AB Municipal Income Fund II
AB Massachusetts Portfolio
Portfolio of Investments
February 29, 2024 (unaudited)
Principal Amount (000) | U.S. $ Value | |||||||||||
MUNICIPAL OBLIGATIONS – 97.5% | ||||||||||||
Long-Term Municipal Bonds – 97.1% | ||||||||||||
Massachusetts – 86.4% | ||||||||||||
Bristol-Plymouth Regional Vocational Technical School District/MA | $ | 1,000 | $ | 1,008,088 | ||||||||
City of Boston MA | 1,000 | 1,156,040 | ||||||||||
City of Quincy MA | 3,060 | 3,660,390 | ||||||||||
City of Springfield MA | 1,915 | 1,915,000 | ||||||||||
City of Worcester MA | 7,730 | 7,874,538 | ||||||||||
AGM Series 2022 | 2,600 | 2,091,001 | ||||||||||
Commonwealth of Massachusetts | 10,000 | 10,268,012 | ||||||||||
Series 2018-A | 5,000 | 5,269,469 | ||||||||||
Series 2021-B | 5,000 | 5,062,427 | ||||||||||
Series 2022-B | 4,965 | 4,115,320 | ||||||||||
Series 2022-C | 2,005 | 2,168,912 | ||||||||||
Series 2023 | 2,000 | 2,170,355 | ||||||||||
Series 2023-B | 2,000 | 2,270,802 | ||||||||||
Series 2024-A | 1,000 | 1,150,788 | ||||||||||
Commonwealth of Massachusetts Transportation Fund Revenue | 2,000 | 2,150,997 | ||||||||||
Series 2022-B | 3,000 | 3,243,659 | ||||||||||
Series 2023 | 1,405 | 1,535,843 | ||||||||||
Series 2023-B | 3,000 | 3,273,414 | ||||||||||
Martha’s Vineyard Land Bank | 1,000 | 1,010,361 | ||||||||||
Massachusetts Bay Transportation Authority Assessment Revenue | 1,000 | 1,046,934 | ||||||||||
Massachusetts Bay Transportation Authority Sales Tax Revenue | ||||||||||||
5.00%, 07/01/2040 | 2,000 | 2,097,862 |
1
Principal Amount (000) | U.S. $ Value | |||||||||||
Series 2020 | $ | 3,000 | $ | 3,135,258 | ||||||||
Series 2023-A | 5,000 | 5,579,038 | ||||||||||
Massachusetts Clean Water Trust (The) (Massachusetts Clean Water State Revolving Fund) | 600 | 692,229 | ||||||||||
5.00%, 02/01/2042 | 1,050 | 1,199,701 | ||||||||||
5.00%, 02/01/2044 | 1,500 | 1,699,499 | ||||||||||
Massachusetts Development Finance Agency (Atrius Health Obligated Group) | 1,400 | 1,570,328 | ||||||||||
Massachusetts Development Finance Agency (Baystate Medical Obligated Group) | 7,000 | 7,015,615 | ||||||||||
Massachusetts Development Finance Agency (Beth Israel Lahey Health Obligated Group) | 5,000 | 5,114,364 | ||||||||||
Series 2023 | 2,000 | 2,374,767 | ||||||||||
Massachusetts Development Finance Agency (Boston Medical Center Corp. Obligated Group) | 3,755 | 3,755,842 | ||||||||||
Series 2023 | 2,000 | 2,174,267 | ||||||||||
Massachusetts Development Finance Agency (Brandeis University) | 1,795 | 1,985,647 | ||||||||||
5.00%, 10/01/2039 | 1,780 | 1,923,822 | ||||||||||
Massachusetts Development Finance Agency (Children’s Hospital Corp. Obligated Group (The)) | 1,055 | 1,065,751 | ||||||||||
Series 2024-T | 2,000 | 2,219,054 | ||||||||||
Massachusetts Development Finance Agency (Emerson College) | 700 | 720,110 | ||||||||||
5.00%, 01/01/2035 | 735 | 755,499 | ||||||||||
5.00%, 01/01/2036 | 1,000 | 1,025,246 | ||||||||||
5.25%, 01/01/2042 | 1,000 | 1,019,848 | ||||||||||
Massachusetts Development Finance Agency (Emmanuel College/MA) | 2,000 | 2,054,211 | ||||||||||
5.00%, 10/01/2034 | 2,100 | 2,149,999 | ||||||||||
Massachusetts Development Finance Agency (Equitable School Revolving Fund LLC Obligated Group) | 1,000 | 970,935 |
2
Principal Amount (000) | U.S. $ Value | |||||||||||
Massachusetts Development Finance Agency (Lasell University) | $ | 350 | $ | 341,571 | ||||||||
4.00%, 07/01/2031 | 365 | 354,144 | ||||||||||
4.00%, 07/01/2040 | 2,000 | 1,754,052 | ||||||||||
4.00%, 07/01/2050 | 1,000 | 804,441 | ||||||||||
Massachusetts Development Finance Agency (Lesley University) | 2,055 | 2,084,893 | ||||||||||
Massachusetts Development Finance Agency (Mass General Brigham, Inc.) | 5,855 | 5,595,171 | ||||||||||
Massachusetts Development Finance Agency (MCPHS University) | 1,000 | 1,000,322 | ||||||||||
Massachusetts Development Finance Agency (Merrimack College) | 3,200 | 3,210,223 | ||||||||||
Series 2022 | 1,000 | 1,000,594 | ||||||||||
Massachusetts Development Finance Agency (NewBridge on the Charles, Inc. Obligated Group) | 250 | 250,078 | ||||||||||
Massachusetts Development Finance Agency (NewBridge on the Charles, Inc.) | 2,000 | 1,983,506 | ||||||||||
Massachusetts Development Finance Agency (Northeastern University) | 1,500 | 1,696,923 | ||||||||||
5.00%, 10/01/2042 | 5,000 | 5,634,474 | ||||||||||
Massachusetts Development Finance Agency (President & Fellows of Harvard College) | 700 | 877,843 | ||||||||||
Massachusetts Development Finance Agency (Salem Community Corp. Obligated Group) | 1,020 | 940,303 | ||||||||||
Massachusetts Development Finance Agency (Simmons University) | 2,455 | 2,559,601 | ||||||||||
Series 2020-M | 1,000 | 845,119 | ||||||||||
Massachusetts Development Finance Agency (South Shore Hospital, Inc. Obligated Group) | 2,000 | 1,939,131 | ||||||||||
5.00%, 07/01/2041 | 2,500 | 2,521,315 |
3
Principal Amount (000) | U.S. $ Value | |||||||||||
Massachusetts Development Finance Agency (Southcoast Health System Obligated Group) | $ | 1,500 | $ | 1,559,858 | ||||||||
Massachusetts Development Finance Agency (Springfield College) | 3,000 | 2,441,832 | ||||||||||
Series 2021-B | 1,000 | 840,910 | ||||||||||
Massachusetts Development Finance Agency (Suffolk University) | 1,250 | 1,295,644 | ||||||||||
Series 2020-A | 1,400 | 1,241,922 | ||||||||||
Series 2021 | 1,270 | 1,115,857 | ||||||||||
4.00%, 07/01/2051 | 1,000 | 847,928 | ||||||||||
Massachusetts Development Finance Agency (Trustees of Boston College) | 1,000 | 1,062,015 | ||||||||||
Massachusetts Development Finance Agency (Trustees of The Deerfield Academy (The)) | 1,300 | 1,560,371 | ||||||||||
5.00%, 10/01/2033 | 1,000 | 1,219,199 | ||||||||||
Massachusetts Development Finance Agency (Tufts Medicine Obligated Group) | 1,000 | 1,012,425 | ||||||||||
Massachusetts Development Finance Agency (UMass Memorial Health Care Obligated Group) | 1,500 | 1,542,627 | ||||||||||
Massachusetts Development Finance Agency (Woods Hole Oceanographic Institution State Lease) | 3,000 | 3,122,537 | ||||||||||
Massachusetts Health & Educational Facilities Authority (Trustees of Boston College) | 1,710 | 2,106,650 | ||||||||||
Massachusetts Port Authority | 4,685 | 5,092,440 | ||||||||||
Series 2019-C | 1,000 | 1,031,561 | ||||||||||
Series 2021-E | 2,250 | 2,456,568 | ||||||||||
5.00%, 07/01/2051 | 1,000 | 1,041,007 | ||||||||||
Massachusetts Port Authority (Bosfuel Corp.) | 2,000 | 2,156,752 | ||||||||||
Massachusetts School Building Authority | ||||||||||||
Series 2015-B | 1,770 | 1,798,640 |
4
Principal Amount (000) | U.S. $ Value | |||||||||||
Massachusetts School Building Authority (Massachusetts School Building Authority Sales Tax) | $ | 4,000 | $ | 4,181,516 | ||||||||
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue (Massachusetts Transportation Trust Fund Metropolitan Highway System Rev State Lease) | 1,000 | 1,102,227 | ||||||||||
Massachusetts Water Resources Authority | 5,500 | 5,796,233 | ||||||||||
Town of Hingham MA | 1,000 | 1,008,857 | ||||||||||
Town of Nantucket MA | 1,000 | 1,004,951 | ||||||||||
Town of Weymouth MA | 2,000 | 1,281,278 | ||||||||||
University of Massachusetts Building Authority | 2,000 | 2,023,654 | ||||||||||
University of Massachusetts Building Authority (University of Massachusetts) | 2,500 | 2,699,310 | ||||||||||
Series 2020 | 2,000 | 1,525,343 | ||||||||||
|
| |||||||||||
205,305,058 | ||||||||||||
|
| |||||||||||
American Samoa – 0.2% |
| |||||||||||
American Samoa Economic Development Authority (Territory of American Samoa) | 395 | 432,188 | ||||||||||
|
| |||||||||||
Arizona – 0.3% |
| |||||||||||
Salt Verde Financial Corp. (Citigroup, Inc.) Series 2007 | 660 | 723,955 | ||||||||||
|
| |||||||||||
Connecticut – 0.4% |
| |||||||||||
State of Connecticut Series 2015-F | 1,000 | 1,030,302 | ||||||||||
|
| |||||||||||
Florida – 1.3% |
| |||||||||||
County of Miami-Dade FL Aviation Revenue Series 2014 | 3,000 | 3,011,713 |
5
Principal Amount (000) | U.S. $ Value | |||||||||
Palm Beach County Health Facilities Authority (Federation CCRC Operations Corp. Obligated Group) | $ | 100 | $ | 77,140 | ||||||
|
| |||||||||
3,088,853 | ||||||||||
|
| |||||||||
Guam – 2.7% | ||||||||||
Antonio B Won Pat International Airport Authority | 535 | 428,554 | ||||||||
Series 2023 | 100 | 102,856 | ||||||||
5.375%, 10/01/2043 | 200 | 202,213 | ||||||||
Guam Government Waterworks Authority | 1,525 | 1,563,890 | ||||||||
Guam Power Authority | 350 | 363,400 | ||||||||
5.00%, 10/01/2040 | 1,420 | 1,454,515 | ||||||||
Territory of Guam | 190 | 196,807 | ||||||||
Territory of Guam (Territory of Guam Business Privilege Tax) | 2,255 | 2,165,413 | ||||||||
|
| |||||||||
6,477,648 | ||||||||||
|
| |||||||||
Illinois – 0.7% |
| |||||||||
Chicago Board of Education | 650 | 666,923 | ||||||||
Illinois Finance Authority | 1,050 | 1,071,895 | ||||||||
|
| |||||||||
1,738,818 | ||||||||||
|
| |||||||||
Indiana – 0.1% |
| |||||||||
Indiana Finance Authority (Brightmark Plastics Renewal Indiana LLC) | 250 | 189,216 | ||||||||
|
| |||||||||
Michigan – 0.1% |
| |||||||||
City of Detroit MI | 90 | 92,911 | ||||||||
|
| |||||||||
New Jersey – 0.5% |
| |||||||||
New Jersey Transportation Trust Fund Authority (New Jersey Transportation Fed Hwy Grant) | 1,170 | 1,220,250 | ||||||||
|
|
6
Principal Amount (000) | U.S. $ Value | |||||||||||
North Carolina – 0.6% | ||||||||||||
North Carolina Medical Care Commission (Aldersgate United Methodist Retirement Community, Inc.) | $ | 540 | $ | 455,463 | ||||||||
North Carolina Turnpike Authority | 1,000 | 1,043,118 | ||||||||||
|
| |||||||||||
1,498,581 | ||||||||||||
|
| |||||||||||
Pennsylvania – 0.5% | ||||||||||||
City of Philadelphia PA | 1,000 | 1,058,252 | ||||||||||
|
| |||||||||||
Puerto Rico – 2.1% | ||||||||||||
Commonwealth of Puerto Rico | ||||||||||||
Zero Coupon, 07/01/2024 | 63 | 62,548 | ||||||||||
Zero Coupon, 07/01/2033 | 205 | 131,848 | ||||||||||
5.625%, 07/01/2027 | 300 | 316,645 | ||||||||||
5.625%, 07/01/2029 | 120 | 129,980 | ||||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | 610 | 633,049 | ||||||||||
5.00%, 07/01/2035(a) | 500 | 516,098 | ||||||||||
Puerto Rico Electric Power Authority AGM Series 2007-V | 240 | 239,981 | ||||||||||
NATL Series 2007-V | 300 | 296,714 | ||||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (AES Puerto Rico LP) | 575 | 402,500 | ||||||||||
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Auth (San Juan Cruise Port LLC) | 600 | 714,296 | ||||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | ||||||||||||
Zero Coupon, 07/01/2029 | 238 | 195,698 | ||||||||||
Zero Coupon, 07/01/2046 | 1,000 | 324,316 | ||||||||||
Series 2019-A | 180 | 178,727 | ||||||||||
4.55%, 07/01/2040 | 22 | 22,116 | ||||||||||
5.00%, 07/01/2058 | 815 | 819,073 | ||||||||||
|
| |||||||||||
4,983,589 | ||||||||||||
|
| |||||||||||
Tennessee – 0.1% | ||||||||||||
Bristol Industrial Development Board (Bristol Industrial Development Board Sales Tax) | ||||||||||||
5.00%, 12/01/2035(a) | 310 | 286,823 | ||||||||||
|
|
7
Principal Amount (000) | U.S. $ Value | |||||||||||
Texas – 0.7% | ||||||||||||
Mission Economic Development Corp. (Natgasoline LLC) | $ | 540 | $ | 538,106 | ||||||||
North Texas Tollway Authority (North Texas Tollway System) Series 2015-A | 1,000 | 1,011,971 | ||||||||||
|
| |||||||||||
1,550,077 | ||||||||||||
|
| |||||||||||
Wisconsin – 0.4% | ||||||||||||
Wisconsin Public Finance Authority (Celanese US Holdings LLC) | 1,000 | 1,013,150 | ||||||||||
|
| |||||||||||
Total Long-Term Municipal Bonds | 230,689,671 | |||||||||||
|
| |||||||||||
Short-Term Municipal Notes – 0.4% | ||||||||||||
Massachusetts – 0.4% | ||||||||||||
Massachusetts Health & Educational Facilities Authority (Mass General Brigham, Inc.) Series 2011 | 1,000 | 1,000,000 | ||||||||||
|
| |||||||||||
Total Municipal Obligations | 231,689,671 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES – 0.8% | ||||||||||||
Other ABS - Fixed Rate – 0.8% | ||||||||||||
Commonwealth of Massachusetts | 1,319 | 1,296,552 | ||||||||||
HTA TRRB Custodial Trust | 214 | 208,335 | ||||||||||
5.25%, 07/01/2036 | 189 | 189,692 | ||||||||||
5.25%, 07/01/2041 | 82 | 80,222 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities | 1,774,801 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS – 0.0% | ||||||||||||
Non-Agency Fixed Rate – 0.0% | ||||||||||||
Village of Bolingbrook IL Sales Tax Revenue | 90 | 90,478 | ||||||||||
|
|
8
Shares | U.S. $ Value | |||||||||
SHORT-TERM INVESTMENTS – 0.5% | ||||||||||
Investment Companies – 0.5% | ||||||||||
AB Fixed Income Shares, Inc. - Government Money Market Portfolio - Class AB, 5.21%(g) (h) (i) | 1,224,911 | $ | 1,224,911 | |||||||
|
| |||||||||
Total Investments – 98.8% | 234,779,861 | |||||||||
Other assets less liabilities – 1.2% | 2,743,564 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 237,523,425 | ||||||||
|
|
CENTRALLY CLEARED INFLATION (CPI) SWAPS
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 | 1,325 | 01/15/2025 | 2.565% | CPI# | Maturity | $ | 130,390 | $ | — | $ | 130,390 | |||||||||||||
USD | 663 | 01/15/2025 | 2.613% | CPI# | Maturity | 63,943 | — | 63,943 | ||||||||||||||||
USD | 662 | 01/15/2025 | 2.585% | CPI# | Maturity | 64,599 | — | 64,599 | ||||||||||||||||
USD | 510 | 01/15/2025 | 4.028% | CPI# | Maturity | 18,737 | — | 18,737 | ||||||||||||||||
USD | 2,270 | 01/15/2026 | CPI# | 3.765% | Maturity | (75,031 | ) | — | (75,031 | ) | ||||||||||||||
USD | 2,060 | 01/15/2027 | CPI# | 3.466% | Maturity | (75,201 | ) | (1,613 | ) | (73,588 | ) | |||||||||||||
USD | 2,050 | 01/15/2027 | CPI# | 3.320% | Maturity | (93,622 | ) | — | (93,622 | ) | ||||||||||||||
USD | 1,660 | 01/15/2027 | CPI# | 3.323% | Maturity | (75,500 | ) | — | (75,500 | ) | ||||||||||||||
USD | 5,260 | 01/15/2028 | 1.230% | CPI# | Maturity | 951,066 | — | 951,066 | ||||||||||||||||
USD | 3,970 | 01/15/2028 | 0.735% | CPI# | Maturity | 861,561 | — | 861,561 | ||||||||||||||||
USD | 3,900 | 01/15/2029 | CPI# | 3.390% | Maturity | (87,502 | ) | — | (87,502 | ) | ||||||||||||||
USD | 2,420 | 01/15/2029 | CPI# | 3.735% | Maturity | 16,016 | — | 16,016 | ||||||||||||||||
USD | 1,250 | 01/15/2029 | CPI# | 3.331% | Maturity | (34,172 | ) | — | (34,172 | ) | ||||||||||||||
USD | 870 | 01/15/2030 | 1.572% | CPI# | Maturity | 148,414 | — | 148,414 | ||||||||||||||||
USD | 870 | 01/15/2030 | 1.587% | CPI# | Maturity | 147,220 | — | 147,220 | ||||||||||||||||
USD | 1,300 | 01/15/2031 | 2.782% | CPI# | Maturity | 86,266 | — | 86,266 | ||||||||||||||||
USD | 1,130 | 01/15/2031 | 2.680% | CPI# | Maturity | 86,239 | — | 86,239 | ||||||||||||||||
USD | 1,000 | 01/15/2031 | 2.989% | CPI# | Maturity | 45,921 | — | 45,921 | ||||||||||||||||
USD | 1,000 | 01/15/2032 | CPI# | 3.064% | Maturity | (32,336 | ) | — | (32,336 | ) | ||||||||||||||
USD | 950 | 04/15/2032 | CPI# | 2.909% | Maturity | (43,057 | ) | — | (43,057 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 2,103,951 | $ | (1,613) | $ | 2,105,564 | |||||||||||||||||||
|
|
|
|
|
|
# | Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI). |
CENTRALLY CLEARED INTEREST RATE SWAPS
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 | 5,600 | 07/31/2030 | 1 Day SOFR | 4.615% | Annual | $ | 198,821 | $ | — | $ | 198,821 | |||||||||||||
USD | 9,700 | 11/01/2030 | 1 Day SOFR | 4.492% | Annual | 288,257 | — | 288,257 | ||||||||||||||||
USD | 4,500 | 11/01/2030 | 1 Day SOFR | 4.204% | Annual | 55,330 | — | 55,330 | ||||||||||||||||
USD | 4,300 | 11/01/2030 | 1 Day SOFR | 4.518% | Annual | 134,622 | — | 134,622 | ||||||||||||||||
USD | 5,100 | 04/15/2032 | 3.101% | 1 Day SOFR | Annual | 375,384 | — | 375,384 | ||||||||||||||||
USD | 4,500 | 04/15/2032 | 3.250% | 1 Day SOFR | Annual | 278,977 | — | 278,977 | ||||||||||||||||
USD | 3,900 | 04/15/2032 | 1 Day SOFR | 3.250% | Annual | (246,261 | ) | (174,237 | ) | (72,024 | ) | |||||||||||||
USD | 4,500 | 12/19/2033 | 3.571% | 1 Day SOFR | Annual | 126,690 | — | 126,690 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,211,820 | $ | (174,237 | ) | $ | 1,386,057 | ||||||||||||||||||
|
|
|
|
|
|
9
INTEREST RATE SWAPS
Rate Type | ||||||||||||||||||||||||||||||||
Swap Counterparty | Notional Amount (000) | Termination Date | Payments made by the Fund | Payments received by the Fund | Payment Frequency Paid/ Received | Market Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Citibank, NA | USD | 3,025 | 10/09/2029 | 1.125% | SIFMA* | Quarterly | $ | 298,099 | $ | — | $ | 298,099 |
* 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 February 29, 2024, the aggregate market value of these securities amounted to $4,639,848 or 2.0% of net assets. (b) Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.08% of net assets as of February 29, 2024, are considered illiquid and restricted. Additional information regarding such securities follows:
|
| |||||||||||||||||||||||||||||||||
144A/Restricted & Illiquid Securities | Acquisition Date | Cost | Market Value | Percentage of Net Assets | ||||||||||||||||||||||||||||||
Indiana Finance Authority | 03/29/2019 | $ | 258,092 | $ | 189,216 | 0.08 | % |
(c) | Defaulted. |
(d) | Non-income producing security. |
(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. |
(f) | Defaulted matured security. |
(g) | Affiliated investments. |
(h) | The rate shown represents the 7-day yield as of period end. |
(i) | 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. |
(j) | As of February 29, 2024, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $7,479,473 and gross unrealized depreciation of investments was $(8,376,915), resulting in net unrealized depreciation of $(897,442). |
As of February 29, 2024, 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 1.6% and 0.0%, respectively.
Glossary:
AGM – Assured Guaranty Municipal
BAM – Build American Mutual
10
CCRC – Congregate Care Retirement Center
NATL – National Interstate Corporation
SOFR – Secured Overnight Financing Rate
11
AB Municipal Income Fund II
AB Massachusetts Portfolio
February 29, 2024 (unaudited)
In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
• | Level 1 - quoted prices in active markets for identical investments |
• | Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 - significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments) |
The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.
Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.
Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.
12
The following table summarizes the valuation of the Portfolio’s investments by the above fair value hierarchy levels as of February 29, 2024:
Investments in Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: |
| |||||||||||||||
Long-Term Municipal Bonds | $ | — | $ | 230,689,671 | $ | — | $ | 230,689,671 | ||||||||
Short-Term Municipal Notes | — | 1,000,000 | — | 1,000,000 | ||||||||||||
Asset-Backed Securities | — | 1,774,801 | — | 1,774,801 | ||||||||||||
Collateralized Mortgage Obligations | — | 90,478 | — | 90,478 | ||||||||||||
Short-Term Investments | 1,224,911 | — | — | 1,224,911 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | 1,224,911 | 233,554,950 | — | 234,779,861 | ||||||||||||
Other Financial Instruments(a): | ||||||||||||||||
Assets: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | 2,620,372 | — | 2,620,372 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 1,458,081 | — | 1,458,081 | ||||||||||||
Interest Rate Swaps | — | 298,099 | — | 298,099 | ||||||||||||
Liabilities: |
| |||||||||||||||
Centrally Cleared Inflation (CPI) Swaps | — | (516,421 | ) | — | (516,421 | ) | ||||||||||
Centrally Cleared Interest Rate Swaps | — | (246,261 | ) | — | (246,261 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,224,911 | $ | 237,168,820 | $ | — | $ | 238,393,731 | ||||||||
|
|
|
|
|
|
|
|
(a) | Other financial instruments include reverse repurchase agreements and derivative instruments, such as futures, forwards and swaps. Derivative instruments are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value. |
A summary of the Portfolio’s transactions in AB mutual funds for the nine months ended February 29, 2024 is as follows:
Fund | Market Value 05/31/2023 (000) | Purchases at Cost (000) | Sales Proceeds (000) | Market Value 02/29/2024 (000) | Dividend Income (000) | |||||||||||||||
Government Money Market Portfolio | $ | 288 | $ | 91,808 | $ | 90,871 | $ | 1,225 | $ | 243 |
13