01 | ||||||||||||||
Contributions from affiliates | 0 | 0 | 0 | 0.00 | (c) | 0.00 | (c) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.62 | ) | 1.27 | 0.41 | 0.40 | 0.22 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.42 | ) | (0.26 | ) | (0.34 | ) | (0.27 | ) | (0.25 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (1.27 | ) | (0.05 | ) | (0.04 | ) | (0.14 | ) | (0.02 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (1.69 | ) | (0.31 | ) | (0.38 | ) | (0.41 | ) | (0.27 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 8.65 | $ | 11.96 | $ | 11.00 | $ | 10.97 | $ | 10.98 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (15.98)% | (h) | 11.64% | 3.76% | 3.97% | 2.02% | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $150,684 | $195,068 | $203,349 | $218,022 | $228,731 | |||||||||||||||
Average net assets (000 omitted) | $181,909 | $202,314 | $209,927 | $226,099 | $226,777 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f) | 0.66% | 0.68% | 0.69% | 0.68% | 0.66% | |||||||||||||||
Expenses, before waivers/reimbursements (f) | 0.70% | 0.72% | 0.72% | 0.71% | 0.71% | |||||||||||||||
Net investment income (b) | 2.80% | 1.93% | 1.66% | 2.10% | 1.93% | |||||||||||||||
Portfolio turnover rate | 115% | 98% | 74% | 67% | 116% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
2022 Annual Report | 115 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
TAX-AWARE OVERLAY B PORTFOLIO | ||||||||||||||||||||
CLASS 1 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 12.36 | $ | 11.27 | $ | 11.12 | $ | 11.25 | $ | 11.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.18 | 0.17 | 0.19 | 0.21 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.66 | ) | 1.19 | 0.12 | (0.03 | ) | 0.02 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.48 | ) | 1.36 | 0.31 | 0.18 | 0.21 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.19 | ) | (0.27 | ) | (0.16 | ) | (0.20 | ) | (0.18 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (0.65 | ) | 0 | 0 | (0.11 | ) | (0.28 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.84 | ) | (0.27 | ) | (0.16 | ) | (0.31 | ) | (0.46 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 10.04 | $ | 12.36 | $ | 11.27 | $ | 11.12 | $ | 11.25 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (12.95)% | 12.11% | 2.93% | 1.81% | 1.86% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $932,107 | $1,194,517 | $1,140,951 | $1,240,530 | $1,314,251 | |||||||||||||||
Average net assets (000 omitted) | $1,111,920 | $1,196,104 | $1,191,962 | $1,254,989 | $1,319,846 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f) | 0.83% | 0.84% | 0.84% | 0.83% | 0.81% | |||||||||||||||
Expenses, before waivers/reimbursements (f) | 0.83% | 0.84% | 0.84% | 0.84% | 0.83% | |||||||||||||||
Net investment income (b) | 1.63% | 1.44% | 1.74% | 1.89% | 1.68% | |||||||||||||||
Portfolio turnover rate | 12% | 19% | 8% | 12% | 22% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
116 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
TAX-AWARE OVERLAY B PORTFOLIO | ||||||||||||||||||||
CLASS 2 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 12.39 | $ | 11.30 | $ | 11.14 | $ | 11.27 | $ | 11.52 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.20 | 0.19 | 0.21 | 0.22 | 0.21 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.66 | ) | 1.19 | 0.13 | (0.02 | ) | 0.02 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.46 | ) | 1.38 | 0.34 | 0.20 | 0.23 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.21 | ) | (0.29 | ) | (0.18 | ) | (0.22 | ) | (0.20 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (0.65 | ) | 0 | 0 | (0.11 | ) | (0.28 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.86 | ) | (0.29 | ) | (0.18 | ) | (0.33 | ) | (0.48 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 10.07 | $ | 12.39 | $ | 11.30 | $ | 11.14 | $ | 11.27 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (12.78)% | 12.35% | 3.04% | 1.93% | 2.01% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $378,873 | $523,749 | $521,628 | $601,605 | $643,676 | |||||||||||||||
Average net assets (000 omitted) | $478,848 | $534,158 | $559,800 | $611,585 | $646,854 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f) | 0.68% | 0.69% | 0.69% | 0.68% | 0.66% | |||||||||||||||
Expenses, before waivers/reimbursements (f) | 0.68% | 0.69% | 0.69% | 0.69% | 0.68% | |||||||||||||||
Net investment income (b) | 1.78% | 1.59% | 1.89% | 2.03% | 1.83% | |||||||||||||||
Portfolio turnover rate | 12% | 19% | 8% | 12% | 22% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
2022 Annual Report | 117 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
TAX-AWARE OVERLAY C PORTFOLIO | ||||||||||||||||||||
CLASS 1 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 12.29 | $ | 11.26 | $ | 11.14 | $ | 11.29 | $ | 11.49 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.17 | 0.16 | 0.18 | 0.19 | 0.17 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.61 | ) | 1.13 | 0.10 | (0.03 | ) | 0.07 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.44 | ) | 1.29 | 0.28 | 0.16 | 0.24 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.18 | ) | (0.26 | ) | (0.16 | ) | (0.18 | ) | (0.18 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (0.78 | ) | 0 | 0 | (0.13 | ) | (0.26 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.96 | ) | (0.26 | ) | (0.16 | ) | (0.31 | ) | (0.44 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.89 | $ | 12.29 | $ | 11.26 | $ | 11.14 | $ | 11.29 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (12.84)% | 11.57% | 2.48% | 1.53% | 2.13% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $240,668 | $321,782 | $315,270 | $356,936 | $368,640 | |||||||||||||||
Average net assets (000 omitted) | $293,443 | $323,453 | $339,567 | $355,345 | $366,150 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f) | 0.87% | 0.88% | 0.88% | 0.86% | 0.85% | |||||||||||||||
Expenses, before waivers/reimbursements (f) | 0.87% | 0.88% | 0.88% | 0.87% | 0.87% | |||||||||||||||
Net investment income (b) | 1.56% | 1.31% | 1.60% | 1.75% | 1.49% | |||||||||||||||
Portfolio turnover rate | 18% | 23% | 13% | 14% | 28% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
118 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
TAX-AWARE OVERLAY C PORTFOLIO | ||||||||||||||||||||
CLASS 2 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 12.32 | $ | 11.29 | $ | 11.16 | $ | 11.31 | $ | 11.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.19 | 0.18 | 0.19 | 0.21 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.61 | ) | 1.13 | 0.11 | (0.04 | ) | 0.08 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.42 | ) | 1.31 | 0.30 | 0.17 | 0.27 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.20 | ) | (0.28 | ) | (0.17 | ) | (0.19 | ) | (0.20 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (0.78 | ) | 0 | 0 | (0.13 | ) | (0.26 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.98 | ) | (0.28 | ) | (0.17 | ) | (0.32 | ) | (0.46 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.92 | $ | 12.32 | $ | 11.29 | $ | 11.16 | $ | 11.31 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (12.66)% | (h) | 11.72% | 2.68% | 1.65% | 2.37% | (h) | |||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $126,412 | $179,654 | $196,312 | $209,891 | $221,368 | |||||||||||||||
Average net assets (000 omitted) | $164,116 | $192,674 | $203,874 | $217,264 | $225,633 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f) | 0.72% | 0.73% | 0.73% | 0.71% | 0.70% | |||||||||||||||
Expenses, before waivers/reimbursements (f) | 0.72% | 0.73% | 0.73% | 0.72% | 0.72% | |||||||||||||||
Net investment income (b) | 1.71% | 1.46% | 1.75% | 1.90% | 1.64% | |||||||||||||||
Portfolio turnover rate | 18% | 23% | 13% | 14% | 28% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
2022 Annual Report | 119 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
TAX-AWARE OVERLAY N PORTFOLIO | ||||||||||||||||||||
CLASS 1 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 12.17 | $ | 11.02 | $ | 11.04 | $ | 11.19 | $ | 11.43 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.18 | 0.15 | 0.18 | 0.20 | 0.17 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.66 | ) | 1.25 | (0.03 | ) | (0.03 | ) | 0.04 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.48 | ) | 1.40 | 0.15 | 0.17 | 0.21 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.17 | ) | (0.25 | ) | (0.17 | ) | (0.19 | ) | (0.18 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (0.61 | ) | 0 | 0 | (0.13 | ) | (0.27 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.78 | ) | (0.25 | ) | (0.17 | ) | (0.32 | ) | (0.45 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.91 | $ | 12.17 | $ | 11.02 | $ | 11.04 | $ | 11.19 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (13.16)% | 12.82% | 1.35% | 1.67% | 1.84% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $230,496 | $312,157 | $303,111 | $335,908 | $372,015 | |||||||||||||||
Average net assets (000 omitted) | $282,579 | $313,333 | $317,504 | $343,928 | $375,576 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f) | 0.89% | 0.90% | 0.90% | 0.88% | 0.86% | |||||||||||||||
Expenses, before waivers/reimbursements (f) | 0.89% | 0.90% | 0.91% | 0.89% | 0.88% | |||||||||||||||
Net investment income (b) | 1.57% | 1.30% | 1.65% | 1.84% | 1.54% | |||||||||||||||
Portfolio turnover rate | 14% | 19% | 11% | 19% | 31% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
120 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
TAX-AWARE OVERLAY N PORTFOLIO | ||||||||||||||||||||
CLASS 2 | ||||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/20 | YEAR ENDED 9/30/19 | YEAR ENDED 9/30/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 12.20 | $ | 11.05 | $ | 11.06 | $ | 11.21 | $ | 11.45 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from investment operations: | ||||||||||||||||||||
Investment income, net (a)(b) | 0.19 | 0.17 | 0.20 | 0.22 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) on investment and foreign currency transactions | (1.66 | ) | 1.25 | (0.02 | ) | (0.04 | ) | 0.04 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (1.47 | ) | 1.42 | 0.18 | 0.18 | 0.23 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions: | ||||||||||||||||||||
Dividends from net investment income | (0.19 | ) | (0.27 | ) | (0.19 | ) | (0.20 | ) | (0.20 | ) | ||||||||||
Distributions from net realized gain on investment transactions | (0.61 | ) | 0 | 0 | (0.13 | ) | (0.27 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.80 | ) | (0.27 | ) | (0.19 | ) | (0.33 | ) | (0.47 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.93 | $ | 12.20 | $ | 11.05 | $ | 11.06 | $ | 11.21 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return (d) | (13.08)% | 12.96% | 1.60% | 1.79% | 1.99% | |||||||||||||||
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $42,316 | $66,163 | $71,348 | $84,996 | $85,946 | |||||||||||||||
Average net assets (000 omitted) | $59,773 | $71,584 | $78,103 | $81,875 | $87,212 | |||||||||||||||
Ratio to average net assets of: | ||||||||||||||||||||
Expenses, net of waivers/reimbursements (f) | 0.74% | 0.75% | 0.75% | 0.73% | 0.71% | |||||||||||||||
Expenses, before waivers/reimbursements (f) | 0.74% | 0.75% | 0.76% | 0.74% | 0.73% | |||||||||||||||
Net investment income (b) | 1.72% | 1.44% | 1.80% | 1.99% | 1.69% | |||||||||||||||
Portfolio turnover rate | 14% | 19% | 11% | 19% | 31% |
See Footnote Summary on page 122.
See Notes to Financial Statements.
2022 Annual Report | 121 |
Table of Contents
Financial Highlights (continued)
Selected per share data and ratios for a share of capital stock outstanding for each respective Portfolio for each of the periods presented:
(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) | Includes the impact of proceeds received and credited to the Portfolio resulting from the class action settlements, which enhanced the performance for the Overlay A Portfolio for the year ended September 30, 2020 by .02% and the Tax-Aware Overlay A Portfolio for the year ended September 30, 2020 by .02%. |
(f) | In connection with the Portfolio’s investments in affiliated underlying portfolios, the Portfolio 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 Portfolio in an amount equal to the Portfolio’s pro rata share of certain acquired fund fees and expenses, and for the period shown below, such waiver amounted to: |
Acquired Fund Fees and Expenses: |
YEAR ENDED 9/30/2022 | YEAR ENDED 9/30/2021 | YEAR ENDED 9/30/2020 | YEAR ENDED 9/30/2019 | YEAR ENDED 9/30/2018 | ||||||||||||||||
Overlay A Portfolio | .34% | .36% | .35% | .34% | .37% | |||||||||||||||
Tax-Aware Overlay A Portfolio | .33% | .36% | .34% | .34% | .36% | |||||||||||||||
Overlay B Portfolio | .05% | .04% | .03% | .05% | .07% | |||||||||||||||
Tax-Aware Overlay B Portfolio | .03% | .03% | .02% | .05% | .04% | |||||||||||||||
Tax-Aware Overlay C Portfolio | .03% | .03% | .03% | .03% | .04% | |||||||||||||||
Tax-Aware Overlay N Portfolio | .03% | .03% | .03% | .03% | .04% |
Waiver: |
YEAR ENDED 9/30/2022 | YEAR ENDED 9/30/2021 | YEAR ENDED 9/30/2020 | YEAR ENDED 9/30/2019 | YEAR ENDED 9/30/2018 | ||||||||||||||||
Overlay A Portfolio | .33% | .35% | .34% | .33% | .37% | |||||||||||||||
Tax-Aware Overlay A Portfolio | .33% | .35% | .34% | .33% | .36% | |||||||||||||||
Overlay B Portfolio | .04% | .04% | .03% | .03% | .07% | |||||||||||||||
Tax-Aware Overlay B Portfolio | .00% | (c) | .00% | (c) | .00% | (c) | .02% | .04% | ||||||||||||
Tax-Aware Overlay C Portfolio | .00% | (c) | .00% | (c) | .00% | (c) | .01% | .04% | ||||||||||||
Tax-Aware Overlay N Portfolio | .00% | (c) | .00% | (c) | .00% | (c) | .01% | .04% |
(g) | The expense ratios presented below exclude interest/bank overdraft expense: |
YEAR ENDED SEPTEMBER 30, | ||||||||||||||||||||
2022 | 2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Overlay A Portfolio |
| |||||||||||||||||||
Class 1 |
| |||||||||||||||||||
Expenses, net of waivers/reimbursements | .80% | .79% | .80% | .80% | .78% | |||||||||||||||
Expenses, before waivers/reimbursements | 1.13% | 1.14% | 1.14% | 1.14% | 1.13% | |||||||||||||||
Class 2 |
| |||||||||||||||||||
Expenses, net of waivers/reimbursements | .60% | .58% | .60% | .60% | .58% | |||||||||||||||
Expenses, before waivers/reimbursements | .93% | .94% | .94% | .94% | .93% | |||||||||||||||
Tax-Aware Overlay A Portfolio |
| |||||||||||||||||||
Class 1 |
| |||||||||||||||||||
Expenses, net of waivers/reimbursements | .79% | .77% | .79% | .80% | .77% | |||||||||||||||
Expenses, before waivers/reimbursements | 1.12% | 1.11% | 1.13% | 1.13% | 1.12% | |||||||||||||||
Class 2 |
| |||||||||||||||||||
Expenses, net of waivers/reimbursements | .59% | .56% | .59% | .60% | .57% | |||||||||||||||
Expenses, before waivers/reimbursements | .92% | .91% | .92% | .93% | .92% |
(h) | 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. |
See Notes to Financial Statements.
122 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
NOTE 1. | Organization and Significant Accounting Policies |
Sanford C. Bernstein Fund, Inc. (the “Fund”) is registered under the Investment Company Act of 1940 as an open-end registered investment company. The Fund, which is a Maryland corporation, operates as a series company currently comprised of 13 portfolios (hereafter collectively referred to as the “Portfolios” and each individually a “Portfolio”) with the following share classes offered:
INTERNATIONAL EQUITY PORTFOLIO | SHARE CLASSES OFFERED | |
Emerging Markets | Emerging Markets Class* and Class Z | |
FIXED INCOME MUNICIPAL PORTFOLIOS | ||
Short Duration Diversified Municipal | Short Duration Diversified Municipal Class* | |
California Municipal | Municipal Class*, Class A, Class C and Advisor Class | |
Diversified Municipal | Municipal Class*, Class A, Class C, Advisor Class and Class Z | |
New York Municipal | Municipal Class*, Class A, Class C and Advisor Class | |
FIXED INCOME TAXABLE PORTFOLIOS | ||
Intermediate Duration | Intermediate Duration Class*, Class A, Advisor Class and Class Z | |
Short Duration Plus | Short Duration Plus Class*, Class A and Class C |
* | Bernstein Class |
OVERLAY PORTFOLIOS | ||
Overlay A | Class 1 and Class 2 | |
Tax-Aware Overlay A | Class 1 and Class 2 | |
Overlay B | Class 1 and Class 2 | |
Tax-Aware Overlay B | Class 1 and Class 2 | |
Tax-Aware Overlay C | Class 1 and Class 2 | |
Tax-Aware Overlay N | Class 1 and Class 2 |
Each Portfolio has its own investment objectives. This report relates only to the Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios. Each class of shares has identical voting, dividend, liquidation and other rights, except that the classes may bear different distribution and transfer agency expenses. Each class has exclusive voting rights with respect to its distribution plan, as applicable. 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. Each Portfolio 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 Portfolios.
A. | Portfolio Valuation |
Portfolio securities are valued at market value determined on the basis of market quotations or, if market quotations are not readily available or are unreliable, at “fair value” as determined in accordance with procedures approved by and under the oversight of the Portfolios’ Board of Directors (the “Board”). Pursuant to these procedures, AllianceBernstein L.P. (the “Adviser”) serves as the Portfolios’ valuation designee pursuant to Rule 2a-5 of the 1940 Act. In this capacity, the Adviser is responsible, among other things, for making all fair value determinations relating to the Portfolios’ portfolio investments, subject to the Board’s oversight.
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.
2022 Annual Report | 123 |
Table of Contents
Notes to Financial Statements (continued)
(“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 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 Portfolios may use fair value pricing for securities primarily traded in non-U.S. markets because most foreign markets close well before the Portfolios value their 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 Portfolios generally value many of their foreign equity securities using fair value prices based on third party vendor modeling tools to the extent available.
B. | Fair Value Measurements |
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolios 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 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 Portfolios. Unobservable inputs reflect the Portfolios’ 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 Portfolios’ own assumptions in determining the fair value of investments) |
124 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
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 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 models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are: the value of 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.
2022 Annual Report | 125 |
Table of Contents
Notes to Financial Statements (continued)
The following tables summarize the valuation of the Portfolios’ investments by the above fair value hierarchy levels as of September 30, 2022:
OVERLAY A PORTFOLIO INVESTMENTS IN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks (a) | $ | 663,640,342 | $ | — | $ | — | $ | 663,640,342 | ||||||||
Investment Companies | 498,626,451 | — | — | 498,626,451 | ||||||||||||
Options Purchased—Puts | — | 43,838,865 | — | 43,838,865 | ||||||||||||
Short-Term Investments | 177,759,322 | — | — | 177,759,322 | ||||||||||||
Total Investments in Securities | 1,340,026,115 | 43,838,865 | — | 1,383,864,980 | ||||||||||||
Other Financial Instruments (b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 39,035,466 | — | — | 39,035,466 | (c) | |||||||||||
Forward Currency Exchange Contracts | — | 16,473,312 | — | 16,473,312 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (25,446,373 | ) | — | — | (25,446,373 | )(c) | ||||||||||
Forward Currency Exchange Contracts | — | (22,919,877 | ) | — | (22,919,877 | ) | ||||||||||
Total Return Swaps | — | (661,368 | ) | — | (661,368 | ) | ||||||||||
Total | $ | 1,353,615,208 | $ | 36,730,932 | $ | — | $ | 1,390,346,140 | ||||||||
TAX-AWARE OVERLAY A PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Common Stocks (a) | $ | 1,449,323,669 | $ | — | $ | — | $ | 1,449,323,669 | ||||||||
Investment Companies | 1,079,576,547 | — | — | 1,079,576,547 | ||||||||||||
Options Purchased—Puts | — | 94,865,049 | — | 94,865,049 | ||||||||||||
Short-Term Investments | 314,374,213 | — | — | 314,374,213 | ||||||||||||
Total Investments in Securities | 2,843,274,429 | 94,865,049 | — | 2,938,139,478 | ||||||||||||
Other Financial Instruments (b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 94,840,306 | — | — | 94,840,306 | (c) | |||||||||||
Forward Currency Exchange Contracts | — | 35,621,801 | — | 35,621,801 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (55,981,401 | ) | — | — | (55,981,401 | )(c) | ||||||||||
Forward Currency Exchange Contracts | — | (49,182,623 | ) | — | (49,182,623 | ) | ||||||||||
Total Return Swaps | — | (1,342,461 | ) | — | (1,342,461 | ) | ||||||||||
Total | $ | 2,882,133,334 | $ | 79,961,766 | $ | — | $ | 2,962,095,100 |
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OVERLAY B PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Governments—Treasuries | $ | — | $ | 247,283,832 | $ | — | $ | 247,283,832 | ||||||||
Inflation-Linked Securities | — | 175,245,908 | — | 175,245,908 | ||||||||||||
Corporates—Investment Grade | — | 146,429,479 | — | 146,429,479 | ||||||||||||
Mortgage Pass-Throughs | — | 61,088,683 | — | 61,088,683 | ||||||||||||
Collateralized Mortgage Obligations | — | 35,883,024 | — | 35,883,024 | ||||||||||||
Investment Companies | 29,456,532 | — | — | 29,456,532 | ||||||||||||
Asset-Backed Securities | — | 25,607,077 | — | 25,607,077 | ||||||||||||
Corporates—Non-Investment Grade | — | 21,384,453 | — | 21,384,453 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 18,800,353 | 1,427,068 | 20,227,421 | ||||||||||||
Collateralized Loan Obligations | — | 17,133,119 | — | 17,133,119 | ||||||||||||
Options Purchased—Puts | — | 10,645,245 | — | 10,645,245 | ||||||||||||
U.S. Treasury Bills | — | 8,075,712 | — | 8,075,712 | ||||||||||||
Covered Bonds | — | 5,243,525 | — | 5,243,525 | ||||||||||||
Emerging Markets—Corporate Bonds | — | 5,192,088 | — | 5,192,088 | ||||||||||||
Quasi-Sovereigns | — | 5,176,787 | — | 5,176,787 | ||||||||||||
Governments—Sovereign Bonds | — | 3,178,694 | — | 3,178,694 | ||||||||||||
Local Governments—US Municipal Bonds | — | 3,007,049 | — | 3,007,049 | ||||||||||||
Local Governments—Provincial Bonds | — | 2,109,447 | — | 2,109,447 | ||||||||||||
Supranationals | — | 2,008,468 | — | 2,008,468 | ||||||||||||
Emerging Markets—Sovereigns | — | 1,514,026 | — | 1,514,026 | ||||||||||||
Local Governments—Regional Bonds | — | 1,276,525 | — | 1,276,525 | ||||||||||||
Governments—Sovereign Agencies | — | 980,796 | — | 980,796 | ||||||||||||
Agencies | — | 570,755 | — | 570,755 | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Investment Companies | 99,713,489 | — | — | 99,713,489 | ||||||||||||
Governments—Treasuries | — | 5,295,584 | — | 5,295,584 | ||||||||||||
Total Investments in Securities | 129,170,021 | 803,130,629 | 1,427,068 | 933,727,718 | ||||||||||||
Other Financial Instruments (b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 2,406,454 | — | — | 2,406,454 | (c) | |||||||||||
Forward Currency Exchange Contracts | — | 12,766,573 | — | 12,766,573 | ||||||||||||
Centrally Cleared Credit Default Swaps | — | 333,127 | — | 333,127 | (c) | |||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 5,590,913 | — | 5,590,913 | (c) | |||||||||||
Centrally Cleared Interest Rate Swaps | — | 7,665,188 | — | 7,665,188 | (c) | |||||||||||
Total Return Swaps | — | 392,678 | — | 392,678 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (19,674,053 | ) | — | — | (19,674,053 | )(c) | ||||||||||
Forward Currency Exchange Contracts | — | (13,928,799 | ) | — | (13,928,799 | ) | ||||||||||
Centrally Cleared Credit Default Swaps | — | (14,565 | ) | — | (14,565 | )(c) | ||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (154,199 | ) | — | (154,199 | )(c) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (2,912,879 | ) | — | (2,912,879 | )(c) | ||||||||||
Credit Default Swaps | — | (976,198 | ) | — | (976,198 | ) | ||||||||||
Total Return Swaps | — | (658,006 | ) | — | (658,006 | ) | ||||||||||
Total | $ | 111,902,422 | $ | 811,234,462 | $ | 1,427,068 | $ | 924,563,952 |
2022 Annual Report | 127 |
Table of Contents
Notes to Financial Statements (continued)
TAX-AWARE OVERLAY B PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | — | $ | 949,867,358 | $ | — | $ | 949,867,358 | ||||||||
Investment Companies | 305,876,750 | — | — | 305,876,750 | ||||||||||||
Options Purchased—Puts | — | 15,490,362 | — | 15,490,362 | ||||||||||||
Corporates—Investment Grade | — | 10,556,156 | — | 10,556,156 | ||||||||||||
Governments—Treasuries | — | 8,841,113 | — | 8,841,113 | ||||||||||||
Corporates—Non-Investment Grade | — | 4,546,205 | — | 4,546,205 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 3,474,545 | — | 3,474,545 | ||||||||||||
Collateralized Mortgage Obligations | — | 846,205 | — | 846,205 | ||||||||||||
Short-Term Investments | 7,141,247 | — | — | 7,141,247 | ||||||||||||
Total Investments in Securities | 313,017,997 | 993,621,944 | — | 1,306,639,941 | ||||||||||||
Other Financial Instruments (b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 8,018,993 | — | — | 8,018,993 | (c) | |||||||||||
Forward Currency Exchange Contracts | — | 5,155,105 | — | 5,155,105 | ||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 10,114,167 | — | 10,114,167 | (c) | |||||||||||
Centrally Cleared Interest Rate Swaps | — | 605,667 | — | 605,667 | ||||||||||||
Inflation (CPI) Swaps | — | 17,353,492 | — | 17,353,492 | (c) | |||||||||||
Interest Rate Swaps | — | 1,433,021 | — | 1,433,021 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (12,556,723 | ) | — | — | (12,556,723 | )(c) | ||||||||||
Forward Currency Exchange Contracts | — | (8,349,562 | ) | — | (8,349,562 | ) | ||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (1,752,463 | ) | — | (1,752,463 | )(c) | ||||||||||
Credit Default Swaps | — | (646,351 | ) | — | (646,351 | ) | ||||||||||
Total Return Swaps | — | (254,337 | ) | — | (254,337 | ) | ||||||||||
Total | $ | 308,480,267 | $ | 1,017,280,683 | $ | — | $ | 1,325,760,950 | ||||||||
TAX-AWARE OVERLAY C PORTFOLIO INVESTMENTIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | — | $ | 280,635,960 | $ | — | $ | 280,635,960 | ||||||||
Short-Term Municipal Notes | — | 8,054,480 | — | 8,054,480 | ||||||||||||
Investment Companies | 45,942,436 | — | — | 45,942,436 | ||||||||||||
Options Purchased—Puts | — | 4,437,898 | — | 4,437,898 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 2,782,268 | — | 2,782,268 | ||||||||||||
Governments—Treasuries | — | 2,655,697 | — | 2,655,697 | ||||||||||||
Collateralized Mortgage Obligations | — | 67,817 | — | 67,817 | ||||||||||||
Short-Term Investments | 17,560,057 | — | — | 17,560,057 | ||||||||||||
Total Investments in Securities | 63,502,493 | 298,634,120 | — | 362,136,613 |
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TAX-AWARE OVERLAY C PORTFOLIO INVESTMENTIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Other Financial Instruments (b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | $ | 1,031,523 | $ | — | $ | — | $ | 1,031,523 | (c) | |||||||
Forward Currency Exchange Contracts | — | 1,611,333 | — | 1,611,333 | ||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 3,120,701 | — | 3,120,701 | (c) | |||||||||||
Inflation (CPI) Swaps | — | 5,059,141 | — | 5,059,141 | ||||||||||||
Interest Rate Swaps | — | 438,410 | — | 438,410 | ||||||||||||
Total Return Swaps | — | 39,244 | — | 39,244 | ||||||||||||
Liabilities: |
| |||||||||||||||
Futures | (3,522,891 | ) | — | — | (3,522,891 | )(c) | ||||||||||
Forward Currency Exchange Contracts | — | (2,398,213 | ) | — | (2,398,213 | ) | ||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (534,500 | ) | — | (534,500 | )(c) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (397,401 | ) | — | (397,401 | )(c) | ||||||||||
Credit Default Swaps | — | (234,231 | ) | — | (234,231 | ) | ||||||||||
Total Return Swaps | — | (69,227 | ) | — | (69,227 | ) | ||||||||||
Total | $ | 61,011,125 | $ | 305,269,377 | $ | — | $ | 366,280,502 | ||||||||
TAX-AWARE OVERLAY N PORTFOLIO INVESTMENTSIN SECURITIES: | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | — | $ | 206,061,318 | $ | — | $ | 206,061,318 | ||||||||
Investment Companies | 44,340,192 | — | — | 44,340,192 | ||||||||||||
Governments—Treasuries | — | 3,265,096 | — | 3,265,096 | ||||||||||||
Options Purchased—Puts | — | 3,177,520 | — | 3,177,520 | ||||||||||||
Collateralized Mortgage Obligations | — | 73,446 | — | 73,446 | ||||||||||||
Short-Term Investments | 10,451,865 | — | — | 10,451,865 | ||||||||||||
Total Investments in Securities | 54,792,057 | 212,577,380 | — | 267,369,437 | ||||||||||||
Other Financial Instruments (b): | ||||||||||||||||
Assets: |
| |||||||||||||||
Futures | 1,110,036 | — | — | 1,110,036 | (c) | |||||||||||
Forward Currency Exchange Contracts | — | 1,048,452 | — | 1,048,452 | ||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 2,236,278 | — | 2,236,278 | (c) | |||||||||||
Centrally Cleared Interest Rate Swaps | — | 159,092 | — | 159,092 | (c) | |||||||||||
Inflation (CPI) Swaps | — | 4,328,840 | — | 4,328,840 | ||||||||||||
Interest Rate Swaps | — | 326,366 | — | 326,366 | ||||||||||||
Liabilities: | ||||||||||||||||
Futures | (3,795,234 | ) | — | — | (3,795,234 | )(c) | ||||||||||
Forward Currency Exchange Contracts | — | (1,693,960 | ) | — | (1,693,960 | ) | ||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (390,022 | ) | — | (390,022 | )(c) | ||||||||||
Credit Default Swaps | — | (189,156 | ) | — | (189,156 | ) | ||||||||||
Total Return Swaps | — | (58,254 | ) | — | (58,254 | ) | ||||||||||
Total | $ | 52,106,859 | $ | 218,345,016 | $ | — | $ | 270,451,875 |
(a) | See Schedule of Investments for sector classifications. |
2022 Annual Report | 129 |
Table of Contents
Notes to Financial Statements (continued)
(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 schedule of investments. Where applicable, centrally cleared swaps with upfront premiums are presented here at market value. |
C. | Foreign Currency Translation |
The accounting records of the Portfolios are maintained in U.S. dollars. Prices of securities and other assets and liabilities denominated in non-U.S. currencies are translated into U.S. dollars using the exchange rate at 4:00 p.m., Eastern Time. Amounts related to the purchases and sales of securities, investment income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Net realized gain or loss on foreign currency transactions represents net foreign exchange gains or losses from the disposition of foreign currencies, currency gains or losses realized between the trade and settlement dates on security transactions and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Portfolios’ books and the U.S. dollar equivalent amount actually received or paid. Net unrealized currency gains and losses arising from valuing foreign currency denominated assets and liabilities, other than security investments, at the current exchange rate are reflected as part of unrealized appreciation/depreciation on foreign currencies.
The Portfolios do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at period end. The Portfolios do isolate the effect of changes in foreign exchange rates from changes in market prices of securities sold during the year, as required by the Internal Revenue Code.
The Portfolios may invest in foreign securities and foreign currency transactions that may involve risks not associated with domestic investments as a result of the level of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability, among others.
D. | Taxes |
Each Portfolio is treated as a separate entity for federal income tax purposes. Each Portfolio intends to continue to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986 as they apply to regulated investment companies. By so complying, each Portfolio will not be subject to federal and state income taxes to the extent that all of its income is distributed. The Portfolios may be subject to taxes imposed by countries in which they invest. 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 based on, management’s understanding of applicable local tax law.
In consideration of recent decisions rendered by the European courts, certain Portfolios filed reclaims to recover taxes withheld on dividends earned from certain European Union countries during calendar years 2008 through 2022. These filing are subject to various administrative and judicial proceedings within these countries. No amounts for additional tax reclaims are disclosed in the financial statements due to the uncertainty as to the ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.
In accordance with U.S. GAAP requirements regarding accounting for uncertainties in income taxes, management has analyzed the Portfolios’ 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 Portfolios’ financial statements. As of September 30, 2022, the Portfolios did not have any unrecognized tax benefits.
E. | Security Transactions and Related Investment Income |
Security transactions are accounted for on the trade date (the date the buy or sell order is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and dividend income is
130 | Sanford C. Bernstein Fund, Inc. |
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recorded on the ex-dividend date or as soon as the Fund is informed of the dividend. Non-cash dividends, if any, are recorded on the ex-dividend date at the fair value of the securities received. The Portfolios amortize premiums and accrete discounts as adjustments to interest income. The Portfolio 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.
F. | Securities Transactions on a When-Issued or Delayed-Delivery Basis |
Each Portfolio may purchase securities on a when-issued basis or purchase or sell securities on a delayed-delivery basis. At the time a Portfolio commits to purchase a security on a when-issued or delayed-delivery basis, the Portfolio will record the transaction and use the security’s value in determining the Portfolio’s net asset value. At the time a Portfolio commits to sell a security on a delayed-delivery basis, the Portfolio will record the transaction and exclude the security’s value in determining the Portfolio’s net asset value.
G. | Class Allocations |
All income earned and expenses incurred by the Portfolios are borne on a pro-rata basis by each outstanding class of shares, based on the proportionate interest in the Portfolio represented by the shares of such class, except for class specific expenses which are allocated to the respective class. Expenses of the Fund are charged proportionately to each Portfolio or based on other appropriate methods. Realized and unrealized gains and losses are allocated among the various share classes based on respective net assets.
H. | Distribution of Income and Gains |
Dividends from net investment income, if any, will be paid to shareholders at least once a year.
Distributions of net realized gains, less any available loss carryforwards, if any, for all the Portfolios will be paid to shareholders at least once a year, and recorded on the ex-dividend date.
Elements of realized gains and net investment income may be recorded in different accounting periods for financial reporting (book) and federal income tax (tax) purposes (temporary differences). To the extent that such distributions required for tax purposes exceed income and gains recorded for book purposes as a result of such temporary differences, “excess distributions” are reflected in the accompanying statement of assets and liabilities. To the extent distributions exceed income and gains for tax purposes, such distributions would be shown as “return of capital” on the statement of changes in net assets. Certain other differences—permanent differences—arise because treatment of elements of income and gains is different between book and tax accounting. Permanent differences are reclassified in the year they arise.
Permanent differences have no effect on net assets. The effects of such permanent differences on each Portfolio, due to the utilization of earnings and profits distributed to shareholders on redemption of shares which are reflected as adjustments to the components of net assets as of September 30, 2022, as shown below:
PORTFOLIO | INCREASE (DECREASE) TO ADDITIONAL PAID-IN CAPITAL | INCREASE (DECREASE) TO DISTRIBUTABLE EARNINGS/ ACCUMULATED LOSS | ||||||
Overlay A | $ | 18,100,849 | $ | (18,100,849 | ) | |||
Tax-Aware Overlay A | 15,386,297 | (15,386,297 | ) | |||||
Overlay B | 10,613,693 | (10,613,693 | ) | |||||
Tax-Aware Overlay B | 6,273,189 | (6,273,189 | ) | |||||
Tax-Aware Overlay C | 2,145,566 | (2,145,566 | ) | |||||
Tax-Aware Overlay N | 1,114,440 | (1,114,440 | ) |
2022 Annual Report | 131 |
Table of Contents
Notes to Financial Statements (continued)
NOTE 2. | Investment Management and Transactions with Affiliated Persons |
A. | Management Fee |
Under the Investment Management Agreement between the Fund and the Adviser, the Adviser manages the investment of each Portfolio’s assets, places purchase and sale orders, and bears various expenses, including the salaries and expenses of all personnel except those of outside directors. In addition, the Adviser agrees to permit its directors, officers and employees who may be elected directors or officers of the Fund to serve in the capacities to which they are elected. The Adviser renders these services subject to the general oversight of the Board.
The Portfolios pay the Adviser an investment management fee at an annual rate of 0.90% of the first $2.5 billion, 0.875% of the next $2.5 billion and 0.85% in excess of $5 billion for Overlay A and Tax-Aware Overlay A; 0.65% for Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N, of the average daily net assets of each Portfolio. Prior to November 13, 2020, the Overlay A and Tax-Aware Overlay A paid the Adviser an investment management fee at an annual rate of 0.90% of the first $5 billion and 0.875% in excess of $5 billion of the average daily net assets of each respective Portfolio.
The Adviser has agreed to waive its fees and bear certain expenses, exclusive of acquired fund fees and other than the advisory fees of any registered funds advised by the Adviser in which a Portfolio may invest, interest expense, taxes, extraordinary expenses, brokerage commission, and other transaction costs, to the extent necessary to limit the total portfolio operating expenses as a percentage of daily average net assets on an annual basis as follows:
PORTFOLIO | CLASS 1 | CLASS 2 | ||||||
Overlay A | 1.20 | % | 1.00 | % | ||||
Tax-Aware Overlay A | 1.20 | % | 1.00 | % | ||||
Overlay B | 0.90 | % | 0.75 | % | ||||
Tax-Aware Overlay B | 0.90 | % | 0.75 | % | ||||
Tax-Aware Overlay C | 0.90 | % | 0.75 | % | ||||
Tax-Aware Overlay N | 0.90 | % | 0.75 | % |
This fee waiver and/or expense limitation agreement will remain in effect until January 28, 2023, and then may be extended by the Adviser for additional one year terms. During the year ended September 30, 2022, there were no such reimbursement/waivers.
B. | Shareholder Servicing Fee |
Under the Shareholder Servicing Agreement between the Fund and the Adviser, the Adviser pays expenses it incurs in providing shareholder servicing to the Fund, the Portfolios and individual shareholders. Such services include, but are not limited to, providing information to shareholders concerning their fund investments, systematic withdrawal plans, fund dividend payments and reinvestments, shareholder account or transactions status, net asset value of shares, fund performance, fund services, plans and options, fund investment policies, portfolio holdings and tax consequences of fund investments; dealing with shareholder complaints and other correspondence relating to fund matters; and communications with shareholders when proxies are being solicited from them with respect to voting their fund shares. Under the agreement, the fee paid by each Portfolio to the Adviser for services is 0.20 of 1%, annualized, of the average daily net assets of Class 1 Shares of Overlay A and Tax-Aware Overlay A Portfolios during the month, and 0.15 of 1%, annualized, of the average daily net assets of Class 1 Shares of Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios during the month.
C. | Distribution Arrangements |
Under the Distribution Agreement between the Fund, on behalf of each Portfolio, and Sanford C. Bernstein & Co., LLC (the “Distributor”), the Distributor agrees to act as agent to sell shares of the Portfolios. The Distributor receives no fee for this service, and furthermore agrees to pay all expenses arising from the performance of its obligations under this agreement. The Distributor is a wholly owned subsidiary of the Adviser.
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D. | Investments in Affiliated Issuers |
The Portfolios may invest in other investment companies advised by the Adviser, including AB Government Money Market Portfolio (the “Government Money Market Portfolio”) and AB All-Market Real Return Portfolio—Class Z (“AMRR”) which have contractual annual advisory fee rates of 0.20% and 0.75%, respectively, of the portfolios’ average daily net assets and bear their 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, 2023. In connection with the investment by the Portfolios in affiliated registered investment companies, the Adviser has contractually agreed to waive its advisory fee from the Portfolios in an amount equal to the Portfolios’ pro rata share of the effective advisory fee of the underlying affiliated registered investment company, as borne indirectly by the Portfolios as an acquired fund fee and expense.
For the year ended September 30, 2022, such waivers amounted to:
GOVERNMENT MONEY MARKET PORTFOLIO | AMOUNT | |||
Overlay A | $ | 141,279 | ||
Tax-Aware Overlay A | 348,876 | |||
Overlay B | 121,902 | |||
Tax-Aware Overlay B | 32,251 | |||
Tax-Aware Overlay C | 10,497 | |||
Tax-Aware Overlay N | 3,963 | |||
AMRR | AMOUNT | |||
Overlay A | $ | 1,102,065 | ||
Tax-Aware Overlay A | 2,259,149 | |||
Overlay B | 334,966 | |||
Tax-Aware Overlay B | 38,318 | |||
Tax-Aware Overlay C | 10,918 | |||
Tax-Aware Overlay N | 8,224 |
Overlay A Portfolio and Tax-Aware Overlay A Portfolio currently invest in Bernstein Fund, Inc.—International Small Cap Portfolio—Class Z, Bernstein Fund, Inc.—International Strategic Equities Portfolio—Class Z, Bernstein Fund Inc.—Small Cap Core Portfolio—Class Z and Sanford C. Bernstein Fund, Inc.—Emerging Markets Portfolio—Class Z, respectively. With respect to the Overlay A Portfolio and Tax-Aware Overlay A Portfolio, the Adviser has contractually agreed to waive its management fees and/or bear Portfolio expenses through January 28, 2023, in an amount equal to the Portfolios’ proportionate share of all advisory fees and other expenses of the aforementioned funds that are indirectly borne by the Portfolios. For the year ended September 30, 2022, such waivers amounted to:
PORTFOLIO | SANFORD C. BERNSTEIN FUND, INC. - EMERGING MARKETS PORTFOLIO CLASS Z | BERNSTEIN FUND, INC. - INTERNATIONAL STRATEGIC EQUITIES PORTFOLIO CLASS Z | BERNSTEIN FUND, INC. - INTERNATIONAL SMALL CAP PORTFOLIO CLASS Z | BERNSTEIN FUND, INC. - SMALL CAP CORE PORTFOLIO CLASS Z | ||||||||||||
Overlay A | $ | 489,751 | $ | 2,689,387 | $ | 1,017,941 | $ | 274,161 | ||||||||
Tax-Aware Overlay A | 1,020,843 | 5,715,050 | 2,209,164 | 572,122 |
2022 Annual Report | 133 |
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Notes to Financial Statements (continued)
The Portfolios may invest in other investment companies managed by the Adviser. A summary of the Portfolios’ transactions in such holdings for the year ended September 30, 2022 is as follows:
SANFORD C. BERNSTEIN FUND, INC.—OVERLAY A PORTFOLIO | ||||||||||||||||||||||||||||||||
DISTRIBUTIONS | ||||||||||||||||||||||||||||||||
FUND | MARKET��VALUE 9/30/21 (000) | PURCHASES AT COST (000) | SALES PROCEEDS (000) | REALIZED GAIN (LOSS) (000) | CHANGEIN UNREALIZED APPR./(DEPR.) (000) | MARKET VALUE 9/30/22 (000) | DIVIDEND INCOME (000) | REALIZED GAINS (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 171,734 | $ | 894,193 | $ | 888,167 | $ | 0 | $ | 0 | $ | 177,760 | $ | 1,066 | $ | 0 | ||||||||||||||||
AB Bond Fund, Inc.: | 171,932 | 46,686 | 105,533 | 3,795 | (26,707 | ) | 90,173 | 16,492 | 0 | |||||||||||||||||||||||
Bernstein Fund, Inc.: | 117,805 | 4,422 | 20,000 | 892 | (36,443 | ) | 66,676 | 2,374 | 2,048 | |||||||||||||||||||||||
Bernstein Fund, Inc.—International Strategic Equities Portfolio | 451,328 | 25,937 | 69,000 | 1,210 | (128,583 | ) | 280,892 | 10,863 | 15,073 | |||||||||||||||||||||||
Bernstein Fund, Inc.—Small Cap Core Portfolio | 36,856 | 2,190 | 6,311 | 1,649 | (10,368 | ) | 24,016 | 51 | 2,139 | |||||||||||||||||||||||
Sanford C. Bernstein Fund, Inc.—AB Emerging Markets Portfolio | 51,516 | 4,653 | 0 | 0 | (19,300 | ) | 36,869 | 1,235 | 3,419 | |||||||||||||||||||||||
Total | $ | 7,546 | $ | (221,401 | ) | $ | 676,386 | $ | 32,081 | $ | 22,679 |
SANFORD C. BERNSTEIN FUND, INC.—TAX-AWARE OVERLAY A PORTFOLIO | ||||||||||||||||||||||||||||||||
DISTRIBUTIONS | ||||||||||||||||||||||||||||||||
FUND | MARKET VALUE 9/30/21 (000) | PURCHASES AT COST (000) | SALES PROCEEDS (000) | REALIZED GAIN (LOSS) (000) | CHANGE IN UNREALIZED APPR./(DEPR.) (000) | MARKET VALUE 9/30/22 (000) | DIVIDEND INCOME (000) | REALIZED GAINS (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 448,577 | $ | 1,689,959 | $ | 1,824,162 | $ | 0 | $ | 0 | $ | 314,374 | $ | 2,263 | $ | 0 | ||||||||||||||||
AB Bond Fund, Inc.: | 337,624 | 103,430 | 208,189 | 7,795 | (54,180 | ) | 186,480 | 32,386 | 0 | |||||||||||||||||||||||
Bernstein Fund, Inc.: | 244,421 | 9,173 | 24,000 | (1,022 | ) | (77,257 | ) | 151,315 | 4,925 | 4,249 |
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SANFORD C. BERNSTEIN FUND, INC.—TAX-AWARE OVERLAY A PORTFOLIO | ||||||||||||||||||||||||||||||||
DISTRIBUTIONS | ||||||||||||||||||||||||||||||||
FUND | MARKET VALUE 9/30/21 (000) | PURCHASES AT COST (000) | SALES PROCEEDS (000) | REALIZED GAIN (LOSS) (000) | CHANGE IN UNREALIZED APPR./(DEPR.) (000) | MARKET VALUE 9/30/22 (000) | DIVIDEND INCOME (000) | REALIZED GAINS (000) | ||||||||||||||||||||||||
Bernstein Fund, Inc.—International Strategic Equities Portfolio | $ | 933,674 | $ | 53,656 | $ | 102,000 | $ | 1,415 | $ | (274,327 | ) | $ | 612,418 | $ | 22,475 | $ | 31,181 | |||||||||||||||
Bernstein Fund, Inc.—Small Cap Core Portfolio | 73,201 | 4,350 | 6,600 | 1,672 | (20,110 | ) | 52,513 | 101 | 4,249 | |||||||||||||||||||||||
Sanford C. Bernstein Fund, Inc.—AB Emerging Markets Portfolio | 107,381 | 9,699 | 0 | 0 | (40,229 | ) | 76,851 | 2,573 | 7,126 | |||||||||||||||||||||||
Total | $ | 9,860 | $ | (466,103 | ) | $ | 1,393,951 | $ | 64,723 | $ | 46,805 |
SANFORD C. BERNSTEIN FUND, INC.—OVERLAY B PORTFOLIO | ||||||||||||||||||||||||||||||||
DISTRIBUTIONS | ||||||||||||||||||||||||||||||||
FUND | MARKET VALUE 9/30/21 (000) | PURCHASES AT COST (000) | SALES PROCEEDS (000) | REALIZED GAIN (LOSS) (000) | CHANGEIN UNREALIZED APPR./(DEPR.) (000) | MARKET VALUE 9/30/22 (000) | DIVIDEND INCOME (000) | REALIZED GAINS (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 179,240 | $ | 379,894 | $ | 459,421 | $ | 0 | $ | 0 | $ | 99,713 | $ | 788 | $ | 0 | ||||||||||||||||
AB Bond Fund, Inc.: | 52,415 | 11,632 | 27,492 | 947 | (8,045 | ) | 29,457 | 5,028 | 0 | |||||||||||||||||||||||
Total | $ | 947 | $ | (8,045 | ) | $ | 129,170 | $ | 5,816 | $ | 0 |
SANFORD C. BERNSTEIN FUND, INC.—TAX-AWARE OVERLAY B PORTFOLIO | ||||||||||||||||||||||||||||||||
DISTRIBUTIONS | ||||||||||||||||||||||||||||||||
FUND | MARKET VALUE 9/30/21 (000) | PURCHASES AT COST (000) | SALES PROCEEDS (000) | REALIZED GAIN (LOSS) (000) | CHANGEIN UNREALIZED APPR./(DEPR.) (000) | MARKET VALUE 9/30/22 (000) | DIVIDEND INCOME (000) | REALIZED GAINS (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 41,017 | $ | 370,242 | $ | 404,118 | $ | 0 | $ | 0 | $ | 7,141 | $ | 219 | $ | 0 | ||||||||||||||||
AB Bond Fund, Inc.: | 0 | 22,954 | 21,865 | (1,089 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
Total | $ | (1,089 | ) | $ | 0 | $ | 7,141 | $ | 219 | $ | 0 |
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Notes to Financial Statements (continued)
SANFORD C. BERNSTEIN FUND, INC.—TAX-AWARE OVERLAY C PORTFOLIO | ||||||||||||||||||||||||||||||||
DISTRIBUTIONS | ||||||||||||||||||||||||||||||||
FUND | MARKET VALUE 9/30/21 (000) | PURCHASES AT COST (000) | SALES PROCEEDS (000) | REALIZED GAIN (LOSS) (000) | CHANGEIN UNREALIZED APPR./(DEPR.) (000) | MARKET VALUE 9/30/22 (000) | DIVIDEND INCOME (000) | REALIZED GAINS (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 1,344 | $ | 179,121 | $ | 162,905 | $ | 0 | $ | 0 | $ | 17,560 | $ | 102 | $ | 0 | ||||||||||||||||
AB Bond Fund, Inc.: | 0 | 6,540 | 6,230 | (310 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
Total | $ | (310 | ) | $ | 0 | $ | 17,560 | $ | 102 | $ | 0 |
SANFORD C. BERNSTEIN FUND, INC.—TAX-AWARE OVERLAY N PORTFOLIO | ||||||||||||||||||||||||||||||||
DISTRIBUTIONS | ||||||||||||||||||||||||||||||||
FUND | MARKET VALUE 9/30/21 (000) | PURCHASES AT COST (000) | SALES PROCEEDS (000) | REALIZED GAIN (LOSS) (000) | CHANGEIN UNREALIZED APPR./(DEPR.) (000) | MARKET VALUE 9/30/22 (000) | DIVIDEND INCOME (000) | REALIZED GAINS (000) | ||||||||||||||||||||||||
Government Money Market Portfolio | $ | 1,639 | $ | 105,385 | $ | 96,572 | $ | 0 | $ | 0 | $ | 10,452 | $ | 35 | $ | 0 | ||||||||||||||||
AB Bond Fund, Inc.: | 0 | 4,926 | 4,692 | (234 | ) | 0 | 0 | 0 | 0 | |||||||||||||||||||||||
Total | $ | (234 | ) | $ | 0 | $ | 10,452 | $ | 35 | $ | 0 |
NOTE 3. | Investment Security Transactions |
A. | Purchases and Sales |
For the year ended September 30, 2022, the Portfolios had purchases and sales transactions, excluding transactions in short-term instruments, as follows:
PORTFOLIO | PURCHASES EXCLUDING U.S. GOVERNMENT SECURITIES | PURCHASES OF U.S. GOVERNMENT SECURITIES | SALES EXCLUDING U.S. GOVERNMENT SECURITIES | SALES OF U.S. GOVERNMENT SECURITIES | ||||||||||||
Overlay A | $ | 367,613,870 | $ | 0 | $ | 592,592,659 | $ | 0 | ||||||||
Tax-Aware Overlay A | 822,127,966 | 0 | 1,140,954,375 | 0 | ||||||||||||
Overlay B | 370,214,445 | 716,111,861 | 409,825,236 | 673,296,454 | ||||||||||||
Tax-Aware Overlay B | 187,634,978 | 0 | 292,619,868 | 2,478,755 | ||||||||||||
Tax-Aware Overlay C | 75,994,906 | 0 | 174,647,250 | 933,190 | ||||||||||||
Tax-Aware Overlay N | 44,990,187 | 0 | 108,044,661 | 190,926 |
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The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation are as follows:
PORTFOLIO | COST | GROSS UNREALIZED | NET UNREALIZED (DEPRECIATION) | |||||||||||||
APPRECIATION | (DEPRECIATION) | |||||||||||||||
Overlay A | $ | 1,233,843,779 | $ | 237,344,197 | $ | (85,063,536 | ) | $ | 152,280,661 | |||||||
Tax-Aware Overlay A | 2,467,494,198 | 628,573,306 | (150,890,997 | ) | 477,682,309 | |||||||||||
Overlay B | 1,045,943,925 | 20,978,122 | (122,903,281 | ) | (101,925,159 | ) | ||||||||||
Tax-Aware Overlay B | 1,321,877,433 | 107,252,883 | (94,241,895 | ) | 13,010,988 | |||||||||||
Tax-Aware Overlay C | 366,715,179 | 24,102,371 | (21,069,275 | ) | 3,033,096 | |||||||||||
Tax-Aware Overlay N | 280,316,928 | 15,318,801 | (21,474,045 | ) | (6,155,244 | ) |
B. | Derivative Financial Instruments |
Each Portfolio 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 Portfolios, as well as the methods in which they may be used are:
• | Futures |
Each Portfolio 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 Portfolios bear 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 Portfolios 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 a Portfolio enters into futures, a Portfolio 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 Portfolios agree 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 Portfolios 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 Portfolios record 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 Portfolios 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 Portfolios to unlimited risk of loss. Each Portfolio may enter into futures only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transactions; therefore, the Portfolios’ credit risk is subject to failure of the exchange or board of trade. 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 year ended September 30, 2022, the Portfolios held futures for hedging and non-hedging purposes.
• | Forward Currency Exchange Contracts |
Each Portfolio may enter into forward currency exchange contracts on either a spot (i.e., cash) or forward basis. Spot contracts are entered into at the rate then prevailing in the currency-exchange market. Forward currency exchange contracts obligate the contracting parties to purchase or sell a specific currency at a specified future date at a specified price. The Portfolios will generally not enter into a forward currency exchange contract with a term greater than one year.
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Notes to Financial Statements (continued)
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 foreign currency transactions. Fluctuations in the value of open forward currency exchange contracts are recorded for financial reporting purposes as unrealized appreciation and/or depreciation by the Portfolio. 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.
Forward currency exchange contracts used to protect the Portfolios from adverse currency movements involve the risk that the Adviser may not accurately predict currency movements. As a result, total return could be adversely affected. The Adviser 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 Adviser may enter into foreign currency transactions for investment opportunities when it anticipates that a foreign currency will appreciate or depreciate in value.
Under certain circumstances, the Portfolios may commit a substantial portion or the entire value of the Portfolios to the consummation of these contracts. The Adviser will consider the effect that a substantial commitment of assets to forward currency exchange contracts would have on the investment program of the Portfolios and the flexibility of the Portfolios to purchase additional securities.
During the year ended September 30, 2022, the Portfolios held forward currency exchange contracts for hedging and non-hedging purposes.
• | Option Transactions |
For hedging and investment purposes, each Portfolio 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, certain Portfolios 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 Portfolios pay a premium whether or not the option is exercised. Additionally, the Portfolios bear 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 Portfolios were permitted to expire without being sold or exercised, its premium would represent a loss to the Portfolios. 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 a Portfolio writes an option, the premium received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the option written. The Portfolios’ 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 Portfolios 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 Portfolios have 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 Portfolios. In writing an option, the Portfolios bear 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 Portfolios could result in the Portfolios selling or buying a security or currency at a price different from the current market value.
During the year ended September 30, 2022, the Portfolios held purchased options for hedging and non-hedging purposes.
During the year ended September 30, 2022, the Portfolios held written options for hedging and non-hedging purposes.
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• | Swaps |
The Portfolios may enter into swaps to hedge their exposure to interest rates, credit risk, or currencies. Certain Portfolios may also enter into swaps for non-hedging purposes as a means of gaining market exposures, including by 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 Portfolios in accordance with the terms of the respective swaps to provide value and recourse to the Portfolios or their 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 Portfolios, and/or the termination value at the end of the contract. Therefore, the Portfolios consider the creditworthiness of each counterparty to a swap in evaluating potential counterparty risk. This risk is mitigated by having a netting arrangement between the Portfolios and the counterparty and by the posting of collateral by the counterparty to the Portfolios to cover the Portfolios’ exposure to the counterparty. Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying securities. The Portfolios accrue 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 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 Portfolios enter into a centrally cleared swap, the Portfolios deposit and maintain 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 Portfolios agree 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 Portfolios 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 Portfolios record 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 Portfolios are subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Because the Portfolios hold 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 Portfolios may enter into interest rate swaps. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional amount. The Portfolios 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, a Portfolio 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 Portfolio anticipates purchasing at a later date. Interest rate swaps involve the exchange by a Portfolio 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
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Notes to Financial Statements (continued)
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 Portfolio receiving or paying, as the case may be, only the net amount of the two payments).
During the year ended September 30, 2022, the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios 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 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 Portfolio 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 year ended September 30, 2022, the Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios held inflation (CPI) swaps for hedging and non-hedging purposes.
Credit Default Swaps:
The Portfolios may enter into credit default swaps, including to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults by corporate and sovereign issuers held by the Portfolios, or to create exposure to corporate or sovereign issuers to which they are not otherwise exposed. The Portfolios 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 Portfolios receive/(pay) fixed payments from/(to) the respective counterparty, calculated at the agreed upon rate applied to the notional amount. If a Portfolio is a buyer/(seller) of protection and a credit event occurs, as defined under the terms of the swap, the Portfolios 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 Portfolios for the same referenced obligations with the same counterparty.
Credit default swaps may involve greater risks than if a Portfolio had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If a Portfolio is a buyer of protection and no credit event occurs, it will lose the payments it made to its counterparty. If a Portfolio is a seller of protection and a credit event occurs, the value of the referenced obligation received by the Portfolio 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 Portfolio.
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 schedule of investments. The implied spreads serve as an indicator of the current status of the payment/performance risk and typically reflect the market’s assessment of 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 include 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 year ended September 30, 2022, the Portfolios held credit default swaps for hedging and non-hedging purposes.
Total Return Swaps:
Each Portfolio may enter into total return swaps in order to take a “long” or “short” position with respect to an underlying referenced asset. A Portfolio 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
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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 Portfolio will receive a payment from or make a payment to the counterparty.
During the year ended September 30, 2022, the Portfolios held total return swaps for hedging and non-hedging purposes.
A Portfolio 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, a Portfolio 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 a Portfolio’s net liability, held by the defaulting party, may be delayed or denied.
A Portfolio’s ISDA Master Agreements may contain provisions for early termination of OTC derivative transactions in the event the net assets of a Portfolio decline below specific levels (“net asset contingent features”). If these levels are triggered, a Portfolio’s OTC counterparty has the right to terminate such transaction and require the Portfolio 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 tables below for additional details.
During the year ended September 30, 2022, the Portfolios had entered into the following derivatives:
OVERLAY A PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENT OF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 591,273 | * | Receivable/Payable for variation margin on futures | $ | 22,601,978 | * | ||||
Equity contracts | Receivable/Payable for variation margin on futures | 38,444,193 | * | Receivable/Payable for variation margin on futures | 2,844,395 | * | ||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 16,473,312 | Unrealized depreciation on forward currency exchange contracts | 22,919,877 | ||||||||
Equity contracts | Investments in securities, at value | 43,838,865 | ||||||||||
Equity contracts | Unrealized depreciation on total return swaps | 661,368 | ||||||||||
Total | $ | 99,347,643 | $ | 49,027,618 |
* | 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 schedule of investments. |
DERIVATIVE TYPE | LOCATION OF GAIN OR (LOSS) ON OF OPERATIONS | 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 | $ | (97,763,464 | ) | $ | (12,421,842 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (2,079,998 | ) | 45,583,058 |
2022 Annual Report | 141 |
Table of Contents
Notes to Financial Statements (continued)
DERIVATIVE TYPE | LOCATION OF GAIN OR (LOSS) ON OF OPERATIONS | REALIZED GAIN OR (LOSS) ON DERIVATIVES | CHANGE IN UNREALIZED APPRECIATION OR (DEPRECIATION) | |||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | $ | (2,936,942 | ) | $ | (7,323,027 | ) | |||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (10,191,844 | ) | 12,890,985 | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 772,717 | (198,480 | ) | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 232,556 | 0 | |||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 1,250,217 | (417,408 | ) | ||||||
Total | $ | (110,716,758 | ) | $ | 38,113,286 |
TAX-AWARE OVERLAY A PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 47,818,503 | * | ||||||||
Equity contracts | Receivable/Payable for variation margin on futures | $ | 94,840,306 | * | Receivable/Payable for variation margin on futures | 8,162,898 | * | |||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 35,621,801 | Unrealized depreciation on forward currency exchange contracts | 49,182,623 | ||||||||
Equity contracts | Investments in securities, at value | 94,865,049 | ||||||||||
Equity contracts | Unrealized depreciation on total return swaps | 1,342,461 | ||||||||||
Total | $ | 225,327,156 | $ | 106,506,485 |
* | 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 schedule of investments. |
142 | Sanford C. Bernstein Fund, Inc. |
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DERIVATIVE TYPE | LOCATIONOF GAINOR (LOSS)ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | 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 | $ | (215,990,687 | ) | $ | (24,440,370 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (17,786,166 | ) | 111,665,885 | ||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (7,042,288 | ) | (14,929,821 | ) | |||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (21,435,712 | ) | 28,056,510 | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 1,606,225 | (415,708 | ) | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 512,639 | 0 | |||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 2,858,064 | (806,499 | ) | ||||||
Total | $ | (257,277,925 | ) | $ | 99,129,997 |
OVERLAY B PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 1,696,649 | * | Receivable/Payable for variation margin on futures | $ | 2,914,563 | * | ||||
Equity contracts | Receivable/Payable for variation margin on futures | 709,805 | * | Receivable/Payable for variation margin on futures | 16,759,490 | * | ||||||
Credit contracts | Receivable/Payable for variation margin on centrally cleared swaps | 459,467 | * | |||||||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | 13,216,815 | * | Receivable/Payable for variation margin on centrally cleared swaps | 3,067,078 | * | ||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 12,766,573 | Unrealized depreciation on forward currency exchange contracts | 13,928,799 | ||||||||
Equity contracts | Investments in securities, at value | 10,645,245 | ||||||||||
Credit contracts | Market value on credit default swaps | 976,198 |
2022 Annual Report | 143 |
Table of Contents
Notes to Financial Statements (continued)
OVERLAY B PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Credit contracts | Unrealized appreciation on total return swaps | $ | 392,678 | |||||||||
Equity contracts | Unrealized depreciation on total return swaps | $ | 658,006 | |||||||||
Total | $ | 39,887,232 | $ | 38,304,134 |
* | 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 schedule of investments. |
DERIVATIVE TYPE | LOCATIONOF GAINOR (LOSS)ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | REALIZED GAIN OR (LOSS) ON DERIVATIVES | CHANGE IN UNREALIZED APPRECIATIONOR | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (19,202,710 | ) | $ | 283,095 | ||||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (40,164,717 | ) | (2,036,852 | ) | |||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | 4,486,733 | (2,952,550 | ) | ||||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (2,364,710 | ) | 3,214,614 | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 182,372 | (46,844 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (2,670,660 | ) | 9,160,220 | ||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 1,073,834 | 3,703,688 | |||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | (53,332 | ) | (495,381 | ) | |||||
Total | $ | (58,713,190 | ) | $ | 10,829,990 |
144 | Sanford C. Bernstein Fund, Inc. |
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TAX-AWARE OVERLAY B PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 3,629,943 | * | ||||||||
Equity contracts | Receivable/Payable for variation margin on futures | $ | 8,018,993 | * | Receivable/Payable for variation margin on futures | 8,926,780 | * | |||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | 10,719,834 | * | Receivable/Payable for variation margin on centrally cleared swaps | 1,744,050 | * | ||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 5,155,105 | Unrealized depreciation on forward currency exchange contracts | 8,349,562 | ||||||||
Equity contracts | Investments in securities, at value | 15,490,362 | ||||||||||
Interest rate contracts | Unrealized appreciation on inflation swaps | 17,353,492 | ||||||||||
Interest rate contracts | Unrealized appreciation on interest rate swaps | 1,433,021 | ||||||||||
Credit contracts | Market value on credit default swaps | 646,351 | ||||||||||
Equity contracts | Unrealized depreciation on total return swaps | 254,337 | ||||||||||
Total | $ | 58,170,807 | $ | 23,551,023 |
* | 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 schedule of investments. |
DERIVATIVE TYPE | LOCATIONOF GAINOR (LOSS)ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | REALIZED GAIN OR (LOSS)ON | CHANGE IN UNREALIZED (DEPRECIATION) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (20,789,409 | ) | $ | (1,359,793 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (7,372,389 | ) | 5,069,842 | ||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (772,858 | ) | (3,785,604 | ) | |||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (3,388,073 | ) | 4,702,622 |
2022 Annual Report | 145 |
Table of Contents
Notes to Financial Statements (continued)
DERIVATIVE TYPE | LOCATIONOF GAINOR (LOSS)ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | REALIZED GAIN OR (LOSS)ON | CHANGE IN UNREALIZED (DEPRECIATION) | |||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | $ | 256,671 | $ | (65,928 | ) | ||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 2,205,804 | 7,456,246 | |||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 206,532 | 368,031 | |||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 394,197 | (168,763 | ) | ||||||
Total | $ | (29,259,525 | ) | $ | 12,216,653 |
TAX-AWARE OVERLAY C PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 1,039,245 | * | ||||||||
Equity contracts | Receivable/Payable for variation margin on futures | $ | 1,031,523 | * | Receivable/Payable for variation margin on futures | 2,483,646 | * | |||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | 3,120,701 | * | Receivable/Payable for variation margin on centrally cleared swaps | 929,435 | * | ||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 1,611,333 | Unrealized depreciation on forward currency exchange contracts | 2,398,213 | ||||||||
Equity contracts | Investments in securities, at value | 4,437,898 | ||||||||||
Interest rate contracts | Unrealized appreciation on inflation swaps | 5,059,141 | ||||||||||
Interest rate contracts | Unrealized appreciation on interest rate swaps | 438,410 | ||||||||||
Credit contracts | Market value on credit default swaps | 234,231 | ||||||||||
Equity contracts | Unrealized appreciation on total return swaps | 39,244 | Unrealized depreciation on total return swaps | 69,227 | ||||||||
Total | $ | 15,738,250 | $ | 7,153,997 |
* | 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 schedule of investments. |
146 | Sanford C. Bernstein Fund, Inc. |
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DERIVATIVE TYPE | LOCATIONOF GAINOR (LOSS)ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | REALIZED GAIN OR (LOSS) ON DERIVATIVES | CHANGE IN UNREALIZED APPRECIATION OR | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (5,966,431 | ) | $ | (380,611 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (2,255,563 | ) | 267,544 | ||||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (210,001 | ) | (859,361 | ) | |||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (987,094 | ) | 1,341,893 | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 77,002 | (19,779 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 921,558 | 985,711 | |||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 67,033 | 134,560 | |||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 194,876 | (5,212 | ) | ||||||
Total | $ | (8,158,620 | ) | $ | 1,464,745 |
TAX-AWARE OVERLAY N PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Interest rate contracts | Receivable/Payable for variation margin on futures | $ | 746,989 | * | ||||||||
Equity contracts | Receivable/Payable for variation margin on futures | $ | 1,110,036 | * | Receivable/Payable for variation margin on futures | 3,048,245 | * | |||||
Interest rate contracts | Receivable/Payable for variation margin on centrally cleared swaps | 2,395,370 | * | Receivable/Payable for variation margin on centrally cleared swaps | 388,141 | * | ||||||
Foreign currency contracts | Unrealized appreciation on forward currency exchange contracts | 1,048,452 | Unrealized depreciation on forward currency exchange contracts | 1,693,960 | ||||||||
Equity contracts | Investments in securities, at value | 3,177,520 | ||||||||||
Interest rate contracts | Unrealized appreciation on inflation swaps | 4,328,840 | ||||||||||
Interest rate contracts | Unrealized appreciation on interest rate swaps | 326,366 |
2022 Annual Report | 147 |
Table of Contents
Notes to Financial Statements (continued)
TAX-AWARE OVERLAY N PORTFOLIO | ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
DERIVATIVE TYPE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | STATEMENTOF ASSETS AND LIABILITIES LOCATION | FAIR VALUE | ||||||||
Credit contracts | Market value on credit default swaps | $ | 189,156 | |||||||||
Equity contracts | Unrealized depreciation on total return swaps | 58,254 | ||||||||||
Total | $ | 12,386,584 | $ | 6,124,745 |
* | 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 schedule of investments. |
DERIVATIVE TYPE | LOCATION OF GAIN OR (LOSS) ON DERIVATIVES WITHIN STATEMENT OF OPERATIONS | REALIZED GAIN OR (LOSS) ON DERIVATIVES | CHANGE IN UNREALIZED (DEPRECIATION) | |||||||
Interest rate contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | $ | (4,964,254 | ) | $ | (248,875 | ) | |||
Equity contracts | Net realized gain (loss) on futures; Net change in unrealized appreciation/depreciation of futures | (1,851,536 | ) | (642,376 | ) | |||||
Foreign currency contracts | Net realized gain (loss) on forward currency exchange contracts; Net change in unrealized appreciation/depreciation of forward currency exchange contracts | (227,601 | ) | (702,079 | ) | |||||
Equity contracts | Net realized gain (loss) on investment transactions; Net change in unrealized appreciation/depreciation of investments | (734,784 | ) | 933,041 | ||||||
Equity contracts | Net realized gain (loss) on options written; Net change in unrealized appreciation/depreciation of options written | 56,738 | (14,684 | ) | ||||||
Interest rate contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 445,756 | 2,286,798 | |||||||
Credit contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 52,624 | 108,683 | |||||||
Equity contracts | Net realized gain (loss) on swaps; Net change in unrealized appreciation/depreciation of swaps | 148,563 | (39,488 | ) | ||||||
Total | $ | (7,074,494 | ) | $ | 1,681,020 |
148 | Sanford C. Bernstein Fund, Inc. |
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The following tables represent the average monthly volume of the Portfolios’ derivative transactions during the year ended September 30, 2022:
OVERLAY A PORTFOLIO | ||||||||
Futures: | ||||||||
Average notional amount of buy contracts | $ | 1,119,041,663 | ||||||
Average notional amount of sale contracts | $ | 416,940,717 | ||||||
Forward Currency Exchange Contracts: | ||||||||
Average principal amount of buy contracts | $ | 555,558,515 | ||||||
Average principal amount of sale contracts | $ | 600,113,130 | ||||||
Purchased Options: | ||||||||
Average notional amount | $ | 821,100,044 | ||||||
Written Options: | ||||||||
Average notional amount | $ | 43,012,113 | (a) | |||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 65,973,600 | (b) | |||||
Total Return Swaps: | ||||||||
Average notional amount | $ | 22,758,463 |
(a) | Positions were open for six months during the year. |
(b) | Positions were open for one month during the year. |
TAX-AWARE OVERLAY A PORTFOLIO | ||||||||
Futures: | ||||||||
Average notional amount of buy contracts | $ | 2,482,840,198 | ||||||
Average notional amount of sale contracts | $ | 1,005,736,735 | ||||||
Forward Currency Exchange Contracts: | ||||||||
Average principal amount of buy contracts | $ | 1,201,287,422 | ||||||
Average principal amount of sale contracts | $ | 1,282,085,212 | ||||||
Purchased Options: | ||||||||
Average notional amount | $ | 1,770,396,874 | ||||||
Written Options: | ||||||||
Average notional amount | $ | 89,408,046 | (a) | |||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 145,431,000 | (b) | |||||
Total Return Swaps: | ||||||||
Average notional amount | $ | 50,420,175 |
(a) | Positions were open for six months during the year. |
(b) | Positions were open for one month during the year. |
OVERLAY B PORTFOLIO | ||||||||
Futures: | ||||||||
Average notional amount of buy contracts | $ | 479,234,313 | ||||||
Average notional amount of sale contracts | $ | 80,116,556 |
2022 Annual Report | 149 |
Table of Contents
Notes to Financial Statements (continued)
OVERLAY B PORTFOLIO | ||||||||
Forward Currency Exchange Contracts: | ||||||||
Average principal amount of buy contracts | $ | 294,177,324 | ||||||
Average principal amount of sale contracts | $ | 392,581,890 | ||||||
Purchased Options: | ||||||||
Average notional amount | $ | 190,434,383 | ||||||
Written Options: | ||||||||
Average notional amount | $ | 10,151,460 | (a) | |||||
Interest Rate Swaps: | ||||||||
Average notional amount | $ | 2,638,205 | (b) | |||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 69,513,955 | ||||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 81,237,692 | ||||||
Credit Default Swaps: | ||||||||
Average notional amount of buy contracts | $ | 13,691,333 | (c) | |||||
Average notional amount of sale contracts | $ | 10,385,099 | ||||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of buy contracts | $ | 81,725,366 | ||||||
Average notional amount of sale contracts | $ | 3,165,463 | (d) | |||||
Total Return Swaps: | ||||||||
Average notional amount | $ | 22,007,525 |
(a) | Positions were open for six months during the year. |
(b) | Positions were open for four months during the year. |
(c) | Positions were open for five months during the year. |
(d) | Positions were open for nine months during the year. |
TAX-AWARE OVERLAY B PORTFOLIO | ||||||||
Futures: | ||||||||
Average notional amount of buy contracts | $ | 320,368,130 | ||||||
Average notional amount of sale contracts | $ | 114,884,826 | ||||||
Forward Currency Exchange Contracts: | ||||||||
Average principal amount of buy contracts | $ | 206,105,415 | ||||||
Average principal amount of sale contracts | $ | 201,123,610 | ||||||
Purchased Options: | ||||||||
Average notional amount | $ | 276,589,442 | ||||||
Written Options: | ||||||||
Average notional amount | $ | 14,287,240 | (a) | |||||
Interest Rate Swaps: | ||||||||
Average notional amount | $ | 17,266,154 | ||||||
Inflation Swaps: | ||||||||
Average notional amount | $ | 216,230,769 |
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TAX-AWARE OVERLAY B PORTFOLIO | ||||||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 38,348,462 | ||||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 133,403,077 | ||||||
Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 3,699,553 | ||||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 24,255,000 | (b) | |||||
Total Return Swaps: | ||||||||
Average notional amount | $ | 8,468,589 |
(a) | Positions were open for six months during the year. |
(b) | Positions were open for one month during the year. |
TAX-AWARE OVERLAY C PORTFOLIO | �� | |||||||
Futures: | ||||||||
Average notional amount of buy contracts | $ | 92,966,087 | ||||||
Average notional amount of sale contracts | $ | 30,254,443 | ||||||
Forward Currency Exchange Contracts: | ||||||||
Average principal amount of buy contracts | $ | 59,718,717 | ||||||
Average principal amount of sale contracts | $ | 56,877,565 | ||||||
Purchased Options: | ||||||||
Average notional amount | $ | 79,911,324 | ||||||
Written Options: | ||||||||
Average notional amount | $ | 4,286,172 | (a) | |||||
Interest Rate Swaps: | ||||||||
Average notional amount | $ | 5,282,308 | ||||||
Inflation Swaps: | ||||||||
Average notional amount | $ | 64,107,692 | ||||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 16,995,385 | ||||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 40,690,769 | ||||||
Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 1,340,685 | ||||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 6,910,200 | (b) | |||||
Total Return Swaps: | ||||||||
Average notional amount | $ | 2,606,627 |
(a) | Positions were open for six months during the year. |
(b) | Positions were open for one month during the year. |
2022 Annual Report | 151 |
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Notes to Financial Statements (continued)
TAX-AWARE OVERLAY N PORTFOLIO | ||||||||
Futures: | ||||||||
Average notional amount of buy contracts | $ | 70,345,478 | ||||||
Average notional amount of sale contracts | $ | 24,520,190 | ||||||
Forward Currency Exchange Contracts: | ||||||||
Average principal amount of buy contracts | $ | 43,591,342 | ||||||
Average principal amount of sale contracts | $ | 42,998,150 | ||||||
Purchased Options: | ||||||||
Average notional amount | $ | 60,057,978 | ||||||
Written Options: | ||||||||
Average notional amount | $ | 3,158,232 | (a) | |||||
Interest Rate Swaps: | ||||||||
Average notional amount | $ | 3,932,308 | ||||||
Inflation Swaps: | ||||||||
Average notional amount | $ | 48,630,769 | ||||||
Centrally Cleared Interest Rate Swaps: | ||||||||
Average notional amount | $ | 2,394,615 | ||||||
Centrally Cleared Inflation Swaps: | ||||||||
Average notional amount | $ | 29,536,923 | ||||||
Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 1,082,684 | ||||||
Centrally Cleared Credit Default Swaps: | ||||||||
Average notional amount of sale contracts | $ | 5,157,900 | (b) | |||||
Total Return Swaps: | ||||||||
Average notional amount | $ | 1,786,820 |
(a) | Positions were open for six months during the year. |
(b) | Positions were open for one month during the year. |
For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the statement of assets and liabilities.
152 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
All OTC derivatives held at period end were subject to netting arrangements. The following tables present the Portfolios’ 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 Portfolios as of September 30, 2022. Exchange-traded derivatives and centrally cleared swaps are not subject to netting arrangements and as such are excluded from the tables.
OVERLAY A PORTFOLIO |
| |||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TO A MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNT OF DERIVATIVE ASSETS | |||||||||||||||
Bank of America, NA | $ | 347,600 | $ | (347,600 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
BNP Paribas SA | 5,129,428 | (2,723,205 | ) | 0 | 0 | 2,406,223 | ||||||||||||||
Citibank, NA | 2,137,550 | (1,847,880 | ) | 0 | 0 | 289,670 | ||||||||||||||
Deutsche Bank AG | 2,197,339 | 0 | 0 | 0 | 2,197,339 | |||||||||||||||
Goldman Sachs Bank USA | 72,210 | (72,210 | ) | 0 | 0 | 0 | ||||||||||||||
JPMorgan Chase Bank, NA | 1,344,455 | (1,344,455 | ) | 0 | 0 | 0 | ||||||||||||||
Morgan Stanley & Co., Inc. | 4,757,945 | (4,757,945 | ) | 0 | 0 | 0 | ||||||||||||||
UBS AG | 44,325,650 | 0 | (41,600,000 | ) | 0 | 2,725,650 | ||||||||||||||
Total | $ | 60,312,177 | $ | (11,093,295 | ) | $ | (41,600,000 | ) | $ | 0 | $ | 7,618,882 | ^ | |||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLEFOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNT OF DERIVATIVE LIABILITIES | |||||||||||||||
Bank of America, NA | $ | 1,645,554 | $ | (347,600 | ) | $ | 0 | $ | 0 | $ | 1,297,954 | |||||||||
BNP Paribas SA | 2,723,205 | (2,723,205 | ) | 0 | 0 | 0 | ||||||||||||||
Citibank, NA | 1,847,880 | (1,847,880 | ) | 0 | 0 | 0 | ||||||||||||||
Credit Suisse International | 343,912 | 0 | 0 | 0 | 343,912 | |||||||||||||||
Goldman Sachs Bank USA | 170,659 | (72,210 | ) | 0 | 0 | 98,449 | ||||||||||||||
HSBC Bank USA | 3,184,516 | 0 | 0 | 0 | 3,184,516 | |||||||||||||||
JPMorgan Chase Bank, NA | 2,852,821 | (1,344,455 | ) | 0 | 0 | 1,508,366 | ||||||||||||||
Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC | 10,812,698 | (4,757,945 | ) | (1,070,000 | ) | 0 | 4,984,753 | |||||||||||||
Total | $ | 23,581,245 | $ | (11,093,295 | ) | $ | (1,070,000 | ) | $ | 0 | $ | 11,417,950 | ^ |
* | 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. |
2022 Annual Report | 153 |
Table of Contents
Notes to Financial Statements (continued)
TAX-AWARE OVERLAY A PORTFOLIO |
| |||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TO A MA | DERIVATIVES AVAILABLEFOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNT OF DERIVATIVE ASSETS | |||||||||||||||
Bank of America, NA | $ | 752,522 | $ | (752,522 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
BNP Paribas SA | 11,101,391 | (5,892,592 | ) | 0 | 0 | 5,208,799 | ||||||||||||||
Citibank, NA | 4,606,340 | (3,939,504 | ) | 0 | 0 | 666,836 | ||||||||||||||
Credit Suisse International | 20,795 | (20,795 | ) | 0 | 0 | 0 | ||||||||||||||
Deutsche Bank AG | 4,697,923 | 0 | 0 | 0 | 4,697,923 | |||||||||||||||
Goldman Sachs Bank USA | 167,691 | (167,691 | ) | 0 | 0 | 0 | ||||||||||||||
JPMorgan Chase Bank | 2,757,129 | (2,757,129 | ) | 0 | 0 | 0 | ||||||||||||||
Morgan Stanley & Co., Inc. | 10,524,615 | (10,524,615 | ) | 0 | 0 | 0 | ||||||||||||||
UBS | 95,858,444 | 0 | (90,000,000 | ) | 0 | 5,858,444 | ||||||||||||||
Total | $ | 130,486,850 | $ | (24,054,848 | ) | $ | (90,000,000 | ) | $ | 0 | $ | 16,432,002 | ^ | |||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNT OF DERIVATIVE LIABILITIES | |||||||||||||||
Bank of America, NA | $ | 4,909,918 | $ | (752,522 | ) | $ | 0 | $ | 0 | $ | 4,157,396 | |||||||||
BNP Paribas SA | 5,892,592 | (5,892,592 | ) | 0 | 0 | 0 | ||||||||||||||
Citibank, NA | 3,939,504 | (3,939,504 | ) | 0 | 0 | 0 | ||||||||||||||
Credit Suisse International | 745,576 | (20,795 | ) | 0 | 0 | 724,781 | ||||||||||||||
Goldman Sachs Bank USA | 313,065 | (167,691 | ) | (145,374 | ) | 0 | 0 | |||||||||||||
HSBC Bank USA | 6,651,968 | 0 | 0 | 0 | 6,651,968 | |||||||||||||||
JPMorgan Chase Bank | 5,131,080 | (2,757,129 | ) | 0 | 0 | 2,373,951 | ||||||||||||||
Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC | 22,941,381 | (10,524,615 | ) | (2,220,000 | ) | 0 | 10,196,766 | |||||||||||||
Total | $ | 50,525,084 | $ | (24,054,848 | ) | $ | (2,365,374 | ) | $ | 0 | $ | 24,104,862 | ^ |
* | 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. |
154 | Sanford C. Bernstein Fund, Inc. |
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OVERLAY B PORTFOLIO |
| |||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TO A MA | DERIVATIVES AVAILABLEFOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNT OF DERIVATIVE ASSETS | |||||||||||||||
Bank of America, NA | $ | 245,689 | $ | (245,689 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
Barclays Bank PLC | 197,326 | (197,326 | ) | 0 | 0 | 0 | ||||||||||||||
BNP Paribas SA | 2,135,726 | (1,937,083 | ) | 0 | 0 | 198,643 | ||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 2,530,585 | (1,025,836 | ) | (960,000 | ) | (243 | ) | 544,506 | ||||||||||||
Credit Suisse International | 191,796 | (191,796 | ) | 0 | 0 | 0 | ||||||||||||||
Deutsche Bank AG | 549,603 | (283,703 | ) | 0 | 0 | 265,900 | ||||||||||||||
Goldman Sachs Bank USA | 720,900 | (502,921 | ) | (217,979 | ) | 0 | 0 | |||||||||||||
HSBC Bank USA | 728,028 | (728,028 | ) | 0 | 0 | 0 | ||||||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC | 2,031,547 | (2,031,547 | ) | 0 | 0 | 0 | ||||||||||||||
Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | 1,640,814 | (1,640,814 | ) | 0 | 0 | 0 | ||||||||||||||
Standard Chartered Bank | 23,127 | (23,127 | ) | 0 | 0 | 0 | ||||||||||||||
State Street Bank & Trust Co. | 30,062 | (30,062 | ) | 0 | 0 | 0 | ||||||||||||||
UBS AG | 12,779,293 | (865,649 | ) | (10,100,000 | ) | 0 | 1,813,644 | |||||||||||||
Total | $ | 23,804,496 | $ | (9,703,581 | ) | $ | (11,277,979 | ) | $ | (243 | ) | $ | 2,822,693 | ^ | ||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNTOF DERIVATIVE LIABILITIES | |||||||||||||||
Bank of America, NA | $ | 1,673,035 | $ | (245,689 | ) | $ | 0 | $ | 0 | $ | 1,427,346 | |||||||||
Barclays Bank PLC | 255,921 | (197,326 | ) | 0 | 0 | 58,595 | ||||||||||||||
BNP Paribas SA | 1,937,083 | (1,937,083 | ) | 0 | 0 | 0 | ||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 1,025,836 | (1,025,836 | ) | 0 | 0 | 0 | ||||||||||||||
Credit Suisse International | 675,909 | (191,796 | ) | (72,000 | ) | 0 | 412,113 | |||||||||||||
Deutsche Bank AG | 283,703 | (283,703 | ) | 0 | 0 | 0 | ||||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 502,921 | (502,921 | ) | 0 | 0 | 0 | ||||||||||||||
HSBC Bank USA | 1,694,787 | (728,028 | ) | 0 | 0 | 966,759 | ||||||||||||||
JPMorgan Chase Bank, NA/JPMorgan Securities, LLC | 2,350,206 | (2,031,547 | ) | 0 | 0 | 318,659 | ||||||||||||||
Morgan Stanley Capital Services LLC/Morgan Stanley Capital Services, Inc. | 3,497,664 | (1,640,814 | ) | 0 | (374,046 | ) | 1,482,804 | |||||||||||||
Natwest Markets PLC | 192,522 | 0 | 0 | 0 | 192,522 | |||||||||||||||
Standard Chartered Bank | 562,009 | (23,127 | ) | 0 | (538,882 | ) | 0 | |||||||||||||
State Street Bank & Trust Co. | 45,758 | (30,062 | ) | 0 | 0 | 15,696 | ||||||||||||||
UBS AG | 865,649 | (865,649 | ) | 0 | 0 | 0 | ||||||||||||||
Total | $ | 15,563,003 | $ | (9,703,581 | ) | $ | (72,000 | ) | $ | (912,928 | ) | $ | 4,874,494 | ^ |
* | The actual collateral received/pledged may be more than the amount reported due to over-collateralization. |
2022 Annual Report | 155 |
Table of Contents
Notes to Financial Statements (continued)
^ | 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. |
TAX-AWARE OVERLAY B PORTFOLIO |
| |||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TO A MA | DERIVATIVES AVAILABLEFOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNT OF DERIVATIVE ASSETS | |||||||||||||||
Bank of America, NA | $ | 115,837 | $ | (115,837 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
Barclays Bank PLC/Barclays Capital | 3,245,497 | (199,828 | ) | (3,045,669 | ) | 0 | 0 | |||||||||||||
BNP Paribas SA | 1,849,944 | (1,011,731 | ) | 0 | 0 | 838,213 | ||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 5,825,547 | (905,238 | ) | (4,792,000 | ) | 0 | 128,309 | |||||||||||||
Deutsche Bank AG | 2,043,057 | 0 | (1,330,000 | ) | 0 | 713,057 | ||||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 34,020 | (34,020 | ) | 0 | 0 | 0 | ||||||||||||||
JPMorgan Chase Bank, NA | 9,680,469 | (786,096 | ) | (8,894,373 | ) | 0 | 0 | |||||||||||||
Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC | 980,416 | (980,416 | ) | 0 | 0 | 0 | ||||||||||||||
UBS AG | 15,657,193 | 0 | (5,200,000 | ) | 0 | 10,457,193 | ||||||||||||||
Total | $ | 39,431,980 | $ | (4,033,166 | ) | $ | (23,262,042 | ) | $ | 0 | $ | 12,136,772 | ^ | |||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNT OF DERIVATIVE LIABILITIES | |||||||||||||||
Bank of America, NA | $ | 766,360 | $ | (115,837 | ) | $ | 0 | $ | 0 | $ | 650,523 | |||||||||
Barclays Bank PLC/Barclays Capital | 199,828 | (199,828 | ) | 0 | 0 | 0 | ||||||||||||||
BNP Paribas SA | 1,011,731 | (1,011,731 | ) | 0 | 0 | 0 | ||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 905,238 | (905,238 | ) | 0 | 0 | 0 | ||||||||||||||
Credit Suisse International | 400,615 | 0 | (310,300 | ) | 0 | 90,315 | ||||||||||||||
Goldman Sachs Bank USA/Goldman Sachs International | 138,929 | (34,020 | ) | (104,909 | ) | 0 | 0 | |||||||||||||
HSBC Bank USA | 1,188,579 | 0 | 0 | 0 | 1,188,579 | |||||||||||||||
JPMorgan Chase Bank, NA | 786,096 | (786,096 | ) | 0 | 0 | 0 | ||||||||||||||
Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC | 3,852,874 | (980,416 | ) | (520,000 | ) | 0 | 2,352,458 | |||||||||||||
Total | $ | 9,250,250 | $ | (4,033,166 | ) | $ | (935,209 | ) | $ | 0 | $ | 4,281,875 | ^ |
* | 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. |
156 | Sanford C. Bernstein Fund, Inc. |
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TAX-AWARE OVERLAY C PORTFOLIO |
| |||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TO A MA | DERIVATIVES AVAILABLEFOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNTOF DERIVATIVE ASSETS | |||||||||||||||
Bank of America, NA | $ | 34,053 | $ | (34,053 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
Barclays Bank PLC | 814,834 | (62,369 | ) | 0 | (752,465 | ) | 0 | |||||||||||||
BNP Paribas SA | 528,380 | (271,186 | ) | 0 | 0 | 257,194 | ||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 1,790,268 | (217,518 | ) | (1,572,750 | ) | 0 | 0 | |||||||||||||
Deutsche Bank AG | 892,638 | (34,795 | ) | (520,000 | ) | 0 | 337,843 | |||||||||||||
JPMorgan Chase Bank, NA | 2,212,290 | (223,772 | ) | (1,988,518 | ) | 0 | 0 | |||||||||||||
Morgan Stanley & Co. LLC/Morgan Stanley Capital Services LLC | 815,838 | (815,838 | ) | 0 | 0 | 0 | ||||||||||||||
UBS AG | 4,497,725 | 0 | (4,200,000 | ) | 0 | 297,725 | ||||||||||||||
Total | $ | 11,586,026 | $ | (1,659,531 | ) | $ | (8,281,268 | ) | $ | (752,465 | ) | $ | 892,762 | ^ | ||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNT OF DERIVATIVE LIABILITIES | |||||||||||||||
Bank of America, NA | $ | 215,256 | $ | (34,053 | ) | $ | 0 | $ | 0 | $ | 181,203 | |||||||||
Barclays Bank PLC | 62,369 | (62,369 | ) | 0 | 0 | 0 | ||||||||||||||
BNP Paribas SA | 271,186 | (271,186 | ) | 0 | 0 | 0 | ||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 217,518 | (217,518 | ) | 0 | 0 | 0 | ||||||||||||||
Credit Suisse International | 183,141 | 0 | 0 | (183,141 | ) | 0 | ||||||||||||||
Deutsche Bank AG | 34,795 | (34,795 | ) | 0 | 0 | 0 | ||||||||||||||
Goldman Sachs International | 61,013 | 0 | 0 | 0 | 61,013 | |||||||||||||||
HSBC Bank USA | 339,553 | 0 | 0 | 0 | 339,553 | |||||||||||||||
JPMorgan Chase Bank, NA | 223,772 | (223,772 | ) | 0 | 0 | 0 | ||||||||||||||
Morgan Stanley & Co. LLC/Morgan Stanley Capital Services LLC | 1,061,096 | (815,838 | ) | 0 | 0 | 245,258 | ||||||||||||||
State Street Bank & Trust Co. | 31,972 | 0 | 0 | 0 | 31,972 | |||||||||||||||
Total | $ | 2,701,671 | $ | (1,659,531 | ) | $ | 0 | $ | (183,141 | ) | $ | 858,999 | ^ |
* | 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. |
2022 Annual Report | 157 |
Table of Contents
Notes to Financial Statements (continued)
TAX-AWARE OVERLAY N PORTFOLIO |
| |||||||||||||||||||
COUNTERPARTY | DERIVATIVE ASSETS SUBJECT TO A MA | DERIVATIVES AVAILABLEFOR OFFSET | CASH COLLATERAL RECEIVED* | SECURITY COLLATERAL RECEIVED* | NET AMOUNTOF DERIVATIVE ASSETS | |||||||||||||||
Bank of America, NA | $ | 25,132 | $ | (25,132 | ) | $ | 0 | $ | 0 | $ | 0 | |||||||||
Barclays Bank PLC | 529,848 | (42,258 | ) | (487,590 | ) | 0 | 0 | |||||||||||||
BNP Paribas SA | 385,857 | (194,761 | ) | 0 | 0 | 191,096 | ||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 1,670,014 | (158,151 | ) | (1,511,863 | ) | 0 | 0 | |||||||||||||
Deutsche Bank AG | 664,322 | 0 | (520,000 | ) | 0 | 144,322 | ||||||||||||||
JPMorgan Chase Bank, NA | 1,985,953 | (160,391 | ) | (1,825,562 | ) | 0 | 0 | |||||||||||||
Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC | 364,275 | (364,275 | ) | 0 | 0 | 0 | ||||||||||||||
State Street Bank & Trust Co. | 26,163 | (26,163 | ) | 0 | 0 | 0 | ||||||||||||||
UBS AG | 3,229,614 | 0 | (400,000 | ) | 0 | 2,829,614 | ||||||||||||||
Total | $ | 8,881,178 | $ | (971,131 | ) | $ | (4,745,015 | ) | $ | 0 | $ | 3,165,032 | ^ | |||||||
COUNTERPARTY | DERIVATIVE LIABILITIES SUBJECT TOA MA | DERIVATIVES AVAILABLE FOR OFFSET | CASH COLLATERAL PLEDGED* | SECURITY COLLATERAL PLEDGED* | NET AMOUNT OF DERIVATIVE LIABILITIES | |||||||||||||||
Bank of America, NA | $ | 153,009 | $ | (25,132 | ) | $ | 0 | $ | 0 | $ | 127,877 | |||||||||
Barclays Bank PLC | 42,258 | (42,258 | ) | 0 | 0 | 0 | ||||||||||||||
BNP Paribas SA | 194,761 | (194,761 | ) | 0 | 0 | 0 | ||||||||||||||
Citibank, NA/Citigroup Global Markets, Inc. | 158,151 | (158,151 | ) | 0 | 0 | 0 | ||||||||||||||
Credit Suisse International | 144,763 | 0 | 0 | (144,763 | ) | 0 | ||||||||||||||
Goldman Sachs International | 49,261 | 0 | 0 | 0 | 49,261 | |||||||||||||||
HSBC Bank USA | 221,534 | 0 | 0 | 0 | 221,534 | |||||||||||||||
JPMorgan Chase Bank, NA | 160,391 | (160,391 | ) | 0 | 0 | 0 | ||||||||||||||
Morgan Stanley & Co., Inc./Morgan Stanley Capital Services LLC | 746,272 | (364,275 | ) | 0 | 0 | 381,997 | ||||||||||||||
State Street Bank & Trust Co. | 70,970 | (26,163 | ) | 0 | 0 | 44,807 | ||||||||||||||
Total | $ | 1,941,370 | $ | (971,131 | ) | $ | 0 | $ | (144,763 | ) | $ | 825,476 | ^ |
* | 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. |
C. | Currency Transactions |
The Portfolios may invest in non-U.S. Dollar-denominated securities on a currency hedged or unhedged basis. The Portfolios 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 Portfolios 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 Portfolios 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 Portfolios 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).
158 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
D. | TBA |
The Portfolios 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 agreed-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.
NOTE 4. | Distributions to Shareholders |
The tax character of distributions paid during the fiscal years ended September 30, 2022 and September 30, 2021 were as follows:
PORTFOLIO | 2022 | 2021 | ||||||
Overlay A | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 43,812,116 | $ | 17,001,108 | ||||
Long-term capital gains | 163,540,332 | 0 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 207,352,448 | $ | 17,001,108 | ||||
|
|
|
| |||||
Tax-Aware Overlay A | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 65,210,029 | $ | 32,574,024 | ||||
Long-term capital gains | 329,292,991 | 4,077,737 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 394,503,020 | $ | 36,651,761 | ||||
|
|
|
| |||||
Overlay B | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 90,817,938 | $ | 26,500,686 | ||||
Long-term capital gains | 74,606,829 | 5,139,074 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 165,424,767 | $ | 31,639,760 | ||||
|
|
|
| |||||
Tax-Aware Overlay B | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 64,895,725 | $ | 9,975,981 | ||||
Long-term capital gains | 35,667,264 | 0 | ||||||
|
|
|
| |||||
Total taxable distributions | 100,562,989 | 9,975,981 | ||||||
Tax exempt distributions | 16,152,487 | 29,957,401 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 116,715,476 | $ | 39,933,382 | ||||
|
|
|
| |||||
Tax-Aware Overlay C | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 23,218,636 | $ | 4,062,300 | ||||
Long-term capital gains | 10,700,357 | 0 | ||||||
|
|
|
| |||||
Total taxable distributions | 33,918,993 | 4,062,300 | ||||||
Tax exempt distributions | 4,886,228 | 7,665,430 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 38,805,221 | $ | 11,727,730 | ||||
|
|
|
| |||||
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Table of Contents
Notes to Financial Statements (continued)
PORTFOLIO | 2022 | 2021 | ||||||
Tax-Aware Overlay N | ||||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 13,050,707 | $ | 1,908,675 | ||||
Long-term capital gains | 7,967,575 | 0 | ||||||
|
|
|
| |||||
Total taxable distributions | 21,018,282 | 1,908,675 | ||||||
Tax exempt distributions | 2,973,549 | 6,341,342 | ||||||
|
|
|
| |||||
Total distributions paid | $ | 23,991,831 | $ | 8,250,017 | ||||
|
|
|
|
As of September 30, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:
PORTFOLIO | UNDISTRIBUTED ORDINARY INCOME(a) | UNDISTRIBUTED LONG-TERM | ACCUMULATED CAPITALAND OTHER LOSSES(b) | UNREALIZED APPRECIATION/ | TOTAL ACCUMULATED EARNINGS/ (DEFICIT)(d) | |||||||||||||||
Overlay A | $ | 1,168,005 | $ | 0 | $ | (21,909,438 | ) | $ | 152,299,276 | $ | 131,557,843 | |||||||||
Tax-Aware Overlay A | 2,104,883 | 0 | (92,861,055 | ) | 477,737,146 | 386,980,974 | ||||||||||||||
Overlay B | 20,175,723 | 0 | (104,937,707 | ) | (102,296,332 | ) | (187,058,316 | ) | ||||||||||||
Tax-Aware Overlay B | 19,820,855 | 0 | (83,607,353 | ) | 13,009,653 | (50,776,845 | ) | |||||||||||||
Tax-Aware Overlay C | 5,672,833 | 0 | (28,313,330 | ) | 3,033,073 | (19,607,424 | ) | |||||||||||||
Tax-Aware Overlay N | 4,041,034 | 0 | (8,377,152 | ) | (6,152,130 | ) | (10,488,248 | ) |
(a) | Includes tax exempt income as shown below: |
Tax-Aware Overlay B | $ | 14,662,227 | ||
Tax-Aware Overlay C | 4,160,244 | |||
Tax-Aware Overlay N | 3,099,976 |
(b) | As of September 30, 2022 Overlay A Portfolio, Tax-Aware Overlay A Portfolio, Overlay B, Tax-Aware Overlay B Portfolio, Tax-Aware Overlay C Portfolio, and Tax-Aware Overylay N Portfolio deferred $15,320,183, $38,748,457, $99,657,192, $9,968,595, $14,097,046, and $1,453,057 in post October losses, respectively. These losses will be treated as arising on October 1, 2022. As of September 30, 2022 Overlay A Portfolio, Tax-Aware Overlay A Portfolio, Overlay B Portfolio, Tax-Aware Overlay B Portfolio, Tax-Aware Overlay C Portfolio, and Tax-Aware Overlay N Portfolio deferred $6,589,255, $54,112,598, $5,280,515, $73,638,758, $14,216,284, and $6,924,095 in straddle losses, respectively. |
(c) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to the tax deferral of losses on wash sales, the tax treatment of swaps and passive foreign investment companies (PFICs), the realization for tax purposes of gains/losses on certain derivative instruments, and the tax treatment of callable bonds. |
(d) | The differences between book-basis and tax-basis components of accumulated earnings/(deficit) are attributable primarily to the amortization of offering costs, and the accrual of foreign capital gains tax. |
Under current tax rules, regulated investment companies can elect to treat certain late-year ordinary losses incurred and post-October capital losses (capital losses realized after October 31) as arising on the first day of the following taxable year.
For tax purposes, net capital losses may be carried over to offset future capital gains, if any. Portfolios 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 September 30, 2022, the Portfolios did not have any capital loss carryforwards.
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NOTE 5. | Risks Involved in Investing in the Portfolios |
Market Risk—The Portfolios are subject to market risk, which is the risk that stock or bond prices in general or in particular countries or sectors may decline over short or extended periods. Stock or bond prices may decline in response to adverse changes in the economy or the economic outlook; deterioration in investor sentiment; interest rate, currency and commodity price fluctuations; adverse geopolitical, social or environmental developments; issuer- and sector-specific considerations; public health crises (including the occurrence of a contagious disease or illness); policy and legislative changes; cybersecurity events; and other factors.
Economies and financial markets throughout the world are becoming increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, sanctions, regional and global conflicts, terrorism, natural disasters (including the spread of infectious illness) and other circumstances in one country or region could have profound impacts on global economies or markets. As a result, whether or not the Portfolios invest in securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolios’ investments may be negatively affected.
Management Risk—The Portfolios are subject to management risk because it is an actively managed investment portfolios. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Portfolios, but these techniques, analyses and decisions may not work as intended or may not produce the desired results, and may, during certain periods, result in increased volatility for the Portfolios or cause the value of the Portfolios’ shares to go down. In some cases, derivatives and other investment techniques may be unavailable, or the Adviser may determine not to use them, possibly even under market conditions where their use could benefit the Portfolios. 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. In addition, the Adviser may change the Portfolios’ investment strategies or policies from time to time. Those changes may not lead to the results intended by the Adviser and could have an adverse effect on the value or performance of the Portfolios.
Allocation Risk—The allocation of investments among different global asset classes may have a significant effect on the Portfolios’ net asset value when one of these asset classes is performing more poorly than others. As the direct investments, investments in other funds and derivative positions will be periodically rebalanced to reflect the Adviser’s view of market and economic conditions, there will be transaction costs which may be, over time, significant. In addition, there is a risk that certain asset allocation decisions may not achieve the desired results and, as a result, the Portfolios may incur significant losses.
Derivatives Risk—The Portfolios intend to use derivatives as direct investments to earn income, enhance return and broaden portfolio diversification, which entail greater risk than if used solely for hedging purposes. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk that changes in the value of the derivative may not correlate with relevant assets, rates or indices. Derivatives may be difficult to price or unwind, and small changes may produce disproportionate losses for the Portfolios. Certain derivatives have the potential for unlimited loss, regardless of the size of the initial investment. Assets required to be set aside or posted to cover or secure derivatives positions may themselves go down in value, and these collateral and other requirements may limit investment flexibility. Some derivatives involve leverage, which can make the Portfolios more volatile and can compound other risks. Derivatives, especially over-the-counter derivatives, are also subject to counterparty risk, which is the risk that the counterparty (the party on the other side of the transaction) on a derivative transaction will be unable or unwilling to honor its contractual obligations to the Portfolios. Use of derivatives may have different tax consequences for the Portfolios than an investment in the underlying asset or index, and such differences may affect the amount, timing and character of income distributed to shareholders. The U.S. government and certain foreign governments have adopted regulations governing derivatives markets, including mandatory clearing of certain derivatives as well as additional regulations governing margin, reporting and registration requirements. The ultimate impact of the regulations remains unclear. Additional regulation may make derivatives more costly, limit their availability or utility, otherwise adversely affect their performance, or disrupt markets.
Leverage Risk—Leverage creates exposure to gains and losses in a greater amount than the dollar amount made in an investment by attempting to enhance return or value without increasing the investment amount. Leverage can magnify the effects of changes in the value of the Portfolios’ investments and make it more volatile. The use of leverage may cause the Portfolios to liquidate portfolio positions when it may not be advantageous to do so.
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Notes to Financial Statements (continued)
Illiquid Investments Risk—Illiquid investments risk exists when particular investments are difficult or impossible to purchase or sell, possibly preventing the Portfolios from purchasing or selling these securities at an advantageous price. The Overlay Portfolios that invest in municipal securities are subject to greater risk because the market for municipal securities is generally smaller and may not be as liquid as many other fixed income markets, which may make municipal securities more difficult to trade or dispose of than other types of securities. Illiquid securities may also be difficult to value. If the Portfolios are forced to sell an illiquid asset to meet redemption requests or other cash needs, or to try to limit losses, the Portfolios may be forced to sell at a substantial loss or may not be able to sell at all.
Redemption Risk—The Portfolios may experience heavy redemptions that could cause the Portfolios to liquidate their assets at inopportune times or unfavorable prices or increase or accelerate taxable gains or transaction costs and may negatively affect the Portfolios’ net asset value, or performance, which could cause the value of your investment to decline. Redemption risk is heightened during periods of overall market turmoil.
Mortgage-Related and Asset-Related Securities Risk—Mortgage- and asset-related securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-related securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-related securities. Assets-related securities entail certain risks not presented by mortgage-backed securities, including the risk that it may be difficult to perfect the liens securing any collateral backing certain asset-backed securities.
Prepayment and Extension Risk—Prepayment risk is the risk that a loan, bond or other security might be called or otherwise converted, prepaid or redeemed before maturity. If this happens, particularly during a time of declining interest rates or credit spreads, the Portfolios will not benefit from the rise in market price that normally accompanies a decline in interest rates, and may not be able to invest the proceeds in securities providing as much income, resulting in a lower yield to the Portfolio. Conversely, extension risk is the risk that as interest rates rise or spreads widen, payments of securities may occur more slowly than anticipated by the market. If this happens, the values of these securities may go down because their interest rates are lower than current market rates and they remain outstanding longer than anticipated.
Subordination Risk—The Portfolios may invest in securities that are subordinated to more senior securities of an issuer, or which represent interests in pools of such subordinated securities. Subordinated securities will be disproportionately affected by a default or even a perceived decline in creditworthiness of the issuer. Subordinated securities are more likely to suffer a credit loss than non-subordinated securities of the same issuer, any loss incurred by the subordinated securities is likely to be proportionately greater, and any recovery of interest or principal may take more time.
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 Portfolios’ investments in municipal securities. These factors include economic conditions, political or legislative changes, uncertainties related to the tax status of municipal securities, or the rights of investors in these securities. The value of municipal securities may also be adversely affected by health care costs, increasing unfunded pension liabilities, and by the phasing out of federal programs providing financial support. There have been some municipal issuers that have defaulted on obligations, been downgraded or commenced insolvency proceedings. Financial difficulties of municipal issuers may get worse, particularly in light of the economic impact of the recent spread of an infectious coronavirus (COVID-19). To the extent the Portfolios invest in a particular state’s municipal securities, it 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, wildfires, flooding and earthquakes. The Portfolios’ 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, are subject to the risk that 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.
In addition, changes in tax rates or the treatment of income from certain types of municipal securities, among other things, could negatively affect the municipal securities markets.
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The Portfolios may invest in municipal securities of issuers in 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. Puerto Rico continues to face a very challenging economic and fiscal environment, worsened by the spread of COVID-19 and the adverse effect that related governmental and public responses have had on Puerto Rico’s economy. 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 deteriorate further.
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 Portfolios may be subject to a greater risk of rising interest rates than would normally be the case due to the end of a recent period of historically low rates and the effect of potential government fiscal and monetary policy initiatives and resulting market reaction to those initiatives.
Credit Risk—This is the risk that the issuer or the guarantor of a debt security, or the counterparty to a derivatives or other contract, will be unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. The issuer or guarantor may default, potentially 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. 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, making credit risk greater for medium-quality and lower-rated debt securities. Lower-rated debt securities and similar unrated securities (commonly known as “junk bonds”) have speculative elements or are predominantly speculative credit risks. At times when credit risk is perceived to be greater, credit “spreads” (i.e., the difference between the yields on lower quality securities and the yields on higher quality securities) may get larger or “widen”. As a result, the values of the lower quality securities may go down more and they may become harder to sell.
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 the fixed-income security. Fixed-income securities with longer durations have more interest rate risk and will decrease in price as interest rates rise. Securities that have final maturities longer than their durations may be affected by increased credit spreads to a far greater degree than their durations would suggest, because they are exposed to credit risk until final maturity.
Foreign (Non-U.S.) Securities Risk—Investments in foreign securities entail significant risks in addition to those customarily associated with investing in U.S. securities, such as less liquid, less transparent, less regulated and more volatile markets. These risks include risks related to unfavorable or unsuccessful government actions, reduction of government or central bank support, inadequate accounting standards and auditing and financial recordkeeping requirements, lack of information, and adverse market, economic, political and regulatory factors and social instability, all of which could disrupt the financial markets in which the Portfolios invest and adversely affect the value of the Portfolios’ assets.
Emerging-Markets Securities Risk—The risks of investing in foreign (non-U.S.) securities are heightened with respect to issuers in emerging-market countries, because the markets are less developed and less liquid and there may be a greater amount of economic, political and social uncertainty. Emerging markets typically have fewer medical and economic resources than more developed countries, and thus they may be less able to control or mitigate the effects of a pandemic. In addition, the value of the Portfolios’ investments may decline because of factors such as unfavorable or unsuccessful government actions and reduction of government or central bank support.
Foreign Currency Risk—This is the risk that changes in foreign (non-U.S.) currency exchange rates may negatively affect the value of the Portfolios investments or reduce the returns of the Portfolios. For example, the value of the Portfolios’ investments in foreign securities and foreign currency positions may decrease if the U.S. Dollar is strong (i.e., gaining value relative to other currencies) and other currencies are weak (i.e., losing value relative to the U.S. Dollar).
Actions by a Few Major Investors—In certain countries, volatility may be heightened by actions of a few major investors. For example, substantial increases or decreases in cash flows of mutual funds investing in these markets could significantly affect local securities prices and, therefore, share prices of the Portfolios.
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Table of Contents
Notes to Financial Statements (continued)
Commodity Risk—The value of commodity-linked derivatives, exchange traded notes and exchange traded funds 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 changes in climate conditions, drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments.
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 Portfolios’ assets can decline as can the value of the Portfolios’ distributions. This risk is significantly greater for fixed-income securities with longer maturities. Rates of inflation have recently risen, which could adversely affect economies and markets.
Inflation-Protected Securities Risk—The terms of inflation-protected securities provide for the coupon and/or maturity value to be adjusted based on changes in an inflation index. Decreases in the inflation rate or in investors’ expectations about inflation could cause these securities to underperform non-inflation-adjusted securities on a total-return basis. In addition, there can be no assurance that the relevant inflation index will accurately measure the rate of inflation, in which case the securities may not work as intended. These securities may be more difficult to trade or dispose of than other types of securities.
Lower-rated Securities Risk—Lower-rated securities, or junk bonds/high-yield securities, are subject to greater risk of loss of principal and interest and greater market risk than higher-rated securities. The capacity of issuers of lower-rated securities to pay interest and repay principal is more likely to weaken than is that of issuers of higher-rated securities in times of deteriorating economic conditions or rising interest rates.
Real Estate Related Securities Risk—Investing in real estate related securities includes, among others, the following risks: possible declines in the value of real estate; risks related to general and local economic conditions, including increases in the rate of inflation; possible lack of availability of mortgage funds; overbuilding; extended vacancies of properties; increases in competition, property taxes and operating expenses; changes in zoning laws; costs resulting from the clean-up of, and liability to third parties for damages resulting from, environmental problems; casualty or condemnation losses; uninsured damages from floods, earthquakes or other natural disasters; limitations on and variations in rents; and changes in interest rates. In addition, global climate change may have an adverse effect on property and security values. Investing in Real Estate Investment Trusts (“REITs”) involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. Equity REITs may be affected by changes in the value of the underlying property owned by the REITs, while mortgage REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, are not diversified, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Investing in REITs also involves risks similar to those associated with investing in small-capitalization companies. REITs may have limited financial resources, may trade less frequently and in a limited volume and may be subject to more abrupt or erratic price movements than larger company securities.
Investment in Other Investment Companies Risk—As with other investments, investments in other investment companies, including other AB mutual funds and ETFs, are subject to market and management risk. In addition, if the Portfolios acquire shares of investment companies, shareholders bear both their proportionate share of expenses in the Portfolios (including management and advisory fees) and, indirectly, the expenses of the investment companies in which the Portfolios invest.
Tax Risk—There is no guarantee that the income on a Portfolio’s municipal securities will be exempt from regular federal income, and if applicable, state income taxes. Unfavorable legislation, adverse interpretations by federal or state authorities, litigation or noncompliant conduct by the issuer of a municipal security could affect the tax-exempt status of municipal securities. If the Internal Revenue Service or a state authority determines that an issuer of a municipal security has not complied with applicable requirements, interest from the security could become subject to regular federal income tax and/or state personal income tax, possibly retroactively to the date the security was issued, the value of the security could decline significantly, and a portion of the distributions to Portfolio shareholders could be recharacterized as taxable. The U.S. Congress has considered changes to U.S. federal tax law that would, if enacted, have a negative impact on certain types of municipal securities, such as private activity bonds, or would otherwise make investments in municipal bonds less attractive.
LIBOR Transition and Associated Risk—The Portfolios may be exposed to debt securities, derivatives or other financial instruments that utilize the London Interbank Offered Rate, or “LIBOR,” as a “benchmark” or “reference rate” for various
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interest rate calculations. In 2017, the United Kingdom Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. The FCA and LIBOR’s administrator, ICE Benchmark Administration, have since announced that most LIBOR settings (which reflect LIBOR rates quoted in different currencies over various time periods) will no longer be published after the end of 2021 but that the most widely used U.S. Dollar LIBOR settings will continue to be published until June 30, 2023. However, banks were strongly encouraged to cease entering into agreements with counterparties referencing LIBOR by the end of 2021. It is possible that a subset of LIBOR settings will be published after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. Since 2018 the Federal Reserve Bank of New York has published the secured overnight funding rate (referred to as SOFR), which is intended to replace U.S. Dollar LIBOR. SOFR is a broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury securities in the repurchase agreement (repo) market and has been used increasingly on a voluntary basis in new instruments and transactions. In addition, on March 15, 2022, the Adjustable Interest Rate Act was signed into law. This law provides a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on SOFR for certain contracts that reference LIBOR without adequate fallback provisions.
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 the Portfolios’ 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 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 the Portfolios’ 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. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known.
Cybersecurity Risk—As the use of the internet and other technologies has become more prevalent in the course of business, the Portfolios have become more susceptible to operational and financial risks associated with cybersecurity. Cybersecurity incidents can result from deliberate attacks such as gaining unauthorized access to digital systems (e.g., through “hacking” or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption, or from unintentional events, such as the inadvertent release of confidential information. Cybersecurity failures or breaches of the Portfolios or their service providers or the issuers of securities in which the Portfolios invest have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, the inability of Portfolio shareholders to transact business, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, and/or additional compliance costs. While measures have been developed which are designed to reduce the risks associated with cybersecurity, there is no guarantee that those measures will be effective, particularly since the Portfolios do not control the cybersecurity defenses or plans of their service providers, financial intermediaries and companies in which they invest or with which they do business.
Cybersecurity incidents, both intentional and unintentional, may allow an unauthorized party to gain access to Portfolio or shareholder assets, Portfolio or customer data (including private shareholder information), or proprietary information, or cause a Portfolio, the Adviser, and/or the Portfolios’ service providers (including, but not limited to, fund accountants, custodians, sub-custodians, transfer agents and financial intermediaries) to suffer data breaches, data corruption or lose operational functionality, or prevent Portfolio investors from purchasing, redeeming or exchanging shares or receiving distributions. A Portfolio and the Adviser have limited ability to prevent or mitigate cybersecurity incidents affecting third-party service providers. Cybersecurity incidents may result in financial losses to such Portfolio and its shareholders, and substantial costs may be incurred in order to prevent any future cybersecurity incidents.
Indemnification Risk—In the ordinary course of business, the Portfolios enter into contracts that contain a variety of indemnifications. The Portfolios’ maximum exposure under these arrangements is unknown. However, the Portfolios have not had prior claims or losses pursuant to these indemnification provisions and expect the risk of loss thereunder to be remote. Therefore, the Portfolios have not accrued any liability in connection with these indemnification provisions.
2022 Annual Report | 165 |
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Notes to Financial Statements (continued)
NOTE 6. | Capital-Share Transactions |
As of September 30, 2022, the Sanford C. Bernstein Fund, Inc., has authorized 17.5 billion shares of common stock, par value $0.001 per share, of which 3.7 billion shares are allocated to the Overlay Portfolios. Each Class 1 and Class 2 of the Overlay Portfolios with the exception of Class 1 of the Tax-Aware Overlay A Portfolio, is allocated 300 million shares, Class 1 of the Tax-Aware Overlay A Portfolio is allocated 400 million shares.
Share transactions for each Portfolio for the years ended September 30, 2022 and September 30, 2021, were as follows:
OVERLAY A PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Class 1 Shares |
| |||||||||||||||||||
Shares sold | 5,161,881 | 6,975,931 | $ | 73,199,634 | $ | 104,883,277 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 11,002,154 | 859,674 | 164,812,261 | 12,087,010 | ||||||||||||||||
Shares redeemed | (16,556,316 | ) | (22,486,338 | ) | (229,970,448 | ) | (336,005,608 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (392,281 | ) | (14,650,733 | ) | $ | 8,041,447 | $ | (219,035,321 | ) | |||||||||||
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|
|
|
|
|
|
| |||||||||||||
Class 2 Shares |
| |||||||||||||||||||
Shares sold | 3,205,618 | 3,306,670 | $ | 46,184,559 | $ | 49,597,763 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 2,245,552 | 212,069 | 33,660,824 | 2,983,822 | ||||||||||||||||
Shares redeemed | (5,212,898 | ) | (7,696,212 | ) | (72,241,958 | ) | (112,985,421 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 238,272 | (4,177,473 | ) | $ | 7,603,425 | $ | (60,403,836 | ) | ||||||||||||
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| |||||||||||
TAX-AWARE OVERLAY A PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Class 1 Shares |
| |||||||||||||||||||
Shares sold | 8,239,428 | 9,190,826 | $ | 124,924,353 | $ | 146,617,709 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 17,694,177 | 1,373,308 | 286,114,840 | 20,517,230 | ||||||||||||||||
Shares redeemed | (27,404,212 | ) | (24,057,629 | ) | (392,609,957 | ) | (378,684,923 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | (1,470,607 | ) | (13,493,495 | ) | $ | 18,429,236 | $ | (211,549,984 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class 2 Shares |
| |||||||||||||||||||
Shares sold | 3,637,451 | 2,892,962 | $ | 54,209,370 | $ | 46,032,730 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 5,184,428 | 450,319 | 83,935,889 | 6,732,259 | ||||||||||||||||
Shares redeemed | (11,485,349 | ) | (9,870,817 | ) | (163,542,244 | ) | (157,428,227 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (2,663,470 | ) | (6,527,536 | ) | $ | (25,396,985 | ) | $ | (104,663,238 | ) | ||||||||||
|
|
|
|
|
|
|
|
166 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
OVERLAY B PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Class 1 Shares |
| |||||||||||||||||||
Shares sold | 5,187,066 | 6,284,207 | $ | 52,635,006 | $ | 72,678,968 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 12,258,298 | 1,996,152 | 128,099,219 | 22,576,479 | ||||||||||||||||
Shares redeemed | (14,266,407 | ) | (14,875,367 | ) | (141,582,540 | ) | (172,769,132 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 3,178,957 | (6,595,008 | ) | $ | 39,151,685 | $ | (77,513,685 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class 2 Shares |
| |||||||||||||||||||
Shares sold | 2,768,787 | 2,741,819 | $ | 28,109,864 | $ | 31,726,915 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 2,386,700 | 412,613 | 24,988,745 | 4,674,906 | ||||||||||||||||
Shares redeemed | (4,048,900 | ) | (5,336,524 | ) | (40,374,044 | ) | (61,717,417 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 1,106,587 | (2,182,092 | ) | $ | 12,724,565 | $ | (25,315,596 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
TAX-AWARE OVERLAY B PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Class 1 Shares |
| |||||||||||||||||||
Shares sold | 5,167,231 | 5,932,586 | $ | 58,606,873 | $ | 71,150,237 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 6,316,673 | 1,732,503 | 74,410,400 | 20,200,980 | ||||||||||||||||
Shares redeemed | (15,340,567 | ) | (12,195,093 | ) | (168,867,440 | ) | (146,395,049 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (3,856,663 | ) | (4,530,004 | ) | $ | (35,850,167 | ) | $ | (55,043,832 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class 2 Shares |
| |||||||||||||||||||
Shares sold | 2,637,541 | 2,450,725 | $ | 29,277,113 | $ | 29,387,920 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 2,676,362 | 793,587 | 31,554,311 | 9,269,101 | ||||||||||||||||
Shares redeemed | (9,964,823 | ) | (7,116,851 | ) | (108,196,503 | ) | (85,527,017 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (4,650,920 | ) | (3,872,539 | ) | $ | (47,365,079 | ) | $ | (46,869,996 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
2022 Annual Report | 167 |
Table of Contents
Notes to Financial Statements (continued)
TAX-AWARE OVERLAY C PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Class 1 Shares |
| |||||||||||||||||||
Shares sold | 1,057,828 | 1,803,362 | $ | 11,813,931 | $ | 21,619,226 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 1,982,126 | 443,699 | 22,913,374 | 5,160,211 | ||||||||||||||||
Shares redeemed | (4,897,168 | ) | (4,060,499 | ) | (53,297,436 | ) | (48,307,668 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (1,857,214 | ) | (1,813,438 | ) | $ | (18,570,131 | ) | $ | (21,528,231 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class 2 Shares |
| |||||||||||||||||||
Shares sold | 1,249,340 | 125,254 | $ | 13,473,115 | $ | 1,492,108 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 1,078,846 | 260,481 | 12,493,037 | 3,032,003 | ||||||||||||||||
Shares redeemed | (4,167,408 | ) | (3,193,377 | ) | (44,001,549 | ) | (38,397,189 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (1,839,222 | ) | (2,807,642 | ) | $ | (18,035,397 | ) | $ | (33,873,078 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
TAX-AWARE OVERLAY N PORTFOLIO | ||||||||||||||||||||
SHARES | AMOUNT | |||||||||||||||||||
YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | YEAR ENDED 9/30/22 | YEAR ENDED 9/30/21 | |||||||||||||||||
Class 1 Shares |
| |||||||||||||||||||
Shares sold | 1,130,667 | 943,846 | $ | 12,386,714 | $ | 11,169,514 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 1,555,650 | 443,500 | 18,154,440 | 5,086,947 | ||||||||||||||||
Shares redeemed | (5,060,445 | ) | (3,249,334 | ) | (55,112,991 | ) | (38,010,840 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (2,374,128 | ) | (1,861,988 | ) | $ | (24,571,837 | ) | $ | (21,754,379 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Class 2 Shares |
| |||||||||||||||||||
Shares sold | 291,531 | 324,236 | $ | 3,332,167 | $ | 3,779,188 | ||||||||||||||
Shares issued on reinvestment of dividends and distributions | 343,776 | 97,786 | 4,015,302 | 1,122,583 | ||||||||||||||||
Shares redeemed | (1,795,974 | ) | (1,458,877 | ) | (19,448,344 | ) | (17,394,103 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net decrease | (1,160,667 | ) | (1,036,855 | ) | $ | (12,100,875 | ) | $ | (12,492,332 | ) | ||||||||||
|
|
|
|
|
|
|
|
NOTE 7. | Recent Accounting Pronouncements |
In March 2020, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2020-04, “Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” ASU 2020-04 provides optional guidance to ease the potential accounting burden due to the discontinuation of the LIBOR and other interbank-offered based reference rates. ASU 2020-04 is effective as of March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying ASU 2020-04.
168 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
NOTE 8. | Subsequent Events |
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 material events that would require disclosure in the Portfolios’ financial statements through this date.
2022 Annual Report | 169 |
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Directors of Sanford C. Bernstein Fund, Inc. and Shareholders of Overlay A Portfolio, Tax-Aware Overlay A Portfolio, Overlay B Portfolio, Tax-Aware Overlay B Portfolio, Tax-Aware Overlay C Portfolio and Tax-Aware Overlay N Portfolio
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Overlay A Portfolio, Tax-Aware Overlay A Portfolio, Overlay B Portfolio, Tax-Aware Overlay B Portfolio, Tax-Aware Overlay C Portfolio and Tax-Aware Overlay N Portfolio (six of the thirteen portfolios constituting Sanford C. Bernstein Fund, Inc., hereafter collectively referred to as the “Portfolios”) as of September 30, 2022, the related statements of operations for the year ended September 30, 2022, the statements of changes in net assets for each of the two years in the period ended September 30, 2022, including the related notes, and the financial highlights for each of the five years in the period ended September 30, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of September 30, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended September 30, 2022 and each of the financial highlights for each of the five years in the period ended September 30, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
November 23, 2022
We have served as the auditor of one or more of the investment companies in the AB Group of Mutual Funds since at least 1985. We have not been able to determine the specific year we began serving as auditor.
170 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
2022 Federal Tax Information (Unaudited)
For Federal income tax purposes, the following information is furnished with respect to the distributions paid by each applicable Portfolio during the taxable year ended September 30, 2022. For corporate shareholders, the following percentages of dividends paid by each Portfolio qualify for the dividends received deduction. Additionally, for foreign shareholders the following percentages of ordinary income dividends paid by each Portfolio may be considered to be qualifying to be taxed as interest-related dividends.
PORTFOLIO | DIVIDENDS RECEIVED DEDUCTION % (CORPORATE SHAREHOLDERS) | % OF QUALIFIED INTEREST INCOME (FOREIGN SHAREHOLDERS) | ||||||
Overlay A | 45.14 | % | 1.72 | % | ||||
Tax-Aware Overlay A | 38.62 | % | 2.58 | % | ||||
Overlay B | 0.43 | % | 38.02 | % | ||||
Tax-Aware Overlay B | 9.17 | % | 1.37 | % | ||||
Tax-Aware Overlay C | 7.30 | % | 1.04 | % | ||||
Tax-Aware Overlay N | 9.58 | % | 1.19 | % |
For the taxable year ended September 30, 2022, each Portfolio designates the following amounts as the maximum amount that may be considered qualified dividend income for individual shareholders.
PORTFOLIO | QUALIFIED DIVIDEND INCOME | |||
Overlay A | $ | 43,812,116 | ||
Tax-Aware Overlay A | 65,210,029 | |||
Overlay B | 1,642,089 | |||
Tax-Aware Overlay B | 11,271,640 | |||
Tax-Aware Overlay C | 3,215,431 | |||
Tax-Aware Overlay N | 2,440,257 |
For the taxable year ended September 30, 2022, the long-term capital gain designations are as follows:
PORTFOLIO | LONG-TERM CAPITAL GAIN DISTRIBUTION | |||
Overlay A | $ | 163,540,332 | ||
Tax-Aware Overlay A | 329,292,991 | |||
Overlay B | 74,606,829 | |||
Tax-Aware Overlay B | 35,667,264 | |||
Tax-Aware Overlay C | 10,700,357 | |||
Tax-Aware Overlay N | 7,967,575 |
Shareholders should not use the above information to prepare their income tax returns. The information necessary to complete your income tax returns will be included with your Form 1099-DIV which will be sent to you separately in January 2023.
2022 Annual Report | 171 |
Table of Contents
Sanford C. Bernstein Fund, Inc.—Overlay Portfolios
BOARDOF DIRECTORS
Debra Perry*^
Chair
Beata D. Kirr
President
R. Jay Gerken*^
Director
Jeffrey R. Holland*
Director
William Kristol*
Director
Michelle McCloskey*
Director
Donald K. Peterson*
Director
OFFICERS
Alexander Barenboym(1)
Vice President
Daniel J. Loewy(1)
Vice President
Caglasu Altunkopru(1)
Vice President
Emilie D. Wrapp
Secretary
Michael B. Reyes
Senior Vice President
Joseph J. Mantineo
Treasurer and Chief Financial Officer
Phyllis J. Clarke
Controller
Vincent S. Noto
Chief Compliance Officer
INDEPENDENT REGISTEREDPUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
300 Madison Avenue
New York, New York 10017
LEGAL COUNSEL
Willkie Farr & Gallagher LLP
787 Seventh Avenue
New York, New York 10019
CUSTODIANAND ACCOUNTING AGENT
State Street Bank and Trust Company
State Street Corporation CCB/5
1 Iron Street
Boston, Massachusetts 02210
TRANSFER AGENT
DST Asset Manager Solutions
2000 Crown Colony Drive
Quincy, Massachusetts 02169
INVESTMENT ADVISER
AllianceBernstein L.P.
501 Commerce Street
Nashville, Tennessee 37203
* | Member of the Audit Committee, the Governance, Nominating and Compensation Committee, and the Independent Directors Committee. |
^ | Member of the Pricing Committee. |
(1) | The day-to-day management of, and investment decisions for, the Overlay Portfolios are made by the Adviser’s Asset Allocation Team. Messrs. Barenboym and Loewy and Ms. Altunkopru are the investment professionals with the most significant responsibility for the day-to-day management of the Funds’ portfolios. |
172 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
DIRECTORS’ INFORMATION | ||||||||
Name, Address+, Age, (Year of Election*) | Principal Occupation(s) During Past Five (5) Years and Other Information | Portfolios in Fund Complex Overseen By Director | Other Directorships Currently Held by Director | |||||
INTERESTED DIRECTOR | ||||||||
Beata D. Kirr** c/o AllianceBernstein L.P. 1345 Avenue of the Americas New York, NY 10105 48 (2019) | Senior Vice President of the Investment Adviser with which she has been associated since prior to 2017. She is the Co-Head of Investment Strategies since April 2020 and a National Managing Director since 2017. She was previously the Head of Private Client Core Asset Strategies. She joined the firm in 2007 as a Senior Portfolio Manager. Prior to joining AB, she was a director at Harris Alternatives, a global fund of hedge funds, and was with Goldman Sachs, where she advised clients in the Equities, M&A and Equity Capital Markets divisions, from their New York, London and Chicago offices. | 17 | Women Employed | |||||
DISINTERESTED DIRECTORS | ||||||||
Debra Perry,#^ Chair of the Board 71 (2011) | Formerly, Senior Managing Director of Global Ratings and Research, Moody’s Investors Service, Inc. from 2001 to 2004; Chief Administrative Officer, Moody’s, from 1999 to 2001; Chief Credit Officer, Moody’s, from 2000 to 2001; Group Managing Director for the Finance, Securities and Insurance Ratings Groups, Moody’s Corp., from 1996 to 1999; earlier she held executive positions with First Boston Corporation and Chemical Bank. | 17 | Assurant, Inc., since 2017; Korn/Ferry International, since 2008; Genworth Financial, Inc., from 2016-2022; PartnerRe, from 2013-2016; Bank of America Funds Series Trust, from 2011-2016 | |||||
R. Jay Gerken,#^ 71 (2013) | Formerly, President and Chief Executive Officer of Legg Mason Partners Fund Advisor, LLC, and President & Board Member of The Legg Mason and Western Asset mutual funds from 2005 until June 2013. Previously, he was the President and Chair of the boards of the Citigroup Asset Management mutual funds from 2002 to 2005; Portfolio Manager and Managing Director, Smith Barney Asset Management from 1993 to 2001 and President & CEO, Directions Management of Shearson Lehman, Inc. from 1988 to 1993. | 17 | Cedar Lawn Corporation; New Jersey Chapter of The Nature Conservancy; and Associated Banc-Corp | |||||
Jeffrey R. Holland,# 56 (2019) | Formerly, Limited Partner of Brown Brothers Harriman from 2014 to 2018. Prior thereto, General Partner of Brown Brothers Harriman from 2006 to 2013. | 17 | Director of various non-profit organizations |
2022 Annual Report | 173 |
Table of Contents
Sanford C. Bernstein Fund, Inc.—Overlay Portfolios (continued)
DIRECTORS’ INFORMATION (continued) | ||||||||
Name, Address+, Age, (Year of Election*) | Principal Occupation(s) During Past Five (5) Years and Other Information | Portfolios in Fund Complex Overseen By Director | Other Directorships Currently Held by Director | |||||
William Kristol,# 69 (1994) | Founder and Editor, The Weekly Standard from 1995 to 2018. He is a regular contributor on leading political commentary shows. He has served as the inaugural Vann Professor of Ethics and Society at Davidson College since 2019. | 17 | Manhattan Institute; John M. Ashbrook Center for Public Affairs at Ashland University; The Salvatori Center at Claremont McKenna College; The Institute for the Study of War; Foundation for Constitutional Government; and Defending Democracy Together, a non-profit educational corporation | |||||
Michelle McCloskey,# 60 (2019) | Formerly, President of Americas, Man Group from 2017 to August 2019 and President of Man FRM from 2015 to August 2019. Prior thereto, she was a Senior Managing Director of Man FRM from 2012 to 2015. While at the Man Group, she served on the Executive Committee of Man Group plc from 2012 to 2019, as Chief Executive Officer, Board of Managers of Man Alternative Multi Strategy Fund from 2016 to 2019 and as President and Chair of the Board of the Pine Grove Institutional Funds from 2016 to 2019. She currently serves on the Investment Advisory Committee of Texas Tech University Endowment. | 17 | Assured Guaranty Ltd. since May 2021 | |||||
Donald K. Peterson,# 73 (2007) | Formerly, Chairman and Chief Executive Officer, Avaya Inc. (telecommunications equipment and services) from 2002 to 2006; President and Chief Executive Officer, Avaya Inc. from 2000 to 2001; President, Enterprise Systems Group in 2000; Chief Financial Officer, Lucent Technologies (telecommunications equipment and services) from 1996 to 2000; Chief Financial Officer, AT&T, Communications Services Group from 1995 to 1996; President, Nortel Communications Systems, Inc. (telecommunications and networking equipment) from 1994 to 1995. Prior thereto, he was at Nortel from 1976 to 1995. | 17 | Worcester Polytechnic Institute, (Emeritus); Member of the Board of TIAA-Bank, FSB |
+ The address for each of the Fund’s Disinterested Directors is c/o AllianceBernstein L.P., Attention: Legal and Compliance Department-Mutual Fund Legal, 1345 Avenue of the Americas, New York, NY 10105.
* There is no stated term of office for the Directors.
* * Ms. Kirr is an “interested person” as defined by the Investment Company Act of 1940, because of her affiliation with AllianceBernstein.
# Member of the Audit Committee, the Governance, Nominating and Compensation Committee, and the Independent Directors Committee.
^ Member of the Pricing Committee.
174 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
OFFICERS’ INFORMATION | ||||
Name, Address* and Age | Position(s) Held with Fund | Principal Occupation During Past Five (5) Years | ||
Beata D. Kirr, 48 | President | See biography above. | ||
Alexander Barenboym, 51 | Vice President | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. | ||
Daniel J. Loewy, 48 | Vice President | Senior Vice President of the Adviser**, with which he has been associated since prior to 2017. He is also Chief Investment Officer and Head of Multi-Asset Solutions and Chief Investment Officer for Dynamic Asset Allocation. | ||
Caglasu Altunkopru, 50 | Vice President | Senior Vice President of the Adviser**, with which she has been associated in a substantially similar capacity to her current position since prior to 2017. | ||
Emilie D. Wrapp, 66 | Secretary | Senior Vice President, Assistant General Counsel and Assistant Secretary of AllianceBernstein Investments, Inc. (“ABI”)**, with which she has been associated since prior to 2017. | ||
Michael B. Reyes, 46 | Senior Vice President | Vice President of the Adviser**, with which he has been associated since prior to 2017. | ||
Joseph J. Mantineo, 63 | Treasurer and Chief Financial Officer | Senior Vice President of AllianceBernstein Investor Services, Inc. (“ABIS”)**, with which he has been associated since prior to 2017. | ||
Phyllis J. Clarke, 61 | Controller | Vice President of ABIS**, with which she has been associated since prior to 2017. | ||
Vincent S. Noto, 57 | Chief Compliance Officer | Senior Vice President and Mutual Fund Chief Compliance Officer of the Adviser**, since prior to 2017. |
* The address for each of the Fund’s Officers is 1345 Avenue of the Americas, New York, NY 10105.
* * The Adviser, ABI and ABIS are affiliates of the Fund.
The Fund’s Statement of Additional Information (“SAI”) has additional information about the Fund’s Directors and Officers and is available without charge upon request. Contact your financial representative or AB at (212) 486-5800, or visit www.bernstein.com, for a free prospectus or SAI.
2022 Annual Report | 175 |
Table of Contents
Operation and Effectiveness of the Portfolios’ 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 Portfolios to designate an Administrator of the Portfolios’ Liquidity Risk Management Program. The Administrator of the Portfolios’ LRMP is AllianceBernstein L.P., the Portfolios’ 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 Portfolios’ Board of Directors (the “Fund Board”) to receive an annual written report from the Administrator of the LRMP, which addresses the operation of the Portfolios’ LRMP and assesses its adequacy and effectiveness. The Adviser provided the Fund Board with such annual report during the first quarter of 2022, which covered the period January 1, 2021 through December 31, 2021 (the “Program Reporting Period”).
The LRMP’s principal objectives include supporting the Portfolios’ compliance with limits on investments in illiquid assets and mitigating the risk that the Portfolios will be unable to meet their redemption obligations in a timely manner.
Pursuant to the LRMP, the Portfolios classify the liquidity of their 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 Portfolios’ strategy is appropriate for an open-end structure, incorporating any holdings of less liquid and illiquid assets. If the Portfolios participated in derivative transactions, the exposure from such transactions were considered in the LRMP.
The Committee also performed an analysis to determine whether the Portfolios are required to maintain a Highly Liquid Investment Minimum (“HLIM”). The Committee also incorporated the following information when determining the Portfolios’ reasonably anticipated trading size for purposes of liquidity monitoring: historical net redemption activity, a Portfolio’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 Portfolios’ 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, liquidity in all markets was significantly recovered and improved compared to the prior reporting period which included extreme levels of price volatility and relative illiquidity beginning in March 2020 with COVID-19 impacts. As such, the program operated in a relatively robust and benign liquidity environment experienced in markets during the Program Reporting Period. There were no liquidity events that impacted the Portfolios or their ability to timely meet redemptions during the Program Reporting Period.
176 | Sanford C. Bernstein Fund, Inc. |
Table of Contents
Board Consideration of Investment Management Arrangement
Sanford C. Bernstein Fund, Inc. (the “Fund”) is subject to Section 15 of the Investment Company Act of 1940, as amended. Section 15 provides that any investment advisory agreement with a registered investment company such as the Fund may continue in effect for a period of more than two years from the date of its execution, only so long as such continuance is specifically approved at least annually by the board of directors (or by vote of a majority of the outstanding voting securities of the investment company). Pursuant to this requirement, the Fund’s Board of Directors, including the Directors who are not interested persons of the Fund (the “Independent Directors”), unanimously approved the continuation of the Investment Management Agreement between the Fund, on behalf of the Emerging Markets, Short Duration Diversified Municipal, New York Municipal, California Municipal, Diversified Municipal, Short Duration Plus, Intermediate Duration, Overlay A, Tax-Aware Overlay A, Overlay B, Tax-Aware Overlay B, Tax-Aware Overlay C and Tax-Aware Overlay N Portfolios (each, a “Portfolio” and collectively, the “Portfolios”) of the Fund, and AllianceBernstein L.P. (the “Adviser”)( the “Investment Management Agreement”) at a meeting held on October 26-27, 2022.
The following discussion describes the considerations in connection with the Board’s review of the Investment Management Agreement.
In connection with the annual review of the continuation of the Investment Management Agreement between the Fund and the Adviser, counsel to the Independent Directors sent a letter to the Adviser dated August 10, 2022, that contained a list of information requested by the Independent Directors to conduct their annual review. The Board of Directors, including the Independent Directors, met by video conference and received and evaluated extensive materials relating to the continuation of the Investment Management Agreement from the Adviser. In addition, the Board received materials from the Senior Vice president of the Fund and an independent fee consultant as described below. On September 29, 2022, the Board of Directors held a video conference meeting to discuss its review of the Investment Management Agreement and the materials the Directors had been provided. At that meeting, the Independent Directors met separately with their independent counsel and the Senior Vice President and the independent fee consultant in executive sessions. Following the September 29, 2022 meeting, the Independent Directors, through counsel, requested certain additional information by means of an email from their independent counsel dated October 6, 2022, and the Adviser provided certain additional information by means of a memorandum dated October 19, 2022. On October 26-27, 2022, the Board of Directors held a meeting to continue their review of the Investment Management Agreement. During this meeting, the Adviser provided further information requested by the Independent Directors relating to contract renewal, and the Independent Directors also met separately with counsel to the Independent Directors as well as the Senior Vice President to review the contract renewal materials provided by the Adviser and the materials prepared by the Senior Vice President. At the conclusion of this meeting, the Board approved the continuation of the Investment Management Agreement for an additional annual term as described below.
In approving the Investment Management Agreement, the Board, including the Independent Directors, considered all information it deemed reasonably necessary to evaluate the terms of the Investment Management Agreement and considered whether the Agreement would be in the best interests of the Fund. In particular, the Board considered the information that was provided to them by the Adviser in response to their requests, as well as information prepared by the Senior Vice President and the independent fee consultant at the request of the Board. The Fund’s Senior Vice President assists the Board (as well as the boards of other funds sponsored by the Adviser) in evaluating investment management agreements and certain other plans and agreements pursuant to which the Adviser or its affiliates provide services to the Funds. The Board also considered other information provided to the Board in connection with the September 29, 2022 and October 26-27, 2022 meetings and throughout the past year.
The information considered by the Board included information with respect to the nature, extent and quality of services provided, investment performance, fees and expenses, profitability, economies of scale, and fall-out benefits and other revenue.
In the Board’s consideration of the factors discussed below, no single factor was considered in isolation or to be determinative to the decision of the Board to approve the Investment Management Agreement. Rather, the Board concluded, in light of a weighing and balancing of all factors considered and in the exercise of the Directors’ business judgment, that it was in the best interests of the Fund to approve the Investment Management Agreement including the fees to be charged for services thereunder, as summarized below.
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Board Consideration of Investment Management Arrangement (continued)
Fees and Expenses
The Board, including the Independent Directors, compared the fees and expense ratios of each Portfolio (before and after any fee waivers and expense reimbursements) against fees and expense ratios of a peer group of funds with similar investment objectives (“peer group”). Both the peer group and the funds within the peer group, with respect to the fee and expense data, were available from Strategic Insight, an independent provider of investment company data. The Senior Vice President also performed analyses of the advisory fees, and compared such analyses to the Portfolios’ peer groups. In addition, the Board received and considered information from an independent fee consultant regarding the fees and expenses of the Portfolios as well as their investment performance.
The Board also received and considered information about the services rendered, and the fee rates charged, to other clients advised by the Adviser, including information about any recent advisory fee changes with respect to other investment companies advised by the Adviser. The Board noted the differences between the services provided to the Portfolios in comparison to those provided to other types of clients, including institutional clients and other investment companies for which the Adviser acted as investment adviser or subadviser, and the differences in the entrepreneurial and other risks borne by the Adviser in serving the Portfolios compared to other types of clients.
The Board noted that the Adviser had elected to discontinue its voluntary waiver of the 0.10% shareholder servicing fee for the private client class of the Short Duration Plus Portfolio and the Short Duration Diversified Municipal Portfolio, during the next term of the shareholder servicing agreement. In that regard, the Board considered that the increasing interest rate environment had increased yields available in the marketplace on short-term investments, and that the Adviser indicated that the waivers were no longer necessary to maintain positive performance. The Board further considered that the total expense ratios of the Portfolios remained below the median of the peer group after removal of the waiver, and the Board reviewed materials estimating the impact of the removal of the waiver on the performance of the Portfolios.
The Board also noted that the Adviser had recently modified the advisory fee schedule of the Overlay A and Tax-Aware Overlay Portfolios by reducing the level where each Portfolio reaches its first breakpoint, and adding a new breakpoint on assets over $5 billion. With respect to the advisory fees charged to the Overlay Portfolios, the Directors noted that the Portfolios are intended to have an impact on a private client’s entire account, rather than just an impact at the Portfolio level.
On the basis of its review and consideration of the fees as described above and the Board’s consideration of the other factors described below, and in light of the Adviser’s implementation of certain fee waivers and/or expense caps for certain Portfolios, the Board concluded that the contractual advisory fees as proposed were reasonable.
Nature, Extent and Quality of Services Provided
The Board, including the Independent Directors, considered the nature, quality and extent of services performed by the Adviser and its affiliates gained from their experience as Directors of the Fund, their overall confidence in the Adviser’s integrity and competence they have gained from that experience, and the Adviser’s initiative in identifying and raising potential issues with the Directors. The Board also considered the Adviser’s responsiveness, frankness and attention to concerns raised by the Directors from time to time, including the Adviser’s willingness to consider and implement organizational and other changes designed to improve investment results and the services provided to the Portfolios. The Board also considered the scope and quality of the Adviser’s investment management capabilities, other resources dedicated to performing its services, the quality of its compliance, administrative and other services provided to the Portfolios and the background and experience of the Adviser’s senior management. The Board reviewed the qualifications, backgrounds and responsibilities of the investment staff primarily responsible for day-to-day portfolio management services for each Portfolio and noted the Adviser’s commitment to strong research and investment management capabilities throughout changing market environments. The Board reviewed the compliance and administrative services of the Adviser that support the investment advisory services provided to the Portfolios.
In considering the nature and quality of the services provided by the Adviser, the Board, including the Independent Directors, received and considered information about each Portfolio’s investment performance, as well as the performance of its peer group and the performance of an appropriate benchmark index. The Board was provided with performance data versus each Portfolio’s peer group, for the 1-year, 3-year, 5-year and 10-year periods, as applicable, ended July 31, 2022 and versus each Portfolio’s benchmark index, for the relevant periods, as well as the most recently
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available Morningstar rating for those Portfolios with an available rating. The Board also received certain updated performance information as of September 30, 2022. In addition, the Directors considered information showing performance compared to peer groups and benchmarks for rolling calendar year periods and the year to date. The Directors also receive detailed comparative performance information for the Portfolios at each regular Board meeting during the year. The Board recognized that the benchmark indices do not account for fees and expenses incurred by a fund, including the Portfolios. The Directors also considered how peer groups have changed over time and how comparisons may differ depending upon the selection of the peer groups or benchmark indices.
The Directors noted the complexity of the Overlay Portfolios, in particular the complexity of managing the globally diversified set of asset classes and derivatives in which the Overlay Portfolios can invest as well as the complexity of dynamically allocating assets through the Overlay Portfolios among various asset classes as economic and market conditions change in seeking to provide the desired risk/return trade-off for their investors in light of their overall portfolios (and not just their investment in the Overlay Portfolios themselves). In considering the performance of the Overlay Portfolios, the Board reviewed the performance of the Overlay Portfolios’ dynamic asset allocation component and the impact of that component in the recent volatile market environment. The Board considered the Adviser’s continued research efforts to enhance the dynamic asset allocation component utilized by the Overlay Portfolios. The Board further acknowledged the difficulty in selecting relevant peer groups for the Overlay Portfolios because of their unique structure and noted that the Overlay A Portfolio and Tax-Aware Overlay A Portfolio held higher percentages of equities and international equities than the funds in their relevant peer groups.
In evaluating the performance of the Portfolios that invest primarily in fixed-income securities, the Directors considered whether those Portfolios may have incurred less credit risk or interest rate risk, or both, in relation to their peer groups and benchmark indices. The Directors also noted the Adviser’s explanation that certain Portfolios are designed to maintain higher credit quality and a more conservative approach versus the funds in their relevant peer groups, and that as a result of a lower risk profile, those Portfolios have underperformed the peer group during periods when riskier assets have outperformed.
Where the Portfolios had underperformed their peer groups or benchmark indices, the Directors considered the Adviser’s explanations for performance and, as applicable, measures the Adviser had taken or proposed to take to improve performance, including enhancements to portfolio management models. The Directors noted generally the Adviser’s continued efforts to enhance the services provided to the Portfolios. The Directors also noted that they would continue to monitor investment performance closely.
The Board concluded that the Adviser had the experience and resources necessary to provide services of appropriate nature, quality and scope with respect to the Portfolios.
Profitability
The Board, including the Independent Directors, considered the level of the Adviser’s profits in respect of its management of the respective Portfolios. The materials provided to the Independent Directors included information indicating the profitability of the Portfolios to the Adviser for calendar years 2020 and 2021, which had been reviewed by an independent consultant. The Directors reviewed the assumptions and methods of allocation used by the Adviser in preparing fund-specific profitability data, noting that the methodology was consistent with the Adviser’s internal financial reporting. The Directors acknowledged that there are many potentially acceptable allocation methodologies for cost allocation, and that in certain cases the selected allocation methodology may not capture all costs borne by the Adviser with respect to a Portfolio. The Directors noted that they received information regarding all revenues and expenses of the Adviser’s relationship with the Fund, including those relating to the Adviser’s subsidiaries that provide transfer agency and distribution services to the Fund, and that they had focused on profitability before taxes and distribution expenses. The Board further considered materials provided by the Adviser estimating the profitability of the Short Duration Plus Portfolio and the Short Duration Diversified Municipal Portfolio to the Adviser after the termination of the voluntary waiver in effect for the Portfolios. The Directors reviewed comparative information regarding profitability for other publicly-traded advisers, recognizing that it is difficult to make comparisons of profitability among different investment advisers because only limited comparative information is publicly available and the comparisons are affected by numerous factors including different business mixes.
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Board Consideration of Investment Management Arrangement (continued)
After reviewing all relevant factors, the Directors, including the Independent Directors, concluded that the levels of the Adviser’s profits in respect of its management of the Portfolios were not excessive.
Economies of Scale
The Board, including the Independent Directors, considered whether there have been economies of scale in respect of the management of the Portfolios, whether the Portfolios have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Directors discussed possible ways in which any such economies of scale may be shared with the Portfolios, including by investment in enhanced services.
The Directors also considered the Senior Vice President materials which they received in connection with the review of the Investment Management Agreement, which included information reflecting changes in asset levels of the Portfolios and in the profitability of the Adviser over various periods.
After reviewing the profitability and economies of scale information provided by the Adviser, the Board concluded that the benefits of any economies of scale were appropriately being shared with Portfolio investors by way of, among other things and as applicable, establishing advisory fees at levels that contemplated future achievement of scale, 2018 fee reductions for the Short Duration Diversified Municipal, Short Duration Plus, Intermediate Duration, and Emerging Markets Portfolios, breakpoint arrangements including the lowering of the first breakpoint and the addition of a new breakpoint in the advisory fee schedule for the Overlay A and Tax-Aware Overlay A Portfolios as well as other recently adopted or modified breakpoints for certain Portfolios, expense caps and waivers applying to select Portfolios, and the Adviser’s continued reinvestment in the business, including by researching and implementing new product enhancements. The Directors also noted that they would continue to monitor the growth of the Portfolios.
Fall-Out Benefits and Other Revenue
The Board, including the Independent Directors, also took into account so-called “fall-out benefits” to the Adviser, such as soft dollar arrangements (whereby the Adviser receives the benefit of research services from many of the brokers and dealers that execute purchases and sales of securities on behalf of its clients on an agency basis), Rule 12b-1 fees and sales charges received by the principal underwriter (which is a wholly owned subsidiary of the Adviser) with respect to the retail share classes of certain Portfolios, and transfer agency fees paid by the retail share classes of certain Portfolios to a wholly-owned subsidiary of the Adviser. The Directors recognized that the Adviser’s profitability would be lower without these benefits. They also considered other benefits potentially derived from an increase in the Adviser’s business as a result of its relationship with the Fund. The Directors concluded that these fall-out benefits to the Adviser were acceptable.
Advisory Fee Rate Schedule
On the basis of the information considered, the Board determined to approve the continuation of the Investment Management Agreement for an additional annual term, without change to the Portfolios’ contractual fee schedules, as set forth below.
PORTFOLIO | ANNUAL PERCENTAGE OF AVERAGE DAILY NET ASSETS OF EACH PORTFOLIO | |
Short Duration Diversified Municipal | 0.30% of the first $750 million; 0.25% of assets in excess of $750 million. | |
Short Duration Plus | 0.35% of the first $750 million; 0.30% of assets in excess of $750 million. | |
New York Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% of assets in excess of $5 billion. | |
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Board Consideration of Investment Management Arrangement (continued)
PORTFOLIO | ANNUAL PERCENTAGE OF AVERAGE DAILY NET ASSETS OF EACH PORTFOLIO | |
California Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% of assets in excess of $5 billion. | |
Diversified Municipal | 0.425% of the first $1 billion; 0.375% in excess of $1 billion up to, but not exceeding $3 billion; 0.325% in excess of $3 billion up to, but not exceeding $5 billion; 0.275% in excess of $5 billion up to, but not exceeding $7 billion; 0.225% of assets in excess of $7 billion. | |
Intermediate Duration | 0.45% on the first $2.5 billion; 0.40% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.35% in excess of $5 billion up to, but not exceeding $8 billion; 0.30% of assets in excess of $8 billion. | |
Emerging Markets | 0.95% of the first $2.5 billion; 0.90% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Overlay A | 0.90% of the first $2.5 billion; 0.875% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Tax-Aware Overlay A | 0.90% of the first $2.5 billion; 0.875% in excess of $2.5 billion up to, but not exceeding $5 billion; 0.85% of assets in excess of $5 billion. | |
Overlay B | 0.65% of assets. | |
Tax-Aware Overlay B | 0.65% of assets. | |
Tax-Aware Overlay C | 0.65% of assets. | |
Tax-Aware Overlay N | 0.65% of assets. |
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Distributor
SANFORD C. BERNSTEIN FUND, INC.
1345 AVENUEOFTHE AMERICAS, NEW YORK, NY 10105
(212) 756-4097
SCBII-1947-0922
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ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer and principal accounting officer. A copy of the registrant’s code of ethics is filed herewith as Exhibit 12(a)(1).
(b) During the period covered by this report, no material amendments were made to the provisions of the code of ethics adopted in 2(a) above.
(c) During the period covered by this report, no implicit or explicit waivers to the provisions of the code of ethics adopted in 2(a) above were granted.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant’s Board of Directors has determined that independent directors Donald K. Peterson, Debra Perry, R. Jay Gerken, Jeffrey R. Holland and Michelle McCloskey qualify as audit committee financial experts.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) - (c) The following table sets forth the aggregate fees billed by the independent registered public accounting firm Pricewaterhouse Coopers LLP , for the Fund’s last two fiscal years for professional services rendered for: (i) the audit of the Fund’s annual financial statements included in the Fund’s annual report to stockholders; (ii) assurance and related services that are reasonably related to the performance of the audit of the Fund’s financial statements and are not reported under (i), which include advice and education related to accounting and auditing issues, quarterly press release review (for those Funds that issue quarterly press releases), and preferred stock maintenance testing (for those Funds that issue preferred stock); and (iii) tax compliance, tax advice and tax return preparation.
Audit Fees | Audit-Related Fees | Tax Fees | ||||||||||||||
Short Duration Plus Portfolio | 2021 | $ | 5,988 | $ | 1,099 | $ | 3,073 | |||||||||
2022 | $ | 12,183 | $ | 1,926 | $ | 6,755 | ||||||||||
Intermediate Duration Portfolio | 2021 | $ | 89,964 | $ | 1,099 | $ | 38,290 | |||||||||
2022 | $ | 89,023 | $ | 1,926 | $ | 32,119 | ||||||||||
Short Duration Diversified Muni Portfolio | 2021 | $ | 5,096 | $ | — | $ | 1,845 | |||||||||
2022 | $ | 6,033 | $ | — | $ | 4,039 | ||||||||||
New York Muni Portfolio | 2021 | $ | 43,513 | $ | 1,099 | $ | 15,822 | |||||||||
2022 | $ | 45,167 | $ | 1,926 | $ | 14,331 | ||||||||||
California Muni Portfolio | 2021 | $ | 33,902 | $ | 1,099 | $ | 12,306 | |||||||||
2022 | $ | 36,512 | $ | 1,926 | $ | 11,575 | ||||||||||
Diversified Muni Portfolio | 2021 | $ | 151,778 | $ | 1,099 | $ | 55,297 | |||||||||
2022 | $ | 150,538 | $ | 1,926 | $ | 47,778 | ||||||||||
Emerging Markets Portfolio | 2021 | $ | 30,145 | $ | 1,099 | $ | 17,545 | |||||||||
2022 | $ | 37,161 | $ | 1,926 | $ | 16,943 | ||||||||||
Overlay A | 2021 | $ | 69,244 | $ | — | $ | 54,414 | |||||||||
2022 | $ | 69,244 | $ | — | $ | 51,609 | ||||||||||
Tax-Aware Overlay A | 2021 | $ | 56,655 | $ | — | $ | 54,376 | |||||||||
2022 | $ | 56,655 | $ | — | $ | 51,611 | ||||||||||
Overlay B | 2021 | $ | 79,244 | $ | — | $ | 51,970 | |||||||||
2022 | $ | 79,244 | $ | — | $ | 49,686 | ||||||||||
Tax-Aware Overlay B | 2021 | $ | 56,655 | $ | — | $ | 51,408 | |||||||||
2022 | $ | 56,655 | $ | — | $ | 50,589 | ||||||||||
Tax-Aware Overlay C | 2021 | $ | 56,655 | $ | — | $ | 51,132 | |||||||||
2022 | $ | 56,655 | $ | — | $ | 50,365 | ||||||||||
Tax-Aware Overlay N | 2021 | $ | 56,655 | $ | — | $ | 51,408 | |||||||||
2022 | $ | 56,655 | $ | — | $ | 50,587 |
(d) Not applicable.
(e) (1) Beginning with audit and non-audit service contracts entered into on or after May 6, 2003, the Fund’s Audit Committee policies and procedures require the pre-approval of all audit and non-audit services provided to the Fund by the Fund’s independent registered public accounting firm. The Fund’s Audit Committee policies and procedures also require pre-approval of all audit and non-audit services provided to the Adviser and Service Affiliates to the extent that these services are directly related to the operations or financial reporting of the Fund.
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(e) (2) All of the amounts for Audit Fees, Audit-Related Fees and Tax Fees in the table under Item 4 (a)–(c) are for services pre-approved by the Fund’s Audit Committee.
(f) Not applicable.
(g) The following table sets forth the aggregate non-audit services provided to the Fund, the Fund’s Adviser and entities that control, are controlled by or under common control with the Adviser that provide ongoing services to the Fund:
All Fees for Non-Audit Services Provided to the Portfolio, the Adviser and Service Affiliates | Total Amount of Foregoing Column Pre-approved by the Audit Committee (Portion Comprised of Audit Related Fees) (Portion Comprised of Tax Fees) | |||||||||||
Short Duration Plus Portfolio | 2021 | $ | 3,025,222 | $ | 4,172 | |||||||
$ | (1,099 | ) | ||||||||||
$ | (3,073 | ) | ||||||||||
2022 | $ | 5,858,244 | $ | 8,681 | ||||||||
$ | (1,926 | ) | ||||||||||
$ | (6,755 | ) | ||||||||||
Intermediate Duration Portfolio | 2021 | $ | 3,060,439 | $ | 39,389 | |||||||
$ | (1,099 | ) | ||||||||||
$ | (38,290 | ) | ||||||||||
2022 | $ | 5,883,608 | $ | 34,045 | ||||||||
$ | (1,926 | ) | ||||||||||
$ | (32,119 | ) | ||||||||||
Short Duration Diversified Muni Portfolio | 2021 | $ | 3,022,895 | $ | 1,845 | |||||||
$ | — | |||||||||||
$ | (1,845 | ) | ||||||||||
2022 | $ | 5,853,602 | $ | 4,039 | ||||||||
$ | — | |||||||||||
$ | (4,039 | ) | ||||||||||
New York Muni Portfolio | 2021 | $ | 3,037,971 | $ | 16,921 | |||||||
(1,099 | ) | |||||||||||
(15,822 | ) | |||||||||||
2022 | $ | 5,865,820 | $ | 16,257 | ||||||||
$ | (1,926 | ) | ||||||||||
$ | (14,331 | ) | ||||||||||
California Muni Portfolio | 2021 | $ | 3,034,455 | $ | 13,405 | |||||||
$ | (1,099 | ) | ||||||||||
$ | (12,306 | ) | ||||||||||
2022 | $ | 5,863,064 | $ | 13,501 | ||||||||
$ | (1,926 | ) | ||||||||||
$ | (11,575 | ) | ||||||||||
Diversified Muni Portfolio | 2021 | $ | 3,077,446 | $ | 56,396 | |||||||
$ | (1,099 | ) | ||||||||||
$ | (55,297 | ) | ||||||||||
2022 | $ | 5,899,267 | $ | 49,704 | ||||||||
$ | (1,926 | ) | ||||||||||
$ | (47,778 | ) | ||||||||||
Emerging Markets Portfolio | 2021 | $ | 3,039,694 | $ | 18,644 | |||||||
$ | (1,099 | ) | ||||||||||
$ | (17,545 | ) | ||||||||||
2022 | $ | 5,868,432 | $ | 18,869 | ||||||||
$ | (1,926 | ) | ||||||||||
$ | (16,943 | ) | ||||||||||
Overlay A | 2021 | $ | 3,075,464 | $ | 54,414 | |||||||
$ | — | |||||||||||
$ | (54,414 | ) | ||||||||||
2022 | $ | 5,901,172 | $ | 51,609 | ||||||||
$ | — | |||||||||||
$ | (51,609 | ) | ||||||||||
Tax-Aware Overlay A | 2021 | $ | 3,075,426 | $ | 54,376 | |||||||
$ | — | |||||||||||
$ | (54,376 | ) | ||||||||||
2022 | $ | 5,901,174 | $ | 51,611 | ||||||||
$ | — | |||||||||||
$ | (51,611 | ) | ||||||||||
Overlay B | 2021 | $ | 3,073,020 | $ | 51,970 | |||||||
$ | — | |||||||||||
$ | (51,970 | ) | ||||||||||
2022 | $ | 5,899,249 | $ | 49,686 | ||||||||
$ | — | |||||||||||
$ | (49,686 | ) | ||||||||||
Tax-Aware Overlay B | 2021 | $ | 3,072,458 | $ | 51,408 | |||||||
$ | — | |||||||||||
$ | (51,408 | ) | ||||||||||
2022 | $ | 5,900,152 | $ | 50,589 | ||||||||
$ | — | |||||||||||
$ | (50,589 | ) | ||||||||||
Tax-Aware Overlay C | 2021 | $ | 3,072,182 | $ | 51,132 | |||||||
$ | — | |||||||||||
$ | (51,132 | ) | ||||||||||
2022 | $ | 5,899,928 | $ | 50,365 | ||||||||
$ | — | |||||||||||
$ | (50,365 | ) | ||||||||||
Tax-Aware Overlay N | 2021 | $ | 3,072,458 | $ | 51,408 | |||||||
$ | — | |||||||||||
$ | (51,408 | ) | ||||||||||
2022 | $ | 5,900,150 | $ | 50,587 | ||||||||
$ | — | |||||||||||
$ | (50,587 | ) |
(h) The Audit Committee of the Fund has considered whether the provision of any non-audit services not pre-approved by the Audit Committee provided by the Fund’s independent registered public accounting firm to the Adviser and Service Affiliates is compatible with maintaining the auditor’s independence.
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.
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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 period that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
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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:
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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): Sanford C. Bernstein Fund, Inc.
By: | /s/ Beata Kirr | |
Beata Kirr | ||
President |
Date: November 29, 2022
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/ Beata Kirr | |
Beata Kirr | ||
President |
Date: November 29, 2022
By: | /s/ Joseph J. Mantineo | |
Joseph J. Mantineo | ||
Treasurer and Chief Financial Officer |
Date: November 29, 2022